N-CSRS 1 a_assetallocation.htm PUTNAM ASSET ALLOCATION FUNDS a_assetallocation.htm
UNITED STATES 
SECURITIES AND EXCHANGE COMMISSION 
Washington, D.C. 20549 
 
FORM N-CSR 
 
CERTIFIED SHAREHOLDER REPORT OF REGISTERED 
MANAGEMENT INVESTMENT COMPANIES 
 
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: October 1, 2008 — March 31, 2009 

Item 1. Report to Stockholders:
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:


Since 1937, when George Putnam created a prudent mix of stocks and bonds in a single, professionally managed portfolio, we have championed the wisdom of the balanced approach. Today, we offer a world of equity, fixed-income, multi-asset, and absolute-return portfolios so investors can pursue a range of financial goals. Our seasoned portfolio managers seek superior results over time, backed by original, fundamental research on a global scale. We believe in service excellence, in the value of experienced financial advice, and in putting clients first in everything we do.


In 1830, Massachusetts Supreme Judicial Court Justice Samuel Putnam established The Prudent Man Rule, a legal foundation for responsible money management.


THE PRUDENT MAN RULE

All that can be required of a trustee to invest is that he shall conduct himself faithfully and exercise a sound discretion. He is to observe how men of prudence, discretion, and intelligence manage their own affairs, not in regard to speculation, but in regard to the permanent disposition of their funds, considering the probable income, as well as the probable safety of the capital to be invested.


Putnam
Asset Allocation
Funds

3|31 |09
Semiannual Report

Message from the Trustees  2 
About the funds  4 
Performance snapshot  6 
Interview with your fund’s Portfolio Manager  7 
Performance in depth  13 
Expenses  18 
Portfolio turnover  21 
Your fund’s management  22 
Terms and definitions  24 
Trustee approval of management contract  25 
Other information for shareholders  31 
Financial statements  32 

Message from the Trustees

Dear Fellow Shareholder:

After 18 months of deep and painful losses, the stock market showed a glimmer of promise late in the first quarter. For the first 10 weeks of 2009, the S&P 500 Index fell by approximately 25%, before abruptly reversing course with just three weeks left in the quarter. Recent technical and valuation improvements also may augur well for the fixed-income market.

While the bottom of a bear market can only be identified in retrospect, we are encouraged by the upswing because it corresponds closely to historic turning points in the stock market. Notably, the upswing followed more aggressive government stimulus efforts and Federal Reserve action, as well as the kind of widespread sell-offs by investors that are often associated with market bottoms.

Under President and CEO Robert L. Reynolds, Putnam Investments has instituted several changes in order to position Putnam mutual funds for a market recovery. In April, Walter C. Donovan, a 25-year investment-industry veteran, joined Putnam as Chief Investment Officer. Mr. Donovan will lead a reinvigorated investment organization strengthened by the arrival during the past few months of several well-regarded senior portfolio managers, research analysts, and equity traders.

We also are pleased to announce that Ravi Akhoury has been elected to the Board of Trustees of the Putnam Funds. From 1992 to 2007, Mr. Akhoury was Chairman and CEO of MacKay Shields,

2

a multi-product investment management firm with over $40 billion in assets under management. He serves as advisor to New York Life Insurance Company, and previously was a member of its Executive Management Committee.

We would like to take this opportunity to welcome new shareholders to the fund and to thank all of our investors for your continued confidence in Putnam.


About the funds

Portfolios for investors with different goals and appetites for risk

Putnam Asset Allocation Funds provide balanced diversification through three portfolios — Growth, Balanced, and Conservative — designed for investors with different goals and attitudes toward risk. Each portfolio has a distinct objective and a target mix of stocks and bonds. The mix of holdings is rebalanced regularly as the funds’ managers take profits on investments that have outperformed and invest the proceeds in areas they believe offer greater future potential. Spreading fund holdings across a variety of asset classes has been shown time and again to be a prudent strategy for long-term investors because it can help to smooth the ups and downs of the market.

Combining insights gained from proprietary research with expertise in the tools and concepts of diversification, Putnam’s asset allocation specialists create investment strategies for each of the Putnam Asset Allocation Funds. These strategies integrate the global perspective of experienced portfolio managers, flexible weightings of asset classes in accordance with their perceived attractiveness, and individual security analysis to add value within each asset class.

The funds’ managers also draw on the resources of Putnam’s global research group, which covers more than 1,000 securities worldwide; on the recommendations of Putnam’s investment-style teams, which are based on their in-depth analysis of specific market segments; and on input from the firm’s economists, market strategists, and currency specialists.

This comprehensive approach, incorporating the insights of many specialists, helps the managers keep the portfolios true to their investment objectives in the context of ever-changing market conditions.

Putnam Asset Allocation Funds can invest in international investments, which involve risks such as currency fluctuations, economic instability, and political developments. The portfolios can invest some or all of their assets in small and/or midsize companies. Such investments increase the risk of greater price fluctuations. The use of derivatives involves special risks and may result in losses.

The portfolios can also have a significant portion of their holdings in bonds. Mutual funds that invest in bonds are subject to certain risks, including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds have more exposure to interest-rate risk than short-term bonds. Lower-rated bonds may offer higher yields in return for more risk. Unlike bonds, bond funds have ongoing fees and expenses. These risks apply to any fund with a significant portion of its assets invested in bonds.

Diversification does not ensure a profit or protect against loss. It is possible to lose money in a diversified portfolio.


The portfolios invest in a wide range of securities across many
asset classes and are actively rebalanced to manage risk.


Performance snapshot

Putnam Asset Allocation Funds

Average annual total return (%) comparison as of 3/31/09

Class A share average annual total return as of 3/31/09

  Growth Portfolio  Balanced Portfolio  Conservative Portfolio 
(inception dates)  (2/8/94)  (2/7/94)  (2/7/94) 
  Before sales  After sales  Before sales  After sales  Before sales  After sales 
  charge  charges  charge  charge  charge  charge 
Annual average             
(life of fund)  4.39%  3.98%  4.10%  3.69%  4.05%  3.65% 
10 years  –5.55  –10.98  –2.40  –8.02  13.06  6.55 
Annual average  –0.57  –1.16  –0.24  –0.83  1.24  0.64 
5 years  –17.02  –21.82  –16.12  –20.97  –8.58  –13.83 
Annual average  –3.66  –4.80  –3.45  –4.60  –1.78  –2.93 
3 years  –34.28  –38.07  –28.84  –32.91  –17.23  –22.02 
Annual average  –13.06  –14.76  –10.72  –12.46  –6.11  –7.96 
1 year  –36.95  –40.58  –30.98  –34.94  –21.12  –25.66 
6 months*  –26.91  –31.12  –21.92  –26.40  –13.58  –18.56 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. After-sales-charge returns reflect a maximum 5.75% load. See pages 7 and 13–17 for additional performance information. For a portion of the periods, these funds may have limited expenses, without which returns would have been lower. Due to market volatility, current performance may be higher or lower than performance shown. A 1% short-term trading fee may apply. To obtain the most recent month-end performance, visit putnam.com.

* Returns for the six-month period are not annualized, but cumulative.

6

Interview with your
fund’s Portfolio Manager

Jeff Knight

Jeff, thanks for taking the time today to discuss Putnam Asset Allocation Funds. Can you begin with reviewing fund performance over the past six months?

Global stock markets declined significantly during the semiannual period, and the three Putnam Asset Allocation Funds — Conservative, Balanced, and Growth — had negative results. The Balanced Portfolio returned –21.92% at net asset value (NAV), the Conservative Portfolio –13.58%, and the Growth Portfolio –26.91%. On a relative basis, Balanced and Growth outperformed their benchmark, theRussell 3000 Index, which posted a result of –31.12%. Conservative under-performed its benchmark, the Barclays Capital Aggregate Bond Index, which advanced 4.70%. All three of the funds underperformed the average of their Lipper peer groups.

As mentioned in the previous report, we focused on improving the funds’ relative performance, and I can report a strong comeback for our active strategies in recent months. Shareholders who took a patient, long-term view have begun to be rewarded. The rebound unfolded with an improvement in the

Broad market index and fund performance

This chart shows the performance of broad market indexes for the six months ended 3/31/09. See the previous page and pages 13–17 for fund performance information. Index descriptions can be found on page 24.


7

performance of our active strategies in fixed-income sectors, which had previously been a source of weakness. Unfortunately, this progress was masked in January and February as equity markets fell substantially. Finally, in March we saw progress on many fronts, as the fixed-income and equity strategies performed well, and the funds benefited from a small tactical increase to equities amid the stock market rally.

Why have the markets remained so volatile?

In the first quarter alone stocks experienced a condensed bear market followed by a bull market. This is the latest wave of volatility that has persisted for several quarters, but the run up to this credit crisis lasted many years, and it will take a while for markets, and the economy, to return to equilibrium. The semiannual period began amid the government’s early efforts to stabilize the financials sector through introduction of the Troubled Asset Relief Program (TARP). Since then, the program has already gone through several changes. Each time the market viewed policy as unclear or ineffective, stock prices dropped. In March, the markets at last showed some confidence that new policies have a realistic chance of succeeding, and stock prices rose sharply.

Unfortunately, the economy is clearly not out of the woods yet. Conditions deteriorated rapidly in late 2008 despite the government’s interventions. Millions of workers have lost their jobs and consumer spending has fallen, sending

Growth Portfolio:
Comparison of equity and fixed-income weightings

This chart shows how the fund’s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets. Holdings will vary over time.


8

shockwaves through industries from retailing to automobiles. Americans are generally trying to spend less and save more, and this is discouraging a wide range of businesses from investing for future growth.

Given that you make allocations to several asset classes, what is your view of the relative conditions in the stock and bond markets?

Diversification, an important ingredient in our investment approach, is starting to work effectively again after difficulty in 2008, when almost every asset class declined. This has been a welcome change. Fixed-income securities have delivered better results in the semiannual period, and this has helped to offset losses from stocks in the United States and other developed markets. We never wavered in our view that the intrinsic value of many of our fixed-income holdings had remained intact. Many were high-quality securities whose prices fell because of the process of deleveraging by other institutions. This is helping the funds recover lost ground from 2008, but these securities still have a long way to go to reach what we consider their fundamental value. We are also seeing strength from our selections in U.S. equities, especially among large-cap stocks. The process of deleveraging in financial markets had a harsh impact for some time on our securities selected with quantitative strategies, but we are starting to see this trend change, and these holdings have been performing better.

Balanced Portfolio:
Comparison of equity and fixed-income weightings

This chart shows how the fund’s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets. Holdings will vary over time.


9

Let’s discuss each portfolio in more detail, starting with the Growth Portfolio.

For the Growth Portfolio, the large strategic allocation to stocks has continued to be the main factor in performance. It is probably of little comfort to note that we underweighted stocks and had an overweight to cash for most of the semiannual period, particularly when stocks were declining. Also, our stock selections performed better as the period progressed. International developed markets were weak as economic conditions in Japan and Europe deteriorated sharply. Emerging markets performed somewhat better. Finally, the dollar strengthened during the period because the United States appears to be closer to a recovery than Europe or Japan, which hurt the results of international securities. The portfolio’s fixed-income holdings staged a strong rally beginning near the midpoint of the period, and made a noteworthy contribution to results.

How did the Balanced Portfolio perform?

The Balanced Portfolio has a strategic fixed-income allocation of 40%, and a relatively small international weighting of about 10%. These structural advantages during this period allowed our active strategies to make a little more headway than they did with the Growth Portfolio. The tactical underweight to equities and overweight to cash were beneficial to returns, and the sustained recovery in bond sectors helped the fund’s results, though they did not offset the decline in equity prices. As with the other portfolios, there was a significant improvement in relative performance

Conservative Portfolio:
Comparison of equity and fixed-income weightings

This chart shows how the fund’s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets. Holdings will vary over time.


10

during the period. Fixed-income and large-cap equity holdings performed poorly until December, but both asset classes have contributed positively to results since January. Meanwhile, our stock selection in small caps went from a net contributor in the first half of the period to a detractor.

Did the Conservative Portfolio have better results, given its larger fixed-income allocation?

This fund had the best absolute returns of the three because the vast majority of its assets are in fixed-income securities rather than equities. That its result was negative indicates the magnitude of the decline in stock prices. Although early in the period our security selections among fixed-income sectors had poor results, the strategy improved dramatically in the final months of the semiannual period. We continued to focus on bonds with high credit quality among commercial mortgage-backed securities, mortgage pass-throughs, and agencies. The recent sustained rally in these sectors indicates that policy-makers’ efforts to thaw credit markets are having some success. We also favored short-term securities that have benefited from reductions in short-term interest rates in international markets.

It sounds as if the picture is a little brighter than at the start of the year. What do you see ahead?

In my view, the rally in the stock market during March was not another one of the false starts we have seen during this bear market, but instead was more similar to significant historic turning points. The selling pressure in January and February was broad-based and indiscriminate. The fact that the market was able to recover from those depths, and quickly, suggests there is new confidence. Even as market conditions become steadier, however, we do not expect the major indices to rebound to year-ago levels any time soon. Economic softness, rising unemployment, and ongoing deleveraging are likely to subdue stocks in the intermediate term.

IN THE NEWS

At the G-20 summit in London in early April 2009, world economic leaders pledged $1.1 trillion to fund a global stimulus package designed to provide emergency loans to dozens of countries and to rekindle trade activity. About $500 billion from the Group of 20 nations will be used to increase capital available to the International Monetary Fund, an organization of 185 countries that encourages financial, employment, trade, anti-poverty, and economic efforts worldwide. In its April World Economic Outlook (WEO), the IMF predicts that world output will decline by 1.3% in 2009, with a slow recovery expected in 2010.

11

Are you making any changes in strategy?

We are continuing our emphasis on fixed-income securities, but I think it’s time to gradually begin taking on more risk. We are starting to see new profit opportunities. The downturn in the business cycle has allowed stronger companies to gain market share at the expense of competitors. In addition, we are encouraged that government policy has become more aggressive and somewhat better directed. That has provided confidence to the markets. We also recognize that these policies could trigger future inflation, and this prompts us to look for ways to deploy the cash we have in the funds. The recent resilience of emerging markets has been impressive, and we are looking to add to holdings in these regions. We also believe that small-cap U.S. stocks and mortgage-backed bonds look attractive. We are considering a wide range of opportunities that were created during the market’s steep decline.

Jeff, thanks for sharing your insights about the markets and your strategy for the portfolios.

The views expressed in this report are exclusively those of Putnam Management. They are not meant as investment advice.

Putnam Asset Allocation: Growth Portfolio, Balanced Portfolio, and Conservative Portfolio are series of Putnam Asset Allocation Funds, a registered investment company.

Of special interest

Dividend change for Conservative Portfolio.

In March 2009, the Conservative Portfolio’s dividend was reduced by 20%, from $0.030 per class A share to $0.024. The dividend had increased in the previous fiscal year, but in the current fiscal year, the fund’s interest income has been lower, as interest rates have fallen. The dividend change for other share classes of the portfolio may vary slightly.

12

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2009, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represents past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section of putnam.com or call Putnam at 1-800-225-1581. Class Y shares are generally only available to corporate and institutional clients and clients in other approved programs. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.

13

Growth Portfolio

Fund performance Total return for periods ended 3/31/09

  Class A  Class B  Class C  Class M  Class R  Class Y 
(inception dates)  (2/8/94)  (2/16/94)  (9/1/94)  (2/3/95)  (1/21/03)             (7/14/94) 
  NAV  POP  NAV  CDSC  NAV  CDSC  NAV  POP  NAV  NAV 
Annual average                     
(life of fund)  4.39%  3.98%  3.62%  3.62%  3.57%  3.57%  3.86%  3.62%  4.12%  4.65% 
10 years  –5.55  –10.98  –12.32  –12.32  –12.39  –12.39  –10.10  –13.26  –7.94  –3.13 
Annual average  –0.57  –1.16  –1.31  –1.31  –1.31  –1.31  –1.06  –1.41  –0.82  –0.32 
5 years  –17.02  –21.82  –20.00  –21.51  –20.06  –20.06  –19.09  –21.91  –18.11  –15.94 
Annual average  –3.66  –4.80  –4.36  –4.73  –4.38  –4.38  –4.15  –4.83  –3.92  –3.41 
3 years  –34.28  –38.07  –35.68  –37.52  –35.73  –35.73  –35.31  –37.57  –34.83  –33.78 
Annual average  –13.06  –14.76  –13.68  –14.51  –13.70  –13.70  –13.51  –14.53  –13.30  –12.84 
1 year  –36.95  –40.58  –37.38  –40.40  –37.41  –38.01  –37.31  –39.52  –37.18  –36.82 
6 months  –26.91  –31.12  –27.12  –30.64  –27.16  –27.86  –27.13  –29.67  –26.99  –26.86 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns (public offering price, or POP) for class A and M shares reflect a maximum 5.75% and 3.50% load, respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter. Class C shares reflect a 1% CDSC for the first year that is eliminated thereafter. Class R and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares.

For a portion of the periods, this fund may have limited expenses, without which returns would have been lower.

Due to market volatility, current performance may be higher or lower than performance shown. A 1% short-term trading fee may be applied to shares exchanged or sold within 7 days of purchase.

Fund price and distribution information For the six-month period ended 3/31/09

Distributions  Class A  Class B  Class C  Class M  Class R  Class Y 
Number  1  1  1  1  1  1 
Income  $0.392  $0.283  $0.288  $0.322  $0.370  $0.426 
Capital gains  —  —  —  —  —  — 
Total  $0.392  $0.283  $0.288  $0.322  $0.370  $0.426 
Share value  NAV  POP  NAV  NAV  NAV  POP  NAV  NAV 
9/30/08  $11.30 $11.99   $11.05  $10.87  $11.09 $11.49   $11.16  $11.42 
3/31/09  7.88  8.36   7.78  7.64  7.77 8.05   7.79  7.94 

The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.

Fund’s annual operating expenses For the fiscal year ended 9/30/08

  Class A  Class B  Class C  Class M  Class R  Class Y 
Net expenses*  1.15%  1.90%  1.90%  1.65%  1.40%  0.90% 
Total annual fund operating expenses  1.17  1.92  1.92  1.67  1.42  0.92 

Expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown in the next section and in the financial highlights of this report. Expenses are shown as a percentage of average net assets.

* Reflects Putnam Management’s decision to contractually limit expenses through 9/30/09.

14

Balanced Portfolio

Fund performance Total return for periods ended 3/31/09

  Class A  Class B  Class C  Class M  Class R  Class Y 
(inception dates)  (2/7/94)  (2/11/94)  (9/1/94)  (2/6/95)  (1/21/03)  (7/5/94)  
  NAV  POP  NAV  CDSC  NAV  CDSC  NAV  POP  NAV  NAV 
Annual average                     
(life of fund)  4.10%  3.69%  3.34%  3.34%  3.28%  3.28%  3.60%  3.36%  3.83%  4.36% 
10 years  –2.40  –8.02  –9.23  –9.23  –9.50  –9.50  –7.16  –10.41  –4.99  0.11 
Annual average  –0.24  –0.83  –0.96  –0.96  –0.99  –0.99  –0.74  –1.09  –0.51  0.01 
5 years  –16.12  –20.97  –19.02  –20.51  –19.24  –19.24  –18.17  –21.06  –17.33  –15.03 
Annual average  –3.45  –4.60  –4.13  –4.49  –4.18  –4.18  –3.93  –4.62  –3.73  –3.20 
3 years  –28.84  –32.91  –30.29  –32.24  –30.41  –30.41  –29.90  –32.37  –29.34  –28.26 
Annual average  –10.72  –12.46  –11.33  –12.17  –11.38  –11.38  –11.17  –12.22  –10.93  –10.48 
1 year  –30.98  –34.94  –31.39  –34.66  –31.46  –32.11  –31.31  –33.74  –31.09  –30.76 
6 months  –21.92  –26.40  –22.16  –25.91  –22.29  –23.03  –22.15  –24.85  –22.01  –21.86 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns (public offering price, or POP) for class A and M shares reflect a maximum 5.75% and 3.50% load, respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter. Class C shares reflect a 1% CDSC for the first year that is eliminated thereafter. Class R and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares.

For a portion of the periods, this fund may have limited expenses, without which returns would have been lower.

Due to market volatility, current performance may be higher or lower than performance shown. A 1% short-term trading fee may be applied to shares exchanged or sold within 7 days of purchase.

Fund price and distribution information For the six-month period ended 3/31/09

Distributions  Class A  Class B  Class C  Class M  Class R  Class Y 
Number  2  2  2  2  2  2 
Income  $0.313  $0.281  $0.283  $0.293  $0.303  $0.324 
Capital gains  —  —  —  —  —  — 
Total  $0.313  $0.281  $0.283  $0.293  $0.303  $0.324 
Share value  NAV  POP  NAV  NAV  NAV  POP  NAV  NAV 
9/30/08  $10.01 $10.62   $9.96  $9.85  $10.00  $10.36   $9.97  $10.03 
3/31/09  7.50  7.96   7.47  7.37  7.49  7.76  7.47  7.51 

The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.

Fund’s annual operating expenses For the fiscal year ended 9/30/08

  Class A  Class B  Class C  Class M  Class R  Class Y 
Total annual fund operating expenses  1.10%  1.85%  1.85%  1.60%  1.35%  0.85% 

Expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown in the next section and in the financial highlights of this report. Expenses are shown as a percentage of average net assets.

15

Conservative Portfolio

Fund performance Total return for periods ended 3/31/09

  Class A  Class B  Class C  Class M  Class R  Class Y 
(inception dates)  (2/7/94)  (2/18/94)  (9/1/94)  (2/7/95)  (1/21/03)              (7/14/94) 
  NAV  POP  NAV  CDSC  NAV  CDSC  NAV  POP  NAV  NAV 
Annual average                     
(life of fund)  4.05%  3.65%  3.28%  3.28%  3.26%  3.26%  3.53%  3.28%  3.89%  4.32% 
10 years  13.06  6.55  4.70  4.70  4.92  4.92  7.34  3.56  11.89  16.12 
Annual average  1.24  0.64  0.46  0.46  0.48  0.48  0.71  0.35  1.13  1.51 
5 years  –8.58  –13.83  –11.90  –13.46  –11.69  –11.69  –10.67  –13.75  –8.51  –7.03 
Annual average  –1.78  –2.93  –2.50  –2.85  –2.46  –2.46  –2.23  –2.92  –1.76  –1.45 
3 years  –17.23  –22.02  –18.84  –21.09  –18.85  –18.85  –18.20  –21.07  –17.18  –16.29 
Annual average  –6.11  –7.96  –6.72  –7.59  –6.73  –6.73  –6.48  –7.58  –6.09  –5.75 
1 year  –21.12  –25.66  –21.50  –25.29  –21.68  –22.44  –21.28  –24.07  –21.00  –20.63 
6 months  –13.58  –18.56  –13.68  –17.91  –13.90  –14.74  –13.56  –16.58  –13.42  –13.25 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns (public offering price, or POP) for class A and M shares reflect a maximum 5.75% and 3.50% load, respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter. Class C shares reflect a 1% CDSC for the first year that is eliminated thereafter. Class R and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares.

For a portion of the periods, this fund may have limited expenses, without which returns would have been lower.

Due to market volatility, current performance may be higher or lower than performance shown. A 1% short-term trading fee may be applied to shares exchanged or sold within 7 days of purchase.

Fund price and distribution information For the six-month period ended 3/31/09

Distributions  Class A  Class B  Class C  Class M  Class R  Class Y 
Number  6  6  6  6  6  6 
Income  $0.174  $0.147  $0.148  $0.157  $0.164  $0.183 
Capital gains  —  —  —  —  —  — 
Total  $0.174  $0.147  $0.148  $0.157  $0.164  $0.183 
Share value  NAV  POP  NAV  NAV  NAV  POP  NAV  NAV 
9/30/08  $8.35  $8.86  $8.27  $8.28  $8.27  $8.57  $8.45  $8.34 
3/31/09  7.04  7.47  6.99  6.98  6.99  7.24  7.15  7.05 

The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.

Fund’s annual operating expenses For the fiscal year ended 9/30/08

  Class A  Class B  Class C  Class M  Class R  Class Y 
Total annual fund operating expenses  1.18%  1.93%  1.93%  1.68%  1.43%  0.93% 

Expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown in the next section and in the financial highlights of this report. Expenses are shown as a percentage of average net assets.

16

Comparative index returns For periods ended 3/31/09

      Lipper  Lipper  Lipper 
      Mixed-Asset  Mixed-Asset  Mixed-Asset 
  Barclays Capital    Target Allocation  Target Allocation  Target Allocation 
  Aggregate  Russell 3000  Growth Funds  Moderate Funds  Conservative Funds 
  Bond Index  Index  category average*  category average†  category average‡ 
Annual average           
(life of fund)  6.10%  5.43%  4.93%  4.48%  4.59% 
10 years  74.04  –20.37  1.75  6.91  21.28 
Annual average  5.70  –2.25  0.01  0.52  1.83 
5 years  22.41  –20.94  –11.30  –8.61  –1.69 
Annual average  4.13  –4.59  –2.45  –1.87  –0.40 
3 years  18.35  –35.40  –24.33  –19.89  –10.72 
Annual average  5.78  –13.55  –8.97  –7.24  –3.81 
1 year  3.13  –38.20  –29.69  –25.56  –17.38 
6 months  4.70  –31.12  –21.51  –18.12  –11.99 

Index and Lipper results should be compared to fund performance at net asset value.

* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/09, there were 709, 682, 542, 449, 249, and 90 funds, respectively, in this Lipper category.

† Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/09, there were 536, 522, 391, 289, 153, and 38 funds, respectively, in this Lipper category.

‡ Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/09, there were 448, 433, 336, 201, 75, and 13 funds, respectively, in this Lipper category.

17

Your fund’s expenses

As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund limited these expenses; had it not done so, expenses would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Review your fund’s expenses

The following table shows the expenses you would have paid on a $1,000 investment in each of the three Putnam Asset Allocation Funds from October 1, 2008, to March 31, 2009. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Class A  Class B  Class C  Class M  Class R  Class Y 
Growth Portfolio             
Expenses paid per $1,000*  $5.18  $8.40  $8.40  $7.33  $6.25  $4.10 
Ending value (after expenses)  $730.90  $728.80  $728.40  $728.70  $730.10  $731.40 
Balanced Portfolio             
Expenses paid per $1,000*  $5.02  $8.34  $8.33  $7.23  $6.12  $3.91 
Ending value (after expenses)  $780.80  $778.40  $777.10  $778.50  $779.90  $781.40 
Conservative Portfolio             
Expenses paid per $1,000*  $5.53  $9.01  $9.00  $7.86  $6.70  $4.38 
Ending value (after expenses)  $864.20  $863.20  $861.00  $864.40  $865.80  $867.50 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/09. The expense ratio may differ for each share class (see the last table in this section). Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended March 31, 2009, use the following calculation method. To find the value of your investment on October 1, 2008, call Putnam at 1-800-225-1581.


18

Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

  Class A  Class B  Class C  Class M  Class R  Class Y 
Growth Portfolio             
Expenses paid per $1,000*  $6.04  $9.80  $9.80  $8.55  $7.29  $4.78 
Ending value (after expenses)  $1,018.95  $1,015.21  $1,015.21  $1,016.45  $1,017.70  $1,020.19 
Balanced Portfolio             
Expenses paid per $1,000*  $5.69  $9.45  $9.45  $8.20  $6.94  $4.43 
Ending value (after expenses)  $1,019.30  $1,015.56  $1,015.56  $1,016.80  $1,018.05  $1,020.54 
Conservative Portfolio             
Expenses paid per $1,000*  $5.99  $9.75  $9.75  $8.50  $7.24  $4.73 
Ending value (after expenses)  $1,019.00  $1,015.26  $1,015.26  $1,016.50  $1,017.75  $1,020.24 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/09. The expense ratio may differ for each share class (see the last table in this section). Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.

Compare expenses using industry averages

You can also compare your fund’s expenses with the average of its peer group, as defined by Lipper, an independent fund-rating agency that ranks funds relative to others that Lipper considers to have similar investment styles or objectives. The expense ratio for each share class shown indicates how much of your fund’s average net assets have been used to pay ongoing expenses during the period.

  Class A  Class B  Class C  Class M  Class R  Class Y 
Growth Portfolio             
annualized expense ratio*  1.20%  1.95%  1.95%  1.70%  1.45%  0.95% 
Average annualized expense             
ratio for Lipper peer group†  1.23%  1.98%  1.98%  1.73%  1.48%  0.98% 
Balanced Portfolio             
annualized expense ratio*  1.13%  1.88%  1.88%  1.63%  1.38%  0.88% 
Average annualized expense             
ratio for Lipper peer group†  1.12%  1.87%  1.87%  1.62%  1.37%  0.87% 
Conservative Portfolio             
annualized expense ratio*  1.19%  1.94%  1.94%  1.69%  1.44%  0.94% 
Average annualized expense             
ratio for Lipper peer group†  1.16%  1.91%  1.91%  1.66%  1.41%  0.91% 

19

* Putnam keeps fund expenses below the Lipper peer group average expense ratio by limiting our fund expenses if they exceed the Lipper average. The Lipper average is a simple average of front-end load funds in the peer group that excludes 12b-1 fees as well as any expense offset and brokerage/service arrangements that may reduce fund expenses. To facilitate the comparison in this presentation, Putnam has adjusted the Lipper average to reflect 12b-1 fees. Investors should note that the other funds in the peer group may be significantly smaller or larger than the fund, and that an asset-weighted average would likely be lower than the simple average. Also, the fund and Lipper report expense data at different times; the fund’s expense ratio shown here is annualized data for the most recent six-month period, while the quarterly updated Lipper average is based on the most recent fiscal year-end data available for the peer group funds as of 3/31/09.

† See pages 28 and 30 for more information on the funds’ new Lipper categories, whose expenses are shown above.

20

Your fund’s portfolio turnover

Putnam funds are actively managed by experts who buy and sell securities based on intensive analysis of companies, industries, economies, and markets. Portfolio turnover is a measure of how often a fund’s managers buy and sell securities for your fund. A portfolio turnover of 100%, for example, means that the managers sold and replaced securities valued at 100% of a fund’s average portfolio value within a given period. Funds with high turnover may be more likely to generate capital gains that must be distributed to shareholders as taxable income. High turnover may also cause a fund to pay more brokerage commissions and other transaction costs, which may detract from performance.

Funds that invest in bonds or other fixed-income instruments may have higher turnover than funds that invest only in stocks. Short-term bond funds tend to have higher turnover than longer-term bond funds, because shorter-term bonds will mature or be sold more frequently than longer-term bonds. You can use the following table to compare your fund’s turnover with the average turnover for funds in its Lipper category.

Turnover comparisons Percentage of holdings that change every year

  2008  2007  2006  2005  2004 
 
Growth Portfolio  113%  81%  85%  112%  120% 
Lipper Mixed-Asset Target Allocation           
Growth Funds category average  68%  68%  70%  72%  74% 
 
Balanced Portfolio  124%  107%  90%  144%  159% 
Lipper Mixed-Asset Target Allocation           
Moderate Funds category average  61%  64%  73%  76%  71% 
 
Conservative Portfolio  170%  151%  133%  209%  259% 
Lipper Mixed-Asset Target Allocation           
Conservative Funds category average  55%  51%  49%  50%  48% 

Turnover data for each fund is calculated based on each fund’s fiscal-year period, which ends on September 30. Turnover data for each fund’s Lipper category is calculated based on the average of the turnover of each fund in the category for its fiscal year ended during the indicated year. Fiscal years vary across funds in the Lipper category, which may limit the comparability of the funds’ portfolio turnover rates to the Lipper averages. Comparative data for 2008 is based on information available as of 12/31/08.

21

Your fund’s management

In addition to Jeffrey Knight, your fund’s Portfolio Managers are James Fetch, Robert Kea, Robert Schoen, and Jason Vaillancourt.

Portfolio manager fund ownership

The following table shows how much the funds’ current Portfolio Managers have invested in the funds and in all Putnam mutual funds (in dollar ranges). Information shown is as of March 31, 2009, and March 31, 2008.

GP: Assets in the Growth Portfolio  • Total assets in all Putnam funds 
BP: Assets in the Balanced Portfolio   
CP: Assets in the Conservative Portfolio   
 

      $1 –  $10,001 –  $50,001 –  $100,001 –  $500,001 –  $1,000,001 
  Year  $0  $10,000  $50,000  $100,000  $500,000  $1,000,000  and over 
Jeffrey Knight  2009  BP          GP  CP • 
  2008          BP    CP,GP • 
James Fetch  2009        BP  CP,GP  •   
  N/A               
Robert Kea  2009  BP,CP          GP •   
  2008  BP        GP  CP  • 
Robert Schoen  2009  BP,CP        GP    • 
  2008  BP,CP        GP    • 
Jason Vaillancourt  2009  CP,GP        BP  •   
  N/A               

N/A indicates the individual was not a Portfolio Manager as of 3/31/08.

Trustee and Putnam employee fund ownership

As of March 31, 2009, all of the Trustees of the Putnam funds owned fund shares. The following table shows the approximate value of investments in the fund and all Putnam funds as of that date by the Trustees and Putnam employees. These amounts include investments by the Trustees’ and employees’ immediate family members and investments through retirement and deferred compensation plans.

  Assets in the funds  Total assets in all Putnam funds 
Trustees  $9,591,000  $30,000,000 
Putnam employees  $35,216,000  $319,000,000 

22

Other Putnam funds managed by the Portfolio Managers

Jeffrey Knight is also a Portfolio Manager of Putnam Income Strategies Fund, Putnam Absolute Return 500 Fund, Putnam Absolute Return 700 Fund, and Putnam RetirementReady® Funds.

James Fetch and Jason Vaillancourt are also Portfolio Managers of Putnam Absolute Return 500 Fund and Putnam Absolute Return 700 Fund.

Robert Kea and Robert Schoen are also Portfolio Managers of Putnam Income Strategies Fund, Putnam Absolute Return 500 Fund, Putnam Absolute Return 700 Fund, and Putnam RetirementReady® Funds.

Jeffrey Knight, James Fetch, Robert Kea, Robert Schoen, and Jason Vaillancourt may also manage other accounts and variable trust funds advised by Putnam Management or an affiliate.

23

Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Net asset value (NAV) is the price, or value, of one share of a mutual fund, without a sales charge. NAVs fluctuate with market conditions. NAV is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

Public offering price (POP) is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. POP performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are not subject to an initial sales charge. They may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class R shares are not subject to an initial sales charge or CDSC and are available only to certain defined contribution plans.

Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.

Comparative indexes

Barclays Capital Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.

Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged index of equity securities from developed countries in Western Europe, the Far East, and Australasia.

Russell 3000 Index is an unmanaged index of the 3,000 largest U.S. companies.

S&P 500 Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

24

Trustee approval of management contract

General conclusions

The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management (“Putnam Management”). In May 2008, the Board of Trustees also approved a new sub-management contract, in respect of your fund, between Putnam Management’s affiliate, Putnam Investments Limited (“PIL”), and Putnam Management, and a new sub-advisory contract, in respect of your fund, among Putnam Management, PIL, and another affiliate, The Putnam Advisory Company (“PAC”). In this regard, the Board of Trustees, with the assistance of its Contract Committee consisting solely of Trustees who are not “interested persons” (as such term is defined in the Investment Company Act of 1940, as amended) of the Putnam funds (the “Independent Trustees”), requests and evaluates all information it deems reasonably necessary under the circumstances. Over the course of several months ending in June 2008, the Contract Committee met several times to consider the information provided by Putnam Management and other information developed with the assistance of the Board’s independent counsel and independent staff. The Contract Committee reviewed and discussed key aspects of this information with all of the Independent Trustees. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management, sub-management and sub-advisory contracts, effective July 1, 2008. (Because PIL and PAC are affiliates of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL and PAC, the Trustees have not evaluated PIL and PAC as separate entities, except as otherwise indicated below, and all subsequent references to Putnam Management below should be deemed to include reference to PIL and PAC as necessary or appropriate in the context.)

The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds and the costs incurred by Putnam Management in providing such services, and

• That this fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.

These conclusions were based on a comprehensive consideration of all information provided to the Trustees, were subject to the continued application of certain expense reductions and waivers and other considerations noted below, and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the fee arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that certain aspects of such arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of these same arrangements in prior years.

25

Management fee schedules and
categories; total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints, and the assignment of funds to particular fee categories. In reviewing fees and expenses, the Trustees generally focused their attention on material changes in circumstances — for example, changes in a fund’s size or investment style, changes in Putnam Management’s operating costs or responsibilities, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund, which had been carefully developed over the years, re-examined on many occasions and adjusted where appropriate. In this regard, the Trustees also noted that shareholders of your fund voted in 2007 to approve new management contracts containing an identical fee structure. The Trustees focused on two areas of particular interest, as discussed further below:

• Competitiveness. The Trustees reviewed comparative fee and expense information for competitive funds, which indicated that, in a custom peer group of competitive funds selected by Lipper Inc., each fund ranked in the following percentiles in management fees and total expenses (less any applicable 12b-1 fees) as of December 31, 2007 (the first percentile being the least expensive funds and the 100th percentile being the most expensive funds).

  Actual   
  Management  Total 
  Fee  Expenses 
  (percentile)   (percentile) 
Putnam Asset Allocation Fund:  69th  38th 
Conservative Portfolio     
Putnam Asset Allocation Fund:  28th  10th 
Balanced Portfolio     
Putnam Asset Allocation Fund:  43rd  52nd 
Growth Portfolio     

(Because each fund’s custom peer group is smaller than the fund’s broad Lipper Inc. peer group, this expense information may differ from the Lipper peer expense information found elsewhere in this report.) The Trustees noted that expense ratios for a number of Putnam funds, which show the percentage of fund assets used to pay for management and administrative services, distribution (12b-1) fees and other expenses, had been increasing recently as a result of declining net assets and the natural operation of fee breakpoints.

The Trustees noted that the expense ratio increases described above were currently being controlled by expense limitations initially implemented in January 2004. The Trustees have received a commitment from Putnam Management and its parent company to continue this program through at least June 30, 2009. These expense limitations give effect to a commitment by Putnam Management that the expense ratio of each open-end fund would be no higher than the average expense ratio of the competitive funds included in the fund’s relevant Lipper universe (exclusive of any applicable 12b-1 charges in each case). The Trustees observed that this commitment to limit fund expenses has served shareholders well since its inception.

In order to ensure that the expenses of the Putnam funds continue to meet evolving competitive standards, the Trustees requested, and Putnam Management agreed, to extend for the twelve months beginning July 1, 2008, an additional expense limitation for certain funds at an amount equal to the average expense ratio (exclusive of 12b-1 charges) of a custom peer group of competitive funds selected by Lipper to correspond to the size of the fund. This additional expense limitation will be applied to those open-end funds that had above-average expense ratios (exclusive of 12b-1 charges) based on the custom peer group data for the period ended December 31, 2007. This additional expense limitation will not be applied to your

26

fund because it had a below-average expense ratio relative to its custom peer group.

In addition, the Trustees devoted particular attention to analyzing the Putnam funds’ fees and expenses relative to those of competitors in fund complexes of comparable size and with a comparable mix of asset categories. The Trustees concluded that this analysis did not reveal any matters requiring further attention at the current time.

• Economies of scale. Your fund currently has the benefit of breakpoints in its management fee that provide shareholders with significant economies of scale, which means that the effective management fee rate of the fund (as a percentage of fund assets) declines as the fund grows in size and crosses specified asset thresholds. Conversely, if the fund shrinks in size — as has been the case for many Putnam funds in recent years — these breakpoints result in increasing fee levels. In recent years, the Trustees have examined the operation of the existing breakpoint structure during periods of both growth and decline in asset levels. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale at current asset levels.

In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services to be provided and profits to be realized by Putnam Management and its affiliates from the relationship with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability with respect to the funds’ management contracts, allocated on a fund-by-fund basis.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the Investment Oversight Coordinating Committee of the Trustees and the Investment Oversight Committees of the Trustees, which had met on a regular monthly basis with the funds’ portfolio teams throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — as measured by the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to such personnel, and in general the ability of Putnam Management to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period. The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund’s performance with various benchmarks and with the performance of competitive funds.

While the Trustees noted the satisfactory investment performance of certain Putnam funds, they considered the disappointing investment performance of many funds in recent periods, particularly over periods in 2007 and 2008. They discussed with senior management of Putnam Management the factors contributing to such underperformance and actions being taken to improve performance. The Trustees recognized that, in recent years, Putnam Management has taken steps to strengthen its investment personnel and processes to address areas of underperformance, including recent efforts to further centralize Putnam Management’s

27

equity research function. In this regard, the Trustees took into consideration efforts by Putnam Management to improve its ability to assess and mitigate investment risk in individual funds, across asset classes, and across the complex as a whole. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional changes to address areas of underperformance are warranted.

In the case of your fund, the Trustees considered the Lipper peer group percentile rankings for the fund’s class A share cumulative total return performance results at net asset value for the one-year, three-year and five-year periods ended December 31, 2007. This information is shown in the following table. (Because of the passage of time, these performance results may differ from the performance results for more recent periods shown elsewhere in this report.) Where applicable, the table also shows the number of funds in the peer groups for the respective periods; this number is indicated in parentheses following the percentile. Note that the first percentile denotes the best performing funds and the 100th percentile denotes the worst performing funds. Past performance is no guarantee of future returns.

  One-year  Three-year  Five-year 
  period rank (fund  period rank  period rank 
  rank/# of funds  (fund rank/# of  (fund rank/# of 
  in category)  funds in category)  funds in category) 
Putnam Asset Allocation Funds Conservative Portfolio  86th  45th  39th 
Lipper Mixed-Asset Target Allocation Conservative Funds  (355/414)  (117/261)  (53/137) 
Putnam Asset Allocation Funds Balanced Portfolio  89th  38th  33rd 
Lipper Mixed-Asset Target Allocation Moderate Funds  (406/458)  (129/340)  (79/240) 
Putnam Asset Allocation Funds Growth Portfolio  70th  12th  9th 
Lipper Mixed-Asset Target Allocation Growth Funds  (450/646)  (59/526)  (35/421) 

See page 30 for more recent Lipper performance ranking information for the funds. Past performance is no guarantee of future results.

The Trustees noted the disappointing performance for your fund for the one-year period ended December 31, 2007. In this regard, the Trustees considered that Putnam Management continues to have confidence in the investment process for your fund given its stronger longer-term record, recognizing the tendency for short-term variability over a market cycle. The Trustees also considered Putnam Management’s belief that the research centralization efforts underway in the equity space at Putnam Management will strengthen the fund’s investment process, which focuses on a blend of quantitative techniques and fundamental analysis, and enhance its performance potential.

As a general matter, the Trustees believe that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance problems. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds’ Trustees, to make appropriate decisions regarding the management of the funds. Based on the responsiveness of Putnam Management in the recent past to Trustee concerns about investment performance, the Trustees concluded that it is preferable to seek change within Putnam Management to address performance shortcomings. In the Trustees’ view, the alternative of engaging a new investment adviser for an underperforming fund would entail significant disruptions and

28

would not provide any greater assurance of improved investment performance.

Brokerage and soft-dollar allocations;
other benefits

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage and soft-dollar allocations, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that may be useful to Putnam Management in managing the assets of the fund and of other clients. The Trustees considered changes made in 2008, at Putnam Management’s request, to the Putnam funds’ brokerage allocation policy, which expanded the permitted categories of brokerage and research services payable with soft dollars and increased the permitted soft dollar allocation to third-party services over what had been authorized in previous years. The Trustees indicated their continued intent to monitor the potential benefits associated with the allocation of fund brokerage and trends in industry practice to ensure that the principle of seeking “best price and execution” remains paramount in the portfolio trading process.

The Trustees’ annual review of your fund’s management contract arrangements also included the review of its distributor’s contract and distribution plan with Putnam Retail Management Limited Partnership and the investor servicing agreement with Putnam Fiduciary Trust Company (“PFTC”), each of which provides benefits to affiliates of Putnam Management. In the case of the investor servicing agreement, the Trustees considered that certain shareholder servicing functions were shifted to a third-party service provider by PFTC in 2007.

Comparison of retail and institutional
fee schedules

The information examined by the Trustees as part of their annual contract review has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, etc. This information included comparisons of such fees with fees charged to the funds, as well as a detailed assessment of the differences in the services provided to these two types of clients. The Trustees observed, in this regard, that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients reflect to a substantial degree historical competitive forces operating in separate market places. The Trustees considered the fact that fee rates across different asset classes are typically higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to institutional clients of the firm, but did not rely on such comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

More recent peer group rankings

More recent Lipper percentile rankings are shown for your fund in the following table. Note that this information was not available to the Trustees when they approved the continuance of your fund’s management contract. The table shows the Lipper peer group percentile rankings of your fund’s class A share total return performance at net asset value. These rankings were determined on an annualized basis and are for the one-year, five-year, and ten-year periods ended on the most recent

29

calendar quarter (March 31, 2009). Where applicable, the table also shows each fund’s rank among the total number of funds in its peer group for the respective periods; this information is indicated in parentheses following the percentile. Note that the first percentile denotes the best performing funds and the 100th percentile denotes the worst performing funds.

  One-year  Five-year  Ten-year 
  period rank (fund  period rank  period rank 
  rank/# of funds  (fund rank/# of  (fund rank/# of 
  in category)  funds in category)  funds in category) 
Putnam Asset Allocation Funds Conservative Portfolio  76th  82nd  65th 
Lipper Mixed-Asset Target Allocation Conservative Funds  (328/433)  (164/201)  (49/75) 
Putnam Asset Allocation Funds Balanced Portfolio  87th  83rd  64th 
Lipper Mixed-Asset Target Allocation Moderate Funds  (451/522)  (239/289)  (98/153) 
Putnam Asset Allocation Funds Growth Portfolio  92nd  77th  61st 
Lipper Mixed-Asset Target Allocation Growth Funds  (623/682)  (344/449)  (152/249) 

Approval of the Sub-Management
Contract between Putnam
Management and Putnam
Investments Limited and the
Sub-Advisory Contract among
Putnam Management, Putnam
Investments Limited and The
Putnam Advisory Company

In May 2008, the Trustees approved a new sub-management contract between Putnam Management and PIL in respect of each fund, under which PIL’s London office would manage a separate portion of the asset of your fund. Also in May 2008, the Trustees approved a new sub-advisory contract among Putnam Management, PIL and PAC in respect of each fund, under which PAC’s Singapore branch would begin providing discretionary investment management services for your fund. The Contract Committee reviewed information provided by Putnam Management, PIL and PAC and, upon completion of this review, recommended, and the Independent Trustees and the full Board of Trustees approved, the sub-management and sub-advisory contracts in respect of each fund, effective May 15, 2008 and January 30, 2009, respectively.

The Trustees considered numerous factors they believed relevant in approving your fund’s sub-management and sub-advisory contracts, including Putnam Management’s belief that the interest of shareholders would be best served by utilizing investment professionals in PIL’s London office and PAC’s Singapore office to manage a portion of each fund’s assets and PIL’s and PAC’s expertise in managing assets invested in European and Asian markets, respectively. The Trustees also considered that applicable securities laws require a sub-advisory relationship among Putnam Management, PIL and PAC in order for Putnam’s investment professionals in London and Singapore to be involved in the management of your fund. The Trustees noted that Putnam Management, and not your fund, would pay the sub-management fee to PIL for its services, that Putnam Management and/or PIL, but not your fund, would pay the sub-advisory fee to PAC for its services, and that the sub-management and sub-advisory relationships with PIL and PAC, respectively, will not reduce the nature, quality or overall level of service provided to your fund.

30

Other information for shareholders

Important notice regarding delivery
of shareholder documents

In accordance with SEC regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2008, are available in the Individual Investors section of putnam.com, and on the SEC’s Web site, www.sec.gov. If you have questions about finding forms on the SEC’s Web site, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s Web site at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s Web site or the operation of the Public Reference Room.

31

Financial statements

A guide to financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and noninvestment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings —from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlight table also includes the current reporting period.

32

The funds’ portfolios 3/31/09           
 
COMMON STOCKS*  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
 
Basic materials    4.0%    3.1%    2.1% 
Abengoa SA (Spain)  26,072  $345,945  23,144  $307,094  12,276  $162,888 
Acciona SA (Spain)  3,693  379,097  3,053  313,399  1,756  180,259 
Aceto Corp.  15,911  94,830  11,510  68,600  4,376  26,081 
Agnico-Eagle Mines, Ltd.             
(Canada)  2,834  161,311  2,424  137,974  1,332  75,817 
AK Steel Holding Corp.  11,780  83,874  8,490  60,449  3,140  22,357 
Albemarle Corp.  15,825  344,510  13,652  297,204  7,355  160,118 
Amcor, Ltd. (Australia)  438,218  1,357,775  241,834  749,299  82,802  256,554 
Ameron International Corp.  3,460  182,204  2,875  151,398  1,654  87,100 
Ampco-Pittsburgh Corp.  9,625  127,628  6,972  92,449  2,641  35,020 
Andersons, Inc. (The)  24,686  349,060  20,374  288,088  9,561  135,193 
AngloGold Ashanti, Ltd.             
(South Africa)  10,464  383,969  —  —  —  — 
AngloGold Ashanti, Ltd. ADR             
(South Africa)  3,158  116,088  2,655  97,598  1,458  53,596 
Antofagasta PLC             
(United Kingdom)  283,375  2,044,640  155,048  1,118,720  53,545  386,344 
Aracruz Celulose SA ADR             
(Brazil)  4,124  27,218  3,593  23,714  1,907  12,586 
ArcelorMittal (Luxembourg)  177,828  3,597,754  101,247  2,048,452  37,051  749,603 
Aurizon Mines, Ltd. (Canada) †  100,114  450,513  77,377  348,197  30,494  137,223 
Balfour Beatty PLC             
(United Kingdom)  66,636  312,969  37,623  176,703  12,043  56,562 
Barrick Gold Corp.             
(Canada) (Toronto Exchange)  11,600  375,681  9,400  304,431  6,145  199,014 
Barrick Gold Corp.             
(Canada) (NY Exchange)  6,248  202,560  5,336  172,993  2,931  95,023 
BASF SE (Germany)  18,526  562,175  9,931  301,358  3,349  101,626 
BHP Billiton PLC             
(United Kingdom)  36,642  725,251  30,094  595,647  19,729  390,494 
BHP Billiton, Ltd. (Australia)  63,535  1,416,017  52,139  1,162,032  33,111  737,951 
BlueScope Steel, Ltd. (Australia)  352,491  632,316  189,633  340,173  63,703  114,274 
Broadwind Energy, Inc. †  8,883  39,974  7,606  34,227  4,364  19,638 
Bway Holding Co. †  19,942  157,342  14,170  111,801  5,519  43,545 
Cameco Corp. (Canada)  9,100  156,247  7,900  135,643  4,200  72,114 
Canfor Corp. (Canada) †  19,131  72,874  16,670  63,500  8,849  33,708 
CF Industries Holdings, Inc. #  28,542  2,030,192  23,911  1,700,789  10,292  732,070 
China Grand Forestry Green             
Resources Group, Ltd.             
(Hong Kong) †  1,228,000  48,237  1,070,000  42,031  568,000  22,312 
Cia de Minas Buenaventura             
SA ADR (Peru)  29,679  711,702  3,813  91,436  2,095  50,238 
Clearwater Paper Corp. †  1,109  8,905  966  7,757  512  4,111 
Cliffs Natural Resources, Inc. #  62,594  1,136,707  49,890  906,002  20,605  374,187 
Coeur d’Alene Mines Corp. †  113,800  106,972  98,500  92,590  51,900  48,786 

33

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Basic materials cont.             
Companhia Vale do Rio Doce             
(CVRD) ADR (Brazil)  70,242  $934,219  —  $—  —  $— 
Companhia Vale do Rio Doce             
(CVRD) (Preference A)             
ADR (Brazil)  68,900  777,192  —  —  —  — 
Crystallex International Corp.             
(Canada) †  80,500  20,930  69,700  18,122  36,700  9,542 
Deltic Timber Corp.  2,165  85,323  1,887  74,367  1,001  39,449 
Denison Mines Corp. (Canada) †  21,000  15,332  18,300  13,361  9,700  7,082 
Dow Chemical Co. (The) #  113,797  959,309  95,189  802,443  40,690  343,017 
Eldorado Gold Corp. (Canada) †  11,506  103,554  9,745  87,705  5,352  48,168 
Energy Resources of Australia, Ltd.             
(Australia)  7,724  114,182  6,732  99,518  3,570  52,775 
Fletcher Building, Ltd.             
(New Zealand)  122,508  420,134  69,167  237,204  22,140  75,928 
FMC Corp.  33,472  1,443,982  28,016  1,208,610  12,050  519,837 
Gammon Gold, Inc. (Canada) †  10,671  69,041  8,794  56,897  4,830  31,250 
Gold Fields, Ltd. ADR             
(South Africa)  4,954  56,178  4,115  46,664  2,260  25,628 
Goldcorp, Inc.             
(Toronto Exchange) (Canada)  6,988  232,840  5,895  196,421  3,238  107,890 
Golden Star Resources, Ltd. †  31,905  46,581  26,814  39,148  14,727  21,501 
Granite Construction, Inc.  10,300  386,044  7,400  277,352  2,800  104,944 
Great Basin Gold, Ltd.             
(South Africa) †  37,659  47,827  31,283  39,729  17,181  21,820 
Grief, Inc. Class A  3,309  110,157  2,883  95,975  1,531  50,967 
Grupo Empresarial Ence SA (Spain)  18,718  51,121  16,310  44,545  8,658  23,646 
Grupo Ferrovial SA (Spain)  13,331  284,621  11,573  247,087  6,183  132,009 
Gunns, Ltd. (Australia)  61,106  38,330  53,244  33,398  28,266  17,730 
Harmony Gold Mining Co.,             
Ltd. ADR (South Africa) †  5,870  64,218  5,085  55,630  2,793  30,555 
Hecla Mining Co. †  62,372  124,744  52,467  104,934  30,106  60,212 
Hokuetsu Paper Mills, Ltd. (Japan)  29,000  124,879  25,000  107,654  13,500  58,133 
Holmen AB Class B (Sweden)  5,800  96,306  5,100  84,683  2,700  44,832 
Iamgold Corp. (Canada)  11,180  95,589  9,626  82,302  5,287  45,204 
Impregilo SpA (Italy) †  94,074  248,393  75,021  198,086  45,306  119,626 
Innophos Holdings, Inc.  12,533  141,372  9,304  104,949  3,282  37,021 
Innospec, Inc.  24,098  90,849  18,003  67,871  6,364  23,992 
Insituform Technologies, Inc. †  11,171  174,714  9,198  143,857  5,292  82,767 
International Paper Co.  13,943  98,159  12,149  85,529  6,450  45,408 
Israel Chemicals, Ltd. (Israel)  11,396  93,734  9,353  76,930  5,983  49,211 
JFE Holdings, Inc. (Japan)  16,700  368,646  9,400  207,501  3,000  66,224 
Kaiser Aluminum Corp.  6,661  154,002  4,796  110,884  1,792  41,431 
Kinross Gold Corp. (Canada)  9,301  166,209  7,833  139,976  4,302  76,877 
Koninklijke DSM NV (Netherlands)  20,641  542,221  11,060  290,537  3,731  98,010 
Koppers Holdings, Inc.  16,586  240,829  12,317  178,843  4,429  64,309 
Layne Christensen Co. †  13,311  213,908  11,103  178,425  6,387  102,639 
Linde AG (Germany)  5,885  399,745  4,824  327,676  3,071  208,601 

34

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Basic materials cont.             
Matsushita Electric Works, Ltd.             
(Japan)  45,000  $330,422  25,000  $183,568  8,000  $58,742 
MeadWestvaco Corp.  9,911  118,833  8,635  103,534  4,584  54,962 
Minefinders Corp. (Canada) †  10,582  81,481  8,684  66,867  4,769  36,721 
Monsanto Co.  43,520  3,616,512  36,441  3,028,247  15,723  1,306,535 
Mosaic Co. (The)  47,593  1,997,954  39,832  1,672,147  17,306  726,506 
New Gold, Inc. (Canada) †  29,530  57,181  24,928  48,269  13,691  26,511 
Newmont Mining Corp.  5,368  240,272  4,576  204,822  2,514  112,527 
Northgate Minerals Corp.             
(Canada) †  38,766  51,946  33,426  44,791  18,358  24,600 
Northwest Pipe Co. †  4,475  127,403  3,681  104,798  2,306  65,652 
Nucor Corp.  30,500  1,164,185  25,400  969,518  11,000  419,870 
Oilsands Quest, Inc. (Canada) †  28,742  20,694  24,795  17,852  13,358  9,618 
OJI Paper Co., Ltd. (Japan)  50,000  204,037  44,000  179,553  23,000  93,857 
OM Group, Inc. †  21,667  418,606  15,859  306,396  5,946  114,877 
Packaging Corp. of America  33,607  437,563  28,391  369,651  12,993  169,169 
Paladin Energy, Ltd. (Australia) †  36,243  85,956  31,588  74,916  16,754  39,735 
PAN American Silver Corp.             
(Canada) †  5,097  88,790  4,310  75,080  2,368  41,251 
Plum Creek Timber             
Company, Inc. R  6,536  190,002  5,695  165,554  3,023  87,879 
Portucel Empresa Produtora             
de Pasta e Papel SA (Portugal)  66,847  128,223  58,247  111,727  30,922  59,313 
POSCO (South Korea)  3,219  855,452  —  —  —  — 
Potash Corp. of Saskatchewan,             
Inc. (Canada)  20,708  1,673,413  17,315  1,399,225  7,410  598,802 
Potlatch Corp. R  3,882  90,024  3,382  78,429  1,795  41,626 
PV Crystalox Solar PLC             
(United Kingdom)  48,214  58,626  45,460  55,277  24,492  29,781 
Rangold Resources, Ltd. ADR             
(United Kingdom)  2,917  158,539  2,474  134,462  1,359  73,862 
Rayonier, Inc.  5,227  157,960  4,554  137,622  2,418  73,072 
Royal Gold, Inc.  2,242  104,836  1,932  90,340  1,061  49,612 
Real Gold Mining, Ltd. 144A             
(China) †  139,000  109,045  —  —  —  — 
Sappi, Ltd. ADR (South Africa) †  16,634  32,436  14,493  28,261  7,694  15,003 
Schnitzer Steel Industries, Inc.             
Class A  20,147  632,414  15,865  498,002  6,478  203,344 
Seabridge Gold, Inc. (Canada) †  4,217  95,515  3,639  82,423  1,999  45,277 
Silver Standard Resources, Inc.             
(Canada) †  4,295  69,235  3,585  57,790  1,969  31,740 
Silver Wheaton Corp. (Canada) †  68,100  560,463  51,393  422,964  21,556  177,406 
Sino-Forest Corp. (Canada) †  11,578  80,764  10,089  70,377  5,356  37,362 
Sonoco Products Co.  6,901  144,783  6,013  126,153  3,192  66,968 
Southern Copper Corp. (Peru)  151,890  2,645,924  127,009  2,212,497  54,703  952,926 
Stora Enso OYJ Class R (Finland)  24,947  88,297  21,737  76,935  11,540  40,844 
Sumitomo Forestry Co., Ltd.             
(Japan)  19,300  127,716  16,900  111,835  8,900  58,895 

35

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Basic materials cont.             
Svenska Cellulosa AB Class B             
(Sweden)  17,800  $135,117  15,600  $118,417  8,200  $62,245 
Syngenta AG (Switzerland)  4,660  936,173  3,822  767,823  2,442  490,587 
Terra Industries, Inc.  68,877  1,934,755  56,729  1,593,518  23,919  671,885 
Timberwest Forest Corp.             
(Unit) (Canada)  11,500  26,740  10,021  23,301  5,320  12,370 
Uex Corp. (Canada) †  29,500  19,431  25,700  16,928  13,700  9,024 
Umicore NV/SA (Belgium)  95,659  1,762,577  53,072  977,885  18,476  340,432 
UPM-Kymmene OYJ (Finland)  15,054  86,804  13,117  75,635  6,963  40,150 
Uranium One, Inc. (Canada) †  41,300  83,577  36,000  72,851  19,100  38,652 
Usinas Siderurgicas de Minas             
Gerais SA (Usiminas) Class A             
(Preference) (Brazil)  63,650  813,198  —  —  —  — 
Vallourec SA (France)  5,897  546,481  4,786  443,524  3,105  287,744 
Voestalpine AG (Austria)  64,091  839,495  34,934  457,582  11,934  156,317 
Votorantim Celulose e Papel             
SA ADR (Brazil)  9,903  43,375  8,629  37,795  4,581  20,065 
Wausau Paper Corp.  13,776  72,462  12,003  63,136  6,372  33,517 
West Fraser Timber Co., Ltd.             
(Canada)  4,045  71,713  3,524  62,476  1,871  33,170 
Weyerhaeuser Co.  6,603  182,045  5,753  158,610  3,054  84,199 
Xstrata PLC (United Kingdom)  36,779  245,318  30,218  201,556  19,326  128,905 
Yamana Gold, Inc. (Canada)  16,001  148,009  13,607  125,865  7,473  69,125 
Zhaojin Mining Industry Co., Ltd.             
(Hong Kong)  140,500  199,109  114,500  162,263  73,500  104,160 
    53,569,832    37,175,608    16,992,019 
Capital goods    3.9%    3.1%    2.0% 
Acuity Brands, Inc.  10,228  230,539  7,590  171,079  2,614  58,920 
Aecom Technology Corp. †  14,534  379,047  12,174  317,498  7,046  183,760 
AeroVironment, Inc. †  8,020  167,618  5,811  121,450  2,199  45,959 
AGCO Corp. †  52,157  1,022,277  43,636  855,266  18,791  368,304 
Alstom SA (France)  8,137  421,106  6,693  346,376  4,248  219,843 
American Ecology Corp.  8,787  122,491  6,384  88,993  2,403  33,498 
American Science &             
Engineering, Inc.  2,453  136,877  1,783  99,491  658  36,716 
Applied Industrial Technologies, Inc.  28,974  488,791  21,536  363,312  8,015  135,213 
Arabtec Holding Co.             
(United Arab Emirates)  1,115,358  499,119  —  —  —  — 
ATC Technology Corp. †  17,027  190,702  12,080  135,296  4,721  52,875 
Autoliv, Inc. (Sweden)  37,503  696,431  31,369  582,522  13,494  250,584 
Aveng, Ltd. (South Africa)  242,016  668,215  —  —  —  — 
BAE Systems PLC             
(United Kingdom)  908,278  4,356,685  526,902  2,527,361  201,511  966,576 
Bio-Treat Technology, Ltd.             
(China) †  678,000  15,631  536,000  12,358  308,000  7,101 
Boeing Co. (The) #  23,034  819,550  19,233  684,310  8,223  292,574 
Bucyrus International, Inc.             
Class A  2,928  44,447  2,505  38,026  1,329  20,174 

36

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Capital goods cont.             
Calgon Carbon Corp. †  8,851  $125,419  7,265  $102,945  4,180  $59,231 
Canon, Inc. (Japan)  56,250  1,639,222  31,200  909,222  10,800  314,731 
Capstone Turbine Corp. †  137,215  98,795  121,400  87,408  64,325  46,314 
Caterpillar, Inc.  20,393  570,188  17,049  476,690  7,338  205,170 
Chart Industries, Inc. †  39,719  312,986  28,665  225,880  10,323  81,345 
China High Speed Transmission             
Equipment Group Co., Ltd.             
(China)  171,000  245,700  141,000  202,594  81,000  116,384 
China National Materials Co.,             
Ltd. (China) †  1,828,000  957,777  —  —  —  — 
CLARCOR, Inc.  4,355  109,702  3,587  90,357  2,064  51,992 
Clean Harbors, Inc. †  6,809  326,832  5,141  246,768  1,816  87,168 
Cobham PLC (United Kingdom)  160,918  396,444  132,368  326,107  81,557  200,927 
Columbus McKinnon Corp. †  17,358  151,362  12,850  112,052  4,437  38,691 
Conergy AG (Germany) †  6,235  5,553  5,410  4,818  2,886  2,570 
Cummins, Inc. #  35,001  890,775  29,277  745,100  12,619  321,154 
Deere (John) & Co.  9,436  310,161  8,122  266,970  3,445  113,237 
Doosan Heavy Industries and             
Construction Co., Ltd.             
(South Korea)  6,898  341,448  5,620  278,188  3,313  163,992 
Ebara Corp. (Japan)  102,000  226,160  86,000  190,684  49,000  108,645 
EMCOR Group, Inc. †  25,708  441,406  18,835  323,397  6,832  117,305 
Emerson Electric Co. #  48,325  1,381,129  40,449  1,156,032  17,417  497,778 
Energy Recovery, Inc. †  24,271  184,460  18,400  139,840  11,791  89,612 
EnergySolutions, Inc.  3,831  33,138  3,707  32,066  1,966  17,006 
Epure International, Ltd. (China)  64,000  12,433  59,000  11,462  34,000  6,605 
European Aeronautic Defense             
and Space Co. (France)  235,982  2,744,485  129,517  1,506,291  43,503  505,943 
Exide Technologies †  97,891  293,673  74,727  224,181  33,957  101,871 
Finmeccanica SpA (Italy)  61,696  767,312  50,008  621,948  31,585  392,822 
Flowserve Corp.  15,919  893,374  13,325  747,799  5,739  322,073 
Fluor Corp.  20,988  725,135  17,546  606,214  7,546  260,714 
Foster Wheeler AG †  32,974  576,056  27,599  482,155  11,876  207,474 
Franklin Electric Co., Inc.  4,717  104,387  3,876  85,776  2,230  49,350 
Fuel Systems Solutions, Inc. †  5,500  74,140  4,000  53,920  1,500  20,220 
Fuel Tech, Inc. †  24,655  257,891  21,600  225,936  11,412  119,370 
Fuji Machine Manufacturing             
Co., Ltd. (Japan)  37,600  304,875  30,900  250,548  19,100  154,870 
Funai Electric Co., Ltd. (Japan)  5,900  174,000  4,800  141,560  3,100  91,424 
Gardner Denver, Inc. †  14,709  319,774  10,798  234,749  3,760  81,742 
General Cable Corp. †  13,766  272,842  9,984  197,883  3,757  74,464 
General Dynamics Corp.  46,652  1,940,257  39,051  1,624,131  16,832  700,043 
Glory, Ltd. (Japan)  20,100  357,902  16,300  290,239  10,500  186,964 
GLV, Inc. Class A (Canada) †  13,266  69,378  11,213  58,641  6,451  33,737 
Gorman-Rupp Co. (The)  7,188  142,322  6,207  122,899  3,316  65,657 
GrafTech International, Ltd. †  16,543  101,905  12,194  75,115  4,245  26,149 
GUD Holdings, Ltd. (Australia)  10,939  47,632  9,282  40,417  5,340  23,252 

37

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Capital goods cont.             
Heico Corp.  7,011  $170,367  5,237  $127,259  2,047  $49,742 
Hyflux, Ltd. (Singapore)  65,000  70,623  54,000  58,672  31,000  33,682 
Hyundai Mobis (South Korea)  12,993  759,633  —  —  —  — 
ITT Corp.  5,719  220,010  4,736  182,194  2,725  104,831 
Jacobs Engineering Group, Inc. †  17,100  661,086  14,300  552,838  6,200  239,692 
John Bean Technologies Corp.  15,280  159,829  11,210  117,257  4,050  42,363 
Joy Global, Inc.  60,523  1,289,140  49,777  1,060,250  21,393  455,671 
Kurita Water Industries, Ltd.             
(Japan)  24,200  465,167  19,800  380,591  12,400  238,350 
Lindsay Corp.  4,171  112,617  3,432  92,664  1,834  49,518 
Lockheed Martin Corp. #  11,053  762,989  9,274  640,184  4,003  276,327 
MAN AG (Germany)  1,830  79,799  1,034  45,089  331  14,434 
Manitowoc Co., Inc. (The)  90,245  295,101  75,476  246,807  32,525  106,357 
Met-Pro Corp.  3,835  31,255  3,457  28,175  1,847  15,053 
Mitsubishi Electric Corp. (Japan)  193,000  877,616  126,000  572,951  65,000  295,570 
Moog, Inc. †  7,075  161,805  5,254  120,159  1,893  43,293 
MTU Aero Engines Holding AG             
(Germany)  10,838  254,072  8,848  207,421  5,512  129,216 
Mueller Water Products, Inc.             
Class A  38,257  126,248  31,977  105,524  18,397  60,710 
Murray & Roberts Holdings, Ltd.             
(South Africa)  126,704  544,927  —  —  —  — 
Nalco Holding Co.  12,597  164,643  10,548  137,862  6,069  79,322 
Northrop Grumman Corp.  14,665  639,981  12,277  535,768  5,301  231,336 
Orbital Sciences Corp. †  14,049  167,043  10,515  125,023  3,592  42,709 
Organo Corp. (Japan)  11,000  60,824  9,000  49,765  5,000  27,647 
Parker-Hannifin Corp.  36,524  1,241,086  30,035  1,020,589  13,238  449,827 
Pentair, Inc.  11,864  257,093  9,864  213,753  5,675  122,977 
Pitney Bowes, Inc.  45,668  1,066,348  38,161  891,059  16,418  383,360 
Prysmian SpA (Italy)  146,332  1,456,493  89,847  894,279  37,466  372,912 
Raser Technologies, Inc. †  19,500  81,705  17,000  71,230  9,000  37,710 
Raytheon Co.  68,363  2,662,055  57,200  2,227,368  24,631  959,131 
Rexam PLC (United Kingdom)  41,861  161,743  34,039  131,520  22,036  85,143 
Roper Industries, Inc.  6,648  282,208  5,543  235,300  3,189  135,373 
Samsung Engineering Co., Ltd.             
(South Korea)  11,047  465,099  —  —  —  — 
Siemens AG (Germany)  6,169  353,147  5,068  290,120  3,325  190,341 
Silgan Holdings, Inc.  7,455  391,686  5,355  281,352  2,066  108,548 
Solaria Energia y Medio Ambiente             
SA (Spain) †  11,927  24,227  10,629  21,590  5,566  11,306 
Solon AG Fuer Solartechnik             
(Germany) †  2,149  27,514  1,865  23,878  989  12,662 
Spirax-Sarco Engineering PLC             
(United Kingdom)  15,192  182,533  12,762  153,337  7,342  88,215 
Steelcase, Inc.  128,204  642,302  107,225  537,197  46,178  231,352 
Sunpower Corp. Class A †  4,510  107,248  3,746  89,080  2,149  51,103 
Tanfield Group PLC             
(United Kingdom) †  194,065  27,793  168,398  24,117  89,769  12,856 

38

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Capital goods cont.             
Teledyne Technologies, Inc. †  6,613  $176,435  4,782  $127,584  1,819  $48,531 
Terex Corp. †  78,100  722,425  65,300  604,025  28,300  261,775 
Tetra Tech, Inc. †  18,794  383,022  15,617  318,274  8,985  183,114 
Tomkins PLC (United Kingdom)  119,327  207,074  67,371  116,912  21,565  37,423 
United Technologies Corp.  53,146  2,284,215  44,422  1,909,258  19,116  821,606 
USEC, Inc. †  21,900  105,120  19,100  91,680  10,100  48,480 
Valmont Industries, Inc.  4,000  200,840  3,467  174,078  1,851  92,939 
Vestas Wind Systems A/S             
(Denmark) †  6,230  275,120  5,219  230,474  2,994  132,217 
Vinci SA (France)  8,160  302,127  6,697  247,959  4,284  158,617 
WESCO International, Inc. †  18,210  329,965  13,425  243,261  4,836  87,628 
Yingli Green Energy Holding             
Co., Ltd. ADR (China) †  56,935  342,749  11,600  69,832  6,061  36,487 
    52,022,103    36,487,879    16,427,549 
Communication services    3.9%    2.7%    1.7% 
AboveNet, Inc. †  150  6,750  —  —  75  3,375 
Adelphia Recovery Trust             
(Ser. ACC-1) †  194,250  1,943  262,238  2,622  121,406  1,214 
Airvana, Inc. †  28,723  168,030  21,680  126,828  7,650  44,753 
America Movil SAB de CV             
ADR Ser. L (Mexico)  74,622  2,020,764  7,648  207,108  4,715  127,682 
AT&T, Inc. #  300,306  7,567,711  251,213  6,330,568  108,191  2,726,413 
Atlantic Tele-Network, Inc.  13,242  253,982  9,845  188,827  3,831  73,479 
Belgacom SA (Belgium)  12,385  387,770  6,993  218,948  2,239  70,102 
Carphone Warehouse Group             
PLC (The) (United Kingdom)  420,417  757,093  227,131  409,021  75,978  136,822 
CenturyTel, Inc.  29,500  829,540  24,700  694,564  10,700  300,884 
China Mobile, Ltd. (China)  186,000  1,619,268  —  —  —  — 
China Mobile, Ltd. ADR (China)  728  31,683  —  —  —  — 
China Unicom Hong Kong, Ltd.             
(China)  200,000  209,572  164,000  171,849  106,000  111,073 
Cincinnati Bell, Inc. †  116,280  267,444  81,893  188,354  30,800  70,840 
Comcast Corp. Class A  145,666  1,986,884  121,818  1,661,598  52,513  716,277 
DIRECTV Group, Inc. (The) †  140,463  3,201,152  117,507  2,677,985  50,603  1,153,242 
DISH Network Corp. Class A †  43,444  482,663  36,302  403,315  15,641  173,772 
Earthlink, Inc. †  40,319  264,896  28,792  189,163  10,998  72,257 
Embarq Corp.  21,642  819,150  18,093  684,820  7,775  294,284 
Empressa Nacional de             
Telecomunicaciones SA (Chile)  55,252  634,972  —  —  —  — 
France Telecom SA (France)  191,907  4,362,508  110,298  2,507,339  41,470  942,713 
GeoEye, Inc. †  5,524  109,099  3,993  78,862  1,519  30,000 
Globe Telecom, Inc. (Philippines)  27,910  481,669  —  —  —  — 
j2 Global Communications, Inc. †  12,113  265,154  8,847  193,661  3,231  70,727 
KDDI Corp. (Japan)  706  3,328,275  406  1,913,994  151  711,855 
Koninklijke (Royal) KPN NV             
(Netherlands)  44,680  597,294  36,860  492,754  24,248  324,154 
KT Freetel Co., Ltd.             
(South Korea) †  16,830  337,248  13,710  274,728  8,850  177,341 

39

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Communication services cont.             
Liberty Global, Inc. Class A †  88,419  $1,287,381  73,966  $1,076,945  31,851  $463,751 
Mobile Telesystems ADR (Russia)  25,500  762,960  —  —  —  — 
MTN Group, Ltd. (South Africa)  113,727  1,263,598  —  —  —  — 
NeuStar, Inc. Class A †  24,820  415,735  18,170  304,348  6,630  111,053 
Nice Systems, Ltd. ADR (Israel) †  13,249  329,370  9,665  240,272  3,622  90,043 
NII Holdings, Inc. †  61,364  920,460  51,299  769,485  22,080  331,200 
Nippon Telegraph & Telephone             
(NTT) Corp. (Japan)  103,300  3,919,706  62,200  2,360,172  25,900  982,772 
Novatel Wireless, Inc. †  19,646  110,411  14,524  81,625  5,022  28,224 
NTELOS Holdings Corp.  12,399  224,918  9,163  166,217  3,170  57,504 
NTT DoCoMo, Inc. (Japan)  147  200,376  120  163,572  76  103,596 
Partner Communications Co.,             
Ltd. (Israel)  39,636  595,634  —  —  —  — 
Premiere Global Services, Inc. †  31,279  275,881  23,242  204,994  7,996  70,525 
PT Telekomunikasi (Indonesia)  469,000  307,294  —  —  —  — 
Qatar Telecom Q-Tel QSC             
(Qatar)  19,112  498,122  —  —  —  — 
Swisscom AG (Switzerland)  1,066  298,873  883  247,565  578  162,053 
Telecomunicacoes de Sao Paulo             
SA ADR (Brazil)  19,600  407,288  —  —  —  — 
Telefonica SA (Spain)  41,471  827,948  22,555  450,299  7,495  149,634 
Telekom Austria AG (Austria)  14,377  217,185  8,118  122,634  2,599  39,262 
Telekomunikasi Indonesia Tbk             
PT ADR (Indonesia)  12,846  330,142  —  —  —  — 
Telephone and Data Systems, Inc.  13,010  344,895  10,910  289,224  4,687  124,252 
Time Warner Cable, Inc.  29,529  732,319  24,712  612,858  10,643  263,946 
Verizon Communications, Inc.  190,155  5,742,681  159,052  4,803,370  68,998  2,083,740 
Vodafone Group PLC             
(United Kingdom)  611,169  1,067,379  499,765  872,817  316,511  552,772 
    52,073,070    32,383,305    13,947,586 
Conglomerates    1.1%    0.9%    0.6% 
3M Co.  65,946  3,278,835  55,196  2,744,345  23,751  1,180,900 
Ansell, Ltd. (Australia)  66,320  395,708  34,824  207,782  11,986  71,516 
Bouygues SA (France)  62,597  2,232,403  34,265  1,221,996  11,540  411,552 
Danaher Corp.  4,885  264,865  4,096  222,085  2,357  127,797 
General Electric Co. #  331,513  3,351,596  275,330  2,783,586  119,471  1,207,852 
Hutchison Whampoa, Ltd.             
(Hong Kong)  106,000  519,906  57,000  279,572  19,000  93,191 
Itochu Corp. (Japan)  275,000  1,354,829  152,000  748,851  54,000  266,039 
Marubeni Corp. (Japan)  147,000  455,877  83,000  257,400  27,000  83,732 
Silex Systems, Ltd. (Australia) †  17,131  50,719  14,931  44,206  7,919  23,445 
Vivendi SA (France)  109,475  2,891,530  72,029  1,902,480  35,661  941,903 
Walter Industries, Inc.  18,713  427,966  15,740  359,974  6,943  158,786 
    15,224,234    10,772,277    4,566,713 
Consumer cyclicals    4.3%    3.4%    2.1% 
Aeropostale, Inc. †  6,783  180,156  4,928  130,888  1,855  49,269 
Aisin Seiki Co., Ltd. (Japan)  52,100  832,635  32,300  516,202  14,900  238,124 

40

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Consumer cyclicals cont.             
Alliance Data Systems Corp. †  7,659  $283,000  5,442  $201,082  2,120  $78,334 
Amazon.com, Inc. †  2,490  182,866  2,150  157,896  1,158  85,044 
American Media, Inc. 144A †  2,148  2,148  2,679  2,679  1,397  1,397 
AnnTaylor Stores Corp. †  30,028  156,146  21,758  113,142  8,284  43,077 
Bally Technologies, Inc. †  10,089  185,839  7,294  134,355  2,774  51,097 
Bridgestone Corp. (Japan)  145,500  2,099,156  80,700  1,164,274  26,800  386,649 
Buckle, Inc. (The)  22,952  732,857  16,395  523,492  6,347  202,660 
Charlotte Russe Holding, Inc. †  18,392  149,895  13,330  108,640  4,900  39,935 
Chemed Corp.  7,212  280,547  5,345  207,921  2,085  81,107 
China Dongxiang Group Co.             
(China)  1,249,000  459,423  —  —  —  — 
Consolidated Graphics, Inc. †  9,554  121,527  7,213  91,749  2,550  32,436 
CTC Media, Inc. (Russia) †  42,818  195,250  35,779  163,152  15,422  70,324 
Daily Mail and General Trust PLC             
Class A (United Kingdom)  67,920  227,557  38,347  128,476  12,275  41,126 
Dana Holding Corp. †  4,951  2,277  5,392  2,480  2,641  1,215 
Deckers Outdoor Corp. †  4,749  251,887  3,554  188,504  1,238  65,664 
Deluxe Corp.  19,582  188,575  14,602  140,617  5,178  49,864 
Denso Corp. (Japan)  17,600  355,241  14,400  290,652  9,500  191,749 
Desarrolladora Homex SA             
de CV ADR (Mexico) †  34,900  462,076  —  —  —  — 
Dolby Laboratories, Inc.             
Class A †  22,900  781,119  19,112  651,910  8,168  278,610 
Dollar Tree, Inc. †  38,068  1,695,929  31,825  1,417,804  13,726  611,493 
Dreamworks Animation SKG,             
Inc. Class A †  8,101  175,306  5,857  126,745  2,228  48,214 
Dress Barn, Inc. †  25,055  307,926  18,589  228,459  7,229  88,844 
Emergency Medical Services             
Corp.Class A †  7,014  220,169  5,072  159,210  1,930  60,583 
Experian Group, Ltd. (Ireland)  59,979  375,626  33,864  212,077  10,840  67,887 
EZCORP, Inc. Class A †  29,874  345,642  21,673  250,757  8,076  93,439 
FamilyMart Co., Ltd. (Japan)  10,300  313,870  8,400  255,971  5,500  167,600 
Fiat SpA (Italy)  314,601  2,210,062  182,586  1,282,661  70,740  496,946 
Fields Corp. (Japan)  86  122,039  70  99,334  45  63,857 
Foot Locker, Inc.  85,451  895,526  71,502  749,341  30,779  322,564 
Gap, Inc. (The)  37,300  484,527  31,200  405,288  13,500  175,365 
Geberit International AG             
(Switzerland)  4,091  366,823  3,433  307,823  1,975  177,090 
Genesco, Inc. †  25,780  485,437  18,976  357,318  7,339  138,193 
Greek Organization of Football             
Prognostics (OPAP) SA (Greece)  55,847  1,475,248  30,985  818,496  10,296  271,978 
Grupo Televisa SA de CV ADR             
(Mexico)  19,843  270,659  —  —  —  — 
Guangdong Investment, Ltd.             
(China)  666,000  269,302  548,000  221,588  316,000  127,777 
Gymboree Corp. (The) †  12,761  272,447  9,456  201,886  3,262  69,644 
Hackett Group Inc. (The) †  28,479  57,528  20,596  41,604  7,844  15,845 
Hasbro, Inc.  50,039  1,254,478  41,866  1,049,581  18,051  452,539 

41

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Consumer cyclicals cont.             
Healthcare Services Group, Inc.  8,212  $122,934  5,836  $87,365  2,273  $34,027 
Home Depot, Inc. (The)  38,100  897,636  31,000  730,360  13,800  325,128 
Home Retail Group PLC             
(United Kingdom)  59,097  189,123  33,366  106,778  10,681  34,181 
Honda Motor Co., Ltd. (Japan)  14,100  337,042  11,600  277,283  7,200  172,107 
Hyundai Department Store             
Co., Ltd. (South Korea)  12,096  627,944  —  —  —  — 
ICF International, Inc. †  9,039  207,626  6,578  151,097  2,482  57,012 
Isuzu Motors, Ltd. (Japan)  59,000  72,610  48,000  59,073  31,000  38,151 
Jakks Pacific, Inc. †  16,069  198,452  11,779  145,471  4,314  53,278 
Jos. A. Bank Clothiers, Inc. †  6,871  191,083  4,954  137,771  1,837  51,087 
Landauer, Inc.  4,619  234,091  3,518  178,292  1,568  79,466 
Lennox International, Inc.  9,000  238,140  6,384  168,921  2,493  65,965 
LG Corp. (South Korea)  8,480  303,750  6,960  249,304  4,360  156,173 
Lowe’s Cos., Inc.  46,100  841,325  37,900  691,675  16,700  304,775 
LVMH Moet Hennessy             
Louis Vuitton SA (France)  5,847  366,398  4,846  303,671  3,186  199,648 
M.D.C. Holdings, Inc.  19,167  596,860  16,024  498,987  6,909  215,146 
Macy’s, Inc.  66,892  595,339  55,559  494,475  24,284  216,128 
Manpower, Inc.  15,042  474,274  12,592  397,026  5,433  171,302 
Marvel Entertainment, Inc. †  20,075  532,991  14,480  384,444  5,404  143,476 
Mattel, Inc.  42,394  488,803  35,420  408,393  15,319  176,628 
Mediaset SpA (Italy)  391,638  1,748,936  217,282  970,315  72,198  322,414 
Michael Page International PLC             
(United Kingdom)  44,746  117,566  36,442  95,748  23,569  61,925 
Morningstar, Inc. †  6,549  223,648  5,497  187,723  2,378  81,209 
National CineMedia, Inc.  12,679  167,109  9,191  121,137  3,499  46,117 
Net 1 UEPS Technologies, Inc.             
(South Africa) †  9,896  150,518  7,189  109,345  2,706  41,158 
Next PLC (United Kingdom)  78,148  1,473,297  43,357  817,394  14,407  271,610 
Nintendo Co., Ltd. (Japan)  3,500  1,025,688  2,900  849,856  1,800  527,497 
Nissha Printing Co., Ltd. (Japan)  5,700  182,505  4,600  147,285  3,000  96,055 
OfficeMax, Inc.  52,017  162,293  36,972  115,353  14,467  45,137 
Panasonic Corp. (Japan)  95,900  1,052,857  52,500  576,382  18,000  197,617 
Perry Ellis International, Inc. †  16,930  58,578  12,824  44,371  4,534  15,688 
Phillips-Van Heusen Corp.  20,281  459,973  14,800  335,664  5,303  120,272 
Point, Inc. (Japan)  11,440  515,407  9,390  423,048  5,860  264,011 
PRG-Schultz International, Inc. †  14,321  40,672  10,675  30,317  3,815  10,835 
RadioShack Corp.  59,238  507,670  49,522  424,404  21,336  182,850 
Reed Elsevier PLC             
(United Kingdom)  79,301  568,865  64,845  465,165  42,583  305,469 
Rent-A-Center, Inc. †  13,298  257,582  9,436  182,775  3,688  71,437 
SECOM Co., Ltd. (Japan)  6,600  244,078  5,400  199,700  3,300  122,039 
Sony Corp. (Japan)  43,700  895,178  23,100  473,195  7,900  161,829 
Stantec, Inc. (Canada) †  10,798  195,377  8,992  162,699  5,173  93,599 
Staples, Inc.  41,000  742,510  34,300  621,173  14,900  269,839 

42

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Consumer cyclicals cont.             
Steiner Leisure, Ltd. (Bahamas) †  7,210  $175,996  5,260  $128,397  1,930  $47,111 
Steinhoff International Holdings,             
Ltd. (South Africa) †  660,273  704,749  —  —  —  — 
Steven Madden, Ltd. †  19,342  363,243  14,123  265,230  5,141  96,548 
Swire Pacific, Ltd. (Hong Kong)  255,500  1,704,939  142,000  947,559  48,500  323,638 
Tenneco Automotive, Inc. †  28,015  45,664  24,500  39,935  12,935  21,084 
Thomas Cook Group PLC             
(United Kingdom)  528,189  1,815,566  293,041  1,007,282  100,058  343,933 
Time Warner, Inc.  117,567  2,269,043  98,349  1,898,136  42,355  817,452 
TJX Cos., Inc. (The)  38,782  994,370  32,422  831,300  13,976  358,345 
Toro Co. (The)  29,007  701,389  23,397  565,739  9,778  236,432 
Toyota Industries Corp. (Japan)  8,000  172,306  6,500  139,999  4,200  90,461 
Toyota Motor Corp. (Japan)  7,700  246,724  4,300  137,781  1,400  44,859 
Tractor Supply Co. †  3,923  141,463  2,940  106,016  1,050  37,863 
True Religion Apparel, Inc. †  13,325  157,368  9,700  114,557  3,590  42,398 
TUI Travel PLC             
(United Kingdom)  149,482  490,865  77,634  254,932  27,015  88,711 
Valeo SA (France)  47,613  694,406  25,354  369,772  8,605  125,499 
Vertis Holdings, Inc. (F) †  9,156  9  9,315  9  4,364  4 
Volkswagen AG (Germany)  408  125,568  335  103,101  205  63,092 
Wal-Mart Stores, Inc. #  117,929  6,144,101  98,602  5,137,164  42,447  2,211,489 
Walt Disney Co. (The)  62,665  1,137,996  52,454  952,565  22,604  410,489 
Warnaco Group, Inc. (The) †  19,446  466,704  14,365  344,760  5,405  129,720 
Watson Wyatt Worldwide, Inc.             
Class A  4,577  225,966  3,325  164,155  1,251  61,762 
Wheelock and Co., Ltd.             
(Hong Kong)  131,000  220,454  74,000  124,531  24,000  40,389 
Wiley (John) & Sons, Inc.             
Class A  13,690  407,688  11,479  341,845  4,925  146,667 
Wolverine World Wide, Inc.  18,012  280,627  13,024  202,914  4,840  75,407 
World Fuel Services Corp.  5,365  169,695  3,806  120,384  1,487  47,034 
WPP PLC (United Kingdom)  83,178  467,571  67,523  379,569  44,205  248,491 
    58,359,919    40,605,121    17,348,702 
Consumer staples    6.4%    5.4%    3.5% 
AFC Enterprises †  35,344  159,401  26,130  117,846  9,465  42,687 
Altria Group, Inc. #  96,849  1,551,521  80,980  1,297,300  34,868  558,585 
Anheuser-Busch InBev NV             
(Belgium)  82,176  2,268,303  45,857  1,265,790  15,316  422,767 
Anheuser-Busch InBev NV             
144A (Belgium) †  11,778  325,108  9,708  267,970  6,004  165,728 
Archer Daniels Midland Co.  83,092  2,308,296  69,530  1,931,543  29,954  832,122 
Aryzta AG (Switzerland) †  11,925  284,848  6,733  160,828  2,156  51,500 
Beacon Roofing Supply, Inc. †  10,648  142,577  7,700  103,103  2,929  39,219 
Bidz.com, Inc. †  26,129  105,039  19,190  77,144  6,940  27,899 
BJ’s Wholesale Club, Inc. †  45,659  1,460,631  37,387  1,196,010  15,775  504,642 
Brink’s Co. (The)  15,408  407,696  12,898  341,281  5,560  147,118 
Brinker International, Inc.  17,972  271,377  13,520  204,152  4,800  72,480 

43

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Consumer staples cont.             
British American Tobacco (BAT)             
PLC (United Kingdom)  28,627  $662,653  23,650  $547,446  15,549  $359,926 
Britvic PLC (United Kingdom)  107,608  349,003  88,285  286,333  54,625  177,164 
Bunge, Ltd.  28,086  1,591,072  23,530  1,332,975  10,132  573,978 
Cal-Maine Foods, Inc.  5,524  123,682  4,014  89,873  1,440  32,242 
Campbell Soup Co.  34,982  957,108  29,224  799,569  12,579  344,161 
CEC Entertainment, Inc. †  15,480  400,622  11,046  285,870  4,110  106,367 
Chattem, Inc. †  3,230  181,042  2,333  130,765  907  50,837 
China Green Holdings, Ltd.             
(China)  273,000  160,948  222,000  130,881  144,000  84,895 
Church & Dwight Co., Inc.  7,900  412,617  6,600  344,718  2,800  146,244 
Clorox Co.  16,417  845,147  13,803  710,578  5,877  302,548 
Coca-Cola Co. (The)  28,430  1,249,499  23,817  1,046,757  10,252  450,575 
Colgate-Palmolive Co. #  43,139  2,544,338  36,041  2,125,698  15,511  914,839 
Colruyt SA (Belgium)  1,974  452,829  1,115  255,777  357  81,895 
Constellation Brands, Inc. Class A †  60,364  718,332  50,463  600,510  21,730  258,587 
Core-Mark Holding Co., Inc. †  6,905  125,809  4,897  89,223  1,912  34,837 
Corn Products International, Inc.  32,207  682,788  26,958  571,510  11,607  246,068 
Cosan, Ltd. Class A (Brazil) †  76,554  187,557  67,200  164,640  35,306  86,500 
Dean Foods Co. †  63,613  1,150,123  53,246  962,688  22,935  414,665 
DeVry, Inc.  8,949  431,163  7,448  358,845  3,198  154,080 
Domino’s Pizza, Inc. †  19,651  128,714  14,736  96,521  5,209  34,119 
Elizabeth Arden, Inc. †  13,770  80,279  9,910  57,775  3,680  21,454 
Energizer Holdings, Inc. †  22,238  1,105,006  18,945  941,377  8,843  439,409 
Fomento Economico Mexicano             
SA de CV ADR (Mexico)  22,300  562,183  —  —  —  — 
Fresh Del Monte Produce, Inc.             
(Cayman Islands) †  11,137  182,870  8,014  131,590  2,983  48,981 
General Mills, Inc.  10,800  538,704  9,000  448,920  3,900  194,532 
Heineken Holding NV             
(Netherlands)  30,464  741,600  16,465  400,816  5,505  134,011 
Heineken NV (Netherlands)  55,618  1,583,269  30,858  878,430  10,509  299,158 
Herbalife, Ltd. (Cayman Islands)  42,318  633,924  33,659  504,212  14,090  211,068 
HLTH Corp. †  20,106  208,097  17,079  176,768  9,387  97,155 
ITT Educational Services, Inc. †  10,329  1,254,147  8,463  1,027,577  3,598  436,869 
Japan Tobacco, Inc. (Japan)  73  194,769  60  160,084  37  98,718 
Jardine Cycle & Carriage, Ltd.             
(Singapore)  37,000  287,206  18,000  139,722  7,000  54,336 
KAO Corp. (Japan)  128,000  2,507,340  75,000  1,469,145  30,000  587,658 
Kellogg Co.  14,500  531,135  12,100  443,223  5,300  194,139 
Kerry Group PLC Class A (Ireland)  47,331  958,264  25,814  522,631  8,554  173,184 
Kimberly-Clark de Mexico SAB             
de CV Class A (Mexico)  78,434  254,829  —  —  —  — 
Koninklijke Ahold NV             
(Netherlands)  268,290  2,936,111  166,620  1,823,456  72,289  791,116 
Kraft Foods, Inc. Class A  64,288  1,432,980  53,810  1,199,425  23,172  516,504 
Kroger Co.  122,663  2,602,909  102,610  2,177,384  44,206  938,051 

44

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Consumer staples cont.             
KT&G Corp. (South Korea)  5,829  $321,089  4,754  $261,873  3,097  $170,597 
Lawson, Inc. (Japan)  5,100  210,120  4,200  173,040  2,600  107,120 
Lion Nathan, Ltd. (Australia)  52,255  294,045  29,502  166,011  9,443  53,137 
McDonald’s Corp.  93,862  5,122,049  78,500  4,283,745  33,789  1,843,866 
MWI Veterinary Supply, Inc. †  9,958  283,604  7,477  212,945  2,545  72,482 
Nash Finch Co.  13,644  383,260  9,731  273,344  3,766  105,787 
Nestle SA (Switzerland)  80,341  2,717,592  65,900  2,229,115  42,079  1,423,352 
Netflix, Inc. †  3,246  139,318  2,348  100,776  894  38,370 
Olam International, Ltd.             
(Singapore)  202,000  194,259  164,000  157,715  106,000  101,938 
Pepsi Bottling Group, Inc. (The)  106,624  2,360,655  89,185  1,974,556  38,425  850,730 
PepsiCo, Inc. #  65,743  3,384,450  55,027  2,832,790  23,680  1,219,046 
Philip Morris International, Inc. #  103,010  3,665,096  86,129  3,064,470  37,853  1,346,810 
Prestige Brands Holdings, Inc. †  38,492  199,389  28,676  148,542  10,258  53,136 
Procter & Gamble Co. (The)  134,023  6,311,143  112,140  5,280,673  48,317  2,275,248 
Reckitt Benckiser PLC             
(United Kingdom)  24,619  926,246  20,086  755,700  12,956  487,446 
Reynolds American, Inc.  9,950  356,608  8,285  296,934  3,548  127,160 
Robert Half International, Inc.  52,670  939,106  44,064  785,661  18,970  338,235 
Safeway, Inc.  165,980  3,351,136  138,804  2,802,453  59,803  1,207,423 
Sara Lee Corp.  62,600  505,808  52,400  423,392  22,600  182,608 
Spartan Stores, Inc.  33,774  520,457  25,235  388,871  9,542  147,042 
Strayer Education, Inc.  970  174,474  710  127,708  260  46,766 
Suedzucker AG (Germany)  67,803  1,307,480  37,103  715,476  13,312  256,702 
SunOpta, Inc. (Canada) †  32,000  55,360  27,900  48,267  14,800  25,604 
Swedish Match AB (Sweden)  81,060  1,171,692  43,442  627,938  14,649  211,746 
Toyo Suisan Kaisha, Ltd. (Japan)  136,000  2,781,988  85,000  1,738,742  39,000  797,776 
WebMD Health Corp. Class A †  9,228  205,784  7,839  174,810  4,308  96,068 
WM Morrison Supermarkets PLC             
(United Kingdom)  129,550  474,095  106,442  389,530  68,073  249,117 
Wolseley PLC (United Kingdom)  147,104  486,702  83,054  274,789  26,585  87,958 
Woolworths, Ltd. (Australia)  195,598  3,414,274  107,514  1,876,718  36,058  629,413 
Yum! Brands, Inc.  86,189  2,368,474  72,102  1,981,363  31,072  853,859 
    85,861,218    64,964,626    28,362,159 
Energy    7.1%    5.8%    3.7% 
Alpha Natural Resources, Inc. †  66,071  1,172,760  51,062  906,351  20,185  358,284 
Arch Coal, Inc.  3,510  46,929  3,230  43,185  1,714  22,916 
Areva SA (France)  149  62,102  130  54,183  69  28,759 
Aventine Renewable Energy             
Holdings, Inc. †  41,678  3,543  36,385  3,093  19,603  1,666 
Ballard Power Systems, Inc.             
(Canada) †  43,013  68,821  39,800  63,680  21,146  33,834 
Basic Energy Services, Inc. †  28,356  183,463  21,121  136,653  7,605  49,204 
BG Group PLC             
(United Kingdom)  78,374  1,187,557  64,534  977,848  42,170  638,978 
BP PLC (United Kingdom)  588,981  3,940,513  410,584  2,746,967  215,293  1,440,394 
Bronco Energy, Ltd. (Canada) †  10,513  4,088  9,069  3,527  4,886  1,900 

45

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Energy cont.             
Canadian Oil Sands Trust             
(Unit) (Canada)  8,080  $155,496  6,971  $134,153  3,755  $72,263 
Canadian Solar, Inc. (China) †  5,180  30,976  4,700  28,106  2,408  14,400 
Centennial Coal Co., Ltd.             
(Australia)  26,667  37,152  23,103  32,187  12,254  17,072 
Chevron Corp. #  173,158  11,643,144  144,872  9,741,193  62,382  4,194,566 
China Coal Energy Co. (China)  222,000  163,955  196,000  144,753  103,000  76,069 
China Petroleum & Chemical             
Corp. (China)  2,811,000  1,803,442  738,000  473,476  468,000  300,253 
China Shenhua Energy Co.,             
Ltd. (China)  419,000  965,670  128,500  296,154  68,000  156,720 
China Sunergy Co., Ltd.             
ADR (China) †  9,513  29,015  8,368  25,522  4,508  13,749 
CNOOC, Ltd. (China)  487,000  482,871  —  —  —  — 
Compagnie Generale de             
Geophysique-Veritas SA             
(France) †  116,187  1,345,221  64,119  742,374  21,954  254,185 
Comstock Resources, Inc. †  6,144  183,091  4,494  133,921  1,647  49,081 
Connacher Oil and Gas, Ltd.             
(Canada) †  33,520  19,685  28,917  16,982  15,579  9,149 
ConocoPhillips #  96,279  3,770,286  80,503  3,152,497  34,669  1,357,638 
CONSOL Energy, Inc.  2,926  73,852  2,579  65,094  1,368  34,528 
Core Laboratories NV             
(Netherlands)  5,142  376,189  3,847  281,447  1,382  101,107 
Covanta Holding Corp. †  12,600  164,934  11,000  143,990  5,800  75,922 
CVR Energy, Inc. †  27,412  151,862  20,540  113,792  7,380  40,885 
Devon Energy Corp.  6,694  299,155  5,563  248,610  2,409  107,658 
Dresser-Rand Group, Inc. †  87,040  1,923,584  72,814  1,609,189  31,369  693,255 
EDP Renovaveis SA (Spain) †  29,567  241,612  25,048  204,684  14,372  117,443 
Energy XXI Bermuda, Ltd.             
(Bermuda)  85,814  32,180  64,141  24,053  22,066  8,275 
ENI SpA (Italy)  140,676  2,696,368  77,164  1,479,019  26,649  510,787 
ENSCO International, Inc.  35,623  940,447  29,798  786,667  12,837  338,897 
Evergreen Energy, Inc. †  76,800  106,906  66,900  93,125  35,500  49,416 
Evergreen Solar, Inc. †  19,963  42,521  17,300  36,849  9,133  19,453 
Exxon Mobil Corp. #  321,410  21,888,021  268,855  18,309,026  115,778  7,884,482 
Felix Resources, Ltd. (Australia)  8,735  53,296  7,552  46,078  4,006  24,442 
First Solar, Inc. †  12,422  1,648,399  10,477  1,390,298  4,974  660,050 
Foundation Coal Holdings, Inc.  2,197  31,527  1,909  27,394  1,013  14,537 
FuelCell Energy, Inc. †  43,107  103,457  37,437  89,849  19,857  47,657 
Gamesa Corp Tecnologica SA             
(Spain)  12,001  153,908  10,141  130,054  5,819  74,626 
Gazprom (Russia)  187,551  734,692  —  —  —  — 
GT Solar International, Inc. †  8,826  58,605  7,614  50,557  4,102  27,237 
Gushan Environmental Energy,             
Ltd. ADR(China)  45,100  76,219  39,300  66,417  20,800  35,152 
Halliburton Co.  11,758  181,896  9,863  152,581  4,249  65,732 

46

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Energy cont.             
Headwaters, Inc. †  39,342  $123,534  34,318  $107,759  18,490  $58,059 
Hess Corp.  12,933  700,969  10,845  587,799  4,660  252,572 
Hidili Industry International             
Development, Ltd. (China)  79,000  24,172  72,000  22,030  38,000  11,627 
Iberdrola Renovables SA (Spain) †  72,086  298,932  60,101  249,232  34,486  143,009 
Inpex Holdings, Inc. (Japan)  36  247,607  30  206,339  18  123,804 
International Coal Group, Inc. †  11,614  18,699  10,397  16,739  5,515  8,879 
ION Geophysical Corp. †  82,135  128,131  59,535  92,875  22,665  35,357 
JA Solar Holdings Co., Ltd.             
ADR (China) †  23,391  78,828  19,619  66,116  11,257  37,936 
James River Coal Co. †  2,384  29,419  2,069  25,531  1,097  13,537 
Key Energy Services, Inc. †  36,491  105,094  27,360  78,797  9,760  28,109 
LDK Solar Co., Ltd. ADR             
(China) †  6,355  40,291  5,530  35,060  2,980  18,893 
Lukoil (Russia)  32,726  1,267,342  —  —  —  — 
MacArthur Coal, Ltd. (Australia)  7,881  18,599  7,149  16,872  3,792  8,949 
Marathon Oil Corp.  101,285  2,662,783  84,840  2,230,444  36,541  960,663 
Mariner Energy, Inc. †  24,109  186,845  17,762  137,656  6,163  47,763 
Massey Energy Co. #  67,212  680,185  56,481  571,588  24,543  248,375 
Matrix Service Co. †  17,135  140,850  12,393  101,870  4,713  38,741 
McMoRan Exploration Co. †  14,123  66,378  10,411  48,932  3,606  16,948 
Nexen, Inc. (Canada)  33,840  574,160  27,440  465,572  17,626  299,059 
Noble Corp.  26,549  639,565  22,245  535,882  9,595  231,144 
Occidental Petroleum Corp. #  51,166  2,847,388  42,808  2,382,265  18,445  1,026,464 
Oil States International, Inc. †  7,031  94,356  5,131  68,858  1,797  24,116 
OPTI Canada, Inc. (Canada) †  11,597  9,111  10,005  7,860  5,390  4,235 
Patriot Coal Corp. †  2,650  9,832  2,214  8,214  1,174  4,356 
Patterson-UTI Energy, Inc.  43,993  394,177  36,761  329,379  15,832  141,855 
Peabody Energy Corp.  4,066  101,813  3,557  89,067  1,887  47,250 
Petroleo Brasileiro SA ADR             
(Preference) (Brazil)  87,261  2,137,895  13,724  336,238  8,836  216,482 
Petroleo Brasileiro SA ADR             
(Brazil)  50,822  1,548,546  5,086  154,970  3,302  100,612 
Petroleum Development Corp. †  23,318  275,386  16,734  197,629  6,430  75,938 
Q-Cells AG (Germany) †  3,603  70,521  3,022  59,149  1,734  33,939 
Renewable Energy Corp. AS             
(Norway) †  16,974  147,022  14,031  121,530  8,051  69,734 
Repsol YPF SA (Spain)  30,684  529,838  16,326  281,910  5,546  95,766 
Riversdale Mining, Ltd.             
(Australia) †  16,492  40,363  14,907  36,484  7,606  18,615 
Rosetta Resources, Inc. †  22,613  111,934  16,373  81,046  6,143  30,408 
Rosneft Oil Co. GDR (Russia)  102,410  440,070  —  —  —  — 
Royal Dutch Shell PLC Class A             
(United Kingdom)  50,071  1,125,524  27,241  612,338  9,324  209,590 
Royal Dutch Shell PLC Class B             
(United Kingdom)  170,683  3,740,081  100,499  2,202,178  40,024  877,023 
Sasol, Ltd. ADR (South Africa)  7,679  222,307  6,800  196,860  3,552  102,830 

47

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Energy cont.             
Solar Millennium AG             
(Germany) †  3,273  $44,048  2,840  $38,221  1,507  $20,281 
Solarfun Power Holdings Co.,             
Ltd. ADR (China) †  9,670  40,517  9,026  37,819  4,863  20,376 
StatoilHydro ASA (Norway)  200,220  3,502,505  114,272  1,998,992  42,307  740,088 
Suncor Energy, Inc. (Canada)  8,780  195,004  7,574  168,219  4,081  90,639 
Sunoco, Inc.  57,708  1,528,108  48,260  1,277,925  20,767  549,910 
Suntech Power Holdings Co.,             
Ltd. ADR (China) †  6,872  80,334  6,000  70,140  3,177  37,139 
Swift Energy Co. †  10,461  76,365  7,653  55,867  2,705  19,747 
Tesoro Corp.  113,675  1,531,202  95,062  1,280,485  40,925  551,260 
Theolia SA (France) †  13,828  39,160  11,999  33,980  6,377  18,059 
Tidewater, Inc.  96,116  3,568,787  80,367  2,984,027  34,612  1,285,144 
Total SA (France)  32,789  1,625,587  26,838  1,330,553  17,364  860,858 
Trico Marine Services, Inc. †  14,260  29,946  10,622  22,306  3,796  7,972 
Trina Solar, Ltd. ADR (China) †  4,397  45,817  3,800  39,596  2,028  21,132 
UK Coal PLC (United Kingdom) †  13,973  14,350  12,125  12,452  6,481  6,656 
Unit Corp. †  27,079  566,493  21,918  458,525  9,169  191,815 
UTS Energy Corp. (Canada) †  40,889  55,163  35,274  47,588  19,004  25,638 
Vaalco Energy, Inc. †  36,514  193,159  25,744  136,186  9,691  51,265 
Valero Energy Corp.  49,781  891,080  41,666  745,821  17,925  320,858 
Wellstream Holdings PLC             
(United Kingdom)  78,209  483,228  —  —  —  — 
Willbros Group, Inc. †  15,575  151,078  11,278  109,397  4,150  40,255 
Yanzhou Coal Mining Co.,             
Ltd. (China)  158,000  113,822  134,000  96,533  70,000  50,427 
    95,933,710    68,913,278    30,594,777 
Financials    7.7%    5.7%    3.6% 
3i Group PLC (United Kingdom)  261,930  1,015,420  139,074  539,146  47,337  183,511 
ABSA Group, Ltd. (South Africa)  77,838  795,244  —  —  —  — 
ACE, Ltd.  16,900  682,760  13,759  555,864  8,898  359,479 
Aflac, Inc.  23,500  454,960  19,500  377,520  8,500  164,560 
Agree Realty Corp. R  11,156  175,038  8,435  132,345  2,982  46,788 
Aldar Properties PJSC             
(United Arab Emirates)  989,628  717,923  —  —  —  — 
Allianz SE (Germany)  13,797  1,161,866  10,002  842,284  5,503  463,416 
Allied Irish Banks PLC (Ireland)  323,717  254,653  173,325  136,347  58,502  46,021 
Allied World Assurance Company             
Holdings, Ltd. (Bermuda)  7,228  274,881  5,466  207,872  1,932  73,474 
Alpha Bank AE (Greece)  18,779  125,539  15,294  102,241  9,892  66,129 
American Equity Investment Life             
Holding Co.  50,354  209,473  36,917  153,575  13,585  56,514 
American Financial Group, Inc.  87,680  1,407,264  73,349  1,177,251  31,593  507,068 
American Safety Insurance             
Holdings, Ltd. (Bermuda) †  9,810  112,913  7,060  81,261  2,620  30,156 
Amerisafe, Inc. †  24,768  379,446  18,524  283,788  7,204  110,365 
Amtrust Financial Services, Inc.  18,900  180,495  13,500  128,925  5,100  48,705 

48

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Financials cont.             
Anglo Irish Bank Corp. PLC             
(Ireland) F  466,307  $27,992  263,272  $15,804  84,271  $5,059 
Arch Capital Group, Ltd. †  20,785  1,119,480  17,376  935,871  7,475  402,604 
Aspen Insurance Holdings, Ltd.             
(Bermuda)  11,456  257,302  8,212  184,442  3,087  69,334 
Assured Guaranty, Ltd.             
(Bermuda)  16,761  113,472  12,486  84,530  4,476  30,303 
Astoria Financial Corp.  31,800  292,242  26,600  244,454  11,400  104,766 
AXA SA (France)  23,963  290,855  19,161  232,570  12,655  153,602 
Banco Latinoamericano de             
Exportaciones SA Class E             
(Panama)  41,562  389,436  30,912  289,645  11,558  108,298 
Banco Santander Central             
Hispano SA (Spain)  111,212  764,369  90,023  618,735  57,534  395,436 
Bank of America Corp.  232,805  1,587,730  194,734  1,328,086  83,861  571,932 
Bank of Hawaii Corp.  5,900  194,582  4,900  161,602  2,100  69,258 
Bank of New York Mellon             
Corp. (The)  31,600  892,700  26,400  745,800  11,400  322,050 
Bank of the Ozarks, Inc.  12,594  290,670  9,372  216,306  3,638  83,965 
Bank Rakyat Indonesia             
(Indonesia)  897,000  326,964  —  —  —  — 
Barclays PLC (United Kingdom)  925,934  1,974,665  521,849  1,112,906  183,883  392,153 
BB&T Corp.  14,300  241,956  12,000  203,040  5,200  87,984 
BNP Paribas SA (France)  64,794  2,669,582  37,725  1,554,310  15,056  620,323 
Cathay General Bancorp  6,605  68,890  4,749  49,532  1,770  18,461 
Center Financial Corp.  23,693  66,814  17,061  48,112  6,347  17,899 
Charles Schwab Corp. (The)  48,900  757,950  40,900  633,950  17,600  272,800 
China Construction Bank             
Corp. (China)  2,344,000  1,331,223  —  —  —  — 
China Life Insurance Co.,             
Ltd. (China)  342,000  1,125,242  —  —  —  — 
China Overseas Land &             
Investment, Ltd. (China)  154,000  240,998  —  —  —  — 
Chubb Corp. (The)  56,075  2,373,094  46,894  1,984,554  20,196  854,695 
Commerzbank AG (Germany)  7,585  40,628  4,283  22,942  1,371  7,344 
Commonwealth Bank of Australia             
(Australia)  15,691  380,054  12,759  309,037  8,260  200,067 
Conseco, Inc. †  99,619  91,649  72,475  66,677  27,274  25,092 
Corio NV (Netherlands)  23,252  959,944  12,385  511,307  4,202  173,477 
Corporacion Mapfre SA (Spain)  476,200  1,044,254  262,795  576,281  85,333  187,126 
Credit Saison Co., Ltd. (Japan)  12,700  125,026  7,200  70,881  2,300  22,642 
Credit Suisse Group (Switzerland)  6,004  181,980  4,928  149,366  3,312  100,386 
DBS Group Holdings, Ltd.             
(Singapore)  457,000  2,563,277  250,500  1,405,035  86,500  485,172 
Deutsche Bank AG (Germany)  5,557  225,947  3,138  127,591  1,005  40,863 
Dexia (Belgium)  281,716  974,207  153,951  532,381  50,912  176,060 
Diamond Lease Co., Ltd. (Japan)  3,220  67,509  1,820  38,157  580  12,160 
Digital Realty Trust, Inc. R  12,000  398,160  10,000  331,800  4,300  142,674 

49

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Financials cont.             
DnB Holdings ASA (Norway)  61,300  $277,702  50,200  $227,417  32,500  $147,232 
Entertainment Properties Trust R  9,577  150,934  7,137  112,479  2,559  40,330 
Fairfax Financial Holdings, Ltd.             
(Canada)  682  176,440  565  146,171  345  89,255 
First Bancorp  11,830  141,605  8,510  101,865  3,160  37,825 
First Bancorp Puerto Rico             
(Puerto Rico)  36,631  156,048  27,133  115,587  9,776  41,646 
First Midwest Bancorp, Inc.  18,550  159,345  13,350  114,677  4,980  42,778 
Flushing Financial Corp.  23,675  142,524  16,854  101,461  6,553  39,449 
Goldman Sachs Group, Inc. (The)  60,704  6,435,838  50,749  5,380,409  21,800  2,311,236 
Governor & Co. Of The Bank             
Of Ireland (The) (Ireland)  703,385  477,510  378,518  256,966  127,116  86,296 
Hallmark Financial Services, Inc. †  26,220  181,705  18,584  128,787  6,860  47,540 
Harris & Harris Group, Inc. †  66,600  246,420  54,600  202,020  19,200  71,040 
HCP, Inc. R  54,100  965,685  45,200  806,820  19,500  348,075 
Home Properties of NY, Inc. R  4,716  144,545  3,328  102,003  1,242  38,067 
Hongkong Land Holdings, Ltd.             
(Hong Kong)  80,000  182,599  66,000  150,644  43,000  98,147 
HSBC Holdings PLC             
(United Kingdom)  80,202  453,882  65,396  370,091  42,774  242,068 
HSBC Holdings PLC             
(Rights) (United Kingdom) †  28,793  58,234  23,608  47,747  15,396  31,138 
Hudson City Bancorp, Inc.  18,400  215,096  15,400  180,026  6,700  78,323 
Industrial & Commercial Bank             
of China (China)  4,034,000  2,098,494  819,000  426,045  509,000  264,783 
ING Canada, Inc. (Canada)  14,260  407,396  11,805  337,259  7,485  213,840 
ING Canada, Inc. 144A (Canada)  430  12,285  360  10,285  220  6,285 
ING Groep NV (Netherlands)  84,784  473,383  45,311  252,989  15,323  85,554 
Inland Real Estate Corp. R  20,881  148,046  15,646  110,930  5,531  39,215 
Insurance Australia Group, Ltd.             
(Australia)  138,801  338,136  113,851  277,355  71,936  175,245 
Interactive Brokers Group, Inc.             
Class A †  12,545  202,351  9,239  149,025  3,207  51,729 
International Bancshares Corp.  18,241  142,280  13,604  106,111  4,849  37,822 
Intesa Sanpaolo SpA (Italy)  97,558  264,310  79,329  214,923  51,356  139,137 
Investment Technology Group,             
Inc. †  50,882  1,298,509  40,912  1,044,074  16,987  433,508 
Investor AB Class B (Sweden)  188,272  2,383,172  103,127  1,305,395  34,708  439,339 
IPC Holdings, Ltd. (Bermuda)  6,920  187,117  4,990  134,930  1,860  50,294 
Itau Unibanco Banco Multiplo             
SA ADR (Brazil)  265,910  2,893,101  62,802  683,286  40,584  441,554 
Janus Capital Group, Inc.  106,185  706,130  88,818  590,640  38,272  254,509 
JPMorgan Chase & Co.  228,674  6,078,155  191,298  5,084,701  82,382  2,189,714 
KBC Groupe SA (Belgium)  57,315  925,373  31,691  511,664  10,726  173,175 
Knight Capital Group, Inc.             
Class A †  22,926  337,929  17,092  251,936  6,667  98,272 
Lexington Corporate             
Properties Trust R  30,546  72,699  22,825  54,324  8,069  19,204 

50

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Financials cont.             
Link REIT (The) (Hong Kong) R  170,000  $335,721  140,000  $276,476  87,500  $172,798 
Lloyds Banking Group PLC             
(United Kingdom)  698,554  715,854  423,799  434,295  158,753  162,685 
Loews Corp.  18,294  404,297  15,295  338,020  6,604  145,948 
LTC Properties, Inc. R  24,001  420,978  17,022  298,566  6,632  116,325 
Macquarie Bank, Ltd. (Australia)  9,510  179,751  5,370  101,500  1,719  32,491 
Mastercard, Inc. Class A #  4,084  683,988  3,445  576,969  1,482  248,205 
Meadowbrook Insurance             
Group, Inc.  17,600  107,360  12,674  77,311  4,731  28,859 
Mitsubishi UFJ Financial             
Group, Inc. (Japan)  40,100  196,809  33,300  163,435  23,200  113,865 
Mitsubishi UFJ Financial Group,             
Inc. 144A (Japan) †  23,476  115,219  19,303  94,738  11,354  55,725 
Morgan Stanley  35,646  811,659  29,792  678,364  13,022  296,511 
Muenchener             
Rueckversicherungs-             
Gesellschaft AG (Germany)  5,136  627,087  4,210  514,026  2,702  329,904 
National Bank of Canada             
(Canada)  14,946  477,522  12,172  388,894  7,873  251,541 
National Bank of Greece SA             
(Greece)  9,412  143,129  7,665  116,563  4,957  75,382 
National Health Investors, Inc. R  15,539  417,533  11,727  315,104  4,558  122,473 
Nationale A Portefeuille             
(Belgium)  5,976  277,422  3,374  156,630  1,080  50,136 
Nationwide Health Properties,             
Inc. R  18,452  409,450  15,426  342,303  6,659  147,763 
Navigators Group, Inc. †  3,572  168,527  2,538  119,743  989  46,661 
Nordea AB (Sweden)  497,829  2,485,413  282,276  1,409,264  106,289  530,648 
Northern Trust Corp.  9,394  561,949  7,821  467,852  3,353  200,576 
NorthStar Realty Finance Corp. R  39,436  91,492  27,968  64,886  10,292  23,877 
Old Mutual PLC (South Africa)  1,184,697  883,617  645,134  481,179  214,100  159,688 
Old Second Bancorp, Inc.  17,237  109,455  12,839  81,528  4,599  29,204 
ORIX Corp. (Japan)  14,390  473,896  8,130  267,740  2,600  85,624 
Penson Worldwide, Inc. †  36,810  236,688  27,030  173,803  9,760  62,757 
Pico Holdings, Inc. †  9,884  297,212  8,283  249,070  4,765  143,284 
Ping An Insurance (Group) Co.,             
of China, Ltd. (China)  117,500  701,541  36,500  217,925  23,500  140,308 
Platinum Underwriters Holdings,             
Ltd. (Bermuda)  11,631  329,855  8,653  245,399  3,359  95,261 
PNC Financial Services Group  12,400  363,196  10,400  304,616  4,500  131,805 
Portfolio Recovery Associates,             
Inc. †  6,745  181,036  4,784  128,403  1,868  50,137 
Prudential PLC (United Kingdom)  60,177  289,881  49,041  236,237  31,575  152,101 
PS Business Parks, Inc. R  15,388  567,048  11,348  418,174  4,100  151,085 
Qatar National Bank SAQ             
(Qatar)  18,522  478,845  —  —  —  — 
QBE Insurance Group, Ltd.             
(Australia)  19,814  266,400  11,186  150,396  3,580  48,133 

51

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Financials cont.             
Ramco-Gershenson Properties R  15,288  $98,608  11,454  $73,878  4,049  $26,116 
Royal Bank of Scotland Group PLC             
(United Kingdom)  504,401  179,390  353,293  125,649  151,273  53,800 
Royal Bank of Scotland Group PLC             
(Unlisted Subscription Shares)             
(United Kingdom) F †  216,171  31  151,410  22  64,830  9 
Safety Insurance Group, Inc.  5,297  164,631  3,945  122,611  1,413  43,916 
Sai-Soc Assicuratrice Industriale             
SpA (SAI) (Italy)  44,825  516,896  23,884  275,416  8,101  93,416 
Saul Centers, Inc. R  5,681  130,493  4,038  92,753  1,580  36,293 
SCOR (France)  10,110  208,177  8,245  169,775  5,367  110,513 
SeaBright Insurance Holdings, Inc. †  30,050  314,323  22,574  236,124  8,804  92,090 
Shinhan Financial Group Co., Ltd.             
(South Korea)  62,073  1,114,571  8,941  160,543  5,968  107,160 
Simon Property Group, Inc. R  14,416  499,370  12,069  418,070  5,214  180,613 
SL Green Realty Corp. R  8,081  87,275  5,744  62,035  2,247  24,268 
Smithtown Bancorp, Inc.  12,130  136,826  8,739  98,576  3,260  36,773 
Southwest Bancorp, Inc.  15,478  145,184  11,664  109,408  4,123  38,674 
Standard Chartered PLC             
(United Kingdom)  9,832  121,923  8,016  99,403  5,163  64,024 
State Bank of India, Ltd. (India)  18,915  401,307  —  —  —  — 
State Street Corp.  80,647  2,482,315  67,438  2,075,742  28,956  891,266 
Suffolk Bancorp  11,599  301,458  8,680  225,593  3,374  87,690 
SWS Group, Inc.  42,297  656,872  30,159  468,369  11,401  177,058 
Tokio Marine Holdings, Inc. (Japan)  20,700  510,569  17,000  419,308  11,200  276,250 
TradeStation Group, Inc. †  40,582  267,841  30,083  198,548  11,774  77,708 
Travelers Cos., Inc. (The)  33,718  1,370,300  28,221  1,146,901  12,136  493,207 
Turkiye Garanti Bankasi AS             
(Turkey) †  400,735  572,644  —  —  —  — 
U.S. Bancorp #  140,222  2,048,643  117,285  1,713,534  50,743  741,355 
UBS AG (Switzerland)  16,235  154,121  9,166  87,014  2,934  27,853 
Unibail-Rodamco (France) R  2,684  381,741  2,194  312,049  1,429  203,244 
UniCredito Italiano SpA (Italy)  1,678,100  2,777,570  921,676  1,525,547  317,891  526,169 
Universal Health Realty Income             
Trust R  10,884  318,139  8,091  236,500  3,156  92,250 
Uranium Participation Corp.             
(Canada) †  13,400  64,868  11,700  56,638  6,200  30,013 
Urstadt Biddle Properties, Inc.             
Class A R  24,487  328,616  18,498  248,243  7,216  96,839 
Validus Holdings, Ltd. (Bermuda)  14,277  338,079  10,608  251,197  4,122  97,609 
W.R. Berkley Corp. #  63,310  1,427,641  52,993  1,194,992  22,830  514,817 
Wells Fargo & Co.  208,585  2,970,250  174,479  2,484,581  75,083  1,069,182 
Westpac Banking Corp.             
(Australia)  141,074  1,877,759  78,269  1,041,796  26,656  354,804 
Wharf (Holdings), Ltd.             
(Hong Kong)  79,000  199,207  64,000  161,383  43,000  108,429 
Wilshire Bancorp, Inc.  21,020  108,463  14,909  76,930  5,480  28,277 
World Acceptance Corp. †  15,176  259,510  11,476  196,240  4,480  76,608 

52

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Financials cont.             
WSFS Financial Corp.  5,780  $129,241  4,241  $94,829  1,558  $34,837 
Zurich Financial Services AG             
(Switzerland)  20,253  3,193,821  12,462  1,965,210  5,590  881,522 
    103,602,199    67,709,981    29,410,207 
Health care    7.2%    6.2%    3.9% 
Aetna, Inc. #  44,127  1,073,610  36,873  897,120  15,879  386,336 
Alexion Pharmaceuticals, Inc. †  4,280  161,185  3,130  117,876  1,140  42,932 
Alkermes, Inc. †  27,675  335,698  20,400  247,452  7,098  86,099 
Alliance Imaging, Inc. †  26,092  177,426  18,540  126,072  7,225  49,130 
Allscripts-Misys Healthcare             
Solutions, Inc.  74,364  765,206  62,448  642,590  28,941  297,803 
Alnylam Pharmaceuticals, Inc. †  8,009  152,491  5,807  110,565  2,185  41,602 
Amedisys, Inc. †  11,727  322,375  8,415  231,328  3,230  88,793 
American Oriental Bioengineering,             
Inc. (China) †  69,456  268,100  51,437  198,547  18,110  69,905 
AMERIGROUP Corp. †  7,099  195,506  5,134  141,390  1,953  53,786 
Amgen, Inc. †  81,805  4,050,984  68,387  3,386,524  29,435  1,457,621 
Aspen Pharmacare Holdings, Ltd.             
(South Africa)  64,955  313,351  —  —  —  — 
Astellas Pharma, Inc. (Japan)  35,800  1,101,527  27,100  833,838  15,900  489,226 
AstraZeneca PLC (United Kingdom)  139,476  4,945,763  79,798  2,829,605  29,734  1,054,356 
athenahealth, Inc. †  20,600  496,666  17,600  424,336  7,500  180,825 
Baxter International, Inc.  28,858  1,478,107  24,175  1,238,244  10,402  532,790 
Becton, Dickinson and Co.  48,151  3,237,673  40,303  2,709,974  17,356  1,167,017 
Boston Scientific Corp. †  229,543  1,824,867  192,024  1,526,591  82,686  657,354 
Bristol-Myers Squibb Co.  164,396  3,603,560  137,508  3,014,175  59,074  1,294,902 
Cantel Medical Corp. †  12,251  157,670  8,886  114,363  3,344  43,037 
Centene Corp. †  14,032  252,857  10,221  184,182  3,773  67,989 
Cephalon, Inc. †  20,721  1,411,100  17,323  1,179,696  7,453  507,549 
Cerner Corp. †  5,654  248,606  4,767  209,605  2,692  118,367 
China Medical Technologies,             
Inc. ADR (China)  18,546  255,378  13,885  191,196  4,758  65,518 
CIGNA Corp.  63,598  1,118,689  53,233  936,368  22,930  403,339 
Computer Programs &             
Systems, Inc.  5,434  180,789  4,616  153,574  2,537  84,406 
Coventry Health Care, Inc. †  68,627  888,033  57,420  743,015  24,723  319,916 
CSL, Ltd. (Australia)  10,458  236,614  5,904  133,579  1,889  42,739 
Cubist Pharmaceuticals, Inc. †  15,724  257,245  11,455  187,404  4,164  68,123 
Cutera, Inc. †  35,372  226,027  29,588  189,067  12,749  81,466 
Depomed, Inc. †  70,180  165,625  49,710  117,316  17,910  42,268 
Eclipsys Corp. †  18,266  185,217  15,515  157,322  8,528  86,474 
Eli Lilly & Co.  58,086  1,940,653  48,575  1,622,891  20,899  698,236 
Emergent Biosolutions, Inc. †  6,216  83,978  4,495  60,727  1,684  22,751 
Enzon Pharmaceuticals, Inc. †  30,431  184,716  22,170  134,572  7,779  47,219 
eResearch Technology, Inc. †  21,733  114,316  15,812  83,171  5,865  30,850 
Express Scripts, Inc. †  17,377  802,296  14,544  671,496  6,249  288,516 

53

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Health care cont.             
Forest Laboratories, Inc. †  59,489  $1,306,378  49,732  $1,092,115  21,424  $470,471 
Gen-Probe, Inc. †  30,849  1,406,097  25,802  1,176,055  11,112  506,485 
Genzyme Corp. †  13,400  795,826  11,200  665,168  4,800  285,072 
Gilead Sciences, Inc. †  22,200  1,028,304  18,600  861,552  8,000  370,560 
GlaxoSmithKline PLC             
(United Kingdom)  177,690  2,765,872  97,386  1,515,883  33,661  523,958 
Haemonetics Corp. †  5,247  289,005  3,835  211,232  1,341  73,862 
Humana, Inc. †  29,700  774,576  24,800  646,784  10,700  279,056 
Isis Pharmaceuticals, Inc. †  13,500  202,635  9,870  148,149  3,610  54,186 
Johnson & Johnson #  127,433  6,702,976  106,580  5,606,108  45,909  2,414,813 
King Pharmaceuticals, Inc. †  103,222  729,780  84,766  599,296  35,922  253,969 
LHC Group, Inc. †  9,684  215,760  7,022  156,450  2,656  59,176 
Luminex Corp. †  23,951  433,992  17,568  318,332  6,561  118,885 
Martek Biosciences Corp. †  23,117  421,885  17,473  318,882  7,951  145,106 
Matrixx Initiatives, Inc. †  15,444  253,282  11,286  185,090  4,098  67,207 
Maxygen, Inc. †  26,150  177,820  19,680  133,824  6,980  47,464 
McKesson Corp.  7,238  253,620  6,148  215,426  3,379  118,400 
Medicines Co. †  14,734  159,717  10,748  116,508  3,948  42,796 
Medtronic, Inc.  80,473  2,371,539  67,273  1,982,535  28,969  853,716 
Merck & Co., Inc. #  158,273  4,233,803  132,392  3,541,486  57,086  1,527,051 
Millipore Corp. †  3,208  184,171  2,685  154,146  1,545  88,698 
Mylan, Inc. †  129,824  1,740,940  108,579  1,456,044  46,744  626,837 
Myriad Genetics, Inc. †  13,064  594,020  9,460  430,146  3,590  163,237 
Novartis AG (Switzerland)  102,835  3,878,658  69,752  2,630,857  35,378  1,334,362 
NPS Pharmaceuticals, Inc. †  28,278  118,768  20,416  85,747  7,542  31,676 
Obagi Medical Products, Inc. †  27,164  146,142  19,197  103,280  7,111  38,257 
Omega Healthcare Investors,             
Inc. R  11,866  167,073  8,437  118,793  3,301  46,478 
Ono Pharmaceutical Co.,             
Ltd. (Japan)  7,800  341,458  6,400  280,170  4,100  179,484 
Onyx Pharmaceuticals, Inc. †  4,910  140,181  3,690  105,350  1,333  38,057 
OSI Pharmaceuticals, Inc. †  7,828  299,499  5,859  224,165  2,001  76,558 
Osiris Therapeutics, Inc. †  11,800  162,840  8,600  118,680  3,200  44,160 
Owens & Minor, Inc.  6,190  205,075  4,486  148,621  1,708  56,586 
Pain Therapeutics, Inc. †  36,502  153,308  26,606  111,745  9,560  40,152 
Pall Corp.  6,418  131,120  5,338  109,055  3,071  62,741 
Par Pharmaceutical Cos., Inc. †  18,335  173,632  13,072  123,792  5,072  48,032 
Perrigo Co.  6,780  168,347  4,950  122,909  1,810  44,942 
PetMed Express, Inc. †  20,597  339,439  15,458  254,748  5,507  90,755 
Pfizer, Inc.  271,195  3,693,676  226,827  3,089,384  97,700  1,330,674 
Quality Systems, Inc.  17,326  784,002  14,554  658,569  6,793  307,383 
Questcor Pharmaceuticals, Inc. †  38,915  191,462  29,153  143,433  10,510  51,709 
Quidel Corp. †  13,508  124,544  9,851  90,826  3,626  33,432 
Roche Holding AG (Switzerland)  15,384  2,110,655  12,557  1,722,796  8,108  1,112,402 
Salix Pharmaceuticals, Ltd. †  17,030  161,785  12,337  117,202  4,673  44,394 
Santarus, Inc. †  95,434  153,649  70,309  113,197  24,827  39,971 

54

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Health care cont.             
Santen Pharmaceutical Co.,             
Ltd. (Japan)  10,600  $295,283  8,800  $245,140  5,700  $158,784 
Schering-Plough Corp.  75,313  1,773,621  62,976  1,483,085  27,130  638,912 
Sepracor, Inc. †  12,800  187,648  9,300  136,338  3,400  49,844 
Sequenom, Inc. †  19,500  277,290  14,200  201,924  5,300  75,366 
Somanetics Corp. †  12,990  197,188  9,510  144,362  3,470  52,675 
St. Jude Medical, Inc. †  59,800  2,172,534  50,000  1,816,500  21,500  781,095 
Steris Corp.  18,782  437,245  13,762  320,379  5,363  124,851 
Suzuken Co., Ltd. (Japan)  13,700  357,045  11,200  291,891  7,200  187,644 
Taisho Pharmaceutical Co.,             
Ltd. (Japan)  61,000  1,134,286  34,000  632,225  11,000  204,543 
Takeda Pharmaceutical Co.,             
Ltd. (Japan)  26,800  928,500  14,600  505,824  5,000  173,228 
Techne Corp.  3,872  211,837  2,825  154,556  1,036  56,680 
Terumo Corp. (Japan)  19,400  720,285  15,900  590,337  10,200  378,707 
Teva Pharmaceutical Industries,             
Ltd. ADR (Israel)  32,300  1,455,115  3,600  162,180  2,372  106,859 
UCB SA (Belgium)  22,188  654,199  18,178  535,967  11,501  339,100 
United Therapeutics Corp. †  3,269  216,048  2,406  159,013  866  57,234 
UnitedHealth Group, Inc.  45,900  960,687  38,400  803,712  16,600  347,438 
Valeant Pharmaceuticals             
International †  18,506  329,222  13,281  236,269  5,105  90,818 
Varian Medical Systems, Inc. † #  56,020  1,705,249  46,848  1,426,053  20,176  614,157 
Viropharma, Inc. †  23,214  121,874  17,304  90,846  6,187  32,482 
Waters Corp. †  49,889  1,843,399  41,756  1,542,884  17,963  663,733 
WellPoint, Inc. †  4,951  187,989  4,275  162,322  1,713  65,043 
Wyeth  134,797  5,801,663  112,787  4,854,352  48,588  2,091,228 
Zoll Medical Corp. †  8,340  119,762  6,207  89,133  2,146  30,817 
    95,989,184    74,335,593    32,433,688 
Technology    8.9%    7.5%    4.8% 
3Com Corp. †  132,340  408,931  95,254  294,335  35,110  108,490 
3PAR, Inc. †  20,692  135,946  17,868  117,393  9,621  63,210 
Accenture, Ltd. Class A  13,914  382,496  11,510  316,410  6,427  176,678 
Acme Packet, Inc. †  62,700  380,589  45,600  276,792  17,000  103,190 
Acxiom Corp.  33,215  245,791  24,785  183,409  9,639  71,329 
Adobe Systems, Inc. †  85,264  1,823,797  71,671  1,533,043  32,081  686,213 
Advanced Battery             
Technologies, Inc. †  30,200  64,628  26,300  56,282  14,000  29,960 
Advent Software, Inc. †  7,091  236,201  5,199  173,179  1,917  63,855 
Akamai Technologies, Inc. †  25,463  493,982  21,988  426,567  11,840  229,696 
ANSYS, Inc. †  8,352  209,635  6,239  156,599  2,153  54,040 
Apple, Inc. † #  82,734  8,696,998  69,108  7,264,633  30,258  3,180,721 
ARRIS Group, Inc. †  98,197  723,712  72,397  533,566  27,702  204,164 
AsiaInfo Holdings, Inc. (China) †  25,480  429,338  —  —  —  — 
Atmel Corp. †  57,070  207,164  40,138  145,701  15,030  54,559 
Avnet, Inc. †  37,128  650,111  31,055  543,773  13,363  233,986 
Avocent Corp. †  32,785  398,010  24,172  293,448  8,978  108,993 

55

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Technology cont.             
Badger Meter, Inc.  6,327  $182,787  4,862  $140,463  2,995  $86,526 
Black Box Corp.  10,146  239,547  7,362  173,817  2,765  65,282 
Blackboard, Inc. †  8,706  276,328  6,426  203,961  2,226  70,653 
BMC Software, Inc. † #  83,589  2,758,437  69,886  2,306,238  30,366  1,002,078 
Brocade Communications             
Systems, Inc. †  257,178  887,264  201,668  695,755  82,550  284,798 
BYD Co., Ltd. (China) †  124,000  231,215  107,500  200,448  56,500  105,352 
China BAK Battery, Inc. (China) †  33,200  56,772  29,000  49,590  15,400  26,334 
Cisco Systems, Inc. † #  372,332  6,244,008  312,265  5,236,684  137,304  2,302,588 
Citrix Systems, Inc. †  18,751  424,523  16,192  366,587  8,719  197,398 
Compal Electronics, Inc. (Taiwan)  225,000  161,896  191,000  137,432  106,000  76,271 
Compuware Corp. †  124,669  821,569  104,287  687,251  44,908  295,944 
Comtech Telecommunications             
Corp. †  11,569  286,564  8,478  210,000  3,083  76,366 
Concur Technologies, Inc. †  12,518  240,220  10,809  207,425  5,820  111,686 
CSG Systems International, Inc. †  53,274  760,753  39,006  557,006  14,234  203,262 
Data Domain, Inc. †  25,991  326,707  22,444  282,121  12,085  151,908 
Dell, Inc. †  42,763  405,393  35,733  338,749  15,402  146,011 
Ducommun, Inc.  10,258  149,151  7,276  105,793  2,841  41,308 
eBay, Inc. †  55,758  700,320  46,629  585,660  20,085  252,268 
Elpida Memory, Inc. (Japan) †  38,400  268,754  31,400  219,763  20,100  140,676 
EMC Corp. †  334,806  3,816,788  281,047  3,203,936  124,619  1,420,657 
Energy Conversion Devices, Inc. †  3,273  43,433  2,995  39,744  1,614  21,418 
EnerSys †  19,010  230,401  16,069  194,756  9,220  111,746 
Expedia, Inc. †  69,468  630,769  58,123  527,757  25,017  227,154 
F5 Networks, Inc. †  62,052  1,299,989  49,500  1,037,025  21,885  458,491 
FactSet Research Systems, Inc.  5,426  271,246  4,072  203,559  1,446  72,286 
FEI Co. †  68,000  1,049,240  54,200  836,306  19,100  294,713 
Fujitsu, Ltd. (Japan)  795,000  2,987,836  436,000  1,638,612  147,000  552,468 
Global Unichip Corp. (Taiwan)  75,000  330,700  —  —  —  — 
Google, Inc. Class A †  5,536  1,926,860  4,624  1,609,429  2,019  702,733 
Greatbatch, Inc. †  12,087  233,883  10,128  195,977  5,812  112,462 
Greatek Electronics, Inc. (Taiwan)  722,998  520,190  —  —  —  — 
GS Yuasa Corp. (Japan)  83,000  411,899  73,000  362,272  39,000  193,543 
Hewlett-Packard Co. #  186,344  5,974,189  155,828  4,995,846  67,131  2,152,220 
High Tech Computer Corp.             
(Taiwan)  66,000  817,246  8,000  99,060  5,000  61,913 
Hitachi, Ltd. (Japan)  508,000  1,393,816  282,000  773,733  98,000  268,886 
Hon Hai Precision Industry             
Co., Ltd. (Taiwan)  290,000  658,027  —  —  —  — 
i2 Technologies, Inc. †  24,200  191,180  17,600  139,040  6,500  51,350 
IBM Corp.  81,120  7,859,717  67,815  6,570,595  29,195  2,828,704 
IHS, Inc. Class A †  13,931  573,679  11,679  480,941  5,041  207,588 
Infosys Technologies, Ltd. (India)  19,172  501,219  —  —  —  — 
Integral Systems, Inc. †  13,757  118,310  10,314  88,700  3,679  31,639 
Integrated Device Technology, Inc. †  35,482  161,443  26,335  119,824  9,473  43,102 
Intel Corp. #  441,853  6,649,888  369,541  5,561,592  159,139  2,395,042 

56

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Technology cont.             
IXYS Corp.  46,258  $372,839  34,021  $274,209  12,138  $97,832 
JDA Software Group, Inc. †  17,851  206,179  13,049  150,716  4,766  55,047 
Ju Teng International Holdings,             
Ltd. (Hong Kong) †  976,000  296,636  794,000  241,321  502,000  152,573 
Juniper Networks, Inc. †  21,838  328,880  18,857  283,986  10,154  152,919 
Lenovo Group, Ltd. (China)  1,588,000  365,484  —  —  —  — 
LG Display Co., Ltd.             
(South Korea)  7,650  156,154  6,240  127,373  4,220  86,140 
LG Display Co., Ltd. ADR             
(South Korea) †  45,090  460,820  —  —  —  — 
LG Electronics, Inc.             
(South Korea)  2,735  181,850  2,228  148,140  1,441  95,812 
MedAssets, Inc. †  11,687  166,540  9,928  141,474  5,457  77,762 
MEMC Electronic Materials,             
Inc. † #  68,205  1,124,700  57,079  941,233  25,770  424,947 
Micrel, Inc.  23,472  165,243  16,969  119,462  6,453  45,429 
Micron Technology, Inc. †  56,352  228,789  45,952  186,565  29,660  120,420 
Microsoft Corp.  539,429  9,909,311  451,229  8,289,077  196,146  3,603,202 
MicroStrategy, Inc. †  3,756  128,418  2,772  94,775  985  33,677 
National Instruments Corp.  7,201  134,299  5,273  98,341  1,926  35,920 
National Semiconductor Corp.  134,329  1,379,559  112,396  1,154,307  48,424  497,314 
NCR Corp. †  38,704  307,697  32,356  257,230  13,948  110,887 
NetApp, Inc. †  86,041  1,276,848  72,653  1,078,171  33,917  503,328 
Netscout Systems, Inc. †  12,126  86,822  8,857  63,416  3,239  23,191 
NetSuite, Inc. †  12,475  140,469  10,772  121,293  5,800  65,308 
Nokia OYJ (Finland)  39,660  464,134  31,249  365,702  19,048  222,915 
NTT Data Corp. (Japan)  932  2,552,841  512  1,402,419  177  484,821 
NVIDIA Corp. †  39,785  392,280  33,260  327,944  14,326  141,254 
Omnicell, Inc. †  16,458  128,702  13,980  109,324  7,684  60,089 
Omniture, Inc. †  32,009  422,199  27,641  364,585  14,884  196,320 
Omron Corp. (Japan)  18,800  222,897  15,300  181,400  10,100  119,748 
Oracle Corp. †  210,938  3,811,650  176,449  3,188,433  76,686  1,385,716 
OSI Systems, Inc. †  13,451  205,262  9,843  150,204  3,594  54,844 
Otsuka Corp. (Japan)  5,700  211,340  4,700  174,263  3,000  111,232 
Parametric Technology Corp. †  44,711  446,216  32,948  328,821  11,805  117,814 
Perot Systems Corp. Class A †  20,009  257,716  14,516  186,966  5,459  70,312 
QLogic Corp. †  55,681  619,173  46,565  517,803  20,058  223,045 
Qualcomm, Inc.  16,394  637,891  13,722  533,923  5,905  229,764 
Quest Software, Inc. †  14,690  186,269  10,560  133,901  3,950  50,086 
Red Hat, Inc. †  25,484  454,635  18,300  326,472  7,132  127,235 
Renesola, Ltd. ADR (China) †  9,000  36,000  7,900  31,600  4,200  16,800 
Roth & Rau AG (Germany) †  2,564  48,879  2,224  42,397  1,184  22,571 
Saft Groupe SA (France) †  5,025  135,518  4,361  117,611  2,290  61,758 
SAIC, Inc. †  65,138  1,216,126  54,500  1,017,515  23,504  438,820 
Salesforce.com, Inc. †  13,181  431,414  11,422  373,842  6,154  201,420 
Samsung Electronics Co., Ltd.             
(South Korea)  5,012  2,070,536  —  —  —  — 

57

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Technology cont.             
Shanda Interactive Entertainment,             
Ltd. ADR (China) †  7,663  $302,918  —  $—  —  $— 
Sohu.com, Inc. (China) †  28,725  1,186,630  23,400  966,654  9,827  405,953 
Solarworld AG (Germany)  4,554  93,436  3,894  79,895  2,098  43,046 
SonicWall, Inc. †  92,321  411,752  68,913  307,352  25,520  113,819 
SPSS, Inc. †  10,762  305,964  7,884  224,142  2,751  78,211 
Starent Networks Corp. †  8,320  131,539  6,017  95,129  2,292  36,237 
SXC Health Solutions Corp.             
(Canada) †  6,357  137,472  5,399  116,755  2,968  64,184 
Sybase, Inc. †  27,573  835,186  20,649  625,458  7,777  235,565 
Sykes Enterprises, Inc. †  9,922  165,003  7,134  118,638  2,760  45,899 
Symantec Corp. †  167,105  2,496,549  139,745  2,087,790  60,196  899,328 
Synaptics, Inc. †  9,902  264,978  7,256  194,171  2,647  70,834 
Syniverse Holdings, Inc. †  13,174  207,622  9,662  152,273  3,508  55,286 
Synopsys, Inc. †  29,142  604,114  21,243  440,367  7,923  164,244 
Taiwan Semiconductor             
Manufacturing Co., Ltd. (Taiwan)  894,782  1,362,772  —  —  —  — 
Take-Two Interactive Software,             
Inc. †  28,831  240,739  21,452  179,124  7,413  61,899 
TeleCommunication Systems, Inc.             
Class A †  31,802  291,624  22,991  210,827  8,744  80,182 
Texas Instruments, Inc.  76,146  1,257,170  63,673  1,051,241  27,422  452,737 
The9, Ltd. ADR (China)  30,622  413,091  —  —  —  — 
TIBCO Software, Inc. †  66,897  392,685  48,344  283,779  18,154  106,564 
TTM Technologies, Inc. †  64,973  376,843  48,278  280,012  16,975  98,455 
UBISOFT Entertainment (France) †  30,996  566,862  25,152  459,985  16,523  302,176 
Ultralife Batteries, Inc. †  15,440  119,351  13,600  105,128  7,240  55,965 
United Online, Inc.  34,050  151,863  24,311  108,427  9,295  41,456 
Valence Technology, Inc. †  41,700  88,821  36,400  77,532  19,300  41,109 
Veeco Instruments, Inc. †  75,400  502,918  61,200  408,204  21,600  144,072 
VMware, Inc. Class A †  90,022  2,126,320  75,150  1,775,043  36,899  871,554 
Watts Water Technologies, Inc.             
Class A  10,547  206,299  8,799  172,108  5,063  99,032 
Western Digital Corp. †  47,266  914,124  39,564  765,168  17,047  329,689 
Wincor Nixdorf AG (Germany)  4,505  204,382  3,644  165,321  2,374  107,703 
Wind River Systems, Inc. †  28,270  180,928  20,730  132,672  7,540  48,256 
Wistron Corp. (Taiwan)  288,000  312,038  —  —  —  — 
Xilinx, Inc.  24,242  464,477  20,249  387,971  8,718  167,037 
    119,247,170    8,890,955    38,952,672 
Transportation    1.0%    0.7%    0.5% 
Air Arabia (United Arab             
Emirates) †  2,370,895  690,204  —  —  —  — 
British Airways PLC             
(United Kingdom)  955,793  1,926,201  530,277  1,068,662  181,061  364,891 
Central Japan Railway Co.             
(Japan)  328  1,842,541  182  1,022,386  62  348,285 
ComfortDelgro Corp., Ltd.             
(Singapore)  1,057,000  946,091  702,000  628,340  367,000  328,491 

58

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Transportation cont.             
CSX Corp.  33,998  $878,848  28,442  $735,226  12,408  $320,747 
D/S Norden (Denmark)  11,537  322,941  9,480  265,362  5,966  166,999 
D/S Norden 144A (Denmark) †  2,356  65,949  1,920  53,744  1,238  34,654 
easyJet PLC (United Kingdom) †  68,049  273,041  55,554  222,906  34,611  138,874 
FedEx Corp.  42,700  1,899,723  35,700  1,588,293  15,500  689,595 
Knightsbridge Tankers, Ltd.             
(Bermuda)  12,708  184,901  9,353  136,086  3,252  47,317 
Macquarie Infrastructure Group             
(Australia)  248,917  255,265  196,418  201,427  128,773  132,057 
National Express Group PLC             
(United Kingdom)  41,132  89,057  23,223  50,281  7,434  16,096 
Norfolk Southern Corp.  37,379  1,261,541  31,265  1,055,194  13,450  453,938 
Overseas Shipholding Group  8,700  197,229  6,300  142,821  2,400  54,408 
Ryder System, Inc.  39,568  1,120,170  33,078  936,438  14,251  403,446 
Singapore Airlines, Ltd.             
(Singapore)  62,000  408,072  50,000  329,090  32,000  210,618 
Teekay Tankers, Ltd. Class A             
(Bahamas)  13,735  130,620  9,946  94,586  3,769  35,843 
Wabtec Corp.  18,992  501,009  13,651  360,113  5,237  138,152 
    12,993,403    8,890,955    3,884,411 
Utilities and power    2.9%    2.4%    1.5% 
A2A SpA (Italy)  625,317  946,976  341,929  517,815  113,008  171,139 
AES Corp. (The) †  126,868  737,103  106,108  616,487  45,711  265,581 
Alliant Energy Corp.  47,758  1,179,145  39,975  986,983  17,218  425,112 
American States Water Co.  4,040  146,733  3,388  123,052  1,949  70,788 
Aqua America, Inc.  11,647  232,940  9,725  194,500  5,595  111,900 
Babcock & Brown Wind Partners             
(Australia)  214,705  139,946  180,009  117,331  103,290  67,325 
BKW FMB Energie AG             
(Switzerland)  2,731  196,462  2,408  173,227  1,267  91,145 
California Water Service Group  3,851  161,203  3,190  133,533  1,835  76,813 
Centrica PLC (United Kingdom)  330,478  1,080,315  269,577  881,233  170,744  558,153 
Chubu Electric Power, Inc.             
(Japan)  45,000  989,179  24,900  547,346  8,400  184,647 
Cia de Saneamento Basico do             
Estado de Sao Paulo ADR             
(Brazil)  8,822  188,350  6,852  146,290  4,174  89,115 
CMS Energy Corp.  50,700  600,288  42,400  502,016  18,200  215,488 
Companhia Energetica de             
Minas Gerais ADR (Brazil)  48,042  710,061  —  —  —  — 
Consolidated Water Co., Inc.             
(Cayman Islands)  4,481  48,619  3,576  38,800  2,058  22,329 
DPL, Inc.  9,934  223,912  7,061  159,155  2,763  62,278 
E.On AG (Germany)  29,215  813,904  23,875  664,318  15,238  423,995 
EDF Energies Nouvelles SA             
(France)  9,286  350,072  8,140  306,869  4,277  161,238 
Edison International #  81,333  2,343,204  68,232  1,965,764  29,198  841,194 
El Paso Electric Co. †  13,170  185,565  9,675  136,321  3,500  49,315 

59

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Utilities and power cont.             
Electricite de France (France)  4,812  $188,908  4,194  $164,647  2,224  $87,309 
Enel SpA (Italy)  168,999  810,260  90,171  432,322  30,542  146,433 
Energen Corp. #  65,285  1,901,752  54,286  1,581,351  23,467  683,594 
Energias de Portugal (EDP)             
SA (Portugal)  175,419  609,093  93,183  323,552  31,702  110,076 
Enersis SA ADR (Chile)  48,200  727,820  —  —  —  — 
Entergy Corp.  3,117  212,237  2,689  183,094  1,448  98,594 
Exelon Corp.  25,796  1,170,880  21,727  986,189  9,901  449,406 
Fersa Energias Renovables SA             
(Spain)  39,050  101,685  32,925  85,736  18,892  49,194 
FirstEnergy Corp.  43,450  1,677,170  36,307  1,401,450  15,643  603,820 
FPL Group, Inc.  8,578  435,162  7,491  380,018  4,036  204,746 
Gaz de France SA (France)  27,534  946,324  22,783  783,035  13,610  467,766 
Hokkaido Electric Power Co., Inc.             
(Japan)  8,400  168,421  7,300  146,366  3,900  78,195 
Hokuriku Electric Power Co.             
(Japan)  7,500  179,920  6,500  155,930  3,500  83,963 
Huaneng Power International, Inc.             
(China)  420,000  281,763  364,000  244,194  194,000  130,148 
International Power PLC             
(United Kingdom)  125,562  376,209  105,097  314,892  60,464  181,162 
Kansai Electric Power, Inc. (Japan)  12,100  262,707  10,500  227,969  5,600  121,583 
Kyushu Electric Power Co., Inc.             
(Japan)  11,000  245,990  9,600  214,682  5,100  114,050 
Mirant Corp. †  23,916  272,642  17,957  204,710  7,269  82,867 
National Grid PLC             
(United Kingdom)  47,431  364,549  26,780  205,828  8,572  65,883 
Northwestern Corp.  14,810  318,119  11,058  237,526  4,316  92,708 
NRG Energy, Inc. †  30,400  535,040  25,400  447,040  10,900  191,840 
NV Energy, Inc.  66,200  621,618  55,300  519,267  23,800  223,482 
OGE Energy Corp.  19,831  472,374  16,579  394,912  7,141  170,099 
Ormat Technologies, Inc.  3,433  94,270  3,215  88,284  1,705  46,819 
PG&E Corp.  36,072  1,378,672  30,512  1,166,169  12,929  494,146 
Public Power Corp. SA (Greece)  95,685  1,738,641  58,460  1,062,245  25,016  454,552 
Public Service Enterprise             
Group, Inc.  10,077  296,969  8,391  247,283  3,592  105,856 
Questar Corp.  75,784  2,230,323  63,370  1,864,979  27,295  803,292 
RWE AG (Germany)  3,313  232,834  2,702  189,894  1,734  121,864 
Sempra Energy  27,751  1,283,206  23,250  1,075,080  10,015  463,094 
Severn Trent PLC             
(United Kingdom)  13,872  196,646  11,489  162,866  6,610  93,702 
Shikoku Electric Power Co., Inc.             
(Japan)  7,000  186,809  6,100  162,791  3,200  85,399 
SJW Corp.  4,465  113,545  3,784  96,227  2,177  55,361 
Southwest Gas Corp.  8,510  179,306  6,130  129,159  2,270  47,829 
Southwest Water Co.  8,915  38,335  7,721  33,200  4,126  17,742 
Tenaga Nasional Berhad (Malaysia)  253,000  423,794  —  —  —  — 
Terna SPA (Italy)  402,720  1,254,072  223,431  695,765  76,095  236,960 

60

COMMON STOCKS* cont.  Growth 58.4%  Balanced 46.9%  Conservative 30.0% 
  Shares  Value  Shares  Value  Shares  Value 
Utilities and power cont.             
Toho Gas Co., Ltd. (Japan)  154,000  $704,236  83,000  $379,556  28,000  $128,043 
Tokyo Electric Power Co. (Japan)  137,900  3,439,058  75,800  1,890,360  25,400  633,445 
Tokyo Gas Co., Ltd. (Japan)  227,000  792,034  186,000  648,980  119,000  415,207 
TransAlta Corp. (Canada)  3,723  54,511  3,200  46,853  1,648  24,130 
Veolia Environnement (France)  13,972  291,049  11,727  244,284  6,747  140,546 
VeraSun Energy Corp. †  37,394  748  31,589  632  17,019  340 
    39,083,678    28,030,357    12,692,800 
Total common stocks (cost             
$1,048,663,983, $748,987,398             
and $324,171,828)    $783,959,720    $559,584,937    $245,613,283 
 
 
U.S. GOVERNMENT AND AGENCY           
MORTGAGE OBLIGATIONS*  Growth 23.5%  Balanced 49.6%  Conservative 60.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
U.S. Government             
Guaranteed Mortgage             
Obligations    0.9%    2.8%    1.5% 
Government National             
Mortgage Association             
Pass-Through Certificates             
6 1/2s, with due dates             
from June 20, 2037 to             
November 20, 2037  $5,185,091  $5,450,422  $—  $—  $—  $— 
6 1/2s, TBA, April 1, 2039  —  —  26,000,000  27,224,844  7,000,000  7,329,766 
5 1/2s, TBA, April 1, 2039  7,000,000  7,284,375  6,000,000  6,243,750  5,000,000  5,203,125 
    12,734,797    33,468,594    12,532,891 
U.S. Government Agency             
Mortgage Obligations    22.6%    46.8%    59.2% 
Federal Home Loan Mortgage             
Corporation Pass-Through             
Certificates             
6s, with due dates from             
July 1, 2013             
to October 1, 2021  310,087  325,514  —  —  —  — 
5 1/2s, with due dates             
from June 1, 2035 to             
November 1, 2036  61,595  64,025  —  —  297,553  311,617 
5 1/2s, with due dates             
from January 1, 2020             
to April 1, 2020  476,994  500,365  —  —  —  — 
Federal National Mortgage             
Association Pass-Through             
Certificates             
7s, with due dates from             
October 1, 2029             
to January 1, 2036  1,029,529  1,107,877  —  —  —  — 
7s, March 1, 2018  —  —  —  —  319,785  343,504 
7s, TBA, April 1, 2039  —  —  2,000,000  2,129,375  —  — 
6 1/2s, with due dates             
from June 1, 2037 to             
November 1, 2037  656,232  692,351  —  —  —  — 

61

U.S. GOVERNMENT AND AGENCY           
MORTGAGE OBLIGATIONS* cont. Growth 23.5%  Balanced 49.6%  Conservative 60.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
 
U.S. Government Agency             
Mortgage Obligations cont.             
Federal National Mortgage             
Association Pass-Through             
Certificates             
6 1/2s, TBA, April 1, 2039  $1,000,000  $1,053,047  $26,000,000  $27,379,219  $—  $— 
6s, with due dates from             
September 1, 2011 to             
September 1, 2021  1,930,714  2,029,853  —  —  —  — 
5 1/2s, with due dates             
from June 1, 2037 to             
November 1, 2037  1,777,460  1,847,587  —  —  —  — 
5 1/2s, with due dates             
from February 1, 2014 to             
August 1, 2022  6,315,129  6,607,436  —  —  —  — 
5 1/2s, TBA, April 1, 2039  27,000,000  28,020,938  88,000,000  91,327,500  93,000,000  96,517,763 
5 1/2s, TBA, April 1, 2024  —  —  —  —  24,000,000  25,012,500 
5s, TBA, May 1, 2039  59,000,000  60,687,034  122,000,000  125,488,444  39,000,000  40,115,158 
5s, TBA, April 1, 2039  43,000,000  44,357,266  98,000,000  101,093,125  38,000,000  39,199,375 
4 1/2s, with due dates             
from February 1, 2039             
to April 1, 2039  830,953  849,714  —  —  —  — 
4 1/2s, with due dates from             
April 1, 2020 to May 1, 2022  2,241,659  2,319,352  —  —  —  — 
4 1/2s, TBA, May 1, 2039  46,000,000  46,839,141  64,000,000  65,167,501  86,000,000  87,568,829 
4 1/2s, TBA, April 1, 2039  104,000,000  106,210,000  142,000,000  145,017,500  181,000,000   184,846,250 
4 1/2s, TBA, April 1, 2024  —  —  —  —  11,000,000  11,323,984 
    303,511,500    557,602,664    485,238,980 
Total U.S. government and             
agency mortgage obligations             
(cost $312,533,692, $585,400,781             
and $492,748,728)    $316,246,297    $591,071,258    $497,771,871 
 
CORPORATE BONDS             
AND NOTES*  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
 
Basic materials    0.9%    0.9%    1.0% 
Airgas, Inc. 144A company             
guaranty sr. sub. notes             
7 1/8s, 2018  $270,000  $259,200  $240,000  $230,400  $160,000  $153,600 
AK Steel Corp. company             
guaranty 7 3/4s, 2012  330,000  259,050  365,000  286,525  195,000  153,075 
Aleris International, Inc. company           
guaranty sr. unsec. notes 9s,             
2014 (In default) ‡‡  285,000  200  295,000  207  135,000  95 
ArcelorMittal sr. unsec.             
unsub. notes 6 1/8s, 2018             
(Luxembourg)  —  —  258,000  186,650  920,000  665,575 
Builders FirstSource, Inc. company           
guaranty sr. sec. notes FRN             
5.484s, 2012  265,000  37,100  250,000  35,000  120,000  16,800 

62

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
 
Basic materials cont.             
Clondalkin Acquisition BV             
144A company guaranty sr.             
sec. notes FRN 3.32s,             
2013 (Netherlands)  $75,000  $47,063  $75,000  $47,063  $75,000  $47,063 
Domtar Corp. company             
guaranty Ser. *,             
7 7/8s, 2011 (Canada)  120,000  97,200  225,000  182,250  175,000  141,750 
Dow Chemical Co. (The) Pass             
Through Trust 144A company             
guaranty 4.027s, 2009  —  —  580,000  561,537  1,422,000  1,376,735 
E.I. du Pont de Nemours & Co.             
sr. unsec. notes 5 7/8s, 2014  45,000  47,534  120,000  126,758  290,000  306,332 
Freeport-McMoRan Copper &             
Gold, Inc. sr. sec. notes             
6 7/8s, 2014  317,000  310,660  323,000  316,540  277,000  271,460 
Freeport-McMoRan Copper &             
Gold, Inc. sr. unsec. notes             
8 3/8s, 2017  2,034,000  1,886,535  1,332,000  1,235,430  842,000  780,955 
Freeport-McMoRan Copper &             
Gold, Inc. sr. unsec. notes             
8 1/4s, 2015  300,000  285,750  295,000  280,988  135,000  128,588 
Georgia-Pacific Corp.             
debs. 9 1/2s, 2011  345,000  344,569  335,000  334,581  237,000  236,704 
Georgia-Pacific Corp. notes             
8 1/8s, 2011  —  —  140,000  139,125  140,000  139,125 
Gerdau Ameristeel Corp.             
sr. notes 10 3/8s, 2011 (Canada)  295,000  295,369  285,000  285,356  155,000  155,194 
Glancore Funding LLC 144A             
company guaranty sr. unsec.             
unsub. notes 6s, 2014  —  —  3,150,000  1,414,079  2,860,000  1,283,894 
Hanson PLC company guaranty             
6 1/8s, 2016 (United Kingdom)  2,405,000  1,034,150  —  —  —  — 
Hexion U.S. Finance Corp./             
Hexion Nova Scotia Finance,             
ULC company guaranty             
9 3/4s, 2014  218,000  47,960  185,000  40,700  93,000  20,460 
Huntsman International, LLC             
company guaranty sr. unsec.             
sub. notes 7 7/8s, 2014  428,000  175,480  —  —  820,000  336,200 
Huntsman, LLC company             
guaranty sr. unsub. notes             
11 5/8s, 2010  1,000  990  1,000  990  —  — 
International Paper Co. bonds             
7.95s, 2018  690,000  525,909  925,000  705,023  —  — 
International Paper Co. sr.             
unsec. notes 7.4s, 2014  1,305,000  1,070,836  1,595,000  1,308,800  545,000  447,207 
Jefferson Smurfit Corp. company             
guaranty 8 1/4s, 2012  55,000  6,875  25,000  3,125  30,000  3,750 
Lubrizol Corp. (The) sr. unsec.             
notes 8 7/8s, 2019  135,000  138,839  310,000  318,815  370,000  380,521 

63

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Basic materials cont.             
Metals USA, Inc. sec. notes             
11 1/8s, 2015  $245,000  $147,000  $220,000  $132,000  $145,000  $87,000 
Momentive Performance             
Materials, Inc. company guaranty             
sr. unsec. notes 9 3/4s, 2014  250,000  73,750  215,000  63,425  150,000  44,250 
Mosaic Co. (The) 144A sr. unsec.             
unsub. notes 7 5/8s, 2016  415,000  406,700  370,000  362,600  230,000  225,400 
Mosaic Co. (The) 144A sr. unsec.             
unsub. notes 7 3/8s, 2014  190,000  186,200  185,000  181,300  100,000  98,000 
NewPage Corp. company             
guaranty 10s, 2012  140,000  48,650  116,000  40,310  56,000  19,460 
NewPage Holding Corp. sr.             
unsec. unsub. notes FRN 10.265s,             
2013 ‡‡  95,453  1,909  89,899  1,798  44,765  895 
Norske Skog Canada, Ltd.             
company guaranty Ser. D, 8 5/8s,             
2011 (Canada)  320,000  146,400  272,000  124,440  140,000  64,050 
Novelis, Inc. company guaranty             
7 1/4s, 2015  390,000  156,000  353,000  141,200  165,000  66,000 
Packaging Corp. of America             
unsec. unsub. notes 5 3/4s, 2013  1,730,000  1,596,247  —  —  —  — 
PPG Industries, Inc. sr. unsec.             
unsub. notes 6.65s, 2018  915,000  886,201  —  —  —  — 
Rio Tinto Finance USA LTD             
sr. unsec. notes 5 7/8s, 2013             
(Australia)  270,000  239,960  416,000  369,716  100,000  88,874 
Rockwood Specialties             
Group, Inc.             
company guaranty             
7 5/8s, 2014             EUR 210,000  207,781  170,000  168,204  135,000  133,574 
Sealed Air Corp. 144A             
notes 5 5/8s, 2013  $1,040,000  894,772  $—  —  $—  — 
Smurfit Kappa Funding PLC             
sr. unsec. sub. notes 7 3/4s,             
2015 (Ireland)  265,000  155,688  230,000  135,125  155,000  91,063 
Steel Dynamics, Inc. company             
guaranty sr. unsec.             
unsub. notes 7 3/8s, 2012  —  —  260,000  202,800  225,000  175,500 
Steel Dynamics, Inc. company             
guaranty sr. unsec.             
unsub. notes 6 3/4s, 2015  506,000  342,815  864,000  585,360  540,000  365,850 
Steel Dynamics, Inc. 144A             
sr. notes 7 3/4s, 2016  216,000  147,960  286,000  195,910  —  — 
Stone Container Corp. sr. notes             
8 3/8s, 2012  35,000  4,419  50,000  6,313  —  — 
Tube City IMS Corp. company             
guaranty 9 3/4s, 2015  190,000  28,975  190,000  28,975  90,000  13,725 

64

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Basic materials cont.             
Verso Paper Holdings, LLC/ Verso             
Paper, Inc. company guaranty             
11 3/8s, 2016  $150,000  $35,250  $135,000  $31,725  $65,000  $15,275 
Xstrata Finance Canada, Ltd.             
144A company guaranty 5.8s,             
2016 (Canada)  —  —  180,000  115,665  195,000  125,304 
    12,577,946    10,926,808    8,659,303 
Capital goods    0.5%    0.7%    0.8% 
Alliant Techsystems, Inc.             
sr. sub. notes 6 3/4s, 2016  375,000  356,250  330,000  313,500  220,000  209,000 
Allied Waste North America,             
Inc. sec. notes Ser. B, 5 3/4s, 2011  10,000  9,763  120,000  117,150  55,000  53,694 
Baldor Electric Co. company             
guaranty 8 5/8s, 2017  95,000  75,050  95,000  75,050  40,000  31,600 
BE Aerospace, Inc. sr. unsec.             
unsub. notes 8 1/2s, 2018  225,000  187,594  200,000  166,750  135,000  112,556 
Berry Plastics Corp. company             
guaranty sr. notes FRN             
5.844s, 2015  1,055,000  764,875  1,395,000  1,011,375  —  — 
Bombardier, Inc. 144A sr.             
unsec. notes FRN 5.084s,             
2013 (Canada)   EUR 102,000  87,714  82,000  70,515  —  — 
Caterpillar Financial Services             
Corp. sr. unsec. notes             
4.85s, 2012  $—  —  $525,000  517,455  $375,000  369,611 
Crown Americas, LLC/Crown             
Americas Capital Corp. sr. notes             
7 5/8s, 2013  71,000  71,266  119,000  119,446  59,000  59,221 
Eaton Corp. notes 5.6s, 2018  100,000  92,699  451,000  418,074  774,000  717,493 
General Cable Corp. company             
guaranty sr. unsec. notes FRN             
3.81s, 2015  265,000  187,488  250,000  176,875  110,000  77,825 
General Dynamics Corp.             
company guaranty sr. unsec.             
unsub. notes 5 1/4s, 2014  110,000  117,219  245,000  261,079  280,000  298,376 
Hawker Beechcraft Acquisition             
Co., LLC sr. sub. notes             
9 3/4s, 2017  297,000  50,490  296,000  50,320  108,000  18,360 
Hawker Beechcraft Acquisition             
Co., LLC sr. unsec. notes             
8 1/2s, 2015  18,000  4,590  16,000  4,080  7,000  1,785 
Hexcel Corp. sr. sub. notes             
6 3/4s, 2015  290,000  245,050  265,000  223,925  175,000  147,875 
Ingersoll-Rand GL Holding Co.,             
Ltd. sr. unsec. unsub. notes             
company quaranty 9 1/2s, 2014             
(Bermuda)  50,000  49,996  40,000  39,997  30,000  29,998 
John Deere Capital Corp.             
notes Ser. MTN, 5 1/4s, 2012  115,000  116,564  390,000  395,304  545,000  552,412 
L-3 Communications Corp.             
company guaranty 7 5/8s, 2012  290,000  291,088  388,000  389,455  181,000  181,679 

65

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
 
Capital goods cont.             
L-3 Communications Corp.             
company guaranty Ser. B,             
6 3/8s, 2015  $170,000  $160,225  $355,000  $334,588  $230,000  $216,775 
L-3 Communications Corp.             
company guaranty sr. unsec.             
sub. notes 6 1/8s, 2014  211,000  199,395  137,000  129,465  73,000  68,985 
L-3 Communications Corp.             
sr. sub. notes 5 7/8s, 2015  —  —  95,000  88,113  110,000  102,025 
Legrand SA unsec. unsub. debs.             
8 1/2s, 2025 (France)  295,000  248,436  396,000  333,494  246,000  207,170 
Owens-Brockway Glass             
Container, Inc. company             
guaranty 6 3/4s, 2014  EUR 95,000  112,291  50,000  59,100  50,000  59,100 
Pitney Bowes, Inc. sr. unsec.             
notes 5.6s, 2018  $615,000  602,708  $—  —  $—  — 
RBS Global, Inc. / Rexnord             
Corp. company guaranty             
9 1/2s, 2014  135,000  109,350  120,000  97,200  80,000  64,800 
Rexam PLC 144A bonds             
6 3/4s, 2013 (United Kingdom)  1,090,000  947,011  1,775,000  1,542,151  1,200,000  1,042,581 
Ryerson Tull, Inc. 144A sec.             
notes 12 1/4s, 2015  596,000  338,230  765,000  434,138  120,000  68,100 
TD Funding Corp. company             
guaranty 7 3/4s, 2014  235,000  219,138  205,000  191,163  140,000  130,550 
Terex Corp. company guaranty             
7 3/8s, 2014  350,000  302,750  305,000  263,825  205,000  177,325 
Titan International, Inc. company             
guaranty 8s, 2012  282,000  219,960  251,000  195,780  165,000  128,700 
United Technologies Corp. sr.             
unsec. notes 5 3/8s, 2017  —  —  736,000  758,837  1,272,000  1,311,468 
WCA Waste Corp. company             
guaranty 9 1/4s, 2014  15,000  10,988  15,000  10,988  —  — 
    6,178,178    8,789,192    6,439,064 
Communication services    2.6%    2.3%    3.0% 
Adelphia Communications Corp.             
escrow bonds zero %, 2010  200,000  2,500  270,000  3,375  125,000  1,563 
ALLTEL Corp. sr. notes 7s, 2012  6,660,000  6,936,750  —  —  —  — 
American Tower Corp. sr. unsec.             
notes 7s, 2017  175,000  172,375  846,000  833,310  1,267,000  1,247,995 
Ameritech Capital Funding             
company guaranty 6 1/4s, 2009  —  —  450,000  451,935  295,000  296,269 
AT&T Wireless Services, Inc.             
sr. notes 8 3/4s, 2031  —  —  461,000  505,559  990,000  1,085,690 
AT&T Wireless Services, Inc.             
sr. notes 7 7/8s, 2011  809,000  864,421  1,262,000  1,348,453  297,000  317,346 
AT&T, Inc. sr. unsec. bonds             
6.55s, 2039  125,000  113,373  —  —  —  — 
AT&T, Inc. sr. unsec.             
unsub. bonds 5 1/2s, 2018  —  —  260,000  251,408  370,000  357,773 

66

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Communication services cont.             
AT&T, Inc. sr. unsec.             
unsub. notes 6.3s, 2038  $—  $—  $1,598,000  $1,404,556  $1,768,000  $1,553,977 
AT&T, Inc. sr. unsec.             
unsub. notes 4.95s, 2013  —  —  644,000  653,809  1,098,000  1,114,724 
BCM Ireland Finance Ltd. 144A             
FRN 6.959s, 2016             
(Cayman Islands)  EUR  90,000  38,911  105,000  45,397  50,000  21,617 
Bellsouth Capital Funding             
unsec. notes 7 7/8s, 2030  $—  —  $995,000  1,015,921  $1,640,000  1,674,483 
British Telecommunications             
PLC notes 8 3/8s, 2010             
(United Kingdom)  319,000  331,992  497,000  517,242  117,000  121,765 
Cablevision Systems Corp.             
sr. notes Ser. B, 8s, 2012  —  —  100,000  97,250  90,000  87,525 
CCH I Holdings, LLC company             
guaranty 12 1/8s, 2015  25,000  250  15,000  150  5,000  50 
CCH II, LLC sr. unsec. notes             
10 1/4s, 2010  102,000  91,800  96,000  86,400  138,000  124,200 
CCH II, LLC sr. unsec. notes             
Ser. B, 10 1/4s, 2010  485,000  431,650  435,000  387,150  240,000  213,600 
CCO Holdings LLC/CCO             
Holdings Capital Corp. sr.             
unsec. notes 8 3/4s, 2013  250,000  208,750  304,000  253,840  253,000  211,255 
Centennial Cellular Operating             
Co., LLC company guaranty             
10 1/8s, 2013  100,000  103,500  155,000  160,425  —  — 
CenturyTel, Inc. sr. unsec.             
notes 5 1/2s, 2013  2,075,000  1,919,375  —  —  —  — 
Cincinnati Bell, Inc. company             
guaranty 7 1/4s, 2013  300,000  286,500  425,000  405,875  180,000  171,900 
Citizens Communications Co.             
notes 9 1/4s, 2011  340,000  345,100  480,000  487,200  225,000  228,375 
Comcast Corp. company             
guaranty sr. unsec.             
unsub. notes 6.95s, 2037  588,000  547,553  920,000  856,715  216,000  201,142 
Cox Communications, Inc.             
notes 7 1/8s, 2012  —  —  145,000  144,344  360,000  358,372 
Cox Communications, Inc.             
unsec. sr. notes 4 5/8s, 2010  2,360,000  2,337,608  —  —  —  — 
Cox Communications, Inc.             
144A bonds 8 3/8s, 2039  —  —  315,000  291,215  —  — 
Cox Communications, Inc.             
144A notes 5 7/8s, 2016  —  —  561,000  492,712  1,069,000  938,875 
Cricket Communications, Inc.             
company guaranty 9 3/8s, 2014  315,000  300,038  280,000  266,700  130,000  123,825 
Cricket Communications, Inc.             
144A company guaranty sr.             
notes 10s, 2015  535,000  514,938  716,000  689,150  —  — 

67

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
 
Communication services cont.           
CSC Holdings, Inc. sr. notes             
6 3/4s, 2012  $130,000  $125,125  $50,000  $48,125  $20,000  $19,250 
CSC Holdings, Inc. sr. notes             
Ser. B, 7 5/8s, 2011  125,000  124,063  50,000  49,625  20,000  19,850 
Deutsche Telekom International           
Finance BV company guaranty             
8 3/4s, 2030 (Germany)  540,000  576,886  841,000  898,446  198,000  211,525 
Digicel Group, Ltd. 144A sr.             
unsec. notes 8 7/8s, 2015             
(Jamaica)  205,000  132,225  205,000  132,225  100,000  64,500 
Digicel, Ltd. 144A sr. unsec.             
unsub. notes 9 1/4s,             
2012 (Jamaica)  220,000  194,150  180,000  158,850  100,000  88,250 
Embarq Corp. notes             
7.082s, 2016  950,000  855,000  —  —  —  — 
Embarq Corp. sr. unsec.             
unsub. notes 6.738s, 2013  3,405,000  3,175,163  —  —  —  — 
France Telecom notes 8 1/2s,             
2031 (France)  —  —  20,000  25,216  —  — 
France Telecom notes 7 3/4s,             
2011 (France)  319,000  341,646  497,000  532,283  117,000  125,306 
Inmarsat Finance PLC company           
guaranty 10 3/8s, 2012             
(United Kingdom)  299,000  306,475  241,000  247,025  111,000  113,775 
Intelsat Bermuda, Ltd. company           
guaranty sr. unsec. notes 11 1/4s,           
2016 (Bermuda)  510,000  492,150  530,000  511,450  250,000  241,250 
Intelsat Intermediate Holding             
Co., Ltd. company guaranty sr.           
unsec. notes stepped-coupon             
zero % (9 1/4s, 2/1/10), 2015             
(Bermuda) ††  95,000  78,850  75,000  62,250  30,000  24,900 
iPCS, Inc. company guaranty sr.           
sec. notes FRN 3.295s, 2013  105,000  78,750  100,000  75,000  45,000  33,750 
Level 3 Financing, Inc. company           
guaranty 9 1/4s, 2014  305,000  210,450  295,000  203,550  140,000  96,600 
Level 3 Financing, Inc. company           
guaranty 8 3/4s, 2017  150,000  96,000  150,000  96,000  70,000  44,800 
MetroPCS Wireless, Inc.             
company guaranty sr. unsec.             
notes 9 1/4s, 2014  455,000  441,350  400,000  388,000  270,000  261,900 
Nextel Communications, Inc.             
sr. notes Ser. E, 6 7/8s, 2013  1,685,000  952,025  —  —  —  — 
Nordic Telephone Co. Holdings           
ApS 144A sr. sec. bonds 8 7/8s,           
2016 (Denmark)  210,000  196,350  205,000  191,675  75,000  70,125 
Nordic Telephone Co. Holdings           
ApS 144A sr. sec. notes FRN             
7.601s, 2016 (Denmark)  EUR 655,000  682,876  870,000  907,026  —  — 

68

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Communication services cont.             
NTL Cable PLC sr. notes 9 1/8s,             
2016 (United Kingdom)  $—  $—  $100,000  $93,000  $—  $— 
PAETEC Holding Corp.             
company guaranty sr. unsec.             
unsub. notes 9 1/2s, 2015  115,000  80,500  105,000  73,500  50,000  35,000 
Qwest Communications             
International, Inc. company             
guaranty 7 1/2s, 2014  355,000  307,075  225,000  194,625  105,000  90,825 
Qwest Corp. sr. notes             
FRN 4.57s, 2013  1,475,000  1,264,813  —  —  —  — 
Qwest Corp. sr. unsec.             
unsub. notes 8 7/8s, 2012  1,060,000  1,046,750  1,120,000  1,106,000  640,000  632,000 
Qwest Corp. sr. unsec.             
unsub. notes 7 1/4s, 2025  85,000  56,100  115,000  75,900  55,000  36,300 
Rainbow National Services,             
LLC 144A sr. notes 8 3/4s, 2012  280,000  280,000  270,000  270,000  130,000  130,000 
Rogers Wireless, Inc. sec.             
notes 6 3/8s, 2014 (Canada)  —  —  631,000  638,811  1,195,000  1,209,793 
Southwestern Bell Telephone             
debs. 7s, 2027  —  —  201,000  184,482  814,000  747,105 
TCI Communications, Inc.             
company guaranty 7 7/8s, 2026  —  —  1,410,000  1,295,081  1,774,000  1,629,414 
TCI Communications, Inc.             
debs. 9.8s, 2012  —  —  380,000  407,333  1,151,000  1,233,790 
TCI Communications, Inc.             
debs. 7 7/8s, 2013  —  —  200,000  202,522  435,000  440,486 
Telecom Italia Capital SA company             
guaranty 5 1/4s, 2015 (Italy)  266,000  224,279  824,000  694,759  240,000  202,357 
Telecom Italia Capital SA company             
guaranty 5 1/4s, 2013 (Italy)  —  —  140,000  125,725  110,000  98,784 
Telecom Italia Capital SA company             
guaranty 4s, 2010 (Italy)  —  —  5,000  4,934  50,000  49,337 
Telecom Italia Capital SA company             
guaranty sr. unsec. notes FRN             
1.753s, 2011 (Italy)  5,090,000  4,401,913  —  —  —  — 
Telefonica Emisones SAU             
company guaranty 6.221s,             
2017 (Spain)  —  —  310,000  317,693  180,000  184,467 
Telefonica Europe BV company             
guaranty 8 1/4s, 2030 (Spain)  —  —  125,000  137,475  120,000  131,976 
Telefonica Europe BV company             
guaranty 7 3/4s, 2010 (Spain)  319,000  333,120  497,000  518,998  117,000  122,179 
Time Warner Cable, Inc.             
company guaranty sr. unsec.             
notes 7 1/2s, 2014  —  —  —  —  90,000  92,062 
Time Warner Cable, Inc.             
company guaranty sr. unsec.             
unsub. notes 8 1/4s, 2014  340,000  355,826  770,000  805,841  880,000  920,961 

69

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Communication services cont.             
Time Warner Entertainment             
Co., LP debs. 8 3/8s, 2023  $—  $—  $—  $—  $25,000  $24,212 
Time Warner Telecom, Inc.             
company guaranty 9 1/4s, 2014  160,000  154,400  175,000  168,875  85,000  82,025 
Valor Telecommunications             
Enterprises LLC/Finance Corp.             
company guaranty sr. unsec.             
unsub. notes 7 3/4s, 2015  20,000  19,450  20,000  19,450  10,000  9,725 
Verizon Communications, Inc.             
sr. unsec. notes 7.35s, 2039  —  —  18,000  17,533  492,000  479,238 
Verizon Communications, Inc.             
sr. unsec. notes 6.35s, 2019  —  —  7,000  6,908  193,000  190,460 
Verizon Communications, Inc.             
sr. unsec. unsub. notes             
8 3/4s, 2018  614,000  700,427  954,000  1,088,286  226,000  257,812 
Verizon Global Funding Corp.             
notes 7 3/4s, 2030  5,000  5,094  210,000  213,962  65,000  66,226 
Verizon New England, Inc.             
sr. notes 6 1/2s, 2011  —  —  489,000  506,749  1,220,000  1,264,282 
Verizon New Jersey, Inc. debs.             
8s, 2022  —  —  160,000  159,074  165,000  164,045 
Verizon Pennsylvania, Inc. debs.             
8.35s, 2030  —  —  240,000  234,786  505,000  494,028 
Verizon Virginia, Inc. debs. Ser. A,           
4 5/8s, 2013  —  —  —  —  95,000  92,621 
Vodafone Group PLC sr. unsec.             
notes 7 3/4s, 2010 (United Kingdom) 319,000  330,989  497,000  515,679  117,000  121,397 
Vodafone Group PLC unsec. notes           
6.15s, 2037 (United Kingdom)  —  —  850,000  801,446  1,478,000  1,393,574 
West Corp. company guaranty             
9 1/2s, 2014  145,000  100,956  140,000  97,475  65,000  45,256 
Wind Aquisition Finance SA             
notes 9 3/4s, 2015             
(Netherlands)  EUR 80,000  92,436  70,000  80,881  —  — 
Windstream Corp. company             
guaranty 8 5/8s, 2016  $460,000  451,950  $395,000  388,088  $185,000  181,763 
Windstream Corp. company             
guaranty 8 1/8s, 2013  160,000  157,600  160,000  157,600  80,000  78,800 
    34,970,596    27,780,308    24,800,402 
Conglomerates    —%    0.1%    0.1% 
Honeywell International, Inc.             
sr. unsec. notes 5s, 2019  170,000  169,730  390,000  389,380  465,000  464,261 
Siemens Financieringsmaatschappij           
144A notes 5 3/4s, 2016             
(Netherlands)  —  —  155,000  157,018  160,000  162,083 
Tyco International Finance SA             
company guaranty sr. unsec.             
unsub. notes 8 1/2s, 2019  50,000  51,625  110,000  113,575  130,000  134,225 
    221,355    659,973    760,569 

70

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Consumer cyclicals    2.2%    1.8%    1.8% 
Affinion Group, Inc. company             
guaranty 11 1/2s, 2015  $175,000  $108,500  $175,000  $108,500  $100,000  $62,000 
Affinion Group, Inc. company             
guaranty 10 1/8s, 2013  315,000  239,400  300,000  228,000  135,000  102,600 
Affinity Group, Inc. sr. sub. notes             
9s, 2012  155,000  85,250  220,000  121,000  100,000  55,000 
AMC Entertainment, Inc.             
company guaranty 11s, 2016  230,000  209,300  275,000  250,250  149,000  135,590 
AMC Entertainment, Inc.             
sr. sub. notes 8s, 2014  115,000  94,300  115,000  94,300  54,000  44,280 
American Media, Inc. 144A             
sr. sub. notes 14s, 2013 ‡‡  113,175  56,588  141,171  70,586  73,593  36,797 
American Media, Inc. 144A             
sr. unsec. notes 9s, 2013 ‡‡  9,600  4,800  12,040  6,020  6,312  3,156 
Aramark Corp. company             
guaranty 8 1/2s, 2015  395,000  363,400  345,000  317,400  240,000  220,800 
Associated Materials, Inc.             
company guaranty 9 3/4s, 2012  340,000  268,600  300,000  237,000  190,000  150,100 
Avis Budget Car Rental, LLC             
company guaranty 7 3/4s, 2016  120,000  30,000  145,000  36,250  75,000  18,750 
Avis Budget Car Rental, LLC             
company guaranty 7 5/8s, 2014  95,000  23,750  105,000  26,250  55,000  13,750 
Bon-Ton Stores, Inc. (The)             
company guaranty 10 1/4s, 2014  225,000  38,250  240,000  40,800  120,000  20,400 
Boyd Gaming Corp.             
sr. sub. notes 7 1/8s, 2016  95,000  51,300  115,000  62,100  65,000  35,100 
CanWest Media, Inc. company             
guaranty 8s, 2012             
(Canada) (In default)  391,391  76,321  384,071  74,894  139,145  27,133 
Cenveo Corp. 144A company             
guaranty sr. unsec. notes             
10 1/2s, 2016  470,000  263,788  630,000  353,588  —  — 
Cinemark, Inc. sr. unsec. disc.             
notes 9 3/4s, 2014 ††  23,000  21,678  21,000  19,793  10,000  9,425 
Claire’s Stores, Inc. 144A             
company guaranty sr. unsec.             
notes 9 5/8s, 2015             
(In default) † ‡‡  199,856  39,971  178,819  35,764  84,150  16,830 
Clear Channel             
Communications, Inc.             
sr. unsec. notes 7.65s, 2010  592,000  187,220  793,000  250,786  —  — 
Clear Channel             
Communications, Inc.             
sr. unsec. notes 5 1/2s, 2014  55,000  8,250  50,000  7,500  25,000  3,750 
Corrections Corporation             
of America             
sr. notes 7 1/2s, 2011  125,000  125,313  160,000  160,400  85,000  85,213 
D.R. Horton, Inc. sr. notes             
7 7/8s, 2011  —  —  —  —  15,000  14,400 

71

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Consumer cyclicals cont.             
DaimlerChrysler NA Holding Corp.           
company guaranty 6 1/2s, 2013             
(Germany)  $—  $—  $35,000  $31,712  $50,000  $45,303 
DaimlerChrysler NA Holding Corp.           
company guaranty unsec. notes 7.2s,           
2009 (Germany)  —  —  —  —  5,000  5,021 
DaimlerChrysler NA Holding Corp.           
company guaranty unsec.             
unsub. notes Ser. MTN, 5 3/4s, 2011           
(Germany)  —  —  560,000  529,231  1,546,000  1,461,055 
Dana Corp. escrow sr. notes 5.85s,           
2015 (In default) †  225,000  23  245,000  25  120,000  12 
DIRECTV Holdings, LLC company             
guaranty 6 3/8s, 2015  924,000  870,870  1,194,000  1,125,345  235,000  221,488 
DIRECTV Holdings, LLC company             
guaranty sr. unsec. notes             
7 5/8s, 2016  120,000  117,600  157,000  153,860  —  — 
Echostar DBS Corp. company             
guaranty 6 5/8s, 2014  55,000  49,225  10,000  8,950  —  — 
Echostar DBS Corp. sr. notes             
6 3/8s, 2011  650,000  627,250  655,000  632,075  295,000  284,675 
FelCor Lodging LP company             
guaranty 9s, 2011 R  1,590,000  954,000  —  —  —  — 
Ford Motor Credit Co., LLC             
notes 7 7/8s, 2010  535,000  442,127  550,000  454,523  215,000  177,677 
Ford Motor Credit Co., LLC             
notes 7.8s, 2012  110,000  74,550  —  —  100,000  67,773 
Ford Motor Credit Co., LLC             
sr. notes 9 7/8s, 2011  1,330,000  1,014,125  1,090,000  831,125  445,000  339,313 
Ford Motor Credit Co., LLC             
sr. unsec. notes 9 3/4s, 2010  145,000  117,450  179,000  144,990  —  — 
Ford Motor Credit Co., LLC             
unsec. notes 7 3/8s, 2009  85,000  76,232  105,000  94,169  50,000  44,843 
Goodyear Tire & Rubber Co.             
(The) notes 7.857s, 2011  —  —  4,000  3,280  —  — 
Goodyear Tire & Rubber Co.             
(The) sr. notes 9s, 2015  313,000  241,010  276,000  212,520  135,000  103,950 
Hanesbrands, Inc. company             
guaranty sr. unsec. notes FRN             
Ser. B, 5.698s, 2014  230,000  152,950  220,000  146,300  100,000  66,500 
Hertz Corp. company guaranty             
8 7/8s, 2014  335,000  203,094  360,000  218,250  180,000  109,125 
Home Depot, Inc. (The) sr. unsec.           
unsub. notes 5.4s, 2016  416,000  373,943  652,000  586,083  154,000  138,431 
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  270,400  450,000  380,250  210,000  177,450 

72

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Consumer cyclicals cont.             
Idearc, Inc. company guaranty             
8s, 2016  $800,000  $21,000  $710,000  $18,638  $335,000  $8,794 
Isle of Capri Casinos, Inc.             
company guaranty 7s, 2014  78,000  46,020  70,000  41,300  34,000  20,060 
Jostens IH Corp. company             
guaranty 7 5/8s, 2012  160,000  151,600  220,000  208,450  105,000  99,488 
KB Home company guaranty             
6 3/8s, 2011  —  —  1,520,000  1,368,000  1,380,000  1,242,000 
Lamar Media Corp. company             
guaranty 7 1/4s, 2013  185,000  159,331  260,000  223,925  120,000  103,350 
Lamar Media Corp. sr. unsec.             
sub. notes Ser. C, 6 5/8s, 2015  215,000  154,800  85,000  61,200  115,000  82,800 
Lender Processing Services, Inc.             
company guaranty sr. unsec.             
unsub. notes 8 1/8s, 2016  787,000  781,098  1,053,000  1,045,103  —  — 
Levi Strauss & Co. sr. unsec.             
notes 8 7/8s, 2016  115,000  89,125  145,000  112,375  75,000  58,125 
Levi Strauss & Co. sr. unsec.             
unsub. notes 9 3/4s, 2015  290,000  249,400  275,000  236,500  125,000  107,500 
Liberty Media Corp. debs.             
8 1/4s, 2030  195,000  105,953  245,000  133,121  120,000  65,202 
Liberty Media, LLC sr. unsec.             
notes 7 7/8s, 2009  1,490,000  1,430,920  —  —  —  — 
Limited Brands, Inc. sr. unsec.             
notes 6 1/8s, 2012  3,130,000  2,456,641  —  —  —  — 
Macy’s Retail Holdings, Inc.             
company guaranty sr. unsec.             
notes 6 5/8s, 2011  —  —  4,375,000  3,758,816  3,965,000  3,406,561 
Marriott International, Inc. sr.             
unsec. unsub. notes             
4 5/8s, 2012  1,625,000  1,432,923  —  —  —  — 
Masco Corp. sr. unsec. notes             
5.85s, 2017  2,370,000  1,482,411  —  —  —  — 
Mashantucket Western Pequot             
Tribe 144A bonds 8 1/2s, 2015  355,000  60,350  315,000  53,550  150,000  25,500 
Mattel, Inc. sr. unsec. notes             
5 5/8s, 2013  1,645,000  1,521,181  —  —  —  — 
Meritage Homes Corp.             
company guaranty 6 1/4s, 2015  237,000  145,755  246,000  151,290  112,000  68,880 
Meritage Homes Corp. sr. notes             
7s, 2014  30,000  19,200  15,000  9,600  5,000  3,200 
MGM Mirage, Inc. company             
guaranty 8 1/2s, 2010  1,318,000  540,380  45,000  18,450  23,000  9,430 
MGM Mirage, Inc. sr. notes             
6 3/4s, 2012  315,000  110,250  436,000  152,600  216,000  75,600 
Michaels Stores, Inc. company             
guaranty 11 3/8s, 2016  180,000  66,600  180,000  66,600  80,000  29,600 

73

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Consumer cyclicals cont.             
Michaels Stores, Inc. company             
guaranty 10s, 2014  $30,000  $14,138  $5,000  $2,356  $5,000  $2,356 
Mohegan Tribal Gaming Authority             
sr. sub. notes 6 3/8s, 2009  90,000  73,800  130,000  106,600  59,000  48,380 
Neiman-Marcus Group, Inc.             
company guaranty sr. unsec.             
notes 9s, 2015 ‡‡  465,000  149,381  505,000  162,231  250,000  80,313 
News America Holdings, Inc.             
company guaranty 7 3/4s, 2024  —  —  350,000  307,321  300,000  263,418 
News America Holdings, Inc.             
debs. 7 3/4s, 2045  210,000  172,198  1,347,000  1,104,529  1,363,000  1,117,649 
Nielsen Finance LLC/Nielsen             
Finance Co. company guaranty             
10s, 2014  195,000  167,700  190,000  163,400  90,000  77,400 
Nielsen Finance LLC/Nielsen             
Finance Co. company guaranty             
sr. unsec. sub. disc. notes             
stepped-coupon zero %             
(12 1/2s, 8/1/11), 2016 ††  275,000  114,125  220,000  91,300  105,000  43,575 
NTK Holdings, Inc. sr. unsec. disc.             
notes stepped-coupon zero %             
(10 3/4s, 9/1/09), 2014 ††  210,000  12,600  230,000  13,800  110,000  6,600 
Omnicom Group, Inc. sr. notes             
5.9s, 2016  —  —  140,000  119,523  150,000  128,061 
Pearson Dollar Finance Two             
PLC 144A company guaranty             
sr. notes 6 1/4s, 2018             
(United Kingdom)  2,470,000  2,149,392  —  —  —  — 
Pinnacle Entertainment, Inc.             
company guaranty sr. unsec.             
sub. notes 7 1/2s, 2015  240,000  148,800  225,000  139,500  105,000  65,100 
Pinnacle Entertainment, Inc.             
sr. sub. notes 8 1/4s, 2012  250,000  218,750  240,000  210,000  110,000  96,250 
Quebecor Media, Inc. sr. unsec.             
notes Ser. *, 7 3/4s, 2016             
(Canada)  65,000  49,400  60,000  45,600  25,000  19,000 
R. R. Donnelley & Sons Co. sr.             
unsec. notes 5 5/8s, 2012  1,810,000  1,496,408  —  —  —  — 
R.H. Donnelley Corp. sr. unsec.             
unsub. notes 8 7/8s, 2017  11,000  605  8,000  440  3,000  165 
R.H. Donnelley, Inc. 144A             
company guaranty sr. unsec.             
notes 11 3/4s, 2015  373,000  48,490  319,000  41,470  144,000  18,720 
Reader’s Digest Association, Inc.             
(The) company guaranty sr. unsec.           
sub. notes 9s, 2017  205,000  14,350  200,000  14,000  90,000  6,300 
Sealy Mattress Co.             
sr. sub. notes 8 1/4s, 2014  50,000  18,375  70,000  25,725  30,000  11,025 
Station Casinos, Inc. sr. notes 6s,             
2012 (In default)  305,000  76,250  405,000  101,250  190,000  47,500 

74

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Consumer cyclicals cont.             
Target Corp. bonds 6 1/2s, 2037  $—  $—  $675,000  $598,137  $1,395,000  $1,236,150 
Tenneco Automotive, Inc. sec.             
notes Ser. B, 10 1/4s, 2013  15,000  7,950  15,000  7,950  8,000  4,240 
Tenneco, Inc. sr. unsec. notes             
company guaranty 8 1/8s, 2015  30,000  6,000  25,000  5,000  15,000  3,000 
Texas Industries, Inc. sr. unsec.             
notes 7 1/4s, 2013  275,000  207,625  255,000  192,525  120,000  90,600 
Texas Industries, Inc. 144A             
company guaranty sr. unsec.             
notes 7 1/4s, 2013  491,000  370,705  —  —  —  — 
THL Buildco, Inc. (Nortek             
Holdings, Inc.) sr. sec. notes             
10s, 2013  173,000  72,228  228,000  95,190  70,000  29,225 
THL Buildco, Inc. (Nortek             
Holdings, Inc.) sr. sub. notes             
8 1/2s, 2014  525,000  52,500  435,000  43,500  190,000  19,000 
Time Warner, Inc. company             
guaranty sr. unsec. notes FRN             
1.461s, 2009  160,000  157,012  —  —  —  — 
Time Warner, Inc. debs.             
9.15s, 2023  —  —  25,000  24,859  105,000  104,408 
Time Warner, Inc. debs.             
9 1/8s, 2013  —  —  743,000  780,545  1,040,000  1,092,552 
Toyota Motor Credit Corp.             
sr. unsec. FRN Ser. MTN,             
1.318s, 2010  1,200,000  1,171,590  —  —  —  — 
Trump Entertainment Resorts,             
Inc. sec. notes 8 1/2s, 2015             
(In default)  382,000  30,560  421,000  33,680  195,000  15,600 
TRW Automotive, Inc. 144A             
company guaranty sr. notes             
7 1/4s, 2017  210,000  87,150  200,000  83,000  105,000  43,575 
United Auto Group, Inc. company             
guaranty 7 3/4s, 2016  195,000  97,500  200,000  100,000  100,000  50,000 
Universal City Florida Holding Co.             
sr. notes 8 3/8s, 2010  140,000  49,000  200,000  70,000  95,000  33,250 
Univision Communications, Inc.             
144A company guaranty unsec.             
notes zero %, 2015 ‡‡  165,000  16,500  150,000  15,000  75,000  7,500 
Vertis, Inc. company guaranty             
sr. notes zero %, 2014 ‡‡  173,661  1,520  175,947  1,540  82,393  721 
Viacom, Inc. company guaranty             
5 5/8s, 2012  1,465,000  1,253,681  —  —  —  — 
Viacom, Inc. company guaranty             
sr. unsec. notes 6 5/8s, 2011  1,705,000  1,641,247  —  —  —  — 
Wal-Mart Stores, Inc. sr. unsec.             
unsub. notes 6 1/2s, 2037  540,000  561,454  844,000  877,531  198,000  205,866 

75

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Consumer cyclicals cont.             
Yankee Acquisition Corp.             
company guaranty Ser. B,             
8 1/2s, 2015  $185,000  $101,750  $170,000  $93,500  $80,000  $44,000 
Young Broadcasting, Inc.             
company guaranty sr. unsec.             
sub. notes 10s, 2011             
(In default) †  180,000  20  170,000  19  79,000  9 
    29,796,820    21,384,408    14,715,288 
Consumer staples    1.4%    1.1%    1.4% 
Altria Group, Inc. company             
guaranty sr. unsec. notes             
9 1/4s, 2019  —  —  40,000  42,768  200,000  213,839 
Altria Group, Inc. company             
guaranty sr. unsec.             
unsub. notes 8 1/2s, 2013  209,000  228,863  482,000  527,809  544,000  595,701 
Anheuser-Busch Cos., Inc.             
sr. unsec. notes 5.6s, 2017  2,370,000  2,196,708  —  —  —  — 
Anheuser-Busch InBev             
Worldwide, Inc. 144A             
company guaranty sr. notes             
7.2s, 2014  135,000  141,460  115,000  120,503  80,000  83,828 
Campbell Soup Co. debs.             
8 7/8s, 2021  —  —  300,000  391,910  255,000  333,124 
Chiquita Brands International, Inc.             
sr. notes 7 1/2s, 2014  150,000  109,500  170,000  124,100  85,000  62,050 
Chiquita Brands International, Inc.             
sr. unsec. unsub. notes             
8 7/8s, 2015  25,000  18,750  30,000  22,500  15,000  11,250 
ConAgra Foods, Inc. unsec.             
notes 7 7/8s, 2010  —  —  990,000  1,045,081  860,000  907,848 
CVS Caremark, Corp. notes             
6.6s, 2019  80,000  80,686  —  —  —  — 
CVS Caremark, Corp. sr. unsec.             
FRN 6.302s, 2037  —  —  1,050,000  630,000  1,733,000  1,039,800 
CVS Caremark, Corp. 144A             
pass-through certificates             
6.117s, 2013  1,394,592  1,418,388  637,215  648,088  1,452,123  1,476,901 
Darden Restaurants, Inc.             
sr. unsec. notes 6.2s, 2017  1,485,000  1,245,585  —  —  —  — 
Dean Foods Co. company             
guaranty 7s, 2016  —  —  —  —  85,000  80,750 
Del Monte Corp. sr. sub. notes             
8 5/8s, 2012  35,000  35,175  45,000  45,225  20,000  20,100 
Delhaize Group company             
guaranty sr. unsec. bonds             
5 7/8s, 2014 (Belgium)  135,000  134,760  310,000  309,449  370,000  369,342 
Delhaize Group sr. unsub. notes             
6 1/2s, 2017 (Belgium)  —  —  200,000  193,331  170,000  164,331 

76

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
 
Consumer staples cont.             
Diageo Capital PLC company             
guaranty 5 3/4s, 2017             
(United Kingdom)  $—  $—  $435,000  $443,439  $390,000  $397,566 
Diageo Capital PLC company             
guaranty 5.2s, 2013             
(United Kingdom)  —  —  190,000  193,025  165,000  167,627 
Diageo PLC company guaranty             
8s, 2022 (Canada)  —  —  165,000  185,875  135,000  152,080 
Dole Food Co. 144A sr. unsec.             
notes 13 7/8s, 2014  260,000  252,850  225,000  218,813  160,000  155,600 
Elizabeth Arden, Inc. company             
guaranty 7 3/4s, 2014  210,000  149,100  275,000  195,250  130,000  92,300 
Estee Lauder Cos., Inc. (The)             
sr. unsec. notes 6s, 2037  —  —  110,000  84,824  95,000  73,257 
General Mills, Inc. sr. unsec.             
notes 5.65s, 2019  75,000  76,234  170,000  172,797  200,000  203,290 
H.J. Heinz Co. sr. unsec. notes             
5.35s, 2013  216,000  223,506  492,000  509,098  —  — 
Jarden Corp. company guaranty             
7 1/2s, 2017  200,000  161,000  200,000  161,000  90,000  72,450 
Kellogg Co. sr. unsub.             
5 1/8s, 2012  —  —  65,000  68,378  55,000  57,858 
Kroger Co. company guaranty             
6 3/4s, 2012  —  —  —  —  150,000  158,704 
Kroger Co. company guaranty             
6.4s, 2017  234,000  240,220  748,000  767,883  100,000  102,658 
Kroger Co. sr. notes 6.15s, 2020  —  —  40,000  39,131  —  — 
McDonald’s Corp. sr. unsec.             
bonds 6.3s, 2037  —  —  195,000  199,703  200,000  204,823 
McDonald’s Corp. sr. unsec.             
notes 5.7s, 2039  35,000  33,488  125,000  119,599  265,000  253,551 
Newell Rubbermaid, Inc. sr.             
unsec. notes 5 1/2s, 2013  1,375,000  1,167,548  —  —  —  — 
PepsiCo, Inc. sr. unsec. notes             
7.9s, 2018  220,000  270,305  346,000  425,115  82,000  100,750 
Pinnacle Foods Finance LLC             
sr. notes 9 1/4s, 2015  125,000  99,375  115,000  91,425  55,000  43,725 
Prestige Brands, Inc.             
sr. sub. notes 9 1/4s, 2012  150,000  143,250  210,000  200,550  100,000  95,500 
Reynolds American, Inc.             
company guaranty 7 1/4s, 2013  260,000  248,067  285,000  271,919  140,000  133,574 
Rite Aid Corp. company             
guaranty 9 1/2s, 2017  214,000  49,220  197,000  45,310  92,000  21,160 
Rite Aid Corp. sec. notes             
7 1/2s, 2017  245,000  126,175  225,000  115,875  105,000  54,075 
Sara Lee Corp. sr. unsec.             
unsub. notes 6 1/4s, 2011  —  —  330,000  344,101  300,000  312,819 
Sara Lee Corp. sr. unsec.             
unsub. notes 3 7/8s, 2013  670,000  643,624  —  —  —  — 

77

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Consumer staples cont.             
Spectrum Brands, Inc. company             
guaranty 7 3/8s, 2015 (In default)  $207,000  $51,750  $238,000  $59,500  $119,000  $29,750 
Spectrum Brands, Inc. sr. unsec.             
sub. notes company guaranty             
stepped-coupon 12 1/2s             
(12 3/4s, 10/2/09), 2013             
(In default) †† ‡‡  140,000  38,500  145,000  39,875  65,000  17,875 
Supervalu, Inc. notes             
7 7/8s, 2009  5,760,000  5,767,200  —  —  —  — 
Supervalu, Inc. sr. unsec.             
notes 7 1/2s, 2014  215,000  209,894  210,000  205,013  95,000  92,744 
Tesco PLC 144A sr. unsec.             
unsub. notes 6.15s, 2037             
(United Kingdom)  —  —  —  —  450,000  407,033 
Tyson Foods, Inc. 144A sr.             
unsec. notes 10 1/2s, 2014  2,970,000  3,029,400  —  —  —  — 
United Rentals NA, Inc.             
company guaranty 6 1/2s, 2012  337,000  269,600  525,000  420,000  17,000  13,600 
Universal Corp. MTNC notes             
5.2s, 2013  —  —  3,160,000  2,798,790  2,840,000  2,515,368 
Yum! Brands, Inc. sr. unsec.             
unsub. 6 1/4s, 2018  —  —  320,000  298,384  270,000  251,761 
    18,860,181    12,775,436    11,540,362 
Energy    0.6%    1.1%    1.1% 
Amerada Hess Corp. unsub             
notes 6.65s, 2011  220,000  224,414  500,000  510,032  570,000  581,436 
Arch Western Finance, LLC             
sr. notes 6 3/4s, 2013  455,000  416,325  515,000  471,225  255,000  233,325 
Chaparral Energy, Inc. company             
guaranty sr. unsec. notes             
8 7/8s, 2017  290,000  100,050  275,000  94,875  125,000  43,125 
Chesapeake Energy Corp.             
company guaranty 6 1/2s, 2017  95,000  77,425  —  —  —  — 
Chesapeake Energy Corp.             
sr. notes 7 1/2s, 2013  —  —  515,000  471,225  250,000  228,750 
Chesapeake Energy Corp. sr.             
notes 7s, 2014  —  —  200,000  176,000  —  — 
Chesapeake Energy Corp. sr.             
unsec. notes 7 5/8s, 2013  —  —  225,000  207,000  230,000  211,600 
Complete Production Services, Inc.           
company guaranty 8s, 2016  195,000  123,825  170,000  107,950  120,000  76,200 
Compton Petroleum Corp.             
company guaranty 7 5/8s, 2013             
(Canada)  305,000  96,075  345,000  108,675  170,000  53,550 
Comstock Resources, Inc.             
sr. notes 6 7/8s, 2012  125,000  108,750  175,000  152,250  80,000  69,600 
Connacher Oil and Gas, Ltd.             
144A sec. notes 10 1/4s, 2015             
(Canada)  190,000  59,850  170,000  53,550  80,000  25,200 

78

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Energy cont.             
ConocoPhillips notes             
6 1/2s, 2039  $250,000  $243,869  $600,000  $585,286  $775,000  $755,994 
Denbury Resources, Inc.             
sr. sub. notes 7 1/2s, 2015  230,000  200,100  220,000  191,400  105,000  91,350 
Encore Acquisition Co.             
sr. sub. notes 6s, 2015  290,000  213,150  402,000  295,470  184,000  135,240 
Forest Oil Corp. sr. notes             
8s, 2011  305,000  292,800  340,000  326,400  220,000  211,200 
Gaz Capital SA 144A company             
guaranty sr. unsec. bonds 8.146s,             
2018 (Luxembourg)  158,000  127,722  324,000  261,912  288,000  232,811 
Gaz Capital SA 144A company             
guaranty sr. unsec. bonds             
7.343s, 2013 (Luxembourg)  143,000  125,912  334,000  294,087  298,000  262,389 
Gaz Capital SA 144A sr. unsec.             
6.51s, 2022 (Luxembourg)  230,000  148,350  507,000  327,015  438,000  282,510 
Halliburton Co. sr. unsec.             
notes 7.45s, 2039  40,000  39,938  200,000  199,692  300,000  299,538 
Harvest Operations Corp.             
sr. notes 7 7/8s, 2011  165,000  112,613  205,000  139,913  110,000  75,075 
Helix Energy Solutions Group,             
Inc. 144A sr. unsec. notes             
9 1/2s, 2016  420,000  247,800  440,000  259,600  265,000  156,350 
Hilcorp Energy I LP/Hilcorp             
Finance Co. 144A sr. unsec.             
notes 7 3/4s, 2015  70,000  51,100  80,000  58,400  40,000  29,200 
Hornbeck Offshore Services, Inc.             
sr. notes Ser. B, 6 1/8s, 2014  85,000  64,600  75,000  57,000  35,000  26,600 
Inergy LP/Inergy Finance Corp.             
sr. unsec. notes 6 7/8s, 2014  285,000  263,625  380,000  351,500  190,000  175,750 
Inergy LP/Inergy Finance Corp.             
144A company guaranty sr.             
unsec. notes 8 3/4s, 2015  140,000  135,100  125,000  120,625  85,000  82,025 
Kerr-McGee Corp. sec. notes             
6.95s, 2024  265,000  203,058  430,000  329,491  365,000  279,684 
Key Energy Services, Inc.             
company guaranty sr. unsec.             
unsub. notes 8 3/8s, 2014  170,000  107,100  145,000  91,350  70,000  44,100 
Motiva Enterprises, LLC 144A             
sr. notes 5.2s, 2012  —  —  80,000  83,857  70,000  73,375 
Newfield Exploration Co.             
sr. sub. notes 6 5/8s, 2016  5,000  4,475  145,000  129,775  155,000  138,725 
Newfield Exploration Co. sr.             
unsec. sub. notes 6 5/8s, 2014  245,000  221,725  230,000  208,150  105,000  95,025 
Nexen, Inc. unsec. unsub. notes             
6.4s, 2037 (Canada)  —  —  225,000  159,585  200,000  141,853 
Offshore Logistics, Inc. company             
guaranty 6 1/8s, 2013  180,000  145,800  235,000  190,350  115,000  93,150 

79

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Energy cont.             
OPTI Canada, Inc. company             
guaranty sr. sec. notes 8 1/4s,             
2014 (Canada)  $220,000  $98,450  $215,000  $96,213  $100,000  $44,750 
Oslo Seismic Services, Inc.             
1st mtge. 8.28s, 2011  32,575  33,174  47,382  48,253  34,056  34,682 
Peabody Energy Corp. company             
guaranty 7 3/8s, 2016  385,000  381,150  515,000  509,850  245,000  242,550 
Peabody Energy Corp. company             
guaranty Ser. B, 6 7/8s, 2013  235,000  229,125  180,000  175,500  130,000  126,750 
Peabody Energy Corp. sr. notes             
5 7/8s, 2016  —  —  270,000  240,300  225,000  200,250 
Petro-Canada sr. unsec.             
unsub. notes 6.05s, 2018             
(Canada)  208,000  178,862  472,000  405,879  —  — 
PetroHawk Energy Corp.             
company guaranty 9 1/8s, 2013  220,000  211,200  250,000  240,000  125,000  120,000 
Petroleum Development Corp.             
company guaranty sr. unsec.             
notes 12s, 2018  145,000  95,700  130,000  85,800  65,000  42,900 
Petroplus Finance, Ltd. company             
guaranty 6 3/4s, 2014 (Bermuda)  270,000  199,800  260,000  192,400  75,000  55,500 
Plains Exploration & Production             
Co. company guaranty 7 3/4s, 2015    70,000 60,200  50,000  43,000  30,000  25,800 
Plains Exploration & Production             
Co. company guaranty 7s, 2017  245,000  194,775  230,000  182,850  105,000  83,475 
Premcor Refining Group, Inc.             
sr. notes 7 1/2s, 2015  —  —  537,000  521,498  1,127,000  1,094,467 
Pride International, Inc. sr. unsec.             
notes 7 3/8s, 2014  195,000  192,075  275,000  270,875  130,000  128,050 
Quicksilver Resources, Inc.             
company guaranty 7 1/8s, 2016  105,000  49,875  130,000  61,750  70,000  33,250 
Range Resources Corp. company             
guaranty sr. unsec. sub. notes             
7 1/2s, 2017  55,000  50,050  50,000  45,500  35,000  31,850 
Sabine Pass LNG LP sec. notes             
7 1/2s, 2016  465,000  311,550  455,000  304,850  250,000  167,500 
SandRidge Energy, Inc. company             
guaranty sr. unsec. unsub. FRN             
5.06s, 2014  100,000  60,059  95,000  57,056  45,000  27,027 
SandRidge Energy, Inc. 144A             
company guaranty sr. unsec.             
unsub. notes 8s, 2018  615,000  452,025  765,000  562,275  125,000  91,875 
Stallion Oilfield Services/Stallion             
Oilfield Finance Corp. 144A             
sr. unsec. notes 9 3/4s, 2015  495,000  47,025  445,000  42,275  220,000  20,900 
Sunoco, Inc. notes 4 7/8s, 2014  —  —  83,000  73,354  70,000  61,865 
Targa Resources, Inc. company             
guaranty sr. unsec. notes             
8 1/2s, 2013  540,000  334,800  470,000  291,400  235,000  145,700 

80

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Energy cont.             
Weatherford International, Inc.             
company guaranty sr. unsec.             
unsub. bonds 6.8s, 2037  $—  $—  $110,000  $78,025  $90,000  $63,838 
Weatherford International, Inc.             
company guaranty sr. unsec.             
unsub. bonds 6.35s, 2017  —  —  130,000  111,376  100,000  85,674 
Weatherford International, Ltd.             
company guaranty sr. unsec.             
notes 9 7/8s, 2039  100,000  98,334  230,000  226,168  270,000  265,501 
Weatherford International, Ltd.             
sr. notes 5 1/2s, 2016  —  —  95,000  80,392  105,000  88,855 
Whiting Petroleum Corp.             
company guaranty 7s, 2014  120,000  90,000  150,000  112,500  75,000  56,250 
Williams Cos., Inc. (The)             
notes 7 3/4s, 2031  35,000  28,350  30,000  24,300  20,000  16,200 
Williams Cos., Inc. (The) sr.             
unsec. notes 7 7/8s, 2021  95,000  87,875  85,000  78,625  55,000  50,875 
Williams Cos., Inc. (The) sr.             
unsec. notes 7 5/8s, 2019  480,000  448,800  460,000  430,100  220,000  205,700 
Williams Cos., Inc. (The) 144A             
notes 6 3/8s, 2010  50,000  49,199  60,000  59,039  30,000  29,519 
XTO Energy, Inc. sr. unsec.             
notes 5 1/2s, 2018  158,000  147,368  357,000  332,976  —  — 
    8,285,372    12,998,019    8,846,283 
Financials    1.7%    3.1%    5.1% 
AGFC Capital Trust I company             
guaranty 6s, 2067  —  —  180,000  16,200  185,000  16,650 
Allstate Life Global Funding Trusts             
notes Ser. MTN, 5 3/8s, 2013  —  —  249,000  240,851  873,000  844,429 
American International Group,             
Inc. jr. sub. bonds 6 1/4s, 2037  —  —  905,000  63,350  1,400,000  98,000 
American International Group, Inc.             
sr. unsec. Ser. G, 5.85s, 2018  402,000  156,780  966,000  376,740  324,000  126,360 
Amvescap PLC company             
guaranty 5 5/8s, 2012  —  —  180,000  140,759  155,000  121,209 
Bank of America NA sub. notes             
5.3s, 2017  —  —  250,000  183,706  750,000  551,117 
Bank of New York Mellon Corp.             
(The) sr. unsec. unsub. notes             
Ser. G, 4.95s, 2012  —  —  230,000  234,759  205,000  209,241 
BankAmerica Capital III bank             
guaranty jr. unsec. FRN Ser. *,             
1.664s, 2027  580,000  192,227  1,072,000  355,289  1,146,000  379,814 
Barclays Bank PLC 144A sub.             
bonds FRB 7.7s, 2049  635,000  279,400  —  —  —  — 
Bear Stearns Cos., Inc. (The)             
notes 5.7s, 2014  85,000  80,786  155,000  147,316  5,000  4,752 

81

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Financials cont.             
Bear Stearns Cos., Inc. (The)             
notes Ser. MTN, 6.95s, 2012  $—  $—  $920,000  $936,898  $1,635,000  $1,665,030 
Bear Stearns Cos., Inc. (The)             
sr. unsec. notes 7 1/4s, 2018  —  —  240,000  247,851  706,000  729,096 
Block Financial Corp. notes             
5 1/8s, 2014  2,260,000  1,956,866  —  —  —  — 
Bosphorus Financial Services,             
Ltd. 144A sr. notes FRN             
3.034s, 2012  150,000  129,063  396,750  341,372  451,500  388,480 
Capital One Capital III company             
guaranty 7.686s, 2036  —  —  231,000  78,746  811,000  276,462 
Capital One Financial Corp.             
sr. unsec. unsub. notes FRN             
Ser. MTN, 1.573s, 2009  215,000  209,563  280,000  272,920  —  — 
CIT Group, Inc. jr. sub. FRN             
6.1s, 2067  —  —  1,442,000  335,265  2,095,000  487,088 
CIT Group, Inc. sr. notes             
5.4s, 2013  —  —  60,000  37,424  50,000  31,186 
CIT Group, Inc. sr. notes 5s, 2014  —  —  400,000  229,310  220,000  126,121 
Citigroup, Inc. sr. notes             
6 1/2s, 2013  545,000  500,809  260,000  238,918  825,000  758,105 
Citigroup, Inc. sr. unsec.             
notes 6 1/8s, 2018  —  —  302,000  260,667  1,057,000  912,336 
Citigroup, Inc. sr. unsec.             
notes 5 1/2s, 2013  1,055,000  926,893  1,643,000  1,443,494  387,000  340,007 
Citigroup, Inc. sr. unsec.             
unsub. notes FRN 1.424s, 2009  75,000  73,497  160,000  156,793  65,000  63,697 
Citigroup, Inc. sub. notes             
5s, 2014  —  —  749,000  496,513  1,292,000  856,468 
CNA Financial Corp. unsec.             
notes 6 1/2s, 2016  1,415,000  1,012,653  —  —  —  — 
CNA Financial Corp. unsec.             
notes 6s, 2011  885,000  771,962  165,000  143,925  170,000  148,286 
Credit Suisse First Boston USA, Inc.           
company guaranty sr. unsec.             
unsub. notes 6 1/8s, 2011  490,000  499,060  764,000  778,126  180,000  183,328 
Credit Suisse Guernsey Ltd. jr.             
sub. FRN 5.86s, 2049 (Guernsey)  —  —  746,000  276,465  1,316,000  487,706 
Deutsche Bank AG/London             
sr. unsec. notes 5 3/8s, 2012             
(United Kingdom)  490,000  496,341  764,000  773,886  180,000  182,329 
Deutsche Bank Capital Funding             
Trust VII 144A FRB 5.628s, 2049  —  —  444,000  187,174  1,002,000  422,406 
Dresdner Funding Trust I 144A             
bonds 8.151s, 2031  —  —  685,000  259,410  1,115,000  422,251 
Duke Realty LP sr. unsec. notes             
6 1/2s, 2018  —  —  411,000  242,069  989,000  582,496 

82

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Financials cont.             
E*Trade Financial Corp. sr.             
unsec. notes 7 3/8s, 2013  $125,000  $45,625  $10,000  $3,650  $5,000  $1,825 
Fleet Capital Trust V bank             
guaranty FRN 2.309s, 2028  790,000  259,199  1,297,000  425,545  979,000  321,209 
Fund American Cos., Inc.             
notes 5 7/8s, 2013  —  —  498,000  378,990  969,000  737,431 
GATX Financial Corp.             
notes 5.8s, 2016  —  —  120,000  89,937  130,000  97,432 
General Electric Capital Corp.             
sr. unsec. FRN Ser. MTN,             
1.428s, 2016  262,000  169,631  600,000  388,469  —  — 
General Electric Capital Corp.             
sr. unsec. notes Ser. MTN,             
6 7/8s, 2039  1,141,000  914,164  2,446,000  1,959,724  3,149,000  2,522,965 
General Electric Capital Corp.             
sub. notes FRN 6 3/8s, 2067  —  —  975,000  473,442  1,450,000  704,094 
GMAC, LLC 144A company             
guaranty sr. unsec.             
unsub. notes 7 3/4s, 2010  413,000  346,970  152,000  127,698  161,000  135,259 
GMAC, LLC 144A company             
guaranty sr. unsec. unsub. notes             
7s, 2012  44,000  30,392  193,000  133,309  224,000  154,721 
GMAC, LLC 144A company             
guaranty sr. unsec.             
unsub. notes 6 7/8s, 2012  234,000  157,147  297,000  199,456  151,000  101,407 
GMAC, LLC 144A company             
guaranty sr. unsec.             
unsub. notes 6 7/8s, 2011  300,000  213,186  383,000  272,167  186,000  132,175 
GMAC, LLC 144A company             
guaranty sr. unsec.             
unsub. notes 6 3/4s, 2014  6,000  3,487  —  —  —  — 
GMAC, LLC 144A company             
guaranty sr. unsec.             
unsub. notes 6 5/8s, 2012  129,000  86,537  91,000  61,046  44,000  29,517 
GMAC, LLC 144A company             
guaranty sr. unsec. unsub.             
notes FRN 3.461s, 2014  226,000  113,000  107,000  53,500  29,000  14,500 
Goldman Sachs Group, Inc.             
(The) sr. notes 7 1/2s, 2019  335,000  341,455  970,000  988,690  1,540,000  1,569,672 
Goldman Sachs Group, Inc.             
(The) sr. notes 5.45s, 2012  —  —  685,000  668,143  1,188,000  1,158,766 
Goldman Sachs Group, Inc.             
(The) sub. notes 6 3/4s, 2037  736,000  510,501  1,148,000  796,270  270,000  187,276 
Health Care Property Investors,             
Inc. sr. unsec. notes 6s, 2017  —  —  214,000  144,004  748,000  503,342 
Health Care REIT, Inc. sr. notes             
6s, 2013 R  —  —  85,000  70,326  90,000  74,463 
Highwood Properties, Inc. sr.             
unsec. bonds 5.85s, 2017 R  —  —  340,000  210,248  290,000  179,329 

83

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Financials cont.             
HSBC Bank USA NA sub. notes             
7s, 2039  $—  $—  $250,000  $232,025  $—  $— 
HSBC Finance Capital Trust IX             
FRN 5.911s, 2035  —  —  1,000,000  200,190  2,000,000  400,380 
HSBC Finance Corp. notes             
5s, 2015  760,000  563,155  1,185,000  878,078  280,000  207,478 
HSBC Holdings PLC sub. notes             
6 1/2s, 2037 (United Kingdom)  —  —  300,000  245,504  1,000,000  818,348 
HUB International Holdings, Inc.             
144A sr. sub. notes 10 1/4s, 2015  70,000  33,250  70,000  33,250  30,000  14,250 
HUB International Holdings, Inc.             
144A sr. unsec. unsub. notes             
9s, 2014  50,000  31,625  50,000  31,625  25,000  15,813 
ILFC E-Capital Trust II 144A FRB             
6 1/4s, 2065  —  —  915,000  99,506  1,770,000  192,488 
International Lease Finance Corp.             
sr. unsec. 6 3/8s, 2013  1,840,000  975,200  —  —  —  — 
International Lease Finance Corp.             
sr. unsec. Ser. MTN, 5 5/8s, 2013  625,000  337,500  —  —  —  — 
JPMorgan Chase & Co. sr. notes             
6s, 2018  1,079,000  1,089,880  1,682,000  1,698,960  396,000  399,993 
JPMorgan Chase Bank NA             
sub. notes 6s, 2017  —  —  330,000  309,334  280,000  262,465 
JPMorgan Chase Capital XVIII             
bonds Ser. R, 6.95s, 2036  —  —  674,000  456,804  1,460,000  989,515 
JPMorgan Chase Capital XXV             
bonds 6.8s, 2037  —  —  330,000  218,549  285,000  188,747 
Lehman Brothers E-Capital             
Trust I FRN 3.589s, 2065             
(In default) †  1,375,000  138  1,845,000  185  —  — 
Leucadia National Corp. sr. unsec.             
notes 8 1/8s, 2015  115,000  90,994  95,000  75,169  45,000  35,606 
Leucadia National Corp. sr. unsec.             
notes 7 1/8s, 2017  195,000  133,575  185,000  126,725  85,000  58,225 
Liberty Mutual Group 144A             
company guaranty FRB             
10 3/4s, 2058  1,145,000  528,154  1,350,000  622,715  1,363,000  628,711 
Liberty Mutual Insurance 144A             
notes 7.697s, 2097  —  —  690,000  402,904  1,410,000  823,326 
Marsh & McLennan Cos., Inc.             
sr. unsec. notes 6 1/4s, 2012  35,000  33,366  720,000  686,385  815,000  776,949 
Marsh & McLennan Cos., Inc.             
sr. unsec. notes 5 3/8s, 2014  —  —  380,000  335,073  345,000  304,211 
Merrill Lynch & Co., Inc. jr.             
sub. bonds 7 3/4s, 2038  —  —  300,000  178,087  1,200,000  712,349 
Merrill Lynch & Co., Inc. notes             
FRN Ser. MTN, 1.359s, 2011  —  —  380,000  317,498  280,000  233,946 
Merrill Lynch & Co., Inc. sr. unsec.             
notes 6 7/8s, 2018  711,000  556,068  1,110,000  868,123  261,000  204,126 

84

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Financials cont.             
Merrill Lynch & Co., Inc. sr. unsec.             
notes Ser. MTNC, 4 1/4s, 2010  $5,000  $4,719  $240,000  $226,488  $580,000  $547,346 
MetLife Capital Trust IV jr.             
sub. debs. 7 7/8s, 2067  —  —  300,000  159,000  1,200,000  636,000 
MetLife, Inc. sr. unsec. notes             
Ser. A, 6.817s, 2018  395,000  339,125  875,000  751,227  230,000  197,465 
Monumental Global Funding,             
Ltd. 144A notes 5 1/2s, 2013  —  —  255,000  231,826  904,000  821,847 
Morgan Stanley sr. unsec. notes             
FRN Ser. MTN, 0.646s, 2010  —  —  625,000  596,975  1,855,000  1,771,822 
Morgan Stanley sr. unsec.             
unsub. notes 6 3/4s, 2011  687,000  687,529  1,068,000  1,068,822  252,000  252,194 
Nationwide Financial Services, Inc.             
notes 5 5/8s, 2015  —  —  125,000  104,948  425,000  356,824 
Nationwide Health Properties, Inc.           
notes 6 1/2s, 2011 R  —  —  145,000  132,333  150,000  136,896 
Nationwide Health Properties, Inc.           
unsec. notes 6 1/4s, 2013 R  —  —  723,000  601,122  1,139,000  946,996 
Nationwide Mutual Insurance Co.             
144A notes 8 1/4s, 2031  —  —  210,000  124,086  —  — 
Nuveen Investments, Inc. sr. unsec.           
notes 5 1/2s, 2015  —  —  110,000  21,450  110,000  21,450 
OneAmerica Financial Partners, Inc.           
144A bonds 7s, 2033  —  —  520,000  436,871  1,129,000  948,514 
Prudential Financial, Inc. jr. unsec.             
sub. notes FRN 8 7/8s, 2038  1,120,000  470,730  225,000  94,566  —  — 
Prudential Holdings LLC 144A             
bonds 8.695s, 2023  —  —  740,000  636,792  1,335,000  1,148,808 
Rouse Co. (The) notes 7.2s,             
2012 (In default) † R  —  —  150,000  41,250  170,000  46,750 
Royal Bank of Scotland Group             
PLC jr. sub. notes FRN Ser.             
MTN, 7.64s, 2049             
(United Kingdom)  —  —  400,000  86,000  300,000  64,500 
Russian Agricultural Bank 144A             
notes 7 3/4s, 2018 (Russia)  —  —  110,000  78,463  100,000  71,330 
Russian Agricultural Bank 144A             
notes 7 1/8s, 2014 (Russia)  120,000  93,120  110,000  85,360  100,000  77,600 
Simon Property Group LP sr. unsec.           
notes 6 1/8s, 2018 R  —  —  307,000  244,008  927,000  736,792 
Simon Property Group LP             
unsub. bonds 5 3/4s, 2015 R  —  —  83,000  64,081  83,000  64,081 
SLM Corp. notes Ser. MTNA,             
4 1/2s, 2010  650,000  487,500  1,128,000  846,000  1,206,000  904,500 
Sovereign Bancorp, Inc. sr. notes             
4.8s, 2010  —  —  155,000  145,847  155,000  145,847 
State Street Capital Trust IV             
company guaranty jr. unsec.             
sub. bonds FRB 2.32s, 2037  —  —  475,000  177,906  —  — 

85

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Financials cont.             
Stowe CDO 08-1 144A notes             
FRN 3.078s, 2010 F  $4,200,000  $3,570,000  $—  $—  $—  $— 
USI Holdings Corp. 144A             
company guaranty sr. unsec.             
notes FRN 5.113s, 2014  45,000  21,150  45,000  21,150  20,000  9,400 
VTB Capital SA 144A notes             
6 7/8s, 2018 (Russia)  876,000  657,000  800,000  600,000  687,000  515,250 
Wachovia Bank NA sub. notes             
Ser. BKNT, 6s, 2017  —  —  1,115,000  972,813  1,755,000  1,531,199 
Wachovia Corp. sr. unsec. notes             
FRN Ser. MTNE, 1.411s, 2012  140,000  120,522  470,000  404,610  510,000  439,045 
Wells Fargo & Co. sr. notes             
4 3/8s, 2013  —  —  985,000  918,070  1,560,000  1,454,000 
Wells Fargo & Co. sr. unsec.             
unsub. notes 5 1/4s, 2012  660,000  641,330  1,025,000  996,005  245,000  238,069 
Wells Fargo Capital XV jr. sub.             
unsec. company guaranty FRN             
9 3/4s, 2049  455,000  336,700  —  —  —  — 
Westpac Capital Trust III 144A             
sub. notes FRN 5.819s, 2049             
(Australia)  —  —  295,000  113,596  230,000  88,566 
Willis Group North America, Inc.           
company guaranty 6.2s, 2017  —  —  70,000  49,065  40,000  28,037 
ZFS Finance USA Trust I 144A             
bonds FRB 6 1/2s, 2037  —  —  1,240,000  496,000  1,630,000  652,000 
    22,279,524    36,484,229    42,159,887 
Health care    0.9%    1.1%    1.3% 
Abbott Laboratories sr. unsec.             
notes 5 7/8s, 2016  344,000  368,923  538,000  576,979  126,000  135,129 
Aetna, Inc. sr. unsec.             
unsub. notes 6 3/4s, 2037  —  —  1,881,000  1,573,844  2,199,000  1,839,916 
AmerisourceBergen Corp.             
company guaranty sr. unsec. notes           
5 5/8s, 2012  195,000  192,389  —  —  —  — 
AstraZeneca PLC sr. unsec.             
unsub. notes 6.45s, 2037             
(United Kingdom)  270,000  277,636  422,000  433,934  99,000  101,800 
AstraZeneca PLC sr. unsub. notes           
5.9s, 2017 (United Kingdom)  —  —  982,000  1,039,778  1,709,000  1,809,552 
Cardinal Health, Inc. sr. unsec.             
unsub. notes 5 1/2s, 2013  4,045,000  3,905,412  —  —  —  — 
Community Health Systems, Inc.             
company guaranty 8 7/8s, 2015  675,000  637,875  605,000  571,725  285,000  269,325 
DaVita, Inc. company guaranty             
6 5/8s, 2013  190,000  184,300  235,000  227,950  125,000  121,250 
Elan Finance PLC/Elan Finance Corp.           
company guaranty 7 3/4s, 2011             
(Ireland)  320,000  271,600  355,000  301,306  170,000  144,288 

86

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Health care cont.             
GlaxoSmith Kline Capital Inc,             
company guaranty sr. notes             
5.65s, 2018  $344,000  $352,844  $870,000  $892,366  $1,290,000  $1,323,163 
HCA, Inc. company guaranty             
sr. sec. notes 9 5/8s, 2016 ‡‡  146,000  116,435  158,000  126,005  76,000  60,610 
HCA, Inc. sr. sec. notes             
9 1/4s, 2016  530,000  482,300  370,000  336,700  185,000  168,350 
HCA, Inc. sr. sec. notes             
9 1/8s, 2014  219,000  205,860  167,000  156,980  79,000  74,260 
HCA, Inc. sr. unsec. notes             
7 7/8s, 2011  416,000  402,480  590,000  570,825  275,000  266,063 
HCA, Inc. sr. unsec. notes             
6 1/4s, 2013  50,000  37,500  48,000  36,000  —  — 
Health Management Associates, Inc.           
sr. notes 6 1/8s, 2016  115,000  94,013  100,000  81,750  50,000  40,875 
Healthsouth Corp. company             
guaranty 10 3/4s, 2016  150,000  147,000  145,000  142,100  65,000  63,700 
Hospira, Inc. sr. notes             
6.05s, 2017  —  —  190,000  169,573  125,000  111,561 
Hospira, Inc. sr. notes             
5.55s, 2012  150,000  151,895  607,000  614,668  230,000  232,906 
IASIS Healthcare/IASIS Capital             
Corp. sr. sub. notes 8 3/4s, 2014  135,000  126,900  120,000  112,800  55,000  51,700 
Novartis Securities Investment, Ltd.           
company guaranty sr. unsec.             
notes 5 1/8s, 2019  165,000  167,464  375,000  380,600  450,000  456,721 
Omnicare, Inc. company guaranty             
6 3/4s, 2013  60,000  54,450  85,000  77,138  40,000  36,300 
Omnicare, Inc. sr. sub. notes             
6 7/8s, 2015  35,000  31,325  45,000  40,275  25,000  22,375 
Omnicare, Inc. sr. sub. notes             
6 1/8s, 2013  170,000  152,788  240,000  215,700  110,000  98,863 
Pfizer, Inc. sr. unsec. notes             
7.2s, 2039  80,000  85,793  190,000  203,759  239,000  256,307 
Pfizer, Inc. sr. unsec. notes             
6.2s, 2019  25,000  26,761  60,000  64,225  76,000  81,352 
Psychiatric Solutions, Inc.             
company guaranty 7 3/4s, 2015  305,000  275,263  270,000  243,675  185,000  166,963 
Roche Holdings, Inc. 144A             
company guaranty sr. unsec.             
notes 7s, 2039  —  —  190,000  199,528  225,000  236,283 
Select Medical Corp. company             
guaranty 7 5/8s, 2015  1,001,000  648,148  1,282,000  830,095  130,000  84,175 
Service Corporation International             
sr. unsec. unsub. notes             
6 3/4s, 2016  255,000  221,850  360,000  313,200  170,000  147,900 
Stewart Enterprises, Inc.             
sr. notes 6 1/4s, 2013  205,000  173,225  270,000  228,150  125,000  105,625 

87

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Health care cont.             
Sun Healthcare Group, Inc.             
company guaranty sr. unsec.             
unsub. notes 9 1/8s, 2015  $200,000  $187,000  $195,000  $182,325  $90,000  $84,150 
Surgical Care Affiliates, Inc. 144A             
sr. sub. notes 10s, 2017  80,000  40,800  75,000  38,250  35,000  17,850 
Surgical Care Affiliates, Inc. 144A             
sr. unsec. notes 8 7/8s, 2015 ‡‡  80,000  46,400  75,000  43,500  35,000  20,300 
Tenet Healthcare Corp.             
sr. notes 9 1/4s, 2015  20,000  15,400  25,000  19,250  15,000  11,550 
Tenet Healthcare Corp. sr. unsec.             
notes 7 3/8s, 2013  190,000  151,050  260,000  206,700  100,000  79,500 
Tenet Healthcare Corp. 144A             
company guaranty sr. sec. notes             
10s, 2018  339,000  327,983  271,000  262,193  197,000  190,598 
Tenet Healthcare Corp. 144A             
company guaranty sr. sec. notes             
9s, 2015  339,000  327,135  271,000  261,515  197,000  190,105 
UnitedHealth Group, Inc. sr. unsec.           
notes 5 1/2s, 2012  —  —  280,000  279,576  245,000  244,629 
US Oncology Holdings, Inc. sr.             
unsec. notes FRN 6.904s, 2012 ‡‡  123,000  73,800  123,000  73,800  55,000  33,000 
US Oncology, Inc. company             
guaranty 9s, 2012  175,000  169,750  215,000  208,550  105,000  101,850 
Vanguard Health Holding Co. II,             
LLC sr. sub. notes 9s, 2014  250,000  220,625  255,000  225,038  120,000  105,900 
Ventas Realty LP/Capital Corp.             
company guaranty 9s, 2012 R  585,000  583,538  605,000  603,488  360,000  359,100 
Ventas Realty LP/Capital Corp.             
sr. notes 6 3/4s, 2017 R  —  —  145,000  123,975  140,000  119,700 
WellPoint, Inc. notes 7s, 2019  95,000  94,777  220,000  219,484  260,000  259,391 
    12,030,687    13,509,272    10,324,935 
Technology    0.9%    0.7%    0.9% 
Activant Solutions, Inc. company             
guaranty 9 1/2s, 2016  70,000  42,875  70,000  42,875  35,000  21,438 
Advanced Micro Devices, Inc.             
sr. notes 7 3/4s, 2012  208,000  110,500  280,000  148,750  130,000  69,063 
Arrow Electronics, Inc. unsecd.             
notes 9.15s, 2010  1,405,000  1,407,272  —  —  —  — 
Celestica, Inc. sr. sub. notes             
7 7/8s, 2011 (Canada)  23,000  22,425  33,000  32,175  16,000  15,600 
Celestica, Inc. sr. sub. notes             
7 5/8s, 2013 (Canada)  175,000  153,125  145,000  126,875  65,000  56,875 
Ceridian Corp. sr. unsec.             
notes 11 1/4s, 2015  250,000  105,000  225,000  94,500  110,000  46,200 
Cisco Systems, Inc. sr. unsec.             
notes 5 1/4s, 2011  319,000  337,278  497,000  525,478  117,000  123,704 
Cisco Systems, Inc. sr. unsec.             
notes 4.95s, 2019  —  —  —  —  385,000  378,176 

88

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Technology cont.             
Compucom Systems, Inc.             
sr. sub. notes 12 1/2s, 2015  $215,000  $124,700  $195,000  $113,100  $90,000  $52,200 
Computer Sciences Corp. sr.             
unsec. unsub. notes 5s, 2013  750,000  717,405  —  —  —  — 
Computer Sciences Corp. 144A             
sr. unsec. notes 6 1/2s, 2018  1,190,000  1,128,175  2,870,000  2,720,892  2,625,000  2,488,621 
Expedia, Inc. sr. unsec. notes             
company guaranty 7.456s, 2018  1,100,000  926,750  —  —  —  — 
Fiserv, Inc. sr. unsec. unsub. notes             
company guaranty 6.8s, 2017  —  —  280,000  261,948  250,000  233,882 
Freescale Semiconductor, Inc.             
company guaranty sr. unsec.             
notes 8 7/8s, 2014  460,000  96,600  340,000  71,400  160,000  33,600 
Freescale Semiconductor, Inc.             
company guaranty sr. unsec.             
sub. notes 10 1/8s, 2016  9,000  1,620  9,000  1,620  5,000  900 
Hewlett-Packard Co. sr. unsec.             
notes 6 1/8s, 2014  95,000  101,171  235,000  250,264  425,000  452,605 
Hewlett-Packard Co. sr. unsec.             
notes 4 1/4s, 2012  100,000  102,728  320,000  328,731  270,000  277,367 
IBM Corp. sr. unsec. notes             
5.7s, 2017  —  —  415,000  429,572  435,000  450,274 
Iron Mountain, Inc. company             
guaranty 8 3/4s, 2018  60,000  59,550  70,000  69,475  35,000  34,738 
Iron Mountain, Inc. company             
guaranty 8 5/8s, 2013  5,000  5,025  —  —  90,000  90,450 
Iron Mountain, Inc. company             
guaranty 6 5/8s, 2016  245,000  226,625  90,000  83,250  40,000  37,000 
Iron Mountain, Inc. company             
guaranty sr. unsec. sub. notes 8s,             
2020  470,000  438,275  625,000  582,813  —  — 
Lexmark International Inc, sr.             
unsec. notes 5.9s, 2013  2,455,000  2,083,097  —  —  —  — 
Lucent Technologies, Inc. unsec.             
debs. 6.45s, 2029  215,000  81,700  185,000  70,300  90,000  34,200 
Motorola, Inc. sr. notes 8s, 2011  1,790,000  1,641,931  —  —  —  — 
NXP BV/NXP Funding, LLC             
company guaranty 9 1/2s, 2015             
(Netherlands)  205,000  22,550  90,000  9,900  —  — 
Open Solutions, Inc. 144A             
sr. sub. notes 9 3/4s, 2015  65,000  9,831  70,000  10,588  35,000  5,294 
Oracle Corp. sr. unsec. notes             
5s, 2011  319,000  334,437  497,000  521,050  117,000  122,662 
Sanmina Corp. sr. unsec.             
sub. notes 8 1/8s, 2016  180,000  63,000  238,000  83,300  —  — 
Seagate Technology Hdd             
Holdings company             
guaranty 6.8s, 2016  95,000  55,383  105,000  61,213  50,000  29,149 
SunGard Data Systems, Inc.             
company guaranty 10 1/4s, 2015  90,000  63,000  100,000  70,000  56,000  39,200 

89

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Technology cont.             
SunGard Data Systems, Inc.             
company guaranty 9 1/8s, 2013  $590,000  $513,300  $491,000  $427,170  $221,000  $192,270 
Syniverse Technologies, Inc.             
sr. sub. notes Ser. B, 7 3/4s, 2013  42,000  35,280  54,000  45,360  26,000  21,840 
Travelport LLC company guaranty             
9 7/8s, 2014  330,000  130,350  295,000  116,525  140,000  55,300 
Tyco Electronics Group SA             
company guaranty 6.55s, 2017             
(Luxembourg)  940,000  711,313  —  —  —  — 
Tyco Electronics Group SA sr.             
unsec. notes company guaranty             
6s, 2012 (Luxembourg)  —  —  526,000  447,603  916,000  779,477 
Unisys Corp. sr. unsec.             
unsub. notes 12 1/2s, 2016  219,000  57,214  290,000  75,763  254,000  66,358 
Xerox Corp. sr. notes             
6.4s, 2016  —  —  335,000  255,425  285,000  217,302 
Xerox Corp. sr. unsec. notes             
FRN 2.059s, 2009  265,000  257,748  600,000  583,580  715,000  695,433 
    12,167,233    8,661,495    7,121,178 
Transportation    0.2%    0.2%    0.3% 
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  180,680  385,000  409,187  440,000  467,642 
Canadian National Railway Co.             
sr. unsec. unsub. notes 5.55s,             
2019 (Canada)  145,000  147,970  335,000  341,861  400,000  408,193 
Continental Airlines, Inc.             
pass-through certificates             
Ser. 97-4A, 6.9s, 2018  —  —  54,238  43,119  45,199  35,933 
Continental Airlines, Inc.             
pass-through certificates             
Ser. 98-1A, 6.648s, 2017  —  —  256,975  200,441  181,235  141,363 
Northwest Airlines Corp.             
pass-through certificates             
Ser. 00-1, 7.15s, 2019  —  —  513,558  359,491  443,754  310,628 
Ryder System, Inc. sr. unsec.             
unsub. notes Ser. MTN,             
6s, 2013  1,645,000  1,474,682  —  —  —  — 
Southwest Airlines Co.             
pass-through certificates             
6.15s, 2022  —  —  61,802  55,829  123,605  111,657 
Southwest Airlines Co. sr. unsec.             
unsub. notes 6 1/2s, 2012  590,000  569,761  —  —  —  — 
Union Pacific Corp. sr. unsec.             
bonds 5.7s, 2018  —  —  30,000  28,573  —  — 
Union Pacific Corp. sr. unsec.             
notes 6 1/8s, 2020  185,000  181,315  415,000  406,734  495,000  485,140 

90

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Transportation cont.             
Union Pacific Corp.             
sr. unsub. notes 5 3/4s, 2017  $—  $—  $290,000  $276,860  $355,000  $338,914 
Union Pacific Corp. 144A             
pass-through certificates             
5.214s, 2014  —  —  115,000  114,641  100,000  99,688 
United AirLines, Inc.             
pass-through certificates             
6.636s, 2022  —  —  153,620  102,925  125,689  84,212 
    2,554,408    2,416,661    2,532,370 
Utilities and power    1.1%    2.1%    3.0% 
AEP Texas North Co. sr. notes             
Ser. B, 5 1/2s, 2013  180,000  175,806  577,000  563,555  190,000  185,573 
AES Corp. (The) sr. unsec.             
unsub. notes 8s, 2017  120,000  102,900  105,000  90,038  50,000  42,875 
AES Corp. (The) 144A sec.             
notes 8 3/4s, 2013  258,000  252,840  331,000  324,380  133,000  130,340 
American Water Capital Corp.             
sr. unsec. bonds 6.085s, 2017  214,000  199,749  484,000  451,769  —  — 
Appalachian Power Co. sr. notes             
5.8s, 2035  —  —  145,000  109,860  120,000  90,918 
Atmos Energy Corp. sr. unsec.             
sub. notes 8 1/2s, 2019  20,000  20,497  45,000  46,119  55,000  56,368 
Atmos Energy Corp.             
sr. unsub. notes 6.35s, 2017  —  —  320,000  287,116  275,000  246,740 
Beaver Valley II Funding debs.             
9s, 2017  —  —  533,000  528,320  1,176,000  1,165,675 
Boardwalk Pipelines LP company             
guaranty 5 7/8s, 2016  —  —  604,000  511,499  1,168,000  989,124 
Bruce Mansfield Unit             
pass-through certificates             
6.85s, 2034  —  —  1,151,000  855,455  1,739,000  1,292,472 
CMS Energy Corp. sr. notes             
8 1/2s, 2011  170,000  170,903  150,000  150,797  70,000  70,372 
CMS Energy Corp. unsub. notes             
6.55s, 2017  —  —  20,000  17,350  15,000  13,013 
Colorado Interstate Gas Co.             
debs. 6.85s, 2037 (Canada)  30,000  23,501  50,000  39,169  25,000  19,584 
Commonwealth Edison Co. 1st mtge.           
6.15s, 2017  —  —  130,000  124,381  110,000  105,246 
Commonwealth Edison Co.             
1st mtge. 5.9s, 2036  —  —  593,000  485,607  448,000  366,866 
Consolidated Edison Co. of             
New York sr. unsec. notes             
7 1/8s, 2018  175,000  186,209  400,000  425,622  455,000  484,145 
Consolidated Natural Gas Co.             
sr. notes 5s, 2014  —  —  180,000  173,726  315,000  304,020 
Consumers Energy Co. 1st mtge.             
sec. bond 6 1/8s, 2019  174,000  173,916  395,000  394,810  —  — 

91

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Utilities and power cont.             
Dominion Resources, Inc. jr.             
sub. notes FRN 6.3s, 2066  $—  $—  $823,000  $464,995  $1,448,000  $818,120 
Dominion Resources, Inc.             
sr. unsec. notes 6.4s, 2018  3,975,000  3,964,697  —  —  —  — 
Dominion Resources, Inc.             
sr. unsec. unsub. notes             
Ser. 07-A, 6s, 2017  1,320,000  1,299,267  455,000  447,853  290,000  285,445 
Dominion Resources, Inc.             
unsub. notes 5.7s, 2012  343,000  349,674  535,000  545,411  126,000  128,452 
Duke Energy Corp. sr. unsec.             
notes 6 1/4s, 2018  —  —  304,000  299,154  1,062,000  1,045,073 
Dynegy Holdings, Inc. sr. unsec.             
notes 8 3/8s, 2016  255,000  172,763  250,000  169,375  115,000  77,913 
Dynegy-Roseton Danskamme             
company guaranty Ser. B,             
7.67s, 2016  145,000  110,200  195,000  148,200  90,000  68,400 
Edison Mission Energy sr. unsec.             
notes 7 3/4s, 2016  70,000  53,200  80,000  60,800  40,000  30,400 
Edison Mission Energy sr. unsec.             
notes 7 1/2s, 2013  30,000  23,700  35,000  27,650  20,000  15,800 
Edison Mission Energy sr. unsec.             
notes 7.2s, 2019  215,000  149,425  205,000  142,475  95,000  66,025 
Edison Mission Energy sr. unsec.             
notes 7s, 2017  10,000  7,300  5,000  3,650  5,000  3,650 
El Paso Corp. sr. notes Ser. MTN,             
7 3/4s, 2032  225,000  167,633  215,000  160,183  95,000  70,779 
El Paso Natural Gas Co. sr. unsec.             
notes 5.95s, 2017  —  —  40,000  35,129  35,000  30,738 
Electricite de France 144A             
notes 6 1/2s, 2019 (France)  165,000  169,973  375,000  386,303  450,000  463,564 
Entergy Gulf States, Inc. 1st mtge.             
5 1/4s, 2015  —  —  215,000  194,284  225,000  203,321 
Enterprise Products Operating LP             
company guaranty FRB             
8 3/8s, 2066  —  —  200,000  134,000  225,000  150,750 
Enterprise Products Operating LP             
company guaranty FRB             
7.034s, 2068  —  —  270,000  168,750  125,000  78,125 
Ferrellgas LP/Finance sr. notes             
6 3/4s, 2014  215,000  180,600  300,000  252,000  140,000  117,600 
FirstEnergy Corp. notes Ser. B,             
6.45s, 2011  240,000  240,217  2,970,000  2,972,691  2,482,000  2,484,249 
Florida Power Corp. 1st mtge.             
sec. bond 6.4s, 2038  —  —  328,000  342,683  1,146,000  1,197,302 
Indianapolis Power & Light 144A             
1st mtge. 6.3s, 2013  —  —  115,000  117,869  110,000  112,745 
Indiantown Cogeneration LP             
1st mtge. Ser. A-10, 9.77s, 2020  —  —  215,000  198,606  225,000  207,844 

92

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Utilities and power cont.             
Ipalco Enterprises, Inc. 144A             
sr. sec. notes 7 1/4s, 2016  $105,000  $92,925  $230,000  $203,550  $200,000  $177,000 
ITC Holdings Corp. 144A notes             
5 7/8s, 2016  —  —  458,000  431,246  988,000  930,286 
ITC Holdings Corp. 144A             
sr. unsec. notes 6.05s, 2018  —  —  305,000  285,100  225,000  210,320 
Kansas Gas & Electric bonds             
5.647s, 2021  —  —  79,549  73,720  74,870  69,384 
Kinder Morgan, Inc. notes             
6s, 2017  —  —  175,000  164,861  150,000  141,309 
Kinder Morgan, Inc. sr. notes             
6 1/2s, 2012  —  —  122,000  113,460  126,000  117,180 
MidAmerican Energy Holdings             
Co. bonds 6 1/8s, 2036  442,000  391,974  1,512,000  1,340,869  1,729,000  1,533,308 
MidAmerican Funding, LLC             
sr. sec. bond 6.927s, 2029  470,000  451,143  850,000  815,896  970,000  931,082 
Mirant Americas Generation, Inc.             
sr. unsec. notes 8.3s, 2011  215,000  209,088  215,000  209,088  100,000  97,250 
Mirant North America, LLC             
company guaranty 7 3/8s, 2013  375,000  339,375  410,000  371,050  205,000  185,525 
National Fuel Gas Co. notes             
5 1/4s, 2013  238,000  227,974  687,000  658,059  100,000  95,787 
Nevada Power Co. mtge. sec.             
notes 7 1/8s, 2019  115,000  112,540  265,000  259,331  315,000  308,261 
NiSource Finance Corp.             
company guaranty sr. unsec.             
notes 10 3/4s, 2016  65,000  65,803  60,000  60,741  40,000  40,494 
NiSource Finance Corp.             
company guaranty sr. unsec.             
unsub. notes 6.8s, 2019  180,000  144,652  160,000  128,580  105,000  84,380 
NiSource Finance Corp. company             
guaranty sr. unsec. unsub. notes             
5.4s, 2014  90,000  72,037  80,000  64,033  55,000  44,023 
Northwestern Corp. sec. notes             
5 7/8s, 2014  —  —  463,000  467,284  979,000  988,058 
NRG Energy, Inc. company             
guaranty 7 3/8s, 2017  100,000  92,250  110,000  101,475  55,000  50,738 
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  58,749  56,000  52,221 
Pacific Gas & Electric Co.             
1st mtge. 6.05s, 2034  417,000  408,053  650,000  636,054  153,000  149,717 
Pacific Gas & Electric Co.             
sr. notes 8 1/4s, 2018  —  —  —  —  490,000  583,662 
Pacific Gas & Electric Co.             
sr. unsub. 5.8s, 2037  —  —  260,000  249,175  225,000  215,632 

93

CORPORATE BONDS             
AND NOTES* cont.  Growth 13.0%  Balanced 15.2%  Conservative 19.8% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Utilities and power cont.             
Potomac Edison Co. 144A             
1st mtge. 5.8s, 2016  $—  $—  $456,000  $414,766  $985,000  $895,930 
Power Receivable Finance, LLC             
144A sr. notes 6.29s, 2012  —  —  135,466  132,576  117,098  114,600 
PSEG Energy Holdings, Inc.             
sr. notes 8 1/2s, 2011  175,000  172,204  225,000  221,405  110,000  108,242 
Public Service Co. of Colorado             
sr. notes Ser. A, 6 7/8s, 2009  —  —  215,000  216,691  205,000  206,612 
Puget Sound Energy, Inc. jr. sub.             
FRN Ser. A, 6.974s, 2067  —  —  629,000  327,080  1,107,000  575,640 
Sierra Pacific Resources sr. unsec.             
notes 8 5/8s, 2014  90,000  84,825  125,000  117,813  60,000  56,550 
Southern Natural Gas. Co. 144A             
notes 5.9s, 2017  —  —  155,000  135,372  130,000  113,538 
Spectra Energy Capital, LLC             
sr. notes 8s, 2019  —  —  250,000  239,251  215,000  205,756 
Spectra Energy Capital, LLC sr.             
unsec. unsub. notes             
5.668s, 2014  1,645,000  1,584,938  —  —  —  — 
Taqa Abu Dhabi National Energy             
sr. unsec. notes 7 1/4s, 2018             
(United Arab Emirates)  440,000  418,440  690,000  656,190  445,000  423,195 
Teco Finance, Inc. company             
guaranty sr. unsec. unsub. notes             
7.2s, 2011  270,000  256,056  610,000  578,498  430,000  407,794 
Teco Finance, Inc. company             
guaranty sr. unsec.             
unsub. notes 6 3/4s, 2015  10,000  8,370  10,000  8,370  5,000  4,185 
Tennessee Gas Pipeline Co. sr.             
unsec. unsub. debs. 7 1/2s, 2017  25,000  24,079  30,000  28,894  15,000  14,447 
TEPPCO Partners LP company             
guaranty FRB 7s, 2067  —  —  205,000  117,279  175,000  100,117 
Texas Competitive Electric             
Holdings Co., LLC company             
guaranty sr. unsec. notes Ser. A,             
10 1/4s, 2015 (United Kingdom)  735,000  367,500  655,000  327,500  310,000  155,000 
TransAlta Corp. notes 5 3/4s,             
2013 (Canada)  —  —  140,000  129,498  150,000  138,748 
TransCanada Pipelines, Ltd. jr.             
sub. FRN 6.35s, 2067 (Canada)  —  —  180,000  102,600  155,000  88,350 
TXU Corp. sr. notes Ser. P,             
5.55s, 2014  525,000  195,346  554,000  206,136  237,000  88,185 
Union Electric Co. sr. sec. notes             
6.4s, 2017  140,000  134,504  320,000  307,439  365,000  350,672 
West Penn Power Co. 1st mtge.             
5.95s, 2017  —  —  75,000  69,230  45,000  41,538 
    14,927,896    24,711,963    24,664,952 
Total corporate bonds and notes             
(cost $210,040,872, $219,552,761              
and $186,599,451)    $174,850,196    $181,097,764  $162,564,593 

94

MORTGAGE-BACKED             
SECURITIES  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Asset Securitization Corp.             
Ser. 96-MD6, Class A7,             
7.744s, 2029  $—  $—  $369,797  $405,614  $412,041  $451,949 
Ser. 96-D3, Class A1C,             
7.4s, 2026  22,763  22,764  139,318  139,327  99,552  99,558 
FRB Ser. 97-D5, Class A5,             
6.542s, 2043  150,000  97,238  234,000  151,691  247,000  160,118 
Banc of America Alternative             
Loan Trust Ser. 06-7, Class A2,             
5.707s, 2036  2,852,000  1,159,338  —  —  —  — 
Banc of America Commercial             
Mortgage, Inc.             
Ser. 01-1, Class G,             
7.324s, 2036  —  —  200,000  149,464  200,000  149,464 
Ser. 08-1, Class A3,             
6.128s, 2014  5,700,000  4,118,318  —  —  —  — 
FRB Ser. 07-3, Class A3,             
5.837s, 2049  167,000  107,294  748,000  480,573  —  — 
Ser. 07-2, Class A2,             
5.634s, 2049  960,000  774,931  479,000  386,658  434,000  350,333 
Ser. 07-5, Class A3,             
5.62s, 2051  578,000  337,212  —  —  —  — 
Ser. 06-4, Class A2,             
5.522s, 2046  620,000  550,406  3,157,000  2,802,634  2,319,000  2,058,698 
Ser. 04-3, Class A5,             
5.322s, 2039  230,000  198,397  920,000  793,590  930,000  802,216 
Ser. 05-6, Class A2,             
5.165s, 2047  1,742,000  1,575,393  304,000  274,925  371,000  335,517 
Ser. 07-5, Class XW,             
Interest Only (IO),             
0.44s, 2051  4,496,090  74,715  20,617,044  342,610  18,408,858  305,914 
Ser. 07-1, Class XW, IO,             
0.288s, 2049  1,811,017  21,017  9,846,604  114,270  5,039,266  58,481 
Ser. 06-1, Class XC, IO,             
0.066s, 2045  1,744,047  7,307  11,486,620  48,128  12,612,759  52,846 
Banc of America Commercial             
Mortgage, Inc. 144A             
Ser. 01-PB1, Class K,             
6.15s, 2035  —  —  133,000  88,771  133,000  88,771 
Ser. 04-4, Class XC, IO,             
0.266s, 2042  3,978,176  44,916  11,291,777  127,492  8,900,639  100,494 
Ser. 04-5, Class XC, IO,             
0.193s, 2041  5,759,344  50,225  13,979,801  121,912  14,463,467  126,130 
Ser. 02-PB2, Class XC, IO,             
0.18s, 2035  2,459,783  41,226  3,661,575  61,368  2,176,627  36,480 
Ser. 05-1, Class XW, IO,             
0.101s, 2042  18,832,412  31,058  —  —  23,635,042  38,978 
Ser. 06-5, Class XC, IO,             
0.101s, 2016  3,283,572  28,357  35,192,754  303,925  29,960,862  258,742 
Ser. 06-4, Class XC, IO,             
0.1s, 2046  4,101,654  28,395  18,971,269  131,332  15,860,525  109,798 
Ser. 05-4, Class XC, IO,             
0.082s, 2045  6,172,129  27,784  17,566,604  79,076  17,633,682  79,378 

95

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Banc of America Funding             
Corp. FRB Ser. 06-D,             
Class 6A1, 5.948s, 2036  $3,904,331  $1,835,035  $1,754,109  $824,431  $1,538,253  $722,979 
Banc of America Large Loan             
FRB Ser. 04-BBA4, Class H,             
1.506s, 2018  25,000  24,075  70,000  67,411  73,000  70,300 
FRB Ser. 04-BBA4, Class G,             
1.256s, 2018  —  —  94,000  93,217  98,000  97,184 
Banc of America Large Loan 144A           
FRB Ser. 05-MIB1, Class K,             
2.556s, 2022  190,000  97,740  186,000  95,683  187,000  96,197 
FRB Ser. 05-MIB1, Class J,             
1.606s, 2022  100,000  35,000  409,000  143,150  343,000  120,050 
Banc of America Mortgage             
Securities Ser. 05-E, Class 2,             
IO, 0.3s, 2035  1,776,352  4,788  5,936,341  16,000  5,715,866  15,406 
Banc of America Structured             
Security Trust 144A Ser. 02-X1,             
Class A3, 5.436s, 2033  —  —  156,165  155,485  160,211  159,513 
Bayview Commercial Asset             
Trust 144A             
Ser. 07-1, Class S, IO,             
2.477s, 2037  1,132,361  67,715  7,059,321  422,147  3,268,137  195,435 
Ser. 06-4A, IO,             
2.331s, 2036  328,158  24,615  953,869  71,549  1,128,999  84,685 
Ser. 05-1A, IO, 2.15s, 2035  327,452  11,297  911,384  31,443  870,759  30,041 
Ser. 04-3, IO, 2.15s, 2035  238,730  7,292  608,278  18,579  598,595  18,283 
Ser. 06-2A, IO, 1.798s, 2036  124,460  7,551  596,825  36,209  567,712  34,443 
Ser. 05-3A, IO, 1.6s, 2035  1,014,086  52,253  3,267,145  168,346  2,951,105  152,062 
Ser. 07-5A, IO, 1.55s, 2037  —  —  3,532,843  262,844  2,979,031  221,640 
Ser. 07-2A, IO, 1.3s, 2037  1,876,524  143,929  5,169,632  396,511  4,418,456  338,896 
FRB Ser. 05-1A, Class A1,             
0.822s, 2035  27,468  17,305  210,589  132,671  155,653  98,061 
Bear Stearns Alternate Trust             
FRB Ser. 06-5, Class 2A2,             
6 1/4s, 2036  2,109,107  886,175  2,804,353  1,178,294  —  — 
FRB Ser. 06-6, Class 2A1,             
5.891s, 2036  1,045,755  476,489  1,398,975  637,431  —  — 
FRB Ser. 05-7, Class 23A1,             
5.649s, 2035  2,692,478  1,168,217  1,150,509  499,185  —  — 
Ser. 04-9, Class 1A1,             
4.977s, 2034  13,492  8,033  25,881  15,410  23,611  14,058 
Bear Stearns Asset Backed             
Securities, Inc. FRB Ser. 06-2,             
Class A1, 0.652s, 2036  88,034  81,790  —  —  —  — 

96

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Bear Stearns Commercial             
Mortgage Securities, Inc.             
FRB Ser. 00-WF2, Class F,             
8.186s, 2032  $—  $—  $189,000  $106,500  $124,000  $69,873 
Ser. 07-PW17, Class A3,             
5.736s, 2050  1,999,000  1,308,286  —  —  7,002,000  4,582,599 
Ser. 07-PW18, Class A2,             
5.613s, 2050  656,000  498,122  —  —  —  — 
Ser. 05-PWR9, Class A2,             
4.735s, 2042 (F)  —  —  626,000  571,160  860,000  784,660 
Ser. 04-PR3I, Class X1,             
IO, 0.274s, 2041  435,946  5,268  2,920,606  35,293  4,745,497  57,345 
Ser. 05-PWR9, Class X1,             
IO, 0.108s, 2042  —  —  8,708,481  45,197  13,117,167  68,078 
Bear Stearns Commercial             
Mortgage Securities, Inc. 144A             
Ser. 06-PW14, Class XW,             
IO, 0.689s, 2038  3,168,084  83,859  8,694,456  230,142  7,966,626  210,877 
Ser. 06-PW14, Class X1,             
IO, 0.116s, 2038  3,407,073  32,810  9,349,206  90,033  8,568,048  82,510 
Ser. 07-PW18, Class X1,             
IO, 0.095s, 2050  1,061,391  6,174  6,617,268  38,495  4,446,693  25,868 
Ser. 07-PW15, Class X1,             
IO, 0.065s, 2044  6,152,250  40,912  29,191,220  194,122  19,847,373  131,985 
Ser. 05-PW10, Class X1,             
IO, 0.059s, 2040  11,259,448  27,135  —  —  —  — 
Bear Stearns Small Balance             
Commercial Trust 144A             
Ser. 06-1A, Class AIO, IO,             
1s, 2034  —  —  1,608,600  12,567  1,676,400  13,097 
Chase Commercial Mortgage             
Securities Corp. Ser. 00-3,             
Class A2, 7.319s, 2032  8,825  8,922  104,139  105,283  102,374  103,499 
Chase Commercial Mortgage             
Securities Corp. 144A             
Ser. 98-1, Class F, 6.56s, 2030  —  —  —  —  896,000  761,556 
Ser. 98-1, Class H, 6.34s, 2030  91,000  32,874  371,000  134,026  362,000  130,775 
Citigroup Commercial             
Mortgage Trust             
Ser. 08-C7, Class A3,             
6.096s, 2014  2,270,000  1,401,815  2,995,000  1,849,531  —  — 
Ser. 08-C7, Class A2A,             
6.034s, 2049  1,230,000  953,824  1,630,000  1,264,010  —  — 
Citigroup Commercial             
Mortgage Trust144A Ser. 06-C5,             
Class XC, IO, 0.084s, 2049  6,556,370  45,608  36,857,301  256,389  39,880,894  277,421 
Citigroup Mortgage Loan Trust, Inc.           
FRB Ser. 06-AR5, Class 2A5A,             
6.198s, 2036  1,382,650  710,160  1,848,371  949,365  —  — 
IFB Ser. 07-6, Class 2A5,             
IO, 6.128s, 2037  601,432  46,611  1,519,141  117,733  1,291,186  100,067 

97

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Citigroup Mortgage Loan Trust, Inc.             
FRB Ser. 05-10, Class 1A5A,             
5.834s, 2035  $94,201  $49,870  $963,284  $509,963  $381,667  $202,055 
FRB Ser. 06-AR7, Class 2A2A,             
5.645s, 2036  3,868,570  1,470,057  —  —  —  — 
Citigroup/Deutsche Bank             
Commercial Mortgage Trust 144A             
Ser. 07-CD4, Class XW, IO,             
0.376s, 2049  3,339,381  43,746  10,012,165  131,159  7,947,349  104,110 
Ser. 06-CD2, Class X, IO,             
0.086s, 2046  2,471,226  5,830  16,322,341  38,510  17,911,198  42,258 
Ser. 07-CD5, Class XS, IO,             
0.077s, 2044  —  —  3,219,415  11,263  —  — 
Ser. 07-CD4, Class XC, IO,             
0.059s, 2049  11,169,139  46,910  33,482,506  140,627  26,576,534  111,621 
CNL Funding Ser. 99-1,             
Class A2, 7.645s, 2014  112,678  94,545  420,233  352,606  264,147  221,638 
Commercial Mortgage Acceptance             
Corp. Ser. 97-ML1, IO,             
0.465s, 2017  412,363  12,163  1,556,923  45,921  1,011,296  29,828 
Commercial Mortgage Acceptance             
Corp. 144A             
Ser. 98-C1, Class F, 6.23s, 2031  —  —  415,000  338,765  404,000  329,785 
Ser. 98-C2, Class F, 5.44s, 2030  1,370,000  1,060,515  2,607,000  2,018,074  2,247,000  1,739,399 
Commercial Mortgage Loan Trust             
Ser. 08-LS1, Class A4B,             
6.02s, 2017  166,000  97,186  842,000  492,957  618,000  361,814 
Commercial Mortgage             
Pass-Through Certificates 144A             
Ser. 06-CN2A, Class H,             
5.57s, 2019  66,000  23,100  197,000  68,950  218,000  76,300 
Ser. 06-CN2A, Class J,             
5.57s, 2019  53,000  13,250  158,000  39,500  174,000  43,500 
FRB Ser. 01-J2A, Class A2F,             
1.056s, 2034  118,000  98,990  326,000  273,481  314,000  263,414 
Ser. 03-LB1A, Class X1,             
IO, 0.473s, 2038  855,076  26,076  1,817,891  55,438  1,964,964  59,924 
Commercial Mortgage             
Pass-Through Certificates 144A             
Ser. 05-LP5, Class XC, IO,             
0.095s, 2043  5,654,816  27,198  12,595,969  60,583  12,253,779  58,937 
Ser. 06-C8, Class XS, IO,             
0.085s, 2046  10,513,430  44,708  28,440,417  120,943  25,910,817  110,186 
Ser. 05-C6, Class XC, IO,             
0.064s, 2044  8,698,224  27,152  25,498,860  79,596  12,806,946  39,977 
Countrywide Alternative             
Loan Trust             
IFB Ser. 04-2CB, Class 1A5,             
IO, 7.078s, 2034  161,614  9,293  32,416  1,864  90,019  5,176 
Ser. 06-45T1, Class 2A2,             
6s, 2037  3,720,952  1,951,174  —  —  —  — 

98

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Countrywide Alternative             
Loan Trust             
Ser. 06-J8, Class A4,             
6s, 2037  $3,064,423  $1,606,907  $1,309,477  $686,657  $—  $— 
Ser. 07-HY5R, Class 2A1A,             
5.544s, 2047  1,327,278  850,339  681,464  436,589  639,644  409,797 
Ser. 05-24, Class 1AX, IO,             
0.737s, 2035  1,319,539  16,030  1,918,234  23,304  1,838,075  22,330 
Countrywide Home Loans             
FRB Ser. 05-HYB7,             
Class 6A1, 5.675s, 2035  3,819,267  1,756,863  771,124  354,717  —  — 
FRB Ser. 06-HYB1,             
Class 1A1, 5.316s, 2036  —  —  734,794  340,248  1,618,437  749,421 
FRB Ser. 05-HYB4,             
Class 2A1, 4.895s, 2035  —  —  1,866,765  952,050  2,340,652  1,193,732 
Countrywide Home Loans 144A             
IFB Ser. 05-R2, Class 2A3,             
8s, 2035  97,650  100,728  —  —  182,714  188,474 
IFB Ser. 05-R1, Class 1AS, IO,             
5.43s, 2035  226,122  15,440  1,616,747  110,394  1,612,287  110,089 
IFB Ser. 05-R2, Class 1AS,             
IO, 5.086s, 2035  216,363  14,774  1,400,695  95,641  1,290,788  88,137 
Credit Suisse Mortgage Capital             
Certificates             
FRB Ser. 08-C1, Class A2,             
6.218s, 2041  105,000  85,392  —  —  —  — 
Ser. 07-3, Class 1A1A,             
5.837s, 2037  164,921  79,987  1,671,706  810,778  641,220  310,992 
FRB Ser. 07-C4, Class A2,             
5.81s, 2039  587,000  445,010  2,631,000  1,994,584  2,064,000  1,564,737 
Ser. 07-C2, Class A2,             
5.448s, 2049  249,000  199,321  —  —  —  — 
Ser. 06-C5, Class AX, IO,             
0.12s, 2039  6,718,765  46,239  18,177,847  125,100  16,564,270  113,995 
Credit Suisse Mortgage Capital             
Certificates 144A             
FRB Ser. 06-TFLA, Class K,             
1.756s, 2021  50,000  6,500  —  —  484,000  62,920 
Ser. 07-C2, Class AX, IO,             
0.113s, 2049  17,328,084  86,640  47,642,005  238,210  37,631,798  188,159 
Credit Suisse Mortgage Capital             
Certificates 144A             
Ser. 06-C4, Class AX, IO,             
0.112s, 2039  6,314,598  59,120  29,175,368  273,154  24,384,094  228,296 
Ser. 07-C1, Class AX, IO,             
0.07s, 2040  7,594,759  32,688  36,495,045  157,075  24,770,537  106,612 
CRESI Finance Limited             
Partnership 144A FRB             
Ser. 06-A, Class C,             
1.122s, 2017  —  —  155,000  85,250  161,000  88,550 

99

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Criimi Mae Commercial             
Mortgage Trust 144A             
Ser. 98-C1, Class B, 7s, 2033  $710,239  $633,045  $—  $—  $—  $— 
CS First Boston Mortgage             
Securities Corp.             
Ser. 97-C2, Class F, 7.46s, 2035  52,000  43,988  303,000  256,314  294,000  248,701 
Ser. 04-C2, Class A2,             
5.416s, 2036  260,000  209,858  1,050,000  847,504  1,050,000  847,504 
CS First Boston Mortgage             
Securities Corp. 144A             
Ser. 98-C2, Class F,             
6 3/4s, 2030  353,000  226,347  —  —  —  — 
FRB Ser. 05-TFLA, Class J,             
1.506s, 2020  —  —  67,000  50,250  65,500  49,125 
FRB Ser. 04-TF2A, Class J,             
1.506s, 2016  153,000  91,800  310,000  186,000  349,000  209,400 
FRB Ser. 05-TF2A, Class J,             
1.456s, 2020 F  43,847  24,112  148,024  81,402  148,683  81,765 
FRB Ser. 04-TF2A, Class H,             
1.256s, 2019  100,000  70,000  132,000  92,400  128,000  89,600 
Ser. 01-CK1, Class AY, IO,             
0.781s, 2035  4,395,071  41,098  12,173,664  113,835  11,714,347  109,540 
Ser. 04-C4, Class AX, IO,             
0.524s, 2039  660,886  10,462  4,427,744  70,095  3,499,135  55,394 
Ser. 03-C3, Class AX, IO,             
0.511s, 2038  5,733,238  239,919  11,111,935  465,002  12,852,781  537,852 
Ser. 02-CP3, Class AX, IO,             
0.416s, 2035  1,184,073  38,620  8,072,232  263,286  5,830,319  190,163 
CWCapital Cobalt FRB             
Ser. 07-C3, Class A3,             
5.82s, 2046  394,000  253,758  —  —  —  — 
Deutsche Mortgage & Asset             
Receiving Corp. Ser. 98-C1,             
Class X, IO, 0.344s, 2031  473,545  9,363  1,835,122  36,284  1,374,166  27,170 
DLJ Commercial Mortgage Corp.          
Ser. 00-CF1, Class A1B,             
7.62s, 2033  35,054  35,334  424,238  427,628  416,149  419,474 
Ser. 99-CG2, Class B3,             
6.1s, 2032  —  —  378,000  368,846  332,000  323,960 
Ser. 99-CG2, Class B4,             
6.1s, 2032  —  —  571,000  199,850  551,000  192,850 
Fannie Mae             
IFB Ser. 06-70, Class SM,             
50.389s, 2036  —  —  90,877  136,137  85,236  127,687 
IFB Ser. 07-75, Class JS,             
48.185s, 2037  155,714  221,718  —  —  274,835  391,332 
IFB Ser. 07-80, Class AS,             
45.185s, 2037  —  —  504,890  728,233  411,362  593,333 
IFB Ser. 06-62, Class PS,             
36.769s, 2036  160,071  228,065  305,201  434,844  248,287  353,754 

100

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
IFB Ser. 06-76, Class QB,             
36.469s, 2036  $275,102  $392,292  $—  $—  $389,971  $556,095 
IFB Ser. 06-48, Class TQ,             
36.469s, 2036  —  —  —  —  560,429  778,152 
IFB Ser. 07-W7, Class 1A4,             
36.049s, 2037  224,491  287,349  499,284  639,083  424,764  543,698 
IFB Ser. 07-1, Class NK,             
32.88s, 2037  231,946  321,446  1,515,909  2,100,844  1,371,571  1,900,811 
IFB Ser. 06-104, Class GS,             
31.905s, 2036  —  —  198,491  258,481  199,972  260,410 
IFB Ser. 06-104, Class ES,             
30.841s, 2036  107,019  146,520  469,406  642,669  535,094  732,602 
IFB Ser. 07-30, Class FS,             
27.41s, 2037  153,137  188,034  508,026  623,795  390,540  479,536 
IFB Ser. 05-37, Class SU,             
27.112s, 2035  98,040  128,897  392,162  515,587  392,162  515,587 
IFB Ser. 06-49, Class SE,             
26.912s, 2036  251,977  335,025  711,638  946,179  616,511  819,700 
IFB Ser. 05-25, Class PS,             
25.864s, 2035  95,514  121,533  —  —  69,718  88,710 
IFB Ser. 06-30, Class HK,             
24.512s, 2036  161,226  184,901  —  —  —  — 
IFB Ser. 06-115, Class ES,             
24.472s, 2036  —  —  631,801  830,035  485,882  638,332 
IFB Ser. 05-57, Class CD,             
23.168s, 2035  123,478  147,832  222,261  266,098  216,087  258,707 
IFB Ser. 05-115, Class NQ,             
22.98s, 2036  —  —  159,184  185,633  160,381  187,029 
IFB Ser. 05-74, Class CP,             
22.836s, 2035  126,996  142,119  269,230  301,292  270,500  302,714 
IFB Ser. 06-27, Class SP,             
22.653s, 2036  171,544  219,022  —  —  427,146  545,364 
IFB Ser. 06-8, Class HP,             
22.653s, 2036  146,831  187,581  —  —  460,644  588,489 
IFB Ser. 06-8, Class WK,             
22.653s, 2036  153,486  194,528  673,038  853,006  740,572  938,599 
IFB Ser. 05-106, Class US,             
22.653s, 2035  204,129  262,672  —  —  —  — 
IFB Ser. 05-99, Class SA,             
22.653s, 2035  65,187  81,372  313,549  391,400  314,853  393,028 
IFB Ser. 05-45, Class DA,             
22.506s, 2035  153,546  188,655  459,997  565,180  536,770  659,507 
IFB Ser. 05-74, Class DM,             
22.47s, 2035  184,769  233,240  —  —  607,844  767,303 
IFB Ser. 05-45, Class DC,             
22.396s, 2035  127,954  162,167  447,841  567,584  319,887  405,417 
IFB Ser. 06-46, Class SK,             
22.286s, 2036  201,472  236,765  —  —  —  — 
IFB Ser. 05-57, Class DC,             
20.079s, 2034  112,381  133,843  353,198  420,648  342,495  407,901 

101

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
IFB Ser. 05-95, Class OP,             
18.743s, 2035  $—  $—  $203,136  $239,893  $204,031  $240,950 
IFB Ser. 05-74, Class SK,             
18.695s, 2035  146,680  166,559  499,726  567,454  481,312  546,544 
IFB Ser. 05-45, Class PC,             
18.684s, 2034  55,416  63,165  167,264  190,655  167,773  191,234 
IFB Ser. 05-74, Class CS,             
18.585s, 2035  126,996  154,729  306,693  373,669  308,598  375,990 
IFB Ser. 05-106, Class JC,             
18.506s, 2035  —  —  150,451  170,989  143,131  162,670 
IFB Ser. 05-95, Class CP,             
18.306s, 2035  —  —  55,114  64,055  55,114  64,055 
IFB Ser. 05-83, Class QP,             
16.037s, 2034  —  —  111,934  119,187  111,934  119,187 
IFB Ser. 05-72, Class SB,             
15.57s, 2035  —  —  668,173  729,284  512,147  558,988 
FRB Ser. 03-W6, Class PT1,          
10.104s, 2042  27,931  30,916  —  —  —  — 
Ser. 02-T12, Class A4,             
9 1/2s, 2042  13,719  15,083  —  —  34,511  37,940 
Ser. 02-T4, Class A4,             
9 1/2s, 2041  26,116  28,711  —  —  —  — 
Ser. 02-T6, Class A3,             
9 1/2s, 2041  27,035  29,722  —  —  67,945  74,697 
Ser. 02-T1, Class A4,             
9 1/2s, 2031  3,417  3,757  —  —  —  — 
Ser. 04-T3, Class PT1,             
8.924s, 2044  27,712  30,206  —  —  87,596  95,480 
Ser. 383, Class 90, IO,             
8s, 2037  71,282  9,098  94,093  12,010  —  — 
Ser. 383, Class 91, IO,             
8s, 2037  70,978  9,059  73,817  9,422  —  — 
Ser. 02-26, Class A2,             
7 1/2s, 2048  66,637  71,406  —  —  —  — 
Ser. 04-T3, Class 1A4,             
7 1/2s, 2044  2,451  2,608  —  —  7,082  7,536 
Ser. 04-T2, Class 1A4,             
7 1/2s, 2043  52,752  56,527  —  —  —  — 
Ser. 03-W1, Class 2A,             
7 1/2s, 2042  95,127  101,935  —  —  733,430  785,917 
Ser. 02-T19, Class A3,             
7 1/2s, 2042  19,766  21,180  —  —  —  — 
Ser. 02-T12, Class A3,             
7 1/2s, 2042  15,247  16,110  —  —  —  — 
Ser. 02-14, Class A2,             
7 1/2s, 2042  99,451  106,568  —  —  —  — 
Ser. 01-T10, Class A2,             
7 1/2s, 2041  7,534  8,073  —  —  —  — 
Ser. 02-T4, Class A3,             
7 1/2s, 2041  38,378  41,125  —  —  347,131  371,972 

102

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
Ser. 01-T12, Class A2,             
7 1/2s, 2041  $39,295  $42,107  $—  $—  $—  $— 
Ser. 01-T3, Class A1,             
7 1/2s, 2040  10,883  11,662  —  —  28,659  30,710 
Ser. 01-T1, Class A1,             
7 1/2s, 2040  10,728  11,496  —  —  75,590  81,000 
Ser. 99-T2, Class A1,             
7 1/2s, 2039  80,786  86,213  —  —  17,336  18,501 
Ser. 386, Class 26, IO,             
7 1/2s, 2038  131,373  12,008  —  —  —  — 
Ser. 386, Class 27, IO,             
7 1/2s, 2037  77,514  11,042  111,562  15,892  —  — 
Ser. 386, Class 28, IO,             
7 1/2s, 2037  75,581  10,776  108,508  15,470  —  — 
Ser. 383, Class 88, IO,             
7 1/2s, 2037  142,058  20,040  —  —  —  — 
Ser. 383, Class 89, IO,             
7 1/2s, 2037  110,899  15,652  —  —  —  — 
Ser. 383, Class 87, IO,             
7 1/2s, 2037  177,908  24,941  —  —  —  — 
Ser. 02-33, Class A2,             
7 1/2s, 2032  22,583  23,860  —  —  —  — 
Ser. 02-T1, Class A3,             
7 1/2s, 2031  25,971  27,830  —  —  81,330  87,150 
Ser. 01-T5, Class A3,             
7 1/2s, 2030  9,904  10,464  —  —  43,489  45,949 
Ser. 01-T4, Class A1,             
7 1/2s, 2028  15,697  16,820  —  —  —  — 
IFB Ser. 07-W6, Class 6A2,             
IO, 7.278s, 2037  71,877  6,649  690,018  63,827  554,478  51,289 
IFB Ser. 06-90, Class SE,             
IO, 7.278s, 2036  159,590  17,528  580,139  63,718  844,523  92,756 
IFB Ser. 04-51, Class XP,             
IO, 7.178s, 2034  558,051  47,195  170,864  14,450  130,499  11,036 
IFB Ser. 03-66, Class SA,             
IO, 7.128s, 2033  163,493  14,695  531,574  47,778  533,515  47,952 
IFB Ser. 04-17, Class ST,             
IO, 7.078s, 2034  399,933  47,440  —  —  —  — 
IFB Ser. 08-7, Class SA,             
IO, 7.028s, 2038  498,264  60,244  —  —  —  — 
Ser. 02-26, Class A1,             
7s, 2048  38,403  41,139  —  —  —  — 
Ser. 04-W12, Class 1A3,             
7s, 2044  141,217  150,219  —  —  —  — 
Ser. 04-T3, Class 1A3,             
7s, 2044  66,697  70,949  —  —  —  — 
Ser. 04-W2, Class 2A2,             
7s, 2044  —  —  —  —  12,139  12,761 
Ser. 04-T2, Class 1A3,             
7s, 2043  39,941  41,888  —  —  —  — 

103

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
Ser. 03-W8, Class 2A,             
7s, 2042  $31,693  $33,951  $—  $—  $—  $— 
Ser. 02-T18, Class A3,             
7s, 2042  14,044  14,729  —  —  —  — 
Ser. 03-W3, Class 1A2,             
7s, 2042  58,094  61,362  —  —  —  — 
Ser. 02-T16, Class A2,             
7s, 2042  35,453  37,979  —  —  —  — 
Ser. 02-14, Class A1,             
7s, 2042  134,507  144,090  —  —  —  — 
Ser. 02-T4, Class A2,             
7s, 2041  16,972  17,800  —  —  —  — 
Ser. 01-W3, Class A,             
7s, 2041  55,786  59,761  —  —  68,035  72,883 
Ser. 386, Class 24, IO,             
7s, 2038  113,360  9,504  —  —  —  — 
Ser. 386, Class 25, IO,             
7s, 2038  121,172  13,433  —  —  —  — 
Ser. 386, Class 22, IO,             
7s, 2038  156,965  13,215  —  —  —  — 
Ser. 386, Class 21, IO,             
7s, 2037  177,934  14,914  —  —  —  — 
Ser. 386, Class 23, IO,             
7s, 2037  173,870  14,630  —  —  —  — 
Ser. 383, Class 84, IO,             
7s, 2037  163,938  14,131  —  —  —  — 
Ser. 383, Class 85, IO,             
7s, 2037  104,313  9,077  —  —  —  — 
Ser. 383, Class 86, IO,             
7s, 2037  81,639  10,200  117,837  14,723  —  — 
Ser. 383, Class 79, IO,             
7s, 2037  162,617  13,361  —  —  —  — 
Ser. 383, Class 80, IO,             
7s, 2037  363,874  33,886  522,872  48,692  —  — 
Ser. 383, Class 81, IO,             
7s, 2037  197,092  16,196  —  —  —  — 
Ser. 383, Class 82, IO,             
7s, 2037  195,403  16,704  —  —  —  — 
Ser. 383, Class 83, IO,             
7s, 2037  166,217  14,108  —  —  —  — 
Ser. 05-W4, Class 1A3,             
7s, 2035  113,380  120,607  —  —  345,204  367,210 
Ser. 04-W1, Class 2A2,             
7s, 2033  353,584  365,274  —  —  —  — 
IFB Ser. 07-W6, Class 5A2,             
IO, 6.768s, 2037  111,316  9,740  1,067,809  93,433  858,370  75,107 
IFB Ser. 07-W4, Class 4A2,             
IO, 6.758s, 2037  760,404  66,535  3,931,803  344,033  3,454,063  302,231 
IFB Ser. 07-W2, Class 3A2,             
IO, 6.758s, 2037  210,795  18,445  1,081,530  94,634  911,378  79,746 

104

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
IFB Ser. 06-115, Class BI,             
IO, 6.738s, 2036  $249,322  $19,943  $1,163,506  $93,065  $997,290  $79,770 
IFB Ser. 05-113, Class AI,             
IO, 6.708s, 2036  —  —  183,842  14,512  267,510  21,116 
IFB Ser. 05-113, Class DI,             
IO, 6.708s, 2036  994,536  84,187  —  —  —  — 
IFB Ser. 06-58, Class SP,             
IO, 6.678s, 2036  —  —  6,594,981  470,090  2,526,782  180,109 
IFB Ser. 06-58, Class SQ,             
IO, 6.678s, 2036  2,175,400  160,827  392,653  29,029  346,536  25,619 
IFB Ser. 05-52, Class DC,             
IO, 6.678s, 2035  292,066  27,401  648,972  60,885  675,367  63,361 
IFB Ser. 06-60, Class SI,             
IO, 6.628s, 2036  776,593  78,272  1,998,316  201,408  1,806,751  182,100 
IFB Ser. 06-60, Class UI,             
IO, 6.628s, 2036  208,758  15,801  485,889  36,777  408,060  30,886 
IFB Ser. 04-89, Class EI,             
IO, 6.628s, 2034  572,552  42,390  —  —  —  — 
IFB Ser. 04-24, Class CS,             
IO, 6.628s, 2034  217,425  17,117  —  —  941,146  74,093 
IFB Ser. 07-W7, Class 3A2,             
IO, 6.608s, 2037  339,870  31,785  1,615,884  151,117  1,367,749  127,912 
IFB Ser. 03-122, Class SA,             
IO, 6.578s, 2028  242,875  11,568  863,037  41,106  830,481  39,555 
IFB Ser. 03-122, Class SJ,             
IO, 6.578s, 2028  254,750  12,562  905,208  44,635  869,318  42,866 
IFB Ser. 06-60, Class DI,             
IO, 6.548s, 2035  142,742  10,421  518,164  37,829  754,326  55,070 
IFB Ser. 04-60, Class SW,             
IO, 6.528s, 2034  393,779  35,845  1,370,859  124,786  1,314,271  119,635 
Ser. 386, Class 19, IO,             
6 1/2s, 2038  167,839  15,529  —  —  —  — 
Ser. 386, Class 17, IO,             
6 1/2s, 2037  258,480  24,394  —  —  —  — 
Ser. 386, Class 16, IO,             
6 1/2s, 2037  177,073  17,281  —  —  —  — 
Ser. 383, Class 62, IO,             
6 1/2s, 2037  231,688  22,510  —  —  —  — 
Ser. 383, Class 69, IO,             
6 1/2s, 2037  131,805  15,125  —  —  —  — 
Ser. 383, Class 63, IO,             
6 1/2s, 2037  181,817  17,955  —  —  —  — 
Ser. 383, Class 64, IO,             
6 1/2s, 2037  333,936  31,098  479,936  44,694  —  — 
Ser. 383, Class 67, IO,             
6 1/2s, 2037  177,558  17,016  —  —  —  — 
Ser. 383, Class 68, IO,             
6 1/2s, 2037  85,166  8,312  122,639  11,969  —  — 
Ser. 383, Class 58, IO,             
6 1/2s, 2037  379,633  34,642  546,529  49,871  —  — 

105

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
Ser. 383, Class 59, IO,             
6 1/2s, 2037  $243,828  $23,340  $—  $—  $—  $— 
Ser. 383, Class 61, IO,             
6 1/2s, 2037  192,558  18,353  —  —  —  — 
Ser. 383, Class 65, IO,             
6 1/2s, 2037  231,372  22,875  —  —  —  — 
Ser. 383, Class 66, IO,             
6 1/2s, 2037  236,949  23,466  —  —  —  — 
Ser. 383, Class 77, IO,             
6 1/2s, 2037  139,374  13,598  —  —  —  — 
Ser. 383, Class 78, IO,             
6 1/2s, 2037  143,143  16,519  —  —  —  — 
Ser. 381, Class 14, IO,             
6 1/2s, 2037  191,957  17,276  496,414  44,677  472,813  42,553 
Ser. 381, Class 16, IO,             
6 1/2s, 2037  —  —  —  —  115,705  14,132 
Ser. 381, Class 15, IO,             
6 1/2s, 2037  81,710  7,354  —  —  201,133  18,102 
Ser. 383, Class 73, IO,             
6 1/2s, 2037  314,562  29,294  452,937  42,180  —  — 
Ser. 383, Class 76, IO,             
6 1/2s, 2037  192,633  19,160  —  —  —  — 
Ser. 383, Class 70, IO,             
6 1/2s, 2037  476,159  44,342  685,078  63,798  —  — 
Ser. 383, Class 74, IO,             
6 1/2s, 2037  260,988  24,304  —  —  —  — 
Ser. 383, Class 71, IO,             
6 1/2s, 2036  204,868  19,401  —  —  —  — 
Ser. 383, Class 75, IO,             
6 1/2s, 2036  165,059  15,897  —  —  —  — 
Ser. 383, Class 101, IO,             
6 1/2s, 2022  74,525  6,473  106,558  9,255  —  — 
Ser. 383, Class 102, IO,             
6 1/2s, 2022  —  —  70,028  7,444  —  — 
IFB Ser. 05-65, Class KI,             
IO, 6.478s, 2035  637,080  58,657  940,358  86,581  1,174,654  108,153 
IFB Ser. 08-10, Class LI,             
IO, 6.458s, 2038  1,248,314  128,306  —  —  —  — 
IFB Ser. 08-01, Class GI,             
IO, 6.438s, 2037  932,876  83,012  4,888,347  434,988  4,096,142  364,494 
IFB Ser. 08-41, Class S,             
IO, 6.278s, 2036  2,013,742  155,593  363,813  28,110  320,648  24,775 
IFB Ser. 07-39, Class LI,             
IO, 6.248s, 2037  1,834,065  158,848  207,739  17,992  182,910  15,842 
IFB Ser. 07-23, Class SI,             
IO, 6.248s, 2037  113,738  8,344  570,112  41,822  683,850  50,165 
IFB Ser. 07-54, Class CI,             
IO, 6.238s, 2037  102,847  9,835  971,696  92,925  780,812  74,671 
IFB Ser. 07-39, Class PI,             
IO, 6.238s, 2037  292,105  21,380  760,741  55,680  638,832  46,757 

106

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
IFB Ser. 07-30, Class WI,             
IO, 6.238s, 2037  $668,574  $54,823  $—  $—  $—  $— 
IFB Ser. 07-58, Class SP,             
IO, 6.228s, 2037  —  —  1,115,215  109,844  886,321  87,299 
IFB Ser. 07-28, Class SE,             
IO, 6.228s, 2037  333,992  31,674  974,211  92,389  763,978  72,452 
IFB Ser. 06-128, Class SH,             
IO, 6.228s, 2037  98,224  7,446  704,560  53,408  725,904  55,026 
IFB Ser. 05-12, Class SC,             
IO, 6.228s, 2035  445,647  46,977  980,941  103,404  848,574  89,451 
IFB Ser. 05-17, Class ES,             
IO, 6.228s, 2035  162,989  17,331  579,154  61,581  556,191  59,140 
IFB Ser. 05-17, Class SY,             
IO, 6.228s, 2035  122,520  12,748  269,425  28,033  258,743  26,922 
IFB Ser. 07-W5, Class 2A2,             
IO, 6.218s, 2037  —  —  469,339  38,510  392,955  32,243 
IFB Ser. 07-30, Class IE,             
IO, 6.218s, 2037  471,209  66,688  2,316,780  327,885  1,944,593  275,210 
IFB Ser. 06-123, Class CI,             
IO, 6.218s, 2037  751,019  70,681  2,177,199  204,905  1,714,449  161,354 
IFB Ser. 06-123, Class UI,             
IO, 6.218s, 2037  315,310  29,919  829,092  78,671  696,527  66,092 
IFB Ser. 05-82, Class SY,             
IO, 6.208s, 2035  355,807  29,606  1,212,649  100,901  1,167,372  97,134 
IFB Ser. 05-45, Class EW,             
IO, 6.198s, 2035  447,753  34,360  2,260,913  173,498  2,287,860  175,566 
IFB Ser. 05-45, Class SR,             
IO, 6.198s, 2035  461,790  34,635  1,607,621  120,573  1,541,260  115,596 
IFB Ser. 07-15, Class BI,             
IO, 6.178s, 2037  508,386  44,971  1,337,468  118,310  1,123,177  99,354 
IFB Ser. 06-126, Class CS,             
IO, 6.178s, 2037  300,112  24,616  409,854  33,617  382,978  31,413 
IFB Ser. 06-16, Class SM,             
IO, 6.178s, 2036  384,826  42,585  894,235  98,957  696,285  77,052 
IFB Ser. 05-95, Class CI,             
IO, 6.178s, 2035  222,637  23,962  719,861  77,479  723,234  77,842 
IFB Ser. 05-84, Class SG,             
IO, 6.178s, 2035  375,071  32,767  1,199,256  104,771  1,202,897  105,089 
IFB Ser. 05-57, Class NI,             
IO, 6.178s, 2035  164,929  11,667  421,693  29,830  354,222  25,057 
IFB Ser. 05-54, Class SA,             
IO, 6.178s, 2035  329,693  24,981  1,139,393  86,331  1,099,999  83,346 
IFB Ser. 05-23, Class SG,             
IO, 6.178s, 2035  245,542  18,549  872,982  65,949  838,501  63,344 
IFB Ser. 05-29, Class SX,             
IO, 6.178s, 2035  672,978  48,973  139,030  10,117  111,316  8,101 
IFB Ser. 05-29, Class SY,             
IO, 6.178s, 2035  752,202  55,042  —  —  —  — 
IFB Ser. 05-17, Class SA,             
IO, 6.178s, 2035  684,738  67,050  770,332  75,432  739,790  72,441 

107

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
IFB Ser. 05-17, Class SE,             
IO, 6.178s, 2035  $235,527  $16,958  $836,900  $60,258  $803,719  $57,869 
IFB Ser. 05-57, Class DI,             
IO, 6.178s, 2035  516,396  41,733  —  —  2,247,740  181,654 
IFB Ser. 05-83, Class QI,             
IO, 6.168s, 2035  —  —  198,390  16,580  199,940  16,709 
IFB Ser. 06-128, Class GS,             
IO, 6.158s, 2037  115,280  10,744  1,081,800  100,818  869,563  81,039 
IFB Ser. 06-114, Class IS,             
IO, 6.128s, 2036  176,800  14,548  904,626  74,437  762,449  62,738 
IFB Ser. 06-116, Class ES,             
IO, 6.128s, 2036  284,627  21,164  678,562  50,455  814,842  60,588 
IFB Ser. 06-116, Class LS,             
IO, 6.128s, 2036  586,314  50,617  —  —  —  — 
IFB Ser. 06-115, Class EI,             
IO, 6.118s, 2036  1,939,505  165,376  —  —  —  — 
IFB Ser. 06-115, Class GI,             
IO, 6.118s, 2036  —  —  942,782  77,888  778,293  64,298 
IFB Ser. 06-115, Class IE,             
IO, 6.118s, 2036  275,540  23,239  710,194  59,897  596,098  50,274 
IFB Ser. 06-117, Class SA,             
IO, 6.118s, 2036  406,057  33,749  1,068,379  88,796  897,291  74,577 
IFB Ser. 06-121, Class SD,             
IO, 6.118s, 2036  343,783  30,462  2,078,826  184,204  1,586,974  140,621 
IFB Ser. 06-109, Class SG,             
IO, 6.108s, 2036  504,491  42,019  1,464,937  122,014  1,121,501  93,409 
IFB Ser. 06-104, Class IM,             
IO, 6.098s, 2036  94,436  8,057  316,193  26,976  401,354  34,242 
IFB Ser. 06-104, Class SY,             
IO, 6.098s, 2036  197,082  14,457  661,243  48,507  839,296  61,568 
IFB Ser. 06-109, Class SH,             
IO, 6.098s, 2036  381,753  43,404  1,120,359  127,383  879,689  100,019 
IFB Ser. 06-111, Class SA,             
IO, 6.098s, 2036  3,024,786  285,271  —  —  —  — 
IFB Ser. 07-W6, Class 4A2,             
IO, 6.078s, 2037  632,988  55,386  4,474,785  391,544  3,596,481  314,692 
IFB Ser. 06-128, Class SC,             
IO, 6.078s, 2037  744,515  62,964  3,341,575  282,597  2,618,915  221,482 
IFB Ser. 06-116, Class S,             
IO, 6.078s, 2036  2,089,655  165,065  2,840,991  224,414  —  — 
IFB Ser. 06-104, Class IC,             
IO, 6.078s, 2036  577,788  54,491  —  —  2,969,233  280,028 
IFB Ser. 06-104, Class SG,             
IO, 6.078s, 2036  569,018  42,340  1,439,131  107,084  1,763,390  131,212 
IFB Ser. 06-43, Class SI,             
IO, 6.078s, 2036  558,422  46,622  2,601,294  217,179  2,246,317  187,543 
IFB Ser. 06-44, Class IS,             
IO, 6.078s, 2036  334,648  26,654  908,929  72,395  1,035,382  82,467 
IFB Ser. 06-8, Class JH,             
IO, 6.078s, 2036  629,265  56,244  3,233,008  288,966  2,721,523  243,250 

108

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
IFB Ser. 06-8, Class PS,             
IO, 6.078s, 2036  $220,305  $28,458  $—  $—  $—  $— 
IFB Ser. 09-12, Class CI,             
IO, 6.078s, 2036  702,267  72,137  —  —  2,290,775  235,308 
IFB Ser. 05-122, Class SG,             
IO, 6.078s, 2035  94,315  9,361  916,003  90,913  713,082  70,773 
IFB Ser. 06-45, Class XS,             
IO, 6.078s, 2034  358,973  29,522  —  —  —  — 
IFB Ser. 06-101, Class SA,             
IO, 6.058s, 2036  719,517  60,015  3,585,608  299,076  3,049,317  254,344 
IFB Ser. 06-92, Class JI,             
IO, 6.058s, 2036  238,559  18,743  601,483  47,257  781,380  61,391 
IFB Ser. 06-92, Class LI,             
IO, 6.058s, 2036  402,493  33,378  1,057,445  87,691  887,937  73,634 
IFB Ser. 06-96, Class ES,             
IO, 6.058s, 2036  221,253  17,342  1,337,542  104,839  1,020,341  79,976 
IFB Ser. 06-99, Class AS,             
IO, 6.058s, 2036  324,121  30,158  829,346  77,167  1,038,479  96,626 
IFB Ser. 06-60, Class YI,             
IO, 6.048s, 2036  387,086  37,153  846,188  81,217  761,896  73,127 
IFB Ser. 06-85, Class TS,             
IO, 6.038s, 2036  267,737  19,755  1,014,877  74,883  1,192,200  87,966 
IFB Ser. 06-95, Class SH,             
IO, 6.028s, 2036  2,435,467  188,543  3,311,204  256,338  —  — 
IFB Ser. 06-61, Class SE,             
IO, 6.028s, 2036  343,853  25,097  1,082,480  79,009  1,208,413  88,201 
IFB Ser. 07-75, Class PI,             
IO, 6.018s, 2037  283,951  21,187  1,330,000  99,238  1,141,516  85,174 
IFB Ser. 07-W7, Class 2A2,             
IO, 6.008s, 2037  737,752  71,496  3,024,781  293,132  2,586,575  250,665 
Ser. 389, Class 6, IO,             
6s, 2038  92,772  9,045  —  —  92,772  9,045 
Ser. 386, Class 10, IO,             
6s, 2038  125,952  12,477  —  —  —  — 
Ser. 386, Class 11, IO,             
6s, 2038  86,960  7,736  120,005  10,676  —  — 
Ser. 383, Class 46, IO,             
6s, 2038  543,669  49,610  782,758  71,427  —  — 
Ser. 383, Class 47, IO,             
6s, 2038  480,998  43,891  691,632  63,111  —  — 
Ser. 383, Class 48, IO,             
6s, 2038  431,284  42,589  620,609  61,285  —  — 
Ser. 383, Class 52, IO,             
6s, 2038  174,745  16,665  —  —  —  — 
Ser. 386, Class 9, IO,             
6s, 2038  765,680  70,825  1,100,813  101,825  —  — 
Ser. 383, Class 32, IO,             
6s, 2038  745,591  73,627  1,072,447  105,904  —  — 
Ser. 383, Class 33, IO,             
6s, 2038  635,157  62,722  913,692  90,227  —  — 

109

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
Ser. 383, Class 37, IO,             
6s, 2038  $247,552  $23,317  $—  $—  $—  $— 
Ser. 386, Class 7, IO,             
6s, 2038  942,460  90,123  1,355,294  129,600  —  — 
Ser. 383, Class 34, IO,             
6s, 2037  260,287  25,703  —  —  —  — 
Ser. 383, Class 35, IO,             
6s, 2037  213,615  20,013  —  —  —  — 
Ser. 383, Class 36, IO,             
6s, 2037  167,382  15,678  —  —  —  — 
Ser. 383, Class 38, IO,             
6s, 2037  106,762  9,908  —  —  —  — 
Ser. 383, Class 50, IO,             
6s, 2037  294,530  26,876  423,291  38,625  —  — 
Ser. 386, Class 6, IO,             
6s, 2037  453,613  42,810  652,069  61,539  —  — 
Ser. 383, Class 39, IO,             
6s, 2037  84,051  9,406  103,382  11,569  —  — 
Ser. 383, Class 49, IO,             
6s, 2037  222,916  22,046  —  —  —  — 
Ser. 383, Class 51, IO,             
6s, 2037  228,697  20,783  —  —  —  — 
Ser. 383, Class 53, IO,             
6s, 2037  85,510  8,456  122,723  12,136  —  — 
Ser. 383, Class 54, IO,             
6s, 2037  78,100  7,153  78,881  7,224  —  — 
Ser. 383, Class 55, IO, 6s, 2037  —  —  78,017  7,143  —  — 
Ser. 383, Class 57, IO, 6s, 2037  139,171  15,502  —  —  —  — 
Ser. 383, Class 100, IO,             
6s, 2022  76,735  7,651  110,917  11,059  —  — 
Ser. 383, Class 98, IO,             
6s, 2022  233,973  19,598  —  —  —  — 
Ser. 383, Class 99, IO,             
6s, 2022  104,011  8,549  —  —  —  — 
IFB Ser. 07-88, Class MI,             
IO, 5.998s, 2037  124,922  11,179  680,044  60,856  601,187  53,799 
Ser. 06-94, Class NI, IO,             
5.978s, 2036  283,342  18,227  707,444  45,509  867,014  55,774 
IFB Ser. 08-21, Class NI, IO,             
5.978s, 2038  588,608  43,855  —  —  —  — 
IFB Ser. 09-12, Class AI, IO,             
5.978s, 2037  —  —  3,832,099  331,017  3,186,838  275,279 
IFB Ser. 07-116, Class IA,             
IO, 5.978s, 2037  811,601  65,271  4,198,456  337,650  3,688,205  296,615 
IFB Ser. 07-103, Class AI,             
IO, 5.978s, 2037  991,513  78,964  5,085,880  405,040  4,286,496  341,377 
IFB Ser. 07-1, Class NI,             
IO, 5.978s, 2037  933,530  93,299  2,613,166  261,165  2,239,754  223,846 
IFB Ser. 07-15, Class NI,             
IO, 5.978s, 2022  137,405  10,629  1,717,560  132,865  1,305,346  100,977 

110

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
IFB Ser. 07-106, Class SM,             
IO, 5.938s, 2037  $343,458  $25,399  $—  $—  $—  $— 
IFB Ser. 08-3, Class SC,             
IO, 5.928s, 2038  332,940  31,395  1,272,144  119,959  835,561  78,791 
IFB Ser. 07-109, Class XI,             
IO, 5.928s, 2037  187,938  17,095  845,724  76,926  751,754  68,379 
IFB Ser. 07-109, Class YI,             
IO, 5.928s, 2037  215,297  15,640  1,100,310  79,930  928,413  67,443 
IFB Ser. 07-W8, Class 2A2,             
IO, 5.928s, 2037  465,547  29,439  2,208,227  139,639  1,868,431  118,152 
IFB Ser. 07-88, Class JI, IO,             
5.928s, 2037  —  —  916,334  76,271  922,873  76,815 
IFB Ser. 06-79, Class SH,             
IO, 5.928s, 2036  868,731  91,563  —  —  —  — 
IFB Ser. 07-54, Class KI,             
IO, 5.918s, 2037  154,294  12,121  567,033  44,545  478,314  37,576 
IFB Ser. 07-30, Class JS,             
IO, 5.918s, 2037  728,489  65,937  1,914,419  173,279  1,607,646  145,512 
IFB Ser. 07-30, Class LI,             
IO, 5.918s, 2037  1,194,734  97,204  3,494,320  284,298  2,707,641  220,294 
IFB Ser. 07-30, Class OI,             
IO, 5.918s, 2037  2,018,330  163,364  4,968,448  402,146  3,820,325  309,217 
IFB Ser. 07-W2, Class 1A2,             
IO, 5.908s, 2037  98,761  7,787  984,937  77,662  848,808  66,928 
IFB Ser. 07-106, Class SN,             
IO, 5.888s, 2037  269,761  19,578  1,310,034  95,076  1,104,620  80,168 
IFB Ser. 07-54, Class IA,             
IO, 5.888s, 2037  206,503  18,262  1,013,666  89,644  849,775  75,150 
IFB Ser. 07-54, Class IB,             
IO, 5.888s, 2037  206,503  18,262  1,013,666  89,644  849,775  75,150 
IFB Ser. 07-54, Class IC,             
IO, 5.888s, 2037  206,503  18,262  1,013,666  89,644  849,775  75,150 
IFB Ser. 07-54, Class ID,             
IO, 5.888s, 2037  206,503  18,262  1,013,666  89,644  849,775  75,150 
IFB Ser. 07-54, Class IE,             
IO, 5.888s, 2037  206,503  18,262  1,013,666  89,644  849,775  75,150 
IFB Ser. 07-54, Class IF,             
IO, 5.888s, 2037  306,477  24,895  1,508,617  122,545  1,263,600  102,642 
IFB Ser. 07-54, Class NI,             
IO, 5.888s, 2037  101,523  7,599  990,296  74,128  878,977  65,795 
IFB Ser. 07-54, Class UI,             
IO, 5.888s, 2037  142,338  12,800  1,419,889  127,691  1,161,410  104,446 
IFB Ser. 07-109, Class AI,             
IO, 5.878s, 2037  —  —  6,216,557  412,372  5,192,312  344,429 
IFB Ser. 07-91, Class AS,             
IO, 5.878s, 2037  183,970  13,856  866,942  65,295  738,325  55,608 
IFB Ser. 07-91, Class HS,             
IO, 5.878s, 2037  97,165  8,396  935,939  80,871  793,098  68,529 
IFB Ser. 07-15, Class CI,             
IO, 5.858s, 2037  1,396,267  123,493  4,055,449  358,684  3,192,587  282,368 

111

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
IFB Ser. 06-124, Class SC,             
IO, 5.858s, 2037  $1,342,597  $101,432  $1,824,963  $137,875  $—  $— 
IFB Ser. 06-115, Class JI,             
IO, 5.858s, 2036  1,007,794  82,588  2,918,091  239,135  2,293,860  187,980 
IFB Ser. 07-109, Class PI,             
IO, 5.828s, 2037  140,200  11,139  1,367,873  108,678  1,213,837  96,440 
IFB Ser. 06-123, Class LI,             
IO, 5.798s, 2037  675,159  50,758  1,957,203  147,143  1,539,970  115,775 
IFB Ser. 08-1, Class NI,             
IO, 5.728s, 2037  460,172  40,251  2,239,743  195,911  1,875,740  164,072 
IFB Ser. 07-116, Class BI,             
IO, 5.728s, 2037  744,563  56,459  3,848,962  291,862  3,380,523  256,341 
IFB Ser. 08-01, Class AI,             
IO, 5.728s, 2037  1,140,731  77,835  5,977,010  407,829  5,008,430  341,740 
IFB Ser. 08-10, Class GI,             
IO, 5.708s, 2038  —  —  895,613  66,995  901,718  67,451 
IFB Ser. 08-13, Class SA,             
IO, 5.698s, 2038  1,792,080  128,109  211,901  15,148  157,412  11,253 
IFB Ser. 08-1, Class HI,             
IO, 5.678s, 2037  529,370  35,618  2,769,940  186,370  2,321,086  156,170 
IFB Ser. 07-39, Class AI,             
IO, 5.598s, 2037  341,896  24,535  1,737,119  124,656  1,462,338  104,937 
IFB Ser. 07-32, Class SD,             
IO, 5.588s, 2037  242,046  17,974  1,198,936  89,030  1,006,912  74,771 
IFB Ser. 07-30, Class UI,             
IO, 5.578s, 2037  201,664  18,185  989,914  89,267  829,863  74,834 
IFB Ser. 07-32, Class SC,             
IO, 5.578s, 2037  317,887  26,622  1,587,823  132,977  1,332,868  111,625 
IFB Ser. 07-1, Class CI,             
IO, 5.578s, 2037  232,205  19,218  1,143,341  94,624  958,038  79,288 
IFB Ser. 05-74, Class NI,             
IO, 5.558s, 2035  402,519  43,064  —  —  —  — 
IFB Ser. 05-14, Class SE,             
IO, 5.528s, 2035  249,912  17,761  1,359,987  96,654  1,201,250  85,373 
Ser. 06-W3, Class 1AS,             
IO, 5.509s, 2046  1,281,515  88,104  3,756,570  258,264  3,762,435  258,667 
IFB Ser. 09-12, Class DI,             
IO, 5.508s, 2037  433,231  32,133  4,551,897  337,614  3,806,106  282,299 
Ser. 383, Class 18, IO,             
5 1/2s, 2038  864,425  85,362  1,243,765  122,822  —  — 
Ser. 383, Class 19, IO,             
5 1/2s, 2038  788,412  77,856  1,133,603  111,943  —  — 
Ser. 383, Class 25, IO,             
5 1/2s, 2038  133,409  11,436  —  —  —  — 
Ser. 386, Class 4, IO,             
5 1/2s, 2037  195,498  16,901  —  —  —  — 
Ser. 386, Class 5, IO,             
5 1/2s, 2037  125,501  10,924  —  —  —  — 
Ser. 383, Class 15, IO,             
5 1/2s, 2037  117,620  9,954  —  —  —  — 

112

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
Ser. 383, Class 16, IO,             
5 1/2s, 2037  $—  $—  $87,384  $10,393  $—  $— 
Ser. 383, Class 4, IO,             
5 1/2s, 2037  1,193,840  102,682  1,716,927  147,673  —  — 
Ser. 383, Class 5, IO,             
5 1/2s, 2037  758,093  76,757  1,090,487  110,412  —  — 
Ser. 383, Class 6, IO,             
5 1/2s, 2037  680,045  63,754  978,136  91,700  —  — 
Ser. 383, Class 7, IO,             
5 1/2s, 2037  670,559  62,865  964,707  90,441  —  — 
Ser. 383, Class 8, IO,             
5 1/2s, 2037  277,093  25,978  398,213  37,332  —  — 
Ser. 383, Class 9, IO,             
5 1/2s, 2037  263,706  24,722  —  —  —  — 
Ser. 383, Class 20, IO,             
5 1/2s, 2037  491,681  48,553  707,436  69,859  —  — 
Ser. 383, Class 21, IO,             
5 1/2s, 2037  464,585  45,878  668,109  65,976  —  — 
Ser. 383, Class 22, IO,             
5 1/2s, 2037  313,933  31,001  451,653  44,601  —  — 
Ser. 383, Class 23, IO,             
5 1/2s, 2037  283,302  27,976  407,034  40,195  —  — 
Ser. 383, Class 24, IO,             
5 1/2s, 2037  195,755  17,092  —  —  —  — 
Ser. 383, Class 26, IO,             
5 1/2s, 2037  146,560  15,377  —  —  —  — 
Ser. 383, Class 27, IO,             
5 1/2s, 2037  —  —  86,007  10,242  —  — 
Ser. 383, Class 95, IO,             
5 1/2s, 2022  373,480  33,613  537,663  48,390  —  — 
Ser. 383, Class 97, IO,             
5 1/2s, 2022  155,424  15,345  —  —  —  — 
Ser. 383, Class 94, IO,             
5 1/2s, 2022  195,509  15,477  —  —  —  — 
Ser. 383, Class 96, IO,             
5 1/2s, 2022  201,896  14,810  —  —  —  — 
IFB Ser. 05-58, Class IK,             
IO, 5.478s, 2035  266,814  20,620  923,305  71,354  891,214  68,874 
IFB Ser. 08-1, Class BI,             
IO, 5.388s, 2038  1,012,607  67,672  5,509,389  368,187  4,866,117  325,198 
IFB Ser. 07-75, Class ID,             
IO, 5.348s, 2037  131,278  10,666  1,231,928  100,088  990,237  80,452 
Ser. 385, Class 3, IO,             
5s, 2038  1,414,353  144,971  —  —  —  — 
Ser. 383, Class 2, IO,             
5s, 2037  134,584  16,892  —  —  —  — 
Ser. 383, Class 92, IO,             
5s, 2022  165,707  12,955  —  —  —  — 
Ser. 383, Class 93, IO,             
5s, 2022  91,027  9,264  —  —  —  — 

113

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
Ser. 03-W12, Class 2, IO,             
2.219s, 2043  $896,686  $42,885  $1,786,694  $85,450  $1,469,634  $70,286 
Ser. 03-W10, Class 3, IO,             
1.93s, 2043  274,477  11,027  1,126,944  45,273  879,234  35,321 
Ser. 03-W10, Class 1, IO,             
1.909s, 2043  801,013  32,000  3,828,965  152,965  5,572,290  222,610 
Ser. 03-W8, Class 12, IO,             
1.632s, 2042  1,229,430  42,133  4,362,466  149,503  3,358,948  115,112 
Ser. 03-W17, Class 12, IO,             
1.143s, 2033  —  —  1,420,121  33,407  1,363,391  32,073 
Ser. 03-T2, Class 2, IO,             
0.809s, 2042  582,782  9,950  5,609,277  95,772  3,988,414  68,098 
Ser. 03-W6, Class 51, IO,             
0.673s, 2042  383,464  5,397  1,715,263  24,139  1,358,459  19,118 
Ser. 01-T12, Class IO,             
0.565s, 2041  2,091,975  27,720  1,049,305  13,904  698,246  9,252 
Ser. 03-W2, Class 1, IO,             
0.466s, 2042  274,857  2,735  9,650,542  96,043  7,726,542  76,895 
Ser. 02-T4, IO, 0.449s, 2041  5,634,791  56,728  5,922,554  59,625  3,745,089  37,703 
Ser. 01-50, Class B1, IO,             
0.441s, 2041  2,661,148  25,410  1,881,683  17,967  1,259,788  12,029 
Ser. 02-T1, Class IO, IO,             
0.427s, 2031  974,830  8,258  1,210,489  10,254  768,630  6,511 
Ser. 03-W6, Class 3, IO,             
0.367s, 2042  545,857  3,861  2,441,361  17,268  1,933,647  13,677 
Ser. 03-W6, Class 23, IO,             
0.352s, 2042  573,610  3,886  2,565,008  17,378  2,031,445  13,763 
Ser. 02-W8, Class 1, IO,             
0.346s, 2042  1,088,045  8,709  —  —  —  — 
Ser. 01-79, Class BI, IO,             
0.328s, 2045  913,496  6,940  6,225,825  47,296  4,426,941  33,631 
Ser. 03-34, Class P1,             
Principal Only (PO),             
zero %, 2043  32,977  24,960  —  —  —  — 
Ser. 07-64, Class LO, PO,             
zero %, 2037  —  —  —  —  615,553  552,501 
Ser. 07-14, Class KO, PO,             
zero %, 2037  —  —  221,407  195,210  171,687  151,373 
Ser. 06-125, Class OX, PO,             
zero %, 2037  —  —  80,280  73,742  77,942  71,594 
Ser. 06-84, Class OT, PO,             
zero %, 2036  —  —  65,604  61,950  65,604  61,950 
Ser. 06-56, Class XF,             
zero %, 2036  —  —  72,905  68,433  72,905  68,433 
Ser. 06-46, Class OC, PO,             
zero %, 2036  —  —  78,572  73,144  —  — 
Ser. 06-47, Class VO, PO,             
zero %, 2036  —  —  135,198  128,143  99,811  94,602 
Ser. 05-103, Class OA, PO,             
zero %, 2035  —  —  174,000  154,186  115,000  101,905 

114

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Fannie Mae             
Ser. 05-50, Class LO, PO,             
zero %, 2035  $49,381  $47,546  $—  $—  $—  $— 
Ser. 04-38, Class AO, PO,             
zero %, 2034  287,793  234,986  —  —  —  — 
Ser. 08-37, Class DO, PO,             
zero %, 2033  123,000  106,593  431,000  373,509  281,000  243,517 
Ser. 04-61, Class JO, PO,             
zero %, 2032  91,183  85,509  335,756  314,863  247,277  231,890 
Ser. 326, Class 1, PO,             
zero %, 2032  —  —  255,995  235,147  241,753  222,065 
Ser. 318, Class 1, PO,             
zero %, 2032  —  —  96,320  88,775  90,923  83,801 
Ser. 04-61, Class CO, PO,             
zero %, 2031  182,115  167,631  —  —  —  — 
Ser. 314, Class 1, PO,             
zero %, 2031  —  —  461,023  426,444  435,348  402,695 
FRB Ser. 07-76, Class SF,             
zero %, 2037  76,960  75,128  86,195  84,144  —  — 
FRB Ser. 06-115, Class SN,             
zero %, 2036  75,209  53,902  415,151  297,541  354,232  253,880 
FRB Ser. 06-104, Class EK,             
zero %, 2036  48,964  49,008  64,633  64,691  88,625  88,705 
FRB Ser. 05-117, Class GF,             
zero %, 2036  98,839  96,329  109,880  107,089  96,211  93,767 
FRB Ser. 05-91, Class EF,             
zero %, 2035  81,448  75,033  —  —  —  — 
FRB Ser. 05-79, Class FE,             
zero %, 2035  34,036  32,552  —  —  —  — 
FRB Ser. 05-65, Class ER,             
zero %, 2035  146,473  137,708  —  —  —  — 
FRB Ser. 06-54, Class CF,             
zero %, 2035  —  —  —  —  38,348  37,754 
FRB Ser. 05-57, Class UL,             
zero %, 2035  120,196  116,474  415,107  402,251  400,941  388,524 
FRB Ser. 05-36, Class QA,             
zero %, 2035  —  —  98,885  84,381  95,446  81,446 
FRB Ser. 05-65, Class CU,             
zero %, 2034  —  —  118,062  109,455  113,573  105,293 
FRB Ser. 05-77, Class HF,             
zero %, 2034  —  —  223,402  211,857  164,000  155,525 
FRB Ser. 05-81, Class DF,             
zero %, 2033  —  —  43,728  42,555  42,361  41,225 
FRB Ser. 06-1, Class HF,             
zero %, 2032  —  —  35,821  35,293  54,524  53,721 
IFB Ser. 06-75, Class FY,             
zero %, 2036  —  —  174,220  170,247  136,687  133,570 

115

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Federal Home Loan Mortgage             
Corp.,Structured Pass-Through             
Securities             
Ser. T-42, Class A6, 9 1/2s, 2042  $14,224  $15,628  $—  $—  $35,693  $39,218 
IFB Ser. T-56, Class 2ASI, IO,             
7.578s,,2043  139,483  12,815  626,434  57,554  497,988  45,753 
Ser. T-58, Class 4A,             
7 1/2s, 2043  424,140  449,456  —  —  75,868  80,397 
Ser. T-51, Class 2A,             
7 1/2s, 2042  92,276  98,477  —  —  236,240  252,113 
Ser. T-42, Class A5,             
7 1/2s, 2042  90,445  96,522  —  —  355,840  379,748 
Ser. T-60, Class 1A2,             
7s, 2044  108,580  114,858  —  —  —  — 
Ser. T-58, Class 3A,             
7s, 2043  16,822  17,542  —  —  —  — 
Ser. T-41, Class 2A,             
6.979s, 2032  10,501  10,977  —  —  57,229  59,823 
Ser. T-56, Class A, IO,             
0.524s, 2043  518,108  5,791  1,819,929  20,341  1,451,550  16,224 
Ser. T-56, Class 3, IO,             
0.356s, 2043  481,632  4,508  1,599,521  14,973  1,306,732  12,232 
Ser. T-56, Class 1, IO,             
0.278s, 2043  624,484  3,906  2,074,286  12,975  1,694,374  10,599 
Ser. T-56, Class 2, IO,             
0.006s, 2043  565,106  850  1,876,539  2,823  1,532,989  2,306 
FFCA Secured Lending Corp.             
Ser. 99-1A, Class C1,             
7.59s, 2025  100,000  12,000  —  —  —  — 
FFCA Secured Lending             
Corp. 144A             
Ser. 00-1, Class A2,             
7.77s, 2027  62,573  43,801  212,939  149,057  112,535  78,775 
Ser. 00-1, Class X, IO,             
1.248s, 2020  315,811  8,827  1,220,996  34,127  780,339  21,810 
First Horizon Alternative Mortgage             
Securities FRB Ser. 05-AA10,             
Class 2A1, 5.722s, 2035  373,775  168,199  1,027,635  462,436  732,264  329,519 
First Union National Bank-Bank             
of America Commercial Mortgage             
144A Ser. 01-C1, Class 3, IO,             
1.683s, 2033  —  —  6,327,860  134,757  5,636,119  120,026 
First Union-Lehman Brothers             
Commercial Mortgage Trust II             
Ser. 97-C2, Class F,             
7 1/2s, 2029  —  —  $580,000  465,604  538,000  431,888 
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  —  —  —  —  703,000  386,650 

116

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Freddie Mac             
IFB Ser. 3202, Class HM,             
30.469s, 2036  $—  $—  $154,108  $204,774  $230,800  $306,680 
IFB Ser. 3182, Class PS,             
26 3/8s, 2032  211,103  281,398  —  —  394,998  526,528 
IFB Ser. 3182, Class SP,             
26 3/8s, 2032  201,835  209,077  —  —  —  — 
IFB Ser. 3211, Class SI,             
IO, 25.327s, 2036  182,898  79,590  —  —  —  — 
IFB Ser. 2976, Class KL,             
22.344s, 2035  148,785  173,381  475,107  553,647  455,700  531,032 
IFB Ser. 2979, Class AS,             
22.234s, 2034  —  —  114,852  137,041  115,505  137,820 
IFB Ser. 3065, Class DC,             
18.191s, 2035  153,737  185,933  —  —  439,463  531,497 
IFB Ser. 2990, Class LB,             
15.524s, 2034  147,016  160,141  498,857  543,390  477,447  520,068 
IFB Ser. 3031, Class BS,             
15.334s, 2035  172,856  199,751  —  —  —  — 
IFB Ser. 2927, Class SI, IO,             
7s, 2035  178,652  18,493  635,448  65,776  610,308  63,174 
IFB Ser. 2828, Class GI,             
IO, 6.944s, 2034  212,716  21,951  697,358  71,962  696,566  71,880 
IFB Ser. 3184, Class SP, IO,             
6.794s, 2033  156,467  14,039  1,475,801  132,421  1,185,654  106,386 
IFB Ser. 3345, Class SI, IO,             
6.764s, 2036  2,571,720  258,201  464,313  46,617  409,424  41,106 
IFB Ser. 2869, Class JS, IO,             
6.694s, 2034  434,990  28,546  1,426,048  93,584  1,424,427  93,478 
IFB Ser. 2882, Class LS, IO,             
6.644s, 2034  192,162  17,181  1,043,950  93,339  922,266  82,459 
IFB Ser. 3149, Class SE, IO,             
6.594s, 2036  —  —  1,016,690  94,298  853,490  79,161 
IFB Ser. 3203, Class SH,             
IO, 6.584s, 2036  90,861  9,208  858,451  86,997  689,814  69,907 
IFB Ser. 2815, Class PT,             
IO, 6.494s, 2032  211,125  13,063  750,192  46,416  720,449  44,575 
IFB Ser. 2594, Class SE,             
IO, 6.494s, 2030  199,490  10,326  —  —  —  — 
IFB Ser. 2828, Class TI,             
IO, 6.494s, 2030  119,632  10,545  364,308  32,112  365,391  32,207 
IFB Ser. 3397, Class GS, IO,             
6.444s, 2037  161,893  13,356  779,824  64,332  670,375  55,303 
IFB Ser. 3311, Class BI, IO,             
6.204s, 2037  1,890,031  159,716  2,569,139  217,104  —  — 
IFB Ser. 3311, Class CI, IO,             
6.204s, 2037  —  —  6,580,329  584,459  2,521,193  223,930 
IFB Ser. 3297, Class BI, IO,             
6.204s, 2037  1,157,976  101,321  3,043,015  266,258  2,555,616  223,611 
IFB Ser. 3287, Class SD, IO,             
6.194s, 2037  486,702  42,148  1,417,617  122,764  1,110,145  96,137 

117

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Freddie Mac             
IFB Ser. 3281, Class BI, IO,             
6.194s, 2037  $237,696  $18,872  $578,138  $45,902  $485,360  $38,536 
IFB Ser. 3281, Class CI, IO,             
6.194s, 2037  187,748  14,847  873,634  69,085  754,777  59,686 
IFB Ser. 3510, Class ID, IO,             
6.194s, 2037  —  —  —  —  1,743,437  164,110 
IFB Ser. 3249, Class SI, IO,             
6.194s, 2036  253,849  24,349  507,699  48,697  423,082  40,581 
IFB Ser. 3028, Class ES, IO,             
6.194s, 2035  607,009  65,093  —  —  1,210,525  129,811 
IFB Ser. 2922, Class SE, IO,             
6.194s, 2035  260,222  21,485  905,805  74,787  868,435  71,702 
IFB Ser. 3316, Class SA, IO,             
6.174s, 2037  1,610,241  147,371  2,188,767  200,318  —  — 
IFB Ser. 3236, Class ES, IO,             
6.144s, 2036  353,604  22,720  912,823  58,652  1,032,351  66,332 
IFB Ser. 3136, Class NS, IO,             
6.144s, 2036  905,196  85,944  1,222,366  116,058  1,364,109  129,515 
IFB Ser. 3118, Class SD, IO,             
6.144s, 2036  418,026  32,070  1,455,340  111,652  1,395,202  107,038 
IFB Ser. 2950, Class SM, IO,             
6.144s, 2016  204,119  14,732  1,144,168  82,581  1,049,332  75,736 
IFB Ser. 3256, Class S, IO,             
6.134s, 2036  174,642  14,633  1,642,870  137,654  1,319,860  110,589 
IFB Ser. 3031, Class BI, IO,             
6.134s, 2035  138,646  12,741  389,597  35,803  390,983  35,930 
IFB Ser. 3370, Class TS, IO,             
6.114s, 2037  1,050,853  90,061  258,346  22,141  159,972  13,710 
IFB Ser. 3244, Class SB, IO,             
6.104s, 2036  315,829  23,839  830,004  62,649  697,264  52,630 
IFB Ser. 3244, Class SG, IO,             
6.104s, 2036  370,617  31,771  973,779  83,476  817,539  70,083 
IFB Ser. 3236, Class IS, IO,             
6.094s, 2036  569,709  42,483  1,498,016  111,706  1,257,263  93,753 
IFB Ser. 3033, Class SG, IO,             
6.094s, 2035  357,650  29,339  —  —  —  — 
IFB Ser. 2962, Class BS, IO,             
6.094s, 2035  609,662  36,579  2,136,281  128,173  2,035,066  122,100 
IFB Ser. 3114, Class TS, IO,             
6.094s, 2030  719,013  56,634  2,328,266  183,388  2,346,367  184,814 
IFB Ser. 3128, Class JI, IO,             
6.074s, 2036  513,478  45,730  1,405,832  125,203  1,593,133  141,884 
IFB Ser. 2990, Class LI, IO,             
6.074s, 2034  213,766  20,232  755,766  71,530  723,356  68,463 
IFB Ser. 3240, Class S, IO,             
6.064s, 2036  1,141,960  98,302  3,328,214  286,499  2,622,001  225,707 
IFB Ser. 3229, Class BI, IO,             
6.064s, 2036  75,922  5,564  253,565  18,583  322,116  23,607 
IFB Ser. 3065, Class DI, IO,             
6.064s, 2035  71,868  6,981  304,000  29,528  305,437  29,668 

118

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Freddie Mac             
IFB Ser. 3145, Class GI, IO,             
6.044s, 2036  $422,885  $39,778  $1,157,829  $108,910  $1,312,400  $123,450 
IFB Ser. 3114, Class GI, IO,             
6.044s, 2036  143,914  12,405  407,276  35,106  448,291  38,642 
IFB Ser. 3510, Class IB, IO,             
6.044s, 2036  —  —  682,160  79,642  748,112  87,342 
IFB Ser. 3339, Class JI, IO,             
6.034s, 2037  1,023,543  66,696  2,865,455  186,718  2,456,658  160,080 
IFB Ser. 3218, Class AS, IO,             
6.024s, 2036  112,950  8,773  1,078,028  83,734  904,314  70,241 
IFB Ser. 3221, Class SI, IO,             
6.024s, 2036  458,378  35,916  1,204,919  94,411  1,011,397  79,248 
IFB Ser. 3153, Class UI, IO,             
6.014s, 2036  2,065,109  273,864  459,083  60,881  2,712,417  359,707 
IFB Ser. 3153, Class QI,             
IO, 5.994s, 2036  557,636  56,199  456,593  46,015  —  — 
IFB Ser. 3202, Class PI, IO,             
5.984s, 2036  1,290,602  104,194  4,829,979  389,939  5,279,036  426,192 
IFB Ser. 3355, Class AI, IO,             
5.944s, 2037  2,243,854  160,593  3,049,362  218,243  —  — 
IFB Ser. 3355, Class MI,             
IO, 5.944s, 2037  196,978  14,260  921,891  66,739  791,104  57,271 
IFB Ser. 3349, Class AS,             
IO, 5.944s, 2037  —  —  —  —  5,974,494  491,919 
IFB Ser. 3510, Class IA,             
IO, 5.944s, 2037  —  —  2,168,660  165,209  1,880,871  143,285 
IFB Ser. 3201, Class SG,             
IO, 5.944s, 2036  593,734  49,624  1,561,926  130,546  1,311,613  109,625 
IFB Ser. 3203, Class SE,             
IO, 5.944s, 2036  526,522  42,648  1,382,912  112,016  1,161,590  94,089 
IFB Ser. 3238, Class LI,             
IO, 5.934s, 2036  547,995  43,511  —  —  —  — 
IFB Ser. 3171, Class PS,             
IO, 5.929s, 2036  286,123  26,221  1,373,392  125,862  1,160,844  106,384 
IFB Ser. 3510, Class CI,             
IO, 5.924s, 2037  —  —  3,580,281  295,660  2,976,675  245,814 
IFB Ser. 3152, Class SY,             
IO, 5.924s, 2036  386,174  33,674  1,077,454  93,954  1,182,841  103,144 
IFB Ser. 3510, Class DI,             
IO, 5.924s, 2035  638,090  53,900  1,217,723  102,861  1,217,723  102,861 
IFB Ser. 3181, Class PS, IO,             
5.914s, 2036  183,811  16,545  874,522  78,716  740,105  66,617 
IFB Ser. 3366, Class SA, IO,             
5.894s, 2037  1,011,538  84,340  —  —  —  — 
IFB Ser. 3284, Class BI, IO,             
5.894s, 2037  359,817  27,864  945,871  73,249  794,532  61,529 
IFB Ser. 3260, Class SA, IO,             
5.894s, 2037  260,536  17,528  977,011  65,728  781,609  52,583 
IFB Ser. 3199, Class S, IO,             
5.894s, 2036  263,370  17,261  696,206  45,629  1,018,266  66,737 

119

MORTGAGE-BACKED             
SECURITIES* cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Freddie Mac             
IFB Ser. 3284, Class LI, IO,             
5.884s, 2037  $1,485,876  $126,053  $4,550,399  $386,029  $3,539,199  $300,244 
IFB Ser. 3281, Class AI, IO,             
5.874s, 2037  1,411,513  114,530  4,099,732  332,652  3,227,449  261,875 
IFB Ser. 3359, Class SN, IO,             
5.864s, 2037  1,544,002  119,034  2,098,729  161,800  —  — 
IFB Ser. 3012, Class UI, IO,             
5.864s, 2035  86,002  8,085  —  —  —  — 
IFB Ser. 3311, Class EI, IO,             
5.854s, 2037  114,132  8,858  1,111,241  86,242  986,492  76,561 
IFB Ser. 3311, Class IA, IO,             
5.854s, 2037  291,969  24,052  1,426,855  117,544  1,195,094  98,452 
IFB Ser. 3311, Class IB, IO,             
5.854s, 2037  291,969  24,052  1,426,855  117,544  1,195,094  98,452 
IFB Ser. 3311, Class IC, IO,             
5.854s, 2037  291,969  24,052  1,426,855  117,544  1,195,094  98,452 
IFB Ser. 3311, Class ID, IO,             
5.854s, 2037  291,969  24,052  1,426,855  117,544  1,195,094  98,452 
IFB Ser. 3311, Class IE, IO,             
5.854s, 2037  291,969  24,052  2,113,890  174,142  1,754,289  144,518 
IFB Ser. 3510, Class AS, IO,             
5.854s, 2037  419,178  33,987  8,681,140  703,867  7,799,284  632,366 
IFB Ser. 3375, Class MS, IO,             
5.844s, 2037  519,330  37,084  —  —  —  — 
IFB Ser. 3240, Class GS, IO,             
5.824s, 2036  706,262  55,682  2,036,136  160,529  1,607,871  126,765 
IFB Ser. 3257, Class SI, IO,             
5.764s, 2036  307,284  23,679  877,072  67,586  689,459  53,129 
IFB Ser. 3225, Class JY, IO,             
5.734s, 2036  1,332,672  108,729  3,809,109  310,774  2,995,929  244,429 
IFB Ser. 3416, Class BI, IO,             
5.694s, 2038  2,180,800  182,023  —  —  —  — 
IFB Ser. 3339, Class TI, IO,             
5.584s, 2037  199,189  14,907  1,878,070  140,555  1,508,984  112,932 
IFB Ser. 3284, Class CI, IO,             
5.564s, 2037  1,077,402  87,409  3,143,488  255,028  2,464,917  199,976 
IFB Ser. 3016, Class SQ, IO,             
5.554s, 2035  233,406  14,110  706,527  42,711  781,079  47,218 
IFB Ser. 3012, Class WI, IO,             
5.544s, 2035  145,230  11,445  —  —  —  — 
IFB Ser. 3510, Class IC, IO,             
5.524s, 2037  —  —  —  —  2,786,635  210,252 
IFB Ser. 3012, Class IG, IO,             
5.524s, 2035  337,738  35,957  —  —  —  — 
IFB Ser. 248, IO, 5 1/2s, 2037  1,363,668  127,631  —  —  —  — 
IFB Ser. 3510, Class BI, IO,             
5.474s, 2037  —  —  3,955,484  282,184  3,039,114  216,810 
IFB Ser. 3397, Class SQ, IO,             
5.414s, 2037  714,556  53,079  3,328,786  247,269  2,874,782  213,545 
IFB Ser. 3384, Class ST, IO,             
5.344s, 2037  1,634,389  107,204  2,221,589  145,721  —  — 

120

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Freddie Mac             
IFB Ser. 3424, Class UI, IO,             
5.204s, 2037  $760,108  $52,034  $—  $—  $—  $— 
Ser. 3327, Class IF, IO,             
zero %, 2037  186,645  255  399,954  546  327,681  447 
Ser. 246, PO, zero %, 2037  93,932  89,015  —  —  —  — 
Ser. 3391, PO, zero %, 2037  —  —  82,007  70,749  82,007  70,749 
Ser. 3292, Class DO, PO,             
zero %, 2037  —  —  167,206  136,140  133,170  108,428 
Ser. 3274, Class MO, PO,             
zero %, 2037  —  —  80,828  75,559  108,309  101,249 
Ser. 3300, PO, zero %, 2037  —  —  —  —  516,989  453,011 
Ser. 3252, Class LO, PO,             
zero %, 2036  —  —  373,720  338,620  242,603  219,817 
Ser. 3226, Class YI, IO,             
zero %, 2036  284,211  148  —  —  —  — 
Ser. 3206, Class EO, PO,             
zero %, 2036  —  —  66,720  62,287  66,720  62,287 
Ser. 2858, Class MO, PO,             
zero %, 2034  —  —  59,634  50,574  44,077  37,381 
Ser. 2587, Class CO, PO,             
zero %, 2032  85,457  79,593  —  —  840,043  782,404 
Ser. 201, PO, zero %, 2029  —  —  279,415  237,863  263,822  224,589 
Ser. 1208, Class F, PO,             
zero %, 2022  6,319  5,255  —  —  —  — 
FRB Ser. 3349, Class DO,             
zero %, 2037  —  —  251,475  223,368  211,994  188,300 
FRB Ser. 3326, Class XF,             
zero %, 2037  —  —  422,890  404,585  360,375  344,777 
FRB Ser. 3326, Class YF,             
zero %, 2037  —  —  717,594  682,602  647,621  616,041 
FRB Ser. 3263, Class TA,             
zero %, 2037  —  —  113,929  114,591  92,297  92,833 
FRB Ser. 3241, Class FH,             
zero %, 2036  90,328  88,328  178,398  174,447  144,977  141,766 
FRB Ser. 3231, Class XB,             
zero %, 2036  —  —  46,978  46,021  38,170  37,392 
FRB Ser. 3283, Class HF,             
zero %, 2036  —  —  44,439  43,469  —  — 
FRB Ser. 3231, Class X,             
zero %, 2036  —  —  86,597  84,738  93,944  91,928 
FRB Ser. 3147, Class SF,             
zero %, 2036  —  —  315,570  316,718  235,874  236,733 
FRB Ser. 3130, Class JF,             
zero %, 2036  64,630  63,225  —  —  —  — 
FRB Ser. 3117, Class AF,             
zero %, 2036  —  —  73,869  65,745  —  — 
FRB Ser. 3047, Class BD,             
zero %, 2035  —  —  204,646  183,773  150,589  135,229 
FRB Ser. 3326, Class WF,             
zero %, 2035  245,408  224,963  489,959  449,140  511,411  468,805 

121

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Freddie Mac             
FRB Ser. 3036, Class AS,             
zero %, 2035  $—  $—  $79,124  $71,380  $—  $— 
FRB Ser. 3003, Class XF,             
zero %, 2035  125,066  114,698  445,233  408,325  429,599  393,988 
FRB Ser. 2980, Class BU,             
zero %, 2035  51,130  49,449  188,470  182,276  138,834  134,270 
FRB Ser. 3112, Class XM,             
zero %, 2034  39,203  38,352  —  —  —  — 
FRB Ser. 2947, Class GF,             
zero %, 2034  92,946  85,533  190,436  175,248  140,039  128,870 
GE Capital Commercial             
Mortgage Corp. 144A             
Ser. 05-C2, Class XC, IO,             
0.077s, 2043  11,553,510  56,978  20,478,127  100,992  19,691,634  97,113 
Ser. 07-C1, Class XC, IO,             
0.074s, 2019  25,485,065  88,133  71,243,582  246,375  56,155,923  194,199 
Ser. 05-C3, Class XC, IO,             
0.066s, 2045  24,850,128  61,710  48,273,464  119,877  48,646,354  120,803 
GMAC Commercial Mortgage             
Securities, Inc.             
Ser. 99-C3, Class F,             
7.922s, 2036  56,000  55,877  75,000  74,835  112,000  111,753 
Ser. 97-C1, Class X, IO,             
1.11s, 2029  339,394  14,952  —  —  —  — 
Ser. 05-C1, Class X1, IO,             
0.216s, 2043  4,361,608  29,499  18,346,110  124,081  19,926,057  134,767 
GMAC Commercial Mortgage             
Securities, Inc. 144A             
Ser. 99-C3, Class G,             
6.974s, 2036  —  —  350,039  129,514  306,364  113,355 
Ser. 06-C1, Class XC, IO,             
0.07s, 2045  19,631,154  52,283  —  —  35,661,443  94,976 
Government National             
Mortgage Association             
IFB Ser. 07-38, Class AS,             
47.23s, 2037  209,329  292,219  —  —  767,540  1,071,470 
IFB Ser. 06-34, Class SA,             
36.27s, 2036  —  —  83,855  107,932  78,531  101,079 
IFB Ser. 07-44, Class SP,             
33.574s, 2036  —  —  634,803  799,753  500,435  630,470 
IFB Ser. 05-84, Class SL,             
18.979s, 2035  173,467  195,038  —  —  —  — 
IFB Ser. 05-66, Class SP,             
18.979s, 2035  —  —  261,283  303,040  262,764  304,756 
Ser. 07-17, Class CI, IO,             
7 1/2s, 2037  318,219  36,824  —  —  —  — 
IFB Ser. 05-68, Class PU,             
IO, 6.755s, 2032  546,892  48,707  —  —  —  — 

122

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Government National             
Mortgage Association             
IFB Ser. 04-59, Class SC,             
IO, 6.644s, 2034  $141,705  $12,644  $673,920  $60,135  $570,981  $50,949 
IFB Ser. 04-26, Class IS,             
IO, 6.644s, 2034  597,494  41,553  75,116  5,224  56,813  3,951 
IFB Ser. 07-47, Class SA,             
IO, 6.544s, 2036  825,993  81,909  —  —  —  — 
IFB Ser. 07-35, Class TY,             
IO, 6.355s, 2035  —  —  1,936,533  106,955  1,575,358  87,007 
IFB Ser. 07-36, Class SW,             
IO, 6.355s, 2035  307,069  14,636  —  —  —  — 
IFB Ser. 07-35, Class NY,             
IO, 6.344s, 2035  565,259  47,426  89,724  7,528  —  — 
IFB Ser. 07-22, Class S,             
IO, 6.255s, 2037  348,811  31,025  908,996  80,850  765,470  68,084 
IFB Ser. 05-84, Class AS,             
IO, 6.255s, 2035  797,156  63,461  244,154  19,437  186,209  14,824 
IFB Ser. 07-26, Class SD,             
IO, 6.244s, 2037  297,820  18,558  1,460,016  90,977  1,223,530  76,241 
IFB Ser. 07-51, Class SJ,             
IO, 6.205s, 2037  236,495  19,913  1,130,827  95,216  957,760  80,643 
IFB Ser. 07-53, Class SY,             
IO, 6.19s, 2037  1,582,066  129,614  430,557  35,274  367,347  30,096 
IFB Ser. 07-58, Class PS,             
IO, 6.155s, 2037  613,394  46,180  472,901  35,603  3,276,329  246,662 
IFB Ser. 04-88, Class S,             
IO, 6.155s, 2032  720,819  47,587  73,597  4,859  54,116  3,573 
IFB Ser. 07-59, Class PS,             
IO, 6 1/8s, 2037  185,022  12,434  888,290  59,694  740,088  49,735 
IFB Ser. 07-59, Class SP,             
IO, 6 1/8s, 2037  578,079  40,888  3,908,477  276,450  1,480,177  104,694 
IFB Ser. 07-68, Class PI, IO,             
6.105s, 2037  186,266  13,094  1,303,868  91,658  1,024,468  72,017 
IFB Ser. 07-48, Class SB, IO,             
6.094s, 2037  123,518  8,506  1,177,050  81,061  987,582  68,013 
IFB Ser. 07-74, Class SI, IO,             
6.014s, 2037  831,010  50,442  104,323  6,332  79,314  4,814 
IFB Ser. 07-17, Class AI, IO,             
5.994s, 2037  675,602  52,754  3,725,584  290,912  3,101,629  242,191 
IFB Ser. 07-78, Class SA, IO,             
5.974s, 2037  650,147  49,818  —  —  —  — 
IFB Ser. 06-26, Class S, IO,             
5.955s, 2036  4,624,796  340,612  582,051  42,867  441,177  32,492 
IFB Ser. 06-28, Class GI, IO,             
5.955s, 2035  260,904  18,943  1,579,573  114,687  1,205,505  87,527 
IFB Ser. 08-2, Class SM, IO,             
5.944s, 2038  2,105,294  157,914  264,927  19,872  200,148  15,013 
IFB Ser. 07-9, Class AI, IO,             
5.944s, 2037  382,729  29,446  1,461,573  112,448  1,165,180  89,644 
IFB Ser. 05-65, Class SI,             
IO, 5.805s, 2035  128,136  8,873  825,234  57,147  829,453  57,440 

123

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Government National             
Mortgage Association             
IFB Ser. 05-71, Class SA,             
IO, 5.804s, 2035  $1,018,328  $75,721  $120,410  $8,953  $89,448  $6,651 
IFB Ser. 06-16, Class SX,             
IO, 5.745s, 2036  1,608,457  108,072  202,253  13,589  153,126  10,289 
IFB Ser. 07-17, Class IB,             
IO, 5.705s, 2037  137,616  12,208  825,690  73,247  688,075  61,039 
IFB Ser. 06-10, Class SM,             
IO, 5.705s, 2036  1,160,437  77,239  —  —  3,952,479  263,077 
IFB Ser. 06-14, Class S,             
IO, 5.705s, 2036  269,726  17,955  1,294,686  86,185  1,096,267  72,976 
IFB Ser. 05-57, Class PS,             
IO, 5.705s, 2035  1,019,332  83,347  —  —  —  — 
IFB Ser. 06-11, Class ST,             
IO, 5.695s, 2036  168,440  10,933  805,053  52,256  682,086  44,274 
IFB Ser. 07-17, Class IC,             
IO, 5.694s, 2037  709,552  54,500  2,079,217  159,703  1,583,436  121,622 
IFB Ser. 07-7, Class JI,             
IO, 5.655s, 2037  234,319  11,441  2,228,524  108,810  1,869,567  91,283 
IFB Ser. 07-25, Class KS,             
IO, 5.644s, 2037  312,644  24,402  624,426  48,736  455,616  35,561 
IFB Ser. 07-21, Class S,             
IO, 5.644s, 2037  347,714  23,531  1,719,754  116,383  1,447,297  97,944 
IFB Ser. 05-17, Class S,             
IO, 5.635s, 2035  851,557  65,689  107,326  8,279  81,125  6,258 
IFB Ser. 07-31, Class AI,             
IO, 5.624s, 2037  233,024  23,877  1,127,328  115,513  968,980  99,288 
IFB Ser. 07-62, Class S,             
IO, 5.594s, 2037  946,149  61,878  119,482  7,814  90,358  5,909 
IFB Ser. 05-3, Class SN,             
IO, 5.555s, 2035  2,363,522  168,422  189,334  13,492  137,042  9,765 
IFB Ser. 07-43, Class SC,             
IO, 5.544s, 2037  130,452  8,631  1,216,485  80,481  992,210  65,644 
IFB Ser. 04-41, Class SG,             
IO, 5.455s, 2034  2,110,805  110,529  265,893  13,923  200,951  10,522 
IFB Ser. 07-67, Class EI,             
IO, 0.02s, 2037  —  —  3,105,827  788  1,177,368  299 
IFB Ser. 07-67, Class GI,             
IO, 0.02s, 2037  950,723  241  9,094,130  2,306  3,447,112  874 
Ser. 07-73, Class MO,             
PO, zero %, 2037  —  —  451,631  416,481  172,569  159,138 
Ser. 06-36, Class OD, PO,             
zero %, 2036  —  —  62,857  59,011  46,275  43,444 
Ser. 99-31, Class MP, PO,             
zero %, 2029  10,442  9,563  49,334  45,180  24,667  22,590 
FRB Ser. 07-73, Class KI,             
IO, zero %, 2037  —  —  4,513,106  12,118  1,728,901  4,642 
FRB Ser. 07-73, Class KM,             
zero %, 2037  —  —  450,990  359,164  173,211  137,943 
FRB Ser. 07-49, Class UF,             
zero %, 2037  39,653  37,926  76,092  72,776  63,589  60,818 

124

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Government National             
Mortgage Association             
FRB Ser. 07-33, Class TB,             
zero %, 2037  $274,381  $268,878  $—  $—  $—  $— 
FRB Ser. 07-35, Class UF,             
zero %, 2037  69,037  68,188  143,774  142,006  118,439  116,983 
FRB Ser. 07-22, Class TA,             
zero %, 2037  101,223  98,930  103,959  101,604  89,368  87,343 
FRB Ser. 07-6, Class TD,             
zero %, 2037  228,477  225,406  —  —  —  — 
FRB Ser. 06-56, Class YF,             
zero %, 2036  64,755  61,806  124,330  118,667  91,305  87,146 
FRB Ser. 98-2, Class EA,             
PO, zero %, 2028  13,906  12,387  2,653  2,363  —  — 
Greenpoint Mortgage Funding             
Trust Ser. 05-AR1, Class X1,             
IO, 3.271s, 2045  376,326  7,527  1,045,443  20,909  999,917  19,998 
Greenwich Capital Commercial             
Funding Corp.             
Ser. 07-GG9, Class A2,             
5.381s, 2039  915,000  766,332  —  —  —  — 
Ser. 05-GG5, Class A2,             
5.117s, 2037 (F)  68,000  59,471  657,000  574,599  958,000  837,848 
Ser. 05-GG5, Class XC,             
IO, 0.066s, 2037  12,722,389  31,861  40,524,220  101,485  40,635,336  101,763 
Greenwich Capital Commercial             
Funding Corp. 144A             
Ser. 05-GG3, Class XC, IO,             
0.366s, 2042  10,263,001  99,551  28,365,621  275,147  24,257,915  235,302 
Ser. 07-GG9, Class X, IO,             
0.322s, 2039  3,155,200  38,264  17,147,610  207,954  8,776,304  106,433 
GS Mortgage Securities Corp. II             
FRB Ser. 07-GG10, Class A3,             
5.799s, 2045  318,000  210,030  1,426,000  941,831  1,118,000  738,406 
Ser. 06-GG6, Class A2,             
5.506s, 2038  366,000  328,757  601,000  539,845  —  — 
GS Mortgage Securities             
Corp. II 144A             
Ser. 98-C1, Class F, 6s, 2030  —  —  280,000  221,900  282,000  223,485 
FRB Ser. 07-EOP, Class J,             
1.368s, 2020  130,000  81,226  383,000  239,306  240,000  149,956 
Ser. 06-GG8, Class X, IO,             
0.666s, 2039  2,177,900  48,169  10,071,420  222,753  8,420,351  186,235 
GS Mortgage Securities             
Corp. II 144A             
Ser. 04-C1, Class X1, IO,             
0.364s, 2028  2,134,899  11,318  2,908,581  15,420  2,908,581  15,420 
Ser. 03-C1, Class X1, IO,             
0.238s, 2040  5,160,379  92,896  4,243,624  76,393  6,115,700  110,094 
Ser. 06-GG6, Class XC, IO,             
0.046s, 2038  3,448,046  6,722  34,502,194  67,262  24,928,680  48,598 

125

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
GSMPS Mortgage Loan Trust             
Ser. 05-RP3, Class 1A4,             
8 1/2s, 2035  $29,760  $28,429  $—  $—  $58,693  $56,068 
Ser. 05-RP3, Class 1A3,             
8s, 2035  100,664  95,079  —  —  197,531  186,571 
Ser. 05-RP3, Class 1A2,             
7 1/2s, 2035  80,637  75,073  —  —  158,049  147,142 
GSMPS Mortgage Loan Trust 144A           
Ser. 05-RP2, Class 1A3,             
8s, 2035  62,692  61,353  171,131  167,476  163,930  160,428 
Ser. 05-RP2, Class 1A2,             
7 1/2s, 2035  67,970  65,779  187,288  181,249  178,792  173,026 
Ser. 05-RP1, Class 1A2,             
7 1/2s, 2035  85,597  78,602  —  —  —  — 
IFB Ser. 04-4, Class 1AS,             
IO, 5.619s, 2034  2,437,865  166,460  1,506,970  102,898  7,330,616  500,544 
GSR Mortgage Loan Trust             
Ser. 05-AR2, Class 2A1,             
4.828s, 2035  149,667  85,310  356,324  203,105  374,433  213,427 
HASCO NIM Trust 144A             
Ser. 05-OP1A, Class A,             
6 1/4s, 2035 (Cayman Islands)             
(In default)  —  —  48,565  874  53,330  960 
HSI Asset Loan Obligation FRB             
Ser. 07-AR1, Class 2A1,             
6.111s, 2037  2,823,929  1,327,247  3,691,126  1,734,829  1,479,201  695,224 
HVB Mortgage Capital Corp.             
Ser. 03-FL1A, Class K,             
3.396s, 2022  118,000  48,203  —  —  —  — 
IMPAC Secured Assets Corp.             
FRB Ser. 07-2, Class 1A1A,             
0.632s, 2037  789,079  423,401  3,300,733  1,771,095  3,232,428  1,734,444 
IndyMac Indx Mortgage Loan Trust           
FRB Ser. 06-AR25, Class 5A1,             
6.155s, 2036  716,007  310,446  497,163  215,560  467,425  202,666 
FRB Ser. 07-AR15, Class 1A1,             
6.093s, 2037  2,322,213  1,068,218  1,659,694  763,459  1,561,166  718,136 
FRB Ser. 07-AR9, Class 2A1,             
5.889s, 2037  2,402,914  1,129,370  1,698,427  798,261  1,577,302  741,332 
FRB Ser. 05-AR31, Class 3A1,             
5.574s, 2036  3,423,840  1,609,205  —  —  —  — 
IndyMac Indx Mortgage Loan Trust           
FRB Ser. 05-AR5, Class 4A1,             
5.486s, 2035  3,222,731  1,491,175  —  —  —  — 
FRB Ser. 07-AR11, Class 1A1,             
5.456s, 2037  732,058  263,541  1,562,308  562,431  1,363,293  490,786 

126

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
JPMorgan Alternative Loan Trust             
FRB Ser. 06-A3, Class 2A1,             
6.063s, 2036  $1,231,166  $630,399  $—  $—  $—  $— 
FRB Ser. 06-A1, Class 5A1,             
5.939s, 2036  1,649,802  808,403  1,165,936  571,308  1,082,705  530,525 
FRB Ser. 06-A6, Class 1A1,             
0.682s, 2036  1,100,087  450,020  763,024  312,135  717,958  293,700 
JPMorgan Chase Commercial             
Mortgage Securities Corp.             
Ser. 97-C5, Class F,             
7.561s, 2029  64,000  43,520  204,000  138,720  204,000  138,720 
FRB Ser. 07-LD12, Class AM,             
6.062s, 2051  528,000  188,180  2,280,000  812,593  —  — 
FRB Ser. 07-LD12, Class A3,             
5.99s, 2051  3,282,000  2,179,417  12,789,000  8,492,555  —  — 
Ser. 07-CB20, Class A3,             
5.863s, 2051  816,000  546,385  3,569,000  2,389,766  2,789,000  1,867,486 
Ser. 07-LD12, Class A2,             
5.827s, 2051  190,000  145,731  —  —  —  — 
FRB Ser. 07-LD11, Class A3,             
5.819s, 2049  407,000  261,003  1,778,000  1,140,206  1,394,000  893,952 
Ser. 06-CB15, Class A4,             
5.814s, 2043  477,000  315,222  1,612,000  1,065,279  1,381,000  912,625 
Ser. 07-CB20, Class A4,             
5.794s, 2051  174,000  116,011  793,000  528,718  617,000  411,373 
Ser. 05-LDP2, Class AM,             
4.78s, 2042  100,000  49,296  420,000  207,042  400,000  197,182 
Ser. 06-LDP8, Class X, IO,             
0.573s, 2045  2,892,008  61,656  13,379,499  285,243  11,185,733  238,473 
Ser. 06-CB17, Class X, IO,             
0.513s, 2043 F  2,411,833  48,022  13,175,295  262,335  14,137,647  281,496 
Ser. 08-C2, Class X, IO,             
0.482s, 2051 F  71,318,326  919,981  —  —  —  — 
Ser. 06-LDP9, Class X, IO,             
0.455s, 2047 F  3,211,929  52,047  5,601,484  90,768  5,250,459  85,080 
Ser. 06-CB16, Class X1, IO,             
0.443s, 2045  3,291,447  28,223  15,227,282  130,568  12,730,698  109,161 
Ser. 07-LDPX, Class X, IO,             
0.347s, 2049 F  4,818,292  54,139  20,325,954  228,385  16,110,821  181,023 
JPMorgan Chase Commercial             
Mortgage Securities Corp. 144A             
Ser. 00-C9, Class G,             
6 1/4s, 2032  38,000  36,924  240,000  233,205  260,000  252,639 
Ser. 03-ML1A, Class X1,             
IO, 0.565s, 2039  628,804  18,685  —  —  —  — 
JPMorgan Chase Commercial             
Mortgage Securities Corp. 144A             
Ser. 05-LDP2, Class X1,             
IO, 0.201s, 2042 F  16,612,289  185,222  40,653,426  453,272  —  — 
Ser. 05-CB12, Class X1,             
IO, 0.111s, 2037 F  4,126,504  26,286  11,811,558  75,241  11,354,330  72,328 

127

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
JPMorgan Chase Commercial             
Mortgage Securities Corp. 144A           
Ser. 05-LDP3, Class X1,             
IO, 0.088s, 2042 F  $16,075,351  $82,175  $17,080,669  $87,314  $28,688,050  $146,649 
Ser. 07-CB20, Class X1,             
IO, 0.073s, 2051 F  6,851,605  47,414  38,544,893  266,737  31,215,639  216,018 
Ser. 06-LDP6, Class X1,             
IO, 0.062s, 2043 F  —  —  22,642,607  74,153  16,323,648  53,459 
Key Commercial Mortgage             
Ser. 07-SL1, Class A2,             
5.534s, 2040  1,091,000  465,901  —  —  —  — 
Ser. 07-SL1, Class A1,             
5.271s, 2040  661,507  478,018  —  —  —  — 
LB Commercial Conduit             
Mortgage Trust 144A             
Ser. 99-C1, Class F,             
6.41s, 2031  —  —  149,428  108,097  136,004  98,386 
Ser. 99-C1, Class G,             
6.41s, 2031  —  —  159,961  30,757  145,590  27,994 
Ser. 98-C4, Class G,             
5.6s, 2035  —  —  132,000  105,600  127,000  101,600 
Ser. 98-C4, Class H,             
5.6s, 2035  —  —  223,000  38,104  215,000  36,738 
LB-UBS Commercial             
Mortgage Trust             
Ser. 07-C6, Class A2,             
5.845s, 2012  1,022,000  863,400  —  —  —  — 
Ser. 06-C7, Class A2,             
5.3s, 2038  173,000  147,048  —  —  —  — 
Ser. 04-C7, Class A6,             
4.786s, 2029  121,000  97,788  362,000  292,555  400,000  323,265 
Ser. 07-C2, Class XW,             
IO, 0.541s, 2040  1,180,074  23,964  4,593,504  93,281  3,616,099  73,432 
Ser. 07-C7, Class XW,             
IO, 0.373s, 2045  903,386  13,529  5,317,384  79,635  1,309,110  19,606 
LB-UBS Commercial             
Mortgage Trust 144A             
Ser. 06-C7, Class XW, IO,             
0.719s, 2038  1,777,803  44,847  9,501,535  239,687  10,215,644  257,701 
Ser. 03-C5, Class XCL, IO,             
0.243s, 2037  1,318,138  22,075  6,088,722  101,968  5,089,089  85,227 
Ser. 05-C3, Class XCL, IO,             
0.205s, 2040  3,158,725  43,638  14,152,877  195,522  11,667,962  161,193 
Ser. 05-C2, Class XCL, IO,             
0.165s, 2040  14,649,969  100,187  29,266,728  200,146  38,814,070  265,438 
Ser. 05-C7, Class XCL, IO,             
0.139s, 2040  12,206,444  66,060  31,700,404  171,559  31,785,480  172,020 

128

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
LB-UBS Commercial             
Mortgage Trust 144A             
Ser. 05-C5, Class XCL, IO,             
0.137s, 2020  $4,929,341  $44,404  $13,735,362  $123,728  $14,801,693  $133,334 
Ser. 06-C7, Class XCL, IO,             
0.118s, 2038  3,348,444  33,606  16,419,528  164,790  15,379,738  154,354 
Ser. 06-C1, Class XCL, IO,             
0.081s, 2041  10,455,298  67,980  —  —  30,443,135  197,941 
Ser. 07-C2, Class XCL, IO,             
0.061s, 2040  10,136,459  73,647  39,473,587  286,799  31,072,296  225,759 
Lehman Brothers Floating Rate             
Commercial Mortgage             
Trust 144A             
FRB Ser. 04-LLFA, Class H,             
1.506s, 2017  175,000  105,000  184,000  110,400  214,000  128,400 
FRB Ser. 05-LLFA, Class J,             
1.356s, 2018  23,000  11,500  93,000  46,500  89,000  44,500 
Lehman Mortgage Trust             
IFB Ser. 06-7, Class 1A9,             
37.789s, 2036  —  —  120,843  137,264  120,843  137,264 
IFB Ser. 07-5, Class 4A3,             
36.949s, 2037  148,034  148,033  642,249  642,249  548,186  548,186 
IFB Ser. 06-7, Class 4A2,             
IO, 7.228s, 2036  —  —  752,006  67,034  809,480  72,157 
IFB Ser. 07-5, Class 8A2,             
IO, 7.198s, 2036  —  —  1,071,557  81,606  910,896  69,370 
Ser. 07-1, Class 3A2, IO,             
6.728s, 2037  —  —  1,166,640  96,792  1,061,379  88,059 
IFB Ser. 07-4, Class 3A2,             
IO, 6.678s, 2037  265,629  18,554  1,074,399  75,047  923,338  64,496 
IFB Ser. 06-5, Class 2A2,             
IO, 6.628s, 2036  524,029  41,922  1,449,278  115,942  1,630,700  130,456 
IFB Ser. 07-2, Class 2A13,             
IO, 6.168s, 2037  —  —  1,821,189  145,695  1,562,073  124,966 
IFB Ser. 07-4, Class 2A2,             
IO, 6.148s, 2037  1,090,952  73,639  4,472,442  301,890  3,824,369  258,145 
IFB Ser. 07-1, Class 2A3,             
IO, 6.108s, 2037  1,289,451  109,603  3,135,690  266,534  1,869,218  158,883 
Ser. 06-9, Class 2A3, IO,             
6.098s, 2036  —  —  2,276,200  157,072  2,097,192  144,719 
IFB Ser. 06-9, Class 2A2,             
IO, 6.098s, 2037  1,246,624  84,017  1,668,784  112,469  1,531,518  103,218 
IFB Ser. 06-7, Class 2A4,             
IO, 6.028s, 2036  —  —  2,636,365  184,546  2,833,975  198,378 
IFB Ser. 06-7, Class 2A5,             
IO, 6.028s, 2036  —  —  2,477,074  179,588  2,662,706  193,046 
IFB Ser. 06-6, Class 1A2,             
IO, 5.978s, 2036  —  —  898,472  69,632  993,764  77,017 
IFB Ser. 06-6, Class 1A3,             
IO, 5.978s, 2036  —  —  1,364,903  105,780  1,505,483  116,675 
IFB Ser. 07-5, Class 10A2,             
IO, 5.818s, 2037  523,726  40,589  2,148,254  166,490  1,837,042  142,371 

129

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
MASTR Adjustable Rate             
Mortgages Trust             
Ser. 04-7, Class 2A1,             
5.499s, 2034  $11,243  $6,339  $27,687  $15,610  $27,757  $15,650 
Ser. 04-03, Class 4AX, IO,             
0.376s, 2034  103,143  387  351,442  1,318  338,326  1,269 
Ser. 05-2, Class 7AX, IO,             
0.17s, 2035  312,159  624  1,063,437  2,127  1,024,050  2,048 
MASTR Alternative Loans             
Trust Ser. 06-3, Class 1A1,             
6 1/4s, 2036  1,409,596  717,132  995,954  506,691  925,005  470,596 
MASTR Reperforming Loan             
Trust 144A             
Ser. 05-2, Class 1A3,             
7 1/2s, 2035  116,386  102,527  —  —  441,696  389,097 
Ser. 05-1, Class 1A4,             
7 1/2s, 2034  87,404  91,474  243,482  254,819  232,333  243,151 
Merit Securities Corp. 144A             
FRB Ser. 11PA, Class 3A1,             
1.143s, 2027  254,417  163,754  370,807  238,668  305,162  196,416 
Merrill Lynch Capital Funding             
Corp. Ser. 06-4, Class XC,             
IO, 0.148s, 2049  16,093,707  136,682  47,100,286  400,018  40,282,433  342,115 
Merrill Lynch Floating Trust             
144A FRB Ser. 06-1, Class TM,             
1.056s, 2022  554,794  277,397  491,817  245,909  579,784  289,892 
Merrill Lynch Mortgage             
Investors, Inc.             
FRB Ser. 98-C3, Class E,             
6.413s, 2030  —  —  137,000  86,193  127,000  79,902 
FRB Ser. 05-A9, Class 3A1,             
5.271s, 2035  371,956  264,925  1,080,257  769,411  1,174,565  836,582 
Ser. 96-C2, Class JS, IO,             
2.27s, 2028  241,086  8,207  142,187  4,840  54,251  1,847 
Merrill Lynch Mortgage Trust             
FRB Ser. 07-C1, Class A3,             
5.829s, 2050  219,000  134,763  981,000  603,666  771,000  474,441 
FRB Ser. 07-C1, Class A4,             
5.829s, 2050  191,000  115,594  645,000  390,356  552,000  334,072 
FRB Ser. 07-C1, Class A2,             
5.725s, 2050  248,000  182,786  —  —  —  — 
Ser. 05-MCP1, Class XC,             
IO, 0.135s, 2043  4,405,141  31,662  14,910,372  107,168  14,341,874  103,082 
Merrill Lynch Mortgage             
Trust 144A             
Ser. 04-KEY2, Class XC,             
IO, 0.233s, 2039  2,670,950  35,995  7,288,601  98,225  8,626,292  116,253 
Ser. 05-LC1, Class X,             
IO, 0.1s, 2044  2,403,891  12,237  7,247,908  36,894  7,976,418  40,602 

130

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Merrill Lynch/Countrywide             
Commercial Mortgage Trust             
FRB Ser. 07-8, Class A3,             
5.957s, 2049  $417,000  $254,337  $2,122,000  $1,294,251  $—  $— 
FRB Ser. 07-8, Class A2,             
5.92s, 2049  257,000  164,093  1,160,000  740,652  905,000  577,837 
Ser. 07-9, Class A4,             
5.748s, 2049  680,000  376,036  —  —  —  — 
Ser. 06-1, Class A2,             
5.439s, 2039  352,000  319,938  —  —  —  — 
Merrill Lynch/Countrywide             
Commercial Mortgage             
Trust 144A Ser. 07-7,             
Class X, IO, 0.019s, 2050  11,783,848  25,045  77,250,773  164,189  61,058,415  129,774 
Mezz Cap Commercial             
Mortgage Trust Ser. 07-C5,             
Class X, 3.785s, 2017  —  —  644,954  64,495  542,121  54,212 
Mezz Cap Commercial             
Mortgage Trust 144A             
Ser. 04-C2, Class X, IO,             
6.004s, 2040  200,401  26,052  510,113  66,315  499,565  64,944 
Ser. 05-C3, Class X, IO,             
5.555s, 2044  404,500  46,518  639,970  73,597  640,947  73,709 
Ser. 06-C4, Class X, IO,             
5.454s, 2016  968,901  99,918  2,426,549  250,238  2,496,234  257,424 
Morgan Stanley Capital 144A             
Ser. 05-RR6, Class X, IO,             
1.505s, 2043  891,483  17,830  2,586,191  51,724  4,161,440  83,229 
Morgan Stanley Capital I             
Ser. 98-CF1, Class D,             
7.35s, 2032  49,596  40,816  —  —  —  — 
FRB Ser. 08-T29, Class A3,             
6.28s, 2043  176,000  128,922  533,000  390,428  506,000  370,650 
FRB Ser. 06-IQ11, Class A4,             
5.772s, 2042  477,000  307,500  1,612,000  1,039,182  1,381,000  890,267 
FRB Ser. 07-IQ14, Class AM,             
5.691s, 2049  99,000  29,700  458,000  137,400  356,000  106,800 
Ser. 07-IQ14, Class A2,             
5.61s, 2049  854,000  635,336  —  —  —  — 
Ser. 05-HQ6, Class A4A,             
4.989s, 2042  79,000  58,286  516,000  380,703  571,000  421,282 
Ser. 04-HQ4, Class A7,             
4.97s, 2040  144,000  116,895  427,000  346,627  473,000  383,969 
Morgan Stanley Capital I 144A             
Ser. 04-RR, Class F5,             
5.124s, 2039  —  —  395,000  31,600  340,000  27,200 
Ser. 04-RR, Class F6,             
5.124s, 2039  —  —  395,000  27,650  350,000  24,500 
Ser. 07-HQ13, Class X1,             
IO, 0.67s, 2044  5,071,664  96,615  23,167,264  441,336  —  — 
Ser. 05-HQ5, Class X1,             
IO, 0.092s, 2042  3,057,272  13,238  8,382,406  36,296  6,598,319  28,571 

131

MORTGAGE-BACKED             
SECURITIES* cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Morgan Stanley Mortgage Loan             
Trust Ser. 05-5AR, Class 2A1,             
4.82s, 2035  $281,845  $140,922  $497,043  $248,521  $835,096  $417,548 
Mortgage Capital Funding, Inc.             
FRB Ser. 98-MC2, Class E,             
7.097s, 2030  53,000  31,800  215,000  129,000  206,000  123,600 
Ser. 97-MC2, Class X, IO,             
1.215s, 2012 F  831  1  230  1  —  — 
Nomura Asset Acceptance             
Corp. Ser. 04-R3, Class PT,             
7.243s, 2035  64,327  55,098  85,124  72,911  83,189  71,255 
Nomura Asset Acceptance             
Corp. 144A Ser. 04-R2,             
Class PT, 9.087s, 2034  —  —  73,676  70,098  67,752  64,462 
PNC Mortgage Acceptance             
Corp. 144A             
Ser. 99-CM1, Class B3,             
7.1s, 2032  —  —  —  —  757,000  638,776 
Ser. 00-C1, Class J,             
6 5/8s, 2010  —  —  118,000  37,016  189,000  59,289 
Ser. 00-C2, Class J,             
6.22s, 2033  —  —  276,000  136,565  291,000  143,987 
Residential Asset Mortgage             
Products, Inc. Ser. 02-SL1,             
Class AI3, 7s, 2032  83,482  83,317  272,169  271,629  171,224  170,884 
Residential Asset             
Securitization Trust             
IFB Ser. 07-A3, Class 2A2,             
IO, 6.168s, 2037  946,234  68,602  4,147,364  300,684  3,557,306  257,905 
Ser. 07-A5, Class 2A3,             
6s, 2037  3,391,163  1,763,405  4,006,616  2,083,440  —  — 
Saco I Trust FRB Ser. 05-10,             
Class 1A1, 0.782s, 2033  106,747  50,749  195,101  92,753  214,808  102,122 
Salomon Brothers Mortgage             
Securities VII 144A Ser. 02-KEY2,             
Class X1, IO, 0.664s, 2036  2,530,069  80,456  9,390,118  298,606  8,225,704  261,577 
SBA CMBS Trust 144A             
Ser. 05-1A, Class D,             
6.219s, 2035  —  —  200,000  180,000  200,000  180,000 
STRIPS 144A             
Ser. 03-1A, Class L, 5s, 2018  —  —  172,000  125,560  165,000  120,450 
Ser. 03-1A, Class M, 5s, 2018  —  —  116,000  63,800  112,000  61,600 
Ser. 04-1A, Class K, 5s, 2018  100,000  61,000  —  —  —  — 
Ser. 04-1A, Class L, 5s, 2018  —  —  76,000  42,560  74,000  41,440 
Structured Adjustable Rate Mortgage           
Loan Trust             
FRB Ser. 07-8, Class 1A2,             
6 1/4s, 2037  741,022  326,050  3,677,575  1,618,133  3,028,877  1,332,706 
FRB Ser. 06-9, Class 1A1,             
5.674s, 2036  1,263,798  573,354  539,644  244,823  —  — 

132

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Structured Adjustable Rate             
Mortgage Loan Trust             
Ser. 04-8, Class 1A3,             
5.331s, 2034  $7,159  $3,285  $3,539  $1,624  $6,515  $2,990 
FRB Ser. 05-18, Class 6A1,             
5.253s, 2035  171,866  91,089  422,802  224,085  446,963  236,890 
Ser. 05-9, Class AX, IO,             
1.341s, 2035  1,394,650  23,709  3,793,553  64,490  3,627,442  61,667 
Ser. 04-19, Class 2A1X, IO,             
1.176s, 2035  398,856  4,707  —  —  —  — 
Structured Adjustable Rate             
Mortgage Loan Trust 144A             
Ser. 04-NP2, Class A,             
0.872s, 2034  39,874  25,121  154,232  97,166  159,496  100,482 
Structured Asset             
Securities Corp.             
IFB Ser. 07-4, Class 1A3,             
IO, 5.728s, 2037  3,457,586  250,675  9,916,894  718,975  10,154,670  736,214 
Ser. 07-4, Class 1A4, IO,             
1s, 2037  3,428,056  70,035  10,507,900  214,676  10,743,644  219,493 
Structured Asset Securities             
Corp. 144A             
Ser. 07-RF1, Class 1A, IO,             
5.299s, 2037  —  —  4,282,196  278,343  3,402,953  221,192 
Ser. 08-RF1, Class AI, IO,             
4.376s, 2037  —  —  13,787,555  620,440  —  — 
Ser. 06-RF4, Class 1A, IO,             
0.356s, 2036  —  —  2,079,618  111,914  1,777,026  95,630 
Terwin Mortgage Trust 144A FRB             
Ser. 06-9HGA, Class A1,             
0.602s, 2037  66,191  57,784  —  —  —  — 
Wachovia Bank Commercial             
Mortgage Trust             
Ser. 06-C26, Class A2,             
5.935s, 2045  270,000  233,512  —  —  —  — 
FRB Ser. 07-C33, Class A3,             
5.903s, 2051  327,000  211,753  1,665,000  1,078,193  —  — 
FRB Ser. 07-C33, Class A2,             
5.858s, 2051  88,000  75,249  —  —  —  — 
FRB Ser. 07-C32, Class A2,             
5.736s, 2049  329,000  266,679  —  —  —  — 
Ser. 07-C31, Class A2,             
5.421s, 2047  497,000  392,090  —  —  —  — 
Ser. 07-C30, Class A3,             
5.246s, 2043  6,500,000  4,863,957  1,882,000  1,408,303  —  — 
Ser. 04-C15, Class A4,             
4.803s, 2041  215,000  171,965  637,000  509,495  705,000  563,884 
Ser. 06-C28, Class XC, IO,             
0.38s, 2048  3,125,915  39,187  10,891,533  136,538  10,973,976  137,571 

133

MORTGAGE-BACKED             
SECURITIES cont.  Growth 7.3%  Balanced 12.7%  Conservative 15.7% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Wachovia Bank Commercial             
Mortgage Trust             
Ser. 06-C29, IO,             
0.374s, 2048  $17,904,466  $266,630  $47,067,988  $700,927  $—  $— 
Ser. 07-C34, IO,             
0.355s, 2046  4,737,168  73,605  10,621,744  165,039  8,753,593  136,012 
Wachovia Bank Commercial             
Mortgage Trust 144A             
FRB Ser. 05-WL5A, Class L,             
3.856s, 2018  —  —  164,000  41,000  156,000  39,000 
Ser. 03-C3, Class IOI, IO,             
0.498s, 2035  466,018  10,690  3,501,410  80,321  3,504,757  80,398 
Ser. 07-C31, IO, 0.261s, 2047  9,178,285  89,468  35,740,818  348,394  28,133,591  274,240 
Ser. 05-C18, Class XC, IO,             
0.112s, 2042  12,508,103  75,605  21,343,406  129,010  24,644,984  148,967 
Ser. 06-C27, Class XC, IO,             
0.096s, 2045  3,755,001  18,385  17,370,720  85,050  14,522,508  71,105 
Ser. 06-C23, Class XC, IO,             
0.055s, 2045  4,834,306  14,592  31,863,905  96,180  34,976,876  105,576 
Ser. 06-C26, Class XC, IO,             
0.04s, 2045  17,457,875  31,966  13,905,899  25,462  8,612,032  15,769 
WAMU Commercial Mortgage             
Securities Trust 144A             
Ser. 05-C1A, Class G,             
5.72s, 2036  —  —  46,000  9,578  44,000  9,161 
Ser. 07-SL2, Class A1,             
5.316s, 2049  1,782,795  980,538  —  —  —  — 
Ser. 06-SL1, Class X, IO,             
0.936s, 2043  437,687  12,693  2,341,092  67,892  2,516,939  72,991 
Ser. 07-SL2, Class X, IO,             
0.85s, 2049  1,306,460  33,589  5,559,063  142,924  4,403,639  113,218 
WAMU Mortgage Pass-Through             
Certificates 144A Ser. 04-RP1,             
Class 1S, IO, 5.191s, 2034  2,329,901  147,247  4,791,705  302,831  3,149,774  199,063 
Washington Mutual Asset             
Securities Corp. 144A             
Ser. 05-C1A, Class F,             
5.3s, 2036  107,000  53,500  —  —  —  — 
Washington Mutual Mortgage             
Pass-Through Certificates             
Ser. 07-2, Class CX, IO, 7s, 2037  75,986  5,129  346,979  23,421  277,045  18,701 
Wells Fargo Mortgage Backed             
Securities Trust Ser. 05-AR10,             
Class 2A18, IO, 0.61s, 2035  —  —  9,846,000  575  9,480,000  554 
Total mortgage-backed             
securities (cost $125,403,922,             
$168,253,119 and $131,826,708)  $98,580,230    $151,794,887    $128,371,827 

134

ASSET-BACKED SECURITIES*  Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Accredited Mortgage Loan Trust             
FRB Ser. 05-1, Class M2,             
1.212s, 2035  $—  $—  $76,189  $37,626  $68,571  $33,864 
FRB Ser. 05-4, Class A2C,             
0.732s, 2035  —  —  177,968  146,280  142,374  117,024 
Ace Securities Corp.             
FRB Ser. 06-OP2, Class A2C,             
0.672s, 2036  107,000  33,187  475,000  147,328  377,000  116,932 
FRB Ser. 06-HE3, Class A2C,             
0.672s, 2036  119,000  46,750  549,000  215,681  436,000  171,287 
Ace Securities Corp. 144A             
Ser. 03-MH1, Class M2,             
6 1/2s, 2030  415,908  266,704  200,560  128,611  —  — 
Advanta Business Card Master             
Trust FRB Ser. 04-C1, Class C,             
1.595s, 2013  159,000  18,587  —  —  212,000  24,783 
Aegis Asset Backed Securities             
Trust 144A Ser. 04-6N,             
Class Note, 4 3/4s, 2035             
(In default)  8,939  1  12,634  1  12,515  1 
AFC Home Equity Loan Trust             
Ser. 99-2, Class 1A,             
0.932s, 2029  283,773  122,510  528,099  227,990  375,680  162,188 
American Express Credit             
Account Master Trust 144A             
Ser. 04-C, Class C,             
1.056s, 2012  11,643  10,919  71,061  66,645  57,009  53,467 
Ameriquest Mortgage             
Securities, Inc.             
FRB Ser. 06-R1, Class M10,             
3.022s, 2036  —  —  142,000  1,593  261,000  2,928 
FRB Ser. 03-8, Class M2,             
2.272s, 2033  —  —  188,951  50,020  170,148  45,042 
FRB Ser. 04-R10, Class A5,             
0.912s, 2034  50  39  —  —  —  — 
FRB Ser. 04-R11, Class A2,             
0.892s, 2034  8,360  6,267  —  —  —  — 
Arcap REIT, Inc. 144A             
Ser. 03-1A, Class E,             
7.11s, 2038  —  —  286,000  40,040  223,000  31,220 
Ser. 04-1A, Class E,             
6.42s, 2039  —  —  240,272  31,235  227,202  29,536 
Argent Securities, Inc.             
FRB Ser. 03-W3, Class M3,             
2.792s, 2033  —  —  22,925  2,702  20,633  2,432 
FRB Ser. 06-W4, Class A2C,             
0.682s, 2036  211,000  101,835  975,000  470,565  775,000  374,039 
Asset Backed Funding Certificates          
FRB Ser. 04-OPT2, Class M2,             
1.522s, 2033  —  —  180,385  112,459  162,118  101,071 
FRB Ser. 05-WMC1, Class M1,             
0.962s, 2035  29,000  13,630  583,000  274,010  404,000  189,880 

135

ASSET-BACKED SECURITIES* cont.   Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Asset Backed Securities Corp.             
Home Equity Loan Trust             
FRB Ser. 04-HE7, Class A2,             
0.902s, 2034  $126  $50  $—  $—  $—  $— 
FRB Ser. 04-HE6, Class A2,             
0.882s, 2034  77,763  48,770  275,390  172,714  264,196  165,694 
FRB Ser. 06-HE2, Class A3,             
0.712s, 2036  34,535  19,923  160,766  92,746  128,018  73,853 
FRB Ser. 06-HE4, Class A5,             
0.682s, 2036  136,737  83,162  627,072  381,381  503,400  306,164 
FRB Ser. 06-HE7, Class A4,             
0.662s, 2036  —  —  324,000  60,210  252,000  46,830 
BankAmerica Manufactured             
Housing Contract Trust Ser. 97-2,             
Class M, 6.9s, 2028  778,000  676,860  370,000  321,900  —  — 
Bay View Auto Trust             
Ser. 05-LJ2, Class D,             
5.27s, 2014  62,000  51,836  139,000  116,214  134,000  112,033 
Ser. 05-LJ2, Class C,             
4.92s, 2014  100,000  98,846  46,000  45,469  45,000  44,481 
Bayview Financial Acquisition Trust          
Ser. 04-B, Class A1,             
1.523s, 2039  —  —  723,981  479,031  950,716  629,052 
FRB Ser. 04-D, Class A,             
0.913s, 2044  60,165  52,838  196,659  172,708  191,989  168,607 
Bayview Financial Asset Trust 144A           
FRB Ser. 03-SSRA, Class M,             
1.872s, 2038  34,430  22,379  102,487  66,617  80,068  52,044 
FRB Ser. 03-SSRA, Class A,             
1.222s, 2038  34,430  24,100  102,487  71,741  80,068  56,048 
FRB Ser. 04-SSRA, Class A1,             
1.122s, 2039  89,843  56,601  130,582  82,267  126,535  79,717 
Bear Stearns Asset Backed             
Securities, Inc.             
FRB Ser. 06-PC1, Class M9,             
2.272s, 2035 F  —  —  —  —  100,000  998 
FRB Ser. 05-HE1, Class M3,             
1.452s, 2035  —  —  210,000  96,893  189,000  87,203 
FRB Ser. 03-3, Class A2,             
1.112s, 2043  96,867  74,516  336,365  258,752  265,431  204,185 
FRB Ser. 03-1, Class A1,             
1.022s, 2042  92,576  64,203  264,121  183,174  187,908  130,319 
FRB Ser. 05-3, Class A1,             
0.972s, 2035  75,349  35,944  —  —  —  — 
FRB Ser. 03-ABF1, Class A,             
0.892s, 2034  25,836  15,425  —  —  —  — 
Bombardier Capital Mortgage             
Securitization Corp.             
Ser. 00-A, Class A4,             
8.29s, 2030  3,238,041  1,434,410  2,013,527  891,966  390,728  173,087 
Ser. 00-A, Class A2,             
7.575s, 2030  732,615  319,704  341,887  149,195  —  — 

136

ASSET-BACKED SECURITIES* cont.  Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Bombardier Capital Mortgage          
Securitization Corp.             
Ser. 99-B, Class A-5,             
7.44s, 2020  $151,530  $59,097  $1,442,063  $562,404  $1,129,532  $440,517 
Ser. 99-B, Class A3,             
7.18s, 2015  73,240  30,273  1,433,223  592,407  1,110,590  459,050 
Ser. 99-B, Class A2,             
6.975s, 2012  —  —  47,985  21,613  61,875  27,869 
Chase Funding Loan Acquisition          
Trust FRB Ser. 04-AQ1,             
Class A2, 0.922s, 2034  81,326  35,582  —  —  —  — 
Citigroup Mortgage Loan             
Trust, Inc.             
FRB Ser. 05-OPT1, Class M1,             
0.942s, 2035  44,358  23,435  200,967  106,176  157,515  83,219 
Ser. 03-HE3, Class A,             
0.902s, 2033  557,331  371,662  —  —  —  — 
Citigroup Mortgage Loan             
Trust, Inc. 144A FRB Ser. 03-HE4,           
Class A, 0.932s, 2033  192,846  142,224  —  —  —  — 
Conseco Finance             
Securitizations Corp.             
Ser. 02-2, Class A, IO,             
8 1/2s, 2033  258,097  21,364  382,914  31,696  241,172  19,963 
Ser. 00-4, Class A6,             
8.31s, 2032  139,519  72,550  2,331,340  1,212,297  2,288,279  1,189,905 
Ser. 00-5, Class A7,             
8.2s, 2032  —  —  1,231,000  731,327  817,000  485,373 
Ser. 00-5, Class A6,             
7.96s, 2032  441,514  274,280  1,745,338  1,084,246  1,598,698  993,150 
Ser. 02-1, Class M1F,             
7.954s, 2033  —  —  510,000  260,233  676,000  344,936 
Ser. 02-2, Class M1,             
7.424s, 2033  83,000  35,073  216,000  91,275  154,000  65,076 
Ser. 01-4, Class A4,             
7.36s, 2033  352,214  260,795  882,272  653,273  264,682  195,982 
Ser. 00-6, Class A5,             
7.27s, 2031  156,989  108,334  408,308  281,764  290,567  200,513 
Ser. 01-1, Class A5,             
6.99s, 2032  1,075,501  688,321  4,289,964  2,745,577  3,823,336  2,446,935 
Ser. 01-3, Class A4,             
6.91s, 2033  127,529  88,875  480,921  335,157  387,964  270,374 
Ser. 02-1, Class A,             
6.681s, 2033  140,619  118,423  438,967  369,680  132,620  111,687 
FRB Ser. 02-1, Class M1A,             
3.311s, 2033  725,000  225,428  1,996,000  620,627  1,264,000  393,022 
Countrywide Asset Backed             
Certificates             
FRB Ser. 05-BC3, Class M1,             
1.042s, 2035  47,000  32,826  210,000  146,671  166,000  115,940 
FRB Ser. 04-6, Class 2A5,             
0.912s, 2034  37,531  24,850  335,850  222,379  281,410  186,332 

137

ASSET-BACKED SECURITIES* cont.  Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Countrywide Asset Backed             
Certificates             
FRB Ser. 04-5, Class 4A3,             
0.842s, 2034  $39,103  $23,751  $137,734  $83,660  $132,598  $80,540 
FRB Ser. 05-14, Class 3A2,             
0.762s, 2036  21,889  17,222  99,108  77,976  77,827  61,233 
Credit-Based Asset Servicing and          
Securitization FRB Ser. 02-CB2,             
Class A2, 1.622s, 2032  32,020  17,058  —  —  —  — 
Credit-Based Asset Servicing             
and Securitization 144A             
Ser. 06-MH1, Class B1,             
6 1/4s, 2036  —  —  291,000  125,027  186,000  79,914 
Ser. 06-MH1, Class M1,             
6 1/4s, 2036  843,000  397,053  236,000  111,156  314,000  147,894 
Ser. 06-MH1, Class M2,             
6 1/4s, 2036  228,000  146,621  110,000  70,739  123,000  79,099 
Crest, Ltd. 144A Ser. 03-2A,             
Class D2, 6.723s, 2038  —  —  339,000  101,700  313,000  93,900 
CS First Boston Mortgage             
Securities Corp. 144A             
Ser. 04-FR1N, Class A, 5s,             
2034 (In default)  16,582  1  23,162  1  25,268  1 
Equifirst Mortgage Loan Trust             
FRB Ser. 05-1, Class M5,             
1.192s, 2035  —  —  86,000  11,807  78,000  10,710 
Fieldstone Mortgage             
Investment Corp.             
FRB Ser. 05-1, Class M3,             
1.062s, 2035  —  —  143,000  118,560  138,000  114,413 
First Franklin Mortgage Loan             
Asset Backed Certificates FRB             
Ser. 06-FF7, Class 2A3,             
0.672s, 2036  163,000  59,088  744,000  269,700  583,000  211,338 
Fremont Home Loan Trust             
FRB Ser. 05-E, Class 2A4,             
0.852s, 2036  231,000  117,891  1,045,000  533,314  816,000  416,444 
FRB Ser. 06-2, Class 2A3,             
0.692s, 2036  392,000  217,312  1,688,000  935,772  1,342,000  743,961 
GE Corporate Aircraft             
Financing, LLC 144A             
FRB Ser. 05-1A, Class C,             
1.822s, 2019  —  —  269,000  126,430  271,000  127,370 
Ser. 04-1A, Class B,             
1.372s, 2018  9,892  7,518  10,783  8,195  10,486  7,969 
Gears Auto Owner Trust 144A             
Ser. 05-AA, Class E1,             
8.22s, 2012  —  —  443,000  361,309  442,000  360,493 
GEBL 144A             
Ser. 04-2, Class D,             
3.306s, 2032 F  —  —  112,266  11,153  138,075  13,717 
Ser. 04-2, Class C,             
1.406s, 2032 F  —  —  83,877  16,678  138,075  27,455 

138

ASSET-BACKED SECURITIES* cont.  Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Granite Mortgages PLC             
FRB Ser. 03-3, Class 1C,             
3.593s, 2044  $77,405  $9,289  $148,359  $17,803  $—  $— 
FRB Ser. 03-2, Class 1C,             
2.975s, 2043 F  176,004  21,121  —  —  —  — 
Green Tree Financial Corp.          
Ser. 94-4, Class B2,             
8.6s, 2019  1,230,337  725,899  552,595  326,031  —  — 
Ser. 96-8, Class A7,             
8.05s, 2027  16,732  14,190  —  —  —  — 
Ser. 96-5, Class M1,             
8.05s, 2027  —  —  238,206  130,832  322,794  177,291 
Ser. 96-6, Class M1,             
7.95s, 2027  2,582,000  1,427,097  1,222,000  675,412  1,077,000  595,269 
Ser. 99-5, Class A5,             
7.86s, 2030  659,682  416,457  2,547,311  1,608,117  2,081,169  1,313,842 
Ser. 97-2, Class A7,             
7.62s, 2028  162,202  133,703  119,007  98,097  85,509  70,485 
Ser. 96-2, Class M1,             
7.6s, 2026  1,460,000  838,674  691,000  396,934  609,000  349,830 
Ser. 97-6, Class A9,             
7.55s, 2029  62,119  46,815  —  —  116,006  87,426 
Ser. 97-4, Class A7,             
7.36s, 2029  13,062  10,806  40,118  33,191  86,455  71,528 
Ser. 97-3, Class A6,             
7.32s, 2028  1,917  1,466  —  —  —  — 
Ser. 96-10, Class A6,             
7.3s, 2028  15,307  13,731  —  —  —  — 
Ser. 95-8, Class M1,             
7.3s, 2026  52,281  45,739  —  —  —  — 
Ser. 96-10, Class M1,             
7.24s, 2028  —  —  449,000  262,081  625,000  364,813 
Ser. 97-6, Class M1,             
7.21s, 2029  293,000  142,014  688,000  333,467  946,000  458,517 
Ser. 96-2, Class A4,             
7.2s, 2027  147,199  136,040  —  —  —  — 
Ser. 97-3, Class A5,             
7.14s, 2028  22,175  16,855  159,780  121,448  115,127  87,507 
Ser. 97-6, Class A8,             
7.07s, 2029  31,197  27,127  —  —  35,118  30,537 
Ser. 95-10, Class B1,             
7.05s, 2027  311,648  168,613  —  —  —  — 
Ser. 93-4, Class A5,             
7.05s, 2019  6,314  5,503  —  —  —  — 
Ser. 98-4, Class A7,             
6.87s, 2030  47,385  32,094  120,284  81,470  85,455  57,879 
Ser. 97-7, Class A8,             
6.86s, 2029  6,221  5,268  24,318  20,594  52,407  44,382 
Ser. 93-3, Class B,             
6.85s, 2018  162,808  95,490  76,056  44,608  —  — 
Ser. 99-3, Class A7,             
6.74s, 2031  99,679  83,151  135,674  113,177  139,366  116,257 

139

ASSET-BACKED SECURITIES* cont.  Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Green Tree Financial Corp.             
Ser. 98-6, Class A7,             
6.45s, 2030  $—  $—  $110,540  $103,815  $79,675  $74,828 
Ser. 99-2, Class A7,             
6.44s, 2030  —  —  470,659  307,632  655,949  428,741 
Ser. 98-7, Class M1,             
6.4s, 2030  118,000  39,359  218,000  72,714  136,000  45,363 
Ser. 99-1, Class A6,             
6.37s, 2025  254,000  207,949  359,000  293,912  224,000  183,388 
Ser. 98-2, Class A5,             
6.24s, 2016  10,118  7,718  —  —  —  — 
Greenpoint Manufactured             
Housing             
Ser. 00-3, Class IA,             
8.45s, 2031  4,073,108  2,623,505  3,851,980  2,481,076  1,481,156  954,019 
Ser. 99-5, Class M1A,             
8.3s, 2026  —  —  198,000  93,060  157,000  73,790 
Ser. 99-5, Class A4,             
7.59s, 2028  206,447  181,535  261,284  229,755  179,028  157,425 
Ser. 99-3, Class 1A5,             
6.79s, 2023  10,439  9,753  —  —  —  — 
GS Auto Loan Trust 144A             
Ser. 04-1, Class D, 5s, 2011 F  —  —  224,028  212,830  219,176  208,220 
GSAMP Trust FRB Ser. 06-HE5,          
Class A2C, 0.672s, 2036  584,000  226,466  2,514,000  974,889  1,998,000  774,792 
Guggenheim Structured             
Real Estate Funding, Ltd. 144A             
FRB Ser. 05-2A, Class D,             
2.072s, 2030 (Cayman Islands)  —  —  250,000  25,000  250,000  25,000 
FRB Ser. 05-1A, Class D,             
2.052s, 2030 (Cayman Islands)  —  —  105,068  26,267  100,774  25,194 
High Income Trust Securities 144A           
FRB Ser. 03-1A, Class A,             
1.741s, 2036  —  —  401,713  148,634  365,567  135,260 
Home Equity Asset Trust             
FRB Ser. 04-7, Class A3,             
0.912s, 2035  309  201  —  —  —  — 
FRB Ser. 06-1, Class 2A4,             
0.852s, 2036  117,000  67,033  527,000  301,936  415,000  237,768 
Impac CMB Trust FRB Ser. 04-8,          
Class 1A, 1.242s, 2034  7,880  2,847  —  —  —  — 
JPMorgan Mortgage Acquisition          
Corp. FRB Ser. 06-FRE1, Class A4,           
0.812s, 2035  100,000  34,333  443,000  152,097  347,000  119,137 
Lehman ABS Manufactured             
Housing Contract             
Ser. 01-B, Class M1,             
6.63s, 2028  185,000  49,919  171,000  46,141  176,000  47,491 
Ser. 01-B, Class A5,             
5.873s, 2022  59,625  38,979  —  —  —  — 
Ser. 01-B, Class A4,             
5.27s, 2018  36,347  25,949  —  —  —  — 

140

ASSET-BACKED SECURITIES* cont.  Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Lehman XS Trust             
Ser. 07-6, Class 3A6,             
6 1/2s, 2037  $486,798  $288,074  $4,368,416  $2,585,110  $3,658,967  $2,165,277 
IFB Ser. 07-3, Class 4B,             
IO, 6.168s, 2037  378,667  29,986  1,552,295  122,924  1,327,336  105,110 
FRB Ser. 07-6, Class 2A1,             
0.732s, 2037  1,018,579  313,084  4,734,027  1,455,115  3,657,418  1,124,194 
LNR CDO, Ltd. 144A FRB             
Ser. 03-1A, Class EFL,             
3.523s, 2036  105,000  8,400  595,000  47,600  460,000  36,800 
Local Insight Media Finance, LLC          
Ser. 07-1W, Class A1,             
5.53s, 2012 F  352,085  153,157  1,843,838  802,070  1,594,566  693,636 
Long Beach Mortgage Loan Trust          
FRB Ser. 05-2, Class M4,             
1.142s, 2035  —  —  240,000  80,078  216,000  72,070 
FRB Ser. 06-4, Class 2A4,             
0.782s, 2036  111,000  30,699  503,000  139,113  394,000  108,967 
FRB Ser. 06-1, Class 2A3,             
0.712s, 2036  147,098  78,741  682,322  365,244  542,313  290,297 
Madison Avenue Manufactured          
Housing Contract FRB Ser. 02-A,             
Class M2, 2.772s, 2032  507,000  252,968  —  —  —  — 
Marriott Vacation Club Owner             
Trust 144A             
Ser. 05-2, Class D,             
6.205s, 2027  —  —  19,283  10,606  20,712  11,391 
Ser. 04-2A, Class D,             
5.389s, 2026  —  —  14,252  8,123  13,977  7,967 
Ser. 04-1A, Class C,             
5.265s, 2026  —  —  35,123  26,071  32,614  24,208 
FRB Ser. 02-1A, Class A1,             
1.245s, 2024  12,939  10,885  54,831  46,128  53,935  45,373 
MASTR Asset Backed             
Securities Trust             
FRB Ser. 04-OPT2, Class A2,             
0.872s, 2034  17,045  6,964  —  —  —  — 
FRB Ser. 06-FRE2, Class A4,             
0.672s, 2036  58,000  30,674  262,000  138,562  206,000  108,946 
FRB Ser. 04-HE1, Class A1,             
0.922s, 2034  1,696  1,536  —  —  —  — 
Merrill Lynch Mortgage             
Investors, Inc.             
Ser. 04-WMC3, Class B3,             
5s, 2035  4,642  273  13,777  810  12,729  749 
FRB Ser. 04-HE2, Class A1A,             
0.922s, 2035  4,085  2,184  —  —  —  — 
Mid-State Trust Ser. 11, Class B,          
8.221s, 2038  66,781  49,976  178,258  133,400  137,769  103,099 

141

ASSET-BACKED SECURITIES* cont.  Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Morgan Stanley ABS Capital I             
FRB Ser. 05-HE2, Class M5,             
1.202s, 2035  $—  $—  $150,000  $96,866  $135,000  $87,179 
FRB Ser. 05-HE1, Class M3,             
1.042s, 2034  —  —  150,000  91,722  135,000  82,549 
FRB Ser. 04-HE8, Class A4,             
0.902s, 2034  6,211  2,435  —  —  —  — 
FRB Ser. 06-NC4, Class M2,             
0.822s, 2036  —  —  210,000  2,874  189,000  2,587 
Navigator CDO, Ltd. 144A FRB             
Ser. 03-1A, Class A1, 1.724s, 2015  32,593  28,476  56,633  49,480  53,628  46,855 
Navistar Financial Corp.             
Owner Trust             
Ser. 05-A, Class C, 4.84s, 2014  14,349  12,977  33,719  30,497  32,464  29,361 
Ser. 04-B, Class C,             
3.93s, 2012 F  5,323  4,562  20,567  17,628  22,744  19,494 
New Century Home Equity             
Loan Trust             
Ser. 03-5, Class AI7,             
5.15s, 2033  84,497  68,017  287,116  231,120  251,765  202,664 
FRB Ser. 03-4, Class M3,             
2.572s, 2033  —  —  12,120  5,704  10,908  5,133 
Novastar Home Equity Loan             
FRB Ser. 06-1, Class A2C,             
0.682s, 2036  138,000  55,718  626,000  252,748  488,000  197,030 
FRB Ser. 06-2, Class A2C,             
0.672s, 2036  138,000  75,613  626,000  343,000  488,000  267,387 
Oakwood Mortgage Investors, Inc.             
Ser. 96-C, Class B1,             
7.96s, 2027  525,229  183,830  708,374  247,931  440,515  154,180 
Ser. 00-A, Class A3,             
7.945s, 2022  64,575  35,517  251,215  138,173  245,799  135,194 
Ser. 95-B, Class B1,             
7.55s, 2021  —  —  159,730  90,532  230,530  130,659 
Ser. 00-D, Class A3,             
6.99s, 2022  —  —  124,048  113,868  63,185  57,999 
Ser. 98-A, Class M,             
6.825s, 2028  454,000  213,651  219,000  103,061  —  — 
Ser. 01-E, Class A4,             
6.81s, 2031  574,596  367,059  757,598  483,963  820,408  524,087 
Ser. 99-B, Class A3,             
6.45s, 2017  119,163  75,833  252,169  160,476  233,439  148,557 
Ser. 99-A, Class A3,             
6.09s, 2029  162,203  113,092  —  —  —  — 
Ser. 01-E, Class A, IO,             
6s, 2009  171,665  5,359  456,509  14,251  306,112  9,556 
Ser. 01-D, Class A3,             
5.9s, 2022  80,835  44,649  636,213  351,406  493,734  272,709 
Ser. 02-C, Class A1,             
5.41s, 2032  342,002  177,841  750,526  390,274  694,528  361,155 

142

ASSET-BACKED SECURITIES* cont.  Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Oakwood Mortgage Investors, Inc.          
Ser. 01-D, Class A2,             
5.26s, 2019  $48,420  $24,294  $—  $—  $295,987  $148,509 
Ser. 02-A, Class A2,             
5.01s, 2020  177,082  108,780  —  —  88,541  54,390 
Oakwood Mortgage             
Investors, Inc. 144A             
Ser. 01-B, Class A4,             
7.21s, 2030  —  —  72,942  49,528  96,541  65,552 
Ser. 01-B, Class A3,             
6.535s, 2023  —  —  60,767  40,058  43,800  28,873 
Origen Manufactured Housing             
Ser. 04-B, Class A3,             
4 3/4s, 2021  56,000  44,588  —  —  —  — 
Ser. 04-B, Class A2,             
3.79s, 2017  20,644  19,588  6,783  6,436  6,267  5,946 
Ownit Mortgage Loan             
Asset-Backed ,Certificates FRB          
Ser. 06-7, Class A2A,             
0.592s, 2037  700,579  624,171  —  —  —  — 
Park Place Securities, Inc.             
FRB Ser. 05-WCH1,             
Class M4, 1.352s, 2036  —  —  97,000  9,936  88,000  9,014 
FRB Ser. 04-MCW1,             
Class A2, 0.902s, 2034  11,944  10,237  —  —  —  — 
FRB Ser. 04-WHQ2,             
Class A3A, 0.872s, 2035  3,293  2,955  26,592  23,863  25,794  23,147 
People’s Financial Realty Mortgage          
Securities Trust FRB Ser. 06-1,             
Class 1A2, 0.652s, 2036  224,000  112,069  995,000  497,804  791,000  395,742 
Pillar Funding PLC 144A             
FRB Ser. 04-1A, Class C1,             
2.32s, 2011 (United Kingdom)  134,000  124,240  474,000  439,475  422,000  391,263 
FRB Ser. 04-2A, Class C,             
2.2s, 2011 (United Kingdom)  —  —  183,000  154,354  169,000  142,546 
Popular ABS Mortgage             
Pass-Through Trust             
FRB Ser. 04-4, Class AV1,             
0.862s, 2034  3,639  1,086  —  —  —  — 
Renaissance Home Equity             
Loan Trust FRB             
Ser. 04-3, Class AV1,             
0.942s, 2034  163,354  95,812  —  —  —  — 
Residential Asset Mortgage             
Products, Inc.             
FRB Ser. 06-NC3, Class A2,             
0.712s, 2036  139,496  107,224  646,566  496,983  514,044  395,120 
FRB Ser. 06-RZ2, Class A2,             
0.692s, 2036  272,365  200,292  —  —  —  — 
FRB Ser. 07-RZ1, Class A2,             
0.682s, 2037  207,000  91,178  840,000  369,999  667,000  293,797 

143

ASSET-BACKED SECURITIES* cont.  Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Residential Asset Securities             
Corp. FRB Ser. 06-EMX3,             
Class A2, 0.702s, 2036  $862,894  $465,963  $—  $—  $—  $— 
Residential Asset Securities             
Corp. 144A Ser. 04-NT,             
Class Note, 4 1/2s, 2034             
(In default) †  12,285  61  17,855  89  19,247  96 
SAIL Net Interest Margin             
Notes 144A Ser. 04-4A,             
Class B, 7 1/2s, 2034 (In default) † —   —  49,135  —  —  — 
Saxon Asset Securities Trust FRB          
Ser. 04-3, Class A, 0.862s, 2034  20,877  10,195  —  —  —  — 
Securitized Asset Backed             
Receivables, LLC             
FRB Ser. 05-HE1, Class M2,             
1.172s, 2035  —  —  150,000  8,352  135,000  7,517 
FRB Ser. 07-NC2, Class A2B,             
0.662s, 2037  171,000  61,016  789,000  281,529  628,000  224,081 
FRB Ser. 07-BR5, Class A2A,             
0.652s, 2037  141,295  86,190  1,407,453  858,546  500,306  305,186 
FRB Ser. 07-BR4, Class A2A,             
0.612s, 2037  178,563  108,570  1,182,228  718,818  442,312  268,934 
SG Mortgage Securities Trust             
FRB Ser. 06-OPT2, Class A3D,             
PO, 0.732s, 2036  234,000  65,316  1,061,000  296,155  832,000  232,235 
FRB Ser. 06-FRE1, Class A2B,             
0.702s, 2036  —  —  506,000  244,988  402,000  194,634 
Soundview Home Equity Loan Trust           
FRB Ser. 06-OPT3, Class 2A3,             
0.692s, 2036  111,000  63,525  502,000  287,295  394,000  225,487 
FRB Ser. 06-3, Class A3,             
0.682s, 2036  587,000  313,696  2,527,000  1,350,443  2,009,000  1,073,621 
Soundview Home Equity Loan             
Trust 144A FRB Ser. 05-CTX1,             
Class B1, 3.022s, 2035  11,994  26  —  —  27,710  60 
Structured Asset Investment             
Loan Trust FRB Ser. 06-BNC2,             
Class A6, 0.782s, 2036  111,000  3,620  503,000  16,402  394,000  12,848 
Structured Asset Receivables             
Trust 144A FRB Ser. 05-1,             
1.633s, 2015  —  —  1,135,330  647,138  1,093,747  623,436 
TIAA Real Estate CDO, Ltd.             
Ser. 03-1A, Class E, 8s, 2038  —  —  349,000  43,625  299,000  37,375 
TIAA Real Estate CDO, Ltd. 144A          
FRB Ser. 02-1A, Class III,             
7.6s, 2037  100,000  28,000  384,000  107,520  278,000  77,840 
Ser. 02-1A, Class IIFX,             
6.77s, 2037  200,000  72,000  —  —  —  — 
UCFC Mfg. Hsg. Contract             
Ser. 97-4, Class A4, 6.995s, 2029  403,612  310,974  —  —  —  — 

144

ASSET-BACKED SECURITIES* cont.    Growth 1.6%  Balanced 3.9%  Conservative 4.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
WAMU Asset-Backed             
Certificates FRB Ser. 07-HE2,             
Class 2A1, 0.632s, 2037  $588,161  $313,196  $3,458,502  $1,841,652  $4,730,189  $2,518,826 
Wells Fargo Home Equity             
Trust FRB Ser. 07-1, Class A3,             
0.842s, 2037  —  —  222,000  41,885  174,000  32,829 
Whinstone Capital Management,             
Ltd. 144A FRB Ser. 1A, Class B3,             
2.059s, 2044 (Jersey)  —  —  131,083  15,730  131,434  15,772 
Total asset-backed securities             
(cost $33,586,054, $81,366,386             
and $65,756,913)    $21,440,683    $46,385,894    $37,145,377 

PURCHASED OPTIONS    Growth 0.6%  Balanced 2.0%  Conservative 3.5% 
OUTSTANDING*  Expiration date/  Contract    Contract    Contract   
  strike price  amount  Value  amount  Value  amount  Value 
Citigroup, Inc. (Call)  Jun-09/5.00  $370,630  $59,301  $310,032  $49,605  $132,049  $21,128 
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  2,344,386  —  —  35,609,000  7,123,580 
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               
November 12, 2019.  Nov-09/5.355  11,719,000  8,672  —  —  35,609,000  26,351 
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               
November 12, 2019.  Nov-09/5.355  11,719,000  2,344,386  48,439,000  9,690,222  35,609,000  7,123,580 
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  8,672  48,439,000  35,845  35,609,000  26,351 
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  1,306,503  32,873,000  7,230,416  20,822,000  4,579,799 
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  —  32,873,000  —  20,822,000  — 

145

PURCHASED OPTIONS    Growth 0.6%  Balanced 2.0%  Conservative 3.5% 
OUTSTANDING* cont.  Expiration date/  Contract    Contract    Contract   
  strike price  amount  Value  amount  Value  amount  Value 
  
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  $1,320,404  $ —  $ — $23,230,000    $5,002,116 
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  —  —  —  23,230,000  — 
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               
April 8, 2019.  Apr-09/5.315  6,132,000  1,315,007  29,348,000  6,293,679  23,230,000  4,981,674 
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 April 8, 2019.  Apr-09/5.315  6,132,000  — 29,348,000  —  23,230,000  — 
Total purchased options               
outstanding (cost $2,801,409,               
$7,101,277 and $9,013,613)    $8,707,331  $23,299,767  $28,884,579 

FOREIGN GOVERNMENT           
BONDS AND NOTES*  Growth 0.6%  Balanced 0.5%  Conservative 0.6% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
  
Brazil (Federal Republic of )             
notes zero %, 2012  BRL 4,130  $1,790,996  5,525  $2,395,945  4,838  $2,098,024 
Japan (Government of )             
CPI Linked bonds             
1.4s, 2018  JPY 799,065,800  6,914,968  —  —  —  — 
Peru (Republic of ) govt.             
guaranty sr. sec. bond             
12 1/4s, 2011  PEN —  —  8,475,000  3,082,600  7,270,000  2,644,307 
Total foreign government             
bonds and notes             
(cost $9,803,467,             
$6,878,518 and $5,958,447)  $8,705,964    $5,478,545    $4,742,331 

146

COMMODITY LINKED NOTES*  Growth 0.5%  Balanced 0.5%  Conservative 0.4% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
UBS AG/Jersey Branch 144A             
sr. notes Ser. CMCI, zero %             
(Indexed to the UBS Bloomberg             
Constant Maturity Commodity             
Index) 9/30/09             
(United Kingdom)  $11,287,000  $7,102,384  $9,667,000  $6,082,993  $5,398,000  $3,396,710 
Total commodity linked notes             
(cost $11,287,000, $9,667,000             
and $5,398,000)    $7,102,384    $6,082,993    $3,396,710 
 
 
INVESTMENT COMPANIES*  Growth 0.5%  Balanced 0.7%  Conservative 0.5% 
  Shares  Value  Shares  Value  Shares  Value 
Eurazeo (France)  14,973  $400,615  8,453  $226,167  2,705  $72,374 
iShares MSCI EAFE Index Fund  —  —  —  —  4,600  172,914 
iShares Russell 2000 Growth             
Index Fund  —  —  —  —  8,008  368,208 
iShares Russell 2000 Value             
Index Fund  11,500  453,790  —  —  5,300  209,138 
S&P 500 Index Depository             
Receipts (SPDR Trust Series 1)  41,376  3,286,909  82,581  6,560,235  28,027  2,226,465 
SPDR KBW Bank ETF  156,100  2,163,546  130,600  1,810,116  56,900  788,634 
Total investment companies             
(cost $6,597,643, $10,392,828             
and $4,014,256)    $6,304,860    $8,596,518    $3,837,733 
 
 
SENIOR LOANS* (c)  Growth 0.3%  Balanced 0.7%  Conservative 0.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Basic materials    0.1%    0.1%    0.1% 
Huntsman International, LLC             
bank term loan FRN Ser. B,             
2.229s, 2012  $1,237,374  $811,168  $1,638,283  $1,073,986  $1,405,657  $921,487 
NewPage Holding Corp. bank             
term loan FRN 4.812s, 2014  —  —  93,604  63,487  87,701  59,483 
    811,168    1,137,473    980,970 
Capital goods    0.1%    0.1%    —% 
Hawker Beechcraft Acquisition             
Co., LLC bank term loan FRN             
1.359s, 2014  35,485  15,929  47,980  21,537  4,511  2,025 
Hawker Beechcraft Acquisition             
Co., LLC bank term loan FRN             
Ser. B, 2.801s, 2014  721,277  323,773  962,009  431,835  79,388  35,637 
Manitowoc Co., Inc. (The)             
bank term loan FRN Ser. B,             
4.657s, 2014  588,525  417,117  793,013  562,048  —  — 
Polypore, Inc. bank term loan             
FRN Ser. B, 3.407s, 2014  —  —  121,764  88,888  112,854  82,384 
Sequa Corp. bank term loan             
FRN 4.407s, 2014  —  —  167,684  90,969  157,359  85,367 
Wesco Aircraft Hardware Corp.             
bank term loan FRN 2.73s, 2013  —  —  123,000  100,122  114,000  92,796 
    756,819    1,295,399    298,209 

147

SENIOR LOANS* (c) cont.  Growth 0.3%  Balanced 0.7%  Conservative 0.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Communication services    —%    0.1%    0.1% 
Cablevision Systems Corp.             
bank term loan FRN Ser. B,             
1.157s, 2013  $—  $—  $21,948  $19,826  $23,011  $20,787 
Fairpoint Communications, Inc.             
bank term loan FRN Ser. B,             
5 3/4s, 2015  289,280  133,276  638,412  294,125  553,623  255,062 
Intelsat Corp. bank term loan             
FRN Ser. B2, 3.925s, 2011  —  —  32,263  27,907  29,902  25,865 
Intelsat Corp. bank term loan             
FRN Ser. B2-A, 3.925s, 2013  —  —  32,272  27,916  29,911  25,873 
Intelsat Corp. bank term loan             
FRN Ser. B2-C, 3.925s, 2013  —  —  32,263  27,907  29,902  25,865 
Intelsat, Ltd. bank term loan             
FRN 4.435s, 2014 (Bermuda)  400,000  291,500  540,000  393,525  460,000  335,225 
Level 3 Communications, Inc.             
bank term loan FRN 3.309s, 2014  —  —  123,000  92,342  114,000  85,586 
MetroPCS Wireless, Inc. bank             
term loan FRN 3.19s, 2013  —  —  48,578  44,098  45,022  40,870 
TW Telecom, Inc. bank term             
loan FRN Ser. B, 3.407s, 2013  —  —  89,263  79,891  82,732  74,045 
West Corp. bank term loan             
FRN 2.89s, 2013  —  —  121,758  90,405  112,848  83,790 
    424,776    1,097,942    972,968 
Consumer cyclicals    0.1%    0.2%    0.2% 
Affinion Group, Inc. bank term             
loan FRN Ser. B, 3.657s, 2013  —  —  123,000  103,013  114,000  95,475 
Allison Transmission, Inc. bank term          
loan FRN Ser. B, 3.293s, 2014  —  —  118,927  78,459  110,225  72,718 
Cinemark USA, Inc. bank term             
loan FRN 2.385s, 2013  55,453  50,047  103,460  93,373  69,775  62,972 
Dana Corp. bank term loan             
FRN 7 1/4s, 2015  —  —  75,625  17,142  70,677  16,020 
Dex Media West, LLC/Dex Media             
Finance Co. bank term loan FRN             
Ser. B, 5.157s, 2014  250,000  112,083  335,000  150,192  —  — 
DIRECTV Holdings, LLC bank             
term loan FRN 2.657s, 2013  282,863  270,178  372,188  355,497  327,525  312,837 
Goodman Global Holdings, Inc.             
bank term loan FRN Ser. B,             
6 1/2s, 2011  925,000  782,088  1,236,500  1,045,461  88,780  75,063 
Goodyear Tire & Rubber Co.             
(The) bank term loan FRN             
2.28s, 2010  —  —  123,000  85,370  114,000  79,123 
Harrah’s Operating Co., Inc.             
bank term loan FRN Ser. B2,             
4.16s, 2015  —  —  121,770  72,491  112,860  67,187 
Lear Corp bank term loan             
FRN 3.754s, 2013  263,396  90,295  470,136  161,169  416,463  142,769 
National Bedding Co. bank term             
loan FRN 2.565s, 2011  —  —  52,465  24,239  48,505  22,409 

148

SENIOR LOANS* (c) cont.  Growth 0.3%  Balanced 0.7%  Conservative 0.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Consumer cyclicals cont.             
Navistar Financial Corp. bank             
term loan FRN 4.363s, 2012  $—  $—  $32,800  $25,502  $30,400  $23,636 
Navistar International Corp.             
bank term loan FRN 3.729s, 2012  —  —  90,200  70,131  83,600  64,999 
Six Flags Theme Parks bank             
term loan FRN 3.022s, 2015  184,530  125,019  159,594  108,125  104,734  70,957 
Tropicana Entertainment bank             
term loan FRN Ser. B,             
6 1/2s, 2011  710,000  164,878  950,000  220,611  —  — 
Univision Communications, Inc.             
bank term loan FRN Ser. B,             
2.729s, 2014  —  —  123,000  63,883  114,000  59,209 
Visteon Corp. bank term loan             
FRN Ser. B, 4.426s, 2013  480,000  69,300  635,000  91,678  —  — 
Yankee Candle Co., Inc. bank             
term loan FRN 3.406s, 2014  —  —  73,000  47,763  68,000  44,491 
    1,663,888    2,814,099    1,209,865 
Consumer staples    —%    —%    —% 
Pinnacle Foods Holding Corp.             
bank term loan FRN Ser. B,             
3.247s, 2014  —  —  121,455  98,948  112,568  91,708 
Spectrum Brands, Inc. bank             
term loan FRN 0.347s, 2013             
(In default)  —  —  7,849  5,579  7,274  5,171 
Spectrum Brands, Inc. bank             
term loan FRN Ser. B1, 6.053s,             
2013 (In default)  —  —  113,974  81,017  105,635  75,089 
    —    185,544    171,968 
Energy    —%    —%    —% 
Quicksilver Resources, Inc.             
bank term loan FRN             
5.657s, 2013  270,512  205,589  359,128  272,937  0  — 
    205,589    272,937    — 
Financials    —%    —%    —% 
General Growth Properties, Inc.             
bank term loan FRN Ser. A,             
1.79s, 2010 (In default) R  90,000  20,925  120,000  27,900  100,000  23,250 
    20,925    27,900    23,250 
Health care    —%    —%    —% 
Health Management Associates,             
Inc. bank term loan FRN             
3.209s, 2014  —  —  115,122  92,846  106,698  86,052 
IASIS Healthcare Corp. bank             
term loan FRN Ser. DD,             
3.157s, 2014  —  —  29,265  24,671  27,124  22,866 
IASIS Healthcare, LLC/IASIS             
Capital Corp. bank term loan             
FRN 3.157s, 2014  —  —  7,863  6,629  7,288  6,144 

149

SENIOR LOANS* (c) cont.  Growth 0.3%  Balanced 0.7%  Conservative 0.5% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Health care cont.             
IASIS Healthcare, LLC/IASIS             
Capital Corp. bank term loan             
FRN Ser. B, 2.497s, 2014  $—  $—  $84,572  $71,294  $78,383  $66,077 
Sun Healthcare Group, Inc.             
bank term loan FRN             
3.157s, 2014  —  —  20,507  17,294  19,006  16,029 
Sun Healthcare Group, Inc.             
bank term loan FRN Ser. B,             
3.157s, 2014  —  —  131,202  110,647  120,073  101,261 
    —    323,381    298,429 
Technology    —%    0.1%    —% 
First Data Corp. bank term loan             
FRN Ser. B1, 3.269s, 2014  —  —  121,459  81,635  112,571  75,662 
First Data Corp. bank term loan             
FRN Ser. B3, 3.269s, 2014  697,915  468,572  806,809  541,683  —  — 
Freescale Semiconductor, Inc.             
bank term loan FRN             
1.282s, 2014  65,915  33,699  69,617  35,592  34,641  17,710 
Travelport bank term loan             
FRN Ser. B, 3.085s, 2013  —  —  49,137  28,308  45,542  26,237 
Travelport bank term loan             
FRN Ser. DD, 3.407s, 2013  —  —  72,935  41,755  67,598  38,700 
    502,271    728,973    158,309 
Utilities and power    —%    —%    —% 
Energy Future Holdings Corp.             
bank term loan FRN Ser. B2,             
4.036s, 2014  —  —  121,767  80,081  112,571  74,033 
    —    80,081    74,033 
Total senior loans (cost $7,315,517,           
$12,538,264 and $5,981,824)    $4,385,436    $7,963,729    $4,188,001 
 
CONVERTIBLE BONDS             
AND NOTES*  Growth —%  Balanced —%  Conservative —% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
General Cable Corp. cv.             
company guaranty 7/8s, 2013  $—  $—  $70,000  $48,913  $105,000  $73,369 
General Cable Corp. cv.             
company guaranty sr. unsec.             
notes 1s, 2012  800,000  567,000  —  —  —  — 
Trinity Industries, Inc. cv. sub.             
notes 3 7/8s, 2036  175,000  75,031  155,000  66,456  105,000  45,019 
Total convertible bonds and             
notes (cost $739,652, $126,533             
and $123,382)    $642,031    $115,369    $118,388 

150

WARRANTS* †    Growth —%    Balanced —%  Conservative —% 
  Expiration  Strike             
  date  price  Warrants  Value  Warrants  Value  Warrants  Value 
AboveNet, Inc.  9/08/10  $24.00  58  $1,450  —  $—  29  $725 
Baoshan Iron & Steel Co.                 
144A (China)  12/23/09  0.001  500,200  420,167  412,300  346,331  270,200  226,967 
Dayton Superior Corp.                 
144A F  6/15/09  0.01  630  326  —  —  330  171 
Vertis Holdings, Inc. F  10/18/15  0.01  265  1  154  1  66  1 
Total warrants (cost $379,198,               
$302,736 and $205,961)        $421,944    $346,332    $227,864 

PREFERRED STOCKS*             
(cost $74,328, $82,779 and $48,594)  Growth —%  Balanced —%  Conservative —% 
  Shares  Value  Shares  Value  Shares  Value 
Preferred Blocker, Inc. 144A             
7.00% cum. pfd.  221  $44,000  249  $49,574  144  $28,670 
Total preferred stocks    $44,000    $49,574    $28,670 
 
 
CONVERTIBLE PREFERRED STOCKS*           
(cost $644,723, $859,630 and $—)  Growth —%  Balanced —%  Conservative —% 
  Shares  Value  Shares  Value  Shares  Value 
Lehman Brothers Holdings, Inc.             
Ser. P, 7.25% cv. pfd. (In default) †  684  $499  912  $666  —  $— 
Total convertible preferred stocks    $499    $666    $— 
 
 
MUNICIPAL BONDS AND NOTES*  Growth —%  Balanced —%  Conservative —% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
MI Tobacco Settlement Fin. Auth.             
Rev. Bonds, Ser. A, 7.309s, 6/1/34  $—  $—  $215,000  $125,775  $225,000  $131,625 
Tobacco Settlement Fin. Auth.             
of WVA Rev. Bonds, Ser. A,             
7.467s, 6/1/47  —  —  650,000  350,935  510,000  275,349 
Total municipal bonds and notes             
(cost $—, $864,977 and $734,977)    $—    $476,710    $406,974 
 
 
SHORT-TERM INVESTMENTS*  Growth 15.1%  Balanced 25.3%  Conservative 32.8% 
  Principal    Principal    Principal   
  amount/    amount/    amount/   
  shares  Value  shares  Value  shares  Value 
CAFCO, LLC for an             
effective yield of 0.6%,             
April 1, 2009  $1,900,000  $1,900,000  $—  $—  $6,600,000  $6,600,000 
Federal Home Loan Banks             
for an effective yield of 2.807%,             
July 14, 2009 #  19,999,999  19,842,260  26,000,000  25,794,939  14,000,000  13,889,582 
Govco, Inc. for an effective yield             
of 0.5%, April 8, 2009  4,000,000  3,999,611  —  —  —  — 
LMA Americas, LLC for an             
effective yield of 0.6%,             
April 15, 2009  2,000,000  1,999,533  —  —  10,000,000  9,997,667 
Starbird Funding Corp. for an             
effective yield of 0.801%,             
April 20, 2009  —  —  —  —  15,000,000  14,993,667 

151

SHORT-TERM INVESTMENTS* cont.  Growth 15.1%  Balanced 25.3%  Conservative 32.8% 
  Principal    Principal    Principal   
  amount/    amount/    amount/   
  shares  Value  shares  Value  shares  Value 
U.S. Treasury Bills for an             
effective yield of 0.603%,             
December 17, 2009 #  4,910,000  $4,885,283  45,391,000  $45,162,502  28,180,000  $28,044,730 
U.S. Treasury Bills for an             
effective yield of 0.629%,             
November 19, 2009 #  35,000,001  34,859,020  13,350,000  13,296,227  13,217,000  13,163,762 
U.S. Treasury Cash             
Management Bills for             
an effective yield of 0.883%,             
May 15, 2009 #  824,999  824,113  20,683,000  20,660,768  1,755,000  1,753,113 
Victory Receivables Corp.             
for an effective yield of 0.55%,             
April 17, 2009  20,000,000  19,995,111  —  —  15,000,000  14,996,333 
Working Capital Management             
Co. for an effective yield of 0.75%             
April 1, 2009  —  —  —  —  8,000,000  8,000,000 
Working Capital Management             
Co. for an effective yield of             
0.75%, April 2, 2009  16,000,000  15,999,667  —  —  —  — 
Interest in $105,600,000 joint             
tri-party repurchase agreement             
dated March 31, 2009 with Bank             
of America Securities, LLC due             
April 1, 2009 — maturity value             
of $1,318,009 for an effective             
yield of 0.24% (collateralized by             
mortgage-backed securities with             
a coupon rate of 5.50% and a             
due date of June 1, 2038 valued             
at $107,712,000)  1,318,000  1,318,000  —  —  —  — 
Federated Prime             
Obligations Fund  97,790,603  97,790,603  196,816,580  196,816,580  157,451,054 157,451,054 
Total short-term investments             
(cost $203,413,201, $301,731,016             
and $268,889,908)    $203,413,201    $301,731,016    $268,889,908 
 
 
TOTAL INVESTMENTS             
Total investments (cost $1,973,284,661,           
$2,154,106,003 and $1,501,472,590)  $1,634,804,776  $1,884,075,959  $1,386,188,109 

152

Key to holding’s currency abbreviations

AUD  Australian Dollar 
BRL  Brazilian Real 
CAD  Canadian Dollar 
EUR  Euro 
GBP  British Pound 
JPY  Japanese Yen 
MXN  Mexican Peso 
PEN  Peruvian Neuvo Sol 
PLN  Polish Zloty 

USD / $ United States Dollar

* Percentages indicated are based on net assets as follows:

Growth portfolio  $1,343,469,026 
Balanced portfolio  1,192,685,285 
Conservative portfolio  819,480,445 

† Non-income-producing security.

†† 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.

‡‡ Income may be received in cash or additional securities at the discretion of the issuer.

# These securities, in part or entirety, were pledged and segregated with the custodian or broker to cover margin requirements for futures contracts and collateral on certain swap contracts, for one or more of the funds, at March 31, 2009.

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 March 31, 2009. 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 (Notes 1 and 5).

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 March 31, 2009, fair value pricing was also used for certain foreign securities in the portfolio (Note 1).

R Real Estate Investment Trust.

At March 31, 2009, liquid assets totaling $751,803,330, $1,025,055,896 and $711,733,521 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) have been designated as collateral for open forward commitments, swap contracts, forward contracts, options and futures contracts.

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

TBA after the name of a security represents to be announced securities (Note 1).

The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at March 31, 2009.

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

Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at March 31, 2009.

153

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of risk at March 31, 2009 (as a percentage of Portfolio Value):

Growth Portfolio   
United States  79.3% 
United Kingdom  3.7 
Japan  3.6 
France  1.5 
Italy  1.2 
China  1.1 
Switzerland  0.9 
Brazil  0.8 
Australia  0.7 
Canada  0.6 
Belgium  0.5 
South Korea  0.5 
Netherlands  0.5 
Other  5.1 
Total  100.0% 
 
Balanced Portfolio   
United States  89.5% 
United Kingdom  2.3 
Japan  1.7 
France  0.9 
Switzerland  0.6 
Canada  0.5 
Italy  0.5 
Other  4.0 
Total  100.0% 
 
Conservative Portfolio   
United States  92.6% 
United Kingdom  1.7 
Japan  1.1 
France  0.6 
Canada  0.5 
Other  3.5 
Total  100.0% 

154

Growth Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 3/31/09 (aggregate face value $258,593,947) (Unaudited) 
 
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $60,273,819  $57,679,185  4/15/09  $2,594,634 
Brazilian Real  1,987,695  1,902,692  4/15/09  85,003 
British Pound  30,872,448  30,353,511  4/15/09  518,937 
Canadian Dollar  5,269,244  5,146,796  4/15/09  122,448 
Chilean Peso  2,731,192  2,578,015  4/15/09  153,177 
Czech Koruna  793,247  815,131  4/15/09  (21,884) 
Danish Krone  1,115,504  1,061,182  4/15/09  54,322 
Euro  55,827,134  53,794,525  4/15/09  2,032,609 
Hong Kong Dollar  4,968,152  4,963,965  4/15/09  4,187 
Hungarian Forint  901,928  888,429  4/15/09  13,499 
Japanese Yen  41,119,158  41,499,800  4/15/09  (380,642) 
Mexican Peso  1,126,071  1,071,235  4/15/09  54,836 
New Zealand Dollar  322,110  308,353  4/15/09  13,757 
Norwegian Krone  32,341,054  32,678,358  4/15/09  (337,304) 
Polish Zloty  1,990,133  1,827,498  4/15/09  162,635 
Singapore Dollar  4,952,655  4,881,092  4/15/09  71,563 
South African Rand  2,986,625  2,823,611  4/15/09  163,014 
South Korean Won  395,302  355,157  4/15/09  40,145 
Swedish Krona  8,553,136  7,703,703  4/15/09  849,433 
Swiss Franc  6,303,123  6,105,544  4/15/09  197,579 
Turkish Lira (New)  163,874  156,165  4/15/09  7,709 
Total        $6,399,657 
 
 
FORWARD CURRENCY CONTRACTS TO SELL at 3/31/09 (aggregate face value $288,310,146) (Unaudited) 
 
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $9,237,231  $8,501,071  4/15/09  $(736,160) 
Brazilian Real  1,898,627  1,806,367  4/15/09  (92,260) 
British Pound  44,789,659  44,228,619  4/15/09  (561,040) 
Canadian Dollar  43,192,799  43,069,428  4/15/09  (123,371) 
Czech Koruna  1,581,382  1,503,992  4/15/09  (77,390) 
Euro  92,834,675  88,398,070  4/15/09  (4,436,605) 
Hong Kong Dollar  1,481,059  1,479,839  4/15/09  (1,220) 
Hungarian Forint  1,477,009  1,387,987  4/15/09  (89,022) 
Japanese Yen  14,021,476  14,040,411  4/15/09  18,935 
Mexican Peso  1,250,005  1,143,847  4/15/09  (106,158) 
New Zealand Dollar  671,903  580,807  4/15/09  (91,096) 
Norwegian Krone  16,190,992  15,303,329  4/15/09  (887,663) 
Polish Zloty  1,338,300  1,220,208  4/15/09  (118,092) 
Singapore Dollar  9,305,071  9,170,815  4/15/09  (134,256) 
South African Rand  2,250,080  2,045,287  4/15/09  (204,793) 
South Korean Won  710,729  638,762  4/15/09  (71,967) 
Swedish Krona  25,176,305  23,824,489  4/15/09  (1,351,816) 
Swiss Franc  26,240,370  25,799,620  4/15/09  (440,750) 
Taiwan Dollar  3,441,548  3,369,860  4/15/09  (71,688) 
Turkish Lira (New)  875,161  797,338  4/15/09  (77,823) 
Total        $(9,654,235) 

155

FUTURES CONTRACTS OUTSTANDING at 3/31/09 (Unaudited)     
 
        Unrealized 
Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Australian Government Treasury         
Bond 10 yr (Short)  2  $997,060  Jun-09  $1,245 
Canadian Government Bond         
10 yr (Long)  9  904,928  Jun-09  14,355 
Canadian Government Bond         
10 yr (Short)  24  2,413,142  Jun-09  (38,749) 
Dow Jones Euro Stoxx 50         
Index (Short)  1,725  45,659,082  Jun-09  (919,012) 
Euro-Bobl 5 yr (Long)  17  2,631,770  Jun-09  (6,038) 
Euro-Bund 10 yr (Long)  132  21,813,724  Jun-09  99,220 
Euro-Bund 10 yr (Short)  1  165,255  Jun-09  (694) 
Euro-Dollar 90 day (Short)  33  8,159,250  Jun-09  (135,552) 
Euro-Dollar 90 day (Short)  126  31,155,075  Sep-09  (592,831) 
Euro-Dollar 90 day (Short)  125  30,860,938  Dec-09  (613,828) 
Euro-Dollar 90 day (Short)  6  1,480,500  Mar-10  (35,679) 
Euro-Euribor Interest Rate         
90 day (Long)  189  61,381,578  Dec-10  281,804 
Euro-Euribor Interest Rate         
90 day (Long)  80  26,052,010  Sep-10  73,207 
Euro-Euribor Interest Rate         
90 day (Short)  67  21,926,450  Dec-09  (75,121) 
Euro-Euribor Interest Rate         
90 day (Short)  80  26,224,663  Sep-09  (92,531) 
Euro-Schatz 2 yr (Short)  2  287,653  Jun-09  (1,082) 
Hang Seng Index (Short)  69  6,034,451  Apr-09  102,558 
IBEX 35 Index (Long)  61  6,313,834  Apr-09  179,854 
Japanese Government Bond         
10 yr (Long)  11  15,337,606  Jun-09  (85,234) 
Japanese Government Bond         
10 yr (Short)  15  20,914,917  Jun-09  111,963 
Japanese Government Bond 10 yr         
Mini (Long)  35  4,874,495  Jun-09  (17,703) 
FTSE 100 Index (Long)  353  19,671,433  Jun-09  519,872 
FTSE 100 Index (Short)  243  13,541,525  Jun-09  (354,390) 
OMXS 30 Index (Short)  423  3,317,672  Apr-09  77,185 
Russell 2000 Index Mini (Long)  61  2,569,930  Jun-09  482,388 
Russell 2000 Index Mini (Short)  368  15,503,840  Jun-09  (2,638,076) 
S&P 500 Index (Long)  25  4,967,500  Jun-09  462,769 
S&P 500 Index E-Mini (Long)  7,308  290,401,650  Jun-09  38,159,486 
S&P 500 Index E-Mini (Short)  396  15,736,050  Jun-09  (711,911) 
S&P Mid Cap 400 Index E-Mini (Long)  778  37,958,620  Jun-09  5,580,645 
S&P Mid Cap 400 Index E-Mini (Short)  129  6,293,910  Jun-09  (772,968) 
S&P/Toronto Stock Exchange 60         
Index (Long)  111  9,266,884  Jun-09  1,312,119 
SGX MSCI Singapore Index (Short)  58  1,553,279  Apr-09  2,822 
SPI 200 Index (Long)  44  2,727,384  Jun-09  117,646 
SPI 200 Index (Short)  84  5,206,824  Jun-09  (248,485) 
Sterling 90 day (Long)  13  2,277,989  Sep-10  (2,777) 

156

FUTURES CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.     
 
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Sterling 90 day (Long)  13  $2,298,034  Sep-09  $(130) 
Tokyo Price Index (Short)  421  33,015,442  Jun-09  (3,430,426) 
U.K. Gilt 10 yr (Long)  39  6,892,565  Jun-09  30,623 
U.K. Gilt 10 yr (Short)  80  14,138,594  Jun-09  (437,398) 
U.S. Treasury Bond 20 yr (Long)  374  48,508,969  Jun-09  1,150,878 
U.S. Treasury Bond 20 yr (Short)  903  117,121,922  Jun-09  (4,228,241) 
U.S. Treasury Note 2 yr (Long)  11  2,396,797  Jun-09  11,048 
U.S. Treasury Note 2 yr (Short)  1,611  351,021,797  Jun-09  (1,642,040) 
U.S. Treasury Note 5 yr (Long)  107  12,707,922  Jun-09  173,581 
U.S. Treasury Note 5 yr (Short)  1,108  131,592,313  Jun-09  (1,881,938) 
U.S. Treasury Note 10 yr (Long)  2,743  340,346,297  Jun-09  6,148,840 
U.S. Treasury Note 10 yr (Short)  959  118,990,922  Jun-09  (2,398,833) 
Total        $33,732,441 

WRITTEN OPTIONS OUTSTANDING at 3/31/09 (premiums received $10,281,961) (Unaudited)   
 
  Contract  Expiration date/   
  amount  strike price  Value 
Citigroup, Inc. (Put)  $370,630  Jun-09/$5.00  $1,093,359 
Market Vectors Gold Minors ETF (Put)  183,546  Apr-09/32.00  69,711 
S&P 500 Future Option (Call)  340  Apr-09/875  310,250 
S&P 500 Future Option (Put)  68  Apr-09/650  31,450 
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 May 14, 2022.  4,114,000  May-12/5.51  60,969 
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 May 14, 2022.  4,114,000  May-12/5.51  676,324 
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 February 24, 2020.  15,097,000  Feb-10/5.08  44,083 
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 February 24, 2020.  15,097,000  Feb-10/5.08  2,563,924 
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 February 24, 2020.  15,097,000  Feb-10/5.22  35,780 
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 February 24, 2020.  15,097,000  Feb-10/5.22  2,736,935 
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 May 19, 2019.  71,807,000  May-09/4.735  718 
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 May 19, 2019.  71,807,000  May-09/4.735  11,496,300 
Option on an interest rate swap with JPMorgan Chase Bank,       
N.A. for the obligation to pay a fixed rate of 4.4% versus the       
three month USD-LIBOR-BBA maturing November 9, 2019.  5,503,000  Nov-09/4.40  665,753 
Option on an interest rate swap with JPMorgan Chase Bank, N.A.       
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  22,397 
Total      $19,807,953 

157

 
TBA SALE COMMITMENTS OUTSTANDING at 3/31/09 (proceeds receivable $80,794,258) (Unaudited) 
 
  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, April 1, 2039  $7,000,000  4/13/09  $7,264,688 
FNMA, 5s, April 1, 2039  18,000,000  4/13/09  18,568,130 
FNMA, 4 1/2s, April 1, 2039  54,000,000  4/13/09  55,147,500 
Total      $80,980,318 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (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%  $126,022 
3,100,000  —  7/18/13  4.14688%  3 month USD-   
        LIBOR-BBA  (285,403) 
13,614,000  —  8/26/18  3 month USD-     
      LIBOR-BBA  4.54375%  2,001,489 
83,620,000  —  9/10/10  3 month USD-     
      LIBOR-BBA  3.22969%  2,399,242 
39,560,000  —  9/18/38  4.36125%  3 month USD-   
        LIBOR-BBA  (8,412,273) 
469,369,000  —  9/18/10  3 month USD-     
      LIBOR-BBA  2.86667%  11,108,194 
5,019,000  (15,667)  10/1/18  4.30%  3 month USD-   
        LIBOR-BBA  (726,770) 
12,082,000  37,713  10/1/18  3 month USD-     
      LIBOR-BBA  4.30%  1,749,520 
14,105,000  (59,436)  10/8/38  3 month USD-     
      LIBOR-BBA  4.30%  3,010,097 
1,820,000  (687)  10/20/18  4.60%  3 month USD-   
        LIBOR-BBA  (306,117) 
1,350,000  510  10/20/18  3 month USD-     
      LIBOR-BBA  4.60%  227,065 
2,876,000  (2,614)  10/20/10  3.00%  3 month USD-   
        LIBOR-BBA  (110,934) 
4,367,000  3,970  10/20/10  3 month USD-     
      LIBOR-BBA  3.00%  168,446 
7,200,000  —  3/2/11  5.815%  3 month USD-   
        LIBOR-BBA  (631,320) 
1,361,000  —  10/26/12  4.6165%  3 month USD-   
        LIBOR-BBA  (153,718) 
42,391,000  —  5/19/10  3.2925%  3 month USD-   
        LIBOR-BBA  (1,446,121) 
11,271,000  —  7/22/10  3 month USD-     
      LIBOR-BBA  3.5375%  390,076 
308,000  —  5/7/38  4.8775%  3 month USD-   
        LIBOR-BBA  (100,513) 
3,543,000  —  5/8/28  4.95%  3 month USD-   
        LIBOR-BBA  (952,001) 

158

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.   
    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) 
Barclays Bank PLC           
  $190,590,000  $—  12/9/10  3 month USD-     
        LIBOR-BBA  2.005%  $3,252,347 
  35,394,000  —  12/9/20  3 month USD-     
        LIBOR-BBA  2.91875%  (31,487) 
  108,042,000  —  12/17/13  2.42875%  3 month USD-   
          LIBOR-BBA  (1,988,860) 
Citibank, N.A.           
  16,000,000  —  7/21/18  4.80625%  3 month USD-   
          LIBOR-BBA  (2,757,494) 
MXN  34,130,000 F  —  7/18/13  1 month MXN-     
        TIIE-BANXICO  9.175%  190,565 
MXN  10,240,000  —  7/22/13  1 month MXN-     
        TIIE-BANXICO  9.21%  54,677 
  $10,400,000  —  9/5/13  3.905%  3 month USD-   
          LIBOR-BBA  (817,407) 
AUD  3,900,000 E  —  9/11/18  6.1%  6 month AUD-   
          BBR-BBSW  (33,489) 
  $89,465,000  —  9/17/13  3 month USD-     
        LIBOR-BBA  3.4975%  5,389,547 
  38,242,000  —  9/18/38  4.45155%  3 month USD-   
          LIBOR-BBA  (8,794,075) 
  228,426,000  —  9/18/10  3 month USD-     
        LIBOR-BBA  2.92486%  5,602,660 
  4,533,000  —  6/29/18  2.477%  3 month USD-   
          LIBOR-BBA  96,681 
  22,334,000  —  2/24/16  2.77%  3 month USD-   
          LIBOR-BBA  (341,000) 
  12,009,000  —  3/25/19  2.95%  3 month USD-   
          LIBOR-BBA  (82,190) 
  34,939,000  —  3/27/14  3 month USD-     
        LIBOR-BBA  2.335%  200,164 
Credit Suisse International           
  30,000  —  9/16/10  3.143%  3 month USD-   
          LIBOR-BBA  (830) 
  93,873,000  —  9/18/10  3 month USD-     
        LIBOR-BBA  2.91916%  2,294,743 
  28,339,000  —  9/23/10  3 month USD-     
        LIBOR-BBA  3.32%  863,236 
  90,890,000  —  10/9/10  3 month USD-     
        LIBOR-BBA  2.81%  3,043,212 
  10,535,000  7,391  10/31/13  3.80%  3 month USD-   
          LIBOR-BBA  (913,041) 
  6,003,000  5,707  10/31/18  4.35%  3 month USD-   
          LIBOR-BBA  (864,524) 
  28,000,000  —  12/5/20  3 month USD-     
        LIBOR-BBA  3.01%  246,553 
  34,401,000  —  9/23/38  4.7375%  3 month USD-   
          LIBOR-BBA  (9,789,357) 

159

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

  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) 
Credit Suisse International cont.         
$27,680,000  $(295,856)  12/10/38  2.69%  3 month USD-   
        LIBOR-BBA  $ 2,509,946 
21,230,000  226,915  12/10/38  3 month USD-     
      LIBOR-BBA  2.69%  (1,925,078) 
4,354,000  —  6/30/38  2.71%  3 month USD-   
        LIBOR-BBA  420,937 
9,050,000  —  1/16/19  3 month USD-     
      LIBOR-BBA  2.32%  (399,755) 
791,278,000  —  1/30/11  1.4725%  3 month USD-   
        LIBOR-BBA  (2,081,265) 
82,713,000  —  1/30/29  3 month USD-     
      LIBOR-BBA  3.225%  328,756 
45,828,000  —  2/5/14  2.475%  3 month USD-   
        LIBOR-BBA  (693,153) 
14,904,000  —  2/5/29  3 month USD-     
      LIBOR-BBA  3.35%  330,962 
1,000,000  —  3/23/19  2.79%  3 month USD-   
        LIBOR-BBA  7,197 
2,000,000  —  3/23/19  2.81%  3 month USD-   
        LIBOR-BBA  10,865 
Deutsche Bank AG           
9,603,000  —  9/23/38  4.75%  3 month USD-   
        LIBOR-BBA  (2,755,762) 
16,390,000  —  10/17/18  4.585%  3 month USD-   
        LIBOR-BBA  (2,733,425) 
155,211,000  —  10/24/10  3 month USD-     
      LIBOR-BBA  2.604%  4,628,859 
300,000  —  11/21/18  3.75%  3 month USD-   
        LIBOR-BBA  (26,819) 
10,667,000  9,135  11/21/10  2.25%  3 month USD-   
        LIBOR-BBA  (228,095) 
256,319,000  —  11/25/13  3 month USD-     
      LIBOR-BBA  2.95409%  11,538,265 
85,413,000  —  12/5/13  2.590625%  3 month USD-   
        LIBOR-BBA  (2,299,671) 
71,471,000  —  12/9/13  3 month USD-     
      LIBOR-BBA  2.5225%  1,672,965 
27,626,000  —  12/11/18  3 month USD-     
      LIBOR-BBA  2.94%  431,179 
4,139,000  —  12/15/18  3 month USD-     
      LIBOR-BBA  2.80776%  14,737 
12,532,000  —  12/16/28  3 month USD-     
      LIBOR-BBA  2.845%  (606,408) 
46,346,000  —  12/17/23  3 month USD-     
      LIBOR-BBA  2.81682%  (1,554,014) 
120,558,000  —  12/19/10  3 month USD-     
      LIBOR-BBA  1.53429%  897,908 
3,000,000  —  12/22/13  2.008%  3 month USD-   
        LIBOR-BBA  5,324 

160

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

  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) 
Deutsche Bank AG cont.           
$32,750,000  $—  12/24/13  2.165%  3 month USD-   
        LIBOR-BBA  $(184,767) 
51,604,000  —  12/30/13  2.15633%  3 month USD-   
        LIBOR-BBA  (257,622) 
55,500,000  —  1/8/29  3 month USD-     
      LIBOR-BBA  3.19625%  10,291 
177,800,000  —  1/8/14  2.375%  3 month USD-   
        LIBOR-BBA  (2,030,828) 
9,717,000  —  1/9/14  3 month USD-     
      LIBOR-BBA  2.165%  13,198 
16,347,000  —  1/13/19  3 month USD-     
      LIBOR-BBA  2.52438%  (430,261) 
11,546,000  —  1/20/19  3 month USD-     
      LIBOR-BBA  2.347%  (487,639) 
14,573,000  —  1/28/29  3 month USD-     
      LIBOR-BBA  3.1785%  (44,145) 
76,845,000  —  1/30/11  3 month USD-     
      LIBOR-BBA  1.45%  184,199 
13,167,000  —  2/3/19  3.01%  3 month USD-   
        LIBOR-BBA  (205,066) 
47,050,000  —  2/5/29  3 month USD-     
      LIBOR-BBA  3.324%  860,816 
131,840,000  —  2/5/14  2.44661%  3 month USD-   
        LIBOR-BBA  (1,815,561) 
103,816,000  —  2/6/14  2.5529%  3 month USD-   
        LIBOR-BBA  (1,950,373) 
37,021,000  —  2/6/29  3 month USD-     
      LIBOR-BBA  3.42575%  1,241,327 
40,000,000  —  2/6/14  2.5675%  3 month USD-   
        LIBOR-BBA  (779,165) 
22,000,000  —  2/9/14  2.525%  3 month USD-   
        LIBOR-BBA  (379,693) 
19,000,000  —  2/10/14  2.55%  3 month USD-   
        LIBOR-BBA  (349,952) 
50,767,000  —  2/10/14  2.5825%  3 month USD-   
        LIBOR-BBA  (1,013,542) 
16,154,000  —  2/10/29  3 month USD-     
      LIBOR-BBA  3.4725%  651,255 
21,458,000  —  2/25/14  2.4675%  3 month USD-   
        LIBOR-BBA  (292,761) 
465,000,000  —  3/16/11  1.6725%  3 month USD-   
        LIBOR-BBA  (2,627,347) 
230,000,000  —  3/16/16  3 month USD-     
      LIBOR-BBA  2.85%  4,351,792 
57,000,000  —  3/16/29  3.29%  3 month USD-   
        LIBOR-BBA  (606,718) 
129,003,000  —  3/20/11  3 month USD-     
      LIBOR-BBA  1.43%  110,656 

161

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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) 
Deutsche Bank AG cont.           
  $1,000,000  $—  3/23/19  2.8225%  3 month USD-   
          LIBOR-BBA  $4,330 
  77,000,000  —  3/23/11  3 month USD-     
        LIBOR-BBA  1.45%  105,143 
  161,000,000  —  3/30/14  2.36%  3 month USD-   
          LIBOR-BBA  (1,083,066) 
  74,000,000  —  3/30/21  3 month USD-     
        LIBOR-BBA  3.125%  739,139 
Goldman Sachs International         
  4,135,000  —  3/27/13  3 month USD-     
        LIBOR-BBA  3.4625%  236,374 
  1,425,000  —  3/29/38  4.665%  3 month USD-   
          LIBOR-BBA  (382,253) 
  16,446,000  —  4/3/18  3 month USD-     
        LIBOR-BBA  4.19%  2,143,129 
  2,594,000  —  4/23/18  4.43%  3 month USD-   
          LIBOR-BBA  (389,662) 
  7,739,000  —  5/19/18  4.525%  3 month USD-   
          LIBOR-BBA  (1,207,075) 
  68,619,000  —  11/25/28  3.38125%  3 month USD-   
          LIBOR-BBA  (2,345,419) 
  9,721,000  4,581  10/24/10  3 month USD-     
        LIBOR-BBA  2.60%  293,737 
  42,741,000  (264,562)  11/18/18  3 month USD-     
        LIBOR-BBA  4.10%  4,896,584 
  147,319,000  (536,787)  11/18/13  3 month USD-     
        LIBOR-BBA  3.45%  9,656,592 
  6,472,000  1,780  11/18/10  2.35%  3 month USD-   
          LIBOR-BBA  (154,627) 
  117,597,000  (32,345)  11/18/10  3 month USD-     
        LIBOR-BBA  2.35%  2,810,999 
  9,840,000  —  1/23/19  2.61125%  3 month USD-   
          LIBOR-BBA  185,805 
EUR  20,420,000  —  2/3/11  6 month EUR-     
        EURIBOR-     
        REUTERS  2.23%  193,376 
AUD   17,025,000 E —  2/14/12  3 month AUD-     
        BBR-BBSW  4.39%  (28,335) 
JPMorgan Chase Bank, N.A.         
  $37,233,000  —  3/5/18  4.325%  3 month USD-   
          LIBOR-BBA  (4,681,636) 
  7,633,000  —  3/7/18  4.45%  3 month USD-   
          LIBOR-BBA  (1,033,502) 
  6,495,000  —  3/12/18  3 month USD-     
        LIBOR-BBA  4.4525%  879,991 
  1,671,000  —  3/11/38  5.0025%  3 month USD-   
          LIBOR-BBA  (556,900) 
  13,753,000  —  3/11/38  5.03%  3 month USD-   
          LIBOR-BBA  (4,655,374) 

162

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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) 
JPMorgan Chase Bank, N.A. cont.         
  $78,169,000  $—  3/15/10  3 month USD-     
        LIBOR-BBA  2.5%  $992,409 
  10,478,000  —  3/20/13  3 month USD-     
        LIBOR-BBA  3.145%  472,891 
  16,151,000  —  3/20/13  3 month USD-     
        LIBOR-BBA  3.13%  719,644 
  45,327,000  —  3/25/10  3 month USD-     
        LIBOR-BBA  2.325%  510,375 
  8,543,000  —  3/26/10  3 month USD-     
        LIBOR-BBA  2.33375%  96,875 
  7,675,000  —  4/8/13  3 month USD-     
        LIBOR-BBA  3.58406%  581,279 
  5,417,000  —  5/7/13  3.9325%  3 month USD-   
          LIBOR-BBA  (486,618) 
  601,000  —  5/16/18  4.53%  3 month USD-   
          LIBOR-BBA  (94,065) 
  6,577,000  —  5/23/10  3 month USD-     
        LIBOR-BBA  3.16%  210,588 
  26,000,000  —  6/13/13  4.47%  3 month USD-   
          LIBOR-BBA  (2,872,268) 
  2,000,000  —  6/27/18  3 month USD-     
        LIBOR-BBA  4.8305%  357,348 
  51,868,000  —  7/16/10  3 month USD-     
        LIBOR-BBA  3.384%  1,684,402 
  9,027,000  —  7/22/10  3 month USD-     
        LIBOR-BBA  3.565%  315,813 
  90,110,000  —  7/28/10  3 month USD-     
        LIBOR-BBA  3.5141%  3,066,032 
AUD  19,520,000 E —  8/6/18  6 month AUD-     
        BBR-BBSW  6.865%  569,318 
  $18,200,000  —  9/23/38  4.70763%  3 month USD-   
          LIBOR-BBA  (5,074,877) 
  39,500,000  —  10/9/13  3.5576%  3 month USD-   
          LIBOR-BBA  (3,010,857) 
  27,685,000  —  10/23/13  3 month USD-     
        LIBOR-BBA  3.535%  2,077,475 
  4,092,000  (12,037)  11/4/18  3 month USD-     
        LIBOR-BBA  4.45%  614,306 
  24,111,000  —  11/10/18  3 month USD-     
        LIBOR-BBA  4.83%  4,497,028 
  42,300,000  —  11/10/18  4.12%  3 month USD-   
          LIBOR-BBA  (5,209,360) 
  26,000,000  —  11/24/10  3 month USD-     
        LIBOR-BBA  2.0075%  450,079 
  12,511,000  —  12/19/18  5%  3 month USD-   
          LIBOR-BBA  (2,480,524) 
PLN  10,550,000  —  1/26/11  6 month PLN-     
        WIBOR-WIBO  4.177%  (36,379) 

163

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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) 
JPMorgan Chase Bank, N.A. cont.         
  $8,260,000  $—  1/27/24  3.1%  3 month USD-   
          LIBOR-BBA  $32,361 
AUD  13,620,000 E —  1/27/12  3 month AUD-     
        BBR-BBSW  4.21%  (36,383) 
  $4,130,000  —  2/3/24  3 month USD-     
        LIBOR-BBA  3.2825%  74,105 
AUD  7,870,000  —  2/24/19  4.825%  6 month AUD-   
          BBR-BBSW  51,192 
  $93,087,000  —  3/3/11  3 month USD-     
        LIBOR-BBA  1.68283%  579,964 
EUR  16,550,000  —  3/4/14  1 month EUR-     
        EURIBOR-     
        REUTERS  2.74%  88,666 
GBP  11,370,000  —  3/4/12  6 month GBP-     
        LIBOR-BBA  2.535%  24,743 
  $7,111,000  —  3/6/39  3.48%  3 month USD-   
          LIBOR-BBA  (317,397) 
AUD  5,902,500  —  3/6/19  4.93%  6 month AUD-   
          BBR-BBSW  9,366 
CAD  6,990,000  —  3/16/11  0.98%  3 month CAD-   
          BA-CDOR  (14,424) 
CAD  1,540,000  —  3/16/19  3 month CAD-     
        BA-CDOR  2.7%  23,543 
CAD  7,170,000  —  3/17/13  1.56%  3 month CAD-   
          BA-CDOR  (34,971) 
  $7,290,000  —  3/19/13  3 month USD-     
        LIBOR-BBA  2.28%  85,955 
  2,340,000  —  3/19/24  3.37%  3 month USD-   
          LIBOR-BBA  (59,422) 
CAD  2,290,000  —  3/17/24  3 month CAD-     
        BA-CDOR  3.46%  40,359 
  $110,000,000  —  3/20/19  3.20875%  3 month USD-   
          LIBOR-BBA  (3,283,642) 
  52,000,000  —  3/24/11  3 month USD-     
        LIBOR-BBA  1.4625%  83,338 
EUR  30,200,000  —  3/30/11  6 month EUR-     
        EURIBOR-     
        REUTERS  1.972%  128,379 
  $9,100,000  —  3/30/19  3 month USD-     
        LIBOR-BBA  2.945%  55,905 
UBS AG             
  350,263,000  —  11/6/10  3 month USD-     
        LIBOR-BBA  2.64%  10,570,208 
  8,289,000  275,540  11/10/28  4.45%  3 month USD-   
          LIBOR-BBA  (1,358,099) 
  19,041,000  (483,711)  11/10/18  3 month USD-     
        LIBOR-BBA  4.45%  2,421,855 
  36,125,000  (475,265)  11/24/38  3 month USD-     
        LIBOR-BBA  3.3%  207,964 

164

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.   
 
  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) 
UBS AG cont.           
$1,229,000  $(5,999)  11/24/18  3 month USD-     
      LIBOR-BBA  3.4%  $65,192 
4,707,000  (1,486)  11/24/10  3 month USD-     
      LIBOR-BBA  2.05%  84,176 
37,976,000  —  11/24/10  3 month USD-     
      LIBOR-BBA  2.05%  691,121 
Total          $18,130,479 

E See Note 1 to the financial statements 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.

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/09 (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) 
Deutsche Bank AG         
EUR  8,850,000 F 3/27/14  1.785%  Eurostat Eurozone  $7,368 
        HICP excluding   
        tobacco   
Goldman Sachs International         
EUR  14,750,000  4/30/13  2.375%  French Consumer  647,040 
        Price Index   
        excluding tobacco   
EUR  14,750,000  4/30/13  (2.41%)  Eurostat Eurozone  (769,670) 
        HICP excluding   
        tobacco   
EUR  14,750,000  5/6/13  2.34%  French Consumer  619,027 
        Price Index   
        excluding tobacco   
EUR  14,750,000  5/6/13  (2.385%)  Eurostat Eurozone  (752,040) 
        HICP excluding   
        tobacco   
  $1,095,141 F 8/28/09  (3 month USD-  iShares MSCI  3,915,932 
      LIBOR-BBA minus  Emerging Markets   
      85 bp)  Index   
JPMorgan Chase Bank, N.A.         
  1,114,907  8/19/09  (3 month USD-  iShares MSCI  3,043,662 
      LIBOR-BBA minus  Emerging Markets   
      125 bp)  Index   
Morgan Stanley Capital Services, Inc.         
  2,368  8/4/09  (3 month USD-  MSCI Daily Total  16,233 
      LIBOR-BBA minus  Return Net   
      3.30%)  Emerging Markets   
        India USD Index   

165

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.   
 
    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) 
UBS AG         
$1,632  2/8/10  (3 month USD-  MSCI Daily Total  $7,092 
    LIBOR-BBA minus  Return Net   
    3.50%)  Emerging Markets   
      India USD Index   
Total        $6,734,644 

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.

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (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  Ca  $—  $530,000  9/20/09  635 bp  $(118,313) 
Computer Science             
Corp., 5%, 2/15/13  —  —  1,190,000  3/20/18  (71 bp)  (1,246) 
DJ ABX CMBX BBB          
Index  —  255  370,000 F   10/12/52  (134 bp)  321,970 
Embarq Corp.,             
7.082%, 6/1/16  —  —  950,000  6/20/16  (265 bp)  (88,189) 
Limited Brands,             
Inc., 6 1/8%,             
12/1/12  —  —  935,000  12/20/12  (252 bp)  73,211 
Marriott             
International, 4             
5/8%, 6/15/12  —  —  475,000  6/20/12  (139 bp)  37,221 
Mattel, Inc.,             
7 1/4%, 7/9/12  —  —  1,645,000  3/20/13  (157.2 bp)  (8,758) 
MetLife Inc., 5%,             
6/15/15  —  —  395,000  12/20/13  (384 bp)  60,672 
Motorola, Inc.,             
6.5%, 9/1/25  —  —  1,790,000  11/20/11  (240 bp)  33,926 
Nalco Co., 7.75%,             
11/15/11  B1  —  70,000  9/20/12  350 bp  (5,419) 
Ryder System Inc.,             
6.95%, 12/1/25  —  —  1,645,000  3/20/13  (135 bp)  111,070 
Sealed Air Corp.,             
5 5/8%, 7/15/13  —  —  1,040,000  9/20/13  (169 bp)  40,371 
Spectra Energy             
Capital, 6 1/4%,             
2/15/13  —  —  1,645,000  9/20/14  (115 bp)  (13,149) 
Tyson Foods, Inc.,             
6.6%, 4/1/16  —  —  1,485,000  12/20/11  (370 bp)  (30,701) 
Tyson Foods, Inc.,             
6.6%, 4/1/16  —  —  1,485,000  10/20/11  (370 bp)  (38,379) 

166

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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. cont.             
Visteon Corp., 7%,             
3/10/14  —  $(127,500)  $480,000  9/20/13  (500 bp)  $299,255 
Barclays Bank PLC             
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  69,445  505,889  7/25/45  18 bp  (14,009) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  54,926  379,259  7/25/45  18 bp  (7,639) 
DJ ABX HE PEN AAA             
Series 7 Version 1             
Index  A+  273,470  464,000  8/25/37  9 bp  (52,482) 
DJ CDX NA IG Series             
12 Version 1 Index  —  (420,047)  11,138,000  6/20/14  (100 bp)  58,590 
Citibank, N.A.             
Advanced Micro             
Devices, Inc.,             
7 3/4%, 11/1/12  Caa1  86,100  1,435,000  9/20/09  500 bp  (52,526) 
DJ ABX HE AAA Index  AA  513,565  2,669,065  5/25/46  11 bp  (700,803) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AA  107,016  541,143  5/25/46  11 bp  (139,193) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  34,119  221,920  7/25/45  18 bp  (2,490) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  397,746  2,329,288  5/25/46  11 bp  (662,030) 
Dominion Resources             
Inc., 5.15%, 7/15/15  —  —  5,295,000  6/20/18  (73 bp)  (26,810) 
Donnelley (R.R.) &             
Sons, 4.95%, 4/1/14  —  —  1,810,000  3/20/12  (102 bp)  278,306 
Hanson Plc, 7 7/8%,             
9/27/10  —  —  1,535,000  9/20/16  (71 bp)  731,110 
International Lease             
Finance Corp.,             
4.15%, 1/20/15  —  —  1,840,000  6/20/13  (222.50 bp)  679,862 
International Lease             
Finance Corp.,             
4.15%, 1/20/15  —  —  625,000  9/20/13  (105 bp)  250,488 
Lear Corp., T/L             
Bank Loan  —  —  265,000  6/20/13  (225 bp)  160,913 
Lear Corp., T/L             
Bank Loan  Caa1  —  265,000  6/20/13  700 bp  (144,604) 
Lexmark             
International,             
Inc., 5.9%, 6/1/13  Baa2  —  905,000  6/20/13  108.5 bp  69,177 

167

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
Citibank, N.A. cont.             
Limited Brands,             
Inc., 6 1/8%,             
12/1/12  —  $—  $1,755,000  12/20/12  (275 bp)  $124,646 
Limited Brands,             
Inc., 6 1/8%,             
12/1/12  —  —  295,000  6/20/11  (250 bp)  16,318 
Masco Corp.,             
5 7/8%, 7/15/12  —  —  2,370,000  3/20/17  (213 bp)  316,514 
Newell Rubbermaid,             
Inc., 6.35%, 7/15/28  —  —  1,375,000  6/20/13  (85 bp)  97,634 
Qwest Capital             
Funding, 7 3/4%,             
2/15/31  —  —  1,475,000  6/20/13  (263 bp)  70,982 
Rexam PLC, 4 3/8%,             
3/15/13  —  —  655,000  6/20/13  (145 bp)  60,651 
Telecom Italia SPA.             
5 3/8%, 1/29/19  —  —  4,865,000  9/20/11  (218 bp)  155,842 
Credit Suisse International             
Arrow Electronics,             
Inc., 6 7/8%, 6/1/18  —  —  1,405,000  10/1/10  (54.2 bp)  9,793 
DJ ABX HE AAA             
Series 7 Version 2             
Index  BB+  35,520  64,000  1/25/38  76 bp  (12,791) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  57,504  370,711  7/25/45  18 bp  (3,650) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  26,040  169,368  7/25/45  18 bp  (1,900) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  22,876  148,791  7/25/45  18 bp  (1,669) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  11,000  71,546  7/25/45  18 bp  (803) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  25,421  144,675  7/25/45  18 bp  1,555 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  47,484  283,969  7/25/45  18 bp  639 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  16,154  98,139  7/25/45  18 bp  (36) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  180,407  888,251  5/25/46  11 bp  (223,729) 

168

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
Credit Suisse International cont.           
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  $173,200  $537,263  5/25/46  11 bp  $(71,243) 
DJ ABX HE PEN AAA             
Series 7 Version 1             
Index  A+  347,938  586,000  8/25/37  9 bp  (63,717) 
DJ CMB NA CMBX AAA             
Index  AAA  83,722  503,000  12/13/49  8 bp  (84,256) 
DJ CMB NA CMBX AJ             
Index  —  (79,093)  246,000 F    2/17/51   (96 bp)  99,244 
DJ CMBX NA AAA             
Series 4 Version 1             
Index  —  (1,014,140)  2,455,000  2/17/51  (35 bp)  (181,511) 
Liberty Mutual             
Insurance, 7 7/8%,             
10/15/26  —  —  235,000  12/20/13  (210 bp)  17,461 
Southwest Airlines,             
5 1/4%, 10/1/14  —  —  590,000  3/20/12  (190 bp)  15,107 
Deutsche Bank AG             
Advanced Micro             
Devices, Inc.,             
7 3/4%, 11/1/12  Caa1  20,150  310,000  9/20/09  500 bp  (9,797) 
CBS Corp, 4 5/8%,             
5/15/18  —  —  1,705,000  6/20/11  (102 bp)  151,234 
CBS Corp., 4 5/8%,             
5/15/18  —  —  1,465,000  9/20/12  (87 bp)  195,944 
CenturyTel. Inc.,             
6%, 4/1/17  —  —  1,235,000  6/20/13  (170 bp)  (25,523) 
CNA Financial             
Corp., 5.85%,             
12/15/14  —  —  1,415,000  9/20/16  (155 bp)  137,628 
DJ ABX CMBX AAA             
Index  AAA  15,676  260,000 F   2/17/51   35 bp  (73,586) 
DJ ABX HE A Series             
7 Version 2 Index  CCC  256,620  279,642  1/25/38  369 bp  (15,131) 
DJ ABX HE AAA Index  AAA  87,269  1,104,792  7/25/45  18 bp  (310,418) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  24,041  145,942  7/25/45  18 bp  (35) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  136,544  389,796  5/25/46  11 bp  (40,805) 
DJ CDX NA HY Series             
11 Version 1 Index  B+  6,052,073  25,753,500  12/20/13  500 bp  (1,922,070) 
DJ CDX NA IG Series             
11 Version 1 Index  BBB+  158,178  7,515,000  12/20/13  150 bp  (105,448) 
DJ CDX NA IG Series             
12 Version 1 Index  —  (19,149)  485,000  6/20/14  (100 bp)  1,720 

169

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
Credit Suisse International cont.           
DJ CDX NA IG Series             
12 Version 1 Index  —  $(1,392,726)  $36,095,000  6/20/14  (100 bp)  $160,402 
DJ iTraxx Europe             
Series 9 Version 1  —  131,841 EUR 1,930,000  6/20/13  (650 bp)  569,702 
Expedia Inc.,             
7.456%, 8/15/18  —  —  $660,000  12/20/13  (310 bp)  43,525 
General Electric             
Capital Corp., 6%,             
6/15/12  C  —  460,000  9/20/13  109 bp  (95,922) 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  —  EUR 130,000  6/20/09  400 bp  (9,261) 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  —  EUR 470,000  6/20/09  400 bp  (33,482) 
Hanson PLC.,             
7 7/8%, 9/27/10  —  —  $260,000  9/20/16  (255 bp)  112,014 
Korea Monetary STAB             
Bond, 5.15%, 2/12/10  A2  —  1,335,000 F    2/19/10   115 bp  10,402 
Nalco Co., 7.75%,             
11/15/11  B1  —  60,000  12/20/12  363 bp  (4,753) 
Pacific Gas &             
Electric Co., 4.8%,             
3/1/14  A3  —  775,000  12/20/13  112 bp  (34,826) 
Packaging             
Corporation of             
America, 5 3/4%,             
8/1/13  —  —  1,730,000  9/20/13  (129 bp)  56,882 
Pitney Bowes, Inc.,             
4 5/8%, 10/1/12  —  —  615,000  3/20/18  (95 bp)  (9,770) 
PPG Industries,             
Inc., 7.05%, 8/15/09  —  —  915,000  3/20/18  (154 bp)  9,112 
Smurfit Kappa             
Funding, 10 1/8%,             
10/1/12  BB/P  —  EUR 420,000  6/20/09  135 bp  (7,766) 
Smurfit Kappa             
Funding, 7 3/4%,             
4/1/15  B2  —  EUR 435,000  9/20/13  715 bp  (55,510) 
Tyco Electronics             
Group, 6.55%,             
10/1/17  —  —  $940,000  12/20/17  (125.5 bp)  134,516 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  B2  —  EUR 605,000  9/20/13  477 bp  (42,416) 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  B2  —  EUR 605,000  9/20/13  535 bp  (26,220) 
Goldman Sachs International             
CNA Financial             
Corp., 5.85%,             
12/15/14  —  —  885,000  9/20/11  (160 bp)  51,513 

170

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
Goldman Sachs International cont.        
CSC Holdings, Inc.,             
7 5/8%, 7/15/18  B1  $—  $340,000  9/20/13  495 bp  $14,382 
CVS Caremark Corp.,             
4 7/8%, 9/15/14  —  —  595,000  9/20/13  (59 bp)  8,778 
CVS Caremark Corp.,             
4 7/8%, 9/15/14  —  —  740,000  9/20/11  (50 bp)  7,099 
DJ ABX HE A Index  CCC  94,484  139,821  1/25/38  369 bp  (41,391) 
DJ ABX HE AAA Index  AAA  79,132  1,001,779  7/25/45  18 bp  (281,474) 
DJ ABX HE AAA Index  BB+  33,138  141,000  1/25/38  76 bp  (73,296) 
DJ CDX NA CMBX AAA             
Index  AAA  8,778  240,000 F    3/15/49   7 bp  (59,013) 
DJ CDX NA HY Series             
11 Version 1 Index  B+  770,059  2,813,000  12/20/13  500 bp  (100,940) 
DJ CDX NA IG Series             
12 Version 1 Index  —  (953,163)  21,689,000  6/20/14  (100 bp)  — 
DJ CMB NA CMBX AAA             
Index  AAA  1,067,975  14,468,000  2/17/51  35 bp  (3,838,937) 
Lighthouse             
International Co,             
SA, 8%, 4/30/14  B3  —  EUR 1,195,000  3/20/13  680 bp  (580,526) 
Pearson PLC., 7%,             
10/27/14  —  —  $1,500,000  6/20/18  (96 bp)  (29,985) 
Smurfit Kappa             
Funding, 7 3/4%,             
4/1/15  B2  —  EUR 400,000  9/20/13  720 bp  (76,417) 
Southern California             
Edison Co., 7 5/8%,             
1/15/10  A3  —  $860,000  12/20/13  118.1 bp  (45,190) 
JPMorgan Chase Bank, N.A.             
AllTel Corp.,             
7 7/8%, 7/1/32  —  —  825,000  9/20/12  (95 bp)  (20,111) 
Anheuser-Busch Co.,             
Inc. 5 5/8%, 10/1/10  —  —  2,370,000  3/20/17  (133 bp)  (14,109) 
CenturyTel. Inc.,             
6%, 4/1/17  —  —  725,000  6/20/13  (95 bp)  6,832 
Codere Finance             
(Luxembourg) S.A.,             
8.25%, 6/15/15  B+  —  EUR 1,195,000  3/20/13  795 bp  (507,174) 
Cox Communications,             
Inc., 6.8%, 8/1/28  —  —  $2,360,000  3/20/10  (45 bp)  12,650 
Darden Restaurants,             
Inc., 6%, 8/15/35  —  —  1,485,000  12/20/17  (155.3 bp)  (9,501) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  118,053  581,244  5/25/46  11 bp  (146,401) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  138,216  388,933  5/25/46  11 bp  (38,740) 

171

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
JPMorgan Chase Bank, N.A. cont.           
DJ CMBX NA AAA             
Series 4 Version 1             
Index  —  $(702,897)  $1,800,000  2/17/51  (35 bp)  $(78,242) 
DJ CMBX NA AAA             
Series 4 Version 1             
Index  AAA  898,927  2,302,000  2/17/51  35 bp  100,063 
DJ iTraxx Europe             
Crossover Series 8             
Version 1  —  (456,173)   EUR 3,414,000  12/20/12  (375 bp)  682,498 
Embarq Corp.,             
7.082%, 6/1/16  —  —  $3,150,000  6/20/13  (337 bp)  (282,723) 
Expedia, Inc.,             
7.456%, 8/15/18  —  —  440,000  9/20/13  (300 bp)  28,675 
Freeport-McMoRan             
Copper & Gold,             
Inc., 8 3/8%, 4/1/17  —  —  1,345,000  6/20/12  (145 bp)  121,610 
General Growth             
Properties, conv.             
bond 3.98%, 4/15/27  Ba2  —  1,070,000  6/20/12  750 bp  (693,649) 
General Growth             
Properties, conv.             
bond 3.98%, 4/15/27  Ba3  —  130,000  6/20/12  750 bp  (84,275) 
General Growth             
Properties, conv.             
bond 3.98%, 4/15/27  Baa3  —  120,000  9/20/13  775 bp  (80,946) 
Lexmark             
International,             
Inc., 5.9%, 6/1/13  —  —  1,550,000  6/20/13  (113 bp)  115,852 
Nextel             
Communications,             
7 3/8%, 8/1/15  —  —  1,685,000  9/20/13  (540 bp)  330,664 
Sanmina-Sci Corp.,             
8 1/8%, 3/1/16  B3  —  280,000  6/20/13  595 bp  (148,419) 
TDC AS, 6 1/2%,             
4/19/12  —  —  EUR 655,000  9/20/13  (200 bp)  (6,764) 
Merrill Lynch Capital Services, Inc.           
Marriott             
International, 4             
5/8%, 6/15/12  —  —  $1,030,000  6/20/12  (247 bp)  53,824 
Pacific Gas &             
Electric Co., 4.8%,             
3/1/14  A3  —  815,000  12/20/13  113 bp  (36,278) 
Merrill Lynch International             
AllTel Corp.,             
7 7/8%, 7/1/32  —  —  5,835,000  9/20/12  (97 bp)  (146,303) 
AmerisourceBergen             
Corp., 5 7/8%,             
9/15/15  —  —  195,000  9/20/12  (65 bp)  1,058 

172

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
Merrill Lynch International cont.           
Block Financial             
LLC. 5 1/8%,             
10/30/14  —  $ —  $2,110,000  12/20/14  (69 bp)  $48,446 
Computer Sciences             
Corp, 5%, 2/15/13  —  —  750,000  3/20/13  (66 bp)  (23) 
Felcor Lodging LP,             
8 1/2%, 6/1/11  —  —  770,000  6/20/11  (316 bp)  229,850 
Liberty Media LLC.,             
5.7%, 5/15/13  —  —  1,490,000  6/20/09  (203 bp)  11,225 
MGM Mirage Inc.,             
5 7/8%, 2/27/14  —  —  1,318,000  9/20/10  (470 bp)  770,769 
Pearson PLC, 7%,             
10/27/14  —  —  970,000  6/20/18  (65 bp)  4,456 
Sara Lee Corp.,             
6 1/8%, 11/1/32  —  —  670,000  6/20/13  (55.5 bp)  2,268 
Supervalu, Inc.,             
7 1/2%, 05/15/12  —  —  5,760,000  8/1/09  (90 bp)  50,227 
Morgan Stanley Capital Services, Inc.           
DJ CDX NA IG Series             
12 Version 1 Index  —  (135,698)  3,340,000  6/20/14  (100 bp)  7,833 
DJ CDX NA IG Series             
12 Version 1 Index  —  (2,337,311)  52,653,000  6/20/14  (100 bp)  — 
Nalco Co., 7.75%,             
11/15/11  B1  —  70,000  9/20/12  330 bp  (5,835) 
Nalco Co., 7.75%,             
11/15/11  B1  —  110,000  3/20/13  460 bp  (5,789) 
UBS, AG             
Cardinal Health             
Inc., 5.85%,             
12/15/17  —  —  4,045,000  6/20/13  (49 bp)  43,511 
Hanson PLC.,             
7 7/8%, 9/27/10  —  —  610,000  9/20/16  (250 bp)  256,973 
Meritage Homes             
Corp., 7%, 5/1/14  —  —  195,000  9/20/13  (760 bp)  36,006 
Total            $(4,234,564) 

* 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, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2009. Securities rated by Putnam are indicated by "/P."

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.

173

Balanced Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 3/31/09 (aggregate face value $230,358,573) (Unaudited) 
 
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $60,683,181  $58,235,559  4/15/09  $2,447,622 
Brazilian Real  1,696,658  1,626,848  4/15/09  69,810 
British Pound  35,433,894  34,838,755  4/15/09  595,139 
Canadian Dollar  956,868  958,246  4/15/09  (1,378) 
Chilean Peso  2,380,836  2,247,220  4/15/09  133,616 
Czech Koruna  728,873  749,029  4/15/09  (20,156) 
Euro  47,466,749  45,867,534  4/15/09  1,599,215 
Hungarian Forint  1,176,090  1,142,667  4/15/09  33,423 
Japanese Yen  38,207,212  38,532,965  4/15/09  (325,753) 
Mexican Peso  1,069,175  1,015,420  4/15/09  53,755 
New Zealand Dollar  283,947  271,820  4/15/09  12,127 
Norwegian Krone  29,025,404  29,419,608  4/15/09  (394,204) 
Polish Zloty  1,790,806  1,644,767  4/15/09  146,039 
Singapore Dollar  724,033  713,648  4/15/09  10,385 
South African Rand  2,796,347  2,642,113  4/15/09  154,234 
South Korean Won  402,469  372,287  4/15/09  30,182 
Swedish Krona  6,769,051  6,112,708  4/15/09  656,343 
Swiss Franc  3,971,362  3,848,194  4/15/09  123,168 
Turkish Lira (New)  121,507  119,185  4/15/09  2,322 
Total        $5,325,889 
 
FORWARD CURRENCY CONTRACTS TO SELL at 3/31/09 (aggregate face value $260,918,261) (Unaudited) 
 
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $17,356,006  $15,981,856  4/15/09  $(1,374,150) 
Brazilian Real  2,486,055  2,365,250  4/15/09  (120,805) 
British Pound  49,008,332  48,409,416  4/15/09  (598,916) 
Canadian Dollar  32,946,046  32,699,531  4/15/09  (246,515) 
Czech Koruna  1,326,778  1,261,582  4/15/09  (65,196) 
Danish Krone  997,075  948,520  4/15/09  (48,555) 
Euro  80,085,453  76,087,771  4/15/09  (3,997,682) 
Hong Kong Dollar  740,091  739,491  4/15/09  (600) 
Hungarian Forint  1,712,434  1,610,625  4/15/09  (101,809) 
Japanese Yen  6,198,859  6,231,438  4/15/09  32,579 
Mexican Peso  1,235,647  1,130,708  4/15/09  (104,939) 
New Zealand Dollar  1,143,362  988,341  4/15/09  (155,021) 
Norwegian Krone  15,778,313  14,913,173  4/15/09  (865,140) 
Peruvian New Sol  3,260,938  3,146,415  4/15/09  (114,523) 
Polish Zloty  1,129,308  1,029,657  4/15/09  (99,651) 
Singapore Dollar  4,444,063  4,379,585  4/15/09  (64,478) 
South African Rand  2,118,627  1,925,718  4/15/09  (192,909) 
South Korean Won  624,250  561,165  4/15/09  (63,085) 
Swedish Krona  22,403,911  21,206,330  4/15/09  (1,197,581) 
Swiss Franc  22,002,664  21,668,592  4/15/09  (334,072) 
Taiwan Dollar  2,995,770  2,924,643  4/15/09  (71,127) 
Turkish Lira (New)  777,907  708,454  4/15/09  (69,453) 
Total        $(9,853,628) 

174

FUTURES CONTRACTS OUTSTANDING at 3/31/09 (Unaudited)     
  
        Unrealized 
Number of    Expiration  appreciation/ 
contracts  Value  date  (depreciation) 
Canadian Government Bond 10 yr (Long)  11  $1,106,023  Jun-09  $17,538 
Canadian Government Bond 10 yr (Short)  39  3,921,355  Jun-09  (62,967) 
Dow Jones Euro Stoxx 50 Index (Short)  1,613  42,694,550  Jun-09  (859,344) 
Euro-Bobl 5 yr (Long)  20  3,096,200  Jun-09  (7,104) 
Euro-Bund 10 yr (Long)  156  25,779,855  Jun-09  117,110 
Euro-Dollar 90 day (Short)  128  31,648,000  Jun-09  (525,023) 
Euro-Dollar 90 day (Short)  428  105,828,350  Sep-09  (2,015,202) 
Euro-Dollar 90 day (Short)  420  103,692,750  Dec-09  (2,058,642) 
Euro-Dollar 90 day (Short)  22  5,428,500  Mar-10  (130,885) 
Euro-Euribor Interest Rate 90 day (Long)  231  75,021,929  Dec-10  344,424 
Euro-Euribor Interest Rate 90 day (Long)  97  31,588,062  Sep-10  88,824 
Euro-Euribor Interest Rate 90 day (Short)  82  26,835,356  Dec-09  (92,024) 
Euro-Euribor Interest Rate 90 day (Short)  97  31,797,403  Sep-09  (112,262) 
Euro-Schatz 2 yr (Short)  1  143,827  Jun-09  (542) 
FTSE 100 Index (Long)  307  17,108,017  Jun-09  452,127 
FTSE 100 Index (Short)  249  13,875,884  Jun-09  (363,141) 
Hang Seng Index (Short)  36  3,148,409  Apr-09  53,509 
IBEX 35 Index (Long)  55  5,692,801  Apr-09  162,164 
Japanese Government Bond 10 yr (Long)  13  18,126,262  Jun-09  (100,180) 
Japanese Government Bond 10 yr (Short)  4  5,577,311  Jun-09  29,857 
OMXS 30 Index (Short)  518  4,062,776  Apr-09  94,520 
Russell 2000 Index Mini (Long)  55  2,317,150  Jun-09  434,940 
Russell 2000 Index Mini (Short)  382  16,093,660  Jun-09  (2,738,174) 
S&P 500 Index (Long)  11  2,185,700  Jun-09  165,671 
S&P 500 Index E-Mini (Long)  3,541  140,710,488  Jun-09  18,489,134 
S&P 500 Index E-Mini (Short)  348  13,828,650  Jun-09  (648,950) 
S&P Mid Cap 400 Index E-Mini (Long)  338  16,491,020  Jun-09  2,418,960 
S&P Mid Cap 400 Index E-Mini (Short)  117  5,708,430  Jun-09  (701,064) 
S&P/Toronto Stock Exchange 60 Index (Long)  94  7,847,631  Jun-09  1,111,163 
SGX MSCI Singapore Index (Short)  63  1,687,182  Apr-09  3,066 
SPI 200 Index (Long)  29  1,797,594  Jun-09  77,540 
SPI 200 Index (Short)  80  4,958,880  Jun-09  (236,653) 
Sterling 90 day (Long)  16  2,803,678  Sep-10  (3,421) 
Sterling 90 day (Long)  16  2,828,350  Sep-09  (119) 
Tokyo Price Index (Short)  414  32,466,492  Jun-09  (3,334,074) 
U.K. Gilt 10 yr (Long)  50  8,836,621  Jun-09  46,530 
U.K. Gilt 10 yr (Short)  89  15,729,186  Jun-09  (486,605) 
U.S. Treasury Bond 20 yr (Long)  275  35,668,359  Jun-09  1,011,892 
U.S. Treasury Bond 20 yr (Short)  818  106,097,156  Jun-09  (3,830,234) 
U.S. Treasury Note 2 yr (Short)  1,816  395,689,375  Jun-09  (1,851,854) 
U.S. Treasury Note 5 yr (Long)  123  14,608,172  Jun-09  199,537 
U.S. Treasury Note 5 yr (Short)  291  34,560,797  Jun-09  (607,808) 
U.S. Treasury Note 10 yr (Long)  3,292  408,465,188  Jun-09  6,855,697 
U.S. Treasury Note 10 yr (Short)  269  33,377,016  Jun-09  (580,920) 
Total        $10,827,011 

175

WRITTEN OPTIONS OUTSTANDING at 3/31/09 (premiums received $17,045,317) (Unaudited)

  Contract  Expiration date/   
  amount  strike price  Value 
Citigroup, Inc. (Put)  $310,032  Jun-09/$5.00  $914,594 
Market Vectors Gold Minors ETF (Put)  161,436  Apr-09/32.00  61,313 
S&P 500 Future Option (Call)  305  Apr-09/875  278,313 
S&P 500 Future Option (Put)  61  Apr-09/650  28,213 
Spider Trust Series 1 (Call)  51,689  Apr-09/87.50  18,350 
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 May 14, 2022.  12,203,000  May-12/5.51  2,006,120 
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 May 14, 2022.  12,203,000  May-12/5.51  180,846 
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 February 24, 2020.  38,405,000  Feb-10/5.08  112,143 
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 February 24, 2020.  38,405,000  Feb-10/5.08  6,522,321 
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 May 19, 2019.  26,807,000  May-09/4.735  268 
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 May 19, 2019.  26,807,000  May-09/4.735  4,291,801 
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 February 18, 2020.  56,491,000  Feb-10/5.215  129,929 
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 February 18, 2020.  56,491,000  Feb-10/5.215  10,241,254 
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 February 24, 2020.  38,405,000  Feb-10/5.22  91,020 
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 February 24, 2020.  38,405,000  Feb-10/5.22  6,962,442 
Total      $31,838,927 
   

TBA SALE COMMITMENTS OUTSTANDING at 3/31/09 (proceeds receivable $126,921,328) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, April 1, 2039  $14,000,000  4/13/09  $14,529,376 
FNMA, 5s, April 1, 2039  35,000,000  4/13/09  36,104,674 
FNMA, 4 1/2s, April 1, 2039  75,000,000  4/13/09  76,593,750 
Total      $127,227,800 

176

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (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%  $777,114 
  20,800,000  —  7/18/13  4.14688%  3 month USD-   
          LIBOR-BBA  (1,914,958) 
  19,000,000  —  7/29/18  3 month USD-     
        LIBOR-BBA  4.75%  3,171,495 
  19,473,000  —  8/26/18  3 month USD-     
        LIBOR-BBA  4.54375%  2,862,862 
  189,730,000  —  9/10/10  3 month USD-     
        LIBOR-BBA  3.22969%  5,443,770 
  79,311,000  —  9/18/38  4.36125%  3 month USD-   
          LIBOR-BBA  (16,865,162) 
  180,482,000  —  9/18/10  3 month USD-     
        LIBOR-BBA  2.86667%  4,271,328 
  18,000,000  —  9/19/18  3 month USD-     
        LIBOR-BBA  4.07%  1,888,874 
  25,034,000  78,143  10/1/18  3 month USD-     
        LIBOR-BBA  4.30%  3,625,019 
  18,544,000  (78,141)  10/8/38  3 month USD-     
        LIBOR-BBA  4.30%  3,957,408 
  24,970,000  9,425  10/20/18  3 month USD-     
        LIBOR-BBA  4.60%  4,199,864 
  58,762,000  (53,418)  10/20/10  3.00%  3 month USD-   
          LIBOR-BBA  (2,266,594) 
  14,124,000  —  10/26/12  4.6165%  3 month USD-   
          LIBOR-BBA  (1,595,236) 
  30,577,000  —  7/22/10  3 month USD-     
        LIBOR-BBA  3.5375%  1,058,232 
  9,379,000  —  5/8/28  4.95%  3 month USD-   
          LIBOR-BBA  (2,520,129) 
Barclays Bank PLC           
  195,740,000  —  12/9/10  3 month USD-     
        LIBOR-BBA  2.005%  3,340,230 
  39,503,000  —  12/9/20  3 month USD-     
        LIBOR-BBA  2.91875%  (35,143) 
  159,088,000  —  12/17/13  2.42875%  3 month USD-   
          LIBOR-BBA  (2,928,525) 
Citibank, N.A.           
MXN  45,610,000 F —  7/18/13  1 month MXN-     
        TIIE-BANXICO  9.175%  254,666 
MXN  13,685,000  —  7/22/13  1 month MXN-     
        TIIE-BANXICO  9.21%  73,072 
  $8,800,000  —  9/5/13  3.905%  3 month USD-   
          LIBOR-BBA  (691,652) 
AUD  5,200,000 E —  9/11/18  6.1%  6 month AUD-   
          BBR-BBSW  (44,652) 
  $124,692,000  —  9/17/13  3 month USD-     
        LIBOR-BBA  3.4975%  7,511,690 

177

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

  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) 
Citibank, N.A. cont.           
$76,667,000  $—  9/18/38  4.45155%  3 month USD-   
        LIBOR-BBA  $(17,630,232) 
87,835,000  —  9/18/10  3 month USD-     
      LIBOR-BBA  2.92486%  2,154,350 
47,592,000  —  6/29/18  2.477%  3 month USD-   
        LIBOR-BBA  1,015,058 
5,493,000  —  2/24/16  2.77%  3 month USD-   
        LIBOR-BBA  (83,868) 
11,851,000  —  3/25/19  2.95%  3 month USD-   
        LIBOR-BBA  (81,108) 
48,954,000  —  3/27/14  3 month USD-     
      LIBOR-BBA  2.335%  280,455 
Credit Suisse International         
36,096,000  —  9/18/10  3 month USD-     
      LIBOR-BBA  2.91916%  882,373 
31,520,000  —  9/23/10  3 month USD-     
      LIBOR-BBA  3.32%  960,133 
117,045,000  —  10/9/10  3 month USD-     
      LIBOR-BBA  2.81%  3,918,943 
17,848,000  —  11/6/15  3.97005%  3 month USD-   
        LIBOR-BBA  (1,850,071) 
34,000,000  —  12/5/20  3 month USD-     
      LIBOR-BBA  3.01%  299,385 
42,027,000  —  9/23/38  4.7375%  3 month USD-   
        LIBOR-BBA  (11,959,458) 
55,500,000  (593,208)  12/10/38  2.69%  3 month USD-   
        LIBOR-BBA  5,032,588 
11,000,000  —  12/11/18  2.9275%  3 month USD-   
        LIBOR-BBA  (159,495) 
21,632,000  —  1/16/19  3 month USD-     
      LIBOR-BBA  2.32%  (955,526) 
1,183,090,000  —  1/30/11  1.4725%  3 month USD-   
        LIBOR-BBA  (3,111,832) 
112,617,000  —  1/30/29  3 month USD-     
      LIBOR-BBA  3.225%  447,614 
42,442,000  —  2/5/14  2.475%  3 month USD-   
        LIBOR-BBA  (641,940) 
13,803,000  —  2/5/29  3 month USD-     
      LIBOR-BBA  3.35%  306,512 
1,000,000  —  3/23/19  2.79%  3 month USD-   
        LIBOR-BBA  7,197 
2,000,000  —  3/23/19  2.81%  3 month USD-   
        LIBOR-BBA  10,865 
58,557,000  —  3/24/39  3 month USD-     
      LIBOR-BBA  3.34%  970,741 

178

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

  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) 
  
Deutsche Bank AG           
$12,632,000  $—  9/23/38  4.75%  3 month USD-   
        LIBOR-BBA  $(3,624,990) 
37,702,000  —  9/24/10  3 month USD-     
      LIBOR-BBA  3.395%  1,190,569 
22,108,000  —  10/17/18  4.585%  3 month USD-   
        LIBOR-BBA  (3,687,039) 
318,298,000  —  10/24/10  3 month USD-     
      LIBOR-BBA  2.604%  9,492,604 
211,311,000  —  11/25/13  3 month USD-     
      LIBOR-BBA  2.95409%  9,512,218 
53,144,000  —  11/28/13  3 month USD-     
      LIBOR-BBA  2.8725%  2,176,396 
103,714,000  —  12/5/13  2.590625%  3 month USD-   
        LIBOR-BBA  (2,792,409) 
73,402,000  —  12/9/13  3 month USD-     
      LIBOR-BBA  2.5225%  1,718,165 
14,419,000  —  12/11/18  2.94%  3 month USD-   
        LIBOR-BBA  (225,048) 
51,404,000  —  12/15/18  3 month USD-     
      LIBOR-BBA  2.80776%  183,030 
16,595,000  —  12/16/28  3 month USD-     
      LIBOR-BBA  2.845%  (803,011) 
61,744,000  —  12/17/23  3 month USD-     
      LIBOR-BBA  2.81682%  (2,070,319) 
223,506,000  —  12/19/10  3 month USD-     
      LIBOR-BBA  1.53429%  1,664,658 
12,710,000  —  12/24/13  2.165%  3 month USD-   
        LIBOR-BBA  (71,706) 
45,363,000  —  12/30/13  2.15633%  3 month USD-   
        LIBOR-BBA  (226,465) 
43,700,000  —  1/8/29  3 month USD-     
      LIBOR-BBA  3.19625%  8,103 
139,700,000  —  1/8/14  2.375%  3 month USD-   
        LIBOR-BBA  (1,595,650) 
26,357,000  —  1/13/19  3 month USD-     
      LIBOR-BBA  2.52438%  (693,730) 
20,157,000  —  1/20/19  3 month USD-     
      LIBOR-BBA  2.347%  (851,320) 
14,333,000  —  1/28/29  3 month USD-     
      LIBOR-BBA  3.1785%  (43,417) 
35,671,000  —  2/3/19  3.01%  3 month USD-   
        LIBOR-BBA  (555,546) 
43,575,000  —  2/5/29  3 month USD-     
      LIBOR-BBA  3.324%  797,238 
122,102,000  —  2/5/14  2.44661%  3 month USD-   
        LIBOR-BBA  (1,681,460) 
95,341,000  —  2/6/14  2.5529%  3 month USD-   
        LIBOR-BBA  (1,791,154) 

179

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

  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) 
Deutsche Bank AG cont.           
$34,262,000  $—  2/6/29  3 month USD-     
      LIBOR-BBA  3.42575%  $1,148,817 
25,000,000  —  2/6/14  2.5675%  3 month USD-   
        LIBOR-BBA  (486,978) 
24,000,000  —  2/9/14  2.525%  3 month USD-   
        LIBOR-BBA  (414,211) 
22,000,000  —  2/10/14  2.55%  3 month USD-   
        LIBOR-BBA  (405,208) 
34,856,000  —  2/10/14  2.5825%  3 month USD-   
        LIBOR-BBA  (695,886) 
11,098,000  —  2/10/29  3 month USD-     
      LIBOR-BBA  3.4725%  447,420 
24,498,000  —  2/25/14  2.4675%  3 month USD-   
        LIBOR-BBA  (334,237) 
790,000,000  —  3/16/11  3 month USD-     
      LIBOR-BBA  1.6725%  4,463,665 
370,000,000  —  3/16/16  2.85%  3 month USD-   
        LIBOR-BBA  (7,000,708) 
99,000,000  —  3/16/29  3 month USD-     
      LIBOR-BBA  3.29%  1,053,773 
224,073,000  —  3/20/11  3 month USD-     
      LIBOR-BBA  1.43%  192,205 
1,000,000  —  3/23/19  2.8225%  3 month USD-   
        LIBOR-BBA  4,330 
60,300,000  —  3/23/11  3 month USD-     
      LIBOR-BBA  1.45%  82,340 
1,000,000  —  3/24/14  2.297%  3 month USD-   
        LIBOR-BBA  (4,095) 
155,000,000  —  3/30/14  2.36%  3 month USD-   
        LIBOR-BBA  (1,042,703) 
71,000,000  —  3/30/21  3 month USD-     
      LIBOR-BBA  3.125%  709,174 
Goldman Sachs International         
43,165,000  —  4/3/18  3 month USD-     
      LIBOR-BBA  4.19%  5,624,963 
1,161,000  —  4/8/10  3 month USD-     
      LIBOR-BBA  2.64%  27,960 
7,793,000  —  4/23/18  4.43%  3 month USD-   
        LIBOR-BBA  (1,170,640) 
5,161,000  —  5/19/18  4.525%  3 month USD-   
        LIBOR-BBA  (804,977) 
16,431,000  —  5/30/28  5.014%  3 month USD-   
        LIBOR-BBA  (4,548,752) 
1,184,000  (558)  10/24/10  2.6%  3 month USD-   
        LIBOR-BBA  (35,777) 
29,140,000  (180,374)  11/18/18  3 month USD-     
      LIBOR-BBA  4.10%  3,338,398 
82,393,000  (300,215)  11/18/13  3 month USD-     
      LIBOR-BBA  3.45%  5,400,770 

180

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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) 
Goldman Sachs International cont.         
  $313,326,000  $(86,180)  11/18/10  3 month USD-     
        LIBOR-BBA  2.35%  $7,489,639 
  79,100,000  —  12/16/18  3 month USD-     
        LIBOR-BBA  2.78%  80,023 
  11,920,000  —  1/23/19  2.61125%  3 month USD-   
          LIBOR-BBA  225,081 
EUR  24,770,000  —  2/3/11  6 month EUR-     
        EURIBOR-     
        REUTERS  2.23%  234,570 
AUD  20,650,000 E —  2/14/12  3 month AUD-     
        BBR-BBSW  4.39%  (34,368) 
JPMorgan Chase Bank, N.A.         
  $118,568,000  —  3/5/18  4.325%  3 month USD-   
          LIBOR-BBA  (14,908,609) 
  23,396,000  —  3/7/18  4.45%  3 month USD-   
          LIBOR-BBA  (3,167,801) 
  21,828,000  —  3/12/18  3 month USD-     
        LIBOR-BBA  4.4525%  2,957,420 
  6,007,000  —  3/11/38  5.0025%  3 month USD-   
          LIBOR-BBA  (2,001,974) 
  45,375,000  —  3/11/38  5.03%  3 month USD-   
          LIBOR-BBA  (15,359,384) 
  125,112,000  —  3/15/10  3 month USD-     
        LIBOR-BBA  2.5%  1,588,383 
  45,626,000  —  3/20/13  3 month USD-     
        LIBOR-BBA  3.145%  2,059,184 
  112,568,000  —  3/20/13  3 month USD-     
        LIBOR-BBA  3.13%  5,015,717 
  226,815,000  —  3/25/10  3 month USD-     
        LIBOR-BBA  2.325%  2,553,903 
  51,496,000  —  4/8/13  3 month USD-     
        LIBOR-BBA  3.58406%  3,900,137 
  39,437,000  —  5/16/18  4.53%  3 month USD-   
          LIBOR-BBA  (6,172,425) 
  40,554,000  —  5/23/10  3 month USD-     
        LIBOR-BBA  3.16%  1,298,495 
  42,000,000  —  6/13/13  4.47%  3 month USD-   
          LIBOR-BBA  (4,639,818) 
  59,238,000  —  7/16/10  3 month USD-     
        LIBOR-BBA  3.384%  1,923,742 
  24,487,000  —  7/22/10  3 month USD-     
        LIBOR-BBA  3.565%  856,686 
AUD  26,200,000 E —  8/6/18  6 month AUD-     
        BBR-BBSW  6.865%  764,146 
  $23,930,000  —  9/23/38  4.70763%  3 month USD-   
          LIBOR-BBA  (6,672,627) 
  61,600,000  —  10/9/13  3.5576%  3 month USD-   
          LIBOR-BBA  (4,695,412) 

181

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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) 
JPMorgan Chase Bank, N.A. cont.         
  $33,314,000  $—  10/23/13  3 month USD-     
        LIBOR-BBA  3.535%  $2,499,873 
  93,709,000  282,596  11/4/18  4.45%  3 month USD-   
          LIBOR-BBA  (14,060,998) 
  34,709,000  164,820  11/4/13  3.85%  3 month USD-   
          LIBOR-BBA  (2,932,447) 
  38,389,000  —  11/10/18  3 month USD-     
        LIBOR-BBA  4.83%  7,160,068 
  74,300,000  —  11/10/18  4.12%  3 month USD-   
          LIBOR-BBA  (9,150,246) 
  43,363,000  —  12/19/18  5%  3 month USD-   
          LIBOR-BBA  (8,597,471) 
PLN  12,800,000  —  1/26/11  6 month PLN-     
        WIBOR-WIBO  4.177%  (44,137) 
  $7,780,000  —  1/27/24  3.1%  3 month USD-   
          LIBOR-BBA  30,480 
AUD  16,520,000 E —  1/27/12  3 month AUD-     
        BBR-BBSW  4.21%  (44,130) 
  $3,890,000  —  2/3/24  3 month USD-     
        LIBOR-BBA  3.2825%  69,799 
AUD  10,560,000  —  2/24/19  4.825%  6 month AUD-   
          BBR-BBSW  68,689 
  $61,840,000  —  3/3/11  3 month USD-     
        LIBOR-BBA  1.68283%  385,284 
EUR  20,410,000  —  3/4/14  1 month EUR-     
        EURIBOR-     
        REUTERS  2.74%  109,346 
GBP  14,050,000  —  3/4/12  6 month GBP-     
        LIBOR-BBA  2.535%  30,575 
  $13,955,000  —  3/6/39  3.48%  3 month USD-   
          LIBOR-BBA  (622,877) 
AUD  7,920,000  —  3/6/19  4.93%  6 month AUD-   
          BBR-BBSW  12,567 
CAD  8,690,000  —  3/16/11  0.98%  3 month CAD-   
          BA-CDOR  (17,932) 
CAD  1,910,000  —  3/16/19  3 month CAD-     
        BA-CDOR  2.7%  29,199 
CAD  8,920,000  —  3/17/13  1.56%  3 month CAD-   
          BA-CDOR  (43,506) 
  $9,060,000  —  3/19/13  3 month USD-     
        LIBOR-BBA  2.28%  106,824 
  2,910,000  —  3/19/24  3.37%  3 month USD-   
          LIBOR-BBA  (73,897) 
CAD  2,840,000  —  3/17/24  3 month CAD-     
        BA-CDOR  3.46%  50,052 
  $51,000,000  —  3/20/19  3.20875%  3 month USD-   
          LIBOR-BBA  (1,522,416) 

182

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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) 
 
JPMorgan Chase Bank, N.A. cont.         
  $119,000,000  $—  3/24/11  3 month USD-     
        LIBOR-BBA  1.4625%  $190,714 
EUR  37,750,000  —  3/30/11  6 month EUR-     
        EURIBOR-     
        REUTERS  1.972%  160,473 
  $6,900,000  —  4/1/24  3 month USD-     
        LIBOR-BBA  3.17%  3,243 
UBS AG           
  827,868,000  —  10/29/10  2.75%  3 month USD-   
          LIBOR-BBA  (26,931,710) 
  138,667,000  —  10/29/20  3 month USD-     
        LIBOR-BBA  4.18142%  18,489,181 
  80,871,000  2,688,289  11/10/28  4.45%  3 month USD-   
          LIBOR-BBA  (13,250,188) 
  131,843,000  (3,349,294)  11/10/18  3 month USD-     
        LIBOR-BBA  4.45%  16,769,316 
  35,257,000  (463,845)  11/24/38  3 month USD-     
        LIBOR-BBA  3.3%  202,968 
  1,199,000  (5,853)  11/24/18  3 month USD-     
        LIBOR-BBA  3.4%  63,600 
  4,594,000  (1,450)  11/24/10  3 month USD-     
        LIBOR-BBA  2.05%  82,155 
  139,494,000  —  11/24/10  3 month USD-     
        LIBOR-BBA  2.05%  2,538,635 
Total          $(49,978,589) 

E See Note 1 to the financial statements 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.

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/09 (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) 
 
Deutsche Bank AG         
EUR  11,646,000 F 3/27/14  1.785%  Eurostat Eurozone  $9,696 
        HICP excluding   
        tobacco   
Goldman Sachs International         
EUR  19,410,000  4/30/13  2.375%  French Consumer  851,461 
        Price Index   
        excluding tobacco   
EUR  19,410,000  4/30/13  (2.41%)  Eurostat Eurozone  (1,012,834) 
        HICP excluding   
        tobacco   
EUR  19,410,000  5/6/13  2.34%  French Consumer  814,598 
        Price Index   
        excluding tobacco   

183

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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 cont.         
EUR 19,410,000  5/6/13  (2.385%)  Eurostat Eurozone  $(989,634) 
      HICP excluding   
      tobacco   
$948,150 F 8/28/09  (3 month USD-  iShares MSCI  3,387,860 
    LIBOR-BBA minus  Emerging Markets   
    85 bp)  Index   
JPMorgan Chase Bank, N.A.         
956,183  8/19/09  (3 month USD-  iShares MSCI  2,610,351 
    LIBOR-BBA minus  Emerging Markets   
    125 bp)  Index   
Total        $5,671,498 

E See Note 1 to the financial statements 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.

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (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  Ca  $—  $705,000  9/20/09  635 bp  $(157,379) 
DJ ABX CMBX BBB             
Index  —  1,225  1,781,000 F  10/12/52  (134 bp)  1,549,808 
Financial Security             
Assurance Holdings,             
Ltd, 6.4%, 12/15/66  B2  —  120,000  12/20/12  95 bp  (58,972) 
Marsh & Mclennan             
Co. Inc., 5 3/8%,             
7/15/14  —  —  625,000  3/20/12  (95 bp)  (4,404) 
MetLife Inc., 5%,             
6/15/15  —  —  805,000  12/20/13  (384 bp)  123,648 
Nalco Co., 7.75%,             
11/15/11  B1  —  60,000  9/20/12  350 bp  (4,645) 
Visteon Corp., 7%,             
3/10/14  —  (168,672)  635,000  9/20/13  (500 bp)  395,890 
Barclays Bank PLC             
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  120,986  881,349  7/25/45  18 bp  (24,406) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  95,730  661,012  7/25/45  18 bp  (13,314) 
DJ ABX HE PEN AAA             
Series 7 Version 1             
Index  A+  431,423  732,000  8/25/37  9 bp  (82,795) 

184

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
Citibank, N.A.             
Advanced Micro             
Devices, Inc.,             
7 3/4%, 11/1/12  Caa1  $98,100  $1,635,000  9/20/09  500 bp  $(59,846) 
Conagra Foods Inc.,             
7%, 10/1/28  —  —  990,000  9/20/10  (27 bp)  2,188 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AA  237,566  1,201,295  5/25/46  11 bp  (308,997) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  51,106  332,405  7/25/45  18 bp  (3,729) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  138,129  808,912  5/25/46  11 bp  (229,909) 
FirstEnergy Corp.,             
7 3/8%, 11/15/31  —  —  2,795,000  12/20/11  (85 bp)  23,385 
Lear Corp., T/L             
Bank Loan  —  —  350,000  6/20/13  (225 bp)  212,527 
Lear Corp., T/L             
Bank Loan  Caa1  —  350,000  6/20/13  700 bp  (190,987) 
Lighthouse             
International Co.,             
SA, 8%, 4/30/14  B3  — EUR 1,245,000  3/20/13  815 bp  (554,242) 
Marsh & Mclennan             
Co. Inc., 5 3/8%,             
7/15/14  —  —  $380,000  9/20/14  (105 bp)  (3,720) 
Rexam PLC, 4 3/8%,             
3/15/13  —  —  890,000  6/20/13  (145 bp)  82,411 
Sara Lee Corp.,             
6 1/8%, 11/1/32  —  —  330,000  9/20/11  (43 bp)  1,279 
Yum! Brands, Inc.,             
8 7/8%, 4/15/11  —  —  320,000  3/20/13  (65 bp)  6,273 
Credit Suisse International             
DJ ABX HE AAA             
Series 7 Version 2             
Index  BB+  161,505  291,000  1/25/38  76 bp  (58,157) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  91,241  588,199  7/25/45  18 bp  (5,791) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  37,965  246,930  7/25/45  18 bp  (2,770) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  34,265  222,870  7/25/45  18 bp  (2,500) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  16,500  107,319  7/25/45  18 bp  (1,204) 

185

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
Credit Suisse International cont.           
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  $49,562  $282,070  7/25/45  18 bp  $3,031 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  75,699  452,704  7/25/45  18 bp  1,019 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  24,127  146,575  7/25/45  18 bp  (53) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  404,602  1,992,097  5/25/46  11 bp  (501,760) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  254,378  789,077  5/25/46  11 bp  (104,635) 
DJ ABX HE PEN AAA             
Series 7 Version 1             
Index  A+  551,594  929,000  8/25/37  9 bp  (101,012) 
DJ CMB NA CMBX AJ             
Index  —  (806,039)  2,507,000 F    2/17/51   (96 bp)  1,011,406 
DJ CMBX NA AAA             
Series 4 Version 1             
Index  AAA  549,618  1,330,500  2/17/51  35 bp  98,371 
KB Home, 5 3/4%,             
2/1/14  —  —  1,520,000  9/20/11  (425 bp)  17,044 
Liberty Mutual             
Insurance, 7 7/8%,             
10/15/26  —  —  390,000  12/20/13  (210 bp)  28,977 
Deutsche Bank AG             
Advanced Micro             
Devices, Inc.,             
7 3/4%, 11/1/12  Caa1  22,750  350,000  9/20/09  500 bp  (11,061) 
DJ ABX CMBX AAA             
Index  AAA  59,687  990,000 F    2/17/51  35 bp  (280,190) 
DJ ABX HE A Series             
7 Version 2 Index  CCC  1,172,080  1,277,231  1/25/38  369 bp  (69,111) 
DJ ABX HE AAA             
Series 6 Version 1             
Index  AAA  79,070  732,433  7/25/45  18 bp  (184,581) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  36,087  219,071  7/25/45  18 bp  (52) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  204,514  583,831  5/25/46  11 bp  (61,117) 
DJ CDX NA IG Series             
11 Version 1 Index  BBB+  96,717  4,595,000  12/20/13  150 bp  (64,476) 
DJ CDX NA IG Series             
12 Version 1 Index  —  (3,140,858)  81,401,000  6/20/14  (100 bp)  361,736 

186

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
  
Deutsche Bank AG cont.             
DJ iTraxx Europe             
Series 8 Version 1  —  $(143,405)  EUR 1,495,000  12/20/12  (375 bp)  $355,282 
DJ iTraxx Europe             
Series 9 Version 1  —  289,981  EUR 4,245,000  6/20/13  (650 bp)  1,253,050 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  —  EUR 285,000  6/20/09  400 bp  (20,303) 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  —  EUR 1,035,000  6/20/09  400 bp  (73,731) 
Korea Monetary STAB             
Bond, 5.15%, 2/12/10  A2  —  $4,110,000 F    2/19/10   115 bp  32,023 
Nalco Co., 7.75%,             
11/15/11  B1  —  60,000  12/20/12  363 bp  (4,753) 
Pacific Gas &             
Electric Co., 4.8%,             
3/1/14  A3  —  895,000  12/20/13  112 bp  (40,218) 
Smurfit Kappa             
Funding, 10 1/8%,             
10/1/12  BB/P  —  EUR 560,000  6/20/09  135 bp  (10,355) 
Smurfit Kappa             
Funding, 7 3/4%,             
4/1/15  B2  —  EUR 580,000  9/20/13  715 bp  (74,014) 
Universal Corp.,             
5.2%, 10/15/13  —  —  $790,000  3/20/15  (95 bp)  (274) 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  B2  —  EUR 800,000  9/20/13  477 bp  (56,087) 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  B2  —  EUR 800,000  9/20/13  535 bp  (34,671) 
Goldman Sachs International             
CSC Holdings, Inc.,             
7 5/8%, 7/15/18  B1  —  $605,000  9/20/13  495 bp  25,592 
CVS Caremark Corp.,             
4 7/8%, 9/15/14  —  —  435,000  9/20/13  (59 bp)  6,418 
CVS Caremark Corp.,             
4 7/8%, 9/15/14  —  —  540,000  9/20/11  (50 bp)  5,180 
DJ ABX HE A Index  CCC  431,546  638,615  1/25/38  369 bp  (189,049) 
DJ ABX HE AAA Index  BB+  151,354  644,000  1/25/38  76 bp  (334,771) 
DJ CDX NA CMBX AAA             
Index  AAA  20,848  570,000 F    3/15/49   7 bp  (140,155) 
DJ CDX NA IG Series             
12 Version 1 Index  —  (5,442,289)  123,838,000  6/20/14  (100 bp)  — 
Lighthouse             
International Co,             
SA, 8%, 4/30/14  B3  —  EUR 745,000  3/20/13  680 bp  (361,918) 
Macy’s Retail             
Holdings, Inc.,             
7.45%, 7/15/17  —  —  $4,375,000  6/20/11  (254.9 bp)  396,639 

187

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
Goldman Sachs International cont.           
Smurfit Kappa             
Funding, 7 3/4%,             
4/1/15  B2  $—  EUR 540,000  9/20/13  720 bp  $(103,163) 
Southern California             
Edison Co., 7 5/8%,             
1/15/10  A3  —  $820,000  12/20/13  118.1 bp  (43,088) 
JPMorgan Chase Bank, N.A.             
Codere Finance             
(Luxembourg) S.A.,             
8.25%, 6/15/15  B+  —  EUR 745,000  3/20/13  795 bp  (316,188) 
Computer Science             
Corp., 5%, 2/15/13  —  —  $2,870,000  3/20/18  (82 bp)  (27,676) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  261,852  1,289,258  5/25/46  11 bp  (324,732) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  207,478  583,831  5/25/46  11 bp  (58,153) 
DJ CMBX NA AAA             
Series 4 Version 1             
Index  AAA  522,877  1,339,000  2/17/51  35 bp  58,203 
DJ iTraxx Europe             
Crossover Series 8             
Version 1  —  (284,473)  EUR 2,129,000  12/20/12  (375 bp)  425,612 
Domtar Corp.,             
7 1/8%, 8/15/15  —  —  $120,000  12/20/11  (500 bp)  8,844 
GATX Corp., 8.875%,             
6/1/09  —  —  120,000  3/20/16  (100 bp)  23,364 
General Growth             
Properties, conv.             
bond 3.98%, 4/15/27  Ba2  —  1,155,000  6/20/12  750 bp  (748,752) 
General Growth             
Properties, conv.             
bond 3.98%, 4/15/27  Ba3  —  170,000  6/20/12  750 bp  (110,206) 
General Growth             
Properties, conv.             
bond 3.98%, 4/15/27  Baa3  —  160,000  9/20/13  775 bp  (107,927) 
Glencore Funding             
LLC, 6%, 4/15/14  —  —  3,150,000  6/20/14  (148 bp)  1,077,920 
Sanmina-Sci Corp.,             
8 1/8%, 3/1/16  B3  —  370,000  6/20/13  595 bp  (196,125) 
TDC AS, 6 1/2%,             
4/19/12  —  —  EUR 870,000  9/20/13  (200 bp)  (8,984) 
Merrill Lynch Capital Services, Inc.           
Pacific Gas &             
Electric Co., 4.8%,             
3/1/14  A3  —  $950,000  12/20/13  113 bp  (42,288) 
Merrill Lynch International             
Kinder Morgan,             
Inc., 6 1/2%, 9/1/12  —  —  122,000  9/20/12  (128 bp)  1,480 

188

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont .   
 
    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) 
Morgan Stanley Capital Services, Inc.           
DJ CDX NA IG Series             
12 Version 1 Index  —  $(336,400)  $8,280,000  6/20/14  (100 bp)  $19,419 
DJ CMB NA CMBX AAA             
Index  —  (333,515)  3,699,000 F    2/17/51   (35 bp)  936,385 
Nalco Co., 7.75%,             
11/15/11  B1  —  65,000  9/20/12  330 bp  (5,418) 
Nalco Co., 7.75%,             
11/15/11  B1  —  90,000  3/20/13  460 bp  (4,736) 
Universal Corp.,             
5.2%, 10/15/13  —  —  2,370,000  3/20/13  (89 bp)  (1,177) 
UBS, AG             
Meritage Homes             
Corp., 7%, 5/1/14  —  —  190,000  9/20/13  (760 bp)  35,083 
Total            $1,994,760 

* 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, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at March 31, 2009. Securities rated by Putnam are indicated by "/P."

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.

Conservative Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 3/31/09 (aggregate face value $88,684,578) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $19,386,213  $18,715,454  4/15/09  $670,759 
Brazilian Real  679,302  649,223  4/15/09  30,079 
British Pound  10,623,591  10,475,581  4/15/09  148,010 
Canadian Dollar  1,175,352  1,147,039  4/15/09  28,313 
Chilean Peso  845,134  797,664  4/15/09  47,470 
Czech Koruna  373,349  381,936  4/15/09  (8,587) 
Danish Krone  837,314  796,540  4/15/09  40,774 
Euro  26,440,904  25,225,307  4/15/09  1,215,597 
Hungarian Forint  342,128  335,185  4/15/09  6,943 
Japanese Yen  15,105,674  15,253,732  4/15/09  (148,058) 
Mexican Peso  385,909  366,580  4/15/09  19,329 
New Zealand Dollar  183,298  174,843  4/15/09  8,455 
Norwegian Krone  9,644,782  9,763,619  4/15/09  (118,837) 
Polish Zloty  560,641  515,031  4/15/09  45,610 

189

FORWARD CURRENCY CONTRACTS TO BUY at 3/31/09 (aggregate face value $88,684,578)

(Unaudited) cont.        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Singapore Dollar  $51,674  $50,945  4/15/09  $729 
South African Rand  944,927  894,519  4/15/09  50,408 
South Korean Won  224,215  207,180  4/15/09  17,035 
Swedish Krona  1,975,546  1,791,747  4/15/09  183,799 
Swiss Franc  1,073,894  1,040,933  4/15/09  32,961 
Turkish Lira (New)  110,132  101,520  4/15/09  8,612 
Total        $2,279,401 
   

FORWARD CURRENCY CONTRACTS TO SELL at 3/31/09 (aggregate face value $123,390,145) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $4,275,445  $3,936,075  4/15/09  $(339,370) 
Brazilian Real  2,129,609  2,026,124  4/15/09  (103,485) 
British Pound  21,149,453  20,843,463  4/15/09  (305,990) 
Canadian Dollar  14,922,765  14,855,764  4/15/09  (67,001) 
Czech Koruna  577,564  549,234  4/15/09  (28,330) 
Euro  42,122,259  40,015,948  4/15/09  (2,106,311) 
Hong Kong Dollar  2,629,637  2,627,509  4/15/09  (2,128) 
Hungarian Forint  494,598  464,800  4/15/09  (29,798) 
Japanese Yen  7,291,947  7,315,307  4/15/09  23,360 
Mexican Peso  418,889  383,196  4/15/09  (35,693) 
New Zealand Dollar  245,271  212,120  4/15/09  (33,151) 
Norwegian Krone  4,721,189  4,462,090  4/15/09  (259,099) 
Peruvian New Sol  2,795,815  2,697,626  4/15/09  (98,189) 
Polish Zloty  323,658  295,098  4/15/09  (28,560) 
Singapore Dollar  2,756,165  2,716,424  4/15/09  (39,741) 
South African Rand  684,665  622,390  4/15/09  (62,275) 
South Korean Won  224,951  202,218  4/15/09  (22,733) 
Swedish Krona  8,786,039  8,254,685  4/15/09  (531,354) 
Swiss Franc  9,839,184  9,631,984  4/15/09  (207,200) 
Taiwan Dollar  979,542  956,218  4/15/09  (23,324) 
Turkish Lira (New)  352,544  321,872  4/15/09  (30,672) 
Total        $(4,331,044) 
 
FUTURES CONTRACTS OUTSTANDING at 3/31/09 (Unaudited)     
 
        Unrealized 
Number of    Expiration  appreciation/ 
contracts  Value  date  (depreciation) 
Canadian Government Bond 10 yr (Long)  11  $1,106,023  Jun-09  $17,538 
Canadian Government Bond 10 yr (Short)  34  3,418,618  Jun-09  (54,895) 
Dow Jones Euro Stoxx 50 Index (Short)  992  26,257,281  Jun-09  (528,499) 
Euro-Bobl 5 yr (Long)  18  2,786,580  Jun-09  (6,393) 
Euro-Bund 10 yr (Long)  151  24,953,578  Jun-09  113,527 
Euro-Dollar 90 day (Short)  130  32,142,500  Jun-09  (533,166) 
Euro-Dollar 90 day (Short)  412  101,872,150  Sep-09  (1,945,296) 
Euro-Dollar 90 day (Short)  388  95,792,350  Dec-09  (1,899,055) 

190

FUTURES CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.     
  
        Unrealized 
Number of    Expiration  appreciation/ 
contracts  Value  date  (depreciation) 
Euro-Dollar 90 day (Short)  22  $5,428,500  Mar-10  $(130,885) 
Euro-Euribor Interest Rate 90 day (Long)  171  55,535,713  Dec-10  255,067 
Euro-Euribor Interest Rate 90 day (Long)  72  23,446,809  Sep-10  66,028 
Euro-Euribor Interest Rate 90 day (Short)  61  19,962,887  Dec-09  (68,493) 
Euro-Euribor Interest Rate 90 day (Short)  72  23,602,196  Sep-09  (83,405) 
Euro-Schatz 2 yr (Short)  1  143,827  Jun-09  (542) 
FTSE 100 Index (Long)  154  8,581,872  Jun-09  226,800 
FTSE 100 Index (Short)  177  9,863,580  Jun-09  (258,136) 
Hang Seng Index (Short)  17  1,486,749  Apr-09  25,268 
IBEX 35 Index (Long)  38  3,933,208  Apr-09  112,041 
Japanese Government Bond 10 yr (Long)  12  16,731,934  Jun-09  (92,707) 
Japanese Government Bond 10 yr (Short)  3  4,182,983  Jun-09  22,393 
MSCI EAFE Index E-Mini (Short)  52  2,701,400  Jun-09  (148,308) 
Russell 2000 Index Mini (Long)  38  1,600,940  Jun-09  300,504 
Russell 2000 Index Mini (Short)  190  8,004,700  Jun-09  (1,361,660) 
S&P 500 Index (Long)  12  2,384,400  Jun-09  172,567 
S&P 500 Index E-Mini (Long)  47  1,867,663  Jun-09  244,870 
S&P 500 Index E-Mini (Short)  240  9,537,000  Jun-09  (417,463) 
S&P Mid Cap 400 Index E-Mini (Long)  7  341,530  Jun-09  28,598 
S&P Mid Cap 400 Index E-Mini (Short)  118  5,757,220  Jun-09  (707,056) 
S&P/Toronto Stock Exchange 60 Index (Long)  36  3,005,476  Jun-09  425,552 
SGX MSCI Singapore Index (Short)  49  1,312,253  Apr-09  2,384 
SPI 200 Index (Short)  54  3,347,244  Jun-09  (159,741) 
Sterling 90 day (Long)  12  2,102,759  Sep-10  (2,560) 
Sterling 90 day Short)  12  2,121,262  Sep-09  (100) 
Tokyo Price Index (Short)  187  14,664,816  Jun-09  (1,664,069) 
U.K. Gilt 10 yr (Long)  47  8,306,424  Jun-09  40,887 
U.K. Gilt 10 yr (Short)  73  12,901,467  Jun-09  (399,126) 
U.S. Treasury Bond 20 yr (Long)  285  36,965,391  Jun-09  962,403 
U.S. Treasury Note 2 yr (Long)  69  15,034,453  Jun-09  69,373 
U.S. Treasury Note 2 yr (Short)  211  45,974,922  Jun-09  (216,378) 
U.S. Treasury Note 5 yr (Short)  11  1,306,422  Jun-09  (17,835) 
U.S. Treasury Note 10 yr (Long)  1,195  148,273,359  Jun-09  2,344,426 
U.S. Treasury Note 10 yr (Short)  224  27,793,500  Jun-09  (471,358) 
Total        $(5,736,900) 
 
WRITTEN OPTIONS OUTSTANDING at 3/31/09 (premiums received $19,566,524) (Unaudited)   
    Contract  Expiration date/ 
    amount  strike price  Value 
Citigroup, Inc. (Put)    $132,049  Jun-09/$5.00  $389,545 
Market Vectors Gold Minors ETF (Put)    109,591  Apr-09/32.00  41,623 
S&P 500 Future Option (Call)    211  Apr-09/875  192,538 
S&P 500 Future Option (Put)    42  Apr-09/650  19,425 
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       
May 19, 2019.    118,299,000  May-09/4.735  1,183 

191

WRITTEN OPTIONS OUTSTANDING at 3/31/09 (premiums received $19,566,524) (Unaudited) cont.

  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       
May 19, 2019.  $118,299,000  May-09/4.735  $18,939,668 
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       
February 18, 2020.  41,210,000  Feb-10/5.215  94,783 
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       
February 18, 2020.  41,210,000  Feb-10/5.215  7,470,961 
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       
May 14, 2022.  9,715,000  May-12/5.51  143,974 
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 May 14, 2022.  9,715,000  Apr-12/5.51  1,597,104 
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 February 24, 2020.  30,431,000  Feb-10/5.08  88,859 
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       
February 24, 2020.  30,431,000  Feb-10/5.08  5,168,097 
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 February 24, 2020.  30,431,000  Feb-10/5.22  72,121 
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       
February 24, 2020.  30,431,000  Feb-10/5.22  5,516,836 
Total      $39,736,717 
   

TBA SALE COMMITMENTS OUTSTANDING at 3/31/09 (proceeds receivable $103,067,567) (Unaudited)

      Principal  Settlement   
Agency      amount  date  Value 
 
FNMA, 5s, April 1, 2039      $12,000,000  4/13/09  $12,378,750 
FNMA, 4 1/2s, April 1, 2039    89,000,000  4/13/09  90,891,250 
Total          $103,270,000 
 
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (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%  $640,745 

192

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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. cont.         
  $22,369,000  $—  6/6/18  4.6675%  3 month USD-   
          LIBOR-BBA  $(3,719,937) 
  3,000,000  —  7/29/18  3 month USD-     
        LIBOR-BBA  4.75%  500,762 
  15,344,000  —  8/26/18  3 month USD-     
        LIBOR-BBA  4.54375%  2,255,829 
  115,340,000  —  9/10/10  3 month USD-     
        LIBOR-BBA  3.22969%  3,309,358 
  179,544,000  —  9/18/10  3 month USD-     
        LIBOR-BBA  2.86667%  4,249,129 
  2,000,000  —  9/19/18  3 month USD-     
        LIBOR-BBA  4.07%  209,875 
  12,883,000  40,214  10/1/18  3 month USD-     
        LIBOR-BBA  4.30%  1,865,508 
  14,216,000  (59,903)  10/8/38  3 month USD-     
        LIBOR-BBA  4.30%  3,033,785 
  42,786,000  241,126  10/14/18  3 month USD-     
        LIBOR-BBA  4.30%  6,291,328 
  67,241,000  167,901  10/14/38  4.25%  3 month USD-   
          LIBOR-BBA  (13,817,835) 
  24,416,000  9,216  10/20/18  3 month USD-     
        LIBOR-BBA  4.60%  4,106,683 
  51,740,000  (47,034)  10/20/10  3.00%  3 month USD-   
          LIBOR-BBA  (1,995,739) 
  12,017,000  —  12/22/13  1.99%  3 month USD-   
          LIBOR-BBA  31,655 
  5,002,000  —  10/26/12  4.6165%  3 month USD-   
          LIBOR-BBA  (564,951) 
  25,957,000  —  7/22/10  3 month USD-     
        LIBOR-BBA  3.5375%  898,339 
  4,145,000  —  5/8/28  4.95%  3 month USD-   
          LIBOR-BBA  (1,113,758) 
Barclays Bank PLC           
  268,573,000  —  12/9/10  3 month USD-     
        LIBOR-BBA  2.005%  4,583,097 
  32,295,000  —  12/9/20  3 month USD-     
        LIBOR-BBA  2.91875%  (28,730) 
  373,301,000  —  12/17/13  2.42875%  3 month USD-   
          LIBOR-BBA  (6,871,803) 
Citibank, N.A.           
MXN  34,350,000 F —  7/18/13  1 month MXN-     
        TIIE-BANXICO  9.175%  191,795 
MXN  10,305,000  —  7/22/13  1 month MXN-     
        TIIE-BANXICO  9.21%  55,024 
  $8,300,000  —  9/5/13  3.905%  3 month USD-   
          LIBOR-BBA  (652,354) 
AUD  3,900,000 E —  9/11/18  6.1%  6 month AUD-   
          BBR-BBSW  (33,489) 

193

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

  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) 
Citibank, N.A. cont.           
$118,072,000  $—  9/17/13  3 month USD-     
      LIBOR-BBA  3.4975%  $7,112,889 
70,840,000  —  9/18/38  4.45155%  3 month USD-   
        LIBOR-BBA  (16,290,263) 
87,378,000  —  9/18/10  3 month USD-     
      LIBOR-BBA  2.92486%  2,143,141 
41,926,000  —  6/29/18  2.477%  3 month USD-   
        LIBOR-BBA  894,211 
4,104,000  —  2/24/16  2.77%  3 month USD-   
        LIBOR-BBA  (62,661) 
23,246,000  —  3/25/19  2.95%  3 month USD-   
        LIBOR-BBA  (159,096) 
48,080,000  —  3/27/14  3 month USD-     
      LIBOR-BBA  2.335%  275,448 
Credit Suisse International           
12,066,900  —  9/16/10  3.143%  3 month USD-   
        LIBOR-BBA  (334,047) 
35,909,000  —  9/18/10  3 month USD-     
      LIBOR-BBA  2.91916%  877,802 
42,449,000  —  9/23/10  3 month USD-     
      LIBOR-BBA  3.32%  1,293,041 
91,328,000  —  10/9/10  3 month USD-     
      LIBOR-BBA  2.81%  3,057,877 
14,925,000  14,189  10/31/18  4.35%  3 month USD-   
        LIBOR-BBA  (2,149,428) 
63,033,000  —  11/6/15  3.97005%  3 month USD-   
        LIBOR-BBA  (6,533,814) 
12,000,000  —  12/3/18  3 month USD-     
      LIBOR-BBA  2.915%  168,314 
41,000,000  —  12/5/20  3 month USD-     
      LIBOR-BBA  3.01%  361,024 
51,280,000  (548,103)  12/10/38  2.69%  3 month USD-   
        LIBOR-BBA  4,649,930 
30,020,000  320,867  12/10/38  3 month USD-     
      LIBOR-BBA  2.69%  (2,722,131) 
72,819,000  —  6/30/38  2.71%  3 month USD-   
        LIBOR-BBA  7,040,007 
16,790,000  —  1/16/19  3 month USD-     
      LIBOR-BBA  2.32%  (741,646) 
829,384,000  —  1/30/11  1.4725%  3 month USD-   
        LIBOR-BBA  (2,181,494) 
85,574,000  —  1/30/29  3 month USD-     
      LIBOR-BBA  3.225%  340,128 
45,345,000  —  2/5/14  2.475%  3 month USD-   
        LIBOR-BBA  (685,848) 
14,746,000  —  2/5/29  3 month USD-     
      LIBOR-BBA  3.35%  327,453 

194

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

  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) 
  
Credit Suisse International cont.         
$2,000,000  $—  3/23/19  2.79%  3 month USD-   
        LIBOR-BBA  $14,393 
4,000,000  —  3/23/19  2.81%  3 month USD-   
        LIBOR-BBA  21,729 
Deutsche Bank AG           
9,689,000  —  9/23/38  4.75%  3 month USD-   
        LIBOR-BBA  (2,780,441) 
17,896,000  —  10/17/18  4.585%  3 month USD-   
        LIBOR-BBA  (2,984,587) 
307,895,000  —  10/24/10  3 month USD-     
      LIBOR-BBA  2.604%  9,182,355 
23,000,000  —  11/18/18  3 month USD-     
      LIBOR-BBA  4.04%  2,654,253 
182,000  —  11/21/18  3.75%  3 month USD-   
        LIBOR-BBA  (16,270) 
7,551,000  6,467  11/21/10  2.25%  3 month USD-   
        LIBOR-BBA  (161,465) 
290,227,000  —  11/25/13  3 month USD-     
      LIBOR-BBA  2.95409%  13,064,642 
58,387,000  —  11/28/13  3 month USD-     
      LIBOR-BBA  2.8725%  2,391,112 
122,997,000  —  12/5/13  2.590625%  3 month USD-   
        LIBOR-BBA  (3,311,587) 
100,715,000  —  12/9/13  3 month USD-     
      LIBOR-BBA  2.5225%  2,357,497 
23,776,000  —  12/11/18  2.94%  3 month USD-   
        LIBOR-BBA  (371,089) 
53,062,000  —  12/15/18  3 month USD-     
      LIBOR-BBA  2.80776%  188,934 
70,800,000  —  12/16/18  3 month USD-     
      LIBOR-BBA  2.845%  480,821 
40,500,000  —  12/16/38  2.765%  3 month USD-   
        LIBOR-BBA  3,526,824 
15,405,000  —  12/16/28  3 month USD-     
      LIBOR-BBA  2.845%  (745,429) 
131,089,000  —  12/17/23  3 month USD-     
      LIBOR-BBA  2.81682%  (4,395,506) 
230,318,000  —  12/19/10  3 month USD-     
      LIBOR-BBA  1.53429%  1,715,393 
27,244,000  —  12/24/13  2.165%  3 month USD-   
        LIBOR-BBA  (153,703) 
48,851,000  —  12/30/13  2.15633%  3 month USD-   
        LIBOR-BBA  (243,878) 
67,200,000  —  1/8/29  3 month USD-     
      LIBOR-BBA  3.19625%  12,460 
215,300,000  —  1/8/14  2.375%  3 month USD-   
        LIBOR-BBA  (2,459,152) 
21,342,000  —  1/13/19  3 month USD-     
      LIBOR-BBA  2.52438%  (561,732) 

195

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

  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) 
Deutsche Bank AG cont.           
$17,620,000  $—  1/20/19  3 month USD-     
      LIBOR-BBA  2.347%  $(744,171) 
13,017,000  —  1/28/29  3 month USD-     
      LIBOR-BBA  3.1785%  (39,431) 
53,345,000  —  1/30/11  3 month USD-     
      LIBOR-BBA  1.45%  127,869 
24,474,000  —  2/3/19  3.01%  3 month USD-   
        LIBOR-BBA  (381,162) 
46,553,000  —  2/5/29  3 month USD-     
      LIBOR-BBA  3.324%  851,723 
130,452,000  —  2/5/14  2.44661%  3 month USD-   
        LIBOR-BBA  (1,796,447) 
80,666,000  —  2/6/14  2.5529%  3 month USD-   
        LIBOR-BBA  (1,515,458) 
29,230,000  —  2/6/29  3 month USD-     
      LIBOR-BBA  3.42575%  980,092 
19,000,000  —  2/6/14  2.5675%  3 month USD-   
        LIBOR-BBA  (370,103) 
43,000,000  —  2/9/14  2.525%  3 month USD-   
        LIBOR-BBA  (742,128) 
41,000,000  —  2/10/14  2.55%  3 month USD-   
        LIBOR-BBA  (755,160) 
46,053,000  —  2/10/14  2.5825%  3 month USD-   
        LIBOR-BBA  (919,429) 
14,654,000  —  2/10/29  3 month USD-     
      LIBOR-BBA  3.4725%  590,782 
20,656,000  —  2/25/14  2.4675%  3 month USD-   
        LIBOR-BBA  (281,819) 
670,000,000  —  3/16/11  3 month USD-     
      LIBOR-BBA  1.6725%  3,785,640 
310,000,000  —  3/16/16  2.85%  3 month USD-   
        LIBOR-BBA  (5,865,458) 
83,000,000  —  3/16/29  3 month USD-     
      LIBOR-BBA  3.29%  883,466 
167,073,000  —  3/20/11  3 month USD-     
      LIBOR-BBA  1.43%  143,312 
2,000,000  —  3/23/19  2.8225%  3 month USD-   
        LIBOR-BBA  8,659 
77,200,000  —  3/23/11  3 month USD-     
      LIBOR-BBA  1.45%  105,417 
1,000,000  —  3/24/14  2.297%  3 month USD-   
        LIBOR-BBA  (4,095) 
101,000,000  —  3/30/14  2.36%  3 month USD-   
        LIBOR-BBA  (679,439) 
46,000,000  —  3/30/21  3 month USD-     
      LIBOR-BBA  3.125%  459,465 

196

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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) 
Goldman Sachs International         
  $1,943,000  $—  4/8/10  3 month USD-     
        LIBOR-BBA  2.64%  $46,793 
  4,103,000  —  4/23/18  4.43%  3 month USD-   
          LIBOR-BBA  (616,340) 
  5,111,000  —  5/19/18  4.525%  3 month USD-   
          LIBOR-BBA  (797,178) 
  6,902,000  —  5/30/28  5.014%  3 month USD-   
          LIBOR-BBA  (1,910,747) 
  17,441,000  8,219  10/24/10  3 month USD-     
        LIBOR-BBA  2.60%  527,011 
  16,975,000  (105,073)  11/18/18  3 month USD-     
        LIBOR-BBA  4.10%  1,944,726 
  141,209,000  (514,524)  11/18/13  3 month USD-     
        LIBOR-BBA  3.45%  9,256,094 
  181,889,000  (50,028)  11/18/10  3 month USD-     
        LIBOR-BBA  2.35%  4,347,813 
  9,720,000  —  1/23/19  2.61125%  3 month USD-   
          LIBOR-BBA  183,539 
EUR  20,170,000  —  2/3/11  6 month EUR-     
        EURIBOR-     
        REUTERS  2.23%  191,008 
AUD  16,812,500 E —  2/14/12  3 month AUD-     
        BBR-BBSW  4.39%  (27,981) 
JPMorgan Chase Bank, N.A.         
  $108,271,000  —  3/5/18  4.325%  3 month USD-   
          LIBOR-BBA  (13,613,875) 
  20,439,000  —  3/7/18  4.45%  3 month USD-   
          LIBOR-BBA  (2,767,426) 
  20,800,000  —  3/12/18  3 month USD-     
        LIBOR-BBA  4.4525%  2,818,139 
  5,091,000  —  3/11/38  5.0025%  3 month USD-   
          LIBOR-BBA  (1,696,696) 
  41,043,000  —  3/11/38  5.03%  3 month USD-   
          LIBOR-BBA  (13,893,007) 
  90,389,000  —  3/15/10  3 month USD-     
        LIBOR-BBA  2.5%  1,147,551 
  41,018,000  —  3/20/13  3 month USD-     
        LIBOR-BBA  3.145%  1,851,216 
  106,684,000  —  3/20/13  3 month USD-     
        LIBOR-BBA  3.13%  4,753,543 
  215,990,000  —  3/25/10  3 month USD-     
        LIBOR-BBA  2.325%  2,432,015 
  47,989,000  —  4/8/13  3 month USD-     
        LIBOR-BBA  3.58406%  3,634,529 
  27,816,000  —  5/16/18  4.53%  3 month USD-   
          LIBOR-BBA  (4,353,581) 
  33,439,000  —  5/23/10  3 month USD-     
        LIBOR-BBA  3.16%  1,070,680 

197

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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) 
  
JPMorgan Chase Bank, N.A. cont.         
  $25,000,000  $—  6/13/13  4.47%  3 month USD-   
          LIBOR-BBA  $(2,761,797) 
  65,996,000  —  7/16/10  3 month USD-     
        LIBOR-BBA  3.384%  2,143,206 
  20,788,000  —  7/22/10  3 month USD-     
        LIBOR-BBA  3.565%  727,275 
  134,630,000  —  7/28/10  3 month USD-     
        LIBOR-BBA  3.5141%  4,580,844 
AUD  19,760,000 E —  8/6/18  6 month AUD-     
        BBR-BBSW  6.865%  576,317 
  $18,360,000  —  9/23/38  4.70763%  3 month USD-   
          LIBOR-BBA  (5,119,492) 
  49,900,000  —  10/9/13  3.5576%  3 month USD-   
          LIBOR-BBA  (3,803,589) 
  35,458,000  —  10/23/13  3 month USD-     
        LIBOR-BBA  3.535%  2,660,758 
  9,132,000  27,539  11/4/18  4.45%  3 month USD-   
          LIBOR-BBA  (1,370,253) 
  48,306,000  —  11/10/18  3 month USD-     
        LIBOR-BBA  4.83%  9,009,723 
  45,300,000  —  11/10/18  4.12%  3 month USD-   
          LIBOR-BBA  (5,578,818) 
  1,000,000  —  11/18/18  3 month USD-     
        LIBOR-BBA  4.04%  115,402 
  75,000,000  —  11/24/10  3 month USD-     
        LIBOR-BBA  2.0075%  1,298,304 
  31,782,000  —  12/19/18  5%  3 month USD-   
          LIBOR-BBA  (6,301,336) 
PLN  10,420,000  —  1/26/11  6 month PLN-     
        WIBOR-WIBO  4.177%  (35,930) 
  $5,690,000  —  1/27/24  3.1%  3 month USD-   
          LIBOR-BBA  22,292 
AUD  13,450,000 E —  1/27/12  3 month AUD-     
        BBR-BBSW  4.21%  (35,929) 
  $2,845,000  —  2/3/24  3 month USD-     
        LIBOR-BBA  3.2825%  51,048 
AUD  7,960,000  —  2/24/19  4.825%  6 month AUD-   
          BBR-BBSW  51,777 
  $63,586,000  —  3/3/11  3 month USD-     
        LIBOR-BBA  1.68283%  396,162 
EUR  18,760,000  —  3/4/14  1 month EUR-     
        EURIBOR-     
        REUTERS  2.74%  100,506 
GBP  12,930,000  —  3/4/12  6 month GBP-     
        LIBOR-BBA  2.535%  28,138 
  $10,961,000  —  3/6/39  3.48%  3 month USD-   
          LIBOR-BBA  (489,240) 

198

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) cont.

    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) 
  
JPMorgan Chase Bank, N.A. cont.         
AUD  $5,970,000  $ —  3/6/19  4.93%  6 month AUD-   
          BBR-BBSW  $9,473 
CAD  8,080,000  —  3/16/11  0.98%  3 month CAD-   
          BA-CDOR  (16,673) 
CAD  1,780,000  —  3/16/19  3 month CAD-     
        BA-CDOR  2.7%  27,212 
CAD  8,310,000  —  3/17/13  1.56%  3 month CAD-   
          BA-CDOR  (40,531) 
  $8,440,000  —  3/19/13  3 month USD-     
        LIBOR-BBA  2.28%  99,514 
  2,710,000  —  3/19/24  3.37%  3 month USD-   
          LIBOR-BBA  (68,818) 
CAD  2,640,000  —  3/17/24  3 month CAD-     
        BA-CDOR  3.46%  46,527 
  $45,000,000  —  3/20/19  3.20875%  3 month USD-   
          LIBOR-BBA  (1,343,308) 
  95,000,000  —  3/24/11  3 month USD-     
        LIBOR-BBA  1.4625%  152,251 
EUR  35,020,000  —  3/30/11  6 month EUR-     
        EURIBOR-     
        REUTERS  1.972%  148,868 
  $12,300,000  —  3/30/19  3 month USD-     
        LIBOR-BBA  2.945%  75,563 
UBS AG             
  651,364,000  —  10/29/10  2.75%  3 month USD-   
          LIBOR-BBA  (21,189,781) 
  109,102,000  —  10/29/20  3 month USD-     
        LIBOR-BBA  4.18142%  14,547,128 
  42,246,000  1,404,328  11/10/28  4.45%  3 month USD-   
          LIBOR-BBA  (6,921,733) 
  65,358,000  (1,660,332)  11/10/18  3 month USD-     
        LIBOR-BBA  4.45%  8,312,986 
  37,318,000  (490,960)  11/24/38  3 month USD-     
        LIBOR-BBA  3.3%  214,832 
  1,269,000  (6,194)  11/24/18  3 month USD-     
        LIBOR-BBA  3.4%  67,313 
  4,863,000  (1,535)  11/24/10  3 month USD-     
        LIBOR-BBA  2.05%  86,966 
  15,134,000  —  11/24/10  3 month USD-     
        LIBOR-BBA  2.05%  275,422 
Total            $(3,350,743) 

E See Note 1 to the financial statements 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.

199

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/09 (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) 
Deutsche Bank AG         
EUR  10,134,000 F 3/27/14  1.785%  Eurostat Eurozone  $8,437 
        HICP excluding   
        tobacco   
Goldman Sachs International         
EUR  16,890,000  4/30/13  2.375%  French Consumer  740,916 
        Price Index   
        excluding tobacco   
EUR  16,890,000  4/30/13  (2.41%)  Eurostat Eurozone  (881,338) 
        HICP excluding   
        tobacco   
EUR  16,890,000  5/6/13  2.34%  French Consumer  708,839 
        Price Index   
        excluding tobacco   
EUR  16,890,000  5/6/13  (2.385%)  Eurostat Eurozone  (861,149) 
        HICP excluding   
        tobacco   
  $446,645 F 8/28/09  (3 month USD-  iShares MSCI  1,595,919 
      LIBOR-BBA minus  Emerging Markets   
      85 bp)  Index   
JPMorgan Chase Bank, N.A.         
  519,575  8/19/09  (3 month USD-  iShares MSCI  1,418,424 
      LIBOR-BBA minus  Emerging Markets   
      125 bp)  Index   
Total          $2,730,048 

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.

CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (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.             
DJ ABX CMBX BBB             
Index  —  $1,072  $1,559,000 F   10/12/52   (134 bp)  $1,356,626 
Financial Security             
Assurance Holdings,             
Ltd, 6.4%, 12/15/66  B2  —  105,000  12/20/12  95 bp  (51,601) 
Marsh & Mclennan             
Co. Inc., 5 3/8%,             
7/15/14  —  —  565,000  3/20/12  (95 bp)  (3,981) 
MetLife Inc., 5%,             
6/15/15  —  —  230,000  12/20/13  (384 bp)  35,328 
Nalco Co., 7.75%,             
11/15/11  B1  —  30,000  9/20/12  350 bp  (2,322) 

200

CREDIT DEFAULT CONTRACTS OUTSTANDING 3/31/09 (Unaudited) cont .   
    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) 
Barclays Bank PLC             
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  $218,374  $1,590,797  7/25/45  18 bp  $(44,052) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  172,800  1,193,177  7/25/45  18 bp  (24,032) 
DJ ABX HE PEN AAA             
Series 7 Version 1             
Index  A+  704,893  1,196,000  8/25/37  9 bp  (135,277) 
Citibank, N.A.             
Conagra Foods Inc.,             
7%, 10/1/28  —  —  860,000  9/20/10  (27 bp)  1,901 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AA  203,628  1,029,681  5/25/46  11 bp  (264,855) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  78,217  508,738  7/25/45  18 bp  (5,707) 
FirstEnergy Corp.,             
7 3/8%, 11/15/31  —  —  2,535,000  12/20/11  (85 bp)  21,210 
Lear Corp., T/L             
Bank Loan  —  —  305,000  6/20/13  (225 bp)  185,202 
Lear Corp., T/L             
Bank Loan  Caa1  —  305,000  6/20/13  700 bp  (166,431) 
Lighthouse             
International Co.,             
SA, 8%, 4/30/14  B3  — EUR 1,000,000  3/20/13  815 bp  (445,175) 
Marsh & Mclennan             
Co. Inc., 5 3/8%,             
7/15/14  —  —  $345,000  9/20/14  (105 bp)  (3,378) 
Sara Lee Corp.,             
6 1/8%, 11/1/32  —  —  300,000  9/20/11  (43 bp)  1,163 
Yum! Brands, Inc.,             
8 7/8%, 4/15/11  —  —  270,000  3/20/13  (65 bp)  5,293 
Credit Suisse International             
DJ ABX HE AAA             
Series 7 Version 2             
Index  BB+  135,975  245,000  1/25/38  76 bp  (48,964) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  149,040  960,810  7/25/45  18 bp  (9,460) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  62,934  409,333  7/25/45  18 bp  (4,592) 

201

CREDIT DEFAULT CONTRACTS OUTSTANDING 3/31/09 (Unaudited) cont .   
    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) 
  
Credit Suisse International cont.           
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  $52,372  $340,636  7/25/45  18 bp  $(3,821) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  25,212  163,987  7/25/45  18 bp  (1,840) 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  31,595  179,815  7/25/45  18 bp  1,932 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  46,267  276,688  7/25/45  18 bp  623 
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  25,429  154,489  7/25/45  18 bp  (56) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  346,801  1,707,512  5/25/46  11 bp  (430,080) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  421,461  1,307,368  5/25/46  11 bp  (173,363) 
DJ ABX HE PEN AAA             
Series 7 Version 1             
Index  A+  901,313  1,518,000  8/25/37  9 bp  (165,056) 
DJ CDX NA HY Series             
10  B+  49,907  475,300  6/20/13  500 bp  (79,448) 
DJ CDX NA HY Series             
10  B+  340,106  3,201,000  6/20/13  500 bp  (531,057) 
DJ CMB NA CMBX AAA             
Index  AAA  151,798  912,000  12/13/49  8 bp  (152,766) 
DJ CMB NA CMBX AJ             
Index  —  (460,732)  1,433,000 F    2/17/51   (96 bp)  578,119 
DJ CMBX NA AAA             
Series 4 Version 1             
Index  AAA  4,829,039  11,690,000  2/17/51  35 bp  864,302 
KB Home, 5 3/4%,             
2/1/14  —  —  1,380,000  9/20/11  (425 bp)  15,474 
Liberty Mutual             
Insurance, 7 7/8%,             
10/15/26  —  —  70,000  12/20/13  (210 bp)  5,201 
Deutsche Bank AG             
DJ ABX CMBX AAA             
Index  AAA  54,261  900,000 F    2/17/51   35 bp  (254,719) 
DJ ABX HE A Series             
7 Version 2 Index  CCC  984,620  1,072,953  1/25/38  369 bp  (58,057) 
DJ ABX HE AAA             
Series 6 Version 1             
Index  AAA  67,745  627,530  7/25/45  18 bp  (158,144) 

202

CREDIT DEFAULT CONTRACTS OUTSTANDING 3/31/09 (Unaudited) cont .   
 
    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) 
 
Deutsche Bank AG cont.             
DJ ABX HE PEN AAA             
Series 6 Version 1             
Index  AAA  $55,434  $336,521  7/25/45  18 bp  $(80) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  312,964  893,425  5/25/46  11 bp  (93,526) 
DJ CDX NA HY Series             
11 Version 1 Index  B+  3,764,594  16,019,550  12/20/13  500 bp  (1,196,428) 
DJ CDX NA IG Series             
12 Version 1 Index  —  (3,294,388)  85,380,000  6/20/14  (100 bp)  379,419 
DJ iTraxx Europe             
Series 8 Version 1  —  (115,108)  EUR 1,200,000  12/20/12  (375 bp)  285,176 
DJ iTraxx Europe             
Series 9 Version 1  —  251,044  EUR 3,675,000  6/20/13  (650 bp)  1,084,796 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  —  EUR 245,000  6/20/09  400 bp  (17,453) 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  B3  —  EUR 895,000  6/20/09  400 bp  (63,758) 
Korea Monetary STAB             
Bond, 5.15%, 2/12/10  A2  —  $3,770,000 F   2/19/10   115 bp  29,374 
Nalco Co., 7.75%,             
11/15/11  B1  —  25,000  12/20/12  363 bp  (1,980) 
Pacific Gas &             
Electric Co., 4.8%,             
3/1/14  A3  —  665,000  12/20/13  112 bp  (29,883) 
Smurfit Kappa             
Funding, 10 1/8%,             
10/1/12  BB/P  —  EUR 490,000  6/20/09  135 bp  (9,060) 
Smurfit Kappa             
Funding, 7 3/4%,             
4/1/15  B2  —  EUR 440,000  9/20/13  715 bp  (56,148) 
Universal Corp.,             
5.2%, 10/15/13  —  —  $710,000  3/20/15  (95 bp)  (246) 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  B2  —  EUR 690,000  9/20/13  477 bp  (48,375) 
Virgin Media             
Finance PLC,             
8 3/4%, 4/15/14  B2  —  EUR 690,000  9/20/13  535 bp  (29,904) 
Goldman Sachs International             
CVS Caremark Corp.,             
4 7/8%, 9/15/14  —  —  $435,000  9/20/13  (59 bp)  6,418 
CVS Caremark Corp.,             
4 7/8%, 9/15/14    —  540,000  9/20/11  (50 bp)  5,180 
DJ ABX HE A Index  CCC  362,525  536,477  1/25/38  369 bp  (158,813) 
DJ ABX HE AAA Index  BB+  127,146  541,000  1/25/38  76 bp  (281,229) 
DJ CDX NA CMBX AAA             
Index  AAA  17,922  490,000 F    3/15/49   7 bp  (120,484) 

203

CREDIT DEFAULT CONTRACTS OUTSTANDING 3/31/09 (Unaudited) cont .   
 
    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) 
  
Goldman Sachs International cont.           
DJ CDX NA HY Series             
11 Version 1 Index  B+  $1,991,531  $7,275,000  12/20/13  500 bp  $(261,051) 
DJ CDX NA IG Series             
12 Version 1 Index  —  (1,143,804)  26,027,000  6/20/14  (100 bp)  — 
Lighthouse             
International Co,             
SA, 8%, 4/30/14  B3  —  EUR 680,000  3/20/13  680 bp  (330,341) 
Macy’s Retail             
Holdings, Inc.,             
7.45%, 7/15/17  —  —  $3,965,000  6/20/11  (254.9 bp)  359,468 
Smurfit Kappa             
Funding, 7 3/4%,             
4/1/15  B2  —  EUR 405,000  9/20/13  720 bp  (77,372) 
Southern California             
Edison Co., 7 5/8%,             
1/15/10  A3  —  $615,000  12/20/13  118.1 bp  (32,316) 
JPMorgan Chase Bank, N.A.             
Codere Finance             
(Luxembourg) S.A.,             
8.25%, 6/15/15  B+  —  EUR 680,000  3/20/13  795 bp  (288,601) 
Computer Science             
Corp., 5%, 2/15/13  —  —  $2,625,000  3/20/18  (82 bp)  (25,314) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  224,370  1,104,708  5/25/46  11 bp  (278,249) 
DJ ABX HE PEN AAA             
Series 6 Version 2             
Index  AA  317,806  894,288  5/25/46  11 bp  (89,076) 
DJ CMBX NA AAA             
Series 4 Version 1             
Index  —  (5,568,896)  14,261,000  2/17/51  (35 bp)  (619,895) 
DJ iTraxx Europe             
Crossover Series 8             
Version 1  —  (259,620) EUR 1,943,000   12/20/12  (375 bp)  388,428 
Domtar Corp.,             
7 1/8%, 8/15/15  —  —  $110,000  12/20/11  (500 bp)  8,107 
GATX Corp., 8.875%,             
6/1/09  —  —  130,000  3/20/16  (100 bp)  25,311 
General Growth             
Properties, conv.             
bond 3.98%, 4/15/27  Ba2  —  770,000  6/20/12  750 bp  (499,168) 
General Growth             
Properties, conv.             
bond 3.98%, 4/15/27  Ba3  —  140,000  6/20/12  750 bp  (90,758) 
General Growth             
Properties, conv.             
bond 3.98%, 4/15/27  Baa3  —  120,000  9/20/13  775 bp  (80,946) 
Glencore Funding             
LLC, 6%, 4/15/14  —  —  2,860,000  6/20/14  (148 bp)  978,682 

204

CREDIT DEFAULT CONTRACTS OUTSTANDING 3/31/09 (Unaudited) cont .   
 
    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) 
Merrill Lynch Capital Services, Inc.           
Pacific Gas &             
Electric Co., 4.8%,             
3/1/14  A3  $—  $710,000  12/20/13  113 bp  $(31,604) 
Merrill Lynch International             
Kinder Morgan,             
Inc., 6 1/2%, 9/1/12  —  —  126,000  9/20/12  (128 bp)  1,529 
Morgan Stanley Capital Services, Inc.           
DJ CDX NA IG Series             
12 Version 1 Index  —  (351,839)  8,660,000  6/20/14  (100 bp)  20,310 
DJ CDX NA IG Series             
12 Version 1 Index  —  (3,359,276)  75,675,000  6/20/14  (100 bp)  — 
DJ CMB NA CMBX AAA             
Index  AAA  210,335  1,720,000  2/17/51  35 bp  (380,178) 
Nalco Co., 7.75%,             
11/15/11  B1  —  30,000  9/20/12  330 bp  (2,501) 
Nalco Co., 7.75%,             
11/15/11  B1  —  45,000  3/20/13  460 bp  (2,368) 
Universal Corp.,             
5.2%, 10/15/13  —  —  2,130,000  3/20/13  (89 bp)  (1,058) 
UBS, AG             
Meritage Homes             
Corp., 7%, 5/1/14  —  —  90,000  9/20/13  (760 bp)  16,618 
Total            $(1,755,207) 

* 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, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2009. Securities rated by Putnam are indicated by "/P."

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.

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.

205

The following is a summary of the inputs used to value the fund’s net assets as of March 31, 2009:

Growth Portfolio     
Valuation inputs  Investments in securities  Other financial instruments 
Level 1  $625,225,562  $33,732,441 
Level 2  1,004,303,145  7,663,929 
Level 3  5,276,069  — 
Total  $1,634,804,776  $41,396,370 
 
Balanced Portfolio     
 
Valuation inputs  Investments in securities  Other financial instruments 
Level 1  $619,308,473  $10,827,011 
Level 2  1,260,925,924  (61,940,152) 
Level 3  3,841,562  — 
Total  $1,884,075,959  $(51,113,141) 
 
Conservative Portfolio     
Valuation inputs  Investments in securities  Other financial instruments 
Level 1  $340,356,538  $(5,736,900) 
Level 2  1,042,122,481  (24,800,171) 
Level 3  3,709,090  — 
Total  $1,386,188,109  $(30,537,071) 

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 March 31, 2009:

Growth Portfolio     
  Investment in securities  Other financial instruments 
Balance as of September 30, 2008  $1,698,772  $— 
Accrued discounts/premiums  —  — 
Realized gain/(loss)  101  — 
Change in net unrealized appreciation/(depreciation)  (276,587)  — 
Net purchases/sales  231,921  — 
Net transfers in and/or out of Level 3  3,621,862  — 
Balance as of March 31, 2009  $5,276,069  $— 
  
Balanced Portfolio     
 
  Investment in securities  Other financial instruments 
Balance as of September 30, 2008  $3,288,554  $— 
Accrued discounts/premiums  —  — 
Realized gain/(loss)  (125,689)  — 
Change in net unrealized appreciation/(depreciation)  (650,444)  — 
Net purchases/sales  1,095,839  — 
Net transfers in and/or out of Level 3  233,302  — 
Balance as of March 31, 2009  $3,841,562  $— 

206

Conservatice Portfolio     
 
  Investment in securities  Other financial instruments 
Balance as of September 30, 2008  $2,948,265  $— 
Accrued discounts/premiums  —  — 
Realized gain/(loss)  (343,507)  — 
Change in net unrealized appreciation/(depreciation)  (273,691)  — 
Net purchases/sales  1,482,476  — 
Net transfers in and/or out of Level 3  (104,453)  — 
Balance as of March 31, 2009  $3,709,090  $— 

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 accompanying notes are an integral part of these financial statements.

207

Statement of assets and liabilities 3/31/09 (Unaudited)

Putnam Asset Allocation: Growth Portfolio   
ASSETS   
Investment in securities, at value (Note 1):   
Unaffiliated issuers (identified cost $1,973,284,661)  $1,634,804,776 
Cash  8,067,160 
Foreign currency (cost $754,819) (Note 1)  747,808 
Dividends, interest and other receivables  7,743,118 
Receivable for shares of the fund sold  2,576,220 
Receivable for investments sold  62,461,361 
Receivable for sales of delayed delivery securities (Note 1)  199,658,799 
Receivable for variation margin (Note 1)  1,430,633 
Receivable for receivable purchase agreement (Note 2)  401,998 
Premium paid on swap contracts (Note 1)  9,824,349 
Unrealized appreciation on swap contracts (Note 1)  144,344,448 
Unrealized appreciation on forward currency contracts (Note 1)  8,961,352 
Total assets  2,081,022,022 
 
 
LIABILITIES   
Payable for investments purchased  57,867,015 
Payable for purchases of delayed delivery securities (Note 1)  417,644,028 
Payable for shares of the fund repurchased  8,456,511 
Payable for compensation of Manager (Note 2)  1,725,220 
Payable for investor servicing fees (Note 2)  311,953 
Payable for custodian fees (Note 2)  158,855 
Payable for Trustee compensation and expenses (Note 2)  173,835 
Payable for administrative services (Note 2)  4,300 
Payable for distribution fees (Note 2)  773,579 
Premium received on swap contracts (Note 1)  13,228,304 
Unrealized depreciation on forward currency contracts (Note 1)  12,215,930 
Unrealized depreciation on swap contracts (Note 1)  123,713,889 
TBA sales commitments, at value (proceeds receivable $80,794,258) (Note 1)  80,980,318 
Written options outstanding, at value (premiums received $10,281,961) (Notes 1 and 3)  19,807,953 
Other accrued expenses  491,306 
Total liabilities  737,552,996 
 
Net assets  $1,343,469,026 
 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $2,254,974,934 
Distributions in excess of net investment income (Note 1)  (15,355,113) 
Accumulated net realized loss on investments and foreign currency transactions (Note 1)  (599,306,649) 
Net unrealized depreciation of investments and assets and liabilities in foreign currencies  (296,844,146) 
Total — Representing net assets applicable to capital shares outstanding  $1,343,469,026 

(Continued on next page)

208

Statement of assets and liabilities (Continued)   
 
 
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share ($841,291,186 divided by 106,777,895 shares)  $7.88 
Offering price per class A share (100/94.25 of $7.88)*  $8.36 
Net asset value and offering price per class B share ($161,719,931 divided by 20,793,341 shares)**  $7.78 
Net asset value and offering price per class C share ($101,728,734 divided by 13,313,520 shares)**  $7.64 
Net asset value and redemption price per class M share ($21,271,605 divided by 2,736,084 shares)  $7.77 
Offering price per class M share (100/96.50 of $7.77)*  $8.05 
Net asset value, offering price and redemption price per class R share   
($6,682,256 divided by 858,343 shares)  $7.79 
Net asset value, offering price and redemption price per class Y share   
($210,775,314 divided by 26,562,089 shares)  $7.94 

* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.

** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

The accompanying notes are an integral part of these financial statements.

209

Statement of operations Six months ended 3/31/09 (Unaudited)

Putnam Asset Allocation: Growth Portfolio

INVESTMENT INCOME   
Interest (net of foreign tax of $10,473)  $10,750,876 
Dividends (net of foreign tax of $306,809)  10,688,708 
Securities lending  114,932 
Total investment income  21,554,516 
 
EXPENSES   
Compensation of Manager (Note 2)  4,447,216 
Investor servicing fees (Note 2)  2,560,914 
Custodian fees (Note 2)  206,533 
Trustee compensation and expenses (Note 2)  44,918 
Administrative services (Note 2)  31,059 
Distribution fees — Class A (Note 2)  1,175,693 
Distribution fees — Class B (Note 2)  926,293 
Distribution fees — Class C (Note 2)  574,606 
Distribution fees — Class M (Note 2)  96,703 
Distribution fees — Class R (Note 2)  16,876 
Other  492,117 
Fees waived and reimbursed by Manager (Note 2)  (922,421) 
Total expenses  9,650,507 
Expense reduction (Note 2)  (106,959) 
Net expenses  9,543,548 
 
Net investment income  12,010,968 
 
Net realized loss on investments (Notes 1 and 3)  (274,659,366) 
Net increase from payments by affiliates (Note 2)  10,336 
Net realized loss on swap contracts (Note 1)  (26,844,766) 
Net realized loss on futures contracts (Note 1)  (168,790,710) 
Net realized gain on foreign currency transactions (Note 1)  12,463,782 
Net realized gain on written options (Notes 1 and 3)  5,425,078 
Net unrealized depreciation of assets and liabilities in foreign currencies during the period  (507,928) 
Net unrealized depreciation of investments, futures contracts, swap contracts,   
written options, and TBA sale commitments during the period  (90,502,885) 
Net loss on investments  (543,406,459) 
 
Net decrease in net assets resulting from operations  $(531,395,491) 

The accompanying notes are an integral part of these financial statements.

210

Statement of changes in net assets

Putnam Asset Allocation: Growth Portfolio

DECREASE IN NET ASSETS  Six months ended 3/31/09*  Year ended 9/30/08 
Operations:     
Net investment income  $12,010,968  $47,297,661 
Net realized loss on investments     
and foreign currency transactions  (452,395,646)  (96,439,335) 
Net unrealized depreciation of investments     
and assets and liabilities in foreign currencies  (91,010,813)  (599,383,239) 
Net decrease in net assets resulting from operations  (531,395,491)  (648,524,913) 
Distributions to shareholders: (Note 1)     
From ordinary income     
Net investment income     
Class A  (43,716,453)  (18,700,195) 
Class B  (6,364,261)  (1,148,841) 
Class C  (4,077,608)  (1,019,907) 
Class M  (1,014,414)  (338,008) 
Class R  (292,243)  (59,202) 
Class Y  (6,229,091)  (2,826,546) 
Net realized short-term gain on investments     
Class A  —  (568,207) 
Class B  —  (136,246) 
Class C  —  (80,609) 
Class M  —  (17,610) 
Class R  —  (2,528) 
Class Y  —  (70,514) 
From net realized long-term gain on investments     
Class A  —  (16,342,938) 
Class B  —  (3,918,753) 
Class C  —  (2,318,510) 
Class M  —  (506,505) 
Class R  —  (72,724) 
Class Y  —  (2,028,143) 
Redemption fees (Note 1)  9,788  13,098 
Decrease from capital share transactions (Note 4)  (50,425,552)  (27,312,028) 
Total decrease in net assets  (643,505,325)  (725,979,829) 
 
NET ASSETS     
Beginning of period  1,986,974,351  2,712,954,180 
End of period (including distributions in excess of net investment     
income of $15,355,113 and undistributed net investment income     
of $34,327,989, respectively)  $1,343,469,026  $1,986,974,351 

* Unaudited

The accompanying notes are an integral part of these financial statements.

211

Financial highlights (For a common share outstanding throughout the period)

Putnam Asset Allocation: Growth Portfolio

INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: RATIOS AND SUPPLEMENTAL DATA:   
 
                        Ratio  Ratio of net   
    Net  Net realized                  of expenses  investment   
  Net asset value,  investment  and unrealized  Total from  From net  From net        Total return  Net assets,  to average  income (loss)   
  beginning  income  gain (loss) on  investment  investment realized gain on  Total  Redemption  Net asset value,   at net asset  end of period   net assets  to average  Portfolio 
Period ended  of period  (loss) a,d  investments  operations  income  investments  distributions  fees e  end of period  value (%) b  (in thousands)  (%) c,d  net assets (%) d  turnover (%) h 
Class A                             
March 31, 2009 **  $11.30  .08  (3.11)  (3.03)  (.39)  —  (.39)  —  $7.88  (26.91) *  $841,291  .60 *  .90 *  66.97 * 
September 30, 2008  15.14  .28  (3.82)  (3.54)  (.16)  (.14)  (.30)  —  11.30  (23.82)  1,338,008  1.13  2.08  112.72 
September 30, 2007  13.32  .22  1.68  1.90  (.08)  —  (.08)  —  15.14  14.31  1,763,893  1.14  1.52  80.70 
September 30, 2006  11.97  .19 g  1.26  1.45  (.10)  —  (.10)  —  13.32  12.19 g  1,152,980  1.14 g  1.51 g  85.02 
September 30, 2005  10.26  .15 f  1.69  1.84  (.13)  —  (.13)  —  11.97  18.02  775,947  1.25  1.34 f  111.90 
September 30, 2004  9.22  .11  1.13  1.24  (.20)  —  (.20)  —  10.26  13.51  547,168  1.32  1.12  120.17 
Class B                             
March 31, 2009 **  $11.05  .04  (3.03)  (2.99)  (.28)  —  (.28)  —  $7.78  (27.12) *  $161,720  .97 *  .53 *  66.97 * 
September 30, 2008  14.80  .17  (3.74)  (3.57)  (.04)  (.14)  (.18)  —  11.05  (24.38)  269,312  1.88  1.30  112.72 
September 30, 2007  13.05  .11  1.64  1.75  —  —  —  —  14.80  13.41  432,178  1.89  .76  80.70 
September 30, 2006  11.73  .09 g  1.24  1.33  (.01)  —  (.01)  —  13.05  11.37 g  363,651  1.89 g  .75 g  85.02 
September 30, 2005  10.06  .06 f  1.67  1.73  (.06)  —  (.06)  —  11.73  17.22  315,199  2.00  .59 f  111.90 
September 30, 2004  9.06  .04  1.09  1.13  (.13)  —  (.13)  —  10.06  12.55  261,591  2.07  .37  120.17 
Class C                             
March 31, 2009 **  $10.87  .04  (2.98)  (2.94)  (.29)  —  (.29)  —  $7.64  (27.16) *  $101,729  .97 *  .53 *  66.97 * 
September 30, 2008  14.58  .17  (3.68)  (3.51)  (.06)  (.14)  (.20)  —  10.87  (24.37)  167,237  1.88  1.31  112.72 
September 30, 2007  12.86  .11  1.61  1.72  — e  —  — e  —  14.58  13.40  241,464  1.89  .77  80.70 
September 30, 2006  11.57  .09 g  1.22  1.31  (.02)  —  (.02)  —  12.86  11.38 g  150,255  1.89 g  .76 g  85.02 
September 30, 2005  9.92  .06 f  1.64  1.70  (.05)  —  (.05)  —  11.57  17.21  96,350  2.00  .59 f  111.90 
September 30, 2004  8.93  .04  1.08  1.12  (.13)  —  (.13)  —  9.92  12.57  73,936  2.07  .37  120.17 
Class M                             
March 31, 2009 **  $11.09  .05  (3.05)  (3.00)  (.32)  —  (.32)  —  $7.77  (27.13) *  $21,272  .85 *  .65 *  66.97 * 
September 30, 2008  14.86  .21  (3.75)  (3.54)  (.09)  (.14)  (.23)  —  11.09  (24.15)  37,313  1.63  1.57  112.72 
September 30, 2007  13.09  .14  1.65  1.79  (.02)  —  (.02)  —  14.86  13.65  50,657  1.64  1.00  80.70 
September 30, 2006  11.77  .12 g  1.24  1.36  (.04)  —  (.04)  —  13.09  11.60 g  40,409  1.64 g  1.00 g  85.02 
September 30, 2005  10.09  .09 f  1.67  1.76  (.08)  —  (.08)  —  11.77  17.48  34,029  1.75  .84 f  111.90 
September 30, 2004  9.07  .06  1.11  1.17  (.15)  —  (.15)  —  10.09  12.97  29,373  1.82  .62  120.17 
Class R                             
March 31, 2009 **  $11.16  .06  (3.06)  (3.00)  (.37)  —  (.37)  —  $7.79  (26.99) *  $6,682  .73 *  .78 *  66.97 * 
September 30, 2008  14.96  .25  (3.80)  (3.55)  (.11)  (.14)  (.25)  —  11.16  (24.08)  8,950  1.38  1.88  112.72 
September 30, 2007  13.18  .18  1.66  1.84  (.06)  —  (.06)  —  14.96  14.00  7,447  1.39  1.28  80.70 
September 30, 2006  11.87  .17 g  1.23  1.40  (.09)  —  (.09)  —  13.18  11.85 g  6,258  1.39 g  1.31 g  85.02 
September 30, 2005  10.21  .12 f  1.68  1.80  (.14)  —  (.14)  —  11.87  17.80  1,285  1.50  1.10 f  111.90 
September 30, 2004  9.21  .09  1.11  1.20  (.20)  —  (.20)  —  10.21  13.15  32  1.57  .87  120.17 
Class Y                             
March 31, 2009 **  $11.42  .09  (3.14)  (3.05)  (.43)  —  (.43)  —  $7.94  (26.86) *  $210,775  .48 *  1.03 *  66.97 * 
September 30, 2008  15.28  .32  (3.85)  (3.53)  (.19)  (.14)  (.33)  —  11.42  (23.55)  166,154  .88  2.30  112.72 
September 30, 2007  13.44  .26  1.69  1.95  (.11)  —  (.11)  —  15.28  14.55  217,314  .89  1.75  80.70 
September 30, 2006  12.08  .22 g  1.27  1.49  (.13)  —  (.13)  —  13.44  12.40 g  154,877  .89 g  1.73 g  85.02 
September 30, 2005  10.35  .18 f  1.70  1.88  (.15)  —  (.15)  —  12.08  18.35  301,901  1.00  1.58 f  111.90 
September 30, 2004  9.30  .14  1.13  1.27  (.22)  —  (.22)  —  10.35  13.79  432,322  1.07  1.37  120.17 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

212  213 

Financial highlights (Continued)

* Not annualized.

** Unaudited.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

c Includes amounts paid through expense offset and brokerage/service arrangements (Note 2).

d Reflects an involuntary contractual expense limitation in effect during the period. For periods prior to March 31, 2009, certain fund expenses were waived in connection with the fund’s investment in Putnam Prime Money Market Fund. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts (Note 2):

  Percentage of 
  average net assets 
March 31, 2009  0.06% 
September 30, 2008  0.02 
September 30, 2007  0.01 
September 30, 2006  0.01 
September 30, 2005  0.02 
September 30, 2004  <0.01 

e Amount represents less than $0.01 per share.

f Reflects a non-recurring accrual related to Putnam Management’s settlement with the SEC regarding brokerage allocation practices, which amounted to the following amounts:

    Percentage of 
  Per share  average net assets 
Class A  <$0.01  0.01% 
Class B  <0.01  0.01 
Class C  <0.01  0.01 
Class M  <0.01  0.01 
Class R  <0.01  0.01 
Class Y  <0.01  0.01 

g Reflects a non-recurring reimbursement from Putnam Investments relating to the calculation of certain amounts paid by the fund to Putnam in previous years for transfer agent services, which amounted to $0.01 per share and 0.07% of average net assets for the period ended September 30, 2006.

h Portfolio turnover excludes dollar roll transactions.

The accompanying notes are an integral part of these financial statements.

214

Statement of assets and liabilities 3/31/09 (Unaudited)

Putnam Asset Allocation: Balanced Portfolio

ASSETS   
Investment in securities, at value (Note 1):   
Unaffiliated issuers (identified cost $2,154,106,003)  $1,884,075,959 
Cash  696,839 
Foreign currency (cost $288,898) (Note 1)  186,635 
Dividends, interest and other receivables  10,850,153 
Receivable for shares of the fund sold  3,106,149 
Receivable for investments sold  244,592,118 
Receivable for sales of delayed delivery securities (Note 1)  217,890,234 
Receivable for variation margin (Note 1)  1,161,086 
Premium paid on swap contracts (Note 1)  15,768,187 
Unrealized appreciation on forward currency contracts (Note 1)  7,477,213 
Unrealized appreciation on swap contracts (Note 1)  204,212,254 
Total assets  2,590,016,827 
 
 
LIABILITIES   
Payable for investments purchased  132,786,650 
Payable for purchases of delayed delivery securities (Note 1)  826,056,753 
Payable for shares of the fund repurchased  7,128,930 
Payable for compensation of Manager (Note 2)  1,219,990 
Payable for investor servicing fees (Note 2)  285,025 
Payable for custodian fees (Note 2)  135,401 
Payable for Trustee compensation and expenses (Note 2)  187,488 
Payable for administrative services (Note 2)  7,800 
Payable for distribution fees (Note 2)  653,591 
Payable for receivable purchase agreement (Note 2)  742,651 
Premium received on swap contracts (Note 1)  10,205,435 
Unrealized depreciation on forward currency contracts (Note 1)  12,004,952 
Unrealized depreciation on swap contracts (Note 1)  246,524,585 
TBA sales commitments, at value (proceeds receivable $126,921,328) (Note 1)  127,227,800 
Written options outstanding, at value (premiums received $17,045,317) (Notes 1 and 3)  31,838,927 
Other accrued expenses  325,564 
Total liabilities  1,397,331,542 
 
Net assets  $1,192,685,285 
 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $1,910,331,318 
Distributions in excess of net investment income (Note 1)  (2,125,155) 
Accumulated net realized loss on investments and foreign currency transactions (Note 1)  (395,302,776) 
Net unrealized depreciation of investments and assets and liabilities in foreign currencies  (320,218,102) 
Total — Representing net assets applicable to capital shares outstanding  $1,192,685,285 
 
(Continued on next page)   

215

Statement of assets and liabilities (Continued)

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share ($743,946,777 divided by 99,168,096 shares)  $7.50 
Offering price per class A share (100/94.25 of $7.50)*  $7.96 
Net asset value and offering price per class B share ($115,883,046 divided by 15,515,095 shares)**  $7.47 
Net asset value and offering price per class C share ($80,251,607 divided by 10,886,873 shares)**  $7.37 
Net asset value and redemption price per class M share ($18,111,249 divided by 2,417,139 shares)  $7.49 
Offering price per class M share (100/96.50 of $7.49)*  $7.76 
Net asset value, offering price and redemption price per class R share   
($4,989,886 divided by 668,237 shares)  $7.47 
Net asset value, offering price and redemption price per class Y share   
($229,502,720 divided by 30,566,179 shares)  $7.51 

* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.

** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

The accompanying notes are an integral part of these financial statements.

216

Statement of operations Six months ended 3/31/09 (Unaudited)

Putnam Asset Allocation: Balanced Portfolio

INVESTMENT INCOME   
Interest (net of foreign tax of $18,101)  $11,838,702 
Dividends (net of foreign tax of $146,953)  7,989,082 
Securities lending  89,330 
Total investment income  19,917,114 
 
EXPENSES   
Compensation of Manager (Note 2)  3,996,322 
Investor servicing fees (Note 2)  1,850,908 
Custodian fees (Note 2)  171,379 
Trustee compensation and expenses (Note 2)  41,188 
Administrative services (Note 2)  32,259 
Distribution fees — Class A (Note 2)  1,031,956 
Distribution fees — Class B (Note 2)  668,533 
Distribution fees — Class C (Note 2)  435,452 
Distribution fees — Class M (Note 2)  73,890 
Distribution fees — Class R (Note 2)  13,298 
Other  413,427 
Fees waived and reimbursed by Manager (Note 2)  (908,796) 
Total expenses  7,819,816 
 
Expense reduction (Note 2)  (64,538) 
Net expenses  7,755,278 
 
Net investment income  12,161,836 
 
Net realized loss on investments (Notes 1 and 3)  (201,047,037) 
Net realized loss on swap contracts (Note 1)  (41,440,188) 
Net realized loss on futures contracts (Note 1)  (25,478,719) 
Net realized gain on foreign currency transactions (Note 1)  17,379,355 
Net realized gain on written options (Notes 1 and 3)  6,894,594 
Net unrealized depreciation of assets and liabilities in foreign currencies during the period  (3,031,882) 
Net unrealized depreciation of investments, futures contracts, swap contracts,   
written options, and TBA sale commitments during the period  (139,541,346) 
Net loss on investments  (386,265,223) 
 
Net decrease in net assets resulting from operations  $(374,103,387) 

The accompanying notes are an integral part of these financial statements.

217

Statement of changes in net assets

Putnam Asset Allocation: Balanced Portfolio

DECREASE IN NET ASSETS  Six months ended 3/31/09*  Year ended 9/30/08 
Operations:     
Net investment income  $12,161,836  $62,937,920 
Net realized loss on investments     
and foreign currency transactions  (243,691,995)  (24,876,312) 
Net unrealized depreciation of investments     
and assets and liabilities in foreign currencies  (142,573,228)  (477,721,315) 
Net decrease in net assets resulting from operations  (374,103,387)  (439,659,707) 
Distributions to shareholders: (Note 1)     
From ordinary income     
Net investment income     
Class A  (32,331,339)  (34,561,972) 
Class B  (4,688,102)  (3,955,392) 
Class C  (3,148,595)  (2,429,042) 
Class M  (725,360)  (648,860) 
Class R  (203,548)  (137,434) 
Class Y  (7,846,401)  (5,978,504) 
Redemption fees (Note 1)  2,986  10,441 
Decrease from capital share transactions (Note 4)  (102,086,905)  (170,207,146) 
Total decrease in net assets  (525,130,651)  (657,567,616) 
 
 
NET ASSETS     
Beginning of period  1,717,815,936  2,375,383,552 
End of period (including distributions in excess of net investment     
income of $2,125,155 and undistributed net investment     
income of $34,656,354, respectively)  $1,192,685,285  $1,717,815,936 
 
* Unaudited     

The accompanying notes are an integral part of these financial statements.

218

 
 
This page left blank intentionally. 
 
 
 

219

Financial highlights (For a common share outstanding throughout the period)

Putnam Asset Allocation: Balanced Portfolio

INVESTMENT OPERATIONS:   LESS DISTRIBUTIONS: RATIOS AND SUPPLEMENTAL DATA:   
 
                      Ratio  Ratio of net   
    Net  Net realized                of expenses  investment   
  Net asset value,  investment  and unrealized  Total from        Net asset  Total return  Net assets,  to average  income (loss)   
  beginning  income  gain (loss) on  investment  From net  Total  Redemption  value, end  at net asset end of period  net assets  to average  Portfolio 
Period ended  of period  (loss) a,d  investments  operations  investment income  distributions  fees e  of period  value (%) b  (in thousands)  (%) c,d  net assets (%) d  turnover (%) h 
Class A                           
March 31, 2009 **  $10.01  .08  (2.28)  (2.20)  (.31)  (.31)  —  $7.50  (21.92) *  $743,947  .56 *  1.00 *  109.32 * 
September 30, 2008  12.74  .36  (2.81)  (2.45)  (.28)  (.28)  —  10.01  (19.45)  1,142,882  1.09  3.07  123.63 
September 30, 2007  11.86  .27  .83  1.10  (.22)  (.22)  —  12.74  9.36  1,619,706  1.06  2.19  106.89 
September 30, 2006  11.04  .23 g  .82  1.05  (.23)  (.23)  —  11.86  9.64 g  1,329,409  1.00 g  2.04 g  90.03 
September 30, 2005  9.94  .18 f  1.05  1.23  (.13)  (.13)  —  11.04  12.40  1,077,903  1.12  1.72 f  144.41 
September 30, 2004  9.26  .13  .79  .92  (.24)  (.24)  —  9.94  10.05  911,128  1.21  1.36  159.30 
Class B                           
March 31, 2009 **  $9.96  .05  (2.26)  (2.21)  (.28)  (.28)  —  $7.47  (22.16) *  $115,883  .94 *  .63 *  109.32 * 
September 30, 2008  12.66  .27  (2.78)  (2.51)  (.19)  (.19)  —  9.96  (19.99)  191,536  1.84  2.30  123.63 
September 30, 2007  11.78  .18  .83  1.01  (.13)  (.13)  —  12.66  8.58  311,754  1.81  1.43  106.89 
September 30, 2006  10.96  .14 g  .83  .97  (.15)  (.15)  —  11.78  8.88 g  324,825  1.75 g  1.28 g  90.03 
September 30, 2005  9.87  .10 f  1.04  1.14  (.05)  (.05)  —  10.96  11.54  340,442  1.87  .97 f  144.41 
September 30, 2004  9.20  .06  .78  .84  (.17)  (.17)  —  9.87  9.20  327,229  1.96  .61  159.30 
Class C                           
March 31, 2009 **  $9.85  .05  (2.25)  (2.20)  (.28)  (.28)  —  $7.37  (22.29) *  $80,252  .94 *  .63 *  109.32 * 
September 30, 2008  12.53  .27  (2.76)  (2.49)  (.19)  (.19)  —  9.85  (20.01)  118,179  1.84  2.32  123.63 
September 30, 2007  11.66  .18  .82  1.00  (.13)  (.13)  —  12.53  8.64  162,251  1.81  1.43  106.89 
September 30, 2006  10.87  .14 g  .80  .94  (.15)  (.15)  —  11.66  8.72 g  128,541  1.75 g  1.29 g  90.03 
September 30, 2005  9.79  .10 f  1.03  1.13  (.05)  (.05)  —  10.87  11.58  101,610  1.87  .97 f  144.41 
September 30, 2004  9.13  .06  .77  .83  (.17)  (.17)  —  9.79  9.15  83,403  1.96  .61  159.30 
Class M                           
March 31, 2009 **  $10.00  .06  (2.28)  (2.22)  (.29)  (.29)  —  $7.49  (22.15) *  $18,111  .81 *  .75 *  109.32 * 
September 30, 2008  12.72  .30  (2.80)  (2.50)  (.22)  (.22)  —  10.00  (19.82)  27,475  1.59  2.58  123.63 
September 30, 2007  11.84  .21  .83  1.04  (.16)  (.16)  —  12.72  8.83  38,124  1.56  1.68  106.89 
September 30, 2006  11.02  .17 g  .82  .99  (.17)  (.17)  —  11.84  9.11 g  34,730  1.50 g  1.54 g  90.03 
September 30, 2005  9.92  .13 f  1.05  1.18  (.08)  (.08)  —  11.02  11.87  32,605  1.62  1.22 f  144.41 
September 30, 2004  9.24  .08  .79  .87  (.19)  (.19)  —  9.92  9.49  31,184  1.71  .86  159.30 
Class R                           
March 31, 2009 **  $9.97  .07  (2.27)  (2.20)  (.30)  (.30)  —  $7.47  (22.01) *  $4,990  .69 *  .88 *  109.32 * 
September 30, 2008  12.69  .33  (2.79)  (2.46)  (.26)  (.26)  —  9.97  (19.62)  6,667  1.34  2.83  123.63 
September 30, 2007  11.79  .24  .83  1.07  (.17)  (.17)  —  12.69  9.13  5,151  1.31  1.95  106.89 
September 30, 2006  10.99  .22 g  .79  1.01  (.21)  (.21)  —  11.79  9.25 g  9,385  1.25 g  1.87 g  90.03 
September 30, 2005  9.91  .16 f  1.03  1.19  (.11)  (.11)  —  10.99  12.06  1,210  1.37  1.49 f  144.41 
September 30, 2004  9.25  .12  .77  .89  (.23)  (.23)  —  9.91  9.73  44  1.46  1.11  159.30 
Class Y                           
March 31, 2009 **  $10.03  .09  (2.29)  (2.20)  (.32)  (.32)  —  $7.51  (21.86) *  $229,503  .44 *  1.14 *  109.32 * 
September 30, 2008  12.76  .39  (2.81)  (2.42)  (.31)  (.31)  —  10.03  (19.20)  231,078  .84  3.33  123.63 
September 30, 2007  11.88  .30  .84  1.14  (.26)  (.26)  —  12.76  9.61  238,397  .81  2.43  106.89 
September 30, 2006  11.06  .26 g  .82  1.08  (.26)  (.26)  —  11.88  9.89 g  166,321  .75 g  2.28 g  90.03 
September 30, 2005  9.95  .21 f  1.06  1.27  (.16)  (.16)  —  11.06  12.77  354,455  .87  1.97 f  144.41 
September 30, 2004  9.27  .16  .79  .95  (.27)  (.27)  —  9.95  10.32  439,865  .96  1.61  159.30 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

220  221 

Financial highlights (Continued)

* Not annualized.

** Unaudited.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

c Includes amounts paid through expense offset and brokerage/service arrangements (Note 2).

d Reflects an involuntary contractual expense limitation in effect during the period. For periods prior to March 31, 2009, certain fund expenses were waived in connection with the fund’s investment in Putnam Prime Money Market Fund. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts (Note 2):

  Percentage of 
  average net assets 
March 31, 2009  0.07% 
September 30, 2008  <0.01 
September 30, 2007  0.01 
September 30, 2006  0.01 
September 30, 2005  0.02 
September 30, 2004  <0.01 

e Amount represents less than $0.01 per share.

f Reflects a non-recurring accrual related to Putnam Management’s settlement with the SEC regarding brokerage allocation practices, which amounted to the following amounts:

    Percentage of 
  Per share  average net assets 
Class A  <$0.01  0.01% 
Class B  <0.01  0.01 
Class C  <0.01  0.01 
Class M  <0.01  0.01 
Class R  <0.01  0.01 
Class Y  <0.01  0.01 

g Reflects a non-recurring reimbursement from Putnam Investments relating to the calculation of certain amounts paid by the fund to Putnam in previous years for transfer agent services, which amounted to $0.01 per share and 0.08% of average net assets for the period ended September 30, 2006.

h Portfolio turnover excludes dollar roll transactions.

The accompanying notes are an integral part of these financial statements.

222

Statement of assets and liabilities 3/31/09 (Unaudited)

Putnam Asset Allocation: Conservative Portfolio

ASSETS   
Investment in securities, at value (Note 1):   
Unaffiliated issuers (identified cost $1,501,472,590)  $1,386,188,109 
Cash  115,841 
Foreign currency (cost $146,299) (Note 1)  154,787 
Dividends, interest and other receivables  6,538,285 
Receivable for shares of the fund sold  909,289 
Receivable for investments sold  43,573,504 
Receivable for sales of delayed delivery securities (Note 1)  187,187,871 
Premium paid on swap contracts (Note 1)  18,037,349 
Unrealized appreciation on swap contracts (Note 1)  195,475,204 
Unrealized appreciation on forward currency contracts (Note 1)  3,093,252 
Total assets  1,841,273,491 
 
 
LIABILITIES   
Payable for variation margin (Note 1)  304,840 
Payable for investments purchased  73,301,710 
Payable for purchases of delayed delivery securities (Note 1)  576,607,053 
Payable for shares of the fund repurchased  3,284,134 
Payable for compensation of Manager (Note 2)  1,137,786 
Payable for investor servicing fees (Note 2)  140,090 
Payable for custodian fees (Note 2)  120,792 
Payable for Trustee compensation and expenses (Note 2)  107,396 
Payable for administrative services (Note 2)  6,000 
Payable for distribution fees (Note 2)  256,285 
Payable for receivable purchase agreement (Note 2)  420,241 
Premium received on swap contracts (Note 1)  19,930,596 
Unrealized depreciation on forward currency contracts (Note 1)  5,144,895 
Unrealized depreciation on swap contracts (Note 1)  197,851,106 
TBA sales commitments, at value (proceeds receivable $103,067,567) (Note 1)  103,270,000 
Written options outstanding, at value (premiums received $19,566,524) (Notes 1 and 3)  39,736,717 
Other accrued expenses  173,405 
Total liabilities  1,021,793,046 
 
Net assets  $819,480,445 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $1,125,012,593 
Distributions in excess of net investment income (Note 1)  (6,296,935) 
Accumulated net realized loss on investments and foreign currency transactions (Note 1)  (153,996,088) 
Net unrealized depreciation of investments and assets and liabilities in foreign currencies  (145,239,125) 
Total — Representing net assets applicable to capital shares outstanding  $819,480,445 
 
(Continued on next page)   

223

Statement of assets and liabilities (Continued)

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share ($305,445,583 divided by 43,365,896 shares)  $7.04 
Offering price per class A share (100/94.25 of $7.04)*  $7.47 
Net asset value and offering price per class B share ($34,232,310 divided by 4,897,766 shares)**  $6.99 
Net asset value and offering price per class C share ($34,403,297 divided by 4,925,695 shares)**  $6.98 
Net asset value and redemption price per class M share ($9,913,954 divided by 1,419,002 shares)  $6.99 
Offering price per class M share (100/96.50 of $6.99)*  $7.24 
Net asset value, offering price and redemption price per class R share   
($1,716,824 divided by 239,980 shares)  $7.15 
Net asset value, offering price and redemption price per class Y share   
($433,768,477 divided by 61,540,187 shares)  $7.05 

* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.

** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

The accompanying notes are an integral part of these financial statements.

224

Statement of operations Six months ended 3/31/09 (Unaudited)

Putnam Asset Allocation: Conservative Portfolio

INVESTMENT INCOME   
Interest (net of foreign tax of $2,758)  $11,882,640 
Dividends (net of foreign tax of $73,447)  3,376,175 
Securities lending  34,985 
Total investment income  15,293,800 
 
 
EXPENSES   
Compensation of Manager (Note 2)  2,720,290 
Investor servicing fees (Note 2)  932,932 
Custodian fees (Note 2)  152,607 
Trustee compensation and expenses (Note 2)  29,273 
Administrative services (Note 2)  24,455 
Distribution fees — Class A (Note 2)  403,387 
Distribution fees — Class B (Note 2)  188,523 
Distribution fees — Class C (Note 2)  188,382 
Distribution fees — Class M (Note 2)  34,417 
Distribution fees — Class R (Note 2)  4,838 
Other  219,788 
Fees waived and reimbursed by Manager (Note 2)  (190,720) 
Total expenses  4,708,172 
 
Expense reduction (Note 2)  (26,195) 
Net expenses  4,681,977 
 
Net investment income  10,611,823 
 
Net realized loss on investments (Notes 1 and 3)  (81,344,685) 
Net realized loss on swap contracts (Note 1)  (76,028,163) 
Net realized gain on futures contracts (Note 1)  54,595,395 
Net realized gain on foreign currency transactions (Note 1)  8,831,401 
Net realized gain on written options (Notes 1 and 3)  4,538,628 
Net unrealized depreciation of assets and liabilities in foreign currencies during the period  (1,999,511) 
Net unrealized depreciation of investments, futures contracts, swap contracts,   
written options, and TBA sale commitments during the period  (51,645,321) 
Net loss on investments  (143,052,256) 
 
Net decrease in net assets resulting from operations  $(132,440,433) 

The accompanying notes are an integral part of these financial statements.

225

Statement of changes in net assets

Putnam Asset Allocation: Conservative Portfolio

DECREASE IN NET ASSETS  Six months ended 3/31/09*  Year ended 9/30/08 
Operations:     
Net investment income  $10,611,823  $44,724,932 
Net realized loss on investments     
and foreign currency transactions  (89,407,424)  (8,013,316) 
Net unrealized depreciation of investments     
and assets and liabilities in foreign currencies  (53,644,832)  (173,510,948) 
Net decrease in net assets resulting from operations  (132,440,433)  (136,799,332) 
Distributions to shareholders: (Note 1)     
From ordinary income     
Net investment income     
Class A  (7,940,089)  (17,261,671) 
Class B  (786,528)  (1,738,641) 
Class C  (796,523)  (1,539,842) 
Class M  (206,051)  (358,354) 
Class R  (41,969)  (64,158) 
Class Y  (10,666,894)  (17,869,299) 
Redemption fees (Note 1)  8,869  5,262 
Increase (decrease) from capital share transactions (Note 4)  (11,777,319)  59,727,510 
Total decrease in net assets  (164,646,937)  (115,898,525) 
 
NET ASSETS     
Beginning of period  984,127,382  1,100,025,907 
End of period (including distributions in excess of net investment     
income of $6,296,935 and undistributed net investment income     
of $3,529,296, respectively)  $819,480,445  $984,127,382 
 
* Unaudited     

The accompanying notes are an integral part of these financial statements.

226

 
 
This page left blank intentionally. 
 
   
 

227

Financial highlights (For a common share outstanding throughout the period)

Putnam Asset Allocation: Conservative Portfolio

INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: RATIOS AND SUPPLEMENTAL DATA:   
 
 
                      Ratio  Ratio of net   
    Net  Net realized                of expenses  investment   
  Net asset value,  investment  and unrealized  Total from        Net asset  Total return  Net assets,  to average  income (loss)   
  beginning  income  gain (loss) on  investment  From net  Total  Redemption  value, end of   at net asset    end of period  net assets  to average  Portfolio 
Period ended  of period  (loss) a,d  investments  operations  investment income  distributions  fees e  period  value (%) b  (in thousands)  (%) c,d  net assets (%) d  turnover (%) h 
Class A                           
March 31, 2009 **  $8.35  .09  (1.23)  (1.14)  (.17)  (.17)  —  $7.04  (13.58) *  $305,446  .60 *  1.26 *  152.33 * 
September 30, 2008  9.84  .38  (1.54)  (1.16)  (.33)  (.33)  —  8.35  (12.09)  403,932  1.15  4.06  170.35 
September 30, 2007  9.59  .30  .25  .55  (.30)  (.30)  —  9.84  5.76  492,125  1.15  3.09  150.59 
September 30, 2006  9.33  .28 g  .31  .59  (.33)  (.33)  —  9.59  6.46 g  414,952  1.06 g  2.95 g  133.41 
September 30, 2005  8.84  .21 f  .48  .69  (.20)  (.20)  —  9.33  7.92  378,616  1.20  2.28 f  209.05 
September 30, 2004  8.65  .15  .37  .52  (.33)  (.33)  —  8.84  6.11  590,441  1.39  1.66  258.72 
Class B                           
March 31, 2009 **  $8.27  .06  (1.19)  (1.13)  (.15)  (.15)  —  $6.99  (13.68) *  $34,232  .97 *  .89 *  152.33 * 
September 30, 2008  9.75  .31  (1.53)  (1.22)  (.26)  (.26)  —  8.27  (12.77)  48,764  1.90  3.31  170.35 
September 30, 2007  9.50  .23  .24  .47  (.22)  (.22)  —  9.75  5.00  73,813  1.90  2.36  150.59 
September 30, 2006  9.25  .20 g  .31  .51  (.26)  (.26)  —  9.50  5.61 g  89,287  1.81 g  2.21 g  133.41 
September 30, 2005  8.78  .14 f  .47  .61  (.14)  (.14)  —  9.25  6.94  109,941  1.95  1.56 f  209.05 
September 30, 2004  8.60  .08  .37  .45  (.27)  (.27)  —  8.78  5.23  120,168  2.14  .92  258.72 
Class C                           
March 31, 2009 **  $8.28  .06  (1.21)  (1.15)  (.15)  (.15)  —  $6.98  (13.90) *  $34,403  .97 *  .89 *  152.33 * 
September 30, 2008  9.76  .31  (1.53)  (1.22)  (.26)  (.26)  —  8.28  (12.76)  47,692  1.90  3.31  170.35 
September 30, 2007  9.49  .23  .26  .49  (.22)  (.22)  —  9.76  5.21  56,647  1.90  2.34  150.59 
September 30, 2006  9.24  .20 g  .31  .51  (.26)  (.26)  —  9.49  5.64 g  46,990  1.81 g  2.20 g  133.41 
September 30, 2005  8.76  .14 f  .48  .62  (.14)  (.14)  —  9.24  7.08  38,901  1.95  1.56 f  209.05 
September 30, 2004  8.58  .08  .37  .45  (.27)  (.27)  —  8.76  5.24  35,850  2.14  .92  258.72 
Class M                           
March 31, 2009 **  $8.27  .07  (1.19)  (1.12)  (.16)  (.16)  —  $6.99  (13.56) *  $9,914  .84 *  1.01 *  152.33 * 
September 30, 2008  9.75  .33  (1.53)  (1.20)  (.28)  (.28)  —  8.27  (12.54)  10,452  1.65  3.55  170.35 
September 30, 2007  9.50  .25  .25  .50  (.25)  (.25)  —  9.75  5.27  12,409  1.65  2.59  150.59 
September 30, 2006  9.25  .23 g  .30  .53  (.28)  (.28)  —  9.50  5.86 g  11,794  1.56 g  2.45 g  133.41 
September 30, 2005  8.77  .16 f  .48  .64  (.16)  (.16)  —  9.25  7.32  12,913  1.70  1.81 f  209.05 
September 30, 2004  8.59  .10  .37  .47  (.29)  (.29)  —  8.77  5.51  12,728  1.89  1.17  258.72 
Class R                           
March 31, 2009 **  $8.45  .08  (1.22)  (1.14)  (.16)  (.16)  —  $7.15  (13.42) *  $1,717  .72 *  1.12 *  152.33 * 
September 30, 2008  9.95  .34  (1.53)  (1.19)  (.31)  (.31)  —  8.45  (12.28)  3,127  1.40  3.66  170.35 
September 30, 2007  9.67  .28  .27  .55  (.27)  (.27)  —  9.95  5.77  1,251  1.40  2.84  150.59 
September 30, 2006  9.38  .26 g  .34  .60  (.31)  (.31)  —  9.67  6.49 g  927  1.31 g  2.70 g  133.41 
September 30, 2005  8.86  .19 f  .51  .70  (.18)  (.18)  —  9.38  7.98  428  1.45  2.10 f  209.05 
September 30, 2004  8.65  .13  .39  .52  (.31)  (.31)  —  8.86  6.10  102  1.64  1.41  258.72 
Class Y                           
March 31, 2009 **  $8.34  .10  (1.21)  (1.11)  (.18)  (.18)  —  $7.05  (13.25) *  $433,768  .47 *  1.38 *  152.33 * 
September 30, 2008  9.83  .40  (1.54)  (1.14)  (.35)  (.35)  —  8.34  (11.88)  470,161  .90  4.30  170.35 
September 30, 2007  9.57  .33  .25  .58  (.32)  (.32)  —  9.83  6.14  463,781  .90  3.34  150.59 
September 30, 2006  9.31  .30 g  .31  .61  (.35)  (.35)  —  9.57  6.75 g  387,395  .81 g  3.20 g  133.41 
September 30, 2005  8.83  .24 f  .47  .71  (.23)  (.23)  —  9.31  8.11  377,247  .95  2.62 f  209.05 
September 30, 2004  8.64  .17  .38  .55  (.36)  (.36)  —  8.83  6.40  89,925  1.14  1.87  258.72 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

228  229 

Financial highlights (Continued)

* Not annualized.

** Unaudited.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

c Includes amounts paid through expense offset and brokerage/service arrangements (Note 2).

d Reflects an involuntary contractual expense limitation in effect during the period. For periods prior to March 31, 2009, certain fund expenses were waived in connection with the fund’s investment in Putnam Prime Money Market Fund. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts (Note 2):

  Percentage of 
  average net assets 
March 31, 2009  0.02% 
September 30, 2008  0.01 
September 30, 2007  0.01 
September 30, 2006  0.03 
September 30, 2005  0.08 
September 30, 2004  0.01 

e Amount represents less than $0.01 per share.

f Reflects a non-recurring accrual related to Putnam Management’s settlement with the SEC regarding brokerage allocation practices, which amounted to the following amounts:

    Percentage of 
  Per share  average net assets 
Class A  <$0.01  <0.01% 
Class B  <0.01  <0.01 
Class C  <0.01  <0.01 
Class M  <0.01  <0.01 
Class R  <0.01  <0.01 
Class Y  <0.01  <0.01 

g Reflects a non-recurring reimbursement from Putnam Investments relating to the calculation of certain amounts paid by the fund to Putnam in previous years for transfer agent services, which amounted to $0.01 per share and 0.10% of average net assets for the period ended September 30, 2006.

h Portfolio turnover excludes dollar roll transactions.

The accompanying notes are an integral part of these financial statements.

230

Notes to financial statements 3/31/09 (Unaudited)

Note 1: Significant accounting policies

Putnam Asset Allocation Funds (the “trust”), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company which consists of a series of investment portfolios (the “funds”), each of which is represented by a separate series of shares of beneficial interest. The trust currently offers three funds: Growth Portfolio, Balanced Portfolio and Conservative Portfolio, whose objectives are to seek capital appreciation, total return and total return consistent with preservation of capital, respectively. The funds may invest a significant portion of their assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

Each fund offers class A, class B, class C, class M, class R and class Y shares. Class A and class M shares are sold with a maximum front-end sales charge of 5.75% and 3.50%, respectively, and generally do not pay a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, do not pay a front-end sales charge and are subject to a contingent deferred sales charge, if those shares are redeemed within six years of purchase. Class C shares have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are offered to qualified employee-benefit plans, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee. Class Y shares are generally only available to corporate and institutional clients and clients in other approved programs.

A 1.00% redemption fee may apply on any shares that are redeemed (either by selling or exchanging into another fund) within 7 days of purchase. The redemption fee is accounted for as an addition to paid-in-capital.

Investment income, realized and unrealized gains and losses and expenses of each fund are borne pro-rata based on the relative net assets of each class to the total net assets of each fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.

In the normal course of business, the funds enter into contracts that may include agreements to indemnify another party under given circumstances. The funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the funds. However, the funds’ management team expects the risk of material loss to be remote.

The following is a summary of significant accounting policies consistently followed by the funds in the preparation of their financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A) 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 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 funds’ manager, a wholly-owned subsidiary of Putnam Investments, LLC. Such services or dealers determine valuations for normal

231

institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the funds will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the funds to a significant extent. At March 31, 2009, fair value pricing was used for certain foreign securities in the portfolios. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 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 and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the funds could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.

B) Joint trading account Pursuant to an exemptive order from the Securities and Exchange Commission (the “SEC”), each fund may transfer uninvested cash balances, including cash collateral received under security lending arrangements, into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 397 days for collateral received under security lending arrangements and up to 90 days for other cash investments.

C) Repurchase agreements Each fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the market value of which at the time of purchase is required to be in 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.

D) Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income is recorded on the accrual basis. Dividend income, net of applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.

All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

Securities purchased or sold on a delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

Each fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are recorded as income in the Statement of operations.

E) Stripped securities Each fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities.

232

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.

F) Foreign currency translation The accounting records of the funds are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the funds after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The funds do not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the funds’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments.

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

The potential risk to each 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, interest or exchange rates moving unexpectedly or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

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

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

233

counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the funds’ portfolios.

I) Total return swap contracts Each fund may enter into total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked to market daily based upon quotations from market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the funds’ portfolios.

J) Interest rate swap contracts Each fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. 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 an 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the funds’ portfolios.

K) Credit default contracts Each fund may enter into credit default contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. 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 an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

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 or 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 the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk is mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection,

234

the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the funds’ portfolios.

L) Master agreements Each fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian; collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.

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

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

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

Unsettled TBA sale commitments are valued at the 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. TBA sale commitments outstanding at period end, if any, are listed after the funds’ portfolios.

O) Dollar rolls To enhance returns, each fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and

235

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.

P) Securities lending Each fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the Statement of operations. At March 31, 2009, the funds had no securities out on loan.

Q) Federal taxes It is the policy of each fund to distribute all of its taxable income within the prescribed time and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies. It is also the intention of each fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code. Each fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (“FIN 48”). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The funds did not have any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the funds’ federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service and state departments of revenue.

At September 30, 2008, Balanced Portfolio and Conservative Portfolio had capital loss carryovers of $72,221,236 and $55,595,823 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:

Balanced Portfolio   
Loss Carryover  Expiration 
$72,221,236  September 30, 2011 
 
Conservative Portfolio   
Loss Carryover  Expiration 
$54,487,143  September 30, 2011 
1,108,680  September 30, 2016 

Pursuant to federal income tax regulations applicable to regulated investment companies, the funds have elected to defer to its fiscal year ending September 30, 2009 $155,483,449, $75,955,277 and $4,826,334 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) of losses recognized during the period November 1, 2007 to September 30, 2008.

R) Distributions to shareholders Distributions to shareholders from net investment income are recorded by each fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the funds’ fiscal year. Reclassifications are made to the funds’ capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.

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

  Cost  Appreciation 
Growth Portfolio  $1,985,689,183  $61,794,096 
Balanced Portfolio  2,166,451,412  77,178,874 
Conservative Portfolio  1,507,231,247  66,611,298 
   
    Net 
  Depreciation  Depreciation 
Growth Portfolio  $412,678,503  $350,884,407 
Balanced Portfolio  359,554,327  282,375,453 
Conservative Portfolio  187,654,436  121,043,138 

S) Expenses of the trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable,

236

which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.

Note 2: Management fee, administrative
services and other transactions

Each fund pays Putnam Management for management and investment advisory services quarterly based on the average net assets of the fund. Such fee is based on the following annual rates: 0.70% of the first $500 million of average net assets, 0.60% of the next $500 million, 0.55% of the next $500 million, 0.50% of the next $5 billion, 0.475% of the next $5 billion, 0.455% of the next $5 billion, 0.44% of the next $5 billion and 0.43% thereafter.

Putnam Management has agreed to waive fees and reimburse expenses of the Balanced Portfolio and Conservative Portfolio through June 30, 2009 and the Growth Portfolio through September 30, 2009 to the extent necessary to ensure that each fund’s expenses do not exceed the simple average of the expenses of all front-end load funds viewed by Lipper, Inc. as having the same investment classification or objective as each fund. The expense reimbursement is based on a comparison of the fund’s expenses with the average annualized operating expenses of the funds in its Lipper peer group for each calendar quarter during the fund’s last fiscal year, excluding 12b-1 fees and without giving effect to any expense offset and brokerage/service arrangements that may reduce fund expenses.

For the period ended March 31, 2009, Putnam Management waived $922,421, $908,796 and $190,720 of its management fee from Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively.

Putnam Investments Limited (“PIL”), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the funds as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.35% of the average net assets of the portion of the fund managed by PIL.

The Putnam Advisory Company, LLC (“PAC”), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the funds, as designated from time to time by Putnam Management or PIL. Putnam Management or PIL, as applicable, pays a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.

Putnam Management voluntarily reimbursed the Growth Portfolio $10,336 for a trading error which occurred during the period. The effect of the loss incurred and the reimbursement by Putnam Management of such amounts had no impact on total return.

The funds reimburse Putnam Management an allocated amount for the compensation and related expenses of certain officers of the funds and their staff who provide administrative services to the funds. The aggregate amount of all such reimbursements is determined annually by the Trustees.

On September 26, 2008 the Growth Portfolio entered into Agreements with other registered investment companies (each a “Purchaser”) managed by Putnam Management. Under the Agreements, the fund sold to the Purchasers the fund’s right to receive, in the aggregate, $1,559,858 in net payments from Lehman Brothers Special Financing, Inc. in connection with certain terminated derivatives transactions (the “Receivable”), in each case in exchange for an initial payment plus (or minus) additional amounts based on the applicable Purchaser’s ultimate realized gain (or loss) on the Receivable. The Receivable will be offset against the funds net receivable from Lehman Brothers Special Financing, Inc. which is included in the Statement of assets and liabilities within Receivable for investments sold. The Agreements, which are included in the Statement of assets and liabilities, are valued at fair value following procedures approved by the Trustees. All remaining payments under the agreement will be recorded as realized gain or loss.

On September 26, 2008, the Balanced Portfolio entered into Agreements and the Conservative Portfolio entered into an Agreement with other registered investment companies (each a“Seller”) managed by Putnam Management. Under the Agreements, the Seller sold to the fund the right to receive, in the aggregate, $2,881,684 and $1,630,648 (for Balanced Portfolio and Conservative Portfolio, respectively) in net payments from Lehman Brothers Special Financing, Inc. in connection with certain terminated derivatives transactions (the“Receivable”), in each case in exchange for an initial payment plus (or minus) additional amounts based on the fund’s ultimate realized gain (or loss) with

237

respect to the Receivable. The Receivable will be offset against the fund’s net payable to Lehman Brothers Special Financing, Inc. and is included in the Statement of assets and liabilities within Payable for investments purchased. Future payments under the Agreements are valued at fair value following procedures approved by the Trustees and are included in the Statement of assets and liabilities. All remaining payments under the Agreements will be recorded as realized gain or loss.

Custodial services for the Growth Portfolio’s assets were provided by Putnam Fiduciary Trust Company (“PFTC”), an affiliate of Putnam Management, and by State Street Bank and Trust Company (“State Street”). Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes. Putnam Investor Services, Inc., an affiliate of Putnam Management, provided investor servicing agent functions to the Growth Portfolio. Prior to December 31, 2008, these services were provided by Putnam Investor Services, a division of PFTC. Putnam Investor Services, Inc. and Putnam Investor Services received fees for investor servicing, subject to certain limitations, based on the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. During the period ended March 31, 2009, the Growth Portfolio incurred $2,761,087 for custody and investor servicing agent functions provided by affiliates of Putnam Management.

Custodial functions for the Balanced Portfolio and Conservative Portfolio assets were provided by State Street Bank and Trust Company (“State Street”). Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

Putnam Investor Services, Inc., an affiliate of Putnam Management, provided investor servicing agent functions to the Balanced Portfolio and Conservative Portfolio. Prior to December 31, 2008, these services were provided by Putnam Investor Services, a division of PFTC, which is an affiliate of Putnam Management. Putnam Investor Services, Inc. and Putnam Investor Services received fees for investor servicing, subject to certain limitations, based on the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. The amounts incurred for investor servicing agent functions provided by affiliates of Putnam Management during the period ended March 31, 2009 are included in Investor servicing fees in the Statements of operations for the Balanced Portfolio and Conservative Portfolio.

Each fund has entered into expense offset arrangements with PFTC and State Street whereby PFTC’s and State Street’s fees are reduced by credits allowed on cash balances. The funds also reduced expenses through brokerage/service arrangements. For the six months ended March 31, 2009, the fund’s expenses were reduced by $13,477, $19,273 and $8,928 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) under the expense offset arrangements and by $93,482, $45,265 and$17,267 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) under the brokerage/service arrangements.

Each independent Trustee of the funds receives an annual Trustee fee, of which $905, $822, and $621 (for Growth Portfolio, Balance Portfolio and Conservative Portfolio, respectively), as a quarterly retainer, has been allocated to the funds, and an additional fee for each Trustees meeting attended. Trustees receive additional fees for attendance at certain committee meetings and industry seminars and for certain compliance-related matters. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.

Each fund has adopted a Trustee Fee Deferral Plan (the “Deferral Plan”) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.

Each fund has adopted an unfunded noncontributory defined benefit pension plan (the “Pension Plan”) covering all Trustees of the funds who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the funds is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.

238

Each fund has adopted distribution plans (the “Plans”) with respect to its class A, class B, class C, class M and class R shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, a wholly-owned subsidiary of Putnam Investments, LLC and Putnam Retail Management GP, Inc., for services provided and expenses incurred in distributing shares of the funds. The Plans provide for payments by each fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by each fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.75% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively.

For the six months ended March 31, 2009, Putnam Retail Management Limited Partnership, acting as underwriter, received the following:

  Class A  Class M 
  Net  Net 
  Commissions  Commissions 
Growth Portfolio  $141,139  $2,690 
Balanced Portfolio  87,922  810 
Conservative Portfolio  36,071  681 
 
 
  Class B  Class C 
  Contingent  Contingent 
  Deferred  Deferred 
  Sales Charges  Sales Charges 
Growth Portfolio  $199,332  $8,714 
Balanced Portfolio  175,182  5,111 
Conservative Portfolio  54,322  5,266 

A deferred sales charge of up to 1.00% and 0.65% is assessed on certain redemptions of class A and class M shares, respectively. For the six months ended March 31, 2009, Putnam Retail Management Limited Partnership, acting as underwriter, received the following:

  Class A  Class M 
  Deferred  Deferred 
  Sales Charges  Sales Charges 
Growth Portfolio  $351  $— 
Balanced Portfolio  1,612  — 
Conservative Portfolio  680  — 

Note 3: Purchases and sales of securities

During the six months ended March 31, 2009, cost of purchases and proceeds from sales of investment securities other than short-term investments were as follows:

U.S. Government Securities   
 
  Purchases  Sales 
Growth Portfolio  $—  $5,468,414 
Balanced Portfolio  —  3,728,537 
Conservative Portfolio  —  — 
Other Securities     
 
  Purchases  Sales 
Growth Portfolio  $887,062,016  $1,082,866,567 
Balanced Portfolio  1,303,316,116  1,705,623,781 
Conservative Portfolio  1,054,768,389  1,152,758,293 

Written option transactions during the period ended March 31, 2009 are summarized as follows:

  Contract  Premiums 
  Amounts  Received 
Growth Portfolio     
Written options     
outstanding at     
beginning of period  $237,252,358  $9,729,492 
Options opened  11,561,922  6,202,946 
Options exercised  —  — 
Options expired  (25,022,264)  (3,149,542) 
Options closed  (1,432)  (2,500,935) 
Written options     
outstanding at     
end of period  $223,790,584  $10,281,961 
 
Balanced Portfolio     
Written options     
outstanding at     
beginning of period  $431,399,998  $18,967,912 
Options opened  679,782  5,138,333 
Options exercised  —  — 
Options expired  (86,829,612)  (4,784,845) 
Options closed  (104,645)  (2,276,083) 
Written options     
outstanding at     
end of period  $345,145,523  $17,045,317 
 
Conservative Portfolio   
Written options     
outstanding at     
beginning of period  $523,736,172  $21,157,897 
Options opened  242,654  2,999,143 
Options exercised  —  — 
Options expired  (63,564,145)  (3,222,925) 
Options closed  (788)  (1,367,591) 
Written options     
outstanding at     
end of period  $460,413,893  $19,566,524 

239

Note 4: Capital shares

At March 31, 2009, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:

Growth Portfolio:         
  Six months ended 3/31/09  Year ended 9/30/08 
Class A  Shares  Amount  Shares  Amount 
Shares sold  10,732,452  $90,477,865  35,455,592  $485,853,419 
Shares issued in connection with  5,139,722  41,888,736  2,394,676  34,363,596 
reinvestment of distributions         
Shares repurchased  (27,499,786)  (229,389,742)  (35,974,290)  (479,037,283) 
Net increase (decrease)  (11,627,612)  $(97,023,141)  1,875,978  $41,179,732 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class B  Shares  Amount  Shares  Amount 
Shares sold  1,417,739  $11,709,219  5,387,972  $72,595,034 
Shares issued in connection with  756,251  6,095,382  351,928  4,969,220 
reinvestment of distributions         
Shares repurchased  (5,747,892)  (46,991,169)  (10,583,071)  (140,719,482) 
Net decrease  (3,573,902)  $(29,186,568)  (4,843,171)  $(63,155,228) 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class C  Shares  Amount  Shares  Amount 
Shares sold  995,152  $8,183,171  3,176,268  $42,464,602 
Shares issued in connection with  434,959  3,444,874  196,930  2,735,361 
reinvestment of distributions         
Shares repurchased  (3,500,084)  (28,474,736)  (4,551,885)  (58,621,300) 
Net decrease  (2,069,973)  $(16,846,691)  (1,178,687)  $(13,421,337) 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class M  Shares  Amount  Shares  Amount 
Shares sold  224,864  $1,855,655  992,661  $13,575,405 
Shares issued in connection with  121,548  978,460  59,536  841,830 
reinvestment of distributions         
Shares repurchased  (975,531)  (7,652,626)  (1,095,183)  (14,313,906) 
Net increase (decrease)  (629,119)  $(4,818,511)  (42,986)  $103,329 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class R  Shares  Amount  Shares  Amount 
Shares sold  210,432  $1,728,358  478,254  $6,413,684 
Shares issued in connection with  36,257  292,231  9,452  134,407 
reinvestment of distributions         
Shares repurchased  (190,032)  (1,565,954)  (183,893)  (2,416,660) 
Net increase  56,657  $454,635  303,813  $4,131,431 

240

  Six months ended 3/31/09  Year ended 9/30/08 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  17,757,634  $143,796,065  5,710,000  $75,671,987 
Shares issued in connection with  758,580  6,220,357  339,484  4,912,345 
reinvestment of distributions         
Shares repurchased  (6,509,733)  (53,021,698)  (5,711,617)  (76,734,287) 
Net increase  12,006,481  $96,994,724  337,867  $3,850,045 
Balanced Portfolio:         
  Six months ended 3/31/09  Year ended 9/30/08 
Class A  Shares  Amount  Shares  Amount 
Shares sold  11,904,059  $93,788,730  32,786,883  $388,790,456 
Shares issued in connection with  4,123,484  30,908,176  2,926,637  33,075,185 
reinvestment of distributions         
Shares repurchased  (30,989,280)  (242,668,399)  (48,694,071)  (562,975,267) 
Net decrease  (14,961,737)  $(117,971,493)  (12,980,551)  $(141,109,626) 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class B  Shares  Amount  Shares  Amount 
Shares sold  1,211,830  $9,516,676  3,588,694  $42,263,596 
Shares issued in connection with  593,302  4,430,883  331,967  3,722,630 
reinvestment of distributions         
Shares repurchased  (5,521,823)  (43,133,715)  (9,308,360)  (109,053,382) 
Net decrease  (3,716,691)  $(29,186,156)  (5,387,699)  $(63,067,156) 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class C  Shares  Amount  Shares  Amount 
Shares sold  1,274,147  $9,928,439  2,358,055  $27,661,553 
Shares issued in connection with  365,796  2,697,393  184,597  2,041,596 
reinvestment of distributions         
Shares repurchased  (2,756,573)  (21,314,700)  (3,490,232)  (39,961,178) 
Net decrease  (1,116,630)  $(8,688,868)  (947,580)  $(10,258,029) 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class M  Shares  Amount  Shares  Amount 
Shares sold  472,772  $3,512,321  697,495  $8,307,047 
Shares issued in connection with  92,875  695,971  55,684  627,464 
reinvestment of distributions         
Shares repurchased  (895,626)  (6,860,966)  (1,002,509)  (11,758,146) 
Net decrease  (329,979)  $(2,652,674)  (249,330)  $(2,823,635) 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class R  Shares  Amount  Shares  Amount 
Shares sold  179,244  $1,428,401  391,981  $4,471,612 
Shares issued in connection with  24,557  183,283  12,040  133,899 
reinvestment of distributions         
Shares repurchased  (204,385)  (1,556,033)  (140,976)  (1,631,496) 
Net increase (decrease)  (584)  $55,651  263,045  $2,974,015 

241

  Six months ended 3/31/09  Year ended 9/30/08 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  16,010,751  $122,615,750  13,912,269  $155,297,888 
Shares issued in connection with  1,047,091  7,846,401  526,812  5,978,136 
reinvestment of distributions         
Shares repurchased  (9,531,149)  (74,105,516)  (10,076,057)  (117,198,739) 
Net increase  7,526,693  $56,356,635  4,363,024  $44,077,285 
Conservative Portfolio:         
  Six months ended 3/31/09  Year ended 9/30/08 
Class A  Shares  Amount  Shares  Amount 
Shares sold  6,783,702  $48,781,617  16,978,266  $160,022,312 
Shares issued in connection with  1,072,189  7,547,753  1,774,269  16,552,715 
reinvestment of distributions         
Shares repurchased  (12,884,673)  (91,501,386)  (20,355,994)  (186,359,010) 
Net decrease  (5,028,782)  $(35,172,016)  (1,603,459)  $(9,783,983) 
 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class B  Shares  Amount  Shares  Amount 
Shares sold  859,537  $6,096,884  1,707,795  $15,864,838 
Shares issued in connection with  101,558  709,152  168,232  1,559,107 
reinvestment of distributions         
Shares repurchased  (1,958,883)  (13,805,053)  (3,548,970)  (33,015,754) 
Net decrease  (997,788)  $(6,999,017)  (1,672,943)  $(15,591,809) 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class C  Shares  Amount  Shares  Amount 
Shares sold  754,802  $5,427,348  1,681,518  $15,708,512 
Shares issued in connection with  98,119  685,357  138,119  1,277,416 
reinvestment of distributions         
Shares repurchased  (1,687,848)  (11,883,858)  (1,862,789)  (17,215,867) 
Net decrease  (834,927)  $(5,771,153)  (43,152)  $(229,939) 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class M  Shares  Amount  Shares  Amount 
Shares sold  494,367  $3,448,096  418,713  $3,877,547 
Shares issued in connection with  26,933  187,967  36,952  341,306 
reinvestment of distributions         
Shares repurchased  (366,265)  (2,566,454)  (464,439)  (4,316,550) 
Net increase (decrease)  155,035  $1,069,609  (8,774)  $(97,697) 
 
  Six months ended 3/31/09  Year ended 9/30/08 
Class R  Shares  Amount  Shares  Amount 
Shares sold  88,836  $643,822  283,780  $2,698,466 
Shares issued in connection with  5,838  41,969  6,891  64,022 
reinvestment of distributions         
Shares repurchased  (224,664)  (1,610,866)  (46,471)  (441,038) 
Net increase (decrease)  (129,990)  $(925,075)  244,200  $2,321,450 

242

  Six months ended 3/31/09  Year ended 9/30/08 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  10,444,602  $73,618,485  13,223,984  $120,863,957 
Shares issued in connection with  1,516,656  10,666,337  1,920,054  17,867,996 
reinvestment of distributions         
Shares repurchased  (6,807,639)  (48,264,489)  (5,954,192)  (55,622,465) 
Net increase  5,153,619  $36,020,333  9,189,846  $83,109,488 

Note 5: Senior loan commitments

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.

Note 6: Regulatory matters and litigation

In late 2003 and 2004, Putnam Management settled charges brought by the Securities and Exchange Commission (the “SEC”) and the Massachusetts Securities Division in connection with excessive short-term trading in Putnam funds. Distribution of payments from Putnam Management to certain open-end Putnam funds and their shareholders is expected to be completed in the next several months. These allegations and related matters have served as the general basis for certain lawsuits, including purported class action lawsuits against Putnam Management and, in a limited number of cases, some Putnam funds. Putnam Management believes that these lawsuits will have no material adverse effect on the funds or on Putnam Management’s ability to provide investment management services. In addition, Putnam Management has agreed to bear any costs incurred by the Putnam funds as a result of these matters.

Note 7: New accounting pronouncements

In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (“SFAS 161”) — an amendment of FASB Statement No. 133, was issued and is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about how and why an entity uses derivative instruments and how derivative instruments affect an entity’s financial position. Putnam Management is currently evaluating the impact the adoption of SFAS 161 will have on the funds’ financial statement disclosures.

In April 2009, FASB issued a new FASB Staff Position FSP FAS 157-4 which amends FASB Statement No. 157, Fair Value Measurements, and is effective for interim and annual periods ending after June 15, 2009. FSP FAS 157-4 provides additional guidance when the volume and level of activity for the asset or liability measured at fair value has significantly decreased. Additionally, FSP FAS 157-4 expands disclosure by reporting entities with respect to categories of assets and liabilities carried at fair value. Putnam Management believes applying the provisions of FSP FAS 157-4 will not have a material impact on the funds’ financial statements.

Note 8: Market and credit risk

In the normal course of business, the funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The funds may be exposed to additional credit risk that an institution or other entity with which the funds have unsettled or open transactions will default.

243

The Putnam family of funds

The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus containing this and other information for any Putnam fund or product, call your financial advisor at 1-800-225-1581 and ask for a prospectus. Please read the prospectus carefully before investing.

Growth
Growth Opportunities Fund
International New Opportunities Fund*
New Opportunities Fund
Small Cap Growth Fund*
Vista Fund
Voyager Fund

Blend
Capital Opportunities Fund*
Europe Equity Fund*
Global Equity Fund*
Global Natural Resources Fund*
International Capital Opportunities Fund*
International Equity Fund*
Investors Fund
Research Fund

Value
Convertible Income-Growth Trust
Equity Income Fund
The George Putnam Fund of Boston
The Putnam Fund for Growth and Income
International Growth and Income Fund*
Mid Cap Value Fund
Small Cap Value Fund*

Income
American Government Income Fund
Diversified Income Trust
Floating Rate Income Fund
Global Income Trust*
High Yield Advantage Fund*
High Yield Trust*
Income Fund
Money Market Fund†
U.S. Government Income Trust

* A 1% redemption fee on total assets redeemed or exchanged within 90 days of purchase may be imposed for all share classes of these funds.

† An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.

244

Tax-free income
AMT-Free Municipal Fund‡
Tax Exempt Income Fund
Tax Exempt Money Market Fund†
Tax-Free High Yield Fund

State tax-free income funds:
Arizona, California, Massachusetts, Michigan, Minnesota, New Jersey, New York, Ohio, and Pennsylvania

Absolute Return
Absolute Return 100 Fund
Absolute Return 300 Fund
Absolute Return 500 Fund
Absolute Return 700 Fund

Global Sector
Global Consumer Fund
Global Energy Fund
Global Financials Fund
Global Health Care Fund**
Global Industrials Fund
Global Natural Resources Fund
Global Technology Fund
Global Telecommunications Fund
Global Utilities Fund††

Asset allocation
Income Strategies Fund
Putnam Asset Allocation Funds — three investment portfolios that spread your money across a variety of stocks, bonds, and money market investments.

The three portfolios:
Asset Allocation: Balanced Portfolio
Asset Allocation: Conservative Portfolio
Asset Allocation: Growth Portfolio

Putnam RetirementReady®
Putnam RetirementReady Funds — 10 investment portfolios that offer diversification among stocks, bonds, and money market instruments and adjust to become more conservative over time based on a target date for withdrawing assets.

The 10 funds:
Putnam RetirementReady 2050 Fund
Putnam RetirementReady 2045 Fund
Putnam RetirementReady 2040 Fund
Putnam RetirementReady 2035 Fund
Putnam RetirementReady 2030 Fund
Putnam RetirementReady 2025 Fund
Putnam RetirementReady 2020 Fund
Putnam RetirementReady 2015 Fund
Putnam RetirementReady 2010 Fund
Putnam RetirementReady Maturity Fund

‡ Prior to November 30, 2008, the fund was known as Putnam AMT-Free Insured Municipal Fund.

** Prior to January 2, 2009, the fund was known as Putnam Health Sciences Trust.

†† Prior to January 2, 2009, the fund was known as Putnam Utilities Growth and Income Fund.

With the exception of money market funds, a 1% redemption fee may be applied to shares exchanged or sold within 7 days of purchase (90 days, for certain funds).

Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.

245

Services for shareholders

Investor services

Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.

Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.

Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.

Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.

Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000.

Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.

Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our Web site.

Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.

For more information

Visit the Individual Investors section at putnam.com A secure section of our Web site contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.

Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.

246

Fund information

Founded over 70 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage 100 mutual funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.

Investment Manager  Ravi Akhoury  Susan G. Malloy 
Putnam Investment  Charles B. Curtis  Vice President and 
Management, LLC  Robert J. Darretta  Assistant Treasurer 
One Post Office Square  Myra R. Drucker   
Boston, MA 02109   Charles E. Haldeman, Jr.   Beth S. Mazor 
Paul L. Joskow  Vice President  
Investment Sub-Manager   Elizabeth T. Kennan  
Putnam Investments Limited  Kenneth R. Leibler  James P. Pappas  
57–59 St James’s Street  Robert E. Patterson  Vice President 
London, England SW1A1 1LD  George Putnam, III 
  Robert L. Reynolds  Francis J. McNamara, III  
Investment Sub-Advisor  Richard B. Worley   Vice President and 
The Putnam Advisory   Chief Legal Officer  
Company, LLC  Officers  
One Post Office Square   Charles E. Haldeman, Jr.  Robert R. Leveille  
Boston, MA 02109  President   Vice President and 
  Chief Compliance Officer  
Marketing Services  Charles E. Porter  
Putnam Retail Management   Executive Vice President,  Mark C. Trenchard  
One Post Office Square  Principal Executive Officer,   Vice President and 
Boston, MA 02109   Associate Treasurer and  BSA Compliance Officer  
Compliance Liaison  
Custodians   Judith Cohen  
State Street Bank and  Jonathan S. Horwitz   Vice President, Clerk and  
Trust Company, Putnam   Senior Vice President   Assistant Treasurer 
Fiduciary Trust Company  and Treasurer   
(Putnam Asset Allocation:     Wanda M. McManus 
Growth Portfolio)  Steven D. Krichmar  Vice President, Senior Associate  
  Vice President and   Treasurer and Assistant Clerk 
Legal Counsel  Principal Financial Officer   
Ropes & Gray LLP     Nancy E. Florek  
Janet C. Smith  Vice President, Assistant Clerk, 
Trustees  Vice President, Principal  Assistant Treasurer and 
John A. Hill, Chairman  Accounting Officer and  Proxy Manager 
Jameson A. Baxter,   Assistant Treasurer    
Vice Chairman 

This report is for the information of shareholders of Putnam Asset Allocation Funds. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The funds’ Statement of Additional Information contains additional information about the funds’ Trustees and is available without charge upon request by calling 1-800-225-1581.


One Post Office Square
Boston, MA 02109

putnam.com

1-800-225-1581

Forwarding service requested

PRSRT STD
U.S. POSTAGE PAID
PUTNAM
INVESTMENTS

SA060 256156 5/09

Item 2. Code of Ethics:

Not applicable

Item 3. Audit Committee Financial Expert:

Not applicable

Item 4. Principal Accountant Fees and Services:

Not applicable

Item 5. Audit Committee of Listed Registrants

Not applicable

Item 6. Schedule of Investments:

The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:

Not applicable

Item 8. Portfolio Managers of Closed-End Investment Companies

Not Applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:

Not applicable

Item 10. Submission of Matters to a Vote of Security Holders:

Not applicable

Item 11. 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 12. Exhibits:

(a)(1) Not applicable

(a)(2) 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.

(b) The certifications required by Rule 30a-2(b) 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: May 29, 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: May 29, 2009

By (Signature and Title):

/s/Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer

Date: May 29, 2009