N-Q 1 a_assetall.htm PUTNAM ASSET ALLOCATION FUNDS a_assetall.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, 2009     
 
 
Date of reporting period: December 31, 2008     

Item 1. Schedule of Investments:

Putnam Asset Allocation Funds             
 
The fund's portfolio            Growth           Balanced           Conservative
12/31/08 (Unaudited)             
 
COMMON STOCKS(a)            Growth 66.6%           Balanced 55.3%           Conservative 35.8%
  Shares  Value  Shares  Value  Shares  Value 
Basic materials    4.6%    3.8%    2.6% 
Abengoa SA (Spain)  26,072  $437,587  23,144  $388,444  12,276  $206,038 
Acciona SA (Spain)  3,693  469,074  3,053  387,783  1,756  223,042 
Agnico-Eagle Mines, Ltd. (Canada)  9,600  492,768  8,385  430,402  4,400  225,852 
AK Steel Holding Corp.  17,082  159,204  12,780  119,110  4,590  42,779 
Albemarle Corp.  15,825  352,898  13,652  304,440  7,355  164,017 
Amcor, Ltd. (Australia)  378,330  1,562,591  213,601  882,222  68,372  282,392 
Ameron International Corp.  3,460  217,703  2,875  180,895  1,654  104,070 
Andersons, Inc. (The)  24,686  406,825  20,374  335,764  9,561  157,565 
AngloGold Ashanti, Ltd. ADR (South Africa)  9,550  264,631  7,868  218,022  4,515  125,111 
Antofagasta PLC (United Kingdom)  318,783  1,997,297  179,982  1,127,656  57,611  360,955 
Apex Silver Mines, Ltd. (Cayman Islands) (NON)  12,200  11,956  10,500  10,290  5,600  5,488 
Arabtec Holding Co. (United Arab Emirates)  1,301,430  800,793  --  --  --  -- 
Aracruz Celulose SA ADR (Brazil)  4,124  46,519  3,593  40,529  1,907  21,511 
ArcelorMittal (Luxembourg) (Paris Exchange)  201,700  4,882,079  116,811  2,827,370  39,950  966,976 
ArcelorMittal (Luxembourg) (Amsterdam Exchange)  4,560  110,623  3,737  90,658  2,245  54,463 
Aurizon Mines, Ltd. (Canada) (NON)  157,177  509,253  123,673  400,701  57,456  186,157 
Balfour Beatty PLC (United Kingdom)  66,636  322,022  37,623  181,815  12,043  58,198 
Barrick Gold Corp. (Canada) (NY Exchange)  24,500  900,865  21,347  784,929  11,200  411,824 
Barrick Gold Corp. (Canada) (Toronto Exchange)  10,800  397,782  8,900  327,802  5,345  196,865 
BASF SE (Germany)  27,422  1,088,128  17,740  703,938  7,719  306,297 
BHP Billiton, Ltd. (Australia)  88,623  1,896,770  72,576  1,553,321  37,746  807,866 
BHP Billiton PLC (United Kingdom)  47,065  899,291  39,008  745,342  22,526  430,414 
BlueScope Steel, Ltd. (Australia)  352,491  879,758  199,013  496,703  63,703  158,992 
Broadwind Energy, Inc. (NON)  8,883  39,974  7,606  34,227  4,364  19,638 
Buckeye Technologies, Inc. (NON)  39,951  145,422  29,842  108,625  10,549  38,398 
Cameco Corp. (Canada)  9,100  156,975  7,900  136,275  4,200  72,450 
Canfor Corp. (Canada) (NON)  19,131  119,776  16,670  104,368  8,849  55,402 
Ceradyne, Inc. (NON)  7,786  158,134  5,749  116,762  1,990  40,417 
CF Industries Holdings, Inc. (SEG)  31,818  1,564,173  26,379  1,296,792  10,924  537,024 
China Bluechemical, Ltd. (China)  1,902,000  788,998  --  --  --  -- 
China Grand Forestry Green Resources Group, Ltd. (Hong             
Kong) (NON)  1,228,000  51,915  1,070,000  45,235  568,000  24,013 
Cia de Minas Buenaventura SA ADR (Peru)  18,658  371,667  16,152  321,748  8,522  169,758 
Clearwater Paper Corp. (NON)  1,109  9,305  966  8,105  512  4,296 
Cliffs Natural Resources, Inc. (SEG)  63,894  1,636,325  50,990  1,305,854  20,605  527,694 
Coeur d'Alene Mines Corp. (NON)  113,800  100,144  98,500  86,680  51,900  45,672 
Companhia Vale do Rio Doce (CVRD) ADR (Brazil)  46,642  564,835  --  --  --  -- 
Companhia Vale do Rio Doce (CVRD) (Preference A) ADR             
(Brazil)  73,500  782,775  --  --  --  -- 
Crystallex International Corp. (Canada) (NON)  80,500  13,685  69,700  11,849  36,700  6,239 
Deltic Timber Corp.  2,165  99,049  1,887  86,330  1,001  45,796 
Denison Mines Corp. (Canada) (NON)  21,000  25,257  18,300  22,010  9,700  11,667 
Dow Chemical Co. (The) (SEG)  54,897  828,396  45,889  692,465  19,190  289,577 
Eldorado Gold Corp. (Canada) (NON)  56,400  448,380  49,571  394,089  26,120  207,654 
Energy Resources of Australia, Ltd. (Australia)  7,724  104,816  6,732  91,354  3,570  48,445 
Fletcher Building, Ltd. (New Zealand)  122,508  415,718  69,167  234,711  22,140  75,130 
FMC Corp.  34,472  1,541,933  28,816  1,288,940  12,050  538,997 
Freeport-McMoRan Copper & Gold, Inc. Class B  59,842  1,462,538  50,022  1,222,538  20,918  511,236 
Gammon Gold, Inc. (Canada) (NON)  33,966  185,794  29,402  160,829  15,512  84,851 
Givaudan SA (Switzerland)  260  203,412  214  167,424  124  97,012 
Gold Fields, Ltd. ADR (South Africa)  45,200  448,836  39,200  389,256  20,600  204,558 
Goldcorp, Inc. (Canada)  24,200  763,026  20,841  657,117  11,000  346,830 
Golden Star Resources, Ltd. (NON)  82,900  82,900  71,800  71,800  37,800  37,800 
Great Basin Gold, Ltd. (Canada) (NON)  106,409  137,268  86,431  111,496  49,594  63,976 
Grief, Inc. Class A  3,309  110,620  2,883  96,379  1,531  51,181 
Grupo Empresarial Ence SA (Spain)  18,718  66,264  16,310  57,740  8,658  30,651 
Grupo Ferrovial SA (Spain)  13,331  368,772  11,573  320,141  6,183  171,039 
Gunns, Ltd. (Australia)  61,106  50,108  53,244  43,661  28,266  23,179 
Harmony Gold Mining Co., Ltd. ADR (South Africa) (NON)  21,717  238,235  18,091  198,458  10,381  113,880 
Hecla Mining Co. (NON)  62,372  174,642  52,467  146,908  30,106  84,297 
Hokuetsu Paper Mills, Ltd. (Japan)  29,000  177,025  25,000  152,608  13,500  82,408 
Holmen AB Class B (Sweden)  5,800  144,798  5,100  127,322  2,700  67,406 
Iamgold Corp. (Canada)  59,600  364,156  51,600  315,276  27,200  166,192 
Impregilo SpA (Italy) (NON)  94,074  272,052  75,021  216,953  45,306  131,020 
Innophos Holdings, Inc.  12,533  248,279  9,304  184,312  3,282  65,016 
Innospec, Inc. (United Kingdom)  24,098  141,937  18,003  106,038  6,364  37,484 
Insituform Technologies, Inc. (NON)  11,171  219,957  9,198  181,109  5,292  104,199 
International Paper Co.  13,943  164,527  12,149  143,358  6,450  76,110 
Israel Chemicals, Ltd. (Israel)  112,855  789,231  --  --  --  -- 
JFE Holdings, Inc. (Japan)  16,700  440,740  9,400  248,081  3,000  79,175 
Kaiser Aluminum Corp.  8,841  199,099  6,596  148,542  2,332  52,517 
Kinross Gold Corp. (Canada)  34,200  629,964  29,600  545,232  15,600  287,352 
Koninklijke DSM NV (Netherlands)  20,641  531,336  11,654  299,995  3,731  96,043 
Koppers Holdings, Inc.  16,586  358,589  12,317  266,294  4,429  95,755 
Layne Christensen Co. (NON)  13,311  319,597  11,103  266,583  6,387  153,352 
Linde AG (Germany)  2,387  202,846  1,965  166,985  1,147  97,472 
Matsushita Electric Works, Ltd. (Japan)  45,000  399,241  25,000  221,801  8,000  70,976 
MeadWestvaco Corp.  9,911  110,904  8,635  96,626  4,584  51,295 
Minefinders Corp. (Canada) (NON)  15,300  78,795  13,300  68,495  7,000  36,050 
Monsanto Co.  51,320  3,610,362  42,141  2,964,619  17,623  1,239,778 
Mosaic Co. (The)  60,093  2,079,218  50,232  1,738,027  21,006  726,808 
Mueller Water Products, Inc. Class A  38,257  321,359  31,977  268,607  18,397  154,535 
New Gold, Inc. (Canada) (NON)  71,718  104,573  61,313  89,401  35,182  51,299 
Newmont Mining Corp.  17,800  724,460  15,400  626,780  8,100  329,670 
Northgate Minerals Corp. (Canada) (NON)  87,200  72,376  75,500  62,665  39,800  33,034 
Northwest Pipe Co. (NON)  4,475  190,680  3,681  156,847  2,306  98,259 
Oilsands Quest, Inc. (Canada) (NON)  28,742  20,982  24,795  18,100  13,358  9,751 
OJI Paper Co., Ltd. (Japan)  50,000  293,289  44,000  258,094  23,000  134,913 
Olympic Steel, Inc.  15,463  314,981  11,661  237,535  4,108  83,680 
OM Group, Inc. (NON)  21,667  457,390  15,859  334,783  5,580  117,794 
Packaging Corp. of America  34,307  461,772  28,991  390,219  12,993  174,886 
Paladin Energy, Ltd. (Australia) (NON)  36,243  64,626  31,588  56,326  16,754  29,875 
PAN American Silver Corp. (Canada) (NON)  12,200  208,254  10,600  180,942  5,600  95,592 
Perini Corp. (NON)  11,953  279,461  8,854  207,007  3,131  73,203 
Plum Creek Timber Company, Inc. (R)  6,536  227,061  5,695  197,844  3,023  105,019 
Portucel Empresa Produtora de Pasta e Papel SA             
(Portugal)  66,847  145,122  58,247  126,451  30,922  67,130 
POSCO (South Korea)  2,684  791,300  --  --  --  -- 
Potash Corp. of Saskatchewan, Inc. (Canada) (NY             
Exchange)  29,208  2,138,610  24,415  1,787,666  10,210  747,576 
Potash Corp. of Saskatchewan, Inc. (Canada) (Toronto             
Exchange)  2,568  189,421  2,159  159,253  1,232  90,875 
Potlatch Corp. (R)  3,882  100,971  3,382  87,966  1,795  46,688 
PV Crystalox Solar PLC (United Kingdom)  48,214  70,633  45,460  66,599  24,492  35,881 
Rangold Resources, Ltd. ADR (Jersey)  9,800  430,416  8,500  373,320  4,500  197,640 
Rayonier, Inc.  5,227  163,866  4,554  142,768  2,418  75,804 
Royal Gold, Inc.  5,937  292,160  4,966  244,377  2,850  140,249 
Salzgitter AG (Germany)  4,545  360,489  3,751  297,513  2,232  177,032 
Sappi, Ltd. ADR (South Africa)  16,634  65,039  14,493  56,668  7,694  30,084 
Schnitzer Steel Industries, Inc. Class A  11,880  447,282  9,931  373,902  4,152  156,323 
Seabridge Gold, Inc. (Canada) (NON)  8,500  111,180  7,300  95,484  3,900  51,012 
Silgan Holdings, Inc.  10,221  488,666  7,616  364,121  2,676  127,940 
Silver Standard Resources, Inc. (Canada) (NON)  13,400  213,596  11,600  184,904  6,100  97,234 
Silver Wheaton Corp. (Canada) (NON)  87,924  570,627  68,497  444,546  33,544  217,701 
Sino-Forest Corp. (Canada) (NON)  11,578  94,139  10,089  82,032  5,356  43,549 
Smurfit-Stone Container Corp. (NON)  39,746  10,135  34,632  8,831  18,385  4,688 
Sonoco Products Co.  6,901  159,827  6,013  139,261  3,192  73,927 
Southern Copper Corp.  156,490  2,513,229  130,809  2,100,793  54,703  878,530 
Stora Enso OYJ Class R (Finland)  24,947  195,562  21,737  170,398  11,540  90,463 
Sumitomo Forestry Co., Ltd. (Japan)  19,300  155,913  16,900  136,525  8,900  71,898 
Svenska Cellulosa AB Class B (Sweden)  17,800  153,699  15,600  134,702  8,200  70,805 
Syngenta AG (Switzerland)  5,299  1,019,538  4,372  841,181  2,558  492,164 
Terra Industries, Inc.  70,677  1,178,186  58,229  970,677  23,919  398,730 
Timberwest Forest Corp. (Unit) (Canada)  11,500  33,537  10,021  29,223  5,320  15,514 
Uex Corp. (Canada) (NON)  29,500  16,039  25,700  13,973  13,700  7,449 
Umicore NV/SA (Belgium)  107,610  2,132,251  60,756  1,203,857  19,448  385,355 
UPM-Kymmene OYJ (Finland)  15,054  191,680  13,117  167,017  6,963  88,659 
Uranium One, Inc. (Canada) (NON)  41,300  60,900  36,000  53,085  19,100  28,165 
Usinas Siderurgicas de Minas Gerais (Usiminas)             
(Preference) (Brazil)  61,550  705,709  --  --  --  -- 
Vallourec SA (France)  1,637  186,969  1,390  158,758  732  83,605 
voestalpine AG (Austria)  72,055  1,551,454  43,626  939,334  14,000  301,441 
Votorantim Celulose e Papel SA ADR (Brazil)  9,903  78,531  8,629  68,428  4,581  36,327 
Wausau Paper Corp.  13,776  157,597  12,003  137,314  6,372  72,896 
West Fraser Timber Co., Ltd. (Canada)  4,045  105,965  3,524  92,317  1,871  49,014 
Weyerhaeuser Co.  6,603  202,118  5,753  176,099  3,054  93,483 
Yamana Gold, Inc. (Canada)  43,800  338,136  38,000  293,360  20,000  154,400 
Zhaojin Mining Industry Co., Ltd. (China)  295,500  230,371  243,500  189,832  147,000  114,601 
    66,641,264    47,024,243    21,098,379 

Capital goods    4.7%    4.0%    2.6% 
Acuity Brands, Inc.  10,228  357,059  7,590  264,967  2,614  91,255 
Aecom Technology Corp. (NON)  14,534  446,630  12,174  374,107  7,046  216,524 
AGCO Corp. (NON)  59,553  1,404,855  49,237  1,161,501  20,340  479,821 
Alstom (France)  7,069  419,201  5,859  347,447  3,384  200,676 
American Ecology Corp.  13,863  280,448  10,276  207,883  3,543  71,675 
American Science & Engineering, Inc.  4,343  321,208  3,153  233,196  1,138  84,166 
Andritz AG (Austria)  22,250  571,101  17,302  444,098  5,528  141,890 
Applied Industrial Technologies, Inc.  28,974  548,188  21,536  407,461  7,584  143,489 
Autoliv, Inc. (Sweden)  38,603  828,420  32,269  692,493  13,494  289,581 
Aveng, Ltd. (South Africa)  259,105  852,445  --  --  --  -- 
BAE Systems PLC (United Kingdom)  841,855  4,654,223  529,743  2,928,702  214,634  1,186,611 
Bio-Treat Technology, Ltd. (China) (NON)  678,000  23,925  536,000  18,914  308,000  10,868 
Boeing Co. (The) (SEG)  99,334  4,238,582  83,033  3,543,018  34,723  1,481,630 
Bucyrus International, Inc. Class A  2,928  54,227  2,505  46,393  1,329  24,613 
Calgon Carbon Corp. (NON)  8,851  135,951  7,265  111,590  4,180  64,205 
Canon, Inc. (Japan)  63,350  1,984,276  35,800  1,121,343  11,400  357,076 
Capstone Turbine Corp. (NON)  137,215  115,261  121,400  101,976  64,325  54,033 
Caterpillar, Inc.  20,993  937,757  17,549  783,914  7,338  327,788 
Chart Industries, Inc. (NON)  39,719  422,213  28,665  304,709  10,323  109,733 
Charter PLC (United Kingdom)  9,778  47,327  8,104  39,225  4,680  22,652 
China High Speed Transmission Equipment Group Co.,             
Ltd. (China)  171,000  208,693  141,000  172,080  81,000  98,854 
China National Materials Co., Ltd. (China) (NON)  1,657,000  1,005,698  --  --  --  -- 
CLARCOR, Inc.  4,355  144,499  3,587  119,017  2,064  68,484 
Clean Harbors, Inc. (NON)  6,809  431,963  5,141  326,145  1,816  115,207 
Columbus McKinnon Corp. (NON)  17,358  236,937  12,850  175,403  4,437  60,565 
Conergy AG (Germany) (NON)  6,235  8,828  5,410  7,659  2,886  4,086 
Cummins, Inc. (SEG)  36,101  964,980  30,177  806,631  12,619  337,306 
Daito Trust Construction Co., Ltd. (Japan)  8,600  449,316  7,100  370,947  4,200  219,433 
Dana Holding Corp. (NON)  4,951  3,664  5,392  3,990  2,641  1,954 
Darling International, Inc. (NON)  32,284  177,239  24,370  133,791  8,610  47,269 
Deere (John) & Co.  61,636  2,361,892  51,522  1,974,323  21,545  825,604 
Doosan Heavy Industries and Construction Co., Ltd.             
(South Korea)  6,898  352,709  5,620  287,362  3,313  169,400 
Ebara Corp. (Japan)  102,000  235,250  86,000  198,348  49,000  113,012 
EMCOR Group, Inc. (NON)  25,708  576,630  18,835  422,469  6,832  153,242 
Emerson Electric Co. (SEG)  49,825  1,824,093  41,649  1,524,770  17,417  637,636 
Energy Recovery, Inc. (NON)  24,271  183,974  18,400  139,472  11,791  89,376 
EnergySolutions, Inc.  3,831  21,645  3,707  20,945  1,966  11,108 
Epure International, Ltd. (China)  64,000  11,025  59,000  10,164  34,000  5,857 
Esterline Technologies Corp. (NON)  5,498  208,319  4,058  153,758  1,408  53,349 
European Aeronautic Defense and Space Co. (Netherlands)  205,018  3,475,883  117,160  1,986,335  37,445  634,844 
Finmeccanica SpA (Italy)  84,978  1,308,427  70,335  1,082,965  41,014  631,502 
Flowserve Corp.  16,419  845,579  13,725  706,838  5,739  295,559 
Fluor Corp.  21,588  968,654  18,046  809,724  7,546  338,589 
Foster Wheeler, Ltd. (NON)  33,974  794,312  28,399  663,969  11,876  277,661 
Franklin Electric Co., Inc.  4,717  132,595  3,876  108,954  2,230  62,685 
Fuel Systems Solutions, Inc. (NON)  3,830  125,471  2,888  94,611  1,025  33,579 
Fuel Tech, Inc. (NON)  24,655  261,096  21,600  228,744  11,412  120,853 
Gardner Denver, Inc. (NON)  14,709  343,308  10,798  252,025  3,760  87,758 
General Cable Corp. (NON)  13,766  243,521  9,984  176,617  3,757  66,461 
General Dynamics Corp.  48,152  2,773,074  40,251  2,318,055  16,832  969,355 
Glory, Ltd. (Japan)  61,800  1,206,067  51,100  997,250  29,500  575,712 
GLV, Inc. Class A (Canada) (NON)  13,266  84,695  11,213  71,588  6,451  41,186 
Gorman-Rupp Co. (The)  7,188  223,691  6,207  193,162  3,316  103,194 
GrafTech International, Ltd. (NON)  16,543  137,638  12,194  101,454  4,245  35,318 
GUD Holdings, Ltd. (Australia)  10,939  46,643  9,282  39,578  5,340  22,769 
Heico Corp.  7,011  272,237  5,237  203,353  1,851  71,874 
Hyflux, Ltd. (Singapore)  65,000  81,730  54,000  67,899  31,000  38,979 
Illinois Tool Works, Inc.  40,295  1,412,340  33,683  1,180,589  14,085  493,679 
Insteel Industries, Inc.  7,669  86,583  5,741  64,816  2,063  23,291 
ITT Corp.  5,719  263,017  4,736  217,809  2,725  125,323 
John Bean Technologies Corp.  8,923  72,901  6,547  53,489  2,366  19,330 
Joy Global, Inc.  52,623  1,204,540  44,177  1,011,212  18,793  430,172 
Knoll, Inc.  28,308  255,338  20,978  189,222  7,560  68,191 
Kurita Water Industries, Ltd. (Japan)  21,600  580,612  17,900  481,155  10,500  282,242 
Lindsay Corp.  4,171  132,596  3,432  109,103  1,834  58,303 
Lockheed Martin Corp. (SEG)  11,453  962,968  9,574  804,982  4,003  336,572 
MAN AG (Germany)  1,830  101,354  1,034  57,268  331  18,332 
Manitowoc Co., Inc. (The)  93,045  805,770  77,776  673,540  32,525  281,667 
Met-Pro Corp.  3,835  51,082  3,457  46,047  1,847  24,602 
Mitsubishi Electric Corp. (Japan)  218,000  1,361,176  151,000  942,833  73,000  455,807 
Moog, Inc. (NON)  19,088  698,048  14,264  521,634  4,980  182,119 
Murray & Roberts Holdings, Ltd. (South Africa)  137,544  707,864  --  --  --  -- 
Nalco Holding Co.  12,597  145,369  10,548  121,724  6,069  70,036 
Northrop Grumman Corp.  15,165  683,032  12,677  570,972  5,301  238,757 
NSK, Ltd. (Japan)  63,000  236,045  52,000  194,830  31,000  116,149 
Orbital Sciences Corp. (NON)  14,049  274,377  10,515  205,358  3,592  70,152 
Organo Corp. (Japan)  11,000  71,218  9,000  58,269  5,000  32,372 
Parker-Hannifin Corp.  12,124  515,755  10,135  431,143  4,238  180,285 
Pentair, Inc.  11,864  280,821  9,864  233,481  5,675  134,327 
Pitney Bowes, Inc.  46,968  1,196,745  39,261  1,000,370  16,418  418,331 
Pliant Corp. (F)(NON)  --  --  --  --  3  1 
Prysmian SpA (Italy)  164,786  2,615,430  109,081  1,731,298  35,113  557,302 
Raser Technologies, Inc. (NON)  19,500  73,905  17,000  64,430  9,000  34,110 
Raytheon Co.  70,463  3,596,432  58,900  3,006,256  24,631  1,257,165 
Roper Industries, Inc.  6,648  288,590  5,543  240,622  3,189  138,434 
Samsung Engineering Co., Ltd. (South Korea)  28,117  997,941  --  --  --  -- 
Solon AG Fuer Solartechnik (Germany) (NON)  2,149  44,502  1,865  38,621  989  20,480 
Spirax-Sarco Engineering PLC (United Kingdom)  15,192  201,923  12,762  169,625  7,342  97,586 
Steelcase, Inc.  132,104  742,424  110,425  620,589  46,178  259,520 
Sunpower Corp. Class A (NON)  4,510  166,870  3,746  138,602  2,149  79,513 
Tanfield Group PLC (United Kingdom) (NON)  194,065  14,270  168,398  12,383  89,769  6,601 
Teledyne Technologies, Inc. (NON)  12,276  546,896  9,125  406,519  3,138  139,798 
Tetra Tech, Inc. (NON)  18,794  453,875  15,617  377,151  8,985  216,988 
THK Co., Ltd. (Japan)  10,700  112,188  8,900  93,316  5,100  53,473 
Tomkins PLC (United Kingdom)  119,327  216,871  67,371  122,443  21,565  39,193 
United Technologies Corp.  45,246  2,425,186  37,822  2,027,259  15,816  847,738 
USEC, Inc. (NON)  21,900  98,331  19,100  85,759  10,100  45,349 
Valmont Industries, Inc.  4,000  245,440  3,467  212,735  1,851  113,577 
Vestas Wind Systems A/S (Denmark) (NON)  6,230  371,902  5,219  311,550  2,994  178,728 
Vinci SA (France)  6,417  271,376  5,294  223,884  3,073  129,958 
Wabtec Corp.  14,484  575,739  10,920  434,070  3,859  153,395 
WESCO International, Inc. (NON)  18,210  350,178  13,425  258,163  4,836  92,996 
    67,885,092    49,828,453    21,299,850 
 
Communication services    4.5%    3.2%    2.1% 
AboveNet, Inc. (NON)  150  4,350  --  --  75  2,175 
Adelphia Recovery Trust Ser. ACC-1 (NON)  194,250  7,770  262,238  10,490  121,406  4,856 
Airvana, Inc. (NON)  28,723  175,785  21,680  132,682  7,650  46,818 
America Movil SAB de CV ADR Ser. L (Mexico)  59,274  1,836,901  --  --  --  -- 
AT&T, Inc. (SEG)  309,506  8,820,958  258,713  7,373,321  108,191  3,083,407 
Atlantic Tele-Network, Inc.  13,242  351,575  9,845  261,385  3,480  92,394 
Belgacom SA (Belgium)  12,385  474,401  6,993  267,863  2,239  85,764 
Carphone Warehouse Group PLC (The) (United Kingdom)  196,748  259,116  111,082  146,294  35,557  46,828 
China Mobile, Ltd. (Hong Kong)  192,500  1,951,796  --  --  --  -- 
China Mobile, Ltd. ADR (Hong Kong)  5,300  269,505  --  --  --  -- 
Chunghwa Telecom Co., Ltd. (Taiwan)  521,000  832,924  --  --  --  -- 
Cincinnati Bell, Inc. (NON)  116,280  224,420  81,893  158,053  30,800  59,444 
Comcast Corp. Special Class A  89,866  1,516,938  75,118  1,267,992  31,413  530,251 
DirecTV Group, Inc. (The) (NON)  144,763  3,316,520  121,007  2,772,270  50,603  1,159,315 
DISH Network Corp. Class A (NON)  44,744  496,211  37,402  414,788  15,641  173,459 
Embarq Corp.  22,242  799,822  18,593  668,604  7,775  279,589 
Empressa Nacional de Telecomunicaciones SA (Chile)  60,489  656,765  --  --  --  -- 
France Telecom SA (France)  221,006  6,207,817  129,984  3,651,108  46,072  1,294,112 
Globe Telecom, Inc. (Philippines)  39,510  643,675  --  --  --  -- 
InterDigital, Inc. (NON)  12,005  330,138  8,909  244,998  3,069  84,398 
j2 Global Communications, Inc. (NON)  16,003  320,700  11,917  238,817  4,091  81,984 
KDDI Corp. (Japan)  921  6,545,279  570  4,050,824  224  1,591,903 
Koninklijke (Royal) KPN NV (Netherlands)  44,680  650,625  36,860  536,751  21,399  311,610 
KT Freetel Co., Ltd. (South Korea) (NON)  20,140  500,015  16,620  412,624  9,770  242,560 
Liberty Global, Inc. Class A (NON)  91,119  1,450,614  76,166  1,212,563  31,851  507,068 
Mobile Telesystems ADR (Russia)  27,100  723,028  --  --  --  -- 
MTN Group, Ltd. (South Africa)  109,690  1,275,757  --  --  --  -- 
Nice Systems, Ltd. ADR (Israel) (NON)  13,249  297,705  9,665  217,173  3,387  76,106 
NII Holdings, Inc. (NON)  63,164  1,148,322  52,799  959,886  22,080  401,414 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  1,144  6,134,891  703  3,769,955  277  1,485,459 
Novatel Wireless, Inc. (NON)  19,646  91,157  14,524  67,391  5,022  23,302 
NTELOS Holdings Corp.  12,399  305,759  9,163  225,960  3,170  78,172 
NTT DoCoMo, Inc. (Japan)  87  171,125  72  141,621  43  84,579 
Partner Communications Co., Ltd. (Israel)  35,535  580,064  --  --  --  -- 
Premiere Global Services, Inc. (NON)  31,279  269,312  23,242  200,114  7,996  68,846 
PT Telekomunikasi (Indonesia)  549,000  358,721  --  --  --  -- 
Qatar Telecom Q-Tel QSC (Qatar)  15,000  451,112  --  --  --  -- 
Rogers Communications Class B (Canada)  4,414  133,049  3,700  111,527  2,159  65,078 
Swisscom AG (Switzerland)  1,066  341,779  883  283,106  510  163,515 

Syniverse Holdings, Inc. (NON)  18,494  220,818  13,602  162,408  4,728  56,452 
Taiwan Mobile Co., Ltd. (Taiwan)  266,000  396,112  221,000  329,100  131,000  195,078 
Telecomunicacoes de Sao Paulo SA ADR (Brazil)  20,600  399,846  --  --  --  -- 
Telefonica SA (Spain)  71,335  1,605,738  48,167  1,084,230  21,789  490,466 
Telekom Austria AG (Austria)  14,377  208,681  8,118  117,832  2,599  37,724 
Telekomunikasi Indonesia Tbk PT ADR (Indonesia)  13,346  334,584  --  --  --  -- 
Telephone and Data Systems, Inc.  13,410  425,768  11,210  355,918  4,687  148,812 
Verizon Communications, Inc.  276,055  9,358,265  230,752  7,822,493  96,498  3,271,282 
Vodafone Group PLC (United Kingdom)  450,008  918,929  371,376  758,360  221,086  451,464 
    64,795,142    40,428,501    16,775,684 
 
Conglomerates    1.3%    1.1%    0.7% 
3M Co.  67,946  3,909,613  56,796  3,268,042  23,751  1,366,633 
Ansell, Ltd. (Australia)  66,320  594,491  37,444  335,647  11,986  107,442 
Bouygues SA (France)  71,844  3,053,782  40,563  1,724,160  12,984  551,895 
Danaher Corp.  4,885  276,540  4,096  231,875  2,357  133,430 
General Electric Co. (SEG)  248,513  4,025,911  207,730  3,365,226  86,871  1,407,310 
Hutchison Whampoa, Ltd. (Hong Kong)  106,000  534,716  60,000  302,670  19,000  95,845 
Itochu Corp. (Japan)  299,000  1,496,821  169,000  846,029  54,000  270,329 
Marubeni Corp. (Japan)  147,000  559,047  83,000  315,652  27,000  102,682 
Silex Systems, Ltd. (Australia) (NON)  17,131  35,687  14,931  31,104  7,919  16,497 
Vivendi SA (France)  133,275  4,357,385  90,706  2,965,605  41,901  1,369,940 
Walter Industries, Inc.  19,213  336,420  16,140  282,611  6,943  121,572 
    19,180,413    13,668,621    5,543,575 
 
Consumer cyclicals    4.7%    3.9%    2.4% 
Aeropostale, Inc. (NON)  13,277  213,760  9,695  156,090  3,429  55,207 
Aisin Seiki Co., Ltd. (Japan)  36,400  515,444  20,600  291,707  6,600  93,460 
Amazon.com, Inc. (NON)  2,490  127,687  2,150  110,252  1,158  59,382 
Bayerische Motoren Werke (BMW) AG (Germany)  10,621  327,851  8,840  272,875  5,218  161,070 
Blue Nile, Inc. (NON)  7,758  189,993  5,820  142,532  2,070  50,694 
Bridgestone Corp. (Japan)  166,900  2,501,122  94,200  1,411,658  30,200  452,570 
Brink's Co. (The)  15,908  427,607  13,298  357,450  5,560  149,453 
Buckle, Inc. (The)  27,768  605,898  20,520  447,746  7,312  159,548 
Casey's General Stores, Inc.  11,030  251,153  7,754  176,559  2,900  66,033 
Cash America International, Inc.  10,158  277,821  7,463  204,113  2,639  72,177 
Charlotte Russe Holding, Inc. (NON)  18,392  119,364  13,330  86,512  4,900  31,801 
Chemed Corp.  7,212  286,821  5,345  212,571  1,927  76,637 
Coach, Inc. (NON)  136,234  2,829,580  113,878  2,365,246  47,622  989,109 
Compass Group PLC (United Kingdom)  38,443  193,510  32,535  163,771  17,528  88,230 
Consolidated Graphics, Inc. (NON)  9,554  216,303  7,213  163,302  2,550  57,732 
CTC Media, Inc. (Russia) (NON)  44,118  211,766  36,879  177,019  15,422  74,026 
Daily Mail and General Trust Class A (United Kingdom)  67,920  268,852  38,347  151,791  12,275  48,589 
DaimlerChrysler AG (Germany)  14,091  537,659  11,628  443,680  6,922  264,117 
De La Rue PLC (United Kingdom)  23,243  308,445  19,048  252,775  11,379  151,004 
Deckers Outdoor Corp. (NON)  4,749  379,303  3,554  283,858  1,238  98,879 
Deluxe Corp.  19,582  292,947  14,602  218,446  5,178  77,463 
Desarrolladora Homex SA de CV ADR (Mexico) (NON)  37,500  856,125  --  --  --  -- 
Dolby Laboratories, Inc. Class A (NON)  37,100  1,215,396  31,012  1,015,953  12,968  424,832 
Dollar Tree, Inc. (NON)  39,268  1,641,402  32,825  1,372,085  13,726  573,747 
Dreamworks Animation SKG, Inc. Class A (NON)  9,219  232,872  6,799  171,743  2,371  59,891 
Dress Barn, Inc. (NON)  25,055  269,091  18,589  199,646  6,692  71,872 
Emergency Medical Services Corp. Class A (NON)  9,558  349,918  6,943  254,183  2,500  91,525 
Exide Technologies (NON)  35,791  189,334  29,727  157,256  17,057  90,232 
Experian Group, Ltd. (Ireland)  59,979  381,009  33,864  215,117  10,840  68,860 
EZCORP, Inc. Class A (NON)  56,174  854,407  41,473  630,804  14,576  221,701 
FamilyMart Co., Ltd. (Japan)  11,600  502,815  9,600  416,122  5,700  247,073 
Fiat SpA (Italy)  321,786  2,105,735  181,678  1,188,883  58,154  380,554 
Foot Locker, Inc.  88,051  646,294  73,602  540,239  30,779  225,918 
Geberit International AG (Switzerland)  4,091  437,706  3,433  367,305  1,975  211,310 
Genesco, Inc. (NON)  14,921  252,463  11,122  188,184  3,950  66,834 
Greek Organization of Football Prognostics (OPAP) SA             
(Greece)  51,651  1,492,170  29,161  842,446  9,334  269,654 
Grupo Televisa SA de CV ADR (Mexico)  44,000  657,360  --  --  --  -- 
Guangdong Investment, Ltd. (Hong Kong)  666,000  268,973  548,000  221,317  316,000  127,621 
Gymboree Corp. (The) (NON)  12,761  332,934  9,456  246,707  3,262  85,106 
Hackett Group, Inc. (The) (NON)  61,662  180,053  46,550  135,926  16,450  48,034 
Hasbro, Inc.  51,639  1,506,310  43,166  1,259,152  18,051  526,548 
Healthcare Services Group, Inc.  13,039  207,711  9,696  154,457  3,428  54,608 
Hillenbrand, Inc.  18,162  302,942  13,578  226,481  4,783  79,780 
Home Retail Group (United Kingdom)  59,097  183,870  33,366  103,812  10,681  33,232 
Honda Motor Co., Ltd. (Japan)  15,500  335,413  12,800  276,986  7,500  162,297 
Hyundai Department Store Co., Ltd. (South Korea)  10,892  537,980  --  --  --  -- 
ICF International, Inc. (NON)  12,839  315,454  9,478  232,874  3,282  80,639 
Jakks Pacific, Inc. (NON)  16,069  331,503  11,779  243,001  4,314  88,998 
Jos. A. Bank Clothiers, Inc. (NON)  9,331  244,006  6,624  173,218  2,437  63,728 
Landauer, Inc.  11,779  863,401  8,769  642,768  3,427  251,199 
Lennox International, Inc.  13,189  425,873  9,837  317,637  3,489  112,660 
LG Corp. (South Korea)  30,399  1,060,489  3,660  127,682  2,150  75,004 
Lions Gate Entertainment Corp. (Canada) (NON)  38,027  209,149  28,440  156,420  10,190  56,045 
LVMH Moet Hennessy Louis Vuitton SA (France)  5,847  394,491  4,846  326,954  2,798  188,778 
M.D.C. Holdings, Inc.  19,767  598,940  16,524  500,677  6,909  209,343 
Manpower, Inc.  15,542  528,273  12,992  441,598  5,433  184,668 
Marvel Entertainment, Inc. (NON)  15,195  467,246  11,230  345,323  3,884  119,433 
Mattel, Inc.  87,594  1,401,504  73,220  1,171,520  30,619  489,904 
Mediaset SpA (Italy)  292,271  1,680,256  170,587  980,699  54,380  312,629 
Morningstar, Inc. (NON)  10,780  382,690  9,012  319,926  3,768  133,764 
NBTY, Inc. (NON)  47,127  737,538  39,394  616,516  16,474  257,818 
Next PLC (United Kingdom)  90,986  1,444,948  52,956  840,994  18,259  289,971 
Nintendo Co., Ltd. (Japan)  1,300  498,354  1,100  421,684  600  230,009 
Nissha Printing Co., Ltd. (Japan)  8,200  325,510  6,800  269,935  3,900  154,816 
Panasonic Corp. (Japan)  117,000  1,462,825  70,000  875,195  25,000  312,570 
Perry Ellis International, Inc. (NON)  16,930  107,336  12,824  81,304  4,534  28,746 
Phillips-Van Heusen Corp.  20,281  408,257  14,800  297,924  5,303  106,749 
PRG-Schultz International, Inc. (NON)  14,321  58,430  10,675  43,554  3,815  15,565 
RadioShack Corp.  61,038  728,794  51,022  609,203  21,336  254,752 
Reed Elsevier PLC (United Kingdom)  59,841  442,435  48,983  362,156  29,306  216,674 
Rent-A-Center, Inc. (NON)  19,193  338,756  14,336  253,030  5,068  89,450 
SECOM Co., Ltd. (Japan)  10,900  560,208  9,000  462,557  5,200  267,255 
Sony Corp. (Japan)  43,700  947,904  24,700  535,772  7,900  171,360 
Standard Parking Corp. (NON)  11,135  215,351  8,364  161,760  2,977  57,575 
Stantec, Inc. (Canada) (NON)  10,798  268,193  8,992  223,337  5,173  128,483 
Steinway Musical Instruments, Inc. (NON)  9,996  175,030  7,382  129,259  2,677  46,874 
Steven Madden, Ltd. (NON)  28,542  608,515  21,223  452,474  7,441  158,642 
Swire Pacific, Ltd. (Hong Kong)  287,500  1,993,549  162,500  1,126,788  52,000  360,572 
Tenneco Automotive, Inc. (NON)  28,015  82,644  24,500  72,275  12,935  38,158 
Thomas Cook Group PLC (United Kingdom)  597,984  1,553,203  355,375  923,051  113,982  296,057 
Time Warner Cable, Inc. Class A (NON)  58  1,244  79  1,695  36  772 
Time Warner, Inc.  363,502  3,656,830  303,848  3,056,711  127,066  1,278,284 
TJX Cos., Inc. (The)  39,982  822,430  33,422  687,491  13,976  287,486 
Toro Co. (The)  29,607  977,031  23,897  788,601  9,502  313,566 
Toyota Industries Corp. (Japan)  13,500  288,606  11,000  235,160  6,600  141,096 
Toyota Motor Corp. (Japan)  7,700  251,488  4,300  140,441  1,400  45,725 
Tractor Supply Co. (NON)  3,923  141,777  2,940  106,252  1,050  37,947 
True Religion Apparel, Inc. (NON)  15,125  188,155  11,000  136,840  3,940  49,014 
TUI Travel PLC (United Kingdom)  149,482  512,573  84,397  289,397  27,015  92,634 
Urban Outfitters, Inc. (NON)  70,896  1,062,022  59,262  887,745  24,782  371,234 
Valeo SA (France)  47,613  710,885  26,882  401,361  8,605  128,477 
Vertis Holdings, Inc. (F)(NON)  9,156  9  9,315  9  4,364  4 
Volkswagen AG (Germany)  550  193,480  446  156,895  264  92,870 
Wal-Mart Stores, Inc. (SEG)  121,429  6,807,310  101,502  5,690,202  42,447  2,379,579 
Walt Disney Co. (The)  64,665  1,467,249  54,054  1,226,485  22,604  512,885 
Warnaco Group, Inc. (The) (NON)  19,446  381,725  14,365  281,985  5,168  101,448 
Wheelock and Co., Ltd. (Hong Kong)  131,000  290,211  74,000  163,936  24,000  53,168 
Wiley (John) & Sons, Inc. Class A  14,090  501,322  11,779  419,097  4,925  175,232 
Wolverine World Wide, Inc.  27,912  587,268  20,644  434,350  7,280  153,171 
WPP PLC (United Kingdom)  79,860  472,209  65,905  389,694  39,234  231,989 
    68,198,048    48,508,169    19,693,879 
 
Consumer staples    7.9%    6.8%    4.4% 
AFC Enterprises (NON)  35,344  165,763  26,130  122,550  9,465  44,391 
Alberto-Culver Co.  5,548  135,981  4,058  99,462  1,457  35,711 
Altria Group, Inc. (SEG)  99,749  1,502,220  83,380  1,255,703  34,868  525,112 
Archer Daniels Midland Co.  85,692  2,470,500  71,630  2,065,093  29,954  863,574 
Aryzta AG (Switzerland) (NON)  17,022  548,825  11,757  379,070  3,799  122,488 
BAT Industries PLC (United Kingdom)  28,627  754,509  23,650  623,332  13,706  361,243 
Bidz.com, Inc. (NON)  36,599  168,355  27,520  126,592  9,770  44,942 
BJ's Wholesale Club, Inc. (NON)  46,859  1,605,389  38,387  1,315,139  15,775  540,452 
Boston Beer Co., Inc. Class A (NON)  6,309  179,176  4,627  131,407  1,703  48,365 
Brinker International, Inc.  17,972  189,425  13,520  142,501  4,800  50,592 
Britvic PLC (United Kingdom)  132,596  513,200  109,897  425,346  63,464  245,631 
Bunge, Ltd.  28,986  1,500,605  24,230  1,254,387  10,132  524,534 
Cal-Maine Foods, Inc.  5,524  158,539  4,014  115,202  1,440  41,328 
Campbell Soup Co.  21,682  650,677  18,124  543,901  7,579  227,446 
CEC Entertainment, Inc. (NON)  9,470  229,648  6,666  161,651  2,490  60,383 
Chaoda Modern Agriculture (Hong Kong)  1,602,080  1,031,375  --  --  --  -- 
Chattem, Inc. (NON)  6,630  474,244  4,933  352,857  1,707  122,102 

China Green Holdings, Ltd. (Hong Kong)  747,000  597,125  --  --  --  -- 
Clorox Co.  53,717  2,984,517  44,903  2,494,811  18,777  1,043,250 
Coca-Cola Co. (The)  29,330  1,327,769  24,517  1,109,885  10,252  464,108 
Colgate-Palmolive Co. (SEG)  61,539  4,217,883  51,441  3,525,766  21,511  1,474,364 
Colruyt SA (Belgium)  9,498  2,042,652  7,200  1,548,441  2,328  500,663 
Companhia de Bebidas das Americas (AmBev) ADR (Brazil)  19,000  841,890  --  --  --  -- 
Constellation Brands, Inc. Class A (NON)  62,164  980,326  51,963  819,457  21,730  342,682 
Corn Products International, Inc.  33,207  958,022  27,758  800,818  11,607  334,862 
Cosan, Ltd. Class A (Brazil) (NON)  76,554  264,877  67,200  232,512  35,306  122,159 
Dean Foods Co. (NON)  65,613  1,179,066  54,846  985,583  22,935  412,142 
DeVry, Inc.  9,149  525,244  7,648  439,072  3,198  183,597 
Domino's Pizza, Inc. (NON)  19,651  92,556  14,736  69,407  5,209  24,534 
Dr. Pepper Snapple Group, Inc. (NON)  42,628  692,705  35,633  579,036  14,901  242,141 
Einstein Noah Restaurant Group, Inc. (NON)  18,718  107,629  13,980  80,385  4,823  27,732 
Energizer Holdings, Inc. (NON)  22,738  1,231,035  19,345  1,047,338  8,843  478,760 
Estee Lauder Cos., Inc. (The) Class A  31,682  980,875  26,094  807,870  11,075  342,882 
Fomento Economico Mexicano SA de CV ADR (Mexico)  24,000  723,120  --  --  --  -- 
Fresh Del Monte Produce, Inc. (Cayman Islands) (NON)  15,217  341,165  10,784  241,777  3,983  89,299 
Groupe Danone (France)  4,748  287,772  4,015  243,345  2,157  130,734 
Heineken Holding NV (Netherlands)  30,464  875,817  17,199  494,458  5,505  158,265 
Heineken NV (Netherlands)  62,565  1,930,311  35,323  1,089,817  11,306  348,823 
Herbalife, Ltd. (Cayman Islands)  54,018  1,171,110  43,459  942,191  17,790  385,687 
InBev NV (Belgium)  94,317  2,195,880  53,251  1,239,785  17,046  396,864 
InBev NV 144A (Belgium)  29,564  688,307  26,155  608,938  15,219  354,327 
Inchcape PLC (United Kingdom)  197,814  106,630  158,176  85,263  50,885  27,429 
ITT Educational Services, Inc. (NON)  28,947  2,749,386  23,805  2,260,999  9,695  920,831 
Japan Tobacco, Inc. (Japan)  124  409,710  102  337,020  62  204,855 
Jardine Cycle & Carriage, Ltd. (Singapore)  37,000  246,656  21,000  139,994  7,000  46,665 
KAO Corp. (Japan)  152,000  4,592,879  93,000  2,810,116  36,000  1,087,787 
Kerry Group PLC Class A (Ireland)  94,475  1,730,128  69,867  1,279,480  22,564  413,216 
Kimberly-Clark de Mexico SAB de CV Class A (Mexico)  180,700  604,524  --  --  --  -- 
Koninklijke Ahold NV (Netherlands)  320,296  3,953,167  204,733  2,526,862  85,610  1,056,618 
Kraft Foods, Inc. Class A  66,288  1,779,833  55,410  1,487,759  23,172  622,168 
Kroger Co.  126,463  3,339,888  105,710  2,791,801  44,206  1,167,480 
KT&G Corp. (South Korea)  5,286  329,885  4,363  272,283  2,596  162,009 
Lawson, Inc. (Japan)  7,900  454,607  6,600  379,798  3,800  218,672 
Lion Nathan, Ltd. (Australia)  52,255  305,549  29,502  172,506  9,443  55,216 
McDonald's Corp.  96,662  6,011,410  80,800  5,024,952  33,789  2,101,338 
MWI Veterinary Supply, Inc. (NON)  9,958  268,468  7,477  201,580  2,545  68,613 
Nash Finch Co.  23,287  1,045,353  16,926  759,808  6,128  275,086 
Nestle SA (Switzerland)  91,368  3,576,351  74,966  2,934,340  44,717  1,750,325 
Netflix, Inc. (NON)  8,164  244,022  5,942  177,606  2,127  63,576 
New Oriental Education & Technology Group ADR (China)             
(NON)  4,611  253,190  3,365  184,772  1,179  64,739 
Pepsi Bottling Group, Inc. (The)  109,924  2,474,389  91,885  2,068,331  38,425  864,947 
PepsiCo, Inc. (SEG)  67,743  3,710,284  56,627  3,101,461  23,680  1,296,954 
Philip Morris International, Inc. (SEG)  111,306  4,842,924  92,924  4,043,123  40,337  1,755,063 
Prestige Brands Holdings, Inc. (NON)  38,492  406,091  28,676  302,532  10,258  108,222 
Procter & Gamble Co. (The)  138,223  8,544,946  115,540  7,142,683  48,317  2,986,957 
Reckitt Benckiser PLC (United Kingdom)  26,624  1,006,107  21,880  826,834  13,059  493,493 
Reynolds American, Inc.  10,150  409,147  8,485  342,030  3,548  143,020 
Robert Half International, Inc.  54,270  1,129,901  45,364  944,478  18,970  394,955 
Safeway, Inc.  171,080  4,066,572  143,004  3,399,205  59,803  1,421,517 
Sodexho Alliance SA (France)  5,471  304,039  4,505  250,356  2,631  146,212 
Spartan Stores, Inc.  33,774  785,246  25,235  586,714  8,903  206,995 
Suedzucker AG (Germany)  73,660  1,130,214  41,588  638,112  13,312  204,255 
SunOpta, Inc. (Canada) (NON)  32,000  50,240  27,900  43,803  14,800  23,236 
Swedish Match AB (Sweden)  81,060  1,171,677  45,765  661,508  14,649  211,743 
Toyo Suisan Kaisha, Ltd. (Japan)  148,000  4,244,573  94,000  2,695,877  39,000  1,118,502 
Tyson Foods, Inc. Class A  81,896  717,409  68,457  599,683  28,627  250,773 
Wolseley PLC (United Kingdom)  147,104  831,969  83,054  469,725  26,585  150,356 
Woolworths, Ltd. (Australia)  224,499  4,256,572  126,750  2,403,220  40,572  769,258 
Yum! Brands, Inc.  88,889  2,800,004  74,302  2,340,513  31,072  978,768 
    114,400,024    85,202,012    35,548,018 
 
Energy    7.8%    6.6%    4.3% 
Alpha Natural Resources, Inc. (NON)  27,581  446,536  23,102  374,021  9,875  159,876 
Arch Coal, Inc.  3,510  57,178  3,230  52,617  1,714  27,921 
Areva SA (France)  149  73,478  130  64,109  69  34,027 
Aventine Renewable Energy Holdings, Inc. (NON)  41,678  27,091  36,385  23,650  19,603  12,742 
Ballard Power Systems, Inc. (Canada) (NON)  43,013  48,605  39,800  44,974  21,146  23,895 
Basic Energy Services, Inc. (NON)  28,356  369,762  21,121  275,418  7,605  99,169 
BG Group PLC (United Kingdom)  77,171  1,086,812  63,669  896,661  37,208  524,007 
BP PLC (United Kingdom)  526,327  4,090,790  352,964  2,743,355  161,666  1,256,523 
Bronco Energy, Ltd. (Canada) (NON)  10,513  10,999  9,069  9,488  4,886  5,112 
Callon Petroleum Co. (NON)  17,150  44,590  12,930  33,618  4,570  11,882 
Canadian Oil Sands Trust (Unit) (Canada)  8,080  140,446  6,971  121,170  3,755  65,269 
Canadian Solar, Inc. (China) (NON)  5,180  33,463  4,700  30,362  2,408  15,556 
Centennial Coal Co., Ltd. (Australia)  26,667  63,404  23,103  54,930  12,254  29,135 
Chevron Corp. (SEG)  178,458  13,200,538  149,172  11,034,253  62,382  4,614,397 
China Coal Energy Co. (China)  222,000  179,407  196,000  158,395  103,000  83,238 
China Petroleum & Chemical Corp. (China)  3,221,000  1,984,385  962,000  592,666  578,000  356,093 
China Shenhua Energy Co., Ltd. (China)  438,000  939,311  128,500  275,574  68,000  145,829 
China Sunergy Co., Ltd. ADR (China) (NON)  9,513  37,576  8,368  33,054  4,508  17,807 
CNOOC, Ltd. (Hong Kong)  530,000  503,673  --  --  --  -- 
Compagnie Generale de Geophysique-Veritas SA (France)             
(NON)  130,703  1,959,892  73,793  1,106,526  23,620  354,182 
Complete Production Services, Inc. (NON)  15,061  122,747  11,008  89,715  3,850  31,378 
Comstock Resources, Inc. (NON)  8,954  423,077  6,714  317,237  2,407  113,731 
Connacher Oil and Gas, Ltd. (Canada) (NON)  33,520  20,434  28,917  17,628  15,579  9,497 
ConocoPhillips (SEG)  99,179  5,137,472  82,903  4,294,375  34,669  1,795,854 
CONSOL Energy, Inc.  2,926  83,625  2,579  73,708  1,368  39,097 
Core Laboratories NV (Netherlands)  5,142  307,800  3,847  230,281  1,382  82,727 
Covanta Holding Corp. (NON)  12,600  276,696  11,000  241,560  5,800  127,368 
CVR Energy, Inc. (NON)  27,412  109,648  20,540  82,160  7,380  29,520 
Devon Energy Corp.  6,894  453,005  5,763  378,687  2,409  158,295 
Dresser-Rand Group, Inc. (NON)  89,740  1,548,015  75,014  1,293,992  31,369  541,115 
EDP Renovaveis SA (Spain) (NON)  29,567  207,927  25,048  176,148  14,372  101,070 
Energy XXI Bermuda, Ltd. (Bermuda)  85,814  67,793  64,141  50,671  22,066  17,432 
ENI SpA (Italy)  161,462  3,782,414  91,160  2,135,517  29,180  683,572 
ENSCO International, Inc.  36,723  1,042,566  30,698  871,516  12,837  364,442 
Evergreen Energy, Inc. (NON)  76,800  22,272  66,900  19,401  35,500  10,295 
Evergreen Solar, Inc. (NON)  19,963  63,682  17,300  55,187  9,133  29,134 
Exxon Mobil Corp. (SEG)  331,210  26,440,494  276,855  22,101,335  115,778  9,242,558 
Felix Resources, Ltd. (Australia)  8,735  55,152  7,552  47,683  4,006  25,294 
First Solar, Inc. (NON)  10,539  1,453,960  8,859  1,222,188  4,261  587,848 
Foundation Coal Holdings, Inc.  2,197  30,802  1,909  26,764  1,013  14,202 
FuelCell Energy, Inc. (NON)  43,107  167,255  37,437  145,256  19,857  77,045 
Gamesa Corp Tecnologica SA (Spain)  12,001  218,596  10,141  184,717  5,819  105,992 
Gazprom (Russia)  323,990  1,199,422  --  --  --  -- 
GT Solar International, Inc. (NON)  8,826  25,507  7,614  22,004  4,102  11,855 
Gushan Environmental Energy, Ltd. ADR (China)  45,100  82,984  39,300  72,312  20,800  38,272 
Halliburton Co.  12,158  221,032  10,163  184,763  4,249  77,247 
Headwaters, Inc. (NON)  39,342  265,559  34,318  231,647  18,490  124,808 
Hess Corp.  13,333  715,182  11,145  597,818  4,660  249,962 
Hidili Industry International Development, Ltd. (China)  79,000  25,248  72,000  23,011  38,000  12,145 
Iberdrola Renovables SA (Spain) (NON)  72,086  312,973  60,101  260,938  34,486  149,727 
Inpex Holdings, Inc. (Japan)  31  244,378  25  197,079  15  118,247 
International Coal Group, Inc. (NON)  11,614  26,712  10,397  23,913  5,515  12,685 
ION Geophysical Corp. (NON)  51,894  177,996  38,544  132,206  13,265  45,499 
JA Solar Holdings Co., Ltd. ADR (China) (NON)  23,391  102,219  19,619  85,735  11,257  49,193 
James River Coal Co. (NON)  2,384  36,547  2,069  31,718  1,097  16,817 
Key Energy Services, Inc. (NON)  36,491  160,925  27,360  120,658  9,760  43,042 
LDK Solar Co., Ltd. ADR (China) (NON)  6,355  83,378  5,530  72,554  2,980  39,098 
Lukoil (Russia)  35,264  1,141,811  --  --  --  -- 
MacArthur Coal, Ltd. (Australia)  7,881  17,120  7,149  15,529  3,792  8,237 
Marathon Oil Corp.  189,785  5,192,518  158,640  4,340,390  66,341  1,815,090 
Mariner Energy, Inc. (NON)  24,109  245,912  17,762  181,172  6,163  62,863 
Massey Energy Co. (SEG)  69,212  954,433  58,081  800,937  24,543  338,448 
McMoRan Exploration Co. (NON)  14,123  138,405  10,411  102,028  3,606  35,339 
Nexen, Inc. (Canada)  21,840  385,920  18,040  318,773  10,726  189,532 
Noble Corp.  27,449  606,348  22,945  506,855  9,595  211,954 
Occidental Petroleum Corp. (SEG)  52,766  3,165,432  44,108  2,646,039  18,445  1,106,516 
Oil States International, Inc. (NON)  7,031  131,409  5,131  95,898  1,797  33,586 
OPTI Canada, Inc. (Canada) (NON)  11,597  17,196  10,005  14,836  5,390  7,992 
Patriot Coal Corp. (NON)  2,650  16,563  2,214  13,838  1,174  7,338 
Patterson-UTI Energy, Inc.  45,293  521,322  37,861  435,780  15,832  182,226 
Peabody Energy Corp.  4,066  92,502  3,557  80,922  1,887  42,929 
Petroleo Brasileiro SA ADR (Brazil)  46,883  1,148,165  6,100  149,389  3,730  91,348 
Petroleo Brasileiro SA ADR (Preference) (Brazil)  77,520  1,582,183  --  --  --  -- 
Petroleum Geo-Services ASA (Norway) (NON)  23,150  95,141  19,850  81,579  10,450  42,947 
Q-Cells AG (Germany) (NON)  3,603  131,306  3,022  110,132  1,734  63,193 
Queensland Gas Co., Ltd. (Australia) (F)(NON)  15,061  61,357  12,423  50,610  7,129  29,043 
Renewable Energy Corp. AS (Norway) (NON)  16,974  160,722  14,031  132,855  8,051  76,232 
Repsol YPF SA (Spain)  30,684  656,277  17,324  370,530  5,546  118,619 
Riversdale Mining, Ltd. (Australia) (NON)  16,492  28,506  14,907  25,766  7,606  13,147 
Rosetta Resources, Inc. (NON)  22,613  160,100  16,373  115,921  6,143  43,492 
Royal Dutch Shell PLC Class A (Netherlands)  51,588  1,367,895  29,127  772,325  9,324  247,233 

Royal Dutch Shell PLC Class B (Netherlands)  196,718  5,022,013  118,626  3,028,403  44,559  1,137,547 
Sasol, Ltd. ADR (South Africa)  7,679  232,904  6,800  206,244  3,552  107,732 
Solar Millennium AG (Germany) (NON)  3,273  56,186  2,840  48,753  1,507  25,870 
Solarfun Power Holdings Co., Ltd. ADR (China) (NON)  9,670  48,447  9,026  45,220  4,863  24,364 
Solaria Energia y Medio Ambiente SA (Spain) (NON)  11,927  32,479  10,629  28,945  5,566  15,157 
StatoilHydro ASA (Norway)  254,261  4,216,774  154,584  2,563,688  58,893  976,707 
Stone Energy Corp. (NON)  12,182  134,246  8,971  98,860  3,178  35,022 
Suncor Energy, Inc. (Canada)  8,780  171,210  7,574  147,693  4,081  79,580 
Sunoco, Inc.  59,408  2,581,872  49,660  2,158,224  20,767  902,534 
Suntech Power Holdings Co., Ltd. ADR (China) (NON)  6,872  80,402  6,000  70,200  3,177  37,171 
Swift Energy Co. (NON)  10,461  175,849  7,653  128,647  2,705  45,471 
Tesoro Corp.  117,075  1,541,878  97,862  1,288,843  40,925  538,982 
Theolia SA (France) (NON)  13,828  59,285  11,999  51,443  6,377  27,340 
Tidewater, Inc.  99,016  3,987,374  82,767  3,333,027  34,612  1,393,825 
Total SA (France)  24,474  1,339,881  20,239  1,108,027  11,876  650,177 
Trico Marine Services, Inc. (NON)  14,260  63,742  10,622  47,480  3,796  16,968 
Trina Solar, Ltd. ADR (China) (NON)  4,397  40,848  3,800  35,302  2,028  18,840 
UK Coal PLC (United Kingdom) (NON)  13,973  20,671  12,125  17,937  6,481  9,588 
Unit Corp. (NON)  27,679  739,583  22,418  599,009  8,940  238,877 
UTS Energy Corp. (Canada) (NON)  40,889  26,947  35,274  23,247  19,004  12,524 
Vaalco Energy, Inc. (NON)  36,514  271,664  25,744  191,535  9,691  72,101 
Valero Energy Corp.  51,281  1,109,721  42,866  927,620  17,925  387,897 
VeraSun Energy Corp. (NON)  37,394  2,244  31,589  1,895  17,019  1,021 
W&T Offshore, Inc.  9,236  132,260  6,920  99,094  2,470  35,370 
Willbros Group, Inc. (Panama) (NON)  15,575  131,920  11,278  95,525  4,150  35,151 
Yanzhou Coal Mining Co., Ltd. (China)  158,000  117,571  134,000  99,712  70,000  52,088 
Yingli Green Energy Holding Co., Ltd. ADR (China) (NON)  59,930  365,573  50,196  306,196  28,729  175,247 
    111,735,517    82,149,796    34,833,178 
 
Financials    9.4%    7.4%    4.6% 
3i Group PLC (United Kingdom)  261,930  1,046,708  147,884  590,964  47,337  189,165 
ACE, Ltd. (Switzerland)  16,100  852,012  13,259  701,666  7,898  417,962 
Advanta Corp. Class B  47,732  99,760  35,566  74,333  12,573  26,278 
Agree Realty Corp. (R)  11,156  202,258  8,435  152,927  2,982  54,064 
Aldar Properties PJSC (United Arab Emirates)  622,701  673,071  --  --  --  -- 
Allianz SE (Germany)  12,745  1,372,758  9,195  990,389  4,669  502,896 
Allied Irish Banks PLC (Ireland)  323,717  790,563  182,767  446,343  58,502  142,870 
Allied World Assurance Company Holdings, Ltd. (Bermuda)  7,228  293,457  5,466  221,920  1,932  78,439 
Alpha Bank AE (Greece)  22,321  210,529  18,056  170,302  10,966  103,430 
American Equity Investment Life Holding Co.  50,354  352,478  36,917  258,419  13,585  95,095 
American Financial Group, Inc.  90,380  2,067,894  75,549  1,728,561  31,593  722,848 
Ameriprise Financial, Inc.  73,029  1,705,957  61,045  1,426,011  25,528  596,334 
Amerisafe, Inc. (NON)  24,768  508,487  18,524  380,298  6,548  134,430 
Anglo Irish Bank Corp. PLC (Ireland)  466,307  112,460  263,272  63,494  84,271  20,324 
Arbor Realty Trust, Inc (R)  19,676  58,044  14,876  43,884  5,259  15,514 
Arch Capital Group, Ltd. (Bermuda) (NON)  21,385  1,499,089  17,876  1,253,108  7,475  523,998 
Aspen Insurance Holdings, Ltd. (Bermuda)  17,716  429,613  13,232  320,876  4,677  113,417 
Assured Guaranty, Ltd. (Bermuda)  16,761  191,075  12,486  142,340  4,476  51,026 
Asta Funding, Inc. (SEG)  37,947  103,216  30,715  83,545  12,307  33,475 
AXA SA (France)  49,768  1,114,233  41,109  920,370  25,232  564,908 
Banco do Brasil SA (Brazil)  125,800  798,419  --  --  --  -- 
Banco Itau Holding Financeira SA ADR (Brazil)  80,400  932,640  --  --  --  -- 
Banco Latinoamericano de Exportaciones SA Class E             
(Panama)  41,562  596,830  30,912  443,896  10,945  157,170 
Banco Santander Central Hispano SA (Spain)  101,691  985,563  83,922  813,351  49,960  484,200 
Banco Santander Chile SA ADR (Chile)  13,300  465,899  --  --  --  -- 
Bank of America Corp. (SEG)  239,905  3,377,862  200,534  2,823,519  83,861  1,180,763 
Bank of the Ozarks, Inc.  12,594  373,286  9,372  277,786  3,313  98,197 
Barclays PLC (United Kingdom)  1,066,343  2,438,515  633,988  1,449,805  230,765  527,714 
BlackRock, Inc.  5,267  706,568  4,404  590,797  1,841  246,970 
BNP Paribas SA (France)  67,723  2,871,735  39,338  1,668,094  13,552  574,661 
Cathay General Bancorp  12,085  287,019  8,969  213,014  3,170  75,288 
Center Financial Corp.  30,603  188,821  22,791  140,620  8,147  50,267 
China Life Insurance Co., Ltd. (China)  365,000  1,124,821  --  --  --  -- 
Chubb Corp. (The)  57,775  2,946,525  48,294  2,462,994  20,196  1,029,996 
Citigroup, Inc. (SEG)  152,330  1,022,134  127,332  854,398  53,249  357,301 
Commerzbank AG (Germany)  7,585  72,607  4,283  40,999  1,371  13,124 
Conseco, Inc. (NON)  99,619  516,026  72,475  375,421  27,274  141,279 
Corio NV (Netherlands)  23,252  1,070,617  13,127  604,420  4,202  193,477 
Corporacion Mapfre SA (Spain)  508,040  1,729,562  286,835  976,496  91,814  312,570 
Credit Saison Co., Ltd. (Japan)  12,700  174,955  7,200  99,187  2,300  31,685 
Credit Suisse Group (Switzerland)  13,891  378,131  11,464  312,065  6,824  185,758 
DBS Group Holdings, Ltd. (Singapore)  396,000  2,357,760  240,000  1,428,946  88,000  523,947 
DBS Group Holdings, Ltd. (Rights) (Singapore) (F)(NON)  198,000  413,793  120,000  250,784  44,000  91,954 
Deutsche Bank AG (Germany)  8,465  338,991  5,541  221,896  2,437  97,593 
Dexia (Belgium)  165,533  748,208  93,459  422,434  29,915  135,216 
Diamond Lease Co., Ltd. (Japan)  12,210  309,530  8,700  220,549  2,860  72,502 
DnB Holdings ASA (Norway)  58,100  233,695  48,200  193,875  28,300  113,831 
Entertainment Properties Trust (R)  9,577  285,395  7,137  212,683  2,559  76,258 
Eurazeo (France)  12,144  572,465  6,856  323,190  2,479  116,859 
Fairfax Financial Holdings, Ltd. (Canada)  1,941  623,602  1,581  507,941  935  300,395 
FBL Financial Group, Inc. Class A  11,794  182,217  8,627  133,287  3,097  47,849 
First Bancorp Puerto Rico (Puerto Rico)  36,631  408,069  27,133  302,262  9,776  108,905 
Goldman Sachs Group, Inc. (The)  69,804  5,890,760  58,349  4,924,072  24,400  2,059,116 
Governor & Co. of The Bank of Ireland (The) (Ireland)  703,385  832,282  397,124  469,898  127,116  150,410 
Greenhill & Co., Inc.  1,683  117,423  1,216  84,840  449  31,327 
Hallmark Financial Services, Inc. (NON)  26,220  229,949  18,584  162,982  6,860  60,162 
HBOS PLC (United Kingdom)  176,917  182,130  99,886  102,829  31,973  32,915 
HBOS PLC (Rights) (United Kingdom) (F)(NON)  244,835  36  202,114  29  62,099  9 
Home Properties of NY, Inc. (R)  4,716  191,470  3,328  135,117  1,242  50,425 
Housing Development Finance Corp. (India)  18,813  588,334  --  --  --  -- 
HSBC Holdings PLC (United Kingdom)  29,802  289,338  24,892  241,669  14,381  139,621 
Huaku Development Co., Ltd. (Taiwan)  464,050  500,247  --  --  --  -- 
Industrial & Commercial Bank of China (China)  2,494,000  1,325,533  477,000  253,520  254,000  134,998 
ING Canada, Inc. (Canada)  11,250  292,950  9,200  239,568  5,496  143,116 
ING Groep NV (Netherlands)  113,971  1,196,374  72,111  756,962  29,662  311,367 
Inland Real Estate Corp. (R)  20,881  271,035  15,646  203,085  5,531  71,792 
Interactive Brokers Group, Inc. Class A (NON)  12,545  224,430  9,239  165,286  3,207  57,373 
International Bancshares Corp.  18,241  398,201  13,604  296,975  4,849  105,854 
Intesa Sanpaolo SpA (Italy)  92,985  328,383  75,873  267,950  45,682  161,329 
Invesco, Ltd.  73,269  1,058,004  61,246  884,392  25,612  369,837 
Investment Technology Group, Inc. (NON)  43,035  977,755  35,329  802,675  14,519  329,872 
Investor AB Class B (Sweden)  216,090  3,283,488  122,003  1,853,836  39,053  593,410 
Janus Capital Group, Inc.  109,485  879,165  91,518  734,890  38,272  307,324 
JPMorgan Chase & Co.  235,674  7,430,801  196,998  6,211,347  82,382  2,597,504 
KBC Groupe SA (Belgium)  59,349  1,800,166  33,508  1,016,360  10,726  325,340 
Knight Capital Group, Inc. Class A (NON)  22,926  370,255  17,092  276,036  6,095  98,434 
Lexington Corporate Properties Trust (R)  30,546  152,730  22,825  114,125  8,069  40,345 
Link REIT (The) (Hong Kong) (R)  218,000  362,393  179,000  297,561  107,500  178,703 
Lloyds Banking Group PLC (United Kingdom)  572,731  1,063,336  344,224  639,089  129,108  239,703 
Lloyds Banking Group PLC (United Kingdom) (F)(NON)  34,137  5  28,344  4  16,376  2 
Lloyds Banking Group PLC ADR (United Kingdom)  51,665  397,821  43,187  332,540  18,060  139,062 
Loews Corp.  18,894  533,756  15,795  446,209  6,604  186,563 
LTC Properties, Inc. (R)  24,001  486,740  17,022  345,206  6,267  127,095 
Macquarie Bank, Ltd. (Australia)  9,510  196,428  5,370  110,917  1,719  35,506 
Mastercard, Inc. Class A (SEG)  4,284  612,312  3,545  506,687  1,482  211,822 
Meadowbrook Insurance Group, Inc.  30,900  198,996  21,784  140,289  8,201  52,814 
Mitsubishi Estate Co., Ltd. (Japan)  4,000  65,820  4,000  65,820  2,000  32,910 
Mitsubishi UFJ Financial Group, Inc. (Japan)  88,200  546,069  73,000  451,962  42,800  264,986 
Mitsubishi UFJ Financial Group, Inc. 144A (Japan)  23,476  145,346  19,303  119,510  11,354  70,296 
Morgan Stanley  66,146  1,060,982  55,292  886,884  23,122  370,877 
Muenchener Rueckversicherungs-Gesellschaft AG (Germany)  1,693  267,170  1,403  221,405  810  127,825 
National Bank of Canada (Canada)  9,200  237,219  7,200  185,650  4,300  110,874 
National Health Investors, Inc. (R)  15,539  426,235  11,727  321,672  4,146  113,725 
Nationale A Portefeuille (Belgium)  18,376  897,310  13,763  672,055  4,502  219,835 
Nationwide Health Properties, Inc. (R)  19,052  547,173  15,926  457,395  6,659  191,246 
Navigators Group, Inc. (NON)  5,509  302,499  4,024  220,958  1,449  79,565 
Nordea AB (Sweden)  530,957  3,773,877  299,774  2,130,700  95,956  682,025 
Northern Trust Corp.  9,594  500,231  8,021  418,215  3,353  174,825 
NorthStar Realty Finance Corp. (R)  37,749  147,599  26,772  104,679  9,852  38,521 
Old Mutual PLC (United Kingdom)  1,184,697  960,080  668,869  542,052  214,100  173,507 
Old Second Bancorp, Inc.  33,427  387,753  24,857  288,341  8,796  102,034 
Omega Healthcare Investors, Inc. (R)  25,999  415,204  19,564  312,437  6,916  110,449 
optionsXpress Holdings, Inc.  10,715  143,152  7,909  105,664  2,739  36,593 
ORIX Corp. (Japan)  14,390  815,826  8,130  460,922  2,600  147,404 
Pacific Capital Bancorp.  12,335  208,215  9,282  156,680  3,281  55,383 
Penson Worldwide, Inc. (NON)  9,315  70,980  6,839  52,113  2,470  18,821 
Pico Holdings, Inc. (NON)  9,884  262,717  8,283  220,162  4,765  126,654 
Platinum Underwriters Holdings, Ltd. (Bermuda)  11,631  419,646  8,653  312,200  3,059  110,369 
PMA Capital Corp. Class A (NON)  36,100  255,588  26,465  187,372  9,500  67,260 
Prudential PLC (United Kingdom)  50,009  308,838  41,542  256,549  23,784  146,882 
PS Business Parks, Inc. (R)  15,388  687,228  11,348  506,802  3,966  177,122 
Qatar National Bank SAQ (Qatar) (NON)  15,990  751,851  --  --  --  -- 
QBE Insurance Group, Ltd. (Australia)  19,814  366,008  11,186  206,630  3,580  66,131 
Ramco-Gershenson Properties (R)  15,288  94,480  11,454  70,786  4,049  25,023 
Royal Bank of Scotland Group PLC (United Kingdom)  657,042  481,804  458,998  336,580  223,630  163,986 
S&T Bancorp, Inc.  7,568  268,664  5,472  194,256  2,069  73,450 
Safety Insurance Group, Inc.  5,297  201,604  3,945  150,147  1,413  53,779 

Sai-Soc Assicuratrice Industriale SpA (SAI) (Italy)  44,825  819,078  25,308  462,448  8,101  148,028 
Sampo OYJ Class A (Finland)  20,957  393,087  17,290  324,306  10,038  188,281 
Sandy Spring Bancorp, Inc.  7,803  170,339  5,500  120,065  2,066  45,101 
SCOR (France)  24,599  567,919  20,141  464,997  12,006  277,183 
SeaBright Insurance Holdings, Inc. (NON)  30,050  352,787  22,574  265,019  7,980  93,685 
Selective Insurance Group  8,885  203,733  6,623  151,865  2,372  54,390 
Shinhan Financial Group Co., Ltd. (South Korea)  58,240  1,346,262  15,130  349,741  9,070  209,660 
Simon Property Group, Inc. (R)  14,572  774,210  12,181  647,177  5,094  270,644 
Smithtown Bancorp, Inc.  7,820  125,355  5,509  88,309  2,070  33,182 
Sony Financial Holdings, Inc. (Japan)  97  371,680  80  306,540  47  180,092 
Southwest Bancorp, Inc.  15,478  200,595  11,664  151,165  4,123  53,434 
Standard Chartered PLC (United Kingdom)  30,567  396,360  25,169  326,364  14,698  190,588 
State Bank of India, Ltd. (India)  26,783  717,081  --  --  --  -- 
State Street Corp.  57,947  2,279,056  48,438  1,905,067  20,256  796,668 
Sterling Financial Corp.  28,790  253,352  20,358  179,150  7,540  66,352 
Suffolk Bancorp  11,599  416,752  8,680  311,872  3,068  110,233 
Sumitomo Mitsui Financial Group, Inc. (Japan)  31  133,989  26  112,378  15  64,833 
SWS Group, Inc.  25,201  477,559  17,772  336,779  6,685  126,681 
Tokio Marine Holdings, Inc. (Japan)  26,900  786,495  22,100  646,154  13,200  385,938 
TradeStation Group, Inc. (NON)  40,582  261,754  30,083  194,035  10,838  69,905 
Travelers Cos., Inc. (The)  34,718  1,569,254  29,021  1,311,749  12,136  548,547 
Turkiye Garanti Bankasi AS (Turkey) (NON)  428,499  735,810  --  --  --  -- 
U.S. Bancorp (SEG)  228,122  5,705,331  190,685  4,769,032  79,743  1,994,372 
UBS AG (Switzerland) (NON)  16,235  233,854  9,166  132,030  2,934  42,262 
UCBH Holdings, Inc.  66,981  460,829  47,171  324,536  17,742  122,065 
Unibail-Rodamco (France) (R)  634  94,826  523  78,224  304  45,469 
Unibanco-Uniao de Bancos Brasileiros SA ADR (Brazil)  25,300  1,634,886  6,240  403,229  3,700  239,094 
UniCredito Italiano SpA (Italy)  1,933,817  4,740,393  1,091,813  2,676,377  349,481  856,688 
Universal Health Realty Income Trust (R)  10,884  358,192  8,091  266,275  2,860  94,123 
Uranium Participation Corp. (Canada) (NON)  13,400  79,038  11,700  69,011  6,200  36,570 
Urstadt Biddle Properties, Inc. Class A (R)  24,487  390,078  18,498  294,673  6,539  104,166 
Validus Holdings, Ltd. (Bermuda)  14,277  373,486  10,608  277,505  3,750  98,100 
Ventas, Inc. (R)  24,657  827,735  20,611  691,911  8,619  289,340 
Virginia Commerce Bancorp. (NON)  32,099  165,952  23,997  124,064  8,483  43,857 
W.R. Berkley Corp. (SEG)  65,310  2,024,610  54,593  1,692,383  22,830  707,730 
Wells Fargo & Co.  196,273  5,786,128  164,063  4,836,577  68,609  2,022,593 
Westpac Banking Corp. (Australia)  158,699  1,920,518  89,600  1,084,307  28,681  347,087 
Wilshire Bancorp, Inc.  21,020  190,862  14,909  135,374  5,480  49,758 
World Acceptance Corp. (NON)  15,176  299,878  11,476  226,766  4,057  80,166 
WSFS Financial Corp.  5,780  277,382  4,241  203,526  1,558  74,768 
Zurich Financial Services AG (Switzerland)  23,495  5,065,209  14,880  3,207,930  6,079  1,310,551 
    135,877,810    92,116,912    37,679,893 
 
Health care    7.9%    7.0%    4.5% 
Aetna, Inc. (SEG)  45,427  1,294,670  37,973  1,082,231  15,879  452,552 
Albany Molecular Research, Inc. (NON)  12,454  121,302  9,024  87,894  3,310  32,239 
Alkermes, Inc. (NON)  27,675  294,739  20,400  217,260  7,098  75,594 
Alliance Imaging, Inc. (NON)  40,159  320,067  29,073  231,712  10,970  87,431 
Alnylam Pharmaceuticals, Inc. (NON)  13,809  341,497  10,207  252,419  3,485  86,184 
Amedisys, Inc. (NON)  13,096  541,389  9,689  400,543  3,435  142,003 
American Oriental Bioengineering, Inc. (China) (NON)  69,456  471,606  51,437  349,257  18,110  122,967 
AMERIGROUP Corp. (NON)  10,158  299,864  7,349  216,942  2,702  79,763 
Amgen, Inc. (NON)  84,205  4,862,839  70,387  4,064,849  29,435  1,699,871 
AMN Healthcare Services, Inc. (NON)  19,965  168,904  14,708  124,430  5,237  44,305 
Aspen Pharmacare Holdings, Ltd. (South Africa) (NON)  170,759  612,832  --  --  --  -- 
Astellas Pharma, Inc. (Japan)  38,300  1,555,050  29,300  1,189,633  15,800  641,509 
AstraZeneca PLC (United Kingdom)  159,153  6,541,282  92,713  3,810,559  31,402  1,290,641 
Baxter International, Inc.  29,758  1,594,731  24,875  1,333,051  10,402  557,443 
Becton, Dickinson and Co.  49,651  3,395,632  41,503  2,838,390  17,356  1,186,977 
Bio-Rad Laboratories, Inc. Class A (NON)  3,513  264,564  2,607  196,333  899  67,704 
Boston Scientific Corp. (NON)  236,543  1,830,843  197,724  1,530,384  82,686  639,990 
Bristol-Myers Squibb Co.  88,896  2,066,832  74,308  1,727,661  31,074  722,471 
Cantel Medical Corp. (NON)  12,251  179,722  8,886  130,358  3,344  49,056 
Centene Corp. (NON)  10,942  215,667  7,911  155,926  2,913  57,415 
Cephalon, Inc. (NON)  21,321  1,642,570  17,823  1,373,084  7,453  574,179 
China Medical Technologies, Inc. ADR (China)  54,246  1,099,024  19,825  401,655  7,950  161,067 
CIGNA Corp.  65,598  1,105,326  54,833  923,936  22,930  386,371 
Coventry Health Care, Inc. (NON)  70,727  1,052,418  59,120  879,706  24,723  367,878 
Covidien, Ltd.  45,259  1,640,186  37,832  1,371,032  15,821  573,353 
CSL, Ltd. (Australia)  10,458  250,953  5,904  141,674  1,889  45,329 
CSL, Ltd. 144A (Australia)  8,520  204,448  7,210  173,013  3,890  93,345 
Cubist Pharmaceuticals, Inc. (NON)  15,724  379,892  11,455  276,753  4,164  100,602 
Cutera, Inc. (NON)  36,472  323,507  30,488  270,429  12,749  113,084 
CV Therapeutics, Inc. (NON)  29,824  274,679  22,192  204,388  7,668  70,622 
Depomed, Inc. (NON)  70,180  115,797  49,710  82,022  17,910  29,552 
Eclipsys Corp. (NON)  10,349  146,852  7,498  106,397  2,754  39,079 
Eli Lilly & Co.  59,786  2,407,582  49,975  2,012,493  20,899  841,603 
Emergent Biosolutions, Inc. (NON)  22,236  580,582  16,785  438,256  5,934  154,937 
Enzon Pharmaceuticals, Inc. (NON)  30,431  177,413  22,170  129,251  7,779  45,352 
eResearch Technology, Inc. (NON)  37,940  251,542  28,015  185,739  9,698  64,298 
Express Scripts, Inc. (NON)  17,877  982,877  14,944  821,621  6,249  343,570 
Forest Laboratories, Inc. (NON)  61,289  1,561,031  51,232  1,304,879  21,424  545,669 
Gen-Probe, Inc. (NON)  31,789  1,361,841  26,573  1,138,387  11,112  476,038 
Genoptix, Inc. (NON)  9,825  334,836  7,110  242,309  2,621  89,324 
GlaxoSmithKline PLC (United Kingdom)  218,488  4,114,354  127,436  2,399,751  43,518  819,489 
Haemonetics Corp. (NON)  5,247  296,456  3,835  216,678  1,341  75,767 
Healthsouth Corp. (NON)  18,941  207,593  13,416  147,039  4,944  54,186 
Hisamitsu Pharmaceutical Co., Inc. (Japan)  3,700  150,727  3,100  126,285  1,800  73,327 
Idera Pharmaceuticals, Inc. (NON)  18,198  139,761  13,205  101,414  4,959  38,085 
Intuitive Surgical, Inc. (NON)  12,219  1,551,691  10,214  1,297,076  4,271  542,374 
Johnson & Johnson (SEG)  131,333  7,857,653  109,780  6,568,137  45,909  2,746,735 
Kinetic Concepts, Inc. (NON)  8,344  160,038  6,335  121,505  2,239  42,944 
King Pharmaceuticals, Inc. (NON)  126,492  1,343,345  101,954  1,082,751  41,132  436,822 
Life Technologies Corp. (NON)  37,974  885,174  31,208  727,458  12,699  296,014 
Luminex Corp. (NON)  23,951  511,593  17,568  375,252  6,094  130,168 
Magellan Health Services, Inc. (NON)  10,383  406,598  7,721  302,354  2,654  103,931 
Martek Biosciences Corp. (NON)  34,652  1,050,302  26,499  803,185  10,705  324,469 
Matrixx Initiatives, Inc. (NON)  9,821  161,948  7,289  120,196  2,544  41,951 
Maxygen, Inc. (NON)  26,150  233,258  19,680  175,546  6,980  62,262 
Medicines Co. (NON)  10,164  149,716  7,598  111,919  2,728  40,183 
Medtronic, Inc.  82,873  2,603,870  69,273  2,176,558  28,969  910,206 
Merck & Co., Inc. (SEG)  272,873  8,295,339  228,092  6,933,997  95,386  2,899,734 
Merit Medical Systems, Inc. (NON)  26,456  474,356  19,889  356,610  7,065  126,675 
Millipore Corp. (NON)  3,208  165,276  2,685  138,331  1,545  79,598 
Mylan, Inc. (NON)  133,724  1,322,530  111,779  1,105,494  46,744  462,298 
Myriad Genetics, Inc. (NON)  8,761  580,504  6,456  427,775  2,240  148,422 
Novartis AG (Switzerland)  110,640  5,505,541  75,255  3,744,753  34,211  1,702,369 
NPS Pharmaceuticals, Inc. (NON)  28,278  175,606  20,416  126,783  7,542  46,836 
Obagi Medical Products, Inc. (NON)  27,164  202,643  19,197  143,210  7,111  53,048 
Ono Pharmaceutical Co., Ltd. (Japan)  10,900  565,509  9,000  466,934  5,400  280,160 
Onyx Pharmaceuticals, Inc. (NON)  4,910  167,726  3,690  126,050  1,333  45,535 
OSI Pharmaceuticals, Inc. (NON)  7,828  305,683  5,859  228,794  2,001  78,139 
Owens & Minor, Inc.  11,307  425,709  8,472  318,971  3,040  114,456 
Pain Therapeutics, Inc. (NON)  36,502  216,092  26,606  157,508  9,560  56,595 
Pall Corp.  6,418  182,464  5,338  151,759  3,071  87,309 
PetMed Express, Inc. (NON)  20,597  363,125  15,458  272,525  5,507  97,088 
Pfizer, Inc.  279,495  4,949,856  233,627  4,137,534  97,700  1,730,267 
Questcor Pharmaceuticals, Inc. (NON)  38,915  362,299  29,153  271,414  10,510  97,848 
Quidel Corp. (NON)  22,008  287,645  16,251  212,401  5,626  73,532 
Roche Holding AG (Switzerland)  16,072  2,457,055  13,272  2,028,996  7,750  1,184,804 
RTI Biologics, Inc. (NON)  50,240  138,662  37,118  102,446  12,823  35,391 
Sanofi-Aventis (France)  4,576  291,863  3,867  246,642  2,096  133,685 
Santarus, Inc. (NON)  95,434  149,831  70,309  110,385  24,827  38,978 
Santen Pharmaceutical Co., Ltd. (Japan)  9,600  288,484  8,000  240,404  4,600  138,232 
Schering-Plough Corp.  77,613  1,321,749  64,876  1,104,838  27,130  462,024 
Steris Corp.  18,782  448,702  13,762  328,774  5,065  121,003 
Suzuken Co., Ltd. (Japan)  23,700  712,545  19,700  592,284  9,200  276,600 
Taisho Pharmaceutical Co., Ltd. (Japan)  66,000  1,399,108  37,000  784,348  12,000  254,383 
Takeda Pharmaceutical Co., Ltd. (Japan)  27,600  1,428,527  15,600  807,429  5,000  258,791 
Techne Corp.  7,572  488,545  5,725  369,377  1,936  124,911 
Terumo Corp. (Japan)  24,800  1,158,852  20,400  953,249  12,000  560,735 
Teva Pharmaceutical Industries, Ltd. ADR (Israel)  41,200  1,753,884  3,600  153,252  2,072  88,205 
UCB SA (Belgium)  16,952  554,511  14,017  458,505  8,232  269,274 
United Therapeutics Corp. (NON)  4,669  292,046  3,506  219,300  1,266  79,188 
Valeant Pharmaceuticals International (NON)  30,334  694,649  22,466  514,471  7,889  180,658 
Varian Medical Systems, Inc. (NON) (SEG)  57,720  2,022,509  48,248  1,690,610  20,176  706,967 
Viropharma, Inc. (NON)  38,244  497,937  28,392  369,664  10,129  131,880 
Waters Corp. (NON)  51,389  1,883,407  42,956  1,574,337  17,963  658,344 
WellPoint, Inc. (NON)  44,951  1,893,786  37,575  1,583,035  15,713  661,989 
Wyeth  138,997  5,213,777  116,187  4,358,174  48,588  1,822,536 
Zoll Medical Corp. (NON)  8,340  157,543  6,207  117,250  2,146  40,538 
    114,487,340    87,298,573    36,299,305 
 
Technology    8.6%    7.5%    4.9% 
3Com Corp. (NON)  64,260  146,513  45,254  103,179  17,020  38,806 
3PAR, Inc. (NON)  20,692  157,880  17,868  136,333  9,621  73,408 
Accenture, Ltd. Class A (Bermuda)  13,614  446,403  11,310  370,855  5,927  194,346 
Acxiom Corp.  33,215  269,374  24,785  201,006  8,781  71,214 

Adobe Systems, Inc. (NON)  87,464  1,862,109  73,471  1,564,198  32,081  683,004 
Advanced Battery Technologies, Inc. (NON)  30,200  80,332  26,300  69,958  14,000  37,240 
Advent Software, Inc. (NON)  7,091  141,607  5,199  103,824  1,917  38,282 
Akamai Technologies, Inc. (NON)  40,509  611,281  33,271  502,059  15,709  237,049 
Anixter International, Inc. (NON)  11,368  342,404  8,355  251,653  2,967  89,366 
ANSYS, Inc. (NON)  13,185  367,730  9,793  273,127  3,445  96,081 
Apple, Inc. (NON) (SEG)  66,706  5,693,357  55,759  4,759,031  23,317  1,990,106 
Applied Materials, Inc.  82,973  840,516  69,357  702,586  29,004  293,811 
ARRIS Group, Inc. (NON)  98,197  780,666  72,397  575,556  25,352  201,548 
ASML Holding NV (Netherlands)  13,692  245,364  11,208  200,850  6,705  120,155 
Atmel Corp. (NON)  57,070  178,629  40,138  125,632  15,030  47,044 
Avnet, Inc. (NON)  38,228  696,132  31,955  581,901  13,363  243,340 
Avocent Corp. (NON)  32,785  587,179  24,172  432,921  8,480  151,877 
Badger Meter, Inc.  6,327  183,610  4,862  141,095  2,995  86,915 
Baidu.com ADR (China) (NON)  7,129  930,834  5,960  778,197  2,492  325,380 
Black Box Corp.  10,146  265,014  7,362  192,295  2,765  72,222 
Blackboard, Inc. (NON)  8,706  228,358  6,426  168,554  2,226  58,388 
BMC Software, Inc. (NON) (SEG)  148,089  3,985,075  123,786  3,331,081  51,766  1,393,023 
Brocade Communications Systems, Inc. (NON)  142,634  399,375  119,227  333,836  49,859  139,605 
BYD Co., Ltd. (China)  124,000  204,466  107,500  177,259  56,500  93,164 
China BAK Battery, Inc. (China) (NON)  33,200  53,784  29,000  46,980  15,400  24,948 
Cisco Systems, Inc. (NON) (SEG)  382,732  6,238,532  320,765  5,228,470  137,304  2,238,055 
Citrix Systems, Inc. (NON)  18,751  441,961  16,192  381,645  8,719  205,507 
Comba Telecom Systems Holdings, Ltd. (Hong Kong)  3,440,000  676,075  --  --  --  -- 
CommScope, Inc. (NON)  16,844  261,756  12,450  193,473  4,379  68,050 
Compuware Corp. (NON)  128,469  867,166  107,387  724,862  44,908  303,129 
Comtech Telecommunications Corp. (NON)  9,519  436,161  7,038  322,481  2,433  111,480 
Concur Technologies, Inc. (NON)  12,518  410,841  10,809  354,751  5,820  191,012 
CSG Systems International, Inc. (NON)  53,274  930,697  39,006  681,435  14,234  248,668 
Cybersource Corp. (NON)  16,458  197,331  12,378  148,412  4,398  52,732 
Data Domain, Inc. (NON)  25,991  488,631  22,444  421,947  12,085  227,198 
Dell, Inc. (NON)  44,063  451,205  36,833  377,170  15,402  157,716 
Digital River, Inc. (NON)  7,889  195,647  5,912  146,618  2,026  50,245 
eBay, Inc. (NON)  57,458  802,114  48,029  670,485  20,085  280,387 
EMC Corp. (NON)  343,806  3,599,649  288,447  3,020,040  124,619  1,304,761 
Energy Conversion Devices, Inc. (NON)  3,273  82,512  2,995  75,504  1,614  40,689 
EnerSys (NON)  19,010  209,110  16,069  176,759  9,220  101,420 
Expedia, Inc. (NON)  71,568  589,720  59,823  492,942  25,017  206,140 
F5 Networks, Inc. (NON)  30,522  697,733  24,600  562,356  11,305  258,432 
FactSet Research Systems, Inc.  5,426  240,046  4,072  180,145  1,446  63,971 
FEI Co. (NON)  68,000  1,282,480  54,200  1,022,212  19,100  360,226 
Formfactor, Inc. (NON)  9,292  135,663  7,615  111,179  4,575  66,795 
Fujitsu, Ltd. (Japan)  963,000  4,644,380  557,000  2,686,313  188,000  906,691 
Google, Inc. Class A (NON)  5,636  1,733,915  4,724  1,453,339  2,019  621,145 
Greatbatch, Inc. (NON)  12,087  319,822  10,128  267,987  5,812  153,786 
Greatek Electronics, Inc. (Taiwan)  774,958  451,104  840  489  420  244 
GS Yuasa Corp. (Japan)  83,000  499,022  73,000  438,899  39,000  234,480 
Hewlett-Packard Co. (SEG)  192,044  6,969,277  160,528  5,825,561  67,131  2,436,184 
High Tech Computer Corp. (Taiwan)  37,000  373,946  30,000  303,200  18,000  181,920 
Hitachi, Ltd. (Japan)  572,000  2,213,390  323,000  1,249,869  103,000  398,565 
Hon Hai Precision Industry Co., Ltd. (Taiwan)  111,767  220,768  --  --  --  -- 
IBM Corp.  83,520  7,029,043  69,815  5,875,630  29,195  2,457,051 
IHS, Inc. Class A (NON)  20,431  764,528  17,079  639,096  7,141  267,216 
Integral Systems, Inc. (NON)  13,757  165,772  10,314  124,284  3,679  44,332 
Integrated Device Technology, Inc. (NON)  35,482  199,054  26,335  147,739  9,473  53,144 
Intel Corp. (SEG)  455,253  6,674,009  380,541  5,578,731  159,139  2,332,978 
Itron, Inc. (NON)  3,264  208,047  2,429  154,824  839  53,478 
IXYS Corp.  22,728  187,733  17,081  141,089  5,838  48,222 
JDA Software Group, Inc. (NON)  26,821  352,160  19,759  259,436  6,856  90,019 
Ju Teng International Holdings, Ltd. (Hong Kong) (NON)  286,000  60,061  234,000  49,141  140,000  29,400 
Juniper Networks, Inc. (NON)  21,838  382,383  18,857  330,186  10,154  177,797 
MEMC Electronic Materials, Inc. (NON) (SEG)  70,005  999,671  58,579  836,508  25,770  367,996 
Micrel, Inc.  45,831  335,025  33,892  247,751  11,715  85,637 
Microsoft Corp.  602,029  11,703,444  503,229  9,782,772  210,446  4,091,070 
MicroStrategy, Inc. (NON)  3,756  139,460  2,772  102,924  985  36,573 
National Instruments Corp.  16,061  391,246  11,853  288,739  4,106  100,022 
National Semiconductor Corp.  138,529  1,394,987  115,796  1,166,066  48,424  487,630 
NCR Corp. (NON)  39,904  564,243  33,356  471,654  13,948  197,225 
NetApp, Inc. (NON)  117,841  1,646,239  98,853  1,380,976  43,817  612,123 
Netscout Systems, Inc. (NON)  27,296  235,292  20,307  175,046  7,029  60,590 
NetSuite, Inc. (NON)  12,475  105,289  10,772  90,916  5,800  48,952 
Nokia OYJ (Finland)  85,408  1,329,647  68,944  1,073,333  40,544  631,196 
NTT Data Corp. (Japan)  1,066  4,269,693  601  2,407,209  192  769,025 
NVIDIA Corp. (NON)  40,985  330,749  34,260  276,478  14,326  115,611 
Oce NV (Netherlands)  62,063  273,506  46,659  205,622  16,044  70,704 
Omniture, Inc. (NON)  32,009  340,576  27,641  294,100  14,884  158,366 
Oracle Corp. (NON)  117,538  2,083,949  98,249  1,741,955  41,086  728,455 
Parametric Technology Corp. (NON)  44,711  565,594  32,948  416,792  11,805  149,333 
Perot Systems Corp. Class A (NON)  20,009  273,523  14,516  198,434  5,459  74,625 
Plantronics, Inc.  12,222  161,330  9,017  119,024  3,124  41,237 
Progress Software Corp. (NON)  10,001  192,619  7,374  142,023  2,554  49,190 
QLogic Corp. (NON)  57,381  771,201  47,965  644,650  20,058  269,580 
Qualcomm, Inc.  36,384  1,303,639  30,190  1,081,708  15,303  548,306 
Renesola, Ltd. ADR (China) (NON)  9,000  39,690  7,900  34,839  4,200  18,522 
Roth & Rau AG (Germany) (NON)  2,564  55,319  2,224  47,983  1,184  25,545 
Saft Groupe SA (France) (NON)  5,025  136,329  4,361  118,315  2,290  62,128 
SAIC, Inc. (NON)  67,238  1,309,796  56,100  1,092,828  23,504  457,858 
Salesforce.com, Inc. (NON)  13,181  421,924  11,422  365,618  6,154  196,990 
Samsung Electronics Co., Ltd. (South Korea)  4,273  1,548,590  --  --  --  -- 
SAP AG (Germany)  20,015  720,339  16,384  589,660  9,802  352,774 
Seagate Technology (Cayman Islands)  110,368  488,930  92,256  408,694  38,580  170,909 
Seiko Epson Corp. (Japan)  14,300  227,283  11,700  185,958  7,000  111,257 
Shanda Interactive Entertainment, Ltd. ADR (China)             
(NON)  32,300  1,045,228  --  --  --  -- 
Silicon Image, Inc. (NON)  56,469  237,170  41,241  173,212  14,435  60,627 
Sohu.com, Inc. (China) (NON)  29,425  1,392,980  24,000  1,136,160  9,827  465,210 
Solarworld AG (Germany)  4,554  99,518  3,894  85,095  2,098  45,847 
SonicWall, Inc. (NON)  92,321  367,438  68,913  274,274  24,108  95,950 
SPSS, Inc. (NON)  10,762  290,144  7,884  212,553  2,751  74,167 
Sybase, Inc. (NON)  27,573  682,983  20,649  511,476  7,357  182,233 
Sykes Enterprises, Inc. (NON)  17,222  329,285  12,134  232,002  4,560  87,187 
Symantec Corp. (NON)  172,205  2,328,212  143,945  1,946,136  60,196  813,850 
Synaptics, Inc. (NON)  7,802  129,201  5,756  95,319  2,047  33,898 
Synopsys, Inc. (NON)  29,142  539,710  21,243  393,420  7,620  141,122 
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)  876,782  1,202,386  --  --  --  -- 
Take-Two Interactive Software, Inc. (NON)  28,831  217,962  21,452  162,177  7,413  56,042 
TeleCommunication Systems, Inc. Class A (NON)  41,879  359,741  31,125  267,364  10,885  93,502 
Texas Instruments, Inc.  78,446  1,217,482  65,573  1,017,693  27,422  425,589 
The9, Ltd. ADR (China) (NON)  40,225  535,797  --  --  --  -- 
TTM Technologies, Inc. (NON)  64,973  338,509  48,278  251,528  16,975  88,440 
UBISOFT Entertainment (France) (NON)  19,476  382,387  15,962  313,394  9,589  188,268 
Ultralife Batteries, Inc. (NON)  15,440  207,050  13,600  182,376  7,240  97,088 
United Online, Inc.  21,250  128,988  15,411  93,545  5,795  35,176 
Valence Technology, Inc. (NON)  41,700  75,894  36,400  66,248  19,300  35,126 
Veeco Instruments, Inc. (NON)  75,400  478,036  61,200  388,008  21,600  136,944 
VMware, Inc. Class A (NON)  71,313  1,689,405  59,901  1,419,055  26,142  619,304 
Watts Water Technologies, Inc. Class A  10,547  263,359  8,799  219,711  5,063  126,423 
Western Digital Corp. (NON)  48,766  558,371  40,764  466,748  17,047  195,188 
Western Union Co. (The)  47,322  678,597  39,557  567,247  16,542  237,212 
Wincor Nixdorf AG (Germany)  5,273  252,464  4,414  211,337  2,529  121,085 
Xilinx, Inc.  24,942  444,466  20,849  371,529  8,718  155,355 
Yahoo!, Inc. (NON)  60,640  739,808  50,689  618,406  21,197  258,603 
    123,953,129    94,607,253    39,782,452 
 
Transportation    1.1%    0.9%    0.5% 
Air Arabia (United Arab Emirates) (NON)  1,951,424  472,860  --  --  --  -- 
British Airways PLC (United Kingdom)  1,102,817  2,917,110  622,640  1,646,972  199,303  527,185 
Central Japan Railway Co. (Japan)  374  3,225,318  212  1,828,255  68  586,421 
ComfortDelgro Corp., Ltd. (Singapore)  1,163,000  1,181,602  817,000  830,068  402,000  408,430 
CSX Corp.  35,498  1,152,620  29,342  952,735  12,408  402,888 
East Japan Railway Co. (Japan)  52  405,217  43  335,083  26  202,608 
Kirby Corp. (NON)  10,358  283,395  8,659  236,910  3,620  99,043 
Knightsbridge Tankers, Ltd. (Bermuda)  12,708  186,172  9,353  137,021  3,252  47,642 
Lan Airlines SA ADR (Chile)  75,000  603,750  --  --  --  -- 
Macquarie Infrastructure Group (Australia)  478,461  583,165  394,857  481,265  235,064  286,504 
National Express Group PLC (United Kingdom)  41,132  297,641  23,223  168,047  7,434  53,794 
Norfolk Southern Corp.  38,479  1,810,437  32,165  1,513,363  13,450  632,823 
Pacer International, Inc.  22,567  235,374  16,839  175,631  5,927  61,819 
Qantas Airways, Ltd. (Australia)  61,927  116,041  51,326  96,176  29,640  55,540 
Ryder System, Inc.  40,768  1,580,983  34,078  1,321,545  14,251  552,654 
Singapore Airlines, Ltd. (Singapore)  76,000  598,777  60,000  472,719  36,000  283,631 
Southwest Airlines Co.  103,931  895,885  86,333  744,190  36,265  312,604 
    16,546,347    10,939,980    4,513,586 
 
Utilities and power    3.8%    3.2%    2.2% 
A2A SpA (Italy)  696,201  1,266,844  434,716  791,032  139,686  254,180 
AES Corp. (The) (NON)  130,768  1,077,528  109,308  900,698  45,711  376,659 
Alliant Energy Corp.  49,258  1,437,348  41,175  1,201,487  17,218  502,421 

American States Water Co.  4,040  133,239  3,388  111,736  1,949  64,278 
Aqua America, Inc.  11,647  239,812  9,725  200,238  5,595  115,201 
Babcock & Brown Wind Partners (Australia)  214,705  138,777  180,009  116,350  103,290  66,762 
BKW FMB Energie AG (Switzerland)  2,731  263,682  2,408  232,495  1,267  122,330 
British Energy Group PLC (United Kingdom)  18,456  208,504  16,085  181,718  8,531  96,378 
California Water Service Group  3,851  178,802  3,190  148,112  1,835  85,199 
Central Vermont Public Service Corp.  11,750  280,355  8,626  205,816  3,120  74,443 
Centrica PLC (United Kingdom)  321,609  1,253,593  265,163  1,033,573  156,505  610,038 
CEZ AS (Czech Republic)  25,497  1,043,613  --  --  --  -- 
Chubu Electric Power, Inc. (Japan)  49,900  1,513,253  28,200  855,185  9,000  272,931 
Cia de Saneamento Basico do Estado de Sao Paulo ADR             
(Brazil)  8,822  213,581  6,852  165,887  4,174  101,053 
Consolidated Water Co., Inc. (Cayman Islands)  4,481  56,013  3,576  44,700  2,058  25,725 
DPL, Inc.  16,870  385,311  12,459  284,564  4,520  103,237 
E.On AG (Germany)  46,824  1,901,399  38,531  1,564,642  22,795  925,645 
EDF Energies Nouvelles SA (France)  9,286  329,987  8,140  289,262  4,277  151,987 
Edison International (SEG)  145,033  4,658,460  121,232  3,893,972  50,698  1,628,420 
El Paso Electric Co. (NON)  13,170  238,245  9,675  175,021  3,500  63,315 
Electricite de France (France)  12,760  744,744  10,781  629,239  6,028  351,827 
Enel SpA (Italy)  274,408  1,731,081  182,406  1,150,694  82,328  519,360 
Energen Corp. (SEG)  96,885  2,841,637  80,986  2,375,319  33,867  993,319 
Energias de Portugal (EDP) SA (Portugal)  175,419  663,928  99,040  374,848  31,702  119,986 
Enersis SA ADR (Chile)  40,200  512,148  --  --  --  -- 
Entergy Corp.  3,117  259,116  2,689  223,537  1,448  120,372 
Exelon Corp.  5,596  311,194  4,827  268,429  2,601  144,642 
Fersa Energias Renovables SA (Spain)  39,050  122,603  32,925  103,372  18,892  59,314 
FirstEnergy Corp.  44,750  2,173,955  37,407  1,817,232  15,643  759,937 
FPL Group, Inc.  8,578  431,731  7,491  377,022  4,036  203,132 
Gaz de France SA (France)  31,031  1,543,341  25,850  1,285,662  14,901  741,108 
Hokkaido Electric Power Co., Inc. (Japan)  8,400  212,146  7,300  184,365  3,900  98,497 
Hokuriku Electric Power Co. (Japan)  7,500  211,823  6,500  183,580  3,500  98,851 
Huaneng Power International, Inc. (China)  420,000  306,802  364,000  265,895  194,000  141,713 
International Power PLC (United Kingdom)  125,562  442,224  105,097  370,147  60,464  212,952 
Kansai Electric Power, Inc. (Japan)  12,100  349,852  10,500  303,591  5,600  161,915 
Kyushu Electric Power Co., Inc. (Japan)  33,500  889,089  28,500  756,389  15,800  419,332 
Mirant Corp. (NON)  8,147  153,734  6,811  128,524  2,848  53,742 
National Grid PLC (United Kingdom)  47,431  475,477  26,780  268,459  8,572  85,931 
Northwestern Corp.  14,810  347,591  11,058  259,531  3,909  91,744 
OGE Energy Corp.  20,431  526,711  17,079  440,297  7,141  184,095 
Ormat Technologies, Inc.  3,433  109,410  3,215  102,462  1,705  54,338 
PG&E Corp.  150,272  5,817,029  125,612  4,862,441  52,529  2,033,398 
Portland General Electric Co.  15,165  295,263  11,288  219,777  3,990  77,685 
Public Power Corp. SA (Greece)  82,152  1,324,648  46,383  747,896  14,847  239,398 
Public Service Enterprise Group, Inc.  10,277  299,780  8,591  250,599  3,592  104,779 
Questar Corp.  78,084  2,552,566  65,270  2,133,676  27,295  892,274 
Sempra Energy  28,651  1,221,392  23,950  1,020,989  10,015  426,939 
Severn Trent PLC (United Kingdom)  13,872  243,657  11,489  201,800  6,610  116,102 
Shikoku Electric Power Co., Inc. (Japan)  7,000  235,560  6,100  205,273  3,200  107,684 
SJW Corp.  4,465  133,682  3,784  113,293  2,177  65,179 
Southwest Water Co.  8,915  28,706  7,721  24,862  4,126  13,286 
Tenaga Nasional Berhad (Malaysia)  266,800  486,365  --  --  --  -- 
Terna SPA (Italy)  453,040  1,491,222  255,782  841,930  81,874  269,496 
Toho Gas Co., Ltd. (Japan)  265,000  1,742,610  187,000  1,229,691  60,000  394,553 
Tokyo Electric Power Co. (Japan)  158,900  5,293,868  89,700  2,988,387  28,700  956,161 
Tokyo Gas Co., Ltd. (Japan)  242,000  1,223,629  199,000  1,006,208  118,000  596,646 
TransAlta Corp. (Canada)  3,723  74,527  3,200  64,058  1,648  32,990 
Vector, Ltd. (New Zealand)  151,977  179,973  109,236  129,358  36,698  43,458 
Veolia Environnement (France)  13,972  440,354  11,727  369,598  6,747  212,644 
    55,263,514    40,674,918    17,838,981 
 
Total common stocks (cost $1,209,691,692, $872,453,129 and $362,784,783)    $958,963,640    $692,447,431    $290,906,780 
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS(a)  Growth 16.4%  Balanced 45.6% Conservative 39.3%
  Principal amount  Value  Principal amount  Value  Principal amount  Value 
U.S. Government Guaranteed Mortgage Obligations    0.9%    2.6%    1.5% 
Government National Mortgage Association Pass-Through             
Certificates             
6 1/2s, with due dates from June 20, 2037 to             
November 20, 2037  $5,875,517  $6,128,669  $--  $--  $--  $-- 
6 1/2s, TBA, January 1, 2039  --  --  26,000,000  27,052,189  7,000,000  7,283,282 
5 1/2s, TBA, January 1, 2039  7,000,000  7,213,282  6,000,000  6,182,813  5,000,000  5,152,344 
    13,341,951    33,235,002    12,435,626 
 
U.S. Government Agency Mortgage Obligations    15.5%    42.9%    37.8% 
Federal Home Loan Mortgage Corporation Pass-Through             
Certificates             
6s, with due dates from July 1, 2013 to October 1, 2021  322,495  335,760  --  --  --  -- 
5 1/2s, with due dates from June 1, 2035 to             
November 1, 2036  64,453  66,047  --  --  311,546  319,542 
5 1/2s, with due dates from January 1, 2020 to             
April 1, 2020  485,602  502,022  --  --  --  -- 
Federal National Mortgage Association Pass-Through             
Certificates             
7s, with due dates from October 1, 2029 to             
January 1, 2036  1,050,874  1,105,992  --  --  --  -- 
7s, March 1, 2018  --  --  --  --  373,744  396,241 
7s, TBA, January 1, 2039  --  --  2,000,000  2,094,688  --  -- 
6 1/2s, with due dates from June 1, 2037 to             
November 1, 2037  691,442  719,505  --  --  --  -- 
6 1/2s, TBA, February 1, 2039  --  --  2,000,000  2,071,250  --  -- 
6 1/2s, TBA, January 1, 2039  1,000,000  1,039,219  26,000,000  27,019,689  --  -- 
6s, with due dates from September 1, 2011 to             
September 1, 2021  2,009,334  2,088,607  --  --  --  -- 
5 1/2s, with due dates from June 1, 2037 to             
November 1, 2037  1,817,254  1,866,307  --  --  --  -- 
5 1/2s, with due dates from February 1, 2014 to             
August 1, 2022  6,838,048  7,062,740  --  --  --  -- 
5 1/2s, TBA, January 1, 2039  69,000,000  70,789,688  184,000,000  188,772,500  146,000,000  149,786,875 
5 1/2s, TBA, January 1, 2024  --  --  --  --  24,000,000  24,725,626 
5s, TBA, February 1, 2039  3,000,000  3,055,898  13,000,000  13,242,226  3,000,000  3,055,898 
5s, TBA, January 1, 2039  124,000,000  126,712,500  276,000,000  282,037,500  105,000,000  107,296,875 
4 1/2s, with due dates from October 1, 2020 to             
October 1, 2035  2,391,495  2,443,776  --  --  --  -- 
4 1/2s, with due dates from April 1, 2020 to             
September 1, 2020  772,584  792,648  --  --  --  -- 
4 1/2s, TBA, February 1, 2039  2,000,000  2,020,000  6,000,000  6,060,000  4,000,000  4,040,000 
4 1/2s, TBA, January 1, 2039  2,000,000  2,029,375  16,000,000  16,235,000  6,000,000  6,088,125 
4 1/2s, TBA, January 1, 2024  --  --  --  --  11,000,000  11,250,938 
    222,630,084    537,532,853    306,960,120 
Total U.S. government and agency mortgage obligations (cost $232,707,028, $563,883,869 and $315,406,593)    $235,972,035    $570,767,855    $319,395,746 
 
 
CORPORATE BONDS AND NOTES(a)  Growth 12.3%  Balanced 15.6% Conservative 20.9%
  Principal amount  Value  Principal amount   Value  Principal amount    Value 
Basic materials    0.7%    0.8%    0.9% 
AK Steel Corp. company guaranty 7 3/4s, 2012  $300,000  $234,000  $365,000  $284,700  $190,000  $148,200 
Aleris International, Inc. company guaranty 9s, 2014             
(PIK)  285,000  17,100  295,000  17,700  135,000  8,100 
ArcelorMittal sr. unsec. unsub. notes 6 1/8s, 2018             
(Luxembourg)  --  --  258,000  176,668  920,000  629,977 
ARCO Chemical Co. debs. 10 1/4s, 2010  185,000  29,600  130,000  20,800  85,000  13,600 
Builders FirstSource, Inc. company guaranty sr. sec.             
notes FRN 6.399s, 2012  265,000  86,125  250,000  81,250  120,000  39,000 
Century Aluminum Co. company guaranty 7 1/2s, 2014  53,000  30,475  49,000  28,175  23,000  13,225 
Clondalkin Acquisition BV 144A company guaranty sr.             
sec. notes FRN 3.996s, 2013 (Netherlands)  75,000  37,875  75,000  37,875  75,000  37,875 
Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011             
(Canada)  --  --  120,000  102,000  110,000  93,500 
Dow Chemical Co. (The) Pass Through Trust 144A company             
guaranty 4.027s, 2009  --  --  580,000  570,297  1,422,000  1,398,210 
E.I. du Pont de Nemours & Co. sr. unsec. notes 5 7/8s,             
2014  45,000  46,639  120,000  124,370  290,000  300,562 
Freeport-McMoRan Copper & Gold, Inc. sr. sec. notes             
6 7/8s, 2014  317,000  285,300  323,000  290,700  277,000  249,300 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes             
8 3/8s, 2017  1,104,000  908,040  512,000  421,120  292,000  240,170 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes             
8 1/4s, 2015  300,000  258,000  295,000  253,700  135,000  116,100 
Georgia-Pacific Corp. debs. 9 1/2s, 2011  170,000  160,650  350,000  330,750  262,000  247,590 
Georgia-Pacific Corp. notes 8 1/8s, 2011  --  --  140,000  131,600  140,000  131,600 
Georgia-Pacific Corp. sr. notes 8s, 2024  175,000  118,125  195,000  131,625  90,000  60,750 
Georgia-Pacific Corp. 144A company guaranty 7 1/8s,             
2017  25,000  21,000  --  --  --  -- 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011             
(Canada)  295,000  297,950  285,000  287,850  135,000  136,350 
Glancore Funding, LLC 144A company guaranty sr. unsec.             
unsub. notes 6s, 2014  --  --  3,150,000  1,275,114  2,860,000  1,157,722 

Hanson PLC company guaranty 6 1/8s, 2016 (United               
Kingdom)    2,405,000  837,532  --  --  --  -- 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance               
ULC company guaranty 9 3/4s, 2014    218,000  62,130  185,000  52,725  93,000  26,505 
Huntsman International, LLC company guaranty sr.               
unsec. sub. notes 7 7/8s, 2014    856,000  457,960  1,913,000  1,023,455  1,639,000  876,865 
Huntsman, LLC company guaranty sr. unsub. notes               
11 5/8s, 2010    1,000  875  1,000  875  --  -- 
International Paper Co. bonds 7.95s, 2018    690,000  545,348  925,000  731,083  --  -- 
International Paper Co. bonds 7.4s, 2014    975,000  754,081  1,305,000  1,009,309  --  -- 
Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012    55,000  9,350  25,000  4,250  30,000  5,100 
Metals USA, Inc. sec. notes 11 1/8s, 2015    185,000  109,150  220,000  129,800  110,000  64,900 
Momentive Performance Materials, Inc. company guaranty               
sr. unsec. notes 9 3/4s, 2014    460,000  195,500  470,000  199,750  230,000  97,750 
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s,               
2016    110,000  88,000  105,000  84,000  50,000  40,000 
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 3/8s,               
2014    110,000  90,200  110,000  90,200  50,000  41,000 
NewPage Corp. company guaranty 10s, 2012    450,000  198,000  380,000  167,200  185,000  81,400 
NewPage Holding Corp. sr. notes FRN 10.265s, 2013 (PIK)    95,453  14,318  89,899  13,485  44,765  6,715 
Norske Skog Canada, Ltd. company guaranty Ser. D,               
8 5/8s, 2011 (Canada)    320,000  140,800  272,000  119,680  140,000  61,600 
Novelis, Inc. company guaranty 7 1/4s, 2015    390,000  226,200  353,000  204,740  165,000  95,700 
Packaging Corp. of America unsec. unsub. notes 5 3/4s,               
2013    1,730,000  1,531,244  --  --  --  -- 
PPG Industries, Inc. sr. unsec. unsub. notes 6.65s,               
2018    915,000  902,114  --  --  --  -- 
Rio Tinto Finance USA, Ltd. sr. unsec. notes 5 7/8s,               
2013 (Australia)    270,000  186,451  416,000  287,273  100,000  69,056 
Rockwood Specialties Group, Inc. company guaranty               
7 5/8s, 2014  EUR  210,000  199,335  170,000  161,366  135,000  128,144 
Sealed Air Corp. 144A notes 5 5/8s, 2013    $1,040,000  859,356  $--  --  $--  -- 
Steel Dynamics, Inc. company guaranty sr. unsec.               
unsub. notes 7 3/8s, 2012    --  --  260,000  189,800  225,000  164,250 
Steel Dynamics, Inc. company guaranty sr. unsec.               
unsub. notes 6 3/4s, 2015    506,000  349,140  864,000  596,160  540,000  372,600 
Steel Dynamics, Inc. 144A sr. notes 7 3/4s, 2016    216,000  149,580  286,000  198,055  --  -- 
Stone Container Corp. sr. notes 8 3/8s, 2012    35,000  5,775  50,000  8,250  --  -- 
Tube City IMS Corp. company guaranty 9 3/4s, 2015    190,000  66,500  190,000  66,500  90,000  31,500 
Verso Paper Holdings, LLC/ Verso Paper, Inc. company               
guaranty 11 3/8s, 2016    150,000  45,000  135,000  40,500  65,000  19,500 
Xstrata Finance Canada, Ltd. 144A company guaranty               
5.8s, 2016 (Canada)    --  --  180,000  113,630  195,000  123,100 
      10,554,818    10,058,380    7,327,516 
 
Capital goods      0.6%    0.6%    0.8% 
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016    140,000  126,000  130,000  117,000  45,000  40,500 
Allied Waste North America, Inc. sec. notes Ser. B,               
5 3/4s, 2011    10,000  9,375  120,000  112,500  55,000  51,563 
Baldor Electric Co. company guaranty 8 5/8s, 2017    95,000  71,250  95,000  71,250  40,000  30,000 
Berry Plastics Corp. company guaranty sr. sec. notes               
FRN 9.503s, 2015    1,055,000  727,950  1,395,000  962,550  --  -- 
Bombardier, Inc. 144A sr. unsec. notes FRN 7.37s, 2013               
(Canada)  EUR  102,000  100,781  82,000  81,020  --  -- 
Caterpillar Financial Services Corp. sr. unsec. notes               
4.85s, 2012    $--  --  $525,000  498,114  $375,000  355,796 
Caterpillar Financial Services Corp. sr. unsec. notes               
Ser. MTN, 5.85s, 2017    --  --  574,000  561,886  1,295,000  1,267,670 
Crown Americas, LLC/Crown Americas Capital Corp. sr.               
notes 7 5/8s, 2013    71,000  70,290  119,000  117,810  59,000  58,410 
Eaton Corp. notes 5.6s, 2018    100,000  95,919  451,000  432,594  774,000  742,411 
General Cable Corp. company guaranty sr. unsec. notes               
FRN 6.258s, 2015    265,000  123,888  250,000  116,875  110,000  51,425 
General Dynamics Corp. company guaranty sr. unsec.               
unsub. notes 5 1/4s, 2014    110,000  113,223  245,000  252,179  280,000  288,204 
Hawker Beechcraft Acquisition Co., LLC sr. sub. notes               
9 3/4s, 2017    297,000  80,190  296,000  79,920  108,000  29,160 
Hawker Beechcraft Acquisition Co., LLC sr. unsec.               
notes 8 1/2s, 2015    18,000  7,380  16,000  6,560  7,000  2,870 
Hexcel Corp. sr. sub. notes 6 3/4s, 2015    285,000  216,600  270,000  205,200  130,000  98,800 
L-3 Communications Corp. company guaranty 7 5/8s, 2012    290,000  283,475  388,000  379,270  181,000  176,928 
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  191,483  137,000  124,328  73,000  66,248 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015    --  --  95,000  85,500  110,000  99,000 
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)    295,000  258,045  396,000  346,393  246,000  215,183 
Owens-Brockway Glass Container, Inc. company guaranty               
6 3/4s, 2014  EUR  95,000  103,436  50,000  54,440  50,000  54,440 
Owens-Illinois, Inc. debs. 7 1/2s, 2010    $3,840,000  3,801,600  $--  --  $--  -- 
Pitney Bowes, Inc. sr. unsec. notes 5.6s, 2018    615,000  609,723  --  --  --  -- 
Rexam PLC 144A bond 6 3/4s, 2013 (United Kingdom)    1,090,000  1,061,802  1,775,000  1,729,081  1,200,000  1,168,956 
Ryerson Tull, Inc. 144A sec. notes 12 1/4s, 2015    596,000  368,030  765,000  472,388  45,000  27,788 
Titan International, Inc. company guaranty 8s, 2012    112,000  82,880  11,000  8,140  --  -- 
United Technologies Corp. sr. unsec. notes 5 3/8s, 2017    --  --  736,000  754,236  1,272,000  1,303,516 
WCA Waste Corp. company guaranty 9 1/4s, 2014    125,000  92,500  120,000  88,800  55,000  40,700 
      8,754,770    7,989,959    6,384,618 
 
Communication services      2.2%    2.4%    3.5% 
Adelphia Communications Corp. escrow bonds zero %, 2010    200,000  5,750  270,000  7,763  125,000  3,594 
ALLTEL Corp. sr. notes 7s, 2012    6,660,000  6,626,700  --  --  --  -- 
American Tower Corp. 144A sr. notes 7s, 2017    175,000  155,750  846,000  752,940  1,267,000  1,127,630 
Ameritech Capital Funding company guaranty 6 1/4s, 2009    --  --  450,000  455,238  295,000  298,434 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031    --  --  461,000  576,290  990,000  1,237,585 
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011    809,000  837,512  1,262,000  1,306,477  297,000  307,467 
AT&T, Inc. sr. unsec. unsub. bonds 5 1/2s, 2018    --  --  260,000  262,763  370,000  373,931 
AT&T, Inc. sr. unsec. unsub. notes 6.3s, 2038    --  --  1,598,000  1,752,484  1,768,000  1,938,919 
AT&T, Inc. sr. unsec. unsub. notes 4.95s, 2013    --  --  644,000  648,830  1,098,000  1,106,235 
BCM Ireland Finance, Ltd. 144A FRN 9.245s, 2016               
(Cayman Islands)  EUR  90,000  57,790  105,000  67,422  50,000  32,106 
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030    $--  --  $995,000  1,091,670  $1,640,000  1,799,336 
British Sky Broadcasting PLC company guaranty 6 7/8s,               
2009 (United Kingdom)    --  --  3,585,000  3,601,444  3,260,000  3,274,954 
British Telecommunications PLC notes 8 3/8s, 2010               
(United Kingdom)    319,000  328,155  497,000  511,263  117,000  120,358 
British Telecommunications PLC sr. unsec. notes 5.15s,               
2013 (United Kingdom)    --  --  365,000  340,983  705,000  658,611 
Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012    --  --  55,000  48,950  45,000  40,050 
CCH I Holdings, LLC company guaranty 12 1/8s, 2015    25,000  2,000  15,000  1,200  5,000  400 
CCH II, LLC sr. unsec. notes 10 1/4s, 2010    102,000  46,920  96,000  44,160  138,000  63,480 
CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010    670,000  294,800  615,000  270,600  380,000  167,200 
Centennial Cellular Operating Co., LLC company               
guaranty 10 1/8s, 2013    100,000  101,000  155,000  156,550  --  -- 
CenturyTel, Inc. sr. unsec. notes 5 1/2s, 2013    2,075,000  1,618,500  --  --  --  -- 
Cincinnati Bell, Inc. company guaranty 7 1/4s, 2013    300,000  264,000  425,000  374,000  180,000  158,400 
Citizens Communications Co. notes 9 1/4s, 2011    340,000  323,000  480,000  456,000  225,000  213,750 
Comcast Corp. company guaranty sr. unsec. unsub. notes               
6.95s, 2037    588,000  619,195  920,000  968,808  216,000  227,459 
Comcast Corp. unsec. bonds 6.4s, 2038    --  --  202,000  201,528  708,000  706,345 
Cox Communications, Inc. notes 7 1/8s, 2012    --  --  145,000  138,767  360,000  344,526 
Cox Communications, Inc. unsec. sr. notes 4 5/8s, 2010    2,360,000  2,283,574  --  --  --  -- 
Cox Communications, Inc. 144A notes 5 7/8s, 2016    --  --  561,000  489,732  1,069,000  933,196 
Cricket Communications, Inc. company guaranty 9 3/8s,               
2014    315,000  283,500  280,000  252,000  130,000  117,000 
Cricket Communications, Inc. 144A company guaranty sr.               
notes 10s, 2015    535,000  489,525  716,000  655,140  --  -- 
CSC Holdings, Inc. debs. Ser. B, 8 1/8s, 2009    405,000  402,975  570,000  567,150  265,000  263,675 
CSC Holdings, Inc. sr. notes 6 3/4s, 2012    130,000  118,950  50,000  45,750  20,000  18,300 
CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011    125,000  117,813  50,000  47,125  20,000  18,850 
Deutsche Telekom International Finance BV company               
guaranty 8 3/4s, 2030 (Germany)    540,000  665,897  841,000  1,037,072  198,000  244,162 
Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015               
(Jamaica)    205,000  133,250  205,000  133,250  100,000  65,000 
Digicel, Ltd. 144A sr. unsec. unsub. notes 9 1/4s,               
2012 (Jamaica)    220,000  187,000  180,000  153,000  100,000  85,000 
Embarq Corp. notes 7.082s, 2016    950,000  731,500  --  --  --  -- 
Embarq Corp. sr. unsec. unsub. notes 6.738s, 2013    3,405,000  2,877,225  --  --  --  -- 
France Telecom notes 8 1/2s, 2031 (France)    --  --  20,000  25,110  --  -- 
France Telecom notes 7 3/4s, 2011 (France)    319,000  335,685  497,000  522,995  117,000  123,120 
Hawaiian Telcom Communications, Inc. company guaranty               
Ser. B, 9 3/4s, 2013 (In default) (NON)    105,000  7,875  95,000  7,125  45,000  3,375 
Inmarsat Finance PLC company guaranty 10 3/8s, 2012               
(United Kingdom)    299,000  264,989  241,000  213,586  111,000  98,374 
Intelsat Bermuda, Ltd. company guaranty sr. unsec.               
notes 11 1/4s, 2016 (Bermuda)    510,000  464,100  530,000  482,300  250,000  227,500 
Intelsat Intermediate Holding Co., Ltd. company               
guaranty stepped-coupon zero % (9 1/4s, 2/1/10), 2015               
(Bermuda) (STP)    95,000  72,200  75,000  57,000  30,000  22,800 

iPCS, Inc. company guaranty sr. sec. notes FRN 5.318s,               
2013    105,000  74,550  100,000  71,000  45,000  31,950 
Level 3 Financing, Inc. company guaranty 9 1/4s, 2014    305,000  176,900  295,000  171,100  140,000  81,200 
Level 3 Financing, Inc. company guaranty 8 3/4s, 2017    150,000  75,750  150,000  75,750  70,000  35,350 
MetroPCS Wireless, Inc. company guaranty sr. unsec.               
notes 9 1/4s, 2014    395,000  353,525  350,000  313,250  165,000  147,675 
Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s,               
2013    1,685,000  718,600  --  --  --  -- 
Nordic Telephone Co. Holdings ApS 144A sr. sec. bonds               
8 7/8s, 2016 (Denmark)    210,000  147,000  205,000  143,500  75,000  52,500 
Nordic Telephone Co. Holdings ApS 144A sr. sec. notes               
FRN 10.294s, 2016 (Denmark)  EUR  655,000  612,591  870,000  813,670  --  -- 
NTL Cable PLC sr. notes 9 1/8s, 2016 (United Kingdom)    $--  --  $100,000  74,000  $--  -- 
PAETEC Holding Corp. company guaranty sr. unsec.               
unsub. notes 9 1/2s, 2015    115,000  68,425  105,000  62,475  50,000  29,750 
Qwest Communications International, Inc. company               
guaranty 7 1/2s, 2014    355,000  253,825  225,000  160,875  105,000  75,075 
Qwest Corp. sr. notes FRN 5.246s, 2013    1,475,000  1,098,875  --  --  --  -- 
Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012    715,000  661,375  740,000  684,500  345,000  319,125 
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025    85,000  56,950  115,000  77,050  55,000  36,850 
Rainbow National Services, LLC 144A sr. notes 8 3/4s,               
2012    280,000  252,000  270,000  243,000  130,000  117,000 
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada)    --  --  631,000  599,827  1,195,000  1,135,963 
Southwestern Bell Telephone debs. 7s, 2027    --  --  201,000  176,901  814,000  716,403 
Syniverse Technologies, Inc. sr. sub. notes Ser. B,               
7 3/4s, 2013    42,000  21,473  54,000  27,608  26,000  13,293 
TCI Communications, Inc. company guaranty 7 7/8s, 2026    --  --  1,410,000  1,463,088  1,774,000  1,840,793 
TCI Communications, Inc. debs. 9.8s, 2012    --  --  380,000  400,598  1,151,000  1,213,390 
TCI Communications, Inc. debs. 7 7/8s, 2013    --  --  200,000  205,643  435,000  447,274 
Telecom Italia Capital SA company guaranty 5 1/4s,               
2015 (Luxembourg)    266,000  202,493  824,000  627,270  240,000  182,700 
Telecom Italia Capital SA company guaranty 5 1/4s,               
2013 (Luxembourg)    --  --  140,000  106,750  110,000  83,875 
Telecom Italia Capital SA company guaranty 4s, 2010               
(Luxembourg)    --  --  5,000  4,579  50,000  45,788 
Telecom Italia Capital SA company guaranty sr. unsec.               
notes FRN 5.113s, 2011 (Luxembourg)    5,090,000  3,829,797  --  --  --  -- 
Telefonica Emisones SAU company guaranty 6.221s, 2017               
(Spain)    --  --  310,000  305,411  180,000  177,335 
Telefonica Europe BV company guaranty 8 1/4s, 2030               
(Netherlands)    --  --  125,000  146,383  120,000  140,528 
Telefonica Europe BV company guaranty 7 3/4s, 2010               
(Netherlands)    319,000  323,900  497,000  504,635  117,000  118,797 
Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014    160,000  131,200  175,000  143,500  85,000  69,700 
Valor Telecommunications Enterprises, LLC/Finance               
Corp. company guaranty sr. unsec. unsub. notes 7 3/4s,               
2015    20,000  16,700  20,000  16,700  10,000  8,350 
Verizon Communications, Inc. sr. unsec. unsub. notes               
8 3/4s, 2018    614,000  728,936  954,000  1,132,581  226,000  268,305 
Verizon Global Funding Corp. notes 7 3/4s, 2030    5,000  5,544  210,000  232,869  65,000  72,078 
Verizon New England, Inc. sr. notes 6 1/2s, 2011    --  --  489,000  485,419  1,220,000  1,211,066 
Verizon New Jersey, Inc. debs. 8s, 2022    --  --  160,000  151,373  165,000  156,104 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030    --  --  210,000  205,101  225,000  219,751 
Verizon Virginia, Inc. debs. Ser. A, 4 5/8s, 2013    --  --  --  --  95,000  85,977 
Verizon Wireless, Inc. 144A sr. unsec. unsub. notes               
8 1/2s, 2018    --  --  30,000  34,605  515,000  594,057 
Vodafone Group PLC sr. unsec. notes 7 3/4s, 2010               
(United Kingdom)    319,000  326,023  497,000  507,941  117,000  119,576 
Vodafone Group PLC unsec. notes 6.15s, 2037 (United               
Kingdom)    --  --  850,000  840,167  1,478,000  1,460,903 
West Corp. company guaranty 9 1/2s, 2014    145,000  79,750  140,000  77,000  65,000  35,750 
Wind Aquisition Finance SA notes 9 3/4s, 2015               
(Netherlands)  EUR  80,000  91,013  70,000  79,636  --  -- 
Windstream Corp. company guaranty 8 5/8s, 2016    $460,000  407,100  $395,000  349,575  $185,000  163,725 
Windstream Corp. company guaranty 8 1/8s, 2013    160,000  147,200  160,000  147,200  80,000  73,600 
      31,578,625    30,586,995    28,002,678 
 
Conglomerates      --%    --%    --% 
Siemens Financieringsmaatschappij 144A notes 5 3/4s,               
2016 (Netherlands)    --  --  155,000  154,985  160,000  159,984 
      --    154,985    159,984 
 
Consumer cyclicals      2.3%    2.0%    2.1% 
Affinion Group, Inc. company guaranty 11 1/2s, 2015    175,000  105,219  175,000  105,219  85,000  51,106 
Affinion Group, Inc. company guaranty 10 1/8s, 2013    315,000  229,950  300,000  219,000  135,000  98,550 
Affinity Group, Inc. sr. sub. notes 9s, 2012    175,000  98,000  250,000  140,000  115,000  64,400 
AMC Entertainment, Inc. company guaranty 11s, 2016    205,000  143,244  275,000  192,156  119,000  83,151 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014    115,000  70,725  115,000  70,725  54,000  33,210 
American Media, Inc. sr. unsec. sub. notes company               
guaranty 8 7/8s, 2011    25,000  5,031  30,000  6,038  15,000  3,019 
American Media, Inc. sr. unsec. sub. notes company               
guaranty Ser. B, 10 1/4s, 2009    175,000  35,000  220,000  44,000  115,000  23,000 
American Media, Inc. 144A company guaranty sr. unsec.               
sub. notes 10 1/4s, 2009    6,363  1,273  7,999  1,600  4,181  836 
American Media, Inc. 144A company guaranty sr. unsec.               
sub. notes 8 7/8s, 2011    909  183  1,091  220  545  110 
Aramark Corp. company guaranty 8 1/2s, 2015    275,000  248,875  270,000  244,350  125,000  113,125 
Associated Materials, Inc. company guaranty 9 3/4s,               
2012    245,000  192,938  300,000  236,250  110,000  86,625 
Avis Budget Car Rental, LLC company guaranty 7 3/4s,               
2016    120,000  34,800  145,000  42,050  75,000  21,750 
Avis Budget Car Rental, LLC company guaranty 7 5/8s,               
2014    95,000  27,550  105,000  30,450  55,000  15,950 
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,               
2014    225,000  27,000  240,000  28,800  120,000  14,400 
Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016    95,000  56,050  115,000  67,850  65,000  38,350 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)    391,391  172,212  384,071  168,991  139,145  61,224 
Cenveo Corp. 144A company guaranty sr. unsec. notes               
10 1/2s, 2016    470,000  272,600  630,000  365,400  --  -- 
Cinemark, Inc. sr. disc. notes stepped-coupon zero %               
(9 3/4s, 3/15/09), 2014 (STP)    23,000  18,601  21,000  16,984  10,000  8,088 
Claire's Stores, Inc. 144A company guaranty sr. unsec.               
notes 9 5/8s, 2015 (In default) (NON)(PIK)    190,000  17,100  178,819  16,094  80,000  7,200 
Clear Channel Communications, Inc. sr. unsec. notes               
7.65s, 2010    846,000  490,680  1,134,000  657,720  --  -- 
Clear Channel Communications, Inc. sr. unsec. notes               
5 1/2s, 2014    55,000  6,600  50,000  6,000  25,000  3,000 
Corrections Corporation of America sr. notes 7 1/2s,               
2011    125,000  123,750  160,000  158,400  85,000  84,150 
D.R. Horton, Inc. company guaranty 8s, 2009    276,000  273,930  272,000  269,960  --  -- 
D.R. Horton, Inc. company guaranty sr. unsub. notes               
5s, 2009    399,000  397,005  400,000  398,000  --  -- 
DaimlerChrysler NA Holding Corp. company guaranty               
6 1/2s, 2013    --  --  35,000  27,300  50,000  39,001 
DaimlerChrysler NA Holding Corp. company guaranty               
unsec. notes 7.2s, 2009    --  --  --  --  5,000  4,851 
DaimlerChrysler NA Holding Corp. company guaranty               
unsec. unsub. notes Ser. MTN, 5 3/4s, 2011    --  --  560,000  472,942  1,546,000  1,305,657 
Dana Corp. bonds 5.85s, 2015 (Escrow) (In default)               
(NON)    225,000  23  245,000  25  120,000  12 
DirecTV Holdings, LLC company guaranty 6 3/8s, 2015    924,000  852,390  1,194,000  1,101,465  235,000  216,788 
DirecTV Holdings, LLC company guaranty sr. unsec.               
notes 7 5/8s, 2016    120,000  116,400  157,000  152,290  --  -- 
Echostar DBS Corp. company guaranty 6 5/8s, 2014    55,000  45,925  10,000  8,350  --  -- 
Echostar DBS Corp. sr. notes 6 3/8s, 2011    650,000  604,500  655,000  609,150  295,000  274,350 
Federated Department Stores, Inc. company guaranty sr.               
unsec. notes 6 5/8s, 2011    --  --  4,375,000  3,530,874  3,965,000  3,199,981 
FelCor Lodging, LP company guaranty 8 1/2s, 2011 (R)    1,590,000  1,176,600  --  --  --  -- 
Ford Motor Credit Co., LLC notes 7 7/8s, 2010    535,000  428,096  550,000  440,099  215,000  172,039 
Ford Motor Credit Co., LLC notes 7.8s, 2012    110,000  77,173  --  --  100,000  70,157 
Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011    1,330,000  1,004,150  1,090,000  822,950  445,000  335,975 
Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s,               
2010    145,000  118,900  179,000  146,780  --  -- 
Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009    85,000  74,649  105,000  92,213  50,000  43,911 
Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011    --  --  4,000  3,320  --  -- 
Goodyear Tire & Rubber Co. (The) sr. notes 9s, 2015    313,000  251,965  276,000  222,180  135,000  108,675 
Hanesbrands, Inc. company guaranty sr. unsec. notes               
FRN Ser. B, 5.698s, 2014    230,000  162,150  220,000  155,100  100,000  70,500 
Hertz Corp. company guaranty 8 7/8s, 2014    335,000  206,025  360,000  221,400  180,000  110,700 
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.4s,               
2016    416,000  372,287  652,000  583,488  154,000  137,818 
Host Marriott, LP company guaranty Ser. Q, 6 3/4s,               
2016 (R)    110,000  80,300  --  --  --  -- 
Host Marriott, LP sr. notes Ser. M, 7s, 2012 (R)    320,000  271,200  450,000  381,375  210,000  177,975 
Idearc, Inc. company guaranty 8s, 2016    800,000  60,000  710,000  53,250  335,000  25,125 
Isle of Capri Casinos, Inc. company guaranty 7s, 2014    140,000  59,500  125,000  53,125  60,000  25,500 
JC Penney Co., Inc. debs. 7.65s, 2016    --  --  25,000  19,602  25,000  19,602 
JC Penney Co., Inc. notes 6 7/8s, 2015    --  --  195,000  155,296  210,000  167,242 

Jostens IH Corp. company guaranty 7 5/8s, 2012  160,000  131,200  220,000  180,400  105,000  86,100 
K. Hovnanian Enterprises, Inc. company guaranty sr.             
sec. notes 11 1/2s, 2013  286,000  217,360  314,000  238,640  --  -- 
KB Home company guaranty 6 3/8s, 2011  --  --  1,520,000  1,170,400  1,380,000  1,062,600 
Lamar Media Corp. company guaranty 7 1/4s, 2013  185,000  147,538  260,000  207,350  120,000  95,700 
Lamar Media Corp. sr. unsec. sub. notes Ser. C,             
6 5/8s, 2015  115,000  83,088  50,000  36,125  25,000  18,063 
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016  115,000  78,200  145,000  98,600  75,000  51,000 
Levi Strauss & Co. sr. unsec. unsub. notes 9 3/4s, 2015  290,000  214,600  275,000  203,500  125,000  92,500 
Liberty Media Corp. debs. 8 1/4s, 2030  195,000  111,864  245,000  140,546  120,000  68,839 
Liberty Media, LLC sr. unsec. notes 7 7/8s, 2009  1,490,000  1,453,666  --  --  --  -- 
Limited Brands, Inc. sr. unsec. notes 6 1/8s, 2012  3,130,000  2,313,644  --  --  --  -- 
Marriott International, Inc. sr. unsec. Ser. J,             
5 5/8s, 2013  --  --  45,000  34,070  45,000  34,070 
Marriott International, Inc. sr. unsec. unsub. notes             
4 5/8s, 2012  2,815,000  2,129,114  --  --  --  -- 
Masco Corp. sr. unsec. notes 5.85s, 2017  2,370,000  1,533,025  --  --  --  -- 
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,             
2015  355,000  139,338  315,000  123,638  150,000  58,875 
Mattel, Inc. sr. unsec. notes 5 5/8s, 2013  1,645,000  1,452,614  --  --  --  -- 
Meritage Homes Corp. company guaranty 6 1/4s, 2015  237,000  118,500  246,000  123,000  112,000  56,000 
Meritage Homes Corp. sr. notes 7s, 2014  30,000  17,100  15,000  8,550  5,000  2,850 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010  1,555,000  1,306,200  95,000  79,800  50,000  42,000 
MGM Mirage, Inc. sr. notes 6 3/4s, 2012  315,000  220,500  436,000  305,200  216,000  151,200 
Michaels Stores, Inc. company guaranty 11 3/8s, 2016  255,000  82,875  250,000  81,250  115,000  37,375 
Michaels Stores, Inc. company guaranty 10s, 2014  30,000  13,650  5,000  2,275  5,000  2,275 
Mohegan Tribal Gaming Authority sr. sub. notes 6 3/8s,             
2009  90,000  84,600  130,000  122,200  59,000  55,460 
Neiman-Marcus Group, Inc. company guaranty 9s, 2015             
(PIK)  465,000  204,600  505,000  222,200  250,000  110,000 
News America Holdings, Inc. company guaranty 7 3/4s,             
2024  --  --  350,000  350,970  300,000  300,832 
News America Holdings, Inc. debs. 7 3/4s, 2045  210,000  204,928  1,347,000  1,314,465  1,363,000  1,330,078 
Nielsen Finance, LLC/Nielsen Finance Co. company             
guaranty 10s, 2014  195,000  156,000  190,000  152,000  90,000  72,000 
Nielsen Finance, LLC/Nielsen Finance Co. company             
guaranty stepped-coupon zero % (12 1/2s, 8/1/11), 2016             
(STP)  275,000  99,688  220,000  79,750  105,000  38,063 
NTK Holdings, Inc. sr. disc. notes stepped-coupon zero             
% (10 3/4s, 9/1/09), 2014 (STP)  210,000  45,150  230,000  49,450  110,000  23,650 
Omnicom Group, Inc. sr. notes 5.9s, 2016  --  --  140,000  113,685  150,000  121,806 
Pearson Dollar Finance Two PLC 144A company guaranty             
sr. notes 6 1/4s, 2018 (United Kingdom)  2,470,000  2,163,069  --  --  --  -- 
Pinnacle Entertainment, Inc. company guaranty sr.             
unsec. sub. notes 7 1/2s, 2015  240,000  139,200  225,000  130,500  105,000  60,900 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,             
2012  250,000  190,000  240,000  182,400  110,000  83,600 
Quebecor Media, Inc. sr. unsec. notes Ser. *, 7 3/4s,             
2016 (Canada)  65,000  43,875  60,000  40,500  25,000  16,875 
R. R. Donnelley & Sons Co. sr. unsec. notes 5 5/8s,             
2012  1,810,000  1,609,709  --  --  --  -- 
R.H. Donnelley Corp. sr. unsec. unsub. notes 8 7/8s,             
2017  11,000  1,650  8,000  1,200  3,000  450 
R.H. Donnelley, Inc. 144A company guaranty sr. unsec.             
notes 11 3/4s, 2015  373,000  91,385  319,000  78,155  144,000  35,280 
Reader's Digest Association, Inc. (The) company             
guaranty sr. unsec. sub. notes 9s, 2017  205,000  16,913  200,000  16,500  90,000  7,425 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014  50,000  29,500  70,000  41,300  30,000  17,700 
Sirius Satellite Radio, Inc. sr. unsec. notes 9 5/8s,             
2013  140,000  26,075  180,000  33,525  90,000  16,763 
Starwood Hotels & Resorts Worldwide, Inc. sr. unsec.             
notes 6 1/4s, 2013  --  --  547,000  377,430  1,240,000  855,600 
Station Casinos, Inc. sr. notes 6s, 2012  305,000  61,000  405,000  81,000  190,000  38,000 
Target Corp. bonds 6 1/2s, 2037  --  --  675,000  579,603  1,395,000  1,197,846 
Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,             
2013  15,000  9,300  15,000  9,300  8,000  4,960 
Tenneco, Inc. sr. unsec. notes company guaranty             
8 1/8s, 2015  60,000  27,600  55,000  25,300  25,000  11,500 
Texas Industries, Inc. sr. unsec. notes 7 1/4s, 2013  275,000  212,438  255,000  196,988  120,000  92,700 
Texas Industries, Inc. 144A company guaranty sr.             
unsec. notes 7 1/4s, 2013  491,000  379,298  --  --  --  -- 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sec.             
notes 10s, 2013  173,000  117,640  228,000  155,040  --  -- 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.             
notes 8 1/2s, 2014  525,000  120,750  435,000  100,050  190,000  43,700 
Time Warner Cable, Inc. company guaranty sr. unsec.             
unsub. notes 8 1/4s, 2014  340,000  347,109  770,000  786,100  880,000  898,400 
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023  --  --  --  --  25,000  25,177 
Time Warner, Inc. debs. 9.15s, 2023  --  --  25,000  26,663  105,000  111,983 
Time Warner, Inc. debs. 9 1/8s, 2013  --  --  997,000  988,033  1,577,000  1,562,816 
Toll Brothers, Inc. company guaranty sr. unsec. sub.             
notes 8 1/4s, 2011  890,000  818,800  1,335,000  1,228,200  --  -- 
Toyota Motor Credit Corp. sr. unsec. FRN Ser. MTN,             
1.555s, 2010  1,200,000  1,171,188  --  --  --  -- 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,             
2015 (In default) (NON)  382,000  50,615  421,000  55,783  195,000  25,838 
TRW Automotive, Inc. 144A company guaranty sr. notes             
7 1/4s, 2017  105,000  53,550  100,000  51,000  --  -- 
UCI Holdco, Inc. sr. unsec. notes FRN 9.996s, 2013             
(PIK)  295,141  50,174  295,141  50,174  138,150  23,486 
United Auto Group, Inc. company guaranty 7 3/4s, 2016  195,000  90,675  200,000  93,000  100,000  46,500 
Universal City Florida Holding Co. sr. notes 8 3/8s,             
2010  140,000  63,700  200,000  91,000  95,000  43,225 
Univision Communications, Inc. 144A company guaranty             
unsec. notes 9 3/4s, 2015 (PIK)  165,000  20,625  150,000  18,750  75,000  9,375 
Vertis, Inc. company guaranty sr. notes zero %, 2014             
(F)(PIK)  173,661  13,893  175,947  14,076  82,393  6,591 
Viacom, Inc. company guaranty 5 5/8s, 2012  1,465,000  1,209,075  --  --  --  -- 
Viacom, Inc. company guaranty sr. unsec. notes 6 5/8s,             
2011  1,705,000  1,510,940  --  --  --  -- 
Vulcan Materials Co. sr. unsec. unsub. notes 5.6s, 2012  --  --  330,000  285,279  295,000  255,022 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6 1/2s,             
2037  540,000  641,150  844,000  1,002,093  198,000  235,088 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st             
mtge. 6 5/8s, 2014  365,000  275,575  380,000  286,900  175,000  132,125 
Yankee Acquisition Corp. company guaranty Ser. B,             
8 1/2s, 2015  185,000  86,256  170,000  79,263  80,000  37,300 
Young Broadcasting, Inc. company guaranty 10s, 2011  180,000  1,800  170,000  1,700  79,000  790 
    33,214,118    25,283,700    17,125,454 
 
Consumer staples    1.3%    1.0%    1.3% 
Altria Group, Inc. company guaranty sr. unsec. unsub.             
notes 8 1/2s, 2013  209,000  218,678  482,000  504,319  544,000  569,190 
Anheuser-Busch Cos., Inc. sr. unsec. notes 5.6s, 2017  2,370,000  2,191,205  --  --  --  -- 
Campbell Soup Co. debs. 8 7/8s, 2021  --  --  300,000  382,828  255,000  325,404 
Chiquita Brands International, Inc. sr. notes 7 1/2s,             
2014  150,000  102,000  170,000  115,600  85,000  57,800 
Chiquita Brands International, Inc. sr. unsec. unsub.             
notes 8 7/8s, 2015  25,000  17,750  30,000  21,300  15,000  10,650 
Church & Dwight Co., Inc. company guaranty 6s, 2012  130,000  124,800  180,000  172,800  85,000  81,600 
ConAgra Foods, Inc. unsec. notes 7 7/8s, 2010  --  --  990,000  1,024,400  860,000  889,882 
CVS Caremark Corp. sr. unsec. FRN 6.302s, 2037  --  --  1,050,000  535,500  1,733,000  883,830 
CVS Caremark Corp. 144A pass-through certificates             
6.117s, 2013  1,419,766  1,341,062  648,719  612,757  1,478,336  1,396,385 
Darden Restaurants, Inc. sr. unsec. notes 6.2s, 2017  1,485,000  1,102,140  --  --  --  -- 
Dean Foods Co. company guaranty 7s, 2016  --  --  --  --  85,000  72,250 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012  35,000  33,950  45,000  43,650  20,000  19,400 
Delhaize Group sr. unsub. notes 6 1/2s, 2017 (Belgium)  --  --  200,000  181,599  170,000  154,359 
Diageo Capital PLC company guaranty 5 3/4s, 2017             
(United Kingdom)  --  --  435,000  420,906  390,000  377,364 
Diageo Capital PLC company guaranty 5.2s, 2013 (United             
Kingdom)  --  --  190,000  186,964  165,000  162,363 
Diageo PLC company guaranty 8s, 2022  --  --  165,000  181,223  135,000  148,273 
Dole Food Co. sr. notes 8 5/8s, 2009  98,000  88,690  197,000  178,285  88,000  79,640 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014  210,000  136,500  275,000  178,750  130,000  84,500 
Estee Lauder Cos., Inc. (The) sr. unsec. notes 6s, 2037  --  --  360,000  308,034  310,000  265,251 
Estee Lauder Cos., Inc. (The) sr. unsec. notes 5.55s,             
2017  --  --  95,000  87,685  80,000  73,840 
H.J. Heinz Co. sr. unsec. notes 5.35s, 2013  216,000  215,202  492,000  490,183  --  -- 
Jarden Corp. company guaranty 7 1/2s, 2017  200,000  136,500  200,000  136,500  90,000  61,425 
Kellogg Co. sr. unsub. 5 1/8s, 2012  --  --  65,000  66,375  55,000  56,163 
Kroger Co. company guaranty 6 3/4s, 2012  --  --  --  --  150,000  151,404 
Kroger Co. company guaranty 6.4s, 2017  234,000  235,980  748,000  754,330  100,000  100,846 
Kroger Co. sr. notes 6.15s, 2020  --  --  40,000  39,133  --  -- 
McDonald's Corp. sr. unsec. bonds 6.3s, 2037  --  --  205,000  225,061  210,000  230,550 
McDonald's Corp. sr. unsec. bonds 5.8s, 2017  --  --  105,000  111,997  110,000  117,330 
Newell Rubbermaid, Inc. sr. unsec. notes 5 1/2s, 2013  1,375,000  1,204,874  --  --  --  -- 
OSI Restaurant Partners, Inc. company guaranty 10s,             

2015  115,000  20,700  110,000  19,800  50,000  9,000 
PepsiCo, Inc. sr. unsec. notes 7.9s, 2018  220,000  269,642  346,000  424,074  82,000  100,503 
Philip Morris International, Inc. sr. unsec. unsub.             
notes 5.65s, 2018  270,000  267,660  416,000  412,395  100,000  99,133 
Pinnacle Foods Finance, LLC sr. notes 9 1/4s, 2015  125,000  80,625  115,000  74,175  55,000  35,475 
Pinnacle Foods Finance, LLC sr. sub. notes 10 5/8s,             
2017  130,000  70,200  125,000  67,500  60,000  32,400 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012  150,000  138,000  210,000  193,200  100,000  92,000 
Reynolds American, Inc. company guaranty 7 1/4s, 2013  260,000  233,378  285,000  255,818  140,000  125,665 
Rite Aid Corp. company guaranty 9 1/2s, 2017  214,000  74,365  197,000  68,458  92,000  31,970 
Rite Aid Corp. sec. notes 7 1/2s, 2017  245,000  159,250  225,000  146,250  105,000  68,250 
Sara Lee Corp. sr. unsec. unsub. notes 6 1/4s, 2011  --  --  330,000  326,681  300,000  296,982 
Sara Lee Corp. sr. unsec. unsub. notes 3 7/8s, 2013  670,000  578,794  --  --  --  -- 
Spectrum Brands, Inc. company guaranty 7 3/8s, 2015  207,000  37,778  238,000  43,435  119,000  21,718 
Spectrum Brands, Inc. sr. unsec. sub. notes company             
guaranty stepped-coupon 12 1/2s (12 3/4s, 4/2/09),             
2013 (STP) (PIK)  140,000  38,150  145,000  39,513  65,000  17,713 
Supervalu, Inc. notes 7 7/8s, 2009  5,760,000  5,616,000  --  --  --  -- 
Supervalu, Inc. sr. unsec. notes 7 1/2s, 2014  215,000  176,300  210,000  172,200  95,000  77,900 
Tesco PLC 144A sr. unsec. unsub. notes 6.15s, 2037             
(United Kingdom)  --  --  --  --  450,000  397,431 
Tyson Foods, Inc. sr. unsec. notes 8 1/4s, 2011  2,970,000  2,643,300  --  --  --  -- 
United Rentals NA, Inc. company guaranty 6 1/2s, 2012  612,000  483,480  525,000  414,750  17,000  13,430 
Universal Corp. MTNC notes 5.2s, 2013  --  --  3,160,000  2,677,778  2,840,000  2,406,610 
Yum! Brands, Inc. sr. unsec. unsub. 6 1/4s, 2018  --  --  320,000  276,123  270,000  232,979 
    18,036,953    12,572,329    10,428,858 
 
Energy    0.5%    1.0%    0.9% 
Amerada Hess Corp. unsub notes 6.65s, 2011  220,000  219,913  500,000  499,802  570,000  569,774 
Anadarko Petroleum Corp. sr. notes 5.95s, 2016  --  --  85,000  74,545  93,000  81,561 
Arch Western Finance, LLC sr. notes 6 3/4s, 2013  455,000  395,850  515,000  448,050  255,000  221,850 
Chaparral Energy, Inc. company guaranty sr. unsec.             
notes 8 7/8s, 2017  290,000  58,000  275,000  55,000  125,000  25,000 
Chesapeake Energy Corp. company guaranty 6 1/2s, 2017  95,000  72,675  --  --  --  -- 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  --  --  515,000  442,900  250,000  215,000 
Chesapeake Energy Corp. sr. notes 7s, 2014  --  --  200,000  166,000  --  -- 
Chesapeake Energy Corp. sr. unsec. notes 7 5/8s, 2013  --  --  225,000  193,500  230,000  197,800 
Complete Production Services, Inc. company guaranty             
8s, 2016  290,000  182,700  300,000  189,000  150,000  94,500 
Compton Petroleum Corp. company guaranty 7 5/8s, 2013             
(Canada)  305,000  91,500  345,000  103,500  170,000  51,000 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  125,000  96,250  175,000  134,750  80,000  61,600 
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,             
2015 (Canada)  190,000  76,000  170,000  68,000  80,000  32,000 
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015  230,000  163,300  220,000  156,200  105,000  74,550 
Dresser-Rand Group, Inc. company guaranty 7 3/8s, 2014  50,000  38,500  45,000  34,650  20,000  15,400 
El Paso Natural Gas Co. sr. unsec. notes 5.95s, 2017  --  --  40,000  31,785  35,000  27,812 
Encore Acquisition Co. sr. sub. notes 6s, 2015  290,000  187,050  402,000  259,290  184,000  118,680 
Enterprise Products Operating, LP company guaranty FRB             
8 3/8s, 2066  --  --  200,000  110,000  225,000  123,750 
Enterprise Products Operating, LP company guaranty FRB             
7.034s, 2068  --  --  270,000  126,900  125,000  58,750 
EOG Resources, Inc. sr. unsec. notes 5 7/8s, 2017  --  --  235,000  238,569  205,000  208,114 
Forest Oil Corp. sr. notes 8s, 2011  230,000  209,875  340,000  310,250  220,000  200,750 
Gaz Capital SA 144A company guaranty sr. unsec. bonds             
8.146s, 2018 (Luxembourg)  158,000  112,292  324,000  230,270  288,000  204,684 
Gaz Capital SA 144A company guaranty sr. unsec. bonds             
7.343s, 2013 (Luxembourg)  143,000  113,132  334,000  264,237  298,000  235,757 
Gaz Capital SA 144A sr. unsec. 6.51s, 2022 (Luxembourg)  230,000  136,850  507,000  301,665  438,000  260,610 
Harvest Operations Corp. sr. notes 7 7/8s, 2011             
(Canada)  165,000  118,800  205,000  147,600  110,000  79,200 
Helix Energy Solutions Group, Inc. 144A sr. unsec.             
notes 9 1/2s, 2016  420,000  222,600  440,000  233,200  265,000  140,450 
Hilcorp Energy I, LP/Hilcorp Finance Co. 144A sr.             
unsec. notes 7 3/4s, 2015  70,000  49,350  80,000  56,400  40,000  28,200 
Hornbeck Offshore Services, Inc. sr. notes Ser. B,             
6 1/8s, 2014  85,000  55,250  75,000  48,750  35,000  22,750 
Inergy, LP/Inergy Finance Corp. sr. unsec. notes             
6 7/8s, 2014  285,000  222,300  380,000  296,400  190,000  148,200 
Kerr-McGee Corp. sec. notes 6.95s, 2024  180,000  157,833  230,000  201,675  110,000  96,453 
Key Energy Services, Inc. company guaranty sr. unsec.             
unsub. notes 8 3/8s, 2014  170,000  112,200  145,000  95,700  70,000  46,200 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012  --  --  80,000  84,903  70,000  74,290 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016  5,000  3,975  145,000  115,275  155,000  123,225 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014  245,000  200,900  230,000  188,600  105,000  86,100 
Nexen, Inc. unsec. unsub. notes 6.4s, 2037 (Canada)  --  --  225,000  176,058  200,000  156,496 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  180,000  129,600  235,000  169,200  115,000  82,800 
OPTI Canada, Inc. company guaranty sr. sec. notes             
8 1/4s, 2014 (Canada)  220,000  118,800  215,000  116,100  100,000  54,000 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011  32,575  33,357  47,382  48,519  34,056  34,873 
Peabody Energy Corp. company guaranty 7 3/8s, 2016  385,000  361,900  515,000  484,100  245,000  230,300 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  --  --  270,000  229,500  225,000  191,250 
Petro-Canada sr. unsec. unsub. notes 6.05s, 2018             
(Canada)  208,000  171,428  472,000  389,009  --  -- 
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013  220,000  178,200  250,000  202,500  125,000  101,250 
PetroHawk Energy Corp. 144A sr. unsec. unsub. notes             
7 7/8s, 2015  180,000  133,200  205,000  151,700  105,000  77,700 
Petroleum Development Corp. company guaranty sr.             
unsec. notes 12s, 2018  145,000  90,625  130,000  81,250  65,000  40,625 
Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014             
(Bermuda)  270,000  171,450  260,000  165,100  75,000  47,625 
Plains Exploration & Production Co. company guaranty             
7 3/4s, 2015  70,000  52,850  50,000  37,750  30,000  22,650 
Plains Exploration & Production Co. company guaranty             
7s, 2017  245,000  167,825  230,000  157,550  105,000  71,925 
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015  --  --  537,000  483,523  1,127,000  1,014,769 
Pride International, Inc. sr. unsec. notes 7 3/8s, 2014  195,000  181,350  275,000  255,750  130,000  120,900 
Quicksilver Resources, Inc. company guaranty 7 1/8s,             
2016  105,000  56,175  130,000  69,550  70,000  37,450 
Sabine Pass LNG, LP sec. notes 7 1/2s, 2016  465,000  334,800  455,000  327,600  250,000  180,000 
SandRidge Energy, Inc. company guaranty sr. unsec.             
unsub. FRN 7.508s, 2014  100,000  53,182  95,000  50,522  45,000  23,932 
SandRidge Energy, Inc. company guaranty unsec. unsub.             
notes 8 5/8s, 2015 (PIK)  275,000  144,375  265,000  139,125  125,000  65,625 
SandRidge Energy, Inc. sr. notes 8s, 2018  340,000  188,700  500,000  277,500  --  -- 
Stallion Oilfield Services/Stallion Oilfield Finance             
Corp. 144A sr. unsec. notes 9 3/4s, 2015  495,000  133,650  445,000  120,150  220,000  59,400 
Sunoco, Inc. notes 4 7/8s, 2014  --  --  130,000  109,344  110,000  92,521 
Targa Resources, Inc. company guaranty sr. unsec.             
notes 8 1/2s, 2013  540,000  291,600  470,000  253,800  235,000  126,900 
Tesoro Corp. company guaranty 6 1/2s, 2017  --  --  360,000  197,550  95,000  52,131 
Weatherford International, Inc. company guaranty sr.             
unsec. unsub. bonds 6.8s, 2037  --  --  110,000  84,491  90,000  69,129 
Weatherford International, Inc. company guaranty sr.             
unsec. unsub. bonds 6.35s, 2017  --  --  130,000  110,947  100,000  85,344 
Weatherford International, Ltd. company guaranty             
6 1/2s, 2036  --  --  205,000  153,886  205,000  153,886 
Weatherford International, Ltd. sr. notes 5 1/2s, 2016  --  --  95,000  81,663  105,000  90,259 
Whiting Petroleum Corp. company guaranty 7s, 2014  120,000  84,600  150,000  105,750  75,000  52,875 
Williams Cos., Inc. (The) sr. unsec. notes 7 5/8s, 2019  440,000  343,750  420,000  328,125  195,000  152,344 
Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010  50,000  46,612  60,000  55,934  30,000  27,967 
XTO Energy, Inc. sr. unsec. notes 5 1/2s, 2018  158,000  143,472  357,000  324,174  --  -- 
    6,908,596    11,845,086    7,440,936 
 
Financials    1.9%    3.7%    5.8% 
AGFC Capital Trust I company guaranty 6s, 2067  --  --  180,000  36,000  185,000  37,000 
Allstate Life Global Funding Trusts notes Ser. MTN,             
5 3/8s, 2013  --  --  249,000  245,115  873,000  859,379 
American International Group, Inc. jr. sub. bond             
6 1/4s, 2037  --  --  905,000  339,375  1,400,000  525,000 
American International Group, Inc. sr. unsec. Ser. G,             
5.85s, 2018  882,000  589,838  1,376,000  920,200  324,000  216,675 
Ameriprise Financial, Inc. jr. sub. FRN 7.518s, 2066  --  --  567,000  307,038  645,000  349,277 
Amvescap PLC company guaranty 5 5/8s, 2012  --  --  180,000  181,523  155,000  156,312 
Bank of America Corp. sr. unsec. notes 5.65s, 2018  735,000  737,199  1,140,000  1,143,411  270,000  270,808 
Bank of America NA sub. notes 5.3s, 2017  --  --  250,000  237,382  750,000  712,145 
Bank of New York Mellon Corp. (The) sr. unsec. unsub.             
notes Ser. G, 4.95s, 2012  --  --  230,000  233,511  205,000  208,130 
BankAmerica Capital III bank guaranty jr. unsec. FRN             
Ser. *, 5.323s, 2027  580,000  307,540  1,072,000  568,419  1,146,000  607,657 
Barclays Bank PLC 144A sub. bonds FRB 7.7s, 2049             
(United Kingdom)  635,000  422,487  --  --  --  -- 
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,             
2012  --  --  920,000  955,487  1,635,000  1,698,067 
Bear Stearns Cos., Inc. (The) sr. unsec. notes 7 1/4s,             
2018  --  --  240,000  263,005  841,000  921,615 
Block Financial Corp. notes 5 1/8s, 2014  2,260,000  1,838,322  --  --  --  -- 
Bosphorus Financial Services, Ltd. 144A sec. sr. notes             

FRN 3.949s, 2012 (Cayman Islands)  162,500  138,327  429,813  365,874  489,125  416,364 
Capital One Capital III company guaranty 7.686s, 2036  --  --  231,000  105,493  811,000  370,367 
Capital One Financial Corp. sr. unsec. unsub. notes             
FRN Ser. MTN, 2.469s, 2009  215,000  204,680  280,000  266,560  --  -- 
CIT Group, Inc. jr. sub. FRN 6.1s, 2067  --  --  1,442,000  432,600  2,095,000  628,500 
CIT Group, Inc. sr. notes 5.4s, 2013  --  --  60,000  45,314  50,000  37,761 
CIT Group, Inc. sr. notes 5s, 2014  --  --  400,000  290,721  220,000  159,897 
Citigroup, Inc. sr. notes 6 1/2s, 2013  545,000  549,952  260,000  262,362  825,000  832,496 
Citigroup, Inc. sr. unsec. bonds 6 7/8s, 2038  --  --  273,000  315,277  249,000  287,560 
Citigroup, Inc. sr. unsec. notes 6 1/8s, 2018  --  --  302,000  305,359  1,057,000  1,068,756 
Citigroup, Inc. sr. unsec. notes 5 1/2s, 2013  1,055,000  1,027,237  1,643,000  1,599,763  387,000  376,816 
Citigroup, Inc. sub. notes 5s, 2014  --  --  749,000  658,807  1,292,000  1,136,420 
CNA Financial Corp. unsec. notes 6 1/2s, 2016  1,415,000  1,002,048  165,000  116,847  175,000  123,928 
CNA Financial Corp. unsec. notes 6s, 2011  885,000  732,000  165,000  136,475  170,000  140,610 
Countrywide Financial Corp. company guaranty unsec.             
unsub. notes FRN 4.348s, 2009  730,000  730,000  --  --  --  -- 
Credit Suisse First Boston USA, Inc. company guaranty             
sr. unsec. unsub. notes 6 1/8s, 2011  490,000  494,920  764,000  771,671  180,000  181,807 
Credit Suisse Guernsey Ltd. jr. sub. FRN 5.86s, 2049             
(United Kingdom)  --  --  746,000  348,183  1,316,000  614,221 
Deutsche Bank AG/London sr. unsec. notes 5 3/8s, 2012             
(United Kingdom)  490,000  493,724  764,000  769,806  180,000  181,368 
Deutsche Bank Capital Funding Trust VII 144A FRB             
5.628s, 2049  --  --  444,000  189,744  1,002,000  428,206 
Dresdner Funding Trust I 144A bonds 8.151s, 2031  --  --  685,000  271,254  1,115,000  441,530 
Duke Realty, LP sr. unsec. notes 6 1/2s, 2018  --  --  411,000  183,441  989,000  441,419 
E*Trade Financial Corp. sr. unsec. notes 8s, 2011  80,000  36,400  110,000  50,050  50,000  22,750 
E*Trade Financial Corp. sr. unsec. notes 7 3/8s, 2013  125,000  45,000  10,000  3,600  5,000  1,800 
Equity One, Inc. notes 5 3/8s, 2015 (R)  --  --  190,000  123,816  195,000  127,074 
Erac USA Finance Co. 144A company guaranty 6 3/8s, 2017  --  --  267,000  185,301  315,000  218,614 
Fleet Capital Trust V bank guaranty FRN 2.848s, 2028  790,000  558,961  1,297,000  917,686  979,000  692,687 
Fund American Cos., Inc. notes 5 7/8s, 2013  --  --  498,000  365,236  969,000  710,670 
GATX Financial Corp. notes 5.8s, 2016  --  --  120,000  96,095  130,000  104,103 
General Electric Capital Corp. sr. unsec. FRN             
Ser. MTN, 2.435s, 2016  262,000  180,578  600,000  413,537  --  -- 
General Electric Capital Corp. sr. unsec. notes             
5 7/8s, 2038  1,741,000  1,704,195  3,005,000  2,941,474  1,652,000  1,617,077 
General Electric Capital Corp. sub. notes FRN 6 3/8s,             
2067  --  --  975,000  612,855  1,450,000  911,425 
Genworth Life Institutional Funding Trust notes             
Ser. MTN, 5 7/8s, 2013  160,000  101,744  234,000  148,800  834,000  530,340 
GMAC, LLC 144A sr. unsec. unsub. notes 7 3/4s, 2010  143,000  127,539  180,000  160,539  95,000  84,729 
GMAC, LLC 144A sr. unsec. unsub. notes 7s, 2012  70,000  55,300  305,000  240,950  355,000  280,450 
GMAC, LLC 144A sr. unsec. unsub. notes 6 7/8s, 2012  370,000  280,561  470,000  356,389  240,000  181,986 
GMAC, LLC 144A sr. unsec. unsub. notes 6 7/8s, 2011  475,000  384,579  605,000  489,833  295,000  238,844 
GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014  11,000  7,520  1,000  684  1,000  684 
GMAC, LLC 144A sr. unsec. unsub. notes 6 5/8s, 2012  205,000  157,850  145,000  111,650  70,000  53,900 
GMAC, LLC 144A sr. unsec. unsub. notes FRN 4.403s, 2014  369,000  206,640  175,000  98,000  48,000  26,880 
GMAC, LLC sr. unsec. unsub. notes FRN 3.399s, 2009  --  --  463,000  442,165  307,000  293,185 
Goldman Sachs Group, Inc. (The) sr. notes 5.45s, 2012  --  --  685,000  653,773  1,188,000  1,133,844 
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037  736,000  605,528  1,148,000  944,493  270,000  222,137 
Hartford Financial Services Group, Inc. (The) jr. sub.             
debs. FRB 8 1/8s, 2068  --  --  285,000  131,967  1,005,000  465,356 
Health Care Property Investors, Inc. sr. unsec. notes             
6s, 2017  --  --  214,000  103,136  748,000  360,494 
Health Care REIT, Inc. sr. notes 6s, 2013 (R)  --  --  85,000  57,670  90,000  61,062 
Highwood Properties, Inc. sr. unsec. bonds 5.85s, 2017             
(R)  --  --  340,000  210,322  290,000  179,392 
Hospitality Properties Trust notes 6 3/4s, 2013 (R)  --  --  175,000  108,316  175,000  108,316 
HRPT Properties Trust notes 6 1/4s, 2016 (R)  --  --  105,000  55,928  95,000  50,601 
HSBC Bank USA NA sub. notes 7s, 2039  --  --  250,000  260,283  --  -- 
HSBC Finance Capital Trust IX FRN 5.911s, 2035  --  --  1,000,000  418,404  2,000,000  836,808 
HSBC Finance Corp. notes 5s, 2015  760,000  674,605  1,185,000  1,051,851  280,000  248,539 
HSBC Holdings PLC sub. notes 6 1/2s, 2037 (United             
Kingdom)  --  --  300,000  304,676  1,000,000  1,015,585 
HUB International Holdings, Inc. 144A sr. sub. notes             
10 1/4s, 2015  70,000  30,888  70,000  30,888  30,000  13,238 
HUB International Holdings, Inc. 144A sr. unsec.             
unsub. notes 9s, 2014  50,000  30,563  50,000  30,563  25,000  15,281 
ILFC E-Capital Trust II 144A FRB 6 1/4s, 2065  --  --  915,000  407,175  1,770,000  787,650 
International Lease Finance Corp. sr. unsec. 6 3/8s,             
2013  1,840,000  1,288,000  --  --  --  -- 
International Lease Finance Corp. sr. unsec. Ser. MTN,             
5 5/8s, 2013  625,000  414,063  --  --  --  -- 
iStar Financial, Inc. sr. unsec. notes Ser. B, 4 7/8s,             
2009 (R)  275,000  249,563  980,000  889,350  820,000  744,150 
JPMorgan Chase & Co. sr. notes 6s, 2018  1,079,000  1,138,910  1,682,000  1,775,391  396,000  417,988 
JPMorgan Chase Bank NA sub. notes 6s, 2017  --  --  330,000  332,864  280,000  282,430 
JPMorgan Chase Capital XVIII bonds Ser. R, 6.95s, 2036  --  --  674,000  567,905  1,460,000  1,230,180 
JPMorgan Chase Capital XXV bonds 6.8s, 2037  --  --  330,000  304,057  285,000  262,595 
Lehman Brothers E-Capital Trust I FRN 3.589s, 2065 (In             
default) (NON)  1,375,000  138  1,845,000  185  --  -- 
Lender Processing Services, Inc. company guaranty sr.             
unsec. unsub. notes 8 1/8s, 2016  787,000  701,414  1,053,000  938,486  --  -- 
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015  115,000  92,288  95,000  76,238  45,000  36,113 
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017  195,000  144,788  185,000  137,363  85,000  63,113 
Liberty Mutual Group 144A company guaranty FRB             
10 3/4s, 2058  1,145,000  562,457  1,350,000  663,159  1,363,000  669,545 
Liberty Mutual Insurance 144A notes 7.697s, 2097  --  --  690,000  458,455  1,410,000  936,843 
Marsh & McLennan Cos., Inc. sr. unsec. notes 6 1/4s,             
2012  35,000  33,025  720,000  679,368  815,000  769,007 
Marsh & McLennan Cos., Inc. sr. unsec. notes 5 3/8s,             
2014  --  --  380,000  337,128  345,000  306,076 
Merrill Lynch & Co., Inc. jr. sub. bonds 7 3/4s, 2038  --  --  300,000  330,504  1,200,000  1,322,017 
Merrill Lynch & Co., Inc. notes FRN Ser. MTN, 3.735s,             
2011  --  --  380,000  336,518  280,000  247,961 
Merrill Lynch & Co., Inc. sr. unsec. notes 6 7/8s, 2018  711,000  743,724  1,110,000  1,161,089  261,000  273,013 
MetLife Capital Trust IV jr. sub. debs. 7 7/8s, 2067  --  --  300,000  188,209  1,200,000  752,834 
MetLife, Inc. sr. unsec. notes Ser. A, 6.817s, 2018  395,000  376,199  875,000  833,352  230,000  219,052 
Monumental Global Funding, Ltd. 144A notes 5 1/2s,             
2013 (Cayman Islands)  --  --  255,000  240,569  904,000  852,841 
Morgan Stanley sr. unsec. unsub. notes 6 3/4s, 2011  687,000  675,957  1,068,000  1,050,833  252,000  247,949 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  --  --  125,000  105,993  425,000  360,375 
Nationwide Health Properties, Inc. notes 6 1/2s, 2011             
(R)  --  --  145,000  131,620  150,000  136,158 
Nationwide Health Properties, Inc. unsec. notes             
6 1/4s, 2013 (R)  --  --  723,000  573,384  1,139,000  903,298 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  --  --  210,000  132,686  --  -- 
Nuveen Investments, Inc. sr. unsec. notes 5 1/2s, 2015  --  --  110,000  16,638  110,000  16,638 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  --  --  520,000  480,990  1,129,000  1,044,304 
Prudential Financial, Inc. jr. unsec. sub. notes FRN             
8 7/8s, 2038  1,120,000  718,942  225,000  144,430  --  -- 
Prudential Holdings, LLC 144A bonds 8.695s, 2023  --  --  740,000  713,131  1,335,000  1,286,526 
Regency Centers, LP sr. unsec. 5 7/8s, 2017  --  --  230,000  145,659  195,000  123,494 
Rouse Co. (The) notes 7.2s, 2012 (R)  --  --  150,000  52,125  170,000  59,075 
Royal Bank of Scotland Group PLC jr. sub. notes FRN             
Ser. MTN, 7.64s, 2049 (United Kingdom)  --  --  400,000  160,000  300,000  120,000 
Russian Agricultural Bank 144A notes 7 3/4s, 2018             
(Luxembourg)  --  --  110,000  70,950  100,000  64,500 
Russian Agricultural Bank 144A notes 7 1/8s, 2014             
(Luxembourg)  120,000  80,400  110,000  73,700  100,000  67,000 
Simon Property Group, LP sr. unsec. notes 6 1/8s, 2018             
(R)  --  --  307,000  207,875  927,000  627,689 
Simon Property Group, LP unsub. bonds 5 3/4s, 2015 (R)  --  --  83,000  54,215  83,000  54,215 
SLM Corp. notes Ser. MTNA, 4 1/2s, 2010  650,000  564,114  1,128,000  978,954  1,206,000  1,046,648 
Sovereign Bancorp, Inc. sr. notes 4.8s, 2010  --  --  155,000  139,033  155,000  139,033 
State Street Capital Trust IV company guaranty jr.             
unsec. sub. bond FRB 2.996s, 2037  --  --  475,000  199,920  --  -- 
Stowe CDO 08-1 144A notes FRN 3.315s, 2010  4,200,000  3,570,000  --  --  --  -- 
Swiss Re Capital I, LP 144A company guaranty FRN             
6.854s, 2049 (United Kingdom)  --  --  185,000  71,168  195,000  75,015 
USI Holdings Corp. 144A sr. unsec. notes FRN 6.024s,             
2014  45,000  18,281  45,000  18,281  20,000  8,125 
VTB Capital SA 144A notes 6 7/8s, 2018 (Luxembourg)  876,000  573,780  800,000  524,000  687,000  449,985 
Wachovia Bank NA sub. notes Ser. BKNT, 6s, 2017  --  --  1,115,000  1,076,338  1,755,000  1,694,147 
Wells Fargo & Co. sr. notes 4 3/8s, 2013  --  --  985,000  964,528  1,560,000  1,527,577 
Wells Fargo & Co. sr. unsec. unsub. notes 5 1/4s, 2012  660,000  672,233  1,025,000  1,043,998  245,000  249,541 
Wells Fargo Capital XV jr. sub. unsec. company             
guaranty FRN 9 3/4s, 2049  455,000  464,100  --  --  --  -- 
Westfield Group sr. notes 5.7s, 2016 (Australia)  --  --  205,000  136,931  230,000  153,630 
Westpac Capital Trust III 144A sub. notes FRN 5.819s,             
2049 (Australia)  --  --  295,000  149,937  230,000  116,900 
Willis Group North America, Inc. company guaranty             
6.2s, 2017  --  --  70,000  48,495  40,000  27,711 
ZFS Finance USA Trust I 144A bonds FRB 6 1/2s, 2037  --  --  1,240,000  558,000  1,630,000  733,500 
    27,539,101    45,668,124    46,744,383 
 
Health care    0.7%    0.9%    1.0% 

Abbott Laboratories sr. unsec. notes 5 7/8s, 2016  344,000  372,575  538,000  582,690  126,000  136,466 
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037  --  --  1,881,000  1,584,586  2,199,000  1,852,475 
AmerisourceBergen Corp. company guaranty sr. unsec.             
notes 5 5/8s, 2012  195,000  182,581  --  --  --  -- 
AstraZeneca PLC sr. unsec. unsub. notes 6.45s, 2037             
(United Kingdom)  270,000  288,865  422,000  451,485  99,000  105,917 
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United             
Kingdom)  --  --  982,000  1,043,604  1,709,000  1,816,211 
Cardinal Health, Inc. sr. unsec. unsub. notes 5 1/2s,             
2013  4,045,000  3,832,368  --  --  --  -- 
Community Health Systems, Inc. company guaranty             
8 7/8s, 2015  675,000  621,000  605,000  556,600  285,000  262,200 
DaVita, Inc. company guaranty 6 5/8s, 2013  190,000  180,500  235,000  223,250  125,000  118,750 
Elan Finance PLC/Elan Finance Corp. company guaranty             
7 3/4s, 2011 (Ireland)  320,000  190,400  355,000  211,225  170,000  101,150 
GlaxoSmith Kline Capital, Inc., company guaranty sr.             
notes 5.65s, 2018  344,000  361,313  870,000  913,785  1,290,000  1,354,923 
HCA, Inc. company guaranty sr. sec. notes 9 5/8s, 2016             
(PIK)  146,000  113,880  158,000  123,240  76,000  59,280 
HCA, Inc. sr. sec. notes 9 1/4s, 2016  530,000  486,275  370,000  339,475  185,000  169,738 
HCA, Inc. sr. sec. notes 9 1/8s, 2014  219,000  203,123  167,000  154,893  79,000  73,273 
HCA, Inc. sr. unsec. notes 7 7/8s, 2011  416,000  366,080  590,000  519,200  275,000  242,000 
HCA, Inc. sr. unsec. notes 6 1/4s, 2013  50,000  31,250  48,000  30,000  --  -- 
Health Management Associates, Inc. sr. notes 6 1/8s,             
2016  115,000  71,300  100,000  62,000  50,000  31,000 
Healthsouth Corp. company guaranty 10 3/4s, 2016  150,000  137,625  145,000  133,038  65,000  59,638 
Hospira, Inc. sr. notes 6.05s, 2017  --  --  190,000  154,321  125,000  101,527 
Hospira, Inc. sr. notes 5.55s, 2012  150,000  142,120  607,000  575,113  230,000  217,918 
IASIS Healthcare/IASIS Capital Corp. sr. sub. notes             
8 3/4s, 2014  135,000  104,625  120,000  93,000  55,000  42,625 
Omnicare, Inc. company guaranty 6 3/4s, 2013  60,000  51,000  85,000  72,250  40,000  34,000 
Omnicare, Inc. sr. sub. notes 6 7/8s, 2015  35,000  28,700  45,000  36,900  25,000  20,500 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013  170,000  142,800  240,000  201,600  110,000  92,400 
Psychiatric Solutions, Inc. company guaranty 7 3/4s,             
2015  165,000  121,275  210,000  154,350  100,000  73,500 
Select Medical Corp. company guaranty 7 5/8s, 2015  1,001,000  530,530  1,282,000  679,460  130,000  68,900 
Service Corporation International sr. unsec. unsub.             
notes 6 3/4s, 2016  255,000  193,800  360,000  273,600  170,000  129,200 
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013  205,000  157,338  270,000  207,225  125,000  95,938 
Sun Healthcare Group, Inc. company guaranty sr. unsec.             
unsub. notes 9 1/8s, 2015  200,000  175,000  195,000  170,625  90,000  78,750 
Surgical Care Affiliates, Inc. 144A sr. sub. notes             
10s, 2017  80,000  41,600  75,000  39,000  35,000  18,200 
Surgical Care Affiliates, Inc. 144A sr. unsec. notes             
8 7/8s, 2015 (PIK)  80,000  48,800  75,000  45,750  35,000  21,350 
Tenet Healthcare Corp. sr. notes 9 1/4s, 2015  20,000  16,100  25,000  20,125  15,000  12,075 
Tenet Healthcare Corp. sr. unsec. notes 7 3/8s, 2013  300,000  213,750  360,000  256,500  165,000  117,563 
Tenet Healthcare Corp. sr. unsec. unsub. notes 6 3/8s,             
2011  428,000  330,630  443,000  342,218  65,000  50,213 
UnitedHealth Group, Inc. sr. unsec. notes 5 1/2s, 2012  --  --  280,000  255,158  245,000  223,264 
US Oncology Holdings, Inc. sr. unsec. notes FRN             
8.334s, 2012 (PIK)  123,000  77,490  123,000  77,490  53,000  33,390 
US Oncology, Inc. company guaranty 9s, 2012  175,000  159,250  215,000  195,650  105,000  95,550 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,             
2014  250,000  208,750  255,000  212,925  120,000  100,200 
Ventas Realty, LP/Capital Corp. company guaranty 9s,             
2012 (R)  165,000  146,850  235,000  209,150  110,000  97,900 
Ventas Realty, LP/Capital Corp. sr. notes 6 3/4s, 2017             
(R)  --  --  145,000  110,200  140,000  106,400 
    10,329,543    11,311,681    8,214,384 
 
Technology    0.9%    0.8%    0.8% 
Activant Solutions, Inc. company guaranty 9 1/2s, 2016  70,000  32,550  70,000  32,550  35,000  16,275 
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012  208,000  91,520  280,000  123,200  130,000  57,200 
Amkor Technologies, Inc. sr. notes 7 3/4s, 2013  198,000  112,860  181,000  103,170  81,000  46,170 
Arrow Electronics, Inc. debs. 7 1/2s, 2027  --  --  160,000  124,905  175,000  136,615 
Arrow Electronics, Inc. unsec. notes 9.15s, 2010  1,405,000  1,374,977  --  --  --  -- 
Avnet, Inc. notes 6s, 2015  --  --  160,000  122,518  160,000  122,518 
Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada)  60,000  54,600  85,000  77,350  40,000  36,400 
Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada)  175,000  143,500  145,000  118,900  65,000  53,300 
Ceridian Corp. 144A sr. unsec. notes 11 1/2s, 2015  250,000  132,813  225,000  119,531  110,000  58,438 
Cisco Systems, Inc. sr. unsec. notes 5 1/4s, 2011  319,000  331,164  497,000  515,952  117,000  121,461 
Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015  215,000  145,125  195,000  131,625  90,000  60,750 
Computer Sciences Corp. sr. unsec. unsub. notes 5s,             
2013  750,000  660,484  --  --  --  -- 
Computer Sciences Corp. 144A sr. unsec. notes 6 1/2s,             
2018  1,190,000  1,025,096  2,870,000  2,472,290  2,625,000  2,261,241 
Expedia, Inc. sr. unsec. notes company guaranty             
7.456s, 2018  1,100,000  792,000  --  --  --  -- 
Fiserv, Inc. sr. unsec. unsub. notes company guaranty             
6.8s, 2017  --  --  280,000  248,011  250,000  221,438 
Fiserv, Inc. sr. unsec. unsub. notes company guaranty             
6 1/8s, 2012  --  --  280,000  263,070  250,000  234,884 
Freescale Semiconductor, Inc. company guaranty sr.             
unsec. notes 8 7/8s, 2014  460,000  202,400  340,000  149,600  160,000  70,400 
Freescale Semiconductor, Inc. company guaranty sr.             
unsec. sub. notes 10 1/8s, 2016  230,000  94,300  240,000  98,400  120,000  49,200 
Freescale Semiconductor, Inc. company guaranty sr.             
unsec. sub. notes 9 1/8s, 2014 (PIK)  225,000  51,750  240,000  55,200  120,000  27,600 
Hewlett-Packard Co. sr. unsec. notes 6 1/8s, 2014  95,000  100,985  235,000  249,805  425,000  451,776 
IBM Corp. sr. unsec. notes 5.7s, 2017  --  --  415,000  440,354  435,000  461,576 
IBM Corp. sr. unsec. notes 4 3/4s, 2012  490,000  506,067  764,000  789,051  180,000  185,902 
Iron Mountain, Inc. company guaranty 8 3/4s, 2018  60,000  51,750  70,000  60,375  35,000  30,188 
Iron Mountain, Inc. company guaranty 8 5/8s, 2013  5,000  4,700  --  --  90,000  84,600 
Iron Mountain, Inc. company guaranty 6 5/8s, 2016  245,000  199,063  90,000  73,125  40,000  32,500 
Iron Mountain, Inc. company guaranty sr. unsec. sub.             
notes 8s, 2020  470,000  377,175  625,000  501,563  --  -- 
Lexmark International Inc, sr. unsec. notes 5.9s, 2013  2,455,000  1,935,331  --  --  --  -- 
Lucent Technologies, Inc. unsec. debs. 6.45s, 2029  315,000  126,000  275,000  110,000  130,000  52,000 
Motorola, Inc. sr. notes 8s, 2011  1,790,000  1,493,705  --  --  --  -- 
Motorola, Inc. sr. unsec. notes 6s, 2017  --  --  170,000  91,669  145,000  78,189 
Nortel Networks, Ltd. company guaranty sr. unsec.             
notes 10 3/4s, 2016 (Canada)  50,000  13,250  60,000  15,900  30,000  7,950 
Nortel Networks, Ltd. company guaranty sr. unsec.             
notes FRN 9.003s, 2011 (Canada)  160,000  40,000  185,000  46,250  95,000  23,750 
Nortel Networks, Ltd. 144A sr. unsecd. notes company             
guaranty 10 3/4s, 2016 (Canada)  1,355,000  359,075  1,807,000  478,855  --  -- 
NXP BV/NXP Funding, LLC company guaranty 9 1/2s, 2015             
(Netherlands)  205,000  38,950  90,000  17,100  --  -- 
NXP BV/NXP Funding, LLC company guaranty sr. sec.             
notes FRN 7.503s, 2013 (Netherlands)  95,000  31,588  100,000  33,250  95,000  31,588 
NXP BV/NXP Funding, LLC sec. notes 7 7/8s, 2014             
(Netherlands)  275,000  107,250  300,000  117,000  150,000  58,500 
Open Solutions, Inc. 144A sr. sub. notes 9 3/4s, 2015  65,000  9,750  70,000  10,500  35,000  5,250 
Oracle Corp. sr. unsec. notes 5s, 2011  319,000  327,606  497,000  510,408  117,000  120,156 
Sanmina Corp. company guaranty sr. unsec. sub. notes             
6 3/4s, 2013  315,000  135,450  417,000  179,310  --  -- 
Sanmina Corp. sr. unsec. sub. notes 8 1/8s, 2016  493,000  192,270  651,000  253,890  --  -- 
Seagate Technology Hdd Holdings company guaranty 6.8s,             
2016 (Cayman Islands)  95,000  49,047  105,000  54,210  50,000  25,814 
SunGard Data Systems, Inc. company guaranty 10 1/4s,             
2015  90,000  59,400  100,000  66,000  56,000  36,960 
SunGard Data Systems, Inc. company guaranty 9 1/8s,             
2013  590,000  510,350  491,000  424,715  221,000  191,165 
Travelport LLC company guaranty 9 7/8s, 2014  330,000  123,750  295,000  110,625  140,000  52,500 
Tyco Electronics Group SA company guaranty 6.55s, 2017             
(Luxembourg)  940,000  789,978  --  --  --  -- 
Tyco Electronics Group SA sr. unsec. notes company             
guaranty 6s, 2012 (Luxembourg)  --  --  628,000  566,521  1,093,000  985,999 
Unisys Corp. sr. unsec. unsub. notes 12 1/2s, 2016  219,000  61,320  290,000  81,200  254,000  71,120 
Xerox Corp. sr. notes 6.4s, 2016  --  --  335,000  261,300  285,000  222,300 
    12,888,949    10,299,248    6,783,673 
 
Transportation    0.1%    0.1%    0.2% 
American Airlines, Inc. pass-through certificates Ser.             
01-1, 6.817s, 2011  --  --  110,000  77,000  70,000  49,000 
Burlington Northern Santa Fe Corp. sr. unsec. notes             
7s, 2014  170,000  178,911  385,000  405,181  440,000  463,064 
Continental Airlines, Inc. pass-through certificates             
Ser. 97-4A, 6.9s, 2018  --  --  54,238  42,441  45,199  35,367 
Continental Airlines, Inc. pass-through certificates             
Ser. 98-1A, 6.648s, 2017  --  --  269,178  205,248  189,841  144,754 
Northwest Airlines Corp. pass-through certificates             
Ser. 00-1, 7.15s, 2019  --  --  513,558  328,677  443,754  284,003 
Ryder System, Inc. sr. unsec. unsub. notes Ser. MTN,             
6s, 2013  1,645,000  1,347,763  --  --  --  -- 
Southwest Airlines Co. pass-through certificates             
6.15s, 2022  --  --  62,838  49,031  125,676  98,062 

Southwest Airlines Co. sr. unsec. unsub. notes 6 1/2s,             
2012  590,000  552,235  --  --  --  -- 
Union Pacific Corp. sr. unsec. bond 5.7s, 2018  --  --  30,000  29,311  --  -- 
Union Pacific Corp. sr. unsub. notes 5 3/4s, 2017  --  --  290,000  274,981  355,000  336,614 
Union Pacific Corp. 144A pass-through certificates             
5.214s, 2014  --  --  115,000  108,264  100,000  94,143 
United AirLines, Inc. pass-through certificates             
6.636s, 2022  --  --  156,991  92,232  128,447  75,463 
    2,078,909    1,612,366    1,580,470 
 
Utilities and power    1.1%    2.3%    3.6% 
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  180,000  172,283  577,000  552,262  190,000  181,854 
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017  120,000  98,400  105,000  86,100  50,000  41,000 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013  258,000  246,390  331,000  316,105  133,000  127,015 
American Water Capital Corp. sr. unsec. bonds 6.085s,             
2017  214,000  186,403  484,000  421,583  --  -- 
Appalachian Power Co. sr. notes 5.8s, 2035  --  --  145,000  119,758  120,000  99,110 
Atmos Energy Corp. sr. unsub. notes 6.35s, 2017  --  --  320,000  283,526  275,000  243,656 
Beaver Valley II Funding debs. 9s, 2017  --  --  533,000  499,682  1,176,000  1,102,488 
Boardwalk Pipelines, LP company guaranty 5 7/8s, 2016  --  --  604,000  499,884  1,168,000  966,663 
Bruce Mansfield Unit pass-through certificates 6.85s,             
2034  --  --  1,151,000  917,599  1,739,000  1,386,364 
CMS Energy Corp. sr. notes 8 1/2s, 2011  170,000  167,417  150,000  147,721  70,000  68,936 
CMS Energy Corp. unsub. notes 6.55s, 2017  --  --  20,000  16,000  15,000  12,000 
Colorado Interstate Gas Co. debs. 6.85s, 2037  30,000  21,589  50,000  35,982  25,000  17,991 
Commonwealth Edison Co. 1st mtge. 6.15s, 2017  --  --  130,000  122,258  110,000  103,449 
Commonwealth Edison Co. 1st mtge. 5.9s, 2036  --  --  593,000  493,153  1,058,000  879,858 
Consolidated Edison Co. of New York sr. unsec. notes             
7 1/8s, 2018  175,000  189,840  400,000  433,920  455,000  493,584 
Consolidated Natural Gas Co. sr. notes 5s, 2014  --  --  180,000  165,270  315,000  289,222 
Consumers Energy Co. 1st mtge. sec. bond 6 1/8s, 2019  174,000  172,654  395,000  391,944  --  -- 
Consumers Energy Co. 1st mtge. sec. bonds 5.65s, 2018  --  --  241,000  221,100  846,000  776,142 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013  --  --  144,000  146,274  135,000  137,132 
Dominion Resources, Inc. jr. sub. notes FRN 6.3s, 2066  --  --  823,000  370,350  1,448,000  651,600 
Dominion Resources, Inc. sr. unsec. notes 6.4s, 2018  3,975,000  3,892,332  --  --  --  -- 
Dominion Resources, Inc. sr. unsec. unsub. notes Ser.             
07-A, 6s, 2017  1,320,000  1,267,225  455,000  436,809  290,000  278,406 
Dominion Resources, Inc. unsub. notes 5.7s, 2012  343,000  339,632  535,000  529,746  126,000  124,763 
Duke Energy Corp. sr. unsec. notes 6 1/4s, 2018  --  --  304,000  285,884  1,062,000  998,714 
Dynegy Holdings, Inc. sr. unsec. notes 8 3/8s, 2016  255,000  181,050  250,000  177,500  115,000  81,650 
Dynegy-Roseton Danskamme company guaranty Ser. B,             
7.67s, 2016  145,000  104,400  195,000  140,400  90,000  64,800 
E.ON International Finance BV 144A notes 5.8s, 2018             
(Netherlands)  --  --  301,000  281,427  1,069,000  999,485 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016  70,000  62,300  80,000  71,200  40,000  35,600 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013  75,000  68,625  90,000  82,350  45,000  41,175 
Edison Mission Energy sr. unsec. notes 7.2s, 2019  215,000  176,300  205,000  168,100  95,000  77,900 
Edison Mission Energy sr. unsec. notes 7s, 2017  195,000  169,650  140,000  121,800  65,000  56,550 
El Paso Corp. sr. notes Ser. MTN, 7 3/4s, 2032  225,000  146,052  215,000  139,561  95,000  61,667 
Entergy Gulf States, Inc. 1st mtge. 5 1/4s, 2015  --  --  215,000  183,474  225,000  192,008 
Ferrellgas, LP/Finance sr. notes 6 3/4s, 2014  215,000  148,350  300,000  207,000  140,000  96,600 
FirstEnergy Corp. notes Ser. B, 6.45s, 2011  343,000  324,223  3,270,000  3,090,987  2,608,000  2,465,228 
Florida Power Corp. 1st mtge. 6.35s, 2037  --  --  280,000  310,342  275,000  304,800 
Florida Power Corp. 1st mtge. sec. bond 6.4s, 2038  --  --  328,000  366,291  1,146,000  1,279,784 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  --  --  115,000  118,167  110,000  113,029 
Indiantown Cogeneration, LP 1st mtge. Ser. A-10,             
9.77s, 2020  --  --  215,000  170,319  225,000  178,241 
Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,             
2016  105,000  86,100  230,000  188,600  200,000  164,000 
ITC Holdings Corp. 144A notes 5 7/8s, 2016  --  --  458,000  436,753  988,000  942,166 
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018  --  --  305,000  267,492  225,000  197,330 
Kansas Gas & Electric bonds 5.647s, 2021  --  --  79,549  71,099  74,870  66,917 
Kinder Morgan, Inc. notes 6s, 2017  --  --  175,000  150,938  150,000  129,376 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012  --  --  122,000  102,785  126,000  106,155 
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036  442,000  410,990  1,512,000  1,405,921  1,729,000  1,607,697 
MidAmerican Funding, LLC sr. sec. bond 6.927s, 2029  470,000  429,470  850,000  776,701  970,000  886,353 
Mirant Americas Generation, Inc. sr. unsec. notes             
8.3s, 2011  215,000  208,013  215,000  208,013  100,000  96,750 
Mirant North America, LLC company guaranty 7 3/8s, 2013  375,000  360,000  410,000  393,600  205,000  196,800 
National Fuel Gas Co. notes 5 1/4s, 2013  238,000  226,886  687,000  654,920  100,000  95,330 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s,             
2015  --  --  110,000  105,297  145,000  138,800 
Northwestern Corp. sec. notes 5 7/8s, 2014  --  --  463,000  426,957  979,000  902,789 
NRG Energy, Inc. company guaranty 7 3/8s, 2017  100,000  92,000  110,000  101,200  55,000  50,600 
NRG Energy, Inc. sr. notes 7 3/8s, 2016  945,000  878,850  894,000  831,420  377,000  350,610 
Oncor Electric Delivery Co. debs. 7s, 2022  --  --  63,000  58,868  56,000  52,327 
Pacific Gas & Electric Co. 1st mtge. 6.05s, 2034  417,000  442,879  650,000  690,338  153,000  162,495 
Pacific Gas & Electric Co. sr. notes 8 1/4s, 2018  280,000  332,286  645,000  765,445  730,000  866,318 
Pacific Gas & Electric Co. sr. unsub. 5.8s, 2037  --  --  260,000  266,535  225,000  230,655 
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015  346,000  276,800  457,000  365,600  --  -- 
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016  --  --  456,000  404,799  985,000  874,402 
Power Receivable Finance, LLC 144A sr. notes 6.29s,             
2012  --  --  135,629  132,858  117,238  114,844 
PSEG Energy Holdings, Inc. sr. notes 8 1/2s, 2011  175,000  164,958  225,000  212,089  110,000  103,688 
Public Service Co. of Colorado 1st mtge. sec. bond             
6 1/2s, 2038  180,000  191,844  412,000  439,110  --  -- 
Public Service Co. of Colorado sr. notes Ser. A,             
6 7/8s, 2009  --  --  215,000  216,103  205,000  206,051 
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s,             
2067  --  --  629,000  289,340  1,107,000  509,220 
Rockies Express Pipeline, LLC 144A sr. notes 7 1/2s,             
2038  --  --  317,000  277,681  1,127,000  987,213 
Sierra Pacific Power Co. general ref. mtge. Ser. P,             
6 3/4s, 2037  212,000  189,169  483,000  430,984  --  -- 
Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014  90,000  81,142  125,000  112,697  60,000  54,095 
Southern California Edison Co. 1st mtge. Ser. 06-E,             
5.55s, 2037  --  --  200,000  210,661  255,000  268,593 
Southern California Edison Co. notes 6.65s, 2029  --  --  255,000  271,545  275,000  292,842 
Southern Natural Gas. Co. 144A notes 5.9s, 2017  --  --  155,000  118,591  130,000  99,463 
Spectra Energy Capital, LLC sr. notes 8s, 2019  --  --  250,000  239,113  215,000  205,638 
Spectra Energy Capital, LLC sr. unsec. unsub. notes             
5.668s, 2014  1,645,000  1,442,849  --  --  --  -- 
Taqa Abu Dhabi National Energy sr. unsec. notes             
7 1/4s, 2018 (United Arab Emirates)  890,000  738,700  1,190,000  987,700  895,000  742,850 
Teco Finance, Inc. company guaranty sr. unsec. unsub.             
notes 7.2s, 2011  270,000  253,140  610,000  571,910  430,000  403,150 
Teco Finance, Inc. company guaranty sr. unsec. unsub.             
notes 6 3/4s, 2015  10,000  8,197  10,000  8,197  5,000  4,098 
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs.             
7 1/2s, 2017  25,000  22,052  30,000  26,463  15,000  13,231 
TEPPCO Partners, LP company guaranty FRB 7s, 2067  --  --  205,000  109,817  175,000  93,746 
Texas Competitive Electric Holdings Co., LLC company             
guaranty 10 1/2s, 2015  735,000  521,850  655,000  465,050  310,000  220,100 
TransAlta Corp. notes 5 3/4s, 2013 (Canada)  --  --  140,000  115,383  150,000  123,624 
TransAlta Corp. sr. unsec. notes 6.65s, 2018 (Canada)  --  --  260,000  230,876  906,000  804,514 
TransCanada Pipelines, Ltd. jr. sub. FRN 6.35s, 2067             
(Canada)  --  --  180,000  80,459  155,000  69,284 
TXU Corp. sr. notes Ser. P, 5.55s, 2014  525,000  245,295  554,000  258,844  237,000  110,733 
Union Electric Co. sr. sec. notes 6.4s, 2017  140,000  127,631  320,000  291,729  365,000  332,753 
West Penn Power Co. 1st mtge. 5.95s, 2017  --  --  75,000  67,083  45,000  40,250 
Westar Energy, Inc. 1st mtge. 5.15s, 2017  --  --  15,000  13,240  45,000  39,720 
Westar Energy, Inc. 1st mtge. 5.1s, 2020  --  --  175,000  147,760  165,000  139,316 
Williams Partners, LP/ Williams Partners Finance Corp.             
sr. unsec. notes 7 1/4s, 2017  80,000  63,200  85,000  67,150  40,000  31,600 
    15,929,416    28,187,542    29,156,950 
 
Total corporate bonds and notes (cost $220,981,422, $238,305,541 and $191,652,113)    $177,813,798    $195,570,395    $169,349,904 
 
 
COLLATERALIZED MORTGAGE OBLIGATIONS(a)  Growth 7.7% Balanced 14.1% Conservative 19.0%
  Principal amount  Value  Principal amount  Value  Principal amount  Value 
Adjustable Rate Mortgage Trust FRB Ser. 04-5,             
Class 3A1, 4.948s, 2035  $577,502  $340,726  $1,588,129  $936,996  $1,131,883  $667,811 
Asset Securitization Corp.             
Ser. 96-MD6, Class A7, 8.335s, 2029  --  --  383,967  409,589  427,829  456,379 
Ser. 96-D3, Class A1C, 7.4s, 2026  27,067  26,894  165,666  164,604  118,379  117,621 
FRB Ser. 97-D5, Class A5, 6.935s, 2043  150,000  90,479  234,000  141,147  247,000  148,989 
Banc of America Alternative Loan Trust Ser. 06-7,             
Class A2, 5.707s, 2036  2,852,000  1,340,440  --  --  --  -- 
Banc of America Commercial Mortgage, Inc.             
Ser. 01-1, Class G, 7.324s, 2036  --  --  200,000  163,955  200,000  163,955 
Ser. 08-1, Class A3, 6.121s, 2014  5,700,000  3,788,366  --  --  --  -- 
FRB Ser. 07-3, Class A3, 5.658s, 2049  167,000  109,027  748,000  488,334  --  -- 
Ser. 07-2, Class A2, 5.634s, 2049  960,000  740,550  479,000  369,504  434,000  334,790 
Ser. 06-4, Class A4, 5.634s, 2046  --  --  920,000  705,219  1,140,000  873,858 
Ser. 07-5, Class A3, 5.62s, 2051  578,000  371,613  --  --  --  -- 
Ser. 06-4, Class A2, 5.522s, 2046  620,000  521,178  3,157,000  2,653,806  2,319,000  1,949,375 
Ser. 04-3, Class A5, 5.319s, 2039  230,000  196,124  920,000  784,497  930,000  793,024 

Ser. 05-6, Class A2, 5.165s, 2047  1,742,000  1,475,919  304,000  257,566  371,000  314,332 
Ser. 07-5, Class XW, Interest Only (IO), 0.44s, 2051  4,498,468  67,706  20,627,947  310,469  18,418,593  277,217 
Ser. 07-1, Class XW, IO, 0.291s, 2049  1,828,819  20,303  9,943,391  110,391  5,088,800  56,495 
Ser. 06-1, Class XC, IO, 0.067s, 2045  1,749,203  6,428  11,520,579  42,336  12,650,048  46,486 
Banc of America Commercial Mortgage, Inc. 144A             
Ser. 01-PB1, Class K, 6.15s, 2035  --  --  133,000  85,368  133,000  85,368 
Ser. 04-4, Class XC, IO, 0.285s, 2042  4,085,763  37,134  11,597,155  105,402  9,141,351  83,082 
Ser. 04-5, Class XC, IO, 0.203s, 2041  5,800,050  41,898  14,078,609  101,701  14,565,693  105,220 
Ser. 02-PB2, Class XC, IO, 0.183s, 2035  2,471,394  49,922  3,678,860  74,313  2,186,902  44,175 
Ser. 06-5, Class XC, IO, 0.102s, 2016  3,287,298  24,289  35,232,684  260,324  29,994,856  221,623 
Ser. 05-1, Class XW, IO, 0.101s, 2042  18,883,931  32,319  --  --  23,699,701  40,560 
Ser. 06-4, Class XC, IO, 0.088s, 2046  4,110,568  24,709  19,012,497  114,288  15,894,993  95,548 
Ser. 05-4, Class XC, IO, 0.083s, 2045  6,186,120  23,694  17,606,426  67,436  17,673,656  67,694 
Banc of America Funding Corp. FRB Ser. 06-D,             
Class 6A1, 5.99s, 2036  3,937,261  1,850,513  1,768,903  831,385  1,551,227  729,077 
Banc of America Large Loan             
FRB Ser. 04-BBA4, Class H, 2.145s, 2018  25,000  15,378  70,000  43,057  73,000  44,903 
FRB Ser. 04-BBA4, Class G, 1.895s, 2018  --  --  94,000  83,557  98,000  87,113 
Banc of America Large Loan 144A             
FRB Ser. 05-MIB1, Class K, 3.195s, 2022  190,000  154,054  186,000  150,810  187,000  151,621 
FRB Ser. 05-MIB1, Class J, 2.245s, 2022  100,000  64,880  409,000  265,359  343,000  222,538 
Banc of America Mortgage Securities             
FRB Ser. 03-F, Class 2A1, 4.67s, 2033  72,760  52,751  199,907  144,933  142,749  103,493 
Ser. 05-E, Class 2, IO, 0.3s, 2035  1,863,645  5,169  6,228,063  17,273  5,996,753  16,632 
Ser. 04-D, Class 2A, IO, 0.16s, 2034  624,698  220  2,128,637  748  2,049,122  720 
Banc of America Structured Security Trust 144A Ser.             
02-X1, Class A3, 5.436s, 2033  --  --  159,230  156,643  163,355  160,701 
Bayview Commercial Asset Trust 144A             
Ser. 07-1, Class S, IO, 1.211s, 2037  1,141,480  73,625  7,116,172  458,993  3,294,456  212,492 
Ser. 06-4A, IO, 2.331s, 2036  332,883  32,023  967,602  93,083  1,145,255  110,174 
Ser. 04-3, IO, 2.15s, 2035  244,212  8,010  622,245  20,410  612,340  20,085 
Ser. 06-2A, IO, 1.798s, 2036  125,772  7,546  603,117  36,187  573,697  34,422 
Ser. 05-3A, IO, 1.6s, 2035  1,026,083  61,565  3,305,797  198,348  2,986,019  179,161 
Ser. 05-1A, IO, 1.6s, 2035  342,964  11,901  954,558  33,123  912,008  31,647 
Ser. 07-5A, IO, 1.55s, 2037  --  --  3,549,865  268,725  2,993,384  226,599 
Ser. 07-2A, IO, 1.3s, 2037  1,882,767  144,973  5,186,829  399,386  4,433,155  341,353 
FRB Ser. 05-1A, Class A1, 0.771s, 2035  28,553  21,701  218,909  166,371  161,802  122,970 
Bear Stearns Alternate Trust             
FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036  2,136,781  747,873  2,841,150  994,402  --  -- 
Ser. 04-9, Class 1A1, 5.92s, 2034  13,543  7,776  25,978  14,917  23,700  13,608 
FRB Ser. 06-6, Class 2A1, 5.892s, 2036  1,060,741  502,650  1,419,023  672,428  --  -- 
FRB Ser. 05-7, Class 23A1, 5.649s, 2035  2,729,720  1,278,980  1,166,423  546,514  --  -- 
Bear Stearns Asset Backed Securities, Inc. FRB Ser.             
06-2, Class A1, 0.601s, 2036  101,630  94,353  --  --  --  -- 
Bear Stearns Commercial Mortgage Securities, Inc.             
FRB Ser. 00-WF2, Class F, 8.186s, 2032  --  --  189,000  137,701  124,000  90,343 
Ser. 07-PW17, Class A3, 5.736s, 2050  1,999,000  1,620,449  --  --  7,002,000  5,676,031 
Ser. 07-PW18, Class A2, 5.613s, 2050  656,000  417,687  --  --  --  -- 
Ser. 04-PR3I, Class X1, IO, 0.326s, 2041  449,134  5,292  3,008,958  35,455  4,889,055  57,608 
Ser. 05-PWR9, Class X1, IO, 0.11s, 2042  --  --  8,738,321  44,129  13,162,114  66,469 
Bear Stearns Commercial Mortgage Securities, Inc. 144A             
Ser. 06-PW14, Class XW, IO, 0.689s, 2038  3,174,235  79,546  8,711,335  218,306  7,982,093  200,031 
Ser. 06-PW14, Class X1, IO, 0.076s, 2038  3,413,688  29,426  9,367,357  80,747  8,584,683  74,000 
Ser. 07-PW15, Class X1, IO, 0.066s, 2044  6,166,709  36,137  29,259,827  171,463  19,894,020  116,579 
Ser. 07-PW18, Class X1, IO, 0.057s, 2050  1,062,610  5,572  6,624,862  34,738  4,451,796  23,343 
Ser. 05-PW10, Class X1, IO, 0.056s, 2040  11,294,394  25,864  --  --  --  -- 
Bear Stearns Small Balance Commercial Trust 144A Ser.             
06-1A, Class AIO, IO, 1s, 2034  --  --  1,608,600  15,709  1,676,400  16,371 
Chase Commercial Mortgage Securities Corp. Ser. 00-3,             
Class A2, 7.319s, 2032  8,879  8,756  104,769  103,325  102,993  101,574 
Chase Commercial Mortgage Securities Corp. 144A             
Ser. 98-1, Class F, 6.56s, 2030  --  --  962,000  906,390  896,000  844,205 
Ser. 98-1, Class G, 6.56s, 2030  --  --  249,000  217,628  231,000  201,896 
Ser. 98-1, Class H, 6.34s, 2030  91,000  69,462  371,000  283,190  362,000  276,320 
Citigroup Commercial Mortgage Trust             
Ser. 08-C7, Class A3, 6.096s, 2014  2,270,000  1,275,909  2,995,000  1,683,413  --  -- 
Ser. 08-C7, Class A2A, 6.034s, 2049  1,230,000  847,231  1,630,000  1,122,754  --  -- 
Citigroup Commercial Mortgage Trust 144A Ser. 06-C5,             
Class XC, IO, 0.088s, 2049  6,597,772  47,504  37,090,043  267,048  40,132,728  288,956 
Citigroup Mortgage Loan Trust, Inc.             
FRB Ser. 06-AR5, Class 2A5A, 6.198s, 2036  1,416,625  669,293  1,893,790  894,732  --  -- 
IFB Ser. 07-6, Class 2A5, IO, 6.179s, 2037  614,606  41,486  1,552,417  104,788  1,319,468  89,064 
FRB Ser. 06-AR7, Class 2A2A, 5.649s, 2036  3,944,425  1,774,991  --  --  --  -- 
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser.             
06-CD3, Class A4, 5.658s, 2048  106,000  73,746  --  --  --  -- 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A             
Ser. 07-CD4, Class XW, IO, 0.377s, 2049  3,341,389  51,457  10,018,184  154,280  7,952,126  122,463 
Ser. 06-CD2, Class X, IO, 0.086s, 2046  2,475,362  6,011  16,349,661  39,700  17,941,177  43,564 
Ser. 07-CD5, Class XS, IO, 0.077s, 2044  --  --  3,221,783  11,027  --  -- 
Ser. 07-CD4, Class XC, IO, 0.059s, 2049  11,175,853  53,644  33,502,633  160,813  26,592,509  127,644 
CNL Funding Ser. 99-1, Class A2, 7.645s, 2014  115,503  90,322  430,768  336,858  270,768  211,740 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1, IO,             
0.967s, 2017  414,947  6,280  1,566,678  23,710  1,017,632  15,401 
Commercial Mortgage Acceptance Corp. 144A             
Ser. 98-C1, Class F, 6.23s, 2031  --  --  415,000  340,951  404,000  331,914 
Ser. 98-C2, Class F, 5.44s, 2030  1,370,000  1,015,278  2,607,000  1,931,992  2,247,000  1,665,203 
Commercial Mortgage Loan Trust Ser. 08-LS1, Class A4B,             
6.02s, 2017  166,000  120,075  842,000  609,054  618,000  447,026 
Commercial Mortgage Pass-Through Certificates 144A             
Ser. 06-CN2A, Class H, 5.57s, 2019  66,000  28,102  197,000  83,881  218,000  92,822 
Ser. 06-CN2A, Class J, 5.57s, 2019  53,000  22,402  158,000  66,783  174,000  73,546 
FRB Ser. 01-J2A, Class A2F, 1.54s, 2034  118,000  89,680  326,000  247,760  314,000  238,640 
Ser. 03-LB1A, Class X1, IO, 0.449s, 2038  862,576  24,592  1,833,837  52,283  1,982,200  56,513 
Ser. 05-LP5, Class XC, IO, 0.102s, 2043  5,671,102  26,951  12,632,245  60,034  12,289,069  58,403 
Ser. 06-C8, Class XS, IO, 0.066s, 2046  10,551,505  44,548  28,543,416  120,508  26,004,656  109,790 
Ser. 05-C6, Class XC, IO, 0.064s, 2044  8,698,224  26,975  25,498,860  79,078  12,806,946  39,717 
Countrywide Alternative Loan Trust             
IFB Ser. 04-2CB, Class 1A5, IO, 7.129s, 2034  172,920  7,173  34,684  1,439  96,316  3,996 
Ser. 06-45T1, Class 2A2, 6s, 2037  3,830,767  1,701,627  --  --  --  -- 
Ser. 06-J8, Class A4, 6s, 2037  3,132,008  1,328,598  1,338,357  567,731  --  -- 
Ser. 07-HY5R, Class 2A1A, 5.544s, 2047  1,392,206  909,774  714,800  467,105  670,934  438,440 
Ser. 05-24, Class 1AX, IO, 0.737s, 2035  1,339,801  16,538  1,947,690  24,042  1,866,300  23,037 
Countrywide Home Loans             
FRB Ser. 05-HYB7, Class 6A1, 5.707s, 2035  3,862,888  1,931,444  779,931  389,965  --  -- 
Ser. 05-9, Class 1X, IO, 3.126s, 2035  441,995  6,233  1,566,952  22,096  1,498,683  21,134 
Ser. 05-2, Class 2X, IO, 1.16s, 2035  589,292  8,057  1,638,873  22,406  1,565,355  21,401 
Countrywide Home Loans 144A             
IFB Ser. 05-R2, Class 2A3, 8s, 2035  99,887  95,224  --  --  186,899  178,174 
IFB Ser. 05-R1, Class 1AS, IO, 4.549s, 2035  232,810  14,690  1,664,567  105,034  1,659,975  104,744 
IFB Ser. 05-R2, Class 1AS, IO, 4.202s, 2035  223,509  13,142  1,446,955  85,081  1,333,418  78,405 
Credit Suisse Mortgage Capital Certificates             
FRB Ser. 08-C1, Class A2, 6.218s, 2041  105,000  82,576  --  --  --  -- 
FRB Ser. 07-C4, Class A2, 5.81s, 2039  587,000  421,640  2,631,000  1,889,839  2,064,000  1,482,565 
Ser. 07-C2, Class A2, 5.448s, 2049  249,000  189,734  --  --  --  -- 
Ser. 06-C5, Class AX, IO, 0.091s, 2039  6,724,823  38,775  18,194,237  104,908  16,579,205  95,596 
Credit Suisse Mortgage Capital Certificates 144A             
FRB Ser. 06-TFLA, Class K, 2.395s, 2021  50,000  7,500  --  --  484,000  72,600 
Ser. 07-C2, Class AX, IO, 0.114s, 2049  17,335,811  88,690  47,663,253  243,845  37,648,581  192,610 
Ser. 06-C4, Class AX, IO, 0.113s, 2039  6,321,643  50,626  29,207,918  233,909  24,411,298  195,495 
Ser. 07-C1, Class AX, IO, 0.07s, 2040  7,601,024  30,184  36,525,150  145,041  24,790,970  98,445 
CRESI Finance Limited Partnership 144A FRB Ser. 06-A,             
Class C, 1.071s, 2017  --  --  155,000  101,510  161,000  105,439 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,             
Class B, 7s, 2033  837,193  788,204  --  --  --  -- 
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D,             
5.612s, 2035  228,000  159,600  620,000  434,000  597,000  417,900 
CS First Boston Mortgage Securities Corp.             
Ser. 97-C2, Class F, 7.46s, 2035  52,000  53,461  303,000  311,514  294,000  302,261 
Ser. 04-C2, Class A2, 5.416s, 2036 (F)  260,000  179,608  1,050,000  725,338  1,050,000  725,338 
CS First Boston Mortgage Securities Corp. 144A             
Ser. 98-C2, Class F, 6 3/4s, 2030  353,000  342,049  --  --  --  -- 
FRB Ser. 05-TFLA, Class J, 2.145s, 2020  --  --  67,000  43,550  65,500  42,575 
FRB Ser. 04-TF2A, Class J, 2.145s, 2016  153,000  84,150  310,000  170,500  349,000  191,950 
FRB Ser. 05-TF2A, Class J, 2.095s, 2020  43,847  24,116  148,024  81,413  148,683  81,776 
FRB Ser. 04-TF2A, Class H, 1.895s, 2019  100,000  65,000  132,000  85,800  128,000  83,200 
Ser. 01-CK1, Class AY, IO, 0.78s, 2035  4,428,508  49,156  12,266,279  136,156  11,803,467  131,018 
Ser. 04-C4, Class AX, IO, 0.532s, 2039  670,539  8,600  4,492,422  57,615  3,550,248  45,532 
Ser. 03-C3, Class AX, IO, 0.518s, 2038  5,759,083  199,995  11,162,024  387,622  12,910,717  448,349 
Ser. 02-CP3, Class AX, IO, 0.423s, 2035  1,189,195  32,898  8,107,148  224,279  5,855,538  161,989 
CWCapital Cobalt FRB Ser. 07-C3, Class A3, 5.82s, 2046  394,000  258,238  --  --  --  -- 
Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1,             
Class X, IO, 0.617s, 2031  492,538  9,672  1,908,725  37,481  1,429,281  28,066 
DLJ Commercial Mortgage Corp.             
Ser. 00-CF1, Class A1B, 7.62s, 2033  37,239  37,273  450,693  451,099  442,099  442,497 
Ser. 99-CG2, Class B3, 6.1s, 2032  --  --  378,000  356,732  332,000  313,320 
Ser. 99-CG2, Class B4, 6.1s, 2032  --  --  571,000  199,850  551,000  192,850 
Ser. 98-CF2, Class B3, 6.04s, 2031  --  --  100,000  95,435  100,000  95,435 
Fannie Mae             

IFB Ser. 06-70, Class SM, 50.819s, 2036  --  --  93,203  126,763  87,418  118,895 
IFB Ser. 07-75, Class JS, 48.59s, 2037  163,432  214,383  --  --  288,456  378,386 
IFB Ser. 07-80, Class AS, 45.59s, 2037  --  --  532,202  700,120  433,615  570,428 
IFB Ser. 07-1, Class NR, 43.919s, 2037  457,353  517,541  --  --  --  -- 
IFB Ser. 07-75, Class CS, 42.201s, 2037  --  --  558,286  754,347  464,344  627,414 
IFB Ser. 06-62, Class PS, 37.073s, 2036  166,108  217,292  316,712  414,303  257,652  337,043 
IFB Ser. 07-60, Class SB, 36.773s, 2037  --  --  --  --  337,215  425,540 
IFB Ser. 06-76, Class QB, 36.773s, 2036  285,084  371,831  --  --  404,122  527,090 
IFB Ser. 06-48, Class TQ, 36.773s, 2036  --  --  --  --  581,851  745,343 
IFB Ser. 06-70, Class SJ, 36.773s, 2036  169,880  212,110  --  --  74,183  92,625 
IFB Ser. 06-63, Class SP, 36.473s, 2036  312,395  399,537  --  --  443,570  567,304 
IFB Ser. 07-W7, Class 1A4, 36.353s, 2037  228,601  262,891  508,423  584,687  432,539  497,420 
IFB Ser. 07-81, Class SC, 34.973s, 2037  --  --  675,155  831,725  536,437  660,837 
IFB Ser. 07-1, Class NK, 33.158s, 2037  242,205  307,030  1,582,954  2,006,630  1,432,232  1,815,567 
IFB Ser. 06-104, Class GS, 32.167s, 2036  --  --  205,221  250,775  206,752  252,647 
IFB Ser. 06-104, Class ES, 31.094s, 2036  110,868  138,771  486,289  608,679  554,339  693,856 
IFB Ser. 07-96, Class AS, 27.794s, 2037  88,255  99,351  926,673  1,043,186  774,875  872,302 
IFB Ser. 07-30, Class FS, 27.645s, 2037  607,760  733,524  1,631,003  1,968,507  1,253,975  1,513,460 
IFB Ser. 06-104, Class CS, 27.579s, 2036  130,955  158,002  --  --  673,360  812,438 
IFB Ser. 05-37, Class SU, 27.315s, 2035  106,944  129,244  427,773  516,977  427,773  516,977 
IFB Ser. 06-49, Class SE, 27.115s, 2036  268,114  325,361  757,210  918,888  655,991  796,057 
IFB Ser. 06-60, Class AK, 26.915s, 2036  123,885  148,984  494,786  595,027  380,721  457,853 
IFB Ser. 06-60, Class TK, 26.715s, 2036  81,533  97,109  211,171  251,512  198,941  236,945 
IFB Ser. 05-25, Class PS, 26.087s, 2035  98,615  114,421  --  --  71,982  83,519 
IFB Ser. 06-30, Class HK, 24.715s, 2036  163,277  189,045  --  --  --  -- 
IFB Ser. 06-115, Class ES, 24.675s, 2036  --  --  656,251  777,801  504,684  598,162 
IFB Ser. 06-8, Class PK, 24.515s, 2036  179,043  207,902  --  --  584,333  678,518 
IFB Ser. 05-57, Class CD, 23.358s, 2035  128,636  146,233  231,547  263,220  225,115  255,908 
IFB Ser. 05-115, Class NQ, 23.17s, 2036  --  --  162,267  179,714  163,487  181,065 
IFB Ser. 05-74, Class CP, 23.022s, 2035  131,654  140,756  279,105  298,403  280,422  299,810 
IFB Ser. 06-27, Class SP, 22.839s, 2036  178,608  206,711  --  --  444,734  514,711 
IFB Ser. 06-8, Class HP, 22.839s, 2036  151,127  172,298  --  --  474,124  540,543 
IFB Ser. 06-8, Class WK, 22.839s, 2036  158,433  179,293  694,727  786,202  764,437  865,091 
IFB Ser. 05-106, Class US, 22.839s, 2035  212,030  244,917  --  --  --  -- 
IFB Ser. 05-99, Class SA, 22.839s, 2035  67,838  77,417  326,299  372,374  327,656  373,923 
IFB Ser. 05-45, Class DA, 22.692s, 2035  158,846  179,920  475,875  539,010  555,298  628,970 
IFB Ser. 05-74, Class DM, 22.655s, 2035  191,035  216,241  --  --  628,459  711,381 
IFB Ser. 05-45, Class DC, 22.582s, 2035  132,372  149,855  463,300  524,491  330,929  374,637 
IFB Ser. 06-46, Class SK, 22.472s, 2036  208,325  234,553  --  --  --  -- 
IFB Ser. 06-60, Class CS, 22.362s, 2036  107,792  119,121  235,638  260,403  212,241  234,547 
IFB Ser. 05-57, Class DC, 20.243s, 2034  118,293  130,311  371,776  409,547  360,510  397,137 
IFB Ser. 05-95, Class OP, 18.9s, 2035  --  --  205,524  201,722  206,429  202,611 
IFB Ser. 05-45, Class PC, 18.836s, 2034  58,604  58,734  176,886  177,280  177,424  177,819 
IFB Ser. 05-74, Class SK, 18.834s, 2035  152,060  165,354  518,056  563,350  498,966  542,591 
IFB Ser. 05-74, Class CS, 18.724s, 2035  131,654  145,023  317,943  350,229  319,918  352,405 
IFB Ser. 05-106, Class JC, 18.663s, 2035  --  --  152,630  165,629  145,204  157,571 
IFB Ser. 05-95, Class CP, 18.456s, 2035  --  --  59,127  59,043  59,127  59,043 
IFB Ser. 05-114, Class SP, 18.284s, 2036  --  --  202,798  212,415  204,252  213,938 
IFB Ser. 05-83, Class QP, 16.169s, 2034  --  --  114,431  119,299  114,431  119,299 
IFB Ser. 05-72, Class SB, 15.697s, 2035  --  --  689,229  726,117  528,286  556,560 
FRB Ser. 03-W6, Class PT1, 10.207s, 2042  28,595  31,240  --  --  --  -- 
Ser. 02-T12, Class A4, 9 1/2s, 2042  14,098  15,297  --  --  35,465  38,480 
Ser. 02-T4, Class A4, 9 1/2s, 2041  27,074  29,375  --  --  --  -- 
Ser. 02-T6, Class A3, 9 1/2s, 2041  27,631  29,980  --  --  69,441  75,344 
Ser. 02-T1, Class A4, 9 1/2s, 2031  3,490  3,786  --  --  --  -- 
Ser. 04-T3, Class PT1, 8.949s, 2044  28,475  30,628  --  --  90,006  96,813 
Ser. 383, Class 90, IO, 8s, 2037  73,440  8,245  96,940  10,883  --  -- 
Ser. 383, Class 91, IO, 8s, 2037  74,001  8,853  76,961  9,207  --  -- 
Ser. 02-26, Class A2, 7 1/2s, 2048  67,464  70,015  --  --  --  -- 
Ser. 04-T3, Class 1A4, 7 1/2s, 2044  2,515  2,629  --  --  7,267  7,596 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  53,828  56,670  --  --  --  -- 
Ser. 03-W1, Class 2A, 7 1/2s, 2042  97,161  102,292  --  --  749,106  788,669 
Ser. 02-T19, Class A3, 7 1/2s, 2042  20,180  21,246  --  --  --  -- 
Ser. 02-T12, Class A3, 7 1/2s, 2042  15,700  16,293  --  --  --  -- 
Ser. 02-14, Class A2, 7 1/2s, 2042  103,776  109,257  --  --  --  -- 
Ser. 01-T10, Class A2, 7 1/2s, 2041  7,737  8,145  --  --  --  -- 
Ser. 02-T4, Class A3, 7 1/2s, 2041  39,786  41,887  --  --  359,862  378,868 
Ser. 01-T12, Class A2, 7 1/2s, 2041  40,519  42,659  --  --  --  -- 
Ser. 01-T3, Class A1, 7 1/2s, 2040  11,241  11,834  --  --  29,599  31,162 
Ser. 01-T1, Class A1, 7 1/2s, 2040  10,936  11,514  --  --  77,055  81,125 
Ser. 99-T2, Class A1, 7 1/2s, 2039  82,303  86,264  --  --  17,662  18,512 
Ser. 386, Class 26, IO, 7 1/2s, 2038  136,174  13,670  --  --  --  -- 
Ser. 386, Class 27, IO, 7 1/2s, 2037  80,365  8,188  115,666  11,785  --  -- 
Ser. 386, Class 28, IO, 7 1/2s, 2037  78,297  7,767  112,406  11,150  --  -- 
Ser. 383, Class 88, IO, 7 1/2s, 2037  146,540  15,466  --  --  --  -- 
Ser. 383, Class 89, IO, 7 1/2s, 2037  114,148  14,972  --  --  --  -- 
Ser. 383, Class 87, IO, 7 1/2s, 2037  181,912  18,191  --  --  --  -- 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032  23,087  23,960  --  --  --  -- 
Ser. 02-T1, Class A3, 7 1/2s, 2031  26,522  27,923  --  --  83,055  87,442 
Ser. 01-T5, Class A3, 7 1/2s, 2030  10,099  10,480  --  --  44,346  46,022 
Ser. 01-T4, Class A1, 7 1/2s, 2028  16,102  16,952  --  --  --  -- 
IFB Ser. 07-W6, Class 6A2, IO, 7.329s, 2037  74,750  6,541  717,597  62,790  576,641  50,456 
IFB Ser. 06-90, Class SE, IO, 7.329s, 2036  163,575  15,754  594,628  57,267  865,615  83,366 
IFB Ser. 04-51, Class XP, IO, 7.229s, 2034  575,895  42,675  176,327  13,066  134,672  9,979 
IFB Ser. 03-66, Class SA, IO, 7.179s, 2033  168,302  13,764  547,207  44,752  549,204  44,916 
IFB Ser. 04-17, Class ST, IO, 7.129s, 2034  409,866  50,077  --  --  --  -- 
IFB Ser. 08-7, Class SA, IO, 7.079s, 2038  508,178  52,063  --  --  --  -- 
Ser. 02-26, Class A1, 7s, 2048  39,246  41,294  --  --  --  -- 
Ser. 04-W12, Class 1A3, 7s, 2044  145,357  151,852  --  --  --  -- 
Ser. 04-T3, Class 1A3, 7s, 2044  67,611  70,633  --  --  --  -- 
Ser. 04-W2, Class 2A2, 7s, 2044  --  --  --  --  12,504  12,907 
Ser. 04-T2, Class 1A3, 7s, 2043  41,069  42,288  --  --  --  -- 
Ser. 03-W8, Class 2A, 7s, 2042  32,135  33,812  --  --  --  -- 
Ser. 02-T18, Class A3, 7s, 2042  14,511  14,941  --  --  --  -- 
Ser. 03-W3, Class 1A2, 7s, 2042  60,194  62,433  --  --  --  -- 
Ser. 02-T16, Class A2, 7s, 2042  36,408  38,308  --  --  --  -- 
Ser. 02-14, Class A1, 7s, 2042  140,539  147,873  --  --  --  -- 
Ser. 02-T4, Class A2, 7s, 2041  17,438  17,956  --  --  --  -- 
Ser. 01-W3, Class A, 7s, 2041  57,088  60,067  --  --  69,623  73,256 
Ser. 386, Class 24, IO, 7s, 2038  117,222  11,245  --  --  --  -- 
Ser. 386, Class 25, IO, 7s, 2038  125,628  11,916  --  --  --  -- 
Ser. 386, Class 22, IO, 7s, 2038  161,502  22,201  --  --  --  -- 
Ser. 386, Class 21, IO, 7s, 2037  183,142  17,176  --  --  --  -- 
Ser. 386, Class 23, IO, 7s, 2037  179,198  17,237  --  --  --  -- 
Ser. 383, Class 84, IO, 7s, 2037  167,843  24,155  --  --  --  -- 
Ser. 383, Class 85, IO, 7s, 2037  107,064  15,515  --  --  --  -- 
Ser. 383, Class 86, IO, 7s, 2037  83,942  10,881  121,161  15,705  --  -- 
Ser. 383, Class 79, IO, 7s, 2037  168,762  23,767  --  --  --  -- 
Ser. 383, Class 80, IO, 7s, 2037  373,753  31,769  537,067  45,651  --  -- 
Ser. 383, Class 81, IO, 7s, 2037  204,270  28,127  --  --  --  -- 
Ser. 383, Class 82, IO, 7s, 2037  201,558  28,742  --  --  --  -- 
Ser. 383, Class 83, IO, 7s, 2037  171,506  24,546  --  --  --  -- 
Ser. 05-W4, Class 1A3, 7s, 2035  117,912  123,182  --  --  359,005  375,048 
Ser. 04-W1, Class 2A2, 7s, 2033  361,479  366,653  --  --  --  -- 
IFB Ser. 07-W6, Class 5A2, IO, 6.819s, 2037  115,092  8,989  1,104,033  86,225  887,489  69,313 
IFB Ser. 07-W4, Class 4A2, IO, 6.809s, 2037  781,793  61,058  4,042,403  315,712  3,551,224  277,351 
IFB Ser. 07-W2, Class 3A2, IO, 6.809s, 2037  221,997  17,338  1,139,005  88,956  959,811  74,961 
IFB Ser. 06-115, Class BI, IO, 6.789s, 2036  253,316  21,645  1,182,140  101,011  1,013,263  86,581 
IFB Ser. 05-113, Class AI, IO, 6.759s, 2036  --  --  187,587  16,946  272,959  24,658 
IFB Ser. 05-113, Class DI, IO, 6.759s, 2036  1,020,921  82,133  3,482,232  280,146  3,190,196  256,651 
IFB Ser. 05-52, Class DC, IO, 6.729s, 2035  292,066  31,902  648,972  70,886  675,367  73,769 
IFB Ser. 06-60, Class SI, IO, 6.679s, 2036  470,446  40,270  1,234,410  105,666  1,037,916  88,846 
IFB Ser. 06-60, Class UI, IO, 6.679s, 2036  215,070  19,092  500,582  44,436  420,399  37,318 
IFB Ser. 04-89, Class EI, IO, 6.679s, 2034  587,887  48,563  --  --  --  -- 
IFB Ser. 04-24, Class CS, IO, 6.679s, 2034  222,210  21,094  --  --  961,863  91,309 
IFB Ser. 07-W7, Class 3A2, IO, 6.659s, 2037  354,860  39,301  1,687,156  186,853  1,428,077  158,160 
IFB Ser. 03-122, Class SA, IO, 6.629s, 2028  254,311  14,797  903,672  52,580  869,583  50,596 
IFB Ser. 03-122, Class SJ, IO, 6.629s, 2028  264,303  15,315  939,151  54,417  901,915  52,260 
IFB Ser. 06-60, Class DI, IO, 6.599s, 2035  146,649  11,453  532,350  41,577  774,977  60,526 
IFB Ser. 04-60, Class SW, IO, 6.579s, 2034  404,169  33,586  1,407,031  116,924  1,348,949  112,098 
IFB Ser. 05-65, Class KI, IO, 6.529s, 2035  657,800  50,585  970,940  74,665  1,212,857  93,269 
IFB Ser. 08-10, Class LI, IO, 6.509s, 2038  1,284,531  106,745  --  --  --  -- 
Ser. 386, Class 14, IO, 6 1/2s, 2038  1,878,041  159,633  2,125,615  180,677  --  -- 
Ser. 386, Class 19, IO, 6 1/2s, 2038  174,134  16,585  --  --  --  -- 
Ser. 386, Class 17, IO, 6 1/2s, 2037  268,171  22,795  --  --  --  -- 
Ser. 386, Class 16, IO, 6 1/2s, 2037  184,815  19,634  --  --  --  -- 
Ser. 383, Class 60, IO, 6 1/2s, 2037  851,943  80,935  1,225,205  116,394  --  -- 
Ser. 383, Class 62, IO, 6 1/2s, 2037  238,076  21,792  --  --  --  -- 
Ser. 383, Class 69, IO, 6 1/2s, 2037  135,573  17,414  --  --  --  -- 
Ser. 383, Class 63, IO, 6 1/2s, 2037  185,654  18,497  --  --  --  -- 
Ser. 383, Class 64, IO, 6 1/2s, 2037  342,836  31,712  492,727  45,577  --  -- 
Ser. 383, Class 67, IO, 6 1/2s, 2037  182,148  19,837  --  --  --  -- 
Ser. 383, Class 68, IO, 6 1/2s, 2037  87,605  9,061  126,152  13,048  --  -- 
Ser. 383, Class 58, IO, 6 1/2s, 2037  394,731  33,078  568,264  47,621  --  -- 
Ser. 383, Class 59, IO, 6 1/2s, 2037  251,779  23,020  --  --  --  -- 
Ser. 383, Class 61, IO, 6 1/2s, 2037  199,171  20,836  --  --  --  -- 
Ser. 383, Class 65, IO, 6 1/2s, 2037  238,478  24,586  --  --  --  -- 
Ser. 383, Class 66, IO, 6 1/2s, 2037  242,698  23,593  --  --  --  -- 

Ser. 383, Class 72, IO, 6 1/2s, 2037  953,096  81,013  1,370,998  116,535  --  -- 
Ser. 383, Class 77, IO, 6 1/2s, 2037  143,583  15,779  --  --  --  -- 
Ser. 383, Class 78, IO, 6 1/2s, 2037  147,457  19,269  --  --  --  -- 
Ser. 381, Class 14, IO, 6 1/2s, 2037  198,242  16,097  512,668  41,629  488,294  39,649 
Ser. 381, Class 16, IO, 6 1/2s, 2037  --  --  --  --  119,544  13,034 
Ser. 381, Class 15, IO, 6 1/2s, 2037  84,599  6,869  --  --  208,244  16,909 
Ser. 383, Class 73, IO, 6 1/2s, 2037  326,458  27,749  470,066  39,956  --  -- 
Ser. 383, Class 76, IO, 6 1/2s, 2037  197,888  19,932  --  --  --  -- 
Ser. 383, Class 70, IO, 6 1/2s, 2037  499,480  42,456  718,631  61,084  --  -- 
Ser. 383, Class 74, IO, 6 1/2s, 2037  269,396  22,899  --  --  --  -- 
Ser. 383, Class 71, IO, 6 1/2s, 2036  211,518  22,124  --  --  --  -- 
Ser. 383, Class 75, IO, 6 1/2s, 2036  170,647  15,759  --  --  --  -- 
Ser. 383, Class 101, IO, 6 1/2s, 2022  78,971  7,183  112,915  10,271  --  -- 
Ser. 383, Class 102, IO, 6 1/2s, 2022  --  --  73,107  6,013  --  -- 
IFB Ser. 08-01, Class GI, IO, 6.489s, 2037  950,577  78,993  4,981,098  413,929  4,173,862  346,848 
IFB Ser. 07-39, Class LI, IO, 6.299s, 2037  698,456  67,171  --  --  --  -- 
IFB Ser. 07-23, Class SI, IO, 6.299s, 2037  117,231  8,870  587,622  44,459  704,853  53,328 
IFB Ser. 07-54, Class CI, IO, 6.289s, 2037  105,604  8,301  997,748  78,427  801,747  63,020 
IFB Ser. 07-39, Class PI, IO, 6.289s, 2037  296,436  21,986  772,020  57,258  648,304  48,083 
IFB Ser. 07-30, Class WI, IO, 6.289s, 2037  2,397,123  179,832  --  --  7,518,083  564,007 
IFB Ser. 07-28, Class SE, IO, 6.279s, 2037  346,393  26,956  1,010,381  78,628  792,343  61,660 
IFB Ser. 06-128, Class SH, IO, 6.279s, 2037  100,272  7,712  719,254  55,321  741,043  56,997 
IFB Ser. 06-56, Class SM, IO, 6.279s, 2036  963,782  75,288  2,816,344  220,004  2,182,090  170,458 
IFB Ser. 05-73, Class SI, IO, 6.279s, 2035  63,243  4,750  320,643  24,083  308,626  23,181 
IFB Ser. 05-12, Class SC, IO, 6.279s, 2035  460,222  45,561  1,013,023  100,288  876,327  86,755 
IFB Ser. 05-17, Class ES, IO, 6.279s, 2035  167,116  15,288  593,817  54,323  570,272  52,169 
IFB Ser. 05-17, Class SY, IO, 6.279s, 2035  125,706  11,464  276,433  25,209  265,473  24,209 
IFB Ser. 07-W5, Class 2A2, IO, 6.269s, 2037  --  --  473,537  39,067  396,470  32,709 
IFB Ser. 07-30, Class IE, IO, 6.269s, 2037  479,100  49,307  2,355,573  242,424  1,977,153  203,479 
IFB Ser. 06-123, Class CI, IO, 6.269s, 2037  773,908  59,894  2,243,553  173,633  1,766,700  136,728 
IFB Ser. 06-123, Class UI, IO, 6.269s, 2037  323,210  25,857  849,865  67,989  713,979  57,118 
IFB Ser. 05-82, Class SY, IO, 6.259s, 2035  366,005  27,670  1,247,406  94,304  1,200,832  90,783 
IFB Ser. 05-45, Class EW, IO, 6.249s, 2035  462,454  36,775  2,335,144  185,695  2,362,975  187,909 
IFB Ser. 05-45, Class SR, IO, 6.249s, 2035  476,597  37,373  1,659,170  130,105  1,590,681  124,735 
IFB Ser. 07-15, Class BI, IO, 6.229s, 2037  521,429  41,243  1,371,785  108,503  1,151,996  91,118 
IFB Ser. 06-126, Class CS, IO, 6.229s, 2037  308,887  23,290  421,838  31,807  394,177  29,721 
IFB Ser. 06-16, Class SM, IO, 6.229s, 2036  396,956  33,634  922,423  78,156  718,233  60,855 
IFB Ser. 05-95, Class CI, IO, 6.229s, 2035  229,965  20,904  743,553  67,589  747,037  67,906 
IFB Ser. 05-84, Class SG, IO, 6.229s, 2035  385,018  31,995  1,231,059  102,301  1,234,797  102,612 
IFB Ser. 05-57, Class NI, IO, 6.229s, 2035  169,420  15,474  433,175  39,564  363,867  33,234 
IFB Ser. 05-54, Class SA, IO, 6.229s, 2035  339,649  26,796  1,173,799  92,605  1,133,215  89,403 
IFB Ser. 05-23, Class SG, IO, 6.229s, 2035  250,457  21,408  890,455  76,111  855,285  73,104 
IFB Ser. 05-29, Class SX, IO, 6.229s, 2035  692,843  57,779  143,134  11,936  114,602  9,557 
IFB Ser. 05-29, Class SY, IO, 6.229s, 2035  771,113  65,401  --  --  --  -- 
IFB Ser. 05-17, Class SA, IO, 6.229s, 2035  698,412  54,899  785,714  61,761  754,562  59,312 
IFB Ser. 05-17, Class SE, IO, 6.229s, 2035  240,457  19,876  854,421  70,625  820,544  67,824 
IFB Ser. 05-57, Class DI, IO, 6.229s, 2035  531,460  40,869  --  --  2,313,310  177,894 
IFB Ser. 05-83, Class QI, IO, 6.219s, 2035  --  --  201,359  19,710  202,932  19,864 
IFB Ser. 06-128, Class GS, IO, 6.209s, 2037  119,189  9,152  1,118,478  85,887  899,045  69,037 
IFB Ser. 06-114, Class IS, IO, 6.179s, 2036  182,391  13,734  933,234  70,270  786,561  59,226 
IFB Ser. 06-116, Class ES, IO, 6.179s, 2036  289,449  22,508  690,058  53,661  828,647  64,438 
IFB Ser. 06-116, Class LS, IO, 6.179s, 2036  608,593  53,106  --  --  --  -- 
IFB Ser. 06-115, Class GI, IO, 6.169s, 2036  --  --  955,953  78,200  789,166  64,557 
IFB Ser. 06-115, Class IE, IO, 6.169s, 2036  286,202  27,406  737,677  70,637  619,165  59,289 
IFB Ser. 06-117, Class SA, IO, 6.169s, 2036  417,691  31,697  1,098,986  83,398  922,997  70,043 
IFB Ser. 06-121, Class SD, IO, 6.169s, 2036  353,290  26,709  2,136,309  161,505  1,630,856  123,293 
IFB Ser. 06-109, Class SG, IO, 6.159s, 2036  517,055  41,054  1,501,420  119,213  1,149,430  91,265 
IFB Ser. 06-104, Class IM, IO, 6.149s, 2036  97,803  7,411  327,466  24,812  415,664  31,495 
IFB Ser. 06-104, Class SY, IO, 6.149s, 2036  201,779  15,506  677,002  52,027  859,299  66,036 
IFB Ser. 06-109, Class SH, IO, 6.149s, 2036  393,149  34,633  1,153,806  101,641  905,951  79,807 
IFB Ser. 06-111, Class SA, IO, 6.149s, 2036  3,131,584  239,544  --  --  --  -- 
Ser. 06-104, Class SG, IO, 6.129s, 2036  590,958  41,955  1,494,624  106,111  1,831,386  130,019 
IFB Ser. 07-W6, Class 4A2, IO, 6.129s, 2037  646,248  49,697  4,568,529  351,320  3,671,825  282,363 
IFB Ser. 06-128, Class SC, IO, 6.129s, 2037  767,646  58,494  3,445,390  262,535  2,700,278  205,759 
IFB Ser. 06-43, Class SI, IO, 6.129s, 2036  576,444  44,241  2,685,245  206,087  2,318,812  177,964 
IFB Ser. 06-44, Class IS, IO, 6.129s, 2036  347,181  26,405  942,970  71,717  1,074,160  81,695 
IFB Ser. 06-8, Class JH, IO, 6.129s, 2036  645,160  50,464  3,314,671  259,274  2,790,267  218,255 
IFB Ser. 06-8, Class PS, IO, 6.129s, 2036  226,497  20,833  --  --  --  -- 
IFB Ser. 05-122, Class SG, IO, 6.129s, 2035  97,020  9,623  942,266  93,463  733,527  72,759 
IFB Ser. 06-45, Class XS, IO, 6.129s, 2034  372,720  30,358  --  --  --  -- 
IFB Ser. 05-95, Class OI, IO, 6.119s, 2035  --  --  114,479  13,525  115,285  13,621 
IFB Ser. 06-92, Class JI, IO, 6.109s, 2036  245,739  26,337  619,586  66,403  804,898  86,264 
IFB Ser. 06-92, Class LI, IO, 6.109s, 2036  414,193  31,030  1,088,184  81,523  913,748  68,455 
IFB Ser. 06-96, Class ES, IO, 6.109s, 2036  230,941  17,644  1,396,111  106,660  1,065,020  81,366 
IFB Ser. 06-99, Class AS, IO, 6.109s, 2036  331,506  26,322  848,245  67,351  1,062,144  84,334 
IFB Ser. 06-85, Class TS, IO, 6.089s, 2036  273,221  21,019  1,035,663  79,676  1,216,618  93,597 
IFB Ser. 06-61, Class SE, IO, 6.079s, 2036  350,511  24,488  1,103,437  77,091  1,231,808  86,059 
IFB Ser. 07-75, Class PI, IO, 6.069s, 2037  289,032  22,540  1,353,800  105,575  1,161,942  90,613 
IFB Ser. 07-76, Class SA, IO, 6.069s, 2037  480,023  27,637  1,151,132  66,276  1,151,132  66,276 
IFB Ser. 07-W7, Class 2A2, IO, 6.059s, 2037  762,209  74,475  3,125,055  305,349  2,672,322  261,113 
IFB Ser. 07-88, Class MI, IO, 6.049s, 2037  127,829  15,601  695,869  84,925  615,177  75,078 
Ser. 06-94, Class NI, IO, 6.029s, 2036  292,952  20,682  731,438  51,640  896,419  63,287 
IFB Ser. 08-10, Class AI, IO, 6.029s, 2038  821,959  48,594  --  --  --  -- 
IFB Ser. 07-116, Class IA, IO, 6.029s, 2037  834,007  59,965  4,314,364  310,203  3,790,027  272,503 
IFB Ser. 07-103, Class AI, IO, 6.029s, 2037  1,007,371  71,503  5,167,225  366,770  4,355,055  309,122 
IFB Ser. 07-1, Class NI, IO, 6.029s, 2037  974,818  78,196  2,728,739  218,889  2,338,812  187,610 
IFB Ser. 03-124, Class ST, IO, 6.029s, 2034  108,309  10,491  --  --  --  -- 
IFB Ser. 07-15, Class NI, IO, 6.029s, 2022  144,381  10,554  1,804,757  131,928  1,371,616  100,265 
Ser. 389, Class 6, IO, 6s, 2038  95,882  8,150  --  --  95,882  8,150 
Ser. 08-76, Class JI, IO, 6s, 2038  1,744,202  161,339  2,369,903  219,216  --  -- 
Ser. 386, Class 10, IO, 6s, 2038  130,632  13,469  --  --  --  -- 
Ser. 386, Class 11, IO, 6s, 2038  90,850  11,684  125,373  16,123  --  -- 
Ser. 383, Class 41, IO, 6s, 2038  1,446,062  122,915  2,080,227  176,819  --  -- 
Ser. 383, Class 42, IO, 6s, 2038  1,045,209  88,843  1,504,531  127,885  --  -- 
Ser. 383, Class 43, IO, 6s, 2038  944,620  80,293  1,358,413  115,465  --  -- 
Ser. 383, Class 44, IO, 6s, 2038  862,476  73,310  1,240,697  105,459  --  -- 
Ser. 383, Class 45, IO, 6s, 2038  665,455  56,564  956,908  81,337  --  -- 
Ser. 383, Class 46, IO, 6s, 2038  577,548  49,092  831,535  70,681  --  -- 
Ser. 383, Class 47, IO, 6s, 2038  511,600  43,486  735,635  62,529  --  -- 
Ser. 383, Class 48, IO, 6s, 2038  459,014  42,459  660,513  61,097  --  -- 
Ser. 383, Class 52, IO, 6s, 2038  186,162  18,805  --  --  --  -- 
Ser. 386, Class 9, IO, 6s, 2038  827,123  70,305  1,189,149  101,078  --  -- 
Ser. 383, Class 28, IO, 6s, 2038  1,819,317  168,287  2,494,695  230,759  --  -- 
Ser. 383, Class 29, IO, 6s, 2038  1,987,308  183,826  2,243,321  207,507  --  -- 
Ser. 383, Class 30, IO, 6s, 2038  1,151,428  106,507  1,655,929  153,173  --  -- 
Ser. 383, Class 31, IO, 6s, 2038  1,014,884  93,877  1,460,818  135,126  --  -- 
Ser. 383, Class 32, IO, 6s, 2038  788,497  72,936  1,134,164  104,910  --  -- 
Ser. 383, Class 33, IO, 6s, 2038  674,019  62,347  969,597  89,688  --  -- 
Ser. 383, Class 37, IO, 6s, 2038  262,348  24,220  --  --  --  -- 
Ser. 386, Class 7, IO, 6s, 2038  1,018,027  92,844  1,463,961  133,513  --  -- 
Ser. 383, Class 34, IO, 6s, 2037  272,787  25,233  --  --  --  -- 
Ser. 383, Class 35, IO, 6s, 2037  224,546  20,860  --  --  --  -- 
Ser. 383, Class 36, IO, 6s, 2037  176,779  17,370  --  --  --  -- 
Ser. 383, Class 38, IO, 6s, 2037  111,450  10,300  --  --  --  -- 
Ser. 383, Class 50, IO, 6s, 2037  313,590  26,655  450,683  38,308  --  -- 
Ser. 386, Class 6, IO, 6s, 2037  487,790  40,877  701,197  58,760  --  -- 
Ser. 383, Class 39, IO, 6s, 2037  87,641  10,951  107,799  13,470  --  -- 
Ser. 383, Class 49, IO, 6s, 2037  236,104  23,636  --  --  --  -- 
Ser. 383, Class 51, IO, 6s, 2037  243,227  24,306  --  --  --  -- 
Ser. 383, Class 53, IO, 6s, 2037  90,401  9,068  129,742  13,014  --  -- 
Ser. 383, Class 54, IO, 6s, 2037  82,871  8,300  83,699  8,383  --  -- 
Ser. 383, Class 55, IO, 6s, 2037  --  --  83,075  7,919  --  -- 
Ser. 383, Class 57, IO, 6s, 2037  148,194  19,070  --  --  --  -- 
Ser. 383, Class 100, IO, 6s, 2022  81,489  6,287  117,789  9,087  --  -- 
Ser. 383, Class 98, IO, 6s, 2022  251,800  22,103  --  --  --  -- 
Ser. 383, Class 99, IO, 6s, 2022  110,733  9,494  --  --  --  -- 
IFB Ser. 07-106, Class SM, IO, 5.989s, 2037  350,450  26,913  --  --  --  -- 
IFB Ser. 08-3, Class SC, IO, 5.979s, 2038  340,990  31,981  1,302,901  122,198  855,763  80,261 
IFB Ser. 07-109, Class XI, IO, 5.979s, 2037  191,870  17,005  863,416  76,520  767,481  68,018 
IFB Ser. 07-109, Class YI, IO, 5.979s, 2037  220,542  16,771  1,127,116  85,709  951,032  72,319 
IFB Ser. 07-W8, Class 2A2, IO, 5.979s, 2037  479,728  33,424  2,275,490  158,538  1,925,344  134,143 
IFB Ser. 07-88, Class JI, IO, 5.979s, 2037  --  --  938,172  70,238  944,867  70,739 
IFB Ser. 06-79, Class SH, IO, 5.979s, 2036  893,876  93,470  --  --  --  -- 
IFB Ser. 07-54, Class KI, IO, 5.969s, 2037  157,080  11,085  577,269  40,737  486,948  34,363 
IFB Ser. 07-30, Class JS, IO, 5.969s, 2037  745,850  58,251  1,960,044  153,079  1,645,960  128,549 
IFB Ser. 07-30, Class LI, IO, 5.969s, 2037  1,228,623  104,494  3,593,434  305,622  2,784,441  236,817 
IFB Ser. 07-W2, Class 1A2, IO, 5.959s, 2037  100,651  6,965  1,003,788  69,463  865,053  59,863 
IFB Ser. 07-106, Class SN, IO, 5.939s, 2037  277,964  20,994  1,349,865  101,951  1,138,205  85,965 
IFB Ser. 07-54, Class IA, IO, 5.939s, 2037  212,328  15,504  1,042,261  76,104  873,747  63,799 
IFB Ser. 07-54, Class IB, IO, 5.939s, 2037  212,328  15,504  1,042,261  76,104  873,747  63,799 
IFB Ser. 07-54, Class IC, IO, 5.939s, 2037  212,328  15,504  1,042,261  76,104  873,747  63,799 
IFB Ser. 07-54, Class ID, IO, 5.939s, 2037  212,328  15,504  1,042,261  76,104  873,747  63,799 
IFB Ser. 07-54, Class IE, IO, 5.939s, 2037  212,328  15,504  1,042,261  76,104  873,747  63,799 
IFB Ser. 07-54, Class IF, IO, 5.939s, 2037  315,122  26,688  1,551,175  131,369  1,299,246  110,033 
IFB Ser. 07-54, Class NI, IO, 5.939s, 2037  103,076  7,379  1,005,447  71,977  892,424  63,886 
IFB Ser. 07-54, Class UI, IO, 5.939s, 2037  146,687  7,312  1,463,268  72,944  1,196,892  59,665 
IFB Ser. 07-109, Class AI, IO, 5.929s, 2037  --  --  6,268,654  450,716  5,235,826  376,456 
IFB Ser. 07-91, Class AS, IO, 5.929s, 2037  189,808  14,596  894,447  68,783  761,750  58,579 

IFB Ser. 07-91, Class HS, IO, 5.929s, 2037  99,343  8,138  956,920  78,385  810,877  66,422 
IFB Ser. 07-15, Class CI, IO, 5.909s, 2037  1,438,940  104,398  4,179,395  303,223  3,290,162  238,708 
IFB Ser. 06-115, Class JI, IO, 5.909s, 2036  1,047,131  81,781  3,031,991  236,798  2,383,395  186,143 
IFB Ser. 07-109, Class PI, IO, 5.879s, 2037  141,918  10,087  1,384,639  98,412  1,228,715  87,329 
IFB Ser. 06-123, Class LI, IO, 5.849s, 2037  695,736  52,591  2,016,852  152,454  1,586,903  119,954 
IFB Ser. 08-1, Class NI, IO, 5.779s, 2037  470,341  31,466  2,289,238  153,150  1,917,191  128,260 
IFB Ser. 07-116, Class BI, IO, 5.779s, 2037  761,802  50,965  3,938,082  263,458  3,458,797  231,394 
IFB Ser. 08-01, Class AI, IO, 5.779s, 2037  1,159,777  73,797  6,076,812  386,668  5,092,058  324,008 
IFB Ser. 08-10, Class GI, IO, 5.759s, 2038  --  --  919,759  55,719  926,028  56,099 
IFB Ser. 08-13, Class SA, IO, 5.749s, 2038  1,842,266  136,376  217,836  16,125  161,821  11,979 
IFB Ser. 08-1, Class HI, IO, 5.729s, 2037  539,414  33,789  2,822,496  176,801  2,365,125  148,151 
IFB Ser. 07-39, Class AI, IO, 5.649s, 2037  352,497  26,473  1,790,979  134,503  1,507,679  113,227 
IFB Ser. 07-32, Class SD, IO, 5.639s, 2037  248,469  19,227  1,230,752  95,239  1,033,633  79,985 
IFB Ser. 07-30, Class UI, IO, 5.629s, 2037  206,370  13,929  1,013,011  68,372  849,226  57,318 
IFB Ser. 07-32, Class SC, IO, 5.629s, 2037  326,323  22,472  1,629,959  112,247  1,368,238  94,224 
IFB Ser. 07-1, Class CI, IO, 5.629s, 2037  239,587  16,296  1,179,687  80,236  988,494  67,232 
IFB Ser. 05-74, Class SE, IO, 5.629s, 2035  1,602,446  109,149  2,175,671  148,194  1,988,844  135,468 
IFB Ser. 05-74, Class NI, IO, 5.609s, 2035  409,415  32,524  --  --  --  -- 
IFB Ser. 05-14, Class SE, IO, 5.579s, 2035  260,092  17,465  1,415,382  95,043  1,250,178  83,949 
IFB Ser. 05-58, Class IK, IO, 5.529s, 2035  266,814  16,303  923,305  56,416  891,214  54,455 
Ser. 383, Class 18, IO, 5 1/2s, 2038  916,357  87,054  1,318,487  125,256  --  -- 
Ser. 383, Class 19, IO, 5 1/2s, 2038  836,639  79,481  1,202,946  114,280  --  -- 
Ser. 383, Class 25, IO, 5 1/2s, 2038  142,782  13,919  --  --  --  -- 
Ser. 386, Class 4, IO, 5 1/2s, 2037  206,501  24,364  --  --  --  -- 
Ser. 386, Class 5, IO, 5 1/2s, 2037  132,502  16,976  --  --  --  -- 
Ser. 383, Class 15, IO, 5 1/2s, 2037  126,558  13,767  --  --  --  -- 
Ser. 383, Class 16, IO, 5 1/2s, 2037  --  --  91,967  12,544  --  -- 
Ser. 383, Class 4, IO, 5 1/2s, 2037  1,280,515  121,649  1,841,580  174,950  --  -- 
Ser. 383, Class 5, IO, 5 1/2s, 2037  812,632  77,200  1,168,939  111,049  --  -- 
Ser. 383, Class 6, IO, 5 1/2s, 2037  730,124  69,362  1,050,167  99,766  --  -- 
Ser. 383, Class 7, IO, 5 1/2s, 2037  719,628  68,365  1,035,301  98,354  --  -- 
Ser. 383, Class 8, IO, 5 1/2s, 2037  292,796  27,816  420,779  39,974  --  -- 
Ser. 383, Class 9, IO, 5 1/2s, 2037  278,801  26,486  --  --  --  -- 
Ser. 383, Class 20, IO, 5 1/2s, 2037  518,391  50,543  745,867  72,722  --  -- 
Ser. 383, Class 21, IO, 5 1/2s, 2037  490,247  47,799  705,013  68,739  --  -- 
Ser. 383, Class 22, IO, 5 1/2s, 2037  331,787  32,349  477,339  46,541  --  -- 
Ser. 383, Class 23, IO, 5 1/2s, 2037  299,786  29,229  430,717  41,995  --  -- 
Ser. 383, Class 24, IO, 5 1/2s, 2037  209,194  21,355  --  --  --  -- 
Ser. 383, Class 26, IO, 5 1/2s, 2037  154,736  17,254  --  --  --  -- 
Ser. 383, Class 27, IO, 5 1/2s, 2037  --  --  90,030  12,227  --  -- 
Ser. 383, Class 95, IO, 5 1/2s, 2022  401,460  31,113  577,944  44,791  --  -- 
Ser. 383, Class 97, IO, 5 1/2s, 2022  168,550  12,899  --  --  --  -- 
Ser. 383, Class 94, IO, 5 1/2s, 2022  203,729  21,764  --  --  --  -- 
Ser. 383, Class 96, IO, 5 1/2s, 2022  218,554  18,099  --  --  --  -- 
IFB Ser. 08-1, Class BI, IO, 5.439s, 2038  1,049,144  66,878  5,708,177  363,868  5,041,694  321,383 
IFB Ser. 07-75, Class ID, IO, 5.399s, 2037  135,098  8,975  1,267,775  84,225  1,019,051  67,701 
Ser. 385, Class 3, IO, 5s, 2038  1,465,857  139,256  --  --  --  -- 
Ser. 383, Class 2, IO, 5s, 2037  137,744  19,355  --  --  --  -- 
Ser. 383, Class 92, IO, 5s, 2022  176,062  18,501  --  --  --  -- 
Ser. 383, Class 93, IO, 5s, 2022  96,560  7,444  --  --  --  -- 
Ser. 06-W3, Class 1AS, IO, 4.591s, 2046  1,315,637  83,938  3,856,590  246,050  3,862,611  246,435 
Ser. 03-W12, Class 2, IO, 2.219s, 2043  924,235  33,559  1,841,588  66,869  1,514,786  55,002 
Ser. 03-W10, Class 3, IO, 1.934s, 2043  282,242  11,503  1,158,824  47,229  904,107  36,848 
Ser. 03-W10, Class 1, IO, 1.913s, 2043  820,768  25,194  3,923,399  120,430  5,709,718  175,261 
Ser. 03-W8, Class 12, IO, 1.634s, 2042  1,263,685  47,873  4,484,016  169,872  3,452,537  130,795 
Ser. 03-W17, Class 12, IO, 1.148s, 2033  --  --  1,455,530  38,704  1,397,386  37,158 
Ser. 03-T2, Class 2, IO, 0.809s, 2042  598,165  11,474  5,757,337  110,439  4,093,691  78,526 
Ser. 03-W6, Class 51, IO, 0.671s, 2042  394,789  6,806  1,765,922  30,444  1,398,581  24,111 
Ser. 01-T12, Class IO, 0.565s, 2041  2,148,805  32,045  1,077,810  16,073  717,215  10,696 
Ser. 03-W2, Class 1, IO, 0.466s, 2042  282,211  3,227  9,908,742  113,295  7,933,265  90,707 
Ser. 02-T4, IO, 0.449s, 2041  5,817,560  64,616  6,114,657  67,915  3,866,564  42,946 
Ser. 01-50, Class B1, IO, 0.448s, 2041  2,738,597  32,523  1,936,446  22,997  1,296,452  15,396 
Ser. 02-T1, Class IO, IO, 0.425s, 2031  1,001,209  9,318  1,243,245  11,570  789,429  7,347 
Ser. 03-W6, Class 3, IO, 0.368s, 2042  559,358  4,864  2,501,743  21,753  1,981,472  17,229 
Ser. 03-W6, Class 23, IO, 0.352s, 2042  588,309  4,897  2,630,736  21,899  2,083,500  17,344 
Ser. 02-W8, Class 1, IO, 0.348s, 2042  1,115,340  6,588  --  --  --  -- 
Ser. 01-79, Class BI, IO, 0.325s, 2045  949,792  8,389  6,473,198  57,173  4,602,838  40,654 
Ser. 03-34, Class P1, Principal Only (PO), zero %, 2043  34,228  30,084  --  --  --  -- 
Ser. 08-33, PO, zero %, 2038  188,688  152,838  130,195  105,458  142,460  115,392 
Ser. 08-9, PO, zero %, 2038  --  --  93,211  76,433  102,174  83,783 
Ser. 07-64, Class LO, PO, zero %, 2037  --  --  --  --  633,977  552,225 
Ser. 07-47, Class B0, PO, zero %, 2037  --  --  88,765  79,748  119,640  107,487 
Ser. 07-14, Class KO, PO, zero %, 2037  --  --  230,155  190,240  178,471  147,519 
Ser. 06-125, Class MO, PO, zero %, 2037  --  --  354,971  282,280  274,366  218,182 
Ser. 06-125, Class OX, PO, zero %, 2037  --  --  84,824  77,320  82,354  75,068 
Ser. 06-116, Class OD, PO, zero %, 2036  --  --  88,367  70,737  --  -- 
Ser. 06-84, Class OT, PO, zero %, 2036  --  --  68,562  61,392  68,562  61,392 
Ser. 06-56, Class XF, zero %, 2036  --  --  72,905  68,843  72,905  68,843 
Ser. 06-46, Class OC, PO, zero %, 2036  --  --  84,946  77,220  --  -- 
Ser. 06-16, Class OG, PO, zero %, 2036  --  --  81,601  63,567  89,019  69,346 
Ser. 04-38, Class AO, PO, zero %, 2034  293,444  236,955  --  --  --  -- 
Ser. 04-61, Class CO, PO, zero %, 2031  198,577  171,769  --  --  --  -- 
Ser. 07-15, Class IM, IO, zero %, 2009  357,111  268  1,035,148  777  874,685  657 
Ser. 07-16, Class TS, IO, zero %, 2009  1,444,971  1,171  4,231,417  3,430  3,606,457  2,924 
FRB Ser. 07-76, Class SF, zero %, 2037  81,788  74,318  91,602  83,236  --  -- 
FRB Ser. 06-115, Class SN, zero %, 2036  78,144  53,799  431,355  296,969  368,059  253,392 
FRB Ser. 06-104, Class EK, zero %, 2036  52,316  44,133  69,057  58,256  94,692  79,881 
FRB Ser. 05-117, Class GF, zero %, 2036  99,957  83,419  111,123  92,737  97,299  81,201 
FRB Ser. 05-91, Class EF, zero %, 2035  86,342  81,927  --  --  --  -- 
FRB Ser. 05-79, Class FE, zero %, 2035  34,899  35,178  --  --  --  -- 
FRB Ser. 05-65, Class ER, zero %, 2035  159,640  140,051  --  --  --  -- 
FRB Ser. 06-54, Class CF, zero %, 2035  --  --  --  --  43,117  41,771 
FRB Ser. 05-57, Class UL, zero %, 2035  137,311  128,685  474,214  444,424  458,031  429,257 
FRB Ser. 05-36, Class QA, zero %, 2035  --  --  101,858  96,171  98,315  92,826 
FRB Ser. 05-65, Class CU, zero %, 2034  --  --  134,643  123,864  129,523  119,155 
FRB Ser. 05-81, Class DF, zero %, 2033  --  --  52,914  49,668  51,260  48,116 
FRB Ser. 06-1, Class HF, zero %, 2032  --  --  44,251  41,021  67,355  62,439 
IFB Ser. 06-75, Class FY, zero %, 2036  --  --  188,502  169,812  147,892  133,229 
Federal Home Loan Mortgage Corp. Structured             
Pass-Through Securities             
Ser. T-42, Class A6, 9 1/2s, 2042  14,531  15,780  --  --  36,466  39,600 
IFB Ser. T-56, Class 2ASI, IO, 7.629s, 2043  143,069  18,599  642,544  83,531  510,795  66,403 
Ser. T-58, Class 4A, 7 1/2s, 2043  435,811  453,516  --  --  77,956  81,123 
Ser. T-51, Class 2A, 7 1/2s, 2042  95,043  99,617  --  --  243,322  255,032 
Ser. T-42, Class A5, 7 1/2s, 2042  92,495  96,946  --  --  363,905  381,418 
Ser. T-60, Class 1A2, 7s, 2044  111,146  115,245  --  --  --  -- 
Ser. T-58, Class 3A, 7s, 2043  17,147  17,522  --  --  --  -- 
Ser. T-41, Class 2A, 6.984s, 2032  10,917  11,244  --  --  59,497  61,281 
Ser. T-56, Class A, IO, 0.524s, 2043  530,090  6,499  1,862,018  22,830  1,485,120  18,209 
Ser. T-56, Class 3, IO, 0.351s, 2043  490,602  5,093  1,629,311  16,913  1,331,068  13,817 
Ser. T-56, Class 1, IO, 0.283s, 2043  638,533  4,413  2,120,951  14,657  1,732,492  11,973 
Ser. T-56, Class 2, IO, 0.02s, 2043  579,782  1,088  1,925,270  3,614  1,572,799  2,953 
FFCA Secured Lending Corp. Ser. 99-1A, Class C1,             
7.59s, 2025  100,000  14,000  --  --  --  -- 
FFCA Secured Lending Corp. 144A             
Ser. 00-1, Class A2, 7.77s, 2027  95,274  19,055  324,223  64,845  171,347  34,269 
Ser. 00-1, Class X, IO, 1.314s, 2020  384,148  9,396  1,485,199  36,328  949,191  23,217 
First Horizon Alternative Mortgage Securities FRB Ser.             
05-AA10, Class 2A1, 5.742s, 2035  388,022  197,891  1,066,805  544,070  760,175  387,689 
First Union National Bank-Bank of America Commercial             
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.683s, 2033  --  --  6,353,916  153,613  5,659,327  136,820 
First Union-Lehman Brothers Commercial Mortgage Trust             
II             
Ser. 97-C2, Class F, 7 1/2s, 2029  --  --  580,000  569,543  538,000  528,300 
Ser. 97-C2, Class G, 7 1/2s, 2029  71,000  31,950  185,000  83,250  288,000  129,600 
First Union-Lehman Brothers-Bank of America 144A Ser.             
98-C2, Class G, 7s, 2035  --  --  717,000  420,761  703,000  412,546 
Freddie Mac             
IFB Ser. 3360, Class SB, 39.08s, 2037  --  --  --  --  355,286  468,647 
IFB Ser. 3339, Class WS, 36.995s, 2037  --  --  524,209  698,697  435,830  580,900 
IFB Ser. 3339, Class JS, 35.068s, 2037  --  --  453,950  585,776  377,622  487,283 
IFB Ser. 3153, Class SQ, 32.37s, 2036  389,169  497,857  --  --  --  -- 
IFB Ser. 3202, Class PS, 32.07s, 2036  --  --  246,219  312,574  416,348  528,550 
IFB Ser. 3349, Class SA, 31.83s, 2037  --  --  --  --  1,343,792  1,681,788 
IFB Ser. 3331, Class SE, 31.83s, 2037  --  --  373,833  465,644  324,269  403,907 
IFB Ser. 3202, Class HM, 27.275s, 2036  --  --  159,413  192,406  238,746  288,157 
IFB Ser. 3153, Class SX, 27.275s, 2036  239,687  298,516  206,903  257,686  --  -- 
IFB Ser. 3393, Class JS, 24.264s, 2032  304,998  327,629  --  --  --  -- 
IFB Ser. 3182, Class PS, 23.82s, 2032  218,494  266,407  --  --  408,827  498,479 
IFB Ser. 3182, Class SP, 23.82s, 2032  201,835  218,592  --  --  --  -- 
IFB Ser. 3081, Class DC, 23.782s, 2035  144,064  165,029  275,161  315,205  275,161  315,205 
IFB Ser. 3211, Class SI, IO, 22.641s, 2036  188,701  79,615  --  --  --  -- 
IFB Ser. 3360, Class SC, 22.394s, 2037  --  --  870,642  953,353  668,919  732,466 
IFB Ser. 3114, Class GK, 21.62s, 2036  --  --  174,684  203,055  191,540  222,648 
IFB Ser. 3408, Class EK, 20.985s, 2037  106,734  116,956  2,208,575  2,420,095  1,984,160  2,174,187 
IFB Ser. 2976, Class KL, 20.002s, 2035  153,811  172,787  491,156  551,749  471,093  529,212 
IFB Ser. 2990, Class DP, 19.892s, 2034  71,343  77,492  422,352  458,751  407,370  442,477 
IFB Ser. 2979, Class AS, 19.892s, 2034  --  --  119,651  130,482  120,331  131,223 

IFB Ser. 3153, Class UT, 19.635s, 2036  155,420  171,830  127,444  140,901  --  -- 
IFB Ser. 3012, Class ST, 17.658s, 2035  72,115  76,477  --  --  --  -- 
IFB Ser. 3149, Class SU, 16.376s, 2036  --  --  378,660  402,683  317,683  337,837 
IFB Ser. 3065, Class DC, 16.275s, 2035  157,319  167,233  --  --  449,702  478,042 
IFB Ser. 2990, Class WP, 13.945s, 2035  59,571  61,634  281,177  290,911  271,646  281,049 
IFB Ser. 2990, Class LB, 13.891s, 2034  149,873  156,387  508,551  530,653  486,725  507,878 
IFB Ser. 3012, Class FS, 13.888s, 2035  73,893  76,017  71,741  73,803  71,741  73,803 
IFB Ser. 3031, Class BS, 13.737s, 2035  177,729  182,591  --  --  --  -- 
IFB Ser. 2927, Class SI, IO, 7s, 2035  184,350  18,045  655,709  64,186  629,767  61,646 
IFB Ser. 2828, Class GI, IO, 6.305s, 2034  217,334  24,436  712,495  80,108  711,685  80,017 
IFB Ser. 3184, Class SP, IO, 6.155s, 2033  163,262  13,209  1,539,898  124,587  1,237,149  100,093 
IFB Ser. 2869, Class SH, IO, 6.105s, 2034  100,181  6,546  345,431  22,572  331,735  21,677 
IFB Ser. 2869, Class JS, IO, 6.055s, 2034  457,483  28,950  1,499,784  94,908  1,498,079  94,800 
IFB Ser. 239, IO, 6.005s, 2036  215,911  12,706  --  --  1,415,335  83,292 
IFB Ser. 2882, Class LS, IO, 6.005s, 2034  196,091  16,049  1,065,299  87,190  941,127  77,027 
IFB Ser. 3203, Class SH, IO, 5.945s, 2036  93,506  7,740  883,445  73,127  709,898  58,762 
IFB Ser. 2815, Class PT, IO, 5.855s, 2032  217,957  17,436  774,468  61,955  743,762  59,498 
IFB Ser. 2594, Class SE, IO, 5.855s, 2030  210,247  12,447  --  --  --  -- 
IFB Ser. 2828, Class TI, IO, 5.855s, 2030  123,920  10,042  377,367  30,582  378,489  30,673 
IFB Ser. 3397, Class GS, IO, 5.805s, 2037  170,889  14,545  823,156  70,062  707,625  60,229 
IFB Ser. 3297, Class BI, IO, 5.565s, 2037  1,190,187  93,567  3,127,662  245,881  2,626,706  206,498 
IFB Ser. 3287, Class SD, IO, 5.555s, 2037  499,692  38,901  1,455,452  113,306  1,139,774  88,730 
IFB Ser. 3281, Class BI, IO, 5.555s, 2037  246,592  20,601  599,775  50,107  503,524  42,066 
IFB Ser. 3281, Class CI, IO, 5.555s, 2037  193,417  15,852  900,012  73,761  777,567  63,726 
IFB Ser. 3249, Class SI, IO, 5.555s, 2036  261,490  28,489  522,981  56,978  435,817  47,481 
IFB Ser. 3028, Class ES, IO, 5.555s, 2035  629,133  53,269  --  --  1,254,647  106,231 
IFB Ser. 2922, Class SE, IO, 5.555s, 2035  269,066  26,807  936,591  93,313  897,951  89,463 
IFB Ser. 3045, Class DI, IO, 5.535s, 2035  306,778  22,516  2,256,381  165,609  3,368,288  247,219 
IFB Ser. 3236, Class ES, IO, 5.505s, 2036  360,871  29,726  931,584  76,736  1,053,568  86,784 
IFB Ser. 3136, Class NS, IO, 5.505s, 2036  949,632  75,007  1,282,371  101,288  1,431,073  113,033 
IFB Ser. 3118, Class SD, IO, 5.505s, 2036  433,423  33,421  1,508,946  116,354  1,446,593  111,546 
IFB Ser. 2927, Class ES, IO, 5.505s, 2035  143,712  9,676  509,475  34,301  489,485  32,955 
IFB Ser. 2950, Class SM, IO, 5.505s, 2016  210,816  19,086  1,181,705  106,986  1,083,759  98,119 
IFB Ser. 248, IO, 5 1/2s, 2037  1,457,169  141,783  --  --  --  -- 
IFB Ser. 3256, Class S, IO, 5.495s, 2036  180,159  14,971  1,694,767  140,835  1,361,553  113,145 
IFB Ser. 3031, Class BI, IO, 5.495s, 2035  141,446  13,063  397,465  36,708  398,880  36,839 
IFB Ser. 3370, Class TS, IO, 5.475s, 2037  1,073,224  92,314  263,846  22,695  163,378  14,053 
IFB Ser. 3244, Class SB, IO, 5.465s, 2036  325,925  27,568  856,537  72,449  719,554  60,863 
IFB Ser. 3244, Class SG, IO, 5.465s, 2036  379,953  29,104  998,306  76,468  838,130  64,199 
IFB Ser. 3236, Class IS, IO, 5.455s, 2036  589,787  44,234  1,550,809  116,311  1,301,572  97,618 
IFB Ser. 3033, Class SG, IO, 5.455s, 2035  375,815  31,158  --  --  --  -- 
IFB Ser. 2962, Class BS, IO, 5.455s, 2035  641,155  43,663  2,246,633  152,996  2,140,190  145,747 
IFB Ser. 3114, Class TS, IO, 5.455s, 2030  744,187  59,441  2,409,780  192,479  2,428,516  193,975 
IFB Ser. 3128, Class JI, IO, 5.435s, 2036  527,000  42,476  1,442,853  116,294  1,635,087  131,788 
IFB Ser. 2990, Class LI, IO, 5.435s, 2034  216,811  18,646  766,532  65,924  733,661  63,097 
IFB Ser. 3240, Class S, IO, 5.425s, 2036  1,194,446  86,588  3,481,182  252,358  2,742,512  198,810 
IFB Ser. 3229, Class BI, IO, 5.425s, 2036  77,921  5,826  260,240  19,456  330,595  24,716 
IFB Ser. 3153, Class JI, IO, 5.425s, 2036  328,338  24,001  1,561,975  114,180  1,322,839  96,700 
IFB Ser. 3065, Class DI, IO, 5.425s, 2035  73,433  6,541  310,623  27,666  312,091  27,797 
IFB Ser. 3145, Class GI, IO, 5.405s, 2036  433,642  36,036  1,187,280  98,663  1,345,784  111,835 
IFB Ser. 3114, Class GI, IO, 5.405s, 2036  147,512  12,995  417,458  36,775  459,499  40,479 
IFB Ser. 3339, Class JI, IO, 5.395s, 2037  1,062,163  71,059  2,973,574  198,932  2,549,352  170,552 
IFB Ser. 3218, Class AS, IO, 5.385s, 2036  117,924  8,461  1,125,506  80,753  944,141  67,740 
IFB Ser. 3221, Class SI, IO, 5.385s, 2036  477,319  34,388  1,254,711  90,394  1,053,192  75,876 
IFB Ser. 3153, Class UI, IO, 5 3/8s, 2036  2,117,728  198,230  470,781  44,067  2,781,528  260,365 
IFB Ser. 3202, Class PI, IO, 5.345s, 2036  1,326,570  97,220  3,487,271  255,572  2,928,073  214,590 
IFB Ser. 3355, Class MI, IO, 5.305s, 2037  200,574  15,112  938,716  70,728  805,542  60,694 
IFB Ser. 3201, Class SG, IO, 5.305s, 2036  607,921  55,722  1,599,247  146,587  1,342,953  123,095 
IFB Ser. 3203, Class SE, IO, 5.305s, 2036  545,647  47,455  1,433,143  124,640  1,203,781  104,693 
IFB Ser. 3238, Class LI, IO, 5.295s, 2036  573,124  45,472  --  --  --  -- 
IFB Ser. 3171, Class PS, IO, 5.29s, 2036  302,238  23,998  1,450,742  115,189  1,226,222  97,362 
IFB Ser. 3152, Class SY, IO, 5.285s, 2036  397,571  36,056  1,109,251  100,598  1,217,749  110,438 
IFB Ser. 3366, Class SA, IO, 5.255s, 2037  1,054,124  78,748  --  --  --  -- 
IFB Ser. 3284, Class BI, IO, 5.255s, 2037  376,281  29,009  989,152  76,259  830,888  64,057 
IFB Ser. 3260, Class SA, IO, 5.255s, 2037  280,802  18,577  1,053,007  69,663  842,405  55,730 
IFB Ser. 3199, Class S, IO, 5.255s, 2036  276,608  21,993  731,201  58,138  1,069,449  85,032 
IFB Ser. 3284, Class LI, IO, 5.245s, 2037  1,537,815  108,834  4,709,460  333,298  3,662,913  259,232 
IFB Ser. 3281, Class AI, IO, 5.235s, 2037  1,462,249  119,802  4,247,095  347,964  3,343,457  273,929 
IFB Ser. 3012, Class UI, IO, 5.225s, 2035  89,273  8,789  --  --  --  -- 
IFB Ser. 3311, Class EI, IO, 5.215s, 2037  116,894  8,794  1,138,130  85,619  1,010,363  76,007 
IFB Ser. 3311, Class IA, IO, 5.215s, 2037  301,868  25,544  1,475,232  124,834  1,235,613  104,558 
IFB Ser. 3311, Class IB, IO, 5.215s, 2037  301,868  25,544  1,475,232  124,834  1,235,613  104,558 
IFB Ser. 3311, Class IC, IO, 5.215s, 2037  301,868  25,544  1,475,232  124,834  1,235,613  104,558 
IFB Ser. 3311, Class ID, IO, 5.215s, 2037  301,868  25,544  1,475,232  124,834  1,235,613  104,558 
IFB Ser. 3311, Class IE, IO, 5.215s, 2037  301,868  25,544  2,185,560  184,942  1,813,768  153,481 
IFB Ser. 3375, Class MS, IO, 5.205s, 2037  536,678  39,974  --  --  --  -- 
IFB Ser. 3240, Class GS, IO, 5.185s, 2036  730,308  58,410  2,105,463  168,395  1,662,617  132,976 
IFB Ser. 3257, Class SI, IO, 5 1/8s, 2036  319,908  23,982  913,104  68,452  717,784  53,810 
IFB Ser. 3225, Class JY, IO, 5.095s, 2036  1,394,917  95,164  3,987,023  272,003  3,135,861  213,935 
IFB Ser. 3416, Class BI, IO, 5.055s, 2038  2,232,850  165,403  --  --  --  -- 
IFB Ser. 3339, Class TI, IO, 4.945s, 2037  206,218  16,035  1,944,338  151,192  1,562,228  121,479 
IFB Ser. 3284, Class CI, IO, 4.925s, 2037  1,116,361  74,963  3,257,159  218,715  2,554,050  171,502 
IFB Ser. 3016, Class SQ, IO, 4.915s, 2035  247,299  13,700  748,581  41,470  827,571  45,846 
IFB Ser. 3012, Class WI, IO, 4.905s, 2035  147,431  10,577  --  --  --  -- 
IFB Ser. 3012, Class IG, IO, 4.885s, 2035  343,734  26,967  --  --  --  -- 
IFB Ser. 3397, Class SQ, IO, 4.775s, 2037  735,011  49,247  3,424,077  229,420  2,957,076  198,130 
IFB Ser. 3226, Class YS, IO, 4.655s, 2036  357,222  7,576  --  --  --  -- 
IFB Ser. 3424, Class UI, IO, 4.565s, 2037  782,806  48,210  --  --  --  -- 
Ser. 3327, Class IF, IO, zero %, 2037  214,992  5,633  460,698  12,070  377,449  9,889 
Ser. 246, PO, zero %, 2037  100,769  93,241  --  --  --  -- 
Ser. 3391, PO, zero %, 2037  --  --  85,959  70,099  85,959  70,099 
Ser. 3292, Class DO, PO, zero %, 2037  --  --  177,277  161,206  141,192  128,392 
Ser. 3292, Class OA, PO, zero %, 2037  --  --  83,356  65,959  83,356  65,959 
Ser. 3296, Class OK, PO, zero %, 2037  --  --  111,436  100,153  86,577  77,811 
Ser. 3274, Class MO, PO, zero %, 2037  --  --  84,649  75,104  113,429  100,640 
Ser. 3300, PO, zero %, 2037  --  --  --  --  568,275  480,192 
Ser. 3252, Class LO, PO, zero %, 2036  --  --  409,222  356,305  265,649  231,298 
Ser. 3255, Class CO, PO, zero %, 2036  78,256  63,275  --  --  --  -- 
Ser. 3226, Class YI, IO, zero %, 2036  357,222  1,834  --  --  --  -- 
Ser. 3218, Class AO, PO, zero %, 2036  --  --  72,135  57,925  72,135  57,925 
Ser. 3206, Class EO, PO, zero %, 2036  --  --  70,609  61,594  70,609  61,594 
Ser. 3139, Class CO, PO, zero %, 2036  --  --  307,422  279,321  244,844  222,464 
Ser. 2587, Class CO, PO, zero %, 2032  92,973  82,694  --  --  913,928  812,882 
Ser. 1208, Class F, PO, zero %, 2022  6,623  5,903  --  --  --  -- 
FRB Ser. 3349, Class DO, zero %, 2037  --  --  266,775  240,905  224,892  203,083 
FRB Ser. 3326, Class XF, zero %, 2037  --  --  493,719  459,994  420,734  391,995 
FRB Ser. 3326, Class YF, zero %, 2037  --  --  890,118  819,820  803,322  739,879 
FRB Ser. 3263, Class TA, zero %, 2037  --  --  126,611  108,988  102,571  88,294 
FRB Ser. 3241, Class FH, zero %, 2036  124,290  118,555  245,473  234,147  199,485  190,281 
FRB Ser. 3231, Class XB, zero %, 2036  --  --  182,751  177,874  148,485  144,522 
FRB Ser. 3283, Class HF, zero %, 2036  --  --  58,304  55,810  --  -- 
FRB Ser. 3231, Class X, zero %, 2036  --  --  102,419  94,540  111,109  102,562 
FRB Ser. 3147, Class SF, zero %, 2036  --  --  621,508  444,496  463,952  331,814 
FRB Ser. 3130, Class JF, zero %, 2036  81,664  75,423  --  --  --  -- 
FRB Ser. 3117, Class AF, zero %, 2036  --  --  76,293  63,766  --  -- 
FRB Ser. 3326, Class WF, zero %, 2035  255,094  225,297  509,297  449,807  531,596  469,500 
FRB Ser. 3036, Class AS, zero %, 2035  --  --  79,124  71,723  --  -- 
FRB Ser. 3003, Class XF, zero %, 2035  125,396  111,382  446,407  396,518  430,733  382,596 
FRB Ser. 3112, Class XM, zero %, 2034  41,019  39,536  --  --  --  -- 
GE Capital Commercial Mortgage Corp. 144A             
Ser. 07-C1, Class XC, IO, 0.093s, 2019  25,581,079  80,630  71,511,987  225,401  56,367,486  177,666 
Ser. 05-C2, Class XC, IO, 0.082s, 2043  11,610,108  48,569  20,578,446  86,086  19,788,100  82,780 
Ser. 05-C3, Class XC, IO, 0.064s, 2045  24,896,282  62,099  48,363,121  120,633  48,736,703  121,564 
GMAC Commercial Mortgage Securities, Inc.             
Ser. 99-C3, Class F, 7.896s, 2036  56,000  55,782  75,000  74,708  112,000  111,563 
Ser. 97-C1, Class X, IO, 1.252s, 2029  344,531  22,050  --  --  --  -- 
Ser. 05-C1, Class X1, IO, 0.185s, 2043  4,373,084  29,941  18,394,380  125,942  19,978,484  136,787 
GMAC Commercial Mortgage Securities, Inc. 144A             
Ser. 99-C3, Class G, 6.974s, 2036  --  --  350,039  105,012  306,364  91,909 
Ser. 06-C1, Class XC, IO, 0.07s, 2045  19,674,537  52,239  --  --  35,740,253  94,895 
Government National Mortgage Association             
IFB Ser. 07-38, Class AS, 43.36s, 2037  234,186  304,970  --  --  858,682  1,118,222 
IFB Ser. 06-34, Class SA, 36.495s, 2036  --  --  91,281  110,045  85,486  103,058 
IFB Ser. 07-51, Class SP, 36.435s, 2037  104,351  128,031  200,066  245,465  335,363  411,464 
IFB Ser. 07-44, Class SP, 33.77s, 2036  --  --  653,490  788,046  515,166  621,241 
IFB Ser. 05-84, Class SL, 17.367s, 2035  179,386  193,613  --  --  --  -- 
IFB Ser. 05-66, Class SP, 17.367s, 2035  --  --  268,882  278,611  270,405  280,189 
IFB Ser. 05-84, Class SB, 15.731s, 2035  71,939  73,086  --  --  --  -- 
IFB Ser. 05-7, Class JM, 14.776s, 2034  136,814  143,560  471,572  494,824  455,271  477,719 
IFB Ser. 05-68, Class DP, 14.117s, 2035  100,225  103,246  --  --  --  -- 
Ser. 07-17, Class CI, IO, 7 1/2s, 2037  332,456  30,752  --  --  --  -- 
IFB Ser. 08-29, Class SA, IO, 7.273s, 2038  612,457  45,678  --  --  --  -- 
IFB Ser. 06-69, Class SI, IO, 6.873s, 2036  658,158  48,789  --  --  --  -- 
IFB Ser. 06-61, Class SM, IO, 6.873s, 2036  202,613  14,987  --  --  --  -- 
IFB Ser. 06-62, Class SI, IO, 6.873s, 2036  412,057  28,596  1,084,194  75,240  909,960  63,148 
IFB Ser. 07-1, Class SL, IO, 6.853s, 2037  216,689  15,761  581,813  42,318  456,571  33,208 
IFB Ser. 07-1, Class SM, IO, 6.843s, 2037  216,689  15,733  581,813  42,244  456,571  33,150 
IFB Ser. 06-62, Class SA, IO, 6.833s, 2036  176,012  12,708  --  --  --  -- 

IFB Ser. 06-64, Class SB, IO, 6.833s, 2036  177,110  13,426  --  --  --  -- 
IFB Ser. 05-68, Class PU, IO, 6.793s, 2032  569,242  56,008  --  --  --  -- 
IFB Ser. 07-49, Class NY, IO, 6.593s, 2035  1,011,136  71,403  2,449,074  172,946  2,462,812  173,916 
IFB Ser. 07-35, Class TY, IO, 6.393s, 2035  --  --  2,000,160  127,590  1,627,118  103,794 
IFB Ser. 07-36, Class SW, IO, 6.393s, 2035  317,079  19,174  --  --  --  -- 
IFB Ser. 07-26, Class SG, IO, 6.343s, 2037  628,616  38,628  1,652,652  101,555  1,387,349  85,253 
IFB Ser. 07-9, Class BI, IO, 6.313s, 2037  678,850  43,304  2,966,391  189,226  2,545,686  162,389 
IFB Ser. 07-31, Class CI, IO, 6.303s, 2037  135,686  9,322  814,111  55,932  678,426  46,610 
IFB Ser. 07-25, Class SA, IO, 6.293s, 2037  221,831  14,352  1,097,198  70,984  920,531  59,555 
IFB Ser. 07-25, Class SB, IO, 6.293s, 2037  367,946  23,269  2,143,256  135,540  1,797,891  113,699 
IFB Ser. 07-22, Class S, IO, 6.293s, 2037  358,406  27,711  934,000  72,213  786,527  60,811 
IFB Ser. 07-11, Class SA, IO, 6.293s, 2037  94,733  6,939  905,488  66,330  759,442  55,631 
IFB Ser. 07-14, Class SB, IO, 6.293s, 2037  181,154  11,316  1,699,403  106,158  1,446,101  90,335 
IFB Ser. 06-69, Class SA, IO, 6.293s, 2036  1,257,620  89,761  --  --  --  -- 
IFB Ser. 05-84, Class AS, IO, 6.293s, 2035  833,567  68,183  255,306  20,883  194,715  15,927 
IFB Ser. 07-51, Class SJ, IO, 6.243s, 2037  241,902  18,489  1,156,680  88,405  979,656  74,875 
IFB Ser. 07-53, Class SY, IO, 6.228s, 2037  1,615,857  124,747  439,753  33,950  375,193  28,966 
IFB Ser. 07-58, Class PS, IO, 6.193s, 2037  626,824  46,771  483,255  36,059  3,348,063  249,819 
IFB Ser. 06-59, Class SD, IO, 6.193s, 2036  --  --  --  --  13,355,145  861,180 
IFB Ser. 04-88, Class S, IO, 6.193s, 2032  764,346  48,626  78,041  4,965  57,383  3,651 
IFB Ser. 07-59, Class PS, IO, 6.163s, 2037  189,019  13,549  907,480  65,047  756,077  54,195 
IFB Ser. 07-59, Class SP, IO, 6.163s, 2037  590,567  42,999  3,992,912  290,720  1,512,153  110,098 
IFB Ser. 04-59, Class SC, IO, 6.16s, 2034  148,080  12,759  704,242  60,680  596,671  51,411 
IFB Ser. 04-26, Class IS, IO, 6.16s, 2034  658,426  52,407  82,776  6,589  62,607  4,983 
IFB Ser. 07-68, Class PI, IO, 6.143s, 2037  189,894  14,352  1,329,257  100,467  1,044,416  78,939 
IFB Ser. 06-38, Class SG, IO, 6.143s, 2033  661,688  35,453  3,239,239  173,558  2,718,588  145,662 
IFB Ser. 07-53, Class SG, IO, 6.093s, 2037  145,026  9,498  646,817  42,361  547,474  35,855 
IFB Ser. 07-47, Class SA, IO, 6.06s, 2036  853,040  78,580  --  --  --  -- 
IFB Ser. 08-3, Class SA, IO, 6.043s, 2038  730,225  41,126  1,919,696  108,117  1,612,482  90,815 
IFB Ser. 07-79, Class SY, IO, 6.043s, 2037  403,475  25,459  3,893,538  245,682  3,383,217  213,481 
IFB Ser. 07-64, Class AI, IO, 6.043s, 2037  3,653,105  212,318  14,174,049  823,796  7,525,397  437,376 
IFB Ser. 07-53, Class ES, IO, 6.043s, 2037  190,384  11,291  915,778  54,311  775,087  45,968 
IFB Ser. 07-10, Class SB, IO, 6.013s, 2037  3,616,033  207,850  --  --  --  -- 
IFB Ser. 08-4, Class SA, IO, 6.009s, 2038  2,122,931  124,098  4,415,223  258,096  3,964,641  231,757 
IFB Ser. 07-67, Class SI, IO, 6.003s, 2037  494,567  28,820  6,491,754  378,294  1,791,136  104,375 
IFB Ser. 07-9, Class DI, IO, 6.003s, 2037  341,856  22,071  1,495,132  96,527  1,282,945  82,828 
IFB Ser. 07-57, Class QA, IO, 5.993s, 2037  466,612  23,914  2,255,047  115,571  1,876,752  96,184 
IFB Ser. 07-58, Class SA, IO, 5.993s, 2037  949,650  55,961  731,231  43,090  5,068,941  298,703 
IFB Ser. 07-58, Class SC, IO, 5.993s, 2037  350,960  19,194  1,646,958  90,072  1,408,944  77,055 
IFB Ser. 07-61, Class SA, IO, 5.993s, 2037  248,829  12,835  1,207,967  62,307  1,005,655  51,872 
IFB Ser. 07-53, Class SC, IO, 5.993s, 2037  212,138  11,829  1,011,397  56,395  854,165  47,628 
IFB Ser. 07-53, Class SE, IO, 5.993s, 2037  145,026  9,315  217,539  13,973  --  -- 
IFB Ser. 06-26, Class S, IO, 5.993s, 2036  4,937,525  317,473  621,409  39,955  471,009  30,285 
IFB Ser. 06-28, Class GI, IO, 5.993s, 2035  270,017  19,758  1,634,741  119,622  1,247,609  91,294 
IFB Ser. 07-58, Class SD, IO, 5.983s, 2037  287,142  15,503  1,581,844  85,404  1,342,773  72,496 
IFB Ser. 07-59, Class SD, IO, 5.963s, 2037  921,054  53,295  6,226,327  360,274  2,357,899  136,435 
IFB Ser. 07-36, Class SA, IO, 5.963s, 2037  --  --  1,956,375  103,301  1,675,126  88,451 
IFB Ser. 07-36, Class SG, IO, 5.963s, 2037  11,903,208  1,059,262  --  --  --  -- 
IFB Ser. 06-49, Class SA, IO, 5.953s, 2036  1,500,276  83,745  --  --  --  -- 
IFB Ser. 07-35, Class NY, IO, 5.86s, 2035  589,860  54,189  93,628  8,601  --  -- 
IFB Ser. 05-65, Class SI, IO, 5.843s, 2035  133,911  8,236  862,431  53,040  866,840  53,311 
IFB Ser. 06-16, Class SX, IO, 5.783s, 2036  1,729,456  101,087  217,468  12,711  164,645  9,623 
IFB Ser. 07-26, Class SD, IO, 5.76s, 2037  325,780  19,742  1,597,081  96,783  1,338,394  81,107 
IFB Ser. 07-17, Class IB, IO, 5.743s, 2037  143,334  10,938  860,005  65,627  716,671  54,689 
IFB Ser. 06-10, Class SM, IO, 5.743s, 2036  1,247,732  72,231  --  --  4,249,812  246,022 
IFB Ser. 06-14, Class S, IO, 5.743s, 2036  286,123  16,506  1,373,389  79,227  1,162,908  67,085 
IFB Ser. 05-57, Class PS, IO, 5.743s, 2035  1,065,362  107,773  --  --  --  -- 
IFB Ser. 06-11, Class ST, IO, 5.733s, 2036  180,057  10,319  860,577  49,320  729,128  41,786 
IFB Ser. 07-26, Class SW, IO, 5.693s, 2037  2,507,221  137,529  --  --  11,194,352  614,044 
IFB Ser. 07-27, Class SD, IO, 5.693s, 2037  307,123  25,198  802,376  65,830  673,411  55,249 
IFB Ser. 07-19, Class SJ, IO, 5.693s, 2037  272,238  15,359  1,343,524  75,799  1,127,565  63,615 
IFB Ser. 07-23, Class ST, IO, 5.693s, 2037  186,202  10,190  1,777,381  97,267  1,490,969  81,593 
IFB Ser. 07-8, Class SA, IO, 5.693s, 2037  489,595  26,954  1,435,674  79,038  1,093,509  60,201 
IFB Ser. 07-9, Class CI, IO, 5.693s, 2037  443,990  22,910  1,940,084  100,108  1,664,797  85,904 
IFB Ser. 07-7, Class EI, IO, 5.693s, 2037  608,326  34,325  1,504,080  84,869  1,210,745  68,318 
IFB Ser. 07-7, Class JI, IO, 5.693s, 2037  248,655  13,054  2,364,872  124,156  1,983,953  104,158 
IFB Ser. 07-1, Class S, IO, 5.693s, 2037  674,418  38,175  1,775,186  100,483  1,489,685  84,322 
IFB Ser. 07-3, Class SA, IO, 5.693s, 2037  644,132  36,346  1,694,887  95,636  1,422,539  80,268 
IFB Ser. 05-17, Class S, IO, 5.673s, 2035  887,185  53,204  111,817  6,706  84,519  5,069 
IFB Ser. 07-48, Class SB, IO, 5.61s, 2037  138,597  8,678  1,320,750  82,699  1,108,151  69,387 
IFB Ser. 05-3, Class SN, IO, 5.593s, 2035  2,492,822  181,314  199,692  14,524  144,539  10,513 
IFB Ser. 07-74, Class SI, IO, 5.53s, 2037  933,543  48,367  117,195  6,072  89,100  4,616 
IFB Ser. 07-17, Class AI, IO, 5.51s, 2037  704,290  53,306  3,883,781  293,956  3,233,332  244,724 
IFB Ser. 07-73, Class MI, IO, 5.493s, 2037  --  --  6,680,090  343,303  2,559,545  131,540 
IFB Ser. 04-41, Class SG, IO, 5.493s, 2034  2,330,803  129,214  293,605  16,277  221,895  12,301 
IFB Ser. 07-78, Class SA, IO, 5.49s, 2037  696,384  46,138  --  --  --  -- 
IFB Ser. 08-2, Class SM, IO, 5.46s, 2038  2,271,226  148,815  285,807  18,727  215,923  14,148 
IFB Ser. 07-9, Class AI, IO, 5.46s, 2037  406,614  26,477  1,552,791  101,110  1,237,899  80,606 
IFB Ser. 08-40, Class SA, IO, 5.36s, 2038  7,166,315  503,434  1,725,659  121,228  1,521,578  106,891 
IFB Ser. 05-71, Class SA, IO, 5.32s, 2035  1,054,840  76,092  124,728  8,997  92,655  6,684 
IFB Ser. 07-17, Class IC, IO, 5.21s, 2037  741,297  53,975  2,172,239  158,165  1,654,277  120,451 
IFB Ser. 07-25, Class KS, IO, 5.16s, 2037  319,722  25,686  638,562  51,302  465,930  37,433 
IFB Ser. 07-21, Class S, IO, 5.16s, 2037  372,524  21,977  1,842,460  108,694  1,550,563  91,474 
IFB Ser. 07-31, Class AI, IO, 5.14s, 2037  237,534  17,612  1,149,149  85,204  987,736  73,236 
IFB Ser. 07-62, Class S, IO, 5.11s, 2037  1,039,034  60,285  131,212  7,613  99,229  5,757 
IFB Ser. 07-43, Class SC, IO, 5.06s, 2037  142,677  8,621  1,330,480  80,389  1,085,188  65,568 
IFB Ser. 07-67, Class EI, IO, 0.02s, 2037  --  --  3,500,586  1,197  1,327,015  454 
IFB Ser. 07-67, Class GI, IO, 0.02s, 2037  1,071,563  367  10,250,020  3,507  3,885,250  1,329 
Ser. 07-73, Class MO, PO, zero %, 2037  --  --  514,246  441,820  196,495  168,820 
Ser. 99-31, Class MP, PO, zero %, 2029  10,746  9,131  50,769  43,139  25,384  21,569 
FRB Ser. 07-73, Class KI, IO, zero %, 2037  --  --  5,138,812  15,088  1,968,600  5,780 
FRB Ser. 07-73, Class KM, zero %, 2037  --  --  513,516  374,630  197,225  143,884 
FRB Ser. 07-49, Class UF, zero %, 2037  55,108  50,828  105,746  97,535  88,370  81,508 
FRB Ser. 07-33, Class TB, zero %, 2037  419,297  400,477  --  --  --  -- 
FRB Ser. 07-35, Class UF, zero %, 2037  79,665  68,301  165,908  142,243  136,673  117,178 
FRB Ser. 07-22, Class TA, zero %, 2037  124,623  117,483  127,992  120,658  110,028  103,723 
FRB Ser. 07-6, Class TD, zero %, 2037  354,921  340,877  --  --  --  -- 
FRB Ser. 98-2, Class EA, PO, zero %, 2028  14,312  11,830  2,731  2,257  --  -- 
Greenpoint Mortgage Funding Trust Ser. 05-AR1,             
Class X1, IO, 3.271s, 2045  385,676  8,919  1,071,419  24,777  1,024,761  23,698 
Greenwich Capital Commercial Funding Corp.             
Ser. 07-GG9, Class A2, 5.381s, 2039  915,000  710,769  --  --  --  -- 
Ser. 05-GG5, Class XC, IO, 0.067s, 2037  12,749,359  54,822  40,610,128  174,624  40,721,480  175,102 
Greenwich Capital Commercial Funding Corp. 144A             
Ser. 07-GG9, Class X, IO, 0.323s, 2039  3,156,415  33,142  17,154,214  180,119  8,779,685  92,187 
Ser. 05-GG3, Class XC, IO, 0.226s, 2042  10,293,419  100,876  28,449,692  278,807  24,329,812  238,432 
GS Mortgage Securities Corp. II             
FRB Ser. 07-GG10, Class A3, 5.799s, 2045  318,000  212,864  1,426,000  954,540  1,118,000  748,370 
Ser. 06-GG6, Class A2, 5.506s, 2038  366,000  320,908  601,000  526,955  --  -- 
GS Mortgage Securities Corp. II 144A             
Ser. 98-C1, Class F, 6s, 2030  --  --  280,000  224,000  282,000  225,600 
FRB Ser. 07-EOP, Class J, 2.726s, 2009  130,000  78,000  383,000  229,800  240,000  144,000 
Ser. 06-GG8, Class X, IO, 0.666s, 2039  2,179,310  87,172  10,077,944  403,118  8,425,806  337,032 
Ser. 04-C1, Class X1, IO, 0.478s, 2028  2,683,854  19,055  3,656,476  25,961  3,656,476  25,961 
Ser. 03-C1, Class X1, IO, 0.237s, 2040  5,208,904  78,695  4,283,528  64,715  6,173,208  93,264 
Ser. 05-GG4, Class XC, IO, 0.193s, 2039  8,326,616  188,182  22,607,459  510,929  21,770,146  492,005 
Ser. 06-GG6, Class XC, IO, 0.046s, 2038  3,454,779  12,092  34,569,567  120,993  24,977,359  87,421 
GSMPS Mortgage Loan Trust             
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  30,163  27,353  --  --  59,487  53,947 
Ser. 05-RP3, Class 1A3, 8s, 2035  102,261  91,210  --  --  200,664  178,978 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  82,611  72,919  --  --  161,918  142,921 
GSMPS Mortgage Loan Trust 144A             
Ser. 05-RP2, Class 1A3, 8s, 2035  63,588  61,914  173,577  169,009  166,273  161,897 
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  69,205  66,660  190,692  183,677  182,041  175,345 
Ser. 05-RP1, Class 1A2, 7 1/2s, 2035  88,119  78,823  --  --  --  -- 
IFB Ser. 04-4, Class 1AS, IO, 4.7s, 2034  2,504,610  162,800  1,548,228  100,635  7,531,315  489,535 
GSR Mortgage Loan Trust Ser. 05-AR2, Class 2A1,             
4.833s, 2035  155,796  102,825  370,917  244,805  389,768  257,247 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,             
2035 (Cayman Islands)  --  --  46,370  927  50,919  1,018 
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1,             
6.129s, 2037  2,879,593  1,295,817  3,763,883  1,693,747  1,508,358  678,761 
HVB Mortgage Capital Corp. Ser. 03-FL1A, Class K,             
4.675s, 2022  118,000  56,497  --  --  --  -- 
IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,             
0.581s, 2037  683,744  462,302  2,762,410  1,867,756  2,323,463  1,570,970 
IndyMac Indx Mortgage Loan Trust             
FRB Ser. 06-AR25, Class 5A1, 6.281s, 2036  724,862  336,151  503,312  233,408  473,206  219,447 
FRB Ser. 07-AR15, Class 1A1, 6.161s, 2037  2,341,598  1,006,887  1,673,549  719,626  1,574,198  676,905 
FRB Ser. 07-AR9, Class 2A1, 5.921s, 2037  2,411,095  1,084,993  1,704,210  766,894  1,582,672  712,202 
FRB Ser. 05-AR31, Class 3A1, 5.601s, 2036  3,544,807  1,878,748  --  --  --  -- 
FRB Ser. 07-AR11, Class 1A1, 5.584s, 2037  747,112  343,672  1,594,436  733,441  1,391,329  640,011 
FRB Ser. 05-AR5, Class 4A1, 5.486s, 2035  3,249,612  1,580,264  --  --  --  -- 
JPMorgan Alternative Loan Trust             
FRB Ser. 06-A3, Class 2A1, 6.067s, 2036  1,256,637  639,519  --  --  --  -- 
FRB Ser. 06-A1, Class 5A1, 5.939s, 2036  1,674,735  803,873  1,183,556  568,107  1,099,067  527,552 
FRB Ser. 06-A6, Class 1A1, 0.631s, 2036  1,128,668  490,364  782,847  340,118  736,611  320,030 
JPMorgan Chase Commercial Mortgage Securities Corp.             

Ser. 97-C5, Class F, 7.561s, 2029  64,000  46,080  204,000  146,880  204,000  146,880 
FRB Ser. 07-LD12, Class AM, 6.062s, 2051  686,000  297,572  2,962,000  1,284,852  --  -- 
FRB Ser. 07-LD12, Class A3, 5.99s, 2051  3,282,000  2,173,620  12,789,000  8,469,965  --  -- 
Ser. 07-CB20, Class A3, 5.863s, 2051  816,000  533,869  3,569,000  2,335,024  2,789,000  1,824,708 
Ser. 07-LD12, Class A2, 5.827s, 2051  190,000  140,329  --  --  --  -- 
FRB Ser. 07-LD11, Class A3, 5.819s, 2049  407,000  242,562  1,778,000  1,059,646  1,394,000  830,791 
Ser. 06-CB15, Class A4, 5.814s, 2043  477,000  378,067  1,612,000  1,277,660  1,381,000  1,094,571 
Ser. 07-CB20, Class A4, 5.794s, 2051  174,000  123,649  793,000  563,529  617,000  438,458 
Ser. 06-CB16, Class A4, 5.552s, 2045  --  --  1,361,000  1,034,507  1,650,000  1,254,178 
Ser. 06-CB14, Class A4, 5.481s, 2044  220,000  166,961  844,000  640,523  946,000  717,933 
Ser. 05-LDP2, Class AM, 4.78s, 2042  100,000  58,497  420,000  245,689  400,000  233,990 
Ser. 06-LDP8, Class X, IO, 0.573s, 2045  2,893,904  57,630  13,388,269  266,619  11,193,065  222,903 
Ser. 06-CB17, Class X, IO, 0.513s, 2043  2,414,413  50,461  13,189,391  275,658  14,152,772  295,793 
Ser. 08-C2, Class X, IO, 0.483s, 2051  71,394,745  935,271  --  --  --  -- 
Ser. 06-LDP9, Class X, IO, 0.455s, 2047  3,214,331  55,286  5,605,673  96,418  5,254,386  90,375 
Ser. 07-LDPX, Class X, IO, 0.347s, 2049  4,820,512  59,292  20,335,321  250,124  16,118,245  198,254 
Ser. 06-CB16, Class X1, IO, 0.092s, 2045  3,295,803  25,148  15,247,428  116,342  12,747,541  97,268 
JPMorgan Chase Commercial Mortgage Securities Corp.             
144A             
Ser. 00-C9, Class G, 6 1/4s, 2032  38,000  36,564  240,000  230,928  260,000  250,172 
Ser. 03-ML1A, Class X1, IO, 0.572s, 2039  632,403  25,929  --  --  --  -- 
Ser. 05-LDP2, Class X1, IO, 0.189s, 2042  16,658,772  199,905  40,767,178  489,206  --  -- 
Ser. 05-CB12, Class X1, IO, 0.106s, 2037  4,137,317  27,720  11,842,506  79,345  11,384,081  76,273 
Ser. 05-LDP3, Class X1, IO, 0.085s, 2042  16,117,933  85,425  17,125,914  90,767  28,764,041  152,449 
Ser. 07-CB20, Class X1, IO, 0.074s, 2051  6,855,370  57,585  38,566,069  323,955  31,232,789  262,355 
Ser. 06-LDP6, Class X1, IO, 0.062s, 2043  --  --  22,683,633  77,124  16,353,225  55,601 
Ser. 05-LDP5, Class X1, IO, 0.061s, 2044  22,699,940  74,910  68,642,314  226,520  75,565,529  249,366 
Ser. 06-CB14, Class X1, IO, 0.061s, 2044  12,237,130  33,040  27,375,219  73,913  29,766,339  80,369 
Key Commercial Mortgage             
Ser. 07-SL1, Class A2, 5.533s, 2040  1,091,000  507,271  --  --  --  -- 
Ser. 07-SL1, Class A1, 5.27s, 2040  679,416  512,463  --  --  --  -- 
LB Commercial Conduit Mortgage Trust 144A             
Ser. 99-C1, Class F, 6.41s, 2031  --  --  149,428  120,179  136,004  109,382 
Ser. 99-C1, Class G, 6.41s, 2031  --  --  159,961  72,557  145,590  66,039 
Ser. 98-C4, Class G, 5.6s, 2035  --  --  132,000  118,804  127,000  114,304 
Ser. 98-C4, Class H, 5.6s, 2035  --  --  223,000  40,715  215,000  39,255 
LB-UBS Commercial Mortgage Trust             
Ser. 07-C6, Class A2, 5.845s, 2012  1,022,000  777,214  --  --  --  -- 
Ser. 06-C7, Class A2, 5.3s, 2038  173,000  139,472  --  --  --  -- 
Ser. 04-C7, Class A6, 4.786s, 2029  121,000  97,295  362,000  291,081  400,000  321,636 
Ser. 07-C2, Class XW, IO, 0.536s, 2040  1,180,381  22,814  4,594,699  88,804  3,617,040  69,908 
Ser. 07-C7, Class XW, IO, 0.373s, 2045  903,513  12,766  5,318,131  75,141  1,309,294  18,499 
LB-UBS Commercial Mortgage Trust 144A             
Ser. 06-C7, Class XW, IO, 0.718s, 2038  1,778,816  40,750  9,506,948  217,790  10,221,464  234,158 
Ser. 03-C5, Class XCL, IO, 0.251s, 2037  1,324,796  18,461  6,119,478  85,276  5,114,795  71,275 
Ser. 05-C3, Class XCL, IO, 0.207s, 2040  3,172,456  36,785  14,214,401  164,817  11,718,684  135,879 
Ser. 05-C2, Class XCL, IO, 0.166s, 2040  14,689,712  88,742  29,346,125  177,283  38,919,368  235,116 
Ser. 05-C7, Class XCL, IO, 0.143s, 2040  12,305,949  57,812  31,958,821  150,139  32,044,591  150,542 
Ser. 05-C5, Class XCL, IO, 0.138s, 2020  4,943,836  37,038  13,775,752  103,205  14,845,219  111,217 
Ser. 06-C7, Class XCL, IO, 0.117s, 2038  3,350,352  28,879  16,428,883  141,612  15,388,500  132,644 
Ser. 07-C7, Class XCL, IO, 0.092s, 2045  --  --  2,245,788  18,000  --  -- 
Ser. 06-C1, Class XCL, IO, 0.084s, 2041  10,485,860  60,437  --  --  30,532,123  175,978 
Ser. 07-C2, Class XCL, IO, 0.076s, 2040  10,139,096  65,019  39,483,854  253,198  31,080,378  199,309 
Lehman Brothers Floating Rate Commercial Mortgage             
Trust 144A             
FRB Ser. 04-LLFA, Class H, 2.145s, 2017  175,000  131,250  184,000  138,000  214,000  160,500 
FRB Ser. 05-LLFA, Class J, 1.995s, 2018  23,000  17,250  93,000  69,750  89,000  66,750 
Lehman Mortgage Trust             
IFB Ser. 06-7, Class 1A9, 38.093s, 2036  --  --  126,247  162,473  126,247  162,473 
IFB Ser. 07-5, Class 4A3, 37.253s, 2037  154,539  164,584  670,474  714,055  572,278  609,476 
IFB Ser. 06-7, Class 4A2, IO, 7.279s, 2036  --  --  772,936  70,008  832,010  75,359 
IFB Ser. 07-5, Class 8A2, IO, 7.249s, 2036  --  --  1,114,366  90,819  947,287  77,202 
Ser. 07-1, Class 3A2, IO, 6.779s, 2037  --  --  1,184,919  96,428  1,078,009  87,728 
IFB Ser. 07-4, Class 3A2, IO, 6.729s, 2037  271,999  21,325  1,100,163  86,254  945,480  74,126 
IFB Ser. 06-5, Class 2A2, IO, 6.679s, 2036  539,091  39,758  1,490,934  109,956  1,677,570  123,721 
IFB Ser. 07-2, Class 2A13, IO, 6.219s, 2037  --  --  1,833,033  136,332  1,572,232  116,935 
IFB Ser. 07-4, Class 2A2, IO, 6.199s, 2037  1,103,467  74,484  4,523,747  305,353  3,868,240  261,106 
IFB Ser. 07-1, Class 2A3, IO, 6.159s, 2037  1,306,193  96,332  3,176,403  234,260  1,893,487  139,645 
Ser. 06-9, Class 2A3, IO, 6.149s, 2036  --  --  2,312,431  179,450  2,130,573  165,338 
IFB Ser. 06-9, Class 2A2, IO, 6.149s, 2037  1,263,334  95,561  1,691,153  127,923  1,552,046  117,400 
IFB Ser. 06-7, Class 2A4, IO, 6.079s, 2036  --  --  2,661,917  189,595  2,861,442  203,806 
IFB Ser. 06-7, Class 2A5, IO, 6.079s, 2036  --  --  2,501,384  178,161  2,688,837  191,512 
IFB Ser. 06-6, Class 1A2, IO, 6.029s, 2036  --  --  930,660  65,146  1,029,367  72,056 
IFB Ser. 06-6, Class 1A3, IO, 6.029s, 2036  --  --  1,376,305  96,341  1,518,059  106,264 
IFB Ser. 07-5, Class 10A2, IO, 5.869s, 2037  538,614  37,703  2,209,324  154,653  1,889,265  132,249 
MASTR Adjustable Rate Mortgages Trust             
Ser. 04-7, Class 2A1, 5.64s, 2034  12,852  7,059  31,648  17,383  31,728  17,427 
FRB Ser. 04-13, Class 3A6, 3.788s, 2034  266,000  209,978  771,000  608,621  838,000  661,510 
Ser. 04-03, Class 4AX, IO, 0.376s, 2034  113,770  523  387,650  1,783  373,184  1,717 
Ser. 05-2, Class 7AX, IO, 0.17s, 2035  318,892  797  1,086,373  2,716  1,046,137  2,615 
MASTR Alternative Loans Trust Ser. 06-3, Class 1A1,             
6 1/4s, 2036  1,488,107  800,322  1,051,426  565,470  976,526  525,188 
MASTR Reperforming Loan Trust 144A             
Ser. 05-2, Class 1A3, 7 1/2s, 2035  117,133  116,582  --  --  444,530  442,438 
Ser. 05-1, Class 1A4, 7 1/2s, 2034  89,288  86,254  248,732  240,279  237,344  229,277 
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1,             
1.091s, 2027  264,274  170,197  379,611  244,475  312,407  201,195 
Merrill Lynch Capital Funding Corp. Ser. 06-4,             
Class XC, IO, 0.124s, 2049  16,109,920  115,795  47,147,737  338,889  40,323,016  289,834 
Merrill Lynch Floating Trust 144A FRB Ser. 06-1,             
Class TM, 1.695s, 2022  554,794  341,198  491,817  302,467  579,784  356,567 
Merrill Lynch Mortgage Investors, Inc.             
FRB Ser. 98-C3, Class E, 6.805s, 2030  --  --  137,000  128,622  127,000  119,233 
FRB Ser. 05-A9, Class 3A1, 5.271s, 2035  388,699  287,638  1,128,883  835,374  1,227,436  908,303 
Ser. 96-C2, Class JS, IO, 2.271s, 2028  247,729  8,688  146,105  5,124  55,746  1,955 
Merrill Lynch Mortgage Trust             
FRB Ser. 07-C1, Class A3, 5.829s, 2050  219,000  142,164  981,000  636,817  771,000  500,495 
FRB Ser. 07-C1, Class A4, 5.829s, 2050  191,000  137,613  645,000  464,713  552,000  397,708 
FRB Ser. 07-C1, Class A2, 5.725s, 2050  248,000  183,145  --  --  --  -- 
Ser. 05-MCP1, Class XC, IO, 0.122s, 2043  4,418,017  34,753  14,953,957  117,632  14,383,797  113,147 
Merrill Lynch Mortgage Trust 144A             
Ser. 04-KEY2, Class XC, IO, 0.255s, 2039  2,749,007  38,712  7,501,606  105,640  8,878,390  125,028 
Ser. 05-LC1, Class X, IO, 0.1s, 2044  2,412,384  11,582  7,273,513  34,919  8,004,596  38,429 
Merrill Lynch/Countrywide Commercial Mortgage Trust             
FRB Ser. 07-8, Class A3, 5.957s, 2049  417,000  299,151  2,122,000  1,522,299  --  -- 
FRB Ser. 07-8, Class A2, 5.92s, 2049  382,000  248,657  1,724,000  1,122,210  1,346,000  876,157 
Ser. 07-9, Class A4, 5.748s, 2049  680,000  480,514  --  --  --  -- 
Ser. 06-1, Class A2, 5.439s, 2039  352,000  305,259  --  --  --  -- 
Merrill Lynch/Countrywide Commercial Mortgage Trust             
144A Ser. 07-7, Class X, IO, 0.019s, 2050  11,800,248  21,534  77,358,291  141,172  61,143,396  111,581 
Mezz Cap Commercial Mortgage Trust Ser. 07-C5,             
Class X, 4.506s, 2017  --  --  645,196  94,715  542,324  79,613 
Mezz Cap Commercial Mortgage Trust 144A             
Ser. 04-C2, Class X, IO, 6.004s, 2040  200,471  24,797  510,290  63,119  499,739  61,814 
Ser. 05-C3, Class X, IO, 5.555s, 2044  404,500  38,541  639,970  60,976  640,947  61,069 
Ser. 06-C4, Class X, IO, 5.074s, 2016  965,848  104,997  2,418,902  262,957  2,488,367  270,509 
Morgan Stanley Capital 144A Ser. 05-RR6, Class X, IO,             
1.59s, 2043  905,327  21,755  2,626,355  63,111  4,226,068  101,552 
Morgan Stanley Capital I             
Ser. 98-CF1, Class D, 7.35s, 2032  61,514  47,904  --  --  --  -- 
FRB Ser. 08-T29, Class A3, 6.28s, 2043  176,000  146,837  533,000  444,682  506,000  422,156 
FRB Ser. 06-IQ11, Class A4, 5.772s, 2042  477,000  364,959  1,612,000  1,233,364  1,381,000  1,056,623 
FRB Ser. 07-IQ14, Class AM, 5.691s, 2049  230,000  110,118  1,062,000  508,460  825,000  394,990 
Ser. 07-IQ14, Class A2, 5.61s, 2049  854,000  631,621  --  --  --  -- 
Ser. 05-HQ6, Class A4A, 4.989s, 2042  278,000  223,103  827,000  663,692  915,000  734,315 
Ser. 04-HQ4, Class A7, 4.97s, 2040  144,000  121,464  427,000  360,175  473,000  398,976 
Morgan Stanley Capital I 144A             
Ser. 04-RR, Class F5, 6s, 2039  --  --  395,000  39,500  340,000  34,000 
Ser. 04-RR, Class F6, 6s, 2039  --  --  395,000  35,550  350,000  31,500 
Ser. 07-HQ13, Class X1, IO, 0.671s, 2044  5,077,497  94,492  23,193,910  431,639  --  -- 
Ser. 05-HQ6, Class X1, IO, 0.115s, 2042  8,118,174  44,783  17,909,255  98,795  17,790,457  98,139 
Ser. 05-HQ5, Class X1, IO, 0.093s, 2042  3,074,613  13,067  8,429,950  35,827  6,635,744  28,202 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,             
Class 2A1, 4.807s, 2035  286,703  154,820  505,610  273,030  849,491  458,725 
Mortgage Capital Funding, Inc.             
FRB Ser. 98-MC2, Class E, 7.094s, 2030  53,000  31,800  215,000  129,000  206,000  123,600 
Ser. 97-MC2, Class X, IO, 1.73s, 2012  876  --  243  1  --  -- 
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,             
7.379s, 2035  65,694  59,654  86,934  78,940  84,958  77,147 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2,             
Class PT, 9.087s, 2034  --  --  75,877  71,074  69,776  65,359 
Permanent Financing PLC 144A FRB Ser. 9A, Class 3A,             
2.289s, 2033 (United Kingdom)  199,000  139,537  --  --  --  -- 
Permanent Master Issuer PLC FRB Ser. 07-1, Class 4A,             
4.833s, 2033 (United Kingdom)  222,000  197,358  954,000  848,106  --  -- 
PNC Mortgage Acceptance Corp. 144A             
Ser. 99-CM1, Class B3, 7.1s, 2032  --  --  813,000  715,440  757,000  666,160 
Ser. 00-C1, Class J, 6 5/8s, 2010  --  --  118,000  33,971  189,000  54,411 

Ser. 00-C2, Class J, 6.22s, 2033  --  --  276,000  173,880  291,000  183,330 
Residential Asset Mortgage Products, Inc. Ser. 02-SL1,             
Class AI3, 7s, 2032  86,530  86,396  282,104  281,668  177,474  177,199 
Residential Asset Securitization Trust             
IFB Ser. 07-A3, Class 2A2, IO, 6.219s, 2037  956,672  64,575  4,193,110  283,035  3,596,544  242,767 
Ser. 07-A5, Class 2A3, 6s, 2037  3,507,830  1,929,307  4,144,457  2,279,451  --  -- 
Residential Funding Mortgage Securities I Ser. 04-S5,             
Class 2A1, 4 1/2s, 2019  280,593  269,896  992,036  954,215  1,101,883  1,059,874 
Saco I Trust FRB Ser. 05-10, Class 1A1, 0.731s, 2033  119,286  42,346  218,017  77,396  240,039  85,214 
Salomon Brothers Mortgage Securities VII 144A Ser.             
02-KEY2, Class X1, IO, 0.66s, 2036  2,542,559  91,532  9,436,470  339,713  8,266,308  297,587 
SBA CMBS Trust 144A Ser. 05-1A, Class D, 6.219s, 2035  --  --  200,000  146,493  200,000  146,493 
STRIPS 144A             
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands)  --  --  172,000  125,560  165,000  120,450 
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)  --  --  116,000  63,800  112,000  61,600 
Ser. 04-1A, Class K, 5s, 2018 (Cayman Islands)  100,000  61,000  --  --  --  -- 
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands)  --  --  76,000  42,560  74,000  41,440 
Structured Adjustable Rate Mortgage Loan Trust             
FRB Ser. 07-8, Class 1A2, 6 1/4s, 2037  761,754  373,259  3,780,463  1,852,427  3,113,616  1,525,672 
FRB Ser. 06-9, Class 1A1, 5.691s, 2036  1,305,476  649,313  557,440  277,258  --  -- 
Ser. 04-8, Class 1A3, 5.339s, 2034  7,479  3,505  3,698  1,733  6,807  3,190 
FRB Ser. 05-18, Class 6A1, 5.256s, 2035  175,564  110,605  431,898  272,096  456,578  287,644 
Ser. 05-9, Class AX, IO, 1.462s, 2035  1,425,267  21,379  3,876,834  58,153  3,707,077  55,606 
Ser. 04-19, Class 2A1X, IO, 1.238s, 2035  405,876  5,581  --  --  --  -- 
Structured Adjustable Rate Mortgage Loan Trust 144A             
Ser. 04-NP2, Class A, 0.821s, 2034  41,615  25,385  160,966  98,189  166,460  101,540 
Structured Asset Securities Corp.             
IFB Ser. 07-4, Class 1A3, IO, 5.779s, 2037  3,561,337  240,390  10,214,470  689,477  10,459,380  706,008 
Ser. 07-4, Class 1A4, IO, 1s, 2037  3,561,337  120,506  10,916,442  369,382  11,161,352  377,669 
Structured Asset Securities Corp. 144A             
Ser. 07-RF1, Class 1A, IO, 4.386s, 2037  --  --  4,413,323  264,799  3,507,156  210,429 
Ser. 08-RF1, Class AI, IO, 3.687s, 2037  --  --  14,137,391  565,496  --  -- 
Ser. 06-RF4, Class 1A, IO, 0.356s, 2036  --  --  2,120,244  118,443  1,811,741  101,209 
Terwin Mortgage Trust 144A FRB Ser. 06-9HGA, Class A1,             
0.551s, 2037  76,310  71,060  --  --  --  -- 
Thornburg Mortgage Securities Trust FRB Ser. 06-4,             
Class A2B, 0.591s, 2011  274,656  228,323  --  --  --  -- 
Wachovia Bank Commercial Mortgage Trust             
Ser. 06-C26, Class A2, 5.935s, 2045  270,000  227,214  --  --  --  -- 
FRB Ser. 07-C33, Class A3, 5.902s, 2051  327,000  215,443  1,665,000  1,096,981  --  -- 
FRB Ser. 07-C33, Class A2, 5.857s, 2051  88,000  68,856  --  --  --  -- 
FRB Ser. 07-C32, Class A2, 5.736s, 2049  329,000  257,308  --  --  --  -- 
Ser. 07-C31, Class A2, 5.421s, 2047  497,000  385,529  --  --  --  -- 
Ser. 07-C30, Class A3, 5.246s, 2043  6,500,000  4,858,370  1,882,000  1,406,685  --  -- 
Ser. 04-C15, Class A4, 4.803s, 2041  215,000  172,584  637,000  511,329  705,000  565,913 
Ser. 06-C28, Class XC, IO, 0.38s, 2048  3,128,391  40,137  10,900,160  139,849  10,982,669  140,908 
Ser. 06-C29, IO, 0 3/8s, 2048  17,909,415  272,044  47,080,999  715,160  --  -- 
Ser. 07-C34, IO, 0.356s, 2046  4,740,253  74,090  10,628,660  166,126  8,759,292  136,908 
Wachovia Bank Commercial Mortgage Trust 144A             
FRB Ser. 05-WL5A, Class L, 4.495s, 2018  --  --  164,000  98,400  156,000  93,600 
Ser. 03-C3, Class IOI, IO, 0.416s, 2035  468,395  9,189  3,519,266  69,042  3,522,630  69,108 
Ser. 07-C31, IO, 0.261s, 2047  9,181,398  95,854  35,752,940  373,261  28,143,132  293,814 
Ser. 05-C18, Class XC, IO, 0.115s, 2042  12,547,654  75,411  21,410,894  128,679  24,722,911  148,585 
Ser. 06-C27, Class XC, IO, 0.078s, 2045  3,764,861  18,523  17,416,330  85,688  14,560,640  71,638 
Ser. 06-C23, Class XC, IO, 0.055s, 2045  4,843,863  14,435  31,926,897  95,142  35,046,021  104,437 
Ser. 06-C26, Class XC, IO, 0.039s, 2045  17,482,829  32,168  13,925,776  25,623  8,624,342  15,869 
WAMU Commercial Mortgage Securities Trust 144A             
Ser. 05-C1A, Class G, 5.72s, 2036  --  --  46,000  8,951  44,000  8,562 
Ser. 07-SL2, Class A1, 5.426s, 2049  1,791,185  985,151  --  --  --  -- 
Ser. 06-SL1, Class X, IO, 0.936s, 2043  439,287  11,171  2,349,651  59,752  2,526,142  64,240 
Ser. 07-SL2, Class X, IO, 0.851s, 2049  1,314,121  29,804  5,591,662  126,819  4,429,462  100,460 
WAMU Mortgage Pass-Through Certificates FRB Ser.             
04-AR1, Class A, 4.229s, 2034  73,664  51,565  202,875  142,012  144,656  101,259 
WAMU Mortgage Pass-Through Certificates 144A Ser.             
04-RP1, Class 1S, IO, 4.421s, 2034  2,392,689  185,421  4,920,837  381,338  3,234,658  250,669 
Washington Mutual Asset Securities Corp. 144A Ser.             
05-C1A, Class F, 5.3s, 2036  107,000  21,769  --  --  --  -- 
Washington Mutual Mortgage Pass-Through Certificates             
Ser. 07-2, Class CX, IO, 7s, 2037  75,350  7,912  344,076  36,128  274,727  28,846 
Wells Fargo Mortgage Backed Securities Trust             
Ser. 05-AR16, Class 2A1, 4.876s, 2035  --  --  --  --  62,828  42,103 
Ser. 06-AR10, Class 3A1, 4.818s, 2036  216,450  115,091  500,541  266,147  502,705  267,298 
Ser. 05-AR2, Class 2A1, 4.552s, 2035  102,432  72,752  257,768  183,078  270,150  191,872 
Ser. 05-AR9, Class 1A2, 4.425s, 2035  271,030  94,861  --  --  98,822  34,588 
Ser. 04-R, Class 2A1, 4.368s, 2034  98,163  75,198  246,990  189,208  259,204  198,565 
Ser. 05-AR12, Class 2A5, 4.359s, 2035  1,263,000  579,599  4,035,000  1,851,687  3,882,000  1,781,474 
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035  --  --  9,846,000  13,863  9,480,000  13,348 
 
Total collateralized mortgage obligations (cost $150,294,720, $217,734,968 and $172,044,020)    $110,508,555    $176,886,140    $154,045,489 
 
ASSET-BACKED SECURITIES(a)  Growth 1.5% Balanced 3.5% Conservative 4.3%
  Principal amount  Value  Principal amount  Value  Principal amount  Value 
Accredited Mortgage Loan Trust             
FRB Ser. 05-1, Class M2, 1.161s, 2035  $--  $--  $110,710  $18,821  $99,639  $16,939 
FRB Ser. 05-4, Class A2C, 0.681s, 2035  --  --  190,000  155,800  152,000  124,640 
Ace Securities Corp.             
FRB Ser. 06-OP2, Class A2C, 0.621s, 2036  107,000  52,430  475,000  232,750  377,000  184,730 
FRB Ser. 06-HE3, Class A2C, 0.621s, 2036  119,000  41,507  549,000  191,491  436,000  152,077 
Ace Securities Corp. 144A Ser. 03-MH1, Class M2,             
6 1/2s, 2030  423,856  240,934  204,393  116,184  --  -- 
Advanta Business Card Master Trust FRB Ser. 04-C1,             
Class C, 1.558s, 2013  159,000  64,626  --  --  212,000  86,167 
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,             
0.881s, 2029  295,782  119,875  550,449  223,086  391,580  158,700 
American Express Credit Account Master Trust 144A Ser.             
04-C, Class C, 1.695s, 2012  11,643  10,040  71,061  61,278  57,009  49,161 
Ameriquest Mortgage Securities, Inc.             
FRB Ser. 06-R1, Class M10, 2.971s, 2036  --  --  142,000  2,528  261,000  4,646 
FRB Ser. 03-8, Class M2, 2.221s, 2033  --  --  198,308  11,898  178,573  10,714 
FRB Ser. 04-R10, Class A5, 0.861s, 2034  50  42  --  --  --  -- 
FRB Ser. 04-R11, Class A2, 0.841s, 2034  8,459  6,534  --  --  --  -- 
AMP CMBS 144A FRB Ser. 06-1A, Class A, 2.746s, 2047             
(Cayman Islands)  --  --  --  --  440,000  72,125 
Arcap REIT, Inc. 144A             
Ser. 03-1A, Class E, 7.11s, 2038  --  --  286,000  108,680  223,000  84,740 
Ser. 04-1A, Class E, 6.42s, 2039  --  --  240,272  72,082  227,202  68,161 
Argent Securities, Inc.             
FRB Ser. 03-W3, Class M3, 2.741s, 2033  --  --  22,925  459  20,633  413 
FRB Ser. 06-W4, Class A2C, 0.631s, 2036  211,000  92,840  975,000  429,000  775,000  341,000 
Asset Backed Funding Certificates             
FRB Ser. 04-OPT2, Class M2, 1.471s, 2033  --  --  195,682  90,014  175,866  80,898 
FRB Ser. 05-WMC1, Class M1, 0.911s, 2035  29,000  17,690  583,000  355,630  404,000  246,440 
Asset Backed Funding Corp. NIM Trust 144A FRB Ser.             
05-OPT1, Class B1, 2.971s, 2035  7,820  37  --  --  18,301  86 
Asset Backed Securities Corp. Home Equity Loan Trust             
FRB Ser. 04-HE7, Class A2, 0.851s, 2034  126  66  --  --  --  -- 
FRB Ser. 04-HE6, Class A2, 0.831s, 2034  77,763  56,884  275,390  201,448  264,196  193,259 
FRB Ser. 06-HE2, Class A3, 0.661s, 2036  37,681  22,759  175,411  105,949  139,679  84,366 
FRB Ser. 06-HE4, Class A5, 0.631s, 2036  147,554  85,581  676,680  392,474  543,223  315,070 
FRB Ser. 06-HE7, Class A4, 0.611s, 2036  --  --  324,000  123,660  252,000  96,180 
BankAmerica Manufactured Housing Contract Trust Ser.             
97-2, Class M, 6.9s, 2028  778,000  622,400  370,000  296,000  --  -- 
Bay View Auto Trust             
Ser. 05-LJ2, Class D, 5.27s, 2014  62,000  57,311  139,000  128,488  134,000  123,866 
Ser. 05-LJ2, Class C, 4.92s, 2014  100,000  77,101  46,000  35,466  45,000  34,695 
Bayview Financial Acquisition Trust             
Ser. 04-B, Class A1, 1.471s, 2039  --  --  742,007  520,073  974,388  682,948 
FRB Ser. 04-D, Class A, 0.861s, 2044  62,668  51,796  204,839  169,303  199,975  165,283 
Bayview Financial Asset Trust 144A             
FRB Ser. 03-SSRA, Class M, 1.821s, 2038  37,477  22,861  111,561  68,052  87,157  53,166 
FRB Ser. 03-SSRA, Class A, 1.171s, 2038  37,477  26,234  111,561  78,093  87,157  61,010 
FRB Ser. 04-SSRA, Class A1, 1.071s, 2039  93,013  56,738  135,190  82,466  131,000  79,910 
Bear Stearns Asset Backed Securities, Inc.             
FRB Ser. 06-EC1, Class M9, 2.471s, 2035  --  --  79,049  198  87,171  218 
FRB Ser. 06-PC1, Class M9, 2.221s, 2035  --  --  --  --  100,000  1,000 
FRB Ser. 05-HE1, Class M3, 1.401s, 2035  --  --  210,000  10,500  189,000  9,450 
FRB Ser. 03-3, Class A2, 1.061s, 2043  100,089  81,828  347,554  284,143  274,260  224,222 
FRB Ser. 03-1, Class A1, 0.971s, 2042  99,150  69,404  282,879  198,011  201,253  140,875 
FRB Ser. 05-3, Class A1, 0.921s, 2035  79,556  71,613  --  --  --  -- 
FRB Ser. 03-ABF1, Class A, 0.841s, 2034  28,062  20,210  --  --  --  -- 
Bear Stearns Asset Backed Securities, Inc. 144A FRB             
Ser. 06-HE2, Class M10, 2.721s, 2036  --  --  44,574  109  --  -- 
Bombardier Capital Mortgage Securitization Corp.             
Ser. 00-A, Class A4, 8.29s, 2030  3,262,645  1,352,021  2,028,827  840,734  393,697  163,146 
Ser. 00-A, Class A2, 7.575s, 2030  738,182  301,346  344,485  140,628  --  -- 
Ser. 99-B, Class A-5, 7.44s, 2020  153,135  61,254  1,457,334  582,933  1,141,493  456,597 

Ser. 99-B, Class A3, 7.18s, 2015  74,015  28,596  1,448,401  559,601  1,122,351  433,629 
Ser. 99-B, Class A2, 6.975s, 2012  --  --  48,493  20,179  62,530  26,021 
Chase Funding Loan Acquisition Trust FRB Ser. 04-AQ1,             
Class A2, 0.871s, 2034 (F)  81,326  44,749  --  --  --  -- 
Citigroup Mortgage Loan Trust, Inc.             
FRB Ser. 05-OPT1, Class M1, 0.891s, 2035  44,358  29,458  200,967  133,462  157,515  104,605 
Ser. 03-HE3, Class A, 0.851s, 2033  573,886  413,198  --  --  --  -- 
Citigroup Mortgage Loan Trust, Inc. 144A FRB Ser.             
03-HE4, Class A, 0.881s, 2033  204,597  153,448  --  --  --  -- 
Conseco Finance Securitizations Corp.             
Ser. 02-2, Class A, IO, 8 1/2s, 2033  266,908  25,371  395,986  37,640  249,405  23,707 
Ser. 00-4, Class A6, 8.31s, 2032  142,036  72,438  2,373,399  1,210,433  2,329,560  1,188,076 
Ser. 00-5, Class A7, 8.2s, 2032  --  --  1,231,000  652,430  817,000  433,010 
Ser. 00-5, Class A6, 7.96s, 2032  459,875  252,931  1,817,917  999,855  1,665,179  915,848 
Ser. 02-1, Class M1F, 7.954s, 2033  --  --  510,000  257,575  676,000  341,414 
Ser. 02-2, Class M1, 7.424s, 2033  83,000  35,941  216,000  93,533  154,000  66,686 
Ser. 01-4, Class A4, 7.36s, 2033  363,922  220,173  911,599  551,517  273,480  165,455 
Ser. 00-6, Class A5, 7.27s, 2031  161,026  98,226  418,809  255,473  298,039  181,804 
Ser. 01-1, Class A5, 6.99s, 2032  1,105,344  688,076  4,408,999  2,744,602  3,929,423  2,446,065 
Ser. 01-3, Class A4, 6.91s, 2033  131,297  84,796  495,131  319,773  399,427  257,964 
Ser. 02-1, Class A, 6.681s, 2033  148,713  119,531  464,238  373,140  140,255  112,733 
FRB Ser. 02-1, Class M1A, 3.95s, 2033  725,000  219,413  1,996,000  604,066  1,264,000  382,535 
Countrywide Asset Backed Certificates             
FRB Ser. 05-BC3, Class M1, 0.991s, 2035  47,000  28,670  210,000  128,100  166,000  101,260 
FRB Ser. 04-6, Class 2A5, 0.861s, 2034  38,904  28,400  348,143  254,144  291,711  212,949 
FRB Ser. 04-5, Class 4A3, 0.791s, 2034  41,763  31,740  147,104  111,799  141,619  107,630 
FRB Ser. 05-14, Class 3A2, 0.711s, 2036  23,453  19,349  106,189  87,606  83,388  68,795 
Credit-Based Asset Servicing and Securitization FRB             
Ser. 02-CB2, Class A2, 1.571s, 2032  32,097  24,394  --  --  --  -- 
Credit-Based Asset Servicing and Securitization 144A             
Ser. 06-MH1, Class B1, 6 1/4s, 2036  --  --  291,000  107,530  186,000  68,731 
Ser. 06-MH1, Class M1, 6 1/4s, 2036  843,000  480,510  236,000  134,520  314,000  178,980 
Ser. 06-MH1, Class M2, 6 1/4s, 2036  228,000  130,159  110,000  62,796  123,000  70,218 
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038             
(Cayman Islands)  --  --  339,000  118,650  313,000  109,550 
CS First Boston Mortgage Securities Corp. 144A Ser.             
04-FR1N, Class A, 5s, 2034  16,582  --  23,162  1  25,268  1 
DB Master Finance, LLC 144A Ser. 06-1, Class M1,             
8.285s, 2031  --  --  204,000  131,522  214,000  137,970 
Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,             
1.141s, 2035  --  --  86,000  4,300  78,000  3,900 
Fieldstone Mortgage Investment Corp. FRB Ser. 05-1,             
Class M3, 1.011s, 2035  --  --  143,000  132,509  138,000  127,875 
First Franklin Mortgage Loan Asset Backed Certificates             
FRB Ser. 06-FF7, Class 2A3, 0.621s, 2036  163,000  65,461  744,000  298,790  583,000  234,133 
Fremont Home Loan Trust             
FRB Ser. 05-E, Class 2A4, 0.801s, 2036  231,000  138,600  1,045,000  627,000  816,000  489,600 
FRB Ser. 06-2, Class 2A3, 0.641s, 2036  392,000  219,520  1,688,000  945,280  1,342,000  751,520 
GE Corporate Aircraft Financing, LLC 144A             
FRB Ser. 05-1A, Class C, 1.771s, 2019  --  --  269,000  156,020  271,000  157,180 
Ser. 04-1A, Class B, 1.321s, 2018  10,300  8,498  11,227  9,263  10,918  9,008 
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,             
8.22s, 2012  --  --  443,000  430,969  442,000  429,996 
GEBL 144A             
Ser. 04-2, Class D, 3.945s, 2032  --  --  115,395  11,539  141,922  14,192 
Ser. 04-2, Class C, 2.045s, 2032  --  --  86,214  39,874  141,922  65,639 
Granite Mortgages PLC             
FRB Ser. 03-2, Class 1C, 6.053s, 2043 (United Kingdom)  176,004  123,203  --  --  --  -- 
FRB Ser. 03-3, Class 1C, 5.953s, 2044 (United Kingdom)             
(F)  77,405  76,901  148,359  147,394  --  -- 
Green Tree Financial Corp.             
Ser. 94-4, Class B2, 8.6s, 2019  1,236,379  729,464  555,309  327,632  --  -- 
Ser. 96-8, Class A7, 8.05s, 2027  17,967  15,841  --  --  --  -- 
Ser. 96-5, Class M1, 8.05s, 2027  --  --  238,206  114,226  322,794  154,788 
Ser. 96-6, Class M1, 7.95s, 2027  2,582,000  1,254,031  1,222,000  593,503  1,077,000  523,080 
Ser. 99-5, Class A5, 7.86s, 2030  672,461  392,454  2,596,653  1,515,433  2,121,481  1,238,118 
Ser. 97-2, Class A7, 7.62s, 2028  169,852  139,196  124,620  102,128  89,541  73,381 
Ser. 96-2, Class M1, 7.6s, 2026  1,460,000  751,970  691,000  355,898  609,000  313,664 
Ser. 97-6, Class A9, 7.55s, 2029  63,525  50,014  --  --  118,631  93,400 
Ser. 97-4, Class A7, 7.36s, 2029  13,627  11,227  41,854  34,483  90,198  74,312 
Ser. 97-3, Class A6, 7.32s, 2028  2,002  1,588  --  --  --  -- 
Ser. 96-10, Class A6, 7.3s, 2028  16,680  14,868  --  --  --  -- 
Ser. 95-8, Class M1, 7.3s, 2026  52,281  44,958  --  --  --  -- 
Ser. 96-10, Class M1, 7.24s, 2028  --  --  449,000  228,443  625,000  317,988 
Ser. 97-6, Class M1, 7.21s, 2029  293,000  122,898  688,000  288,580  946,000  396,798 
Ser. 96-2, Class A4, 7.2s, 2027  162,209  148,816  --  --  --  -- 
Ser. 97-3, Class A5, 7.14s, 2028  23,157  18,269  166,859  131,637  120,227  94,849 
Ser. 97-6, Class A8, 7.07s, 2029  33,403  28,349  --  --  37,602  31,912 
Ser. 95-10, Class B1, 7.05s, 2027  311,648  165,993  --  --  --  -- 
Ser. 93-4, Class A5, 7.05s, 2019  6,659  5,762  --  --  --  -- 
Ser. 98-4, Class A7, 6.87s, 2030  48,797  32,142  123,869  81,592  88,001  57,966 
Ser. 97-7, Class A8, 6.86s, 2029  6,650  5,596  25,997  21,877  56,025  47,145 
Ser. 93-3, Class B, 6.85s, 2018  172,338  86,452  80,507  40,386  --  -- 
Ser. 99-3, Class A7, 6.74s, 2031  105,236  83,606  143,237  113,797  147,135  116,893 
Ser. 98-6, Class A7, 6.45s, 2030  --  --  126,522  117,852  91,195  84,945 
Ser. 99-2, Class A7, 6.44s, 2030  --  --  482,697  291,114  672,726  405,721 
Ser. 98-7, Class M1, 6.4s, 2030  118,000  39,861  218,000  73,642  136,000  45,942 
Ser. 99-1, Class A6, 6.37s, 2025  254,000  193,634  359,000  273,680  224,000  170,764 
Ser. 98-2, Class A5, 6.24s, 2016  10,512  7,971  --  --  --  -- 
Greenpoint Manufactured Housing             
Ser. 00-3, Class IA, 8.45s, 2031  4,130,513  2,444,880  3,906,269  2,312,148  1,502,031  889,063 
Ser. 99-5, Class M1A, 8.3s, 2026  --  --  198,000  98,588  157,000  78,173 
Ser. 99-5, Class A4, 7.59s, 2028  222,664  188,446  281,809  238,502  193,091  163,418 
Ser. 99-3, Class 1A5, 6.79s, 2023  12,343  11,551  --  --  --  -- 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011  --  --  257,594  202,211  252,014  197,831 
GSAMP Trust FRB Ser. 06-HE5, Class A2C, 0.621s, 2036  584,000  275,122  2,514,000  1,184,345  1,998,000  941,258 
Guggenheim Structured Real Estate Funding, Ltd. 144A             
FRB Ser. 05-2A, Class D, 2.021s, 2030 (Cayman Islands)  --  --  250,000  50,000  250,000  50,000 
FRB Ser. 05-1A, Class D, 2.001s, 2030 (Cayman Islands)  --  --  105,068  52,534  100,774  50,387 
High Income Trust Securities 144A FRB Ser. 03-1A,             
Class A, 2.888s, 2036 (Cayman Islands)  --  --  409,421  153,533  372,582  139,718 
Home Equity Asset Trust             
FRB Ser. 04-7, Class A3, 0.861s, 2035  309  272  --  --  --  -- 
FRB Ser. 06-1, Class 2A4, 0.801s, 2036  117,000  56,745  527,000  255,595  415,000  201,275 
Impac CMB Trust FRB Ser. 04-8, Class 1A, 1.191s, 2034  8,359  3,246  --  --  --  -- 
JPMorgan Mortgage Acquisition Corp. FRB Ser. 06-FRE1,             
Class A4, 0.761s, 2035  100,000  57,000  443,000  252,510  347,000  197,790 
Lehman ABS Manufactured Housing Contract             
Ser. 01-B, Class M1, 6.63s, 2028  185,000  50,685  171,000  46,850  176,000  48,219 
Ser. 01-B, Class A5, 5.873s, 2022  61,758  42,024  --  --  --  -- 
Ser. 01-B, Class A4, 5.27s, 2018  37,647  25,232  --  --  --  -- 
Lehman XS Trust             
Ser. 07-6, Class 3A6, 6 1/2s, 2037  501,497  210,629  4,500,317  1,890,133  3,769,447  1,583,168 
IFB Ser. 07-3, Class 4B, IO, 6.219s, 2037  382,376  29,066  1,567,498  119,151  1,340,336  101,884 
FRB Ser. 07-6, Class 2A1, 0.681s, 2037  1,041,882  360,030  4,842,330  1,673,305  3,741,091  1,292,763 
LNR CDO, Ltd. 144A FRB Ser. 03-1A, Class EFL, 3.474s,             
2036 (Cayman Islands)  105,000  10,500  595,000  59,500  460,000  46,000 
Local Insight Media Finance, LLC Ser. 07-1W, Class A1,             
5.53s, 2012 (F)  354,353  230,330  1,855,719  1,206,218  1,604,841  1,043,147 
Long Beach Mortgage Loan Trust             
FRB Ser. 05-2, Class M4, 1.091s, 2035  --  --  240,000  36,000  216,000  32,400 
FRB Ser. 06-4, Class 2A4, 0.731s, 2036  111,000  37,363  503,000  169,310  394,000  132,620 
FRB Ser. 06-1, Class 2A3, 0.661s, 2036  162,051  79,405  751,681  368,324  597,440  292,746 
Madison Avenue Manufactured Housing Contract FRB Ser.             
02-A, Class M2, 2.721s, 2032  507,000  212,185  --  --  --  -- 
Marriott Vacation Club Owner Trust 144A             
Ser. 05-2, Class D, 6.205s, 2027  --  --  20,545  13,971  22,067  15,005 
Ser. 04-2A, Class D, 5.389s, 2026  --  --  15,114  10,277  14,823  10,080 
Ser. 04-1A, Class C, 5.265s, 2026  --  --  37,016  27,838  34,372  25,849 
FRB Ser. 02-1A, Class A1, 1.208s, 2024  14,418  12,366  61,097  52,404  60,098  51,547 
MASTR Asset Backed Securities Trust             
FRB Ser. 04-OPT2, Class A2, 0.821s, 2034  17,045  11,761  --  --  --  -- 
FRB Ser. 06-FRE2, Class A4, 0.621s, 2036  58,000  23,948  262,000  108,180  206,000  85,057 
FRB Ser. 04-HE1, Class A1, 0.871s, 2034  2,064  1,610  --  --  --  -- 
Merrill Lynch Mortgage Investors, Inc.             
Ser. 04-WMC3, Class B3, 5s, 2035  4,642  186  13,777  551  12,729  509 
FRB Ser. 04-HE2, Class A1A, 0.871s, 2035  4,085  2,657  --  --  --  -- 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038  67,656  42,041  180,593  112,221  139,574  86,731 
Morgan Stanley ABS Capital I             
FRB Ser. 05-HE2, Class M5, 1.151s, 2035  --  --  150,000  1,500  135,000  1,350 
FRB Ser. 05-HE1, Class M3, 0.991s, 2034  --  --  150,000  24,000  135,000  21,600 
FRB Ser. 04-HE8, Class A4, 0.851s, 2034  6,211  4,658  --  --  --  -- 
FRB Ser. 06-NC4, Class M2, 0.771s, 2036  --  --  210,000  14,700  189,000  13,230 
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1,             
2.639s, 2015 (Cayman Islands)  36,377  32,186  63,208  55,926  59,854  52,959 
Navistar Financial Corp. Owner Trust             
Ser. 05-A, Class C, 4.84s, 2014  17,245  15,448  40,524  36,302  39,016  34,950 
Ser. 04-B, Class C, 3.93s, 2012  5,831  4,907  22,528  18,960  24,914  20,968 

New Century Home Equity Loan Trust               
Ser. 03-5, Class AI7, 5.15s, 2033    86,220  68,976  292,974  234,379  256,902  205,521 
FRB Ser. 03-4, Class M3, 2.521s, 2033    --  --  12,489  187  11,240  169 
Novastar Home Equity Loan               
FRB Ser. 06-1, Class A2C, 0.631s, 2036    138,000  80,730  626,000  366,210  488,000  285,480 
FRB Ser. 06-2, Class A2C, 0.621s, 2036    138,000  58,788  626,000  266,676  488,000  207,888 
Oakwood Mortgage Investors, Inc.               
Ser. 96-C, Class B1, 7.96s, 2027    533,383  166,096  719,371  224,012  447,354  139,306 
Ser. 00-A, Class A3, 7.945s, 2022    66,362  37,201  258,167  144,724  252,601  141,604 
Ser. 95-B, Class B1, 7.55s, 2021    --  --  168,514  95,915  243,206  138,428 
Ser. 00-D, Class A3, 6.99s, 2022    --  --  147,746  130,882  75,255  66,666 
Ser. 98-A, Class M, 6.825s, 2028    454,000  209,703  219,000  101,156  --  -- 
Ser. 01-E, Class A4, 6.81s, 2031    584,521  342,832  770,684  452,019  834,579  489,495 
Ser. 99-B, Class A3, 6.45s, 2017    122,266  71,398  258,735  151,090  239,518  139,868 
Ser. 99-A, Class A3, 6.09s, 2029    169,657  117,724  --  --  --  -- 
Ser. 01-E, Class A, IO, 6s, 2009    177,965  7,531  473,261  20,027  317,345  13,429 
Ser. 01-D, Class A3, 5.9s, 2022    82,023  41,771  645,565  328,758  500,991  255,133 
Ser. 02-C, Class A1, 5.41s, 2032    348,210  184,552  764,150  404,999  707,135  374,782 
Ser. 01-D, Class A2, 5.26s, 2019    49,132  22,592  --  --  300,338  138,102 
Ser. 02-A, Class A2, 5.01s, 2020    179,819  101,662  --  --  89,909  50,831 
Oakwood Mortgage Investors, Inc. 144A               
Ser. 01-B, Class A4, 7.21s, 2030    --  --  76,593  48,008  101,373  63,540 
Ser. 01-B, Class A3, 6.535s, 2023    --  --  63,808  38,617  45,992  27,834 
Option One Mortgage Loan Trust FRB Ser. 05-4,               
Class M11, 2.971s, 2035    --  --  46,000  621  51,000  689 
Origen Manufactured Housing               
Ser. 04-B, Class A3, 4 3/4s, 2021    56,000  49,204  --  --  --  -- 
Ser. 04-B, Class A2, 3.79s, 2017    27,811  26,949  9,138  8,855  8,443  8,181 
Ownit Mortgage Loan Asset-Backed Certificates FRB Ser.               
06-7, Class A2A, 0.541s, 2037    838,157  604,211  --  --  --  -- 
Park Place Securities, Inc.               
FRB Ser. 05-WCH1, Class M4, 1.301s, 2036    --  --  97,000  5,820  88,000  5,280 
FRB Ser. 04-MCW1, Class A2, 0.851s, 2034    12,388  10,435  --  --  --  -- 
FRB Ser. 04-WHQ2, Class A3A, 0.821s, 2035    3,461  3,167  27,951  25,575  27,112  24,808 
Park Place Securities, Inc. 144A FRB Ser. 04-MHQ1,               
Class M10, 2.971s, 2034 (F)    --  --  9,878  40  10,888  44 
People's Financial Realty Mortgage Securities Trust               
FRB Ser. 06-1, Class 1A2, 0.601s, 2036    224,000  78,400  995,000  348,250  791,000  276,850 
Permanent Financing PLC FRB Ser. 4, Class 3C, 2.989s,               
2042 (United Kingdom)    241,000  236,284  500,000  490,215  503,000  493,156 
Pillar Funding PLC 144A               
FRB Ser. 04-1A, Class C1, 2.996s, 2011 (United Kingdom)    134,000  120,002  474,000  424,485  422,000  377,917 
FRB Ser. 04-2A, Class C, 2.876s, 2011 (United Kingdom)    --  --  183,000  153,719  169,000  141,959 
Popular ABS Mortgage Pass-Through Trust FRB Ser. 04-4,               
Class AV1, 0.811s, 2034    3,639  1,141  --  --  --  -- 
Renaissance Home Equity Loan Trust FRB Ser. 04-3,               
Class AV1, 0.891s, 2034    176,838  132,628  --  --  --  -- 
Residential Asset Mortgage Products, Inc.               
FRB Ser. 06-NC3, Class A2, 0.661s, 2036    150,839  109,720  699,139  508,553  555,842  404,319 
FRB Ser. 06-RZ2, Class A2, 0.641s, 2036    289,000  213,943  --  --  --  -- 
FRB Ser. 07-RZ1, Class A2, 0.631s, 2037    207,000  91,846  840,000  372,708  667,000  295,948 
Residential Asset Securities Corp. FRB Ser. 06-EMX3,               
Class A2, 0.651s, 2036    942,751  452,520  --  --  --  -- 
Residential Asset Securities Corp. 144A Ser. 04-NT,               
Class Note, 4 1/2s, 2034 (In default) (NON)    12,285  61  17,855  89  19,247  96 
SAIL Net Interest Margin Notes 144A Ser. 04-4A,               
Class B, 7 1/2s, 2034 (Cayman Islands) (In default)               
(NON)    --  --  49,135  1  --  -- 
Saxon Asset Securities Trust FRB Ser. 04-3, Class A,               
0.811s, 2034    20,877  6,054  --  --  --  -- 
Securitized Asset Backed Receivables, LLC               
FRB Ser. 05-HE1, Class M2, 1.121s, 2035    --  --  150,000  4,500  135,000  4,050 
FRB Ser. 07-NC2, Class A2B, 0.611s, 2037    171,000  75,240  789,000  347,159  628,000  276,320 
SG Mortgage Securities Trust               
FRB Ser. 06-OPT2, Class A3D, PO, 0.681s, 2036    234,000  74,880  1,061,000  339,520  832,000  266,240 
FRB Ser. 06-FRE1, Class A2B, 0.651s, 2036    --  --  506,000  290,950  402,000  231,150 
Soundview Home Equity Loan Trust               
FRB Ser. 06-OPT3, Class 2A3, 0.641s, 2036    111,000  48,840  502,000  220,880  394,000  173,360 
FRB Ser. 06-3, Class A3, 0.631s, 2036    587,000  337,760  2,527,000  1,454,036  2,009,000  1,155,979 
Soundview Home Equity Loan Trust 144A FRB Ser.               
05-CTX1, Class B1, 2.971s, 2035    47,986  480  --  --  110,864  1,109 
Structured Asset Investment Loan Trust FRB Ser.               
06-BNC2, Class A6, 0.731s, 2036    111,000  9,602  503,000  43,510  394,000  34,081 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,               
4.919s, 2015    --  --  1,137,420  767,759  1,095,760  739,638 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,               
2038    --  --  349,000  52,350  299,000  44,850 
TIAA Real Estate CDO, Ltd. 144A               
FRB Ser. 02-1A, Class III, 7.6s, 2037    100,000  25,000  384,000  96,000  278,000  69,500 
Ser. 02-1A, Class IIFX, 6.77s, 2037    200,000  62,000  --  --  --  -- 
UCFC Mfg. Hsg. Contract Ser. 97-4, Class A4, 6.995s,               
2029    419,179  303,173  --  --  --  -- 
Wells Fargo Home Equity Trust FRB Ser. 07-1, Class A3,               
0.791s, 2037    --  --  222,000  78,366  174,000  61,422 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,               
Class B3, 4.435s, 2044 (United Kingdom)    --  --  131,083  15,730  131,434  15,772 
 
Total asset-backed securities (cost $34,006,925, $80,075,304 and $65,044,548)      $20,952,248    $43,690,155    $34,969,733 
 
FOREIGN GOVERNMENT BONDS AND NOTES(a)    Growth 1.1% Balanced 0.4% Conservative 0.6%
    Principal amount  Value  Principal amount  Value  Principal amount  Value 
Brazil (Federal Republic of) notes zero %, 2012  BRL  $4,130  1,764,651  $5,525  2,360,701  $4,838  2,067,163 
Japan (Government of) CPI Linked bonds 1.4s, 2018  JPY  1,558,198,700  14,796,456  --  --  --  -- 
Peru (Republic of) govt. guaranty sr. sec. bonds               
12 1/4s, 2011  PEN  --  --  8,475,000  3,016,159  7,270,000  2,587,312 
 
Total foreign government bonds and notes (cost $16,931,277, $7,076,265 and $6,130,814)      $16,561,107    $5,376,860    $4,654,475 
 
 
PURCHASED OPTIONS OUTSTANDING(a)    Growth 0.7%    Balanced 2.1%    Conservative 4.0%   
  Expiration date/  Contract  Value  Contract  Value  Contract  Value 
  strike price  amount    amount    amount   
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  $1,451,677  $32,873,000  $8,033,832  $20,822,000  $5,088,689 
 
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  1,901  32,873,000  10,519  20,822,000  6,663 
 
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  2,683,885  --  --  35,609,000  8,155,173 
 
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  33,985  --  --  35,609,000  103,266 
 
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  1,469,350  --  --  23,230,000  5,566,373 
 
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  1,717  --  --  23,230,000  6,504 
 
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  2,683,885  48,439,000  11,093,500  35,609,000  8,155,173 
 
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  33,985  48,439,000  140,473  35,609,000  103,266 
 
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  1,463,954  29,348,000  7,006,542  23,230,000  5,545,930 
 
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  1,778  29,348,000  8,511  23,230,000  6,737 
 
Total purchased options outstanding (cost $2,732,528, $7,043,658 and $8,989,074)      $9,826,117    $26,293,377    $32,737,774 
 
COMMODITY LINKED NOTES(a)    Growth 0.5% Balanced 0.5% Conservative 0.4%
    Principal amount  Value  Principal amount  Value  Principal amount  Value 
UBS AG 144A Total Return Notes zero% (Indexed to               
the UBS Bloomberg Constant Maturity Commodity Index)               
9/30/09 (United Kingdom)    $11,287,000  $7,179,491  $9,667,000  $6,149,034  $5,398,000  $3,433,587 
 
Total commodity linked notes (cost $11,287,000, $9,667,000 and $5,398,000)               
 
 
SENIOR LOANS(a)(c)    Growth 0.5% Balanced 0.9% Conservative 0.9%
    Principal amount  Value  Principal amount  Value  Principal amount  Value 
Basic materials      0.1%    0.1%    0.2% 
Aleris International, Inc. bank term loan FRN Ser. B,               
2.567s, 2013    $--  $--  $42,110  $16,718  $39,028  $15,494 
Graphic Packaging Corp. bank term loan FRN Ser. C,               
6.714s, 2014    201,971  149,055  438,426  323,558  379,312  279,932 
Huntsman International, LLC bank term loan FRN Ser. B,               
2.221s, 2012    1,250,000  763,541  1,655,000  1,010,929  1,420,000  867,383 
NewPage Holding Corp. bank term loan FRN 5.314s, 2014    --  --  93,770  59,008  87,860  55,289 
      912,596    1,410,213    1,218,098 
 
Capital goods      0.1%    0.1%    --% 
Hawker Beechcraft Acquisition Co., LLC bank term loan               
FRN 3.662s, 2014    48,032  24,737  64,945  33,446  6,106  3,145 
Hawker Beechcraft Acquisition Co., LLC bank term loan               
FRN Ser. B, 5.762s, 2014    944,756  486,549  1,260,077  648,939  103,986  53,553 
Manitowoc Co., Inc. (The) bank term loan FRN Ser. B,               
6 1/2s, 2014    590,000  410,050  795,000  552,525  --  -- 
Polypore, Inc. bank term loan FRN Ser. B, 3.93s, 2014    --  --  122,073  70,802  113,141  65,622 
Sequa Corp. bank term loan FRN 4.78s, 2014    --  --  167,684  91,388  157,359  85,761 
Transdigm, Inc. bank term loan FRN 3.498s, 2013    165,000  130,350  215,000  169,850  --  -- 
Wesco Aircraft Hardware Corp. bank term loan FRN               
3.69s, 2013    --  --  123,000  91,840  114,000  85,120 
      1,051,686    1,658,790    293,201 
 
Communication services      0.1%    0.3%    0.4% 
Alltel Communications, Inc. bank term loan FRN               
Ser. B2, 4.371s, 2015    629,221  616,794  831,683  815,258  724,497  710,189 
Alltel Communications, Inc. bank term loan FRN               
Ser. B3, 3.939s, 2015    652,048  639,822  863,442  847,253  751,294  737,207 
Cablevision Systems Corp. bank term loan FRN 2.949s,               
2013    --  --  22,005  18,695  23,070  19,600 
Charter Communications Operating, LLC bank term loan               
FRN 8.77s, 2014    143,913  113,091  317,600  249,581  272,938  214,483 
Cricket Communications, Inc. bank term loan FRN               
Ser. B, 7.262s, 2013    --  --  121,751  100,880  112,843  93,498 
Fairpoint Communications, Inc. bank term loan FRN               
Ser. B, 6.563s, 2015    290,000  180,525  640,000  398,400  555,000  345,488 
Intelsat Corp. bank term loan FRN Ser. B2, 6.65s, 2011    --  --  32,346  24,398  29,979  22,612 
Intelsat Corp. bank term loan FRN Ser. B2-A, 6.65s,               
2013    --  --  32,355  24,405  29,987  22,619 
Intelsat Corp. bank term loan FRN Ser. B2-C, 6.65s,               
2013    --  --  32,346  24,398  29,979  22,612 
Intelsat, Ltd. bank term loan FRN 6.883s, 2014               
(Bermuda)    400,000  260,000  540,000  351,000  460,000  299,000 
Level 3 Communications, Inc. bank term loan FRN 7s,               
2014    --  --  123,000  73,646  114,000  68,258 
MetroPCS Wireless, Inc. bank term loan FRN 4.843s, 2013    --  --  48,515  38,767  44,965  35,930 
PAETEC Holding Corp. bank term loan FRN Ser. B1,               
3.936s, 2013    --  --  119,326  71,397  110,595  66,173 
Time Warner Telecom, Inc. bank term loan FRN Ser. B,               
3.691s, 2013    --  --  89,410  69,069  82,867  64,015 
West Corp. bank term loan FRN 3.468s, 2013    --  --  122,068  74,680  113,136  69,215 
      1,810,232    3,181,827    2,790,899 
 
Consumer cyclicals      0.1%    0.2%    0.2% 
Affinion Group, Inc. bank term loan FRN Ser. B,               
4.644s, 2013    --  --  123,000  83,640  114,000  77,520 
Allison Transmission bank term loan FRN Ser. B,               
4.581s, 2014    --  --  120,086  66,391  111,300  61,533 
Cinemark USA, Inc. bank term loan FRN 3.58s, 2013    111,280  79,724  207,528  148,679  139,948  100,263 
Dana Corp. bank term loan FRN 6.353s, 2015    --  --  108,900  51,319  100,932  47,564 
Dex Media West, LLC/Dex Media Finance Co. bank term               
loan FRN Ser. B, 7.538s, 2014    250,000  100,000  335,000  134,000  --  -- 
DirecTV Holdings, LLC bank term loan FRN 5 1/4s, 2013    283,575  250,846  373,125  330,060  328,350  290,453 
Goodman Global Holdings, Inc. bank term loan FRN               
Ser. B, 7.708s, 2011    925,000  675,250  1,236,500  902,645  88,780  64,809 
Goodyear Tire & Rubber Co. (The) bank term loan FRN               
2.22s, 2010    --  --  123,000  77,183  114,000  71,535 
Harrah's Operating Co., Inc. bank term loan FRN               
Ser. B2, 6.536s, 2015    --  --  122,078  70,568  113,145  65,404 
Idearc, Inc. bank term loan FRN Ser. B, 5.67s, 2014    --  --  121,758  37,136  112,848  34,419 
Lear Corp bank term loan FRN 4.584s, 2013    263,396  115,762  470,136  206,625  416,463  183,036 
National Bedding Co. bank term loan FRN 3.752s, 2011    --  --  52,598  29,587  48,629  27,354 
Navistar Financial Corp. bank term loan FRN 4.358s,               
2012    --  --  32,800  17,931  30,400  16,619 
Navistar International Corp. bank term loan FRN               
3.721s, 2012    --  --  90,200  49,309  83,600  45,701 
Tropicana Entertainment bank term loan FRN Ser. B,               
4 1/2s, 2011    710,000  162,116  950,000  216,916  --  -- 
Univision Communications, Inc. bank term loan FRN               
Ser. B, 3.686s, 2014    --  --  123,000  48,995  114,000  45,410 
Visteon Corp. bank term loan FRN Ser. B, 7 3/4s, 2013    480,000  114,400  635,000  151,341  --  -- 
Yankee Candle Co., Inc. bank term loan FRN 3.404s, 2014    --  --  73,000  36,573  68,000  34,068 
      1,498,098    2,658,898    1,165,688 
 
Consumer staples      --%    --%    --% 
Pinnacle Foods Holding Corp. bank term loan FRN               
Ser. B, 6.126s, 2014    --  --  121,764  82,678  112,854  76,628 
Spectrum Brands, Inc. bank term loan FRN 1.751s, 2013    --  --  7,849  4,238  7,274  3,928 
Spectrum Brands, Inc. bank term loan FRN Ser. B1,               
6.571s, 2013    --  --  113,974  61,546  105,635  57,043 
Ticketmaster bank term loan FRN Ser. B, 6.64s, 2014    315,000  214,200  420,000  285,600  --  -- 
      214,200    434,062    137,599 
 
Energy      --%    --%    --% 
Quicksilver Resources, Inc. bank term loan FRN 7 3/4s,               
2013    271,194  174,920  360,033  232,221  --  -- 
      174,920    232,221    -- 
 
Financials      --%    --%    --% 
General Growth Properties, Inc. bank term loan FRN               
Ser. A, 2.98s, 2010 (R)    90,000  26,036  120,000  34,714  100,000  28,929 
      26,036    34,714    28,929 
 
Health care      --%    --%    --% 
Health Management Associates, Inc. bank term loan FRN               
5.512s, 2014    --  --  116,263  71,086  107,756  65,885 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term               
loan FRN 7.62s, 2014    --  --  7,863  5,578  7,288  5,170 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term               
loan FRN Ser. B, 3.431s, 2014    --  --  84,787  60,146  78,583  55,745 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term               
loan FRN Ser. DD, 3.431s, 2014    --  --  29,339  20,812  27,192  19,290 
Sun Healthcare Group, Inc. bank term loan FRN 3.662s,               
2014    --  --  20,507  13,637  19,006  12,639 
Sun Healthcare Group, Inc. bank term loan FRN Ser. B,               
4.823s, 2014    --  --  124,873  83,041  114,139  75,902 
Sun Healthcare Group, Inc. bank term loan FRN Ser. DD,               
4.955s, 2014    --  --  12,158  8,085  11,269  7,494 
      --    262,385    242,125 
 
Technology      --%    0.1%    --% 
First Data Corp. bank term loan FRN Ser. B1, 3.416s,               
2014    --  --  121,767  77,887  112,857  72,188 
First Data Corp. bank term loan FRN Ser. B3, 3.416s,               
2014    699,686  447,549  808,857  517,380  --  -- 
Travelport bank term loan FRN Ser. B, 6.012s, 2013    --  --  49,137  20,853  45,542  19,327 
Travelport bank term loan FRN Ser. DD, 3.686s, 2013    --  --  73,121  31,320  67,770  29,028 
      447,549    647,440    120,543 

Transportation        --%    0.1%    0.1% 
Ceva Group PLC bank term loan FRN 9.458s, 2015                 
(Netherlands) (F)      1,375,000  508,750  3,025,000  1,119,250  2,620,000  969,400 
        508,750    1,119,250    969,400 
 
Utilities and power        --%    --%    --% 
Energy Future Holdings Corp. bank term loan FRN                 
Ser. B2, 5.603s, 2014      --  --  121,767  84,171  112,857  78,013 
        --    84,171    78,013 
 
Total senior loans (cost $10,255,483, $18,193,523 and $10,242,768)        $6,644,067    $11,723,971    $7,044,495 
 
 
INVESTMENT COMPANIES(a)      Growth 0.2% Balanced 0.5% Conservative 0.2%
      Shares  Value  Shares  Value  Shares  Value 
Harris & Harris Group, Inc. (NON)      66,600  $263,070  54,600  $215,670  19,200  $75,840 
iShares MSCI EAFE Index Fund      33,625  1,508,754  20,100  901,887  22,814  1,023,664 
iShares Russell 2000 Growth Index Fund      --  --  --  --  5,200  264,472 
iShares Russell 2000 Value Index Fund      26,800  1,317,756  --  --  5,900  290,103 
S&P 500 Index Depository Receipts (SPDR Trust Series 1)      --  --  51,689  4,669,067  --  -- 
 
Total investment companies (cost $3,488,528, $7,333,585 and $1,911,884)        $3,089,580    $5,786,624    $1,654,079 
 
 
CONVERTIBLE BONDS AND NOTES(a)      Growth 0.0% Balanced --% Conservative --%
      Principal amount  Value  Principal amount  Value  Principal amount  Value 
General Cable Corp. cv. company guaranty sr. unsec.                 
notes 1s, 2012      $800,000  $499,000  $--  $--  $--  $-- 
 
Total convertible bonds and notes (cost $639,359, $-- and $--)        $499,000    $--    $-- 
 
 
WARRANTS(a)(NON)      Growth 0.0% Balanced 0.0% Conservative --%
  Expiration
date 		    Strike
    Price  		Warrants  Value  Warrants  Value  Warrants  Value 
AboveNet, Inc.  9/08/10   $24.00  58  $580  --  $--  29  $290 
Baoshan Iron & Steel Co. 144A (China)  12/23/09  0.001  301,400  204,982  247,000  167,984  148,400  100,926 
Dayton Superior Corp. 144A (F)  6/15/09  0.01  630  510  --  --  330  267 
Vertis Holdings, Inc. (F)  10/18/15  0.01  265  --  154  1  66  1 
 
Total warrants (cost $236,239, $183,867 and $116,707)        $206,072    $167,985    $101,484 
 
MUNICIPAL BONDS AND NOTES(a)      Growth --% Balanced 0.0% Conservative 0.1%
  Rating(RAT)    Principal amount  Value  Principal amount  Value  Principal amount  Value 
MI Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A,                 
7.309s, 6/1/34  Baa3    $--  $--  $215,000  $125,025  $225,000  $130,840 
Tobacco Settlement Fin. Auth. of WVA Rev. Bonds,                 
Ser. A, 7.467s, 6/1/47  Baa3    --  --  650,000  372,522  510,000  292,286 
 
Total municipal bonds and notes (cost $--, $864,977 and $734,976)        $--    $497,547    $423,126 
 
CONVERTIBLE PREFERRED STOCKS(a)      Growth 0.0%  Balanced 0.0% Conservative --%
      Shares  Value  Shares  Value  Shares  Value 
Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd.                 
(In default) (NON)      684  $342  912  $456  --  $-- 
 
Total convertible preferred stocks (cost $644,723, $859,630 and $--)        $342    $456    $-- 
 
SHORT-TERM INVESTMENTS(a)      Growth 7.7% Balanced 17.3% Conservative 24.9%
      Principal    Principal    Principal   
      amount/shares  Value  amount/shares  Value  amount/shares  Value 
Egypt Treasury Bill for an effective yield of 11.18%,                 
January 27, 2009 (Egypt)  EGP    2,650,000  $479,282  --  --  --  -- 
Federal Home Loan Banks for an effective yield                 
of 2.81%, July 14, 2009      $19,999,999  19,705,760  26,000,000  25,617,488  14,000,000  13,794,032 
Gemini Securitization Corp., LLC for an effective                 
yield of 0.75%, March 19, 2009      10,000,000  9,983,960  --  --  14,061,000  14,038,446 
U.S. Treasury Cash Management Bills for an effective                 
yield of 0.88%, May 15, 2009 (SEG)      824,999  822,299  20,683,000  20,615,284  1,755,000  1,749,254 
U.S. Treasury Bills for an effective yield of 0.47%,                 
November 19, 2009 (SEG)      35,000,001  34,804,350  13,350,000  13,275,374  13,217,000  13,143,117 
Interest in $300,000,000 joint tri-party repurchase                 
agreement dated December 31, 2008 with Bank of New                 
York due January 2, 2009 -- maturity value                 
of $12,000,971 for an effective yield of 0.10%                 
(collateralized by various mortgage backed securities                 
with coupon rates ranging from 5.00% to 7.00% and due                 
dates ranging from April 1, 2034 to December 1, 2038                 
valued at $306,000,001)      12,900,000  12,900,000  --  --  --  -- 
Federated Prime Obligations Fund      32,801,041  32,801,041  157,263,299  157,263,299  159,528,060  159,528,060 
 
Total short-term investments (cost $111,513,757, $216,771,445 and $202,252,909)        $111,496,692    $216,771,445    $202,252,909 
TOTAL INVESTMENTS                 
Total investments (cost $2,005,410,681, $2,240,446,761 and $1,342,709,189) (b)      $1,659,712,744    $1,952,129,275  $1,220,969,581 

Putnam Asset Allocation: Growth Portfolio         
 
FORWARD CURRENCY CONTRACTS TO BUY at 12/31/08 (aggregate face value $202,760,786) (Unaudited)       
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
 
Australian Dollar  $33,605,453  $35,049,263  1/21/09  $(1,443,810) 
Brazilian Real  842,531  805,913  1/21/09  36,618 
British Pound  30,066,243  30,327,095  1/21/09  (260,852) 
Canadian Dollar  12,744,606  13,513,703  1/21/09  (769,097) 
Chilean Peso  2,247,292  2,164,764  1/21/09  82,528 
Danish Krone  890,681  814,016  1/21/09  76,665 
Euro  59,364,477  54,700,507  1/21/09  4,663,970 
Hong Kong Dollar  722,114  722,240  1/21/09  (126) 
Hungarian Forint  380,520  358,219  1/21/09  22,301 
Japanese Yen  28,484,596  28,382,184  1/21/09  102,412 
Mexican Peso  702,884  799,312  1/21/09  (96,428) 
Norwegian Krone  12,451,653  12,233,568  1/21/09  218,085 
Polish Zloty  753,587  749,667  1/21/09  3,920 
Singapore Dollar  4,161,062  4,157,790  1/21/09  3,272 
South African Rand  33,001  30,595  1/21/09  2,406 
South Korean Won  434,769  383,810  1/21/09  50,959 
Swedish Krona  9,332,512  9,068,002  1/21/09  264,510 
Swiss Franc  7,842,347  6,982,286  1/21/09  860,061 
Taiwan Dollar  1,458,381  1,435,027  1/21/09  23,354 
Turkish Lira (New)  85,283  82,825  1/21/09  2,458 
 
Total        $3,843,206 

Putnam Asset Allocation: Growth Portfolio         
 
FORWARD CURRENCY CONTRACTS TO SELL at 12/31/08 (aggregate face value $339,433,457) (Unaudited)      
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $36,318,595  $37,751,500  1/21/09  $1,432,905 
Brazilian Real  1,973,870  1,940,525  1/21/09  (33,345) 
British Pound  47,050,561  47,395,768  1/21/09  345,207 
Canadian Dollar  28,772,676  31,130,655  1/21/09  2,357,979 
Czech Koruna  2,859,838  2,711,811  1/21/09  (148,027) 
Euro  110,099,799  101,295,625  1/21/09  (8,804,174) 
Hungarian Forint  1,814,149  1,651,078  1/21/09  (163,071) 
Japanese Yen  42,902,456  42,034,050  1/21/09  (868,406) 
New Zealand Dollar  7,758,315  8,480,358  1/21/09  722,043 
Norwegian Krone  17,327,879  17,003,952  1/21/09  (323,927) 
Polish Zloty  871,503  849,833  1/21/09  (21,670) 
Singapore Dollar  9,998,677  9,399,194  1/21/09  (599,483) 
South African Rand  3,035,672  2,797,575  1/21/09  (238,097) 
South Korean Won  1,154,772  1,015,962  1/21/09  (138,810) 
Swedish Krona  22,709,575  22,001,354  1/21/09  (708,221) 
Swiss Franc  12,507,268  11,179,341  1/21/09  (1,327,927) 
Taiwan Dollar  67,494  65,795  1/21/09  (1,699) 
Turkish Lira (New)  744,301  729,081  1/21/09  (15,220) 
 
Total        $(8,533,943) 

Putnam Asset Allocation: Growth Portfolio         
 
FUTURES CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
 
Amsterdam Exchanges index (Short)  88  $6,052,287  Jan-09  $(85,096) 
Australian Government Treasury Bond 10 yr (Short)  2  1,020,293  Mar-09  (325) 
Canadian Government Bond 10 yr (Long)  195  20,362,633  Mar-09  (72,980) 
DAX Index (Short)  10  1,687,120  Mar-09  (27,603) 
Dow Jones Euro Stoxx 50 Index (Short)  2322  79,411,355  Mar-09  (293,665) 
Euro-Bobl 5 yr (Long)  18  2,919,916  Mar-09  21,921 
Euro-Bund 10 yr (Long)  196  34,155,775  Mar-09  68,352 
Euro-Bund 10 yr (Short)  1  174,264  Mar-09  (1,762) 
Euro-CAC 40 Index (Short)  148  6,654,367  Jan-09  (109,427) 
Euro-Dollar 90 day (Short)  33  8,156,775  Jun-09  (133,077) 
Euro-Dollar 90 day (Short)  126  31,104,675  Sep-09  (542,431) 
Euro-Dollar 90 day (Short)  125  30,807,813  Dec-09  (560,703) 
Euro-Dollar 90 day (Short)  6  1,477,050  Mar-10  (32,229) 
Euro-Schatz 2 yr (Short)  1  150,017  Mar-09  (506) 
Hang Seng Index (Long)  50  4,646,834  Jan-09  (38,880) 
IBEX 35 Index (Short)  20  2,544,167  Jan-09  (16,889) 
Japanese Government Bond 10 yr (Long)  50  77,116,125  Mar-09  352,732 
Japanese Government Bond 10 yr (Short)  16  24,677,160  Mar-09  (155,060) 
FTSE 100 Index (Long)  972  62,231,095  Mar-09  1,238,165 
FTSE 100 Index (Short)  251  16,069,964  Mar-09  (485,666) 
OMXS 30 Index (Short)  618  5,200,174  Jan-09  22,957 
Russell 2000 Index Mini (Long)  289  14,267,930  Mar-09  633,562 
Russell 2000 Index Mini (Short)  396  19,550,520  Mar-09  (952,353) 
S&P 500 Index (Long)  9  2,025,225  Mar-09  10,991 
S&P 500 Index E-Mini (Long)  5468  246,060,000  Mar-09  2,261,189 
S&P 500 Index E-Mini (Short)  493  22,185,000  Mar-09  (289,777) 
S&P Mid Cap 400 Index E-Mini (Long)  766  41,149,520  Mar-09  2,418,581 
S&P Mid Cap 400 Index E-Mini (Short)  46  2,471,120  Mar-09  (101,407) 
S&P/MIB Index (Short)  23  3,117,785  Mar-09  (2,808) 
S&P/Toronto Stock Exchange 60 Index (Long)  77  6,849,378  Mar-09  172,378 
SGX MSCI Singapore Index (Short)  58  1,768,081  Jan-09  (57,616) 
SPI 200 Index (Long)  226  14,995,332  Mar-09  765,278 
SPI 200 Index (Short)  84  5,573,486  Mar-09  (293,373) 
Tokyo Price Index (Short)  565  53,608,145  Mar-09  (2,161,004) 
U.K. Gilt 10 yr (Long)  16  2,881,098  Mar-09  177,650 
U.K. Gilt 10 yr (Short)  78  14,045,355  Mar-09  (818,812) 
U.S. Treasury Bond 20 yr (Long)  320  44,175,000  Mar-09  5,737,878 
U.S. Treasury Bond 20 yr (Short)  4  552,188  Mar-09  (8,433) 
U.S. Treasury Note 2 yr (Long)  318  69,343,875  Mar-09  480,747 
U.S. Treasury Note 2 yr (Short)  476  103,797,750  Mar-09  (953,981) 
U.S. Treasury Note 5 yr (Short)  375  44,645,508  Mar-09  (1,354,945) 
U.S. Treasury Note 10 yr (Short)  2591  325,818,250  Mar-09  (13,426,604) 
 
Total        $(8,615,031) 

Putnam Asset Allocation: Growth Portfolio       
 
WRITTEN OPTIONS OUTSTANDING at 12/31/08 (premiums received $8,794,161) (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  $13,378,362 
 
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  138,588 
 
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  3,205,697 
 
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  74,277 
 
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  3,034,950 
 
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  85,751 
 
Option on an interest rate swap with JPMorgan Chase Bank for the obligation to       
pay a fixed rate of 4.4% versus the three month USD-LIBOR-BB maturing       
November 9, 2019.  5,503,000  Nov-09/4.40  836,181 
 
Option on an interest rate swap with JPMorgan Chase Bank for the obligation to       
receive a fixed rate of 4.4% versus the three month USD-LIBOR-BBA maturing       
November 9, 2019.  5,503,000  Nov-09/4.40  47,436 
 
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  847,484 
 
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  57,884 
 
Total      $21,706,610 

Putnam Asset Allocation: Growth Portfolio       
 
TBA SALE COMMITMENTS OUTSTANDING at 12/31/08 (proceeds receivable $60,089,102) (Unaudited)       
  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, January 1, 2039  $36,000,000  1/13/09  $36,933,750 
FNMA, 5s, January 1, 2039  21,000,000  1/13/09  21,459,375 
FNMA, 4 1/2s, January 1, 2039  2,000,000  1/13/09  2,029,375 
 
Total      $60,422,500 

Putnam Asset Allocation: Growth Portfolio          
 
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/08 (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.            
  $3,946,000    $--  5/23/10  3 month USD-LIBOR-BBA  3.155%  $100,504 
  3,100,000    --  7/18/13  4.14688%  3 month USD-LIBOR-BBA  (307,756) 
  13,614,000    --  8/26/18  3 month USD-LIBOR-BBA  4.54375%  2,521,424 
  83,620,000    --  9/10/10  3 month USD-LIBOR-BBA  3.22969%  3,185,107 
  39,560,000    --  9/18/38  4.36125%  3 month USD-LIBOR-BBA  (13,228,846) 
  469,369,000    --  9/18/10  3 month USD-LIBOR-BBA  2.86667%  14,904,058 
  5,019,000    (15,667)  10/1/18  4.30%  3 month USD-LIBOR-BBA  (783,765) 
  12,082,000    37,713  10/1/18  3 month USD-LIBOR-BBA  4.30%  1,886,719 
  14,105,000    (59,436)  10/8/38  3 month USD-LIBOR-BBA  4.30%  4,320,839 
  1,820,000    (687)  10/20/18  4.60%  3 month USD-LIBOR-BBA  (323,431) 
  1,350,000    510  10/20/18  3 month USD-LIBOR-BBA  4.60%  239,908 
  2,876,000    (2,614)  10/20/10  3.00%  3 month USD-LIBOR-BBA  (69,233) 
  4,367,000    3,970  10/20/10  3 month USD-LIBOR-BBA  3.00%  105,125 
  3,543,000    --  5/8/28  4.95%  3 month USD-LIBOR-BBA  (1,145,749) 
Barclays Bank PLC            
  190,590,000    --  12/9/10  3 month USD-LIBOR-BBA  2.005%  1,739,878 
  35,394,000    --  12/9/20  3 month USD-LIBOR-BBA  2.91875%  827,771 
  108,042,000    --  12/17/13  2.42875%  3 month USD-LIBOR-BBA  (1,493,662) 
Citibank, N.A.               
  16,000,000    --  7/21/18  4.80625%  3 month USD-LIBOR-BBA  (3,258,386) 
MXN  34,130,000  (F)  --  7/18/13  1 month MXN-TIIE-BANXICO  9.175%  110,294 
MXN  10,240,000  (F)  --  7/22/13  1 month MXN-TIIE-BANXICO  9.21%  34,121 
CAD  3,490,000    --  8/8/18  4.119%  3 month CAD-BA-CDOR  (439,752) 
ZAR  18,270,000  (F)  --  8/27/13  9.86%  3 month ZAR-JIBAR-SAFEX  (142,403) 
ZAR  9,135,000  (F)  --  9/2/13  9.97%  3 month ZAR-JIBAR-SAFEX  (75,881) 
  $10,400,000    --  9/5/13  3.905%  3 month USD-LIBOR-BBA  (949,817) 
AUD  3,900,000  (E)  --  9/11/18  6.1%  6 month AUD-BBR-BBSW  (166,507) 
  $89,465,000    --  9/17/13  3 month USD-LIBOR-BBA  3.4975%  6,464,222 
  38,242,000    --  9/18/38  4.45155%  3 month USD-LIBOR-BBA  (13,497,434) 
  228,426,000    --  9/18/10  3 month USD-LIBOR-BBA  2.92486%  7,484,455 
  4,533,000    --  6/29/18  2.477%  3 month USD-LIBOR-BBA  21,417 
Credit Suisse International            
  30,000    --  9/16/10  3.143%  3 month USD-LIBOR-BBA  (1,110) 
  93,873,000    --  9/18/10  3 month USD-LIBOR-BBA  2.91916%  3,078,431 
  28,339,000    --  9/23/10  3 month USD-LIBOR-BBA  3.32%  1,174,464 
  90,890,000    --  10/9/10  3 month USD-LIBOR-BBA  2.81%  1,843,299 
  10,535,000    7,391  10/31/13  3.80%  3 month USD-LIBOR-BBA  (807,796) 
  6,003,000    5,707  10/31/18  4.35%  3 month USD-LIBOR-BBA  (940,311) 
  28,000,000    --  12/5/20  3 month USD-LIBOR-BBA  3.01%  924,363 
  34,401,000    --  9/23/38  4.7375%  3 month USD-LIBOR-BBA  (14,180,166) 
  27,680,000    (295,856)  12/10/38  2.69%  3 month USD-LIBOR-BBA  155,018 
  21,230,000    226,915  12/10/38  3 month USD-LIBOR-BBA  2.69%  (118,895) 
  4,354,000    --  6/30/38  2.71%  3 month USD-LIBOR-BBA  47,660 
Deutsche Bank AG            
  9,603,000    --  9/23/38  4.75%  3 month USD-LIBOR-BBA  (3,983,000) 
  16,390,000    --  10/17/18  4.585%  3 month USD-LIBOR-BBA  (2,880,201) 
  155,211,000    --  10/24/10  3 month USD-LIBOR-BBA  2.604%  2,775,008 
  300,000    --  11/21/18  3.75%  3 month USD-LIBOR-BBA  (31,663) 
  10,667,000    9,135  11/21/10  2.25%  3 month USD-LIBOR-BBA  (141,864) 
  256,319,000    --  11/25/13  3 month USD-LIBOR-BBA  2.95409%  9,990,458 
  85,413,000    --  12/5/13  2.590625%  3 month USD-LIBOR-BBA  (1,808,199) 
  71,471,000    --  12/9/13  3 month USD-LIBOR-BBA  2.5225%  1,272,552 
  27,626,000    --  12/11/18  3 month USD-LIBOR-BBA  2.94%  894,561 
  4,139,000    --  12/15/18  3 month USD-LIBOR-BBA  2.80776%  86,113 
  12,532,000    --  12/16/28  3 month USD-LIBOR-BBA  2.845%  45,009 
  46,346,000    --  12/17/23  3 month USD-LIBOR-BBA  2.81682%  69,322 
  120,558,000    --  12/19/10  3 month USD-LIBOR-BBA  1.53429%  150,912 
  3,000,000    --  12/22/13  2.008%  3 month USD-LIBOR-BBA  16,775 
  32,750,000    --  12/24/13  2.165%  3 month USD-LIBOR-BBA  (64,686) 
  51,604,000    --  12/30/13  2.15633%  3 month USD-LIBOR-BBA  (72,677) 
Goldman Sachs International            
  4,135,000    --  3/27/13  3 month USD-LIBOR-BBA  3.4625%  283,605 
  1,425,000    --  3/29/38  4.665%  3 month USD-LIBOR-BBA  (559,497) 
  16,446,000    --  4/3/18  3 month USD-LIBOR-BBA  4.19%  2,281,836 
  2,594,000    --  4/23/18  4.43%  3 month USD-LIBOR-BBA  (405,385) 
  7,739,000    --  5/19/18  4.525%  3 month USD-LIBOR-BBA  (1,303,391) 
  68,619,000    --  11/25/28  3.38125%  3 month USD-LIBOR-BBA  (5,950,216) 
EUR  18,930,000    --  10/13/13  4.38%  6 month EUR-EURIBOR-REUTERS  (1,119,188) 
EUR  21,040,000    --  10/13/18  6 month EUR-EURIBOR-REUTERS  4.54%  1,689,929 
EUR  5,040,000    --  10/13/38  4.18%  6 month EUR-EURIBOR-REUTERS  (725,326) 
  $9,721,000    4,581  10/24/10  3 month USD-LIBOR-BBA  2.60%  178,090 
EUR  10,520,000    --  10/27/18  4.32%  6 month EUR-EURIBOR-REUTERS  (597,558) 
EUR  7,810,000    --  10/27/23  6 month EUR-EURIBOR-REUTERS  4.43%  567,397 

EUR  22,370,000    --  10/31/10  6 month EUR-EURIBOR-REUTERS  3.715%  351,392 
  $42,741,000    (264,562)  11/18/18  3 month USD-LIBOR-BBA  4.10%  5,504,443 
  147,319,000    (536,787)  11/18/13  3 month USD-LIBOR-BBA  3.45%  8,677,779 
  6,472,000    1,780  11/18/10  2.35%  3 month USD-LIBOR-BBA  (101,233) 
  117,597,000    (32,345)  11/18/10  3 month USD-LIBOR-BBA  2.35%  1,847,834 
JPMorgan Chase Bank, N.A.          
  37,233,000    --  3/5/18  4.325%  3 month USD-LIBOR-BBA  (5,989,947) 
  7,633,000    --  3/7/18  4.45%  3 month USD-LIBOR-BBA  (1,308,039) 
  6,495,000    --  3/12/18  3 month USD-LIBOR-BBA  4.4525%  1,115,325 
  1,671,000    --  3/11/38  5.0025%  3 month USD-LIBOR-BBA  (769,751) 
  13,753,000    --  3/11/38  5.03%  3 month USD-LIBOR-BBA  (6,412,161) 
  78,169,000    --  3/15/10  3 month USD-LIBOR-BBA  2.5%  1,560,913 
  10,478,000    --  3/20/13  3 month USD-LIBOR-BBA  3.145%  576,658 
  16,151,000    --  3/20/13  3 month USD-LIBOR-BBA  3.13%  878,354 
  45,327,000    --  3/25/10  3 month USD-LIBOR-BBA  2.325%  853,862 
  8,543,000    --  3/26/10  3 month USD-LIBOR-BBA  2.33375%  161,603 
  7,675,000    --  4/8/13  3 month USD-LIBOR-BBA  3.58406%  478,382 
  5,417,000    --  5/7/13  3.9325%  3 month USD-LIBOR-BBA  (438,722) 
  601,000    --  5/16/18  4.53%  3 month USD-LIBOR-BBA  (102,615) 
  6,577,000    --  5/23/10  3 month USD-LIBOR-BBA  3.16%  167,944 
  26,000,000    --  6/13/13  4.47%  3 month USD-LIBOR-BBA  (2,702,544) 
  2,000,000    --  6/27/18  3 month USD-LIBOR-BBA  4.8305%  391,192 
  51,868,000    --  7/16/10  3 month USD-LIBOR-BBA  3.384%  1,831,265 
  9,027,000    --  7/22/10  3 month USD-LIBOR-BBA  3.565%  364,155 
MXN  34,130,000  (F)  --  7/19/13  1 month MXN-TIIE-BANXICO  9.235%  116,015 
  $90,110,000    --  7/28/10  3 month USD-LIBOR-BBA  3.5141%  3,665,327 
AUD  19,520,000  (E)  --  8/6/18  6 month AUD-BBR-BBSW  6.865%  1,256,113 
ZAR  11,710,000    --  8/27/13  9.86%  3 month ZAR-JIBAR-SAFEX  (91,510) 
ZAR  5,855,000    --  9/8/13  9.95%  3 month ZAR-JIBAR-SAFEX  (49,248) 
ZAR  11,710,000    --  9/9/13  9.94%  3 month ZAR-JIBAR-SAFEX  (98,180) 
  $18,200,000    --  9/23/38  4.70763%  3 month USD-LIBOR-BBA  (7,390,307) 
  39,500,000    --  10/9/13  3.5576%  3 month USD-LIBOR-BBA  (2,533,665) 
EUR  14,680,000    --  10/17/13  6 month EUR-EURIBOR-REUTERS  4.51%  1,010,485 
  $27,685,000    --  10/23/13  3 month USD-LIBOR-BBA  3.535%  1,764,440 
EUR  6,080,000    --  10/31/13  6 month EUR-EURIBOR-REUTERS  3.967%  218,361 
  $4,092,000    (12,037)  11/4/18  3 month USD-LIBOR-BBA  4.45%  670,714 
  24,111,000    --  11/10/18  3 month USD-LIBOR-BBA  4.83%  4,874,856 
  42,300,000    --  11/10/18  4.12%  3 month USD-LIBOR-BBA  (5,867,351) 
  26,000,000    --  11/24/10  3 month USD-LIBOR-BBA  2.0075%  244,933 
  6,977,000  (E)  --  11/24/18  3.735%  3 month USD-LIBOR-BBA  (194,449) 
  12,511,000    --  12/19/18  5%  3 month USD-LIBOR-BBA  (2,714,850) 
Merrill Lynch Capital Services, Inc.          
  7,200,000    --  3/2/11  5.815%  3 month USD-LIBOR-BBA  (775,688) 
  1,361,000    --  10/26/12  4.6165%  3 month USD-LIBOR-BBA  (135,605) 
  308,000    --  5/7/38  4.8775%  3 month USD-LIBOR-BBA  (131,450) 
  42,391,000    --  5/19/10  3.2925%  3 month USD-LIBOR-BBA  (1,156,308) 
  11,271,000    --  7/22/10  3 month USD-LIBOR-BBA  3.5375%  448,464 
UBS AG               
  350,263,000    --  11/6/10  3 month USD-LIBOR-BBA  2.64%  7,258,714 
  8,289,000    275,540  11/10/28  4.45%  3 month USD-LIBOR-BBA  (1,815,655) 
  19,041,000    (483,711)  11/10/18  3 month USD-LIBOR-BBA  4.45%  2,719,281 
  36,125,000    (475,265)  11/24/38  3 month USD-LIBOR-BBA  3.3%  3,462,321 
  1,229,000    (5,999)  11/24/18  3 month USD-LIBOR-BBA  3.4%  85,244 
  4,707,000    (1,486)  11/24/10  3 month USD-LIBOR-BBA  2.05%  46,780 
  37,976,000    --  11/24/10  3 month USD-LIBOR-BBA  2.05%  388,787 
Total              $12,109,551 

(E)      See Interest rate swap contracts note(regarding extended effective dates.
 
(F)      Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.
 

 

Putnam Asset Allocation: Growth Portfolio        
 
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/08 (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) 
 
Goldman Sachs International           
EUR  18,424,000   (F) 3/26/09  (2.27%)  Eurostat  (152,149) 
        Eurozone HICP   
        excluding tobacco   
 
EUR  14,750,000  (F)  4/30/13  2.375%  French Consumer  938,345 
        Price Index   
        excluding tobacco   
 
EUR  14,750,000   (F) 4/30/13  (2.41%)  Eurostat  (988,428) 
        Eurozone HICP   
        excluding tobacco   
 
EUR  14,750,000  5/6/13  2.34%  French Consumer  804,433 
        Price Index   
        excluding tobacco   
 
EUR  14,750,000   (F) 5/6/13  (2.385%)  Eurostat  (970,886) 
        Eurozone HICP   
        excluding tobacco   
 
  $1,095,141  8/28/09  (3 month USD-  iShares MSCI  2,546,295 
      LIBOR-BBA minus  Emerging Markets   
      85 bp)  Index   
 
JPMorgan Chase Bank, N.A.           
  1,114,907  8/19/09  (3 month USD-  iShares MSCI  3,483,250 
      LIBOR-BBA minus  Emerging Markets   
      125 bp)  Index   
 
Morgan Stanley Capital Services, Inc.           
  3,721  2/3/09  (3 month USD-  MSCI 10 year  (71,122) 
      LIBOR-BBA minus  Total Return Net   
      4.40%)  Emerging Markets   
        India USD Index   
 
UBS AG           
  1,632  2/11/09  (3 month USD-  MSCI 10 year  (13,614) 
      LIBOR-BBA minus  Total Return Net   
      4.30%)  Emerging Markets   
        India USD Index   
 
Total          $5,576,124 

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

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.

Putnam Asset Allocation: Growth Portfolio               
 
CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)            
    Upfront        Fixed payments   
    premium      Termi-  received  Unrealized 
Swap counterparty /    received  Notional    nation (paid) by fund  appreciation/ 
Referenced debt*  Rating*** (paid)**    amount    date  per annum  (depreciation) 
Bank of America, N.A.               
Clear Channel               
Communications, 5 3/4%,               
1/15/13  Caa1  $--  $530,000    9/20/09  635 bp  $(96,463) 
Computer Science Corp.,               
5%, 2/15/13    --    1,190,000    3/20/18  (71 bp)  26,957 
DJ ABX CMBX BBB Index    255    370,000  (F)  10/12/52  (134 bp)  238,586 
Embarq Corp., 7.082%,               
6/1/16    --  950,000    6/20/16  (265 bp)  (57,291) 
Limited Brands, Inc.,               
6 1/8%, 12/1/12    --  935,000    12/20/12   (252 bp) 94,921 
Marriott International,               
4 5/8%, 6/15/12    --  475,000    6/20/12  (139 bp)  54,622 
Mattel, Inc., 7 1/4%,               
7/9/12    --  1,645,000    3/20/13  (157.2 bp)  38,005 
MetLife Inc., 5%,               
6/15/15    --  395,000    12/20/13   (384 bp)  18,152 
Motorola, Inc., 6.5%,               
9/1/25    --  1,790,000    11/20/11  (240 bp)  180,325 
Nalco Co., 7.75%,               
11/15/11  B1  --  70,000    9/20/12  350 bp  (7,304) 
Ryder System Inc.,               
6.95%, 12/1/25    --  1,645,000    3/20/13  (135 bp)  100,189 
Sealed Air Corp.,               
5 5/8%, 7/15/13    --  1,040,000    9/20/13  (169 bp)  130,261 
Spectra Energy Capital,               
6 1/4%, 2/15/13    --  1,645,000    9/20/14  (115 bp)  59,353 
Tyson Foods, Inc.,               
6.6%, 4/1/16    --  1,485,000    12/20/11  (370 bp)  14,928 
Tyson Foods, Inc.,               
6.6%, 4/1/16    --  1,485,000    10/20/11  (370 bp)  2,320 
Visteon Corp., 7%,               
3/10/14    (127,500)  480,000    9/20/13  (500 bp)  218,360 
Citibank, N.A.               
Advanced Micro Devices,               
Inc., 7 3/4%, 11/1/12  Caa1  86,100  1,435,000    9/20/09  500 bp  (75,052) 
Countrywide Financial               
Corp., USLibor+14,               
1/5/09    --  730,000    3/20/09  (875 bp)  (14,141) 
DJ ABX HE AAA Index  AA+  513,565  2,736,431    5/25/46  11 bp  (299,387) 
DJ ABX HE PEN AAA               
Series 6 Version 1 Index  AA+  107,016  554,801    5/25/46  11 bp  (57,606) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA+  397,746  2,388,078    5/25/46  11 bp  (311,716) 
Dominion Resources               
Inc., 5.15%, 7/15/15    --  5,295,000    6/20/18  (73 bp)  94,925 
Donnelley (R.R.) &               
Sons, 4.95%, 4/1/14    --  1,810,000    3/20/12  (102 bp)  131,635 
Hanson Plc, 7 7/8%,               
9/27/10    --  1,535,000    9/20/16  (71 bp)  922,094 
International Lease               
Finance Corp., 4.15%,               
1/20/15    --  1,840,000    6/20/13  (222.50 bp)  361,656 
International Lease               
Finance Corp., 4.15%,               
1/20/15    --  625,000    9/20/13  (105 bp)  147,799 
Lear Corp., T/L Bank               
Loan    --  265,000    6/20/13  (225 bp)  147,127 
Lear Corp., T/L Bank               
Loan  BB-  --  265,000    6/20/13  700 bp  (118,051) 
Lexmark International,               
Inc., 5.9%, 6/1/13  Baa2  --  905,000    6/20/13  108.5 bp  111,839 
Limited Brands, Inc.,               
6 1/8%, 12/1/12    --  1,755,000    12/20/12   (275 bp)  165,577 
Limited Brands, Inc.,               
6 1/8%, 12/1/12    --  295,000    6/20/11  (250 bp)  22,212 
Masco Corp., 5 7/8%,               
7/15/12    --  2,370,000    3/20/17  (213 bp)  265,507 
Newell Rubbermaid,               
Inc., 6.35%, 7/15/28    --  1,375,000    6/20/13  (85 bp)  50,014 
Qwest Capital Funding,               
7 3/4%, 2/15/31    --  1,475,000    6/20/13  (263 bp)  142,499 
Rexam PLC, 4 3/8%,               
3/15/13    --  655,000    6/20/13  (145 bp)  97,934 
Sanmina-Sci Corp.,               
8 1/8%, 3/1/16  B3  --  350,000    6/20/13  585 bp  (94,813) 
Telecom Italia SPA.               
5 3/8%, 1/29/19    --  4,865,000    9/20/11  (218 bp)  355,459 
Wind Acquisition               
Finance SA, 9 3/4%,               
12/1/15    -- EUR  48,000    3/20/13  (495 bp)  2,300 
Credit Suisse International               
Arrow Electronics,               
Inc., 6 7/8%, 6/1/18    --  $1,405,000    10/1/10  (54.2 bp)  28,233 
DJ ABX HE AAA Series 7               
Version 2 Index  BB+  35,520  64,000    1/25/38  76 bp  (3,512) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA+  180,407  910,670    5/25/46  11 bp  (88,224) 
DJ CDX NA HY Series 10  B+  201,875  1,900,000    6/20/13  500 bp  (96,313) 
DJ CDX NA HY Series 10    (6,847,813)  64,450,000    6/20/13  (500 bp)  3,267,042 
DJ CDX NA HY Series 10               
Version 1 Index  B+  742,038  6,670,000    6/20/13  500 bp  (304,760) 
DJ CDX NA IG Series 11               
Index    (19,376)  630,000    12/20/13  (150 bp)   (6,426) 
DJ CDX NA IG Series 11               
Index    (205,740)  8,700,000    12/20/13   (150 bp)  (26,902) 
DJ CMB NA CMBX AAA Index  AAA  1,352,369  8,125,000    12/13/49  8 bp  (1,082,646) 
DJ CMB NA CMBX AAA Index  AAA  44,803  286,000    2/17/51  35 bp  (41,576) 
DJ CMB NA CMBX AAA Index  AAA  103,974  804,000    2/17/51  35 bp  (138,856) 
DJ CMB NA CMBX AAA Index  AAA  106,511  804,000    2/17/51  35 bp  (136,319) 
DJ CMB NA CMBX AAA Index  AAA  89,573  804,000    2/17/51  35 bp  (153,257) 
DJ CMB NA CMBX AAA Index  AAA  27,133  201,000    2/17/51  35 bp  (33,574) 
DJ CMB NA CMBX AAA Index  AAA  113,082  992,000    2/17/51  35 bp  (186,530) 
DJ CMB NA CMBX AAA Index    (48,561)  426,000    2/17/51  (35 bp)  80,103 
DJ CMB NA CMBX AAA Index    (103,354)  1,316,000    2/17/51  (35 bp)  294,115 
DJ CMB NA CMBX AAA Index    (49,076)  658,000    2/17/51  (35 bp)  149,659 
DJ CMB NA CMBX AAA Index    (552,247)  3,946,000    2/17/51  (35 bp)  639,555 
DJ CMB NA CMBX AJ Index    (79,093)  246,000    2/17/51  (96 bp)  73,541 
Liberty Mutual               
Insurance, 7 7/8%,               
10/15/26    --  235,000    12/20/13  (210 bp)   4,133 
Southwest Airlines,               
5 1/4%, 10/1/14    --  590,000    3/20/12  (190 bp)  44,596 
Deutsche Bank AG               
Advanced Micro Devices,               
Inc., 7 3/4%, 11/1/12  Caa1  20,150  310,000    9/20/09  500 bp  (14,663) 
CBS Corp, 4 5/8%,               
5/15/18    --  1,705,000    6/20/11  (102 bp)  111,535 
CBS Corp., 4 5/8%,               
5/15/18    --  1,465,000    9/20/12  (87 bp)  144,388 
CenturyTel. Inc., 6%,               
4/1/17    --  1,235,000    6/20/13  (170 bp)  (10,908) 
CNA Financial Corp.,               
5.85%, 12/15/14    --  1,415,000    9/20/16  (155 bp)  162,187 
DJ ABX CMBX AAA Index  AAA  15,676  260,000  (F)  2/17/51  35 bp  (62,528) 
DJ ABX HE A Series 7               
Version 2 Index  CCC  256,620  282,000    1/25/38  369 bp  (13,927) 
DJ ABX HE AAA Index  AAA  87,269  1,121,996    7/25/45  18 bp  (137,067) 
DJ CDX NA HY Series 11               
Version 1 Index  B+  22,550,600  95,960,000    12/20/13 500 bp    3,370,876 

DJ CDX NA IG Series 11             
Version 1 Index    (32,315)  2,000,000  12/20/13   (150 bp) 11,106 
 
DJ CDX NA IG Series 11             
Version 1 Index  A-  158,178  7,515,000  12/20/13 150 bp  (4,975) 
 
DJ iTraxx Europe Series             
9 Version 1    131,841   EUR  1,930,000  6/20/13  (650 bp)  456,716 
 
Expedia Inc., 7.456%,             
8/15/18    --  $660,000  12/20/13  (310 bp)  88,881 
 
General Electric             
Capital Corp., 6%,             
6/15/12  Aaa  --  460,000  9/20/13  109 bp  (48,211) 
 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  --   EUR  130,000  6/20/09  400 bp  (16,315) 
 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  --   EUR  470,000  6/20/09  400 bp  (58,984) 
 
Hanson PLC., 7 7/8%,             
9/27/10    --  $260,000  9/20/16  (255 bp)  144,503 
 
iStar Financial, Inc.,             
6%, 12/15/10  Ba3  77,625  1,150,000  3/20/09  500 bp  (180,459) 
 
Korea Monetary STAB             
Bond, 5%, 2/14/09  A2  --  1,335,000  2/23/09  105 bp  (587) 
 
Korea Monetary STAB             
Bond, 5.15%, 2/12/10  A2  --  1,335,000  2/19/10  115 bp  (28,613) 
 
Nalco Co., 7.75%,             
11/15/11  B1  --  60,000  12/20/12 363 bp  (6,254) 
 
Nortel Networks Ltd,             
6 7/8%, 9/1/23  Caa2  41,200  515,000  12/20/09 500 bp  (280,561) 
 
Pacific Gas & Electric             
Co., 4.8%, 3/1/14  A3  --  775,000  12/20/13 112 bp  (89,705) 
 
Packaging Corporation             
of America, 5 3/4%,             
8/1/13    --  1,730,000  9/20/13  (129 bp)  45,640 
 
Pitney Bowes, Inc.,             
4 5/8%, 10/1/12    --  615,000  3/20/18  (95 bp)  21,024 
 
PPG Industries, Inc.,             
7.05%, 8/15/09    --  915,000  3/20/18  (154 bp)  64,793 
 
Prudential Financial             
Inc., 4 1/2%, 7/15/13    --  340,000  12/20/13   (388 bp) 34,813 
 
Smurfit Kappa Funding,             
10 1/8%, 10/1/12  B2  --   EUR 420,000  6/20/09  135 bp  (20,100) 
 
Smurfit Kappa Funding,             
7 3/4%, 4/1/15  B2  --   EUR 435,000  9/20/13  715 bp  (106,243) 
 
Sungard Data Systems,             
Inc., 9 1/8%, 8/15/13  B3  --  $50,000  12/20/13 585 bp  (4,254) 
 
Tyco Electronics Group,             
6.55%, 10/1/17    --  940,000  12/20/17   (125.5 bp) 63,621 
 
Virgin Media Finance             
PLC, 8 3/4%, 4/15/14  B2  --  EUR  605,000  9/20/13  477 bp  (112,127) 
 
Virgin Media Finance             
PLC, 8 3/4%, 4/15/14  B2  --   EUR 605,000  9/20/13  535 bp  (96,629) 
 
Goldman Sachs International             
CNA Financial Corp.,             
5.85%, 12/15/14    --  $885,000  9/20/11  (160 bp)  65,701 
 
CSC Holdings, Inc.,             
7 5/8%, 7/15/18  B1  --  340,000  9/20/13  495 bp  (28,011) 
 
CVS Caremark Corp.,             
4 7/8%, 9/15/14    --  595,000  9/20/13  (59 bp)  12,766 
 
CVS Caremark Corp.,             
4 7/8%, 9/15/14    --  740,000  9/20/11  (50 bp)  8,577 
 
DJ ABX HE A Index  CCC  94,484  141,000  1/25/38  369 bp  (40,789) 
 
DJ ABX HE AAA Index  AAA  79,132  1,017,379  7/25/45  18 bp  (124,314) 
 
DJ ABX HE AAA Index  BB+  33,138  141,000  1/25/38  76 bp  (52,854) 
 
DJ CDX NA CMBX AAA Index  AAA  8,778  240,000  3/15/49  7 bp  (39,505) 
 
DJ CDX NA HY Series 11             
Version 1 Index  B+  2,710,125  9,900,000  12/20/13 500 bp  731,401 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  31,520,000  12/20/10 417.1 bp  (2,086,353) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  8,870,000  12/20/10 435 bp  (557,139) 
 
DJ CDX NA IG Series 11             
Index    (32,571)  1,320,000  12/20/18   (140 bp) (24,637) 
 
DJ CDX NA IG Series 11             
Index    (162,884)  6,430,000  12/20/18  (140 bp)  (124,233) 
 
DJ CDX NA IG Series 11             
Version 1 Index    (700,467)  11,602,500  12/20/18  (140 bp) (630,722) 
 
DJ CDX NA IG Series 11             
Version 1 Index    (2,105,280)  38,275,000  12/20/18  (140 bp)  (1,875,205) 
 
DJ CMB NA CMBX AAA Index  AAA  1,067,975  14,468,000  2/17/51  35 bp  (3,250,167) 
 
Lighthouse             
International Co, SA,             
8%, 4/30/14  B2  --  EUR 1,195,000  3/20/13  680 bp  (318,498) 
 
Pearson PLC., 7%,             
10/27/14    --  $1,500,000  6/20/18  (96 bp)  49,745 
 
Smurfit Kappa Funding,             
7 3/4%, 4/1/15  B2  --   EUR  400,000  9/20/13  720 bp  (96,911) 
 
Southern California             
Edison Co., 7 5/8%,             
1/15/10  A3  --  $860,000  12/20/13   118.1 bp (90,241) 
 
Wind Acquisition             
Finance SA, 9 3/4%,             
12/1/15  B2  -- EUR  1,195,000  3/20/13  597 bp  15,020 
 
JPMorgan Chase Bank, N.A.             
AllTel Corp., 7 7/8%,             
7/1/32    --  $825,000  9/20/12  (95 bp)  (556) 
 
Anheuser-Busch Co.,             
Inc. 5 5/8%, 10/1/10    --  2,370,000  3/20/17  (133 bp)  95,394 
 
CenturyTel. Inc., 6%,             
4/1/17    --  725,000  6/20/13  (95 bp)  16,353 
 
Codere Finance             
(Luxembourg) S.A.,             
8.25%, 6/15/15  B+  --   EUR  1,195,000  3/20/13  795 bp  (289,706) 
 
Cox Communications,             
Inc., 6.8%, 8/1/28    --  $2,360,000  3/20/10  (45 bp)  33,854 
 
Darden Restaurants,             
Inc., 6%, 8/15/35    --  1,485,000   (F) 12/20/17  (155.3 bp)  132,431 
 
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  AA+  118,053  595,914  5/25/46  11 bp  (57,731) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  5,070,000  12/20/10 388.75 bp  (362,759) 
 
DJ CDX NA IG Series 11             
Version 1 Index    (22,233)  1,630,000  12/20/13   (150 bp)  9,889 
 
DJ CMB NA CMBX AAA Index  AAA  101,673  852,000  2/17/51  35 bp  (153,635) 
 
DJ CMB NA CMBX AAA Index  AAA  133,928  1,070,000  12/13/49  8 bp  (183,808) 
 
DJ CMB NA CMBX AAA Index  AAA  92,054  843,000  2/17/51  35 bp  (160,557) 
 
DJ CMB NA CMBX AAA Index    (153,428)  1,800,000  2/17/51  (35 bp)  385,955 
 
DJ CMB NA CMBX AAA Index    (52,179)  670,000  2/17/51  (35 bp)  148,592 
 
DJ iTraxx Europe             
Crossover Series 8             
Version 1    (638,695)  EUR  4,780,000  12/20/12   (375 bp)  705,625 
 
Embarq Corp., 7.082%,             
6/1/16    --  $3,150,000  6/20/13  (337 bp)  (196,296) 
 
Expedia, Inc., 7.456%,             
8/15/18    --  440,000  9/20/13  (300 bp)  58,743 
 
Freeport-McMoRan Copper             
& Gold, Inc., 8 3/8%,             
4/1/17    --  1,345,000  6/20/12  (145 bp)  254,114 
 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  CC-  --  1,070,000  6/20/12  750 bp  (782,851) 
 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  CC-  --  130,000  6/20/12  750 bp  (95,113) 
 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  CC-  --  120,000  9/20/13  775 bp  (89,144) 
 
iStar Financial, Inc.,             
6%, 12/15/10  Ba3  73,850  1,055,000  3/20/09  500 bp  (162,914) 
 
Jefferson Smurfit             
Corp., 7.5%, 6/1/13  Caa1  --  75,000  3/20/13  685 bp  (47,260) 

Lexmark International,               
Inc., 5.9%, 6/1/13    --  1,550,000    6/20/13  (113 bp)  188,923 
 
Nextel Communications,               
7 3/8%, 8/1/15    --  1,685,000  (F)  9/20/13  (540 bp)  347,512 
 
Sanmina-Sci Corp.,               
8 1/8%, 3/1/16  B3  --  280,000    6/20/13  595 bp  (75,123) 
 
TDC AS, 6 1/2%, 4/19/12    --  EUR  655,000    9/20/13  (200 bp)  21,608 
 
JPMorgan Securities, Inc.               
DJ CMB NA CMBX AAA Index  AAA  493,219  $5,740,000    2/17/51  35 bp  (1,226,813) 
 
Merrill Lynch Capital Services, Inc.               
Marriott International,               
4 5/8%, 6/15/12    --  2,235,000    6/20/12  (247 bp)  185,268 
 
Pacific Gas & Electric               
Co., 4.8%, 3/1/14  A3  --  815,000    12/20/13 113 bp    (93,991) 
 
Merrill Lynch International               
AllTel Corp., 7 7/8%,               
7/1/32    --  5,835,000    9/20/12  (97 bp)  (8,166) 
 
AmerisourceBergen               
Corp., 5 7/8%, 9/15/15    --  195,000    9/20/12  (65 bp)  1,486 
 
Block Financial LLC.               
5 1/8%, 10/30/14    --  2,110,000    12/20/14  (69 bp)   22,890 
 
Computer Sciences Corp,               
5%, 2/15/13    --  750,000    3/20/13  (66 bp)  8,885 
 
Felcor Lodging LP,               
8 1/2%, 6/1/11    --  770,000    6/20/11  (316 bp)  148,381 
 
Liberty Media LLC.,               
5.7%, 5/15/13    --  1,490,000    6/20/09  (203 bp)  24,237 
 
MGM Mirage Inc.,               
5 7/8%, 2/27/14    --  1,470,000  (F)  9/20/10  (470 bp)  272,086 
 
Pearson PLC, 7%,               
10/27/14    --  970,000    6/20/18  (65 bp)  55,464 
 
Sara Lee Corp., 6 1/8%,               
11/1/32    --  670,000    6/20/13  (55.5 bp)  6,295 
 
Supervalu, Inc.,               
7 1/2%, 05/15/12    --  5,760,000    8/1/09  (90 bp)  130,234 
 
Morgan Stanley Capital Services, Inc.               
Bundesrepublic of               
Deutschland, 6%, 6/20/16  Aaa  --  2,595,000    6/20/18  8 bp  (94,582) 
 
DJ ABX CMBX AAA Index  AAA  122,569  1,722,000    3/15/49  7 bp  (224,960) 
 
DJ CDX NA IG Series 11               
Index    (55,814)  2,180,000    12/20/18  (140 bp)   (42,711) 
 
DJ CMB NA CMBX AAA Index  AAA  9,224  85,000    2/17/51  35 bp  (16,344) 
 
Nalco Co., 7.75%,               
11/15/11  B1  --  70,000    9/20/12  330 bp  (7,737) 
 
Nalco Co., 7.75%,               
11/15/11  B1  --  110,000    3/20/13  460 bp  (9,479) 
 
Republic of Austria,               
5 1/4%, 1/4/11    --  2,595,000    6/20/18  (17 bp)  257,483 
 
UBS, AG               
Cardinal Health Inc.,               
5.85%, 12/15/17    --  4,045,000    6/20/13  (49 bp)  29,908 
 
Hanson PLC., 7 7/8%,               
9/27/10    --  610,000    9/20/16  (250 bp)  339,773 
 
Meritage Homes Corp.,               
7%, 5/1/14    --  195,000    9/20/13  (760 bp)  19,404 
 
Total              $(165,031) 

* 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.

*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represents the average of the ratings of all the securities included in that index. The Moody's or Standard & Poor's ratings are believed to be the most recent ratings available at December 31, 2008.

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.

Putnam Asset Allocation: Balanced Portfolio         
 
FORWARD CURRENCY CONTRACTS TO BUY at 12/31/08 (aggregate face value $176,696,475) (Unaudited)         
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
 
Australian Dollar  $26,905,659  $27,588,162  1/21/09  $(682,503) 
Brazilian Real  758,295  862,562  1/21/09  (104,267) 
British Pound  34,819,446  34,921,720  1/21/09  (102,274) 
Canadian Dollar  5,397,873  5,605,113  1/21/09  (207,240) 
Chilean Peso  1,912,989  1,853,305  1/21/09  59,684 
Euro  54,464,741  50,657,390  1/21/09  3,807,351 
Japanese Yen  22,416,564  22,384,036  1/21/09  32,528 
Mexican Peso  550,409  645,021  1/21/09  (94,612) 
Norwegian Krone  11,729,779  11,463,355  1/21/09  266,424 
Polish Zloty  659,634  656,199  1/21/09  3,435 
Singapore Dollar  597,680  561,883  1/21/09  35,797 
South African Rand  44,058  40,845  1/21/09  3,213 
South Korean Won  198,556  185,892  1/21/09  12,664 
Swedish Krona  8,780,321  8,529,762  1/21/09  250,559 
Swiss Franc  10,287,410  9,155,908  1/21/09  1,131,502 
Taiwan Dollar  1,621,554  1,585,322  1/21/09  36,232 
 
Total        $4,448,493 

Putnam Asset Allocation: Balanced Portfolio         
 
FORWARD CURRENCY CONTRACTS TO SELL at 12/31/08 (aggregate face value $285,190,069) (Unaudited)         
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
 
Australian Dollar  $29,536,393  $30,657,132  1/21/09  $1,120,739 
Brazilian Real  2,625,451  2,580,179  1/21/09  (45,272) 
British Pound  49,490,963  49,857,511  1/21/09  366,548 
Canadian Dollar  19,064,939  20,521,036  1/21/09  1,456,097 
Czech Koruna  2,417,629  2,293,827  1/21/09  (123,802) 
Danish Krone  1,047,662  957,485  1/21/09  (90,177) 
Euro  97,403,838  89,894,142  1/21/09  (7,509,696) 
Hong Kong Dollar  740,142  740,271  1/21/09  129 
Hungarian Forint  1,293,232  1,178,108  1/21/09  (115,124) 
Japanese Yen  20,358,254  19,937,799  1/21/09  (420,455) 
Mexican Peso  15,724  15,689  1/21/09  (35) 
New Zealand Dollar  4,245,379  4,641,458  1/21/09  396,079 
Norwegian Krone  16,939,624  16,622,428  1/21/09  (317,196) 
Peruvian New Sol  3,282,796  3,442,102  1/14/09  159,306 
Polish Zloty  694,528  677,149  1/21/09  (17,379) 
Singapore Dollar  5,348,832  5,028,006  1/21/09  (320,826) 
South African Rand  2,690,868  2,483,287  1/21/09  (207,581) 
South Korean Won  820,899  720,372  1/21/09  (100,527) 
Swedish Krona  16,743,812  16,219,208  1/21/09  (524,604) 
Swiss Franc  17,645,093  15,714,311  1/21/09  (1,930,782) 
Taiwan Dollar  420,014  409,441  1/21/09  (10,573) 
Turkish Lira (New)  611,617  599,128  1/21/09  (12,489) 
 
Total        $(8,247,620) 

Putnam Asset Allocation: Balanced Portfolio         
 
FUTURES CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
 
Amsterdam Exchanges Index (Short)  48  $3,301,248  Jan-09  $(46,415) 
Australian Government Treasury Bond 10 yr (Long)  8  4,081,173  Mar-09  14,001 
Canadian Government Bond 10 yr (Long)  191  19,944,938  Mar-09  (55,485) 
DAX Index (Short)  18  3,036,815  Mar-09  (49,686) 
Dow Jones Euro Stoxx 50 Index (Short)  1933  66,107,730  Mar-09  (113,518) 
Euro-Bobl 5 yr (Long)  21  3,406,568  Mar-09  25,575 
Euro-Bund 10 yr (Long)  216  37,641,058  Mar-09  104,820 
Euro-CAC 40 Index (Short)  52  2,338,021  Jan-09  (38,448) 
Euro-Dollar 90 day (Short)  128  31,638,400  Jun-09  (515,423) 
Euro-Dollar 90 day (Short)  428  105,657,150  Sep-09  (1,844,002) 
Euro-Dollar 90 day (Short)  420  103,514,250  Dec-09  (1,880,142) 
Euro-Dollar 90 day (Short)  22  5,415,850  Mar-10  (118,235) 
Hang Seng Index (Long)  38  3,531,594  Jan-09  (29,549) 
IBEX 35 Index (Short)  7  890,459  Jan-09  (5,911) 
Japanese Government Bond 10 yr (Long)  48  74,031,480  Mar-09  362,364 
New Financial Times Stock Exchange 100 Index (Long)  646  41,359,349  Mar-09  924,366 
New Financial Times Stock Exchange 100 Index (Short)  275  17,606,534  Mar-09  (532,104) 
OMXS 30 Index (Long)  29  244,021  Jan-09  (556) 
OMXS 30 Index (Short)  573  4,821,520  Jan-09  27,071 
Russell 2000 Index Mini (Long)  251  12,391,870  Mar-09  550,554 
Russell 2000 Index Mini (Short)  402  19,846,740  Mar-09  (966,915) 
S&P 500 Index (Long)  25  5,625,625  Mar-09  31,781 
S&P 500 Index E-Mini (Long)  2522  113,490,000  Mar-09  1,048,166 
S&P 500 Index E-Mini (Short)  488  21,960,000  Mar-09  (319,325) 
S&P Mid Cap 400 Index E-Mini (Long)  350  18,802,000  Mar-09  1,067,160 
S&P Mid Cap 400 Index E-Mini (Short)  41  2,202,520  Mar-09  (90,384) 
S&P/MIB Index (Long)  10  1,355,558  Mar-09  725 
S&P/Toronto Stock Exchange 60 Index (Long)  59  5,248,225  Mar-09  132,082 
SGX MSCI Singapore Index (Short)  63  1,920,502  Jan-09  (62,584) 
SPI 200 Index (Long)  161  10,682,515  Mar-09  561,271 
SPI 200 Index (Short)  80  5,308,082  Mar-09  (279,403) 
Tokyo Price Index (Short)  558  52,943,974  Mar-09  (2,136,639) 
U.K. Gilt 10 yr (Long)  22  3,961,510  Mar-09  244,226 
U.K. Gilt 10 yr (Short)  107  19,267,345  Mar-09  (1,023,485) 
U.S. Treasury Bond 20 yr (Short)  49  6,764,297  Mar-09  18,193 
U.S. Treasury Note 2 yr (Long)  594  129,529,125  Mar-09  888,304 
U.S. Treasury Note 2 yr (Short)  436  95,075,250  Mar-09  (1,000,028) 
U.S. Treasury Note 5 yr (Short)  519  61,789,383  Mar-09  (1,880,005) 
U.S. Treasury Note 10 yr (Long)  763  95,947,250  Mar-09  6,053,183 
U.S. Treasury Note 10 yr (Short)  666  83,749,500  Mar-09  377,291 
 
Total        $(557,109) 

Putnam Asset Allocation: Balanced Portfolio       
 
WRITTEN OPTIONS OUTSTANDING at 12/31/08 (premiums received $15,764,937) (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  $51,738 
 
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  4,994,412 
 
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  272,287 
 
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  11,987,954 
 
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  188,953 
 
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  8,154,918 
 
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  218,140 
 
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  7,720,557 
 
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  171,696 
 
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  2,513,818 
 
Total      $36,274,473 

Putnam Asset Allocation: Balanced Portfolio       
 
TBA SALE COMMITMENTS OUTSTANDING at 12/31/08 (proceeds receivable $150,454,063) (Unaudited)       
  Principal  Settlement   
Agency  amount  date  Value 
 
FNMA, 6 1/2s, January 1, 2039  $2,000,000  1/13/09  $2,078,438 
FNMA, 5 1/2s, January 1, 2039  99,000,000  1/13/09  101,567,812 
FNMA, 5s, January 1, 2039  41,000,000  1/13/09  41,896,875 
FNMA, 4 1/2s, January 1, 2039  6,000,000  1/13/09  6,088,125 
 
Total      $151,631,250 

Putnam Asset Allocation: Balanced Portfolio         
 
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/08 (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.            
  $24,333,000    $--  5/23/10  3 month USD-LIBOR-BBA  3.155%  $619,759 
  20,800,000    --  7/18/13  4.14688%  3 month USD-LIBOR-BBA  (2,064,943) 
  19,000,000    --  7/29/18  3 month USD-LIBOR-BBA  4.75%  3,838,380 
  19,473,000    --  8/26/18  3 month USD-LIBOR-BBA  4.54375%  3,606,558 
  189,730,000    --  9/10/10  3 month USD-LIBOR-BBA  3.22969%  7,226,864 
  79,311,000    --  9/18/38  4.36125%  3 month USD-LIBOR-BBA  (26,521,563) 
  180,482,000    --  9/18/10  3 month USD-LIBOR-BBA  2.86667%  5,730,915 
  18,000,000    --  9/19/18  3 month USD-LIBOR-BBA  4.07%  2,570,976 
  25,034,000    78,143  10/1/18  3 month USD-LIBOR-BBA  4.30%  3,909,297 
  18,544,000    (78,141)  10/8/38  3 month USD-LIBOR-BBA  4.30%  5,680,655 
  24,970,000    9,425  10/20/18  3 month USD-LIBOR-BBA  4.60%  4,437,409 
  58,762,000    (53,418)  10/20/10  3.00%  3 month USD-LIBOR-BBA  (1,414,550) 
  9,379,000    --  5/8/28  4.95%  3 month USD-LIBOR-BBA  (3,033,018) 
Barclays Bank PLC            
  195,740,000    --  12/9/10  3 month USD-LIBOR-BBA  2.005%  1,786,891 
  39,503,000    --  12/9/20  3 month USD-LIBOR-BBA  2.91875%  923,869 
  159,088,000    --  12/17/13  2.42875%  3 month USD-LIBOR-BBA  (2,199,364) 
Citibank, N.A.               
MXN  45,610,000  (F)  --  7/18/13  1 month MXN-TIIE-BANXICO  9.175%  147,393 
MXN  13,685,000  (F)  --  7/22/13  1 month MXN-TIIE-BANXICO  9.21%  45,600 
CAD  4,670,000    --  8/8/18  4.119%  3 month CAD-BA-CDOR  (588,436) 
ZAR  24,385,000  (F)  --  8/27/13  9.86%  3 month ZAR-JIBAR-SAFEX  (190,065) 
ZAR  12,192,500  (F)  --  9/2/13  9.97%  3 month ZAR-JIBAR-SAFEX  (101,279) 
  $8,800,000    --  9/5/13  3.905%  3 month USD-LIBOR-BBA  (803,692) 
AUD  5,200,000  (E)  --  9/11/18  6.1%  6 month AUD-BBR-BBSW  (222,010) 
  $124,692,000    --  9/17/13  3 month USD-LIBOR-BBA  3.4975%  9,009,521 
  76,667,000    --  9/18/38  4.45155%  3 month USD-LIBOR-BBA  (27,059,457) 
  87,835,000    --  9/18/10  3 month USD-LIBOR-BBA  2.92486%  2,877,943 
  47,592,000    --  6/29/18  2.477%  3 month USD-LIBOR-BBA  224,852 
Credit Suisse International             
  36,096,000    --  9/18/10  3 month USD-LIBOR-BBA  2.91916%  1,183,717 
  31,520,000    --  9/23/10  3 month USD-LIBOR-BBA  3.32%  1,306,296 
  117,045,000    --  10/9/10  3 month USD-LIBOR-BBA  2.81%  2,373,738 
  17,848,000    --  11/6/15  3.97005%  3 month USD-LIBOR-BBA  (1,856,293) 
  34,000,000    --  12/5/20  3 month USD-LIBOR-BBA  3.01%  1,122,440 
  42,027,000    --  9/23/38  4.7375%  3 month USD-LIBOR-BBA  (17,323,620) 
  55,500,000    (593,208)  12/10/38  2.69%  3 month USD-LIBOR-BBA  310,819 
  65,420,000    699,238  12/10/38  3 month USD-LIBOR-BBA  2.69%  (366,375) 
  11,000,000    --  12/11/18  2.9275%  3 month USD-LIBOR-BBA  (344,016) 
Deutsche Bank AG            
  12,632,000    --  9/23/38  4.75%  3 month USD-LIBOR-BBA  (5,239,326) 
  37,702,000    --  9/24/10  3 month USD-LIBOR-BBA  3.395%  1,620,877 
  22,108,000    --  10/17/18  4.585%  3 month USD-LIBOR-BBA  (3,885,020) 
  318,298,000    --  10/24/10  3 month USD-LIBOR-BBA  2.604%  5,690,830 

  211,311,000    --  11/25/13  3 month USD-LIBOR-BBA  2.95409%  8,236,197 
  53,144,000    --  11/28/13  3 month USD-LIBOR-BBA  2.8725%  1,859,671 
  103,714,000    --  12/5/13  2.590625%  3 month USD-LIBOR-BBA  (2,195,633) 
  73,402,000    --  12/9/13  3 month USD-LIBOR-BBA  2.5225%  1,306,934 
  14,419,000    --  12/11/18  2.94%  3 month USD-LIBOR-BBA  (466,904) 
  51,404,000    --  12/15/18  3 month USD-LIBOR-BBA  2.80776%  1,069,472 
  16,595,000    --  12/16/28  3 month USD-LIBOR-BBA  2.845%  59,601 
  61,744,000    --  12/17/23  3 month USD-LIBOR-BBA  2.81682%  92,353 
  223,506,000    --  12/19/10  3 month USD-LIBOR-BBA  1.53429%  279,780 
  12,710,000    --  12/24/13  2.165%  3 month USD-LIBOR-BBA  (25,104) 
  45,363,000    --  12/30/13  2.15633%  3 month USD-LIBOR-BBA  (63,888) 
Goldman Sachs International          
  43,165,000    --  4/3/18  3 month USD-LIBOR-BBA  4.19%  5,989,024 
  1,161,000    --  4/8/10  3 month USD-LIBOR-BBA  2.64%  14,384 
  7,793,000    --  4/23/18  4.43%  3 month USD-LIBOR-BBA  (1,217,873) 
  5,161,000    --  5/19/18  4.525%  3 month USD-LIBOR-BBA  (869,208) 
  16,431,000    --  5/30/28  5.014%  3 month USD-LIBOR-BBA  (5,466,694) 
EUR  24,840,000    --  10/13/13  4.38%  6 month EUR-EURIBOR-REUTERS  (1,468,601) 
EUR  27,610,000    --  10/13/18  6 month EUR-EURIBOR-REUTERS  4.54%  2,217,630 
EUR  6,630,000    --  10/13/38  4.18%  6 month EUR-EURIBOR-REUTERS  (954,149) 
  $1,184,000    (558)  10/24/10  2.6%  3 month USD-LIBOR-BBA  (21,691) 
EUR  13,805,000    --  10/27/18  4.32%  6 month EUR-EURIBOR-REUTERS  (784,153) 
EUR  10,240,000    --  10/27/23  6 month EUR-EURIBOR-REUTERS  4.43%  743,936 
EUR  49,650,000    --  10/31/10  6 month EUR-EURIBOR-REUTERS  3.715%  779,911 
  $29,140,000    (180,374)  11/18/18  3 month USD-LIBOR-BBA  4.10%  3,752,825 
  82,393,000    (300,215)  11/18/13  3 month USD-LIBOR-BBA  3.45%  4,853,333 
  313,326,000    (86,180)  11/18/10  3 month USD-LIBOR-BBA  2.35%  4,923,377 
  79,100,000    --  12/16/18  3 month USD-LIBOR-BBA  2.78%  1,345,776 
JPMorgan Chase Bank, N.A.        
  118,568,000    --  3/5/18  4.325%  3 month USD-LIBOR-BBA  (19,074,907) 
  23,396,000    --  3/7/18  4.45%  3 month USD-LIBOR-BBA  (4,009,288) 
  21,828,000    --  3/12/18  3 month USD-LIBOR-BBA  4.4525%  3,748,317 
  6,007,000    --  3/11/38  5.0025%  3 month USD-LIBOR-BBA  (2,767,144) 
  45,375,000    --  3/11/38  5.03%  3 month USD-LIBOR-BBA  (21,155,516) 
  125,112,000    --  3/15/10  3 month USD-LIBOR-BBA  2.5%  2,498,291 
  45,626,000    --  3/20/13  3 month USD-LIBOR-BBA  3.145%  2,511,033 
  112,568,000    --  3/20/13  3 month USD-LIBOR-BBA  3.13%  6,121,886 
  226,815,000    --  3/25/10  3 month USD-LIBOR-BBA  2.325%  4,272,698 
  51,496,000    --  4/8/13  3 month USD-LIBOR-BBA  3.58406%  3,209,744 
  39,437,000    --  5/16/18  4.53%  3 month USD-LIBOR-BBA  (6,733,502) 
  40,554,000    --  5/23/10  3 month USD-LIBOR-BBA  3.16%  1,035,548 
  42,000,000    --  6/13/13  4.47%  3 month USD-LIBOR-BBA  (4,365,648) 
  59,238,000    --  7/16/10  3 month USD-LIBOR-BBA  3.384%  2,091,472 
  24,487,000    --  7/22/10  3 month USD-LIBOR-BBA  3.565%  987,822 
MXN  45,610,000  (F)  --  7/19/13  1 month MXN-TIIE-BANXICO  9.235%  155,038 
AUD  26,200,000  (E)  --  8/6/18  6 month AUD-BBR-BBSW  6.865%  1,685,971 
ZAR  15,635,000    --  8/27/13  9.86%  3 month ZAR-JIBAR-SAFEX  (122,183) 

ZAR  7,817,500    --  9/8/13  9.95%  3 month ZAR-JIBAR-SAFEX  (65,755) 
ZAR  15,635,000    --  9/9/13  9.94%  3 month ZAR-JIBAR-SAFEX  (131,089) 
  $23,930,000    --  9/23/38  4.70763%  3 month USD-LIBOR-BBA  (9,717,036) 
  61,600,000    --  10/9/13  3.5576%  3 month USD-LIBOR-BBA  (3,951,235) 
EUR  14,190,000    --  10/17/13  6 month EUR-EURIBOR-REUTERS  4.51%  976,757 
  $33,314,000    --  10/23/13  3 month USD-LIBOR-BBA  3.535%  2,123,191 
EUR  7,860,000    --  10/31/13  6 month EUR-EURIBOR-REUTERS  3.967%  282,289 
  $93,709,000    282,596  11/4/18  4.45%  3 month USD-LIBOR-BBA  (15,352,770) 
  34,709,000    164,820  11/4/13  3.85%  3 month USD-LIBOR-BBA  (2,624,055) 
  38,389,000    --  11/10/18  3 month USD-LIBOR-BBA  4.83%  7,761,637 
  74,300,000    --  11/10/18  4.12%  3 month USD-LIBOR-BBA  (10,306,009) 
  8,953,000  (E)  --  11/24/18  3.735%  3 month USD-LIBOR-BBA  (249,520) 
  43,363,000    --  12/19/18  5%  3 month USD-LIBOR-BBA  (9,409,642) 
Merrill Lynch Capital Services, Inc.          
  14,124,000    --  10/26/12  4.6165%  3 month USD-LIBOR-BBA  (1,407,263) 
  30,577,000    --  7/22/10  3 month USD-LIBOR-BBA  3.5375%  1,216,634 
UBS AG               
  827,868,000    --  10/29/10  2.75%  3 month USD-LIBOR-BBA  (17,286,344) 
  138,667,000    --  10/29/20  3 month USD-LIBOR-BBA  4.18142%  21,331,952 
  80,871,000    2,688,289  11/10/28  4.45%  3 month USD-LIBOR-BBA  (17,714,296) 
  131,843,000    (3,349,294)  11/10/18  3 month USD-LIBOR-BBA  4.45%  18,828,750 
  35,257,000    (463,845)  11/24/38  3 month USD-LIBOR-BBA  3.3%  3,379,130 
  1,199,000    (5,853)  11/24/18  3 month USD-LIBOR-BBA  3.4%  83,163 
  4,594,000    (1,450)  11/24/10  3 month USD-LIBOR-BBA  2.05%  45,657 
  139,494,000    --  11/24/10  3 month USD-LIBOR-BBA  2.05%  1,428,099 
Total              $(63,645,245) 

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

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.

Putnam Asset Allocation: Balanced Portfolio        
 
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/08 (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) 
 
 
Goldman Sachs International           
EUR  $40,896,000  (F)  3/26/09  (2.27%)  Eurostat  $(337,727) 
        Eurozone HICP   
        excluding tobacco   
 
EUR  19,410,000  (F)  4/30/13  2.375%  French Consumer  1,234,798 
        Price Index   
        excluding tobacco   
 
EUR  19,410,000  (F)  4/30/13  (2.41%)  Eurostat  (1,300,704) 
        Eurozone HICP   
        excluding tobacco   
 
EUR  19,410,000  5/6/13  2.34%  French Consumer  1,058,579 
        Price Index   
        excluding tobacco   
 
EUR  19,410,000  (F)  5/6/13  (2.385%)  Eurostat  (1,277,621) 
        Eurozone HICP   
        excluding tobacco   
 
  $948,150  8/28/09  (3 month USD-  iShares MSCI  2,204,528 
      LIBOR-BBA minus  Emerging Markets   
      85 bp)  Index   
 
JPMorgan Chase Bank, N.A.           
  956,183  8/19/09  (3 month USD-  iShares MSCI  2,987,435 
      LIBOR-BBA minus  Emerging Markets   
      125 bp)  Index   
 
Total          $4,569,288 
 
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.
   

Putnam Asset Allocation: Balanced Portfolio          
 
CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)          
    Upfront        Fixed payments   
    premium        received  Unrealized 
Swap counterparty /    received  Notional    Termination  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount    date  per annum  (depreciation) 
Bank of America, N.A.               
BSKYB Finance UK Plc,               
5 3/4%, 10/20/17    $--  $3,585,000    2/20/09  (50 bp)  $10,707 
Clear Channel               
Communications, 5 3/4%,               
1/15/13  Caa1  --  705,000    9/20/09  635 bp  (128,314) 
DJ ABX CMBX BBB Index    1,225  1,781,000  (F)  10/12/52  (134 bp)  1,148,437 
Financial Security               
Assurance Holdings,               
Ltd, 6.4%, 12/15/66  Baa1  --  120,000    12/20/12  95 bp  (42,961) 
Marsh & Mclennan Co.               
Inc., 5 3/8%, 7/15/14    --  625,000    3/20/12  (95 bp)  (6,077) 
MetLife Inc., 5%,               
6/15/15    --  805,000    12/20/13  (384 bp)  36,992 
Nalco Co., 7.75%,               
11/15/11  B1  --  60,000    9/20/12  350 bp  (6,260) 
Visteon Corp., 7%,               
3/10/14    (168,672)  635,000    9/20/13  (500 bp)  288,872 
Citibank, N.A.               
Advanced Micro Devices,               
Inc., 7 3/4%, 11/1/12  Caa1  98,100  1,635,000    9/20/09  500 bp  (85,512) 
Arrow Electronic Inc.,               
6 7/8%, 6/1/18    --  135,000    3/20/13  (43 bp)  8,413 
Conagra Foods Inc., 7%,               
10/1/28    --  990,000  (F)  9/20/10  (27 bp)  6,913 
DJ ABX HE PEN AAA               
Series 6 Version 1 Index  AA+  237,566  1,231,615    5/25/46  11 bp  (127,881) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA+  138,129  829,329    5/25/46  11 bp  (108,252) 
FirstEnergy Corp.,               
7 3/8%, 11/15/31    --  2,795,000    12/20/11  (85 bp)  30,253 
Lear Corp., T/L Bank               
Loan    --  350,000    6/20/13  (225 bp)  194,318 
Lear Corp., T/L Bank               
Loan  BB-  --  350,000    6/20/13  700 bp  (155,916) 
Lighthouse               
International Co., SA,               
8%, 4/30/14  B2  --   EUR 1,245,000    3/20/13  815 bp  (265,964) 
Marsh & Mclennan Co.               
Inc., 5 3/8%, 7/15/14    --  $380,000    9/20/14  (105 bp)  (5,750) 
Rexam PLC, 4 3/8%,               
3/15/13    --  890,000    6/20/13  (145 bp)  133,070 
Sanmina-Sci Corp.,               
8 1/8%, 3/1/16  B3  --  465,000    6/20/13  585 bp  (125,966) 
Sara Lee Corp., 6 1/8%,               
11/1/32    --  330,000    9/20/11  (43 bp)  2,459 
Wind Acquisition               
Finance SA, 9 3/4%,               
12/1/15    --  EUR 42,000    3/20/13  (495 bp)  2,012 
Yum! Brands, Inc.,               
8 7/8%, 4/15/11    --  $320,000    3/20/13  (65 bp)  11,667 
Credit Suisse International               
DJ ABX HE AAA Series 7               
Version 2 Index  BB+  161,505  291,000    1/25/38  76 bp  (15,968) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA+  404,602  2,042,377    5/25/46  11 bp  (197,862) 
DJ CDX NA HY Series 10  B+  223,125  2,100,000    6/20/13  500 bp  (106,451) 
DJ CDX NA HY Series 10    (226,313)  2,130,000    6/20/13  (500 bp)  107,972 
DJ CDX NA HY Series 10               
Version 1 Index  B+  592,184  5,323,000    6/20/13  500 bp  (243,214) 
DJ CMB NA CMBX AAA Index  AAA  366,679  2,203,000    12/13/49  8 bp  (293,547) 
DJ CMB NA CMBX AAA Index  AAA  2,980,469  19,025,500    2/17/51  35 bp  (2,763,960) 
DJ CMB NA CMBX AAA Index    (185,292)  2,229,000    12/13/49  (8 bp)  482,726 
DJ CMB NA CMBX AAA Index    (320,893)  4,271,000    2/17/51  (35 bp)  969,068 
DJ CMB NA CMBX AAA Index    (171,675)  1,506,000    2/17/51  (35 bp)  283,179 
DJ CMB NA CMBX AAA Index    (135,632)  1,727,000    2/17/51  (35 bp)  385,970 
DJ CMB NA CMBX AAA Index    (64,440)  864,000    2/17/51  (35 bp)  196,513 
DJ CMB NA CMBX AAA Index    (720,608)  5,149,000    2/17/51  (35 bp)  834,534 
DJ CMB NA CMBX AJ Index    (806,039)  2,507,000    2/17/51  (96 bp)  749,459 
KB Home, 5 3/4%, 2/1/14    --  1,520,000    9/20/11  (425 bp)  83,052 

Liberty Mutual               
Insurance, 7 7/8%,               
10/15/26    --  390,000    12/20/13  (210 bp)  6,859 
 
Deutsche Bank AG               
Advanced Micro Devices,               
Inc., 7 3/4%, 11/1/12  Caa1  22,750  350,000    9/20/09  500 bp  (16,555) 
 
DJ ABX CMBX AAA Index  AAA  59,687  990,000  (F)  2/17/51  35 bp  (238,087) 
 
DJ ABX HE A Series 7               
Version 2 Index  CCC  1,172,080  1,288,000    1/25/38  369 bp  (63,608) 
 
DJ ABX HE AAA Series 6               
Version 1 Index  AAA  79,070  743,838    7/25/45  18 bp  (69,659) 
 
DJ CDX NA HY Series 11               
Version 1 Index  B+  19,720,495  83,917,000    12/20/13  500 bp  2,947,911 
 
DJ CDX NA IG Series 11               
Version 1 Index  A-  244,055  11,595,000    12/20/13  150 bp  (7,676) 
 
DJ iTraxx Europe Series               
8 Version 1    (143,405)  EUR  1,495,000    12/20/12  (375 bp)  277,067 
 
DJ iTraxx Europe Series               
9 Version 1    289,981   EUR 4,245,000    6/20/13  (650 bp)  1,004,538 
 
Grohe Holding GmBh,               
8 5/8%, 10/1/14  B3  --   EUR 285,000    6/20/09  400 bp  (35,767) 
 
Grohe Holding GmBh,               
8 5/8%, 10/1/14  B3  --   EUR 1,035,000    6/20/09  400 bp  (129,891) 
 
iStar Financial, Inc.,               
6%, 12/15/10  Ba3  38,475  $570,000    3/20/09  500 bp  (89,445) 
 
Korea Monetary STAB               
Bond, 5%, 2/14/09  A2  --  4,110,000    2/23/09  105 bp  (1,808) 
 
Korea Monetary STAB               
Bond, 5.15%, 2/12/10  A2  --  4,110,000    2/19/10  115 bp  (88,089) 
 
Nalco Co., 7.75%,               
11/15/11  B1  --  60,000    12/20/12  363 bp  (6,254) 
 
Nortel Networks Ltd,               
6 7/8%, 9/1/23  Caa2  51,600  645,000    12/20/09  500 bp  (351,383) 
 
Pacific Gas & Electric               
Co., 4.8%, 3/1/14  A3  --  895,000    12/20/13  112 bp  (103,595) 
 
Prudential Financial               
Inc., 4 1/2%, 7/15/13    --  205,000    12/20/13  (388 bp)  20,990 
 
Smurfit Kappa Funding,               
10 1/8%, 10/1/12  B2  --  EUR  560,000    6/20/09  135 bp  (26,800) 
 
Smurfit Kappa Funding,               
7 3/4%, 4/1/15  B2  --  EUR  580,000    9/20/13  715 bp  (141,657) 
 
Sungard Data Systems,               
Inc., 9 1/8%, 8/15/13  B3  --  $60,000    12/20/13  585 bp  (5,105) 
 
Universal Corp., 5.2%,               
10/15/13    --  790,000    3/20/15  (95 bp)  8,655 
 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  B2  --   EUR 800,000    9/20/13  477 bp  (148,267) 
 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  B2  --   EUR 800,000    9/20/13  535 bp  (127,774) 
 
Goldman Sachs International               
CSC Holdings, Inc.,               
7 5/8%, 7/15/18  B1  --  $605,000    9/20/13  495 bp  (49,843) 
 
CVS Caremark Corp.,               
4 7/8%, 9/15/14    --  435,000    9/20/13  (59 bp)  9,333 
 
CVS Caremark Corp.,               
4 7/8%, 9/15/14    --  540,000    9/20/11  (50 bp)  6,259 
 
DJ ABX HE A Index  CCC  431,546  644,000    1/25/38  369 bp  (186,298) 
 
DJ ABX HE AAA Index  BB+  151,354  644,000    1/25/38  76 bp  (241,405) 
 
DJ CDX NA CMBX AAA Index  AAA  20,848  570,000    3/15/49  7 bp  (93,825) 
 
DJ CDX NA HY Series 11               
Version 1 Index  B+  2,545,875  9,300,000    12/20/13  500 bp  687,074 
 
DJ CDX NA HY Series 9               
Index 25-35% tranche  A+  --  11,790,000    12/20/10  429 bp  (753,951) 
 
DJ CDX NA HY Series 9               
Index 25-35% tranche  A+  --  1,235,000    12/20/10  108.65 bp  (155,276) 
 
DJ CDX NA HY Series 9               
Index 25-35% tranche  A+  --  8,050,000    12/20/10  249 bp  (799,154) 
 
DJ CDX NA HY Series 9               
Index 25-35% tranche  A+  --  2,840,000    12/20/10  305 bp  (251,958) 
 
DJ CDX NA HY Series 9               
Index 25-35% tranche  A+  --  27,410,000    12/20/10  435 bp  (1,721,668) 
 
DJ CDX NA IG Series 11               
Index    (1,241,517)  49,010,000    12/20/18  (140 bp)  (946,912) 
 
DJ CDX NA IG Series 11               
Version 1 Index    (2,669,289)  44,214,000    12/20/18  (140 bp)  (2,403,514) 
 
DJ CDX NA IG Series 11               
Version 1 Index    (2,954,543)  53,715,000    12/20/18  (140 bp)  (2,631,656) 

Lighthouse             
International Co, SA,             
8%, 4/30/14  B2  --   EUR 745,000  3/20/13  680 bp  (198,561) 
 
Macy's Retail Holdings,             
Inc., 7.45%, 7/15/17    --  $4,375,000  6/20/11  (254.9 bp)  495,302 
 
Smurfit Kappa Funding,             
7 3/4%, 4/1/15  B2  --  EUR 540,000  9/20/13  720 bp  (130,829) 
 
Southern California             
Edison Co., 7 5/8%,             
1/15/10  A3  --  $820,000  12/20/13  118.1 bp  (86,044) 
 
Wind Acquisition             
Finance SA, 9 3/4%,             
12/1/15  B2  --  EUR 745,000  3/20/13  597 bp  9,364 
 
JPMorgan Chase Bank, N.A.             
Codere Finance             
(Luxembourg) S.A.,             
8.25%, 6/15/15  B+  --   EUR 745,000  3/20/13  795 bp  (180,611) 
 
Computer Science Corp.,             
5%, 2/15/13    --  $2,870,000  3/20/18  (82 bp)  40,014 
 
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  AA+  261,852  1,321,798  5/25/46  11 bp  (128,054) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  15,660,000  12/20/10  388.75 bp  (1,120,475) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  Aaa  --  1,266,000  12/20/10  105.5 bp  (158,309) 
 
DJ CMB NA CMBX AAA Index  AAA  267,428  2,241,000  2/17/51  35 bp  (404,104) 
 
DJ CMB NA CMBX AAA Index  AAA  870,785  6,957,000  12/13/49  8 bp  (1,195,095) 
 
DJ CMB NA CMBX AAA Index  AAA  242,201  2,218,000  2/17/51  35 bp  (422,439) 
 
DJ CMB NA CMBX AAA Index    (68,455)  879,000  2/17/51  (35 bp)  194,943 
 
DJ iTraxx Europe             
Crossover Series 8             
Version 1    (398,182)  EUR 2,980,000  12/20/12  (375 bp)  439,908 
 
Domtar Corp., 7 1/8%,             
8/15/15    --  $120,000  12/20/11  (500 bp)  7,720 
 
GATX Corp., 8.875%,             
6/1/09    --  120,000  3/20/16  (100 bp)  17,799 
 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  CC-  --  1,155,000  6/20/12  750 bp  (845,040) 
 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  CC-  --  170,000  6/20/12  750 bp  (124,378) 
 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  CC-  --  160,000  9/20/13  775 bp  (118,859) 
 
Glencore Funding LLC,             
6%, 4/15/14    --  3,150,000  6/20/14  (148 bp)  1,410,567 
 
iStar Financial, Inc.,             
6%, 12/15/10  Ba3  37,100  530,000  3/20/09  500 bp  (81,843) 
 
Jefferson Smurfit             
Corp., 7.5%, 6/1/13  Caa1  --  70,000  3/20/13  685 bp  (44,109) 
 
Sanmina-Sci Corp.,             
8 1/8%, 3/1/16  B3  --  370,000  6/20/13  595 bp  (99,270) 
 
TDC AS, 6 1/2%, 4/19/12    --  EUR 870,000  9/20/13  (200 bp)  28,700 
 
Merrill Lynch Capital Services, Inc.             
Pacific Gas & Electric             
Co., 4.8%, 3/1/14  A3  --  $950,000  12/20/13  113 bp  (109,560) 
 
Merrill Lynch International             
Kinder Morgan, Inc.,             
6 1/2%, 9/1/12    --  122,000  9/20/12  (128 bp)  9,791 
 
Morgan Stanley Capital Services, Inc.             
Bundesrepublic of             
Deutschland, 6%, 6/20/16  Aaa  --  3,465,000  6/20/18  8 bp  (126,292) 
 
DJ ABX CMBX AAA Index  AAA  615,410  8,646,000  3/15/49  7 bp  (1,129,506) 
 
DJ CDX NA IG Series 11             
Index    (128,015)  5,000,000  12/20/18  (140 bp)  (97,959) 
 
DJ CMB NA CMBX AAA Index    (721,308)  8,000,000  2/17/51  (35 bp)  1,685,113 
 
DJ CMB NA CMBX AAA Index  AAA  130,550  1,203,000  2/17/51  35 bp  (231,315) 
 
DJ CMB NA CMBX AAA Index  AAA  378,847  3,098,000  2/17/51  35 bp  (553,040) 
 
Nalco Co., 7.75%,             
11/15/11  B1  --  65,000  9/20/12  330 bp  (7,184) 
 
Nalco Co., 7.75%,             
11/15/11  B1  --  90,000  3/20/13  460 bp  (7,756) 
 
Republic of Austria,             
5 1/4%, 1/4/11    --  3,465,000  6/20/18  (17 bp)  343,807 
 
Universal Corp., 5.2%,             
10/15/13    --  2,370,000  3/20/13  (89 bp)  11,841 
 
UBS, AG             
Meritage Homes Corp.,             
7%, 5/1/14    --  190,000  9/20/13  (760 bp)  18,907 

Total  $(8,518,319) 

* 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.

*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represents the average of the ratings of all the securities included in that index. The Moody's or Standard & Poor's ratings are believed to be the most recent ratings available at December 31, 2008.

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.

Putnam Asset Allocation: Conservative Portfolio         
 
FORWARD CURRENCY CONTRACTS TO BUY at 12/31/08 (aggregate face value $60,629,193) (Unaudited)         
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
 
Australian Dollar  $7,440,767  $7,623,583  1/21/09  $(182,816) 
Brazilian Real  329,680  315,521  1/21/09  14,159 
British Pound  9,345,764  9,331,685  1/21/09  14,079 
Canadian Dollar  2,252,696  2,293,603  1/21/09  (40,907) 
Chilean Peso  611,047  587,068  1/21/09  23,979 
Danish Krone  879,796  804,068  1/21/09  75,728 
Euro  24,352,410  22,674,228  1/21/09  1,678,182 
Hungarian Forint  151,757  142,863  1/21/09  8,894 
Japanese Yen  7,257,121  7,227,974  1/21/09  29,147 
Mexican Peso  244,469  272,119  1/21/09  (27,650) 
Norwegian Krone  3,261,963  3,205,321  1/21/09  56,642 
Polish Zloty  185,300  184,480  1/21/09  820 
South African Rand  42,884  40,057  1/21/09  2,827 
South Korean Won  167,880  148,202  1/21/09  19,678 
Swedish Krona  1,616,809  1,572,465  1/21/09  44,344 
Swiss Franc  3,994,064  3,554,875  1/21/09  439,189 
Taiwan Dollar  549,665  536,239  1/21/09  13,426 
Turkish Lira (New)  118,503  114,842  1/21/09  3,661 
 
Total        $2,173,382 

Putnam Asset Allocation: Conservative Portfolio         
 
FORWARD CURRENCY CONTRACTS TO SELL at 12/31/08 (aggregate face value $123,893,572) (Unaudited)         
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
 
Australian Dollar  $9,441,454  $9,787,518  1/21/09  $346,064 
Brazilian Real  2,195,591  2,159,499  1/21/09  (36,092) 
British Pound  19,228,046  19,376,530  1/21/09  148,484 
Canadian Dollar  8,275,947  9,045,146  1/21/09  769,199 
Czech Koruna  757,971  718,776  1/21/09  (39,195) 
Euro  45,437,838  41,811,989  1/21/09  (3,625,849) 
Hong Kong Dollar  2,629,820  2,630,279  1/21/09  459 
Hungarian Forint  545,124  496,181  1/21/09  (48,943) 
Japanese Yen  11,247,401  11,018,775  1/21/09  (228,626) 
Mexican Peso  68,704  69,430  1/21/09  726 
New Zealand Dollar  1,070,151  1,161,892  1/21/09  91,741 
Norwegian Krone  5,348,892  5,249,527  1/21/09  (99,365) 
Peruvian New Sol  2,814,555  2,951,138  1/14/09  136,583 
Polish Zloty  192,001  187,286  1/21/09  (4,715) 
Singapore Dollar  3,095,069  2,910,006  1/21/09  (185,063) 
South African Rand  871,065  801,981  1/21/09  (69,084) 
South Korean Won  448,444  394,054  1/21/09  (54,390) 
Swedish Krona  5,666,045  5,496,825  1/21/09  (169,220) 
Swiss Franc  7,975,529  7,131,640  1/21/09  (843,889) 
Taiwan Dollar  164,114  159,878  1/21/09  (4,236) 
Turkish Lira (New)  346,896  335,222  1/21/09  (11,674) 
 
Total        $(3,927,085) 

Putnam Asset Allocation: Conservative Portfolio         
 
FUTURES CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
 
Amsterdam Exchange Index (Short)  5  $343,880  Jan-09  $(4,835) 
Australian Government Treasury Bond 10 yr (Long)  11  5,611,612  Mar-09  19,253 
Canadian Government Bond 10 yr (Long)  140  14,619,326  Mar-09  (19,158) 
DAX Index (Short)  16  2,699,391  Mar-09  (37,203) 
Dow Jones Euro Stoxx 50 Index (Short)  945  32,318,575  Mar-09  (56,636) 
Euro-Bobl 5 yr (Long)  19  3,082,133  Mar-09  23,139 
Euro-Bund 10 yr (Long)  181  31,541,812  Mar-09  116,099 
Euro-Dollar 90 day (Short)  130  32,132,750  Jun-09  (523,416) 
Euro-Dollar 90 day (Short)  412  101,707,350  Sep-09  (1,780,496) 
Euro-Dollar 90 day (Short)  388  95,627,450  Dec-09  (1,734,155) 
Euro-Dollar 90 day (Short)  22  5,415,850  Mar-10  (118,235) 
Euro-Schatz 2 yr (Short)  1  150,017  Mar-09  (513) 
FTSE 100 Index (Long)  258  16,518,130  Mar-09  420,808 
FTSE 100 Index (Short)  186  11,908,419  Mar-09  (359,896) 
Hang Seng Index (Long)  9  836,430  Jan-09  (6,999) 
Japanese Government Bond 10 yr (Long)  35  53,981,288  Mar-09  274,156 
MSCI EAFE Index E-Mini (Short)  52  3,293,680  Mar-09  (101,709) 
OMXS 30 Index (Long)  82  689,991  Jan-09  (4,397) 
OMXS 30 Index (Short)  20  168,290  Jan-09  945 
Russell 2000 Index Mini (Long)  162  7,997,940  Mar-09  355,608 
Russell 2000 Index Mini (Short)  206  10,170,220  Mar-09  (495,690) 
S&P 500 Index (Long)  6  1,350,150  Mar-09  18,302 
S&P 500 Index E-Mini (Long)  171  7,695,000  Mar-09  73,773 
S&P 500 Index E-Mini (Short)  657  29,565,000  Mar-09  (396,435) 
S&P Mid Cap 400 Index E-Mini (Long)  26  1,396,720  Mar-09  78,936 
S&P Mid Cap 400 Index E-Mini (Short)  83  4,458,760  Mar-09  (236,873) 
S&P/MIB Index (Long)  17  2,304,449  Mar-09  1,231 
S&P/Toronto Stock Exchange 60 Index (Long)  11  978,483  Mar-09  24,626 
SGX MSCI Singapore Index (Short)  49  1,493,723  Jan-09  (48,675) 
SPI 200 Index (Long)  22  1,459,723  Mar-09  76,695 
SPI 200 Index (Short)  54  3,582,955  Mar-09  (188,596) 
Tokyo Price Index (Short)  254  24,099,945  Mar-09  (1,111,503) 
U.K. Gilt 10 yr (Long)  20  3,601,373  Mar-09  222,034 
U.K. Gilt 10 yr (Short)  97  17,466,659  Mar-09  (820,713) 
U.S. Treasury Bond 20 yr (Long)  206  28,437,656  Mar-09  1,049,918 
U.S. Treasury Note 2 yr (Short)  235  51,244,688  Mar-09  (572,928) 
U.S. Treasury Note 5 yr (Long)  36  4,285,969  Mar-09  160,495 
U.S. Treasury Note 5 yr (Short)  269  32,025,711  Mar-09  (984,810) 
U.S. Treasury Note 10 yr (Long)  551  69,288,250  Mar-09  4,472,985 
U.S. Treasury Note 10 yr (Short)  561  70,545,750  Mar-09  397,833 
 
Total        $(1,817,035) 

Putnam Asset Allocation: Conservative Portfolio       
 
WRITTEN OPTIONS OUTSTANDING at 12/31/08 (premiums received $18,930,744) (Unaudited)       
  Contract  Expiration date/   
  amount  strike price  Value 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on       
May 14, 2022.  $9,715,000  May-12/5.51  $136,690 
 
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  2,001,290 
 
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  149,721 
 
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  6,461,719 
 
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  198,632 
 
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  8,745,174 
 
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  172,848 
 
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  6,117,544 
 
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  228,317 
 
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  22,040,286 
 
Total      $46,252,221 

Putnam Asset Allocation: Conservative Portfolio       
 
TBA SALE COMMITMENTS OUTSTANDING at 12/31/08 (proceeds receivable $56,842,891) (Unaudited)       
  Principal  Settlement   
Agency  amount  date  Value 
 
FNMA, 5 1/2s, January 1, 2039  $40,000,000  1/13/09  $41,037,500 
FNMA, 5s, January 1, 2039  12,000,000  1/13/09  12,262,500 
FNMA, 4 1/2s, January 1, 2039  4,000,000  1/13/09  4,058,750 
 
Total      $57,358,750 

Putnam Asset Allocation: Conservative Portfolio        
 
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/08 (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.               
  $20,063,000    $--  5/23/10  3 month USD-LIBOR-BBA  3.155%  $511,002 
  22,369,000    --  6/6/18  4.6675%  3 month USD-LIBOR-BBA  (4,052,376) 
  3,000,000    --  7/29/18  3 month USD-LIBOR-BBA  4.75%  606,060 
  15,344,000    --  8/26/18  3 month USD-LIBOR-BBA  4.54375%  2,841,834 
  115,340,000    --  9/10/10  3 month USD-LIBOR-BBA  3.22969%  4,393,330 
  179,544,000    --  9/18/10  3 month USD-LIBOR-BBA  2.86667%  5,701,131 
  2,000,000    --  9/19/18  3 month USD-LIBOR-BBA  4.07%  285,664 
  12,883,000    40,214  10/1/18  3 month USD-LIBOR-BBA  4.30%  2,011,803 
  14,216,000    (59,903)  10/8/38  3 month USD-LIBOR-BBA  4.30%  4,354,842 
  42,786,000    241,126  10/14/18  3 month USD-LIBOR-BBA  4.30%  6,657,860 
  67,241,000    167,901  10/14/38  4.25%  3 month USD-LIBOR-BBA  (19,909,307) 
  24,416,000    9,216  10/20/18  3 month USD-LIBOR-BBA  4.60%  4,338,958 
  51,740,000    (47,034)  10/20/10  3.00%  3 month USD-LIBOR-BBA  (1,245,513) 
  12,017,000    --  12/22/13  1.99%  3 month USD-LIBOR-BBA  77,463 
  4,145,000    --  5/8/28  4.95%  3 month USD-LIBOR-BBA  (1,340,426) 
Barclays Bank PLC               
  268,573,000    --  12/9/10  3 month USD-LIBOR-BBA  2.005%  2,451,777 
  32,295,000    --  12/9/20  3 month USD-LIBOR-BBA  2.91875%  755,293 
  373,301,000    --  12/17/13  2.42875%  3 month USD-LIBOR-BBA  (5,160,822) 
Citibank, N.A.               
MXN  34,350,000  (F)  --  7/18/13  1 month MXN-TIIE-BANXICO  9.175%  111,005 
MXN  10,305,000  (F)  --  7/22/13  1 month MXN-TIIE-BANXICO  9.21%  34,338 
CAD  3,540,000    --  8/8/18  4.119%  3 month CAD-BA-CDOR  (446,052) 
ZAR  18,535,000  (F)  --  8/27/13  9.86%  3 month ZAR-JIBAR-SAFEX  (144,468) 
ZAR  9,267,500  (F)  --  9/2/13  9.97%  3 month ZAR-JIBAR-SAFEX  (76,982) 
  $8,300,000    --  9/5/13  3.905%  3 month USD-LIBOR-BBA  (758,027) 
AUD  3,900,000  (E) --  9/11/18  6.1%  6 month AUD-BBR-BBSW  (166,507) 
  $118,072,000    --  9/17/13  3 month USD-LIBOR-BBA  3.4975%  8,531,198 
  70,840,000    --  9/18/38  4.45155%  3 month USD-LIBOR-BBA  (24,987,825) 
  87,378,000    --  9/18/10  3 month USD-LIBOR-BBA  2.92486%  2,862,970 
  41,926,000    --  6/29/18  2.477%  3 month USD-LIBOR-BBA  198,083 
Credit Suisse International            
  12,066,900    --  9/16/10  3.143%  3 month USD-LIBOR-BBA  (446,393) 
  35,909,000    --  9/18/10  3 month USD-LIBOR-BBA  2.91916%  1,177,584 
  42,449,000    --  9/23/10  3 month USD-LIBOR-BBA  3.32%  1,759,231 
  91,328,000    --  10/9/10  3 month USD-LIBOR-BBA  2.81%  1,852,183 
  14,925,000    14,189  10/31/18  4.35%  3 month USD-LIBOR-BBA  (2,337,855) 
  63,033,000    --  11/6/15  3.97005%  3 month USD-LIBOR-BBA  (6,555,787) 
  12,000,000    --  12/3/18  3 month USD-LIBOR-BBA  2.915%  364,667 
  41,000,000    --  12/5/20  3 month USD-LIBOR-BBA  3.01%  1,353,531 
  51,280,000    (548,103)  12/10/38  2.69%  3 month USD-LIBOR-BBA  287,186 
  30,020,000    320,867  12/10/38  3 month USD-LIBOR-BBA  2.69%  (168,122) 
  72,819,000    --  6/30/38  2.71%  3 month USD-LIBOR-BBA  797,095 
Deutsche Bank AG               
  9,689,000    --  9/23/38  4.75%  3 month USD-LIBOR-BBA  (4,018,670) 
  17,896,000    --  10/17/18  4.585%  3 month USD-LIBOR-BBA  (3,144,849) 
  307,895,000    --  10/24/10  3 month USD-LIBOR-BBA  2.604%  5,504,835 
  23,000,000    --  11/18/18  3 month USD-LIBOR-BBA  4.04%  3,024,094 
  182,000    --  11/21/18  3.75%  3 month USD-LIBOR-BBA  (19,209) 
  7,551,000    6,467  11/21/10  2.25%  3 month USD-LIBOR-BBA  (100,423) 
  290,227,000    --  11/25/13  3 month USD-LIBOR-BBA  2.95409%  11,312,079 
  58,387,000    --  11/28/13  3 month USD-LIBOR-BBA  2.8725%  2,043,140 
  122,997,000    --  12/5/13  2.590625%  3 month USD-LIBOR-BBA  (2,603,855) 
  100,715,000    --  12/9/13  3 month USD-LIBOR-BBA  2.5225%  1,793,246 
  23,776,000    --  12/11/18  2.94%  3 month USD-LIBOR-BBA  (769,894) 
  53,062,000    --  12/15/18  3 month USD-LIBOR-BBA  2.80776%  1,103,967 
  70,800,000    --  12/16/18  3 month USD-LIBOR-BBA  2.845%  1,719,132 
  40,500,000    --  12/16/38  2.765%  3 month USD-LIBOR-BBA  20,323 
  15,405,000    --  12/16/28  3 month USD-LIBOR-BBA  2.845%  55,327 
  131,089,000    --  12/17/23  3 month USD-LIBOR-BBA  2.81682%  196,075 
  230,318,000    --  12/19/10  3 month USD-LIBOR-BBA  1.53429%  288,307 
  27,244,000    --  12/24/13  2.165%  3 month USD-LIBOR-BBA  (53,811) 
  48,851,000    --  12/30/13  2.15633%  3 month USD-LIBOR-BBA  (68,800) 
Goldman Sachs International            
  1,943,000    --  4/8/10  3 month USD-LIBOR-BBA  2.64%  24,073 

  4,103,000    --  4/23/18  4.43%  3 month USD-LIBOR-BBA  (641,208) 
  5,111,000    --  5/19/18  4.525%  3 month USD-LIBOR-BBA  (860,787) 
  6,902,000    --  5/30/28  5.014%  3 month USD-LIBOR-BBA  (2,296,337) 
EUR  19,200,000    --  10/13/13  4.38%  6 month EUR-EURIBOR-REUTERS  (1,135,151) 
EUR  21,340,000    --  10/13/18  6 month EUR-EURIBOR-REUTERS  4.54%  1,714,025 
EUR  5,120,000    --  10/13/38  4.18%  6 month EUR-EURIBOR-REUTERS  (736,839) 
  $17,441,000    8,219  10/24/10  3 month USD-LIBOR-BBA  2.60%  319,521 
EUR  10,670,000    --  10/27/18  4.32%  6 month EUR-EURIBOR-REUTERS  (606,078) 
EUR  7,920,000    --  10/27/23  6 month EUR-EURIBOR-REUTERS  4.43%  575,388 
EUR  42,560,000    --  10/31/10  6 month EUR-EURIBOR-REUTERS  3.715%  668,540 
  $16,975,000    (105,073)  11/18/18  3 month USD-LIBOR-BBA  4.10%  2,186,143 
  141,209,000    (514,524)  11/18/13  3 month USD-LIBOR-BBA  3.45%  8,317,871 
  181,889,000    (50,028)  11/18/10  3 month USD-LIBOR-BBA  2.35%  2,858,071 
JPMorgan Chase Bank, N.A.               
  108,271,000    --  3/5/18  4.325%  3 month USD-LIBOR-BBA  (17,418,353) 
  20,439,000    --  3/7/18  4.45%  3 month USD-LIBOR-BBA  (3,502,558) 
  20,800,000    --  3/12/18  3 month USD-LIBOR-BBA  4.4525%  3,571,788 
  5,091,000    --  3/11/38  5.0025%  3 month USD-LIBOR-BBA  (2,345,186) 
  41,043,000    --  3/11/38  5.03%  3 month USD-LIBOR-BBA  (19,135,776) 
  90,389,000    --  3/15/10  3 month USD-LIBOR-BBA  2.5%  1,804,927 
  41,018,000    --  3/20/13  3 month USD-LIBOR-BBA  3.145%  2,257,431 
  106,684,000    --  3/20/13  3 month USD-LIBOR-BBA  3.13%  5,801,891 
  215,990,000    --  3/25/10  3 month USD-LIBOR-BBA  2.325%  4,068,779 
  47,989,000    --  4/8/13  3 month USD-LIBOR-BBA  3.58406%  2,991,152 
  27,816,000    --  5/16/18  4.53%  3 month USD-LIBOR-BBA  (4,749,324) 
  33,439,000    --  5/23/10  3 month USD-LIBOR-BBA  3.16%  853,866 
  25,000,000    --  6/13/13  4.47%  3 month USD-LIBOR-BBA  (2,598,600) 
  65,996,000    --  7/16/10  3 month USD-LIBOR-BBA  3.384%  2,330,071 
  20,788,000    --  7/22/10  3 month USD-LIBOR-BBA  3.565%  838,602 
MXN  34,350,000  (F)  --  7/19/13  1 month MXN-TIIE-BANXICO  9.235%  116,763 
  $134,630,000    --  7/28/10  3 month USD-LIBOR-BBA  3.5141%  5,476,229 
AUD  19,760,000  (E)  --  8/6/18  6 month AUD-BBR-BBSW  6.865%  1,271,557 
ZAR  11,885,000    --  8/27/13  9.86%  3 month ZAR-JIBAR-SAFEX  (92,878) 
ZAR  5,942,500    --  9/8/13  9.95%  3 month ZAR-JIBAR-SAFEX  (49,984) 
ZAR  11,885,000    --  9/9/13  9.94%  3 month ZAR-JIBAR-SAFEX  (99,648) 
  $18,360,000    --  9/23/38  4.70763%  3 month USD-LIBOR-BBA  (7,455,277) 
  49,900,000    --  10/9/13  3.5576%  3 month USD-LIBOR-BBA  (3,200,757) 
EUR  11,710,000    --  10/17/13  6 month EUR-EURIBOR-REUTERS  4.51%  806,048 
  $35,458,000    --  10/23/13  3 month USD-LIBOR-BBA  3.535%  2,259,834 
EUR  6,200,000    --  10/31/13  6 month EUR-EURIBOR-REUTERS  3.967%  222,670 
  $9,132,000    27,539  11/4/18  4.45%  3 month USD-LIBOR-BBA  (1,496,137) 
  48,306,000    --  11/10/18  3 month USD-LIBOR-BBA  4.83%  9,766,695 
  45,300,000    --  11/10/18  4.12%  3 month USD-LIBOR-BBA  (6,283,475) 
  1,000,000    --  11/18/18  3 month USD-LIBOR-BBA  4.04%  131,482 
  75,000,000    --  11/24/10  3 month USD-LIBOR-BBA  2.0075%  706,539 
  7,136,000   (E)  --  11/24/18  3.735%  3 month USD-LIBOR-BBA  (198,880) 
  31,782,000    --  12/19/18  5%  3 month USD-LIBOR-BBA  (6,896,599) 
Merrill Lynch Capital Services, Inc.            
  5,002,000    --  10/26/12  4.6165%  3 month USD-LIBOR-BBA  (498,381) 
  25,957,000    --  7/22/10  3 month USD-LIBOR-BBA  3.5375%  1,032,808 
UBS AG               
  651,364,000    --  10/29/10  2.75%  3 month USD-LIBOR-BBA  (13,600,842) 
  109,102,000    --  10/29/20  3 month USD-LIBOR-BBA  4.18142%  16,783,791 
  42,246,000    1,404,328  11/10/28  4.45%  3 month USD-LIBOR-BBA  (9,253,727) 
  65,358,000    (1,660,335)  11/10/18  3 month USD-LIBOR-BBA  4.45%  9,333,900 
  37,318,000    (490,960)  11/24/38  3 month USD-LIBOR-BBA  3.3%  3,576,662 
  1,269,000    (6,194)  11/24/18  3 month USD-LIBOR-BBA  3.4%  88,018 
  4,863,000    (1,535)  11/24/10  3 month USD-LIBOR-BBA  2.05%  48,331 
  15,134,000    --  11/24/10  3 month USD-LIBOR-BBA  2.05%  154,937 
Total              $(9,393,739) 

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

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.

Putnam Asset Allocation: Conservative Portfolio           
  
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/08 (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) 
 
 
Goldman Sachs International           
EUR  $35,056,000 (F)  3/26/09  (2.27%)  Eurostat  $(289,499) 
        Eurozone HICP   
        excluding tobacco   
 
EUR  16,890,000   (F)  4/30/13  2.375%  French Consumer  1,074,484 
        Price Index   
        excluding tobacco   
 
EUR  16,890,000  (F)  4/30/13  (2.41%)  Eurostat  (1,131,834) 
        Eurozone HICP   
        excluding tobacco   
 
EUR  16,890,000  5/6/13  2.34%  French Consumer  921,144 
        Price Index   
        excluding tobacco   
 
EUR  16,890,000 (F)  5/6/13  (2.385%)  Eurostat  (1,111,747) 
        Eurozone HICP   
        excluding tobacco   
 
  $446,645  8/28/09  (3 month USD-  iShares MSCI  1,038,487 
      LIBOR-BBA minus  Emerging Markets   
      85 bp)  Index   
 
JPMorgan Chase Bank, N.A.           
  519,575  8/19/09  (3 month USD-  iShares MSCI  1,632,984 
      LIBOR-BBA minus  Emerging Markets   
      125 bp)  Index   
 
Total          $2,134,019 
 
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.
           

Putnam Asset Allocation: Conservative Portfolio               
 
CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)               
    Upfront        Fixed payments   
    premium      Termi-  received  Unrealized 
Swap counterparty /    received  Notional    nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount    date  per annum  (depreciation) 
Bank of America, N.A.               
BSKYB Finance UK PLC,               
5 3/4%, 10/20/17    $--  $3,260,000    2/20/09  (50 bp)  $9,737 
DJ ABX CMBX BBB Index    1,072  1,559,000  (F)  10/12/52  (134 bp)  1,005,285 
Financial Security               
Assurance Holdings,               
Ltd, 6.4%, 12/15/66  Baa1  --  105,000    12/20/12  95 bp  (37,591) 
Marsh & Mclennan Co.,               
Inc., 5 3/8%, 7/15/14    --  565,000    3/20/12  (95 bp)  (5,494) 
MetLife, Inc., 5%,               
6/15/15    --  230,000    12/20/13  (384 bp)  10,569 
Nalco Co., 7.75%,               
11/15/11  B1  --  30,000    9/20/12  350 bp  (3,130) 
Citibank, N.A.               
Arrow Electronic, Inc.,               
6 7/8%, 6/1/18    --  155,000    3/20/13  (43 bp)  9,660 
Conagra Foods, Inc.,               
7%, 10/1/28    --  860,000  (F)  9/20/10  (27 bp)  6,005 
DJ ABX HE PEN AAA               
Series 6 Version 1 Index  AA+  203,628  1,055,670    5/25/46  11 bp  (109,613) 
FirstEnergy Corp.,               
7 3/8%, 11/15/31    --  2,535,000    12/20/11  (85 bp)  27,439 
Lear Corp., T/L Bank               
Loan    --  305,000    6/20/13  (225 bp)  169,334 
Lear Corp., T/L Bank               
Loan  BB-  --  305,000    6/20/13  700 bp  (135,870) 
Lighthouse               
International Co., SA,               
8%, 4/30/14  B2  --  EUR 1,000,000    3/20/13  815 bp  (213,626) 
Marsh & Mclennan Co.,               
Inc., 5 3/8%, 7/15/14    --  $345,000    9/20/14  (105 bp)  (5,220) 
Sara Lee Corp., 6 1/8%,               
11/1/32    --  300,000    9/20/11  (43 bp)  2,235 
Yum! Brands, Inc.,               
8 7/8%, 4/15/11    --  270,000    3/20/13  (65 bp)  9,844 
Credit Suisse International               
DJ ABX HE AAA Series 7               
Version 2 Index  BB+  135,975  245,000    1/25/38  76 bp  (13,444) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA+  346,801  1,750,609    5/25/46  11 bp  (169,596) 
DJ CDX NA HY Series 10  B+  51,450  490,000    6/20/13  500 bp  (25,451) 
DJ CDX NA HY Series 10  B+  456,875  4,300,000    6/20/13  500 bp  (217,972) 
DJ CDX NA HY Series 10               
Version 1 Index  B+  703,656  6,325,000    6/20/13  500 bp  (288,996) 
DJ CMB NA CMBX AAA Index  AAA  2,399,643  14,417,000    12/13/49  8 bp  (1,921,046) 
DJ CMB NA CMBX AAA Index  AAA  3,255,793  20,783,000    2/17/51  35 bp  (3,021,254) 
DJ CMB NA CMBX AAA Index    (244,182)  3,250,000    2/17/51  (35 bp)  737,408 
DJ CMB NA CMBX AAA Index  AAA  65,307  505,000    2/17/51  35 bp  (87,217) 
DJ CMB NA CMBX AAA Index  AAA  66,901  505,000    2/17/51  35 bp  (85,623) 
DJ CMB NA CMBX AAA Index  AAA  56,262  505,000    2/17/51  35 bp  (96,262) 
DJ CMB NA CMBX AAA Index  AAA  17,009  126,000    2/17/51  35 bp  (21,047) 
DJ CMB NA CMBX AAA Index  AAA  70,904  622,000    2/17/51  35 bp  (116,957) 
DJ CMB NA CMBX AAA Index    (104,846)  1,335,000    2/17/51  (35 bp)  298,362 
DJ CMB NA CMBX AAA Index    (49,747)  667,000    2/17/51  (35 bp)  151,706 
DJ CMB NA CMBX AAA Index    (558,265)  3,989,000    2/17/51  (35 bp)  646,525 
DJ CMB NA CMBX AJ Index    (460,732)  1,433,000    2/17/51  (96 bp)  428,390 
KB Home, 5 3/4%, 2/1/14    --  1,380,000    9/20/11  (425 bp)  75,402 
Liberty Mutual               
Insurance, 7 7/8%,               
10/15/26    --  70,000    12/20/13  (210 bp)  1,231 
Deutsche Bank AG               
DJ ABX CMBX AAA Index  AAA  54,261  900,000  (F)  2/17/51  35 bp  (216,443) 
DJ ABX HE A Series 7               
Version 2 Index  CCC  984,620  1,082,000    1/25/38  369 bp  (53,435) 
DJ ABX HE AAA Series 6               
Version 1 Index  AAA  67,745  637,301    7/25/45  18 bp  (59,682) 
DJ CDX NA HY Series 11               
Version 1 Index  B+  10,623,175  45,205,000    12/20/13  500 bp  1,588,002 

DJ iTraxx Europe Series             
8 Version 1    (115,108)   EUR 1,200,000  12/20/12  (375 bp)  210,017 
 
DJ iTraxx Europe Series             
9 Version 1    251,044  EUR  3,675,000  6/20/13  (650 bp)  895,974 
 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  --  EUR 245,000  6/20/09  400 bp  (30,747) 
 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  --  EUR 895,000  6/20/09  400 bp  (112,321) 
 
iStar Financial, Inc.,             
6%, 12/15/10  Ba3  32,738  $485,000  3/20/09  500 bp  (76,107) 
 
Korea Monetary STAB             
Bond, 5%, 2/14/09  A2  --  3,770,000  2/23/09  105 bp  (1,659) 
 
Korea Monetary STAB             
Bond, 5.15%, 2/12/10  A2  --  3,770,000  2/19/10  115 bp  (80,802) 
 
Nalco Co., 7.75%,             
11/15/11  B1  --  25,000  12/20/12  363 bp  (2,606) 
 
Nortel Networks, Ltd.,             
6 7/8%, 9/1/23  Caa2  111,200  1,390,000  12/20/09  500 bp  (757,243) 
 
Pacific Gas & Electric             
Co., 4.8%, 3/1/14  A3  --  665,000  12/20/13  112 bp  (76,973) 
 
Smurfit Kappa Funding,             
10 1/8%, 10/1/12  B2  --   EUR 490,000  6/20/09  135 bp  (23,450) 
 
Smurfit Kappa Funding,             
7 3/4%, 4/1/15  B2  --   EUR 440,000  9/20/13  715 bp  (107,464) 
 
Sungard Data Systems,             
Inc., 9 1/8%, 8/15/13  B3  --  $30,000  12/20/13  585 bp  (2,552) 
 
Universal Corp., 5.2%,             
10/15/13    --  710,000  3/20/15  (95 bp)  7,779 
 
Virgin Media Finance             
PLC, 8 3/4%, 4/15/14  B2  --   EUR 690,000  9/20/13  477 bp  (127,881) 
 
Virgin Media Finance             
PLC, 8 3/4%, 4/15/14  B2  --  EUR 690,000  9/20/13  535 bp  (110,205) 
 
Goldman Sachs International             
CVS Caremark Corp.,             
4 7/8%, 9/15/14    --  $435,000  9/20/13  (59 bp)  9,333 
 
CVS Caremark Corp.,             
4 7/8%, 9/15/14    --  540,000  9/20/11  (50 bp)  6,259 
 
DJ ABX HE A Index  CCC  362,525  541,000  1/25/38  369 bp  (156,502) 
 
DJ ABX HE AAA Index  BB+  127,146  541,000  1/25/38  76 bp  (202,795) 
 
DJ CDX NA CMBX AAA Index  AAA  17,922  490,000  3/15/49  7 bp  (80,656) 
 
DJ CDX NA HY Series 11             
Version 1 Index  B+  2,600,625  9,500,000  12/20/13  500 bp  701,849 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  12,330,000  12/20/10  429 bp  (788,483) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  1,062,000  12/20/10  108.65 bp  (133,525) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  7,290,000  12/20/10  249 bp  (723,706) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  2,580,000  12/20/10  305 bp  (228,892) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  25,050,000  12/20/10  435 bp  (1,573,432) 
 
DJ CDX NA IG Series 11             
Index    (929,274)  37,660,000  12/20/18  (140 bp)  (702,896) 
 
DJ CDX NA IG Series 11             
Index    (191,256)  7,550,000  12/20/18  (140 bp)  (145,872) 
 
DJ CDX NA IG Series 11             
Version 1 Index    (1,586,426)  26,277,500  12/20/18  (140 bp)  (1,428,469) 
 
DJ CDX NA IG Series 11             
Version 1 Index    (4,191,309)  76,200,000  12/20/18  (140 bp)  (3,715,138) 
 
Lighthouse             
International Co, SA,             
8%, 4/30/14  B2  --  EUR 680,000  3/20/13  680 bp  (181,237) 
 
Macy's Retail Holdings,             
Inc., 7.45%, 7/15/17    --  $3,965,000  6/20/11  (254.9 bp)  448,885 
 
Smurfit Kappa Funding,             
7 3/4%, 4/1/15  B2  --  EUR 405,000  9/20/13  720 bp  (98,122) 
 
Southern California             
Edison Co., 7 5/8%,             
1/15/10  A3  --  $615,000  12/20/13  118.1 bp  (64,533) 
 
Wind Acquisition             
Finance SA, 9 3/4%,             
12/1/15  B2  --  EUR 680,000  3/20/13  597 bp  8,547 
 
JPMorgan Chase Bank, N.A.             
Codere Finance             
(Luxembourg) S.A.,             
8.25%, 6/15/15  B+  --  EUR 680,000  3/20/13  795 bp  (164,853) 
 
Computer Science Corp.,             
5%, 2/15/13    --  $2,625,000  3/20/18  (82 bp)  36,598 

DJ ABX HE PEN AAA             
Series 6 Version 2 Index  AA+  224,370  1,132,591  5/25/46  11 bp  (109,724) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  14,310,000  12/20/10  388.75 bp  (1,023,882) 
 
DJ CDX NA HY Series 9             
Index 25-35% tranche  A+  --  1,089,000  12/20/10  105.5 bp  (136,176) 
 
DJ CMB NA CMBX AAA Index  AAA  244,396  2,048,000  2/17/51  35 bp  (369,302) 
 
DJ CMB NA CMBX AAA Index  AAA  321,929  2,572,000  12/13/49  8 bp  (441,826) 
 
DJ CMB NA CMBX AAA Index  AAA  40,403  370,000  2/17/51  35 bp  (70,470) 
 
DJ CMB NA CMBX AAA Index    (52,880)  679,000  2/17/51  (35 bp)  150,588 
 
DJ CMBX NA AAA Series 4             
Version 1 Index    (6,373,955)  16,000,000  2/17/51  (35 bp)  (1,579,439) 
 
DJ iTraxx Europe             
Crossover Series 8             
Version 1    (363,442)  EUR 2,720,000  12/20/12  (375 bp)  369,110 
 
Domtar Corp., 7 1/8%,             
8/15/15    --  $110,000  12/20/11  (500 bp)  7,076 
 
GATX Corp., 8.875%,             
6/1/09    --  130,000  3/20/16  (100 bp)  19,282 
 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  CC-  --  770,000  6/20/12  750 bp  (563,360) 
 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  CC-  --  140,000  6/20/12  750 bp  (102,429) 
 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  CC-  --  120,000  9/20/13  775 bp  (89,144) 
 
Glencore Funding, LLC,             
6%, 4/15/14    --  2,860,000  6/20/14  (148 bp)  1,280,705 
 
iStar Financial, Inc.,             
6%, 12/15/10  Ba3  33,250  475,000  3/20/09  500 bp  (73,350) 
 
Jefferson Smurfit             
Corp., 7.5%, 6/1/13  Caa1  --  35,000  3/20/13  685 bp  (22,054) 
 
Merrill Lynch Capital Services, Inc.             
Pacific Gas & Electric             
Co., 4.8%, 3/1/14  A3  --  710,000  12/20/13  113 bp  (81,882) 
 
Merrill Lynch International             
Kinder Morgan, Inc.,             
6 1/2%, 9/1/12    --  126,000  9/20/12  (128 bp)  10,112 
 
Morgan Stanley Capital Services, Inc.             
Bundesrepublic of             
Deutschland, 6%, 6/20/16  Aaa  --  2,571,000  6/20/18  8 bp  (93,707) 
 
DJ ABX CMBX AAA Index  AAA  451,058  6,337,000  3/15/49  7 bp  (827,860) 
 
DJ CDX NA IG Series 11             
Index    (133,904)  5,230,000  12/20/18  (140 bp)  (102,465) 
 
DJ CMB NA CMBX AAA Index  AAA  22,355  206,000  2/17/51  35 bp  (39,610) 
 
DJ CMB NA CMBX AAA Index  AAA  338,736  2,770,000  2/17/51  35 bp  (494,487) 
 
DJ CMB NA CMBX AAA Index  AAA  329,197  2,473,000  12/13/49  8 bp  (407,867) 
 
Nalco Co., 7.75%,             
11/15/11  B1  --  30,000  9/20/12  330 bp  (3,316) 
 
Nalco Co., 7.75%,             
11/15/11  B1  --  45,000  3/20/13  460 bp  (3,878) 
 
Republic of Austria,             
5 1/4%, 1/4/11    --  2,571,000  6/20/18  (17 bp)  255,102 
 
Universal Corp., 5.2%,             
10/15/13    --  2,130,000  3/20/13  (89 bp)  10,642 
 
UBS, AG             
Meritage Homes Corp.,             
7%, 5/1/14    --  90,000  9/20/13  (760 bp)  8,956 
 
Total            $(15,826,370) 

* 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.

*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying
referenced debt. Ratings for an underlying index represents the average of the ratings of all the securities included
in that index. The Moody's or Standard & Poor's ratings are believed to be the most recent ratings available at
December 31, 2008.

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.

Key to holding's currency abbreviations
 
AUD  Australian Dollar 
BRL  Brazilian Real 
CAD  Canadian Dollar 
EGP  Egyptian Pound 
EUR  Euro 
JPY  Japanese Yen 
MXN  Mexican Peso 
PEN  Peruvian Neuvo Sol 
USD / $  United States Dollar 
ZAR  South African Rand 

NOTES

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

Growth Portfolio  $ 1,440,567,937 
Balanced Portfolio  1,251,773,271 
Conservative Portfolio  812,180,209 

(RAT) The Moody's, Standard & Poor's or Fitch ratings indicated are believed to be the most recent ratings available at December 31, 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 December 31, 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 December 31, 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    depreciation 
 
Growth Portfolio  $  2,017,815,203 $  84,740,341  $  (442,842,800)  $  (358,102,459)
Balanced Portfolio    2,252,792,170   98,300,813    (398,963,708) (300,662,895)
Conservative Portfolio    1,348,468,146   75,543,438    (203,041,703) (127,498,265)

(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.

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

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

The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral.

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on the securities valuation inputs. On December 31, 2008, fair value pricing was also used for certain foreign securities in the portfolio.

(R) Real Estate Investment Trust.

At December 31, 2008, liquid assets totaling $570,884,838, $1,019,637,678 and $664,029,162, (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) have been designated as collateral for open forward commitments, swap contracts, forward contracts and futures contracts).

Debt obligations are considered secured unless otherwise indicated.

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

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

The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at December 31, 2008.

Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at December 31, 2008.

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

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of issue at December 31, 2008 (as a percentage of Portfolio Value):

Growth Portfolio   
United States  73.8% 
Japan  5.6 
United Kingdom  3.7 
France  1.8 
Italy  1.3 
Netherlands  1.3 
Switzerland  1.3 
China  0.9 
Canada  0.9 
Australia  0.8 
Brazil  0.7 
Belgium  0.7 
Luxembourg  0.7 
Germany  0.6 
Sweden  0.6 
Other  5.3 
Total  100.0% 
  
 
Balanced Portfolio   
United States  86.4% 
Japan  2.6 
United Kingdom  2.6 

France  1.0 
Switzerland  0.8 
Netherlands  0.8 
Canada  0.7 
Italy  0.7 
Australia  0.5 
Other  3.9 
Total  100.0% 
 
  
Conservative Portfolio   
United States  89.3% 
United Kingdom  2.4 
Japan  1.7 
France  0.7 
Canada  0.7 
Switzerland  0.6 
Netherlands  0.6 
Other  4.0 
Total  100.0% 

Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (“Putnam Management”), the fund’s manager, a wholly-owned subsidiary of Putnam Investments, LLC. 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 December 31, 2008, fair value pricing was used for certain foreign securities in the portfolio.

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation which Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. 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 fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.

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

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

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

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

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

Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security, 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 realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are 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 The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. 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 losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are 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 The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position

at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform.

TBA purchase commitments The 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 The 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, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale, 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.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. While the adoption of SFAS 157 does not have a material effect on the fund’s net asset value, it does require additional disclosures about fair value measurements. The Standard establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

Level 2 – Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 – Valuations based on inputs that are unobservable and significant to the fair value measurement.

The following is a summary of the inputs used to value the fund’s net assets as of December 31, 2008:

Growth Portfolio     
 
Valuation inputs  Investments in securities     Other financial instruments*
Level 1  $ 659,819,362  $ (8,615,031) 
Level 2  998,363,441  (415,940) 
Level 3  1,529,941  -- 
Total  $ 1,659,712,744  $ (9,030,971) 
 
 
Balanced Portfolio     
 
Valuation inputs  Investments in securities    Other financial instruments* 
Level 1  $ 656,840,547  $ (557,109) 
Level 2  1,291,774,975  (93,080,126) 
Level 3  3,513,753  -- 
Total  $ 1,952,129,275  $ (93,637,235) 
 
Conservative Portfolio     
Valuation inputs  Investments in securities    Other financial instruments* 
Level 1  $ 368,082,781  $ (1,817,035) 
Level 2  850,020,999  (52,677,129) 
Level 3  2,865,801  -- 
Total  $ 1,220,969,581  $ (54,494,164) 

* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/(depreciation) on the instrument.

The following is a reconciliation of Level 3 assets as of December 31, 2008:     
Growth Portfolio     
  Investment in securities  Other financial instruments* 
Balance as of 9/30/08 $ 1,698,772  $ -- 
Accrued discounts/premiums  --  -- 
Realized Gain / Loss  51 -- 
Change in net unrealized appreciation (depreciation)  343,946  -- 
Net Purchases / Sales  9,331  -- 
Net Transfers in and/or out of Level 3  (522,159)  -- 
Balance as of December 31, 2008  $ 1,529,941  $ -- 
  
Balanced Portfolio     
  Investment in securities  Other financial instruments* 
Balance as of 9/30/08 $ 3,288,554  $ -- 
Accrued discounts/premiums  --  -- 
Realized Gain / Loss  (15,521)  -- 
Change in net unrealized appreciation (depreciation)  (4,224)  -- 
Net Purchases / Sales  (231)  -- 
Net Transfers in and/or out of Level 3  245,175  -- 
Balance as of December 31, 2008  $ 3,513,753  $ -- 
 
Conservative Portfolio     
  Investment in securities  Other financial instruments* 
Balance as of 9/30/08 $ 2,948,265  $ -- 
Accrued discounts/premiums  --  -- 
Realized Gain / Loss  (255,028)  -- 
Change in net unrealized appreciation (depreciation)  110,679  -- 
Net Purchases / Sales  (9,426)  -- 
Net Transfers in and/or out of Level 3  71,311  -- 
Balance as of December 31, 2008  $ 2,865,801  $ -- 

* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/ (depreciation) on the instrument.

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

Item 2. Controls and Procedures:

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

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

Item 3. Exhibits:

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

SIGNATURES

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

Putnam Asset Allocation Funds

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: February 27, 2009

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

By (Signature and Title):

/s/ Charles E. Porter
Charles E. Porter
Principal Executive Officer
Date: February 27, 2009

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: February 27, 2009