N-Q 1 a_putassetalloc.htm PUTNAM ASSET ALLOCATION FUNDS a_putassetalloc.htm
UNITED STATES 
SECURITIES AND EXCHANGE COMMISSION 
Washington, D.C. 20549 
 
FORM N-Q 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT 
INVESTMENT COMPANY 
 
Investment Company Act file number: (811- 07121)   
 
Exact name of registrant as specified in charter: Putnam Asset Allocation Funds 
 
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 
 
Name and address of agent for service:  Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
 
Copy to:  John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  One International Place 
  Boston, Massachusetts 02110 
   
Registrant’s telephone number, including area code:  (617) 292-1000 
 
Date of fiscal year end: September 30, 2008     
 
Date of reporting period: June 30, 2008     

Item 1. Schedule of Investments:

Putnam Asset Allocation Funds            
 
The funds' portfolios Growth   Balanced   Conservative  
June 30, 2008 (Unaudited)            
 
COMMON STOCKS(a) Growth 72.3% Balanced 65.6% Conservative 49.0%
  Shares Value Shares Value Shares Value
Basic Materials   7.9%   6.8%   5.1%
Abengoa SA (Spain) 36,544 $1,141,098 31,997 $999,116 16,911 $528,051
Acciona SA (Spain) 5,480 1,293,220 4,752 1,121,420 2,419 570,858
Agnico-Eagle Mines, Ltd. (Canada) 9,600 713,952 8,385 623,592 4,400 327,228
Akzo Nobel NV (Netherlands) 10,623 727,481 9,227 631,880 4,890 334,875
Ameron International Corp. 4,342 520,953 3,765 451,725 1,916 229,882
Andersons, Inc. (The) (SG) (SB) (SC) 40,233 1,637,885 31,831 1,295,840 16,888 687,510
Angang Steel Co., Ltd. (China) 566,000 1,135,354 -- -- -- --
Anglo American PLC (United Kingdom) 24,566 1,741,166 21,277 1,508,051 11,306 801,336
AngloGold Ashanti, Ltd. ADR (South Africa) (SB) (SC) 17,100 580,374 14,800 502,312 7,800 264,732
Antofagasta PLC (United Kingdom) 368,359 4,792,870 297,430 3,869,984 92,259 1,200,420
Apex Silver Mines, Ltd. (Cayman Islands) (NON) (SG)            
(SB) 12,200 59,902 10,500 51,555 5,600 27,496
Arcelor Mittal (Luxembourg) 98,248 9,701,197 80,223 7,920,847 26,349 2,601,702
Arcelor Mittal (Luxembourg) 11,082 1,094,259 9,404 928,570 5,001 493,809
Arch Chemicals, Inc. (SG) 30,891 1,024,037 25,705 852,121 11,212 371,678
Aurizon Mines, Ltd. (Canada) (NON) 13,600 66,776 11,800 57,938 6,200 30,442
Balfour Beatty PLC (United Kingdom) 78,445 663,111 68,050 575,240 20,828 176,063
Barrick Gold Corp. (Canada) 24,500 1,114,750 21,347 971,289 11,200 509,600
Barrick Gold Corp. (Canada) 18,000 824,631 15,500 710,099 8,400 384,828
BASF SE (Germany) 77,798 5,359,298 65,500 4,512,121 25,798 1,777,156
BHP Billiton, Ltd. (Australia) 369,060 15,460,226 302,510 12,672,392 104,790 4,389,739
Bilfinger Berger AG (Germany) 35,800 3,099,463 29,600 2,562,684 9,300 805,168
BlueScope Steel, Ltd. (Australia) 397,034 4,315,968 327,756 3,562,879 102,637 1,115,718
Boart Longyear Group (Australia) 1,720,436 3,677,738 1,420,237 3,036,009 444,750 950,732
Buckeye Technologies, Inc. (NON) 73,346 620,507 56,475 477,779 28,377 240,069
Builders FirstSource, Inc. (NON) (SG) (SB) (SC) 26,258 139,430 29,330 155,742 11,116 59,026
Carpenter Technology Corp. 26,138 1,140,924 17,713 773,172 9,497 414,544
Celanese Corp. Ser. A 5,507 251,450 4,800 219,168 2,563 117,027
Cemex SA de CV ADR (Mexico) (NON) 45,181 1,115,971 -- -- -- --
Ceradyne, Inc. (NON) (SG) (SB) (SC) 14,348 492,136 9,833 337,272 4,608 158,054
CF Industries Holdings, Inc. (SEG) 47,894 7,318,203 40,968 6,259,910 16,692 2,550,538
China Steel Corp. (Taiwan) 1,141,000 1,761,371 -- -- -- --
Cia de Minas Buenaventura SA ADR (Peru) 33,029 2,159,106 8,076 527,928 4,261 278,542
Cleveland-Cliffs, Inc. (SEG) 64,192 7,651,044 51,521 6,140,788 22,593 2,692,860
Coeur d'Alene Mines Corp. (NON) (SG) (SB) (SC) 113,800 330,020 98,500 285,650 51,900 150,510
Companhia Vale do Rio Doce (CVRD) ADR (Brazil) (SG) 43,144 1,545,418 -- -- -- --
Companhia Vale do Rio Doce (CVRD) (Preference A) ADR            
(Brazil) 83,400 2,488,656 -- -- -- --
Crystallex International Corp. (Canada) (NON) 80,500 90,160 69,700 78,064 36,700 41,104
Dongkuk Steel Mill Co., Ltd. (South Korea) 35,750 1,541,567 -- -- -- --
Dow Chemical Co. (The) (SB) (SEG) 46,300 1,616,333 42,821 1,494,881 16,409 572,838
Eldorado Gold Corp. (Canada) (NON) 56,400 487,860 49,571 428,789 26,120 225,938
Evraz Group SA GDR (Luxembourg) 11,550 1,344,077 -- -- -- --
Fletcher Building, Ltd. (New Zealand) 255,621 1,236,224 211,018 1,020,517 63,508 307,135
FMC Corp. (SG) (SB) (SC) 77,019 5,964,351 72,150 5,587,296 26,913 2,084,143
Franco-Nevada Corp. (Canada) 21,189 514,417 18,200 441,852 9,600 233,065
Gammon Gold, Inc. (Canada) (NON) (SG) (SB) (SC) 33,966 368,531 29,402 319,012 15,512 168,305
Gold Fields, Ltd. ADR (South Africa) 45,200 571,780 39,200 495,880 20,600 260,590
Goldcorp, Inc. (Canada) 24,200 1,117,314 20,841 962,229 11,000 507,870
Golden Star Resources, Ltd. (NON) 82,900 223,001 71,800 193,142 37,800 101,682
Great Basin Gold, Ltd. (Canada) (NON) 20,000 68,000 17,400 59,160 9,100 30,940
Grief, Inc. Class A (SC) 12,063 772,394 8,104 518,899 4,345 278,210
H.B. Fuller Co. (SB) 38,639 867,059 32,224 723,107 14,329 321,543
Harmony Gold Mining Co., Ltd. ADR (South Africa) 41,447 507,726 35,896 439,726 18,915 231,709
Hecla Mining Co. (NON) (SG) (SB) (SC) 30,900 286,134 26,700 247,242 14,100 130,566
Hitachi Metals, Ltd. (Japan) 38,000 625,090 32,000 526,391 17,000 279,645
Holcim, Ltd. (Switzerland) 4,079 330,408 3,500 283,508 1,843 149,287
Hyundai Steel Co. (South Korea) 30,380 2,288,884 -- -- -- --
Iamgold Corp. (Canada) 59,600 360,580 51,600 312,180 27,200 164,560
Impala Platinum Holdings, Ltd. (South Africa) 44,226 1,747,702 -- -- -- --
Innospec, Inc. (United Kingdom) 40,070 754,117 27,050 509,081 14,503 272,946
Insituform Technologies, Inc. (NON) (SG) (SB) 22,751 346,498 19,730 300,488 10,042 152,940
JFE Holdings, Inc. (Japan) 18,700 943,643 16,200 817,487 4,900 247,265
K&S AG (Germany) 523 300,145 450 258,251 237 136,012
Kaiser Aluminum Corp. 14,700 786,891 9,910 530,482 5,313 284,405
Kinross Gold Corp. (Canada) 34,200 807,462 29,600 698,856 15,600 368,316
Koninklijke DSM NV (Netherlands) 23,524 1,375,917 20,407 1,193,604 6,366 372,347
Koppers Holdings, Inc. 55,201 2,311,266 38,989 1,632,469 19,845 830,910
Layne Christensen Co. (NON) 30,290 1,326,399 27,308 1,195,817 11,074 484,930
Matsushita Electric Works, Ltd. (Japan) 51,000 520,968 44,000 449,462 13,000 132,796
Metallica Resources, Inc. (Canada) (NON) 25,200 171,897 21,800 148,705 11,500 78,445
Minefinders Corp. (Canada) (NON) (SG) (SB) (SC) 15,300 159,120 13,300 138,320 7,000 72,800
Minerals Technologies, Inc. 1,579 100,409 1,272 80,886 530 33,703
Mitsui Mining Co., Ltd. (Japan) 35,500 122,552 30,500 105,291 15,500 53,509
Monsanto Co. 51,320 6,488,901 39,324 4,972,127 15,240 1,926,946
Mueller Water Products, Inc. Class A (SG) (SB) (SC) 56,488 455,858 48,986 395,317 24,934 201,217
NewMarket Corp. 12,186 807,079 8,248 546,265 3,914 259,224
Newmont Mining Corp. (SG) 17,800 928,448 15,400 803,264 8,100 422,496
Northgate Minerals Corp. (Canada) (NON) 87,200 239,800 75,500 207,625 39,800 109,450
Northwest Pipe Co. (NON) 8,113 452,705 7,035 392,553 3,581 199,820
Nucor Corp. 1,928 143,964 1,565 116,859 637 47,565
Olin Corp. (SG) 19,607 513,311 20,531 537,502 7,785 203,811
Olympic Steel, Inc. 10,741 815,457 7,390 561,049 6,632 503,501
OM Group, Inc. (NON) (SG) (SB) (SC) 37,380 1,225,690 24,972 818,832 12,786 419,253
Packaging Corp. of America 23,720 510,217 19,847 426,909 7,666 164,896
PAN American Silver Corp. (Canada) (NON) 12,200 421,876 10,600 366,548 5,600 193,648
Perini Corp. (NON) 31,421 1,038,464 27,863 920,872 10,717 354,197
Potlatch Corp. (R) (SG) (SB) 17,155 774,034 16,426 741,141 6,237 281,413
PV Crystalox Solar PLC (United Kingdom) 69,292 274,594 60,128 238,278 31,637 125,373
Quanex Building Products Corp. 26,652 396,049 24,393 362,480 9,323 138,540
Rangold Resources, Ltd. ADR (Jersey) 9,800 452,564 8,500 392,530 4,500 207,810
Rayonier, Inc. (SG) 44,396 1,885,054 41,306 1,753,853 15,772 669,679
Rio Tinto PLC (United Kingdom) 7,315 897,489 6,330 776,637 3,369 413,348
Rio Tinto, Ltd. (Australia) 10,011 1,300,332 8,499 1,103,938 4,477 581,519
Royal Gold, Inc. 10,350 324,576 8,800 275,968 4,725 148,176
Salzgitter AG (Germany) 2,768 505,959 2,406 439,790 1,318 240,916
Schnitzer Steel Industries, Inc. Class A 10,419 1,194,017 9,267 1,061,998 3,641 417,259
Seabridge Gold, Inc. (Canada) (NON) (SG) (SB) (SC) 8,500 187,000 7,300 160,600 3,900 85,800
Sesa GOA, Ltd. (India) 13,355 1,050,922 -- -- -- --
Silgan Holdings, Inc. 26,924 1,366,124 18,375 932,348 9,235 468,584
Silver Standard Resources, Inc. (Canada) (NON) 13,400 383,910 11,600 332,340 6,100 174,765
Silver Wheaton Corp. (Canada) (NON) 31,700 464,405 27,400 401,410 14,500 212,425
Skanska AB Class B (Sweden) 98,200 1,403,396 81,000 1,157,587 24,200 345,847
Solvay SA (Belgium) 52,963 6,889,224 42,877 5,577,276 13,265 1,725,460
Southern Copper Corp. (SG) (SB) (SC) 66,416 7,081,938 60,321 6,432,028 23,105 2,463,686
Steel Dynamics, Inc. 30,847 1,205,192 20,883 815,899 10,616 414,767
Sun Hydraulics Corp. 4,377 141,246 3,618 116,753 1,386 44,726
Tenaris SA ADR (Luxembourg) (SG) 23,200 1,728,400 -- -- -- --
Terra Industries, Inc. (SG) (SB) 112,690 5,561,252 94,669 4,671,915 38,283 1,889,266
Usinas Siderurgicas de Minas Gerais (Usiminas)            
(Preference) (Brazil) 35,850 1,774,197 -- -- -- --
Vallourec SA (France) 1,637 572,026 1,390 485,715 732 255,787
voestalpine AG (Austria) 146,692 12,034,424 119,639 9,815,030 38,922 3,193,111
Xstrata PLC (Switzerland) 18,251 1,451,470 15,796 1,256,228 8,361 664,935
Yamana Gold, Inc. (Canada) 43,800 724,452 38,000 628,520 20,000 330,800
Yamana Gold, Inc. (Canada) (Toronto Exchange) 23,405 390,160 20,100 335,066 10,600 176,701
    187,172,997   138,117,197   55,527,364
 
Capital Goods   5.3%   4.9%   3.7%
ABB, Ltd. (Switzerland) (NON) 22,936 648,495 19,897 562,570 7,040 199,050
Acuity Brands, Inc. (SG) (SB) (SC) 35,218 1,693,281 28,430 1,366,914 11,375 546,910
Aecom Technology Corp. (NON) 26,385 858,304 22,880 744,286 11,646 378,844
AGCO Corp. (NON) (SEG) 78,856 4,132,843 65,261 3,420,329 27,879 1,461,138
Alstom (France) 6,024 1,381,549 5,169 1,185,463 2,723 624,495
American Ecology Corp. 25,549 754,462 17,578 519,078 8,206 242,323
American Science & Engineering, Inc. (SG) (SB) (SC) 10,727 552,762 7,343 378,385 3,445 177,521
Andritz AG (Austria) 41,203 2,592,683 34,014 2,140,318 10,236 644,096
Applied Industrial Technologies, Inc. (SG) 50,513 1,220,899 34,324 829,611 17,405 420,679
Astec Industries, Inc. (NON) 9,454 303,852 7,920 254,549 3,085 99,152
Autoliv, Inc. (Sweden) 32,296 1,505,640 30,112 1,403,821 11,534 537,715
Aveng, Ltd. (South Africa) 197,087 1,459,987 -- -- -- --
BAE Systems PLC (United Kingdom) 169,726 1,494,886 146,308 1,288,628 76,304 672,058
Bekaert SA (Belgium) 2,733 420,502 2,371 364,805 1,337 205,712
Boeing Co. (The) (SEG) 105,330 6,922,288 96,884 6,367,216 36,770 2,416,524
Bucyrus International, Inc. Class A 3,566 260,389 3,100 226,362 1,672 122,089
Calgon Carbon Corp. (NON) (SG) (SB) (SC) 24,246 374,843 21,026 325,062 10,702 165,453
Canon, Inc. (Japan) 75,150 3,870,204 62,000 3,192,982 19,300 993,945
Capstone Turbine Corp. (NON) 137,215 574,931 121,400 508,666 64,325 269,522
Charter PLC (United Kingdom) 125,516 2,161,911 103,264 1,778,638 37,170 640,223
Chiyoda Corp. (Japan) 41,000 446,274 36,000 391,851 19,000 206,810
Clean Harbors, Inc. (NON) (SG) 18,139 1,288,957 12,560 892,514 5,826 413,996
Columbus McKinnon Corp. (NON) 31,993 770,391 21,981 529,302 10,276 247,446
Conergy AG (Germany) (NON) (SG) (SB) (SC) 6,235 129,403 5,410 112,281 2,886 59,897
Cookson Group PLC (United Kingdom) 86,201 1,072,291 74,225 923,317 23,327 290,175
Cummins, Inc. (SB) 93,229 6,108,364 85,159 5,579,618 32,266 2,114,068
Curtiss-Wright Corp. 13,523 605,019 9,163 409,953 4,386 196,230
Daito Trust Construction Co., Ltd. (Japan) 14,800 718,921 12,800 621,769 6,900 335,173
Dana Holding Corp. (NON) 7,582 40,564 8,257 44,175 4,044 21,635
Darling International, Inc. (NON) 38,496 635,954 34,240 565,645 13,452 222,227
Emerson Electric Co. (SEG) 95,468 4,720,893 87,010 4,302,645 33,376 1,650,443
EnergySolutions, Inc. 35,193 786,564 31,000 692,850 16,269 363,612
EnPro Industries, Inc. (NON) 34,038 1,270,979 30,600 1,142,604 11,768 439,417
European Aeronautic Defense and Space Co. (Netherlands) 19,889 373,398 17,254 323,928 5,281 99,146
Fanuc, Ltd. (Japan) 6,400 625,995 5,500 537,965 2,900 283,654
Foster Wheeler, Ltd. (NON) 29,600 2,165,240 26,500 1,938,475 10,200 746,130
Franklin Electric Co., Inc. (SG) (SB) (SC) 13,182 511,198 11,432 443,333 5,819 225,661
Freightcar America, Inc. 22,205 788,278 17,058 605,559 8,006 284,213
Fuel Systems Solutions, Inc. (NON) 13,255 510,318 9,078 349,503 4,243 163,356
Fuel Tech, Inc. (NON) (SG) (SB) (SC) 24,655 434,421 21,600 380,592 11,412 201,079
Gardner Denver, Inc. (NON) 27,109 1,539,791 18,472 1,049,210 8,707 494,558
General Cable Corp. (NON) (SG) (SB) 15,939 969,888 10,750 654,138 5,629 342,525
GKN PLC (United Kingdom) 96,205 426,747 83,602 370,842 42,885 190,230
Glory, Ltd. (Japan) 76,900 1,809,710 66,400 1,562,611 35,200 828,372
Gorman-Rupp Co. (The) 12,522 498,876 10,859 432,623 5,527 220,196
GrafTech International, Ltd. (NON) 49,400 1,325,402 44,100 1,183,203 17,200 461,476
GS Engineering & Construction, Ltd. (South Korea) 13,110 1,435,218 -- -- -- --
Hardinge, Inc. 4,803 63,256 5,364 70,644 2,012 26,498
Heico Corp. (SG) (SB) 11,656 379,286 7,867 255,992 4,218 137,254
Herman Miller, Inc. 102,223 2,544,330 85,543 2,129,165 32,909 819,105
Hyflux, Ltd. (Singapore) 195,000 428,839 169,000 371,661 86,000 189,129
II-VI, Inc. (NON) 32,285 1,127,392 25,155 878,413 10,404 363,308
Illinois Tool Works, Inc. 34,952 1,660,570 31,431 1,493,287 12,095 574,633
IMI PLC (United Kingdom) 78,996 683,573 68,528 592,990 20,975 181,502
Intevac, Inc. (NON) 39,473 445,255 33,045 372,748 12,675 142,974

IVRCL Infrastructures & Projects, Ltd. (India) 191,428 1,351,387 -- -- -- --
Joy Global, Inc. 3,482 264,040 3,100 235,073 1,616 122,541
Komatsu, Ltd. (Japan) 11,300 315,488 9,700 270,817 5,100 142,388
Lindsay Corp. (SG) (SB) 6,139 521,631 5,323 452,295 2,709 230,184
Lockheed Martin Corp. (SEG) 77,718 7,667,658 71,172 7,021,830 26,927 2,656,618
LSB Industries, Inc. (NON) (SG) (SB) (SC) 23,734 469,933 20,600 407,880 10,831 214,454
MAN AG (Germany) 1,830 202,806 1,320 146,286 378 41,891
Manitowoc Co., Inc. (The) 12,517 407,178 12,613 410,301 4,846 157,640
Matthews International Corp. 20,610 932,809 13,474 609,833 7,224 326,958
McDermott International, Inc. (NON) 18,380 1,137,538 17,109 1,058,876 6,561 406,060
Met-Pro Corp. 7,191 96,000 6,235 83,237 3,174 42,373
Moog, Inc. (NON) 46,324 1,725,106 31,604 1,176,933 15,574 579,976
Murray & Roberts Holdings, Ltd. (South Africa) 115,914 1,291,874 -- -- -- --
Nalco Holding Co. 34,419 727,962 29,848 631,285 15,192 321,311
Nordson Corp. 12,517 912,364 12,221 890,789 4,646 338,647
Northrop Grumman Corp. 12,868 860,869 11,830 791,427 4,552 304,529
NSK, Ltd. (Japan) 52,000 455,650 45,000 394,312 25,000 219,062
Orascom Construction Industries GDR (Egypt) 8,173 1,117,439 -- -- -- --
Orbital Sciences Corp. (NON) 64,753 1,525,581 50,543 1,190,793 20,880 491,933
Parker-Hannifin Corp. 9,815 700,006 9,457 674,473 3,601 256,823
Pentair, Inc. 22,845 800,032 19,811 693,781 10,084 353,142
Pliant Corp. (F)(NON) -- -- -- -- 3 1
Prysmian SpA (Italy) 348,266 8,798,061 282,118 7,126,999 87,226 2,203,544
Raytheon Co. (SB) 95,397 5,368,943 88,280 4,968,398 33,275 1,872,717
Rieter Holding AG (Switzerland) 2,260 734,132 2,001 649,999 550 178,660
Roper Industries, Inc. 15,322 1,009,413 13,287 875,348 6,763 445,546
Safran SA (France) 18,739 361,373 16,080 310,095 8,470 163,340
Samsung Engineering Co., Ltd. (South Korea) 15,850 1,186,591 -- -- -- --
Steelcase, Inc. 110,801 1,111,334 103,043 1,033,521 39,477 395,954
Superior Essex, Inc. (NON) 6,128 273,493 7,724 344,722 2,920 130,320
Tanfield Group PLC (United Kingdom) (NON) 194,065 122,701 168,398 106,473 89,769 56,758
Teledyne Technologies, Inc. (NON) 22,625 1,103,874 15,608 761,514 7,267 354,557
Terex Corp. (NON) 6,462 331,953 5,412 278,014 2,126 109,213
Tetra Tech, Inc. (NON) 26,638 602,552 23,100 522,522 11,758 265,966
Tognum AG (Germany) 14,923 400,247 12,954 347,437 6,824 183,025
Tomkins PLC (United Kingdom) 129,292 388,285 112,160 336,835 34,329 103,096
United Technologies Corp. 39,473 2,435,484 35,293 2,177,578 13,575 837,578
United Tractors Tbk PT (Indonesia) 1,314,500 1,733,171 -- -- -- --
USEC, Inc. (NON) (SG) (SB) (SC) 70,366 427,825 65,404 397,656 25,083 152,505
Volvo AB Class A (Sweden) 108,500 1,275,458 89,600 1,053,282 27,500 323,273
Wabtec Corp. 20,233 983,728 13,855 673,630 6,499 315,981
WESCO International, Inc. (NON) 26,790 1,072,672 18,049 722,682 9,677 387,467
    125,730,907   98,890,015   40,039,608
 
Communication Services   3.1%   2.7%   1.9%
AboveNet, Inc. (NON) 118 7,198 -- -- 59 3,599
Adelphia Recovery Trust Ser. ACC-1 (NON) 194,250 13,598 262,238 18,357 121,406 8,498
America Movil SAB de CV ADR Ser. L (Mexico) 24,174 1,275,179 -- -- -- --
AT&T, Inc. (SEG) 262,837 8,854,979 241,418 8,133,372 91,690 3,089,036
Atlantic Tele-Network, Inc. 22,018 605,715 14,792 406,928 7,931 218,182
BCE, Inc. (Canada) 12,700 443,764 11,000 384,362 5,900 206,158
Belgacom SA (Belgium) 14,155 606,970 12,279 526,526 3,759 161,187
Brasil Telecom SA (Preference) (Brazil) 107,200 1,160,444 -- -- -- --
Centennial Communications Corp. (NON) 126,075 881,264 86,273 603,048 40,498 283,081
China Mobile, Ltd. (Hong Kong) 187,500 2,520,232 -- -- -- --
China Netcom Group Corp., Ltd. (Hong Kong) 226,000 615,950 -- -- -- --
Chunghwa Telecom Co., Ltd. (Taiwan) 362,000 936,341 -- -- -- --
Chunghwa Telecom Co., Ltd. ADR (Taiwan) 9,700 246,089 -- -- -- --
Comcast Corp. Class A (SG) (SB) (SC) 75,750 1,436,978 70,097 1,329,740 26,788 508,168
DirecTV Group, Inc. (The) (NON) 121,391 3,145,241 112,917 2,925,679 41,885 1,085,240
DISH Network Corp. Class A (NON) 36,847 1,078,880 34,902 1,021,931 13,324 390,127
Embarq Corp. 18,923 894,490 17,350 820,135 6,646 314,156
Empressa Nacional de Telecomunicaciones SA (Chile) 46,672 639,123 -- -- -- --
Fairpoint Communications, Inc. (SG) 4,634 33,411 4,103 29,583 1,469 10,591
France Telecom SA (France) 263,116 7,725,987 213,893 6,280,631 68,152 2,001,176
Globe Telecom, Inc. (Philippines) 39,650 1,042,491 -- -- -- --
InterDigital, Inc. (NON) (SG) 95,731 2,328,178 84,164 2,046,868 33,453 813,577
j2 Global Communications, Inc. (NON) 41,399 952,177 30,359 698,257 13,307 306,061
KDDI Corp. (Japan) 1,312 8,118,015 1,066 6,595,888 329 2,035,691
Koninklijke (Royal) KPN NV (Netherlands) 28,331 484,463 24,311 415,720 12,806 218,984
Liberty Global, Inc. Class A (NON) (SG) (SB) 77,369 2,431,708 71,074 2,233,856 27,220 855,525
Nice Systems, Ltd. ADR (Israel) (NON) 47,398 1,401,559 32,000 946,240 16,136 477,142
Nippon Telegraph & Telephone (NTT) Corp. (Japan) 843 4,134,692 706 3,462,743 255 1,250,707
Novatel Wireless, Inc. (NON) 36,208 402,995 24,846 276,536 11,631 129,453
NTELOS Holdings Corp. 26,619 675,324 18,804 477,057 8,513 215,975
Premiere Global Services, Inc. (NON) 96,948 1,413,502 72,612 1,058,683 31,190 454,750
Rogers Communications Class B (Canada) 20,200 785,445 17,800 692,125 9,300 361,616
StarHub, Ltd. (Singapore) 231,000 484,223 198,000 415,049 104,000 218,005
Syniverse Holdings, Inc. (NON) 53,517 866,975 39,498 639,868 17,230 279,126
Telefonica SA (Spain) 111,731 2,953,774 93,553 2,473,212 36,399 962,261
Telekom Austria AG (Austria) 15,127 327,439 10,873 235,357 3,519 76,172
Telekomunikacja Polska SA (Poland) 129,771 1,266,693 -- -- -- --
Telephone and Data Systems, Inc. (SB) (SC) 10,942 517,228 10,461 494,491 3,515 166,154
USA Mobility, Inc. (NON) 54,701 412,993 50,837 383,819 19,475 147,036
Verizon Communications, Inc. 235,319 8,330,293 215,326 7,622,540 82,525 2,921,385
Vodafone Group PLC (United Kingdom) 537,598 1,585,107 467,175 1,377,465 250,554 738,758
    74,037,107   55,026,066   20,907,577
 
Conglomerates   2.1%   2.1%   1.4%
3M Co. 58,745 4,088,065 52,999 3,688,200 20,354 1,416,435
AMETEK, Inc. 10,244 483,722 6,923 326,904 3,290 155,354
Ansell, Ltd. (Australia) 98,257 872,192 85,237 756,618 30,762 273,063
Bouygues SA (France) 88,813 5,856,787 71,808 4,735,389 22,671 1,495,043
General Electric Co. (SEG) 210,905 5,629,054 193,843 5,173,670 74,245 1,981,599
Honeywell International, Inc. 102,511 5,154,253 85,098 4,278,727 34,019 1,710,475
Investor AB Class B (Sweden) 266,200 5,590,947 216,000 4,536,606 66,600 1,398,787
Itochu Corp. (Japan) 343,000 3,659,055 283,000 3,018,987 86,000 917,431
Mitsubishi Corp. (Japan) 149,600 4,938,691 125,800 4,152,990 49,500 1,634,126
Swire Pacific, Ltd. (Hong Kong) 639,500 6,541,077 519,000 5,308,552 162,000 1,657,005
Vivendi SA (France) 141,742 5,367,489 118,826 4,499,705 47,534 1,800,019
Walter Industries, Inc. 17,968 1,954,379 15,956 1,735,534 6,624 720,492
    50,135,711   42,211,882   15,159,829
 
Consumer Cyclicals   5.9%   5.4%   4.0%
Aaron Rents, Inc. (SG) (SB) (SC) 24,158 539,448 23,562 526,139 8,974 200,389
Adidas-Salomon AG (Germany) 3,879 244,300 2,798 176,219 801 50,447
Aeropostale, Inc. (NON) (SEG) (SG) 68,840 2,156,757 55,295 1,732,392 23,445 734,532
Aisin Seiki Co., Ltd. (Japan) 41,100 1,349,066 33,900 1,112,733 10,500 344,652
Amazon.com, Inc. (NON) (SEG) (SG) (SB) 41,223 3,022,883 38,422 2,817,485 14,310 1,049,352
American Woodmark Corp. (SG) (SB) (SC) 45,336 957,950 44,287 935,784 15,791 333,664
Astral Media, Inc. (Canada) 8,700 273,895 7,400 232,968 3,900 122,781
Bally Technologies, Inc. (NON) 31,732 1,072,542 28,223 953,937 11,088 374,774
Barratt Developments PLC (United Kingdom) 41,414 46,986 35,949 40,786 18,951 21,501
Bayerische Motoren Werke (BMW) AG (Germany) 9,300 446,431 8,300 398,427 4,400 211,215
Buckle, Inc. (The) (SG) (SB) 67,551 3,089,107 52,589 2,404,895 23,501 1,074,701
Callaway Golf Co. 19,431 229,869 16,230 192,001 6,281 74,304
Casey's General Stores, Inc. 10,592 245,417 11,830 274,101 3,408 78,963
Cash America International, Inc. 16,890 523,590 11,213 347,603 6,012 186,372
Charlotte Russe Holding, Inc. (NON) 93,526 1,661,022 76,263 1,354,431 31,993 568,196
Childrens Place Retail Stores, Inc. (The) (NON) 20,921 755,248 18,607 671,713 7,310 263,891
Coach, Inc. (NON) 128,932 3,723,556 106,265 3,068,933 41,452 1,197,134
Consolidated Graphics, Inc. (NON) 15,885 782,654 10,837 533,939 5,810 286,259
CTC Media, Inc. (Russia) (NON) 79,722 1,965,945 34,413 848,625 13,127 323,712
Daily Mail and General Trust Class A (United Kingdom) 73,666 458,227 63,905 397,510 19,194 119,393
DaimlerChrysler AG (Germany) 12,003 741,129 10,432 644,127 5,566 343,674
Davis Service Group PLC (United Kingdom) 74,699 662,858 64,801 575,026 20,704 183,721
De La Rue PLC (United Kingdom) 27,271 484,373 23,401 415,636 12,327 218,946
Deckers Outdoor Corp. (NON) (SC) 27,730 3,860,016 23,745 3,305,304 9,726 1,353,859
Deluxe Corp. (SG) 49,014 873,429 35,725 636,620 17,123 305,132
Desarrolladora Homex SA de CV ADR (Mexico) (NON) (SG) 16,013 938,042 -- -- -- --
Dolby Laboratories, Inc. Class A (NON) 31,684 1,276,865 28,939 1,166,242 11,122 448,217
Dollar Tree, Inc. (NON) 70,455 2,303,174 65,111 2,128,479 24,184 790,575
Dongfeng Motor Group Co., Ltd. (China) 578,000 231,292 502,000 200,880 264,000 105,642
Dress Barn, Inc. (NON) 6,128 81,993 5,182 69,335 2,020 27,028
DSW, Inc. Class A (NON) (SG) (SB) (SC) 33,111 390,048 22,398 263,848 10,635 125,280
Esprit Holdings, Ltd. (Hong Kong) 103,500 1,075,235 89,000 924,598 46,500 483,077
Exide Technologies (NON) 30,960 518,890 27,200 455,872 14,448 242,148
Expedia, Inc. (NON) 59,689 1,097,084 55,824 1,026,045 21,373 392,836
Experian Group, Ltd. (Ireland) 68,376 505,668 59,316 438,666 18,126 134,049
EZCORP, Inc. Class A (NON) 97,276 1,240,269 65,596 836,349 33,421 426,118
Family Dollar Stores, Inc. (SG) (SB) 49,801 993,032 47,709 951,317 18,178 362,469
Fiat SpA (Italy) 398,113 6,501,309 323,730 5,286,611 99,711 1,628,312
Focus Media Holding, Ltd. ADR (China) (NON) (SG) (SB)            
(SC) 43,834 1,215,078 5,200 144,144 2,700 74,844
Fossil, Inc. (NON) 34,004 988,496 31,087 903,699 11,820 343,607
GameStop Corp. (NON) (SG) (SB) 53,607 2,165,723 47,065 1,901,426 18,747 757,379
Genesco, Inc. (NON) (SG) (SB) 24,810 765,885 16,710 515,838 9,000 277,830
Genting Berhad (Malaysia) 578,100 991,534 -- -- -- --
Gildan Activewear, Inc. (Canada) (NON) 21,600 556,454 18,300 471,440 9,700 249,889
Gymboree Corp. (The) (NON) 41,422 1,659,780 32,096 1,286,087 13,810 553,367
Hasbro, Inc. (SG) (SB) (SC) 44,373 1,585,004 40,280 1,438,802 15,372 549,088
Healthcare Services Group, Inc. (SG) (SB) 21,680 329,753 14,568 221,579 7,811 118,805
Helen of Troy, Ltd. (Bermuda) (NON) 4,903 79,036 4,107 66,205 1,596 25,728
Hillenbrand, Inc. 30,200 646,280 20,400 436,560 10,900 233,260
Home Retail Group (United Kingdom) 65,762 284,152 57,048 246,499 18,126 78,321
Hooker Furniture Corp. 24,700 427,804 16,714 289,486 8,961 155,205
ICF International, Inc. (NON) 23,661 393,246 16,212 269,443 7,600 126,312
J Crew Group, Inc. (NON) (SG) (SB) 18,731 618,310 17,696 584,145 6,768 223,412
Jakks Pacific, Inc. (NON) 57,920 1,265,552 46,173 1,008,880 20,958 457,932
JC Decaux SA (France) 10,396 264,789 8,921 227,221 4,699 119,685
Jos. A. Bank Clothiers, Inc. (NON) (SG) (SB) (SC) 21,534 576,035 14,607 390,737 7,832 209,506
Kuoni Reisen Holding AG (Switzerland) 1,363 653,816 1,182 566,993 343 164,533
Landauer, Inc. 17,091 961,198 11,589 651,765 6,213 349,419
Lear Corp. (NON) (SG) (SB) (SC) 29,577 419,402 27,130 384,703 10,272 145,657
Lennox International, Inc. 21,930 635,093 14,780 428,029 7,950 230,232
LG Corp. (South Korea) 23,240 1,508,745 -- -- -- --
Maidenform Brands, Inc. (NON) 39,163 528,701 27,080 365,580 12,580 169,830
Manpower, Inc. 12,955 754,499 12,124 706,102 4,654 271,049
Marvel Entertainment, Inc. (NON) (SG) (SB) (SC) 45,774 1,471,176 34,071 1,095,042 14,745 473,904
Matsushita Electric Industrial Co., Ltd. (Japan) 576,000 12,441,426 469,000 10,130,258 155,000 3,347,953
Mattel, Inc. 129,880 2,223,546 116,534 1,995,062 44,652 764,442
Maximus, Inc. 19,169 667,465 16,034 558,304 6,176 215,048
Mediaset SpA (Italy) 49,411 324,887 42,864 281,839 13,120 86,267
Men's Wearhouse, Inc. (The) (SG) 27,482 447,682 24,833 404,530 9,540 155,407
Monro Muffler, Inc. 34,160 529,138 23,095 357,742 12,383 191,813
Morningstar, Inc. (NON) (SG) (SB) 22,646 1,631,191 18,215 1,312,026 7,765 559,313
Naspers, Ltd. Class N (South Africa) 67,994 1,489,042 -- -- -- --
NBTY, Inc. (NON) 41,135 1,318,788 36,760 1,178,526 14,108 452,302
Next PLC (United Kingdom) 96,312 1,858,162 79,507 1,533,941 24,428 471,293
NIKE, Inc. Class B (SB) (SC) 32,908 1,961,646 30,600 1,824,066 11,746 700,179
Nissha Printing Co., Ltd. (Japan) 6,000 345,784 5,100 293,916 2,700 155,603
Onward Kashiyama Co., Ltd. (Japan) 44,000 462,743 39,000 410,158 21,000 220,855
PC Mall, Inc. (NON) 35,621 483,021 24,404 330,918 11,410 154,720

Perry Ellis International, Inc. (NON) 53,961 1,145,052 41,302 876,428 19,346 410,522
Phillips-Van Heusen Corp. (SG) (SB) (SC) 54,177 1,983,962 36,970 1,353,841 18,653 683,073
Praktiker Bau- und Heimwerkermaerkte AG (Germany) 18,355 386,020 15,934 335,105 8,393 176,511
Priceline.com, Inc. (NON) (SG) (SB) (SC) 26,637 3,075,508 22,715 2,622,674 9,110 1,051,841
RadioShack Corp. (SG) (SB) (SC) 52,163 640,040 47,611 584,187 16,825 206,443
Renault SA (France) 4,113 336,598 3,571 292,242 1,881 153,936
Rent-A-Center, Inc. (NON) 31,914 656,471 21,540 443,078 11,549 237,563
S.A. D'Ieteren NV (Belgium) 1,779 490,267 1,544 425,504 473 130,352
Scholastic Corp. (NON) 20,882 598,478 14,006 401,412 7,509 215,208
Skechers U.S.A., Inc. Class A (NON) -- -- 4,400 86,944 1,600 31,616
Sony Corp. (Japan) 49,200 2,153,254 40,600 1,776,872 12,300 538,314
Standard Parking Corp. (NON) 31,558 574,356 21,578 392,720 10,137 184,493
Stantec, Inc. (Canada) (NON) 16,648 428,554 14,437 371,639 7,348 189,153
Steven Madden, Ltd. (NON) 91,392 1,679,785 72,571 1,333,855 31,897 586,267
Suzuki Motor Corp. (Japan) 16,900 400,104 14,700 348,019 7,700 182,296
Target Corp. 23,019 1,070,153 20,629 959,042 7,952 369,688
Tenneco Automotive, Inc. (NON) 28,015 379,043 24,500 331,485 12,935 175,011
Thomas Cook Group PLC (United Kingdom) 842,779 3,925,473 688,529 3,207,012 213,759 995,641
TJX Cos., Inc. (The) 33,784 1,063,182 31,187 981,455 11,964 376,507
Toro Co. (The) (SG) (SB) (SC) 36,126 1,201,912 24,793 824,863 12,324 410,019
Town Sports International Holdings, Inc. (NON) 54,790 511,739 37,460 349,876 17,580 164,197
Toyota Motor Corp. (Japan) 8,400 396,944 7,300 344,963 2,200 103,962
True Religion Apparel, Inc. (NON) (SG) (SB) (SC) 25,116 669,341 17,272 460,299 8,067 214,986
TUI Travel PLC (United Kingdom) 169,014 687,423 146,619 596,336 43,950 178,756
Tupperware Brands Corp. 31,100 1,064,242 27,700 947,894 10,800 369,576
Urban Outfitters, Inc. (NON) 61,900 1,930,661 55,300 1,724,807 21,600 673,704
Valeo SA (France) 53,220 1,696,075 43,934 1,400,139 13,221 421,342
Volkswagon AG (Germany) 2,090 602,536 1,791 516,336 520 149,913
Volkswagen AG (Preference) (Germany) 1,582 228,074 1,124 162,045 326 46,999
Wal-Mart Stores, Inc. (SEG) 58,131 3,266,962 51,587 2,899,189 20,155 1,132,711
Walt Disney Co. (The) 77,125 2,406,300 68,166 2,126,779 26,705 833,196
Warnaco Group, Inc. (The) (NON) 69,711 3,072,164 52,448 2,311,383 24,561 1,082,403
Watson Wyatt Worldwide, Inc. Class A 44,529 2,355,139 34,495 1,824,441 15,890 840,422
Wiley (John) & Sons, Inc. Class A 26,870 1,209,956 24,539 1,104,991 9,428 424,543
William Hill PLC (United Kingdom) 96,616 613,001 85,638 543,349 24,196 153,517
WMS Industries, Inc. (NON) 3,503 104,284 2,934 87,345 1,168 34,771
Wolverine World Wide, Inc. 48,846 1,302,723 33,061 881,737 16,718 445,869
    139,555,437   109,787,553   43,596,625
 
Consumer Staples   6.5%   6.2%   4.6%
Acucar Guarani SA (Brazil) (NON) 64,159 405,541 -- -- -- --
Acucar Guarani SA 144A (Brazil) (NON) 50,364 318,344 -- -- -- --
Administaff, Inc. 19,869 554,146 16,621 463,560 6,390 178,217
Alberto-Culver Co. (SG) (SC) 61,026 1,603,153 41,811 1,098,375 20,970 550,882
Alliance One International, Inc. (NON) 94,427 482,522 72,481 370,378 32,079 163,924
Altria Group, Inc. (SEG) 196,421 4,038,416 180,798 3,717,207 68,760 1,413,706
Axfood AB (Sweden) 14,400 476,295 12,600 416,758 3,600 119,074
Barry Callebaut AG (Switzerland) (NON) 595 386,095 510 330,938 268 173,905
BAT Industries PLC (United Kingdom) 23,255 802,457 20,348 702,145 10,719 369,879
Beiersdorf AG (Germany) 11,532 848,523 9,896 728,146 5,212 383,498
Benesse Corp. (Japan) 9,700 393,416 8,200 332,579 4,300 174,401
BJ's Wholesale Club, Inc. (NON) (SB) 22,922 887,081 15,452 597,992 8,285 320,630
Blyth Industries, Inc. 19,869 239,024 20,824 250,513 7,890 94,917
Boston Beer Co., Inc. Class A (NON) 18,140 737,935 12,230 497,516 6,570 267,268
Brinker International, Inc. 49,888 942,883 44,728 845,359 17,130 323,757
Britvic PLC (United Kingdom) 135,510 777,807 116,554 669,003 60,676 348,271
Cal-Maine Foods, Inc. (SG) (SB) 45,708 1,507,907 34,996 1,154,518 15,197 501,349
Campbell Soup Co. 17,331 579,895 16,913 565,909 6,440 215,482
Carrefour Supermarche SA (France) 977 55,108 839 47,324 442 24,931
CBRL Group, Inc. 44,987 1,102,631 42,332 1,037,557 16,184 396,670
CEC Entertainment, Inc. (NON) 39,560 1,108,076 36,173 1,013,206 13,877 388,695
Central European Distribution Corp. (NON) 14,300 1,060,345 9,800 726,670 4,600 341,090
Chattem, Inc. (NON) (SG) (SB) (SC) 17,940 1,166,997 12,376 805,059 5,762 374,818
Coca-Cola Co. (The) 23,720 1,232,966 22,878 1,189,198 8,166 424,469
Coca-Cola Hellenic Bottling Co., SA (Greece) 14,680 398,479 12,600 342,019 6,640 180,238
Colgate-Palmolive Co. (SEG) 51,287 3,543,932 48,002 3,316,938 17,908 1,237,443
Colruyt SA (Belgium) 22,336 5,878,852 18,004 4,738,666 5,594 1,472,345
Cosan, Ltd. Class A (Brazil) (NON) 76,554 968,408 67,200 850,080 35,306 446,621
Denny's Corp. (NON) 183,352 520,720 124,184 352,683 66,585 189,101
DeVry, Inc. 8,579 460,006 7,137 382,686 2,768 148,420
Domino's Pizza, Inc. (NON) (SG) (SB) (SC) 32,675 375,763 22,141 254,622 11,871 136,517
Energizer Holdings, Inc. (NON) 7,851 573,830 6,900 504,321 3,639 265,975
Estee Lauder Cos., Inc. (The) Class A (SG) (SB) (SC) 53,214 2,471,790 48,785 2,266,063 18,645 866,060
Flowers Foods, Inc. 27,698 784,961 18,797 532,707 10,078 285,611
Fomento Economico Mexicano SA de CV ADR (Mexico) 50,000 2,275,500 -- -- -- --
Hansen Natural Corp. (NON) (SG) (SB) (SC) 52,000 1,498,640 46,300 1,334,366 18,000 518,760
Heidrick & Struggles International, Inc. (SG) (SB) (SC) 41,223 1,139,404 39,106 1,080,890 14,110 390,000
Heineken NV (Netherlands) 33,581 1,707,354 27,722 1,409,465 8,681 441,367
Herbalife, Ltd. (Cayman Islands) 47,264 1,831,480 42,112 1,631,840 17,537 679,559
Iaws Group PLC (Ireland) 49,077 1,228,060 42,574 1,065,335 12,447 311,463
Imperial Sugar Co. (SG) (SB) (SC) 50,675 786,983 48,491 753,065 18,496 287,243
InBev NV (Belgium) 121,571 8,405,522 98,531 6,812,517 32,010 2,213,199
Inchcape PLC (United Kingdom) 435,624 2,759,351 359,612 2,277,872 112,057 709,797
ITT Educational Services, Inc. (NON) (SG) (SB) (SC) 29,309 2,421,803 24,835 2,052,116 9,978 824,482
Jack in the Box, Inc. (NON) 25,303 567,040 17,048 382,046 9,140 204,827
Japan Tobacco, Inc. (Japan) 86 367,459 75 320,458 40 170,911
Jardine Cycle & Carriage, Ltd. (Singapore) 72,000 900,265 62,000 775,228 18,000 225,066
KAO Corp. (Japan) 84,000 2,206,565 69,000 1,812,535 22,000 577,910
Kerry Group PLC Class A (Ireland) 149,619 4,428,657 123,512 3,655,901 38,677 1,144,822
Koninklijke Ahold NV (Netherlands) 70,843 949,267 61,617 825,642 26,849 359,765
Korn/Ferry International (NON) (SG) (SB) (SC) 51,813 815,018 48,198 758,155 18,418 289,715
Kroger Co. 110,188 3,181,128 98,643 2,847,823 37,865 1,093,163
Kroton Educacional SA (Brazil) (NON) 104,600 2,128,957 -- -- -- --
Kroton Educacional SA 144A (Brazil) (NON) 10,150 206,586 -- -- -- --
KT&G Corp. (South Korea) 11,030 949,135 -- -- -- --
Longs Drug Stores Corp. 98,325 4,140,466 74,987 3,157,703 32,567 1,371,396
Mannatech, Inc. (SG) (SB) (SC) 78,506 427,073 65,698 357,397 25,343 137,866
Marubeni Corp. (Japan) 262,000 2,191,983 227,000 1,899,161 93,000 778,070
McDonald's Corp. 49,100 2,760,402 44,385 2,495,325 16,965 953,772
Medion AG (Germany) 12,076 189,720 10,363 162,808 5,458 85,748
MWI Veterinary Supply, Inc. (NON) 18,351 607,602 12,789 423,444 5,894 195,150
Nash Finch Co. (SG) (SB) (SC) 76,062 2,606,645 62,033 2,125,871 26,622 912,336
Nestle SA (Switzerland) 37,770 1,705,604 32,540 1,469,429 17,020 768,583
Netflix, Inc. (NON) (SG) (SB) (SC) 50,290 1,311,060 40,650 1,059,746 16,940 441,626
New Oriental Education & Technology Group ADR (China)            
(NON) (SB) 8,497 496,395 5,754 336,149 2,729 159,428
Orkla ASA (Norway) 50,000 640,620 43,450 556,699 22,300 285,716
Papa John's International, Inc. (NON) 29,057 772,626 27,765 738,271 10,571 281,083
Pepsi Bottling Group, Inc. (The) 79,993 2,233,405 65,209 1,820,635 26,572 741,890
PepsiCo, Inc. 36,323 2,309,780 34,120 2,169,691 13,013 827,497
Philip Morris International, Inc. (SEG) 90,894 4,489,255 86,104 4,252,677 34,612 1,709,487
Prestige Brands Holdings, Inc. (NON) 102,346 1,091,008 68,777 733,163 36,877 393,109
Procter & Gamble Co. (The) 59,196 3,599,709 52,710 3,205,295 20,415 1,241,436
Ralcorp Holdings, Inc. (NON) (SG) (SB) (SC) 15,580 770,275 14,470 715,397 5,506 272,217
Reckitt Benckiser PLC (United Kingdom) 44,422 2,250,859 38,234 1,937,314 20,061 1,016,489
Reynolds American, Inc. 114,476 5,342,595 105,193 4,909,357 40,249 1,878,421
Robert Half International, Inc. 43,849 1,051,061 42,332 1,014,698 15,161 363,409
Ruby Tuesday, Inc. (SG) (SB) 95,030 513,162 64,040 345,816 34,430 185,922
Safeway, Inc. 146,835 4,192,139 133,444 3,809,826 50,781 1,449,798
Sanderson Farms, Inc. 4,553 157,170 5,769 199,146 2,189 75,564
Sara Lee Corp. 163,750 2,005,938 147,623 1,808,382 56,618 693,571
Sinclair Broadcast Group, Inc. Class A (SG) 133,343 1,013,407 99,837 758,761 46,168 350,877
Snow Brand Milk Products Co., Ltd. (Japan) 164,000 592,454 140,000 505,754 74,000 267,327
Sonic Corp. (NON) (SG) (SB) 40,436 598,453 37,639 557,057 14,394 213,031
Spartan Stores, Inc. 38,204 878,692 25,909 595,907 13,892 319,516
Suedzucker AG (Germany) 82,424 1,491,807 67,031 1,213,206 20,971 379,558
Time Warner, Inc. 310,886 4,601,113 283,535 4,196,318 108,610 1,607,428
Toyo Suisan Kaisha, Ltd. (Japan) 239,000 5,410,300 200,000 4,527,448 80,000 1,810,979
TrueBlue, Inc. (NON) 76,057 1,004,713 67,946 897,567 26,094 344,702
Unilever NV (Netherlands) 21,606 612,892 18,743 531,678 5,737 162,740
Universal Corp. (SG) 14,967 676,808 14,274 645,470 5,494 248,439
VFB, LLC (F)(RES)(NON) -- -- -- -- 254,213 5,259
WM Morrison Supermarkets PLC (United Kingdom) 88,037 466,147 76,504 405,081 39,244 207,793
Wolseley PLC (United Kingdom) 168,430 1,253,118 136,975 1,019,093 42,855 318,841
Woolworths, Ltd. (Australia) 275,364 6,453,918 222,600 5,217,248 69,742 1,634,597
Yum! Brands, Inc. 73,272 2,571,114 69,335 2,432,965 26,540 931,289
    153,919,966   126,102,902   49,242,173
 
Energy   9.2%   7.7%   5.9%
Alliance Resource Partners, LP 15,120 841,882 10,210 568,493 5,500 306,240
Alpha Natural Resources, Inc. (NON) 44,918 4,684,498 40,000 4,171,600 16,005 1,669,161
Arch Coal, Inc. 4,798 359,994 4,300 322,629 2,233 167,542
Aventine Renewable Energy Holdings, Inc. (NON) (SG)            
(SB) (SC) 66,280 291,632 57,500 253,000 30,292 133,285
Ballard Power Systems, Inc. (Canada) (NON) 25,913 108,057 23,600 98,412 12,046 50,232
Basic Energy Services, Inc. (NON) 35,646 1,122,849 24,511 772,097 11,450 360,675
BG Group PLC (United Kingdom) 34,811 907,422 29,871 778,651 15,735 410,166
BP PLC (United Kingdom) 603,663 7,007,899 508,174 5,899,371 200,852 2,331,683
Canadian Solar, Inc. (China) (NON) (SG) (SB) (SC) 5,180 208,184 4,700 188,893 2,408 96,778
Centennial Coal Co., Ltd. (Australia) (SG) (SC) 35,502 190,580 30,806 165,372 16,433 88,215
Chevron Corp. (SEG) 151,412 15,009,472 139,199 13,798,797 52,975 5,251,412
China Coal Energy Co. (China) 222,000 388,370 196,000 342,885 103,000 180,190
China Petroleum & Chemical Corp. (China) 3,353,000 3,139,312 494,000 462,517 264,000 247,175
China Petroleum & Chemical Corp. ADR (China) 2,100 195,069 -- -- -- --
China Shenhua Energy Co., Ltd. (China) 434,000 1,703,292 128,500 504,316 68,000 266,875
China Sunergy Co., Ltd. ADR (China) (NON) 15,979 132,146 13,900 114,953 7,411 61,289
CNOOC, Ltd. (Hong Kong) 1,107,000 1,905,365 -- -- -- --
Complete Production Services, Inc. (NON) 27,759 1,010,983 18,831 685,825 8,916 324,721
Comstock Resources, Inc. (NON) 21,749 1,836,268 15,145 1,278,692 6,986 589,828
ConocoPhillips (SEG) 85,095 8,032,117 77,361 7,302,105 29,671 2,800,646
CONSOL Energy, Inc. (SEG) 3,982 447,457 3,500 393,295 1,833 205,974
Core Laboratories NV (Netherlands) (NON) (SG) 13,354 1,900,942 8,959 1,275,314 4,289 610,539
Delek US Holdings, Inc. 24,421 224,917 20,433 188,188 7,879 72,566
Devon Energy Corp. 6,478 778,396 5,378 646,220 2,127 255,580
Dresser-Rand Group, Inc. (NON) 75,793 2,963,506 69,999 2,736,961 25,989 1,016,170
ENI SpA (Italy) 197,815 7,352,679 159,962 5,945,703 49,413 1,836,655
ENSCO International, Inc. 30,458 2,459,179 28,645 2,312,797 10,398 839,535
Ersol Solar Energy AG (Germany) (NON) 2,060 327,494 1,787 284,093 942 149,757
Evergreen Solar, Inc. (NON) (SG) (SB) (SC) 19,963 193,441 17,300 167,637 9,133 88,499
Exxon Mobil Corp. (SEG) 318,684 28,085,621 258,347 22,768,121 105,263 9,276,828
Felix Resources, Ltd. (Australia) 11,623 189,411 10,086 164,363 5,391 87,853
First Solar, Inc. (NON) (SG) (SB) (SC) 6,973 1,902,374 6,161 1,680,844 2,603 710,150
Foundation Coal Holdings, Inc. 3,017 267,246 2,600 230,308 1,383 122,506
Fred Olsen Energy ASA (Norway) 11,000 667,878 9,500 576,804 5,000 303,581
Frontier Oil Corp. 63,212 1,511,399 42,321 1,011,895 21,684 518,464
FuelCell Energy, Inc. (NON) (SG) (SB) (SC) 95,264 676,374 83,400 592,140 44,044 312,712
Fushan International Energy Group, Ltd. (Hong Kong)            
(NON) 214,000 164,681 186,000 143,134 100,000 76,954
Gazprom (Russia) 583,476 8,506,304 -- -- -- --
Gloucester Coal, Ltd. (Australia) 11,977 148,107 10,393 128,519 5,303 65,577
Halliburton Co. 8,491 450,617 9,484 503,316 3,566 189,248
Headwaters, Inc. (NON) (SG) (SB) (SC) 68,654 808,058 59,900 705,023 31,663 372,674
Helmerich & Payne, Inc. 22,810 1,642,776 15,381 1,107,740 8,247 593,949

Hidili Industry International Development, Ltd. (China) 107,000 186,638 93,000 162,218 50,000 87,214
Holly Corp. 34,603 1,277,543 29,748 1,098,296 12,104 446,880
Inpex Holdings, Inc. (Japan) 44 556,121 38 480,287 20 252,782
International Coal Group, Inc. (NON) (SG) (SB) (SC) 79,074 1,031,916 57,510 750,506 28,101 366,718
ION Geophysical Corp. (NON) (SG) (SB) 95,649 1,669,075 65,940 1,150,653 30,724 536,134
JA Solar Holdings Co., Ltd. ADR (China) (NON) 62,893 1,059,747 44,444 748,881 21,638 364,600
James River Coal Co. (NON) 5,188 304,484 4,500 264,105 2,297 134,811
LDK Solar Co., Ltd. ADR (China) (NON) (SG) (SB) (SC) 8,729 330,655 7,600 287,888 4,044 153,187
Lufkin Industries, Inc. 9,615 800,737 6,523 543,235 3,088 257,169
Lukoil (Russia) 45,358 4,456,414 9,500 933,373 5,000 491,249
Lukoil ADR (Russia) 19,502 1,925,823 6,000 592,500 3,140 310,075
MacArthur Coal, Ltd. (Australia) 11,982 193,768 10,397 168,136 5,526 89,364
Marathon Oil Corp. 161,405 8,372,077 148,034 7,678,524 56,072 2,908,455
Mariner Energy, Inc. (NON) (SG) (SB) 44,435 1,642,762 30,386 1,123,370 14,273 527,673
Massey Energy Co. (SEG) 38,179 3,579,281 34,100 3,196,875 13,768 1,290,750
McMoRan Exploration Co. (NON) (SG) (SB) (SC) 53,162 1,463,018 41,942 1,154,244 17,831 490,709
Nexen, Inc. (Canada) 15,900 635,437 13,900 555,508 7,200 287,745
Noble Corp. 23,457 1,523,767 21,411 1,390,859 8,161 530,139
Occidental Petroleum Corp. 44,112 3,963,904 41,159 3,698,548 15,266 1,371,803
Oil States International, Inc. (NON) (SG) (SC) 12,956 821,929 8,775 556,686 4,161 263,974
Patriot Coal Corp. (NON) 2,673 409,744 2,300 352,567 1,235 189,313
Peabody Energy Corp. 5,473 481,898 4,800 422,640 2,518 221,710
Petroleo Brasileiro SA ADR (Brazil) 49,972 3,539,517 7,000 495,810 3,600 254,988
Petroleo Brasileiro SA ADR (Preference) (Brazil) 76,120 4,411,154 -- -- -- --
Petroleum Geo-Services ASA (Norway) 23,150 566,289 19,850 485,566 10,450 255,625
Q-Cells AG (Germany) (NON) 3,346 338,724 2,964 300,053 1,543 156,202
Queensland Gas Co., Ltd. (Australia) (NON) 41,373 212,975 35,901 184,807 19,114 98,393
Renewable Energy Corp. AS (Norway) (NON) 11,954 308,509 10,400 268,403 5,485 141,557
Repsol YPF SA (Spain) 33,925 1,335,177 29,430 1,158,268 9,018 354,919
Riversdale Mining, Ltd. (Australia) (NON) 16,492 186,707 14,907 168,763 7,606 86,108
Rosetta Resources, Inc. (NON) 17,243 491,426 19,260 548,910 7,338 209,133
Royal Dutch Shell PLC Class A (Netherlands) 58,431 2,399,908 48,236 1,981,174 14,527 596,660
Royal Dutch Shell PLC Class B (Netherlands) 230,767 9,281,012 188,398 7,577,011 64,008 2,574,281
S-Oil Corp. (South Korea) 17,926 1,151,761 -- -- -- --
Sasol, Ltd. (South Africa) 53,886 3,187,607 -- -- -- --
Sasol, Ltd. ADR (South Africa) 7,679 452,600 6,800 400,792 3,552 209,355
Seadrill, Ltd. (Bermuda) 15,846 484,875 13,597 416,057 7,162 219,152
Solar Millennium AG (Germany) (NON) 3,273 139,663 2,840 121,187 1,507 64,306
Solarfun Power Holdings Co., Ltd. ADR (China) (NON)            
(SG) (SB) (SC) 13,738 240,415 11,900 208,250 6,300 110,250
Solaria Energia y Medio Ambiente SA (Spain) (NON) (SG)            
(SB) (SC) 11,927 171,419 10,629 152,763 5,566 79,996
Solon AG Fuer Solartechnik (Germany) (NON) (SG) (SB)            
(SC) 2,149 197,659 1,865 171,537 989 90,965
StatoilHydro ASA (Norway) 302,420 11,305,865 247,572 9,255,392 84,907 3,174,218
Stone Energy Corp. (NON) 38,561 2,541,556 29,779 1,962,734 13,210 870,671
Suncor Energy, Inc. (Canada) 21,400 1,245,213 18,400 1,070,651 9,600 558,600
Sunoco, Inc. (SB) (SC) 84,200 3,426,098 75,000 3,051,750 29,100 1,184,079
Sunpower Corp. Class A (NON) (SG) (SB) (SC) 4,392 316,136 3,800 273,524 2,014 144,968
Suntech Power Holdings Co., Ltd. ADR (China) (NON) (SG) 6,872 257,425 6,000 224,760 3,177 119,010
Swift Energy Co. (NON) (SG) (SB) 17,393 1,148,982 11,496 759,426 6,163 407,128
Tesoro Corp. (SG) (SB) (SC) 54,600 1,079,442 49,200 972,684 18,900 373,653
Theolia SA (France) (NON) (SG) (SB) (SC) 13,828 365,252 11,999 316,941 6,377 168,442
Tidewater, Inc. 84,370 5,486,581 77,234 5,022,527 29,558 1,922,157
TMK OAO GDR (Russia) 37,319 1,466,529 -- -- -- --
Total SA (France) 62,316 5,314,007 53,737 4,582,431 28,503 2,430,598
Trico Marine Services, Inc. (NON) (SG) 57,677 2,100,596 53,673 1,954,771 20,533 747,812
Trina Solar, Ltd. ADR (China) (NON) (SG) (SB) (SC) 4,397 134,724 3,800 116,432 2,028 62,138
UK Coal PLC (United Kingdom) (NON) 13,973 155,175 12,125 134,652 6,481 71,974
Unit Corp. (NON) 14,779 1,226,214 10,082 836,504 5,405 448,453
Vaalco Energy, Inc. (NON) 73,220 620,173 49,300 417,571 26,530 224,709
Valero Energy Corp. 44,400 1,828,392 40,000 1,647,200 15,400 634,172
VeraSun Energy Corp. (NON) (SG) (SB) (SC) 98,422 406,483 86,000 355,180 45,498 187,907
Vestas Wind Systems A/S (Denmark) (NON) 3,000 391,622 2,550 332,879 1,350 176,230
Yanzhou Coal Mining Co., Ltd. (China) 204,000 379,382 176,000 327,310 94,000 174,813
Yingli Green Energy Holding Co., Ltd. ADR (China)            
(NON) (SG) (SB) (SC) 13,039 207,581 11,600 184,672 6,061 96,491
    217,931,811   157,020,264   64,294,451
 
Financial   11.5%   10.3%   7.7%
3i Group PLC (United Kingdom) 402,598 6,582,301 328,829 5,376,210 109,321 1,787,350
Acadia Realty Trust (R) 23,030 533,145 15,716 363,825 8,426 195,062
ACE, Ltd. (Bermuda) 7,000 385,630 6,100 336,049 3,100 170,779
Advanta Corp. Class B 79,370 499,237 53,440 336,138 28,653 180,227
Agree Realty Corp. (R) 18,548 408,983 12,673 279,440 6,795 149,830
Allianz SE (Germany) 11,043 1,940,934 9,346 1,642,667 3,877 681,427
Allied Irish Banks PLC (Ireland) 113,652 1,752,357 95,700 1,475,562 37,541 578,830
Allied World Assurance Company Holdings, Ltd. (Bermuda) 12,017 476,114 8,211 325,320 4,402 174,407
Allstate Corp. (The) (SEG) 99,511 4,536,706 91,214 4,158,446 34,355 1,566,244
Alpha Bank AE (Greece) 12,310 370,013 10,710 321,920 5,680 170,729
American Financial Group, Inc. 76,866 2,056,166 70,498 1,885,822 26,960 721,180
Ameriprise Financial, Inc. (SEG) 52,328 2,128,180 56,964 2,316,726 19,519 793,838
Amerisafe, Inc. (NON) 41,185 656,489 27,832 443,642 14,923 237,873
Annaly Capital Management, Inc. (R) 190,900 2,960,859 171,900 2,666,169 66,200 1,026,762
Arbor Realty Trust, Inc (R) 32,717 293,471 22,351 200,488 11,984 107,496
Arch Capital Group, Ltd. (Bermuda) (NON) 32,034 2,124,495 29,232 1,938,666 11,229 744,707
Aspen Insurance Holdings, Ltd. (Bermuda) 48,977 1,159,286 39,533 935,746 18,142 429,421
Asta Funding, Inc. (SEG) 40,730 369,014 33,383 302,450 14,717 133,336
Axa SA (France) 42,072 1,240,406 36,739 1,083,173 19,599 577,836
Banco do Brasil SA (Brazil) 130,000 2,129,612 -- -- -- --
Banco Latinoamericano de Exportaciones SA Class E            
(Panama) 35,590 576,202 23,836 385,905 12,780 206,908
Banco Santander Central Hispano SA (Spain) 156,606 2,858,271 135,164 2,466,925 71,550 1,305,884
Bank of America Corp. (SEG) 133,579 3,188,531 122,100 2,914,527 46,139 1,101,338
Bank of the Ozarks, Inc. (SG) (SB) (SC) 20,940 311,168 14,080 209,229 7,549 112,178
Bank Rakyat Indonesia (Indonesia) 2,258,000 1,249,680 -- -- -- --
Barclays PLC (United Kingdom) 1,273,194 7,375,972 1,037,685 6,011,602 341,037 1,975,724
Barclays PLC (Subscription shares) (United Kingdom)            
(F)(NON) 272,827 38,746 222,361 31,579 73,079 10,378
Barclays PLC ADR (United Kingdom) (SG) (SB) (SC) 85,900 1,988,585 76,500 1,770,975 29,700 687,555
BNP Paribas SA (France) 96,850 8,679,489 79,352 7,111,356 28,390 2,544,251
Boston Properties, Inc. (R) 2,102 189,642 1,761 158,877 641 57,831
Calamos Asset Management, Inc. Class A 40,436 688,625 33,924 577,726 12,994 221,288
Capital Trust, Inc. Class A (R) 12,371 237,647 8,387 161,114 4,496 86,368
Cathay General Bancorp (SG) (SB) (SC) 20,094 218,422 13,474 146,462 7,224 78,525
CB Richard Ellis Group, Inc. Class A (NON) 118,851 2,281,939 107,393 2,061,946 41,154 790,157
CBL & Associates Properties (R) 15,081 344,450 10,365 236,737 5,557 126,922
Center Financial Corp. 25,536 216,290 17,525 148,437 9,396 79,584
China Construction Bank Corp. (China) 2,537,000 2,043,422 -- -- -- --
Chubb Corp. (The) 68,091 3,337,140 61,982 3,037,738 23,738 1,163,399
Citigroup, Inc. (SEG) 147,781 2,476,810 118,819 1,991,406 48,604 814,603
City Bank 22,319 191,943 14,887 128,028 7,982 68,645
City Holding Co. 14,176 577,956 9,705 395,673 5,203 212,126
Colonial Properties Trust (R) 35,350 707,707 23,800 476,476 12,761 255,475
Comerica, Inc. 3,766 96,523 3,130 80,222 1,173 30,064
Commerzbank AG (Germany) 64,985 1,920,646 54,534 1,611,764 27,710 818,975
Corporacion Mapfre SA (Spain) 610,824 2,911,113 504,242 2,403,156 157,125 748,839
Credicorp, Ltd. (Bermuda) 22,500 1,847,700 -- -- -- --
Credit Saison Co., Ltd. (Japan) 13,700 288,163 11,900 250,302 3,400 71,515
Credit Suisse Group (Switzerland) 14,438 656,297 12,546 570,294 6,687 303,966
Daegu Bank (South Korea) 36,850 489,736 32,020 425,545 17,480 232,309
DBS Group Holdings, Ltd. (Singapore) 727,000 10,084,746 592,000 8,212,062 191,000 2,649,500
Deutsche Bank AG (Germany) 6,228 536,731 5,497 473,733 1,549 133,493
Diamond Lease Co., Ltd. (Japan) 61,970 2,694,602 51,160 2,224,558 15,400 669,628
Discover Financial Services 54,220 714,077 49,518 652,152 19,015 250,428
DnB Holdings ASA (Norway) 72,800 924,130 63,200 802,266 33,600 426,521
E*Trade Financial Corp. (NON) 256,567 805,620 173,760 545,606 87,377 274,364
eHealth, Inc. (NON) 15,879 280,423 10,740 189,668 5,100 90,066
Entertainment Properties Trust (R) 25,909 1,280,941 22,626 1,118,629 9,243 456,974
Evercore Partners, Inc. Class A 7,840 74,480 5,424 51,528 2,486 23,617
Fairfax Financial Holdings, Ltd. (Canada) 1,700 436,112 1,470 377,108 780 200,098
FBL Financial Group, Inc. Class A 25,030 497,596 16,820 334,382 9,018 179,278
FCStone Group, Inc. (NON) 15,089 421,436 10,405 290,612 4,846 135,349
Federated Investors, Inc. 46,600 1,603,972 41,600 1,431,872 16,100 554,162
First Industrial Realty Trust (R) 5,341 146,717 4,498 123,560 1,704 46,809
First Mercury Financial Corp. (NON) 31,995 564,392 21,646 381,835 10,277 181,286
First Midwest Bancorp, Inc. 17,768 331,373 14,861 277,158 5,749 107,219
First Niagara Financial Group, Inc. 74,393 956,694 68,533 881,334 26,262 337,729
First Regional Bancorp (NON) 13,673 76,706 9,328 52,330 5,001 28,056
FirstMerit Corp. 42,798 698,035 35,782 583,604 13,741 224,116
GFI Group, Inc. 23,591 212,555 16,105 145,106 7,578 68,278
GLG Partners, Inc. (SG) (SB) (SC) 42,196 329,129 28,828 224,858 13,554 105,721
Globe Trade Centre SA (Poland) (NON)(R) 99,928 1,419,022 -- -- -- --
Goldman Sachs Group, Inc. (The) 38,048 6,654,595 37,461 6,551,929 13,907 2,432,334
Gramercy Capital Corp. (R) 33,871 392,565 28,352 328,600 10,965 127,084
Great Eagle Holdings, Ltd. (Hong Kong) (R) 118,000 348,087 103,000 303,839 54,000 159,294
Green Bankshares, Inc. 33,850 474,577 22,780 319,376 12,290 172,306
Greenhill & Co., Inc. 11,852 638,349 8,113 436,966 3,807 205,045
Guangzhou R&F Properties Co., Ltd. (China) 539,600 1,006,270 -- -- -- --
Guoco Group, Ltd. (Hong Kong) 55,000 557,625 49,000 496,794 26,000 263,605
Hancock Holding Co. 15,143 594,968 14,763 580,038 5,597 219,906
HBOS PLC (United Kingdom) 172,407 944,252 142,324 779,491 43,729 239,498
HBOS PLC (Rights) (United Kingdom) (NON) 68,962 14,776 56,929 12,198 17,491 3,748
HSBC Holdings PLC (United Kingdom) 81,922 1,263,986 71,155 1,097,861 37,691 581,540
IG Group Holdings PLC (United Kingdom) 116,393 760,652 101,480 663,193 53,456 349,346
Immoeast AG (Austria) (NON) 175,864 1,550,911 -- -- -- --
Immofinanz Immobilien Anlagen AG (Austria) 433,277 4,467,503 353,287 3,642,729 109,894 1,133,113
Industrial & Commercial Bank of China (China) 4,380,000 2,994,190 477,000 326,080 254,000 173,636
ING Canada, Inc. (Canada) 19,300 674,381 16,700 583,532 8,900 310,984
ING Groep NV (Netherlands) 148,941 4,708,160 124,915 3,948,677 48,462 1,531,928
Inland Real Estate Corp. (R) 34,720 500,662 23,508 338,985 12,604 181,750
Integra Bank Corp. 40,779 319,300 27,335 214,033 14,656 114,756
Interactive Brokers Group, Inc. Class A (NON) 35,114 1,128,213 25,874 831,332 11,262 361,848
Interactive Data Corp. 47,497 1,193,600 39,479 992,107 17,289 434,473
Intervest Bancshares Corp. 5,512 28,221 3,746 19,180 2,009 10,286
Investment Technology Group, Inc. (NON) 50,141 1,677,718 41,067 1,374,102 16,927 566,377
Janus Capital Group, Inc. 94,800 2,509,356 85,400 2,260,538 32,900 870,863
Jones Lang LaSalle, Inc. 57,151 3,439,919 52,304 3,148,178 19,723 1,187,127
JPMorgan Chase & Co. 132,332 4,540,311 120,328 4,128,454 46,100 1,581,691
KBC Groupe SA (Belgium) 80,883 8,922,279 66,195 7,302,032 21,920 2,418,016
Knight Capital Group, Inc. Class A (NON) 112,703 2,026,400 102,025 1,834,410 39,254 705,787
Lexington Corporate Properties Trust (R) 50,792 692,295 34,295 467,441 18,388 250,628
Link REIT (The) (Hong Kong) (R) 245,000 558,068 208,000 473,788 110,500 251,700
Lloyds TSB Group PLC (United Kingdom) 94,027 576,642 81,653 500,755 43,306 265,584
Lloyds TSB Group PLC ADR (United Kingdom) (SG) (SB)            
(SC) 45,300 1,117,551 40,300 994,201 15,600 384,852
Loews Corp. 39,911 1,871,826 35,293 1,655,242 13,584 637,090
LPS Brasil Consultoria de Imoveis SA (Brazil) 74,900 1,524,933 -- -- -- --
LTC Properties, Inc. (R) 45,845 1,171,798 31,186 797,114 16,721 427,389
Macquarie Bank, Ltd. (Australia) 10,512 490,136 9,119 425,185 2,791 130,134
Man Group PLC (United Kingdom) 71,295 879,424 62,107 766,090 32,716 403,552
Mastercard, Inc. Class A (SEG) 13,256 3,519,733 10,392 2,759,284 3,995 1,060,752
Medical Properties Trust, Inc. (R) 82,882 838,766 75,767 766,762 29,029 293,773
Mitsubishi Estate Co., Ltd. (Japan) 15,000 343,803 13,000 297,963 7,000 160,441

Morgan Stanley 90,409 3,261,053 72,639 2,620,089 29,676 1,070,413
Muenchener Rueckversicherungs-Gesellschaft AG (Germany) 1,509 264,195 1,100 192,587 300 52,524
Nara Bancorp, Inc. 36,394 390,508 24,214 259,816 12,983 139,308
Nasdaq OMX Group, Inc. (The) (NON) 58,000 1,539,900 52,200 1,385,910 20,100 533,655
National Bank of Greece SA (Greece) 38,143 1,718,575 32,629 1,470,136 17,088 769,919
National Health Investors, Inc. (R) 25,838 736,641 17,620 502,346 9,447 269,334
National Retail Properties, Inc. (R) 52,239 1,091,795 43,197 902,817 19,141 400,047
Nationale A Portefeuille (Belgium) 25,366 1,902,781 20,940 1,570,773 6,433 482,559
Nationwide Financial Services, Inc. Class A 17,417 836,190 16,230 779,202 6,242 299,678
Nationwide Health Properties, Inc. (R) 14,180 446,528 14,861 467,973 5,678 178,800
Navigators Group, Inc. (NON) 18,338 991,169 12,485 674,814 6,694 361,811
Nordea AB (Sweden) 649,026 8,891,968 524,500 7,185,902 161,550 2,213,313
Northern Trust Corp. 34,753 2,383,013 30,540 2,094,128 12,130 831,754
NorthStar Realty Finance Corp. (R) 58,900 490,048 39,760 330,803 21,318 177,366
Odyssey Re Holdings Corp. 50,675 1,798,963 44,776 1,589,548 17,196 610,458
Old Mutual PLC (United Kingdom) 1,336,902 2,450,188 1,103,626 2,022,654 339,087 621,457
Omega Healthcare Investors, Inc. (R) 79,028 1,315,816 65,373 1,088,460 29,464 490,576
Onex Corp (Canada) 11,000 324,681 9,600 283,358 5,100 150,534
optionsXpress Holdings, Inc. 25,196 562,879 17,309 386,683 8,093 180,798
ORIX Corp. (Japan) 20,390 2,921,374 16,990 2,434,240 6,040 865,380
Pacific Capital Bancorp. 83,350 1,148,563 70,062 965,454 29,012 399,785
Philadelphia Consolidated Holding Corp. (NON) 62,997 2,140,008 56,793 1,929,258 23,384 794,354
Pico Holdings, Inc. (NON) 11,921 517,967 10,337 449,143 5,262 228,634
Platinum Underwriters Holdings, Ltd. (Bermuda) 43,717 1,425,611 35,343 1,152,535 15,428 503,107
Prudential PLC (United Kingdom) 74,805 792,858 64,190 680,349 33,813 358,384
PS Business Parks, Inc. (R) 26,966 1,391,446 18,225 940,410 9,107 469,921
Ramco-Gershenson Properties (R) 41,962 861,899 30,993 636,596 14,551 298,878
Realty Income Corp. (R) 3,766 85,714 3,228 73,469 1,173 26,697
Royal Bank of Scotland Group PLC (United Kingdom) 339,592 1,449,374 280,337 1,196,474 87,353 372,821
S&T Bancorp, Inc. 22,064 641,180 14,779 429,478 7,924 230,271
Safety Insurance Group, Inc. 12,686 452,256 8,445 301,064 4,528 161,423
Sai-Soc Assicuratrice Industriale SpA (SAI) (Italy) 65,550 2,160,561 54,100 1,783,163 16,650 548,792
Sberbank RF (Russia) 378,917 1,198,061 -- -- -- --
SeaBright Insurance Holdings, Inc. (NON) 49,967 723,522 33,918 491,133 18,186 263,333
Selective Insurance Group 23,023 431,911 15,640 293,406 8,385 157,303
Senior Housing Properties Trust (R) 41,634 813,112 30,632 598,243 14,457 282,345
Shinhan Financial Group Co., Ltd. (South Korea) 56,830 2,570,092 8,730 394,807 4,600 208,031
Shinhan Financial Group Co., Ltd. ADR (South Korea) 2,318 207,716 -- -- -- --
Sony Financial Holdings, Inc. (Japan) 143 575,939 167 672,600 89 358,451
Sony Financial Holdings, Inc. 144A (Japan) 50 201,377 -- -- -- --
Southwest Bancorp, Inc. 25,737 295,976 17,525 201,538 9,396 108,054
Standard Chartered PLC (United Kingdom) 48,354 1,368,331 40,673 1,150,973 21,432 606,487
State Street Corp. 50,600 3,237,894 45,200 2,892,348 17,500 1,119,825
Sterling Bancshares, Inc. 54,876 498,823 53,673 487,888 20,478 186,145
Sterling Financial Corp. 31,246 129,358 29,428 121,832 11,214 46,426
Stifel Financial Corp. (NON) 21,523 740,176 14,586 501,613 6,975 239,870
Suffolk Bancorp (SG) (SB) 19,287 566,652 13,040 383,115 6,991 205,396
Sumitomo Mitsui Financial Group, Inc. (Japan) 48 361,743 41 308,989 22 165,799
Sumitomo Realty & Development Co., Ltd. (Japan) 19,000 378,136 17,000 338,332 9,000 179,117
SVB Financial Group (NON) 20,744 997,994 19,163 921,932 7,307 351,540
SWS Group, Inc. 117,062 1,944,400 95,909 1,593,048 41,474 688,883
Tanger Factory Outlet Centers (R) 2,715 97,550 2,347 84,328 853 30,648
Topdanmark A/S (Denmark) (NON) 5,100 768,244 4,450 670,331 2,350 353,995
Toronto-Dominion Bank (Canada) 6,100 385,222 5,200 328,386 2,700 170,508
Travelers Cos., Inc. (The) 28,271 1,226,961 27,081 1,175,315 9,755 423,367
Turkiye Garanti Bankasi AS (Turkey) (NON) 593,872 1,371,770 -- -- -- --
U.S. Bancorp 200,897 5,603,017 177,938 4,962,691 69,301 1,932,805
Unibanco-Uniao de Bancos Brasileiros SA ADR (Brazil) 26,600 3,376,338 4,400 558,492 2,400 304,632
UniCredito Italiano SpA (Italy) 192,037 1,170,134 166,881 1,016,852 88,947 541,979
Universal Health Realty Income Trust (R) 18,097 542,910 12,155 364,650 6,517 195,510
Urstadt Biddle Properties, Inc. Class A (R) 40,717 596,911 27,794 407,460 14,902 218,463
Validus Holdings, Ltd. (Bermuda) 23,739 504,454 15,938 338,683 8,545 181,581
Virginia Commerce Bancorp. (NON) (SG) (SB) (SC) 53,374 277,011 36,056 187,131 19,332 100,333
W.R. Berkley Corp. (SEG) 192,932 4,661,237 178,860 4,321,258 67,367 1,627,587
Waddell & Reed Financial, Inc. Class A 44,084 1,543,381 39,935 1,398,124 15,405 539,329
Westpac Banking Corp. (Australia) 186,757 3,580,505 154,170 2,955,747 47,369 908,158
World Acceptance Corp. (NON) 25,234 849,629 17,243 580,572 9,245 311,279
Zenith National Insurance Corp. 36,188 1,272,370 34,421 1,210,242 13,168 462,987
Zurich Financial Services AG (Switzerland) 27,745 7,097,198 22,813 5,835,587 8,257 2,112,148
    273,150,260   210,472,178   82,952,134
 
Health Care   6.5%   6.3%   4.8%
Aetna, Inc. (SEG) 71,397 2,893,720 67,315 2,728,277 26,643 1,079,841
Albany Molecular Research, Inc. (NON) 31,236 414,502 21,508 285,411 10,033 133,138
Alfresa Holdings Corp. (Japan) 7,900 564,818 6,800 486,172 2,100 150,141
Align Technology, Inc. (NON) (SG) 4,202 44,079 3,520 36,925 1,382 14,497
Alliance Imaging, Inc. (NON) 96,817 839,403 61,903 536,699 33,191 287,766
Alnylam Pharmaceuticals, Inc. (NON) (SG) (SB) (SC) 18,201 486,513 13,094 350,003 9,244 247,092
Alpharma, Inc. Class A (NON) (SB) 25,122 565,999 16,994 382,875 8,069 181,795
Amedisys, Inc. (NON) (SG) (SB) 38,986 1,965,674 29,319 1,478,264 13,941 702,905
American Oriental Bioengineering, Inc. (China) (NON)            
(SG) (SB) 198,888 1,963,025 155,171 1,531,538 69,411 685,087
AMERIGROUP Corp. (NON) (SG) 97,472 2,027,418 81,257 1,690,146 33,000 686,400
Amgen, Inc. (NON) 73,763 3,478,663 65,681 3,097,516 25,438 1,199,656
AMN Healthcare Services, Inc. (NON) 59,366 1,004,473 40,639 687,612 19,018 321,785
Applera Corp.- Applied Biosystems Group 6,304 211,058 5,280 176,774 2,023 67,730
Astellas Pharma, Inc. (Japan) 49,400 2,096,774 42,800 1,816,638 22,500 955,008
AstraZeneca PLC (United Kingdom) 277,218 11,797,755 225,076 9,578,712 71,148 3,027,894
Becton, Dickinson and Co. 43,345 3,523,949 38,729 3,148,668 14,948 1,215,272
Bio-Rad Laboratories, Inc. Class A (NON) 6,473 523,601 4,457 360,527 2,079 168,170
Biogen Idec, Inc. (NON) 58,179 3,251,624 52,393 2,928,245 20,082 1,122,383
Bristol-Myers Squibb Co. 75,582 1,551,698 69,340 1,423,550 26,585 545,790
Cephalon, Inc. (NON) (SG) (SB) 37,800 2,520,882 33,800 2,254,122 13,100 873,639
China Medical Technologies, Inc. ADR (China) (SG) (SB)            
(SC) 49,731 2,456,711 34,018 1,680,489 15,960 788,424
CIGNA Corp. 57,464 2,033,651 51,167 1,810,800 19,817 701,324
Corvel Corp. (NON) 34,042 1,153,003 30,312 1,026,667 11,740 397,634
Cubist Pharmaceuticals, Inc. (NON) 30,162 538,693 21,796 389,277 9,721 173,617
Cutera, Inc. (NON) 33,959 306,650 28,450 256,904 10,967 99,032
Cynosure, Inc. Class A (NON) 40,436 801,442 36,662 726,641 14,094 279,343
Cypress Bioscience, Inc. (NON) (SB) 72,730 522,929 60,907 437,921 23,429 168,455
Daiichi Sankyo Co., Ltd. (Japan) 15,700 433,149 13,700 377,971 3,900 107,598
Eclipsys Corp. (NON) 30,524 560,421 20,717 380,364 9,804 180,001
Eli Lilly & Co. 50,238 2,318,986 46,634 2,152,625 17,787 821,048
Emergent Biosolutions, Inc. (NON) 44,447 441,359 30,391 301,783 14,277 141,771
Enzon Pharmaceuticals, Inc. (NON) (SG) (SB) (SC) 133,458 950,221 102,646 730,840 42,937 305,711
eResearch Technology, Inc. (NON) 69,929 1,219,562 47,927 835,847 22,463 391,755
Forest Laboratories, Inc. (NON) 51,638 1,793,904 47,807 1,660,815 18,314 636,228
Gen-Probe, Inc. (NON) 27,847 1,322,176 24,796 1,177,314 9,603 455,950
Genoptix, Inc. (NON) (SG) 21,856 689,557 15,049 474,796 7,020 221,481
GlaxoSmithKline PLC (United Kingdom) 164,379 3,635,415 135,697 3,001,082 42,283 935,133
Haemonetics Corp. (NON) 9,668 536,187 6,559 363,762 3,105 172,203
Healthsouth Corp. (NON) (SG) (SB) (SC) 42,420 705,445 28,610 475,784 15,370 255,603
Healthspring, Inc. (NON) 30,512 515,043 20,547 346,833 11,058 186,659
Hisamitsu Pharmaceutical Co., Inc. (Japan) 13,700 597,001 11,700 509,847 6,200 270,175
Humana, Inc. (NON) 63,454 2,523,566 56,370 2,241,835 22,191 882,536
Illumina, Inc. (NON) (SG) (SB) 17,043 1,484,616 11,730 1,021,800 5,474 476,840
Immucor, Inc. (NON) 20,830 539,080 14,224 368,117 6,691 173,163
Intuitive Surgical, Inc. (NON) 10,704 2,883,658 9,531 2,567,651 3,691 994,355
Invitrogen Corp. (NON) 13,764 540,375 9,311 365,550 4,421 173,568
Johnson & Johnson (SEG) 110,397 7,102,943 102,441 6,591,054 38,474 2,475,417
Kinetic Concepts, Inc. (NON) (SG) (SB) (SC) 13,874 553,711 9,517 379,823 5,102 203,621
King Pharmaceuticals, Inc. (NON) 79,947 837,045 71,188 745,338 27,571 288,668
Luminex Corp. (NON) (SG) (SB) (SC) 44,144 907,159 30,053 617,589 14,114 290,043
Magellan Health Services, Inc. (NON) 35,221 1,304,234 24,231 897,274 12,056 446,434
Martek Biosciences Corp. (NON) (SG) (SB) (SC) 124,417 4,194,097 95,522 3,220,047 48,653 1,640,093
Medcath Corp. (NON) 37,898 681,406 34,609 622,270 13,244 238,127
Medicines Co. (NON) (SG) 61,737 1,223,627 46,204 915,763 19,809 392,614
Medicis Pharmaceutical Corp. Class A 17,155 356,481 17,207 357,561 6,537 135,839
Mentor Corp. (SG) (SB) (SC) 54,638 1,520,029 42,880 1,192,922 18,755 521,764
Merck & Co., Inc. (SEG) 231,892 8,740,009 212,843 8,022,053 80,907 3,049,385
Meridian Bioscience, Inc. 21,069 567,177 14,277 384,337 6,834 183,971
Merit Medical Systems, Inc. (NON) 65,783 967,010 45,008 661,618 21,111 310,332
Myriad Genetics, Inc. (NON) (SG) (SB) 16,146 734,966 11,043 502,677 5,186 236,067
Neurocrine Biosciences, Inc. (NON) (SB) 83,407 349,475 77,625 325,249 29,739 124,606
Novartis AG (Switzerland) 87,985 4,833,545 73,606 4,043,620 28,238 1,551,283
Novo Nordisk A/S Class B (Denmark) 9,400 619,624 8,050 530,635 4,250 280,149
Obagi Medical Products, Inc. (NON) 61,630 526,937 41,510 354,911 22,360 191,178
Ono Pharmaceutical Co., Ltd. (Japan) 17,200 949,066 15,000 827,674 8,000 441,426
Onyx Pharmaceuticals, Inc. (NON) (SB) 12,492 444,715 8,551 304,416 4,012 142,827
OSI Pharmaceuticals, Inc. (NON) 49,025 2,025,713 40,921 1,690,856 16,633 687,276
Owens & Minor, Inc. 13,914 635,731 9,411 429,989 4,469 204,189
Pall Corp. 22,429 889,983 19,450 771,776 9,900 392,832
Par Pharmaceutical Cos., Inc. (NON) 45,336 735,803 42,235 685,474 16,191 262,780
PDL BioPharma, Inc. (SG) (SB) 56,727 602,441 50,512 536,437 19,563 207,759
Pfizer, Inc. 239,409 4,182,475 218,009 3,808,617 83,505 1,458,832
Questcor Pharmaceuticals, Inc. (NON) (SG) 98,720 458,061 67,480 313,107 31,314 145,297
Quidel Corp. (NON) (SG) (SB) 64,021 1,057,627 52,340 864,657 22,391 369,899
Regeneron Pharmaceuticals, Inc. (NON) 26,412 381,389 18,287 264,064 8,484 122,509
Roche Holding AG (Switzerland) 7,264 1,305,823 6,274 1,127,854 3,325 597,723
Schering-Plough Corp. 67,137 1,321,928 60,539 1,192,013 23,290 458,580
Sciele Pharma, Inc. (NON) (SG) (SB) 58,049 1,123,248 39,349 761,403 19,790 382,937
Sepracor, Inc. (NON) 31,244 622,380 21,499 428,260 10,036 199,917
Steris Corp. 40,406 1,162,077 27,697 796,566 14,345 412,562
Suzuken Co., Ltd. (Japan) 109,900 4,063,460 92,500 3,420,109 36,500 1,349,557
Taisho Pharmaceutical Co., Ltd. (Japan) 83,000 1,541,473 69,000 1,281,466 22,000 408,583
Techne Corp. (NON) 13,954 1,079,900 9,790 757,648 4,482 346,862
Terumo Corp. (Japan) 21,800 1,114,469 18,700 955,989 9,800 501,000
Teva Pharmaceutical Industries, Ltd. ADR (Israel) (SG) 33,900 1,552,620 8,400 384,720 4,400 201,520
Toho Pharmaceutical Co., Ltd. (Japan) 17,900 345,270 15,400 297,048 8,100 156,239
UCB SA (Belgium) 19,114 703,205 16,482 606,373 8,682 319,411
United Therapeutics Corp. (NON) (SG) (SB) 11,362 1,110,636 7,759 758,442 3,649 356,690
UnitedHealth Group, Inc. 42,085 1,104,731 38,506 1,010,783 14,718 386,348
Varian Medical Systems, Inc. (NON) 50,563 2,621,692 45,023 2,334,443 17,437 904,108
Waters Corp. (NON) 44,724 2,884,698 40,084 2,585,418 15,379 991,946
WellCare Health Plans, Inc. (NON) 13,662 493,881 9,357 338,256 4,388 158,626
WellPoint, Inc. (NON) 55,045 2,623,445 45,293 2,158,664 17,629 840,198
Wyeth 118,502 5,683,356 108,420 5,199,823 41,529 1,991,731
Zoll Medical Corp. (NON) 20,051 675,117 13,606 458,114 6,440 216,835
    154,744,316   128,377,189   52,232,186
 
Technology   9.8%   9.0%   6.8%
Accenture, Ltd. Class A (Bermuda) 5,165 210,319 4,302 175,177 1,701 69,265
Acer, Inc. (Taiwan) 197,000 388,171 172,000 338,911 95,000 187,189
Acme Packet, Inc. (NON) 56,212 436,205 38,587 299,435 18,056 140,115
Actuate Corp. (NON) (SEG) 102,756 401,776 71,525 279,663 33,007 129,057
Acxiom Corp. 55,230 634,593 37,240 427,888 20,010 229,915
Advanced Analogic Technologies, Inc. (NON) 9,122 37,674 6,312 26,069 2,893 11,948
Advanced Energy Industries, Inc. (NON) (SEG) (SG) 105,212 1,441,404 71,292 976,700 35,199 482,226
Advanced Semiconductor Engineering Inc. (Taiwan) 1,583,000 1,423,965 -- -- -- --
Advent Software, Inc. (NON) 35,652 1,286,324 24,143 871,079 12,140 438,011
ALPS Electric Co., Ltd. (Japan) 108,700 1,124,730 94,000 972,628 27,100 280,407
Anixter International, Inc. (NON) (SG) (SB) (SC) 11,960 711,500 8,129 483,594 3,841 228,501

Ansoft Corp. (NON) 42,098 1,532,367 37,933 1,380,761 14,527 528,783
ANSYS, Inc. (NON) (SG) (SB) (SC) 62,708 2,954,801 42,783 2,015,935 21,139 996,070
Apple Computer, Inc. (NON) (SEG) 47,807 8,004,804 42,456 7,108,833 16,712 2,798,257
Applied Materials, Inc. 67,654 1,291,515 64,720 1,235,505 24,729 472,077
Arris Group, Inc. (NON) (SG) (SB) 171,931 1,452,817 116,141 981,391 58,233 492,069
Atheros Communications (NON) (SG) 20,233 606,990 13,762 412,860 6,499 194,970
AU Optronics Corp. (Taiwan) 1,149,000 1,805,901 151,000 237,329 80,000 125,737
AuthenTec, Inc. (NON) 46,296 482,404 32,009 333,534 14,871 154,956
Autodesk, Inc. (NON) (SEG) (SC) 137,494 4,648,672 126,115 4,263,948 47,602 1,609,424
Avnet, Inc. (NON) 33,084 902,532 29,819 813,462 11,450 312,356
Avocent Corp. (NON) 28,830 536,238 19,216 357,418 10,303 191,636
Badger Meter, Inc. (SG) 9,664 488,322 8,380 423,441 4,265 215,510
Blackbaud, Inc. (SG) 23,279 498,171 15,914 340,560 7,472 159,901
Blackboard, Inc. (NON) (SG) (SB) 16,046 613,439 10,991 420,186 5,154 197,037
Blue Coat Systems, Inc. (NON) (SG) (SB) (SC) 39,035 550,784 34,804 491,084 13,367 188,608
BMC Software, Inc. (NON) (SEG) (SG) 227,113 8,176,068 206,671 7,440,156 79,163 2,849,868
Brocade Communications Systems, Inc. (NON) 118,152 973,572 111,256 916,749 42,522 350,381
BYD Co., Ltd. (China) 124,000 159,038 107,500 137,875 56,500 72,465
CACI International, Inc. Class A (NON) 11,663 533,816 8,059 368,860 3,746 171,454
Checkpoint Systems, Inc. (NON) 27,547 575,181 18,656 389,537 10,003 208,863
Chordiant Software, Inc. (NON) 56,189 280,945 52,989 264,945 20,204 101,020
Cisco Systems, Inc. (NON) (SEG) 489,661 11,389,515 447,047 10,398,313 170,324 3,961,736
Comba Telecom Systems Holdings, Ltd. (Hong Kong) 2,076,000 559,145 -- -- -- --
CommScope, Inc. (NON) (SG) (SB) 29,423 1,552,652 19,899 1,050,070 10,051 530,391
Compal Electronics, Inc. (Taiwan) 386,000 417,174 335,000 362,055 177,000 191,295
Compuware Corp. (NON) 119,640 1,141,366 100,208 955,984 38,551 367,777
Comtech Telecommunications Corp. (NON) 17,543 859,607 12,039 589,911 5,635 276,115
Credence Systems Corp. (NON) 273,674 355,776 257,801 335,141 98,579 128,153
CSG Systems International, Inc. (NON) 69,142 761,945 65,600 722,912 25,058 276,139
Cubic Corp. 12,341 274,957 10,363 230,888 3,942 87,828
Cybersource Corp. (NON) (SG) (SB) (SC) 45,049 753,670 30,585 511,687 14,470 242,083
eBay, Inc. (NON) 75,531 2,064,262 70,293 1,921,108 26,884 734,740
Electronic Data Systems Corp. 190,618 4,696,828 174,801 4,307,097 66,946 1,649,549
EMC Corp. (NON) 299,143 4,394,411 238,185 3,498,938 98,727 1,450,300
Emulex Corp. (NON) 64,936 756,504 49,115 572,190 22,249 259,201
Energy Conversion Devices, Inc. (NON) (SG) (SB) 46,075 3,392,963 40,230 2,962,537 21,241 1,564,187
EnerSys (NON) 18,673 639,177 16,400 561,372 8,681 297,151
F5 Networks, Inc. (NON) 25,415 722,294 17,366 493,542 8,163 231,992
Factset Research Systems, Inc. (SG) (SB) (SC) 18,737 1,056,017 12,817 722,366 6,018 339,174
FEI Co. (NON) 68,000 1,549,040 54,200 1,234,676 19,100 435,098
Fujitsu, Ltd. (Japan) 1,184,000 8,800,151 961,000 7,142,690 296,000 2,200,038
Gemalto NV (France) (NON) 23,966 868,539 20,300 735,682 10,806 391,615
Global Sources, Ltd. (Bermuda) (NON) (SG) (SB) (SC) 27,738 421,063 18,953 287,707 8,910 135,254
Greatbatch, Inc. (NON) (SG) (SB) (SC) 17,149 296,678 14,900 257,770 7,859 135,961
Greatek Electronics, Inc. (Taiwan) 1,169,640 1,368,158 256,000 299,450 135,000 157,913
GS Yuasa Corp. (Japan) 155,000 742,690 136,000 651,651 72,000 344,992
Hewlett-Packard Co. (SEG) 150,709 6,662,845 149,797 6,622,525 54,362 2,403,344
Hitachi, Ltd. (Japan) 622,000 4,493,982 513,000 3,706,452 158,000 1,141,558
Hon Hai Precision Industry Co., Ltd. (Taiwan) 159,624 786,312 -- -- -- --
Hutchinson Technology, Inc. (NON) (SG) (SB) 41,486 557,572 38,226 513,757 14,615 196,426
IBM Corp. (SEG) 102,872 12,193,418 96,055 11,385,399 36,121 4,281,422
IHS, Inc. Class A (NON) 17,069 1,188,002 15,937 1,109,215 5,535 385,236
Informatica Corp. (NON) 65,081 978,818 44,680 671,987 20,905 314,411
Intel Corp. (SEG) 410,491 8,817,347 355,101 7,627,569 139,968 3,006,513
Interwoven, Inc. (NON) 37,548 450,951 31,480 378,075 12,137 145,765
Intuit, Inc. (NON) 49,072 1,352,915 44,149 1,217,188 16,954 467,422
Itron, Inc. (NON) (SG) 8,164 802,929 5,531 543,974 2,651 260,726
Jack Henry & Associates, Inc. 44,352 959,777 30,534 660,756 14,247 308,305
JDA Software Group, Inc. (NON) 93,982 1,701,074 75,254 1,362,097 31,754 574,747
LG Electronics, Inc. (South Korea) 5,000 566,498 4,290 486,055 2,260 256,057
LTX Corp. (NON) 177,752 391,054 148,893 327,565 57,293 126,045
MEMC Electronic Materials, Inc. (NON) (SEG) 51,113 3,145,494 47,025 2,893,919 17,504 1,077,196
Methode Electronics, Inc. Class A 47,263 493,898 39,497 412,744 15,228 159,133
Micrel, Inc. 84,474 772,937 57,982 530,535 27,135 248,285
Microsoft Corp. 647,203 17,804,555 527,657 14,515,844 214,520 5,901,445
MicroStrategy, Inc. (NON) 11,362 735,690 7,821 506,410 3,649 236,273
Mitsubishi Electric Corp. (Japan) 219,000 2,365,167 185,000 1,997,972 76,000 820,789
National Instruments Corp. 29,601 839,780 20,277 575,258 9,508 269,742
National Semiconductor Corp. 166,175 3,413,235 138,800 2,850,952 55,286 1,135,574
NetApp, Inc. (NON) (SG) 93,977 2,035,542 73,015 1,581,505 30,588 662,536
Nokia OYJ (Finland) 117,850 2,887,696 99,500 2,438,063 39,900 977,676
NTT Data Corp. (Japan) 587 2,297,727 485 1,898,463 148 579,325
Nuance Communications, Inc. (NON) (SG) (SB) (SC) 69,729 1,092,653 47,334 741,724 22,613 354,346
NVIDIA Corp. (NON) 35,272 660,292 31,969 598,460 12,293 230,125
Oce NV (Netherlands) 106,003 1,301,350 87,507 1,074,283 27,402 336,402
Olympus Corp. (Japan) 97,000 3,284,569 80,000 2,708,923 25,000 846,538
Omnicell, Inc. (NON) 19,169 252,647 16,034 211,328 6,176 81,400
Oracle Corp. (NON) (SG) 287,992 6,047,832 261,901 5,499,921 100,360 2,107,560
Palm, Inc. (SG) (SB) (SC) 13,567 73,126 11,341 61,128 4,366 23,533
Parametric Technology Corp. (NON) 93,798 1,563,613 63,140 1,052,544 32,263 537,824
Park Electrochemical Corp. 13,673 332,391 9,328 226,764 5,001 121,574
Photronics, Inc. (NON) 107,038 753,548 96,493 679,311 37,003 260,501
Plantronics, Inc. (SG) 22,525 502,758 15,423 344,241 7,235 161,485
Polycom, Inc. (NON) (SG) (SB) (SC) 47,963 1,168,379 45,461 1,107,430 17,442 424,887
Progress Software Corp. (NON) 21,847 558,628 15,449 395,031 6,981 178,504
PROS Holdings, Inc. (NON) 39,162 439,789 27,030 303,547 12,579 141,262
Qualcomm, Inc. 53,450 2,371,577 49,274 2,186,287 18,850 836,375
Roth & Rau AG (Germany) (NON) 641 138,410 556 120,056 296 63,915
Saft Groupe SA (France) (NON) 5,025 218,354 4,361 189,501 2,290 99,509
SAIC, Inc. (NON) 33,959 706,687 33,143 689,706 12,667 263,600
Samsung Electronics Co., Ltd. (South Korea) 9,458 5,651,831 2,775 1,658,261 1,478 883,211
Samsung Electronics Co., Ltd. (Preference) (South            
Korea) 1,023 441,125 -- -- -- --
Sanyo Electric Co., Ltd. (Japan) (NON) (SG) (SB) (SC) 310,000 722,222 271,000 631,362 143,000 333,154
Satyam Computer Services, Ltd. (India) 121,933 1,238,178 -- -- -- --
Sharp Corp. (Japan) 22,000 358,781 18,000 293,548 10,000 163,082
Silicon Image, Inc. (NON) 104,081 754,587 70,555 511,524 33,433 242,389
Silicon Storage Technology, Inc. (NON) 96,711 267,889 81,047 224,500 31,200 86,424
Sohu.com, Inc. (China) (NON) 16,299 1,148,102 14,497 1,021,169 5,695 401,156
Solarworld AG (Germany) 5,978 283,873 5,187 246,311 2,757 130,919
SonicWall, Inc. (NON) (SG) (SB) 314,676 2,029,660 248,494 1,602,786 108,456 699,541
SPSS, Inc. (NON) 51,693 1,880,074 42,229 1,535,869 17,397 632,729
Sybase, Inc. (NON) (SG) (SB) (SC) 112,234 3,301,924 88,571 2,605,759 36,996 1,088,422
Sykes Enterprises, Inc. (NON) 62,132 1,171,810 42,021 792,516 22,531 424,935
Synaptics, Inc. (NON) 25,043 944,872 22,274 840,398 8,751 330,175
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) 1,309,182 2,803,942 -- -- -- --
Taiwan Semiconductor Manufacturing Co., Ltd. ADR            
(Taiwan) 31,800 346,938 -- -- -- --
Telefonaktiebolaget LM Ericsson AB Class B (Sweden) 31,160 321,777 27,040 279,231 14,240 147,051
Texas Instruments, Inc. (SB) 17,069 480,663 16,719 470,807 6,335 178,394
The9, Ltd. ADR (China) (NON) (SG) 40,096 905,368 -- -- -- --
TIBCO Software, Inc. (NON) 28,445 217,604 35,782 273,732 13,459 102,961
Trizetto Group (NON) 50,675 1,083,432 47,709 1,020,018 18,296 391,168
TTM Technologies, Inc. (NON) 113,584 1,500,445 77,226 1,020,155 38,976 514,873
Ultralife Batteries, Inc. (NON) 10,240 109,466 9,300 99,417 4,740 50,671
United Internet AG (Germany) 26,254 517,000 22,528 443,627 11,867 233,688
United Online, Inc. 66,254 664,528 45,035 451,701 24,147 242,194
Varian Semiconductor Equipment (NON) 18,987 661,127 12,931 450,257 6,098 212,332
Varian, Inc. (NON) (SG) (SB) (SC) 33,959 1,733,947 31,285 1,597,412 11,967 611,035
Veeco Instruments, Inc. (NON) (SB) (SC) 75,400 1,212,432 61,200 984,096 21,600 347,328
Watts Water Technologies, Inc. Class A (SB) 17,391 433,036 15,081 375,517 7,676 191,132
Wincor Nixdorf AG (Germany) 6,922 480,716 6,014 417,658 3,284 228,066
Wistron Corp. (Taiwan) 445,582 637,196 -- -- -- --
Xilinx, Inc. 23,282 587,871 19,456 491,264 7,457 188,289
Yahoo!, Inc. (NON) (SG) (SB) 53,200 1,099,112 47,300 977,218 18,600 384,276
Yucheng Technologies, Ltd. (China) (NON) (SG) (SB) (SC) 61,002 682,612 41,663 466,209 20,334 227,537
    231,835,578   182,778,036   73,649,181
 
Transportation   1.3%   1.0%   0.7%
Accuride Corp. (NON) 56,888 241,774 54,455 231,434 20,818 88,477
Air Arabia (United Arab Emirates) (NON) 972,446 484,528 -- -- -- --
Alaska Air Group, Inc. (NON) 4,342 66,606 3,618 55,500 1,385 21,246
All America Latina Logistica SA (Brazil) 155,400 2,008,333 -- -- -- --
Arkansas Best Corp. 26,471 969,897 23,543 862,616 9,250 338,920
British Airways PLC (United Kingdom) (NON) 1,405,282 5,982,166 1,137,453 4,842,041 351,967 1,498,294
Central Japan Railway Co. (Japan) 548 6,047,538 457 5,043,294 158 1,743,633
ComfortDelgro Corp., Ltd. (Singapore) 529,000 583,628 460,000 507,502 245,000 270,300
DP World, Ltd. (United Arab Emirates) 682,394 586,859 284,892 245,007 150,072 129,062
DP World, Ltd. 144A (United Arab Emirates) 971,879 835,816 -- -- -- --
East Japan Railway Co. (Japan) 32 261,083 28 228,447 14 114,224
Kirby Corp. (NON) 20,300 974,400 18,100 868,800 7,000 336,000
Lan Airlines SA ADR (Chile) (SG) 105,100 1,076,224 -- -- -- --
National Express Group PLC (United Kingdom) 47,582 901,070 41,277 781,671 12,159 230,257
Neptune Orient Lines, Ltd. (Singapore) 616,000 1,463,430 509,000 1,209,231 156,000 370,609
Overseas Shipholding Group 13,774 1,095,308 9,423 749,317 5,052 401,735
Pacific Basin Shipping, Ltd. (Hong Kong) 728,000 1,040,147 -- -- -- --
Ryder System, Inc. 35,600 2,452,128 31,800 2,190,384 12,300 847,224
Singapore Airlines, Ltd. (Singapore) 87,000 940,644 76,000 821,712 41,000 443,292
SkyWest, Inc. 77,281 977,605 68,239 863,223 26,218 331,658
STX Pan Ocean Co., Ltd. (South Korea) 419,000 831,270 -- -- -- --
    29,820,454   19,500,179   7,164,931
 
Utilities & Power   3.2%   3.2%   2.4%
A2A SpA (Italy) 1,009,951 3,710,845 833,725 3,063,341 256,000 940,616
Alliant Energy Corp. 43,149 1,478,285 38,422 1,316,338 14,748 505,266
American States Water Co. 11,562 403,976 10,027 350,343 5,103 178,299
Aqua America, Inc. (SG) (SC) 35,673 569,698 30,935 494,032 15,746 251,464
BKW FMB Energie AG (Switzerland) 2,731 376,599 2,408 332,058 1,267 174,717
Black Hills Corp. 2,452 78,611 4,107 131,670 1,548 49,629
California Water Service Group (SG) 11,738 384,654 10,179 333,566 5,181 169,781
Cia de Saneamento Basico do Estado de Sao Paulo ADR            
(Brazil) (SG) (SB) (SC) 19,857 1,015,884 17,220 880,975 8,765 448,417
Cleco Corp. 24,428 569,905 16,395 382,495 8,790 205,071
Consolidated Water Co., Inc. (Cayman Islands) (SG)            
(SB) (SC) 11,259 222,928 9,763 193,307 4,969 98,386
Constellation Energy Group, Inc. 24,158 1,983,372 22,291 1,830,091 8,174 671,085
E.On AG (Germany) 6,264 1,261,788 5,443 1,096,410 2,901 584,363
EDF Energies Nouvelles SA (France) 9,286 622,651 8,140 545,809 4,277 286,784
Edison International (SEG) 123,814 6,361,563 113,127 5,812,465 42,733 2,195,622
Enel SpA (Italy) 416,801 3,955,970 353,593 3,356,046 153,579 1,457,660
Energen Corp. (SEG) 100,662 7,854,656 87,562 6,832,463 35,362 2,759,297
Energias de Portugal (EDP) SA (Portugal) 195,822 1,021,185 169,875 885,875 55,167 287,688
FirstEnergy Corp. 39,045 3,214,575 34,906 2,873,811 13,545 1,115,160
Huaneng Power International, Inc. (China) 420,000 291,424 364,000 252,567 194,000 134,610
International Power PLC (United Kingdom) 164,840 1,411,388 142,947 1,223,937 72,761 622,992
Mirant Corp. (NON) 7,616 298,166 6,356 248,837 2,449 95,878
National Grid PLC (United Kingdom) 54,677 717,014 47,433 622,019 14,518 190,384
Northwest Natural Gas Co. 24,770 1,145,860 22,584 1,044,736 8,686 401,814
Northwestern Corp. 24,625 625,968 16,614 422,328 8,908 226,441
OGE Energy Corp. 15,842 502,350 15,937 505,362 6,111 193,780
Ormat Technologies, Inc. (SG) (SB) (SC) 32,827 1,614,432 26,111 1,284,139 13,175 647,947
Osaka Gas Co., Ltd. (Japan) 688,000 2,524,354 568,000 2,084,060 178,000 653,103
PG&E Corp. 127,476 5,059,522 117,214 4,652,224 44,352 1,760,331

Portland General Electric Co. (SG) (SB) (SC)   66,527 1,498,188 54,697 1,231,776 23,504 529,310
Public Power Corp. SA (Greece)   187,310 6,515,437 151,640 5,274,683 46,910 1,631,729
Public Service Enterprise Group, Inc.   9,454 434,222 8,017 368,221 2,985 137,101
Questar Corp.   66,692 4,737,800 60,907 4,326,833 22,710 1,613,318
RWE AG (Germany)   10,700 1,350,185 9,200 1,160,907 4,800 605,691
Scottish and Southern Energy PLC (United Kingdom)   25,913 723,618 22,236 620,938 11,713 327,085
SJW Corp. (SG) (SB) (SC)   12,714 335,650 11,025 291,060 5,612 148,157
Southwest Water Co. (SG) (SB) (SC)   17,097 171,312 14,826 148,557 7,546 75,611
Suez SA (France)   41,728 2,834,790 36,230 2,461,284 18,636 1,266,036
Terna SPA (Italy)   515,638 2,181,441 425,665 1,800,804 133,297 563,922
Tokyo Electric Power Co. (Japan)   89,400 2,302,037 73,800 1,900,340 22,700 584,522
Tokyo Gas Co., Ltd. (Japan)   231,000 932,541 200,000 807,395 107,000 431,956
TransAlta Corp. (Canada)   3,723 134,883 3,200 115,935 1,648 59,706
Vector, Ltd. (New Zealand)   251,632 367,954 180,865 264,474 60,761 88,849
Veolia Environnement (France)   20,948 1,167,458 18,165 1,012,358 9,246 515,291
Westar Energy, Inc.   12,517 269,241 10,461 225,016 4,046 87,029
WGL Holdings, Inc.   18,906 656,794 15,839 550,247 6,071 210,907
      75,891,174   65,612,132   26,182,805
Total common stocks (cost $1,617,232,084, 
$1,265,831,610 and $514,634,169)     $1,713,925,718   $1,333,895,593   $530,948,864
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS(a)   Growth 17.2% Balanced 69.9% Conservative 81.7%
     Principal    Principal    Principal  
    amount Value amount Value amount Value
U.S. Government Guaranteed Mortgage Obligations     0.6%   1.7%   1.3%
Government National Mortgage Association Pass-Through              
Certificates              
6 1/2s, with due dates from March 20, 2034 to              
November 20, 2037   $6,554,734 $6,777,491 $27,151,724 $28,085,171 $8,741,056 $9,038,115
5 1/2s, TBA, July 1, 2038   7,000,000 6,962,813 6,000,000 5,968,125 5,000,000 4,973,438
      13,740,304   34,053,296   14,011,553
 
U.S. Government Agency Mortgage Obligations     16.6%   68.2%   80.4%
Federal Home Loan Mortgage Corporation Pass-Through              
Certificates              
6s, with due dates from July 1, 2013 to October 1, 2021   363,402 372,779 39,072 40,058 46,419 47,590
5 1/2s, with due dates from June 1, 2035 to              
November 1, 2036   68,767 67,875 327,818 324,591 327,818 324,591
5 1/2s, with due dates from August 1, 2012 to              
April 1, 2020   545,522 552,651 260,670 265,102 303,932 309,180
Federal National Mortgage Association Pass-Through              
Certificates              
7s, with due dates from October 1, 2029 to              
January 1, 2036   1,088,499 1,149,871 1,998,441 2,111,760 2,430,923 2,558,547
7s, March 1, 2018   -- -- -- -- 404,498 423,861
6 1/2s, with due dates from June 1, 2036 to              
February 1, 2038   728,392 750,358 3,550,024 3,659,768 4,094,909 4,253,803
6 1/2s, TBA, August 1, 2038   1,000,000 1,025,391 22,000,000 22,558,593 31,000,000 31,787,109
6 1/2s, TBA, July 1, 2038   1,000,000 1,028,594 22,000,000 22,629,064 31,000,000 31,886,408
6s, with due dates from October 1, 2008 to              
September 1, 2021   2,259,728 2,321,950 3,186,710 3,264,618 1,553,775 1,591,161
6s, TBA, July 1, 2034   4,000,000 4,034,688 16,000,000 16,138,750 14,000,000 14,121,407
5 1/2s, with due dates from December 1, 2036 to              
January 1, 2038   1,854,810 1,830,467 6,183,701 6,102,540 4,742,043 4,679,861
5 1/2s, with due dates from February 1, 2014 to              
October 1, 2022   7,339,565 7,412,766 3,232,833 3,259,100 27,331,275 27,590,528
5 1/2s, TBA, August 1, 2038   31,000,000 30,470,821 157,000,000 154,319,963 91,000,000 89,446,603
5 1/2s, TBA, July 1, 2035   252,500,000 248,791,406 977,500,000 963,142,969 587,000,000 578,378,438
5s, with due dates from May 1, 2021 to April 1, 2036   -- -- 211,971 210,539 6,786,473 6,527,208
5s, TBA, August 1, 2038   30,000,000 28,682,814 64,000,000 61,190,003 22,000,000 21,034,064
5s, TBA, July 1, 2038   66,000,000 63,241,405 133,000,000 127,441,012 45,000,000 43,119,140
4 1/2s, with due dates from November 1, 2020 to              
November 1, 2035   2,386,150 2,283,140 876,658 813,648 10,251,597 9,919,904
4 1/2s, with due dates from April 1, 2020 to              
October 1, 2020   969,249 949,309 -- -- 2,025,969 1,983,708
      394,966,285   1,387,472,078   869,983,111
Total U.S. government and agency mortgage obligations
(cost $408,269,768, $1,426,461,160 and $887,770,187)     $408,706,589   $1,421,525,374   $883,994,664
 
U.S. TREASURY OBLIGATIONS(a)   Growth 0.2% Balanced 0.2% Conservative --%
     Principal    Principal    Principal  
    amount Value amount Value amount Value
U.S. Treasury Notes              
4 1/4s, August 15, 2014   $200,000 $208,977 $3,400,000 $3,552,602 $-- $--
4 1/4s, November 15, 2013   20,000 20,880 100,000 104,402 -- --
4 1/4s, September 30, 2012   3,229,000 3,361,187 -- -- -- --
3 1/2s, November 15, 2009   1,700,000 1,726,828 -- -- -- --
Total U.S. treasury obligations
(cost $5,127,497, $3,515,372 and $--)     $5,317,872   $3,657,004   $--
 
CORPORATE BONDS AND NOTES(a)   Growth 8.3% Balanced 9.9% Conservative 12.6%
     Principal    Principal    Principal  
    amount Value amount Value amount Value
Basic Materials     0.7%   0.7%   0.8%
AK Steel Corp. company guaranty 7 3/4s, 2012   $300,000 $300,750 $365,000 $365,913 $190,000 $190,475
Aleris International, Inc. company guaranty 9s, 2014              
(PIK)   285,000 226,931 295,000 234,894 135,000 107,494
Algoma Acquisition Corp. 144A unsec. notes 9 7/8s,              
2015 (Canada)   65,000 61,750 62,000 58,900 30,000 28,500
ARCO Chemical Co. debs. 10 1/4s, 2010   185,000 186,850 130,000 131,300 85,000 85,850
Builders FirstSource, Inc. company guaranty sr. sec.              
notes FRN 6.926s, 2012   265,000 180,200 250,000 170,000 120,000 81,600
Century Aluminum Co. company guaranty 7 1/2s, 2014   70,000 69,300 65,000 64,350 30,000 29,700
Clondalkin Acquisition BV 144A company guaranty sr.              
sec. notes FRN 4.776s, 2013 (Netherlands)   75,000 66,000 75,000 66,000 75,000 66,000
Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011              
(Canada)   -- -- 120,000 120,600 110,000 110,550
Dow Chemical Co. (The) Pass Through Trust 144A company              
guaranty 4.027s, 2009   -- -- 270,000 271,606 320,000 321,904
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes              
8 3/8s, 2017   1,310,000 1,385,325 580,000 613,350 270,000 285,525
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes              
8 1/4s, 2015   300,000 309,750 295,000 304,588 135,000 139,388
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes              
FRN 5.883s, 2015   1,460,000 1,460,345 110,000 110,026 50,000 50,012
Georgia-Pacific Corp. debs. 9 1/2s, 2011   170,000 172,763 350,000 355,688 262,000 266,258
Georgia-Pacific Corp. notes 8 1/8s, 2011   -- -- 140,000 138,250 140,000 138,250
Georgia-Pacific Corp. sr. notes 8s, 2024   175,000 161,875 195,000 180,375 90,000 83,250
Georgia-Pacific Corp. 144A company guaranty 7 1/8s,              
2017   25,000 23,500 -- -- -- --
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011              
(Canada)   295,000 306,431 285,000 296,044 135,000 140,231
Glancore Funding, LLC 144A company guaranty sr. unsec.              
unsub. notes 6s, 2014   -- -- 3,150,000 3,009,034 2,860,000 2,732,012
Hercules, Inc. company guaranty 6 3/4s, 2029   65,000 63,050 60,000 58,200 30,000 29,100
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance              
ULC company guaranty 9 3/4s, 2014   305,000 276,025 260,000 235,300 130,000 117,650
Huntsman International, LLC company guaranty sr.              
unsec. sub. notes 7 7/8s, 2014   856,000 783,240 1,913,000 1,750,395 1,639,000 1,499,685
Huntsman, LLC company guaranty 11 5/8s, 2010   1,000 1,033 1,000 1,033 -- --
International Paper Co. bonds 7.95s, 2018   690,000 686,159 925,000 919,851 -- --
International Paper Co. bonds 7.4s, 2014   210,000 210,074 270,000 270,095 -- --
Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012   55,000 47,988 25,000 21,813 30,000 26,175
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014   -- -- 100,000 95,487 95,000 90,713
Metals USA, Inc. sec. notes 11 1/8s, 2015   185,000 192,400 220,000 228,800 110,000 114,400
Momentive Performance Materials, Inc. company guaranty              
sr. unsec. notes 9 3/4s, 2014   460,000 393,300 470,000 401,850 230,000 196,650
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s,              
2016   110,000 117,150 105,000 111,825 50,000 53,250
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 3/8s,              
2014   110,000 114,950 110,000 114,950 50,000 52,250
NewPage Corp. company guaranty 10s, 2012   450,000 455,625 380,000 384,750 185,000 187,313
NewPage Holding Corp. sr. notes FRN 9.986s, 2013 (PIK)   90,818 87,639 85,534 82,540 42,592 41,101
Norske Skog Canada, Ltd. company guaranty Ser. D,              
8 5/8s, 2011 (Canada)   320,000 272,000 272,000 231,200 140,000 119,000
Novelis, Inc. company guaranty 7 1/4s, 2015   390,000 368,550 353,000 333,585 165,000 155,925
Packaging Corp. of America unsec. unsub. notes 5 3/4s,              
2013   1,730,000 1,690,238 -- -- -- --
PPG Industries, Inc. sr. unsec. unsub. notes 6.65s,              
2018   915,000 929,868 -- -- -- --
Rockwood Specialties Group, Inc. company guaranty              
7 5/8s, 2014 EUR 210,000 300,633 220,000 314,949 135,000 193,264
Sealed Air Corp. 144A notes 5 5/8s, 2013   $1,040,000 1,004,797 $-- -- $-- --
Smurfit-Stone Container Enterprises, Inc. sr. unsec.              
unsub. notes 8s, 2017   180,000 144,000 175,000 140,000 85,000 68,000
Steel Dynamics, Inc. company guaranty sr. unsec.              
unsub. notes 6 3/4s, 2015   506,000 484,495 864,000 827,280 540,000 517,050
Steel Dynamics, Inc. 144A sr. notes 7 3/4s, 2016   216,000 214,920 286,000 284,570 -- --
Steel Dynamics, Inc. 144A sr. notes 7 3/8s, 2012   -- -- 260,000 260,000 225,000 225,000
Stone Container Corp. sr. notes 8 3/8s, 2012   35,000 30,713 50,000 43,875 -- --
Tube City IMS Corp. company guaranty 9 3/4s, 2015   190,000 175,275 190,000 175,275 90,000 83,025
Ucar Finance, Inc. company guaranty 10 1/4s, 2012   1,000 1,035 1,000 1,035 2,000 2,070
United States Steel Corp. sr. unsec. unsub. notes 7s,              
2018   2,380,000 2,374,766 -- -- -- --
Verso Paper Holdings, LLC/ Verso Paper, Inc. company              
guaranty 11 3/8s, 2016   150,000 142,125 135,000 127,913 65,000 61,588
Westvaco Corp. unsec. notes 7 1/2s, 2027   -- -- 50,000 49,756 45,000 44,780
Xstrata Finance Canada, Ltd. 144A company guaranty              
5.8s, 2016 (Canada)   -- -- 180,000 169,757 195,000 183,903
      16,473,818   14,127,002   8,918,891
 
Capital Goods     0.5%   0.5%   0.4%
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016   140,000 135,800 130,000 126,100 45,000 43,650
Allied Waste North America, Inc. sec. notes 6 1/2s,              
2010   165,000 165,000 100,000 100,000 45,000 45,000
Allied Waste North America, Inc. sec. notes Ser. B,              
5 3/4s, 2011   10,000 9,825 120,000 117,900 55,000 54,038
Baldor Electric Co. company guaranty 8 5/8s, 2017   95,000 95,238 95,000 95,238 40,000 40,100
Berry Plastics Corp. company guaranty sr. sec. notes              
FRN 7.568s, 2015   1,055,000 1,010,163 1,395,000 1,335,713 -- --
Blount, Inc. sr. sub. notes 8 7/8s, 2012   115,000 115,000 155,000 155,000 70,000 70,000
Bombardier, Inc. 144A sr. unsec. notes FRN 7.981s,              
2013 (Canada) EUR 175,000 275,277 140,000 220,221 95,000 149,436
Caterpillar Financial Services Corp. sr. unsec. 4.85s,              
2012   $-- -- $525,000 523,444 $375,000 373,889
Caterpillar Financial Services Corp. sr. unsec. notes              
Ser. MTN, 5.85s, 2017   -- -- 300,000 307,252 335,000 343,098
Covidien International Finance SA company guaranty sr.              
unsec. unsub. notes 6.55s, 2037 (Luxembourg)   -- -- 185,000 186,593 160,000 161,378
Covidien International Finance SA company guaranty sr.              
unsec. unsub. notes 6s, 2017 (Luxembourg)   -- -- 215,000 217,600 190,000 192,298
Crown Americas, LLC/Crown Americas Capital Corp. sr.              

notes 7 5/8s, 2013   71,000 70,823 119,000 118,703 59,000 58,853
General Cable Corp. company guaranty sr. unsec. notes              
FRN 5.073s, 2015   265,000 235,188 250,000 221,875 110,000 97,625
Greenbrier Cos., Inc. company guaranty 8 3/8s, 2015   132,000 125,730 153,000 145,733 80,000 76,200
Hawker Beechcraft Acquisition Co., LLC sr. sub. notes              
9 3/4s, 2017   230,000 230,000 235,000 235,000 80,000 80,000
Hawker Beechcraft Acquisition Co., LLC sr. unsec.              
notes 8 7/8s, 2015 (PIK)   285,000 286,425 260,000 261,300 120,000 120,600
Hexcel Corp. sr. sub. notes 6 3/4s, 2015   285,000 277,163 270,000 262,575 130,000 126,425
L-3 Communications Corp. company guaranty 7 5/8s, 2012   290,000 292,900 388,000 391,880 181,000 182,810
L-3 Communications Corp. company guaranty Ser. B,              
6 3/8s, 2015   170,000 158,950 355,000 331,925 230,000 215,050
L-3 Communications Corp. company guaranty sr. unsec.              
sub. notes 6 1/8s, 2014   211,000 197,813 137,000 128,438 73,000 68,438
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015   -- -- 95,000 87,638 110,000 101,475
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)   540,000 607,159 725,000 815,168 450,000 505,966
Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013   174,000 165,300 155,000 147,250 59,000 56,050
Owens-Brockway Glass Container, Inc. company guaranty              
6 3/4s, 2014 EUR 95,000 137,347 50,000 72,288 50,000 72,288
Owens-Illinois, Inc. debs. 7 1/2s, 2010   $3,840,000 3,907,200 $-- -- $-- --
Pitney Bowes, Inc. sr. unsec. notes 5.6s, 2018   615,000 604,564 -- -- -- --
RBS Global, Inc. / Rexnord Corp. company guaranty              
9 1/2s, 2014   595,000 574,175 535,000 516,275 250,000 241,250
Rexam PLC 144A bond 6 3/4s, 2013 (United Kingdom)   1,090,000 1,085,890 1,475,000 1,469,438 -- --
Ryerson Tull, Inc. 144A sec. notes 12s, 2015   596,000 591,530 765,000 759,263 45,000 44,663
Tekni-Plex, Inc. sec. notes 10 7/8s, 2012   195,000 197,925 215,000 218,225 105,000 106,575
Terex Corp. company guaranty 7 3/8s, 2014   260,000 256,100 230,000 226,550 110,000 108,350
Titan International, Inc. company guaranty 8s, 2012   365,000 357,700 350,000 343,000 170,000 166,600
United Technologies Corp. sr. unsec. notes 5 3/8s, 2017   -- -- 500,000 497,218 440,000 437,552
WCA Waste Corp. company guaranty 9 1/4s, 2014   125,000 125,313 120,000 120,300 55,000 55,138
      12,291,498   10,755,103   4,394,795
 
Communication Services     0.9%   0.9%   1.1%
American Tower Corp. 144A sr. notes 7s, 2017   175,000 173,250 620,000 613,800 465,000 460,350
Ameritech Capital Funding company guaranty 6 1/4s, 2009   -- -- 450,000 461,673 295,000 302,652
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031   -- -- 253,000 300,204 264,000 313,257
AT&T, Inc. sr. unsec. unsub. notes 6.3s, 2038   -- -- 1,415,000 1,337,564 1,230,000 1,162,688
AT&T, Inc. sr. unsec. unsub. notes 4.95s, 2013   -- -- 440,000 438,404 380,000 378,622
AT&T, Inc. sr. unsec. unsub. bonds 5 1/2s, 2018   -- -- 260,000 251,942 370,000 358,533
AT&T, Inc. sr. unsec. unsub. notes 5.6s, 2018   1,040,000 1,016,014 -- -- -- --
BCM Ireland Finance, Ltd. 144A FRN 9.856s, 2016              
(Cayman Islands) EUR 90,000 130,402 105,000 152,135 50,000 72,445
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030   $-- -- $680,000 751,138 $535,000 590,968
British Telecommunications PLC sr. unsec. notes 5.15s,              
2013 (United Kingdom)   -- -- 715,000 699,020 630,000 615,920
Centennial Cellular Operating Co., LLC company              
guaranty 10 1/8s, 2013   100,000 103,000 155,000 159,650 -- --
Centennial Communications Corp. sr. notes 10s, 2013   135,000 137,025 85,000 86,275 60,000 60,900
CenturyTel, Inc. sr. unsec. notes 5 1/2s, 2013   725,000 683,429 -- -- -- --
Cincinnati Bell, Inc. company guaranty 7 1/4s, 2013   300,000 292,500 425,000 414,375 180,000 175,500
Citizens Communications Co. notes 9 1/4s, 2011   340,000 351,900 480,000 496,800 225,000 232,875
Cricket Communications, Inc. company guaranty 9 3/8s,              
2014   315,000 303,188 280,000 269,500 130,000 125,125
Cricket Communications, Inc. 144A company guaranty sr.              
notes 10s, 2015   535,000 524,300 716,000 701,680 -- --
Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015              
(Jamaica)   205,000 193,469 205,000 193,469 100,000 94,375
Digicel, Ltd. 144A sr. unsec. unsub. notes 9 1/4s,              
2012 (Jamaica)   220,000 226,325 180,000 185,175 100,000 102,875
Embarq Corp. notes 7.082s, 2016   950,000 902,266 -- -- -- --
Embarq Corp. sr. unsec. unsub. notes 6.738s, 2013   4,755,000 4,588,019 -- -- -- --
France Telecom notes 8 1/2s, 2031 (France)   -- -- 20,000 24,209 -- --
Hawaiian Telcom Communications, Inc. company guaranty              
Ser. B, 9 3/4s, 2013   105,000 42,000 95,000 38,000 45,000 18,000
Inmarsat Finance PLC company guaranty stepped-coupon              
zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) (STP)   299,000 301,990 241,000 243,410 111,000 112,110
Intelsat Bermuda, Ltd. company guaranty sr. unsec.              
notes 11 1/4s, 2016 (Bermuda)   510,000 517,013 530,000 537,288 250,000 253,438
Intelsat Intermediate Holding Co., Ltd. company              
guaranty stepped-coupon zero % (9 1/4s, 2/1/10), 2015              
(Bermuda) (STP)   95,000 76,475 75,000 60,375 30,000 24,150
iPCS, Inc. company guaranty sr. sec. notes FRN 4.998s,              
2013   105,000 94,500 100,000 90,000 45,000 40,500
Level 3 Financing, Inc. company guaranty 9 1/4s, 2014   305,000 277,550 295,000 268,450 140,000 127,400
Level 3 Financing, Inc. company guaranty 8 3/4s, 2017   150,000 129,000 150,000 129,000 70,000 60,200
MetroPCS Wireless, Inc. company guaranty sr. unsec.              
notes 9 1/4s, 2014   395,000 380,188 350,000 336,875 165,000 158,813
Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s,              
2013   1,685,000 1,423,825 -- -- -- --
Nextel Communications, Inc. sr. notes Ser. F, 5.95s,              
2014   -- -- 930,000 746,325 790,000 633,975
Nordic Telephone Co. Holdings ApS 144A sr. sec. bond              
8 7/8s, 2016 (Denmark)   210,000 205,800 205,000 200,900 75,000 73,500
PAETEC Holding Corp. company guaranty sr. unsec.              
unsub. notes 9 1/2s, 2015   115,000 106,088 105,000 96,863 50,000 46,125
Qwest Communications International, Inc. company              
guaranty 7 1/2s, 2014   355,000 337,250 225,000 213,750 105,000 99,750
Qwest Corp. sr. notes FRN 6.026s, 2013   1,475,000 1,408,625 -- -- -- --
Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012   715,000 729,300 740,000 754,800 345,000 351,900
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025   85,000 75,225 115,000 101,775 55,000 48,675
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada)   -- -- 385,000 385,446 335,000 335,388
Rural Cellular Corp. sr. unsec. notes 9 7/8s, 2010   105,000 106,838 60,000 61,050 25,000 25,438
Rural Cellular Corp. sr. unsec. sub. notes FRN 5.682s,              
2013   150,000 151,875 140,000 141,750 65,000 65,813
Southwestern Bell Telephone debs. 7s, 2027   -- -- -- -- 110,000 110,103
Syniverse Technologies, Inc. sr. sub. notes Ser. B,              
7 3/4s, 2013   65,000 61,100 85,000 79,900 40,000 37,600
Telecom Italia Capital SA company guaranty 7.2s, 2036              
(Luxembourg)   -- -- 110,000 106,377 105,000 101,541
Telecom Italia Capital SA company guaranty 5 1/4s,              
2015 (Luxembourg)   -- -- 215,000 196,759 240,000 219,637
Telecom Italia Capital SA company guaranty 5 1/4s,              
2013 (Luxembourg)   -- -- 140,000 132,250 110,000 103,911
Telecom Italia Capital SA company guaranty 4s, 2010              
(Luxembourg)   -- -- 5,000 4,939 50,000 49,388
Telecom Italia Capital SA company guaranty sr. unsec.              
notes FRN 3.344s, 2011 (Luxembourg)   5,090,000 4,850,424 -- -- -- --
Telefonica Emisones SAU company guaranty 7.045s, 2036              
(Spain)   -- -- 200,000 211,851 225,000 238,332
Telefonica Emisones SAU company guaranty 6.421s, 2016              
(Spain)   -- -- 75,000 76,306 75,000 76,306
Telefonica Emisones SAU company guaranty 6.221s, 2017              
(Spain)   -- -- 310,000 309,852 180,000 179,914
Telefonica Europe BV company guaranty 8 1/4s, 2030              
(Netherlands)   -- -- 125,000 143,495 120,000 137,755
Telus Corp. notes 8s, 2011 (Canada)   -- -- 260,000 279,153 280,000 300,626
Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014   160,000 163,600 175,000 178,938 85,000 86,913
Verizon Communications, Inc. sr. unsec. notes 6.4s,              
2038   -- -- 385,000 359,495 395,000 368,832
Verizon Communications, Inc. sr. unsec. notes 5.55s,              
2016   -- -- 1,230,000 1,198,074 780,000 759,754
Verizon New England, Inc. sr. notes 6 1/2s, 2011   -- -- 245,000 251,814 365,000 375,151
Verizon New Jersey, Inc. debs. 8s, 2022   -- -- 160,000 174,318 165,000 179,765
Verizon Pennsylvania, Inc. debs. 8.35s, 2030   -- -- 210,000 235,837 225,000 252,683
Verizon Virginia, Inc. debs. Ser. A, 4 5/8s, 2013   -- -- -- -- 95,000 92,395
Vodafone Group PLC unsec. notes 6.15s, 2037 (United              
Kingdom)   -- -- 570,000 531,804 495,000 461,830
West Corp. company guaranty 11s, 2016   75,000 63,375 70,000 59,150 35,000 29,575
West Corp. company guaranty 9 1/2s, 2014   145,000 130,500 140,000 126,000 65,000 58,500
Wind Aquisition Fin. SA notes 9 3/4s, 2015              
(Netherlands) EUR 80,000 126,622 70,000 110,794 -- --
Windstream Corp. company guaranty 8 5/8s, 2016   $550,000 548,625 $475,000 473,813 $220,000 219,450
Windstream Corp. company guaranty 8 1/8s, 2013   160,000 159,600 160,000 159,600 80,000 79,800
      22,092,475   17,343,589   12,042,021
 
Conglomerates     --%   --%   0.1%
General Electric Co. sr. unsec. notes 5 1/4s, 2017   -- -- 280,000 269,173 250,000 240,333
Siemens Financieringsmaatschappij 144A notes 5 3/4s,              
2016 (Netherlands)   -- -- 155,000 155,207 160,000 160,214
Textron, Inc. sr. unsec. 5.6s, 2017   -- -- 415,000 414,471 360,000 359,541
      --   838,851   760,088
 
Consumer Cyclicals     1.2%   1.2%   1.3%
Allison Transmission 144A company guaranty 11s, 2015   150,000 134,250 130,000 116,350 65,000 58,175
American Media, Inc. company guaranty sr. unsec. sub.              
notes 8 7/8s, 2011   25,000 20,000 30,000 24,000 15,000 12,000
American Media, Inc. company guaranty sr. unsec. sub.              
notes Ser. B, 10 1/4s, 2009   175,000 140,875 220,000 177,100 115,000 92,575
American Media, Inc. 144A company guaranty sr. unsec.              
sub. notes 8 7/8s, 2011   909 741 1,091 889 545 444
American Media, Inc. 144A company guaranty sr. unsec.              
sub. notes 10 1/4s, 2009   6,363 5,122 7,999 6,439 4,181 3,366
Aramark Corp. company guaranty 8 1/2s, 2015   275,000 269,500 270,000 264,600 125,000 122,500
ArvinMeritor, Inc. sr. unsec. notes 8 1/8s, 2015   110,000 86,350 120,000 94,200 60,000 47,100
Associated Materials, Inc. company guaranty 9 3/4s,              
2012   245,000 242,550 300,000 297,000 110,000 108,900
Autonation, Inc. company guaranty 7s, 2014   30,000 26,700 35,000 31,150 20,000 17,800
Autonation, Inc. company guaranty sr. unsec. notes FRN              
4.713s, 2013   50,000 42,250 55,000 46,475 30,000 25,350
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,              
2014   225,000 147,656 240,000 157,500 120,000 78,750
Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016   160,000 118,000 195,000 143,813 105,000 77,438
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)   391,391 348,338 384,071 341,823 139,145 123,839
Cenveo Corp. 144A company guaranty sr. unsec. notes              
10 1/2s, 2016   470,000 465,300 630,000 623,700 -- --
Claire's Stores, Inc. 144A company guaranty sr. unsec.              
notes 9 5/8s, 2015 (In default) (NON)   190,000 80,750 170,000 72,250 80,000 34,000
Corrections Corporation of America sr. notes 7 1/2s,              
2011   125,000 125,625 160,000 160,800 85,000 85,425
D.R. Horton, Inc. company guaranty 8s, 2009   276,000 275,310 272,000 271,320 -- --
D.R. Horton, Inc. company guaranty sr. unsub. notes              
5s, 2009   399,000 391,519 400,000 392,500 -- --
D.R. Horton, Inc. sr. notes 7 7/8s, 2011   -- -- 115,000 110,400 130,000 124,800
D.R. Horton, Inc. sr. notes 5 7/8s, 2013   -- -- 140,000 119,000 365,000 310,250
DaimlerChrysler NA Holding Corp. company guaranty              
6 1/2s, 2013   -- -- 35,000 36,294 50,000 51,849
DaimlerChrysler NA Holding Corp. company guaranty              
unsec. notes 7.2s, 2009   -- -- -- -- 35,000 36,000
DaimlerChrysler NA Holding Corp. company guaranty              
unsec. unsub. notes Ser. MTN, 5 3/4s, 2011   -- -- 245,000 249,837 445,000 453,786
Dana Corp. bonds 5.85s, 2015 (Escrow)   225,000 12,938 245,000 14,088 120,000 6,900
Federated Department Stores, Inc. company guaranty sr.              
unsec. notes 6 5/8s, 2011   -- -- 4,375,000 4,316,393 3,965,000 3,911,885

FelCor Lodging, LP company guaranty 8 1/2s, 2011 (R) 1,590,000 1,554,225 -- -- -- --
Ford Motor Credit Co., LLC notes 7 7/8s, 2010 535,000 461,789 550,000 474,736 215,000 185,579
Ford Motor Credit Co., LLC notes 7.8s, 2012 110,000 85,075 -- -- 100,000 77,341
Ford Motor Credit Co., LLC notes 6 3/8s, 2008 -- -- 215,000 211,306 235,000 230,962
Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011 1,330,000 1,117,313 1,090,000 915,693 445,000 373,838
Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s,            
2010 145,000 125,155 179,000 154,502 -- --
Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009 85,000 77,416 105,000 95,632 50,000 45,539
Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011 -- -- 4,000 3,975 -- --
Goodyear Tire & Rubber Co. (The) sr. notes 9s, 2015 313,000 312,218 276,000 275,310 135,000 134,663
Hanesbrands, Inc. company guaranty sr. unsec. notes            
FRN Ser. B, 6.508s, 2014 230,000 213,900 220,000 204,600 100,000 93,000
Hanson PLC company guaranty 6 1/8s, 2016 (United            
Kingdom) 2,405,000 2,386,186 -- -- -- --
Host Marriott, LP company guaranty Ser. Q, 6 3/4s,            
2016 (R) 110,000 97,625 -- -- -- --
Host Marriott, LP sr. notes Ser. M, 7s, 2012 (R) 320,000 302,400 450,000 425,250 210,000 198,450
Isle of Capri Casinos, Inc. company guaranty 7s, 2014 140,000 98,700 125,000 88,125 60,000 42,300
JC Penney Co., Inc. debs. 7.65s, 2016 -- -- 25,000 25,027 25,000 25,027
JC Penney Co., Inc. notes 6 7/8s, 2015 -- -- 195,000 187,916 210,000 202,371
Jostens IH Corp. company guaranty 7 5/8s, 2012 160,000 157,200 220,000 216,150 105,000 103,163
K. Hovnanian Enterprises, Inc. sr. notes 8 5/8s, 2017 30,000 21,900 25,000 18,250 10,000 7,300
KB Home company guaranty 6 3/8s, 2011 -- -- 1,520,000 1,398,400 1,380,000 1,269,600
Lamar Media Corp. company guaranty 7 1/4s, 2013 185,000 177,831 260,000 249,925 120,000 115,350
Lamar Media Corp. sr. unsec. sub. notes Ser. C,            
6 5/8s, 2015 115,000 104,650 50,000 45,500 25,000 22,750
Lear Corp. company guaranty 8 1/2s, 2013 320,000 264,400 285,000 235,481 130,000 107,413
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 115,000 111,838 145,000 141,013 75,000 72,938
Levi Strauss & Co. sr. unsec. unsub. notes 9 3/4s, 2015 290,000 291,450 275,000 276,375 125,000 125,625
Limited Brands, Inc. sr. unsec. notes 6 1/8s, 2012 3,130,000 2,987,521 -- -- -- --
Marriott International, Inc. notes 6 3/8s, 2017 -- -- 210,000 198,430 218,000 205,989
Marriott International, Inc. sr. unsec. Ser. J,            
5 5/8s, 2013 -- -- 45,000 42,321 45,000 42,321
Marriott International, Inc. sr. unsec. unsub. notes            
4 5/8s, 2012 2,815,000 2,609,381 -- -- -- --
Masco Corp. sr. unsec. notes 5.85s, 2017 2,370,000 2,148,147 -- -- -- --
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,            
2015 355,000 313,288 315,000 277,988 150,000 132,375
Mattel, Inc. sr. unsec. notes 5 5/8s, 2013 1,645,000 1,612,016 -- -- -- --
Meritage Homes Corp. company guaranty 6 1/4s, 2015 275,000 220,688 285,000 228,713 130,000 104,325
Meritage Homes Corp. sr. notes 7s, 2014 30,000 24,300 15,000 12,150 5,000 4,050
Meritor Automotive, Inc. notes 6.8s, 2009 339,000 333,491 449,000 441,704 -- --
MGM Mirage, Inc. company guaranty 8 1/2s, 2010 85,000 83,938 95,000 93,813 50,000 49,375
MGM Mirage, Inc. sr. notes 6 3/4s, 2012 315,000 282,713 436,000 391,310 216,000 193,860
Michaels Stores, Inc. company guaranty 11 3/8s, 2016 255,000 202,725 250,000 198,750 115,000 91,425
Michaels Stores, Inc. company guaranty 10s, 2014 30,000 25,988 5,000 4,331 5,000 4,331
Mohegan Tribal Gaming Authority sr. sub. notes 6 3/8s,            
2009 90,000 89,100 130,000 128,700 59,000 58,410
Neiman-Marcus Group, Inc. company guaranty 9s, 2015 465,000 459,188 505,000 498,688 250,000 246,875
NTK Holdings, Inc. sr. disc. notes zero %, 2014 210,000 95,550 230,000 104,650 110,000 50,050
Omnicom Group, Inc. sr. notes 5.9s, 2016 -- -- 140,000 136,793 150,000 146,564
Pinnacle Entertainment, Inc. company guaranty sr.            
unsec. sub. notes 7 1/2s, 2015 240,000 183,600 225,000 172,125 105,000 80,325
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,            
2012 250,000 245,625 240,000 235,800 110,000 108,075
Quebecor Media, Inc. sr. unsec. notes Ser. *, 7 3/4s,            
2016 (Canada) 65,000 60,450 60,000 55,800 25,000 23,250
R.H. Donnelley, Inc. 144A company guaranty sr. unsec.            
notes 11 3/4s, 2015 373,000 339,430 319,000 290,290 144,000 131,040
Reader's Digest Association, Inc. (The) 144A sr. sub.            
notes 9s, 2017 205,000 149,650 200,000 146,000 90,000 65,700
Realogy Corp. company guaranty sr. unsec. notes            
10 1/2s, 2014 (R) 700,000 486,500 640,000 444,800 295,000 205,025
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 50,000 41,000 70,000 57,400 30,000 24,600
Starwood Hotels & Resorts Worldwide, Inc. sr. unsec.            
notes 6 1/4s, 2013 -- -- 285,000 275,187 320,000 308,981
Station Casinos, Inc. sr. notes 6s, 2012 305,000 242,475 405,000 321,975 190,000 151,050
Target Corp. bonds 6 1/2s, 2037 -- -- 375,000 360,741 395,000 379,980
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014 145,000 127,963 130,000 114,725 60,000 52,950
Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,            
2013 15,000 15,694 15,000 15,694 8,000 8,370
Tenneco, Inc. 144A sr. unsec. notes 8 1/8s, 2015 60,000 54,300 55,000 49,775 25,000 22,625
Texas Industries, Inc. sr. unsec. notes 7 1/4s, 2013 275,000 273,625 255,000 253,725 120,000 119,400
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.            
notes 8 1/2s, 2014 525,000 336,000 435,000 278,400 190,000 121,600
THL Buildco, Inc. (Nortek Holdings, Inc.) 144A sr.            
sec. notes 10s, 2013 173,000 165,215 228,000 217,740 -- --
Toll Brothers, Inc. company guaranty sr. unsec. sub.            
notes 8 1/4s, 2011 890,000 863,300 1,335,000 1,294,950 -- --
Tropicana Entertainment, LLC sr. sub. notes 9 5/8s,            
2014 (In default) (NON) 200,000 95,000 205,000 97,375 100,000 47,500
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,            
2015 500,000 311,250 550,000 342,375 255,000 158,738
TRW Automotive, Inc. 144A company guaranty sr. notes            
7 1/4s, 2017 105,000 88,200 100,000 84,000 -- --
UCI Holdco, Inc. sr. unsec. notes FRN 10.276s, 2013            
(PIK) 280,513 238,436 273,472 232,451 128,007 108,806
United Auto Group, Inc. company guaranty 7 3/4s, 2016 195,000 170,625 200,000 175,000 100,000 87,500
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009            
(In default) (NON) 550,000 242,000 565,000 248,600 265,000 116,600
Vertis, Inc. 144A unsec. sub. notes 13 1/2s, 2009 (In            
default) (NON) 60,000 2,100 35,000 1,225 15,000 525
VF Corp. sr. unsec. 5.95s, 2017 -- -- 270,000 265,420 230,000 226,098
Vulcan Materials Co. sr. unsec. unsub. notes 5.6s, 2012 -- -- 330,000 327,665 295,000 292,913
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st            
mtge. 6 5/8s, 2014 365,000 333,975 380,000 347,700 175,000 160,125
Yankee Acquisition Corp. company guaranty Ser. B,            
8 1/2s, 2015 185,000 144,300 170,000 132,600 80,000 62,400
    27,593,792   23,308,966   13,610,467
 
Consumer Staples   1.5%   1.4%   2.0%
Adelphia Communications Corp. escrow bonds zero %, 2010 200,000 16,500 270,000 22,275 125,000 10,313
Affinion Group, Inc. company guaranty 11 1/2s, 2015 175,000 174,563 175,000 174,563 85,000 84,788
Affinion Group, Inc. company guaranty 10 1/8s, 2013 315,000 315,788 300,000 300,750 135,000 135,338
Affinity Group, Inc. sr. sub. notes 9s, 2012 175,000 154,000 250,000 220,000 115,000 101,200
AMC Entertainment, Inc. company guaranty 11s, 2016 205,000 202,950 275,000 272,250 119,000 117,810
AMC Entertainment, Inc. sr. sub. notes 8s, 2014 115,000 102,063 115,000 102,063 54,000 47,925
Avis Budget Car Rental, LLC company guaranty 7 3/4s,            
2016 120,000 92,100 145,000 111,288 75,000 57,563
Avis Budget Car Rental, LLC company guaranty 7 5/8s,            
2014 95,000 76,000 105,000 84,000 55,000 44,000
British Sky Broadcasting PLC company guaranty 6 7/8s,            
2009 (United Kingdom) -- -- 3,585,000 3,639,349 3,260,000 3,309,422
Buffets, Inc. company guaranty 12 1/2s, 2014 (In            
default) (NON) 75,000 1,125 75,000 1,125 35,000 525
Campbell Soup Co. debs. 8 7/8s, 2021 -- -- 300,000 391,288 255,000 332,595
Cargill, Inc. 144A notes 5.2s, 2013 -- -- 1,100,000 1,085,971 995,000 982,311
CCH I Holdings, LLC company guaranty 12 1/8s, 2015 25,000 15,063 15,000 9,038 5,000 3,013
CCH II, LLC sr. unsec. notes 10 1/4s, 2010 410,000 396,675 385,000 372,488 270,000 261,225
CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010 670,000 646,550 615,000 593,475 380,000 366,700
Chiquita Brands International, Inc. sr. notes 7 1/2s,            
2014 150,000 122,250 170,000 138,550 85,000 69,275
Chiquita Brands International, Inc. sr. unsec. unsub.            
notes 8 7/8s, 2015 25,000 21,875 30,000 26,250 15,000 13,125
Church & Dwight Co., Inc. company guaranty 6s, 2012 130,000 124,800 180,000 172,800 85,000 81,600
Cinemark, Inc. sr. disc. notes stepped-coupon zero %            
(9 3/4s, 3/15/09), 2014 (STP) 405,000 384,750 380,000 361,000 175,000 166,250
Clear Channel Communications, Inc. sr. unsec. notes            
5 1/2s, 2014 55,000 33,000 50,000 30,000 25,000 15,000
ConAgra Foods, Inc. unsec. notes 7 7/8s, 2010 -- -- 990,000 1,046,513 860,000 909,092
Cox Communications, Inc. notes 7 1/8s, 2012 -- -- 310,000 323,565 390,000 407,065
Cox Communications, Inc. unsec. sr. notes 4 5/8s, 2010 2,360,000 2,346,978 -- -- -- --
Cox Communications, Inc. 144A notes 5 7/8s, 2016 -- -- 355,000 346,807 335,000 327,269
Cox Enterprises, Inc. 144A notes 7 7/8s, 2010 -- -- 225,000 237,173 110,000 115,951
CSC Holdings, Inc. debs. Ser. B, 8 1/8s, 2009 405,000 408,038 570,000 574,275 265,000 266,988
CSC Holdings, Inc. sr. notes 6 3/4s, 2012 130,000 122,200 50,000 47,000 20,000 18,800
CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 125,000 122,500 50,000 49,000 20,000 19,600
CVS Caremark Corp. sr. unsec. FRN 6.302s, 2037 -- -- 760,000 651,700 715,000 613,113
CVS Caremark Corp. 144A pass-through certificates            
6.117s, 2013 -- -- 322,424 319,600 287,879 285,357
Darden Restaurants, Inc. sr. unsec. notes 6.2s, 2017 1,485,000 1,377,926 -- -- -- --
Dean Foods Co. company guaranty 7s, 2016 200,000 173,500 180,000 156,150 85,000 73,738
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 35,525 45,000 45,675 20,000 20,300
Delhaize Group sr. unsub. notes 6 1/2s, 2017 (Belgium) -- -- 200,000 201,744 170,000 171,482
Diageo Capital PLC company guaranty 5 3/4s, 2017            
(United Kingdom) -- -- 435,000 429,340 390,000 384,925
Diageo Capital PLC company guaranty 5.2s, 2013 (United            
Kingdom) -- -- 190,000 190,217 165,000 165,189
Diageo PLC company guaranty 8s, 2022 -- -- 165,000 188,022 135,000 153,836
DirecTV Holdings, LLC company guaranty 6 3/8s, 2015 846,000 793,125 1,047,000 981,563 235,000 220,313
DirecTV Holdings, LLC 144A sr. notes 7 5/8s, 2016 120,000 118,200 157,000 154,645 -- --
Dole Food Co. sr. notes 8 5/8s, 2009 98,000 93,345 197,000 187,643 88,000 83,820
Echostar DBS Corp. company guaranty 7s, 2013 150,000 142,875 165,000 157,163 85,000 80,963
Echostar DBS Corp. company guaranty 6 5/8s, 2014 55,000 50,875 10,000 9,250 -- --
Echostar DBS Corp. sr. notes 6 3/8s, 2011 650,000 627,250 655,000 632,075 295,000 284,675
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014 210,000 196,875 275,000 257,813 130,000 121,875
Estee Lauder Cos., Inc. (The) sr. unsec. notes 6s, 2037 -- -- 360,000 335,319 310,000 288,747
Estee Lauder Cos., Inc. (The) sr. unsec. notes 5.55s,            
2017 -- -- 95,000 92,850 80,000 78,190
Hertz Corp. company guaranty 8 7/8s, 2014 335,000 306,525 360,000 329,400 180,000 164,700
Idearc, Inc. company guaranty 8s, 2016 800,000 503,000 710,000 446,413 335,000 210,631
Ion Media Networks, Inc. 144A sr. sec. notes 8.963s,            
2013 70,000 45,150 90,000 58,050 45,000 29,025
Ion Media Networks, Inc. 144A sr. sec. notes 5.963s,            
2012 90,000 76,500 110,000 93,500 60,000 51,000
Jarden Corp. company guaranty 7 1/2s, 2017 200,000 174,000 200,000 174,000 90,000 78,300
Kellogg Co. sr. unsub. 5 1/8s, 2012 -- -- 65,000 65,727 55,000 55,615
Kroger Co. company guaranty 6 3/4s, 2012 -- -- -- -- 150,000 157,964
Kroger Co. company guaranty 6.4s, 2017 -- -- 215,000 219,291 100,000 101,996
Kroger Co. sr. notes 6.15s, 2020 -- -- 40,000 39,899 -- --
Liberty Media Corp. debs. 8 1/4s, 2030 195,000 169,868 245,000 213,423 120,000 104,534
Liberty Media, LLC sr. unsec. notes 7 7/8s, 2009 1,490,000 1,504,501 -- -- -- --
McDonald's Corp. sr. unsec. bond 6.3s, 2037 -- -- 205,000 203,890 210,000 208,863
McDonald's Corp. sr. unsec. bond 5.8s, 2017 -- -- 105,000 106,641 110,000 111,719
Newell Rubbermaid, Inc. sr. unsec. notes 5 1/2s, 2013 1,375,000 1,352,733 -- -- -- --
News America Holdings, Inc. company guaranty 7 3/4s,            
2024 -- -- 350,000 378,177 300,000 324,152
News America Holdings, Inc. debs. 7 3/4s, 2045 -- -- 620,000 661,580 505,000 538,868
Nielsen Finance, LLC/Nielsen Finance Co. company            
guaranty 10s, 2014 3,000 3,023 2,000 2,015 2,000 2,015
Nielsen Finance, LLC/Nielsen Finance Co. company            
guaranty stepped-coupon zero % (12 1/2s, 8/1/11), 2016            
(STP) 275,000 189,063 220,000 151,250 105,000 72,188

Nielsen Finance, LLC/Nielsen Finance Co. 144A company            
guaranty sr. unsec. notes 10s, 2014 192,000 198,000 188,000 193,875 88,000 90,750
NTL Cable PLC sr. notes 9 1/8s, 2016 (United Kingdom) -- -- 100,000 93,750 -- --
OSI Restaurant Partners, Inc. 144A sr. notes 10s, 2015 115,000 74,463 110,000 71,225 50,000 32,375
Pearson Dollar Finance Two PLC 144A company guaranty            
sr. notes 6 1/4s, 2018 (United Kingdom) 2,470,000 2,437,562 -- -- -- --
Pilgrim's Pride Corp. sr. unsec. notes 7 5/8s, 2015 38,000 31,255 40,000 32,900 17,000 13,983
Pinnacle Foods Finance, LLC sr. notes 9 1/4s, 2015 125,000 110,000 115,000 101,200 55,000 48,400
Pinnacle Foods Finance, LLC sr. sub. notes 10 5/8s,            
2017 130,000 104,000 125,000 100,000 60,000 48,000
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012 150,000 150,000 210,000 210,000 100,000 100,000
R. R. Donnelley & Sons Co. sr. unsec. notes 5 5/8s,            
2012 1,810,000 1,772,680 -- -- -- --
R.H. Donnelley Corp. sr. unsec. unsub. notes 8 7/8s,            
2017 11,000 6,545 8,000 4,760 4,000 2,380
Rainbow National Services, LLC 144A sr. notes 8 3/4s,            
2012 280,000 284,200 270,000 274,050 130,000 131,950
Reynolds American, Inc. company guaranty 7 1/4s, 2013 260,000 268,770 285,000 294,613 140,000 144,722
Rite Aid Corp. company guaranty 9 3/8s, 2015 214,000 143,380 197,000 131,990 92,000 61,640
Rite Aid Corp. sec. notes 7 1/2s, 2017 245,000 197,838 225,000 181,688 105,000 84,788
Sara Lee Corp. sr. unsec. unsub. notes 6 1/4s, 2011 -- -- 330,000 337,857 300,000 307,143
Sara Lee Corp. sr. unsec. unsub. notes 3 7/8s, 2013 670,000 619,591 -- -- -- --
Sinclair Broadcast Group, Inc. company guaranty 8s,            
2012 97,000 97,728 86,000 86,645 40,000 40,300
Sirius Satellite Radio, Inc. sr. unsec. notes 9 5/8s,            
2013 140,000 113,400 180,000 145,800 90,000 72,900
Spectrum Brands, Inc. company guaranty 7 3/8s, 2015 260,000 163,800 300,000 189,000 150,000 94,500
Spectrum Brands, Inc. company guaranty sr. unsec. sub.            
notes stepped-coupon 11 1/2s (12s, 10/2/08), 2013            
(STP) (PIK) 140,000 114,800 145,000 118,900 65,000 53,300
Supervalu, Inc. notes 7 7/8s, 2009 5,760,000 5,846,400 -- -- -- --
Supervalu, Inc. sr. notes 7 1/2s, 2014 215,000 215,269 210,000 210,263 95,000 95,119
TCI Communications, Inc. company guaranty 7 7/8s, 2026 -- -- 1,140,000 1,237,530 830,000 901,009
TCI Communications, Inc. debs. 9.8s, 2012 -- -- 65,000 73,269 50,000 56,361
TCI Communications, Inc. debs. 7 7/8s, 2013 -- -- 530,000 568,853 660,000 708,383
Tesco PLC 144A sr. unsec. unsub. notes 6.15s, 2037            
(United Kingdom) -- -- 530,000 491,255 450,000 417,103
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023 -- -- -- -- 25,000 26,940
Time Warner, Inc. debs. 9.15s, 2023 -- -- 25,000 28,682 105,000 120,465
Time Warner, Inc. debs. 9 1/8s, 2013 -- -- 705,000 774,149 555,000 609,436
Tyson Foods, Inc. sr. unsec. notes 8 1/4s, 2011 2,970,000 2,987,238 -- -- -- --
United Rentals NA, Inc. company guaranty 6 1/2s, 2012 168,000 151,200 177,000 159,300 17,000 15,300
Universal City Florida Holding Co. sr. notes 8 3/8s,            
2010 140,000 138,600 200,000 198,000 95,000 94,050
Universal Corp. MTNC notes 5.2s, 2013 -- -- 3,160,000 3,036,077 2,840,000 2,728,627
Univision Communications, Inc. 144A company guaranty            
unsec. notes 9 3/4s, 2015 (PIK) 165,000 121,275 150,000 110,250 75,000 55,125
Viacom, Inc. company guaranty 5 5/8s, 2012 1,465,000 1,453,526 -- -- -- --
Viacom, Inc. company guaranty sr. unsec. notes 6 5/8s,            
2011 1,705,000 1,745,913 -- -- -- --
Viacom, Inc. sr. notes 5 3/4s, 2011 -- -- 130,000 130,303 140,000 140,326
Young Broadcasting, Inc. company guaranty 10s, 2011 180,000 100,800 170,000 95,200 79,000 44,240
Yum! Brands, Inc. sr. unsec. unsub. 6 1/4s, 2018 1,340,000 1,306,627 245,000 238,898 210,000 204,770
    34,987,562   29,091,963   21,190,096
 
Energy   0.4%   0.8%   0.8%
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 -- -- 85,000 85,097 93,000 93,106
Arch Western Finance, LLC sr. notes 6 3/4s, 2013 455,000 445,900 515,000 504,700 255,000 249,900
Chaparral Energy, Inc. company guaranty sr. unsec.            
notes 8 7/8s, 2017 290,000 251,575 275,000 238,563 125,000 108,438
Chesapeake Energy Corp. company guaranty 7 3/4s, 2015 383,000 397,363 -- -- -- --
Chesapeake Energy Corp. company guaranty 6 1/2s, 2017 95,000 88,825 -- -- -- --
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013 -- -- 515,000 515,000 250,000 250,000
Chesapeake Energy Corp. sr. notes 7s, 2014 -- -- 200,000 196,000 -- --
Chesapeake Energy Corp. sr. unsec. notes 7 5/8s, 2013 -- -- 225,000 225,563 230,000 230,575
Complete Production Services, Inc. company guaranty            
8s, 2016 290,000 289,638 300,000 299,625 150,000 149,813
Compton Petroleum Corp. company guaranty 7 5/8s, 2013            
(Canada) 305,000 299,663 345,000 338,963 170,000 167,025
Comstock Resources, Inc. sr. notes 6 7/8s, 2012 125,000 122,813 175,000 171,938 80,000 78,600
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,            
2015 (Canada) 190,000 200,450 170,000 179,350 80,000 84,400
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015 230,000 228,850 220,000 218,900 105,000 104,475
Dresser-Rand Group, Inc. company guaranty 7 3/8s, 2014 50,000 49,375 45,000 44,438 20,000 19,750
El Paso Natural Gas Co. sr. unsec. notes 5.95s, 2017 -- -- 40,000 38,597 35,000 33,773
Encore Acquisition Co. sr. sub. notes 6s, 2015 290,000 272,600 402,000 377,880 184,000 172,960
Enterprise Products Operating, LP company guaranty FRB            
8 3/8s, 2066 -- -- 460,000 459,868 485,000 484,861
Enterprise Products Operating, LP company guaranty FRB            
7.034s, 2068 -- -- 270,000 236,051 125,000 109,283
EOG Resources, Inc. sr. unsec. notes 5 7/8s, 2017 -- -- 235,000 236,586 205,000 206,383
EXCO Resources, Inc. company guaranty 7 1/4s, 2011 125,000 122,813 110,000 108,075 55,000 54,038
Forest Oil Corp. sr. notes 8s, 2011 230,000 236,900 340,000 350,200 220,000 226,600
Gaz Capital SA 144A company guaranty sr. unsec. bond            
8.146s, 2018 (Luxembourg) 158,000 165,303 324,000 338,975 288,000 301,311
Gaz Capital SA 144A company guaranty sr. unsec. bond            
7.343s, 2013 (Luxembourg) 143,000 147,396 334,000 344,267 298,000 307,161
Gaz Capital SA 144A sr. unsec. 6.51s, 2022 (Luxembourg) 230,000 206,425 507,000 455,033 438,000 393,105
Harvest Operations Corp. sr. notes 7 7/8s, 2011            
(Canada) 165,000 156,750 205,000 194,750 110,000 104,500
Helix Energy Solutions Group, Inc. 144A sr. unsec.            
notes 9 1/2s, 2016 420,000 430,500 440,000 451,000 265,000 271,625
Hess Corp. bonds 7 7/8s, 2029 -- -- 240,000 275,258 270,000 309,665
Hilcorp Energy I, LP/Hilcorp Finance Co. 144A sr.            
unsec. notes 9s, 2016 70,000 71,225 80,000 81,400 40,000 40,700
Hornbeck Offshore Services, Inc. sr. notes Ser. B,            
6 1/8s, 2014 85,000 81,600 75,000 72,000 35,000 33,600
Inergy, LP/Inergy Finance Corp. sr. unsec. notes            
6 7/8s, 2014 285,000 265,050 380,000 353,400 190,000 176,700
Kerr-McGee Corp. sec. notes 6.95s, 2024 180,000 186,708 230,000 238,571 110,000 114,099
Key Energy Services, Inc. 144A sr. notes 8 3/8s, 2014 170,000 173,400 145,000 147,900 70,000 71,400
Massey Energy Co. sr. notes 6 5/8s, 2010 305,000 305,000 275,000 275,000 130,000 130,000
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012 -- -- 80,000 82,922 70,000 72,557
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016 5,000 4,600 145,000 133,400 155,000 142,600
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014 245,000 230,300 230,000 216,200 105,000 98,700
Nexen, Inc. unsec. unsub. notes 6.4s, 2037 (Canada) -- -- 225,000 213,038 200,000 189,367
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013 180,000 173,250 235,000 226,188 115,000 110,688
OPTI Canada, Inc. company guaranty sr. sec. notes            
8 1/4s, 2014 (Canada) 220,000 218,900 215,000 213,925 100,000 99,500
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011 37,362 38,991 54,344 56,714 39,060 40,763
Peabody Energy Corp. company guaranty 7 3/8s, 2016 385,000 384,038 515,000 513,713 245,000 244,388
Peabody Energy Corp. sr. notes 5 7/8s, 2016 -- -- 270,000 253,800 225,000 211,500
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013 400,000 410,000 455,000 466,375 230,000 235,750
Petroleum Development Corp. company guaranty sr.            
unsec. notes 12s, 2018 145,000 153,338 130,000 137,475 65,000 68,738
Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014            
(Bermuda) 270,000 244,350 260,000 235,300 75,000 67,875
Plains Exploration & Production Co. company guaranty            
7 3/4s, 2015 70,000 70,525 50,000 50,375 30,000 30,225
Plains Exploration & Production Co. company guaranty            
7s, 2017 245,000 235,200 230,000 220,800 105,000 100,800
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015 -- -- 290,000 299,187 260,000 268,236
Pride International, Inc. sr. unsec. notes 7 3/8s, 2014 195,000 194,513 275,000 274,313 130,000 129,675
Quicksilver Resources, Inc. company guaranty 7 1/8s,            
2016 105,000 97,781 130,000 121,063 70,000 65,188
Sabine Pass LNG, LP sec. notes 7 1/2s, 2016 465,000 418,500 455,000 409,500 250,000 225,000
SandRidge Energy, Inc. sr. notes 8s, 2018 340,000 341,700 500,000 502,500 -- --
SandRidge Energy, Inc. 144A company guaranty sr.            
unsec. FRN 6.323s, 2014 100,000 98,135 95,000 93,228 45,000 44,161
SandRidge Energy, Inc. 144A company guaranty sr.            
unsec. notes 8 5/8s, 2015 (PIK) 275,000 281,875 265,000 271,625 125,000 128,125
Stallion Oilfield Services/Stallion Oilfield Finance            
Corp. 144A sr. unsec. notes 9 3/4s, 2015 495,000 423,225 445,000 380,475 220,000 188,100
Sunoco, Inc. notes 4 7/8s, 2014 -- -- 130,000 122,734 110,000 103,852
Targa Resources, Inc. company guaranty sr. unsec.            
notes 8 1/2s, 2013 540,000 529,200 470,000 460,600 235,000 230,300
Tesoro Corp. company guaranty 6 1/2s, 2017 -- -- 360,000 323,100 305,000 273,738
Weatherford International, Inc. company guaranty sr.            
unsec. unsub. bonds 6.8s, 2037 -- -- 110,000 110,133 90,000 90,109
Weatherford International, Inc. company guaranty sr.            
unsec. unsub. bonds 6.35s, 2017 -- -- 130,000 131,674 100,000 101,288
Weatherford International, Ltd. company guaranty            
6 1/2s, 2036 -- -- 205,000 200,589 205,000 200,589
Weatherford International, Ltd. sr. notes 5 1/2s, 2016 -- -- 95,000 91,913 105,000 101,588
Whiting Petroleum Corp. company guaranty 7s, 2014 120,000 117,750 150,000 147,188 75,000 73,594
Williams Cos., Inc. (The) sr. unsec. notes 7 5/8s, 2019 440,000 462,000 420,000 441,000 195,000 204,750
Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010 50,000 50,500 60,000 60,600 30,000 30,300
    10,374,793   15,514,595   9,249,890
 
Financial   1.0%   2.0%   2.9%
AGFC Capital Trust I company guaranty 6s, 2067 -- -- 180,000 145,246 185,000 149,280
American Express Bank FSB notes Ser. BKN1, 5.55s, 2012 -- -- 905,000 895,257 780,000 771,603
American Express Co. sr. unsec. notes 6.15s, 2017 -- -- 220,000 214,883 265,000 258,837
American International Group, Inc. jr. sub. bond            
6 1/4s, 2037 -- -- 705,000 555,300 600,000 472,596
Ameriprise Financial, Inc. jr. sub. FRN 7.518s, 2066 -- -- 405,000 341,534 450,000 379,482
Amvescap PLC company guaranty 5 5/8s, 2012 -- -- 180,000 172,846 155,000 148,840
Bank of New York Mellon Corp. (The) sr. unsec. unsub.            
notes Ser. G, 4.95s, 2012 -- -- 230,000 229,331 205,000 204,404
BankAmerica Capital III bank guaranty jr. unsec. FRN            
Ser. *, 3.283s, 2027 580,000 458,272 745,000 588,642 -- --
Barclays Bank PLC 144A sub. bonds FRB 7.7s, 2049            
(United Kingdom) 635,000 640,344 -- -- -- --
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,            
2012 -- -- 620,000 644,659 535,000 556,278
Block Financial Corp. notes 5 1/8s, 2014 2,260,000 2,075,792 -- -- -- --
Bosphorus Financial Services, Ltd. 144A sec. sr. notes            
FRN 4.476s, 2012 (Cayman Islands) 187,500 180,865 495,938 478,388 564,375 544,404
Capital One Financial Corp. sr. unsec. unsub. notes            
FRN Ser. MTN, 2.976s, 2009 215,000 200,680 280,000 261,351 -- --
CIT Group, Inc. jr. sub. FRN 6.1s, 2067 -- -- 1,120,000 553,000 965,000 476,469
CIT Group, Inc. sr. notes 5.4s, 2013 -- -- 60,000 45,618 50,000 38,015
CIT Group, Inc. sr. notes 5s, 2014 -- -- 435,000 312,367 410,000 294,414
Citigroup, Inc. sr. unsec. bonds 6 7/8s, 2038 -- -- 273,000 264,394 249,000 241,151
Citigroup, Inc. sub. notes 5s, 2014 -- -- 516,000 477,901 475,000 439,928
CNA Financial Corp. unsec. notes 6 1/2s, 2016 1,415,000 1,363,885 165,000 159,040 175,000 168,678
CNA Financial Corp. unsec. notes 6s, 2011 885,000 888,867 165,000 165,721 170,000 170,743
Countrywide Financial Corp. company guaranty unsec.            
unsub. notes FRN 2.868s, 2009 730,000 715,718 -- -- -- --
Credit Suisse Guernsey, Ltd. jr. sub. FRN 5.86s, 2049            
(Guernsey) -- -- 490,000 408,488 420,000 350,132
Deutsche Bank Capital Funding Trust VII 144A FRB            
5.628s, 2049 -- -- 235,000 198,010 260,000 219,075

Developers Diversified Realty Corp. unsec. notes            
5 3/8s, 2012 (R) -- -- 85,000 79,742 85,000 79,742
Dresdner Funding Trust I 144A bonds 8.151s, 2031 -- -- 485,000 404,717 415,000 346,304
Duke Realty, LP sr. unsec. notes 6 1/2s, 2018 -- -- 170,000 161,879 145,000 138,073
E*Trade Financial Corp. sr. unsec. notes 8s, 2011 80,000 73,600 110,000 101,200 50,000 46,000
E*Trade Financial Corp. sr. unsec. notes 7 3/8s, 2013 125,000 107,500 10,000 8,600 5,000 4,300
Equity One, Inc. notes 5 3/8s, 2015 (R) -- -- 190,000 167,970 195,000 172,390
Erac USA Finance Co. 144A company guaranty 6 3/8s, 2017 -- -- 410,000 366,376 355,000 317,228
Fleet Capital Trust V bank guaranty FRN 3.764s, 2028 790,000 649,389 1,080,000 887,772 220,000 180,842
Fund American Cos., Inc. notes 5 7/8s, 2013 -- -- 300,000 291,167 275,000 266,903
GATX Financial Corp. notes 5.8s, 2016 -- -- 120,000 115,116 130,000 124,709
General Electric Capital Corp. sr. unsec. 5 5/8s, 2017 -- -- 1,035,000 1,012,158 965,000 943,702
General Electric Capital Corp. sr. unsec. notes            
5 7/8s, 2038 -- -- 1,145,000 1,037,677 1,110,000 1,005,957
General Electric Capital Corp. sub. notes FRN 6 3/8s,            
2067 -- -- 720,000 680,982 555,000 524,924
Genworth Life Institutional Funding Trust notes Ser.            
MTN, 5 7/8s, 2013 160,000 159,556 -- -- -- --
GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2011 475,000 341,322 605,000 434,736 295,000 211,979
GMAC, LLC sr. unsec. unsub. notes 7 3/4s, 2010 140,000 119,718 180,000 153,924 95,000 81,237
GMAC, LLC sr. unsec. unsub. notes 7s, 2012 70,000 48,897 305,000 213,051 355,000 247,977
GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2012 370,000 253,367 470,000 321,845 240,000 164,346
GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014 410,000 270,782 464,000 306,446 241,000 159,167
GMAC, LLC sr. unsec. unsub. notes 6 5/8s, 2012 205,000 139,011 145,000 98,325 70,000 47,467
GMAC, LLC sr. unsec. unsub. notes FRN 4.882s, 2014 369,000 242,559 175,000 115,035 48,000 31,552
GMAC, LLC sr. unsec. unsub. notes FRN 3.926s, 2009 -- -- 925,000 869,749 615,000 578,265
Goldman Sachs Group, Inc. (The) sr. notes 5.45s, 2012 -- -- 465,000 467,811 420,000 422,539
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037 -- -- 1,115,000 1,032,228 995,000 921,137
Health Care REIT, Inc. sr. notes 6s, 2013 (R) -- -- 85,000 79,301 90,000 83,965
Highwood Properties, Inc. sr. unsec. bonds 5.85s, 2017            
(R) -- -- 340,000 293,639 290,000 250,457
Hospitality Properties Trust notes 6 3/4s, 2013 (R) -- -- 175,000 166,235 175,000 166,235
HRPT Properties Trust bonds 5 3/4s, 2014 (R) -- -- 115,000 106,992 105,000 97,688
HRPT Properties Trust notes 6 1/4s, 2016 (R) -- -- 105,000 96,384 95,000 87,204
HSBC Finance Capital Trust IX FRN 5.911s, 2035 -- -- 700,000 561,155 800,000 641,320
HSBC Holdings PLC sub. notes 6 1/2s, 2037 (United            
Kingdom) -- -- 1,805,000 1,645,409 1,375,000 1,253,428
HUB International Holdings, Inc. 144A sr. sub. notes            
10 1/4s, 2015 70,000 57,400 70,000 57,400 30,000 24,600
HUB International Holdings, Inc. 144A sr. unsec.            
unsub. notes 9s, 2014 50,000 45,250 50,000 45,250 25,000 22,625
ILFC E-Capital Trust II 144A FRB 6 1/4s, 2065 -- -- 615,000 506,045 670,000 551,301
International Lease Finance Corp. sr. unsec. 6 3/8s,            
2013 1,840,000 1,697,435 -- -- -- --
International Lease Finance Corp. sr. unsec. Ser. MTN,            
5 5/8s, 2013 625,000 553,129 -- -- -- --
iStar Financial, Inc. sr. unsec. notes Ser. B, 4 7/8s,            
2009 (R) 275,000 264,000 980,000 940,800 820,000 787,200
JPMorgan Chase & Co. sr. notes 6s, 2018 -- -- 1,110,000 1,081,298 1,050,000 1,022,849
JPMorgan Chase Bank NA sub. notes 6s, 2017 -- -- 330,000 320,576 280,000 272,004
JPMorgan Chase Capital XVIII bonds Ser. R, 6.95s, 2036 -- -- 343,000 316,385 300,000 276,721
JPMorgan Chase Capital XXV bonds 6.8s, 2037 -- -- 330,000 296,203 285,000 255,812
Lehman Brothers Holdings, Inc. sub. notes 6 3/4s, 2017 -- -- 1,195,000 1,122,613 1,045,000 981,699
Lender Processing Services, Inc. 144A sr. unsec. notes            
8 1/8s, 2016 476,000 476,595 637,000 637,796 -- --
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015 115,000 115,575 95,000 95,475 45,000 45,225
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 195,000 186,225 185,000 176,675 85,000 81,175
Liberty Mutual Group 144A company guaranty FRB            
10 3/4s, 2058 1,145,000 1,116,830 1,080,000 1,053,429 -- --
Liberty Mutual Insurance 144A notes 7.697s, 2097 -- -- 490,000 415,749 510,000 432,719
Lincoln National Corp. jr. unsec. sub. deb. FRB 7s,            
2066 -- -- 190,000 173,065 210,000 191,282
Lincoln National Corp. sr. unsec. notes 6.3s, 2037 -- -- 280,000 263,341 195,000 183,398
Loews Corp. notes 5 1/4s, 2016 -- -- 95,000 91,898 100,000 96,735
Marsh & McLennan Cos., Inc. sr. unsec. notes 6 1/4s,            
2012 -- -- 625,000 640,733 565,000 579,223
Marsh & McLennan Cos., Inc. sr. unsec. notes 5 3/8s,            
2014 -- -- 380,000 368,916 345,000 334,937
Merrill Lynch & Co., Inc. notes 5.45s, 2013 -- -- 655,000 614,717 635,000 595,947
Merrill Lynch & Co., Inc. notes FRN Ser. MTN, 3.12s,            
2011 -- -- 380,000 346,650 280,000 255,426
MetLife Capital Trust IV jr. sub. debs. 7 7/8s, 2067 -- -- 1,500,000 1,469,982 1,300,000 1,273,984
MetLife Capital Trust X 144A collateral trust FRB            
9 1/4s, 2068 700,000 791,168 -- -- -- --
Nationwide Financial Services, Inc. notes 5 5/8s, 2015 -- -- 125,000 123,608 425,000 420,266
Nationwide Health Properties, Inc. notes 6 1/2s, 2011            
(R) -- -- 145,000 146,840 150,000 151,904
Nationwide Health Properties, Inc. unsec. notes            
6 1/4s, 2013 (R) -- -- 520,000 509,077 425,000 416,073
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031 -- -- 210,000 210,408 -- --
Nuveen Investments, Inc. sr. notes 5 1/2s, 2015 -- -- 110,000 78,650 110,000 78,650
Nuveen Investments, Inc. 144A sr. notes 10 1/2s, 2015 180,000 166,050 155,000 142,988 75,000 69,188
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033 -- -- 295,000 308,257 330,000 344,830
ProLogis Trust sr. notes 5 3/4s, 2016 (R) -- -- 150,000 141,269 135,000 127,142
Prudential Financial, Inc. jr. unsec. sub. notes FRN            
8 7/8s, 2038 1,305,000 1,291,748 770,000 762,181 450,000 445,431
Prudential Financial, Inc. notes Ser. MTN, 6s, 2017 -- -- 320,000 310,359 280,000 271,565
Prudential Financial, Inc. sr. unsec. unsub. notes            
5.15s, 2013 -- -- -- -- 35,000 34,404
Prudential Holdings, LLC 144A bonds 8.695s, 2023 -- -- 540,000 628,025 435,000 505,909
Regency Centers, LP sr. unsec. 5 7/8s, 2017 -- -- 230,000 212,874 195,000 180,480
Rouse Co., LP/TRC Co-Issuer, Inc. 144A sr. notes            
6 3/4s, 2013 (R) -- -- 165,000 148,670 175,000 157,680
Rouse Co. (The) notes 7.2s, 2012 (R) -- -- 150,000 137,812 170,000 156,187
Royal Bank of Scotland Group PLC jr. sub. notes FRN            
Ser. MTN, 7.64s, 2049 (United Kingdom) -- -- 400,000 364,537 300,000 273,403
Russian Agricultural Bank 144A notes 7 3/4s, 2018            
(Luxembourg) -- -- 110,000 107,800 100,000 98,000
Russian Agricultural Bank 144A notes 7 1/8s, 2014            
(Luxembourg) 120,000 118,344 110,000 108,482 100,000 98,620
Simon Property Group, LP unsub. bonds 5 3/4s, 2015 (R) -- -- 83,000 80,553 83,000 80,553
SLM Corp. notes Ser. MTNA, 4 1/2s, 2010 650,000 601,450 895,000 828,151 390,000 360,870
Sovereign Bancorp, Inc. sr. notes 4.8s, 2010 -- -- 155,000 137,551 155,000 137,551
State Street Capital Trust IV company guaranty jr.            
unsec. sub. bond FRB 3.776s, 2037 -- -- 475,000 364,676 -- --
Stowe CDO 08-1 144A notes FRN 4.593s, 2010 4,110,000 3,994,920 -- -- -- --
Stowe CDO 08-1 144A sr. unsec. FRN 6.033s, 2010 1,200,000 1,218,000 -- -- -- --
Swiss Re Capital I, LP 144A company guaranty FRN            
6.854s, 2049 (United Kingdom) -- -- 185,000 167,913 195,000 176,989
Travelers Cos., Inc. (The) sr. unsec. notes 6 1/4s,            
2037 -- -- 255,000 234,974 220,000 202,723
Unitrin, Inc. sr. notes 6s, 2017 -- -- 255,000 229,416 220,000 197,928
USI Holdings Corp. 144A sr. unsec. notes FRN 6.551s,            
2014 45,000 37,575 45,000 37,575 20,000 16,700
VTB Capital SA 144A notes 6 7/8s, 2018 (Luxembourg) 876,000 854,100 800,000 780,000 687,000 669,825
Wachovia Bank NA sub. notes Ser. BKNT, 6s, 2017 -- -- 865,000 807,686 755,000 704,974
Wells Fargo & Co. sr. notes 4 3/8s, 2013 -- -- 730,000 706,864 660,000 639,083
Westfield Group sr. notes 5.7s, 2016 (Australia) -- -- 205,000 191,436 230,000 214,782
Westpac Capital Trust III 144A sub. notes FRN 5.819s,            
2049 (Australia) -- -- 295,000 271,990 230,000 212,060
Willis Group North America, Inc. company guaranty            
6.2s, 2017 -- -- 215,000 189,984 185,000 163,474
ZFS Finance USA Trust I 144A bonds FRB 6 1/2s, 2037 -- -- 740,000 652,029 630,000 555,106
    22,515,918   40,547,228   31,908,578
 
Health Care   0.4%   0.5%   0.6%
Accellent, Inc. company guaranty 10 1/2s, 2013 80,000 73,200 80,000 73,200 40,000 36,600
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037 -- -- 1,810,000 1,714,285 1,625,000 1,539,068
AmerisourceBergen Corp. company guaranty sr. unsec.            
notes 5 5/8s, 2012 195,000 193,825 -- -- -- --
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United            
Kingdom) -- -- 655,000 671,375 565,000 579,125
Cardinal Health, Inc. sr. unsec. notes 5.65s, 2012 490,000 493,995 -- -- -- --
Cardinal Health, Inc. sr. unsec. unsub. notes 5 1/2s,            
2013 4,045,000 4,025,702 -- -- -- --
Community Health Systems, Inc. company guaranty            
8 7/8s, 2015 675,000 679,219 605,000 608,781 285,000 286,781
DaVita, Inc. company guaranty 6 5/8s, 2013 190,000 182,400 235,000 225,600 125,000 120,000
Elan Finance PLC/Elan Finance Corp. company guaranty            
7 3/4s, 2011 (Ireland) 320,000 314,800 355,000 349,231 170,000 167,238
HCA, Inc. company guaranty sr. sec. notes 9 5/8s, 2016            
(PIK) 300,000 309,000 325,000 334,750 155,000 159,650
HCA, Inc. sr. sec. notes 9 1/4s, 2016 530,000 545,900 370,000 381,100 185,000 190,550
HCA, Inc. sr. sec. notes 9 1/8s, 2014 65,000 66,463 -- -- -- --
HCA, Inc. sr. unsec. notes 7 7/8s, 2011 416,000 409,760 590,000 581,150 275,000 270,875
HCA, Inc. sr. unsec. notes 6 1/4s, 2013 50,000 43,375 48,000 41,640 -- --
Health Management Associates, Inc. sr. notes 6 1/8s,            
2016 115,000 100,625 100,000 87,500 50,000 43,750
Healthsouth Corp. company guaranty 10 3/4s, 2016 150,000 161,250 145,000 155,875 65,000 69,875
Hospira, Inc. sr. notes 6.05s, 2017 -- -- 190,000 183,363 165,000 159,236
Hospira, Inc. sr. notes 5.55s, 2012 -- -- 265,000 260,344 230,000 225,959
IASIS Healthcare/IASIS Capital Corp. sr. sub. notes            
8 3/4s, 2014 135,000 136,350 120,000 121,200 55,000 55,550
Omnicare, Inc. company guaranty 6 3/4s, 2013 60,000 56,400 85,000 79,900 40,000 37,600
Omnicare, Inc. sr. sub. notes 6 7/8s, 2015 35,000 32,375 45,000 41,625 25,000 23,125
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013 170,000 155,550 240,000 219,600 110,000 100,650
Psychiatric Solutions, Inc. company guaranty 7 3/4s,            
2015 165,000 163,350 210,000 207,900 100,000 99,000
Select Medical Corp. company guaranty 7 5/8s, 2015 285,000 250,088 280,000 245,700 130,000 114,075
Service Corporation International sr. unsec. unsub.            
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 205,000 194,750 270,000 256,500 125,000 118,750
Sun Healthcare Group, Inc. company guaranty sr. unsec.            
unsub. notes 9 1/8s, 2015 200,000 200,000 195,000 195,000 90,000 90,000
Surgical Care Affiliates, Inc. 144A sr. sub. notes            
10s, 2017 80,000 62,400 75,000 58,500 35,000 27,300
Surgical Care Affiliates, Inc. 144A sr. unsec. notes            
8 7/8s, 2015 (PIK) 80,000 70,000 75,000 65,625 35,000 30,625
Tenet Healthcare Corp. notes 7 3/8s, 2013 300,000 282,000 360,000 338,400 165,000 155,100
Tenet Healthcare Corp. sr. notes 9 1/4s, 2015 20,000 19,600 25,000 24,500 15,000 14,700
Tenet Healthcare Corp. sr. unsec. unsub. notes 6 3/8s,            
2011 428,000 409,810 443,000 424,173 65,000 62,238
UnitedHealth Group, Inc. bonds 6 7/8s, 2038 -- -- 150,000 141,799 140,000 132,345
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 -- -- 215,000 207,977 205,000 198,303
UnitedHealth Group, Inc. sr. unsec. notes 5 1/2s, 2012 -- -- 280,000 274,774 245,000 240,427
US Oncology Holdings, Inc. sr. unsec. notes FRN            
7.949s, 2012 (PIK) 121,000 98,615 121,000 98,615 52,000 42,380
US Oncology, Inc. company guaranty 9s, 2012 175,000 173,688 215,000 213,388 105,000 104,213
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) 165,000 172,838 235,000 246,163 110,000 115,225
Ventas Realty, LP/Capital Corp. sr. notes 6 3/4s, 2017            
(R) -- -- 145,000 139,200 140,000 134,400

    10,566,441   9,862,283   6,024,588
 
Other   0.5%   0.1%   0.1%
Alta CDO 144A sec. FRN 4.596s, 2012 (Cayman Islands) 9,500,000 9,025,000 -- -- -- --
Dow Jones CDX NA HY pass-through certificates Ser.            
5-T1, 8 3/4s, 2010 3,360,000 3,452,400 2,400,000 2,466,000 960,000 986,400
    12,477,400   2,466,000   986,400
 
Technology   0.7%   0.6%   0.7%
Activant Solutions, Inc. company guaranty 9 1/2s, 2016 70,000 55,300 70,000 55,300 35,000 27,650
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012 208,000 179,400 280,000 241,500 130,000 112,125
Amkor Technologies, Inc. sr. notes 7 3/4s, 2013 395,000 366,363 358,000 332,045 161,000 149,328
Arrow Electronics, Inc. debs. 7 1/2s, 2027 -- -- 160,000 157,947 175,000 172,755
Arrow Electronics, Inc. unsec. notes 9.15s, 2010 1,405,000 1,511,978 -- -- -- --
Avnet, Inc. notes 6s, 2015 -- -- 160,000 155,106 160,000 155,106
Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada) 60,000 60,000 85,000 85,000 40,000 40,000
Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada) 175,000 168,000 145,000 139,200 65,000 62,400
Ceridian Corp. 144A sr. unsec. notes 11 1/4s, 2015 250,000 226,875 225,000 204,188 110,000 99,825
Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015 215,000 196,725 195,000 178,425 90,000 82,350
Computer Sciences Corp. 144A sr. unsec. notes 6 1/2s,            
2018 1,190,000 1,195,763 2,870,000 2,883,899 2,625,000 2,637,713
Electronic Data Systems Corp. sr. sec. notes Ser. B,            
6 1/2s, 2013 1,755,000 1,800,537 355,000 364,211 175,000 179,541
Fiserv, Inc. sr. unsec. unsub. notes company guaranty            
6.8s, 2017 -- -- 280,000 283,258 250,000 252,909
Fiserv, Inc. sr. unsec. unsub. notes company guaranty            
6 1/8s, 2012 -- -- 280,000 281,415 250,000 251,263
Freescale Semiconductor, Inc. company guaranty sr.            
unsec. notes 8 7/8s, 2014 460,000 373,750 340,000 276,250 160,000 130,000
Freescale Semiconductor, Inc. company guaranty sr.            
unsec. sub. notes 9 1/8s, 2014 (PIK) 225,000 174,938 240,000 186,600 120,000 93,300
Freescale Semiconductor, Inc. company guaranty sr.            
unsec. sub. notes 10 1/8s, 2016 230,000 175,375 240,000 183,000 120,000 91,500
IBM Corp. sr. unsec. notes 5.7s, 2017 -- -- 415,000 420,870 435,000 441,153
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 5,000 5,031 -- -- 90,000 90,563
Iron Mountain, Inc. company guaranty 6 5/8s, 2016 245,000 229,075 90,000 84,150 40,000 37,400
Iron Mountain, Inc. company guaranty sr. unsec. sub.            
notes 8s, 2020 470,000 462,363 625,000 614,844 -- --
Iron Mountain, Inc. sr. sub. notes 8 1/4s, 2011 215,000 215,269 360,000 360,450 40,000 40,050
Lexmark International Inc, sr. unsec. notes 5.9s, 2013 2,455,000 2,416,854 -- -- -- --
Lucent Technologies, Inc. unsec. debs. 6.45s, 2029 315,000 240,975 275,000 210,375 130,000 99,450
Motorola, Inc. sr. notes 8s, 2011 1,790,000 1,827,939 -- -- -- --
Motorola, Inc. sr. unsec. notes 6 5/8s, 2037 -- -- 230,000 180,942 200,000 157,341
Motorola, Inc. sr. unsec. notes 6s, 2017 -- -- 170,000 148,597 145,000 126,744
Nortel Networks, Ltd. company guaranty sr. unsec.            
notes 10 3/4s, 2016 (Canada) 50,000 49,500 60,000 59,400 30,000 29,700
Nortel Networks, Ltd. 144A company guaranty sr. unsec.            
notes 10 3/4s, 2016 (Canada) 157,000 155,430 209,000 206,910 -- --
Nortel Networks, Ltd. company guaranty sr. unsec.            
notes FRN 6.963s, 2011 (Canada) 160,000 151,200 185,000 174,825 95,000 89,775
NXP BV/NXP Funding, LLC company guaranty 9 1/2s, 2015            
(Netherlands) 205,000 178,350 90,000 78,300 -- --
NXP BV/NXP Funding, LLC company guaranty sr. sec.            
notes FRN 5.463s, 2013 (Netherlands) 170,000 149,600 185,000 162,800 95,000 83,600
NXP BV/NXP Funding, LLC sec. notes 7 7/8s, 2014            
(Netherlands) 275,000 253,000 300,000 276,000 150,000 138,000
Open Solutions, Inc. 144A sr. sub. notes 9 3/4s, 2015 65,000 52,975 70,000 57,050 35,000 28,525
Sanmina Corp. company guaranty sr. unsec. sub. notes            
6 3/4s, 2013 315,000 282,713 417,000 374,258 -- --
Sanmina Corp. sr. unsec. sub. notes 8 1/8s, 2016 493,000 443,700 651,000 585,900 -- --
Seagate Technology Hdd Holdings company guaranty 6.8s,            
2016 (Cayman Islands) 95,000 87,817 105,000 97,061 50,000 46,220
SunGard Data Systems, Inc. company guaranty 10 1/4s,            
2015 90,000 90,450 100,000 100,500 56,000 56,280
SunGard Data Systems, Inc. company guaranty 9 1/8s,            
2013 590,000 595,900 491,000 495,910 221,000 223,210
Travelport, LLC company guaranty 9 7/8s, 2014 330,000 292,875 295,000 261,813 140,000 124,250
Tyco Electronics Group SA company guaranty 6.55s, 2017            
(Luxembourg) 940,000 948,430 -- -- -- --
Tyco Electronics Group SA company guaranty sr. unsec.            
notes 6s, 2012 (Luxembourg) -- -- 420,000 424,081 365,000 368,546
Unisys Corp. sr. unsec. unsub. notes 12 1/2s, 2016 219,000 219,000 290,000 290,000 254,000 254,000
Xerox Corp. sr. notes 6.4s, 2016 -- -- 335,000 334,397 285,000 284,487
    15,895,250   12,078,877   7,293,109
 
Transportation   0.1%   0.1%   0.2%
American Airlines, Inc. pass-through certificates Ser.            
01-1, 6.817s, 2011 -- -- 110,000 94,600 70,000 60,200
American Airlines, Inc. pass-through certificates Ser.            
01-2, 7.858s, 2011 -- -- 115,000 110,400 120,000 115,200
Continental Airlines, Inc. pass-through certificates            
Ser. 97-4A, 6.9s, 2018 -- -- 56,840 51,156 47,366 42,630
Continental Airlines, Inc. pass-through certificates            
Ser. 98-1A, 6.648s, 2017 -- -- 274,739 248,639 193,763 175,356
Continental Airlines, Inc. pass-through certificates            
Ser. 98-3, 6.32s, 2008 -- -- 5,000 4,963 75,000 74,438
Delta Air Lines, Inc. pass-through certificates            
6.821s, 2022 -- -- 330,765 279,497 286,988 242,504
Northwest Airlines Corp. pass-through certificates            
Ser. 00-1, 7.15s, 2019 -- -- 524,399 445,739 453,121 385,153
Ryder System, Inc. sr. unsec. unsub. notes Ser. MTN,            
6s, 2013 1,645,000 1,646,800 -- -- -- --
Southwest Airlines Co. pass-through certificates            
6.15s, 2022 -- -- 63,874 60,512 127,748 121,024
Union Pacific Corp. sr. unsec. bond 5.7s, 2018 -- -- 30,000 29,188 -- --
Union Pacific Corp. sr. unsub. notes 5 3/4s, 2017 -- -- 290,000 285,245 355,000 349,179
Union Pacific Corp. 144A pass-through certificates            
5.214s, 2014 -- -- 115,000 111,854 100,000 97,264
United AirLines, Inc. pass-through certificates            
6.636s, 2022 -- -- 248,068 204,808 209,155 172,681
    1,646,800   1,926,601   1,835,629
 
Utilities & Power   0.4%   1.1%   1.6%
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013 -- -- 165,000 162,752 190,000 187,411
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 120,000 117,600 105,000 102,900 50,000 49,000
AES Corp. (The) 144A sec. notes 8 3/4s, 2013 258,000 267,998 331,000 343,826 133,000 138,154
American Water Capital Corp. sr. unsec. bond 6.593s,            
2037 -- -- 165,000 152,255 145,000 133,800
American Water Capital Corp. sr. unsec. bond 6.085s,            
2017 -- -- 190,000 182,249 160,000 153,472
Appalachian Power Co. sr. notes 5.8s, 2035 -- -- 145,000 123,428 120,000 102,147
Arizona Public Services Co. notes 6 1/2s, 2012 -- -- 240,000 242,020 265,000 267,230
Atmos Energy Corp. sr. unsub. notes 6.35s, 2017 -- -- 320,000 316,170 275,000 271,709
Beaver Valley II Funding debs. 9s, 2017 -- -- 290,000 312,368 322,000 346,836
Boardwalk Pipelines, LP company guaranty 5 7/8s, 2016 -- -- 370,000 356,128 350,000 336,878
Bruce Mansfield Unit pass-through certificates 6.85s,            
2034 -- -- 865,000 866,455 735,000 736,236
CenterPoint Energy Houston Electric, LLC general ref.            
mtge. Ser. M2, 5 3/4s, 2014 -- -- 10,000 9,963 90,000 89,670
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011 -- -- 240,000 253,056 185,000 195,064
CMS Energy Corp. sr. notes 8 1/2s, 2011 170,000 177,467 150,000 156,589 70,000 73,075
CMS Energy Corp. unsub. notes 6.55s, 2017 -- -- 20,000 19,050 15,000 14,288
Colorado Interstate Gas Co. debs. 6.85s, 2037 30,000 28,440 50,000 47,399 25,000 23,700
Commonwealth Edison Co. 1st mtge. 6.15s, 2017 -- -- 130,000 130,614 110,000 110,519
Commonwealth Edison Co. 1st mtge. 5.9s, 2036 -- -- 385,000 347,596 330,000 297,939
Consolidated Natural Gas Co. sr. notes 5s, 2014 -- -- 180,000 171,649 315,000 300,386
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013 -- -- 144,000 145,101 135,000 136,032
Dominion Resources, Inc. jr. sub. notes FRN 6.3s, 2066 -- -- 525,000 480,508 405,000 370,677
Dominion Resources, Inc. sr. unsec. unsub. notes Ser.            
07-A, 6s, 2017 -- -- 455,000 449,255 290,000 286,338
Dynegy Holdings, Inc. sr. unsec. notes 8 3/8s, 2016 255,000 247,350 250,000 242,500 115,000 111,550
Dynegy-Roseton Danskamme company guaranty Ser. B,            
7.67s, 2016 145,000 142,463 195,000 191,588 90,000 88,425
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 70,000 69,650 80,000 79,600 40,000 39,800
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 75,000 74,438 90,000 89,325 45,000 44,663
Edison Mission Energy sr. unsec. notes 7.2s, 2019 215,000 200,488 205,000 191,163 95,000 88,588
Edison Mission Energy sr. unsec. notes 7s, 2017 195,000 182,325 140,000 130,900 65,000 60,775
El Paso Corp. sr. notes Ser. MTN, 7 3/4s, 2032 225,000 225,401 215,000 215,384 95,000 95,169
Entergy Gulf States, Inc. 1st mtge. 5 1/4s, 2015 -- -- 215,000 202,750 225,000 212,180
Ferrellgas, LP/Finance sr. notes 6 3/4s, 2014 215,000 196,188 300,000 273,750 140,000 127,750
FirstEnergy Corp. notes Ser. B, 6.45s, 2011 -- -- 2,795,000 2,867,947 2,535,000 2,601,161
Florida Power Corp. 1st mtge. 6.35s, 2037 -- -- 280,000 284,348 275,000 279,270
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013 -- -- 115,000 118,535 110,000 113,382
Indiantown Cogeneration, LP 1st mtge. Ser. A-10,            
9.77s, 2020 -- -- 215,000 236,021 225,000 246,998
Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,            
2016 105,000 103,425 230,000 226,550 200,000 197,000
ITC Holdings Corp. 144A notes 5 7/8s, 2016 -- -- 260,000 252,496 285,000 276,774
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018 -- -- 305,000 293,561 225,000 216,561
Kansas Gas & Electric bonds 5.647s, 2021 -- -- 83,567 79,373 78,652 74,704
Kinder Morgan, Inc. notes 6s, 2017 -- -- 175,000 172,680 150,000 148,012
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012 -- -- 122,000 120,018 126,000 123,953
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036 -- -- 540,000 518,543 565,000 542,550
MidAmerican Energy Holdings Co. sr. unsec. bond            
6 1/2s, 2037 -- -- 445,000 449,438 280,000 282,792
Mirant Americas Generation, Inc. sr. unsec. notes            
8.3s, 2011 215,000 222,525 215,000 222,525 100,000 103,500
Mirant North America, LLC company guaranty 7 3/8s, 2013 375,000 371,719 410,000 406,413 205,000 203,206
National Fuel Gas Co. notes 5 1/4s, 2013 -- -- 145,000 140,375 100,000 96,810
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s,            
2015 -- -- 110,000 109,803 145,000 144,740
Northwestern Corp. sec. notes 5 7/8s, 2014 -- -- 265,000 260,820 285,000 280,505
NRG Energy, Inc. company guaranty 7 3/8s, 2017 100,000 94,500 110,000 103,950 55,000 51,975
NRG Energy, Inc. sr. notes 7 3/8s, 2016 945,000 889,481 894,000 841,478 377,000 354,851
Oncor Electric Delivery Co. debs. 7s, 2022 -- -- 145,000 141,392 130,000 126,765
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033 -- -- 195,000 192,072 220,000 216,697
ONEOK Partners, LP company guaranty sr. unsec. unsub.            
notes 6.15s, 2016 950,000 936,163 -- -- -- --
Pacific Gas & Electric Co. sr. unsub. 5.8s, 2037 -- -- 260,000 245,168 225,000 212,164
PacifiCorp Sinking Fund 1st mtge. 6 1/4s, 2037 -- -- 205,000 202,722 180,000 177,999
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 781,000 806,383 1,031,000 1,064,508 -- --
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016 -- -- 260,000 255,278 285,000 279,824
Power Receivable Finance, LLC 144A sr. notes 6.29s,            
2012 -- -- 165,717 169,535 143,247 146,547
PPL Energy Supply, LLC bonds Ser. A, 5.7s, 2015 -- -- 135,000 126,727 145,000 136,114
PSEG Energy Holdings, Inc. sr. notes 8 1/2s, 2011 175,000 183,552 225,000 235,996 110,000 115,376
Public Service Co. of Colorado sr. notes Ser. A,            
6 7/8s, 2009 -- -- 215,000 220,708 205,000 210,443
Public Service Co. of New Mexico sr. notes 4.4s, 2008 -- -- 125,000 124,869 100,000 99,895
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s,            
2067 -- -- 415,000 358,975 355,000 307,075

Sierra Pacific Power Co. general ref. mtge. Ser. P,            
6 3/4s, 2037 -- -- 755,000 737,829 600,000 586,354
Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014 90,000 94,348 125,000 131,039 60,000 62,899
Southern California Edison Co. 1st mtge. Ser. 06-E,            
5.55s, 2037 -- -- 270,000 252,342 280,000 261,688
Southern California Edison Co. 1st mtge. Ser. 08-A,            
5.95s, 2038 -- -- 140,000 139,824 45,000 44,944
Southern California Edison Co. notes 6.65s, 2029 -- -- 255,000 261,846 275,000 282,383
Southern Natural Gas Co. 144A notes 5.9s, 2017 -- -- 155,000 150,552 130,000 126,269
Spectra Energy Capital, LLC sr. notes 8s, 2019 -- -- 250,000 278,688 215,000 239,672
Spectra Energy Capital, LLC sr. unsec. unsub. notes            
5.668s, 2014 1,645,000 1,607,111 -- -- -- --
Teco Finance, Inc. company guaranty sr. unsec. unsub.            
notes 7.2s, 2011 270,000 280,624 610,000 634,002 430,000 446,920
Teco Finance, Inc. company guaranty sr. unsec. unsub.            
notes 6 3/4s, 2015 10,000 10,065 10,000 10,065 5,000 5,032
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs.            
7 1/2s, 2017 25,000 26,341 30,000 31,609 15,000 15,805
TEPPCO Partners, LP company guaranty FRB 7s, 2067 -- -- 205,000 177,617 175,000 151,624
Texas Competitive Electric Holdings Co., LLC company            
guaranty 10 1/4s, 2015 735,000 720,300 655,000 641,900 310,000 303,800
TransAlta Corp. notes 5 3/4s, 2013 (Canada) -- -- 140,000 136,576 150,000 146,332
TransCanada Pipelines, Ltd. jr. sub. FRN 6.35s, 2067            
(Canada) -- -- 180,000 155,425 155,000 133,838
TransCanada Pipelines, Ltd. sr. unsec. 6.2s, 2037            
(Canada) -- -- 335,000 307,080 290,000 265,831
TXU Corp. sr. notes Ser. P, 5.55s, 2014 525,000 411,008 554,000 433,712 237,000 185,541
West Penn Power Co. 1st mtge. 5.95s, 2017 -- -- 535,000 531,904 420,000 417,569
Westar Energy, Inc. 1st mtge. 5.15s, 2017 -- -- 15,000 14,040 45,000 42,119
Westar Energy, Inc. 1st mtge. 5.1s, 2020 -- -- 175,000 158,453 165,000 149,398
Williams Partners, LP/ Williams Partners Finance Corp.            
sr. unsec. notes 7 1/4s, 2017 80,000 80,000 85,000 85,000 40,000 40,000
    8,767,353   23,300,618   17,765,122
Total corporate bonds and notes
(cost $204,270,563, $213,437,385 and $144,204,285)   $195,683,100   $201,161,676   $135,979,674
 
COLLATERALIZED MORTGAGE OBLIGATIONS(a) Growth 6.6% Balanced 14.9% Conservative 19.8%
   Principal    Principal    Principal  
  amount Value amount Value amount Value
Adjustable Rate Mortgage Trust FRB Ser. 04-5,            
Class 3A1, 4.943s, 2035 $611,715 $523,016 $1,682,216 $1,438,295 $1,198,940 $1,025,093
Asset Backed Funding Certificates 144A FRB Ser.            
06-OPT3, Class B, 4.983s, 2036 -- -- 89,000 5,088 58,000 3,316
Asset Securitization Corp.            
Ser. 96-MD6, Class A7, 8.631s, 2029 -- -- 410,903 425,277 457,843 473,859
Ser. 96-D3, Class A1C, 7.4s, 2026 33,620 33,780 205,774 206,750 147,039 147,737
FRB Ser. 97-D5, Class A5, 7.187s, 2043 150,000 154,095 234,000 240,389 247,000 253,744
Banc of America Alternative Loan Trust Ser. 06-7,            
Class A2, 5.707s, 2036 2,852,000 2,690,862 -- -- -- --
Banc of America Commercial Mortgage, Inc.            
Ser. 01-1, Class G, 7.324s, 2036 -- -- 200,000 199,934 200,000 199,934
Ser. 08-1, Class A3, 6.121s, 2014 5,700,000 5,697,101 -- -- -- --
FRB Ser. 07-3, Class A3, 5.838s, 2049 167,000 162,853 748,000 729,424 593,000 578,273
Ser. 06-4, Class A4, 5.634s, 2046 -- -- 920,000 885,054 1,140,000 1,096,697
Ser. 07-2, Class A2, 5.634s, 2049 (F) 146,000 143,099 479,000 469,482 434,000 425,376
Ser. 06-4, Class A2, 5.522s, 2046 620,000 614,737 3,157,000 3,130,199 2,319,000 2,299,313
Ser. 04-3, Class A5, 5.493s, 2039 230,000 228,024 920,000 912,097 930,000 922,011
Ser. 05-6, Class A2, 5.165s, 2047 204,000 201,375 304,000 300,088 371,000 366,226
Ser. 07-5, Class XW, Interest Only (IO), 0.607s, 2051 4,508,100 111,322 20,672,118 510,474 18,458,033 455,799
Ser. 07-1, Class XW, IO, 0.465s, 2049 1,830,603 32,215 9,953,096 175,155 5,093,766 89,641
Ser. 06-1, Class XC, IO, 0.076s, 2045 1,756,517 10,267 11,568,748 67,620 12,702,939 74,249
Banc of America Commercial Mortgage, Inc. 144A            
Ser. 01-PB1, Class K, 6.15s, 2035 -- -- 133,000 120,550 133,000 120,550
Ser. 02-PB2, Class XC, IO, 0.33s, 2035 (F) 2,720,781 47,369 4,050,091 70,512 2,407,581 41,916
Ser. 04-4, Class XC, IO, 0.192s, 2042 4,107,851 55,785 11,659,850 158,343 9,190,770 124,812
Ser. 04-5, Class XC, IO, 0.173s, 2041 5,836,836 62,691 14,167,903 152,171 14,658,076 157,435
Ser. 05-1, Class XW, IO, 0.144s, 2042 18,976,758 51,462 -- -- 23,816,199 64,585
Ser. 05-4, Class XC, IO, 0.093s, 2045 6,227,229 38,136 17,723,427 108,541 17,791,103 108,955
Ser. 06-5, Class XC, IO, 0.091s, 2016 3,294,390 40,731 35,308,692 436,550 30,059,565 371,651
Ser. 06-4, Class XC, IO, 0.088s, 2046 4,117,341 42,820 19,043,826 198,056 15,921,185 165,580
Banc of America Funding Corp. FRB Ser. 06-D,            
Class 6A1, 5.991s, 2036 4,107,337 3,265,333 1,845,314 1,467,024 1,618,235 1,286,497
Banc of America Large Loan            
FRB Ser. 04-BBA4, Class H, 3.421s, 2018 25,000 24,438 70,000 68,425 73,000 71,358
FRB Ser. 04-BBA4, Class G, 3.171s, 2018 -- -- 94,000 92,120 98,000 96,040
Banc of America Large Loan 144A            
FRB Ser. 05-MIB1, Class K, 4.471s, 2022 190,000 155,800 186,000 152,520 187,000 153,340
FRB Ser. 05-MIB1, Class J, 3.521s, 2022 100,000 83,000 409,000 339,470 343,000 284,690
Banc of America Mortgage Securities            
FRB Ser. 03-F, Class 2A1, 3.658s, 2033 82,311 81,513 226,148 223,957 161,487 159,923
Ser. 05-E, Class 2, IO, 0.303s, 2035 1,994,657 7,947 6,665,891 26,559 6,418,321 25,573
Ser. 04-D, Class 2A, IO, 0.284s, 2034 728,047 825 2,480,789 2,810 2,388,119 2,705
Banc of America Structured Security Trust 144A Ser.            
02-X1, Class A3, 5.436s, 2033 -- -- 302,000 303,928 309,824 311,801
Bayview Commercial Asset Trust 144A            
FRB Ser. 05-1A, Class A1, 2.783s, 2035 30,760 27,069 235,829 207,530 174,309 153,392
Ser. 06-2A, IO, 1.798s, 2036 132,857 10,748 637,090 51,541 606,012 49,026
Ser. 04-3, IO, 1.6s, 2035 266,606 10,664 679,302 27,172 668,489 26,740
Ser. 05-1A, IO, 1.6s, 2035 370,439 18,596 1,031,027 51,758 985,068 49,450
Ser. 05-3A, IO, 1.6s, 2035 1,103,203 77,114 3,554,259 248,443 3,210,446 224,410
Ser. 07-5A, IO, 1.55s, 2037 -- -- 5,140,724 648,245 4,334,934 546,635
Ser. 07-2A, IO, 1.3s, 2037 1,913,775 197,119 5,272,254 543,042 4,506,167 464,135
Ser. 07-1, Class S, IO, 1.211s, 2037 1,172,483 114,669 7,309,446 714,864 3,383,933 330,949
Ser. 06-4A, IO, 1.14s, 2036 345,326 38,400 1,003,771 111,619 1,188,064 132,113
Bear Stearns Alternate Trust            
Ser. 04-9, Class 1A1, 6.833s, 2034 11,178 10,031 29,535 26,505 26,945 24,180
FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036 2,229,599 1,723,759 2,964,563 2,291,978 -- --
FRB Ser. 05-7, Class 23A1, 5.694s, 2035 2,796,225 2,146,942 1,194,841 917,399 -- --
Bear Stearns Asset Backed Securities, Inc. FRB Ser.            
06-2, Class A1, 2.613s, 2036 133,558 125,986 -- -- -- --
Bear Stearns Commercial Mortgage Securities, Inc.            
FRB Ser. 00-WF2, Class F, 8.448s, 2032 -- -- 189,000 176,579 124,000 115,851
Ser. 07-PW17, Class A3, 5.736s, 2050 1,999,000 1,916,481 8,933,000 8,564,246 7,002,000 6,712,957
Ser. 04-PR3I, Class X1, IO, 0.448s, 2041 472,051 7,035 3,162,487 47,127 5,138,514 76,574
Ser. 05-PWR9, Class X1, IO, 0.107s, 2042 -- -- 8,793,026 72,630 13,244,514 109,400
Bear Stearns Commercial Mortgage Securities, Inc. 144A            
Ser. 06-PW14, Class XW, IO, 0.883s, 2038 3,184,577 122,734 8,739,717 336,829 8,008,098 308,632
Ser. 06-PW14, Class X1, IO, 0.09s, 2038 3,424,810 50,208 9,397,876 137,773 8,612,652 126,261
Ser. 07-PW15, Class X1, IO, 0.078s, 2044 6,180,237 57,785 29,324,013 274,180 19,937,661 186,417
Ser. 05-PW10, Class X1, IO, 0.074s, 2040 11,356,518 40,429 -- -- -- --
Ser. 07-PW18, Class X1, IO, 0.063s, 2050 1,064,586 8,872 6,637,185 55,310 4,460,076 37,167
Ser. 07-PW16, Class X, IO, 0.032s, 2040 10,171,375 8,137 87,310,452 69,848 56,165,978 44,933
Bear Stearns Small Balance Commercial Trust 144A Ser.            
06-1A, Class AIO, IO, 1s, 2034 -- -- 2,144,800 27,164 2,235,200 28,309
Chase Commercial Mortgage Securities Corp. Ser. 00-3,            
Class A2, 7.319s, 2032 9,877 10,261 116,554 121,083 114,579 119,031
Chase Commercial Mortgage Securities Corp. 144A            
Ser. 98-1, Class F, 6.56s, 2030 -- -- 962,000 957,155 896,000 891,488
Ser. 98-1, Class G, 6.56s, 2030 -- -- 249,000 225,417 231,000 209,122
Ser. 98-1, Class H, 6.34s, 2030 91,000 68,055 371,000 277,455 362,000 270,724
Citigroup Ser. 08-C7, Class A2A, 6.034s, 2012 1,230,000 1,236,565 1,630,000 1,638,700 -- --
Citigroup Commercial Mortgage Trust Ser. 08-C7,            
Class A3, 6.299s, 2014 2,270,000 2,305,371 2,995,000 3,041,668 -- --
Citigroup Commercial Mortgage Trust 144A            
Ser. 05-C3, Class XC, IO, 0.123s, 2043 13,356,434 115,825 24,832,034 215,340 23,888,715 207,160
Ser. 06-C5, Class XC, IO, 0.085s, 2049 6,617,781 71,089 37,202,529 399,637 40,254,443 432,421
Citigroup Mortgage Loan Trust, Inc.            
FRB Ser. 06-AR5, Class 2A5A, 6.208s, 2036 1,509,511 1,096,619 2,017,963 1,465,995 -- --
FRB Ser. 06-AR7, Class 2A2A, 5.662s, 2036 4,226,885 3,180,731 -- -- -- --
IFB Ser. 07-6, Class 2A5, IO, 4.168s, 2037 652,315 47,143 1,647,667 119,078 1,400,426 101,210
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser.            
06-CD3, Class A4, 5.658s, 2048 106,000 104,372 473,000 465,738 375,000 369,242
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A            
Ser. 07-CD4, Class XW, IO, 0.56s, 2049 3,344,465 68,588 10,027,406 205,640 7,959,447 163,231
Ser. 06-CD2, Class X, IO, 0.128s, 2046 2,481,536 10,093 16,390,441 66,661 17,985,927 73,150
Ser. 07-CD5, Class XS, IO, 0.067s, 2044 -- -- 3,225,755 22,604 -- --
Ser. 07-CD4, Class XC, IO, 0.057s, 2049 11,186,141 85,644 33,533,474 256,741 26,616,989 203,786
CNL Funding Ser. 99-1, Class A2, 7.645s, 2014 122,000 118,884 455,000 443,378 286,000 278,695
Commercial Mortgage Acceptance Corp. Ser. 97-ML1, IO,            
0.975s, 2017 597,303 21,256 2,255,182 80,253 1,464,848 52,128
Commercial Mortgage Acceptance Corp. 144A            
Ser. 98-C1, Class F, 6.23s, 2031 -- -- 415,000 420,014 404,000 408,881
Ser. 98-C2, Class F, 5.44s, 2030 1,370,000 1,311,692 2,607,000 2,496,044 2,247,000 2,151,366
Commercial Mortgage Loan Trust Ser. 08-LS1, Class A4B,            
6.221s, 2017 166,000 163,974 842,000 831,722 618,000 610,456
Commercial Mortgage Pass-Through Certificates 144A            
Ser. 06-CN2A, Class H, 5.756s, 2019 66,000 59,304 197,000 177,014 218,000 195,884
Ser. 06-CN2A, Class J, 5.756s, 2019 53,000 47,352 158,000 141,162 174,000 155,456
FRB Ser. 01-J2A, Class A2F, 2.971s, 2034 (F) 118,000 103,833 326,000 286,862 314,000 276,302
Ser. 03-LB1A, Class X1, IO, 0.461s, 2038 869,993 33,497 1,849,606 71,215 1,999,245 76,977
Ser. 05-LP5, Class XC, IO, 0.117s, 2043 5,701,629 45,034 12,700,242 100,311 12,355,220 97,586
Ser. 05-C6, Class XC, IO, 0.079s, 2044 8,734,625 49,243 25,605,572 144,356 12,860,543 72,504
Ser. 06-C8, Class XS, IO, 0.062s, 2046 10,576,524 109,096 28,611,096 295,121 26,066,316 268,872
Countrywide Alternative Loan Trust            
Ser. 06-45T1, Class 2A2, 6s, 2037 4,021,016 3,272,730 -- -- -- --
Ser. 06-J8, Class A4, 6s, 2037 3,221,224 2,625,297 1,376,481 1,121,832 -- --
Ser. 07-HY5R, Class 2A1A, 5.544s, 2047 (F) 1,529,667 1,381,135 785,377 709,116 737,179 665,598
IFB Ser. 04-2CB, Class 1A5, IO, 5.118s, 2034 194,608 10,187 39,034 2,043 108,396 5,674
Ser. 05-24, Class 1AX, IO, 1.222s, 2035 1,439,717 29,863 2,092,940 43,412 2,005,481 41,598
Countrywide Home Loans            
FRB Ser. 05-HYB7, Class 6A1, 5.713s, 2035 4,083,795 3,185,360 824,533 643,136 -- --
Ser. 05-9, Class 1X, IO, 3.126s, 2035 468,832 10,988 1,662,095 38,955 1,589,680 37,258
Ser. 05-2, Class 2X, IO, 1.16s, 2035 642,499 13,252 1,786,851 36,854 1,706,694 35,201
Countrywide Home Loans 144A            
IFB Ser. 05-R2, Class 2A3, 8s, 2035 105,496 109,843 -- -- 197,395 205,528
IFB Ser. 05-R1, Class 1AS, IO, 3.597s, 2035 247,503 16,130 1,769,621 115,327 1,764,739 115,009
IFB Ser. 05-R2, Class 1AS, IO, 3.242s, 2035 237,085 12,519 1,534,844 81,048 1,414,411 74,688
Credit Suisse Mortgage Capital Certificates            
FRB Ser. 07-C4, Class A2, 6.005s, 2039 587,000 581,969 2,631,000 2,608,450 2,064,000 2,046,309
Ser. 06-C5, Class AX, IO, 0.11s, 2039 6,734,189 97,592 18,219,578 264,038 16,602,297 240,600
Credit Suisse Mortgage Capital Certificates 144A            
FRB Ser. 06-TFLA, Class K, 3.671s, 2021 50,000 39,000 -- -- 484,000 377,520
Ser. 07-C2, Class AX, IO, 0.28s, 2049 17,347,510 151,444 47,695,416 416,381 37,673,986 328,894
Ser. 06-C4, Class AX, IO, 0.105s, 2039 6,333,641 87,343 29,263,356 403,550 24,457,632 337,278
Ser. 07-C1, Class AX, IO, 0.083s, 2040 7,610,759 76,108 36,571,930 365,719 24,822,721 248,227
Ser. 06-C3, Class AX, IO, 0.032s, 2038 15,424,321 3,085 68,286,703 13,657 73,874,591 14,775
CRESI Finance Limited Partnership 144A FRB Ser. 06-A,            
Class C, 3.083s, 2017 -- -- 155,000 144,925 161,000 150,535
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,            
Class B, 7s, 2033 1,090,747 1,091,837 -- -- -- --
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D,            
5.612s, 2035 228,000 215,583 620,000 586,235 597,000 564,487
CS First Boston Mortgage Securities Corp.            
Ser. 97-C2, Class F, 7.46s, 2035 52,000 54,199 303,000 315,815 294,000 306,434

Ser. 04-C2, Class A2, 5.416s, 2036 (F) 260,000 252,333 1,050,000 1,019,035 1,050,000 1,019,035
CS First Boston Mortgage Securities Corp. 144A            
Ser. 98-C2, Class F, 6 3/4s, 2030 353,000 345,679 -- -- -- --
FRB Ser. 04-TF2A, Class J, 3.421s, 2016 153,000 141,525 310,000 286,750 349,000 322,825
FRB Ser. 05-TFLA, Class J, 3.421s, 2020 -- -- 67,000 64,320 65,500 62,880
FRB Ser. 05-TF2A, Class J, 3.371s, 2020 43,847 41,216 148,024 139,142 148,683 139,762
FRB Ser. 04-TF2A, Class H, 3.171s, 2019 100,000 95,500 132,000 126,060 128,000 122,240
Ser. 01-CK1, Class AY, IO, 0.901s, 2035 (F) 4,655,685 74,972 12,895,522 207,661 12,408,969 199,826
Ser. 03-C3, Class AX, IO, 0.498s, 2038 7,179,239 267,053 13,914,835 517,603 16,094,999 598,701
Ser. 02-CP3, Class AX, IO, 0.391s, 2035 1,198,533 42,495 8,170,811 289,703 5,901,520 209,243
Ser. 04-C4, Class AX, IO, 0.278s, 2039 675,698 13,461 4,526,981 90,187 3,577,559 71,272
Ser. 05-C2, Class AX, IO, 0.157s, 2037 5,697,845 76,773 13,125,291 176,850 16,546,529 222,948
Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1,            
Class X, IO, 0.771s, 2031 548,979 16,726 2,127,452 64,818 1,593,067 48,537
DLJ Commercial Mortgage Corp.            
Ser. 00-CF1, Class A1B, 7.62s, 2033 37,605 39,253 455,118 475,064 446,440 466,006
Ser. 99-CG2, Class B3, 6.1s, 2032 -- -- 378,000 376,835 332,000 330,977
Ser. 99-CG2, Class B4, 6.1s, 2032 -- -- 571,000 556,896 551,000 537,390
Ser. 98-CF2, Class B3, 6.04s, 2031 -- -- 100,000 100,406 100,000 100,406
Fannie Mae            
IFB Ser. 06-70, Class SM, 33.724s, 2036 -- -- 99,915 128,998 93,714 120,991
IFB Ser. 07-75, Class JS, 32 1/2s, 2037 172,532 232,075 862,658 1,160,376 690,126 928,301
IFB Ser. 07-80, Class AS, 29 1/2s, 2037 -- -- 563,618 715,427 459,212 582,899
IFB Ser. 07-1, Class NR, 28.633s, 2037 462,237 522,280 -- -- -- --
IFB Ser. 07-75, Class CS, 28.123s, 2037 -- -- 584,278 779,898 485,962 648,665
IFB Ser. 06-62, Class PS, 25.005s, 2036 177,037 223,096 337,550 425,371 274,604 346,047
IFB Ser. 06-48, Class TQ, 24.705s, 2036 -- -- 582,486 718,024 615,278 758,446
IFB Ser. 06-63, Class SP, 24.405s, 2036 330,826 411,000 522,737 649,420 469,741 583,580
IFB Ser. 06-70, Class SJ, 24.705s, 2036 181,126 228,210 -- -- 79,094 99,655
IFB Ser. 06-76, Class QB, 24.705s, 2036 302,787 380,922 477,532 600,762 429,215 539,977
IFB Ser. 07-60, Class SB, 24.705s, 2037 -- -- 457,258 547,704 354,554 424,684
IFB Ser. 07-W7, Class 1A4, 24.285s, 2037 234,582 278,687 521,726 619,818 443,856 527,308
IFB Ser. 07-81, Class SC, 22.905s, 2037 -- -- 707,363 832,606 562,027 661,537
IFB Ser. 07-1, Class NK, 22.096s, 2037 261,775 316,630 1,710,858 2,069,367 1,315,359 1,590,991
IFB Ser. 06-104, Class GS, 21.747s, 2036 -- -- 218,988 263,189 220,622 265,153
IFB Ser. 06-104, Class ES, 21.038s, 2036 118,209 141,366 518,490 620,059 591,046 706,828
IFB Ser. 05-37, Class SU, 19.27s, 2035 116,874 137,277 467,495 549,109 467,495 549,109
IFB Ser. 06-49, Class SE, 19.07s, 2036 287,398 334,095 811,673 943,552 703,174 817,424
IFB Ser. 06-60, Class AK, 18.87s, 2036 131,432 152,168 524,926 607,744 403,912 467,639
IFB Ser. 06-60, Class TK, 18.67s, 2036 86,428 99,981 223,848 258,952 210,884 243,955
IFB Ser. 06-104, Class CS, 18.529s, 2036 135,860 151,788 564,478 630,653 698,585 780,482
IFB Ser. 07-30, Class FS, 18.329s, 2037 641,141 713,024 1,720,587 1,913,493 1,322,850 1,471,163
IFB Ser. 07-96, Class AS, 17.738s, 2037 93,275 100,340 979,385 1,053,570 818,953 880,985
IFB Ser. 05-25, Class PS, 17.237s, 2035 104,543 117,970 96,912 109,359 76,309 86,109
IFB Ser. 06-30, Class HK, 16.67s, 2036 171,399 185,242 -- -- -- --
IFB Ser. 06-115, Class ES, 16.63s, 2036 -- -- 705,544 804,317 542,593 618,553
IFB Ser. 06-8, Class PK, 16.47s, 2036 185,203 200,276 549,718 594,456 604,437 653,628
IFB Ser. 05-57, Class CD, 15.816s, 2035 138,068 151,950 248,524 273,511 241,621 265,913
IFB Ser. 05-74, Class CP, 15.648s, 2035 140,880 158,197 298,665 335,379 300,073 336,961
IFB Ser. 05-115, Class NQ, 15.628s, 2036 -- -- 172,359 185,183 173,655 186,575
IFB Ser. 05-99, Class SA, 15.464s, 2035 73,156 80,128 351,882 385,416 353,345 387,018
IFB Ser. 05-106, Class US, 15.464s, 2035 227,524 253,886 725,637 809,711 728,508 812,915
IFB Ser. 06-8, Class HP, 15.464s, 2036 159,675 177,413 453,197 503,539 500,943 556,589
IFB Ser. 06-8, Class WK, 15.464s, 2036 167,400 184,556 734,049 809,280 807,705 890,485
IFB Ser. 06-27, Class SP, 15.464s, 2036 192,774 214,644 435,670 485,096 480,009 534,464
IFB Ser. 05-45, Class DA, 15.318s, 2035 168,612 186,297 505,136 558,114 589,443 651,263
IFB Ser. 05-74, Class DM, 15.281s, 2035 203,446 223,785 695,168 764,664 669,288 736,197
IFB Ser. 05-45, Class DC, 15.208s, 2035 140,510 154,681 491,788 541,383 351,277 386,702
IFB Ser. 06-46, Class SK, 15.098s, 2036 220,097 241,105 -- -- -- --
IFB Ser. 06-60, Class CS, 14.988s, 2036 111,238 115,629 243,172 252,770 219,027 227,672
IFB Ser. 05-57, Class DC, 13.707s, 2034 132,454 142,642 416,283 448,304 403,668 434,719
IFB Ser. 05-74, Class SK, 13.303s, 2035 162,716 175,587 554,361 598,213 533,933 576,170
IFB Ser. 05-74, Class CS, 13.193s, 2035 140,880 152,404 340,224 368,056 342,337 370,342
IFB Ser. 04-79, Class S, 12.973s, 2032 55,740 58,215 -- -- -- --
IFB Ser. 05-45, Class PC, 12.803s, 2034 64,758 68,955 195,463 208,131 196,057 208,763
IFB Ser. 05-114, Class SP, 12.753s, 2036 -- -- 215,025 222,942 216,567 224,540
IFB Ser. 05-95, Class OP, 12.687s, 2035 -- -- 214,000 218,750 214,942 219,714
IFB Ser. 05-95, Class CP, 12.496s, 2035 -- -- 64,188 69,237 64,188 69,237
IFB Ser. 05-106, Class JC, 12.426s, 2035 -- -- 159,267 159,146 151,519 151,404
IFB Ser. 05-83, Class QP, 10.94s, 2034 -- -- 122,115 121,524 122,115 121,524
IFB Ser. 05-72, Class SB, 10.669s, 2035 -- -- 746,330 749,861 572,053 574,759
Ser. 03-W6, Class PT1, 9.958s, 2042 30,662 34,468 122,159 137,318 71,369 80,226
Ser. 02-T1, Class A4, 9 1/2s, 2031 3,726 4,114 -- -- -- --
Ser. 02-T4, Class A4, 9 1/2s, 2041 28,913 32,047 234,209 259,592 30,049 33,306
Ser. 02-T6, Class A3, 9 1/2s, 2041 29,854 32,819 76,075 83,630 75,028 82,479
Ser. 02-T12, Class A4, 9 1/2s, 2042 15,024 16,221 38,412 41,472 37,793 40,803
Ser. 04-T3, Class PT1, 8.93s, 2044 30,272 33,055 201,114 219,604 95,686 104,483
Ser. 383, Class 90, IO, 8s, 2037 81,261 14,285 107,264 18,856 -- --
Ser. 383, Class 91, IO, 8s, 2037 82,103 14,392 85,387 14,967 -- --
Ser. 383, Class 87, IO, 7 1/2s, 2037 198,557 38,675 285,710 55,651 -- --
Ser. 383, Class 88, IO, 7 1/2s, 2037 159,435 29,970 229,955 43,226 -- --
Ser. 383, Class 89, IO, 7 1/2s, 2037 124,433 23,490 179,330 33,853 -- --
Ser. 386, Class 26, IO, 7 1/2s, 2038 150,842 25,913 217,100 37,296 -- --
Ser. 386, Class 27, IO, 7 1/2s, 2037 87,793 15,082 126,356 21,707 -- --
Ser. 386, Class 28, IO, 7 1/2s, 2037 85,519 14,691 122,774 21,092 -- --
Ser. 99-T2, Class A1, 7 1/2s, 2039 88,563 95,567 24,041 25,942 19,005 20,508
Ser. 00-T6, Class A1, 7 1/2s, 2030 -- -- -- -- 950 1,006
Ser. 01-T1, Class A1, 7 1/2s, 2040 11,622 12,404 116,621 124,466 81,888 87,397
Ser. 01-T3, Class A1, 7 1/2s, 2040 11,786 12,481 29,857 31,619 31,036 32,867
Ser. 01-T4, Class A1, 7 1/2s, 2028 17,356 18,609 114,554 122,820 93,726 100,489
Ser. 01-T5, Class A3, 7 1/2s, 2030 10,700 11,360 232,152 246,463 46,989 49,885
Ser. 01-T10, Class A2, 7 1/2s, 2041 8,229 8,725 88,069 93,388 67,884 71,984
Ser. 01-T12, Class A2, 7 1/2s, 2041 43,971 46,600 122,375 129,692 117,421 124,441
Ser. 02-14, Class A2, 7 1/2s, 2042 111,472 118,336 435,950 462,795 518,743 550,686
Ser. 02-26, Class A2, 7 1/2s, 2048 71,840 76,523 413,037 439,961 361,593 385,164
Ser. 02-T1, Class A3, 7 1/2s, 2031 28,320 30,105 586,520 623,482 88,686 94,275
Ser. 02-T4, Class A3, 7 1/2s, 2041 42,489 45,050 316,602 335,685 384,316 407,481
Ser. 02-T12, Class A3, 7 1/2s, 2042 16,692 17,726 95,678 101,607 56,036 59,508
Ser. 02-T19, Class A3, 7 1/2s, 2042 21,876 23,332 -- -- -- --
Ser. 03-W1, Class 2A, 7 1/2s, 2042 103,133 109,821 1,061,409 1,130,247 795,143 846,713
Ser. 03-W10, Class 1A1, 7 1/2s, 2032 24,789 26,427 161,351 172,013 158,271 168,729
Ser. 04-T2, Class 1A4, 7 1/2s, 2043 58,593 62,710 160,289 171,551 153,554 164,343
Ser. 04-T3, Class 1A4, 7 1/2s, 2044 2,716 2,907 12,069 12,919 7,845 8,397
Ser. 04-W2, Class 5A, 7 1/2s, 2044 -- -- 50,744 54,313 39,908 42,715
Ser. 383, Class 79, IO, 7s, 2037 184,125 40,048 264,945 57,628 -- --
Ser. 383, Class 80, IO, 7s, 2037 398,702 88,317 572,917 126,908 -- --
Ser. 383, Class 81, IO, 7s, 2037 220,909 46,109 318,350 66,447 -- --
Ser. 383, Class 82, IO, 7s, 2037 217,584 44,390 312,777 63,810 -- --
Ser. 383, Class 83, IO, 7s, 2037 182,380 38,303 261,604 54,942 -- --
Ser. 383, Class 84, IO, 7s, 2037 179,253 38,006 257,887 54,678 -- --
Ser. 383, Class 85, IO, 7s, 2037 114,064 23,876 164,077 34,344 -- --
Ser. 383, Class 86, IO, 7s, 2037 89,432 18,720 129,085 27,020 -- --
Ser. 386, Class 21, IO, 7s, 2037 195,822 38,406 280,885 55,089 -- --
Ser. 386, Class 22, IO, 7s, 2038 173,427 33,305 249,667 47,947 -- --
Ser. 386, Class 23, IO, 7s, 2037 190,711 35,670 274,978 51,431 -- --
Ser. 386, Class 24, IO, 7s, 2038 125,494 23,309 181,470 33,705 -- --
Ser. 386, Class 25, IO, 7s, 2038 134,464 25,150 192,732 36,048 -- --
Ser. 01-T10, Class A1, 7s, 2041 -- -- 3,613 3,791 5,202 5,459
Ser. 01-W3, Class A, 7s, 2041 60,874 64,151 73,844 77,818 74,241 78,236
Ser. 02-14, Class A1, 7s, 2042 154,234 162,001 314,105 329,923 295,458 310,337
Ser. 02-26, Class A1, 7s, 2048 41,480 43,657 235,524 247,886 236,536 248,951
Ser. 02-T4, Class A2, 7s, 2041 18,370 19,281 83,611 87,758 62,945 66,067
Ser. 02-T16, Class A2, 7s, 2042 38,485 40,605 218,374 230,403 219,256 231,334
Ser. 02-T18, Class A3, 7s, 2042 15,827 16,684 -- -- -- --
Ser. 03-W3, Class 1A2, 7s, 2042 65,401 68,919 105,861 111,555 106,600 112,334
Ser. 03-W8, Class 2A, 7s, 2042 34,041 35,906 -- -- -- --
Ser. 04-T2, Class 1A3, 7s, 2043 43,661 46,138 -- -- -- --
Ser. 04-T3, Class 1A3, 7s, 2044 74,897 79,144 274,725 290,302 -- --
Ser. 04-W1, Class 2A2, 7s, 2033 387,500 409,277 1,005,940 1,062,473 967,496 1,021,869
Ser. 04-W2, Class 2A2, 7s, 2044 -- -- 30,975 32,723 24,217 25,583
Ser. 05-W4, Class 1A3, 7s, 2035 127,180 133,948 513,282 540,596 439,811 463,216
Ser. 04-W12, Class 1A3, 7s, 2044 153,756 162,511 -- -- -- --
Ser. 371, Class 2, IO, 6 1/2s, 2036 8,576,853 2,279,089 960,264 255,167 1,261,440 335,197
Ser. 381, Class 14, IO, 6 1/2s, 2037 209,574 47,152 541,972 121,938 516,204 116,141
Ser. 381, Class 15, IO, 6 1/2s, 2037 88,926 20,873 229,155 53,789 218,894 51,381
Ser. 381, Class 16, IO, 6 1/2s, 2037 -- -- 126,976 39,332 126,976 39,332
Ser. 383, Class 58, IO, 6 1/2s, 2037 422,577 95,180 608,352 137,023 -- --
Ser. 383, Class 59, IO, 6 1/2s, 2037 264,645 58,576 380,593 84,239 -- --
Ser. 383, Class 60, IO, 6 1/2s, 2037 903,450 208,823 1,299,279 300,315 -- --
Ser. 383, Class 61, IO, 6 1/2s, 2037 211,039 46,879 303,030 67,314 -- --
Ser. 383, Class 62, IO, 6 1/2s, 2037 248,278 56,294 357,343 81,023 -- --
Ser. 383, Class 63, IO, 6 1/2s, 2037 195,292 43,264 280,963 62,243 -- --
Ser. 383, Class 64, IO, 6 1/2s, 2037 362,864 82,928 521,512 119,185 -- --
Ser. 383, Class 65, IO, 6 1/2s, 2037 248,862 57,373 357,740 82,473 -- --
Ser. 383, Class 66, IO, 6 1/2s, 2037 253,324 58,224 364,896 83,867 -- --
Ser. 383, Class 67, IO, 6 1/2s, 2037 190,543 43,051 273,464 61,786 -- --
Ser. 383, Class 68, IO, 6 1/2s, 2037 91,692 20,781 132,036 29,924 -- --
Ser. 383, Class 69, IO, 6 1/2s, 2037 142,382 32,284 204,446 46,356 -- --
Ser. 383, Class 70, IO, 6 1/2s, 2037 532,507 120,733 766,149 173,706 -- --
Ser. 383, Class 71, IO, 6 1/2s, 2036 225,001 50,608 323,967 72,868 -- --
Ser. 383, Class 72, IO, 6 1/2s, 2037 1,011,194 234,526 1,454,571 337,358 -- --
Ser. 383, Class 73, IO, 6 1/2s, 2037 344,129 77,954 495,511 112,246 -- --
Ser. 383, Class 74, IO, 6 1/2s, 2037 284,283 64,255 409,155 92,480 -- --
Ser. 383, Class 75, IO, 6 1/2s, 2036 180,326 41,570 259,806 59,893 -- --
Ser. 383, Class 76, IO, 6 1/2s, 2037 206,225 48,098 297,000 69,269 -- --
Ser. 383, Class 77, IO, 6 1/2s, 2037 151,374 34,518 218,157 49,746 -- --
Ser. 383, Class 78, IO, 6 1/2s, 2037 155,060 35,265 223,286 50,781 -- --
Ser. 383, Class 101, IO, 6 1/2s, 2022 88,885 13,986 127,090 19,998 -- --
Ser. 383, Class 102, IO, 6 1/2s, 2022 -- -- 80,011 12,510 -- --
Ser. 386, Class 12, IO, 6 1/2s, 2038 1,022,448 216,405 1,471,391 311,425 -- --
Ser. 386, Class 13, IO, 6 1/2s, 2037 267,983 54,576 385,225 78,453 -- --
Ser. 386, Class 14, IO, 6 1/2s, 2038 1,986,737 436,795 2,248,641 494,376 -- --
Ser. 386, Class 15, IO, 6 1/2s, 2037 259,253 54,275 372,501 77,984 -- --
Ser. 386, Class 16, IO, 6 1/2s, 2037 193,877 41,249 279,220 59,406 -- --
Ser. 386, Class 17, IO, 6 1/2s, 2037 283,925 60,463 408,640 87,021 -- --
Ser. 386, Class 18, IO, 6 1/2s, 2037 209,583 44,255 300,747 63,505 -- --
Ser. 386, Class 19, IO, 6 1/2s, 2038 185,567 37,754 266,752 54,272 -- --
Ser. 386, Class 20, IO, 6 1/2s, 2038 190,159 39,259 272,715 56,303 -- --
Ser. 389, Class 7, IO, 6 1/2s, 2038 100,000 21,262 100,000 21,262 100,000 21,262
Ser. 383, Class 28, IO, 6s, 2038 1,901,229 441,511 2,607,016 605,412 -- --
Ser. 383, Class 29, IO, 6s, 2038 2,077,110 483,601 2,344,692 545,900 -- --
Ser. 383, Class 30, IO, 6s, 2038 1,202,675 282,054 1,729,629 405,636 -- --
Ser. 383, Class 31, IO, 6s, 2038 1,061,093 248,850 1,527,330 358,193 -- --
Ser. 383, Class 32, IO, 6s, 2038 822,894 194,549 1,183,640 279,837 -- --
Ser. 383, Class 33, IO, 6s, 2038 704,653 166,594 1,013,664 239,650 -- --
Ser. 383, Class 34, IO, 6s, 2037 285,382 66,073 409,733 94,863 -- --
Ser. 383, Class 35, IO, 6s, 2037 235,605 54,407 339,626 78,428 -- --
Ser. 383, Class 36, IO, 6s, 2037 185,801 43,110 267,695 62,111 -- --
Ser. 383, Class 37, IO, 6s, 2038 273,458 65,143 393,490 93,737 -- --
Ser. 383, Class 38, IO, 6s, 2037 116,461 26,905 167,525 38,702 -- --
Ser. 383, Class 39, IO, 6s, 2037 91,292 20,890 112,289 25,695 -- --
Ser. 383, Class 40, IO, 6s, 2038 1,818,642 417,953 2,490,424 572,339 -- --
Ser. 383, Class 41, IO, 6s, 2038 1,520,262 349,077 2,186,966 502,163 -- --
Ser. 383, Class 42, IO, 6s, 2038 1,098,542 253,560 1,581,301 364,988 -- --

Ser. 383, Class 43, IO, 6s, 2038 993,464 230,001 1,428,654 330,754 -- --
Ser. 383, Class 44, IO, 6s, 2038 907,392 209,440 1,305,309 301,285 -- --
Ser. 383, Class 45, IO, 6s, 2038 698,608 163,273 1,004,581 234,783 -- --
Ser. 383, Class 46, IO, 6s, 2038 607,054 141,815 874,017 204,181 -- --
Ser. 383, Class 47, IO, 6s, 2038 538,155 125,720 773,818 180,773 -- --
Ser. 383, Class 48, IO, 6s, 2038 482,481 113,051 694,280 162,678 -- --
Ser. 383, Class 49, IO, 6s, 2037 249,124 57,253 357,897 82,251 -- --
Ser. 383, Class 50, IO, 6s, 2037 330,646 75,393 475,196 108,353 -- --
Ser. 383, Class 51, IO, 6s, 2037 257,337 58,677 369,598 84,275 -- --
Ser. 383, Class 52, IO, 6s, 2038 195,681 45,850 281,675 66,000 -- --
Ser. 383, Class 53, IO, 6s, 2037 95,141 21,913 136,545 31,449 -- --
Ser. 383, Class 54, IO, 6s, 2037 87,366 20,113 88,240 20,314 -- --
Ser. 383, Class 55, IO, 6s, 2037 -- -- 87,590 20,278 -- --
Ser. 383, Class 57, IO, 6s, 2037 156,366 36,092 225,477 52,044 -- --
Ser. 383, Class 98, IO, 6s, 2022 278,393 44,915 400,190 64,566 -- --
Ser. 383, Class 99, IO, 6s, 2022 122,899 19,263 176,718 27,699 -- --
Ser. 383, Class 100, IO, 6s, 2022 90,244 14,172 130,443 20,485 -- --
Ser. 386, Class 6, IO, 6s, 2037 509,802 117,270 732,841 168,575 -- --
Ser. 386, Class 7, IO, 6s, 2038 1,058,181 255,465 1,521,704 367,368 -- --
Ser. 386, Class 8, IO, 6s, 2038 1,468,119 313,946 1,739,834 372,049 -- --
Ser. 386, Class 9, IO, 6s, 2038 867,740 192,411 1,247,543 276,628 -- --
Ser. 386, Class 10, IO, 6s, 2038 135,446 30,115 195,118 43,382 -- --
Ser. 386, Class 11, IO, 6s, 2038 94,174 21,381 129,960 29,505 -- --
Ser. 389, Class 1, IO, 6s, 2038 100,000 21,730 -- -- 100,000 21,730
Ser. 389, Class 2, IO, 6s, 2038 100,000 20,879 126,000 26,308 107,000 22,341
Ser. 389, Class 3, IO, 6s, 2038 100,000 23,099 158,000 36,497 134,000 30,953
Ser. 389, Class 4, IO, 6s, 2038 100,000 21,199 188,000 39,854 158,000 33,495
Ser. 389, Class 5, IO, 6s, 2038 103,000 22,856 224,000 49,706 146,000 32,398
Ser. 389, Class 6, IO, 6s, 2038 100,000 18,983 101,000 19,173 100,000 18,983
Ser. 363, Class 2, IO, 5 1/2s, 2035 349,091 91,401 1,628,842 426,470 1,406,898 368,360
Ser. 383, Class 3, IO, 5 1/2s, 2037 1,499,616 343,816 2,157,667 494,687 -- --
Ser. 383, Class 4, IO, 5 1/2s, 2037 1,325,392 305,720 1,906,120 439,672 -- --
Ser. 383, Class 5, IO, 5 1/2s, 2037 841,194 194,033 1,210,026 279,109 -- --
Ser. 383, Class 6, IO, 5 1/2s, 2037 756,084 174,929 1,087,506 251,607 -- --
Ser. 383, Class 7, IO, 5 1/2s, 2037 745,232 171,898 1,072,137 247,303 -- --
Ser. 383, Class 8, IO, 5 1/2s, 2037 301,080 72,270 432,685 103,860 -- --
Ser. 383, Class 9, IO, 5 1/2s, 2037 286,737 68,827 412,599 99,039 -- --
Ser. 383, Class 10, IO, 5 1/2s, 2037 274,306 65,843 394,433 94,678 -- --
Ser. 383, Class 11, IO, 5 1/2s, 2037 190,207 45,183 274,011 65,090 -- --
Ser. 383, Class 12, IO, 5 1/2s, 2037 174,166 41,476 250,423 59,636 -- --
Ser. 383, Class 13, IO, 5 1/2s, 2037 175,157 41,712 252,376 60,101 -- --
Ser. 383, Class 14, IO, 5 1/2s, 2037 339,163 79,112 488,656 113,982 -- --
Ser. 383, Class 15, IO, 5 1/2s, 2037 131,321 29,964 189,176 43,165 -- --
Ser. 383, Class 16, IO, 5 1/2s, 2037 -- -- 94,730 22,559 -- --
Ser. 383, Class 17, IO, 5 1/2s, 2038 1,883,205 435,109 2,049,479 473,526 -- --
Ser. 383, Class 18, IO, 5 1/2s, 2038 949,736 220,570 1,366,514 317,364 -- --
Ser. 383, Class 19, IO, 5 1/2s, 2038 867,214 201,405 1,246,909 289,586 -- --
Ser. 383, Class 20, IO, 5 1/2s, 2037 535,180 126,853 770,024 182,518 -- --
Ser. 383, Class 21, IO, 5 1/2s, 2037 506,189 119,981 727,939 172,543 -- --
Ser. 383, Class 22, IO, 5 1/2s, 2037 342,800 81,049 493,183 116,604 -- --
Ser. 383, Class 23, IO, 5 1/2s, 2037 309,910 73,272 445,262 105,274 -- --
Ser. 383, Class 24, IO, 5 1/2s, 2037 217,750 49,767 313,016 71,541 -- --
Ser. 383, Class 25, IO, 5 1/2s, 2038 148,512 33,232 213,317 47,733 -- --
Ser. 383, Class 26, IO, 5 1/2s, 2037 159,885 37,993 229,075 54,434 -- --
Ser. 383, Class 27, IO, 5 1/2s, 2037 -- -- 93,125 21,795 -- --
Ser. 383, Class 94, IO, 5 1/2s, 2022 218,944 35,703 314,101 51,221 -- --
Ser. 383, Class 95, IO, 5 1/2s, 2022 434,817 72,109 625,964 103,808 -- --
Ser. 383, Class 96, IO, 5 1/2s, 2022 238,960 37,160 343,455 53,410 -- --
Ser. 383, Class 97, IO, 5 1/2s, 2022 184,141 29,404 265,330 42,368 -- --
Ser. 386, Class 3, IO, 5 1/2s, 2037 524,709 119,674 754,386 172,058 -- --
Ser. 386, Class 4, IO, 5 1/2s, 2037 213,345 49,531 307,524 71,396 -- --
Ser. 386, Class 5, IO, 5 1/2s, 2037 138,287 32,616 198,371 46,787 -- --
IFB Ser. 06-90, Class SE, IO, 5.318s, 2036 172,110 22,722 625,653 82,598 910,780 120,240
IFB Ser. 07-W6, Class 6A2, IO, 5.318s, 2037 84,537 8,981 811,552 86,219 652,140 69,283
IFB Ser. 04-51, Class XP, IO, 5.218s, 2034 607,306 68,678 185,945 21,028 142,018 16,060
IFB Ser. 03-66, Class SA, IO, 5.168s, 2033 176,293 19,946 573,191 64,851 575,283 65,088
IFB Ser. 04-17, Class ST, IO, 5.118s, 2034 428,096 53,593 -- -- -- --
IFB Ser. 08-7, Class SA, IO, 5.068s, 2038 528,377 66,322 -- -- -- --
Ser. 383, Class 1, IO, 5s, 2037 305,828 71,792 440,164 103,327 -- --
Ser. 383, Class 2, IO, 5s, 2037 141,179 33,969 203,605 48,990 -- --
Ser. 383, Class 92, IO, 5s, 2022 189,408 29,886 273,100 43,091 -- --
Ser. 383, Class 93, IO, 5s, 2022 102,542 16,473 147,625 23,715 -- --
Ser. 389, Class 8, IO, 5s, 2023 100,000 13,397 100,000 13,397 -- --
IFB Ser. 07-W6, Class 5A2, IO, 4.808s, 2037 120,826 12,499 1,159,035 119,901 931,703 96,384
IFB Ser. 07-W2, Class 3A2, IO, 4.798s, 2037 258,982 25,489 1,328,760 130,777 1,119,713 110,203
IFB Ser. 07-W4, Class 4A2, IO, 4.798s, 2037 840,729 82,433 4,347,138 426,237 3,818,931 374,446
IFB Ser. 06-115, Class BI, IO, 4.778s, 2036 278,592 21,320 1,300,094 99,493 1,114,367 85,280
IFB Ser. 05-113, Class AI, IO, 4.748s, 2036 -- -- 200,823 22,006 292,219 32,020
IFB Ser. 05-113, Class DI, IO, 4.748s, 2036 1,088,392 103,159 3,712,368 351,863 3,401,031 322,354
IFB Ser. 05-52, Class DC, IO, 4.718s, 2035 292,066 37,561 648,972 83,462 675,367 86,856
IFB Ser. 04-24, Class CS, IO, 4.668s, 2034 234,370 25,313 808,936 87,369 781,233 84,377
IFB Ser. 04-89, Class EI, IO, 4.668s, 2034 628,404 65,450 -- -- -- --
IFB Ser. 06-60, Class SI, IO, 4.668s, 2036 498,689 55,022 1,308,519 144,373 1,100,228 121,392
IFB Ser. 06-60, Class UI, IO, 4.668s, 2036 226,842 25,307 527,982 58,902 443,410 49,467
IFB Ser. 07-60, Class AX, IO, 4.668s, 2037 1,202,805 126,677 5,176,711 545,201 4,470,755 470,851
IFB Ser. 07-W7, Class 3A2, IO, 4.648s, 2037 387,158 36,143 1,840,717 171,841 1,558,057 145,453
IFB Ser. 03-122, Class SA, IO, 4.618s, 2028 276,594 19,682 982,852 69,938 945,776 67,300
IFB Ser. 03-122, Class SJ, IO, 4.618s, 2028 290,571 21,004 1,032,488 74,634 991,552 71,675
IFB Ser. 06-60, Class DI, IO, 4.588s, 2035 156,522 13,500 568,188 49,006 827,149 71,341
IFB Ser. 04-60, Class SW, IO, 4.568s, 2034 425,615 45,722 1,481,690 159,172 1,420,526 152,601
IFB Ser. 05-65, Class KI, IO, 4.518s, 2035 706,577 62,635 1,042,937 92,453 1,302,792 115,488
IFB Ser. 08-10, Class LI, IO, 4.498s, 2038 1,364,841 144,837 -- -- -- --
IFB Ser. 08-01, Class GI, IO, 4.478s, 2037 979,647 99,553 5,133,427 521,667 4,301,505 437,126
IFB Ser. 07-23, Class SI, IO, 4.288s, 2037 128,028 11,007 641,740 55,170 769,768 66,177
IFB Ser. 07-39, Class LI, IO, 4.288s, 2037 734,588 70,985 -- -- -- --
IFB Ser. 07-30, Class WI, IO, 4.278s, 2037 2,289,077 188,325 7,821,477 643,481 6,238,983 513,288
IFB Ser. 07-39, Class PI, IO, 4.278s, 2037 316,759 27,754 824,947 72,281 692,749 60,698
IFB Ser. 07-54, Class CI, IO, 4.278s, 2037 111,723 10,953 1,055,556 103,481 848,199 83,153
IFB Ser. 05-12, Class SC, IO, 4.268s, 2035 489,081 38,171 1,076,546 84,020 931,278 72,683
IFB Ser. 05-17, Class ES, IO, 4.268s, 2035 178,869 15,708 635,575 55,816 610,376 53,603
IFB Ser. 05-17, Class SY, IO, 4.268s, 2035 134,390 11,161 295,530 24,543 283,813 23,570
IFB Ser. 05-73, Class SI, IO, 4.268s, 2035 67,090 5,334 340,145 27,041 327,398 26,028
IFB Ser. 06-128, Class SH, IO, 4.268s, 2037 106,852 8,786 766,453 63,025 789,672 64,935
IFB Ser. 06-56, Class SM, IO, 4.268s, 2036 1,031,622 85,848 3,014,583 250,862 2,335,684 194,367
IFB Ser. 07-28, Class SE, IO, 4.268s, 2037 367,532 34,319 1,072,039 100,105 840,695 78,502
IFB Ser. 06-123, Class CI, IO, 4.258s, 2037 819,866 77,807 2,376,783 225,561 1,871,613 177,619
IFB Ser. 06-123, Class UI, IO, 4.258s, 2037 341,776 31,916 898,682 83,922 754,991 70,504
IFB Ser. 07-30, Class IE, IO, 4.258s, 2037 494,306 53,384 2,430,339 262,470 2,039,908 220,304
IFB Ser. 07-W5, Class 2A2, IO, 4.258s, 2037 -- -- 494,462 39,124 413,989 32,756
IFB Ser. 05-82, Class SY, IO, 4.248s, 2035 389,320 31,730 1,326,865 108,142 1,277,324 104,104
IFB Ser. 05-45, Class EW, IO, 4.238s, 2035 496,267 39,054 2,505,884 197,201 2,535,750 199,551
IFB Ser. 05-45, Class SR, IO, 4.238s, 2035 506,865 41,286 1,764,540 143,730 1,691,701 137,797
IFB Ser. 05-17, Class SA, IO, 4.218s, 2035 737,350 69,901 829,520 78,639 796,631 75,521
IFB Ser. 05-17, Class SE, IO, 4.218s, 2035 253,894 23,505 902,164 83,521 866,394 80,210
IFB Ser. 05-23, Class SG, IO, 4.218s, 2035 268,017 24,901 952,887 88,530 915,250 85,033
IFB Ser. 05-29, Class SX, IO, 4.218s, 2035 734,815 65,688 151,805 13,570 121,544 10,865
IFB Ser. 05-29, Class SY, IO, 4.218s, 2035 808,305 79,856 -- -- -- --
IFB Ser. 05-54, Class SA, IO, 4.218s, 2035 364,626 29,882 1,260,120 103,268 1,216,551 99,698
IFB Ser. 05-57, Class DI, IO, 4.218s, 2035 568,829 47,135 1,981,524 164,194 1,900,262 157,461
IFB Ser. 05-57, Class NI, IO, 4.218s, 2035 179,966 16,048 460,140 41,033 386,518 34,468
IFB Ser. 05-84, Class SG, IO, 4.218s, 2035 405,422 39,030 1,296,303 124,796 1,300,239 125,175
IFB Ser. 05-95, Class CI, IO, 4.218s, 2035 242,472 23,178 783,995 74,943 787,669 75,294
IFB Ser. 06-126, Class CS, IO, 4.218s, 2037 322,273 27,789 440,119 37,950 411,258 35,462
IFB Ser. 06-16, Class SM, IO, 4.218s, 2036 429,039 39,471 996,974 91,721 776,282 71,417
IFB Ser. 07-15, Class BI, IO, 4.218s, 2037 556,835 51,199 1,464,929 134,696 1,230,217 113,115
IFB Ser. 05-83, Class QI, IO, 4.208s, 2035 -- -- 210,496 21,677 212,141 21,846
IFB Ser. 06-128, Class GS, IO, 4.198s, 2037 126,361 11,986 1,185,785 112,481 953,147 90,414
IFB Ser. 06-114, Class IS, IO, 4.168s, 2036 195,358 16,829 999,583 86,107 842,483 72,574
Ser. 06-116, Class ES, IO, 4.168s, 2036 309,624 25,110 738,157 59,862 886,406 71,885
IFB Ser. 06-116, Class LS, IO, 4.168s, 2036 651,285 57,863 -- -- -- --
IFB Ser. 06-115, Class GI, IO, 4.158s, 2036 -- -- 986,113 94,680 814,064 78,161
IFB Ser. 06-115, Class IE, IO, 4.158s, 2036 307,700 27,695 793,087 71,382 665,673 59,914
IFB Ser. 06-117, Class SA, IO, 4.158s, 2036 447,608 38,619 1,177,703 101,611 989,109 85,340
IFB Ser. 06-121, Class SD, IO, 4.158s, 2036 377,787 32,892 2,284,443 198,897 1,743,942 151,838
IFB Ser. 06-109, Class SG, IO, 4.148s, 2036 549,766 48,350 1,596,405 140,398 1,222,147 107,484
IFB Ser. 06-104, Class IM, IO, 4.138s, 2036 102,265 9,110 342,404 30,501 434,625 38,717
IFB Ser. 06-104, Class SY, IO, 4.138s, 2036 215,369 17,546 722,602 58,870 917,177 74,722
IFB Ser. 06-109, Class SH, IO, 4.138s, 2036 414,790 40,490 1,217,316 118,828 955,819 93,302
IFB Ser. 06-111, Class SA, IO, 4.138s, 2036 3,301,772 309,563 -- -- -- --
IFB Ser. 05-122, Class SG, IO, 4.118s, 2035 103,759 9,343 1,007,719 90,743 784,480 70,641
IFB Ser. 06-8, Class JH, IO, 4.118s, 2036 681,819 64,994 3,503,015 333,925 2,948,813 281,096
IFB Ser. 06-8, Class PS, IO, 4.118s, 2036 233,970 23,118 -- -- -- --
IFB Ser. 06-43, Class SI, IO, 4.118s, 2036 616,967 51,836 2,874,012 241,466 2,481,820 208,515
IFB Ser. 06-44, Class IS, IO, 4.118s, 2036 370,450 29,216 1,006,171 79,354 1,146,153 90,394
IFB Ser. 06-45, Class XS, IO, 4.118s, 2034 396,738 32,815 -- -- -- --
Ser. 06-104, Class SG, IO, 4.118s, 2036 630,133 49,106 1,593,703 124,197 1,952,789 152,180
IFB Ser. 06-128, Class SC, IO, 4.118s, 2037 825,784 71,909 3,706,333 322,747 2,904,789 252,949
IFB Ser. 07-W6, Class 4A2, IO, 4.118s, 2037 669,698 57,843 4,734,301 408,913 3,805,060 328,652
IFB Ser. 05-95, Class OI, IO, 4.108s, 2035 -- -- 117,876 11,239 118,706 11,318
IFB Ser. 06-92, Class JI, IO, 4.098s, 2036 256,843 22,566 647,582 56,897 841,267 73,914
IFB Ser. 06-92, Class LI, IO, 4.098s, 2036 440,780 38,766 1,158,035 101,846 972,402 85,520
IFB Ser. 06-96, Class ES, IO, 4.098s, 2036 246,476 21,305 1,490,026 128,796 1,136,663 98,252
IFB Ser. 06-99, Class AS, IO, 4.098s, 2036 352,620 31,469 902,270 80,522 1,129,792 100,827
IFB Ser. 06-85, Class TS, IO, 4.078s, 2036 288,059 23,226 1,091,907 88,040 1,282,689 103,423
IFB Ser. 06-61, Class SE, IO, 4.068s, 2036 375,278 27,792 1,181,410 87,490 1,318,853 97,669
IFB Ser. 07-75, Class PI, IO, 4.058s, 2037 308,085 25,116 1,443,040 117,640 1,238,536 100,969
IFB Ser. 07-76, Class SA, IO, 4.058s, 2037 498,935 37,996 1,196,485 91,118 1,196,485 91,118
IFB Ser. 07-W7, Class 2A2, IO, 4.048s, 2037 783,648 65,315 3,212,957 267,790 2,747,489 228,995
IFB Ser. 07-88, Class MI, IO, 4.038s, 2037 136,424 9,982 742,656 54,337 656,539 48,036
IFB Ser. 03-124, Class ST, IO, 4.018s, 2034 115,100 7,740 -- -- -- --
Ser. 06-94, Class NI, IO, 4.018s, 2036 313,146 23,869 781,859 59,597 958,213 73,039
IFB Ser. 07-1, Class NI, IO, 4.018s, 2037 1,053,584 81,964 2,949,224 229,436 2,527,791 196,650
IFB Ser. 07-15, Class NI, IO, 4.018s, 2022 158,111 12,210 1,976,382 152,631 1,502,051 115,999
IFB Ser. 07-103, Class AI, IO, 4.018s, 2037 1,046,556 88,446 5,368,223 453,676 4,524,461 382,369
IFB Ser. 07-116, Class IA, IO, 4.018s, 2037 870,781 70,809 4,504,597 366,300 3,957,141 321,783
IFB Ser. 08-10, Class AI, IO, 4.018s, 2038 918,817 51,335 -- -- -- --
IFB Ser. 07-106, Class SM, IO, 3.978s, 2037 376,167 28,853 -- -- -- --
IFB Ser. 06-79, Class SH, IO, 3.968s, 2036 941,559 84,107 -- -- -- --
IFB Ser. 07-88, Class JI, IO, 3.968s, 2037 -- -- 997,022 83,571 1,004,138 84,168
IFB Ser. 07-109, Class XI, IO, 3.968s, 2037 195,490 16,242 879,705 73,089 781,960 64,968
IFB Ser. 07-109, Class YI, IO, 3.968s, 2037 237,418 17,969 1,213,366 91,833 1,023,807 77,486
IFB Ser. 07-W8, Class 2A2, IO, 3.968s, 2037 504,340 40,498 2,392,234 192,092 2,024,123 162,534
IFB Ser. 08-3, Class SC, IO, 3.968s, 2038 354,498 27,958 1,354,515 106,827 889,664 70,165
IFB Ser. 07-30, Class JS, IO, 3.958s, 2037 792,636 66,365 2,082,994 174,402 1,749,208 146,455
IFB Ser. 07-30, Class LI, IO, 3.958s, 2037 1,304,395 112,359 3,815,050 328,623 2,956,165 254,640
IFB Ser. 07-54, Class KI, IO, 3.958s, 2037 167,940 12,376 617,181 45,482 520,616 38,366
IFB Ser. 07-W2, Class 1A2, IO, 3.948s, 2037 104,014 8,623 1,037,327 85,993 893,957 74,108
IFB Ser. 07-54, Class IA, IO, 3.928s, 2037 224,766 19,109 1,103,313 93,801 924,928 78,635
IFB Ser. 07-54, Class IB, IO, 3.928s, 2037 224,766 19,109 1,103,313 93,801 924,928 78,635
IFB Ser. 07-54, Class IC, IO, 3.928s, 2037 224,766 19,109 1,103,313 93,801 924,928 78,635
IFB Ser. 07-54, Class ID, IO, 3.928s, 2037 224,766 19,109 1,103,313 93,801 924,928 78,635
IFB Ser. 07-54, Class IE, IO, 3.928s, 2037 224,766 19,109 1,103,313 93,801 924,928 78,635
IFB Ser. 07-54, Class IF, IO, 3.928s, 2037 333,580 28,184 1,642,037 138,734 1,375,351 116,202
IFB Ser. 07-54, Class NI, IO, 3.928s, 2037 107,110 8,708 1,044,795 84,946 927,350 75,397

IFB Ser. 07-54, Class UI, IO, 3.928s, 2037 151,017 13,436 1,506,468 134,030 1,232,228 109,631
IFB Ser. 07-106, Class SN, IO, 3.928s, 2037 294,533 22,093 1,430,332 107,289 1,206,055 90,466
IFB Ser. 07-91, Class AS, IO, 3.918s, 2037 202,784 15,412 955,594 72,626 813,825 61,852
IFB Ser. 07-91, Class HS, IO, 3.918s, 2037 105,967 7,749 1,020,722 74,640 864,942 63,249
IFB Ser. 07-109, Class AI, IO, 3.918s, 2037 -- -- 6,468,278 517,929 5,402,559 432,595
IFB Ser. 06-115, Class JI, IO, 3.898s, 2036 1,108,666 93,137 3,210,166 269,679 2,523,455 211,990
IFB Ser. 06-123, Class BI, IO, 3.898s, 2037 1,987,554 163,072 5,780,468 474,266 4,546,529 373,026
IFB Ser. 07-15, Class CI, IO, 3.898s, 2037 1,521,436 127,746 4,419,004 371,036 3,478,791 292,092
IFB Ser. 07-109, Class PI, IO, 3.868s, 2037 146,956 11,242 1,433,788 109,679 1,272,330 97,328
IFB Ser. 06-123, Class LI, IO, 3.838s, 2037 737,051 59,086 2,136,620 171,284 1,681,139 134,770
IFB Ser. 07-116, Class BI, IO, 3.768s, 2037 809,418 55,802 4,184,230 288,464 3,674,987 253,356
IFB Ser. 08-1, Class AI, IO, 3.768s, 2037 1,187,425 90,622 6,221,676 474,827 5,213,447 397,881
IFB Ser. 08-1, Class NI, IO, 3.768s, 2037 493,627 33,663 2,402,572 163,843 2,012,105 137,216
IFB Ser. 08-10, Class GI, IO, 3.748s, 2038 -- -- 983,318 69,875 990,020 70,351
IFB Ser. 08-13, Class SA, IO, 3.738s, 2038 1,969,619 141,015 232,894 16,674 173,007 12,386
IFB Ser. 08-1, Class HI, IO, 3.718s, 2037 555,911 41,095 2,908,812 215,028 2,437,455 180,184
IFB Ser. 07-39, Class AI, IO, 3.638s, 2037 373,291 26,877 1,896,632 136,558 1,596,619 114,957
IFB Ser. 07-32, Class SD, IO, 3.628s, 2037 261,223 18,214 1,293,925 90,221 1,086,688 75,771
IFB Ser. 05-74, Class SE, IO, 3.618s, 2035 1,732,906 105,328 2,352,799 143,005 2,150,762 130,725
IFB Ser. 05-82, Class SI, IO, 3.618s, 2035 741,479 46,319 2,525,927 157,791 2,432,176 151,934
IFB Ser. 07-1, Class CI, IO, 3.618s, 2037 253,537 18,764 1,248,372 92,392 1,046,046 77,418
IFB Ser. 07-30, Class UI, IO, 3.618s, 2037 219,587 16,575 1,077,895 81,362 903,620 68,208
IFB Ser. 07-32, Class SC, IO, 3.618s, 2037 343,073 25,079 1,713,623 125,269 1,438,468 105,155
IFB Ser. 05-74, Class NI, IO, 3.598s, 2035 430,874 33,391 -- -- -- --
IFB Ser. 05-14, Class SE, IO, 3.568s, 2035 275,163 17,155 1,497,401 93,356 1,322,624 82,460
IFB Ser. 05-58, Class IK, IO, 3.518s, 2035 266,814 22,793 923,305 78,876 891,214 76,135
IFB Ser. 08-1, Class BI, IO, 3.428s, 2038 1,100,101 61,758 5,985,426 336,010 5,286,571 296,778
IFB Ser. 07-75, Class ID, IO, 3.388s, 2037 141,388 9,583 1,326,797 89,931 1,066,494 72,287
FRB Ser. 07-114, Class A1, 2.683s, 2037 298,396 298,277 -- -- -- --
Ser. 03-W12, Class 2, IO, 2.218s, 2043 989,137 62,458 1,970,908 124,451 1,621,158 102,367
Ser. 03-W10, Class 3, IO, 1.935s, 2043 305,592 17,051 1,254,695 70,009 978,905 54,621
Ser. 03-W10, Class 1, IO, 1.923s, 2043 870,720 47,715 4,162,179 228,087 6,057,215 331,935
Ser. 03-W8, Class 12, IO, 1.636s, 2042 1,340,859 69,706 4,757,856 247,342 3,663,385 190,445
FRB Ser. 03-W17, Class 12, IO, 1.15s, 2033 -- -- 1,559,401 56,524 1,497,108 54,266
Ser. 03-T2, Class 2, IO, 0.812s, 2042 637,798 17,226 6,138,806 165,801 4,364,930 117,891
Ser. 03-W6, Class 51, IO, 0.676s, 2042 424,864 8,393 1,900,451 37,541 1,505,125 29,732
Ser. 06-W3, Class 1AS, IO, 0.662s, 2046 1,412,192 84,889 4,139,629 248,838 4,146,092 249,227
Ser. 01-T12, Class IO, 0.565s, 2041 2,300,402 37,183 1,153,849 18,651 767,814 12,411
Ser. 03-W2, Class 1, IO, 0.468s, 2042 306,369 4,242 10,756,971 148,935 8,612,385 119,242
Ser. 02-T4, IO, 0.45s, 2041 6,187,339 74,602 6,503,321 78,412 4,112,333 49,583
Ser. 01-50, Class B1, IO, 0.449s, 2041 2,900,451 30,526 2,050,893 21,584 1,373,074 14,451
Ser. 02-T1, Class IO, IO, 0.422s, 2031 1,075,118 12,916 1,335,019 16,038 847,703 10,184
Ser. 03-W6, Class 3, IO, 0.366s, 2042 591,667 6,455 2,646,245 28,869 2,095,922 22,865
Ser. 03-W6, Class 23, IO, 0.352s, 2042 621,467 7,397 2,779,007 33,075 2,200,929 26,195
Ser. 02-W8, Class 1, IO, 0.346s, 2042 1,198,617 11,999 -- -- -- --
Ser. 01-79, Class BI, IO, 0.335s, 2045 1,033,520 9,444 7,043,836 64,361 5,008,597 45,765
Ser. 03-34, Class P1, Principal Only (PO), zero %, 2043 35,681 23,204 -- -- -- --
Ser. 04-38, Class AO, PO, zero %, 2034 307,303 220,911 854,516 614,287 793,191 570,202
Ser. 04-61, Class CO, PO, zero %, 2031 215,408 179,668 651,771 543,631 584,283 487,341
FRB Ser. 05-36, Class QA, zero %, 2035 -- -- 103,111 90,326 99,524 87,184
FRB Ser. 05-57, Class UL, zero %, 2035 139,884 130,581 483,099 450,971 466,613 435,581
FRB Ser. 05-65, Class CU, zero %, 2034 -- -- 136,059 153,319 130,886 147,489
FRB Ser. 05-65, Class ER, zero %, 2035 159,947 145,256 543,062 493,182 522,831 474,810
FRB Ser. 05-79, Class FE, zero %, 2035 35,889 36,190 -- -- -- --
FRB Ser. 05-81, Class DF, zero %, 2033 -- -- 54,288 54,825 52,592 53,112
FRB Ser. 05-91, Class EF, zero %, 2035 86,940 75,658 -- -- -- --
FRB Ser. 05-117, Class GF, zero %, 2036 105,830 88,643 117,652 98,545 103,016 86,286
FRB Ser. 06-1, Class HF, zero %, 2032 -- -- 46,142 43,607 70,234 66,375
Ser. 06-16, Class OG, PO, zero %, 2036 -- -- 85,093 60,590 92,828 66,098
Ser. 06-46, Class OC, PO, zero %, 2036 -- -- 90,625 66,425 -- --
FRB Ser. 06-54, Class CF, zero %, 2035 -- -- -- -- 46,022 41,127
Ser. 06-56, Class XF, zero %, 2036 -- -- 73,445 68,392 73,445 68,392
IFB Ser. 06-75, Class FY, zero %, 2036 -- -- 206,515 208,018 162,024 163,204
Ser. 06-84, Class OT, PO, zero %, 2036 -- -- 74,041 54,674 74,041 54,674
FRB Ser. 06-104, Class EK, zero %, 2036 56,098 54,665 74,049 72,158 101,537 98,944
FRB Ser. 06-115, Class SN, zero %, 2036 82,736 81,930 456,704 452,253 389,688 385,889
Ser. 06-116, Class OD, PO, zero %, 2036 -- -- 93,454 67,474 -- --
Ser. 06-117, Class OA, PO, zero %, 2036 -- -- 127,079 91,328 110,890 79,694
Ser. 06-125, Class MO, PO, zero %, 2037 -- -- 377,163 283,351 291,519 219,009
Ser. 06-125, Class OX, PO, zero %, 2037 -- -- 87,461 61,346 84,913 59,559
Ser. 07-14, Class KO, PO, zero %, 2037 -- -- 244,907 182,105 189,910 141,212
Ser. 07-15, Class IM, IO, zero %, 2009 384,756 3,396 1,115,284 9,843 942,398 8,317
Ser. 07-16, Class TS, IO, zero %, 2009 (F) 1,519,535 11,048 4,449,767 32,351 3,792,558 27,573
Ser. 07-31, Class TS, IO, zero %, 2009 948,958 9,124 2,750,996 26,451 2,323,227 22,338
Ser. 07-47, Class B0, PO, zero %, 2037 -- -- 94,365 70,923 127,188 95,592
Ser. 07-64, Class LO, PO, zero %, 2037 -- -- 801,193 619,475 669,138 517,371
FRB Ser. 07-76, Class SF, zero %, 2037 89,212 88,025 99,917 98,588 -- --
Ser. 08-9, PO, zero %, 2038 -- -- 98,482 72,970 107,951 79,987
Ser. 08-33, PO, zero %, 2038 195,774 136,752 135,084 94,359 147,809 103,247
Federal Home Loan Mortgage Corp. Structured            
Pass-Through Securities            
Ser. T-42, Class A6, 9 1/2s, 2042 15,344 16,495 39,084 42,015 38,505 41,392
Ser. T-42, Class A5, 7 1/2s, 2042 97,975 104,617 229,877 245,459 385,468 411,596
Ser. T-51, Class 2A, 7 1/2s, 2042 100,924 107,307 222,449 236,516 258,380 274,719
Ser. T-58, Class 4A, 7 1/2s, 2043 465,185 496,735 151,191 161,445 83,210 88,854
Ser. T-41, Class 2A, 7s, 2032 11,687 12,270 71,641 75,214 63,693 66,871
Ser. T-58, Class 3A, 7s, 2043 18,819 19,854 17,039 17,976 -- --
Ser. T-60, Class 1A2, 7s, 2044 119,587 126,318 731,395 772,557 735,710 777,115
IFB Ser. T-56, Class 2ASI, IO, 5.618s, 2043 151,625 17,103 680,966 76,813 541,339 61,063
Ser. T-56, Class A, IO, 0.524s, 2043 560,882 8,968 1,970,179 31,500 1,571,387 25,124
Ser. T-56, Class 3, IO, 0.367s, 2043 521,921 6,693 1,733,325 22,228 1,416,043 18,159
Ser. T-56, Class 1, IO, 0.282s, 2043 672,725 5,658 2,234,524 18,795 1,825,264 15,352
Ser. T-56, Class 2, IO, 0.031s, 2043 614,453 1,817 2,040,402 6,034 1,666,853 4,929
FFCA Secured Lending Corp. Ser. 99-1A, Class C1,            
7.59s, 2025 100,000 75,000 -- -- -- --
FFCA Secured Lending Corp. 144A            
Ser. 00-1, Class A2, 7.77s, 2027 102,002 101,758 347,118 346,290 183,447 183,009
Ser. 00-1, Class X, IO, 1.33s, 2020 398,207 20,272 1,539,554 78,375 983,930 50,090
First Horizon Alternative Mortgage Securities FRB Ser.            
05-AA10, Class 2A1, 5.749s, 2035 (F) 413,275 334,973 1,136,234 920,954 809,649 656,246
First Union National Bank-Bank of America Commercial            
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.945s, 2033 -- -- 6,467,529 215,663 5,760,520 192,087
First Union-Lehman Brothers Commercial Mortgage Trust            
II            
Ser. 97-C2, Class F, 7 1/2s, 2029 -- -- 580,000 610,463 538,000 566,257
Ser. 97-C2, Class G, 7 1/2s, 2029 71,000 64,964 185,000 169,272 288,000 263,515
First Union-Lehman Brothers-Bank of America 144A Ser.            
98-C2, Class G, 7s, 2035 (F) -- -- 717,000 689,719 703,000 676,252
Freddie Mac            
IFB Ser. 3360, Class SB, 28.87s, 2037 -- -- 464,488 612,035 371,590 489,628
IFB Ser. 3339, Class WS, 28.061s, 2037 -- -- 554,347 737,073 460,887 612,806
IFB Ser. 3339, Class JS, 26.772s, 2037 -- -- 483,395 602,853 402,116 501,489
IFB Ser. 3153, Class SQ, 24.712s, 2036 412,901 509,584 -- -- -- --
IFB Ser. 3202, Class PS, 24.412s, 2036 -- -- 262,086 325,509 443,177 550,423
IFB Ser. 3331, Class SE, 24.173s, 2037 -- -- 399,319 475,513 346,376 412,468
IFB Ser. 3349, Class SA, 24.173s, 2037 -- -- 1,634,837 1,993,766 1,417,798 1,729,076
IFB Ser. 3153, Class SX, 20.894s, 2036 254,460 302,697 219,656 261,294 -- --
IFB Ser. 3202, Class HM, 20.894s, 2036 -- -- 170,268 202,709 255,003 303,587
IFB Ser. 3153, Class JS, 20.744s, 2036 90,909 106,834 84,585 99,402 79,051 92,899
IFB Ser. 3182, Class PS, 18.715s, 2032 76,172 90,756 444,847 530,016 443,323 528,201
IFB Ser. 3182, Class SP, 18.715s, 2032 210,760 230,567 -- -- -- --
IFB Ser. 3393, Class JS, 18.138s, 2032 304,999 309,076 -- -- -- --
IFB Ser. 3081, Class DC, 18.039s, 2035 152,476 170,669 291,228 325,977 291,228 325,977
IFB Ser. 3211, Class SI, IO, 17.275s, 2036 198,754 79,348 -- -- -- --
IFB Ser. 3114, Class GK, 16.515s, 2036 -- -- 183,431 202,349 201,130 221,874
IFB Ser. 3360, Class SC, 16.483s, 2037 -- -- 917,857 957,826 705,194 735,903
IFB Ser. 3408, Class EK, 15.849s, 2037 111,859 117,544 2,314,612 2,432,263 1,925,497 2,023,369
IFB Ser. 2976, Class KL, 15.322s, 2035 162,238 176,684 518,064 564,193 496,903 541,147
IFB Ser. 2979, Class AS, 15.212s, 2034 -- -- 127,465 134,965 128,189 135,732
IFB Ser. 2990, Class DP, 15.212s, 2034 74,458 80,417 440,794 476,070 425,158 459,183
IFB Ser. 3153, Class UT, 14.955s, 2036 162,412 170,580 133,178 139,876 -- --
IFB Ser. 3012, Class ST, 13.064s, 2035 76,503 77,721 -- -- -- --
IFB Ser. 3149, Class SU, 12.867s, 2036 -- -- 401,232 408,838 336,620 343,001
IFB Ser. 3065, Class DC, 12.446s, 2035 164,605 166,721 468,923 474,953 470,529 476,579
IFB Ser. 3226, Class TY, 11.584s, 2036 111,836 116,195 -- -- -- --
IFB Ser. 3012, Class FS, 10.697s, 2035 79,021 78,413 76,719 76,129 76,719 76,129
IFB Ser. 2990, Class WP, 10.652s, 2035 65,574 67,029 309,507 316,376 299,015 305,651
IFB Ser. 2990, Class LB, 10.629s, 2034 159,836 157,243 542,357 533,559 519,080 510,660
IFB Ser. 3031, Class BS, 10.547s, 2035 187,143 185,133 -- -- -- --
IFB Ser. 2927, Class SI, IO, 6.029s, 2035 197,831 26,970 703,665 95,928 675,826 92,133
IFB Ser. 2828, Class GI, IO, 5.029s, 2034 228,218 25,889 748,176 84,872 747,326 84,775
IFB Ser. 3184, Class SP, IO, 4.879s, 2033 176,145 16,481 1,661,402 155,452 1,334,765 124,889
IFB Ser. 2869, Class SH, IO, 4.829s, 2034 110,896 8,633 382,378 29,767 367,217 28,587
IFB Ser. 2869, Class JS, IO, 4.779s, 2034 506,414 40,292 1,660,199 132,091 1,658,312 131,941
IFB Ser. 2882, Class LS, IO, 4.729s, 2034 208,828 22,190 1,134,492 120,553 1,002,254 106,502
IFB Ser. 3203, Class SH, IO, 4.669s, 2036 99,361 11,206 938,767 105,870 754,352 85,073
IFB Ser. 2594, Class SE, IO, 4.579s, 2030 231,656 16,535 -- -- -- --
IFB Ser. 2815, Class PT, IO, 4.579s, 2032 232,063 20,512 824,592 72,884 791,899 69,994
IFB Ser. 2828, Class TI, IO, 4.579s, 2030 133,089 11,823 405,290 36,003 406,494 36,110
IFB Ser. 3397, Class GS, IO, 4.529s, 2037 190,521 15,510 917,717 74,710 788,915 64,225
IFB Ser. 3297, Class BI, IO, 4.289s, 2037 1,259,824 121,624 3,310,658 319,613 2,780,390 268,420
IFB Ser. 2922, Class SE, IO, 4.279s, 2035 287,359 23,155 1,000,265 80,599 958,997 77,274
IFB Ser. 3028, Class ES, IO, 4.279s, 2035 669,284 62,633 2,137,241 200,008 2,145,713 200,801
IFB Ser. 3249, Class SI, IO, 4.279s, 2036 275,026 26,820 550,052 53,641 458,376 44,700
IFB Ser. 3281, Class BI, IO, 4.279s, 2037 261,562 24,392 636,187 59,328 534,094 49,807
IFB Ser. 3281, Class CI, IO, 4.279s, 2037 203,809 16,756 948,370 77,970 819,345 67,362
IFB Ser. 3287, Class SD, IO, 4.279s, 2037 526,554 46,206 1,533,694 134,585 1,201,045 105,394
IFB Ser. 3045, Class DI, IO, 4.259s, 2035 327,683 25,900 2,410,143 190,499 3,597,821 284,374
IFB Ser. 2927, Class ES, IO, 4.229s, 2035 155,529 13,532 551,367 47,973 529,733 46,091
IFB Ser. 2950, Class SM, IO, 4.229s, 2016 226,946 18,398 1,272,123 103,126 1,166,682 94,578
IFB Ser. 3107, Class DC, IO, 4.229s, 2035 353,280 33,966 2,096,728 201,590 2,311,483 222,238
IFB Ser. 3118, Class SD, IO, 4.229s, 2036 465,898 31,776 1,622,002 110,626 1,554,977 106,054
IFB Ser. 3136, Class NS, IO, 4.229s, 2036 1,029,677 85,166 1,390,463 115,007 1,551,699 128,343
IFB Ser. 3236, Class ES, IO, 4.229s, 2036 388,864 31,833 1,003,848 82,177 1,135,295 92,938
IFB Ser. 3031, Class BI, IO, 4.219s, 2035 147,132 15,339 413,442 43,103 414,913 43,256
IFB Ser. 3256, Class S, IO, 4.219s, 2036 192,126 18,332 1,807,344 172,449 1,451,996 138,543
IFB Ser. 3370, Class TS, IO, 4.199s, 2037 1,110,275 84,962 272,955 20,887 169,018 12,934
IFB Ser. 3244, Class SB, IO, 4.189s, 2036 349,992 31,623 919,785 83,106 772,687 69,815
IFB Ser. 3244, Class SG, IO, 4.189s, 2036 407,396 37,857 1,070,411 99,468 898,666 83,509
IFB Ser. 2962, Class BS, IO, 4.179s, 2035 676,140 53,059 2,369,224 185,922 2,256,973 177,113
IFB Ser. 3033, Class SG, IO, 4.179s, 2035 398,983 34,759 -- -- -- --
IFB Ser. 3114, Class TS, IO, 4.179s, 2030 803,572 58,577 2,602,082 189,680 2,622,312 191,154
IFB Ser. 3236, Class IS, IO, 4.179s, 2036 635,305 55,783 1,670,499 146,677 1,402,026 123,104
IFB Ser. 2990, Class LI, IO, 4.159s, 2034 228,633 21,800 808,328 77,074 773,664 73,769
IFB Ser. 3128, Class JI, IO, 4.159s, 2036 556,700 51,977 1,524,169 142,306 1,727,237 161,266
IFB Ser. 3065, Class DI, IO, 4.149s, 2035 76,599 7,832 324,012 33,130 325,544 33,287
IFB Ser. 3153, Class JI, IO, 4.149s, 2036 350,674 27,615 1,668,237 131,372 1,412,832 111,259
IFB Ser. 3229, Class BI, IO, 4.149s, 2036 82,793 6,719 276,511 22,441 351,266 28,507
IFB Ser. 3240, Class S, IO, 4.149s, 2036 1,279,330 114,849 3,728,574 334,725 2,937,409 263,699
IFB Ser. 3114, Class GI, IO, 4.129s, 2036 154,724 16,352 437,869 46,277 481,965 50,937
IFB Ser. 3145, Class GI, IO, 4.129s, 2036 457,082 44,710 1,251,458 122,413 1,418,529 138,756
IFB Ser. 3339, Class JI, IO, 4.119s, 2037 1,131,059 84,247 3,166,453 235,852 2,714,713 202,205
IFB Ser. 3218, Class AS, IO, 4.109s, 2036 125,059 10,589 1,193,604 101,066 1,001,266 84,780
IFB Ser. 3221, Class SI, IO, 4.109s, 2036 513,512 43,810 1,349,848 115,162 1,133,049 96,666

IFB Ser. 3153, Class UI, IO, 4.099s, 2036 2,225,410 229,722 494,719 51,068 2,922,963 301,729
IFB Ser. 3202, Class PI, IO, 4.069s, 2036 1,412,054 122,283 3,711,991 321,456 3,116,758 269,909
IFB Ser. 3201, Class SG, IO, 4.029s, 2036 648,435 55,899 1,705,827 147,054 1,432,453 123,487
IFB Ser. 3203, Class SE, IO, 4.029s, 2036 585,671 49,516 1,538,270 130,053 1,292,084 109,239
IFB Ser. 3355, Class MI, IO, 4.029s, 2037 215,653 17,308 1,009,289 81,006 866,103 69,514
IFB Ser. 3238, Class LI, IO, 4.019s, 2036 605,480 51,339 -- -- -- --
IFB Ser. 3171, Class PS, IO, 4.014s, 2036 323,376 26,722 1,552,203 128,264 1,311,981 108,414
IFB Ser. 3152, Class SY, IO, 4.009s, 2036 418,711 38,851 1,168,233 108,396 1,282,500 118,999
IFB Ser. 3199, Class S, IO, 3.979s, 2036 292,709 24,906 773,763 65,837 1,131,699 96,293
IFB Ser. 3260, Class SA, IO, 3.979s, 2037 298,566 21,360 1,119,621 80,099 895,697 64,079
IFB Ser. 3284, Class BI, IO, 3.979s, 2037 400,264 32,583 1,052,196 85,653 883,845 71,949
IFB Ser. 3366, Class SA, IO, 3.979s, 2037 1,116,231 93,098 -- -- -- --
IFB Ser. 3284, Class LI, IO, 3.969s, 2037 1,635,241 137,608 5,007,820 421,415 3,894,971 327,767
IFB Ser. 3281, Class AI, IO, 3.959s, 2037 1,551,037 132,327 4,504,979 384,342 3,546,473 302,567
IFB Ser. 3012, Class UI, IO, 3.949s, 2035 92,410 7,492 -- -- -- --
IFB Ser. 3311, Class EI, IO, 3.939s, 2037 121,126 9,616 1,179,331 93,627 1,046,938 83,116
IFB Ser. 3311, Class IA, IO, 3.939s, 2037 319,984 27,900 1,563,765 136,349 1,309,766 114,202
IFB Ser. 3311, Class IB, IO, 3.939s, 2037 319,984 27,900 1,563,765 136,349 1,309,766 114,202
IFB Ser. 3311, Class IC, IO, 3.939s, 2037 319,984 27,900 1,563,765 136,349 1,309,766 114,202
IFB Ser. 3311, Class ID, IO, 3.939s, 2037 319,984 27,900 1,563,765 136,349 1,309,766 114,202
IFB Ser. 3311, Class IE, IO, 3.939s, 2037 319,984 27,900 2,316,722 202,001 1,922,617 167,638
IFB Ser. 3375, Class MS, IO, 3.929s, 2037 567,102 43,722 -- -- -- --
IFB Ser. 3240, Class GS, IO, 3.909s, 2036 775,391 64,190 2,235,437 185,059 1,765,253 146,135
IFB Ser. 3416, Class BI, IO, 3.779s, 2038 2,340,475 187,728 -- -- -- --
IFB Ser. 3339, Class TI, IO, 3.669s, 2037 218,074 16,709 2,056,124 157,541 1,652,046 126,581
IFB Ser. 3284, Class CI, IO, 3.649s, 2037 1,179,134 88,517 3,440,308 258,262 2,697,663 202,512
IFB Ser. 3016, Class SQ, IO, 3.639s, 2035 262,484 15,363 794,546 46,505 878,386 51,412
IFB Ser. 3012, Class WI, IO, 3.629s, 2035 153,903 12,188 -- -- -- --
IFB Ser. 3012, Class IG, IO, 3.609s, 2035 357,310 26,794 -- -- -- --
IFB Ser. 3424, Class UI, IO, 3.289s, 2037 826,682 53,712 -- -- -- --
Ser. 239, PO, zero %, 2036 263,707 196,614 1,986,183 1,480,855 1,982,372 1,478,013
Ser. 246, PO, zero %, 2037 106,918 80,959 1,473,177 1,115,503 1,154,873 874,480
Ser. 1208, Class F, PO, zero %, 2022 7,180 6,153 -- -- -- --
Ser. 2587, Class CO, PO, zero %, 2032 97,830 77,310 1,226,784 969,462 961,666 759,953
FRB Ser. 3003, Class XF, zero %, 2035 126,042 114,738 448,708 408,466 432,953 394,124
FRB Ser. 3036, Class AS, zero %, 2035 -- -- 79,958 74,473 -- --
FRB Ser. 3112, Class XM, zero %, 2034 41,381 38,274 -- -- -- --
FRB Ser. 3117, Class AF, zero %, 2036 -- -- 78,215 78,572 -- --
FRB Ser. 3130, Class JF, zero %, 2036 82,945 79,407 -- -- -- --
Ser. 3139, Class CO, PO, zero %, 2036 -- -- 324,725 235,022 258,625 187,182
FRB Ser. 3147, Class SF, zero %, 2036 -- -- 646,061 606,538 482,281 452,777
Ser. 3206, Class EO, PO, zero %, 2036 -- -- 75,210 55,550 75,210 55,550
Ser. 3218, Class AO, PO, zero %, 2036 -- -- 77,524 58,179 77,524 58,179
FRB Ser. 3231, Class X, zero %, 2036 -- -- 105,558 107,546 114,514 116,671
FRB Ser. 3231, Class XB, zero %, 2036 -- -- 223,143 222,300 181,304 180,618
FRB Ser. 3241, Class FH, zero %, 2036 144,862 132,810 286,102 262,299 232,503 213,160
Ser. 3252, Class LO, PO, zero %, 2036 -- -- 437,589 330,084 284,064 214,276
Ser. 3255, Class CO, PO, zero %, 2036 83,164 60,749 -- -- -- --
FRB Ser. 3263, Class TA, zero %, 2037 -- -- 132,754 141,028 107,548 114,250
Ser. 3274, Class MO, PO, zero %, 2037 -- -- 88,467 64,199 118,545 86,027
FRB Ser. 3283, Class HF, zero %, 2036 -- -- 59,493 60,407 -- --
Ser. 3292, Class DO, PO, zero %, 2037 -- -- 187,697 135,128 149,491 107,622
Ser. 3292, Class OA, PO, zero %, 2037 -- -- 88,100 62,723 88,100 62,723
Ser. 3296, Class OK, PO, zero %, 2037 -- -- 116,604 83,229 90,592 64,663
Ser. 3300, PO, zero %, 2037 -- -- 705,657 540,650 604,849 463,414
FRB Ser. 3326, Class WF, zero %, 2035 256,626 229,355 512,354 457,909 534,786 477,957
FRB Ser. 3326, Class XF, zero %, 2037 -- -- 503,839 461,372 429,358 393,169
FRB Ser. 3326, Class YF, zero %, 2037 -- -- 970,144 987,212 875,545 890,949
FRB Ser. 3327, Class YF, zero %, 2037 214,992 213,420 460,698 457,329 377,449 374,689
FRB Ser. 3349, Class DO, zero %, 2037 -- -- 277,253 263,881 233,725 222,452
Ser. 3366, Class AO, PO, zero %, 2037 -- -- 92,710 66,445 92,710 66,445
Ser. 3391, PO, zero %, 2037 -- -- 91,549 67,013 91,549 67,013
GE Capital Commercial Mortgage Corp. 144A            
Ser. 05-C2, Class XC, IO, 0.096s, 2043 11,710,732 76,664 20,756,799 135,884 19,959,603 130,665
Ser. 05-C3, Class XC, IO, 0.081s, 2045 24,980,289 105,985 48,526,313 205,885 48,901,156 207,475
Ser. 07-C1, Class XC, IO, 0.075s, 2019 25,610,997 145,129 71,595,625 405,709 56,433,412 319,790
GMAC Commercial Mortgage Securities, Inc.            
Ser. 99-C3, Class F, 8.137s, 2036 56,000 57,287 75,000 76,724 112,000 114,574
Ser. 97-C1, Class X, IO, 1.356s, 2029 382,890 21,971 -- -- -- --
Ser. 05-C1, Class X1, IO, 0.187s, 2043 4,397,559 49,761 18,497,332 209,310 20,090,302 227,335
GMAC Commercial Mortgage Securities, Inc. 144A            
Ser. 99-C3, Class G, 6.974s, 2036 -- -- 350,039 342,634 306,364 299,883
Ser. 06-C1, Class XC, IO, 0.08s, 2045 19,745,938 110,334 -- -- 35,869,958 200,431
Government National Mortgage Association            
IFB Ser. 07-26, Class WS, 44.617s, 2037 223,719 351,064 1,300,364 2,040,557 998,869 1,567,444
IFB Ser. 07-38, Class AS, 31.91s, 2037 250,062 333,604 1,083,600 1,445,616 916,892 1,223,214
IFB Ser. 06-34, Class SA, 24.649s, 2036 -- -- 97,875 118,170 91,661 110,667
IFB Ser. 07-51, Class SP, 24.589s, 2037 116,988 137,083 224,294 262,822 375,976 440,558
IFB Ser. 07-44, Class SP, 23.468s, 2036 -- -- 687,452 843,568 541,940 665,011
IFB Ser. 07-35, Class DK, 19.882s, 2035 -- -- 461,000 533,841 375,000 434,252
IFB Ser. 05-66, Class SP, 12.596s, 2035 -- -- 284,829 284,685 286,442 286,298
IFB Ser. 05-84, Class SL, 12.596s, 2035 189,270 188,727 -- -- -- --
IFB Ser. 05-7, Class JM, 11.261s, 2034 149,307 154,134 514,634 531,271 496,845 512,906
IFB Ser. 05-84, Class SB, 10.795s, 2035 77,369 75,856 -- -- -- --
IFB Ser. 05-68, Class DP, 10.453s, 2035 107,909 107,845 -- -- -- --
Ser. 07-17, Class CI, IO, 7 1/2s, 2037 359,537 90,265 -- -- -- --
IFB Ser. 08-29, Class SA, IO, 5.298s, 2038 696,554 66,227 -- -- -- --
IFB Ser. 06-61, Class SM, IO, 4.898s, 2036 225,624 17,522 -- -- -- --
IFB Ser. 06-62, Class SI, IO, 4.898s, 2036 458,361 39,102 1,206,026 102,885 1,012,213 86,351
IFB Ser. 06-69, Class SI, IO, 4.898s, 2036 732,119 72,139 -- -- -- --
IFB Ser. 07-1, Class SL, IO, 4.878s, 2037 241,399 21,348 648,160 57,319 508,635 44,981
IFB Ser. 07-1, Class SM, IO, 4.868s, 2037 241,399 21,282 648,160 57,144 508,635 44,843
IFB Ser. 06-62, Class SA, IO, 4.858s, 2036 198,062 16,891 -- -- -- --
IFB Ser. 06-64, Class SB, IO, 4.858s, 2036 197,050 18,121 -- -- -- --
IFB Ser. 05-68, Class PU, IO, 4.818s, 2032 615,646 62,661 -- -- -- --
IFB Ser. 04-26, Class IS, IO, 4.729s, 2034 730,807 46,965 91,876 5,904 69,490 4,466
IFB Ser. 04-59, Class SC, IO, 4.729s, 2034 159,706 16,104 759,532 76,585 643,516 64,887
IFB Ser. 07-47, Class SA, IO, 4.629s, 2036 908,392 89,689 -- -- -- --
IFB Ser. 07-49, Class NY, IO, 4.618s, 2035 1,056,598 92,610 2,559,189 224,312 2,573,545 225,570
IFB Ser. 07-35, Class NY, IO, 4.429s, 2035 630,000 50,176 100,000 7,964 -- --
IFB Ser. 07-36, Class SW, IO, 4.418s, 2035 334,000 25,676 -- -- -- --
IFB Ser. 07-26, Class SG, IO, 4.368s, 2037 673,388 57,182 1,770,358 150,332 1,486,160 126,199
IFB Ser. 07-9, Class BI, IO, 4.338s, 2037 764,385 58,156 3,340,157 254,128 2,866,443 218,087
IFB Ser. 07-26, Class SD, IO, 4.329s, 2037 361,611 27,990 1,772,738 137,217 1,485,599 114,992
IFB Ser. 07-31, Class CI, IO, 4.328s, 2037 153,166 11,075 918,999 66,449 765,832 55,374
IFB Ser. 05-84, Class AS, IO, 4.318s, 2035 897,480 74,428 274,881 22,796 209,644 17,386
IFB Ser. 06-69, Class SA, IO, 4.318s, 2036 1,410,036 116,509 -- -- -- --
IFB Ser. 07-11, Class SA, IO, 4.318s, 2037 101,758 8,317 972,637 79,500 815,760 66,678
IFB Ser. 07-14, Class SB, IO, 4.318s, 2037 194,277 15,909 1,822,495 149,244 1,550,845 126,999
IFB Ser. 07-22, Class S, IO, 4.318s, 2037 375,224 35,041 977,827 91,316 823,433 76,898
IFB Ser. 07-25, Class SA, IO, 4.318s, 2037 251,574 18,143 1,244,312 89,736 1,043,957 75,287
IFB Ser. 07-25, Class SB, IO, 4.318s, 2037 417,282 31,495 2,430,627 183,456 2,038,955 153,894
IFB Ser. 07-51, Class SJ, IO, 4.268s, 2037 251,037 22,323 1,200,363 106,739 1,016,654 90,403
IFB Ser. 07-53, Class SY, IO, 4.253s, 2037 1,672,162 155,401 455,076 42,292 388,267 36,083
IFB Ser. 04-88, Class S, IO, 4.218s, 2032 839,108 51,133 85,675 5,221 62,996 3,839
IFB Ser. 07-58, Class PS, IO, 4.218s, 2037 648,907 51,702 500,280 39,860 3,466,017 276,155
IFB Ser. 07-59, Class PS, IO, 4.188s, 2037 195,527 15,122 938,726 72,603 782,109 60,490
IFB Ser. 07-59, Class SP, IO, 4.188s, 2037 610,901 48,297 4,130,393 326,545 1,564,219 123,666
IFB Ser. 07-48, Class SB, IO, 4.179s, 2037 159,279 10,597 1,517,839 100,983 1,273,514 84,728
IFB Ser. 06-38, Class SG, IO, 4.168s, 2033 742,141 50,848 3,633,090 248,924 3,049,135 208,914
IFB Ser. 07-68, Class PI, IO, 4.168s, 2037 195,714 15,542 1,369,996 108,793 1,076,425 85,480
IFB Ser. 07-53, Class SG, IO, 4.118s, 2037 162,498 10,830 724,738 48,303 613,427 40,884
IFB Ser. 07-74, Class SI, IO, 4.099s, 2037 1,013,111 74,717 127,183 9,380 96,694 7,131
IFB Ser. 07-17, Class AI, IO, 4.079s, 2037 766,283 60,771 4,225,638 335,122 3,517,934 278,996
IFB Ser. 07-53, Class ES, IO, 4.068s, 2037 224,482 12,555 1,079,796 60,390 913,908 51,112
IFB Ser. 07-64, Class AI, IO, 4.068s, 2037 4,080,342 275,433 15,831,728 1,068,681 8,405,505 567,393
IFB Ser. 07-79, Class SY, IO, 4.068s, 2037 456,038 27,993 4,400,769 270,134 3,823,965 234,728
IFB Ser. 08-3, Class SA, IO, 4.068s, 2038 821,042 50,922 2,158,446 133,869 1,813,024 112,445
IFB Ser. 07-78, Class SA, IO, 4.059s, 2037 756,768 51,384 -- -- -- --
IFB Ser. 07-10, Class SB, IO, 4.038s, 2037 3,889,661 293,289 -- -- -- --
IFB Ser. 08-4, Class SA, IO, 4.034s, 2038 2,386,956 146,188 4,964,337 304,039 4,457,717 273,012
IFB Ser. 07-9, Class AI, IO, 4.029s, 2037 444,354 33,057 1,696,913 126,240 1,352,795 100,639
IFB Ser. 08-2, Class SM, IO, 4.029s, 2038 2,447,640 175,741 308,007 22,115 232,695 16,707
IFB Ser. 07-9, Class DI, IO, 4.028s, 2037 387,971 26,510 1,696,819 115,944 1,456,009 99,490
IFB Ser. 07-67, Class SI, IO, 4.028s, 2037 549,236 33,212 7,209,345 435,949 1,989,126 120,282
IFB Ser. 06-26, Class S, IO, 4.018s, 2036 5,302,172 418,646 667,302 52,688 505,794 39,936
IFB Ser. 06-28, Class GI, IO, 4.018s, 2035 288,132 20,472 1,744,412 123,942 1,331,308 94,591
IFB Ser. 07-53, Class SC, IO, 4.018s, 2037 243,468 13,780 1,160,769 65,697 980,316 55,484
IFB Ser. 07-53, Class SE, IO, 4.018s, 2037 162,497 10,438 243,746 15,656 -- --
IFB Ser. 07-57, Class QA, IO, 4.018s, 2037 517,385 31,087 2,500,422 150,239 2,080,965 125,036
IFB Ser. 07-58, Class SA, IO, 4.018s, 2037 1,058,859 66,175 815,321 50,955 5,651,862 353,224
IFB Ser. 07-58, Class SC, IO, 4.018s, 2037 418,710 22,321 1,964,892 104,746 1,680,931 89,608
IFB Ser. 07-61, Class SA, IO, 4.018s, 2037 276,334 18,129 1,341,494 88,007 1,116,819 73,267
IFB Ser. 07-58, Class SD, IO, 4.008s, 2037 342,690 18,014 1,887,858 99,236 1,602,537 84,238
IFB Ser. 07-36, Class SG, IO, 3.988s, 2037 12,729,925 907,007 -- -- -- --
IFB Ser. 07-36, IO, 3.988s, 2037 -- -- 2,092,252 150,127 1,791,469 128,545
IFB Ser. 07-59, Class SD, IO, 3.988s, 2037 1,021,852 62,308 6,907,720 421,205 2,615,941 159,510
IFB Ser. 06-49, Class SA, IO, 3.978s, 2036 1,676,129 113,747 -- -- -- --
IFB Ser. 08-40, Class SA, IO, 3.929s, 2038 7,806,929 561,677 1,879,919 135,253 1,657,595 119,257
IFB Ser. 05-71, Class SA, IO, 3.889s, 2035 1,146,978 82,137 135,622 9,712 100,748 7,215
IFB Ser. 05-65, Class SI, IO, 3.868s, 2035 143,629 10,878 925,015 70,060 929,743 70,418
IFB Ser. 06-16, Class SX, IO, 3.808s, 2036 1,857,651 133,855 233,588 16,831 176,849 12,743
IFB Ser. 07-17, Class IC, IO, 3.779s, 2037 801,681 54,158 2,349,184 158,700 1,789,030 120,859
IFB Ser. 05-57, Class PS, IO, 3.768s, 2035 1,149,103 80,310 -- -- -- --
IFB Ser. 06-14, Class S, IO, 3.768s, 2036 307,011 21,050 1,473,651 101,042 1,247,804 85,557
IFB Ser. 07-17, Class IB, IO, 3.768s, 2037 156,370 10,314 938,224 61,882 781,853 51,569
IFB Ser. 06-11, Class ST, IO, 3.758s, 2036 193,194 12,998 923,365 62,122 782,326 52,633
IFB Ser. 07-21, Class S, IO, 3.729s, 2037 407,334 24,909 2,014,632 123,195 1,695,458 103,677
IFB Ser. 07-25, Class KS, IO, 3.729s, 2037 336,303 25,701 671,680 51,330 490,095 37,454
IFB Ser. 07-1, Class S, IO, 3.718s, 2037 763,695 44,651 2,010,179 117,529 1,686,884 98,627
IFB Ser. 07-3, Class SA, IO, 3.718s, 2037 729,480 42,511 1,919,456 111,858 1,611,024 93,884
IFB Ser. 07-7, Class EI, IO, 3.718s, 2037 680,018 39,580 1,681,337 97,862 1,353,432 78,777
IFB Ser. 07-7, Class JI, IO, 3.718s, 2037 272,925 18,027 2,595,687 171,447 2,177,589 143,831
IFB Ser. 07-8, Class SA, IO, 3.718s, 2037 525,783 34,018 1,541,790 99,754 1,174,334 75,979
IFB Ser. 07-9, Class CI, IO, 3.718s, 2037 506,165 29,945 2,211,769 130,852 1,897,932 112,285
IFB Ser. 07-19, Class SJ, IO, 3.718s, 2037 307,200 17,903 1,516,064 88,355 1,272,371 74,153
IFB Ser. 07-23, Class ST, IO, 3.718s, 2037 207,794 11,645 1,983,487 111,153 1,663,862 93,241
IFB Ser. 07-27, Class SD, IO, 3.718s, 2037 344,696 19,933 900,538 52,075 755,795 43,705
IFB Ser. 07-31, Class AI, IO, 3.709s, 2037 246,032 22,616 1,190,264 109,410 1,023,076 94,042
IFB Ser. 05-17, Class S, IO, 3.698s, 2035 944,268 66,693 119,011 8,406 89,957 6,354
IFB Ser. 07-62, Class S, IO, 3.679s, 2037 1,145,276 70,506 144,628 8,904 109,375 6,733
IFB Ser. 07-43, Class SC, IO, 3.629s, 2037 158,729 9,308 1,480,169 86,799 1,207,280 70,796
IFB Ser. 05-3, Class SN, IO, 3.618s, 2035 2,664,939 168,537 213,480 13,501 154,519 9,772
IFB Ser. 04-41, Class SG, IO, 3.518s, 2034 2,679,931 109,040 337,584 13,735 255,133 10,381
IFB Ser. 07-73, Class MI, IO, 3.518s, 2037 -- -- 7,481,255 367,644 2,866,519 140,866
IFB Ser. 07-67, Class EI, IO, 0.02s, 2037 -- -- 3,887,537 1,812 1,473,702 687
IFB Ser. 07-67, Class GI, IO, 0.02s, 2037 1,190,012 553 11,383,046 5,293 4,314,721 2,006
FRB Ser. 98-2, Class EA, PO, zero %, 2028 15,202 12,685 2,900 2,420 -- --
Ser. 99-31, Class MP, PO, zero %, 2029 11,831 10,398 55,894 49,125 27,947 24,563
FRB Ser. 07-6, Class TD, zero %, 2037 419,475 375,364 -- -- -- --
FRB Ser. 07-22, Class TA, zero %, 2037 145,761 152,493 149,701 156,614 128,690 134,633
FRB Ser. 07-33, Class TB, zero %, 2037 505,014 450,295 -- -- -- --
FRB Ser. 07-35, Class UF, zero %, 2037 90,646 92,175 188,777 191,961 155,512 158,135
FRB Ser. 07-49, Class UF, zero %, 2037 66,111 63,393 126,861 121,646 106,016 101,657

FRB Ser. 07-73, Class KI, IO, zero %, 2037 -- -- 5,755,126 157,856 2,204,700 60,472
FRB Ser. 07-73, Class KM, zero %, 2037 -- -- 575,104 577,342 220,879 221,739
Ser. 07-73, Class MO, PO, zero %, 2037 -- -- 575,922 424,715 220,061 162,285
Government National Mortgage Association 144A IFB Ser.            
06-GG8, Class X, IO, 0.855s, 2039 (F) 2,185,085 68,693 10,104,649 317,664 8,448,132 265,587
Greenpoint Mortgage Funding Trust Ser. 05-AR1,            
Class X1, IO, 4.041s, 2045 425,275 11,695 1,181,425 32,489 1,129,976 31,074
Greenwich Capital Commercial Funding Corp. Ser.            
05-GG5, Class XC, IO, 0.083s, 2037 (F) 12,794,585 44,835 40,754,184 142,813 40,865,931 143,204
Greenwich Capital Commercial Funding Corp. 144A            
Ser. 07-GG9, Class X, IO, 0.511s, 2039 3,157,770 57,235 17,161,574 311,054 8,783,451 159,200
Ser. 05-GG3, Class XC, IO, 0.175s, 2042 10,346,582 140,649 28,596,629 388,735 24,455,471 332,442
GS Mortgage Securities Corp. II            
FRB Ser. 07-GG10, Class A3, 5.993s, 2045 318,000 308,596 1,426,000 1,383,831 1,118,000 1,084,939
Ser. 06-GG6, Class A2, 5.506s, 2038 (F) 366,000 365,269 1,198,000 1,195,608 -- --
GS Mortgage Securities Corp. II 144A            
Ser. 98-C1, Class F, 6s, 2030 (F) -- -- 280,000 278,155 282,000 280,142
FRB Ser. 07-EOP, Class J, 3.313s, 2009 130,000 117,000 383,000 344,700 240,000 216,000
Ser. 04-C1, Class X1, IO, 0.683s, 2028 (F) 4,299,569 33,975 5,857,723 46,288 5,857,723 46,288
Ser. 03-C1, Class X1, IO, 0.253s, 2040 5,254,151 103,814 4,320,738 85,372 6,226,832 123,033
Ser. 05-GG4, Class XC, IO, 0.219s, 2039 (F) 8,459,376 132,160 22,967,916 358,827 22,117,253 345,537
Ser. 06-GG6, Class XC, IO, 0.061s, 2038 (F) 3,464,800 9,362 34,669,846 93,683 25,049,812 67,688
GSMPS Mortgage Loan Trust            
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035 (F) 34,104 33,881 -- -- 67,261 66,821
Ser. 05-RP3, Class 1A3, 8s, 2035 (F) 110,338 107,380 -- -- 216,511 210,707
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035 (F) 88,912 89,899 -- -- 174,267 176,202
GSMPS Mortgage Loan Trust 144A            
Ser. 05-RP2, Class 1A3, 8s, 2035 (F) 68,825 66,986 187,872 182,854 179,967 175,160
Ser. 05-RP1, Class 1A2, 7 1/2s, 2035 (F) 93,820 91,824 -- -- -- --
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035 (F) 75,690 76,532 208,559 210,879 199,098 201,313
IFB Ser. 04-4, Class 1AS, IO, 3.706s, 2034 2,681,693 167,104 1,657,693 103,295 8,063,801 502,477
GSR Mortgage Loan Trust Ser. 05-AR2, Class 2A1,            
4.835s, 2035 (F) 168,950 163,197 402,232 388,537 422,674 408,284
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,            
2035 (Cayman Islands) -- -- 52,449 5,245 57,595 5,759
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1,            
6.135s, 2037 2,997,983 2,473,336 3,918,630 3,232,870 1,570,372 1,295,557
HVB Mortgage Capital Corp. Ser. 03-FL1A, Class K,            
5.299s, 2022 118,000 106,200 -- -- -- --
IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,            
2.593s, 2037 (F) 770,619 664,451 3,113,395 2,684,463 2,618,677 2,257,902
IndyMac Indx Mortgage Loan Trust            
FRB Ser. 06-AR25, Class 5A1, 6.333s, 2036 755,467 602,863 524,563 418,601 493,185 393,562
FRB Ser. 07-AR15, Class 1A1, 6.248s, 2037 2,458,160 1,941,946 1,756,856 1,387,916 1,652,559 1,305,522
FRB Ser. 07-AR9, Class 2A1, 6.077s, 2037 2,472,200 1,953,038 1,747,400 1,380,446 1,622,782 1,281,998
FRB Ser. 07-AR11, Class 1A1, 5.65s, 2037 (F) 777,859 521,585 1,660,053 1,113,130 1,448,587 971,334
FRB Ser. 05-AR31, Class 3A1, 5.643s, 2036 (F) 3,775,893 2,832,526 -- -- -- --
FRB Ser. 05-AR5, Class 4A1, 5.456s, 2035 3,431,634 2,918,261 -- -- -- --
JPMorgan Alternative Loan Trust            
FRB Ser. 06-A3, Class 2A1, 6.069s, 2036 1,322,428 1,018,402 -- -- -- --
FRB Ser. 06-A1, Class 5A1, 5.894s, 2036 1,737,606 1,390,085 1,227,988 982,390 1,140,327 912,262
FRB Ser. 06-A6, Class 1A1, 2.553s, 2036 1,218,723 892,300 845,310 618,902 795,385 582,349
JPMorgan Chase Commercial Mortgage Securities Corp.            
Ser. 97-C5, Class F, 7.561s, 2029 (F) 64,000 65,158 204,000 207,691 204,000 207,691
FRB Ser. 07-LD12, Class AM, 6.261s, 2051 686,000 635,620 2,962,000 2,744,471 2,356,000 2,182,975
FRB Ser. 07-LD12, Class A3, 6.189s, 2051 3,282,000 3,183,015 14,127,000 13,700,930 -- --
FRB Ser. 07-LD11, Class A3, 6.007s, 2049 (F) 407,000 392,568 1,778,000 1,714,951 1,394,000 1,344,568
Ser. 07-CB20, Class A3, 5.863s, 2051 816,000 784,127 3,569,000 3,429,595 2,789,000 2,680,062
Ser. 06-CB15, Class A4, 5.814s, 2043 477,000 463,207 1,612,000 1,565,388 1,381,000 1,341,067
Ser. 07-CB20, Class A4, 5.794s, 2051 529,000 505,772 2,323,000 2,220,997 1,817,000 1,737,216
Ser. 06-CB16, Class A4, 5.552s, 2045 -- -- 1,361,000 1,298,911 1,650,000 1,574,727
Ser. 06-CB14, Class A4, 5.481s, 2044 220,000 211,957 844,000 813,143 946,000 911,414
Ser. 05-LDP2, Class AM, 4.78s, 2042 100,000 91,419 420,000 383,960 400,000 365,676
Ser. 06-LDP8, Class X, IO, 0.762s, 2045 2,897,051 89,519 13,402,826 414,147 11,205,235 346,242
Ser. 06-CB17, Class X, IO, 0.701s, 2043 2,418,858 74,839 13,213,671 408,831 14,178,826 438,693
Ser. 08-C2, Class X, IO, 0.647s, 2051 71,464,588 1,948,527 -- -- -- --
Ser. 06-LDP9, Class X, IO, 0.641s, 2047 3,218,440 77,695 5,612,840 135,498 5,261,104 127,006
Ser. 07-LDPX, Class X, IO, 0.526s, 2049 4,824,312 84,049 20,351,351 354,559 16,130,951 281,031
Ser. 06-CB16, Class X1, IO, 0.086s, 2045 3,302,972 42,939 15,280,598 198,648 12,775,272 166,079
Ser. 06-LDP7, Class X, IO, 0.02s, 2045 13,339,133 10,421 49,587,854 38,741 49,587,854 38,741
JPMorgan Chase Commercial Mortgage Securities Corp.            
144A            
Ser. 00-C9, Class G, 6 1/4s, 2032 38,000 37,863 240,000 239,132 260,000 259,060
Ser. 03-ML1A, Class X1, IO, 0.78s, 2039 (F) 639,126 22,519 -- -- -- --
Ser. 05-LDP1, Class X1, IO, 0.156s, 2046 4,641,249 36,619 14,565,799 114,924 13,124,103 103,549
Ser. 05-LDP2, Class X1, IO, 0.155s, 2042 16,744,629 249,160 40,977,286 609,742 -- --
Ser. 05-CB12, Class X1, IO, 0.131s, 2037 4,157,664 35,423 11,900,748 101,394 11,440,068 97,469
Ser. 05-LDP3, Class X1, IO, 0.095s, 2042 16,195,123 110,127 17,207,930 117,014 28,901,793 196,532
Ser. 06-CB14, Class X1, IO, 0.08s, 2044 12,277,301 45,058 27,465,086 100,797 29,864,056 109,601
Ser. 06-LDP6, Class X1, IO, 0.079s, 2043 -- -- 22,746,337 102,131 16,398,430 73,629
Ser. 05-LDP5, Class X1, IO, 0.068s, 2044 22,769,304 89,832 68,852,065 271,643 75,796,436 299,040
Ser. 07-CB20, Class X1, IO, 0.067s, 2051 6,861,998 78,295 38,603,355 440,464 31,262,985 356,711
Key Commercial Mortgage Ser. 07-SL1, Class A2, 5 3/4s,            
2040 1,091,000 925,419 -- -- -- --
Key Commerical Mortgage Ser. 07-SL1, Class A1, 5.487s,            
2040 711,619 662,211 -- -- -- --
LB Commercial Conduit Mortgage Trust 144A            
Ser. 99-C1, Class F, 6.41s, 2031 (F) -- -- 149,428 140,297 136,004 127,694
Ser. 99-C1, Class G, 6.41s, 2031 -- -- 159,961 115,937 145,590 105,521
Ser. 98-C4, Class G, 5.6s, 2035 -- -- 132,000 121,286 127,000 116,692
Ser. 98-C4, Class H, 5.6s, 2035 -- -- 223,000 219,222 215,000 211,358
LB-UBS Commercial Mortgage Trust            
Ser. 07-C6, Class A2, 5.845s, 2012 1,022,000 1,013,214 4,401,000 4,363,165 -- --
Ser. 04-C7, Class A6, 4.786s, 2029 121,000 114,687 362,000 343,113 400,000 379,130
Ser. 07-C2, Class XW, IO, 0.73s, 2040 1,180,890 36,051 4,596,680 140,332 3,618,599 110,472
Ser. 07-C7, Class XW, IO, 0.526s, 2045 903,742 21,174 5,319,481 124,630 1,309,626 30,683
LB-UBS Commercial Mortgage Trust 144A            
Ser. 06-C7, Class XW, IO, 0.914s, 2038 1,780,522 64,898 9,516,069 346,849 10,231,270 372,917
Ser. 03-C5, Class XCL, IO, 0.787s, 2037 1,643,430 27,914 7,591,308 128,940 6,344,984 107,771
Ser. 05-C2, Class XCL, IO, 0.184s, 2040 14,775,666 129,345 29,517,839 258,396 39,147,098 342,690
Ser. 05-C3, Class XCL, IO, 0.183s, 2040 3,188,930 54,412 14,288,214 243,798 11,779,538 200,993
Ser. 05-C5, Class XCL, IO, 0.139s, 2020 4,970,445 55,768 13,849,896 155,395 14,925,119 167,459
Ser. 05-C7, Class XCL, IO, 0.12s, 2040 12,376,778 86,630 32,142,766 224,980 32,229,029 225,584
Ser. 06-C1, Class XCL, IO, 0.106s, 2041 10,516,224 93,323 -- -- 30,620,537 271,732
Ser. 06-C7, Class XCL, IO, 0.094s, 2038 3,353,566 47,406 16,444,645 232,461 15,403,264 217,740
Ser. 07-C2, Class XCL, IO, 0.09s, 2040 10,143,467 107,074 39,500,877 416,971 31,093,778 328,226
Ser. 07-C7, Class XCL, IO, 0.087s, 2045 -- -- 2,246,358 22,279 -- --
Lehman Brothers Floating Rate Commercial Mortgage            
Trust 144A            
FRB Ser. 04-LLFA, Class H, 3.421s, 2017 175,000 158,550 184,000 166,704 214,000 193,884
FRB Ser. 05-LLFA, Class J, 3.271s, 2018 23,000 19,780 93,000 79,980 89,000 76,540
Lehman Mortgage Trust            
IFB Ser. 06-7, Class 1A9, 26.025s, 2036 -- -- 142,739 166,215 142,739 166,215
IFB Ser. 07-5, Class 4A3, 25.185s, 2037 161,526 181,873 700,785 789,065 598,149 673,500
IFB Ser. 06-7, Class 4A2, IO, 5.268s, 2036 -- -- 817,827 75,290 880,331 81,045
IFB Ser. 07-5, Class 8A2, IO, 5.238s, 2036 -- -- 1,210,742 101,446 1,029,213 86,236
Ser. 07-1, Class 3A2, IO, 4.768s, 2037 -- -- 1,206,783 119,889 1,097,900 109,072
IFB Ser. 07-4, Class 3A2, IO, 4.718s, 2037 282,642 23,410 1,143,211 94,687 982,475 81,374
IFB Ser. 06-5, Class 2A2, IO, 4.668s, 2036 563,173 44,217 1,557,537 122,290 1,752,511 137,598
IFB Ser. 07-2, Class 2A13, IO, 4.208s, 2037 -- -- 1,884,399 153,820 1,616,289 131,935
IFB Ser. 07-4, Class 2A2, IO, 4.188s, 2037 1,125,919 92,885 4,615,791 380,789 3,946,947 325,611
IFB Ser. 06-7, Class 2A5, IO, 4.183s, 2036 -- -- 2,583,550 199,970 2,777,161 214,955
IFB Ser. 07-1, Class 2A3, IO, 4.148s, 2037 1,325,494 114,748 3,223,339 279,044 1,921,466 166,341
IFB Ser. 06-9, Class 2A2, IO, 4.138s, 2037 1,316,701 110,202 1,762,593 147,522 1,617,610 135,387
Ser. 06-9, Class 2A3, IO, 4.138s, 2036 -- -- 2,405,006 206,328 2,215,868 190,102
IFB Ser. 06-8, Class 2A2, IO, 4.098s, 2036 -- -- 505,981 34,379 1,180,623 80,218
IFB Ser. 06-7, Class 2A4, IO, 4.068s, 2036 -- -- 2,775,922 189,778 2,983,993 204,003
IFB Ser. 06-6, Class 1A2, IO, 4.018s, 2036 -- -- 974,938 63,992 1,078,341 70,779
IFB Ser. 06-6, Class 1A3, IO, 4.018s, 2036 -- -- 1,411,026 97,944 1,556,357 108,032
IFB Ser. 07-5, Class 10A2, IO, 3.858s, 2037 557,073 34,862 2,285,042 143,001 1,954,014 122,285
Local Insight Media Finance, LLC Ser. 07-1W, Class A1,            
5.53s, 2012 358,891 335,707 1,879,482 1,758,067 1,625,391 1,520,391
MASTR Adjustable Rate Mortgages Trust            
Ser. 04-7, Class 2A1, 6.442s, 2034 12,923 10,015 31,822 24,663 31,903 24,725
FRB Ser. 04-13, Class 3A6, 3.788s, 2034 266,000 250,944 771,000 727,361 838,000 790,569
Ser. 04-03, Class 4AX, IO, 1.417s, 2034 130,358 750 444,171 2,554 427,595 2,459
Ser. 05-2, Class 7AX, IO, 0.168s, 2035 338,272 634 1,152,396 2,161 1,109,715 2,081
MASTR Alternative Loans Trust Ser. 06-3, Class 1A1,            
6 1/4s, 2036 1,531,526 1,148,645 1,082,104 811,578 1,005,019 753,764
MASTR Reperforming Loan Trust 144A            
Ser. 05-1, Class 1A4, 7 1/2s, 2034 94,489 100,697 263,220 280,514 251,168 267,670
Ser. 05-2, Class 1A3, 7 1/2s, 2035 123,761 132,334 -- -- 469,685 502,217
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1,            
3.103s, 2027 285,590 245,608 410,230 352,797 337,605 290,340
Merrill Lynch Capital Funding Corp. Ser. 06-4,            
Class XC, IO, 0.099s, 2049 16,136,571 193,311 47,225,734 565,750 40,389,723 483,856
Merrill Lynch Floating Trust 144A            
FRB Ser. 06-1, Class TM, 2.971s, 2022 554,794 471,575 491,817 418,044 579,784 492,817
Ser. 06-1, Class X1A, IO, 1.565s, 2022 9,604,312 57,026 8,570,481 50,887 10,143,942 60,230
Merrill Lynch Mortgage Investors, Inc.            
FRB Ser. 98-C3, Class E, 7.081s, 2030 -- -- 137,000 141,000 127,000 130,708
FRB Ser. 05-A9, Class 3A1, 5.274s, 2035 412,969 403,952 1,199,365 1,173,180 1,304,072 1,275,601
Ser. 96-C2, Class JS, IO, 2.263s, 2028 274,496 17,900 161,891 10,557 61,769 4,028
Merrill Lynch Mortgage Trust            
FRB Ser. 07-C1, Class A3, 6.023s, 2050 219,000 212,737 981,000 952,946 771,000 748,951
FRB Ser. 07-C1, Class A4, 6.023s, 2050 191,000 182,917 645,000 617,703 552,000 528,639
Ser. 05-MCP1, Class XC, IO, 0.127s, 2043 4,442,023 51,699 15,035,211 174,988 14,461,953 168,316
Merrill Lynch Mortgage Trust 144A            
Ser. 04-KEY2, Class XC, IO, 0.251s, 2039 2,789,192 52,712 7,611,263 143,842 9,008,173 170,241
Ser. 05-LC1, Class X, IO, 0.229s, 2044 2,433,179 16,569 7,336,214 49,957 8,073,599 54,978
Merrill Lynch/Countrywide Commercial Mortgage Trust            
FRB Ser. 07-8, Class A3, 6.156s, 2049 417,000 402,456 2,122,000 2,047,990 1,559,000 1,504,626
FRB Ser. 07-8, Class A2, 6.119s, 2049 382,000 375,519 1,724,000 1,694,749 1,346,000 1,323,162
Ser. 07-9, Class A4, 5.748s, 2049 830,000 781,912 4,220,000 3,975,502 3,100,000 2,920,393
Merrill Lynch/Countrywide Commercial Mortgage Trust            
144A            
Ser. 07-7, Class X, IO, 0.137s, 2050 11,822,252 34,934 77,502,535 229,018 61,257,405 181,014
Ser. 06-1, Class X, IO, 0.132s, 2039 4,501,991 16,274 19,930,494 72,044 21,561,493 77,940
Ser. 06-3, Class XC, IO, 0.11s, 2046 4,385,603 59,644 20,289,002 275,930 16,962,301 230,687
Mezz Cap Commercial Mortgage Trust Ser. 07-C5,            
Class X, 4.867s, 2017 -- -- 645,625 154,762 542,685 130,087
Mezz Cap Commercial Mortgage Trust 144A            
Ser. 04-C2, Class X, IO, 6.004s, 2040 200,668 47,083 510,792 119,847 500,231 117,369
Ser. 05-C3, Class X, IO, 5.555s, 2044 408,011 94,475 645,525 149,472 646,511 149,700
Ser. 06-C4, Class X, IO, 5.454s, 2016 986,764 259,751 2,471,285 650,529 2,542,254 669,211
Morgan Stanley Capital 144A Ser. 05-RR6, Class X, IO,            
1.693s, 2043 936,925 36,990 2,718,021 107,307 4,373,568 172,668
Morgan Stanley Capital I            
Ser. 98-CF1, Class D, 7.35s, 2032 67,000 67,793 -- -- -- --
FRB Ser. 08-T29, Class A3, 6.458s, 2043 176,000 180,722 533,000 547,300 506,000 519,576
FRB Ser. 06-IQ11, Class A4, 5.944s, 2042 477,000 465,721 1,612,000 1,573,887 1,381,000 1,348,349
FRB Ser. 07-IQ14, Class AM, 5.877s, 2049 230,000 206,699 1,062,000 954,410 825,000 741,420
Ser. 05-HQ6, Class A4A, 4.989s, 2042 278,000 265,244 827,000 789,054 915,000 873,017
Ser. 04-HQ4, Class A7, 4.97s, 2040 (F) 144,000 136,190 427,000 403,842 473,000 447,348

Morgan Stanley Capital I 144A            
Ser. 98-HF1, Class F, 7.18s, 2030 1,147 1,149 10,161 10,176 9,424 9,437
Ser. 04-RR, Class F5, 6s, 2039 -- -- 395,000 260,700 340,000 224,400
Ser. 04-RR, Class F6, 6s, 2039 -- -- 395,000 240,950 350,000 213,500
Ser. 07-HQ13, Class X1, IO, 0.823s, 2044 5,087,543 158,833 23,239,802 725,547 -- --
Ser. 05-HQ5, Class X1, IO, 0.168s, 2042 3,229,870 19,444 8,855,633 53,311 6,970,826 41,964
Ser. 05-HQ6, Class X1, IO, 0.116s, 2042 8,156,381 70,850 17,993,542 156,301 17,874,185 155,264
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,            
Class 2A1, 5.275s, 2035 312,403 229,460 550,932 404,660 925,638 679,881
Mortgage Capital Funding, Inc.            
FRB Ser. 98-MC2, Class E, 7.198s, 2030 53,000 54,483 215,000 221,018 206,000 211,766
Ser. 97-MC2, Class X, IO, 1.988s, 2012 964 1 267 1 -- --
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,            
7.543s, 2035 60,474 55,056 80,026 72,855 78,207 71,200
Nomura Asset Acceptance Corp. 144A Ser. 04-R2,            
Class PT, 9.087s, 2034 -- -- 79,545 89,934 73,150 82,703
Permanent Financing PLC 144A FRB Ser. 9A, Class 3A,            
2.796s, 2033 (United Kingdom) 274,000 267,150 1,184,000 1,154,400 -- --
Permanent Master Issuer PLC FRB Ser. 07-1, Class 4A,            
2.793s, 2033 (United Kingdom) 333,000 320,513 1,429,000 1,375,413 -- --
PNC Mortgage Acceptance Corp. 144A            
Ser. 99-CM1, Class B3, 7.1s, 2032 (F) -- -- 813,000 803,088 757,000 747,770
Ser. 00-C1, Class J, 6 5/8s, 2010 -- -- 118,000 84,993 189,000 136,133
Ser. 00-C2, Class J, 6.22s, 2033 (F) -- -- 276,000 252,084 291,000 265,785
Residential Asset Mortgage Products, Inc. Ser. 02-SL1,            
Class AI3, 7s, 2032 89,855 89,716 292,946 292,493 184,295 184,009
Residential Asset Securitization Trust            
Ser. 07-A5, Class 2A3, 6s, 2037 3,686,995 3,299,860 2,416,629 2,162,883 -- --
IFB Ser. 07-A3, Class 2A2, IO, 4.208s, 2037 983,857 82,906 4,312,262 363,378 3,698,744 311,679
Residential Funding Mortgage Securities I Ser. 04-S5,            
Class 2A1, 4 1/2s, 2019 303,649 276,285 1,073,553 976,805 1,192,426 1,084,965
Saco I Trust FRB Ser. 05-10, Class 1A1, 2.743s, 2033            
(F) 103,289 46,488 246,401 110,900 271,290 122,102
Salomon Brothers Mortgage Securities VII 144A Ser.            
02-KEY2, Class X1, IO, 0.794s, 2036 2,637,551 108,672 9,789,027 403,325 8,575,146 353,311
SBA CMBS Trust 144A Ser. 05-1A, Class D, 6.219s, 2035 -- -- 200,000 185,680 200,000 185,680
STRIPS 144A            
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands) -- -- 172,000 145,340 165,000 139,425
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands) -- -- 116,000 88,160 112,000 85,120
Ser. 04-1A, Class K, 5s, 2018 (Cayman Islands) 100,000 82,000 -- -- -- --
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands) -- -- 76,000 58,520 74,000 56,980
Structured Adjustable Rate Mortgage Loan Trust            
FRB Ser. 07-8, Class 1A2, 6 1/4s, 2037 802,612 684,949 3,983,236 3,399,294 3,280,622 2,799,683
Ser. 04-8, Class 1A3, 6.199s, 2034 9,289 7,980 4,592 3,945 8,454 7,263
FRB Ser. 06-9, Class 1A1, 5.694s, 2036 1,415,820 1,111,843 604,557 474,759 -- --
FRB Ser. 05-18, Class 6A1, 5.247s, 2035 (F) 184,941 164,696 454,967 405,164 480,965 428,316
Ser. 05-9, Class AX, IO, 1.6s, 2035 1,515,587 33,343 4,122,511 90,695 3,941,997 86,724
Ser. 04-19, Class 2A1X, IO, 1.376s, 2035 426,875 5,549 -- -- -- --
Structured Adjustable Rate Mortgage Loan Trust 144A            
Ser. 04-NP2, Class A, 2.833s, 2034 45,205 41,250 174,854 159,554 180,821 164,999
Structured Asset Securities Corp.            
IFB Ser. 07-4, Class 1A3, IO, 3.768s, 2037 3,846,374 237,197 11,032,000 680,319 11,296,512 696,631
Ser. 07-4, Class 1A4, IO, 1s, 2037 3,846,374 103,592 11,790,155 317,538 12,054,667 324,662
Structured Asset Securities Corp. 144A            
IFB Ser. 08-01, Class 1A2, IO, 3.588s, 2045 (RES) 2,299,611 132,101 4,811,479 276,395 3,221,999 185,058
Ser. 07-RF1, Class 1A, IO, 3.399s, 2037 -- -- 4,625,659 208,395 3,675,894 165,606
Ser. 08-RF1, Class AI, IO, 2.948s, 2037 -- -- 14,735,287 791,285 -- --
Ser. 06-RF4, Class 1A, IO, 0.356s, 2036 -- -- 2,214,994 109,636 1,892,704 93,683
Terwin Mortgage Trust 144A FRB Ser. 06-9HGA, Class A1,            
2.563s, 2037 108,696 98,913 -- -- -- --
Thornburg Mortgage Securities Trust FRB Ser. 06-4,            
Class A2B, 2.603s, 2011 289,781 250,334 -- -- -- --
Wachovia Bank Commercial Mortgage Trust            
FRB Ser. 07-C33, Class A3, 6.1s, 2051 327,000 317,494 1,665,000 1,616,598 -- --
Ser. 07-C30, Class A3, 5.246s, 2043 6,500,000 6,346,759 1,882,000 1,837,631 -- --
Ser. 04-C15, Class A4, 4.803s, 2041 215,000 203,298 637,000 602,330 705,000 666,629
Ser. 06-C28, Class XC, IO, 0.564s, 2048 3,135,647 63,904 10,925,442 222,661 11,008,143 224,346
Ser. 06-C29, IO, 0.529s, 2048 17,916,224 376,062 47,098,898 988,606 -- --
Ser. 07-C34, IO, 0.52s, 2046 4,746,005 102,514 10,641,558 229,858 8,769,922 189,430
Wachovia Bank Commercial Mortgage Trust 144A            
FRB Ser. 05-WL5A, Class L, 5.771s, 2018 -- -- 164,000 131,200 156,000 124,800
Ser. 03-C3, Class IOI, IO, 0.487s, 2035 472,814 12,719 3,552,470 95,567 3,555,865 95,658
Ser. 07-C31, IO, 0.435s, 2047 9,187,112 142,860 35,775,191 556,304 28,160,648 437,898
Ser. 05-C18, Class XC, IO, 1/8s, 2042 12,620,977 104,628 21,536,009 178,534 24,867,381 206,151
Ser. 06-C27, Class XC, IO, 0.084s, 2045 3,770,729 38,839 17,443,477 179,668 14,583,336 150,208
Ser. 06-C23, Class XC, IO, 0.071s, 2045 4,859,970 26,584 32,033,058 175,221 35,162,554 192,339
Ser. 06-C26, Class XC, IO, 0.053s, 2045 17,528,053 48,553 13,961,798 38,674 8,646,651 23,951
WAMU Commercial Mortgage Securities Trust 144A            
Ser. 05-C1A, Class G, 5.72s, 2036 -- -- 46,000 30,345 44,000 29,025
Ser. 07-SL2, Class A1, 5.426s, 2049 1,806,290 1,573,315 -- -- -- --
Ser. 06-SL1, Class X, IO, 0.937s, 2043 443,730 16,613 2,373,418 88,861 2,551,694 95,535
Ser. 07-SL2, Class X, IO, 7/8s, 2049 1,323,649 45,097 5,632,204 191,889 4,461,578 152,006
WAMU Mortgage Pass-Through Certificates FRB Ser.            
04-AR1, Class A, 4.229s, 2034 87,586 80,579 241,215 221,918 171,994 158,234
WAMU Mortgage Pass-Through Certificates 144A Ser.            
04-RP1, Class 1S, IO, 3.198s, 2034 (RES) 2,535,723 158,483 5,215,002 325,938 3,428,024 214,251
Washington Mutual Asset Securities Corp. 144A Ser.            
05-C1A, Class F, 5.3s, 2036 107,000 78,945 -- -- -- --
Washington Mutual Mortgage Pass-Through Certificates            
Ser. 07-2, Class CX, IO, 7s, 2037 88,047 17,327 402,054 79,122 321,020 63,175
Wells Fargo Mortgage Backed Securities Trust            
Ser. 06-AR10, Class 3A1, 5.005s, 2036 (F) 237,968 228,422 550,300 528,226 552,679 530,511
Ser. 05-AR16, Class 2A1, 4.944s, 2035 -- -- -- -- 76,419 72,598
Ser. 05-AR2, Class 2A1, 4.541s, 2035 111,944 106,392 281,707 267,734 295,239 280,595
Ser. 05-AR9, Class 1A2, 4.367s, 2035 310,246 226,480 -- -- 113,121 82,578
Ser. 04-R, Class 2A1, 4.365s, 2034 (F) 109,755 105,690 276,156 265,930 289,812 279,081
Ser. 05-AR12, Class 2A5, 4.321s, 2035 (F) 1,263,000 1,157,861 4,035,000 3,699,104 3,882,000 3,558,840
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035 -- -- 9,846,000 42,385 9,480,000 40,809
Total collateralized mortgage obligations
(cost $157,317,999, $297,335,174 and $208,923,129)   $157,593,249   $302,435,534   $214,336,087
 
ASSET-BACKED SECURITIES(a) Growth 1.2% Balanced 3.4% Conservative 5.1%
       Principal    Principal    Principal  
  amount Value amount Value amount Value
Accredited Mortgage Loan Trust            
FRB Ser. 05-1, Class M2, 3.173s, 2035 $-- $-- $150,000 $75,000 $135,000 $67,500
FRB Ser. 05-4, Class A2C, 2.693s, 2035 -- -- 190,000 171,000 152,000 136,800
Ace Securities Corp.            
FRB Ser. 06-HE3, Class A2C, 2.633s, 2036 119,000 93,407 549,000 430,929 436,000 342,231
FRB Ser. 06-OP2, Class A2C, 2.633s, 2036 107,000 62,060 475,000 275,500 377,000 218,660
Ace Securities Corp. 144A Ser. 03-MH1, Class M2,            
6 1/2s, 2030 (F) 441,327 387,247 212,818 186,739 -- --
Advanta Business Card Master Trust FRB Ser. 04-C1,            
Class C, 3.532s, 2013 159,000 141,801 -- -- 212,000 189,068
Aegis Asset Backed Securities Trust 144A Ser. 04-6N,            
Class Note, 4 3/4s, 2035 8,939 1 12,634 1 12,515 1
AFC Home Equity Loan Trust Ser. 99-2, Class 1A,            
2.893s, 2029 313,108 213,007 582,690 396,404 414,516 281,995
American Express Credit Account Master Trust 144A Ser.            
04-C, Class C, 2.971s, 2012 11,643 11,170 71,061 68,174 57,009 54,693
Ameriquest Mortgage Securities, Inc.            
FRB Ser. 06-R1, Class M10, 4.983s, 2036 -- -- 142,000 7,214 261,000 13,259
FRB Ser. 03-8, Class M2, 4.233s, 2033 -- -- 210,834 46,383 189,853 41,768
FRB Ser. 04-R10, Class A5, 2.873s, 2034 50 44 -- -- -- --
FRB Ser. 04-R11, Class A2, 2.853s, 2034 (F) 8,459 7,527 -- -- -- --
AMP CMBS 144A FRB Ser. 06-1A, Class A, 3.526s, 2047            
(Cayman Islands) (F) -- -- -- -- 440,000 208,151
Arcap REIT, Inc. 144A            
Ser. 03-1A, Class E, 7.11s, 2038 -- -- 286,000 236,972 223,000 184,772
Ser. 04-1A, Class E, 6.42s, 2039 -- -- 240,272 175,154 227,202 165,626
Argent Securities, Inc.            
FRB Ser. 03-W3, Class M3, 4.753s, 2033 -- -- 23,521 3,293 21,169 2,964
FRB Ser. 06-W4, Class A2C, 2.643s, 2036 211,000 148,755 975,000 687,375 775,000 546,375
Asset Backed Funding Certificates            
FRB Ser. 04-OPT2, Class M2, 3.483s, 2033 -- -- 236,525 122,993 212,573 110,538
FRB Ser. 05-WMC1, Class M1, 2.923s, 2035 29,000 20,010 583,000 402,270 404,000 278,760
Asset Backed Funding Corp. NIM Trust 144A FRB Ser.            
05-OPT1, Class B1, 4.983s, 2035 50,000 5,135 -- -- 117,000 12,015
Asset Backed Securities Corp. Home Equity Loan Trust            
FRB Ser. 04-HE7, Class A2, 2.863s, 2034 126 97 -- -- -- --
FRB Ser. 04-HE6, Class A2, 2.843s, 2034 77,763 60,935 275,390 215,796 264,196 207,024
FRB Ser. 06-HE2, Class A3, 2.673s, 2036 45,677 39,696 212,632 184,793 169,318 147,150
FRB Ser. 06-HE4, Class A5, 2.643s, 2036 157,000 117,750 720,000 540,000 578,000 433,500
FRB Ser. 06-HE7, Class A4, 2.623s, 2036 -- -- 324,000 233,280 252,000 181,440
BankAmerica Manufactured Housing Contract Trust Ser.            
97-2, Class M, 6.9s, 2028 778,000 981,758 370,000 466,903 -- --
Bay View Auto Trust            
Ser. 05-LJ2, Class D, 5.27s, 2014 62,000 60,314 139,000 135,221 134,000 130,357
Ser. 05-LJ2, Class C, 4.92s, 2014 100,000 95,647 46,000 43,998 45,000 43,041
Bayview Financial Acquisition Trust            
Ser. 04-B, Class A1, 2.983s, 2039 -- -- 824,891 701,157 1,083,228 920,744
FRB Ser. 04-D, Class A, 2.873s, 2044 73,365 50,622 239,803 165,464 234,109 161,536
Bayview Financial Asset Trust 144A            
FRB Ser. 03-SSRA, Class M, 3.833s, 2038 42,013 32,034 125,059 95,358 97,703 74,498
FRB Ser. 03-SSRA, Class A, 3.183s, 2038 42,013 34,975 125,059 104,112 97,703 81,337
FRB Ser. 04-SSRA, Class A1, 3.083s, 2039 100,631 77,234 146,262 112,256 141,729 108,777
Bear Stearns Asset Backed Securities, Inc.            
FRB Ser. 06-EC1, Class M9, 4.483s, 2035 (F) -- -- 146,000 2,917 161,000 3,217
FRB Ser. 06-PC1, Class M9, 4.233s, 2035 -- -- -- -- 100,000 7,530
FRB Ser. 05-HE1, Class M3, 3.413s, 2035 -- -- 210,000 69,300 189,000 62,370
FRB Ser. 03-3, Class A2, 3.073s, 2043 109,016 96,632 378,551 335,548 298,720 264,786
FRB Ser. 03-1, Class A1, 2.983s, 2042 111,374 93,266 317,755 266,091 226,066 189,310
FRB Ser. 05-3, Class A1, 2.933s, 2035 95,629 79,955 -- -- -- --
FRB Ser. 03-ABF1, Class A, 2.853s, 2034 28,062 23,729 -- -- -- --
Bear Stearns Asset Backed Securities, Inc. 144A FRB            
Ser. 06-HE2, Class M10, 4.733s, 2036 -- -- 108,000 8,346 -- --
Bombardier Capital Mortgage Securitization Corp.            
Ser. 00-A, Class A4, 8.29s, 2030 3,333,932 2,165,389 2,073,156 1,346,515 402,299 261,293
Ser. 00-A, Class A2, 7.575s, 2030 754,310 443,685 352,012 207,053 -- --
Ser. 99-B, Class A-5, 7.44s, 2020 156,556 98,630 1,489,892 938,632 1,166,995 735,207
Ser. 99-B, Class A3, 7.18s, 2015 75,669 45,416 1,480,759 888,752 1,147,425 688,685
Ser. 99-B, Class A2, 6.975s, 2012 -- -- 49,576 29,835 63,927 38,471
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,            
3.551s, 2010 170,000 169,891 470,000 469,698 420,000 419,730
Chase Funding Loan Acquisition Trust FRB Ser. 04-AQ1,            
Class A2, 2.883s, 2034 81,326 65,874 -- -- -- --
Citigroup Mortgage Loan Trust, Inc.            
FRB Ser. 05-HE4, Class M11, 4.983s, 2035 41,000 4,100 -- -- -- --
FRB Ser. 05-HE4, Class M12, 4.533s, 2035 48,153 2,408 -- -- -- --
FRB Ser. 05-OPT1, Class M1, 2.903s, 2035 44,358 29,222 200,967 132,394 157,515 103,769
Ser. 03-HE3, Class A, 2.863s, 2033 627,639 561,046 -- -- -- --
Citigroup Mortgage Loan Trust, Inc. 144A FRB Ser.            
03-HE4, Class A, 2.893s, 2033 232,725 202,471 -- -- -- --
Conseco Finance Securitizations Corp.            

Ser. 02-2, Class A, IO, 8 1/2s, 2033 112,353 9,292 423,666 35,037 266,839 22,068
Ser. 00-4, Class A6, 8.31s, 2032 147,965 124,475 2,472,472 2,079,967 2,426,804 2,041,549
Ser. 00-5, Class A7, 8.2s, 2032 -- -- 1,231,000 956,733 817,000 634,972
Ser. 00-5, Class A6, 7.96s, 2032 504,606 399,396 1,994,743 1,578,839 1,827,149 1,446,188
Ser. 02-1, Class M1F, 7.954s, 2033 -- -- 510,000 462,859 676,000 613,515
Ser. 02-2, Class M1, 7.424s, 2033 83,000 71,871 216,000 187,037 154,000 133,351
Ser. 01-4, Class A4, 7.36s, 2033 391,196 367,568 979,919 920,732 293,976 276,220
Ser. 00-6, Class A5, 7.27s, 2031 171,024 155,665 444,811 404,867 316,543 288,118
Ser. 01-1, Class A5, 6.99s, 2032 1,180,623 1,090,755 4,709,273 4,350,808 4,197,037 3,877,562
Ser. 01-3, Class A4, 6.91s, 2033 -- -- 528,741 497,175 426,540 401,076
Ser. 02-1, Class A, 6.681s, 2033 168,858 166,008 527,122 518,227 159,253 156,566
FRB Ser. 02-1, Class M1A, 4.521s, 2033 725,000 623,500 1,996,000 1,716,560 1,264,000 1,087,040
Countrywide Asset Backed Certificates            
FRB Ser. 05-BC3, Class M1, 3.003s, 2035 47,000 31,020 210,000 138,600 166,000 109,560
FRB Ser. 04-6, Class 2A5, 2.873s, 2034 39,523 31,223 353,684 279,410 296,353 234,119
FRB Ser. 04-5, Class 4A3, 2.803s, 2034 42,924 34,769 151,196 122,469 145,558 117,902
FRB Ser. 05-14, Class 3A2, 2.723s, 2036 27,431 24,414 124,201 110,539 97,532 86,804
Credit-Based Asset Servicing and Securitization FRB            
Ser. 02-CB2, Class A2, 3.583s, 2032 33,564 31,214 -- -- -- --
Credit-Based Asset Servicing and Securitization 144A            
Ser. 06-MH1, Class B1, 6 1/4s, 2036 -- -- 291,000 215,427 186,000 137,696
Ser. 06-MH1, Class M1, 6 1/4s, 2036 516,000 433,440 236,000 198,240 314,000 263,760
Ser. 06-MH1, Class M2, 6 1/4s, 2036 228,000 186,960 110,000 90,200 123,000 100,860
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038            
(Cayman Islands) -- -- 339,000 237,300 313,000 219,100
CS First Boston Mortgage Securities Corp. 144A Ser.            
04-FR1N, Class A, 5s, 2034 18,631 1,491 26,025 2,082 28,391 2,271
DB Master Finance, LLC 144A Ser. 06-1, Class M1,            
8.285s, 2031 -- -- 204,000 176,315 214,000 184,958
Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,            
3.153s, 2035 -- -- 86,000 21,500 78,000 19,500
Fieldstone Mortgage Investment Corp. FRB Ser. 05-1,            
Class M3, 3.023s, 2035 -- -- 143,000 125,840 138,000 121,440
First Franklin Mortgage Loan Asset Backed Certificates            
FRB Ser. 06-FF7, Class 2A3, 2.633s, 2036 163,000 138,097 744,000 630,334 583,000 493,931
Fremont Home Loan Trust            
FRB Ser. 05-E, Class 2A4, 2.813s, 2036 231,000 159,436 1,045,000 721,259 816,000 563,203
FRB Ser. 06-2, Class 2A3, 2.653s, 2036 392,000 299,880 1,688,000 1,291,320 1,342,000 1,026,630
GE Corporate Aircraft Financing, LLC 144A            
FRB Ser. 05-1A, Class C, 3.783s, 2019 -- -- 269,000 211,165 271,000 212,735
Ser. 04-1A, Class B, 3.333s, 2018 12,153 11,242 13,247 12,254 12,882 11,916
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,            
8.22s, 2012 -- -- 443,000 414,110 442,000 413,176
GEBL 144A            
Ser. 04-2, Class D, 5.221s, 2032 -- -- 120,952 61,686 148,757 75,866
Ser. 04-2, Class C, 3.321s, 2032 (F) -- -- 90,366 60,505 148,757 99,601
Granite Mortgages PLC            
FRB Ser. 03-2, Class 1C, 4.368s, 2043 (United Kingdom) 205,426 168,422 -- -- -- --
FRB Ser. 03-3, Class 1C, 4.268s, 2044 (United Kingdom) 43,271 36,904 165,871 141,466 -- --
Green Tree Financial Corp.            
Ser. 94-4, Class B2, 8.6s, 2019 1,292,940 812,613 580,713 364,978 -- --
Ser. 96-5, Class M1, 8.05s, 2027 -- -- 238,206 199,426 322,794 270,243
Ser. 96-8, Class A7, 8.05s, 2027 20,554 21,504 -- -- -- --
Ser. 96-6, Class M1, 7.95s, 2027 2,582,000 2,255,119 1,222,000 1,067,295 1,077,000 940,652
Ser. 99-5, Class A5, 7.86s, 2030 418,946 356,523 2,716,560 2,311,793 2,219,446 1,888,749
Ser. 97-2, Class A7, 7.62s, 2028 186,161 193,719 136,585 142,131 98,139 102,123
Ser. 96-2, Class M1, 7.6s, 2026 1,460,000 1,137,719 691,000 538,469 609,000 474,569
Ser. 97-6, Class A9, 7.55s, 2029 66,949 62,832 -- -- 125,026 117,337
Ser. 97-4, Class A7, 7.36s, 2029 14,908 14,298 45,788 43,915 98,674 94,638
Ser. 97-3, Class A6, 7.32s, 2028 2,174 2,266 -- -- -- --
Ser. 95-8, Class M1, 7.3s, 2026 52,281 50,085 -- -- -- --
Ser. 96-10, Class A6, 7.3s, 2028 19,392 19,101 -- -- -- --
Ser. 96-10, Class M1, 7.24s, 2028 -- -- 449,000 406,345 625,000 565,625
Ser. 97-6, Class M1, 7.21s, 2029 293,000 214,212 688,000 502,997 946,000 691,621
Ser. 96-2, Class A4, 7.2s, 2027 201,092 200,087 -- -- -- --
Ser. 97-3, Class A5, 7.14s, 2028 25,158 25,676 181,272 185,006 130,613 133,303
Ser. 97-6, Class A8, 7.07s, 2029 38,459 38,266 -- -- 43,292 43,076
Ser. 93-4, Class A5, 7.05s, 2019 7,691 7,498 -- -- -- --
Ser. 95-10, Class B1, 7.05s, 2027 18,441 16,965 -- -- -- --
Ser. 98-4, Class A7, 6.87s, 2030 52,311 52,050 132,790 132,126 94,339 93,867
Ser. 97-7, Class A8, 6.86s, 2029 7,520 7,129 29,395 27,870 63,348 60,060
Ser. 93-3, Class B, 6.85s, 2018 195,983 176,326 91,553 82,370 -- --
Ser. 99-3, Class A7, 6.74s, 2031 108,000 100,332 147,000 136,563 151,000 140,279
Ser. 99-3, Class A6, 6 1/2s, 2031 -- -- 56,483 54,789 54,801 53,157
Ser. 98-6, Class A7, 6.45s, 2030 -- -- 165,383 167,502 119,205 120,732
Ser. 99-2, Class A7, 6.44s, 2030 -- -- 512,486 436,689 714,243 608,607
Ser. 98-7, Class M1, 6.4s, 2030 118,000 76,842 218,000 141,962 136,000 88,563
Ser. 99-1, Class A6, 6.37s, 2025 113,000 111,418 359,000 353,974 224,000 220,864
Ser. 98-2, Class A5, 6.24s, 2016 11,368 10,247 -- -- -- --
Greenpoint Manufactured Housing            
Ser. 00-3, Class IA, 8.45s, 2031 3,231,198 2,746,518 3,631,669 3,086,919 1,257,187 1,068,609
Ser. 99-5, Class M1A, 8.3s, 2026 -- -- 198,000 178,358 157,000 141,426
Ser. 99-5, Class A4, 7.59s, 2028 153,989 150,909 337,110 330,368 230,983 226,363
Ser. 99-3, Class 1A5, 6.79s, 2023 8,256 8,346 -- -- -- --
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011 -- -- 257,594 257,311 252,014 251,737
GSAMP Trust FRB Ser. 06-HE5, Class A2C, 2.633s, 2036 584,000 375,198 2,514,000 1,615,151 1,998,000 1,283,641
Guggenheim Structured Real Estate Funding, Ltd. 144A            
FRB Ser. 05-2A, Class D, 4.033s, 2030 (Cayman Islands) -- -- 250,000 140,000 250,000 140,000
FRB Ser. 05-1A, Class D, 4.013s, 2030 (Cayman Islands) -- -- 105,068 83,003 100,774 79,612
High Income Trust Securities 144A FRB Ser. 03-1A,            
Class A, 3.258s, 2036 (Cayman Islands) -- -- 425,515 234,033 387,228 212,975
Home Equity Asset Trust            
FRB Ser. 04-7, Class A3, 2.873s, 2035 309 231 -- -- -- --
FRB Ser. 06-1, Class 2A4, 2.813s, 2036 117,000 76,050 527,000 342,550 415,000 269,750
Hyundai Auto Receivables Trust Ser. 04-A, Class D,            
4.1s, 2011 10,856 10,810 10,394 10,350 9,701 9,660
Impac CMB Trust FRB Ser. 04-8, Class 1A, 3.203s, 2034 8,978 3,578 -- -- -- --
JPMorgan Mortgage Acquisition Corp. FRB Ser. 06-FRE1,            
Class A4, 2.773s, 2035 100,000 68,500 443,000 303,455 347,000 237,695
Lehman ABS Manufactured Housing Contract            
Ser. 01-B, Class M1, 6.63s, 2028 185,000 131,823 171,000 121,847 176,000 125,410
Ser. 01-B, Class A5, 5.873s, 2022 67,380 64,745 -- -- -- --
Ser. 01-B, Class A4, 5.27s, 2018 41,074 36,067 -- -- -- --
Lehman XS Trust            
Ser. 07-6, Class 3A6, 6 1/2s, 2037 532,249 451,164 4,776,277 4,048,640 4,000,590 3,391,124
IFB Ser. 07-3, Class 4B, IO, 4.298s, 2037 394,092 31,033 1,615,528 127,215 1,381,405 108,779
FRB Ser. 07-6, Class 2A1, 2.693s, 2037 1,141,535 823,846 5,305,486 3,828,969 4,098,916 2,958,188
LNR CDO, Ltd. 144A FRB Ser. 03-1A, Class EFL, 5.481s,            
2036 (Cayman Islands) (F) 105,000 52,462 595,000 297,283 460,000 229,832
Long Beach Mortgage Loan Trust            
FRB Ser. 05-2, Class M4, 3.103s, 2035 -- -- 240,000 100,800 216,000 90,720
FRB Ser. 06-4, Class 2A4, 2.743s, 2036 111,000 55,131 503,000 249,828 394,000 195,690
FRB Ser. 06-1, Class 2A3, 2.673s, 2036 166,000 140,270 770,000 650,650 612,000 517,140
Marriott Vacation Club Owner Trust 144A            
Ser. 05-2, Class D, 6.205s, 2027 -- -- 23,363 22,969 25,093 24,671
Ser. 04-2A, Class D, 5.389s, 2026 -- -- 17,102 16,797 16,773 16,474
Ser. 04-1A, Class C, 5.265s, 2026 -- -- 42,028 36,608 39,026 33,993
FRB Ser. 02-1A, Class A1, 3.182s, 2024 17,586 16,523 74,524 70,021 73,305 68,875
MASTR Asset Backed Securities Trust            
FRB Ser. 04-HE1, Class A1, 2.883s, 2034 4,209 3,325 -- -- -- --
FRB Ser. 04-OPT2, Class A2, 2.833s, 2034 17,045 12,784 -- -- -- --
FRB Ser. 06-FRE2, Class A4, 2.633s, 2036 58,000 41,117 262,000 185,735 206,000 146,036
Merrill Lynch Mortgage Investors, Inc.            
Ser. 04-WMC3, Class B3, 5s, 2035 4,642 882 13,777 2,618 12,729 2,418
FRB Ser. 04-HE2, Class A1A, 2.883s, 2035 4,085 2,744 -- -- -- --
Mid-State Trust Ser. 11, Class B, 8.221s, 2038 48,306 40,350 186,087 155,441 143,819 120,134
Morgan Stanley ABS Capital I            
FRB Ser. 05-HE2, Class M5, 3.163s, 2035 -- -- 150,000 45,000 135,000 40,500
FRB Ser. 05-HE1, Class M3, 3.003s, 2034 -- -- 150,000 67,500 135,000 60,750
FRB Ser. 04-HE8, Class A4, 2.863s, 2034 6,211 4,969 -- -- -- --
FRB Ser. 06-NC4, Class M2, 2.783s, 2036 -- -- 210,000 21,000 189,000 18,900
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1,            
3.166s, 2015 (Cayman Islands) 46,923 45,788 81,533 79,560 77,207 75,338
Navistar Financial Corp. Owner Trust            
Ser. 05-A, Class C, 4.84s, 2014 24,328 21,951 57,171 51,586 55,042 49,665
Ser. 04-B, Class C, 3.93s, 2012 7,103 6,443 27,442 24,893 30,347 27,529
New Century Home Equity Loan Trust            
Ser. 03-5, Class AI7, 5.15s, 2033 88,535 76,140 300,839 258,721 263,799 226,867
FRB Ser. 03-4, Class M3, 4.533s, 2033 -- -- 13,122 1,050 11,810 945
Novastar Home Equity Loan            
FRB Ser. 06-1, Class A2C, 2.643s, 2036 138,000 120,322 626,000 545,809 488,000 425,487
FRB Ser. 06-2, Class A2C, 2.633s, 2036 138,000 104,148 626,000 472,441 488,000 368,292
Oakwood Mortgage Investors, Inc.            
Ser. 96-C, Class B1, 7.96s, 2027 539,565 312,624 727,708 421,634 452,539 262,201
Ser. 00-A, Class A3, 7.945s, 2022 69,516 53,792 270,442 209,268 264,612 204,756
Ser. 95-B, Class B1, 7.55s, 2021 -- -- 185,000 103,600 267,000 149,520
Ser. 00-D, Class A3, 6.99s, 2022 -- -- 198,596 190,970 101,156 97,271
Ser. 98-A, Class M, 6.825s, 2028 454,000 339,002 219,000 163,527 -- --
Ser. 01-E, Class A4, 6.81s, 2031 601,319 472,637 792,832 623,166 858,563 674,831
Ser. 99-B, Class A3, 6.45s, 2017 130,431 109,758 276,015 232,267 255,515 215,016
Ser. 99-A, Class A3, 6.09s, 2029 186,211 157,088 -- -- -- --
Ser. 01-E, Class A, IO, 6s, 2009 149,631 3,142 510,955 10,730 342,620 7,195
Ser. 01-D, Class A3, 5.9s, 2022 85,651 62,525 674,119 492,107 523,151 381,900
Ser. 02-C, Class A1, 5.41s, 2032 (F) 273,889 230,386 809,106 680,593 748,737 629,813
Ser. 01-D, Class A2, 5.26s, 2019 51,305 31,999 -- -- 313,623 195,606
Ser. 02-A, Class A2, 5.01s, 2020 192,421 154,995 -- -- 96,210 77,498
Oakwood Mortgage Investors, Inc. 144A            
Ser. 01-B, Class A4, 7.21s, 2030 -- -- 82,405 67,341 109,065 89,128
Ser. 01-B, Class A3, 6.535s, 2023 -- -- 68,651 57,776 49,482 41,644
Ocean Star PLC 144A            
FRB Ser. 04, Class D, 5.016s, 2018 (Ireland) 23,000 20,493 133,000 118,503 123,000 109,593
FRB Ser. 05-A, Class D, 4.216s, 2012 (Ireland) 27,000 21,600 149,000 119,200 150,000 120,000
Option One Mortgage Loan Trust FRB Ser. 05-4,            
Class M11, 4.983s, 2035 -- -- 46,000 5,060 51,000 5,610
Origen Manufactured Housing            
Ser. 04-B, Class A3, 4 3/4s, 2021 56,000 52,674 -- -- -- --
Ser. 04-B, Class A2, 3.79s, 2017 41,404 40,104 26,453 25,622 24,440 23,673
Park Place Securities, Inc.            
FRB Ser. 05-WCH1, Class M4, 3.313s, 2036 -- -- 97,000 27,160 88,000 24,640
FRB Ser. 04-MCW1, Class A2, 2.863s, 2034 12,388 11,543 -- -- -- --
FRB Ser. 04-WHQ2, Class A3A, 2.833s, 2035 4,545 4,045 36,705 32,668 35,604 31,687
Park Place Securities, Inc. 144A FRB Ser. 04-MHQ1,            
Class M10, 4.983s, 2034 -- -- 43,089 2,585 47,495 2,850
People's Financial Realty Mortgage Securities Trust            
FRB Ser. 06-1, Class 1A2, 2.613s, 2036 224,000 179,200 995,000 796,000 791,000 632,800
Permanent Financing PLC            
FRB Ser. 3, Class 3C, 3.846s, 2042 (United Kingdom) 110,000 108,972 280,000 277,383 270,000 267,476
FRB Ser. 4, Class 3C, 3.496s, 2042 (United Kingdom) 177,000 168,823 500,000 476,900 503,000 479,761
Pillar Funding PLC 144A            
FRB Ser. 04-1A, Class C1, 3.813s, 2011 (United Kingdom) 134,000 116,636 474,000 412,577 422,000 367,315
FRB Ser. 04-2A, Class C, 3.656s, 2011 (United Kingdom) -- -- 183,000 153,431 169,000 141,693
Popular ABS Mortgage Pass-Through Trust FRB Ser. 04-4,            
Class AV1, 2.823s, 2034 3,639 2,840 -- -- -- --
Renaissance Home Equity Loan Trust FRB Ser. 04-3,            

Class AV1, 2.903s, 2034 176,838 137,934 -- -- -- --
Residential Asset Mortgage Products, Inc.            
FRB Ser. 06-NC3, Class A2, 2.673s, 2036 175,753 151,622 814,613 702,769 647,648 558,728
FRB Ser. 06-RZ2, Class A2, 2.653s, 2036 289,000 261,950 -- -- -- --
FRB Ser. 07-RZ1, Class A2, 2.643s, 2037 207,000 152,166 840,000 617,486 667,000 490,313
Residential Asset Securities Corp. FRB Ser. 06-EMX3,            
Class A2, 2.663s, 2036 1,142,791 942,803 -- -- -- --
Residential Asset Securities Corp. 144A            
FRB Ser. 05-KS10, Class B, 5.233s, 2035 43,000 860 229,000 4,580 251,000 5,020
Ser. 04-NT, Class Note, 4 1/2s, 2034 (In default) (NON) 12,285 737 17,855 1,071 19,247 1,155
SAIL Net Interest Margin Notes 144A            
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands) (In            
default) (NON) 2,566 1 3,381 1 7,825 3
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands) (In            
default) (NON) -- -- 49,135 5 -- --
Saxon Asset Securities Trust FRB Ser. 04-3, Class A,            
2.823s, 2034 20,877 12,904 -- -- -- --
Securitized Asset Backed Receivables, LLC            
FRB Ser. 05-HE1, Class M2, 3.133s, 2035 -- -- 150,000 45,000 135,000 40,500
FRB Ser. 07-NC2, Class A2B, 2.623s, 2037 171,000 115,425 789,000 532,575 628,000 423,900
SG Mortgage Securities Trust            
FRB Ser. 06-OPT2, Class A3D, PO, 2.693s, 2036 234,000 110,097 1,061,000 499,201 832,000 391,456
FRB Ser. 06-FRE1, Class A2B, 2.663s, 2036 -- -- 506,000 354,200 402,000 281,400
Soundview Home Equity Loan Trust            
FRB Ser. 06-OPT3, Class 2A3, 2.653s, 2036 111,000 86,025 502,000 389,050 394,000 305,350
FRB Ser. 06-3, Class A3, 2.643s, 2036 587,000 464,190 2,527,000 1,998,309 2,009,000 1,588,683
Soundview Home Equity Loan Trust 144A FRB Ser.            
05-CTX1, Class B1, 4.983s, 2035 58,000 3,480 -- -- 134,000 8,040
Structured Asset Investment Loan Trust FRB Ser.            
06-BNC2, Class A6, 2.743s, 2036 111,000 53,738 503,000 243,514 394,000 190,744
Structured Asset Investment Loan Trust 144A FRB Ser.            
05-HE3, Class M11, 4.983s, 2035 -- -- -- -- 225,000 4,778
Structured Asset Receivables Trust 144A FRB Ser. 05-1,            
3.318s, 2015 -- -- 1,143,024 1,064,084 1,101,159 1,025,110
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,            
2038 -- -- 349,000 193,412 299,000 165,703
TIAA Real Estate CDO, Ltd. 144A            
FRB Ser. 02-1A, Class III, 7.6s, 2037 100,000 91,274 384,000 350,492 278,000 253,742
Ser. 02-1A, Class IIFX, 6.77s, 2037 200,000 189,690 -- -- -- --
Wells Fargo Home Equity Trust FRB Ser. 07-1, Class A3,            
2.803s, 2037 -- -- 222,000 110,093 174,000 86,289
WFS Financial Owner Trust Ser. 05-1, Class D, 4.09s,            
2012 10,715 10,637 -- -- 8,824 8,760
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,            
Class B3, 3.82s, 2044 (United Kingdom) -- -- 131,083 94,576 131,434 94,829
Total asset-backed securities (cost $31,901,239,
$82,236,420 and $67,168,499)   $28,447,387   $68,210,847   $54,703,471
 
SENIOR LOANS(a)(c) Growth 0.3% Balanced 0.8% Conservative 1.1%
     Principal    Principal    Principal
  amount Value amount Value amount Value
Basic Materials   0.1%   0.1%   0.2%
Aleris International, Inc. bank term loan FRN Ser. B,            
4.563s, 2013 $-- $-- $81,793 $70,649 $75,808 $65,479
Georgia-Pacific, LLC bank term loan FRN Ser. B,            
4.449s, 2013 -- -- 122,372 115,374 113,418 106,932
Graphic Packaging Corp. bank term loan FRN Ser. C,            
5.587s, 2014 203,975 196,538 442,775 426,632 383,075 369,109
Huntsman International, LLC bank term loan FRN Ser. B,            
4.233s, 2012 1,250,000 1,156,771 1,655,000 1,531,565 1,420,000 1,314,092
Momentive Performance Materials, Inc. bank term loan            
FRN 4 3/4s, 2013 -- -- 121,380 110,820 112,498 102,711
NewPage Holding Corp. bank term loan FRN 6.563s, 2014 -- -- 122,385 121,375 113,430 112,494
    1,353,309   2,376,415   2,070,817
 
Capital Goods   --%   0.1%   0.1%
Allied Waste Industries, Inc. bank term loan FRN            
6.82s, 2012 82,606 81,527 110,767 109,321 -- --
Allied Waste Industries, Inc. bank term loan FRN            
4.268s, 2012 137,394 135,600 184,233 181,828 -- --
Hawker Beechcraft Acquisition Co., LLC bank term loan            
FRN 2.1s, 2014 48,032 45,000 64,945 60,845 6,106 5,721
Hawker Beechcraft Acquisition Co., LLC bank term loan            
FRN Ser. B, 4.801s, 2014 950,650 890,640 1,267,814 1,187,783 104,515 97,918
Polypore, Inc. bank term loan FRN Ser. B, 4.74s, 2014 -- -- 122,382 117,181 113,427 108,606
Sequa Corp. bank term loan FRN 6.025s, 2014 -- -- 209,471 199,128 196,572 186,867
Transdigm, Inc. bank term loan FRN 4.801s, 2013 165,000 159,895 215,000 208,349 -- --
Wesco Aircraft Hardware Corp. bank term loan FRN            
5.06s, 2013 -- -- 123,000 119,079 114,000 110,366
    1,312,662   2,183,514   509,478
 
Communication Services   0.1%   0.2%   0.3%
Alltel Communications, Inc. bank term loan FRN Ser.            
B2, 5.564s, 2015 632,407 627,822 835,894 829,834 728,166 722,887
Alltel Communications, Inc. bank term loan FRN Ser.            
B3, 5.232s, 2015 657,000 652,237 870,000 863,693 757,000 751,512
Cricket Communications, Inc. bank term loan FRN Ser.            
B, 6 1/2s, 2013 -- -- 122,376 120,404 113,421 111,594
Crown Castle International Corp. bank term loan FRN            
4.301s, 2014 -- -- 61,688 58,668 56,713 53,936
Fairpoint Communications, Inc. bank term loan FRN Ser.            
B, 5 3/4s, 2015 290,000 258,980 640,000 571,543 555,000 495,635
Intelsat Corp. bank term loan FRN Ser. B2, 5.184s, 2011 -- -- 40,892 38,762 37,900 35,926
Intelsat Corp. bank term loan FRN Ser. B2-A, 5.184s,            
2013 -- -- 40,904 38,774 37,911 35,937
Intelsat Corp. bank term loan FRN Ser. B2-C, 5.184s,            
2013 -- -- 40,892 38,762 37,900 35,926
Intelsat, Ltd. bank term loan FRN 5.688s, 2014            
(Bermuda) 500,000 440,000 670,000 589,600 570,000 501,600
Level 3 Communications, Inc. bank term loan FRN            
4.893s, 2014 -- -- 123,000 113,437 114,000 105,137
MetroPCS Wireless, Inc. bank term loan FRN 4.989s, 2013 -- -- 122,377 116,813 113,423 108,266
PAETEC Holding Corp. bank term loan FRN Ser. B1,            
4.983s, 2013 -- -- 119,947 114,549 111,170 106,167
Time Warner Telecom, Inc. bank term loan FRN Ser. B,            
4.49s, 2013 -- -- 122,379 117,025 113,424 108,462
West Corp. bank term loan FRN 5.092s, 2013 -- -- 123,000 112,457 113,712 103,965
    1,979,039   3,724,321   3,276,950
 
Consumer Cyclicals   0.1%   0.1%   0.1%
Allison Transmission bank term loan FRN Ser. B,            
5.333s, 2014 -- -- 122,383 108,947 113,429 100,975
Aramark Corp. bank term loan FRN 4.83s, 2014 -- -- 7,347 6,927 6,810 6,421
Aramark Corp. bank term loan FRN Ser. B, 4.676s, 2014 -- -- 115,653 109,042 107,190 101,063
Dana Corp. bank term loan FRN 6 3/4s, 2015 -- -- 122,385 111,574 113,430 103,410
Dex Media West, LLC/Dex Media Finance Co. bank term            
loan FRN Ser. B, 6.814s, 2014 360,000 351,150 480,000 468,200 -- --
Goodman Global Holdings, Inc. bank term loan FRN Ser.            
B, 7.502s, 2011 -- -- 100,000 98,563 92,000 90,678
Goodyear Tire & Rubber Co. (The) bank term loan FRN            
4.54s, 2010 -- -- 123,000 111,238 114,000 103,099
Harrah's Operating Co., Inc. bank term loan FRN Ser.            
B2, 5.919s, 2015 -- -- 122,693 111,872 113,715 103,686
Lear Corp bank term loan FRN 5.133s, 2013 265,000 241,592 472,628 430,879 418,655 381,674
National Bedding Co. bank term loan FRN 4.605s, 2011 -- -- 52,866 42,293 48,876 39,101
Navistar Financial Corp. bank term loan FRN 5.754s,            
2012 -- -- 32,800 30,955 30,400 28,690
Navistar International Corp. bank term loan FRN            
6.234s, 2012 -- -- 90,200 85,126 83,600 78,898
Visteon Corp. bank term loan FRN Ser. B, 7.2s, 2013 1,005,000 805,571 1,330,000 1,066,079 -- --
Yankee Candle Co., Inc. bank term loan FRN 4.805s, 2014 -- -- 73,000 66,293 68,000 61,753
    1,398,313   2,847,988   1,199,448
 
Consumer Staples   --%   0.1%   0.2%
Affinion Group, Inc. bank term loan FRN Ser. B, 5.17s,            
2013 -- -- 123,000 118,490 114,000 109,820
Cablevision Systems Corp. bank term loan FRN 4.225s,            
2013 -- -- 122,374 116,065 113,420 107,572
Charter Communications Operating, LLC bank term loan            
FRN 8 1/2s, 2014 144,638 143,734 319,200 317,205 274,313 272,598
Charter Communications, Inc. bank term loan FRN 4.9s,            
2014 -- -- 122,693 107,495 113,715 99,630
Cinemark USA, Inc. bank term loan FRN 4.482s, 2013 -- -- 123,000 116,927 114,000 108,371
DirecTV Holdings, LLC bank term loan FRN 5 1/4s, 2013 285,000 282,934 375,000 372,281 330,000 327,608
Idearc, Inc. bank term loan FRN Ser. B, 4.787s, 2014 -- -- 122,689 97,811 113,712 90,654
Paxson Communications Corp. bank term loan FRN Ser. B,            
5.963s, 2012 -- -- 205,000 164,000 190,000 152,000
Pinnacle Foods Holding Corp. bank term loan FRN Ser.            
B, 5.37s, 2014 -- -- 122,382 113,785 113,427 105,459
Spectrum Brands, Inc. bank term loan FRN 2.309s, 2013 -- -- 7,849 7,420 7,274 6,877
Spectrum Brands, Inc. bank term loan FRN Ser. B1,            
6.633s, 2013 -- -- 114,838 108,904 106,435 100,936
Univision Communications, Inc. bank term loan FRN Ser.            
B, 5.124s, 2014 -- -- 123,000 100,829 114,000 93,452
VNU Group BV bank term loan FRN Ser. B, 4.734s, 2013            
(Netherlands) -- -- 122,689 114,210 113,712 105,853
    426,668   1,855,422   1,680,830
 
Financial   --%   --%   --%
General Growth Properties, Inc. bank term loan FRN            
Ser. A, 3.6s, 2010 (R) 90,000 80,419 120,000 107,225 100,000 89,354
 
Health Care   --%   --%   --%
Health Management Associates, Inc. bank term loan FRN            
4.551s, 2014 -- -- 116,882 108,467 108,330 100,530
IASIS Healthcare, LLC/IASIS Capital Corp. bank term            
loan FRN 7.62s, 2014 -- -- 7,863 7,437 7,288 6,893
IASIS Healthcare, LLC/IASIS Capital Corp. bank term            
loan FRN Ser. B, 4.483s, 2014 -- -- 85,219 80,603 78,983 74,705
IASIS Healthcare, LLC/IASIS Capital Corp. bank term            
loan FRN Ser. DD, 4.483s, 2014 -- -- 29,487 27,889 27,329 25,849
Sun Healthcare Group, Inc. bank term loan FRN 2.596s,            
2014 -- -- 20,507 19,071 19,006 17,676
Sun Healthcare Group, Inc. bank term loan FRN Ser. B,            
4.789s, 2014 -- -- 124,873 116,132 114,139 106,149
Sun Healthcare Group, Inc. bank term loan FRN Ser. DD,            
4.912s, 2014 -- -- 12,671 11,784 11,743 10,921
    --   371,383   342,723
 
Technology   --%   0.1%   --%
First Data Corp. bank term loan FRN Ser. B1, 5.261s,            
2014 -- -- 122,383 112,180 113,429 103,971

First Data Corp. bank term loan FRN Ser. B3, 5.552s,                
2014     705,000 647,131 815,000 748,102 -- --
Freescale Semiconductor, Inc. bank term loan FRN Ser.                
B, 4.209s, 2013     -- -- 80,591 72,753 74,621 67,364
SunGard Data Systems, Inc. bank term loan FRN 4.508s,                
2014     -- -- 122,689 115,987 113,712 107,501
Travelport bank term loan FRN Ser. B, 4.733s, 2013     -- -- 49,137 44,060 45,542 40,836
Travelport bank term loan FRN Ser. DD, 4.733s, 2013     -- -- 73,677 66,162 68,114 61,166
        647,131   1,159,244   380,838
 
Transportation       --%   0.1%   0.2%
Ceva Group PLC bank term loan FRN 7.38s, 2015                
(Netherlands)     1,375,000 990,000 3,025,000 2,178,000 2,620,000 1,886,400
 
Utilities & Power       --%   --%   --%
Energy Future Holdings Corp. bank term loan FRN Ser.                
B2, 6.235s, 2014     -- -- 122,692 113,456 113,714 105,154
NRG Energy, Inc. bank term loan FRN 4.346s, 2014     -- -- 38,851 36,936 36,008 34,233
NRG Energy, Inc. bank term loan FRN 4.301s, 2014     -- -- 79,314 75,404 73,511 69,886
        --   225,796   209,273
Total senior loans (cost $8,276,141,
$17,045,721 and $11,555,051)       $8,187,541   $17,029,308   $11,646,111
 
PURCHASED OPTIONS OUTSTANDING(a)     Growth 0.2% Balanced 1.2% Conservative 1.8%
  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 of 5.385% versus                
the three month USD-LIBOR-BBA maturing April 16, 2019. Apr-09/5.385   $5,940,000 $99,079 $32,873,000 $548,322 $20,822,000 $347,311
Option on an interest rate swap with Deutschbank for                
the right to receive a fixed rate of 5.385% versus                
the three month USD-LIBOR-BBA maturing April 16, 2019. Apr-09/5.385   5,940,000 328,838 32,873,000 1,819,849 20,822,000 1,152,706
Option on an interest rate swap with Goldman Sachs                
International for the right to pay a fixed rate                
of 5.355% versus the three month USD-LIBOR-BBA maturing                
on November 12, 2019. Nov-09/5.355   11,719,000 328,952 48,439,000 1,359,683 35,609,000 999,545
Option on an interest rate swap with Goldman Sachs                
International for the right to receive a fixed rate                
of 5.355% versus the three month USD-LIBOR-BBA maturing                
November 12, 2019. Nov-09/5.355   11,719,000 643,842 48,439,000 2,661,239 35,609,000 1,956,358
Option on an interest rate swap with Goldman Sachs                
International for the right to pay a fixed rate                
of 5.325% versus the three month USD-LIBOR-BBA maturing                
April 8, 2019. Apr-09/5.325   6,132,000 108,536 29,348,000 519,460 23,230,000 411,171
Option on an interest rate swap with Goldman Sachs                
International for the right to receive a fixed rate                
of 5.325% versus the three month USD-LIBOR-BBA maturing                
April 8, 2019. Apr-09/5.325   6,132,000 319,906 29,348,000 1,531,085 23,230,000 1,211,909
Option on an interest rate swap with JPMorgan Chase                
Bank, N.A. for the right to pay a fixed rate of 5.355%                
versus the three month USD-LIBOR-BBA maturing                
November 12, 2019. Nov-09/5.355   11,719,000 328,952 48,439,000 1,359,683 35,609,000 999,545
Option on an interest rate swap with JPMorgan Chase                
Bank, N.A. for the right to receive a fixed rate                
of 5.355% versus the three month USD-LIBOR-BBA maturing                
on November 12, 2019. Nov-09/5.355   11,719,000 643,842 48,439,000 2,661,239 35,609,000 1,956,358
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, 2019. Apr-09/5.315   6,132,000 110,131 29,348,000 527,090 23,230,000 417,211
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, 2019. Apr-09/5.315   6,132,000 316,718 29,348,000 1,515,824 23,230,000 1,199,830
Option on an interest rate swap with Lehman Brothers                
Special Financing, Inc. for the right to pay a fixed                
rate of 5.37% versus the three month USD-LIBOR-BBA                
maturing November 12, 2019. Nov-09/5.37   11,719,000 323,796 48,439,000 1,338,370 35,609,000 983,877
Option on an interest rate swap with Lehman Brothers                
Special Financing, Inc. for the right to receive                
a fixed rate of 5.37% versus the three month                
USD-LIBOR-BBA maturing November 12, 2019. Nov-09/5.37   11,719,000 651,928 48,439,000 2,694,662 35,609,000 1,980,929
Option on an interest rate swap with Lehman Brothers                
Special Financing, Inc. for the right to pay a fixed                
rate of 5.315% versus the three month USD-LIBOR-BBA                
maturing February 7, 2023. Feb-13/5.315   14,799,000 772,952 63,425,000 3,312,688 55,761,000 2,912,397
Option on an interest rate swap with Lehman Brothers                
Special Financing, Inc. for the right to receive                
a fixed rate of 5.315% versus the three month                
USD-LIBOR-BBA maturing February 7, 2023. Feb-13/5.315   14,799,000 827,412 63,425,000 3,546,092 55,761,000 3,117,598
Total purchased options outstanding  
(cost $5,221,578, $22,759,530 and $17,747,030)       $5,804,884   $25,395,286   $19,646,745
 
INVESTMENT COMPANIES(a)     Growth 0.1% Balanced 0.4% Conservative 0.1%
      Shares Value Shares Value Shares Value
Harris & Harris Group, Inc. (NON)     66,600 $399,600 54,600 $327,600 19,200 $115,200
iShares MSCI EAFE Index Fund     12,200 838,140 -- -- 12,100 831,270
iShares MSCI Taiwan Index Fund     40,900 577,917 -- -- -- --
iShares Russell 2000 Growth Index Fund     16,400 1,249,024 9,000 685,440 3,500 266,560
iShares Russell 2000 Value Index Fund     6,700 428,800 -- -- 4,600 294,400
S&P 500 Index Depository Receipts (SPDR Trust Series                
1) (SB)     -- -- 51,689 6,620,327 -- --
Total investment companies (cost $4,166,821, 
$7,176,608 and $1,730,652)       $3,493,481   $7,633,367   $1,507,430
 
WARRANTS(a)(NON)     Growth 0.1% Balanced --% Conservative 0.0%
Expiration Strike
  date Price Warrants Value Warrants Value Warrants Value
AboveNet, Inc. 9/08/10 $24.00 58 $1,972 -- $-- 29 $986
AboveNet, Inc. 9/08/08 20.00 49 1,961 -- -- 25 1,001
Air Arabia 144A (United Arab Emirates) 8/13/10 AED 0.00001 -- -- 839,395 418,187 442,167 220,288
Aldar Properties 144A (United Arab Emirates) 1/12/10 AED 0.000001 619,620 2,117,242 -- -- -- --
Dayton Superior Corp. 144A (F) 6/15/09 $0.01 630 2,111 -- -- 330 1,106
MSCI India Trust 144A 4/21/09 INR 0.000001 1,196 463,491 -- -- -- --
Total warrants (cost $2,288,642, 
$443,452 and $239,835)       $2,586,777   $418,187   $223,381
 
FOREIGN GOVERNMENT BONDS AND NOTES(a)     Growth 0.1% Balanced 0.3% Conservative 0.5%
Principal Principal Principal
      amount Value amount Value amount Value
Brazil (Federal Republic of) notes 10s, 2012   BRL 413,000 $2,379,633 552,500 $3,183,408 483,800 $2,787,571
Peru (Republic of) govt. guaranty sr. sec. bond                
12 1/4s, 2011     $-- -- $8,475,000 3,406,847 $7,270,000 2,922,452
 
Total foreign government bonds and notes
(cost $2,362,740, $7,159,930 and $6,126,286)       $2,379,633   $6,590,255   $5,710,023
 
CONVERTIBLE PREFERRED STOCKS(a)                 
(cost $644,723, $859,630 and $--)     Growth --% Balanced --% Conservative --%
      Shares Value Shares Value Shares Value
Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd.     684 $550,230 912 $733,640 -- $--
 
 
MUNICIPAL BONDS AND NOTES(a)     Growth --% Balanced --% Conservative 0.1%
  Rating     Principal    Principal    Principal  
  (RAT)   amount Value amount Value amount Value
MI Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A,                
7.309s, 6/1/34 Baa3   $-- $-- $215,000 $197,118 $225,000 $206,287
Tobacco Settlement Fin. Auth. of WVA Rev. Bonds, Ser.                
A, 7.467s, 6/1/47 Baa3   -- -- 650,000 580,671 510,000 455,603
Total municipal bonds and notes 
(cost $--, $864,977 and $734,976)       $--   $777,789   $661,890
 
SHORT-TERM INVESTMENTS(a)     Growth 16.7% Balanced 10.2% Conservative 13.8%
      Principal     Principal     Principal  
amount/ amount/ amount/
      shares Value shares Value shares Value
Atlantic Asset Securities Corp. for an effective yield                
of 2.63%, July 14, 2008     $45,000,000 $44,957,425 $-- $-- $-- $--
Atlantic Asset Securities Corp. for an effective yield                
of 2.70%, July 1, 2008     5,000,000 5,000,000 -- -- -- --
Egypt Treasury Bill for an effective yield of 10.58%,                
December 2, 2008 (Egypt)   EGP 1,750,000 314,504 -- -- -- --
Egypt Treasury Bill for an effective yield of 9.78%,                
September 2, 2008 (Egypt)   EGP 3,075,000 567,552 -- -- -- --
Gemini Securitization Corp., LLC for an effective                
yield of 2.82%, August 5, 2008     $38,383,001 38,278,513 -- -- -- --
Starbird Funding Corp. for an effective yield                
of 2.71%, July 10, 2008     27,000,001 26,981,775 -- -- -- --
Three Pillars Funding Corp. for an effective yield                
of 2.66%, July 7, 2008     25,000,000 24,988,917 -- -- -- --
Tulip Funding Corp. for an effective yield of 2.68%,                
July 14, 2008     25,000,000 24,975,896 -- -- -- --
Victory Receivables Corp. for an effective yield                
of 2.64%, July 10, 2008     30,000,000 29,980,275 12,000,000 11,992,110 -- --
Victory Receivables Corp. for an effective yield                
of 2.70%, July 2, 2008     -- -- 15,022,000 15,020,873 -- --
Working Capital Management Co., LP for an effective                
yield of 2.66%, July 14, 2008     -- -- 26,000,000 25,975,119 -- --
Interest in $150,000,000 joint tri-party repurchase                
agreement dated June 30, 2008 with Deutsche Bank                
Securities, Inc. due July 1, 2008 with respect to                
various U.S. Government obligations -- maturity value                
of $6,100,458 for an effective yield of 2.70%                
(collateralized by Fannie Mae and Freddie Mac                
securities with yields ranging from 5.00% to 5.50% and                
due dates ranging from December 1, 2037 to                
June 1, 2038 valued at $150,011,250)     6,100,000 6,100,000 -- -- -- --
Short-term investments held as collateral for loaned                
securities with yields ranging from 1.70% to 3.75% and                
due dates ranging from July 1, 2008 to August 19, 2008                

(d) 149,748,943 149,580,794 118,999,450 118,865,791 34,817,369 34,778,679
Putnam Prime Money Market Fund (e) 43,590,762 43,590,762 35,628,905 35,628,905 114,973,640 114,973,640
Total short-term investments (cost $395,316,413, 
$207,482,798 and $149,752,319)   $395,316,413   $207,482,798   $149,752,319
 
TOTAL INVESTMENTS            
Total investments (cost $2,842,396,208,
$3,552,609,767 and $2,010,586,418) (b)   $2,927,992,874   $3,596,946,658   $2,009,110,659

Putnam Asset Allocation: Growth Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 6/30/08 (aggregate face value $454,916,155) (Unaudited)

        Unrealized
    Aggregate Delivery appreciation/
  Value face value date (depreciation)
Australian Dollar $96,179,582 $92,054,699 7/16/08 $4,124,883
Brazilian Real 6,386,100 5,799,085 7/16/08 587,015
British Pound 82,480,457 81,076,877 9/17/08 1,403,580
Canadian Dollar 5,535,448 5,552,255 7/16/08 (16,807)
Czech Koruna 1,452,106 1,437,669 9/17/08 14,437
Danish Krone 1,000,020 980,429 9/17/08 19,591
Euro 42,084,462 41,629,814 9/17/08 454,648
Hungarian Forint 169,272 160,639 9/17/08 8,633
Japanese Yen 36,539,461 36,683,184 8/20/08 (143,723)
Malaysian Ringgit 1,295,314 1,309,454 1/8/09 (14,140)
Malaysian Ringgit 1,326,039 1,362,729 8/20/08 (36,690)
Mexican Peso 17,767,362 17,455,370 7/16/08 311,992
Norwegian Krone 117,219,588 116,476,300 9/17/08 743,288
Polish Zloty 1,368,617 1,326,922 9/17/08 41,695
South African Rand 2,775,542 2,732,520 7/16/08 43,022
Swedish Krona 1,704,577 1,698,538 9/17/08 6,039
Swiss Franc 44,381,515 43,769,522 9/17/08 611,993
Turkish Lira 3,465,056 3,410,149 9/17/08 54,907
Total       $8,214,363

Putnam Asset Allocation: Growth Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 6/30/08 (aggregate face value $640,369,037) (Unaudited)

        Unrealized
    Aggregate Delivery appreciation/
  Value face value date (depreciation)
Australian Dollar $20,380,692 $19,507,579 7/16/08 $(873,113)
British Pound 53,573,803 52,816,355 9/17/08 (757,448)
Canadian Dollar 97,578,684 97,824,580 7/16/08 245,896
Chilean Peso 1,171,869 1,292,979 7/17/08 121,110
Chinese Yuan 1,414,007 1,405,126 1/8/09 (8,881)
Euro 234,910,635 232,086,095 9/17/08 (2,824,540)
Hong Kong Dollar 4,864,454 4,870,880 8/20/08 6,426
Hungarian Forint 355,649 337,766 9/17/08 (17,883)
Japanese Yen 43,798,237 44,122,638 8/20/08 324,401
New Zealand Dollar 11,453,505 11,625,659 7/16/08 172,154
Norwegian Krone 16,168,618 16,099,320 9/17/08 (69,298)
Polish Zloty 1,255,830 1,225,504 9/17/08 (30,326)
Singapore Dollar 19,624,154 19,436,551 8/20/08 (187,603)
South African Rand 7,177,032 6,998,917 7/16/08 (178,115)
South Korean Won 6,901,122 6,910,714 8/20/08 9,592
Swedish Krona 75,333,041 75,154,837 9/17/08 (178,204)
Swiss Franc 42,299,290 41,390,356 9/17/08 (908,934)
Taiwan Dollar 6,267,022 6,208,463 8/20/08 (58,559)
Turkish Lira 1,080,687 1,054,718 9/17/08 (25,969)
Total       $(5,239,294)

Putnam Asset Allocation: Growth Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)

        Unrealized
  Number of   Expiration appreciation/
  contracts Value date (depreciation)
Amsterdam Exchange Index (Short) 56 $7,515,927 Jul-08 $574,764
Australian Government Treasury Bond 3 yr (Long) 522 126,019,267 Sep-08 396,306
Australian Government Treasury Bond 10 yr (Long) 699 470,131,830 Sep-08 1,479,488
Canadian Government Bond 10 yr (Long) 9 1,039,149 Sep-08 (6,320)
Canadian Government Bond 10 yr (Short) 28 3,232,907 Sep-08 19,141
Dow Jones Euro Stoxx 50 Index (Short) 2,098 111,679,939 Sep-08 7,015,300
Euro-Bobl 5 yr (Long) 20 3,331,858 Sep-08 (48,361)
Euro-Bund 10 yr (Long) 288 50,151,368 Sep-08 (288,357)
Euro-Bund 10 yr (Short) 442 76,968,418 Sep-08 1,356,125
Euro-CAC 40 Index (Short) 196 13,717,757 Jul-08 687,587
Euro-Dollar 90 day (Short) 33 7,958,775 Jun-09 64,923
Euro-Dollar 90 day (Short) 126 30,307,725 Sep-09 254,521
Euro-Dollar 90 day (Short) 125 29,979,688 Dec-09 267,423
Euro-Dollar 90 day (Short) 6 1,436,175 Mar-10 8,647
Euro-Schatz 2 yr (Long) 538 86,699,584 Sep-08 (479,383)
FTSE 100 Index (Long) 1,759 198,021,071 Sep-08 (6,022,411)
FTSE 100 Index (Short) 190 21,389,428 Sep-08 682,914
Hang Seng Index (Long) 809 114,757,660 Jul-08 (3,245,616)
IBEX 35 Index (Short) 9 1,694,372 Jul-08 115,661
Japanese Government Bond 10 yr (Long) 31 39,605,263 Sep-08 303,679
OMXS 30 Index (Short) 1,328 19,032,269 Jul-08 1,825,238
Russell 2000 Index Mini (Long) 81 5,602,770 Sep-08 (283,547)
Russell 2000 Index Mini (Short) 2,954 204,328,180 Sep-08 11,584,896
S&P 500 Index (Long) 14 4,483,850 Sep-08 (178,578)
S&P 500 Index E-Mini (Long) 7,921 507,340,050 Sep-08 (28,831,369)
S&P 500 Index E-Mini (Short) 703 45,027,150 Sep-08 1,998,629
S&P ASX 200 Index (Short) 262 32,605,964 Sep-08 1,135,338
S&P Mid Cap 400 Index E-Mini (Long) 798 65,531,760 Sep-08 (2,658,936)
S&P Mid Cap 400 Index E-Mini (Short) 577 47,383,240 Sep-08 1,920,256
S&P/MIB Index (Short) 49 11,450,499 Sep-08 466,872
S&P/Toronto Stock Exchange 60 Index (Short) 36 6,129,978 Sep-08 133,169
SGX MSCI Singapore Index (Short) 70 3,689,467 Jul-08 74,920
Sterling Interest Rate 90 day (Long) 49 11,448,380 Dec-08 (105,128)
Sterling Interest Rate 90 day (Long) 219 51,205,445 Jun-09 (615,300)
Sterling Interest Rate 90 day (Long) 211 49,340,184 Sep-09 (553,314)
Sterling Interest Rate 90 day (Long) 52 12,153,836 Mar-09 (138,224)
Tokyo Price Index (Short) 837 104,092,105 Sep-08 6,586,865
U.K. Gilt 10 yr (Long) 17 3,537,193 Sep-08 (68,155)
U.K. Gilt 10 yr (Short) 47 9,779,297 Sep-08 181,996
U.S. Treasury Bond 20 yr (Long) 1,328 153,508,500 Sep-08 2,708,007
U.S. Treasury Note 2 yr (Short) 5,204 1,099,101,063 Sep-08 (2,854,266)
U.S. Treasury Note 5 yr (Short) 390 43,116,328 Sep-08 136,079
U.S. Treasury Note 10 yr (Long) 1,321 150,490,797 Sep-08 1,094,337
U.S. Treasury Note 10 yr (Short) 569 64,821,547 Sep-08 39,961
Total       $(3,264,223)

Putnam Asset Allocation: Growth Portfolio

WRITTEN OPTIONS OUTSTANDING at 6/30/08 (premiums received $10,496,782) (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 4.735% versus the three month USD-LIBOR-BBA maturing on      
May 19, 2019. $71,807,000 May-09/4.735 $1,986,900
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 4.735% versus the three month USD-LIBOR-BBA maturing      
on May 19, 2019. 71,807,000 May-09/4.735 2,922,543
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on      
December 19, 2018. 12,511,000 Dec-08/5.00 427,251
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on      
December 19, 2018. 12,511,000 Dec-08/5.00 238,084
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.08% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 15,097,000 Feb-10/5.08 671,213
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.08% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 15,097,000 Feb-10/5.08 623,959
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.22% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 15,097,000 Feb-10/5.22 753,491
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.22% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 15,097,000 Feb-10/5.22 549,984
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-12/5.51 260,581
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-12/5.51 179,905
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 4.935% versus the three month USD-LIBOR-BB      
maturing March 2, 2019. 12,272,000 Feb-09/4.935 410,621
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 4.935% versus the three month      
USD-LIBOR-BBA maturing March 2, 2019. 12,272,000 Feb-09/4.935 330,117
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 5.35% versus the three month USD-LIBOR-BBA      
maturing on August 28, 2018. 1,400,000 Aug-08/5.35 72,884
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 5.35% versus the three month      
USD-LIBOR-BBA maturing August 28, 2018. 1,400,000 Aug-08/5.35 2,954
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 5.385% versus the three month USD-LIBOR-BBA      
maturing August 28, 2018. 3,501,000 Aug-08/5.385 191,050
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 5.385% versus the three month      
USD-LIBOR-BBA maturing on August 28, 2018. 3,501,000 Aug-08/5.385 6,407
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-12/5.515 130,866
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 89,706
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 52,425
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 35,743
Total     $9,936,684

Putnam Asset Allocation: Growth Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 6/30/08 (proceeds receivable $200,335,625) (Unaudited)

  Principal Settlement  
Agency amount date Value
FNMA, 6 1/2s, July 1, 2038 $1,000,000 7/14/08 $1,028,594
FNMA, 5 1/2s, July 1, 2038 169,000,000 7/14/08 166,517,818
FNMA, 5s, July 1, 2038 35,000,000 7/14/08 33,537,109
Total     $201,083,521

Putnam Asset Allocation: Growth Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)

      Upfront   Payments Payments Unrealized
Swap counterparty /   premium Termination made by received by appreciation/
Notional amount   received (paid) date fund per annum fund per annum (depreciation)
Bank of America, N.A.          
  $1,000,000   $-- 3/30/09 3.075% 3 month USD-LIBOR-BBA $(7,995)
  3,946,000   -- 5/23/10 3 month USD-LIBOR-BBA 3.155% (22,759)
  9,813,000   -- 6/6/18 4.6675% 3 month USD-LIBOR-BBA (9,576)
  2,500,000   -- 4/6/10 4.6375% 3 month USD-LIBOR-BBA (61,868)
  9,748,000   -- 9/24/09 3 month USD-LIBOR-BBA 4.7375% 294,278
  740,000   -- 6/17/15 4.555% 3 month USD-LIBOR-BBA (4,253)
  260,000   -- 6/23/15 4.466% 3 month USD-LIBOR-BBA (23)
  110,000   -- 6/23/15 4.45% 3 month USD-LIBOR-BBA 96
  130,000   -- 6/24/15 4.39% 3 month USD-LIBOR-BBA 592
  4,800,000   -- 10/21/15 4.943% 3 month USD-LIBOR-BBA (153,238)
  80,000   -- 5/31/16 5.58909% 3 month USD-LIBOR-BBA (5,788)
  786,000   -- 10/3/16 5.15630% 3 month USD-LIBOR-BBA (36,775)
  5,500,000   -- 9/1/15 3 month USD-LIBOR-BBA 4.53% 85,349
  3,543,000   -- 5/8/28 4.95% 3 month USD-LIBOR-BBA (20,802)
  1,091,000   -- 5/15/18 4.48% 3 month USD-LIBOR-BBA 13,985
Bear Stearns Bank PLC        
  5,500,000   -- 4/24/12 5.027% 3 month USD-LIBOR-BBA (202,401)
Citibank, N.A.        
  1,187,000   -- 4/3/18 4.18% 3 month USD-LIBOR-BBA 41,090
  230,000   -- 4/7/14 5.377% 3 month USD-LIBOR-BBA (13,350)
  4,920,000   -- 7/27/09 5.504% 3 month USD-LIBOR-BBA (210,597)
  1,361,000   -- 10/26/12 4.6275% 3 month USD-LIBOR-BBA (28,200)
  8,737,000   -- 11/9/09 4.387% 3 month USD-LIBOR-BBA (148,189)
  8,978,000   -- 11/9/17 5.0825% 3 month USD-LIBOR-BBA (330,533)
  2,986,000   -- 11/23/17 4.885% 3 month USD-LIBOR-BBA (62,194)
  290,000   -- 11/9/17 3 month USD-LIBOR-BBA 5.07641% 10,538
  8,357,000   -- 12/24/09 3 month USD-LIBOR-BBA 3.8675% 66,248
  1,572,000   -- 12/24/27 4.9425% 3 month USD-LIBOR-BBA (4,066)
Credit Suisse First Boston International        
  687,400   -- 7/9/14 4.945% 3 month USD-LIBOR-BBA (32,176)
  13,580,000   -- 10/7/14 3 month USD-LIBOR-BBA 4.624% 214,827
Credit Suisse International        
CHF 4,400,000   -- 3/13/18 6 month CHF-LIBOR-BBA 3.3175% (155,336)
CHF 19,430,000   -- 3/15/10 2.59% 6 month CHF-LIBOR-BBA 248,482
CHF 19,430,000   -- 3/15/10 2.6625% 6 month CHF-LIBOR-BBA 221,538
CHF 4,400,000   -- 3/14/18 6 month CHF-LIBOR-BBA 3.3% (161,676)
  $516,000   -- 8/29/12 5.04556% 3 month USD-LIBOR-BBA (25,379)
  269,000   -- 3/21/16 3 month USD-LIBOR-BBA 5.20497% 15,368
  985,000   -- 10/16/17 3 month USD-LIBOR-BBA 5.297% 54,399
  1,111,000   -- 9/28/16 5.10886% 3 month USD-LIBOR-BBA (56,005)
  18,500,000   -- 12/4/08 4.9485% 3 month USD-LIBOR-BBA (193,773)
Deutsche Bank AG        
  317,679   -- 8/2/32 5.86% 3 month USD-LIBOR-BBA (46,559)
  283,084   -- 8/2/22 3 month USD-LIBOR-BBA 5.7756% 32,856
EUR 12,410,000 (E) -- 4/26/38 6 month EUR-EURIBOR-Reuters 5.065% 256,228
EUR 56,920,000 (E) -- 4/30/12 6 month EUR-EURIBOR-Reuters 4.31% (1,206,599)
EUR 48,650,000 (E) -- 4/30/15 4.475% 6 month EUR-EURIBOR-Reuters 1,414,385
EUR 13,620,000 (E) -- 4/30/20 6 month EUR-EURIBOR-Reuters 4.7975% (330,761)
GBP 16,294,000   -- 6/26/10 6 month GBP-LIBOR-BBA 6.18% (31,775)
  $2,160,000   -- 10/16/17 3 month USD-LIBOR-BBA 5.297% 119,290
  1,470,000   -- 11/7/17 3 month USD-LIBOR-BBA 5.056% 51,144
Goldman Sachs Capital Markets, L.P.        
  639,659   -- 8/1/32 5.919% 3 month USD-LIBOR-BBA (99,470)
  570,000   -- 8/1/22 3 month USD-LIBOR-BBA 5.845% 70,587
  317,679   -- 8/12/32 5.689% 3 month USD-LIBOR-BBA (38,622)
  283,084   -- 8/12/22 3 month USD-LIBOR-BBA 5.601% 27,545
Goldman Sachs International        
  2,675,000   -- 3/11/38 5.029% 3 month USD-LIBOR-BBA (60,431)
EUR 22,370,000   -- 3/26/10 6 month EUR-EURIBOR-Reuters 4.129% (731,899)
  $3,713,000   -- 3/27/18 4.125% 3 month USD-LIBOR-BBA 118,486
  4,135,000   -- 3/27/13 3 month USD-LIBOR-BBA 3.4625% (99,658)
  1,425,000   -- 3/29/38 4.665% 3 month USD-LIBOR-BBA 51,800
GBP 18,640,000   -- 3/29/10 6 month GBP-LIBOR-BBA 5.25% (653,189)
GBP 4,510,000   -- 3/27/18 5.0675% 6 month GBP-LIBOR-BBA 418,508
  $595,000   -- 4/2/18 4.076% 3 month USD-LIBOR-BBA 25,605
  16,446,000   -- 4/3/18 3 month USD-LIBOR-BBA 4.19% (555,917)
CHF 29,720,000   -- 4/5/10 2.89% 6 month CHF-LIBOR-BBA 255,973
CHF 6,780,000   -- 4/3/18 6 month CHF-LIBOR-BBA 3.42% (188,572)
  $2,594,000   -- 4/23/18 4.43% 3 month USD-LIBOR-BBA 41,122
GBP 27,260,000   -- 4/21/10 6 month GBP-LIBOR-BBA 5.34125% (830,688)
GBP 6,610,000   -- 4/23/18 5.2% 6 month GBP-LIBOR-BBA 463,759
  $7,739,000   -- 5/19/18 4.525% 3 month USD-LIBOR-BBA 74,048
  68,619,000   -- 5/30/28 5.014% 3 month USD-LIBOR-BBA (893,598)
  5,908,000   -- 4/11/12 3.1825% 3 month USD-LIBOR-BBA 180,005
JPY 4,795,130,000   -- 5/7/10 6 month JPY-LIBOR-BBA 1.09125% (62,770)
JPY 1,054,930,000 (E) -- 5/7/18 2.205% 6 month JPY-LIBOR-BBA 18,707
  $1,243,000   -- 9/29/08 5.085% 3 month USD-LIBOR-BBA (22,555)
  414,000   -- 9/29/16 3 month USD-LIBOR-BBA 5.1275% 21,269
  795,000   -- 10/19/16 5.32413% 3 month USD-LIBOR-BBA (45,224)

  21,860,000 -- 6/12/17 3 month USD-LIBOR-BBA 5.7175% 1,803,822
  7,200,000 -- 7/25/09 5.327% 3 month USD-LIBOR-BBA (290,730)
  8,290,000 -- 11/20/08 5.16% 3 month USD-LIBOR-BBA (94,501)
  1,865,000 -- 11/20/26 3 month USD-LIBOR-BBA 5.261% 84,778
  8,287,000 -- 11/21/08 5.0925% 3 month USD-LIBOR-BBA (92,016)
  1,835,000 -- 11/21/26 3 month USD-LIBOR-BBA 5.2075% 71,284
  1,846,000 -- 12/20/16 3 month USD-LIBOR-BBA 5.074% 64,894
  1,700,000 -- 1/8/12 3 month USD-LIBOR-BBA 4.98% 82,599
  720,000 -- 11/9/17 3 month USD-LIBOR-BBA 5.071% 25,862
  690,000 -- 4/7/14 5.33842% 3 month USD-LIBOR-BBA (38,583)
  285,000 -- 5/3/16 5.565% 3 month USD-LIBOR-BBA (20,560)
  1,999,000 -- 9/14/14 4.906% 3 month USD-LIBOR-BBA (80,689)
  975,000 -- 9/14/17 5.0625% 3 month USD-LIBOR-BBA (44,967)
  8,931,300 -- 9/19/09 3 month USD-LIBOR-BBA 4.763% 275,610
  14,259,300 -- 9/21/09 3 month USD-LIBOR-BBA 4.60% 399,605
  3,968,000 -- 9/21/17 5.149% 3 month USD-LIBOR-BBA (205,496)
  800,000 -- 11/9/17 3 month USD-LIBOR-BBA 5.08% 29,298
JPMorgan Chase Bank, N.A.        
  1,597,000 -- 2/15/18 3 month USD-LIBOR-BBA 5.34% 111,359
  601,000 -- 2/19/18 3 month USD-LIBOR-BBA 4.585% 4,660
  3,600,000 -- 4/23/17 5.186% 3 month USD-LIBOR-BBA (166,317)
  4,353,000 -- 8/15/11 5.412% 3 month USD-LIBOR-BBA (262,191)
  37,233,000 -- 3/5/18 4.325% 3 month USD-LIBOR-BBA 520,925
  7,633,000 -- 3/7/18 4.45% 3 month USD-LIBOR-BBA 29,343
  6,495,000 -- 3/12/18 3 month USD-LIBOR-BBA 4.4525% (27,499)
  1,671,000 -- 3/11/38 5.0025% 3 month USD-LIBOR-BBA (30,714)
  13,753,000 -- 3/11/38 5.03% 3 month USD-LIBOR-BBA (312,802)
  78,169,000 -- 3/15/10 3 month USD-LIBOR-BBA 2.5% (701,662)
  10,478,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.145% (400,394)
  16,151,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.13% (628,354)
  45,327,000 -- 3/25/10 3 month USD-LIBOR-BBA 2.325% (585,960)
  8,543,000 -- 3/26/10 3 month USD-LIBOR-BBA 2.33375% (109,365)
  7,000,000 -- 1/17/16 4.946% 3 month USD-LIBOR-BBA (311,525)
  739,000 -- 9/18/16 5.291% 3 month USD-LIBOR-BBA (47,157)
  7,675,000 -- 4/8/13 3 month USD-LIBOR-BBA 3.58406% (199,835)
  5,417,000 -- 5/7/13 3.9325% 3 month USD-LIBOR-BBA 64,263
  1,457,000 -- 9/28/08 5.096% 3 month USD-LIBOR-BBA (26,935)
  601,000 -- 5/16/18 4.53% 3 month USD-LIBOR-BBA 5,381
  6,577,000 -- 5/23/10 3 month USD-LIBOR-BBA 3.16% (37,241)
  26,000,000 --  6/13/13 4.47% 3 month USD-LIBOR-BBA (270,165)
  7,300,000 -- 6/27/17 3 month USD-LIBOR-BBA 5.712% 591,247
  3,430,000 -- 7/5/17 3 month USD-LIBOR-BBA 4.55% 35,678
  1,930,000 -- 10/10/13 5.054% 3 month USD-LIBOR-BBA (78,433)
  2,690,000 -- 10/10/13 5.09% 3 month USD-LIBOR-BBA (114,621)
  3,870,000 -- 11/6/16 3 month USD-LIBOR-BBA 5.12% 159,873
  2,000,000 -- 6/27/18 3 month USD-LIBOR-BBA 4.8305% 24,849
  2,763,000 -- 11/14/11 5.0235% 3 month USD-LIBOR-BBA (97,665)
  8,269,000 -- 11/20/08 5.165% 3 month USD-LIBOR-BBA (95,244)
  1,859,000 -- 11/20/26 3 month USD-LIBOR-BBA 5.266% 85,650
  1,200,000 -- 7/25/17 3 month USD-LIBOR-BBA 5.652% 114,501
  2,841,000 -- 12/19/16 5.0595% 3 month USD-LIBOR-BBA (97,077)
  810,000 -- 1/26/17 5.287% 3 month USD-LIBOR-BBA (53,956)
  644,000 -- 1/31/17 3 month USD-LIBOR-BBA 5.415% 49,356
  685,000 -- 2/23/17 5.211% 3 month USD-LIBOR-BBA (40,717)
  5,150,000 -- 3/8/17 3 month USD-LIBOR-BBA 5.28% 328,695
  486,000 -- 9/28/16 3 month USD-LIBOR-BBA 5.1223% 24,924
  700,000 -- 8/7/12 3 month USD-LIBOR-BBA 5.194% 39,336
  640,000 -- 6/16/15 4.538% 3 month USD-LIBOR-BBA (3,119)
  160,000 -- 6/24/15 4.387% 3 month USD-LIBOR-BBA 757
  2,210,000 -- 6/29/15 3 month USD-LIBOR-BBA 4.296% (23,025)
  466,000 -- 8/2/15 3 month USD-LIBOR-BBA 4.6570% 11,634
  19,800,000 -- 8/13/12 3 month USD-LIBOR-BBA 5.2% 1,114,913
  10,099,000 -- 8/24/09 3 month USD-LIBOR-BBA 4.9125% 345,173
  4,139,000 -- 8/29/17 5.2925% 3 month USD-LIBOR-BBA (270,201)
  1,175,000 -- 8/29/17 5.263% 3 month USD-LIBOR-BBA (74,203)
  14,259,300 -- 9/21/09 3 month USD-LIBOR-BBA 4.6125% 402,219
  3,968,000 -- 9/21/17 5.15% 3 month USD-LIBOR-BBA (205,784)
  1,507,000 -- 9/27/17 5.2335% 3 month USD-LIBOR-BBA (87,984)
  1,413,000 -- 10/30/12 4.68375% 3 month USD-LIBOR-BBA (32,574)
  930,000 -- 11/7/17 3 month USD-LIBOR-BBA 5.05771% 32,480
  8,737,000 -- 11/9/09 4.3975% 3 month USD-LIBOR-BBA (149,545)
  8,978,000 -- 11/9/17 5.0895% 3 month USD-LIBOR-BBA (335,381)
  9,779,000 -- 12/11/17 3 month USD-LIBOR-BBA 4.65% 14,278
  1,572,000 -- 12/24/27 4.9675% 3 month USD-LIBOR-BBA (9,025)
  2,700,000 -- 8/4/08 3 month USD-LIBOR-BBA 5.40% 54,159
  1,200,000 -- 8/4/16 3 month USD-LIBOR-BBA 5.5195% 100,232
  17,000,000 -- 8/25/10 4.4725% 3 month USD-LIBOR-BBA (525,281)
  13,000,000 -- 9/2/15 3 month USD-LIBOR-BBA 4.4505% 134,775
  4,400,000 -- 10/21/15 4.916% 3 month USD-LIBOR-BBA (132,847)
  11,006,000 -- 1/18/18 4.27625% 3 month USD-LIBOR-BBA 170,675
  1,071,000 -- 1/24/18 4.135% 3 month USD-LIBOR-BBA 29,883

  1,428,000   -- 1/24/18 4.175% 3 month USD-LIBOR-BBA 35,169
  1,428,000   -- 1/24/18 4.1625% 3 month USD-LIBOR-BBA 36,632
  21,814,000   -- 1/31/18 3 month USD-LIBOR-BBA 4.25% (408,729)
  63,800,000   -- 2/4/10 3 month USD-LIBOR-BBA 2.835% (87,088)
  9,900,000   -- 2/4/18 3 month USD-LIBOR-BBA 4.2625% (175,389)
  13,065,000   -- 2/5/18 3 month USD-LIBOR-BBA 4.28% (214,311)
  7,234,000   -- 4/11/17 5.1975% 3 month USD-LIBOR-BBA (350,052)
  600,000   -- 4/17/09 5.12% 3 month USD-LIBOR-BBA (12,628)
  200,000   -- 4/17/17 3 month USD-LIBOR-BBA 5.266% 10,617
Lehman Brothers Special Financing, Inc.      
  1,834,000   (11,031) 2/26/18 3 month USD-LIBOR-BBA 4.65% 12,811
  8,557,000   51,467 2/26/18 4.65% 3 month USD-LIBOR-BBA (59,775)
  3,232,000   -- 3/7/18 4.34% 3 month USD-LIBOR-BBA 41,345
  633,000   (438) 3/14/18 3 month USD-LIBOR-BBA 4.35% (8,451)
  1,840,000   -- 3/19/13 3 month USD-LIBOR-BBA 3.0675% (76,774)
  14,696,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.13666% (567,210)
  8,076,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.215% (282,874)
  53,910,000   -- 3/26/10 3 month USD-LIBOR-BBA 2.3525% (670,759)
  53,910,000   -- 3/26/10 3 month USD-LIBOR-BBA 2.395% (626,437)
  4,315,000 (E) -- 3/26/38 5.05% 3 month USD-LIBOR-BBA 80,000
  10,478,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.07% (436,233)
  8,630,000 (E) -- 3/22/38 5.29% 3 month USD-LIBOR-BBA (259)
  8,659,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.06% (364,469)
EUR 5,750,000 (E) -- 3/22/38 6 month EUR-EURIBOR-Reuters 4.864% (23,907)
  $29,100,000   -- 3/25/13 3 month USD-LIBOR-BBA 3.2292% (1,007,331)
  9,900,000   -- 3/25/38 4.583% 3 month USD-LIBOR-BBA 487,932
GBP 14,910,000   -- 3/22/10 6 month GBP-LIBOR-BBA 5.075% (619,412)
GBP 4,210,000   -- 3/20/18 4.99% 6 month GBP-LIBOR-BBA 441,387
EUR 3,770,000 (E) -- 3/29/38 6 month EUR-EURIBOR-Reuters 4.9625% 30,577
  $4,551,000   -- 4/3/18 4.087% 3 month USD-LIBOR-BBA 191,890
EUR 57,170,000 (E) -- 4/12/12 6 month EUR-EURIBOR-Reuters 4.10% (1,546,836)
EUR 48,650,000 (E) -- 4/13/15 4.31% 6 month EUR-EURIBOR-Reuters 1,927,731
EUR 13,580,000 (E) -- 4/13/20 6 month EUR-EURIBOR-Reuters 4.6575% (542,164)
  $455,613,000   -- 5/30/10 3 month USD-LIBOR-BBA 3.4275% (343,325)
  81,400,000   -- 4/8/13 3.435% 3 month USD-LIBOR-BBA 2,672,735
  119,100,000   -- 4/8/13 3 month USD-LIBOR-BBA 3.435% (3,910,599)
  6,999,000   -- 4/16/18 3 month USD-LIBOR-BBA 4.405% (120,393)
  2,297,000   -- 4/19/38 4.8425% 3 month USD-LIBOR-BBA 37,428
  2,135,000   -- 4/21/38 4.945% 3 month USD-LIBOR-BBA 1,135
  141,000   -- 4/26/38 3 month USD-LIBOR-BBA 4.77% (4,035)
  18,615,000 (E) -- 4/26/38 5.3325% 3 month USD-LIBOR-BBA (63,849)
  8,900,000   -- 5/29/12 5.28% 3 month USD-LIBOR-BBA (400,405)
  14,799,000   -- 5/18/18 4.2375% 3 month USD-LIBOR-BBA 476,346
  14,100,000   -- 5/9/13 3 month USD-LIBOR-BBA 3.875% (204,145)
EUR 17,444,000 (E) -- 6/3/18 6 month EUR-EURIBOR-Reuters 4.912% (28,571)
  $25,885,000 (E) -- 6/3/18 5.28% 3 month USD-LIBOR-BBA (68,854)
  3,000,000 (F) -- 6/30/13 3 month USD-LIBOR-BBA 4.362% 14,134
  57,280,000 (E) -- 7/2/18 5.19% 3 month USD-LIBOR-BBA --
EUR 39,370,000 (E) -- 7/2/18 6 month EUR-EURIBOR-Reuters 4.9425% --
  $248,932,000   -- 6/3/10 3 month USD-LIBOR-BBA 3.41% (344,201)
  38,235,000   -- 6/3/38 5.0975% 3 month USD-LIBOR-BBA (812,868)
  58,000,000   -- 6/9/13 4.2075% 3 month USD-LIBOR-BBA 55,368
  7,553,000   -- 6/10/38 5.1275% 3 month USD-LIBOR-BBA (192,591)
EUR 9,150,000 (E) -- 6/11/38 4.52% 6 month EUR-EURIBOR-Reuters 404,930
  $13,740,000 (E) -- 6/11/38 3 month USD-LIBOR-BBA 5.54% 266,831
EUR 15,655,000 (E) -- 6/12/38 4.7625% 6 month EUR-EURIBOR-Reuters 236,689
  $23,480,000 (E) -- 6/12/38 3 month USD-LIBOR-BBA 5.4175% 235,974
EUR 17,444,000 (E) -- 6/12/18 4.7225% 6 month EUR-EURIBOR-Reuters 206,594
  $25,885,000 (E) -- 6/12/18 3 month USD-LIBOR-BBA 5.1575% (45,299)
  1,190,000   -- 8/24/12 5.085% 3 month USD-LIBOR-BBA (60,800)
  3,494,125   -- 8/29/09 5.005% 3 month USD-LIBOR-BBA (123,054)
  3,942,000   -- 8/29/09 5.001% 3 month USD-LIBOR-BBA (139,010)
  976,000   -- 8/29/17 5.29125% 3 month USD-LIBOR-BBA (63,887)
  985,708   -- 8/29/12 5.075% 3 month USD-LIBOR-BBA (49,872)
  116,000,000   -- 6/24/13 3 month USD-LIBOR-BBA 4.41375% 839,077
  1,000,000   -- 6/26/13 3 month USD-LIBOR-BBA 4.465% 9,420
  217,271   -- 8/29/17 3 month USD-LIBOR-BBA 5.32% 14,690
  7,039,000   -- 8/3/08 3 month USD-LIBOR-BBA 5.425% 142,053
  16,076,000   -- 8/3/11 5.445% 3 month USD-LIBOR-BBA (994,662)
  13,949,000   -- 8/3/16 5.5675% 3 month USD-LIBOR-BBA (1,212,763)
  7,140,000   -- 9/8/16 5.3275% 3 month USD-LIBOR-BBA (480,098)
  1,530,000   -- 9/29/13 5.0555% 3 month USD-LIBOR-BBA (73,947)
  2,400,000   -- 10/23/08 3 month USD-LIBOR-BBA 5.26% 27,957
  965,000   -- 10/23/16 3 month USD-LIBOR-BBA 5.3275% 54,741
  2,400,000   -- 10/23/08 5.255% 3 month USD-LIBOR-BBA (27,887)
  965,000   -- 10/23/16 5.325% 3 month USD-LIBOR-BBA (54,572)
  21,370,000   -- 11/29/08 3 month USD-LIBOR-BBA 5.045% 233,044
  7,670,000   -- 11/29/16 3 month USD-LIBOR-BBA 5.02% 254,400
  1,900,000   -- 11/29/26 3 month USD-LIBOR-BBA 5.135% 56,393
  14,433,000   -- 3/15/09 4.9298% 3 month USD-LIBOR-BBA (381,534)

  7,900,000   -- 3/16/09 4.9275% 3 month USD-LIBOR-BBA (208,625)
  2,426,000   -- 9/11/17 5.0525% 3 month USD-LIBOR-BBA (110,657)
  5,954,200   -- 9/19/09 3 month USD-LIBOR-BBA 4.755% 183,010
  14,259,300   -- 9/24/09 3 month USD-LIBOR-BBA 4.695% 421,579
  3,968,000   -- 9/24/17 5.285% 3 month USD-LIBOR-BBA (247,875)
  1,361,000   -- 10/26/12 4.61375% 3 month USD-LIBOR-BBA (27,419)
  510,000   -- 11/7/17 3 month USD-LIBOR-BBA 5.05521% 17,713
  8,737,000   -- 11/9/09 4.403% 3 month USD-LIBOR-BBA (150,226)
  8,978,000   -- 11/9/17 5.067% 3 month USD-LIBOR-BBA (319,737)
  320,000   -- 11/9/17 3 month USD-LIBOR-BBA 5.0385% 10,689
  1,370,000   -- 11/9/17 3 month USD-LIBOR-BBA 5.068% 48,889
  52,579,000   -- 12/11/17 4.839% 3 month USD-LIBOR-BBA (841,958)
  8,357,000   -- 12/24/09 3 month USD-LIBOR-BBA 3.84625% 63,622
  10,390,000   -- 11/15/08 5.1125% 3 month USD-LIBOR-BBA (118,856)
  2,300,000   -- 11/15/26 3 month USD-LIBOR-BBA 5.246% 102,304
  24,744,000   -- 2/8/10 2.728% 3 month USD-LIBOR-BBA 91,304
  17,907,000   -- 2/7/18 4.217% 3 month USD-LIBOR-BBA 388,831
  6,008,000   -- 2/21/18 4.599% 3 month USD-LIBOR-BBA (53,220)
  5,700,000   -- 2/4/38 3 month USD-LIBOR-BBA 4.806% (62,796)
EUR 2,875,000 (E) -- 3/26/38 6 month EUR-EURIBOR-Reuters 4.74% (54,968)
  $53,910,000   -- 3/26/10 3 month USD-LIBOR-BBA 2.325% (699,470)
EUR 22,370,000   -- 3/29/10 6 month EUR-EURIBOR-Reuters 4.25% (666,224)
  $5,660,000 (E) -- 3/29/38 5.31% 3 month USD-LIBOR-BBA (9,226)
Merrill Lynch Capital Services, Inc.    
  7,200,000   -- 3/2/11 5.815% 3 month USD-LIBOR-BBA (488,879)
  1,361,000   -- 10/26/12 4.6165% 3 month USD-LIBOR-BBA (27,575)
  308,000   -- 5/7/38 4.8775% 3 month USD-LIBOR-BBA 3,710
  42,391,000   -- 5/19/10 3.2925% 3 month USD-LIBOR-BBA 132,945
  1,660,000   -- 11/6/17 5.00693% 3 month USD-LIBOR-BBA (51,490)
Morgan Stanley Capital Services, Inc.      
GBP 7,000,000   -- 3/28/18 5.065% 6 month GBP-LIBOR-BBA 652,072
GBP 29,000,000   -- 3/29/10 6 month GBP-LIBOR-BBA 5.21% (1,059,063)
  $413,000   -- 8/29/17 5.26021% 3 month USD-LIBOR-BBA (25,991)
  1,452,000   -- 2/20/17 5.192% 3 month USD-LIBOR-BBA (84,739)
Total           $(14,849,107)

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

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

Putnam Asset Allocation: Growth Portfolio

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/08 (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.        
  $2,160,000 (2)(F) 7/2/08 (Banc of America The spread $166,609
        Securities AAA return of Banc  
        10 yr Index of America  
        multiplied by Securities -  
        the modified CMBS AAA 10 year  
        duration factor Index  
        minus 150 bp)    
 
  530,000 (1)(F) 11/1/08 Banc of America The spread (4,437)
        Securities AAA return of Banc  
        10 year Index of America  
        multiplied by Securities -  
        the modified CMBS AAA 10 year  
        duration factor Index  
        minus 20 bp    
 
Citibank, N.A.        
  16,778,631   9/4/08 1 month USD- Russell 2000 1,311,096
        LIBOR-BBA minus Total Return  
        0.95% Index  
 
  41,741,868   1/15/09 3 month USD- Russell 2000 (70,347)
        LIBOR-BBA minus Total Return  
        110 bp Index  
 
Goldman Sachs International        
EUR 18,424,000 (F) 3/26/09 (2.27%) Eurostat 229,251
          Eurozone HICP  
          excluding tobacco  
 
EUR 14,750,000   4/30/13 2.375% French Consumer (510,126)
          Price Index  
          excluding tobacco  
 
EUR 14,750,000 (F) 4/30/13 (2.41%) Eurostat 701,539
          Eurozone HICP  
          excluding tobacco  
 
EUR 14,750,000   5/6/13 2.34% French Consumer (536,616)
          Price Index  
          excluding tobacco  
 
EUR 14,750,000   5/6/13 (2.385%) Eurostat 595,620
          Eurozone HICP  
          excluding tobacco  
 
GBP 8,850,000   5/9/13 3.10% GBP Non-revised (593,402)
          Retail Price  
          Index  
 
  $2,670,000 (2)(F) 7/2/08 (Banc of America The spread 110,522
        Securities AAA return of Banc  
        10 year Index of America  
        multiplied by Securities -  
        the modified CMBS AAA 10 year  
        duration factor Index  
        minus 125 bp)    
 
  4,230,000 (1)(F) 11/2/08 20 bp plus The spread (112,188)
        change in spread return of Banc  
        of Banc of America  
        of America Securities -  
        Securities AAA CMBS AAA 10 year  
        10 year Index Index  
        multiplied by    
        the modified    
        duration factor    
 
JPMorgan Chase Bank, N.A.        
  29,266,767   4/15/09 (3 month USD- A basket (6,486,932)
        LIBOR-BBA plus of common stocks  
        25 bp)    
 
  29,330,518   4/15/09 (3 month USD- A basket 7,930,569
        LIBOR-BBA minus of common stocks  
        40 bp)    
 
  1,431,150 (1)(F) 8/1/08 Change in spread The spread (147,207)
        of Lehman return of Lehman  
        Brothers AAA Brothers AAA  
        8.5+ Commercial 8.5+ CMBS Index  
        Mortgage Backed adjusted by  
        Securities Index modified  
        minus 17.5 bp duration factor  
 
  82,408,625   9/24/08 3 month USD- Russell 2000 4,061,811
        LIBOR-BBA Total Return  
          Index  
 
  38,013,356   11/26/08 3 month USD- Standard & Poors 1,963,246
        LIBOR-BBA minus US 600 Smallcap  
        50 bp total return  
          index  
 
Lehman Brothers Special Financing, Inc.        
  2,427,000 (2)(F) 8/1/08 (Beginning The spread (143,717)
        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  
 
  2,123,000 (2) 9/1/08 (Beginning The spread (118,814)
        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  
 
  520,000 (1) 7/1/08 Lehman Brothers The spread (10,701)

        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 8.5+ Index  
        duration factor    
        minus 75 bp    
 
  530,000 (1) 11/1/08 Lehman Brothers The spread (6,846)
        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 8.5+ Index  
        duration factor    
        minus 40 bp    
 
  9,212,000   7/2/10 (3.4075%) USA Non Revised --
          Consumer Price  
          Index- Urban  
          (CPI-U)  
 
  7,900,000 (1)(F) 9/1/08 66.7 bp plus The spread (777,360)
        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    
 
  4,900,000 (2)(F) 7/2/08 (Beginning The spread 468,606
        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  
        minus 230 bp)    
 
  2,532,000 (2) 7/1/08 (Beginning The spread (112,705)
        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  
        minus 100 bp)    
 
  1,722,000 (1)(F) 8/1/08 Lehman Brothers The spread (16,627)
        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 8.5+ Index  
        duration factor    
        plus 40 bp    
 
  1,722,000 (1)(F) 8/1/08 Lehman Brothers The spread (15,767)
        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 8.5+ Index  
        duration factor    
        plus 50 bp    
 
  1,533,000 (2)(F) 8/1/08 (Lehman Brothers The spread 14,803
        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 20 year Index  
        duration factor    
        plus 40 bp)    
 
  4,313,000 (1)(F) 8/1/08 Lehman Brothers The spread (55,664)
        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 8.5+ Index  
        duration factor    
        minus 25 bp    
 
Merrill Lynch Capital Services    
  21,070,880   10/28/08 3 month USD- Russell 2000 561,683
        LIBOR-BBA minus Total Return  
        105 bp Index  
 
Morgan Stanley Capital Services, Inc.      
  4,379,000 (1)(F) 8/1/08 Beginning The spread (46,142)
        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  
 
  2,014,427   2/3/09 (3 month USD- MSCI 10 year (582,218)
        LIBOR-BBA minus Total Return Net  
        4.40%) Emerging Markets  
          India USD Index  
 
UBS AG        
  869,401   2/11/09 (3 month USD- MSCI 10 year (239,178)
        LIBOR-BBA minus Total Return Net  
        4.30%) Emerging Markets  
          India USD Index  
 
Total           $7,528,361

(E) See Total return swap contracts note regarding extended effective dates.

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

(1) Fund receives the net fixed and total return payment if positive and pays the net fixed and total return payment if negative.

(2) Fund pays the net fixed and total return payment if positive and receives the net fixed and total return payment if negative.

Putnam Asset Allocation: Growth Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/08 (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.            
Abitibibowater, Inc.,            
6 1/2%, 6/15/13 $-- $75,000   12/20/08 550 bp $(2,253)
Computer Science Corp.,            
5%, 2/15/13 -- 1,190,000   3/20/18 (71 bp) 4,811
DJ ABX NA CMBX BBB Index 500 727,000 (F) 10/12/52 (134 bp) 208,031
DJ ABX NA HE AAA Index 77,151 664,568 (F) 7/25/45 18 bp 22,743
DJ CDX NA HY Series 10 86,625 3,300,000   6/20/13 500 bp (103,594)
DJ CDX NA HY Series 9            
Index (41,940) 7,063,650   12/20/12 375 bp (660,816)
Embarq Corp., 7.082%,            
6/1/16 -- 950,000   6/20/16 (265 bp) (14,117)
Limited Brands, Inc.,            
6 1/8%, 12/1/12 -- 935,000   12/20/12 (252 bp) 6,648
Marriott International,            
4 5/8%, 6/15/12 -- 475,000   6/20/12 (139 bp) 15,088
Mattel, Inc., 7 1/4%,            
7/9/12 -- 1,645,000   3/20/13 (157.2 bp) (60,767)
Nalco Co. 7.75%,11/15/11 -- 70,000   9/20/12 350 bp (1,281)
Oneok Partners, 7.1%,            
3/15/11 -- 950,000   12/20/16 (102 bp) 3,827
Ryder System, Inc.,            
6.95%, 12/1/25 -- 1,645,000   3/20/13 (135 bp) (22,245)
Sealed Air Corp.,            
5 5/8%, 7/15/13 -- 1,040,000   9/20/13 (169 bp) (6,787)
Spectra Energy Capital,            
6 1/4%, 2/15/13 -- 1,645,000   9/20/14 (115 bp) (22,309)
Visteon Corp., 7%,            
3/10/14 (127,500) 480,000   9/20/13 (500 bp) 36,090
Citibank, N.A.            
Abitibibowater, Inc.,            
6 1/2%, 6/15/13 -- 75,000   12/20/08 725 bp (1,608)
Abitibibowater, Inc.,            
6 1/2%, 6/15/13 -- 75,000   12/20/08 800 bp (1,332)
Abitibibowater, Inc.,            
6 1/2%, 6/15/13 -- 75,000   12/20/08 825 bp (1,240)
Countrywide Financial            
Corp., USLibor+14,            
1/5/09 -- 730,000   3/20/09 (875 bp) (27,246)
DJ ABX NA HE AAA Index 131,701 1,237,437   7/25/45 18 bp 29,392
DJ ABX NA HE AAA Index 254,155 3,051,687   7/25/45 18 bp 1,848
DJ ABX NA HE AAA Index 246,453 3,051,687   7/25/45 18 bp (5,853)
Donnelley (R.R.) &            
Sons, 4.95%, 4/1/14 -- 1,810,000   3/20/12 (102 bp) 23,868
Electronic Data Systems            
Corp., 6.5%, 8/1/13 -- 660,000   9/20/13 (155 bp) (29,293)
Freescale            
Semiconductor, 8 7/8%,            
12/15/14 -- 190,000   9/20/12 495 bp (21,454)
Hanson PLC, 7 7/8%,            
9/27/10 -- 1,535,000   9/20/16 (71 bp) (5,828)
International Lease            
Finance Corp., 4.15%,            
1/20/15 -- 1,840,000   6/20/13 (222.50 bp) 60,352
International Lease            
Finance Corp., 4.15%,            
1/20/15 -- 625,000   9/20/13 (105 bp) 49,274
Lear Corp., term loan -- 265,000   6/20/13 (225 bp) 18,527
Lexmark International,            
Inc., 5.9%, 6/1/13 -- 905,000   6/20/13 108.5 bp 1,451
Limited Brands, Inc.,            
6 1/8%, 12/1/12 -- 1,755,000   12/20/12 (275 bp) (2,721)
Limited Brands, Inc.,            
6 1/8%, 12/1/12 -- 295,000   6/20/11 (250 bp) (340)
Masco Corp., 5 7/8%,            
7/15/12 -- 2,370,000   3/20/17 (213 bp) 48,417
Newell Rubbermaid,            
Inc., 6.35%, 7/15/28 -- 1,375,000   6/20/13 (85 bp) (6,050)
Qwest Capital Funding,            
7 3/4%, 2/15/31 -- 1,475,000   6/20/13 (263 bp) 32,662
Rexam PLC, 4 3/8%,            
3/15/13 -- 655,000   6/20/13 (145 bp) 1,900
Sanmina-Sci Corp.,            
8 1/8%, 3/1/16 -- 350,000   6/20/13 585 bp (12,849)
Wind Acquisition            

9 3/4%, 12/1/15 -- EUR 48,000   3/20/13 (495 bp) (1,109)
Credit Suisse International              
Arrow Electronics,              
Inc., 6 7/8%, 6/1/18 --   $1,405,000   10/1/10 (54.2 bp) (1,580)
DJ ABX NA HE AAA Index 154,413   1,015,586   7/25/45 18 bp 71,111
DJ CMB NA CMBX AA Index (21,235)   95,000 (F) 10/12/52 (25 bp) (5,482)
DJ CMB NA CMBX AAA Index 1,352,369   8,125,000 (F) 12/13/49 8 bp 686,778
DJ CMB NA CMBX AAA Index 599,995   3,830,000 (F) 2/17/51 35 bp 342,029
Dynegy Holdings, Inc.,              
6 7/8%, 4/1/11 --   115,000   6/20/17 297 bp (12,603)
Echostar DBS Corp.,              
6 5/8%, 10/1/14 --   150,000   6/20/13 (225 bp) 4,810
Deutsche Bank AG              
CBS Corp, 4 5/8%,              
5/15/18 --   1,705,000   6/20/11 (102 bp) 8,155
CBS Corp., 4 5/8%,              
5/15/18 --   1,465,000   9/20/12 (87 bp) 26,355
CNA Financial Corp.,              
5.85%, 12/15/14 --   1,415,000   9/20/16 (155 bp) (15,377)
DJ ABX NA CMBX AAA Index 15,676   260,000 (F) 2/17/51 35 bp (1,837)
DJ ABX NA HE AAA Index 61,725   596,533   7/25/45 18 bp 11,058
DJ ABX NA HE AAA Index 164,236   2,169,212   7/25/45 18 bp (20,008)
DJ CDX NA IG Series 9              
Index (4,835)   1,080,000   12/20/12 (60 bp) 31,138
DJ CDX NA IG Series 9              
Index 30-100% tranche --   5,070,000 (F) 12/20/12 (65 bp) (30,291)
DJ iTraxx Europe Series              
9 Version 1 131,841 EUR 1,930,000   6/20/13 (650 bp) (18,934)
General Electric              
Capital Corp., 6%,              
6/15/12 --   $460,000   9/20/13 109 bp (11,218)
Grohe Holding GmBh,              
8 5/8%, 10/1/14 -- EUR 130,000   6/20/09 400 bp 1,441
Grohe Holding GmBh,              
8 5/8%, 10/1/14 -- EUR 470,000   6/20/09 400 bp 5,208
iStar Financial, Inc.,              
6%, 12/15/10 77,625   $1,150,000   3/20/09 500 bp 41,493
Korea Monetary STAB              
Bond, 5%, 2/14/09 --   1,335,000 (F) 2/23/09 105 bp 2,307
Korea Monetary STAB              
Bond, 5.15%, 2/12/10 --   1,335,000 (F) 2/19/10 115 bp 5,327
Malaysian Government,              
6.844%, 10/1/09 --   1,647,000   10/1/09 90 bp 10,977
Nalco Co. 7.75%,              
11/15/11 --   60,000   12/20/12 363 bp (1,120)
Packaging Corporation              
of America, 5 3/4%,              
8/1/13 --   1,730,000   9/20/13 (129 bp) (12,606)
Pitney Bowes, Inc.,              
4 5/8%, 10/1/12 --   615,000   3/20/18 (95 bp) (8,813)
PPG Industries, Inc.,              
7.05%, 8/15/09 --   915,000   3/20/18 (154 bp) (43,034)
Republic of China, zero              
coupon, 12/5/08 --   2,225,000 (F) 12/12/08 115 bp 7,786
Smurfit Kappa Funding,              
10 1/8%, 10/1/12 -- EUR 420,000   6/20/09 135 bp 80
Tyco Electronics Group,              
6.55%, 10/1/17 --   $940,000   12/20/17 (125.5 bp) (27,151)
Unity Media GmBh,              
8 3/4%, 2/15/15 -- EUR 605,000   6/20/13 460 bp (23,673)
Virgin Media Finance              
PLC, 8 3/4%, 4/15/14 -- EUR 605,000   9/20/13 477 bp (15,988)
Goldman Sachs International              
CSC Holdings, Inc.,              
7 5/8%, 7/15/18 --   $340,000   9/20/13 495 bp (1,131)
DJ ABX HE A Index 110,565   165,000   1/25/38 369 bp (38,302)
DJ ABX HE AAA Index 38,779   165,000 (F) 1/25/38 76 bp (50,498)
DJ ABX NA HE AAA Index 79,132   1,045,166   7/25/45 18 bp (3,728)
DJ CDX NA CMBX AAA Index 8,778   240,000   3/15/49 7 bp (8,213)
DJ CDX NA HY Series 10 2,035,000   44,000,000   6/20/13 500 bp (507,369)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   31,520,000   12/20/10 417.1 bp 1,043,768
DJ CDX NA HY Series 9              
Index 25-35% tranche --   8,870,000   12/20/10 435 bp 331,642
DJ CDX NA IG Series 10              
Index 11,575   603,000   6/20/18 (150 bp) 3,906
DJ CDX NA IG Series 10              
Index (97,595)   3,900,000   6/20/13 155 bp (70,359)

DJ CDX NA IG Series 10              
Index (421,669)   22,000,000   6/20/13 155 bp (268,030)
DJ CDX NA IG Series 10              
Index (407,535)   20,720,000   6/20/13 155 bp (262,834)
DJ CDX NA IG Series 10              
Index 30-100% tranche --   8,870,000   6/20/13 (44.25 bp) 30,993
General Motors Corp.,              
7 1/8%, 7/15/13 --   35,000   9/20/08 620 bp (345)
General Motors Corp.,              
7 1/8%, 7/15/13 --   160,000   9/20/08 620 bp (1,575)
Lighthouse              
International Co. SA,              
8%, 4/30/14 -- EUR 1,195,000   3/20/13 680 bp (80,568)
Wind Acquisition              
9 3/4%, 12/1/15 -- EUR 1,195,000   3/20/13 597 bp 98,491
JPMorgan Chase Bank, N.A.              
Cardinal Health, Inc.,              
5.85%, 12/15/17 --   $490,000   6/20/12 (40 bp) 14
CenturyTel, Inc., 6%,              
4/1/17 --   725,000   6/20/13 (95 bp) 24,301
Codere Finance              
(Luxembourg) S.A.,              
8.25%, 6/15/15 -- EUR 1,195,000   3/20/13 795 bp 120,416
Cox Communications,              
Inc., 6.8%, 8/1/28 --   $2,360,000   3/20/10 (45 bp) (2,071)
Darden Restaurants,              
Inc., 6%, 8/15/35 --   1,485,000   12/20/17 (155.3 bp) 9,081
DJ CDX NA HY Series 9              
Index 25-35% tranche --   5,070,000   12/20/10 388.75 bp 133,533
DJ CDX NA IG Series 10              
Index (1,048)   190,000   6/20/13 155 bp 279
DJ CMB NA CMBX AAA Index 101,673   852,000 (F) 2/17/51 35 bp 44,287
DJ CMB NA CMBX AAA Index 331,066   2,645,000 (F) 12/13/49 8 bp 114,391
DJ CMB NA CMBX AAA Index 92,054   843,000 (F) 2/17/51 35 bp 35,274
DJ iTraxx Europe              
Crossover Series 8              
Version 1 (638,695) EUR 4,780,000   12/20/12 (375 bp) (317,391)
Freeport-McMoRan Copper              
& Gold, Inc., 8 3/8%,              
4/1/17 --   $1,345,000   6/20/12 (145 bp) (4,531)
iStar Financial, Inc.,              
6%, 12/15/10 73,850   1,055,000 (F) 3/20/09 500 bp 43,295
Lexmark International,              
Inc., 5.9%, 6/1/13 --   1,550,000   6/20/13 (113 bp) (1,898)
Nextel Communications,              
7 3/8%, 8/1/15 --   1,685,000   9/20/13 (540 bp) (69,186)
Sanmina-Sci Corp.,              
8 1/8%, 3/1/16 --   280,000   6/20/13 595 bp (7,875)
Smurfit-Stone Container              
Enterprises, 7 1/2%,              
6/1/13 --   75,000 (F) 3/20/13 685 bp (4,040)
Lehman Brothers Special Financing, Inc.            
CNA Financial Corp.,              
5.85%, 12/15/14 --   885,000   9/20/11 (174 bp) (17,702)
Community Health              
Systems, 8 7/8%, 7/15/15 --   175,000   12/20/12 360 bp (6,221)
DJ ABX HE A Index 110,565   165,000   1/25/38 369 bp (38,164)
DJ ABX HE A Index 114,675   165,000   1/25/38 369 bp (34,057)
DJ ABX HE AAA Index 38,779   165,000 (F) 1/25/38 76 bp (50,498)
DJ ABX HE AAA Index 46,200   165,000 (F) 1/25/38 76 bp (43,077)
DJ ABX HE PEN AAA Index 4,953   70,754 (F) 5/25/46 11 bp (5,376)
DJ ABX HE PEN AAA Index 5,041   70,754 (F) 5/25/46 11 bp (5,288)
DJ ABX NA HE AAA Index 254,565   3,362,279 (F) 7/25/45 18 bp (20,705)
DJ ABX NA HE AAA Index 100,108   1,300,541 (F) 7/25/45 18 bp (6,368)
DJ CDX NA CMBX AA Index (6,654)   210,000 (F) 3/15/49 (15 bp) 43,086
DJ CDX NA HY Series 10              
Index 6,051,063   138,310,000   6/20/13 500 bp (1,921,433)
DJ CDX NA HY Series 10              
Index (2,740,500)   62,640,000   6/20/13 (500 bp) 870,209
DJ CDX NA HY Series 10              
Index 175,313   2,750,000   6/20/13 500 bp 16,796
DJ CDX NA IG Series 10              
Index 137,187   7,330,000   6/20/18 (150 bp) 43,962
DJ CDX NA IG Series 10              
Index 39,228   2,593,000   6/20/18 (150 bp) 6,250
DJ CDX NA IG Series 10              
Index (1,327,684)   63,800,000   6/20/13 155 bp (882,129)
DJ CDX NA IG Series 10              
Index 1,749,296   84,060,000   6/20/13 (155 bp) 1,162,254

DJ CDX NA IG Series 9              
Index 295,243   9,103,000   12/20/12 60 bp (7,948)
 
DJ CDX NA IG Series 9              
Index (10,175)   2,320,000   12/20/12 (60 bp) 67,097
 
DJ CDX NA IG Series 9              
Index (91,318)   1,971,500   12/20/17 (80 bp) (12,763)
 
DJ CMB NA CMBX AAA Index 382,332   3,232,000 (F) 2/17/51 35 bp 164,644
 
DJ iTraxx Europe Series              
9 Version 1 (109,869) EUR 790,000   6/20/13 650 bp (48,153)
 
Embarq Corp., 7.082%,              
6/1/16 --   $4,500,000   6/20/13 (237 bp) (10,823)
 
Felcor Lodging, LP,              
8 1/2%, 6/1/11 --   820,000   6/20/11 (334 bp) 24,624
 
General Electric              
Capital Corp., 6%,              
6/15/12 --   920,000   9/20/13 115 bp (19,998)
 
Hanson PLC, 7 7/8%,              
9/27/10 --   870,000   9/20/16 (140 bp) (43,942)
 
Jefferson Smurfit              
Corp., 7 1/2%, 6/1/13 --   120,000 (F) 3/20/13 645 bp (8,057)
 
MediaCom, LLC/ Cap              
Corp., 9 1/2%, 1/15/13 --   755,000   9/20/13 820 bp 854
 
Motorola, Inc., 6 1/2%,              
9/1/25 --   1,790,000   11/20/11 (335 bp) (48,989)
 
Owens-Illinois, Inc.,              
7.8%, 5/15/18 --   2,280,000   6/20/10 (128 bp) 2,369
 
Owens-Illinois, Inc.,              
7.8%, 5/15/18 --   780,000   6/20/10 (130 bp) 509
 
Owens-Illinois, Inc.,              
7.8%, 5/15/18 --   780,000   6/20/10 (140 bp) (1,869)
 
Pearson PLC, 7%,              
10/27/14 --   1,500,000   6/20/18 (69 bp) 20,999
 
Sungard Data Systems,              
Inc., 9 1/8%, 8/15/13 --   50,000   9/20/12 395 bp (718)
 
Telecom Italia SPA,              
5 3/8%, 1/29/19 --   1,610,000   7/20/11 (105 bp) 5,644
 
Telecom Italia SPA,              
5 3/8%, 1/29/19 --   3,255,000   7/20/11 (108 bp) 8,430
 
US Steel Corp.,              
6.65%,6/1/37 --   2,380,000   3/20/18 (141 bp) 37,344
 
Yum! Brands, Inc.,              
8 7/8%, 4/15/11 --   1,340,000   3/20/18 (130 bp) (6,924)
 
Merrill Lynch Capital Services, Inc.              
General Motors Corp.,              
7 1/8%, 7/15/13 --   110,000   9/20/08 500 bp (1,427)
 
Merrill Lynch International              
AmerisourceBergen              
Corp., 5 7/8%, 9/15/15 --   195,000   9/20/12 (65 bp) 1,481
 
Block Financial, LLC              
5 1/8%, 10/30/14 --   2,110,000   12/20/14 (69 bp) 18,310
 
Dynegy Holdings, Inc.,              
6 7/8%, 4/1/11 --   115,000   6/20/17 295 bp (12,733)
 
Electronic Data Systems              
Corp., 6%, 8/1/13 --   815,000   9/20/13 (100 bp) (15,107)
 
Felcor Lodging, LP,              
8 1/2%, 6/1/11 --   770,000   6/20/11 (316 bp) 26,769
 
Liberty Media, LLC,              
5.7%, 5/15/13 --   1,490,000   6/20/09 (203 bp) (11,265)
 
Marriott International,              
4 5/8%, 6/15/12 --   2,340,000   6/20/12 (119 bp) 90,901
 
Pearson PLC, 7%,              
10/27/14 --   970,000   6/20/18 (65 bp) 16,579
 
Sara Lee Corp., 6 1/8%,              
11/1/32 --   670,000   6/20/13 55.5 bp 2,452
 
Supervalu, Inc.,              
7 1/2%, 05/15/12 --   5,760,000   8/1/09 (90 bp) 17,626
 
Tyson Foods, Inc.,              
6.6%, 4/1/16 --   1,485,000   12/20/11 (141 bp) 53,295
 
Tyson Foods, Inc.,              
6.6%, 4/1/16 --   1,485,000   10/20/11 (152.50 bp) 41,368
 
Morgan Stanley Capital Services, Inc.              
Bundesrepublic of              
Deutschland, 6%, 6/20/16 --   2,595,000   6/20/18 8 bp (1,695)
 
DJ ABX NA CMBX AAA Index 122,569   1,722,000 (F) 3/15/49 7 bp 2,815
 
DJ CDX NA IG Series 10              
Index 78,503   4,029,500   6/20/18 (150 bp) 27,255
 
DJ CDX NA IG Series 10              
Index 21,616   1,320,000   6/20/18 (150 bp) 4,827
 
DJ CDX NA IG Series 9              
Index (2,462)   550,000   12/20/12 (60 bp) 15,857
 
DJ CMB NA CMBX AA Index (26,922)   118,000 (F) 10/12/52 (25 bp) (7,355)

DJ CMB NA CMBX AAA Index 513,362 4,279,500 (F) 12/13/49 8 bp 162,791
DJ CMB NA CMBX AAA Index 281,014 2,589,500 (F) 2/17/51 35 bp 106,602
DJ CMB NA CMBX AAA Index 143,932 1,177,000 (F) 2/17/51 35 bp 64,657
DJ CMB NA CMBX AAA Index 156,678 1,177,000 (F) 12/13/49 8 bp 60,260
Dynegy Holdings, Inc.,            
6 7/8%, 4/1/11 -- 115,000   6/20/12 225 bp (7,589)
Nalco Co. 7.75%,            
11/15/11 -- 70,000   9/20/12 330 bp (1,802)
Nalco Co. 7.75%,            
11/15/11 -- 110,000   3/20/13 460 bp 1,554
Republic of Austria,            
5 1/4%, 1/4/11 -- 2,595,000   6/20/18 (17 bp) (6,693)
UBS, AG            
Cardinal Health, Inc.,            
5.85%, 12/15/17 -- 4,045,000   6/20/13 (49 bp) 6,392
Total           $783,896

* 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.

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

Putnam Asset Allocation: Balanced Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 6/30/08 (aggregate face value $353,316,353) (Unaudited)

        Unrealized
    Aggregate Delivery appreciation/
  Value face value date (depreciation)
Australian Dollar $78,325,577 $74,553,138 7/16/08 $3,772,439
Brazilian Real 5,461,409 4,956,010 7/16/08 505,399
British Pound 67,357,046 66,200,740 9/17/08 1,156,306
Canadian Dollar 2,612,848 2,622,660 7/16/08 (9,812)
Czech Koruna 797,974 797,145 9/17/08 829
Euro 26,651,144 26,372,350 9/17/08 278,794
Hungarian Forint 188,704 179,034 9/17/08 9,670
Japanese Yen 27,691,641 27,784,145 8/20/08 (92,504)
Malaysian Ringgit 1,118,560 1,130,810 1/8/09 (12,250)
Malaysian Ringgit 1,137,686 1,169,164 8/20/08 (31,478)
Mexican Peso 15,161,009 14,916,476 7/16/08 244,533
Norwegian Krone 98,288,023 97,606,941 9/17/08 681,082
Polish Zloty 1,236,449 1,198,718 9/17/08 37,731
South African Rand 2,072,921 2,042,495 7/16/08 30,426
Swiss Franc 29,220,145 28,898,357 9/17/08 321,788
Turkish Lira 2,934,650 2,888,170 9/17/08 46,480
Total       $6,939,433

Putnam Asset Allocation: Balanced Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 6/30/08 (aggregate face value $594,667,921) (Unaudited)

        Unrealized
    Aggregate Delivery appreciation/
  Value face value date (depreciation)
Australian Dollar $19,591,120 $18,748,823 7/16/08 $(842,297)
British Pound 65,523,672 64,510,133 9/17/08 (1,013,539)
Canadian Dollar 77,182,590 77,243,116 7/16/08 60,526
Chilean Peso 693,101 783,368 7/17/08 90,267
Chinese Yuan 1,221,100 1,213,470 1/8/09 (7,630)
Danish Krone 1,176,271 1,153,227 9/17/08 (23,044)
Euro 214,018,797 211,373,881 9/17/08 (2,644,916)
Hong Kong Dollar 3,922,759 3,927,942 8/20/08 5,183
Hungarian Forint 46,648 44,515 9/17/08 (2,133)
Japanese Yen 55,813,959 56,266,014 8/20/08 452,055
New Zealand Dollar 10,455,976 10,622,709 7/16/08 166,733
Norwegian Krone 13,113,206 13,016,174 9/17/08 (97,032)
Peruvian New Sol 3,474,662 3,837,687 10/1/08 363,025
Polish Zloty 1,059,540 1,033,953 9/17/08 (25,587)
Singapore Dollar 16,868,458 16,702,235 8/20/08 (166,223)
South Korean Won 5,894,778 5,902,975 8/20/08 8,197
Swedish Krona 62,991,321 62,837,807 9/17/08 (153,514)
Swiss Franc 40,066,519 39,198,168 9/17/08 (868,351)
Taiwan Dollar 5,467,079 5,430,331 8/20/08 (36,748)
Turkish Lira 841,616 821,393 9/17/08 (20,223)
Total       $(4,755,251)

Putnam Asset Allocation: Balanced Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)

        Unrealized
  Number of   Expiration appreciation/
  contracts Value date (depreciation)
Amsterdam Exchange Index (Short) 45 $6,039,584 Jul-08 $461,863
Australian Government Treasury Bond 3 yr (Long) 459 110,810,045 Sep-08 348,476
Australian Government Treasury Bond 10 yr (Long) 766 515,194,537 Sep-08 1,621,299
Canadian Government Bond 10 yr (Long) 11 1,270,071 Sep-08 (7,725)
Canadian Government Bond 10 yr (Short) 44 5,080,283 Sep-08 30,079
Dow Jones Euro Stoxx 50 Index (Short) 2,371 126,212,171 Sep-08 8,070,256
Euro-Bobl 5 yr (Long) 23 3,831,637 Sep-08 (55,638)
Euro-Bund 10 yr (Long) 370 64,430,576 Sep-08 (354,806)
Euro-Bund 10 yr (Short) 429 74,704,641 Sep-08 1,316,239
Euro-CAC 40 Index (Short) 162 11,338,146 Jul-08 568,312
Euro-Dollar 90 day (Short) 128 30,870,400 Jun-09 252,577
Euro-Dollar 90 day (Short) 428 102,950,050 Sep-09 863,098
Euro-Dollar 90 day (Short) 420 100,731,750 Dec-09 902,358
Euro-Dollar 90 day (Short) 22 5,265,975 Mar-10 31,640
Euro-Schatz 2 yr (Long) 381 61,398,776 Sep-08 (393,202)
Euro-Schatz 2 yr (Short) 120 19,338,197 Sep-08 (29,831)
FTSE 100 Index (Long) 1,324 149,050,539 Sep-08 (4,532,778)
FTSE 100 Index (Short) 333 37,487,787 Sep-08 1,196,896
Hang Seng Index (Long) 681 96,600,700 Jul-08 (2,732,095)
IBEX 35 Index (Short) 8 1,506,108 Jul-08 102,810
Japanese Government Bond 10 yr (Long) 33 42,160,441 Sep-08 322,630
OMXS 30 Index (Short) 1,158 16,595,909 Jul-08 1,591,612
Russell 2000 Index Mini (Long) 47 3,250,990 Sep-08 (180,809)
Russell 2000 Index Mini (Short) 3,304 228,537,680 Sep-08 12,902,453
S&P 500 Index E-Mini (Long) 4,031 258,185,550 Sep-08 (14,672,550)
S&P 500 Index E-Mini (Short) 725 46,436,250 Sep-08 2,061,175
S&P ASX 200 Index (Short) 224 27,876,855 Sep-08 970,671
S&P Mid Cap 400 Index E-Mini (Long) 369 30,302,280 Sep-08 (1,229,508)
S&P Mid Cap 400 Index E-Mini (Short) 488 40,074,560 Sep-08 1,624,064
S&P/MIB Index (Short) 46 10,749,448 Sep-08 438,288
S&P/Toronto Stock Exchange 60 Index (Short) 69 11,749,125 Sep-08 255,241
SGX MSCI Singapore Index (Short) 106 5,586,908 Jul-08 113,449
Sterling Interest Rate 90 day (Long) 65 15,186,627 Dec-08 (139,456)
Sterling Interest Rate 90 day (Long) 297 69,443,001 Jun-09 (835,230)
Sterling Interest Rate 90 day (Long) 283 66,176,644 Sep-09 (742,370)
Sterling Interest Rate 90 day (Long) 69 16,127,205 Mar-09 (183,155)
Tokyo Price Index (Short) 698 86,805,603 Sep-08 5,493,082
U.K. Gilt 10 yr (Long) 22 4,577,543 Sep-08 (88,201)
U.K. Gilt 10 yr (Short) 80 16,645,612 Sep-08 315,355
U.S. Treasury Bond 20 yr (Long) 1,504 173,853,000 Sep-08 3,001,007
U.S. Treasury Note 2 yr (Short) 8,250 1,742,425,781 Sep-08 (1,719,779)
U.S. Treasury Note 5 yr (Short) 457 50,523,492 Sep-08 174,366
U.S. Treasury Note 10 yr (Long) 2,948 335,841,688 Sep-08 2,940,452
Total       $20,072,615

Putnam Asset Allocation: Balanced Portfolio

WRITTEN OPTIONS OUTSTANDING at 6/30/08 (premiums received $23,659,573) (Unaudited)

  Contract Expiration date/  
  amount strike price Value
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 4.735% versus the three month USD-LIBOR-BBA maturing      
on May 19, 2019. $26,807,000 May-09/4.735 $1,091,045
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 4.735% versus the three month USD-LIBOR-BBA maturing on      
May 19, 2019. 26,807,000 May-09/4.735 741,750
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 5.31% versus the three month USD-LIBOR-BBA      
maturing on August 29, 2018. 53,578,000 Aug-08/5.31 2,634,967
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 5.31% versus the three month      
USD-LIBOR-BBA maturing on August 29, 2018. 53,578,000 Aug-08/5.31 132,873
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on      
December 19, 2018. 43,363,000 Dec-08/5.00 1,480,846
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on      
December 19, 2018. 43,363,000 Dec-08/5.00 825,198
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.215% versus the three month USD-LIBOR-BBA maturing on      
February 18, 2020. 56,491,000 Feb-10/5.215 2,805,343
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.215% versus the three month USD-LIBOR-BBA maturing      
on February 18, 2020. 56,491,000 Feb-10/5.215 2,054,578
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.22% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 38,405,000 Feb-10/5.22 1,916,794
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.22% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 38,405,000 Feb-10/5.22 1,399,094
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.08% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 38,405,000 Feb-10/5.08 1,707,486
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.08% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 38,405,000 Feb-10/5.08 1,587,279
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 4.935% versus the three month USD-LIBOR-BB      
maturing March 2, 2019. 24,540,000 Feb-09/4.935 821,108
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 4.935% versus the three month      
USD-LIBOR-BBA maturing March 2, 2019. 24,540,000 Feb-09/4.935 660,126
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-12/5.51 772,938
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-12/5.51 533,637
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-12/5.515 388,177
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-12/5.515 266,086
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-12/5.52 155,460
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-12/5.52 105,991
Total     $22,080,776

Putnam Asset Allocation: Balanced Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 6/30/08 (proceeds receivable $684,744,297) (Unaudited)

  Principal Settlement  
Agency amount date Value
FNMA, 6 1/2s, July 1, 2038 $22,000,000 7/14/08 $22,629,064
FNMA, 5 1/2s, July 1, 2038 614,000,000 7/14/08 604,981,885
FNMA, 5s, July 1, 2038 64,000,000 7/14/08 61,324,998
Total     $688,935,947

Putnam Asset Allocation: Balanced Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)

      Upfront   Payments Payments Unrealized
Swap counterparty /   premium Termination made by received by appreciation/
Notional amount   received (paid) date fund per annum fund per annum (depreciation)
Bank of America, N.A.        
  $20,743,000   $-- 1/28/24 3 month USD-LIBOR-BBA 5.2125% $1,139,316
  7,100,000   -- 3/30/09 3.075% 3 month USD-LIBOR-BBA (56,765)
  24,333,000   -- 5/23/10 3 month USD-LIBOR-BBA 3.155% (140,345)
  22,752,000   -- 6/6/18 4.6675% 3 month USD-LIBOR-BBA (22,202)
  17,346,000   -- 12/22/09 3.965% 3 month USD-LIBOR-BBA (162,681)
  27,200,000   -- 1/14/10 3 month USD-LIBOR-BBA 4.106% 659,753
  18,600,000   -- 4/6/10 4.6375% 3 month USD-LIBOR-BBA (460,300)
  954,000   -- 9/24/09 3 month USD-LIBOR-BBA 4.7375% 28,800
  4,410,000   -- 6/17/15 4.555% 3 month USD-LIBOR-BBA (25,345)
  1,590,000   -- 6/23/15 4.466% 3 month USD-LIBOR-BBA (143)
  660,000   -- 6/23/15 4.45% 3 month USD-LIBOR-BBA 577
  800,000   -- 6/24/15 4.39% 3 month USD-LIBOR-BBA 3,641
  8,600,000   -- 10/21/15 4.943% 3 month USD-LIBOR-BBA (274,552)
  1,470,000   -- 10/3/16 5.15630% 3 month USD-LIBOR-BBA (68,777)
  1,500,000   -- 9/1/15 3 month USD-LIBOR-BBA 4.53% 23,277
  9,379,000   -- 5/8/28 4.95% 3 month USD-LIBOR-BBA (55,066)
Bear Stearns Bank plc        
  16,400,000   -- 4/24/12 5.027% 3 month USD-LIBOR-BBA (603,524)
Citibank, N.A.        
  900,000   -- 4/7/14 5.377% 3 month USD-LIBOR-BBA (52,242)
  13,500,000   -- 7/27/09 5.504% 3 month USD-LIBOR-BBA (577,857)
  14,124,000   -- 10/26/12 4.6275% 3 month USD-LIBOR-BBA (292,654)
  36,115,000   -- 11/9/09 4.387% 3 month USD-LIBOR-BBA (612,552)
  37,113,000   -- 11/9/17 5.0825% 3 month USD-LIBOR-BBA (1,366,344)
  18,310,000   -- 11/23/17 4.885% 3 month USD-LIBOR-BBA (381,368)
  620,000   -- 11/9/17 3 month USD-LIBOR-BBA 5.07641% 22,529
  8,117,000   -- 12/24/09 3 month USD-LIBOR-BBA 3.8675% 64,345
  1,526,000   -- 12/24/27 4.9425% 3 month USD-LIBOR-BBA (3,947)
Credit Suisse First Boston International        
  9,662,000   -- 3/9/09 3 month USD-LIBOR-BBA 3.195% 93,387
Credit Suisse International        
CHF 9,870,000   -- 3/13/18 6 month CHF-LIBOR-BBA 3.3175% (348,447)
CHF 43,600,000   -- 3/15/10 2.59% 6 month CHF-LIBOR-BBA 557,582
CHF 43,600,000   -- 3/15/10 2.6625% 6 month CHF-LIBOR-BBA 497,121
CHF 9,870,000   -- 3/14/18 6 month CHF-LIBOR-BBA 3.3% (362,668)
  $2,399,000   -- 8/29/12 5.04556% 3 month USD-LIBOR-BBA (117,994)
  802,000   -- 3/21/16 3 month USD-LIBOR-BBA 5.20497% 45,816
  4,358,000   -- 10/16/17 3 month USD-LIBOR-BBA 5.297% 240,679
  2,060,000   -- 9/28/16 5.10886% 3 month USD-LIBOR-BBA (103,845)
Deutsche Bank AG          
  1,404,369   -- 8/2/32 5.86% 3 month USD-LIBOR-BBA (205,822)
  1,251,434   -- 8/2/22 3 month USD-LIBOR-BBA 5.7756% 145,246
EUR 4,510,000 (E) -- 4/26/38 6 month EUR-EURIBOR-Reuters 5.065% 93,118
EUR 75,370,000 (E) -- 4/30/12 6 month EUR-EURIBOR-Reuters 4.31% (1,597,705)
EUR 64,420,000 (E) -- 4/30/15 4.475% 6 month EUR-EURIBOR-Reuters 1,872,860
EUR 18,030,000 (E) -- 4/30/20 6 month EUR-EURIBOR-Reuters 4.7975% (437,858)
GBP 21,781,000   -- 6/26/10 6 month GBP-LIBOR-BBA 6.18% (42,475)
  $9,915,000   -- 10/16/17 3 month USD-LIBOR-BBA 5.297% 547,575
  6,800,000   -- 11/7/17 3 month USD-LIBOR-BBA 5.056% 236,586
Goldman Sachs Capital Markets, L.P.        
  2,822,353   -- 8/1/32 5.919% 3 month USD-LIBOR-BBA (438,889)
  2,515,000   -- 8/1/22 3 month USD-LIBOR-BBA 5.845% 311,448
  1,404,369   -- 8/12/32 5.689% 3 month USD-LIBOR-BBA (170,735)
  1,251,434   -- 8/12/22 3 month USD-LIBOR-BBA 5.601% 121,770
Goldman Sachs International        
  9,611,000   -- 3/11/38 5.029% 3 month USD-LIBOR-BBA (217,125)
EUR 49,650,000   -- 3/26/10 6 month EUR-EURIBOR-Reuters 4.129% (1,624,442)
GBP 41,380,000   -- 3/29/10 6 month GBP-LIBOR-BBA 5.25% (1,450,052)
GBP 10,020,000   -- 3/27/18 5.0675% 6 month GBP-LIBOR-BBA 929,811
  $43,165,000   -- 4/3/18 3 month USD-LIBOR-BBA 4.19% (1,459,089)
CHF 66,690,000   -- 4/5/10 2.89% 6 month CHF-LIBOR-BBA 574,389
CHF 15,200,000   -- 4/3/18 6 month CHF-LIBOR-BBA 3.42% (422,757)
  $1,161,000   -- 4/8/10 3 month USD-LIBOR-BBA 2.64% $(16,507)
  7,793,000   -- 4/23/18 4.43% 3 month USD-LIBOR-BBA 123,541
  5,161,000   -- 5/19/18 4.525% 3 month USD-LIBOR-BBA 49,382
  16,431,000   -- 5/30/28 5.014% 3 month USD-LIBOR-BBA (213,974)
JPY 6,314,910,000   -- 5/7/10 6 month JPY-LIBOR-BBA 1.09125% (82,664)
JPY 1,389,280,000 (E) -- 5/7/18 2.205% 6 month JPY-LIBOR-BBA 24,635
  $8,657,000   -- 9/29/08 5.085% 3 month USD-LIBOR-BBA (157,090)
  2,762,000   -- 9/29/16 3 month USD-LIBOR-BBA 5.1275% 141,893
  1,464,000   -- 10/19/16 5.32413% 3 month USD-LIBOR-BBA (83,281)
  8,111,000   -- 6/12/17 3 month USD-LIBOR-BBA 5.7175% 669,296
  50,200,000   -- 7/25/09 5.327% 3 month USD-LIBOR-BBA (2,027,037)
  34,166,000   -- 11/20/08 5.16% 3 month USD-LIBOR-BBA (389,474)
  7,686,000   -- 11/20/26 3 month USD-LIBOR-BBA 5.261% 349,387
  33,572,000   -- 11/21/08 5.0925% 3 month USD-LIBOR-BBA (372,770)
  7,431,000   -- 11/21/26 3 month USD-LIBOR-BBA 5.2075% 288,670

  4,999,000 -- 12/20/16 3 month USD-LIBOR-BBA 5.074% 175,735
  6,080,000 -- 1/8/12 3 month USD-LIBOR-BBA 4.98% 295,412
  45,000,000 -- 10/1/12 3 month USD-LIBOR-BBA 4.909% 1,545,472
  1,330,000 -- 11/9/17 3 month USD-LIBOR-BBA 5.071% 47,772
  2,770,000 -- 4/7/14 5.33842% 3 month USD-LIBOR-BBA (154,888)
  1,095,000 -- 5/3/16 5.565% 3 month USD-LIBOR-BBA (78,994)
  8,933,000 -- 9/14/14 4.906% 3 month USD-LIBOR-BBA (360,580)
  4,358,000 -- 9/14/17 5.0625% 3 month USD-LIBOR-BBA (200,991)
  26,240,200 -- 9/19/09 3 month USD-LIBOR-BBA 4.763% 809,744
  42,465,200 -- 9/21/09 3 month USD-LIBOR-BBA 4.60% 1,190,052
  11,821,800 -- 9/21/17 5.149% 3 month USD-LIBOR-BBA (612,229)
  3,020,000 -- 11/9/17 3 month USD-LIBOR-BBA 5.08% 110,599
  74,216,000 -- 1/16/18 5.790% 3 month USD-LIBOR-BBA (8,067,207)
JPMorgan Chase Bank, N.A.      
  8,800,000 -- 4/23/17 5.186% 3 month USD-LIBOR-BBA (406,552)
  118,568,000 -- 3/5/18 4.325% 3 month USD-LIBOR-BBA 1,658,877
  23,396,000 -- 3/7/18 4.45% 3 month USD-LIBOR-BBA 89,939
  21,828,000 -- 3/12/18 3 month USD-LIBOR-BBA 4.4525% (92,418)
  6,007,000 -- 3/11/38 5.0025% 3 month USD-LIBOR-BBA (110,410)
  45,375,000 -- 3/11/38 5.03% 3 month USD-LIBOR-BBA (1,032,023)
  125,112,000 -- 3/15/10 3 month USD-LIBOR-BBA 2.5% (1,123,032)
  45,626,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.145% (1,743,499)
  112,568,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.13% (4,379,450)
  226,815,000 -- 3/25/10 3 month USD-LIBOR-BBA 2.325% (2,932,127)
  35,000,000 -- 1/17/16 4.946% 3 month USD-LIBOR-BBA (1,557,625)
  1,368,000 -- 9/18/16 5.291% 3 month USD-LIBOR-BBA (87,296)
  51,496,000 -- 4/8/13 3 month USD-LIBOR-BBA 3.58406% (1,340,808)
  10,143,000 -- 9/28/08 5.096% 3 month USD-LIBOR-BBA (187,512)
  39,437,000 -- 5/16/18 4.53% 3 month USD-LIBOR-BBA 353,082
  40,554,000 -- 5/23/10 3 month USD-LIBOR-BBA 3.16% (229,634)
  42,000,000 -- 6/13/13 4.47% 3 month USD-LIBOR-BBA (436,419)
  20,700,000 -- 3/7/15 3 month USD-LIBOR-BBA 4.798% 704,582
  18,300,000 -- 6/27/17 3 month USD-LIBOR-BBA 5.712% 1,482,166
  19,820,000 -- 7/5/17 3 month USD-LIBOR-BBA 4.55% 206,162
  8,750,000 -- 10/10/13 5.054% 3 month USD-LIBOR-BBA (355,589)
  12,180,000 -- 10/10/13 5.09% 3 month USD-LIBOR-BBA (518,986)
  34,078,000 -- 11/20/08 5.165% 3 month USD-LIBOR-BBA (392,517)
  7,664,000 -- 11/20/26 3 month USD-LIBOR-BBA 5.266% 353,105
  16,210,000 -- 12/7/26 5.036% 3 month USD-LIBOR-BBA (269,600)
  37,730,000 -- 12/7/08 3 month USD-LIBOR-BBA 4.8485% 373,040
  8,600,000 -- 7/25/17 3 month USD-LIBOR-BBA 5.652% 820,591
  4,472,000 -- 12/19/16 5.0595% 3 month USD-LIBOR-BBA (152,809)
  42,206,000 -- 1/31/17 3 month USD-LIBOR-BBA 5.415% 3,234,650
  3,084,000 -- 2/23/17 5.211% 3 month USD-LIBOR-BBA (183,315)
  18,126,000 -- 3/8/17 3 month USD-LIBOR-BBA 5.28% 1,156,876
  3,238,000 -- 9/28/16 3 month USD-LIBOR-BBA 5.1223% 166,060
  2,800,000 -- 8/7/12 3 month USD-LIBOR-BBA 5.194% 157,343
  3,840,000 -- 6/16/15 4.538% 3 month USD-LIBOR-BBA (18,716)
  960,000 -- 6/24/15 4.387% 3 month USD-LIBOR-BBA 4,543
  13,300,000 -- 6/29/15 3 month USD-LIBOR-BBA 4.296% (138,566)
  2,690,000 -- 8/2/15 3 month USD-LIBOR-BBA 4.6570% 67,159
  69,400,000 -- 8/13/12 3 month USD-LIBOR-BBA 5.2% 3,907,827
  17,075,000 -- 8/29/17 5.2925% 3 month USD-LIBOR-BBA (1,114,685)
  5,426,000 -- 8/29/17 5.263% 3 month USD-LIBOR-BBA (342,661)
  42,465,200 -- 9/21/09 3 month USD-LIBOR-BBA 4.6125% 1,197,837
  11,821,800 -- 9/21/17 5.15% 3 month USD-LIBOR-BBA (613,088)
  10,000,000 -- 9/25/12 3 month USD-LIBOR-BBA 4.945% 429,593
  6,589,000 -- 9/27/17 5.2335% 3 month USD-LIBOR-BBA (384,687)
  11,253,000 -- 10/30/12 4.68375% 3 month USD-LIBOR-BBA (259,415)
  4,000,000 -- 11/7/17 3 month USD-LIBOR-BBA 5.05771% 139,698
  36,115,000 -- 11/9/09 4.3975% 3 month USD-LIBOR-BBA (618,156)
  37,113,000 -- 11/9/17 5.0895% 3 month USD-LIBOR-BBA (1,386,389)
  19,224,000 -- 12/11/17 3 month USD-LIBOR-BBA 4.65% 28,068
  1,526,000 -- 12/24/27 4.9675% 3 month USD-LIBOR-BBA (8,761)
  24,400,000 -- 8/4/08 3 month USD-LIBOR-BBA 5.40% 489,433
  12,700,000 -- 8/4/16 3 month USD-LIBOR-BBA 5.5195% 1,060,789
  4,000,000 -- 9/2/15 3 month USD-LIBOR-BBA 4.4505% 41,469
  7,800,000 -- 10/21/15 4.916% 3 month USD-LIBOR-BBA (235,499)
  27,874,000 -- 1/18/18 4.27625% 3 month USD-LIBOR-BBA 432,255
  2,156,000 -- 1/24/18 4.135% 3 month USD-LIBOR-BBA 60,157
  2,874,000 -- 1/24/18 4.175% 3 month USD-LIBOR-BBA 70,781
  2,874,000 -- 1/24/18 4.1625% 3 month USD-LIBOR-BBA 73,725
  66,339,000 -- 1/31/18 3 month USD-LIBOR-BBA 4.25% (1,242,993)
  51,900,000 -- 2/4/10 3 month USD-LIBOR-BBA 2.835% (70,844)
  8,100,000 -- 2/4/18 3 month USD-LIBOR-BBA 4.2625% (143,500)
  3,100,000 -- 4/17/09 5.12% 3 month USD-LIBOR-BBA (65,243)
  1,000,000 -- 4/17/17 3 month USD-LIBOR-BBA 5.266% 53,086
Lehman Brothers Special Financing, Inc.        

  38,356,000   230,697 2/26/18 4.65% 3 month USD-LIBOR-BBA (267,937)
  2,794,000   (1,934) 3/14/18 3 month USD-LIBOR-BBA 4.35% (37,300)
  56,285,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.215% (1,971,464)
  115,550,000   -- 3/26/10 3 month USD-LIBOR-BBA 2.3525% (1,437,697)
  115,550,000   -- 3/26/10 3 month USD-LIBOR-BBA 2.395% (1,342,697)
  9,630,000 (E) -- 3/26/38 5.05% 3 month USD-LIBOR-BBA 178,540
  45,626,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.07% (1,899,559)
  19,260,000 (E) -- 3/22/38 5.29% 3 month USD-LIBOR-BBA (578)
  60,114,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.06% (2,530,278)
EUR 12,840,000 (E) -- 3/22/38 6 month EUR-EURIBOR-Reuters 4.864% (53,385)
  $151,000,000   -- 3/25/13 3 month USD-LIBOR-BBA 3.2292% (5,227,046)
  51,200,000   -- 3/25/38 4.583% 3 month USD-LIBOR-BBA 2,523,446
  106,089,000   -- 3/25/10 3 month USD-LIBOR-BBA 2.275% (1,474,715)
GBP 33,100,000   -- 3/22/10 6 month GBP-LIBOR-BBA 5.075% (1,375,087)
GBP 9,340,000   -- 3/20/18 4.99% 6 month GBP-LIBOR-BBA 979,229
EUR 8,370,000 (E) -- 3/29/38 6 month EUR-EURIBOR-Reuters 4.9625% 67,887
  $48,701,000   -- 4/3/18 4.087% 3 month USD-LIBOR-BBA 2,053,448
EUR 75,700,000 (E) -- 4/12/12 6 month EUR-EURIBOR-Reuters 4.10% (2,048,198)
EUR 64,420,000 (E) -- 4/13/15 4.31% 6 month EUR-EURIBOR-Reuters 2,552,609
EUR 17,980,000 (E) -- 4/13/20 6 month EUR-EURIBOR-Reuters 4.6575% (717,828)
  $178,900,000   -- 4/8/13 3.435% 3 month USD-LIBOR-BBA 5,874,107
  159,900,000   -- 4/8/13 3 month USD-LIBOR-BBA 3.435% (5,250,250)
  7,613,000   -- 4/16/18 3 month USD-LIBOR-BBA 4.405% (130,954)
  8,976,000   -- 4/19/38 4.8425% 3 month USD-LIBOR-BBA 146,257
  6,413,000   -- 4/21/38 4.945% 3 month USD-LIBOR-BBA 3,408
  622,000   -- 4/26/38 3 month USD-LIBOR-BBA 4.77% (17,800)
  6,765,000 (E) -- 4/26/38 5.3325% 3 month USD-LIBOR-BBA (23,204)
  43,500,000   -- 5/29/12 5.28% 3 month USD-LIBOR-BBA (1,957,035)
  63,425,000   -- 5/18/18 4.2375% 3 month USD-LIBOR-BBA 2,041,505
  12,000,000   -- 5/9/13 3 month USD-LIBOR-BBA 3.875% (173,741)
EUR 23,211,000 (E) -- 6/3/18 6 month EUR-EURIBOR-Reuters 4.912% (38,017)
  $34,441,000 (E) -- 6/3/18 5.28% 3 month USD-LIBOR-BBA (91,613)
  75,930,000 (E) -- 7/2/18 5.19% 3 month USD-LIBOR-BBA --
EUR 52,200,000 (E) -- 7/2/18 6 month EUR-EURIBOR-Reuters 4.9425% --
  $138,334,000   -- 6/3/10 3 month USD-LIBOR-BBA 3.41% (191,276)
  21,249,000   -- 6/3/38 5.0975% 3 month USD-LIBOR-BBA (451,749)
  161,000,000   -- 6/9/13 4.2075% 3 month USD-LIBOR-BBA 153,694
  10,634,000   -- 6/10/38 5.1275% 3 month USD-LIBOR-BBA (271,152)
EUR 20,390,000 (E) -- 6/11/38 4.52% 6 month EUR-EURIBOR-Reuters 902,353
  $30,600,000 (E) -- 6/11/38 3 month USD-LIBOR-BBA 5.54% 594,252
EUR 11,750,000 (E) -- 6/12/38 4.7625% 6 month EUR-EURIBOR-Reuters 177,649
  $17,615,000 (E) -- 6/12/38 3 month USD-LIBOR-BBA 5.4175% 177,031
EUR 23,211,000 (E) -- 6/12/18 4.7225% 6 month EUR-EURIBOR-Reuters 274,894
  $34,441,000 (E) -- 6/12/18 3 month USD-LIBOR-BBA 5.1575% (60,272)
  7,090,000   -- 8/24/12 5.085% 3 month USD-LIBOR-BBA (362,247)
  14,326,072   -- 8/29/09 5.005% 3 month USD-LIBOR-BBA (504,527)
  30,117,000   -- 8/29/09 5.001% 3 month USD-LIBOR-BBA (1,062,040)
  4,076,000   -- 8/29/17 5.29125% 3 month USD-LIBOR-BBA (266,805)
  5,193,029   -- 8/29/12 5.075% 3 month USD-LIBOR-BBA (262,739)
  161,000,000   -- 6/24/13 3 month USD-LIBOR-BBA 4.41375% 1,164,580
  12,000,000   -- 6/26/13 3 month USD-LIBOR-BBA 4.465% 113,039
  25,180,000   -- 12/28/16 5.084% 3 month USD-LIBOR-BBA (887,178)
  890,858   -- 8/29/17 3 month USD-LIBOR-BBA 5.32% 60,235
  46,963,000   -- 8/3/08 3 month USD-LIBOR-BBA 5.425% 947,752
  40,316,000   -- 8/3/11 5.445% 3 month USD-LIBOR-BBA (2,494,451)
  51,091,000   -- 8/3/16 5.5675% 3 month USD-LIBOR-BBA (4,441,990)
  18,750,000   -- 9/8/16 5.3275% 3 month USD-LIBOR-BBA (1,260,761)
  15,850,000   -- 9/29/13 5.0555% 3 month USD-LIBOR-BBA (766,052)
  11,076,000   -- 10/23/08 3 month USD-LIBOR-BBA 5.26% 129,023
  4,452,000   -- 10/23/16 3 month USD-LIBOR-BBA 5.3275% 252,546
  11,076,000   -- 10/23/08 5.255% 3 month USD-LIBOR-BBA (128,697)
  4,452,000   -- 10/23/16 5.325% 3 month USD-LIBOR-BBA (251,768)
  36,430,000   -- 11/29/08 3 month USD-LIBOR-BBA 5.045% 397,277
  10,730,000   -- 11/29/16 3 month USD-LIBOR-BBA 5.02% 355,895
  4,560,000   -- 11/29/26 3 month USD-LIBOR-BBA 5.135% 135,343
  37,352,000   -- 3/15/09 4.9298% 3 month USD-LIBOR-BBA (987,395)
  55,000,000   -- 3/16/09 4.9275% 3 month USD-LIBOR-BBA (1,452,453)
  11,112,000   -- 9/11/17 5.0525% 3 month USD-LIBOR-BBA (506,852)
  17,493,500   -- 9/19/09 3 month USD-LIBOR-BBA 4.755% 537,685
  42,465,200   -- 9/24/09 3 month USD-LIBOR-BBA 4.695% 1,255,492
  11,821,800   -- 9/24/17 5.285% 3 month USD-LIBOR-BBA (738,490)
  14,124,000   -- 10/26/12 4.61375% 3 month USD-LIBOR-BBA (284,546)
  2,170,000   -- 11/7/17 3 month USD-LIBOR-BBA 5.05521% 75,366
  36,115,000   -- 11/9/09 4.403% 3 month USD-LIBOR-BBA (620,971)
  37,113,000   -- 11/9/17 5.067% 3 month USD-LIBOR-BBA (1,321,720)
  5,240,000   -- 11/9/17 3 month USD-LIBOR-BBA 5.068% 186,989
  13,259,000   -- 12/11/17 3 month USD-LIBOR-BBA 4.839% 212,319
  8,117,000   -- 12/24/09 3 month USD-LIBOR-BBA 3.84625% 61,795

  106,047,000   -- 2/8/10 2.728% 3 month USD-LIBOR-BBA 391,308
  76,744,000   -- 2/7/18 4.217% 3 month USD-LIBOR-BBA 1,666,415
  23,089,000   -- 2/21/18 4.599% 3 month USD-LIBOR-BBA (204,525)
  4,600,000   -- 2/4/38 3 month USD-LIBOR-BBA 4.806% (50,677)
EUR 6,420,000 (E) -- 3/26/38 6 month EUR-EURIBOR-Reuters 4.74% (122,746)
  $115,550,000   -- 3/26/10 3 month USD-LIBOR-BBA 2.325% (1,499,235)
EUR 49,650,000   -- 3/29/10 6 month EUR-EURIBOR-Reuters 4.25% (1,478,679)
  $12,560,000 (E) -- 3/29/38 5.31% 3 month USD-LIBOR-BBA (20,473)
Merrill Lynch Capital Services, Inc.      
  14,124,000   -- 10/26/12 4.6165% 3 month USD-LIBOR-BBA (286,168)
  8,440,000   -- 11/6/17 5.00693% 3 month USD-LIBOR-BBA (261,794)
Morgan Stanley Capital Services, Inc.      
GBP 15,330,000   -- 3/28/18 5.065% 6 month GBP-LIBOR-BBA 1,428,038
GBP 63,710,000   -- 3/29/10 6 month GBP-LIBOR-BBA 5.21% (2,326,653)
  $1,936,000   -- 8/29/17 5.26021% 3 month USD-LIBOR-BBA (121,837)
  5,473,000   -- 2/20/17 5.192% 3 month USD-LIBOR-BBA (319,402)
Total           $(44,568,265)

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

Putnam Asset Allocation: Balanced Portfolio

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/08 (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.          
  $11,100,000 (2)(F) 7/2/08 (Banc of America The spread $856,187
        Securities AAA return of Banc  
        10 yr Index of America  
        multiplied by Securities- CMBS  
        the modified AAA 10 year Index  
        duration factor    
        minus 150 bp)    
 
Citibank, N.A.          
  45,718,691   1/15/09 3 month USD- Russell 2000 (77,050)
        LIBOR-BBA minus Total Return  
        110 bp Index  
 
Credit Suisse International          
  24,220,000 (2)(F) 8/1/08 (Beginning The spread 879,525
        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  
        minus 450 bp)    
 
Goldman Sachs International          
  768,000 (F) 9/15/11 678 bp (1 month Ford Credit Auto (10,679)
        USD-LIBOR-BBA) Owner Trust  
          Series 2005-B  
          Class D  
 
EUR 40,896,000 (F) 3/26/09 (2.27%) Eurostat 508,872
          Eurozone HICP  
          excluding tobacco  
 
EUR 19,410,000   4/30/13 2.375% French Consumer (671,291)
          Price Index  
          excluding tobacco  
 
EUR 19,410,000 (F) 4/30/13 (2.41%) Eurostat 923,178
          Eurozone HICP  
          excluding tobacco  
 
EUR 19,410,000   5/6/13 2.34% French Consumer (706,150)
          Price Index  
          excluding tobacco  
 
EUR 19,410,000   5/6/13 (2.385%) Eurostat 783,795
          Eurozone HICP  
          excluding tobacco  
 
GBP 11,646,000   5/9/13 3.10% GBP Non-revised (780,876)
          Retail Price  
          Index  
 
  $31,930,000 (2)(F) 7/2/08 (Banc of America The spread 1,321,710
        Securities AAA return of Banc  
        10 year Index of America  
        multiplied by Securities- CMBS  
        the modified AAA 10 year Index  
        duration factor    
        minus 125 bp)    
 
  12,520,000 (1)(F) 11/2/08 20 bp plus The spread (332,055)
        change in spread return of Banc  
        of Banc of America  
        of America Securities- CMBS  
        Securities AAA AAA 10 year Index  
        10 year Index    
        multiplied by    
        the modified    
        duration factor    
 
JPMorgan Chase Bank, N.A.          
  25,607,415   4/15/09 (3 month USD- A basket (5,675,843)
        LIBOR-BBA plus of common stocks  
        25 bp)    
 
  25,663,194   4/15/09 (3 month USD- A basket 6,938,975
        LIBOR-BBA minus of common stocks  
        40 bp)    
 
  5,170,200 (1)(F) 8/1/08 Change in spread The spread (531,802)
        of Lehman return of Lehman  
        Brothers AAA Brothers AAA  
        8.5+ Commercial 8.5+ CMBS Index  
        Mortgage Backed adjusted by  
        Securities Index modified  
        minus 17.5 bp duration factor  
 
  22,406,377   9/24/08 3 month USD- Russell 2000 1,104,380
        LIBOR-BBA Total Return  
          Index  
 
  9,502,683   11/26/08 3 month USD- Standard & Poors 490,778
        LIBOR-BBA minus US 600 Smallcap  
        50 bp total return  
          index  
 
Lehman Brothers Special Financing, Inc.        
  14,256,000 (2)(F) 8/1/08 (Beginning The spread (844,183)
        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  
 
  12,474,000 (2) 9/1/08 (Beginning The spread (698,107)
        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  
 
  11,963,000 (1) 7/1/08 Lehman Brothers The spread (246,189)
        SD CMBS AAA 8.5+ return of Lehman  

      Index multiplied Brothers SD CMBS  
      by the modified AAA 8.5+ Index  
      duration factor    
      minus 75 bp    
 
  20,448,000 7/2/10 (3.4075%) USA Non Revised --
        Consumer Price  
        Index- Urban  
        (CPI-U)  
 
  21,900,000 (1)(F) 9/1/08 66.7 bp plus The spread (2,154,960)
      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    
 
  22,550,000 (2)(F) 7/2/08 (Beginning The spread 2,156,547
      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  
      minus 230 bp)    
 
  12,440,000 (2) 7/1/08 (Beginning The spread (553,733)
      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  
      minus 100 bp)    
 
  8,646,000 (1)(F) 8/1/08 Lehman Brothers The spread (83,486)
      SD CMBS AAA 8.5+ return of Lehman  
      Index multiplied Brothers SD CMBS  
      by the modified AAA 8.5+ Index  
      duration factor    
      plus 40 bp    
 
  8,646,000 (1)(F) 8/1/08 Lehman Brothers The spread (79,163)
      SD CMBS AAA 8.5+ return of Lehman  
      Index multiplied Brothers SD CMBS  
      by the modified AAA 8.5+ Index  
      duration factor    
      plus 50 bp    
 
  22,039,000 (1)(F) 8/1/08 Lehman Brothers The spread (284,435)
      SD CMBS AAA 8.5+ return of Lehman  
      Index multiplied Brothers SD CMBS  
      by the modified AAA 8.5+ Index  
      duration factor    
      minus 25 bp    
 
Merrill Lynch Capital Services      
  15,968,869 10/28/08 3 month USD- Russell 2000 425,680
      LIBOR-BBA minus Total Return  
      105 bp Index  
 
Morgan Stanley Capital Services, Inc.      
  22,374,000 (1)(F) 8/1/08 Beginning The spread (235,755)
      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  
 
Total         $2,423,870

(E) See Total return swap contracts note regarding extended effective dates.

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

(1) Fund receives the net fixed and total return payment if positive and pays the net fixed and total return payment if negative.

(2) Fund pays the net fixed and total return payment if positive and receives the net fixed and total return payment if negative.

Putnam Asset Allocation: Balanced Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/08 (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.              
Abitibibowater, Inc.,              
6 1/2%, 6/15/13 $--   $70,000   12/20/08 550 bp $(2,103)
BSKYB Finance UK PLC,              
5 3/4%, 10/20/17 --   3,585,000   2/20/09 (50 bp) (2,199)
DJ ABX NA CMBX BBB Index 1,501   2,183,000 (F) 10/12/52 (134 bp) 624,665
DJ ABX NA HE AAA Index 171,129   1,474,078 (F) 7/25/45 18 bp 50,446
DJ CDX NA HY Series 10 23,625   900,000   6/20/13 500 bp (28,253)
DJ CDX NA HY Series 9              
Index (37,414)   6,301,350   12/20/12 375 bp (589,502)
Financial Security              
Assurance, Inc. --   120,000 (F) 12/20/12 95 bp (22,647)
Lehman Brothers              
Holdings, 6 5/8%,              
1/18/12 --   565,000   9/20/13 269 bp (1,768)
Marsh & McLennan Co.,              
Inc., 5 3/8%, 7/15/14 --   625,000   3/20/12 (95 bp) (6,825)
Nalco Co. 7.75%,11/15/11 --   60,000   9/20/12 350 bp (1,098)
Visteon Corp., 7%,              
3/10/14 (168,672)   635,000   9/20/13 (500 bp) 47,745
Bear Stearns International, Ltd.              
GATX Corp., 8.875%,              
6/1/09 --   120,000   3/20/16 (100 bp) 2,569
Citibank, N.A.              
Abitibibowater, Inc.,              
6 1/2%, 6/15/13 --   70,000   12/20/08 725 bp (1,501)
Abitibibowater, Inc.,              
6 1/2%, 6/15/13 --   70,000   12/20/08 800 bp (1,244)
Abitibibowater, Inc.,              
6 1/2%, 6/15/13 --   70,000   12/20/08 825 bp (1,158)
Arrow Electronic, Inc.,              
6 7/8%, 6/1/18 --   135,000   3/20/13 (43 bp) 2,271
Conagra Foods, Inc.,              
7%, 10/1/28 --   1,089,000   9/20/10 (27 bp) 2,121
DJ ABX NA HE AAA Index 292,365   2,747,012   7/25/45 18 bp 65,249
Freescale              
Semiconductor, 8 7/8%,              
12/15/14 --   170,000   9/20/12 495 bp (19,196)
Lear Corp., term loan --   350,000   6/20/13 (225 bp) 24,469
Marsh & McLennan Co.,              
Inc., 5 3/8%, 7/15/14 --   380,000   9/20/14 (105 bp) (5,579)
Motorola, Inc., 6.5%,              
9/1/25 --   215,000   3/20/13 (79 bp) 17,456
Rexam PLC, 4 3/8%,              
3/15/13 --   890,000   6/20/13 (145 bp) 2,582
Sanmina-Sci Corp.,              
8 1/8%, 3/1/16 --   465,000   6/20/13 585 bp (17,071)
Sara Lee Corp., 6 1/8%,              
11/1/32 --   330,000   9/20/11 (43 bp) (420)
Seat Pagine Gialle              
S.P.A., 8%, 4/30/14 -- EUR 1,245,000   3/20/13 815 bp (7,970)
Wind Acquisition              
9 3/4%, 12/1/15 -- EUR 42,000   3/20/13 (495 bp) (970)
Yum! Brands, Inc.,              
8 7/8%, 4/15/11 --   $320,000   3/20/13 (65 bp) 5,351
Credit Suisse International              
DJ ABX NA HE AAA Index 346,305   2,277,673   7/25/45 18 bp 159,482
DJ CMB NA CMBX AA Index (78,238)   350,000 (F) 10/12/52 (25 bp) (20,198)
DJ CMB NA CMBX AAA Index 901,135   5,414,000 (F) 12/13/49 8 bp 457,627
DJ CMB NA CMBX AAA Index 3,808,086   24,308,500 (F) 2/17/51 35 bp 2,170,813
DJ CMB NA CMBX AAA Index (185,292)   2,229,000 (F) 12/13/49 (8 bp) (2,695)
Dynegy Holdings, Inc.,              
6 7/8%, 4/1/11 --   105,000   6/20/17 297 bp (11,507)
Echostar DBS Corp.,              
6 5/8%, 10/1/14 --   165,000   6/20/13 (225 bp) 5,291
KB Home, 5 3/4%, 2/1/14 --   1,520,000   9/20/11 (425 bp) (3,082)
Sprint Capital Corp.,              
8 3/8%, 3/15/12 --   930,000   6/20/12 (59 bp) 75,469
Deutsche Bank AG              
DJ ABX NA CMBX AAA Index 59,687   990,000 (F) 2/17/51 35 bp (6,994)

DJ ABX NA HE AAA Index 137,020   1,324,205   7/25/45 18 bp 24,548
DJ CDX NA IG Series 9              
Index 30-100% tranche --   8,050,000 (F) 12/20/12 (27.2 bp) 78,382
DJ CDX NA IG Series 9              
Index 30-100% tranche --   15,660,000 (F) 12/20/12 (65 bp) (93,562)
DJ iTraxx Europe Series              
8 Version 1 (143,405) EUR 1,495,000   12/20/12 (375 bp) (42,913)
DJ iTraxx Europe Series              
9 Version 1 289,981 EUR 4,245,000   6/20/13 (650 bp) (41,644)
France Telecom, 7.25%,              
1/28/13 --   $410,000   6/20/16 70 bp (11,665)
Grohe Holding GmBh,              
8 5/8%, 10/1/14 -- EUR 285,000   6/20/09 400 bp 3,158
Grohe Holding GmBh,              
8 5/8%, 10/1/14 -- EUR 1,035,000   6/20/09 400 bp 11,469
iStar Financial, Inc.,              
6%, 12/15/10 38,475   $570,000   3/20/09 500 bp 20,566
Korea Monetary STAB              
Bond, 5%, 2/14/09 --   4,110,000 (F) 2/23/09 105 bp 7,101
Korea Monetary STAB              
Bond, 5.15%, 2/12/10 --   4,110,000 (F) 2/19/10 115 bp 16,400
Malaysian Government,              
6.844%, 10/1/09 --   5,069,000   10/1/09 90 bp 33,785
Nalco Co. 7.75%,              
11/15/11 --   60,000   12/20/12 363 bp (1,120)
Republic of China, zero              
coupon, 12/5/08 --   6,850,000 (F) 12/12/08 115 bp 23,969
Smurfit Kappa Funding,              
10 1/8%, 10/1/12 -- EUR 560,000   6/20/09 135 bp 107
Unity Media GmBh,              
8 3/4%, 2/15/15 -- EUR 800,000   6/20/13 460 bp (31,304)
Universal Corp., 5.2%,              
10/15/13 --   $790,000   3/20/15 (95 bp) (8,374)
Virgin Media Finance              
PLC, 8 3/4%, 4/15/14 -- EUR 800,000   9/20/13 477 bp (21,142)
Goldman Sachs International              
Any one of the              
underlying securities              
in the basket of BB              
CMBS securities --   $1,804,000   (a) 2.461% (264,461)
Cargill, Inc., 7 3/8%,              
10/1/25 --   150,000   3/20/13 (93 bp) (295)
CSC Holdings, Inc.,              
7 5/8%, 7/15/18 --   605,000   9/20/13 495 bp (2,013)
DJ ABX HE A Index 431,546   644,000   1/25/38 369 bp (149,492)
DJ ABX HE AAA Index 151,354   644,000 (F) 1/25/38 76 bp (197,098)
DJ CDX NA CMBX AAA Index 20,848   570,000   3/15/49 7 bp (19,507)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   11,790,000   12/20/10 429 bp 423,860
DJ CDX NA HY Series 9              
Index 25-35% tranche --   1,235,000   12/20/10 108.65 bp (50,064)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   8,050,000   12/20/10 249 bp (56,585)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   2,840,000   12/20/10 305 bp 18,011
DJ CDX NA HY Series 9              
Index 25-35% tranche --   27,410,000   12/20/10 435 bp 1,024,837
DJ CDX NA IG Series 10              
Index 43,265   2,254,000   6/20/18 (150 bp) 14,598
DJ CDX NA IG Series 10              
Index (145,141)   5,800,000   6/20/13 155 bp (104,636)
DJ CDX NA IG Series 10              
Index (1,226,673)   64,000,000   6/20/13 155 bp (779,722)
DJ CDX NA IG Series 10              
Index (230,976)   17,976,000   6/20/13 155 bp (105,438)
DJ CDX NA IG Series 10              
Index 516,100   22,453,000   6/20/18 (150 bp) 230,535
DJ CDX NA IG Series 10              
Index (683,289)   34,740,000   6/20/13 155 bp (440,679)
DJ CDX NA IG Series 10              
Index 30-100% tranche --   51,560,000   6/20/13 (44.25 bp) 180,158
DJ CDX NA IG Series 8              
Index 248,915   17,775,000   6/20/18 (150 bp) 22,846
General Motors Corp.,              
7 1/8%, 7/15/13 --   40,000   9/20/08 620 bp (394)
General Motors Corp.,              

7 1/8%, 7/15/13 --   180,000   9/20/08 620 bp (1,772)
Lehman Brothers              
Holdings, 6 5/8%,              
1/18/12 --   565,000   9/20/17 (67.8 bp) 58,315
Lighthouse              
International Co, SA,              
8%, 4/30/14 -- EUR 745,000   3/20/13 680 bp (50,229)
Merrill Lynch & Co.,              
5%, 1/15/15 --   $565,000   9/20/17 (59.8 bp) 55,063
Wind Acquisition              
9 3/4%, 12/1/15 -- EUR 745,000   3/20/13 597 bp 61,402
JPMorgan Chase Bank, N.A.              
Codere Finance              
(Luxembourg) S.A.,              
8.25%, 6/15/15 -- EUR 745,000   3/20/13 795 bp 75,071
DJ CDX NA HY Series 9              
Index 25-35% tranche --   $15,660,000   12/20/10 388.75 bp 412,451
DJ CDX NA HY Series 9              
Index 25-35% tranche --   1,266,000   12/20/10 105.5 bp (52,270)
DJ CDX NA IG Series 9              
Index --   980,000 (F) 12/20/12 (13.55 bp) 15,101
DJ CMB NA CMBX AAA Index 267,428   2,241,000 (F) 2/17/51 35 bp 116,487
DJ CMB NA CMBX AAA Index 870,785   6,957,000 (F) 12/13/49 8 bp 300,876
DJ CMB NA CMBX AAA Index 242,201   2,218,000 (F) 2/17/51 35 bp 92,810
DJ iTraxx Europe              
Crossover Series 8              
Version 1 (398,182) EUR 2,980,000   12/20/12 (375 bp) (197,871)
Glencore Funding, LLC,              
6%, 4/15/14 --   $3,150,000   6/20/14 (148 bp) 94,399
iStar Financial, Inc.,              
6%, 12/15/10 37,100   530,000 (F) 3/20/09 500 bp 21,750
Lehman Brothers              
Holdings, 6 5/8%,              
1/18/12 --   1,025,000   6/20/18 (135 bp) 63,353
Sanmina-Sci Corp.,              
8 1/8%, 3/1/16 --   370,000   6/20/13 595 bp (10,406)
Smurfit-Stone Container              
Enterprises, 7 1/2%,              
6/1/13 --   70,000 (F) 3/20/13 685 bp (3,771)
Lehman Brothers Special Financing, Inc.              
Bear Stearns Co., Inc.,              
5.3%, 10/30/15 --   565,000   9/20/17 (77 bp) 10,981
Community Health              
Systems, 8 7/8%, 7/15/15 --   158,000   12/20/12 360 bp (5,617)
Computer Sciences Corp,              
5%, 2/15/13 --   2,870,000   3/20/18 (132 bp) (114,354)
DJ ABX HE A Index 431,546   644,000   1/25/38 369 bp (148,957)
DJ ABX HE A Index 448,275   645,000   1/25/38 369 bp (133,129)
DJ ABX HE AAA Index 151,354   644,000 (F) 1/25/38 76 bp (197,098)
DJ ABX HE AAA Index 180,600   645,000 (F) 1/25/38 76 bp (168,392)
DJ ABX HE PEN AAA Index 62,627   894,668 (F) 5/25/46 11 bp (67,978)
DJ ABX HE PEN AAA Index 64,010   898,392 (F) 5/25/46 11 bp (67,138)
DJ CDX NA CMBX AA Index (15,399)   486,000 (F) 3/15/49 (15 bp) 99,713
DJ CDX NA HY Series 10              
Index 5,648,125   129,100,000   6/20/13 500 bp (1,793,486)
DJ CDX NA HY Series 10              
Index (1,235,938)   28,250,000   6/20/13 (500 bp) 392,455
DJ CDX NA HY Series 10              
Index 23,269   365,000   6/20/13 500 bp 2,229
DJ CDX NA HY Series 8              
Index 35-60% tranche --   19,669,000   6/20/12 104 bp (1,473,781)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   5,000,000   12/20/10 104.5 bp (207,653)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   5,000,000   12/20/10 90 bp (224,975)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   8,050,000   12/20/10 266 bp (23,886)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   16,100,000   12/20/10 295 bp 63,778
DJ CDX NA IG Series 10              
Index 415,117   22,180,000   6/20/18 (150 bp) 133,024
DJ CDX NA IG Series 10              
Index 140,500   9,287,000   6/20/18 (150 bp) 22,385
DJ CDX NA IG Series 10              
Index (4,073,575)   195,750,000   6/20/13 155 bp (2,706,533)
DJ CDX NA IG Series 10              

Index 3,712,936   178,420,000   6/20/13 (155 bp) 2,466,920
DJ CDX NA IG Series 10              
Index 30-100% tranche --   17,192,450 (F) 6/20/13 (42 bp) 64,758
DJ CDX NA IG Series 9              
Index (327,177)   7,063,500   12/20/17 (80 bp) (45,728)
DJ CMB NA CMBX AAA Index 1,006,698   8,510,000 (F) 2/17/51 35 bp 433,516
DJ iTraxx Europe Series              
9 Version 1 (170,367) EUR 1,225,000   6/20/13 650 bp (74,668)
DJ LCDX NA Series 9              
Index, 30-100% tranche --   $2,500,000 (F) 12/20/12 96 bp 14,593
Domtar Corp., 7 1/8%,              
8/15/15 --   120,000   12/20/11 (250 bp) 1,291
FirstEnergy Corp.,              
7 3/8%, 11/15/31 --   2,795,000   12/20/11 (79 bp) (2,519)
GMAC, LLC, 6 7/8%,              
8/28/12 71,875   1,250,000   3/20/09 500 bp (7,803)
Goldman Sachs Group,              
Inc., 6.6%, 1/15/12 --   565,000   9/20/17 (58 bp) 31,320
Jefferson Smurfit              
Corp., 7 1/2%, 6/1/13 --   110,000 (F) 3/20/13 645 bp (7,385)
Macy's Retail Holdings,              
Inc., 6 5/8%, 4/1/11 --   4,375,000   6/20/11 (195 bp) 9,381
MediaCom, LLC/ Cap              
Corp., 9 1/2%, 1/15/13 --   1,010,000   9/20/13 820 bp 1,142
Morgan Stanley Dean              
Witter, 6.6%, 4/1/12 --   565,000   9/20/17 (60.5 bp) 46,607
Morgan Stanley Dean              
Witter, 6.6%, 4/1/12 --   565,000   9/20/12 48 bp (32,465)
Sungard Data Systems,              
Inc., 9 1/8%, 8/15/13 --   60,000   9/20/12 395 bp (862)
Merrill Lynch Capital Services, Inc.              
General Motors Corp.,              
7 1/8%, 7/15/13 --   125,000   9/20/08 500 bp (1,622)
Merrill Lynch International              
Dynegy Holdings, Inc.,              
6 7/8%, 4/1/11 --   105,000   6/20/17 295 bp (11,625)
KinderMorgan, 6 1/2%,              
9/1/12 --   122,000   9/20/12 (128 bp) 1,147
Lehman Brothers              
Holdings, 6 5/8%,              
1/18/12 --   1,025,000   6/20/18 (130 bp) 66,669
Morgan Stanley Capital Services, Inc.            
Bundesrepublic of              
Deutschland, 6%, 6/20/16 --   3,465,000   6/20/18 8 bp (2,264)
Cargill, Inc., 7 3/8%,              
10/1/25 --   950,000   3/20/13 (90 bp) 1,128
DJ ABX NA CMBX AAA Index 615,410   8,646,000 (F) 3/15/49 7 bp 14,135
DJ CDX NA IG Series 10              
Index 180,248   9,252,000   6/20/18 (150 bp) 62,578
DJ CDX NA IG Series 10              
Index 777,017   47,450,000   6/20/18 (150 bp) 173,532
DJ CDX NA IG Series 10              
Index 30-100% tranche --   14,094,000 (F) 6/20/13 (52 bp) (10,992)
DJ CDX NA IG Series 10              
Index 30-100% tranche --   7,070,000 (F) 6/20/13 (38.6 bp) 37,556
DJ CMB NA CMBX AA Index (99,704)   437,000 (F) 10/12/52 (25 bp) (27,237)
DJ CMB NA CMBX AAA Index 691,331   6,370,500 (F) 2/17/51 35 bp 262,253
DJ CMB NA CMBX AAA Index 378,847   3,098,000 (F) 2/17/51 35 bp 170,184
Dynegy Holdings, Inc.,              
6 7/8%, 4/1/11 --   105,000   6/20/12 225 bp (6,929)
Nalco Co. 7.75%,              
11/15/11 --   65,000   9/20/12 330 bp (1,673)
Nalco Co. 7.75%,              
11/15/11 --   90,000   3/20/13 460 bp 1,271
Republic of Austria,              
5 1/4%, 1/4/11 --   3,465,000   6/20/18 (17 bp) (8,937)
Universal Corp., 5.2%,              
10/15/13 --   2,370,000   3/20/13 (89 bp) (19,752)
Total             $711,715

* 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.

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

Putnam Asset Allocation: Conservative Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 6/30/08 (aggregate face value $99,508,293) (Unaudited)

        Unrealized
    Aggregate Delivery appreciation/
  Value face value date (depreciation)
Australian Dollar $20,504,372 $19,538,531 7/16/08 $965,841
Brazilian Real 1,378,169 1,251,449 7/16/08 126,720
British Pound 18,020,828 17,712,743 9/17/08 308,085
Canadian Dollar 674,242 676,774 7/16/08 (2,532)
Czech Koruna 235,100 234,868 9/17/08 232
Danish Krone 987,798 968,447 9/17/08 19,351
Euro 10,750,947 10,639,169 9/17/08 111,778
Hungarian Forint 26,983 25,607 9/17/08 1,376
Japanese Yen 6,722,966 6,742,432 8/20/08 (19,466)
Malaysian Ringgit 281,409 284,499 1/8/09 (3,090)
Malaysian Ringgit 284,490 292,362 8/20/08 (7,872)
Mexican Peso 4,124,961 4,056,711 7/16/08 68,250
Norwegian Krone 27,158,973 26,966,804 9/17/08 192,169
Polish Zloty 311,879 302,360 9/17/08 9,519
South African Rand 527,892 520,240 7/16/08 7,652
Swiss Franc 8,524,885 8,423,354 9/17/08 101,531
Turkish Lira - New 885,725 871,943 9/17/08 13,782
Total       $1,893,326

Putnam Asset Allocation: Conservative Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 6/30/08 (aggregate face value $211,880,934) (Unaudited)

        Unrealized
    Aggregate Delivery appreciation/
  Value face value date (depreciation)
Australian Dollar $7,310,953 $6,978,996 7/16/08 $(331,957)
British Pound 26,757,578 26,309,064 9/17/08 (448,514)
Canadian Dollar 25,987,753 26,066,866 7/16/08 79,113
Chilean Peso 157,567 176,212 7/17/08 18,645
Chinese Yuan 307,216 305,305 1/8/09 (1,911)
Czech Koruna 882 848 9/17/08 (34)
Euro 79,673,758 78,709,453 9/17/08 (964,305)
Hong Kong Dollar 2,616,333 2,619,789 8/20/08 3,456
Hungarian Forint 27,632 26,221 9/17/08 (1,411)
Japanese Yen 22,381,341 22,554,498 8/20/08 173,157
New Zealand Dollar 1,392,378 1,407,759 7/16/08 15,381
Norwegian Krone 5,230,601 5,205,695 9/17/08 (24,906)
Peruvian New Sol 2,979,054 3,290,299 10/1/08 311,245
Polish Zloty 294,272 287,048 9/17/08 (7,224)
Singapore Dollar 3,939,827 3,903,232 8/20/08 (36,595)
South Korean Won 1,603,245 1,605,534 8/20/08 2,289
Swedish Krona 16,868,204 16,827,692 9/17/08 (40,512)
Swiss Franc 14,257,114 13,942,408 9/17/08 (314,706)
Taiwan Dollar 1,442,314 1,424,043 8/20/08 (18,271)
Turkish Lira - New 245,881 239,972 9/17/08 (5,909)
Total       $(1,592,969)

Putnam Asset Allocation: Conservative Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)

        Unrealized
  Number of   Expiration appreciation/
  contracts Value date (depreciation)
Amsterdam Exchanges Index (Short) 18 $2,415,834 Jul-08 $184,746
Australian Government Treasury Bond 3 yr (Long) 240 57,939,893 Sep-08 182,210
Australian Government Treasury Bond 10 yr (Long) 372 250,198,914 Sep-08 787,366
Canadian Government Bond 10 yr (Long) 11 1,270,071 Sep-08 (7,725)
Canadian Government Bond 10 yr (Short) 29 3,348,368 Sep-08 19,825
Dow Jones Euro Stoxx 50 Index (Short) 1203 64,037,639 Sep-08 4,023,909
Euro-Bobl 5 yr (Long) 21 3,498,451 Sep-08 (50,781)
Euro-Bund 10 yr (Long) 296 51,544,461 Sep-08 (385,536)
Euro-Bund 10 yr (Short) 165 28,732,554 Sep-08 506,246
Euro-CAC 40 Index (Short) 54 3,779,382 Jul-08 189,437
Euro-Dollar 90 day (Short) 130 31,352,750 Jun-09 256,584
Euro-Dollar 90 day (Short) 412 99,101,450 Sep-09 825,404
Euro-Dollar 90 day (Short) 388 93,056,950 Dec-09 836,345
Euro-Dollar 90 day (Short) 22 5,265,975 Mar-10 31,640
Euro-Schatz 2 yr (Long) 199 32,069,177 Sep-08 (205,359)
Euro-Schatz 2 yr (Short) 160 25,784,263 Sep-08 (40,609)
FTSE 100 Index (Long) 448 50,434,019 Sep-08 (1,533,719)
FTSE 100 Index (Short) 193 21,727,156 Sep-08 693,697
Hang Seng Index (Long) 254 36,030,217 Jul-08 (1,019,019)
IBEX 35 Index (Short) 4 753,054 Jul-08 51,405
Japanese Government Bond 10 yr (Long) 20 25,551,783 Sep-08 186,956
OMXS 30 Index (Long) 3 42,995 Jul-08 (4,252)
OMXS 30 Index (Short) 516 7,395,068 Jul-08 709,196
Russell 2000 Index Mini (Long) 46 3,181,820 Sep-08 (158,662)
Russell 2000 Index Mini (Short) 1824 126,166,080 Sep-08 7,093,645
S&P 500 Index (Long) 9 2,882,475 Sep-08 (117,721)
S&P 500 Index E-Mini (Long) 274 17,549,700 Sep-08 (997,520)
S&P 500 Index E-Mini (Short) 461 29,527,050 Sep-08 1,310,623
S&P Mid Cap 400 Index E-Mini (Long) 37 3,038,440 Sep-08 (123,284)
S&P Mid Cap 400 Index E-Mini (Short) 300 24,636,000 Sep-08 998,400
S&P/MIB Index (Short) 18 4,206,306 Sep-08 171,504
S&P/Toronto Stock Exchange 60 Index (Short) 37 6,300,256 Sep-08 136,868
SGX MSCI Singapore Index (Short) 65 3,425,934 Jul-08 69,568
SPI 200 Index (Short) 83 10,329,370 Sep-08 359,669
Sterling Interest Rate 90 day (Long) 56 13,083,863 Dec-08 (120,146)
Sterling Interest Rate 90 day (Long) 50 11,686,381 Mar-09 (130,071)
Sterling Interest Rate 90 day (Long) 189 44,191,001 Jun-09 (523,841)
Sterling Interest Rate 90 day (Long) 218 50,977,062 Sep-09 (570,052)
Tokyo Price Index (Short) 261 32,458,829 Sep-08 2,053,968
U.K. Gilt 10 yr (Long) 20 4,161,403 Sep-08 (80,182)
U.K. Gilt 10 yr (Short) 60 12,484,209 Sep-08 237,832
U.S. Treasury Bond 20 yr (Long) 1253 144,838,969 Sep-08 2,204,138
U.S. Treasury Note 2 yr (Short) 6519 1,376,833,172 Sep-08 (815,596)
U.S. Treasury Note 5 yr (Short) 675 74,624,414 Sep-08 204,041
U.S. Treasury Note 10 yr (Long) 3030 345,183,281 Sep-08 2,748,154
Total       $20,189,301

Putnam Asset Allocation: Conservative Portfolio

WRITTEN OPTIONS OUTSTANDING at 6/30/08 (premiums received $25,248,164) (Unaudited)

  Contract Expiration date/  
  amount strike price Value
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 5.31% versus the three month USD-LIBOR-BBA      
maturing on August 29, 2018. $48,472,000 Aug-08/5.31 2,383,853
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 5.31% versus the three month      
USD-LIBOR-BBA maturing on August 29, 2018. 48,472,000 Aug-08/5.31 120,211
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on      
December 19, 2018. 31,782,000 Dec-08/5.00 1,085,355
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on      
December 19, 2018. 31,782,000 Dec-08/5.00 604,811
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.215% versus the three month USD-LIBOR-BBA maturing on      
February 18, 2020. 41,210,000 Feb-10/5.215 2,046,489
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.215% versus the three month USD-LIBOR-BBA maturing      
on February 18, 2020. 41,210,000 Feb-10/5.215 1,498,808
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 4.735% versus the three month USD-LIBOR-BBA maturing on      
May 19, 2019. 118,299,000 May-09/4.735 3,273,333
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 4.735% versus the three month USD-LIBOR-BBA maturing      
on May 19, 2019. 118,299,000 May-09/4.735 4,814,771
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.22% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 30,431,000 Feb-10/5.22 1,518,811
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.22% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 30,431,000 Feb-10/5.22 1,108,601
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.08% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 30,431,000 Feb-10/5.08 1,352,962
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.08% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 30,431,000 Feb-10/5.08 1,257,713
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-12/5.51 615,348
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-12/5.51 424,837
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 4.935% versus the three month USD-LIBOR-BB      
maturing March 02, 2019. 18,353,000 Feb-09/4.935 614,091
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 4.935% versus the three month      
USD-LIBOR-BBA maturing March 02, 2019. 18,353,000 Feb-09/4.935 493,696
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-12/5.515 309,034
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-12/5.515 211,836
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-12/5.52 123,769
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 84,384
Total     $23,942,713

Putnam Asset Allocation: Conservative Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 6/30/08 (proceeds receivable $418,611,836) (Unaudited)

  Principal Settlement  
Agency amount date Value
FNMA, 6 1/2s, July 1, 2038 $31,000,000 7/14/08 $31,886,408
FNMA, 5 1/2s, July 1, 2038 373,000,000 7/14/08 367,521,563
FNMA, 5s, July 1, 2038 22,000,000 7/14/08 21,080,468
Total     $420,488,439

Putnam Asset Allocation: Conservative Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)

      Upfront   Payments Payments Unrealized
Swap counterparty /   premium Termination made by received by appreciation/
Notional amount   received (paid) date fund per annum fund per annum (depreciation)
Bank of America, N.A.            
  $18,177,000   $-- 1/28/24 3 month USD-LIBOR-BBA 5.2125% $998,378
  7,000,000   -- 3/30/09 3.075% 3 month USD-LIBOR-BBA (55,966)
  20,063,000   -- 5/23/10 3 month USD-LIBOR-BBA 3.155% (115,717)
  22,369,000   -- 6/6/18 4.6675% 3 month USD-LIBOR-BBA (21,829)
  13,689,000   -- 12/22/09 3.965% 3 month USD-LIBOR-BBA (128,384)
  12,300,000   -- 1/14/10 3 month USD-LIBOR-BBA 4.106% 298,344
  15,300,000   -- 4/6/10 4.6375% 3 month USD-LIBOR-BBA (378,634)
  4,260,000   -- 6/17/15 4.555% 3 month USD-LIBOR-BBA (24,483)
  1,540,000   -- 6/23/15 4.466% 3 month USD-LIBOR-BBA (139)
  640,000   -- 6/23/15 4.45% 3 month USD-LIBOR-BBA 559
  770,000   -- 6/24/15 4.39% 3 month USD-LIBOR-BBA 3,504
  6,300,000   -- 10/21/15 4.943% 3 month USD-LIBOR-BBA (201,125)
  1,725,000   -- 10/3/16 5.15630% 3 month USD-LIBOR-BBA (80,708)
  5,000,000   -- 9/1/15 3 month USD-LIBOR-BBA 4.53% 77,590
  4,145,000   -- 5/8/28 4.95% 3 month USD-LIBOR-BBA (24,336)
Bear Stearns Bank plc            
  14,000,000   -- 4/24/12 5.027% 3 month USD-LIBOR-BBA (515,204)
Citibank, N.A.            
  910,000   -- 4/7/14 5.377% 3 month USD-LIBOR-BBA (52,822)
  18,650,000   -- 7/27/09 5.504% 3 month USD-LIBOR-BBA (798,299)
  5,002,000   -- 10/26/12 4.6275% 3 month USD-LIBOR-BBA (103,643)
  26,550,000   -- 11/9/09 4.387% 3 month USD-LIBOR-BBA (450,319)
  27,283,000   -- 11/9/17 5.0825% 3 month USD-LIBOR-BBA (1,004,445)
  690,000   -- 11/9/17 3 month USD-LIBOR-BBA 5.07641% 25,073
  30,302,000   -- 12/24/09 3 month USD-LIBOR-BBA 3.8675% 240,210
  5,702,000   -- 12/24/27 4.9425% 3 month USD-LIBOR-BBA (14,747)
Credit Suisse First Boston International            
  19,400,000   -- 11/17/09 3.947% 3 month USD-LIBOR-BBA (200,934)
Credit Suisse International            
CHF 8,430,000   -- 3/13/18 6 month CHF-LIBOR-BBA 3.3175% (297,609)
CHF 37,220,000   -- 3/15/10 2.59% 6 month CHF-LIBOR-BBA 475,991
CHF 37,220,000   -- 3/15/10 2.6625% 6 month CHF-LIBOR-BBA 424,377
CHF 8,430,000   -- 3/14/18 6 month CHF-LIBOR-BBA 3.3% (309,756)
  $1,853,000   -- 8/29/12 5.04556% 3 month USD-LIBOR-BBA (91,139)
  887,000   -- 3/21/16 3 month USD-LIBOR-BBA 5.20497% 50,672
  3,416,000   -- 10/16/17 3 month USD-LIBOR-BBA 5.297% 188,655
  2,464,000   -- 9/28/16 5.10886% 3 month USD-LIBOR-BBA (124,210)
Deutsche Bank AG            
  925,147   -- 8/2/32 5.86% 3 month USD-LIBOR-BBA (135,588)
  824,399   -- 8/2/22 3 month USD-LIBOR-BBA 5.7756% 95,683
EUR 4,260,000 (E) -- 4/26/38 6 month EUR-EURIBOR-Reuters 5.065% 87,956
EUR 64,840,000 (E) -- 4/30/12 6 month EUR-EURIBOR-Reuters 4.31% (1,374,488)
EUR 55,420,000 (E) -- 4/30/15 4.475% 6 month EUR-EURIBOR-Reuters 1,611,206
EUR 15,520,000 (E) -- 4/30/20 6 month EUR-EURIBOR-Reuters 4.7975% (376,903)
GBP 16,239,000   -- 6/26/10 6 month GBP-LIBOR-BBA 6.18% (31,668)
  $7,727,000   -- 10/16/17 3 month USD-LIBOR-BBA 5.297% 426,739
  5,260,000   -- 11/7/17 3 month USD-LIBOR-BBA 5.056% 183,006
Goldman Sachs Capital Markets, L.P.            
  1,851,643   -- 8/1/32 5.919% 3 month USD-LIBOR-BBA (287,939)
  1,650,000   -- 8/1/22 3 month USD-LIBOR-BBA 5.845% 204,330
  925,147   -- 8/12/32 5.689% 3 month USD-LIBOR-BBA (112,474)
  824,399   -- 8/12/22 3 month USD-LIBOR-BBA 5.601% 80,218
Goldman Sachs International            
  8,146,000   -- 3/11/38 5.029% 3 month USD-LIBOR-BBA (184,028)
EUR 42,560,000   -- 3/26/10 6 month EUR-EURIBOR-Reuters 4.129% (1,392,472)
GBP 35,470,000   -- 3/29/10 6 month GBP-LIBOR-BBA 5.25% (1,242,951)
GBP 8,590,000   -- 3/27/18 5.0675% 6 month GBP-LIBOR-BBA 797,114
  $37,421,000   -- 4/3/18 3 month USD-LIBOR-BBA 4.19% (1,264,927)
CHF 56,930,000   -- 4/5/10 2.89% 6 month CHF-LIBOR-BBA 490,328
CHF 12,990,000   -- 4/3/18 6 month CHF-LIBOR-BBA 3.42% (361,291)
  $1,943,000   -- 4/8/10 3 month USD-LIBOR-BBA 2.64% (27,625)
  4,103,000   -- 4/23/18 4.43% 3 month USD-LIBOR-BBA 65,044
  5,111,000   -- 5/19/18 4.525% 3 month USD-LIBOR-BBA 48,903
  6,902,000   -- 5/30/28 5.014% 3 month USD-LIBOR-BBA (89,882)
JPY 5,488,980,000   -- 5/7/10 6 month JPY-LIBOR-BBA 1.09125% (71,852)
JPY 1,207,570,000 (E) -- 5/7/18 2.205% 6 month JPY-LIBOR-BBA 21,413
  $19,018,000   -- 9/29/08 5.085% 3 month USD-LIBOR-BBA (345,100)
  6,031,000   -- 9/29/16 3 month USD-LIBOR-BBA 5.1275% 309,833
  1,660,000   -- 10/19/16 5.32413% 3 month USD-LIBOR-BBA (94,430)
  11,385,000   -- 6/12/17 3 month USD-LIBOR-BBA 5.7175% 939,457
  11,900,000   -- 7/25/09 5.327% 3 month USD-LIBOR-BBA (480,513)
  27,184,000   -- 11/20/08 5.16% 3 month USD-LIBOR-BBA (309,883)
  6,109,000   -- 11/20/26 3 month USD-LIBOR-BBA 5.261% 277,700
  26,326,000   -- 11/21/08 5.0925% 3 month USD-LIBOR-BBA (292,313)
  5,821,000   -- 11/21/26 3 month USD-LIBOR-BBA 5.2075% 226,127
  5,193,000   -- 12/20/16 3 month USD-LIBOR-BBA 5.074% 182,555
  6,330,000   -- 1/8/12 3 month USD-LIBOR-BBA 4.98% 307,559

  1,510,000   -- 11/9/17 3 month USD-LIBOR-BBA 5.071% 54,238
  2,770,000   -- 4/7/14 5.33842% 3 month USD-LIBOR-BBA (154,888)
  1,017,000   -- 5/3/16 5.565% 3 month USD-LIBOR-BBA (73,367)
  7,002,000   -- 9/14/14 4.906% 3 month USD-LIBOR-BBA (282,635)
  3,416,000   -- 9/14/17 5.0625% 3 month USD-LIBOR-BBA (157,546)
  22,316,700   -- 9/19/09 3 month USD-LIBOR-BBA 4.763% 688,669
  10,473,000   -- 9/21/09 3 month USD-LIBOR-BBA 4.60% 293,497
  2,895,200   -- 9/21/17 5.149% 3 month USD-LIBOR-BBA (149,937)
  1,010,000   -- 11/9/17 3 month USD-LIBOR-BBA 5.08% 36,988
  62,952,000   -- 1/16/18 5.790% 3 month USD-LIBOR-BBA (6,842,826)
JPMorgan Chase Bank, N.A.            
  14,500,000   -- 4/23/17 5.186% 3 month USD-LIBOR-BBA (669,887)
  5,163,000   -- 8/15/11 5.412% 3 month USD-LIBOR-BBA (310,979)
  108,271,000   -- 3/5/18 4.325% 3 month USD-LIBOR-BBA 1,514,813
  20,439,000   -- 3/7/18 4.45% 3 month USD-LIBOR-BBA 78,572
  20,800,000   -- 3/12/18 3 month USD-LIBOR-BBA 4.4525% (88,065)
  5,091,000   -- 3/11/38 5.0025% 3 month USD-LIBOR-BBA (93,574)
  41,043,000   -- 3/11/38 5.03% 3 month USD-LIBOR-BBA (933,495)
  90,389,000   -- 3/15/10 3 month USD-LIBOR-BBA 2.5% (811,351)
  41,018,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.145% (1,567,415)
  106,684,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.13% (4,150,534)
  215,990,000   -- 3/25/10 3 month USD-LIBOR-BBA 2.325% (2,792,188)
  31,000,000   -- 1/17/16 4.946% 3 month USD-LIBOR-BBA (1,379,611)
  1,659,000   -- 9/18/16 5.291% 3 month USD-LIBOR-BBA (105,865)
  47,989,000   -- 4/8/13 3 month USD-LIBOR-BBA 3.58406% (1,249,496)
  22,282,000   -- 9/28/08 5.096% 3 month USD-LIBOR-BBA (411,924)
  27,816,000   -- 5/16/18 4.53% 3 month USD-LIBOR-BBA 249,038
  33,439,000   -- 5/23/10 3 month USD-LIBOR-BBA 3.16% (189,346)
  25,000,000   -- 6/13/13 4.47% 3 month USD-LIBOR-BBA (259,773)
  22,000,000   -- 3/7/15 3 month USD-LIBOR-BBA 4.798% 748,832
  20,800,000   -- 6/27/17 3 month USD-LIBOR-BBA 5.712% 1,684,647
  15,880,000   -- 7/5/17 3 month USD-LIBOR-BBA 4.55% 165,180
  10,050,000   -- 10/10/13 5.054% 3 month USD-LIBOR-BBA (408,419)
  13,990,000   -- 10/10/13 5.09% 3 month USD-LIBOR-BBA (596,110)
  27,115,000   -- 11/20/08 5.165% 3 month USD-LIBOR-BBA (312,316)
  6,092,000   -- 11/20/26 3 month USD-LIBOR-BBA 5.266% 280,678
  2,000,000   -- 7/25/17 3 month USD-LIBOR-BBA 5.652% 190,835
  3,882,000   -- 12/19/16 5.0595% 3 month USD-LIBOR-BBA (132,649)
  2,932,000   -- 1/31/17 3 month USD-LIBOR-BBA 5.415% 224,707
  17,583,000   -- 3/8/17 3 month USD-LIBOR-BBA 5.28% 1,122,220
  7,069,000   -- 9/28/16 3 month USD-LIBOR-BBA 5.1223% 362,532
  2,200,000   -- 8/7/12 3 month USD-LIBOR-BBA 5.194% 123,627
  3,710,000   -- 6/16/15 4.538% 3 month USD-LIBOR-BBA (18,083)
  920,000   -- 6/24/15 4.387% 3 month USD-LIBOR-BBA 4,353
  12,900,000   -- 6/29/15 3 month USD-LIBOR-BBA 4.296% (134,398)
  2,156,000   -- 8/2/15 3 month USD-LIBOR-BBA 4.6570% 53,827
  70,200,000   -- 8/13/12 3 month USD-LIBOR-BBA 5.2% 3,952,874
  13,962,000   -- 8/29/17 5.2925% 3 month USD-LIBOR-BBA (911,463)
  4,241,000   -- 8/29/17 5.263% 3 month USD-LIBOR-BBA (267,826)
  10,473,000   -- 9/21/09 3 month USD-LIBOR-BBA 4.6125% 295,417
  2,895,200   -- 9/21/17 5.15% 3 month USD-LIBOR-BBA (150,147)
  5,149,000   -- 9/27/17 5.2335% 3 month USD-LIBOR-BBA (300,615)
  2,916,000   -- 10/30/12 4.68375% 3 month USD-LIBOR-BBA (67,222)
  3,150,000   -- 11/7/17 3 month USD-LIBOR-BBA 5.05771% 110,013
  26,550,000   -- 11/9/09 4.3975% 3 month USD-LIBOR-BBA (454,439)
  27,283,000   -- 11/9/17 5.0895% 3 month USD-LIBOR-BBA (1,019,181)
  15,893,000   -- 12/11/17 3 month USD-LIBOR-BBA 4.65% 23,205
  5,702,000   -- 12/24/27 4.9675% 3 month USD-LIBOR-BBA (32,736)
  25,700,000   -- 8/4/08 3 month USD-LIBOR-BBA 5.40% 515,510
  14,800,000   -- 8/4/16 3 month USD-LIBOR-BBA 5.5195% 1,236,195
  12,600,000   -- 9/2/15 3 month USD-LIBOR-BBA 4.4505% 130,629
  5,700,000   -- 10/21/15 4.916% 3 month USD-LIBOR-BBA (172,095)
  25,274,000   -- 1/18/18 4.27625% 3 month USD-LIBOR-BBA 391,936
  1,963,000   -- 1/24/18 4.135% 3 month USD-LIBOR-BBA 54,772
  2,618,000   -- 1/24/18 4.175% 3 month USD-LIBOR-BBA 64,476
  2,618,000   -- 1/24/18 4.1625% 3 month USD-LIBOR-BBA 67,158
  54,492,000   -- 1/31/18 3 month USD-LIBOR-BBA 4.25% (1,021,016)
  47,900,000   -- 2/4/10 3 month USD-LIBOR-BBA 2.835% (65,384)
  7,500,000   -- 2/4/18 3 month USD-LIBOR-BBA 4.2625% (132,870)
Lehman Brothers Special Financing, Inc.          
  32,903,000   197,899 2/26/18 4.65% 3 month USD-LIBOR-BBA (229,845)
  1,835,000   (1,270) 3/14/18 3 month USD-LIBOR-BBA 4.35% (24,497)
  7,770,000   -- 3/19/13 3 month USD-LIBOR-BBA 3.0675% (324,203)
  53,341,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.215% (1,868,346)
  99,880,000   -- 3/26/10 3 month USD-LIBOR-BBA 2.3525% (1,242,727)
  99,880,000   -- 3/26/10 3 month USD-LIBOR-BBA 2.395% (1,160,611)
  8,245,000 (E) -- 3/26/38 5.05% 3 month USD-LIBOR-BBA 152,862
  41,018,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.07% (1,707,713)

  16,490,000 (E) -- 3/22/38 5.29% 3 month USD-LIBOR-BBA (495)
  56,325,000   -- 3/20/13 3 month USD-LIBOR-BBA 3.06% (2,370,794)
EUR 10,990,000 (E) -- 3/22/38 6 month EUR-EURIBOR-Reuters 4.864% (45,694)
  $157,300,000   -- 3/25/13 3 month USD-LIBOR-BBA 3.2292% (5,445,128)
  53,400,000   -- 3/25/38 4.583% 3 month USD-LIBOR-BBA 2,631,876
  89,370,000   -- 3/25/10 3 month USD-LIBOR-BBA 2.275% (1,242,308)
GBP 28,370,000   -- 3/22/10 6 month GBP-LIBOR-BBA 5.075% (1,178,586)
GBP 8,000,000   -- 3/20/18 4.99% 6 month GBP-LIBOR-BBA 838,740
EUR 7,170,000 (E) -- 3/29/38 6 month EUR-EURIBOR-Reuters 4.9625% 58,154
  $56,895,000   -- 4/3/18 4.087% 3 month USD-LIBOR-BBA 2,398,943
EUR 65,120,000 (E) -- 4/12/12 6 month EUR-EURIBOR-Reuters 4.10% (1,761,938)
EUR 55,420,000 (E) -- 4/13/15 4.31% 6 month EUR-EURIBOR-Reuters 2,195,989
EUR 15,480,000 (E) -- 4/13/20 6 month EUR-EURIBOR-Reuters 4.6575% (618,019)
  $154,700,000   -- 4/8/13 3.435% 3 month USD-LIBOR-BBA 5,079,510
  158,600,000   -- 4/8/13 3 month USD-LIBOR-BBA 3.435% (5,207,565)
  5,975,000   -- 4/16/18 3 month USD-LIBOR-BBA 4.405% (102,778)
  5,427,000   -- 4/19/38 4.8425% 3 month USD-LIBOR-BBA 88,429
  3,377,000   -- 4/21/38 4.945% 3 month USD-LIBOR-BBA 1,795
  410,000   -- 4/26/38 3 month USD-LIBOR-BBA 4.77% (11,733)
  6,390,000 (E) -- 4/26/38 5.3325% 3 month USD-LIBOR-BBA (21,918)
  30,200,000   -- 5/29/12 5.28% 3 month USD-LIBOR-BBA (1,358,677)
  55,761,000   -- 5/18/18 4.2375% 3 month USD-LIBOR-BBA 1,794,819
  14,700,000   -- 5/9/13 3 month USD-LIBOR-BBA 3.875% (212,832)
EUR 20,314,000 (E) -- 6/3/18 6 month EUR-EURIBOR-Reuters 4.912% (33,272)
  $30,143,000 (E) -- 6/3/18 5.28% 3 month USD-LIBOR-BBA (80,180)
  56,140,000 (E) -- 7/2/18 5.19% 3 month USD-LIBOR-BBA --
EUR 38,500,000 (E) -- 7/2/18 6 month EUR-EURIBOR-Reuters 4.9425% --
  $114,734,000   -- 6/3/10 3 month USD-LIBOR-BBA 3.41% (158,644)
  17,624,000   -- 6/3/38 5.0975% 3 month USD-LIBOR-BBA (374,683)
  77,000,000   -- 6/9/13 4.2075% 3 month USD-LIBOR-BBA 73,506
  6,807,000   -- 6/10/38 5.1275% 3 month USD-LIBOR-BBA (173,569)
EUR 17,460,000 (E) -- 6/11/38 4.52% 6 month EUR-EURIBOR-Reuters 772,687
  $26,200,000 (E) -- 6/11/38 3 month USD-LIBOR-BBA 5.54% 508,804
EUR 10,455,000 (E) -- 6/12/38 4.7625% 6 month EUR-EURIBOR-Reuters 158,070
  $15,685,000 (E) -- 6/12/38 3 month USD-LIBOR-BBA 5.4175% 157,634
EUR 20,314,000 (E) -- 6/12/18 4.7225% 6 month EUR-EURIBOR-Reuters 240,584
  $30,143,000 (E) -- 6/12/18 3 month USD-LIBOR-BBA 5.1575% (52,750)
  6,020,000   -- 8/24/12 5.085% 3 month USD-LIBOR-BBA (307,578)
  12,250,354   -- 8/29/09 5.005% 3 month USD-LIBOR-BBA (431,425)
  24,945,000   -- 8/29/09 5.001% 3 month USD-LIBOR-BBA (879,656)
  3,491,000   -- 8/29/17 5.29125% 3 month USD-LIBOR-BBA (228,512)
  4,425,010   -- 8/29/12 5.075% 3 month USD-LIBOR-BBA (223,882)
  77,000,000   -- 6/24/13 3 month USD-LIBOR-BBA 4.41375% 556,973
  26,210,000   -- 12/28/16 5.084% 3 month USD-LIBOR-BBA (923,468)
  761,781   -- 8/29/17 3 month USD-LIBOR-BBA 5.32% 51,508
  6,002,000   -- 8/3/08 5.425% 3 month USD-LIBOR-BBA (121,125)
  24,138,000   -- 8/3/11 5.445% 3 month USD-LIBOR-BBA (1,493,478)
  26,397,000   -- 8/3/16 5.5675% 3 month USD-LIBOR-BBA (2,295,026)
  41,960,000   -- 9/8/16 5.3275% 3 month USD-LIBOR-BBA (2,821,415)
  20,650,000   -- 9/29/13 5.0555% 3 month USD-LIBOR-BBA (998,043)
  12,553,000   -- 10/23/08 3 month USD-LIBOR-BBA 5.26% 146,229
  5,046,000   -- 10/23/16 3 month USD-LIBOR-BBA 5.3275% 286,241
  12,553,000   -- 10/23/08 5.255% 3 month USD-LIBOR-BBA (145,859)
  5,046,000   -- 10/23/16 5.325% 3 month USD-LIBOR-BBA (285,360)
  17,700,000   -- 11/29/08 3 month USD-LIBOR-BBA 5.045% 193,022
  3,990,000   -- 11/29/16 3 month USD-LIBOR-BBA 5.02% 132,341
  3,010,000   -- 11/29/26 3 month USD-LIBOR-BBA 5.135% 89,338
  29,401,000   -- 3/15/09 4.9298% 3 month USD-LIBOR-BBA (777,212)
  38,000,000   -- 3/16/09 4.9275% 3 month USD-LIBOR-BBA (1,003,513)
  8,672,000   -- 9/11/17 5.0525% 3 month USD-LIBOR-BBA (395,556)
  14,877,800   -- 9/19/09 3 month USD-LIBOR-BBA 4.755% 457,288
  10,473,000   -- 9/24/09 3 month USD-LIBOR-BBA 4.695% 309,636
  2,895,200   -- 9/24/17 5.285% 3 month USD-LIBOR-BBA (180,859)
  5,002,000   -- 10/26/12 4.61375% 3 month USD-LIBOR-BBA (100,772)
  1,720,000   -- 11/7/17 3 month USD-LIBOR-BBA 5.05521% 59,737
  26,550,000   -- 11/9/09 4.403% 3 month USD-LIBOR-BBA (456,508)
  27,283,000   -- 11/9/17 5.067% 3 month USD-LIBOR-BBA (971,640)
  1,750,000   -- 11/9/17 3 month USD-LIBOR-BBA 5.068% 62,448
  11,280,000   -- 12/11/17 3 month USD-LIBOR-BBA 4.839% 180,629
  30,302,000   -- 12/24/09 3 month USD-LIBOR-BBA 3.84625% 230,691
  7,701,000   -- 4/12/12 3 month USD-LIBOR-BBA 5.087% 308,878
  93,233,000   -- 2/8/10 2.728% 3 month USD-LIBOR-BBA 344,025
  67,471,000   -- 2/7/18 4.217% 3 month USD-LIBOR-BBA 1,465,062
  21,224,000   -- 2/21/18 4.599% 3 month USD-LIBOR-BBA (188,005)
  4,300,000   -- 2/4/38 3 month USD-LIBOR-BBA 4.806% (47,372)
EUR 5,495,000 (E) -- 3/26/38 6 month EUR-EURIBOR-Reuters 4.74% (105,060)
  $99,880,000   -- 3/26/10 3 month USD-LIBOR-BBA 2.325% (1,295,921)
EUR 42,560,000   -- 3/29/10 6 month EUR-EURIBOR-Reuters 4.25% (1,267,524)

  $10,760,000 (E) -- 3/29/38 5.31% 3 month USD-LIBOR-BBA (17,539)
Merrill Lynch Capital Services, Inc.        
  5,002,000 -- 10/26/12 4.6165% 3 month USD-LIBOR-BBA (101,346)
  6,200,000 -- 11/6/17 5.00693% 3 month USD-LIBOR-BBA (192,313)
Morgan Stanley Capital Services, Inc.        
GBP 13,270,000 -- 3/28/18 5.065% 6 month GBP-LIBOR-BBA 1,236,142
GBP 55,120,000 -- 3/29/10 6 month GBP-LIBOR-BBA 5.21% (2,012,951)
  $1,502,000 -- 8/29/17 5.26021% 3 month USD-LIBOR-BBA (94,524)
  1,850,000 -- 2/20/17 5.192% 3 month USD-LIBOR-BBA (107,965)
Total         $(42,702,806)

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

Putnam Asset Allocation: Conservative Portfolio

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/08 (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.          
  $8,430,000 (2)(F) 7/2/08 (Banc of America The spread $650,240
        Securities AAA return of Banc  
        10 yr Index of America  
        multiplied by Securities- CMBS  
        the modified AAA 10 year Index  
        duration factor    
        minus 150 bp)    
 
Credit Suisse International        
  16,197,000 (2)(F) 8/1/08 (Beginning The spread 588,178
        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  
        minus 450 bp)    
 
Goldman Sachs International        
  846,000 (F) 9/15/11 678 bp (1 month Ford Credit Auto (11,763)
        USD-LIBOR-BBA) Owner Trust  
          Series 2005-B  
          Class D  
 
EUR 35,056,000 (F) 3/26/09 (2.27%) Eurostat 436,205
          Eurozone HICP  
          excluding tobacco  
 
EUR 16,890,000   4/30/13 2.375% French Consumer (584,137)
          Price Index  
          excluding tobacco  
 
EUR 16,890,000 (F) 4/30/13 (2.41%) Eurostat 803,322
          Eurozone HICP  
          excluding tobacco  
 
EUR 16,890,000   5/6/13 2.34% French Consumer (614,470)
          Price Index  
          excluding tobacco  
 
EUR 16,890,000   5/6/13 (2.385%) Eurostat 682,035
          Eurozone HICP  
          excluding tobacco  
 
GBP 10,134,000   5/9/13 3.10% GBP Non-revised (679,495)
          Retail Price  
          Index  
 
  $24,740,000 (2)(F) 7/2/08 (Banc The spread 1,024,088
        of America return of Banc  
        Securities AAA of America  
        10 year Index Securities- CMBS  
        multiplied by AAA 10 year Index  
        the modified    
        duration factor    
        minus 125 bp)    
 
  7,160,000 (1)(F) 11/2/08 20 bp plus The spread (189,898)
        change in spread return of Banc  
        of Banc of America  
        of America Securities- CMBS  
        Securities AAA AAA 10 year Index  
        10 year Index    
        multiplied by    
        the modified    
        duration factor    
 
JPMorgan Chase Bank, N.A.        
  13,587,918   4/15/09 (3 month USD- A basket (3,011,740)
        LIBOR-BBA plus of common stocks  
        25 bp)    
 
  13,617,516   4/15/09 (3 month USD- A basket 3,681,987
        LIBOR-BBA minus of common stocks  
        40 bp)    
 
  4,634,700 (1)(F) 8/1/08 Change in spread The spread (476,721)
        of Lehman return of Lehman  
        Brothers AAA Brothers AAA  
        8.5+ Commercial 8.5+ CMBS Index  
        Mortgage Backed adjusted by  
        Securities Index modified  
        minus 17.5 bp duration factor  
 
  24,682,927   9/24/08 3 month USD- Russell 2000 1,210,628
        LIBOR-BBA Total Return  
          Index  
 
Lehman Brothers Special Financing, Inc.        
  6,996,000 (2)(F) 8/1/08 (Beginning The spread (414,275)
        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  
 
  6,121,000 (2) 9/1/08 (Beginning The spread (342,562)
        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  
 
  9,262,000 (1) 7/1/08 Lehman Brothers The spread (190,605)
        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 8.5+ Index  
        duration factor    
        minus 75 bp    
 
  17,528,000   7/2/10 (3.4075%) USA Non Revised --
          Consumer Price  
          Index- Urban  
          (CPI-U)  
 
  18,700,000 (1)(F) 9/1/08 66.7 bp plus The spread (1,840,080)
        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    
 
  17,080,000 (2)(F) 7/2/08 (Beginning The spread 1,633,429
        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  
        minus 230 bp)    
 
  10,012,000 (2) 7/1/08 (Beginning The spread (445,657)
        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  
        minus 100 bp)    
 
  6,337,000 (1)(F) 8/1/08 Lehman Brothers The spread (61,190)
        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 8.5+ Index  
        duration factor    
        plus 40 bp    
 
  6,337,000 (1)(F) 8/1/08 Lehman Brothers The spread (58,022)
        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 8.5+ Index  
        duration factor    
        plus 50 bp    
 
  15,998,000 (1)(F) 8/1/08 Lehman Brothers The spread (206,470)
        SD CMBS AAA 8.5+ return of Lehman  
        Index multiplied Brothers SD CMBS  
        by the modified AAA 8.5+ Index  
        duration factor    
        minus 25 bp    
 
Morgan Stanley Capital Services, Inc.      
  16,241,000 (1)(F) 8/1/08 Beginning The spread (171,131)
        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  
 
Total           $1,411,896

(E) See Total return swap contracts note regarding extended effective dates.

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

(1) Fund receives the net fixed and total return payment if positive and pays the net fixed and total return payment if negative.

(2) Fund pays the net fixed and total return payment if positive and receives the net fixed and total return payment if negative.

Putnam Asset Allocation: Conservative Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/08 (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.              
Abitibibowater Inc.,              
6 1/2%, 6/15/13 $--   $30,000   12/20/08 550 bp $(901)
BSKYB Finance UK Plc,              
5 3/4%, 10/20/17 --   3,260,000   2/20/09 (50 bp) (1,999)
DJ ABX NA CMBX BBB Index 1,399   2,035,000 (F) 10/12/52 (134 bp) 582,315
DJ ABX NA HE AAA Index 146,633   1,257,904 (F) 7/25/45 18 bp 43,648
DJ CDX NA HY Series 10 65,625   2,500,000   6/20/13 500 bp (78,481)
DJ CDX NA HY Series 9              
Index (17,634)   2,970,000   12/20/12 375 bp (277,848)
Financial Security              
Assurance Inc. --   105,000 (F) 12/20/12 95 bp (19,816)
Lehman Brothers              
Holdings, 6 5/8%,              
1/18/12 --   485,000   9/20/13 269 bp (1,518)
Marsh & Mclennan Co.              
Inc., 5 3/8%, 7/15/14 --   565,000   3/20/12 (95 bp) (6,170)
Nalco, Co.              
7.75%,11/15/11 --   30,000   9/20/12 350 bp (549)
Bear Stearns International, Ltd.              
GATX Corp., 8.875%,              
6/1/09 --   130,000   3/20/16 (100 bp) 2,783
Citibank, N.A.              
Abitibibowater Inc.,              
6 1/2%, 6/15/13 --   35,000   12/20/08 725 bp (751)
Abitibibowater Inc.,              
6 1/2%, 6/15/13 --   30,000   12/20/08 800 bp (533)
Abitibibowater Inc.,              
6 1/2%, 6/15/13 --   30,000   12/20/08 825 bp (496)
Arrow Electronic Inc.,              
6 7/8%, 6/1/18 --   155,000   3/20/13 (43 bp) 2,607
Conagra Foods Inc., 7%,              
10/1/28 --   946,000   9/20/10 (27 bp) 1,842
DJ ABX NA HE AAA Index 250,599   2,344,945   7/25/45 18 bp 56,725
Freescale              
Semiconductor, 8 7/8%,              
12/15/14 --   80,000   9/20/12 495 bp (9,033)
Lear Corp., term loan --   305,000   6/20/13 (225 bp) 21,323
Marsh & Mclennan Co.              
Inc., 5 3/8%, 7/15/14 --   345,000   9/20/14 (105 bp) (5,065)
Motorola, Inc., 6.5%,              
9/1/25 --   175,000   3/20/13 (79 bp) 14,208
Sara Lee Corp., 6 1/8%,              
11/1/32 --   300,000   9/20/11 (43 bp) (381)
Seat Pagine Gialle              
S.P.A., 8%, 4/30/14 -- EUR 1,000,000   3/20/13 815 bp (6,402)
Yum! Brands Inc.,              
8 7/8%, 4/15/11 --   $270,000   3/20/13 (65 bp) 4,515
Credit Suisse International              
DJ ABX NA HE AAA Index 296,833   1,944,302   7/25/45 18 bp 137,354
DJ CMB NA CMBX AA Index (68,402)   306,000 (F) 10/12/52 (25 bp) (17,659)
DJ CMB NA CMBX AAA Index 2,399,643   14,417,000 (F) 12/13/49 8 bp 1,218,620
DJ CMB NA CMBX AAA Index 3,589,315   22,912,000 (F) 2/17/51 35 bp 2,046,102
Dynegy Holdings Inc.,              
6 7/8%, 4/1/11 --   50,000   6/20/17 297 bp (5,480)
Echostar DBS Corp.,              
6 5/8%, 10/1/14 --   85,000   6/20/13 (225 bp) 2,726
KB Home, 5 3/4%, 2/1/14 --   1,380,000   9/20/11 (425 bp) (2,798)
Sprint Capital Corp,              
8 3/8%, 3/15/12 --   790,000   6/20/12 (59 bp) 64,108
Deutsche Bank AG              
DJ ABX NA CMBX AAA Index 54,261   900,000 (F) 2/17/51 35 bp (6,358)
DJ ABX NA HE AAA Index 117,431   1,130,248   7/25/45 18 bp 21,433
DJ CDX NA IG Series 9              
Index 30-100% tranche --   7,290,000 (F) 12/20/12 (27.2 bp) 70,982
DJ CDX NA IG Series 9              
Index 30-100% tranche --   14,310,000 (F) 12/20/12 (65 bp) (85,497)
DJ iTraxx Europe Series              
8 Version 1 (115,108) EUR 1,200,000   12/20/12 (375 bp) (34,446)
DJ iTraxx Europe Series              
9 Version 1 251,044 EUR 3,675,000   6/20/13 (650 bp) (36,053)
France Telecom, 7.25%,              
1/28/13 --   $390,000   6/20/16 70 bp (11,096)
Grohe Holding GmBh,              

8 5/8%, 10/1/14 -- EUR 245,000   6/20/09 400 bp 2,715
 
Grohe Holding GmBh,              
8 5/8%, 10/1/14 -- EUR 895,000   6/20/09 400 bp 9,918
 
iStar Financial, Inc.,              
6%, 12/15/10 32,738   $485,000   3/20/09 500 bp 17,499
 
Korea Monetary STAB              
Bond, 5%, 2/14/09 --   3,770,000 (F) 2/23/09 105 bp 6,514
 
Korea Monetary STAB              
Bond, 5.15%, 2/12/10 --   3,770,000 (F) 2/19/10 115 bp 15,043
 
Malaysian Government,              
6.844%, 10/1/09 --   4,650,000   10/1/09 90 bp 30,992
 
Nalco, Co. 7.75%,              
11/15/11 --   25,000   12/20/12 363 bp (467)
 
Republic of China, zero              
coupon, 12/5/08 --   6,283,000 (F) 12/12/08 115 bp 21,985
 
Smurfit Kappa Funding,              
10 1/8%, 10/1/12 -- EUR 490,000   6/20/09 135 bp 94
 
Unity Media GmBh,              
8 3/4%, 2/15/15 -- EUR 690,000   6/20/13 460 bp (26,999)
 
Universal Corp., 5.2%,              
10/15/13 --   $710,000   3/20/15 (95 bp) (7,526)
 
Virgin Media Finance              
PLC, 8 3/4%, 4/15/14 -- EUR 690,000   9/20/13 477 bp (18,235)
 
Goldman Sachs International              
Any one of the              
underlying securities              
in the basket of BB              
CMBS securities --   $1,678,000   (a) 2.461% (245,990)
 
Cargill, Inc., 7 3/8%,              
10/1/25 --   135,000   3/20/13 (93 bp) (266)
 
DJ ABX HE A Index 362,525   541,000   1/25/38 369 bp (125,583)
 
DJ ABX HE AAA Index 127,146   541,000 (F) 1/25/38 76 bp (165,574)
 
DJ CDX NA CMBX AAA Index 17,922   490,000   3/15/49 7 bp (16,769)
 
DJ CDX NA HY Series 9              
Index 25-35% tranche --   12,330,000   12/20/10 429 bp 443,274
 
DJ CDX NA HY Series 9              
Index 25-35% tranche --   1,062,000   12/20/10 108.65 bp (43,051)
 
DJ CDX NA HY Series 9              
Index 25-35% tranche --   7,290,000   12/20/10 249 bp (51,243)
 
DJ CDX NA HY Series 9              
Index 25-35% tranche --   2,580,000   12/20/10 305 bp 16,362
 
DJ CDX NA HY Series 9              
Index 25-35% tranche --   25,050,000   12/20/10 435 bp 936,599
 
DJ CDX NA IG Series 10              
Index 38,409   2,001,000   6/20/18 (150 bp) 12,960
 
DJ CDX NA IG Series 10              
Index (127,624)   5,100,000   6/20/13 155 bp (92,007)
 
DJ CDX NA IG Series 10              
Index (1,859,177)   97,000,000   6/20/13 155 bp (1,181,767)
 
DJ CDX NA IG Series 10              
Index (296,236)   23,055,000   6/20/13 155 bp (135,229)
 
DJ CDX NA IG Series 10              
Index 549,981   23,927,000   6/20/18 (150 bp) 245,669
 
DJ CDX NA IG Series 10              
Index (564,294)   28,690,000   6/20/13 155 bp (363,934)
 
DJ CDX NA IG Series 10              
Index 30-100% tranche --   46,920,000   6/20/13 (44.25 bp) 163,945
 
DJ CDX NA IG Series 8              
Index 272,441   19,455,000   6/20/18 (150 bp) 25,006
 
General Motors Corp.,              
7 1/8%, 7/15/13 --   20,000   9/20/08 620 bp (197)
 
General Motors Corp.,              
7 1/8%, 7/15/13 --   90,000   9/20/08 620 bp (886)
 
Lehman Brothers              
Holdings, 6 5/8%,              
1/18/12 --   485,000   9/20/17 (67.8 bp) 50,058
 
Lighthouse              
International Co, SA,              
8%, 4/30/14 -- EUR 680,000   3/20/13 680 bp (45,846)
 
Merrill Lynch & Co.,              
5%, 1/15/15 --   $485,000   9/20/17 (59.8 bp) 47,267
 
Wind Acquisition              
9 3/4%, 12/1/15 -- EUR 680,000   3/20/13 597 bp 56,045
 
JPMorgan Chase Bank, N.A.              
Codere Finance              
(Luxembourg) S.A.,              
8.25%, 6/15/15 -- EUR 680,000   3/20/13 795 bp 68,521
 
DJ CDX NA HY Series 9              
Index 25-35% tranche --   $14,310,000   12/20/10 388.75 bp 376,895
 
DJ CDX NA HY Series 9              
Index 25-35% tranche --   1,089,000   12/20/10 105.5 bp (44,962)
 
DJ CDX NA IG Series 9              

Index --   840,000 (F) 12/20/12 (13.55 bp) 12,944
DJ CMB NA CMBX AAA Index 244,396   2,048,000 (F) 2/17/51 35 bp 106,455
DJ CMB NA CMBX AAA Index 795,810   6,358,000 (F) 12/13/49 8 bp 274,971
DJ CMB NA CMBX AAA Index 221,344   2,027,000 (F) 2/17/51 35 bp 84,818
DJ iTraxx Europe              
Crossover Series 8              
Version 1 (363,442) EUR 2,720,000   12/20/12 (375 bp) (180,608)
Glencore Funding LLC,              
6%, 4/15/14 --   $2,860,000   6/20/14 (148 bp) 85,708
iStar Financial, Inc.,              
6%, 12/15/10 33,250   475,000 (F) 3/20/09 500 bp 19,493
Lehman Brothers              
Holdings, 6 5/8%,              
1/18/12 --   895,000   6/20/18 (135 bp) 55,318
Smurfit-Stone Container              
Enterprises, 7 1/2%,              
6/1/13 --   35,000 (F) 3/20/13 685 bp (1,886)
Lehman Brothers Special Financing, Inc.          
Bear Stearns Co. Inc.,              
5.3%, 10/30/15 --   485,000   9/20/17 (77 bp) 9,426
Community Health              
Systems, 8 7/8%, 7/15/15 --   73,000   12/20/12 360 bp (2,595)
Computer Sciences Corp,              
5%, 2/15/13 --   2,625,000   3/20/18 (132 bp) (104,592)
DJ ABX HE A Index 362,525   541,000   1/25/38 369 bp (125,133)
DJ ABX HE A Index 376,690   542,000   1/25/38 369 bp (111,870)
DJ ABX HE AAA Index 127,146   541,000 (F) 1/25/38 76 bp (165,574)
DJ ABX HE AAA Index 151,760   542,000 (F) 1/25/38 76 bp (141,502)
DJ CDX NA CMBX AA Index (15,241)   481,000 (F) 3/15/49 (15 bp) 98,687
DJ CDX NA HY Series 10              
Index 2,547,125   58,220,000   6/20/13 500 bp (808,805)
DJ CDX NA HY Series 10              
Index (82,469)   1,885,000   6/20/13 (500 bp) 26,187
DJ CDX NA HY Series 10              
Index 120,169   1,885,000   6/20/13 500 bp 11,513
DJ CDX NA HY Series 8              
Index 35-60% tranche --   16,869,000   6/20/12 104 bp (1,263,979)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   4,300,000   12/20/10 104.5 bp (178,582)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   4,300,000   12/20/10 90 bp (193,479)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   7,290,000   12/20/10 266 bp (21,631)
DJ CDX NA HY Series 9              
Index 25-35% tranche --   14,580,000   12/20/10 295 bp 57,757
DJ CDX NA IG Series 10              
Index 338,382   18,080,000   6/20/18 (150 bp) 108,435
DJ CDX NA IG Series 10              
Index 131,710   8,706,000   6/20/18 (150 bp) 20,984
DJ CDX NA IG Series 10              
Index (3,171,457)   152,400,000   6/20/13 155 bp (2,107,155)
DJ CDX NA IG Series 10              
Index 3,314,631   159,280,000   6/20/13 (155 bp) 2,202,281
DJ CDX NA IG Series 10              
Index 30-100% tranche --   14,744,950 (F) 6/20/13 (42 bp) 55,539
DJ CDX NA IG Series 9              
Index (306,727)   6,622,000   12/20/17 (80 bp) (42,870)
DJ CMB NA CMBX AAA Index 900,113   7,609,000 (F) 2/17/51 35 bp 387,617
DJ iTraxx Europe Series              
9 Version 1 (151,592) EUR 1,090,000   6/20/13 650 bp (66,439)
DJ LCDX NA Series 9              
Index, 30-100% tranche --   $2,150,000 (F) 12/20/12 96 bp 12,550
Domtar Corp., 7 1/8%,              
8/15/15 --   110,000   12/20/11 (250 bp) 1,183
FirstEnergy Corp.,              
7 3/8%, 11/15/31 --   2,535,000   12/20/11 (79 bp) (2,285)
GMAC, LLC, 6 7/8%,              
8/28/12 73,600   1,280,000   3/20/09 500 bp (7,990)
Goldman Sachs Group,              
Inc., 6.6%, 1/15/12 --   485,000   9/20/17 (58 bp) 26,885
Jefferson Smurfit              
Corp., 7 1/2%, 6/1/13 --   50,000 (F) 3/20/13 645 bp (3,357)
Macy's Retail Holdings,              
Inc., 6 5/8%, 4/1/11 --   3,965,000   6/20/11 (195 bp) 8,502
Morgan Stanley Dean              
Witter, 6.6%, 4/1/12 --   485,000   9/20/17 (60.5 bp) 40,008
Morgan Stanley Dean              
Witter, 6.6%, 4/1/12 --   485,000   9/20/12 48 bp (27,868)
Sungard Data Systems,              

Inc., 9 1/8%, 8/15/13 -- 30,000   9/20/12 395 bp (431)
Merrill Lynch Capital Services, Inc.            
General Motors Corp.,            
7 1/8%, 7/15/13 -- 65,000   9/20/08 500 bp (843)
Merrill Lynch International            
Dynegy Holdings Inc.,            
6 7/8%, 4/1/11 -- 50,000   6/20/17 295 bp (5,536)
KinderMorgan, 6 1/2%,            
9/1/12 -- 126,000   9/20/12 (128 bp) 1,184
Lehman Brothers            
Holdings, 6 5/8%,            
1/18/12 -- 895,000   6/20/18 (130 bp) 58,213
Morgan Stanley Capital Services, Inc.            
Bundesrepublic of            
Deutschland, 6%, 6/20/16 -- 2,571,000   6/20/18 8 bp (1,680)
Cargill, Inc., 7 3/8%,            
10/1/25 -- 860,000   3/20/13 (90 bp) 1,021
DJ ABX NA CMBX AAA Index 451,058 6,337,000 (F) 3/15/49 7 bp 10,360
DJ CDX NA IG Series 10            
Index 188,480 9,674,500   6/20/18 (150 bp) 65,436
DJ CDX NA IG Series 10            
Index 616,701 37,660,000   6/20/18 (150 bp) 137,728
DJ CDX NA IG Series 10            
Index 30-100% tranche -- 12,088,000 (F) 6/20/13 (52 bp) (9,427)
DJ CDX NA IG Series 10            
Index 30-100% tranche -- 6,235,000 (F) 6/20/13 (38.6 bp) 33,121
DJ CMB NA CMBX AA Index (87,156) 382,000 (F) 10/12/52 (25 bp) (23,809)
DJ CMB NA CMBX AAA Index 638,119 5,319,500 (F) 12/13/49 8 bp 202,352
DJ CMB NA CMBX AAA Index 333,376 3,072,000 (F) 2/17/51 35 bp 126,464
DJ CMB NA CMBX AAA Index 338,736 2,770,000 (F) 2/17/51 35 bp 152,166
DJ CMB NA CMBX AAA Index 1,043,901 7,842,000 (F) 12/13/49 8 bp 401,493
Dynegy Holdings Inc.,            
6 7/8%, 4/1/11 -- 50,000   6/20/12 225 bp (3,300)
Nalco, Co. 7.75%,            
11/15/11 -- 30,000   9/20/12 330 bp (772)
Nalco, Co. 7.75%,            
11/15/11 -- 45,000   3/20/13 460 bp 636
Republic of Austria,            
5 1/4%, 1/4/11 -- 2,571,000   6/20/18 (17 bp) (6,631)
Universal Corp., 5.2%,            
10/15/13 -- 2,130,000   3/20/13 (89 bp) (17,752)
Total           $2,931,845

* 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.

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

Key to holding's currency abbreviations
AED United Arab Emirates Dirham
BRL Brazilian Real
CHF Swiss Franc
EGP Egyptian Pound
EUR Euro
GBP British Pound
INR Indian Rupee
JPY Japanese Yen
USD / $ United States Dollar

NOTES

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

Growth Portfolio $ 2,370,703,449
Balanced Portfolio 2,032,453,459
Conservative Portfolio 1,082,588,287

(RAT) The Moody's, Standard & Poor's or Fitch's ratings indicated are believed to be the most recent ratings available at June 30, 2008 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, 2008. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F." The rating of an insured security represents what is believed to be the most recent rating of the insurer's claims-paying ability available at June 30, 2008 and does not reflect any subsequent changes. 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/(depreciation)
 
Growth Portfolio $ 2,849,867,228 $ 279,347,592 $ (201,221,946) $ 78,125,646
Balanced Portfolio 3,559,307,004 239,482,418 (201,842,764) 37,639,654
Conservative Portfolio 2,013,146,422 91,665,935 (95,701,698) (4,035,763)

(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. Structured Asset Securities Corp. was acquired on 3/4/08 with a cost of $155,376, $325,094 and $217,699 (for Growth, Balanced and Conservative Portfolios, respectively). WAMU Mortgage Pass-Through Certificates was acquired on 3/10/08 with a cost of $170,050, $352,750 and $229,890 (for Growth, Balanced and Conservative Portfolios, respectively). VFB, LLC was acquired on various dates from 6/22/99 to 1/21/00 with a cost of $230,697 (for Conservative Portfolio). The total market value of restricted securities held by the fund did not exceed 0.04% of each fund's net assets.

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

(SEG) These securities, 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, 2008.

(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 rates shown for senior loans are the current interest rates at June 30, 2008. 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. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. At June 30, 2008, the value of securities loaned amounted to $145,431,462, $115,553,948 and $33,717,417 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively). Certain of these securities were sold prior to period-end. The funds received cash collateral of $149,580,794, $118,865,791 and $34,778,679 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively), which is pooled with collateral of other Putnam funds into 67 issues of short-term investments.

(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 fund's manager, a wholly-owned subsidiary of Putnam, LLC. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $7,142,938, $4,385,712 and $4,435,051 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) for the period ended June 30, 2008. During the period ended June 30, 2008, 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 $ 1,157,903,647 $ 1,372,435,007
Balanced Portfolio 944,192,665 1,032,895,564
Conservative Portfolio 911,198,721 890,250,179

(F) Is valued at fair value following procedures approved by the Trustees. On June 30, 2008, fair value pricing was also used for certain foreign securities in the portfolios.

(R) Real Estate Investment Trust.

(SG) Securities on loan, in part or in entirety, at June 30, 2008 (Growth Portfolio).

(SB) Securities on loan, in part or in entirety, at June 30, 2008 (Balanced Portfolio).

(SC) Securities on loan, in part or in entirety, at June 30, 2008 (Conservative Portfolio).

At June 30, 2008, liquid assets totaling $244,121,472, $772,218,300 and $461,891,504 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) have been designated as collateral for open forward commitments, swap contracts and forward 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 or GDR after the name of a foreign holding stands for American Depository Receipts or Global Depository Receipts, respectively, representing ownership of foreign securities on deposit with a custodian bank.

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

The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at June 30, 2008.

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, 2008.

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of issue at June 30, 2008 (as a percentage of Portfolio Value):

Growth Portfolio  
 
United States 71.8%
Japan 4.2
United Kingdom 3.7
France 1.6
Australia 1.3
Italy 1.3
Belgium 1.2
Brazil 1.1
Netherlands 1.0
China 0.9
Germany 0.9
Luxembourg 0.8
Austria 0.8
South Korea 0.7
Switzerland 0.7
Russia 0.7
Sweden 0.7
Canada 0.7
Hong Kong 0.6
Singapore 0.5
Norway 0.5
Taiwan 0.5
Spain 0.5
Other 3.3
Total 100.0%
 
Balanced Portfolio  
 
United States 84.2%
Japan 2.8
United Kingdom 2.7
France 1.1
Australia 0.9
Italy 0.9
Belgium 0.8
Netherlands 0.7
Germany 0.6
Canada 0.5
Switzerland 0.5
Sweden 0.5
Austria 0.5
Other 3.3
Total 100.0%
 
Conservative Portfolio  
 
United States 88.7%
United Kingdom 2.0
Japan 1.8
France 0.8
Australia 0.6
Canada 0.5
Netherlands 0.5
Italy 0.5
Belgium 0.5
Germany 0.5
Other 3.6
Total 100.0%

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

At June 30, 2008, 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 and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.

Certain securities may be valued on the basis of a price provided by a single source.

The fair value of securities is generally determined as the amount that the funds 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.

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.

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, index or other financial measure 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 an unrealized gain or loss. Payments received or made are recorded as a realized gain 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.

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.

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.

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

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

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

Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA 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.

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, on settlement date. 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 funds 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 28, 2008

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, 28 2008

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 28, 2008