N-Q 1 a_assetallocation.htm PUTNAM ASSET ALLOCATION FUNDS a_assetallocation.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT 
INVESTMENT COMPANY
 
Investment Company Act file number: (811-07121)   
 
Exact name of registrant as specified in charter:  Putnam Asset Allocation Funds 
 
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 
 
Name and address of agent for service:    Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
Copy to:    John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  One International Place 
  Boston, Massachusetts 02110 
 
Registrant’s telephone number, including area code:  (617) 292-1000 
 
Date of fiscal year end: September 30, 2009     
 
Date of reporting period: June 30, 2009     

Item 1. Schedule of Investments:

Putnam Asset Allocation Funds             
 
The fund's portfolio  Growth    Balanced    Conservative   
June 30, 2009 (Unaudited)             
 
COMMON STOCKS(a)  Growth 57.4%   Balanced 46.9%   Conservative 30.5%  
  Shares  Value  Shares  Value  Shares  Value 
 
Basic materials    4.2%    3.1%    2.1% 
Abengoa SA (Spain)  9,408  $208,966  7,802  $173,294  4,458  $99,019 
Acciona SA (Spain)  3,183  391,594  2,666  327,989  1,524  187,493 
Agnico-Eagle Mines, Ltd. (Canada)  2,834  148,728  2,424  127,212  1,432  75,151 
AK Steel Holding Corp.  62,680  1,202,829  50,290  965,065  21,740  417,191 
Albemarle Corp.  10,704  273,701  8,900  227,573  5,085  130,023 
Amcor, Ltd. (Australia)  258,949  1,041,496  141,513  569,167  48,442  194,834 
Ameron International Corp.  3,002  201,254  2,515  168,606  1,437  96,336 
Ampco-Pittsburgh Corp.  11,997  281,330  8,423  197,519  3,323  77,924 
Andersons, Inc. (The)  32,210  964,367  23,788  712,213  10,422  312,035 
Anglo Platinum Ltd. (South Africa)  18,140  1,283,853  --  --  --  -- 
AngloGold Ashanti, Ltd. (South Africa)  10,096  369,556  --  --  --  -- 
AngloGold Ashanti, Ltd. ADR (South Africa) (SG) (SB)             
(SC)  3,158  115,678  2,655  97,253  1,558  57,070 
Antofagasta PLC (United Kingdom)  274,932  2,671,237  149,712  1,454,600  53,545  520,243 
ArcelorMittal (Luxembourg)  150,056  4,932,134  84,322  2,771,548  31,971  1,050,843 
Asia Cement China Holdings Corp. (China)  1,206,500  875,532  --  --  --  -- 
Aurizon Mines, Ltd. (Canada) (NON)  100,114  355,405  75,505  268,043  31,194  110,739 
Austevoll Seafood ASA (Norway) (NON)  28,828  134,806  24,111  112,748  13,919  65,088 
Balfour Beatty PLC (United Kingdom)  66,636  339,417  33,670  171,502  12,043  61,342 
Barrick Gold Corp. (Canada)  6,248  209,620  5,336  179,023  3,131  105,045 
BASF SE (Germany)  4,291  171,293  2,345  93,610  803  32,055 
BHP Billiton PLC (United Kingdom)  23,276  526,047  18,509  418,311  12,357  279,273 
BHP Billiton, Ltd. (Australia)  55,753  1,530,701  44,939  1,233,802  29,616  813,108 
BlueScope Steel, Ltd. (Australia)  1,784,782  3,616,305  1,036,726  2,100,603  418,725  848,416 
Boise, Inc. (NON) (SC)  106,504  183,187  76,701  131,926  29,750  51,170 
Broadwind Energy, Inc. (NON) (SG) (SB) (SC)  13,035  147,556  11,015  124,690  6,294  71,248 
Bway Holding Co. (NON)  8,948  156,858  6,300  110,439  2,523  44,228 
Cameco Corp. (Canada)  13,427  344,922  10,694  274,715  7,145  183,546 
Cameco Corp. (Canada)  5,398  138,189  4,480  114,688  2,560  65,536 
Canfor Corp. (Canada) (NON)  10,277  44,236  8,242  35,477  4,728  20,351 
Celanese Corp. Ser. A  51,167  1,215,216  42,478  1,008,853  18,721  444,624 
Century Aluminum Co. (NON)  22,452  139,876  16,138  100,540  6,329  39,430 
CF Industries Holdings, Inc.  28,542  2,116,104  23,911  1,772,762  10,292  763,049 
China Grand Forestry Green Resources Group, Ltd. (Hong             
Kong) (NON)  716,000  37,726  572,000  30,138  328,000  17,282 
Cia de Minas Buenaventura SA ADR (Peru)  37,828  909,007  3,813  91,626  2,295  55,149 
Clearwater Paper Corp. (NON)  1,109  28,047  966  24,430  512  12,948 
Cliffs Natural Resources, Inc.  45,273  1,107,830  34,819  852,021  14,522  355,353 
Coeur d'Alene Mines Corp. (NON)  11,380  139,974  9,850  121,155  5,630  69,249 
Crystallex International Corp. (Canada) (NON)  80,500  17,710  69,700  15,334  36,700  8,074 
Deltic Timber Corp.  1,285  45,579  1,107  39,265  635  22,523 
Denison Mines Corp. (Canada) (NON)  21,000  34,892  18,300  30,405  9,700  16,117 
Dow Chemical Co. (The)  113,797  1,836,684  95,189  1,536,350  40,690  656,737 
Eastman Chemical Co.  15,100  572,290  12,400  469,960  5,500  208,450 
Eldorado Gold Corp. (Canada) (NON)  11,506  102,979  9,745  87,218  5,752  51,480 
Energy Resources of Australia, Ltd. (Australia)  3,992  75,051  3,388  63,696  1,936  36,398 
Fertilizantes Fosfatados SA (Preference) (Brazil)  83,400  636,527  --  --  --  -- 
Fletcher Building, Ltd. (New Zealand)  122,508  518,954  64,093  271,503  22,140  93,787 
FMC Corp.  33,472  1,583,226  28,016  1,325,157  12,050  569,965 
Gammon Gold, Inc. (Canada) (NON)  10,671  71,176  8,794  58,656  4,830  32,216 
Glatfelter  28,878  257,014  20,318  180,830  8,213  73,096 
Gold Fields, Ltd. ADR (South Africa)  4,954  59,696  4,115  49,586  2,260  27,233 
Goldcorp, Inc. (Canada)  6,988  242,833  5,895  204,851  3,538  122,946 
Golden Star Resources, Ltd. (NON)  31,905  65,405  26,814  54,969  14,727  30,190 
Granite Construction, Inc.  4,500  149,760  3,200  106,496  1,200  39,936 
Great Basin Gold, Ltd. (South Africa) (NON)  37,659  51,593  31,283  42,858  17,181  23,538 
Grief, Inc. Class A  1,789  79,110  1,471  65,048  844  37,322 
Grupo Empresarial Ence SA (Spain)  12,846  34,273  11,070  29,535  6,350  16,942 
Grupo Ferrovial SA (Spain) (SG) (SB)  11,999  386,453  10,052  323,746  5,744  184,998 
Gunns, Ltd. (Australia)  61,106  52,712  53,244  45,930  28,266  24,383 
Harmony Gold Mining Co., Ltd. ADR (South Africa) (NON)  5,870  60,578  5,085  52,477  2,793  28,824 
Hecla Mining Co. (NON) (SG) (SB) (SC)  62,372  167,157  52,467  140,612  32,606  87,384 
Hokuetsu Paper Mills, Ltd. (Japan)  11,000  54,237  9,500  46,841  5,500  27,119 
Holmen AB Class B (Sweden)  2,580  56,450  2,193  47,983  1,258  27,525 
Horsehead Holding Corp. (NON)  39,612  295,109  28,256  210,507  11,155  83,105 
HQ Sustainable Maritime Industries, Inc. (NON)  8,221  75,222  6,876  62,915  3,969  36,316 
Iamgold Corp. (Canada)  11,180  113,142  9,626  97,415  5,687  57,552 
Impregilo SpA (Italy)  77,887  271,906  65,248  227,782  37,281  130,149 
Innophos Holdings, Inc.  23,863  403,046  17,030  287,637  6,442  108,805 
Innospec, Inc.  24,098  259,054  18,003  193,532  6,364  68,413 
Insituform Technologies, Inc. (NON)  9,515  161,470  7,971  135,268  4,555  77,298 
International Paper Co.  8,009  121,176  6,837  103,444  3,922  59,340 
JFE Holdings, Inc. (Japan)  16,700  557,758  8,700  290,568  3,000  100,196 
Kazakhmys PLC (United Kingdom)  25,902  270,149  20,629  215,154  13,783  143,752 
Kinross Gold Corp. (Canada)  9,301  168,813  7,833  142,169  4,702  85,341 
Koninklijke DSM NV (Netherlands)  20,641  647,255  11,060  346,816  3,731  116,996 
Koppers Holdings, Inc.  16,586  437,373  12,317  324,799  4,960  130,795 
Korea Zinc Co., Ltd. (South Korea)  505  54,584  407  43,992  272  29,400 
Lafarge SA (France) (NON)  2,975  202,160  2,420  164,446  1,565  106,346 
Layne Christensen Co. (NON)  11,402  233,171  9,552  195,338  5,458  111,616 
Linde AG (Germany)  3,642  299,672  2,995  246,435  1,871  153,950 
MeadWestvaco Corp.  34,720  569,755  28,750  471,788  13,449  220,698 
Minefinders Corp. (Canada) (NON) (SG) (SB)  10,582  72,910  8,684  59,833  5,169  35,614 
Mitsui Mining & Smelting Co., Ltd. (Japan) (NON)  368,000  946,486  201,000  516,966  69,000  177,466 
MMC Norilsk Nickel ADR (Russia)  95,750  881,478  --  --  --  -- 
Monsanto Co.  23,320  1,733,609  18,941  1,408,074  8,423  626,166 
Mosaic Co. (The)  9,693  429,400  8,132  360,248  3,506  155,316 
New Gold, Inc. (Canada) (NON)  29,530  78,299  24,928  66,097  13,691  36,302 
Newmont Mining Corp.  5,368  219,390  4,576  187,021  2,714  110,921 
Nireus Aquaculture SA (Greece)  71,268  82,193  59,608  68,746  34,410  39,685 
Nitto Denko Corp. (Japan)  18,300  554,488  14,800  448,438  9,700  293,909 
Northgate Minerals Corp. (Canada) (NON)  38,766  82,959  33,426  71,532  18,358  39,286 
Northwest Pipe Co. (NON)  3,859  134,139  3,233  112,379  1,847  64,202 
Nucor Corp.  30,500  1,355,115  25,400  1,128,522  11,000  488,730 
Nufarm, Ltd. (Australia)  73,190  539,498  39,997  294,826  13,691  100,919 
Obrascon Huarte Lain SA (Spain)  18,943  376,403  15,063  299,306  10,056  199,815 
Oilsands Quest, Inc. (Canada) (NON)  28,742  27,592  24,795  23,803  13,358  12,824 
OJI Paper Co., Ltd. (Japan)  62,000  266,088  40,000  171,670  17,000  72,960 
OM Group, Inc. (NON)  21,667  628,776  15,691  455,353  5,946  172,553 
Packaging Corp. of America  29,525  478,305  24,659  399,476  11,183  181,165 
Paladin Energy, Ltd. (Australia) (NON)  24,074  94,954  20,390  80,424  11,650  45,951 
PAN American Silver Corp. (Canada) (NON)  5,097  93,428  4,310  79,002  2,568  47,071 
Pescanova SA (Spain)  3,255  107,453  2,722  89,858  1,571  51,861 
Plum Creek Timber Company, Inc. (R)  16,060  478,267  13,295  395,925  6,203  184,725 
Portucel Empresa Produtora de Pasta e Papel SA             
(Portugal)  27,628  67,793  23,730  58,228  13,611  33,398 
POSCO (South Korea)  2,677  886,680  589  195,090  395  130,833 
Potlatch Corp. (R)  2,336  56,741  1,944  47,220  1,115  27,083 
PV Crystalox Solar PLC (United Kingdom)  27,618  38,025  22,185  30,545  12,676  17,453 
Rangold Resources, Ltd. ADR (United Kingdom)  2,917  187,184  2,474  158,757  1,459  93,624 
Rayonier, Inc.  2,429  88,294  2,010  73,064  1,153  41,912 
Royal Gold, Inc.  2,242  93,491  1,932  80,564  1,161  48,414 
Sappi, Ltd. ADR (South Africa)  11,706  35,001  9,633  28,803  5,526  16,523 
Schnitzer Steel Industries, Inc. Class A  17,612  930,970  13,964  738,137  5,856  309,548 
Seabridge Gold, Inc. (Canada) (NON)  4,217  109,389  3,639  94,396  2,199  57,042 
Silver Standard Resources, Inc. (Canada) (NON)  4,295  80,531  3,585  67,219  2,169  40,669 
Silver Wheaton Corp. (Canada) (NON)  34,817  286,892  27,112  223,403  13,310  109,674 
Sino-Forest Corp. (Canada) (NON)  6,955  74,244  5,810  62,021  3,333  35,580 
Sonoco Products Co.  3,562  85,310  2,985  71,491  1,712  41,002 
Southern Copper Corp. (Peru)  73,990  1,512,356  60,409  1,234,760  27,103  553,985 
Spartech Corp.  30,275  278,227  21,757  199,947  8,572  78,777 
Stora Enso OYJ Class R (Finland) (NON)  13,893  73,375  11,398  60,198  6,538  34,530 
Sumitomo Forestry Co., Ltd. (Japan)  9,200  77,491  7,800  65,699  4,500  37,903 
Svenska Cellulosa AB Class B (Sweden)  8,780  92,535  7,179  75,662  4,118  43,401 
Syngenta AG (Switzerland)  3,619  841,352  2,886  670,943  1,913  444,738 
Teck Cominco, Ltd. Class B (Canada)  15,000  239,540  12,000  191,632  7,900  126,158 
Terra Industries, Inc.  68,877  1,668,201  56,503  1,368,503  23,919  579,318 
Thompson Creek Metals Co., Inc. (Canada) (NON)  46,521  475,445  33,183  339,130  13,005  132,911 
Timberwest Forest Corp. (Unit) (Canada)  11,500  33,561  10,021  29,245  5,320  15,526 
UEX Corp. (Canada) (NON)  29,500  32,761  25,700  28,541  13,700  15,214 
Umicore NV/SA (Belgium)  11,407  260,029  6,234  142,108  2,134  48,646 
UPM-Kymmene OYJ (Finland)  8,361  72,929  6,902  60,203  3,959  34,532 
Uranium One, Inc. (Canada) (NON)  21,390  49,166  18,070  41,535  10,325  23,733 
Vale SA ADR (Brazil) (SG)  69,442  1,224,262  --  --  --  -- 
Vale SA ADR (Preference) (Brazil)  67,600  1,037,660  --  --  --  -- 
Vallourec SA (France) (NON)  2,662  323,901  2,068  251,625  1,407  171,198 
Voestalpine AG (Austria)  64,091  1,759,846  34,934  959,237  11,934  327,690 
Votorantim Celulose e Papel SA ADR (Brazil) (NON)  5,904  63,232  5,026  53,828  2,883  30,877 
W.R. Grace & Co. (NON)  41,881  518,068  29,806  368,700  11,764  145,521 
Wausau Paper Corp.  5,733  38,526  5,054  33,963  2,899  19,481 
West Fraser Timber Co., Ltd. (Canada)  2,466  49,762  1,985  40,055  1,139  22,984 
Weyerhaeuser Co.  3,677  111,891  3,133  95,337  1,797  54,683 
Xstrata PLC (United Kingdom)  71,309  786,892  56,950  628,441  38,119  420,642 
Yamana Gold, Inc. (Canada)  16,001  141,449  13,607  120,286  8,073  71,365 
Zhaojin Mining Industry Co., Ltd. (China)  101,500  164,306  83,000  134,359  53,500  86,605 
    65,516,269    42,052,826    19,654,256 
 
 
Capital goods    4.1%    3.4%    2.2% 
Acuity Brands, Inc.  10,228  286,895  7,358  206,392  2,614  73,323 
Aecom Technology Corp. (NON)  12,577  402,464  10,536  337,152  6,020  192,640 
AEP Industries, Inc. (NON)  4,434  117,013  3,193  84,263  1,231  32,486 
AeroVironment, Inc. (NON)  8,020  247,497  5,634  173,865  2,199  67,861 
AGCO Corp. (NON)  52,157  1,516,204  43,636  1,268,499  18,791  546,254 
Alstom SA (France)  6,441  381,532  5,239  310,332  3,389  200,747 
Altra Holdings, Inc. (NON)  36,728  275,093  26,451  198,118  10,240  76,698 
Applied Industrial Technologies, Inc.  16,023  315,653  12,088  238,134  4,704  92,669 
ATC Technology Corp. (NON)  17,027  246,892  12,080  175,160  4,721  68,455 
Autoliv, Inc. (Sweden) (SG) (SB) (SC)  37,503  1,078,961  31,369  902,486  13,494  388,222 
Aveng, Ltd. (South Africa)  165,592  749,497  --  --  --  -- 
BAE Systems PLC (United Kingdom)  813,927  4,545,853  460,417  2,571,469  176,887  987,929 
Ball Corp.  17,436  787,410  14,334  647,323  6,403  289,159 
Bio-Treat Technology, Ltd. (China) (NON)  678,000  25,491  536,000  20,152  308,000  11,580 
Boeing Co. (The) (SG) (SC)  23,034  978,945  19,233  817,403  8,223  349,478 
Bucyrus International, Inc. Class A  1,411  40,298  1,112  31,759  636  18,164 
Calgon Carbon Corp. (NON)  7,444  103,397  6,236  86,618  3,563  49,490 
Canon, Inc. (Japan)  64,950  2,113,816  38,000  1,236,721  16,100  523,979 
Capstone Turbine Corp. (NON)  137,215  113,888  121,400  100,762  69,725  57,872 
Caterpillar, Inc. (SG) (SB)  20,393  673,785  17,049  563,299  7,338  242,448 
Chart Industries, Inc. (NON)  39,719  722,091  28,148  511,731  10,775  195,890 
China High Speed Transmission Equipment Group Co.,             
Ltd. (China)  100,000  200,564  83,000  166,468  48,000  96,271 

China Metal Recycling Holdings, Ltd. (China) (NON)  339,000  286,955  --  --  --  -- 
China Metal Recycling Holdings, Ltd. 144A (China)  123,600  104,624  --  --  --  -- 
China National Materials Co., Ltd. (China) (NON)  912,000  749,608  --  --  --  -- 
CLARCOR, Inc.  3,731  108,908  3,126  91,248  1,786  52,133 
Cobham PLC (United Kingdom)  233,230  665,598  185,464  529,282  123,818  353,355 
Columbus McKinnon Corp. (NON)  17,358  219,579  12,457  157,581  4,437  56,128 
Conergy AG (Germany) (NON)  50,305  43,946  41,534  36,284  23,731  20,731 
Crown Holdings, Inc. (NON)  38,900  939,046  32,000  772,480  14,200  342,788 
Cummins, Inc.  35,001  1,232,385  29,277  1,030,843  12,619  444,315 
Deere (John) & Co. (SG) (SB)  9,436  376,968  8,122  324,474  3,445  137,628 
Doosan Heavy Industries and Construction Co., Ltd.             
(South Korea)  5,807  277,419  4,865  232,417  2,780  132,810 
Ebara Corp. (Japan)  89,000  305,209  75,000  257,199  43,000  147,461 
El Sewedy Cables Holding Co. (Egypt)  70,846  846,178  --  --  --  -- 
EMCOR Group, Inc. (NON)  25,708  517,245  18,474  371,697  6,832  137,460 
Emerson Electric Co.  48,325  1,565,730  40,449  1,310,548  17,417  564,311 
Energy Recovery, Inc. (NON) (SG) (SB) (SC)  19,294  136,602  16,163  114,434  9,235  65,384 
EnergySolutions, Inc.  9,878  90,878  8,106  74,575  4,631  42,605 
EnPro Industries, Inc. (NON) (SG)  8,208  147,826  5,794  104,350  2,291  41,261 
Epure International, Ltd. (China)  64,000  19,743  59,000  18,201  34,000  10,489 
European Aeronautic Defense and Space Co. (France)  228,951  3,713,343  124,674  2,022,081  43,503  705,573 
Exide Technologies (NON)  22,929  85,525  19,530  72,847  11,159  41,623 
Flowserve Corp.  15,919  1,111,305  13,325  930,218  5,739  400,640 
Fluor Corp. (SG) (SB)  20,988  1,076,475  17,546  899,934  7,546  387,034 
Foster Wheeler AG (NON)  53,274  1,265,258  43,299  1,028,351  19,476  462,555 
Franklin Electric Co., Inc.  4,006  103,836  3,356  86,988  1,918  49,715 
Fuel Tech, Inc. (NON) (SG) (SB) (SC)  16,364  158,731  13,546  131,396  7,740  75,078 
Fuji Machine Manufacturing Co., Ltd. (Japan)  14,700  177,509  11,900  143,698  7,900  95,396 
Gardner Denver, Inc. (NON)  14,709  370,226  10,468  263,480  3,760  94,639 
General Cable Corp. (NON) (SG) (SB)  13,766  517,326  9,984  375,199  3,999  150,282 
General Dynamics Corp.  15,352  850,347  12,451  689,661  5,632  311,956 
GLV, Inc. Class A (Canada) (NON)  11,339  70,283  9,499  58,878  5,428  33,645 
Gorman-Rupp Co. (The)  6,477  130,641  5,426  109,442  3,100  62,527 
GrafTech International, Ltd. (NON)  16,543  187,101  11,821  133,696  4,245  48,011 
GS Engineering & Construction Corp. (South Korea)  8,085  466,632  --  --  --  -- 
GUD Holdings, Ltd. (Australia)  9,685  50,081  8,114  41,958  4,636  23,973 
Herman Miller, Inc.  15,020  230,407  10,794  165,580  4,226  64,827 
Hyflux, Ltd. (Singapore)  55,000  83,114  46,000  69,513  26,000  39,290 
ITT Corp.  4,955  220,498  4,151  184,720  2,372  105,554 
IVRCL Infrastructures & Projects, Ltd. (India)  52,583  371,610  --  --  --  -- 
Jacobs Engineering Group, Inc. (NON)  17,100  719,739  14,300  601,887  6,200  260,958 
John Bean Technologies Corp.  15,280  191,306  10,868  136,067  4,050  50,706 
Joy Global, Inc.  58,280  2,081,762  47,481  1,696,021  20,356  727,116 
Kurita Water Industries, Ltd. (Japan)  14,100  454,216  11,500  370,460  7,100  228,719 
Lindsay Corp. (SG) (SB) (SC)  3,606  119,359  3,021  99,995  1,726  57,131 
Lockheed Martin Corp.  34,253  2,762,504  28,074  2,264,168  12,603  1,016,432 
LSB Industries, Inc. (NON)  25,087  405,657  17,930  289,928  7,019  113,497 
Manitowoc Co., Inc. (The)  90,245  474,689  75,476  397,004  32,525  171,082 
Met-Pro Corp.  3,835  41,495  3,457  37,405  1,847  19,985 
Mitsubishi Electric Corp. (Japan)  175,000  1,101,069  110,000  692,100  55,000  346,050 
MTU Aero Engines Holding AG (Germany)  10,838  396,040  8,848  323,322  5,512  201,418 
Mueller Industries, Inc.  16,368  340,454  11,663  242,590  4,605  95,784 
Mueller Water Products, Inc. Class A  32,733  122,421  27,421  102,555  15,668  58,598 
Nalco Holding Co.  11,013  185,459  9,226  155,366  5,272  88,780 
Nordex AG (Germany) (NON)  8,531  134,260  7,147  112,479  4,083  64,258 
Northrop Grumman Corp.  43,865  2,003,753  35,777  1,634,293  16,101  735,494 
Organo Corp. (Japan)  9,000  73,675  8,000  65,489  4,000  32,744 
Owens-Illinois, Inc. (NON)  32,400  907,524  26,600  745,066  11,900  333,319 
Parker-Hannifin Corp.  6,824  293,159  5,835  250,672  2,538  109,032 
Pentair, Inc.  10,207  261,503  8,551  219,077  4,886  125,179 
Pitney Bowes, Inc.  45,668  1,001,499  38,161  836,871  16,418  360,047 
Prysmian SpA (Italy)  146,332  2,206,235  89,847  1,354,615  37,466  564,872 
Raser Technologies, Inc. (NON) (SG) (SB) (SC)  31,908  89,342  27,026  75,673  15,442  43,238 
Raytheon Co.  68,363  3,037,368  57,200  2,541,396  24,631  1,094,355 
Rexam PLC (United Kingdom)  219  1,029  176  827  118  554 
Roper Industries, Inc.  5,722  259,264  4,793  217,171  2,739  124,104 
SembCorp Industries, Ltd. (Singapore)  553,000  1,149,895  302,000  627,972  103,000  214,176 
Silgan Holdings, Inc.  4,396  215,536  3,094  151,699  1,231  60,356 
Solaria Energia y Medio Ambiente SA (Spain) (NON) (SG)             
(SB) (SC)  11,927  33,791  10,629  30,113  5,566  15,769 
Solon AG Fuer Solartechnik (Germany) (NON) (SG) (SB)  2,149  27,006  1,865  23,437  989  12,429 
Spartan Motors, Inc.  18,131  205,424  12,752  144,480  5,133  58,157 
Spirax-Sarco Engineering PLC (United Kingdom)  13,405  186,702  11,230  156,409  6,417  89,375 
Steelcase, Inc.  71,004  413,243  56,325  327,812  26,278  152,938 
Sunpower Corp. Class A (NON) (SG) (SB)  3,419  91,082  2,895  77,123  1,654  44,063 
Tanfield Group PLC (United Kingdom) (NON) (SG) (SB)             
(SC)  38,813  41,600  33,679  36,097  17,953  19,242 
Terex Corp. (NON) (SG) (SB) (SC)  78,100  942,667  65,300  788,171  28,300  341,581 
Tetra Tech, Inc. (NON)  16,269  466,107  13,629  390,471  7,788  223,126 
Thomas & Betts Corp. (NON)  16,900  487,734  13,900  401,154  6,200  178,932 
Timken Co.  13,719  234,321  9,630  164,480  3,826  65,348 
United Technologies Corp.  53,146  2,761,466  44,422  2,308,167  19,116  993,267 
USEC, Inc. (NON)  10,560  56,179  8,709  46,332  4,977  26,478 
Valmont Industries, Inc.  3,584  258,335  3,002  216,384  1,716  123,689 
Vestas Wind Systems A/S (Denmark) (NON)  4,397  316,457  3,664  263,703  2,093  150,636 
Vinci SA (France)  6,685  300,270  5,437  244,214  3,517  157,973 
WESCO International, Inc. (NON)  18,210  455,978  13,245  331,655  4,836  121,093 
Yingli Green Energy Holding Co., Ltd. ADR (China)             
(NON) (SG) (SB) (SC)  6,536  88,563  5,448  73,820  3,113  42,181 
    64,195,071    45,747,549    20,377,053 
 
 
Communication services    3.3%    2.6%    1.6% 
AboveNet, Inc. (NON)  150  12,147  --  --  75  6,074 
Adelphia Recovery Trust (Ser. ACC-1) (NON)  194,250  3,885  262,238  5,245  121,406  2,428 
America Movil SAB de CV ADR Ser. L (Mexico)  70,385  2,725,307  12,426  481,135  7,923  306,779 
AT&T, Inc.  300,306  7,459,601  251,213  6,240,131  108,191  2,687,464 
Atlantic Tele-Network, Inc.  9,687  380,602  6,814  267,722  2,749  108,008 
BCE, Inc. (Canada)  7,000  144,628  5,700  117,769  3,800  78,512 
Carphone Warehouse Group PLC (The) (United Kingdom)  249,467  653,542  136,331  357,154  46,668  122,259 
CenturyTel, Inc. (SG) (SB)  29,500  905,650  24,700  758,290  10,700  328,490 
China Mobile, Ltd. (China)  133,000  1,333,682  --  --  --  -- 
China Unicom Hong Kong, Ltd. (China)  260,000  346,460  212,000  282,498  136,000  181,225 
Cincinnati Bell, Inc. (NON)  116,280  330,235  81,893  232,576  30,800  87,472 
Comcast Corp. Class A (SB)  145,666  2,110,700  121,818  1,765,143  52,513  760,913 
CPI International, Inc. (NON)  14,678  127,552  10,571  91,862  4,092  35,559 
DIRECTV Group, Inc. (The) (NON) (SG) (SB) (SC)  140,463  3,470,841  117,507  2,903,598  50,603  1,250,400 
DISH Network Corp. Class A (NON)  43,444  704,227  36,302  588,455  15,641  253,541 
Earthlink, Inc. (NON)  40,319  298,764  28,792  213,349  10,998  81,495 
EchoStar Corp. Class A (NON)  31,134  496,276  21,867  348,560  8,673  138,248 
Embarq Corp.  21,642  910,263  18,093  760,992  7,775  327,017 
Empressa Nacional de Telecomunicaciones SA (Chile)  45,148  612,205  --  --  --  -- 
France Telecom SA (France)  182,959  4,160,277  103,316  2,349,287  39,520  898,639 
Hellenic Telecommunication Organization (OTE) SA             
(Greece)  9,691  148,040  7,794  119,061  5,240  80,046 
j2 Global Communications, Inc. (NON)  9,213  207,845  6,433  145,128  2,569  57,957 
Jupiter Telecommunications Co., Ltd. (Japan)  513  388,913  409  310,069  272  206,207 
KDDI Corp. (Japan)  688  3,647,422  392  2,078,182  153  811,127 
Liberty Global, Inc. Class A (NON)  88,419  1,404,978  73,966  1,175,320  31,851  506,112 
Net Servicos de Comunicacao SA (Preference) (Brazil)             
(NON)  77,500  751,736  23,800  230,856  15,800  153,257 
NeuStar, Inc. Class A (NON)  24,820  550,011  17,615  390,348  6,630  146,921 
NII Holdings, Inc. (NON)  61,364  1,170,211  51,299  978,272  22,080  421,066 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  114,200  4,646,319  65,600  2,668,989  26,300  1,070,037 
Novatel Wireless, Inc. (NON)  19,646  177,207  14,080  127,002  5,022  45,298 
Premiere Global Services, Inc. (NON)  31,279  339,064  22,532  244,247  7,996  86,677 
Qatar Telecom Q-Tel QSC (Qatar) (NON)  27,435  1,022,233  --  --  --  -- 
Sprint Nextel Corp. (NON) (SG) (SB)  395,519  1,902,446  324,445  1,560,580  144,715  696,079 
Swisscom AG (Switzerland)  1,066  327,800  883  271,526  578  177,738 
Tele Norte Leste Participacoes SA ADR (Brazil)  37,658  559,974  --  --  --  -- 
Telefonica SA (Spain)  41,471  941,126  22,555  511,854  7,495  170,088 
Telekom Austria AG (Austria)  14,377  225,133  8,118  127,122  2,599  40,698 
Telenet Group Holding NV (Belgium) (NON)  4,433  94,196  3,531  75,030  2,359  50,126 
Telephone and Data Systems, Inc.  13,010  368,183  10,910  308,753  4,687  132,642 
Time Warner Cable, Inc.  29,529  935,183  24,712  782,629  10,643  337,064 
USA Mobility, Inc.  16,028  204,517  11,271  143,818  4,539  57,918 
Verizon Communications, Inc.  150,555  4,626,555  124,952  3,839,775  54,998  1,690,089 
Vodafone Group PLC (United Kingdom)  540,693  1,045,717  434,893  841,097  290,894  562,598 
    52,871,653    34,693,424    15,154,268 
 
 
Conglomerates    1.0%    0.8%    0.5% 
3M Co. (SG)  35,846  2,154,345  29,596  1,778,720  12,951  778,355 
Bouygues SA (France)  60,733  2,285,743  33,072  1,244,695  11,540  434,319 
Danaher Corp.  4,210  259,925  3,527  217,757  2,016  124,468 
General Electric Co.  500,513  5,866,012  410,130  4,806,724  183,571  2,151,452 
Hutchison Whampoa, Ltd. (Hong Kong)  106,000  691,146  57,000  371,654  19,000  123,885 
Marubeni Corp. (Japan)  147,000  649,396  83,000  366,666  27,000  119,277 
Mitsubishi Corp. (Japan)  29,500  541,745  23,800  437,069  15,700  288,318 
Mitsui & Co., Ltd. (Japan)  25,800  303,921  20,800  245,021  13,900  163,740 
Silex Systems, Ltd. (Australia) (NON)  10,532  50,765  9,215  44,417  5,265  25,378 
SPX Corp.  12,200  597,434  10,000  489,700  4,400  215,468 
Vivendi SA (France)  79,813  1,913,432  47,526  1,139,386  20,688  495,973 
    15,313,864    11,141,809    4,920,633 
 
 
Consumer cyclicals    5.1%    4.0%    2.6% 
361 Degrees International, Ltd. 144A (China)  348,000  175,127  --  --  --  -- 
Aeropostale, Inc. (NON)  5,323  182,419  3,717  127,382  1,485  50,891 
Aggreko PLC (United Kingdom)  32,741  279,695  26,036  222,416  17,382  148,488 
Aisin Seiki Co., Ltd. (Japan)  47,800  1,033,633  28,700  620,612  12,800  276,789 
Alliance Data Systems Corp. (NON) (SG) (SB) (SC)  29,359  1,209,297  23,342  961,457  10,020  412,724 
Amazon.com, Inc. (NON)  3,044  254,661  2,550  213,333  1,457  121,893 
American Media, Inc. 144A (F)  2,148  --  2,679  --  1,397  -- 
Bally Technologies, Inc. (NON)  6,272  187,658  4,509  134,909  1,752  52,420 
Bayerische Motoren Werke (BMW) AG (Germany)  12,502  472,551  10,008  378,283  6,662  251,811 
Best Buy Co., Inc. (SG)  25,300  847,297  20,800  696,592  9,300  311,457 
Big Lots, Inc. (NON)  10,107  212,550  7,262  152,720  2,856  60,062 
Boral, Ltd. (Australia)  169,326  552,534  92,534  301,951  31,675  103,360 
Bridgestone Corp. (Japan)  140,400  2,193,053  76,500  1,194,933  26,800  418,617 
Buckle, Inc. (The) (SG) (SB) (SC)  22,952  729,185  16,214  515,119  6,347  201,644 
Burberry Group PLC (United Kingdom)  85,028  593,842  67,706  472,864  45,094  314,940 
Cash America International, Inc.  7,579  177,273  5,451  127,499  2,130  49,821 
Childrens Place Retail Stores, Inc. (The) (NON)  7,328  193,679  5,265  139,154  2,070  54,710 
Coach, Inc.  35,800  962,304  29,500  792,960  13,100  352,128 
Companhia Brasileira de Meios de Pagamento 144A             
(Brazil)  21,400  184,087  7,400  63,656  5,000  43,011 
Compass Group PLC (United Kingdom)  75,275  424,406  60,348  340,246  40,011  225,585 
Consolidated Graphics, Inc. (NON)  9,554  166,431  7,213  125,650  2,550  44,421 
D.R. Horton, Inc. (SG) (SB) (SC)  84,245  788,533  69,285  648,508  30,806  288,344 
Dana Holding Corp. (NON)  4,951  6,337  5,392  6,902  2,641  3,380 
Deckers Outdoor Corp. (NON)  6,416  450,852  4,692  329,707  1,780  125,081 

Deluxe Corp.  19,582  250,845  14,602  187,052  5,178  66,330 
Desarrolladora Homex SA de CV ADR (Mexico) (NON)  47,129  1,314,428  --  --  --  -- 
Dolby Laboratories, Inc. Class A (NON)  22,900  853,712  19,112  712,495  8,168  304,503 
Dollar Thrifty Automotive Group (NON)  25,642  357,706  18,443  257,280  7,209  100,566 
Dollar Tree, Inc. (NON)  16,368  689,093  13,925  586,243  6,026  253,695 
Dress Barn, Inc. (NON) (SG) (SB) (SC)  32,611  466,337  23,211  331,917  9,174  131,188 
DynCorp International, Inc. Class A (NON)  15,281  256,568  10,924  183,414  4,280  71,861 
Emergency Medical Services Corp. Class A (NON)  5,024  184,984  3,613  133,031  1,417  52,174 
Equifax, Inc.  22,800  595,080  18,800  490,680  8,400  219,240 
Experian Group, Ltd. (Ireland)  59,979  449,745  30,964  232,179  10,840  81,282 
EZCORP, Inc. Class A (NON)  26,155  281,951  18,787  202,524  7,395  79,718 
FamilyMart Co., Ltd. (Japan)  6,600  206,849  5,300  166,106  3,500  109,692 
Fiat SpA (Italy) (NON)  30,400  308,652  24,522  248,973  16,235  164,834 
Fields Corp. (Japan)  331  448,267  264  357,530  175  236,999 
Foot Locker, Inc.  85,451  894,672  71,502  748,626  30,779  322,256 
Ford Otomotiv Sanayi AS (Turkey)  141,930  550,830  --  --  --  -- 
Gap, Inc. (The)  67,000  1,098,800  55,100  903,640  24,500  401,800 
Geberit International AG (Switzerland)  3,574  440,989  2,994  369,424  1,711  211,117 
Genesco, Inc. (NON)  25,780  483,891  18,736  351,675  7,339  137,753 
Gestevision Telecinco SA (Spain)  15,764  147,982  12,824  120,383  8,360  78,478 
Great Wall Motor Co., Ltd. (China)  608,500  481,640  --  --  --  -- 
Greek Organization of Football Prognostics (OPAP) SA             
(Greece)  54,899  1,459,209  30,046  798,619  10,296  273,667 
Guangdong Investment, Ltd. (China)  1,970,000  967,387  838,000  411,508  516,000  253,387 
Gymboree Corp. (The) (NON)  12,761  452,760  9,167  325,245  3,262  115,736 
Hasbro, Inc.  50,039  1,212,945  41,866  1,014,832  18,051  437,556 
Hino Motors, Ltd. (Japan)  219,000  678,726  120,000  371,905  41,000  127,067 
Home Depot, Inc. (The)  38,100  900,303  31,000  732,530  13,800  326,094 
Home Retail Group PLC (United Kingdom)  59,097  253,598  33,366  143,181  10,681  45,834 
Honda Motor Co., Ltd. (Japan)  12,400  339,509  10,000  273,797  6,600  180,706 
Hyundai Department Store Co., Ltd. (South Korea)  12,350  866,017  --  --  --  -- 
Jos. A. Bank Clothiers, Inc. (NON)  6,871  236,775  4,954  170,715  1,837  63,303 
Landauer, Inc.  1,500  92,010  1,300  79,742  800  49,072 
LG Corp. (South Korea)  22,025  1,047,676  5,440  258,768  3,656  173,907 
LG Fashion Corp. (South Korea)  15,960  301,759  --  --  --  -- 
Lodgenet Entertainment Corp. (NON)  36,500  124,100  26,250  89,250  10,183  34,622 
Lotte Shopping Co., Ltd. (South Korea)  3,467  710,914  --  --  --  -- 
Lowe's Cos., Inc.  46,100  894,801  37,900  735,639  16,700  324,147 
Macy's, Inc.  90,900  1,068,984  75,500  887,880  33,000  388,080 
Maidenform Brands, Inc. (NON)  14,330  164,365  10,180  116,765  3,985  45,708 
Manpower, Inc.  15,042  636,878  12,592  533,145  5,433  230,033 
Marvel Entertainment, Inc. (NON)  4,133  147,093  2,914  103,709  1,160  41,284 
Mediaset SpA (Italy)  536,946  3,021,919  292,390  1,645,564  101,773  572,776 
Michael Page International PLC (United Kingdom)  66,256  261,489  52,319  206,484  35,217  138,989 
Navistar International Corp. (NON)  4,048  176,493  2,916  127,138  1,129  49,224 
Next PLC (United Kingdom)  84,317  2,044,431  48,087  1,165,963  18,407  446,314 
Nintendo Co., Ltd. (Japan)  2,300  632,937  1,900  522,861  1,200  330,228 
Nintendo Co., Ltd. ADR (Japan)  3,200  110,304  2,600  89,622  1,700  58,599 
Nissan Motor Co., Ltd. (Japan)  185,600  1,120,454  149,600  903,125  98,600  595,241 
OfficeMax, Inc.  35,416  222,412  24,915  156,466  10,024  62,951 
Panasonic Corp. (Japan)  95,900  1,286,248  52,500  704,150  18,000  241,423 
Phillips-Van Heusen Corp.  20,281  581,862  14,570  418,013  5,303  152,143 
Point, Inc. (Japan)  2,080  111,665  1,660  89,117  1,110  59,591 
PRG-Schultz International, Inc. (NON)  14,321  38,667  10,675  28,823  3,815  10,301 
PT Astra International TbK (Indonesia)  330,500  769,694  --  --  --  -- 
RadioShack Corp.  59,238  826,962  49,522  691,327  21,336  297,851 
Reed Elsevier PLC (United Kingdom)  59,841  446,436  48,983  365,431  32,285  240,858 
Regis Corp.  8,370  145,722  5,896  102,649  2,358  41,053 
Rent-A-Center, Inc. (NON)  9,789  174,538  6,951  123,936  2,731  48,694 
Ross Stores, Inc.  23,900  922,540  19,700  760,420  8,800  339,680 
School Specialty, Inc. (NON)  9,739  196,825  6,851  138,459  2,764  55,860 
Serco Group PLC (United Kingdom)  53,532  372,121  42,568  295,907  28,419  197,551 
Sony Corp. (Japan)  43,700  1,128,818  23,100  596,698  7,900  204,066 
Spherion Corp. (NON)  36,751  151,414  25,918  106,782  10,307  42,465 
Stantec, Inc. (Canada) (NON)  9,322  224,624  7,809  188,166  4,462  107,517 
Staples, Inc.  20,000  403,400  16,000  322,720  7,300  147,241 
Steinhoff International Holdings, Ltd. (South Africa)             
(NON)  1,093,699  1,902,881  259,444  451,396  172,169  299,550 
Steven Madden, Ltd. (NON)  10,659  271,272  7,483  190,442  2,981  75,866 
Suzuki Motor Corp. (Japan)  181,100  4,049,333  98,600  2,204,661  34,300  766,936 
Swire Pacific, Ltd. (Hong Kong)  223,000  2,245,454  121,500  1,223,420  42,500  427,945 
Talbots, Inc. (SG) (SB) (SC)  73,462  396,695  52,319  282,523  20,737  111,980 
Tempur-Pedic International, Inc. (SG) (SB)  19,494  254,787  13,691  178,941  5,378  70,290 
Tenneco Automotive, Inc. (NON)  12,852  136,231  10,586  112,212  6,049  64,119 
Thomas Cook Group PLC (United Kingdom)  427,019  1,448,957  233,361  791,839  79,883  271,058 
Time Warner, Inc.  117,567  2,961,513  98,349  2,477,411  42,355  1,066,922 
TJX Cos., Inc. (The)  38,782  1,220,082  32,422  1,019,996  13,976  439,685 
Toro Co. (The) (SG) (SB) (SC)  25,844  772,736  20,691  618,661  8,773  262,313 
Toyota Motor Corp. (Japan)  7,700  291,078  4,300  162,550  1,400  52,923 
Tractor Supply Co. (NON)  3,923  162,098  2,851  117,803  1,050  43,386 
True Religion Apparel, Inc. (NON)  9,056  201,949  6,511  145,195  2,556  56,999 
TUI Travel PLC (United Kingdom)  121,651  465,379  97,579  373,291  64,697  247,500 
Urbi Desarrollos Urbanos SAB de CV (Mexico) (NON)  230,500  350,384  183,600  279,091  122,700  186,517 
Valeo SA (France)  47,613  879,340  25,354  468,250  8,605  158,921 
ValueClick, Inc. (NON)  24,171  254,279  16,976  178,588  6,688  70,358 
Vertis Holdings, Inc. (F)(NON)  9,156  9  9,315  9  4,364  4 
Visa, Inc. Class A  27,800  1,730,828  22,800  1,419,528  10,300  641,278 
Wal-Mart Stores, Inc.  128,629  6,230,789  105,902  5,129,893  46,247  2,240,205 
Walt Disney Co. (The) (SG)  62,665  1,461,974  52,454  1,223,752  22,604  527,351 
Warnaco Group, Inc. (The) (NON)  5,921  191,840  4,165  134,946  1,676  54,302 
Wheelock and Co., Ltd. (Hong Kong)  46,000  118,370  25,000  64,331  9,000  23,159 
Whirlpool Corp. (SG)  13,400  570,304  11,000  468,160  4,900  208,544 
Wirecard AG (Germany)  21,351  208,904  17,108  167,389  11,266  110,230 
World Fuel Services Corp.  5,365  221,199  3,806  156,921  1,487  61,309 
WPP PLC (United Kingdom)  56,821  378,129  45,554  303,150  30,203  200,993 
Wright Express Corp. (NON)  5,464  139,168  3,936  100,250  1,524  38,816 
Wyndham Worldwide Corp.  44,000  533,280  36,300  439,956  16,100  195,132 
    81,017,451    52,831,631    23,460,473 
 
 
Consumer staples    5.8%    5.1%    3.3% 
AFC Enterprises (NON)  69,062  466,169  50,356  339,903  18,990  128,183 
Altria Group, Inc.  163,749  2,683,846  134,580  2,205,766  59,468  974,681 
American Italian Pasta Co. Class A (NON)  8,085  235,597  5,809  169,274  2,284  66,556 
Amorepacific Corp. (South Korea)  1,662  891,161  --  --  --  -- 
Anheuser-Busch InBev NV (Belgium)  79,728  2,888,724  43,416  1,573,059  15,149  548,882 
Archer Daniels Midland Co.  83,092  2,224,373  69,530  1,861,318  29,954  801,869 
Beacon Roofing Supply, Inc. (NON)  16,599  240,022  11,934  172,566  4,670  67,528 
BJ's Wholesale Club, Inc. (NON)  38,073  1,227,093  31,828  1,025,816  13,728  442,453 
Brink's Co. (The)  15,408  447,294  12,898  374,429  5,560  161,407 
Brinker International, Inc.  44,759  762,246  35,150  598,605  15,187  258,635 
British American Tobacco (BAT) PLC (United Kingdom)  32,541  899,450  26,152  722,855  17,191  475,168 
Britvic PLC (United Kingdom)  85,701  394,075  69,973  321,754  45,178  207,740 
Bunge, Ltd. (SG) (SB) (SC)  28,086  1,692,182  23,530  1,417,683  10,132  610,453 
Cal-Maine Foods, Inc. (SG) (SB)  7,394  184,554  5,164  128,893  2,051  51,193 
Campbell Soup Co.  34,982  1,029,170  29,224  859,770  12,579  370,074 
Career Education Corp. (NON)  11,841  294,722  8,510  211,814  3,304  82,237 
CEC Entertainment, Inc. (NON)  15,480  456,350  10,913  321,715  4,110  121,163 
Cermaq ASA (Norway) (NON)  20,602  165,123  17,231  138,105  9,947  79,724 
China Green Holdings, Ltd. (China)  678,000  703,610  549,000  569,737  360,000  373,598 
Clorox Co. (SG) (SB)  8,517  475,504  6,803  379,811  3,177  177,372 
Coca-Cola Co. (The)  57,830  2,775,262  48,117  2,309,135  21,052  1,010,285 
Coca-Cola Enterprises, Inc.  72,500  1,207,125  59,600  992,340  26,700  444,555 
Coca-Cola Femsa SA de CV ADR (Mexico)  14,300  573,716  --  --  --  -- 
Colgate-Palmolive Co. (SG) (SB) (SC)  24,039  1,700,519  19,541  1,382,330  8,711  616,216 
Colruyt SA (Belgium)  851  194,363  466  106,432  160  36,543 
Constellation Brands, Inc. Class A (NON)  60,364  765,416  50,463  639,871  21,730  275,536 
Core-Mark Holding Co., Inc. (NON)  6,905  179,944  4,897  127,616  1,912  49,827 
Cosan, Ltd. Class A (Brazil) (NON)  47,257  244,791  39,270  203,419  22,438  116,229 
CVS Caremark Corp.  46,100  1,469,207  37,900  1,207,873  16,900  538,603 
Dean Foods Co. (NON)  63,613  1,220,733  53,246  1,021,791  22,935  440,123 
Domino's Pizza, Inc. (NON)  42,199  316,071  30,490  228,370  11,458  85,820 
Energizer Holdings, Inc. (NON)  18,877  986,134  15,800  825,392  7,350  383,964 
Fresh Del Monte Produce, Inc. (Cayman Islands) (NON)  11,137  181,088  8,014  130,308  2,983  48,504 
General Mills, Inc.  10,800  605,016  9,000  504,180  3,900  218,478 
Heineken Holding NV (Netherlands)  30,464  969,998  16,465  524,259  5,505  175,284 
Henkel AG & Co. KGaA (Preference) (Germany)  12,545  392,284  9,991  312,420  6,675  208,728 
Herbalife, Ltd. (Cayman Islands)  42,318  1,334,710  33,659  1,061,605  14,090  444,399 
HLTH Corp. (NON) (SG) (SB)  20,106  263,389  17,079  223,735  10,187  133,450 
Internet Brands, Inc. Class A (NON)  33,971  237,797  24,421  170,947  9,527  66,689 
ITT Educational Services, Inc. (NON)  5,936  597,518  5,069  510,246  2,156  217,023 
Japan Tobacco, Inc. (Japan)  82  255,577  66  205,708  44  137,139 
Jardine Cycle & Carriage, Ltd. (Singapore)  30,000  397,179  19,000  251,546  9,000  119,154 
Kao Corp. (Japan)  119,000  2,593,268  69,000  1,503,660  28,000  610,181 
Kellogg Co.  14,500  675,265  12,100  563,497  5,300  246,821 
Kerry Group PLC Class A (Ireland)  33,923  775,103  19,910  454,922  8,176  186,813 
Kimberly-Clark Corp.  36,200  1,897,966  29,700  1,557,171  13,400  702,562 
Koninklijke Ahold NV (Netherlands)  276,007  3,174,188  171,577  1,973,202  80,408  924,723 
Kraft Foods, Inc. Class A  64,288  1,629,058  53,810  1,363,545  23,172  587,178 
Kroger Co.  104,163  2,296,794  85,510  1,885,496  38,106  840,237 
KT&G Corp. (South Korea)  14,023  792,135  --  --  --  -- 
Lawson, Inc. (Japan)  8,800  386,695  7,100  311,992  4,800  210,924 
Leroy Seafood Group ASA (Norway)  5,204  81,072  4,353  67,815  2,513  39,150 
Lincoln Educational Services Corp. (NON)  25,548  534,720  18,185  380,612  7,155  149,754 
Lion Nathan, Ltd. (Australia)  52,255  489,738  27,172  254,658  9,443  88,501 
Lorillard, Inc.  5,063  343,120  4,032  273,249  2,694  182,572 
Marine Harvest (Norway) (NON) (SB) (SC)  573,386  386,849  479,576  323,558  276,848  186,783 
McDonald's Corp.  52,962  3,044,785  43,400  2,495,066  18,789  1,080,180 
Metro, Inc. (Canada)  5,191  169,905  4,167  136,389  2,822  92,366 
MWI Veterinary Supply, Inc. (NON)  6,583  229,483  4,601  160,391  1,826  63,654 
Nash Finch Co.  8,063  218,185  5,677  153,620  2,269  61,399 
Nestle SA (Switzerland)  83,694  3,162,346  68,305  2,580,879  43,955  1,660,823 
Newell Rubbermaid, Inc.  53,600  557,976  44,100  459,081  19,600  204,036 
Nutreco Holding NV (Netherlands)  1,349  52,686  1,128  44,055  651  25,425 
Olam International, Ltd. (Singapore)  287,000  479,973  231,000  386,320  152,000  254,202 
Overhill Farms, Inc. (NON)  26,108  137,589  18,808  99,118  7,282  38,376 
PepsiCo, Inc.  65,743  3,613,235  55,027  3,024,284  23,680  1,301,453 
Philip Morris International, Inc.  98,442  4,294,040  82,378  3,593,328  35,495  1,548,292 
Prestige Brands Holdings, Inc. (NON)  38,492  236,726  28,676  176,357  10,258  63,087 
Procter & Gamble Co. (The)  134,023  6,848,575  112,140  5,730,354  48,317  2,468,999 
Reckitt Benckiser Group PLC (United Kingdom)  23,041  1,050,647  18,669  851,288  12,145  553,800 
Reynolds American, Inc.  9,950  384,269  8,285  319,967  3,548  137,024 
Safeway, Inc.  51,680  1,052,722  42,604  867,843  19,003  387,091 
Sally Beauty Holdings, Inc. (NON)  13,348  84,893  9,571  60,872  3,787  24,085 
Sara Lee Corp.  62,600  610,976  52,400  511,424  22,600  220,576 
Spartan Stores, Inc.  22,976  285,132  17,243  213,986  6,735  83,581 
SunOpta, Inc. (Canada) (NON)  32,000  76,480  27,900  66,681  14,800  35,372 
Swedish Match AB (Sweden)  151,180  2,461,148  82,324  1,340,201  28,654  466,475 
Toyo Suisan Kaisha, Ltd. (Japan)  126,000  2,600,368  76,000  1,568,476  35,000  722,325 
WebMD Health Corp. Class A (NON) (SG) (SC)  9,228  276,102  7,839  234,543  4,708  140,863 
Woolworths, Ltd. (Australia)  189,770  4,019,732  103,338  2,188,919  36,058  763,785 
Yamazaki Baking Co., Inc. (Japan)  99,000  1,116,657  54,000  609,086  19,000  214,308 

Yum! Brands, Inc.  86,189  2,873,541  72,102  2,403,881  31,072  1,035,940 
    91,223,244    67,522,182    30,369,181 
 
 
Energy    6.6%    5.3%    3.4% 
Alpha Natural Resources, Inc. (NON)  31,369  824,064  25,626  673,195  10,805  283,847 
Apache Corp.  17,200  1,240,980  14,100  1,017,315  6,300  454,545 
Arch Coal, Inc.  1,838  28,250  1,635  25,130  934  14,356 
Areva SA (France)  240  140,313  199  116,343  114  66,649 
Aventine Renewable Energy Holdings, Inc. (NON)  41,678  7,085  36,385  6,185  19,603  3,333 
Ballard Power Systems, Inc. (Canada) (NON)  55,629  100,132  46,503  83,705  26,570  47,826 
Banpu PCL Non Voting Depositary Rights (NVDR)             
(Thailand)  79,766  778,694  --  --  --  -- 
Basic Energy Services, Inc. (NON)  23,054  157,459  16,876  115,263  6,259  42,749 
BG Group PLC (United Kingdom)  76,546  1,286,825  61,112  1,027,362  40,621  682,885 
Bolt Technology Corp. (NON)  13,905  156,292  9,769  109,804  3,844  43,207 
Boots & Coots International Control, Inc. (NON)  188,820  262,460  134,696  187,227  52,776  73,359 
BP PLC (United Kingdom)  442,764  3,505,578  304,628  2,411,888  165,936  1,313,796 
Bronco Energy, Ltd. (Canada) (NON) (SG) (SB) (SC)  10,513  8,960  9,069  7,729  4,886  4,164 
Cameron International Corp. (NON)  32,400  916,920  26,600  752,780  11,900  336,770 
Canadian Oil Sands Trust (Unit) (Canada)  5,419  129,644  4,461  106,725  2,549  60,982 
Canadian Solar, Inc. (China) (NON) (SG) (SB)  5,180  62,782  4,700  56,964  2,408  29,185 
Chevron Corp.  130,585  8,651,256  107,263  7,106,174  47,317  3,134,751 
China Coal Energy Co. (China)  270,000  324,384  218,000  261,910  140,000  168,199 
China Shenhua Energy Co., Ltd. (China)  295,000  1,082,586  23,500  86,240  13,500  49,542 
China Sunergy Co., Ltd. ADR (China) (NON) (SG) (SB)  9,513  41,096  8,368  36,150  4,508  19,475 
CNOOC, Ltd. (China)  748,000  921,064  --  --  --  -- 
Compagnie Generale de Geophysique-Veritas SA (France)             
(NON)  102,182  1,846,181  55,842  1,008,930  19,116  345,380 
Connacher Oil and Gas, Ltd. (Canada) (NON)  33,520  26,548  28,917  22,903  15,579  12,339 
ConocoPhillips  96,279  4,049,495  80,503  3,385,956  34,669  1,458,178 
CONSOL Energy, Inc.  1,210  41,092  996  33,824  569  19,323 
Contango Oil & Gas Co. (NON)  5,238  222,563  3,773  160,315  1,461  62,078 
Covanta Holding Corp. (NON)  18,698  317,118  15,595  264,491  8,910  151,114 
CVR Energy, Inc. (NON)  19,494  142,891  14,017  102,745  5,496  40,286 
Dawson Geophysical Co. (NON)  8,740  260,889  6,097  181,995  2,430  72,536 
Devon Energy Corp.  6,694  364,823  5,563  303,184  2,409  131,291 
Diamond Offshore Drilling, Inc.  12,200  1,013,210  10,000  830,500  4,400  365,420 
Dresser-Rand Group, Inc. (NON)  87,040  2,271,744  72,814  1,900,445  31,369  818,731 
EDP Renovaveis SA (Spain) (NON)  23,240  238,585  19,275  197,880  11,013  113,061 
ENI SpA (Italy)  231,329  5,492,284  125,969  2,990,795  43,846  1,041,005 
ENSCO International, Inc.  35,623  1,242,174  29,798  1,039,056  12,837  447,626 
Evergreen Energy, Inc. (NON) (SC)  105,564  103,453  88,356  86,589  50,484  49,474 
Evergreen Solar, Inc. (NON) (SG) (SB) (SC)  19,963  43,320  17,300  37,541  9,133  19,819 
Exxon Mobil Corp.  249,610  17,450,235  206,001  14,401,530  89,078  6,227,443 
Felix Resources, Ltd. (Australia)  3,487  39,779  2,932  33,447  1,675  19,108 
First Solar, Inc. (NON)  8,303  1,346,082  6,750  1,094,310  3,276  531,105 
Foundation Coal Holdings, Inc.  1,324  37,218  1,099  30,893  628  17,653 
FuelCell Energy, Inc. (NON) (SG)  43,107  180,187  37,437  156,487  21,557  90,108 
Gamesa Corp Tecnologica SA (Spain)  12,001  228,022  10,141  192,681  6,308  119,853 
Gazprom (Russia)  145,010  755,927  --  --  --  -- 
GT Solar International, Inc. (NON) (SB)  35,222  187,381  26,603  141,528  11,501  61,185 
GulfMark Offshore, Inc. (NON)  5,396  148,930  3,772  104,107  1,494  41,234 
Gushan Environmental Energy, Ltd. ADR (China) (SG)  37,699  79,922  31,003  65,726  17,714  37,554 
Halliburton Co.  116,183  2,404,988  96,781  2,003,367  42,207  873,685 
Headwaters, Inc. (NON) (SG)  18,069  60,712  15,008  50,427  8,575  28,812 
Hess Corp.  12,933  695,149  10,845  582,919  4,660  250,475 
Husky Energy, Inc. (Canada)  2,500  70,011  2,000  56,009  1,364  38,198 
Iberdrola Renovables SA (Spain) (NON)  60,089  275,225  50,255  230,183  28,715  131,523 
ICO, Inc. (NON)  12,321  33,513  8,650  23,528  3,411  9,278 
ION Geophysical Corp. (NON)  118,875  305,509  84,765  217,846  33,206  85,339 
JA Solar Holdings Co., Ltd. ADR (China) (NON) (SG)             
(SB) (SC)  62,945  295,842  46,618  219,105  20,485  96,280 
KazMunaiGas Exploration Production GDR (Kazakhstan)  45,619  868,132  --  --  --  -- 
Key Energy Services, Inc. (NON)  36,491  210,188  26,524  152,778  9,760  56,218 
LDK Solar Co., Ltd. ADR (China) (NON)  6,355  71,684  5,530  62,378  2,980  33,614 
Lukoil (Russia)  25,830  1,193,858  --  --  --  -- 
Marathon Oil Corp.  101,285  3,051,717  84,840  2,556,229  36,541  1,100,980 
Massey Energy Co.  1,458  28,489  1,228  23,995  702  13,717 
Matrix Service Co. (NON)  17,135  196,710  12,014  137,921  4,713  54,105 
McMoRan Exploration Co. (NON)  14,123  84,173  10,093  60,154  3,606  21,492 
Nexen, Inc. (Canada)  27,929  607,581  22,448  488,344  15,004  326,404 
Nippon Mining Holdings, Inc. (Japan)  38,000  196,111  30,500  157,405  20,500  105,797 
Noble Corp.  26,549  803,107  22,245  672,911  9,595  290,249 
Occidental Petroleum Corp.  51,166  3,367,234  42,808  2,817,194  18,445  1,213,865 
Oil States International, Inc. (NON)  7,031  170,221  4,975  120,445  1,797  43,505 
OPTI Canada, Inc. (Canada) (NON)  11,597  19,468  10,005  16,796  5,390  9,048 
Parker Drilling Co. (NON)  46,720  202,765  33,591  145,785  13,145  57,049 
Patterson-UTI Energy, Inc.  43,993  565,750  36,761  472,746  15,832  203,600 
Peabody Energy Corp.  1,504  45,361  1,208  36,433  690  20,810 
Petroleo Brasileiro SA ADR (Preference) (Brazil)  77,561  2,587,435  5,624  187,617  3,790  126,434 
Petroleo Brasileiro SA ADR (Brazil)  41,222  1,689,278  5,086  208,424  3,402  139,414 
Petroleum Development Corp. (NON)  23,318  365,859  16,465  258,336  6,430  100,887 
Q-Cells AG (Germany) (NON) (SG) (SB) (SC)  3,603  73,719  3,022  61,832  1,734  35,479 
Renewable Energy Corp. AS (Norway) (NON) (SG) (SB) (SC)  9,301  72,768  7,806  61,072  4,460  34,894 
Repsol YPF SA (Spain)  39,529  887,151  23,440  526,065  10,328  231,792 
Rosetta Resources, Inc. (NON)  22,613  197,864  16,373  143,264  6,143  53,751 
Rosneft Oil Co. GDR (Russia)  88,704  486,757  --  --  --  -- 
Rowan Cos., Inc.  41,744  806,494  34,331  663,275  15,264  294,900 
Royal Dutch Shell PLC Class A (United Kingdom)  50,071  1,254,674  27,241  682,602  9,324  233,640 
Royal Dutch Shell PLC Class B (United Kingdom)  151,154  3,818,177  84,769  2,141,280  32,151  812,140 
Sasol, Ltd. (South Africa)  39,526  1,386,417  3,281  115,085  2,192  76,887 
Sasol, Ltd. ADR (South Africa)  4,026  140,185  3,428  119,363  1,959  68,212 
Schlumberger, Ltd.  25,300  1,368,983  20,800  1,125,488  9,300  503,223 
Solar Millennium AG (Germany) (NON)  2,162  71,207  1,862  61,326  1,064  35,043 
Solarfun Power Holdings Co., Ltd. ADR (China) (NON)             
(SG) (SB)  9,670  62,662  9,026  58,488  4,863  31,512 
StatoilHydro ASA (Norway)  226,220  4,471,479  125,272  2,476,135  45,807  905,424 
Suncor Energy, Inc. (Canada)  5,687  172,544  4,774  144,843  2,728  82,768 
Sunoco, Inc. (SG) (SB)  75,808  1,758,746  62,360  1,446,752  27,967  648,834 
Suntech Power Holdings Co., Ltd. ADR (China) (NON)  4,308  76,941  3,492  62,367  1,995  35,631 
Swift Energy Co. (NON)  10,461  174,176  7,653  127,422  2,705  45,038 
Tesoro Corp. (SG) (SB) (SC)  117,875  1,500,549  97,762  1,244,510  43,425  552,800 
Theolia SA (France) (NON) (SG) (SB)  13,828  60,625  11,999  52,607  6,377  27,958 
Tidewater, Inc. (SG) (SB)  35,679  1,529,559  29,579  1,268,052  13,094  561,340 
Total SA (France)  32,195  1,745,181  25,976  1,408,070  17,239  934,467 
Trina Solar, Ltd. ADR (China) (NON)  3,131  80,248  2,654  68,022  1,517  38,881 
Unit Corp. (NON)  8,889  245,070  6,711  185,022  2,601  71,710 
UTS Energy Corp. (Canada) (NON)  40,889  55,265  35,274  47,676  19,004  25,686 
Vaalco Energy, Inc. (NON)  36,514  154,454  25,744  108,897  9,691  40,993 
Valero Energy Corp.  49,781  840,801  41,666  703,739  17,925  302,753 
Walter Industries, Inc.  7,667  277,852  5,505  199,501  2,352  85,236 
Weatherford International, Ltd. (NON)  3,700  72,372  3,000  58,680  2,000  39,120 
Willbros Group, Inc. (NON)  15,575  194,843  10,933  136,772  4,150  51,917 
Yanzhou Coal Mining Co., Ltd. (China)  46,000  63,178  38,000  52,190  22,000  30,216 
    103,323,888    70,465,619    31,445,547 
 
 
Financials    9.1%    6.9%    4.5% 
3i Group PLC (United Kingdom)  261,930  1,048,566  139,074  556,745  47,337  189,501 
ABSA Group, Ltd. (South Africa)  64,506  919,871  --  --  --  -- 
ACE, Ltd.  11,096  490,776  8,939  395,372  5,921  261,886 
Aflac, Inc.  23,500  730,615  19,500  606,255  8,500  264,265 
Agile Property Holdings, Ltd. (China)  284,000  404,076  --  --  --  -- 
Agree Realty Corp. (R)  11,156  204,489  8,435  154,614  2,982  54,660 
Aldar Properties PJSC (United Arab Emirates)  974,902  1,004,525  --  --  --  -- 
Allianz SE (Germany)  6,412  593,415  4,307  398,602  2,316  214,340 
Allied World Assurance Company Holdings, Ltd. (Bermuda)  7,228  295,119  5,466  223,177  1,932  78,884 
American Campus Communities, Inc. (R)  30,070  666,953  24,677  547,336  11,076  245,666 
American Equity Investment Life Holding Co.  50,354  280,975  36,917  205,997  13,585  75,804 
American Financial Group, Inc.  87,680  1,892,134  73,349  1,582,871  31,593  681,777 
American Safety Insurance Holdings, Ltd. (Bermuda)             
(NON)  9,810  133,514  7,060  96,087  2,620  35,658 
Ameriprise Financial, Inc.  33,500  813,045  27,600  669,852  12,200  296,094 
Amerisafe, Inc. (NON)  24,768  385,390  18,524  288,233  7,204  112,094 
Amtrust Financial Services, Inc.  18,900  215,460  13,500  153,900  5,100  58,140 
Anglo Irish Bank Corp. PLC (Ireland) (F)  466,307  111,887  263,272  63,170  84,271  20,220 
Anworth Mortgage Asset Corp. (R)  29,711  214,216  20,976  151,237  8,328  60,045 
Arch Capital Group, Ltd. (NON)  20,785  1,217,585  17,376  1,017,886  7,475  437,886 
Ashford Hospitality Trust, Inc. (R)  51,976  146,053  36,791  103,383  14,514  40,784 
Aspen Insurance Holdings, Ltd. (Bermuda)  11,456  255,927  8,212  183,456  3,087  68,964 
Assicurazioni Generali SpA (Italy)  197,012  4,115,141  107,282  2,240,881  37,341  779,970 
Assured Guaranty, Ltd. (Bermuda) (SC)  29,631  366,832  21,733  269,055  8,113  100,439 
AXA SA (France)  55,161  1,043,692  44,161  835,563  29,241  553,264 
Banco Latinoamericano de Exportaciones SA Class E             
(Panama)  41,562  516,616  30,538  379,587  11,558  143,666 
Banco Santander Central Hispano SA (Spain)  167,957  2,028,564  135,578  1,637,494  89,934  1,086,212 
Bank Mandiri Persero Tbk PT (Indonesia)  1,641,000  506,344  --  --  --  -- 
Bank of America Corp.  304,005  4,012,866  250,334  3,304,409  111,261  1,468,645 
Bank of Baroda (India)  26,134  242,502  --  --  --  -- 
Bank of China Ltd. (China)  2,861,000  1,355,680  466,000  220,813  314,000  148,788 
Bank of Communications Co., Ltd. (China)  1,080,000  1,206,927  --  --  --  -- 
Bank of Hawaii Corp.  5,900  211,397  4,900  175,567  2,100  75,243 
Bank of New York Mellon Corp. (The)  31,600  926,196  26,400  773,784  11,400  334,134 
Bank of the Ozarks, Inc.  12,594  272,408  9,372  202,716  3,638  78,690 
Bank Rakyat Indonesia (Indonesia)  2,402,500  1,477,231  529,500  325,575  348,000  213,976 
Barclays PLC (United Kingdom)  919,320  4,284,288  516,585  2,407,431  194,611  906,942 
BB&T Corp. (SG) (SB)  14,300  314,314  12,000  263,760  5,200  114,296 
BlackRock, Inc. (SG) (SB) (SC)  9,000  1,578,780  7,400  1,298,108  3,300  578,886 
BNP Paribas SA (France)  65,010  4,222,210  38,027  2,469,743  16,106  1,046,038 
Calamos Asset Management, Inc. Class A  28,955  408,555  20,593  290,567  8,197  115,660 
CBL & Associates Properties (R)  28,699  154,688  20,197  108,862  8,091  43,610 
CFS Retail Property Trust (Australia) (R)  644,010  852,919  351,942  466,108  120,475  159,556 
Charles Schwab Corp. (The)  48,900  857,706  40,900  717,386  17,600  308,704 
China Construction Bank Corp. (China)  2,764,000  2,136,953  --  --  --  -- 
China Construction Bank Corp. 144A (China)  332,000  256,682  --  --  --  -- 
Chubb Corp. (The)  56,075  2,236,271  46,894  1,870,133  20,196  805,416 
Commonwealth Bank of Australia (Australia)  10,385  325,273  8,338  261,158  5,646  176,841 
Conseco, Inc. (NON)  99,619  236,097  72,475  171,766  27,274  64,639 
Credit Saison Co., Ltd. (Japan)  8,900  112,376  7,200  90,911  4,800  60,607 
Credit Suisse Group (Switzerland)  6,408  292,860  5,187  237,058  3,421  156,347 
Danske Bank A/S (Denmark) (NON)  86,107  1,488,040  47,056  813,188  16,108  278,367 
DBS Group Holdings, Ltd. (Singapore)  443,000  3,595,910  241,500  1,960,299  86,500  702,136 
Deutsche Bank AG (Germany)  10,101  615,179  8,103  493,495  5,410  329,484 
Deutsche Boerse AG (Germany)  7,553  587,529  6,057  471,159  4,003  311,383 
Dexia (Belgium) (NON)  376,800  2,859,684  205,184  1,557,222  71,419  542,027 
Diamond Lease Co., Ltd. (Japan)  3,220  104,117  1,820  58,849  580  18,754 
Digital Realty Trust, Inc. (R) (SG) (SB)  12,000  430,200  10,000  358,500  4,300  154,155 
DnB NOR ASA (Norway) (NON)  30,100  230,602  24,200  185,401  16,300  124,878 
E*Trade Financial Corp. (NON)  325,292  416,374  231,336  296,110  92,135  117,933 
Entertainment Properties Trust (R)  9,577  197,286  7,137  147,022  2,559  52,715 
Evercore Partners, Inc. Class A  13,479  264,728  9,636  189,251  3,814  74,907 

First Bancorp  11,830  185,494  8,510  133,437  3,160  49,549 
First Bancorp Puerto Rico (Puerto Rico)  36,631  144,692  27,133  107,175  9,776  38,615 
Flushing Financial Corp.  25,436  237,827  18,079  169,039  7,074  66,142 
Fortis (Belgium)  544,210  1,856,959  297,403  1,014,802  101,805  347,380 
Goldman Sachs Group, Inc. (The)  47,704  7,033,478  39,449  5,816,361  17,300  2,550,712 
Hallmark Financial Services, Inc. (NON)  26,220  187,473  18,584  132,876  6,860  49,049 
Hana Financial Group, Inc. (South Korea)  42,720  911,423  --  --  --  -- 
Hang Lung Group, Ltd. (Hong Kong)  102,000  479,494  56,000  263,252  19,000  89,318 
HCP, Inc. (R)  54,100  1,146,379  45,200  957,788  19,500  413,205 
HRPT Properties Trust (R)  44,326  179,964  31,295  127,058  12,424  50,441 
HSBC Holdings PLC (United Kingdom)  106,452  884,208  85,294  708,466  57,180  474,946 
Hudson City Bancorp, Inc.  18,400  244,536  15,400  204,666  6,700  89,043 
Industrial & Commercial Bank of China (China)  4,185,000  2,906,449  772,000  536,148  509,000  353,496 
ING Groep NV (Netherlands)  84,784  854,059  45,311  456,434  15,323  154,354 
Insurance Australia Group, Ltd. (Australia)  156,000  438,261  124,994  351,154  82,312  231,245 
Interactive Brokers Group, Inc. Class A (NON)  12,545  194,824  8,957  139,102  3,207  49,805 
International Bancshares Corp. (SG)  18,241  188,065  13,604  140,257  4,849  49,993 
Investment Technology Group, Inc. (NON)  50,882  1,037,484  40,714  830,158  16,987  346,365 
Irish Life & Permanent PLC (Ireland)  42,112  214,434  33,842  172,324  22,687  115,522 
Itau Unibanco Holding SA ADR (Preference) (Brazil)  56,747  898,305  --  --  --  -- 
Japan Retail Fund Investment Corp. (Japan) (R)  3  13,839  2  9,226  2  9,226 
JPMorgan Chase & Co.  205,674  7,015,540  169,998  5,798,632  74,082  2,526,937 
Julius Baer Holding, Ltd. Class B (Switzerland)  4,070  158,872  3,273  127,761  2,201  85,916 
Kasikornbank PCL NVDR (Thailand)  235,400  454,308  --  --  --  -- 
KBC Groupe SA (Belgium) (NON)  27,770  507,009  22,233  405,917  14,807  270,338 
Knight Capital Group, Inc. Class A (NON)  22,926  390,888  17,092  291,419  6,667  113,672 
Leopalace21 Corp. (Japan)  23,600  209,657  18,900  167,904  12,800  113,713 
Lexington Corporate Properties Trust (R)  32,038  108,929  23,940  81,396  8,463  28,774 
Lloyds Banking Group PLC (United Kingdom)  161,731  186,230  140,172  161,405  83,253  95,864 
Loews Corp.  18,294  501,256  15,295  419,083  6,604  180,950 
LTC Properties, Inc. (R)  15,785  322,803  11,174  228,508  4,408  90,144 
Mack-Cali Realty Corp. (R)  38,800  884,640  31,900  727,320  14,200  323,760 
Macquarie Bank, Ltd. (Australia)  9,510  299,224  4,613  145,144  1,719  54,087 
Macquarie Office Trust (Australia)  1,292,372  217,380  706,263  118,795  241,764  40,665 
Maiden Holdings, Ltd. (Bermuda)  36,857  241,782  25,992  170,508  10,337  67,811 
Manulife Financial Corp. (Canada)  16,300  283,314  13,100  227,694  8,600  149,478 
Mastercard, Inc. Class A  4,084  683,294  3,445  576,383  1,482  247,953 
Meadowbrook Insurance Group, Inc.  17,600  114,928  12,674  82,761  4,731  30,893 
MetLife, Inc.  27,700  831,277  22,800  684,228  10,200  306,102 
Morgan Stanley  70,646  2,014,117  57,492  1,639,097  25,822  736,185 
Muenchener Rueckversicherungs-Gesellschaft AG (Germany)  2,159  292,233  1,689  228,616  1,148  155,388 
National Bank of Canada (Canada)  16,546  765,623  13,272  614,127  8,873  410,575 
National Bank of Greece SA (Greece) (NON)  13,776  377,747  10,873  298,145  7,321  200,747 
National Health Investors, Inc. (R)  16,740  447,125  11,727  313,228  4,739  126,579 
Nationale A Portefeuille (Belgium)  5,976  289,143  2,965  143,459  1,080  52,255 
Nationwide Health Properties, Inc. (R)  18,452  474,954  15,426  397,065  6,659  171,403 
Nelnet, Inc. Class A (NON)  19,863  269,938  13,978  189,961  5,617  76,335 
NGP Capital Resources Co.  22,093  129,686  15,607  91,613  6,165  36,189 
Nomura Securities Co., Ltd. (Japan)  68,200  571,358  54,500  456,584  36,000  301,597 
Nordea AB (Sweden)  448,816  3,566,451  244,399  1,942,081  87,633  696,363 
Northern Trust Corp.  9,394  504,270  7,821  419,831  3,353  179,989 
NorthStar Realty Finance Corp. (R)  39,436  111,604  27,968  79,149  10,292  29,126 
Old Mutual PLC (South Africa)  1,184,697  1,578,420  645,134  859,538  214,100  285,254 
optionsXpress Holdings, Inc.  9,657  149,973  6,946  107,871  2,715  42,164 
Oriental Financial Group (Puerto Rico)  24,629  238,901  17,433  169,100  6,877  66,707 
ORIX Corp. (Japan)  10,920  643,981  8,750  516,010  5,780  340,862 
Penson Worldwide, Inc. (NON) (SG) (SB)  36,810  329,450  26,204  234,526  9,760  87,352 
Pico Holdings, Inc. (NON)  8,622  247,451  7,223  207,300  4,127  118,445 
Platinum Underwriters Holdings, Ltd. (Bermuda)  6,494  185,663  4,584  131,057  1,813  51,834 
PNC Financial Services Group, Inc.  12,400  481,244  10,400  403,624  4,500  174,645 
Principal Financial Group  39,800  749,832  32,800  617,952  14,600  275,064 
ProLogis Trust (R)  55,300  445,718  45,500  366,730  20,200  162,812 
Prudential Financial, Inc.  12,900  480,138  10,600  394,532  4,700  174,934 
PS Business Parks, Inc. (R)  7,726  374,247  5,694  275,817  2,148  104,049 
Public Storage, Inc. (R)  14,200  929,816  11,700  766,116  5,200  340,496 
Qatar National Bank SAQ (Qatar)  27,205  893,289  --  --  --  -- 
QBE Insurance Group, Ltd. (Australia)  7,984  127,613  4,364  69,752  1,494  23,879 
Ramco-Gershenson Properties (R)  15,288  153,033  11,454  114,655  4,049  40,530 
Royal Bank of Canada (Canada)  15,200  622,472  12,200  499,616  8,171  334,620 
RSA Insurance Group PLC (United Kingdom)  140,933  279,805  113,154  224,653  76,618  152,115 
Sai-Soc Assicuratrice Industriale SpA (SAI) (Italy)  44,825  728,355  23,884  388,087  8,101  131,632 
Saul Centers, Inc. (R)  5,681  167,987  4,038  119,404  1,580  46,721 
SeaBright Insurance Holdings, Inc. (NON)  30,050  304,407  22,574  228,675  8,804  89,185 
Shimo Property Holdings, Ltd. (China)  233,500  451,356  --  --  --  -- 
Sierra Bancorp (SB)  11,691  147,657  8,253  104,235  3,275  41,363 
SL Green Realty Corp. (R) (SB)  15,670  359,470  11,198  256,882  4,364  100,110 
Smithtown Bancorp, Inc.  12,130  155,143  8,739  111,772  3,260  41,695 
Societe Generale (France)  13,897  758,835  11,191  611,076  7,384  403,197 
State Bank of India, Ltd. (India)  27,760  1,009,550  --  --  --  -- 
State Street Corp.  42,647  2,012,938  35,538  1,677,394  15,556  734,243 
Suffolk Bancorp (SG) (SB)  11,599  297,398  8,680  222,555  3,374  86,509 
Sumitomo Mitsui Financial Group, Inc. (Japan)  22,600  913,860  18,100  731,897  12,000  485,235 
Sumitomo Mitsui Financial Group, Inc. 144A (Japan)  1,900  76,829  1,600  64,698  1,000  40,436 
Sunstone Hotel Investors, Inc.  21,458  114,800  15,429  82,545  5,998  32,089 
SWS Group, Inc.  34,691  484,633  24,658  344,472  9,795  136,836 
TD Ameritrade Holding Corp. (NON)  55,500  973,470  45,700  801,578  20,300  356,062 
Toronto-Dominion Bank (Canada)  6,800  351,767  5,468  282,862  3,677  190,213 
TradeStation Group, Inc. (NON)  62,144  525,738  45,227  382,620  17,723  149,937 
Travelers Cos., Inc. (The)  33,718  1,383,787  28,221  1,158,190  12,136  498,061 
Turkiye Garanti Bankasi AS (Turkey) (NON)  278,695  747,001  --  --  --  -- 
U.S. Bancorp (SB)  140,222  2,512,778  117,285  2,101,747  50,743  909,315 
UniCredito Italiano SpA (Italy)  1,925,044  4,935,945  1,048,266  2,687,826  375,871  963,759 
Universal Health Realty Income Trust (R)  3,694  116,435  2,608  82,204  1,036  32,655 
Universal Insurance Holdings, Inc.  33,052  165,921  23,252  116,725  9,355  46,962 
Uranium Participation Corp. (Canada) (NON)  7,224  46,394  5,822  37,390  3,327  21,367 
Urstadt Biddle Properties, Inc. Class A (R)  11,766  165,665  8,329  117,272  3,286  46,267 
Validus Holdings, Ltd. (Bermuda) (SG) (SB)  7,515  165,180  5,285  116,164  2,128  46,773 
W.R. Berkley Corp.  63,310  1,359,266  52,993  1,137,760  22,830  490,160 
Wells Fargo & Co.  208,585  5,060,272  174,479  4,232,861  75,083  1,821,514 
Westfield Group (Australia)  41,807  381,458  33,417  304,906  22,066  201,336 
Westpac Banking Corp. (Australia)  136,233  2,210,586  74,185  1,203,764  26,656  432,534 
Wharf (Holdings), Ltd. (Hong Kong)  81,000  342,442  64,000  270,571  44,000  186,018 
Wilshire Bancorp, Inc.  21,020  120,865  14,909  85,727  5,480  31,510 
World Acceptance Corp. (NON)  15,176  302,154  11,476  228,487  4,480  89,197 
WSFS Financial Corp.  5,780  157,852  4,241  115,822  1,558  42,549 
Yuanta Financial Holding Co., Ltd. (Taiwan)  570,000  381,451  --  --  --  -- 
Zurich Financial Services AG (Switzerland)  5,513  976,979  4,424  783,993  2,944  521,717 
    143,107,505    91,595,651    41,075,089 
 
 
Health care    6.3%    5.7%    3.6% 
Abbott Laboratories  30,200  1,420,608  24,900  1,171,296  11,000  517,440 
Aetna, Inc.  44,127  1,105,381  36,873  923,669  15,879  397,769 
Alapis Holding Industrial and Commercial SA (Greece)  275,028  386,422  219,051  307,773  145,967  205,088 
Alkermes, Inc. (NON)  16,734  181,062  11,753  127,167  4,631  50,107 
Allscripts-Misys Healthcare Solutions, Inc. (SG) (SC)  19,364  307,113  16,448  260,865  9,841  156,078 
Alnylam Pharmaceuticals, Inc. (NON) (SG) (SB)  8,009  178,360  5,630  125,380  2,185  48,660 
Amedisys, Inc. (NON) (SG) (SB)  11,727  387,226  8,279  273,373  3,230  106,655 
American Medical Systems Holdings, Inc. (NON)  11,205  177,039  8,064  127,411  3,129  49,438 
American Oriental Bioengineering, Inc. (China) (NON)             
(SG) (SB) (SC)  69,456  367,422  50,681  268,102  18,110  95,802 
Amgen, Inc. (NON)  81,805  4,330,757  68,387  3,620,408  29,435  1,558,289 
AmSurg Corp. (NON)  7,856  168,433  5,481  117,513  2,184  46,825 
Assisted Living Concepts, Inc. Class A (NON)  10,185  148,192  8,533  124,155  4,894  71,208 
Astellas Pharma, Inc. (Japan)  57,300  2,023,962  38,300  1,352,840  19,700  695,847 
AstraZeneca PLC (United Kingdom)  125,879  5,546,415  68,547  3,020,282  23,919  1,053,907 
athenahealth, Inc. (NON)  20,600  762,406  17,600  651,376  7,500  277,575 
Baxter International, Inc.  28,858  1,528,320  24,175  1,280,308  10,402  550,890 
Becton, Dickinson and Co.  48,151  3,433,648  40,303  2,874,007  17,356  1,237,656 
Biogen Idec, Inc. (NON)  18,300  826,245  15,100  681,765  6,700  302,505 
Bristol-Myers Squibb Co.  164,396  3,338,883  137,508  2,792,787  59,074  1,199,793 
Brookdale Senior Living, Inc. (SG)  31,935  311,047  26,753  260,574  15,345  149,460 
Cantel Medical Corp. (NON)  23,716  384,911  17,136  278,117  6,531  105,998 
Centene Corp. (NON)  14,032  280,359  9,909  197,982  3,773  75,385 
Cephalon, Inc. (NON) (SB)  20,721  1,173,845  17,323  981,348  7,453  422,212 
Cerner Corp. (NON)  5,654  352,188  4,767  296,936  2,692  167,685 
Computer Programs & Systems, Inc.  5,434  208,177  4,616  176,839  2,737  104,854 
Coventry Health Care, Inc. (NON)  68,627  1,284,011  57,420  1,074,328  24,723  462,567 
Cubist Pharmaceuticals, Inc. (NON)  15,724  288,221  11,277  206,707  4,164  76,326 
Depomed, Inc. (NON)  70,180  228,085  48,190  156,618  17,910  58,208 
Eclipsys Corp. (NON)  18,266  324,769  15,515  275,857  9,228  164,074 
Eli Lilly & Co. (SG) (SB)  84,686  2,933,523  70,075  2,427,398  30,899  1,070,341 
Emergent Biosolutions, Inc. (NON) (SG) (SB)  12,327  176,646  8,862  126,992  3,478  49,840 
Emeritus Corp. (NON)  20,068  265,098  16,811  222,073  9,643  127,384 
Endo Pharmaceuticals Holdings, Inc. (NON)  21,061  377,413  14,798  265,180  5,855  104,922 
Ensign Group, Inc. (The)  2,780  39,559  2,328  33,127  1,335  18,997 
Enzon Pharmaceuticals, Inc. (NON)  30,431  239,492  21,492  169,142  7,779  61,221 
Express Scripts, Inc. (NON)  26,277  1,806,544  21,344  1,467,400  9,649  663,369 
Forest Laboratories, Inc. (NON)  59,489  1,493,769  49,732  1,248,771  21,424  537,957 
Gen-Probe, Inc. (NON)  30,849  1,325,890  25,802  1,108,970  11,112  477,594 
Gentiva Health Services, Inc. (NON)  11,124  183,101  7,995  131,598  3,104  51,092 
Genzyme Corp. (NON)  29,300  1,631,131  24,300  1,352,781  10,700  595,669 
Gilead Sciences, Inc. (NON)  22,200  1,039,848  18,600  871,224  8,000  374,720 
GlaxoSmithKline PLC (United Kingdom)  172,396  3,037,480  93,877  1,654,038  33,661  593,080 
Health Management Associates, Inc. Class A (NON)  85,758  423,645  61,072  301,696  24,090  119,005 
Hi-Tech Pharmacal Co., Inc. (NON)  22,674  201,799  16,334  145,373  6,324  56,284 
Humana, Inc. (NON)  29,700  958,122  24,800  800,048  10,700  345,182 
Isis Pharmaceuticals, Inc. (NON)  13,500  222,750  9,569  157,889  3,610  59,565 
Johnson & Johnson  127,433  7,238,194  106,580  6,053,744  45,909  2,607,631 
Kindred Healthcare, Inc. (NON)  21,679  268,169  18,161  224,652  10,417  128,858 
Kinetic Concepts, Inc. (NON) (SG)  15,820  431,095  11,287  307,571  4,424  120,554 
King Pharmaceuticals, Inc. (NON) (SG)  14,657  141,147  10,352  99,690  4,020  38,713 
LHC Group, Inc. (NON)  9,684  215,082  6,808  151,206  2,656  58,990 
LifePoint Hospitals, Inc. (NON)  6,050  158,813  4,349  114,161  1,690  44,363 
Luminex Corp. (NON)  11,575  214,601  8,323  154,308  3,257  60,385 
Magellan Health Services, Inc. (NON)  6,712  220,288  4,723  155,009  1,892  62,095 
Martek Biosciences Corp. (NON)  16,757  354,411  13,297  281,232  6,765  143,080 
Maxygen, Inc. (NON)  59,608  400,566  42,417  285,042  16,833  113,118 
McKesson Corp.  29,638  1,304,072  24,548  1,080,112  11,879  522,676 
Medicis Pharmaceutical Corp. Class A  13,040  212,813  9,371  152,935  3,692  60,253 
Medtronic, Inc.  39,973  1,394,658  33,173  1,157,406  14,569  508,312 
Merck & Co., Inc. (SG) (SB)  124,754  3,488,122  102,245  2,858,770  43,686  1,221,461 
Millipore Corp. (NON)  2,781  195,254  2,330  163,589  1,332  93,520 
Mylan, Inc. (NON) (SG) (SB) (SC)  129,824  1,694,203  108,579  1,416,956  46,744  610,009 
Myriad Genetics, Inc. (NON)  12,319  439,172  8,854  315,645  3,497  124,668 
Novartis AG (Switzerland)  89,471  3,639,256  58,319  2,372,140  29,748  1,210,008 
Noven Pharmaceuticals, Inc. (NON)  18,921  270,570  13,602  194,509  5,306  75,876 
Obagi Medical Products, Inc. (NON)  27,164  198,026  19,197  139,946  7,111  51,839 
Omega Healthcare Investors, Inc. (R)  11,866  184,160  8,437  130,942  3,301  51,232 
Omnicare, Inc.  33,800  870,688  28,100  723,856  12,300  316,848 
Ono Pharmaceutical Co., Ltd. (Japan)  5,900  261,017  4,800  212,353  3,200  141,569 
Onyx Pharmaceuticals, Inc. (NON)  4,910  138,757  3,578  101,114  1,333  37,671 

OSI Pharmaceuticals, Inc. (NON)  7,828  220,984  5,680  160,346  2,001  56,488 
Osiris Therapeutics, Inc. (NON) (SG) (SB)  11,800  158,474  8,337  111,966  3,200  42,976 
Pall Corp.  5,532  146,930  4,634  123,079  2,648  70,331 
Par Pharmaceutical Cos., Inc. (NON)  18,335  277,775  13,072  198,041  5,072  76,841 
Perrigo Co.  6,780  188,348  4,799  133,316  1,810  50,282 
Pfizer, Inc.  421,190  6,317,850  346,600  5,199,000  153,969  2,309,535 
Quality Systems, Inc. (SG) (SB) (SC)  17,326  986,889  14,554  828,996  6,993  398,321 
Questcor Pharmaceuticals, Inc. (NON)  38,915  194,575  28,262  141,310  10,510  52,550 
Roche Holding AG (Switzerland)  17,754  2,418,192  14,228  1,937,931  9,468  1,289,593 
Sanofi-Aventis (France)  51,239  3,015,898  27,902  1,642,296  9,711  571,584 
Santarus, Inc. (NON)  95,434  269,124  68,159  192,208  24,827  70,012 
Schering-Plough Corp.  75,313  1,891,863  62,976  1,581,957  27,130  681,506 
Sepracor, Inc. (NON)  30,372  526,043  21,420  370,994  8,434  146,077 
Sequenom, Inc. (NON) (SG) (SB)  19,500  76,245  13,766  53,825  5,300  20,723 
Skilled Healthcare Group, Inc. Class A (NON)  5,244  39,330  4,393  32,948  2,520  18,900 
St. Jude Medical, Inc. (NON)  36,900  1,516,590  30,200  1,241,220  13,500  554,850 
Steris Corp.  15,078  393,234  10,634  277,335  4,229  110,292 
Sun Healthcare Group, Inc. (NON)  29,379  247,959  24,612  207,725  14,117  119,147 
Sunrise Senior Living, Inc. (NON) (SG) (SB)  69,742  115,074  58,425  96,401  33,512  55,295 
Suzuken Co., Ltd. (Japan)  10,500  303,597  8,400  242,878  5,500  159,027 
Taisho Pharmaceutical Co., Ltd. (Japan)  52,000  984,106  28,000  529,903  10,000  189,251 
Takeda Pharmaceutical Co., Ltd. (Japan)  26,800  1,041,304  14,600  567,277  5,000  194,273 
Techne Corp.  3,872  247,072  2,739  174,776  1,036  66,107 
Terumo Corp. (Japan)  11,100  488,600  8,900  391,760  5,900  259,706 
Teva Pharmaceutical Industries, Ltd. ADR (Israel)  21,523  1,061,945  8,325  410,756  5,481  270,433 
UCB SA (Belgium)  13,047  418,578  10,612  340,457  6,864  220,213 
UnitedHealth Group, Inc.  45,900  1,146,582  38,400  959,232  16,600  414,668 
Valeant Pharmaceuticals International (NON) (SG)  8,853  227,699  6,291  161,805  2,452  63,065 
Varian Medical Systems, Inc. (NON) (SB) (SC)  33,720  1,184,921  27,848  978,579  12,276  431,379 
WellCare Health Plans, Inc. (NON)  11,338  209,640  8,155  150,786  3,187  58,928 
WellPoint, Inc. (NON)  19,251  979,683  16,075  818,057  7,013  356,892 
    99,037,555    75,593,531    33,497,497 
 
 
Technology    8.0%    7.0%    4.6% 
3Com Corp. (NON)  92,351  434,973  65,438  308,213  24,959  117,557 
3PAR, Inc. (NON)  25,527  316,535  21,384  265,162  12,218  151,503 
Accenture, Ltd. Class A  51,614  1,727,004  43,210  1,445,807  18,827  629,951 
Acme Packet, Inc. (NON)  62,700  634,524  44,206  447,365  17,000  172,040 
Actuate Corp. (NON)  34,745  166,081  24,978  119,395  9,744  46,576 
Acxiom Corp.  33,215  293,288  24,785  218,852  9,639  85,112 
ADC Telecommunications, Inc. (NON) (SG) (SB) (SC)  77,033  613,183  54,224  431,623  21,397  170,320 
Adobe Systems, Inc. (NON)  15,974  452,064  13,382  378,711  7,646  216,382 
Advanced Battery Technologies, Inc. (NON) (SG) (SB)             
(SC)  79,744  320,571  59,801  240,400  27,111  108,986 
Akamai Technologies, Inc. (NON) (SG)  31,180  598,032  26,121  501,001  14,925  286,262 
Amkor Technologies, Inc. (NON) (SG) (SB)  38,128  180,345  27,429  129,739  10,688  50,554 
ANSYS, Inc. (NON)  5,212  162,406  3,745  116,694  1,474  45,930 
Apple, Inc. (NON)  59,053  8,410,919  48,683  6,933,920  21,017  2,993,451 
ARRIS Group, Inc. (NON) (SG) (SB)  100,502  1,222,104  71,316  867,203  27,702  336,856 
Atmel Corp. (NON)  57,070  212,871  40,138  149,715  15,030  56,062 
Autonomy Corp. PLC (United Kingdom) (NON)  11,510  272,875  9,200  218,110  6,075  144,024 
Avnet, Inc. (NON)  37,128  780,802  31,055  653,087  13,363  281,024 
Badger Meter, Inc.  5,019  205,779  4,205  172,405  2,403  98,523 
Black Box Corp.  10,146  339,587  7,362  246,406  2,965  99,239 
Blackboard, Inc. (NON)  5,197  149,985  3,734  107,763  1,472  42,482 
BMC Software, Inc. (NON)  30,289  1,023,465  24,686  834,140  11,166  377,299 
Brocade Communications Systems, Inc. (NON)  71,221  556,948  51,177  400,204  20,042  156,728 
BYD Co., Ltd. (China) (NON)  72,500  289,947  60,000  239,956  34,500  137,975 
China BAK Battery, Inc. (China) (NON) (SB)  33,200  97,940  29,000  85,550  15,400  45,430 
Cisco Systems, Inc. (NON)  379,033  7,065,175  317,092  5,910,595  140,928  2,626,898 
Citrix Systems, Inc. (NON) (SG) (SB)  22,861  729,037  19,151  610,725  10,942  348,940 
Compuware Corp. (NON)  67,369  462,151  53,987  370,351  24,808  170,183 
Concur Technologies, Inc. (NON) (SB)  15,341  476,798  12,852  399,440  7,343  228,220 
CSG Systems International, Inc. (NON)  34,116  451,696  23,960  317,230  9,521  126,058 
Dell, Inc. (NON) (SG) (SB) (SC)  42,763  587,136  35,733  490,614  15,402  211,469 
Dionex Corp. (NON)  3,413  208,295  2,452  149,646  964  58,833 
Ducommun, Inc.  10,258  192,748  7,276  136,716  2,841  53,382 
eBay, Inc. (NON)  55,758  955,135  46,629  798,755  20,085  344,056 
EMC Corp. (NON)  343,506  4,499,929  287,343  3,764,193  129,309  1,693,948 
Emulex Corp. (NON)  23,007  225,008  16,063  157,096  6,397  62,563 
Energy Conversion Devices, Inc. (NON) (SG) (SB)  3,273  46,313  2,995  42,379  1,614  22,838 
EnerSys (NON)  9,013  163,946  7,445  135,425  4,254  77,380 
F5 Networks, Inc. (NON) (SG) (SB)  48,949  1,693,146  37,480  1,296,433  17,782  615,079 
FEI Co. (NON)  68,000  1,557,200  54,200  1,241,180  32,300  739,670 
Fujitsu, Ltd. (Japan)  154,000  834,442  124,000  671,888  83,000  449,732 
Google, Inc. Class A (NON)  16,932  7,138,362  13,993  5,899,309  6,270  2,643,369 
Greatbatch, Inc. (NON)  6,236  140,996  5,295  119,720  3,026  68,418 
Greatek Electronics, Inc. (Taiwan)  24,000  18,690  --  --  --  -- 
GS Yuasa Corp. (Japan) (SG) (SB) (SC)  29,000  254,611  24,000  210,713  14,000  122,916 
Hewlett-Packard Co.  92,644  3,580,691  76,828  2,969,402  33,631  1,299,838 
Hitachi, Ltd. (Japan)  1,084,000  3,357,223  590,000  1,827,271  205,000  634,899 
Hon Hai Precision Industry Co., Ltd. (Taiwan)  502,950  1,548,551  --  --  --  -- 
HTC Corp. (Taiwan)  36,000  506,334  --  --  --  -- 
Hynix Semiconductor, Inc. (South Korea) (NON)  6,600  70,326  5,320  56,687  3,520  37,507 
i2 Technologies, Inc. (NON) (SG)  24,200  303,710  17,062  214,128  6,500  81,575 
IBM Corp.  70,120  7,321,930  58,015  6,057,926  25,195  2,630,862 
Intel Corp.  441,853  7,312,667  369,541  6,115,904  159,139  2,633,750 
IXYS Corp.  38,372  388,325  27,417  277,460  10,203  103,254 
Ju Teng International Holdings, Ltd. (Hong Kong)  778,000  418,782  624,000  335,887  412,000  221,771 
Juniper Networks, Inc. (NON)  26,790  632,244  22,442  529,631  12,823  302,623 
Lexmark International, Inc. Class A (NON)  42,400  672,040  34,800  551,580  15,600  247,260 
LG Display Co., Ltd. (South Korea)  11,160  278,455  8,750  218,322  5,930  147,960 
LG Electronics, Inc. (South Korea)  4,478  409,161  3,601  329,028  2,422  221,302 
Logitech International SA (Switzerland) (NON)  20,242  282,230  16,268  226,822  10,694  149,104 
Longtop Financial Technologies Ltd. ADR (China) (NON)  12,626  310,095  10,054  246,926  6,732  165,338 
MedAssets, Inc. (NON)  11,687  227,312  9,928  193,100  5,957  115,864 
MEMC Electronic Materials, Inc. (NON)  6,402  114,020  5,305  94,482  3,031  53,982 
Micron Technology, Inc. (NON)  73,016  369,461  58,141  294,193  38,724  195,943 
Microsoft Corp.  410,529  9,758,274  338,429  8,044,457  149,546  3,554,708 
Multi-Fineline Electronix, Inc. (NON)  10,862  232,447  7,807  167,070  3,031  64,863 
National Semiconductor Corp. (SG) (SB) (SC)  134,329  1,685,829  112,396  1,410,570  48,424  607,721 
NCR Corp. (NON)  38,704  457,868  32,356  382,771  13,948  165,005 
NEC Corp. (Japan) (NON)  792,000  3,091,992  431,000  1,682,637  150,000  585,605 
NetApp, Inc. (NON) (SG) (SC)  29,230  576,416  24,487  482,884  13,991  275,903 
Netezza Corp. (NON)  31,681  263,586  22,763  189,388  8,949  74,456 
NetSuite, Inc. (NON) (SG) (SB) (SC)  15,022  177,410  12,585  148,629  7,190  84,914 
Nippon Electric Glass Co., Ltd. (Japan)  17,000  189,485  13,000  144,900  9,000  100,315 
NTT Data Corp. (Japan)  906  2,921,427  494  1,592,919  177  570,742 
NVIDIA Corp. (NON) (SG) (SB)  39,785  449,173  33,260  375,505  14,326  161,741 
Omnicell, Inc. (NON)  16,458  176,924  13,980  150,285  8,284  89,053 
OpenTV Corp. Class A (NON)  88,553  116,890  63,669  84,043  24,914  32,886 
Oracle Corp.  169,838  3,637,930  139,249  2,982,714  61,886  1,325,598 
OSI Systems, Inc. (NON)  13,451  280,453  9,542  198,951  3,594  74,935 
Parametric Technology Corp. (NON)  16,135  188,618  11,347  132,646  4,570  53,423 
Perfect World Co., Ltd. ADR (China) (NON) (SG)  18,431  527,127  4,100  117,260  2,800  80,080 
Perot Systems Corp. Class A (NON)  13,691  196,192  9,665  138,499  3,836  54,970 
Qualcomm, Inc.  16,394  741,009  13,722  620,234  5,905  266,906 
Quest Software, Inc. (NON)  31,792  443,180  22,569  314,612  8,685  121,069 
Red Hat, Inc. (NON)  39,317  791,451  27,959  562,815  11,142  224,288 
Renesola, Ltd. ADR (China) (NON)  9,000  50,670  7,900  44,477  4,200  23,646 
Rohm Co., Ltd. (Japan)  2,900  210,626  2,300  167,048  1,600  116,207 
Roth & Rau AG (Germany) (NON)  1,770  57,824  1,499  48,971  857  27,997 
Saft Groupe SA (France)  4,408  175,255  3,750  149,094  2,143  85,202 
Salesforce.com, Inc. (NON)  16,190  617,972  13,563  517,700  7,749  295,779 
Samsung Electronics Co., Ltd. (South Korea)  5,729  2,653,544  729  337,656  490  226,957 
Seagate Technology  100,900  1,055,414  82,800  866,088  37,100  388,066 
Silicon Graphics International Corp. (NON)  58,566  265,890  42,191  191,547  16,334  74,156 
Sohu.com, Inc. (China) (NON) (SG) (SB)  39,930  2,508,802  22,245  1,397,653  9,486  596,005 
Solarworld AG (Germany)  3,199  75,606  2,697  63,742  1,541  36,421 
SPSS, Inc. (NON)  10,762  359,128  7,643  255,047  2,751  91,801 
Starent Networks Corp. (NON)  8,320  203,091  5,833  142,384  2,292  55,948 
SXC Health Solutions Corp. (Canada) (NON)  6,357  162,373  5,399  137,903  3,168  80,918 
Symantec Corp. (NON) (SG)  167,105  2,600,154  139,745  2,174,432  60,196  936,650 
Synaptics, Inc. (NON) (SG) (SB) (SC)  7,745  299,344  5,438  210,179  2,146  82,943 
Synopsys, Inc. (NON)  10,388  202,670  7,308  142,579  2,941  57,379 
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)  628,782  1,044,747  --  --  --  -- 
Take-Two Interactive Software, Inc. (NON)  28,831  273,030  20,796  196,938  7,413  70,201 
Tandberg ASA (Norway)  18,000  304,063  14,500  244,940  9,500  160,478 
Tech Data Corp. (NON)  7,456  243,886  5,205  170,256  2,073  67,808 
Texas Instruments, Inc.  100,746  2,145,890  82,873  1,765,195  37,122  790,699 
THQ, Inc. (NON)  40,797  292,107  29,328  209,988  11,441  81,918 
TIBCO Software, Inc. (NON)  66,897  479,651  47,645  341,615  18,154  130,164 
TTM Technologies, Inc. (NON)  56,954  453,354  41,672  331,709  15,413  122,687 
UBISOFT Entertainment (France) (NON)  11,348  277,646  9,127  223,305  6,136  150,126 
Ultralife Batteries, Inc. (NON)  10,671  76,511  9,133  65,484  5,219  37,420 
United Microelectronics Corp. ADR (Taiwan) (SG) (SB)             
(SC)  59,900  158,136  48,300  127,512  32,000  84,480 
United Online, Inc.  34,050  221,666  24,311  158,265  9,295  60,510 
Valence Technology, Inc. (NON) (SG) (SB) (SC)  41,700  74,643  36,400  65,156  20,900  37,411 
Veeco Instruments, Inc. (NON)  75,400  873,886  61,200  709,308  35,900  416,081 
Venture Corp., Ltd. (Singapore)  47,000  225,615  40,000  192,013  26,000  124,808 
VMware, Inc. Class A (NON)  44,037  1,200,889  35,861  977,929  17,646  481,206 
Watts Water Technologies, Inc. Class A  9,039  194,700  7,573  163,122  4,327  93,204 
Western Digital Corp. (NON) (SG) (SB)  66,266  1,756,049  54,664  1,448,596  24,347  645,196 
Wincor Nixdorf AG (Germany)  3,204  179,823  2,585  145,082  1,712  96,085 
Wistron Corp. (Taiwan)  556,000  917,830  --  --  --  -- 
Xilinx, Inc.  24,242  495,991  20,249  414,295  8,718  178,370 
    125,558,756    93,493,575    42,331,158 
 
 
Transportation    1.1%    0.8%    0.6% 
Air Arabia (United Arab Emirates)  3,579,423  915,033  --  --  --  -- 
British Airways PLC (United Kingdom)  820,144  1,689,983  446,603  920,267  156,290  322,050 
Central Japan Railway Co. (Japan)  318  1,953,757  174  1,069,037  62  380,921 
ComfortDelgro Corp., Ltd. (Singapore)  702,000  619,927  473,000  417,700  254,000  224,304 
CSX Corp.  33,998  1,177,351  28,442  984,946  12,408  429,689 
D/S Norden (Denmark)  13,947  480,018  11,184  384,923  7,453  256,512 
D/S Norden 144A (Denmark)  2,356  81,087  1,920  66,081  1,238  42,609 
Deutsche Post AG (Germany)  22,764  297,776  18,315  239,578  12,243  160,150 
DP World, Ltd. (United Arab Emirates)  3,137,847  1,132,763  1,196,472  431,926  785,914  283,715 
easyJet PLC (United Kingdom) (NON)  96,149  428,727  77,040  343,520  50,725  226,182 
FedEx Corp. (SG) (SB)  42,700  2,374,974  35,700  1,985,634  15,500  862,110 
Hawaiian Holdings, Inc. (NON)  29,356  176,723  20,654  124,337  8,334  50,171 
International Shipholding Corp.  8,596  231,748  6,062  163,432  2,410  64,974 
Knightsbridge Tankers, Ltd. (Bermuda)  12,708  173,337  9,067  123,674  3,252  44,357 
Macquarie Infrastructure Group (Australia)  155,575  178,983  126,691  145,753  82,261  94,638 
Norfolk Southern Corp.  37,379  1,408,067  31,265  1,177,753  13,450  506,662 
Qantas Airways, Ltd. (Australia)  99,827  161,317  80,497  130,081  53,283  86,104 
Ryder System, Inc.  39,568  1,104,739  33,078  923,538  14,251  397,888 
SembCorp Marine, Ltd. (Singapore)  625,000  1,151,945  342,000  630,344  117,000  215,644 
Singapore Airlines, Ltd. (Singapore)  65,000  595,626  52,000  476,501  34,000  311,558 

Teekay Tankers, Ltd. Class A (Bahamas)    13,735  127,598  9,642  89,574  3,769  35,014 
Wabtec Corp.    18,992  610,973  13,365  429,952  5,237  168,474 
      17,072,452    11,258,551    5,163,726 
 
 
Utilities and power      2.8%    2.2%    1.5% 
A2A SpA (Italy)    625,317  1,144,578  341,929  625,866  113,008  206,849 
AES Corp. (The) (NON)    126,868  1,472,937  106,108  1,231,914  45,711  530,705 
Alliant Energy Corp.    27,958  730,543  23,575  616,015  10,318  269,609 
American States Water Co.    3,581  124,046  3,000  103,920  1,714  59,373 
Aqua America, Inc.    10,054  179,967  8,422  150,754  4,812  86,135 
Babcock & Brown Wind Partners (Australia)    158,062  146,207  133,729  123,699  76,409  70,678 
BKW FMB Energie AG (Switzerland)    1,877  138,853  1,551  114,737  887  65,617 
California Water Service Group    3,247  119,619  2,720  100,205  1,554  57,249 
Centrica PLC (United Kingdom)    219,309  806,337  175,452  645,087  116,453  428,165 
CEZ AS (Czech Republic)    5,557  250,790  4,466  201,553  2,994  135,121 
Chubu Electric Power, Inc. (Japan)    45,000  1,040,162  24,000  554,753  8,400  194,164 
Cia de Saneamento Basico do Estado de Sao Paulo ADR               
(Brazil)    7,088  212,569  5,938  178,081  3,393  101,756 
CMS Energy Corp. (SG) (SB) (SC)    50,700  612,456  42,400  512,192  18,200  219,856 
Companhia Energetica de Minas Gerais - CEMIG ADR               
(Brazil)    36,252  487,227  --  --  --  -- 
Consolidated Water Co., Inc. (Cayman Islands)    3,671  58,185  3,576  56,680  1,758  27,864 
DPL, Inc. (SG) (SB)    9,934  230,171  7,061  163,603  2,763  64,019 
E.ON AG (Germany)    13,713  487,133  11,026  391,682  7,296  259,179 
EDF Energies Nouvelles SA (France)    4,928  244,990  4,173  207,456  2,385  118,567 
Edison International    81,333  2,558,736  68,232  2,146,579  29,198  918,569 
El Paso Electric Co. (NON)    13,170  183,853  9,675  135,063  3,500  48,860 
Electricite de France (France)    7,601  370,959  6,381  311,418  3,646  177,939 
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA               
Class B (Preference) (Brazil)    43,352  768,641  --  --  --  -- 
Enel SpA (Italy)    168,999  823,982  90,171  439,643  30,542  148,912 
Energen Corp.    17,085  681,692  14,086  562,031  6,267  250,053 
Energias de Portugal (EDP) SA (Portugal)    520,402  2,043,547  283,381  1,112,798  99,239  389,698 
Enersis SA ADR (Chile)    58,717  1,084,503  --  --  --  -- 
Entergy Corp.    3,117  241,630  2,689  208,451  1,548  120,001 
Exelon Corp.    26,637  1,364,081  22,273  1,140,600  10,370  531,048 
Fersa Energias Renovables SA (Spain)    39,050  117,907  32,925  99,413  20,481  61,840 
FirstEnergy Corp.    11,850  459,188  9,607  372,271  4,343  168,291 
FPL Group, Inc. (SG) (SB)    25,078  1,425,935  20,991  1,193,548  10,136  576,333 
Gaz de France SA (France)    12,582  470,420  10,541  394,111  6,023  225,190 
Hera SpA (Italy)    236,073  576,214  189,156  461,697  124,544  303,990 
Hokkaido Electric Power Co., Inc. (Japan)    8,400  157,278  7,300  136,682  4,200  78,639 
Hokuriku Electric Power Co. (Japan)    7,500  171,432  6,500  148,575  3,800  86,859 
Huaneng Power International, Inc. (China)    1,060,000  739,535  58,000  40,465  34,000  23,721 
International Power PLC (United Kingdom)    109,154  428,786  91,442  359,208  52,248  205,244 
Kansai Electric Power, Inc. (Japan)    12,100  267,011  10,500  231,703  6,100  134,609 
Kyushu Electric Power Co., Inc. (Japan)    11,000  236,736  9,600  206,606  5,500  118,368 
Mirant Corp. (NON) (SG) (SB) (SC)    117,008  1,841,706  91,644  1,442,477  40,015  629,836 
National Grid PLC (United Kingdom)    278,181  2,510,304  151,482  1,366,973  52,727  475,808 
NRG Energy, Inc. (NON)    30,400  789,184  25,400  659,384  10,900  282,964 
NV Energy, Inc.    66,200  714,298  55,300  596,687  23,800  256,802 
OGE Energy Corp.    19,831  561,614  16,579  469,517  7,141  202,233 
Ormat Technologies, Inc.    1,893  76,307  1,643  66,229  939  37,851 
PG&E Corp.    36,072  1,386,608  30,512  1,172,881  12,929  496,991 
Pike Electric Corp. (NON)    39,863  480,349  28,387  342,063  11,134  134,165 
PPL Corp.    44,300  1,460,128  36,500  1,203,040  16,200  533,952 
Public Power Corp. SA (Greece)    79,341  1,634,284  46,515  958,126  19,132  394,085 
Public Service Enterprise Group, Inc.    10,077  328,813  8,391  273,798  3,592  117,207 
RWE AG (Germany)    3,414  269,737  2,702  213,483  1,839  145,298 
Sempra Energy    27,751  1,377,282  23,250  1,153,898  10,015  497,044 
Severn Trent PLC (United Kingdom)    11,778  212,556  9,867  178,068  5,638  101,748 
Shikoku Electric Power Co., Inc. (Japan)    7,000  208,959  6,100  182,093  3,500  104,480 
SJW Corp.    4,023  91,322  3,370  76,499  1,926  43,720 
Southwest Water Co.    8,006  44,193  6,707  37,023  3,832  21,153 
Terna SPA (Italy)    402,720  1,344,268  223,431  745,806  76,095  254,003 
Toho Gas Co., Ltd. (Japan)    11,000  44,684  6,000  24,373  2,000  8,124 
Tokyo Electric Power Co. (Japan)    133,800  3,439,018  72,900  1,873,725  25,400  652,848 
Tokyo Gas Co., Ltd. (Japan)    169,000  604,149  135,000  482,604  90,000  321,736 
TransAlta Corp. (Canada)    2,292  44,021  1,919  36,857  1,097  21,069 
Unitil Corp.    9,776  201,581  6,887  142,010  2,752  56,746 
Veolia Environnement (France)    12,132  358,709  10,164  300,521  5,808  171,726 
VeraSun Energy Corp. (NON)    37,394  748  31,589  632  17,019  340 
      43,683,658    29,677,826    13,424,999 
Total common stocks (cost $951,876,789, $674,445,950 and $295,980,802)      $901,921,366    $626,074,174    $280,873,880 
 
 
CORPORATE BONDS AND NOTES(a)    Growth 12.6%   Balanced 14.9%   Conservative 19.4%  
    Principal amount  Value  Principal amount  Value  Principal amount  Value 
 
Basic materials      1.0%    1.1%    1.2% 
Airgas, Inc. 144A company guaranty sr. sub. notes               
7 1/8s, 2018    $270,000  $253,125  $240,000  $225,000  $160,000  $150,000 
AK Steel Corp. company guaranty sr. unsec. notes               
7 3/4s, 2012    160,000  155,200  140,000  135,800  95,000  92,150 
Aleris International, Inc. company guaranty sr. unsec.               
notes 9s, 2014 (In default) (NON)(PIK)    285,000  3,206  295,000  3,319  135,000  1,519 
ArcelorMittal sr. unsec. unsub. 9.85s, 2019               
(Luxembourg)    130,000  139,998  65,000  69,999  --  -- 
ArcelorMittal sr. unsec. unsub. notes 6 1/8s, 2018               
(Luxembourg)    --  --  258,000  225,750  920,000  805,000 
BHP Billiton Finance USA, Ltd. company guaranty sr.               
unsec. unsub. notes 6 1/2s, 2019 (Canada)    210,000  233,210  460,000  510,842  565,000  627,447 
Builders FirstSource, Inc. company guaranty sr. notes               
FRN 5.133s, 2012    265,000  113,950  250,000  107,500  120,000  51,600 
Clondalkin Acquisition BV 144A company guaranty sr.               
notes FRN 2.629s, 2013 (Netherlands)    75,000  51,375  75,000  51,375  75,000  51,375 
Compass Minerals International, Inc. 144A sr. notes               
8s, 2019    165,000  163,556  145,000  143,731  100,000  99,125 
Dow Chemical Co. (The) sr. unsec. notes 7.6s, 2014    233,000  239,990  207,000  213,210  75,000  77,250 
Dow Chemical Co. (The) Pass Through Trust 144A company               
guaranty 4.027s, 2009    --  --  580,000  574,571  1,422,000  1,408,690 
E.I. du Pont de Nemours & Co. sr. unsec. notes 5 7/8s,               
2014    45,000  48,765  120,000  130,041  290,000  314,265 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes               
8 3/8s, 2017    2,034,000  2,049,255  1,332,000  1,341,990  842,000  848,315 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes               
8 1/4s, 2015    13,000  13,065  12,000  12,060  6,000  6,030 
Georgia-Pacific Corp. notes 8 1/8s, 2011    --  --  140,000  140,000  140,000  140,000 
Georgia-Pacific Corp. sr. unsec. unsub. notes 9 1/2s,               
2011    345,000  355,350  335,000  345,050  237,000  244,110 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011               
(Canada)    155,000  157,713  135,000  137,363  95,000  96,663 
Glancore Funding LLC 144A company guaranty sr. unsec.               
unsub. notes 6s, 2014    --  --  3,150,000  2,601,617  2,860,000  2,362,103 
Graphic Packaging International, Inc. 144A company               
guaranty sr. unsec. notes 9 1/2s, 2017    60,000  59,100  55,000  54,175  40,000  39,400 
Hanson PLC company guaranty 6 1/8s, 2016 (United               
Kingdom)    2,405,000  1,797,738  --  --  --  -- 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,               
ULC company guaranty 9 3/4s, 2014    218,000  98,100  185,000  83,250  93,000  41,850 
Huntsman International, LLC company guaranty Ser.               
REGS, 6 7/8s, 2013  EUR  80,000  80,590  70,000  70,516  50,000  50,369 
Huntsman International, LLC company guaranty sr.               
unsec. sub. notes 7 7/8s, 2014    $262,000  207,635  $--  --  $160,000  126,800 
International Paper Co. bonds 7.95s, 2018    690,000  665,671  925,000  892,385  --  -- 
International Paper Co. sr. unsec. notes 9 3/8s, 2019    300,000  305,250  265,000  269,638  331,000  336,793 
International Paper Co. sr. unsec. notes 7.4s, 2014    860,000  855,315  1,133,000  1,126,828  319,000  317,262 
Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012    55,000  20,625  25,000  9,375  30,000  11,250 
Lubrizol Corp. (The) sr. unsec. notes 8 7/8s, 2019    135,000  156,837  310,000  360,143  370,000  429,849 
Metals USA, Inc. sec. notes 11 1/8s, 2015    210,000  172,463  190,000  156,038  125,000  102,656 
Momentive Performance Materials, Inc. company guaranty               
sr. unsec. notes 9 3/4s, 2014    250,000  111,250  215,000  95,675  150,000  66,750 
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s,               
2016    415,000  420,706  370,000  375,088  230,000  233,163 
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 3/8s,               
2014    190,000  195,700  185,000  190,550  100,000  103,000 
Nalco Co. 144A sr. notes 8 1/4s, 2017    85,000  85,425  75,000  75,375  50,000  50,250 
NewPage Holding Corp. sr. unsec. unsub. notes FRN               
8.579s, 2013 (PIK)    100,379  14,555  94,538  13,708  47,075  6,826 
Norske Skog Canada, Ltd. company guaranty Ser. D,               
8 5/8s, 2011 (Canada)    320,000  192,000  272,000  163,200  140,000  84,000 
Novelis, Inc. company guaranty 7 1/4s, 2015    390,000  296,400  353,000  268,280  165,000  125,400 
Packaging Corp. of America unsec. unsub. notes 5 3/4s,               
2013    1,730,000  1,662,706  --  --  --  -- 
PPG Industries, Inc. sr. unsec. unsub. notes 6.65s,               
2018    915,000  972,774  --  --  --  -- 
Rio Tinto Finance USA LTD company guaranty sr. unsec.               
notes 8.95s, 2014 (Australia)    63,000  70,009  145,000  161,131  182,000  202,247 
Rio Tinto Finance USA LTD sr. unsec. notes 5 7/8s,               
2013 (Australia)    270,000  274,379  416,000  422,748  100,000  101,622 
Rockwood Specialties Group, Inc. company guaranty               
7 5/8s, 2014  EUR  60,000  79,186  --  --  --  -- 
Sealed Air Corp. 144A notes 5 5/8s, 2013    $1,040,000  940,479  $--  --  $--  -- 
Sealed Air Corp. 144A sr. notes 7 7/8s, 2017    40,000  39,643  35,000  34,688  25,000  24,777 
Smurfit Kappa Funding PLC sr. unsec. sub. notes               
7 3/4s, 2015 (Ireland)    280,000  216,300  245,000  189,263  170,000  131,325 
Steel Dynamics, Inc. company guaranty sr. unsec.               
unsub. notes 7 3/8s, 2012    --  --  260,000  246,350  225,000  213,188 
Steel Dynamics, Inc. company guaranty sr. unsec.               
unsub. notes 6 3/4s, 2015    161,000  141,680  864,000  760,320  --  -- 
Steel Dynamics, Inc. 144A sr. notes 7 3/4s, 2016    216,000  203,580  286,000  269,555  35,000  32,988 
Stone Container Corp. sr. notes 8 3/8s, 2012    35,000  13,388  50,000  19,125  --  -- 
Teck Resources, Ltd. sr. unsec. notes 6 1/8s, 2035               
(Canada)    95,000  69,702  90,000  66,034  60,000  44,022 
Teck Resources, Ltd. 144A sr. sec. notes 10 3/4s, 2019               
(Canada)    155,000  166,625  135,000  145,125  95,000  102,125 
Teck Resources, Ltd. 144A sr. sec. notes 10 1/4s, 2016               
(Canada)    250,000  261,875  220,000  230,450  150,000  157,125 
Teck Resources, Ltd. 144A sr. sec. notes 9 3/4s, 2014               
(Canada)    245,000  253,575  220,000  227,700  150,000  155,250 
Tube City IMS Corp. company guaranty sr. unsec. sub.               
notes 9 3/4s, 2015    190,000  116,375  190,000  116,375  90,000  55,125 
Verso Paper Holdings, LLC/Verso Paper, Inc. company               
guaranty sr. sec. notes FRN Ser. B, 4.778s, 2014    105,000  49,350  95,000  44,650  65,000  30,550 
Verso Paper Holdings, LLC/Verso Paper, Inc. company               
guaranty sr. sub. notes Ser. B, 9 1/8s, 2014    100,000  46,500  83,000  38,595  45,000  20,925 
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sr.               
sec. notes 11 1/2s, 2014    185,000  169,275  165,000  150,975  115,000  105,225 
Xstrata Finance Canada, Ltd. 144A company guaranty               
5.8s, 2016 (Canada)    --  --  180,000  161,308  195,000  174,751 
      15,460,519    14,457,834    11,052,505 

Capital goods      0.3%    0.6%    0.6% 
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016    375,000  344,063  330,000  302,775  220,000  201,850 
Allied Waste North America, Inc. sec. notes Ser. B,               
5 3/4s, 2011    10,000  10,075  120,000  120,900  55,000  55,413 
Baldor Electric Co. company guaranty 8 5/8s, 2017    95,000  87,400  95,000  87,400  40,000  36,800 
BE Aerospace, Inc. sr. unsec. unsub. notes 8 1/2s, 2018    365,000  344,013  325,000  306,313  220,000  207,350 
Belden CDT, Inc. 144A company guaranty sr. sub. notes               
9 1/4s, 2019    50,000  48,750  45,000  43,875  30,000  29,250 
Berry Plastics Corp. company guaranty sr. notes FRN               
5.881s, 2015    385,000  339,763  510,000  450,075  --  -- 
Berry Plastics Holding Corp. sec. notes FRN 4.504s,               
2014    25,000  16,250  25,000  16,250  15,000  9,750 
Bombardier, Inc. 144A sr. unsec. notes FRN 4.406s,               
2013 (Canada)  EUR  397,000  447,304  342,000  385,335  180,000  202,808 
Caterpillar Financial Services Corp. sr. unsec. notes               
Ser. MTN, 4.85s, 2012    $--  --  $525,000  548,519  $375,000  391,800 
Crown Americas, LLC/Crown Americas Capital Corp. sr.               
notes 7 5/8s, 2013    71,000  69,225  119,000  116,025  59,000  57,525 
Eaton Corp. notes 5.6s, 2018    100,000  97,120  451,000  438,013  774,000  751,712 
General Cable Corp. company guaranty sr. unsec. notes               
FRN 3.583s, 2015    265,000  214,650  250,000  202,500  110,000  89,100 
General Dynamics Corp. company guaranty sr. unsec.               
unsub. notes 5 1/4s, 2014    110,000  117,856  245,000  262,497  280,000  299,997 
Hawker Beechcraft Acquisition Co., LLC sr. unsec.               
notes 8 1/2s, 2015    18,000  9,270  16,000  8,240  7,000  3,605 
Hexcel Corp. sr. sub. notes 6 3/4s, 2015    190,000  176,225  170,000  157,675  115,000  106,663 
John Deere Capital Corp. notes Ser. MTN, 5 1/4s, 2012    115,000  121,480  390,000  411,975  545,000  575,708 
L-3 Communications Corp. company guaranty 7 5/8s, 2012    290,000  290,725  388,000  388,970  181,000  181,453 
L-3 Communications Corp. company guaranty Ser. B,               
6 3/8s, 2015    170,000  154,275  355,000  322,163  230,000  208,725 
L-3 Communications Corp. company guaranty sr. unsec.               
sub. notes 6 1/8s, 2014    211,000  196,230  137,000  127,410  73,000  67,890 
L-3 Communications Corp. company guaranty sr. unsec.               
sub. notes 5 7/8s, 2015    --  --  95,000  84,313  110,000  97,625 
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)    295,000  254,083  396,000  341,074  246,000  211,879 
Owens-Brockway Glass Container, Inc. company guaranty               
6 3/4s, 2014  EUR  95,000  120,042  50,000  63,180  50,000  63,180 
Pitney Bowes, Inc. sr. unsec. notes 5.6s, 2018    $615,000  618,305  $--  --  $--  -- 
Pitney Bowes, Inc. sr. unsec. unsub. notes Ser. MTN,               
5 1/4s, 2037    155,000  154,978  340,000  339,951  420,000  419,940 
Ryerson Tull, Inc. company guaranty sr. sec. notes               
12 1/4s, 2015    596,000  485,740  765,000  623,475  120,000  97,800 
Solo Cup Co. 144A sr. sec. notes 10 1/2s, 2013    25,000  25,063  25,000  25,063  20,000  20,050 
TD Funding Corp. company guaranty 7 3/4s, 2014    235,000  223,250  205,000  194,750  140,000  133,000 
Titan International, Inc. company guaranty 8s, 2012    282,000  255,210  251,000  227,155  165,000  149,325 
United Technologies Corp. sr. unsec. notes 5 3/8s, 2017    --  --  736,000  792,955  1,082,000  1,165,731 
      5,221,345    7,388,826    5,835,929 
 
 
Communication services      2.5%    2.1%    2.9% 
Adelphia Communications Corp. escrow bonds zero %,               
2010    200,000  3,750  270,000  5,063  125,000  2,344 
ALLTEL Corp. sr. notes 7s, 2012    6,660,000  7,193,326  --  --  --  -- 
American Tower Corp. sr. unsec. notes 7s, 2017    175,000  169,313  846,000  818,505  1,267,000  1,225,823 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031    --  --  461,000  561,871  990,000  1,206,622 
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011    809,000  872,478  1,262,000  1,361,023  297,000  320,304 
AT&T, Inc. sr. unsec. bond 6.55s, 2039    115,000  114,796  --  --  --  -- 
AT&T, Inc. sr. unsec. unsub. bonds 5 1/2s, 2018    --  --  260,000  259,620  370,000  369,459 
AT&T, Inc. sr. unsec. unsub. notes 6.3s, 2038    --  --  1,598,000  1,543,831  1,768,000  1,708,068 
AT&T, Inc. sr. unsec. unsub. notes 4.95s, 2013    --  --  644,000  670,696  1,098,000  1,143,515 
BCM Ireland Finance Ltd. 144A FRN 6.281s, 2016 (Cayman               
Islands)  EUR  90,000  71,814  105,000  83,783  50,000  39,897 
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030    $--  --  $995,000  1,099,224  $1,640,000  1,811,787 
British Telecommunications PLC notes 8 3/8s, 2010               
(United Kingdom)    319,000  338,801  497,000  527,850  117,000  124,262 
Cablevision Systems Corp. sr. unsec. notes Ser. B, 8s,               
2012    --  --  100,000  99,000  90,000  89,100 
CCH I Holdings, LLC company guaranty sr. unsec. unsub.               
notes 12 1/8s, 2015 (In default) (NON)    25,000  156  15,000  94  5,000  31 
CCH II, LLC sr. unsec. notes 10 1/4s, 2010               
(In default) (NON)    102,000  107,610  96,000  101,280  138,000  145,590 
CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010               
(In default) (NON)    485,000  509,250  435,000  456,750  240,000  252,000 
CCO Holdings LLC/CCO Holdings Capital Corp. sr. unsec.               
notes 8 3/4s, 2013 (In default) (NON)    250,000  237,500  304,000  288,800  253,000  240,350 
Centennial Cellular Operating Co., LLC company               
guaranty 10 1/8s, 2013    100,000  103,125  155,000  159,844  --  -- 
CenturyTel, Inc. sr. unsec. notes 5 1/2s, 2013    2,075,000  2,012,750  --  --  --  -- 
Cincinnati Bell, Inc. company guaranty 7 1/4s, 2013    300,000  274,500  425,000  388,875  180,000  164,700 
Citizens Communications Co. notes 9 1/4s, 2011    340,000  354,450  480,000  500,400  225,000  234,563 
Comcast Corp. company guaranty sr. unsec. unsub. notes               
6.95s, 2037    588,000  613,095  920,000  959,265  216,000  225,219 
Cox Communications, Inc. notes 7 1/8s, 2012    --  --  145,000  155,869  360,000  386,984 
Cox Communications, Inc. unsec. sr. notes 4 5/8s, 2010    2,360,000  2,371,186  --  --  --  -- 
Cox Communications, Inc. 144A bonds 8 3/8s, 2039    --  --  315,000  349,001  --  -- 
Cox Communications, Inc. 144A notes 5 7/8s, 2016    --  --  561,000  547,899  1,069,000  1,044,036 
Cricket Communications, Inc. company guaranty 9 3/8s,               
2014    315,000  310,275  280,000  275,800  130,000  128,050 
Cricket Communications, Inc. company guaranty sr.               
unsec. unsub. notes 10s, 2015    535,000  530,988  716,000  710,630  --  -- 
CSC Holdings, Inc. sr. notes 6 3/4s, 2012    130,000  125,450  50,000  48,250  20,000  19,300 
CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011    125,000  123,750  50,000  49,500  20,000  19,800 
Deutsche Telekom International Finance BV company               
guaranty 8 3/4s, 2030 (Germany)    540,000  632,194  841,000  984,583  198,000  231,804 
Deutsche Telekom International Finance BV company               
guaranty sr. unsec. unsub. notes 6s, 2019 (Germany)    --  --  --  --  1,000,000  1,008,900 
Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015               
(Jamaica)    205,000  170,150  205,000  170,150  100,000  83,000 
Digicel, Ltd. 144A sr. unsec. unsub. notes 9 1/4s,               
2012 (Jamaica)    220,000  213,400  180,000  174,600  100,000  97,000 
Embarq Corp. notes 7.082s, 2016    950,000  927,762  --  --  --  -- 
Embarq Corp. sr. unsec. unsub. notes 6.738s, 2013    3,405,000  3,437,147  --  --  --  -- 
France Telecom notes 8 1/2s, 2031 (France)    --  --  20,000  25,687  --  -- 
France Telecom notes 7 3/4s, 2011 (France)    319,000  345,009  497,000  537,521  117,000  126,539 
Inmarsat Finance PLC company guaranty 10 3/8s, 2012               
(United Kingdom)    299,000  309,465  241,000  249,435  111,000  114,885 
Intelsat Bermuda, Ltd. company guaranty sr. unsec.               
notes 11 1/4s, 2016 (Bermuda)    510,000  520,200  530,000  540,600  250,000  255,000 
Intelsat Intermediate Holding Co., Ltd. company               
guaranty sr. unsec. notes stepped-coupon zero %               
(9 1/4s, 2/1/10), 2015 (Bermuda) (STP)    95,000  85,025  75,000  67,125  30,000  26,850 
iPCS, Inc. company guaranty sr. sec. notes FRN 3.153s,               
2013    105,000  82,950  100,000  79,000  45,000  35,550 
Level 3 Financing, Inc. company guaranty 9 1/4s, 2014    305,000  250,100  295,000  241,900  140,000  114,800 
Level 3 Financing, Inc. company guaranty 8 3/4s, 2017    150,000  114,000  150,000  114,000  70,000  53,200 
MetroPCS Wireless, Inc. company guaranty sr. unsec.               
notes 9 1/4s, 2014    455,000  452,156  400,000  397,500  270,000  268,313 
Motorola, Inc. sr. notes 8s, 2011    1,790,000  1,801,989  --  --  --  -- 
Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s,               
2013    1,685,000  1,390,125  --  --  --  -- 
Nordic Telephone Co. Holdings ApS 144A sr. sec. bond               
8 7/8s, 2016 (Denmark)    210,000  202,650  205,000  197,825  75,000  72,375 
Nordic Telephone Co. Holdings ApS 144A sr. sec. notes               
FRN 6.884s, 2016 (Denmark)  EUR  655,000  855,247  870,000  1,135,976  --  -- 
PAETEC Holding Corp. company guaranty sr. unsec.               
unsub. notes 9 1/2s, 2015    $115,000  99,763  $105,000  91,088  $50,000  43,375 
Qwest Communications International, Inc. company               
guaranty 7 1/2s, 2014    355,000  323,938  225,000  205,313  105,000  95,813 
Qwest Corp. sr. notes FRN 3.879s, 2013    1,475,000  1,318,281  --  --  --  -- 
Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012    1,060,000  1,067,950  1,120,000  1,128,400  640,000  644,800 
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025    85,000  65,025  115,000  87,975  55,000  42,075 
Rainbow National Services, LLC 144A sr. notes 8 3/4s,               
2012    280,000  282,100  270,000  272,025  130,000  130,975 
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada)    --  --  631,000  676,351  1,195,000  1,280,886 
Southwestern Bell Telephone debs. 7s, 2027    --  --  201,000  196,705  814,000  796,605 
TCI Communications, Inc. company guaranty 7 7/8s, 2026    --  --  1,410,000  1,482,951  1,429,000  1,502,934 
TCI Communications, Inc. debs. 9.8s, 2012    --  --  380,000  427,768  1,151,000  1,295,686 
TCI Communications, Inc. debs. 7 7/8s, 2013    --  --  200,000  227,553  435,000  494,929 
Telecom Italia Capital SA company guaranty 5 1/4s,               
2015 (Italy)    266,000  256,780  824,000  795,438  240,000  231,681 
Telecom Italia Capital SA company guaranty 5 1/4s,               
2013 (Italy)    --  --  140,000  137,282  110,000  107,865 
Telecom Italia Capital SA company guaranty 4s, 2010               
(Italy)    --  --  5,000  5,011  50,000  50,114 
Telecom Italia Capital SA company guaranty sr. unsec.               
notes FRN 1.717s, 2011 (Italy)    5,090,000  4,864,421  --  --  --  -- 
Telefonica Emisones SAU company guaranty 6.221s, 2017               
(Spain)    --  --  310,000  327,969  180,000  190,434 
Telefonica Emisones SAU company guaranty sr. unsec.               
notes 4.949s, 2015 (Spain)    --  --  140,000  142,988  710,000  725,154 
Telefonica Europe BV company guaranty 8 1/4s, 2030               
(Spain)    --  --  125,000  154,757  120,000  148,567 
Telefonica Europe BV company guaranty 7 3/4s, 2010               
(Spain)    319,000  336,505  497,000  524,273  117,000  123,420 
Time Warner Cable, Inc. company guaranty sr. unsec.               
notes 7 1/2s, 2014    --  --  --  --  90,000  99,205 
Time Warner Cable, Inc. company guaranty sr. unsec.               
unsub. notes 8 1/4s, 2014    340,000  380,598  770,000  861,943  880,000  985,078 
Time Warner Cable, Inc. company guaranty sr. unsec.               
unsub. notes 6 3/4s, 2039    105,000  102,196  200,000  194,658  230,000  223,857 
Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014    160,000  158,800  175,000  173,688  85,000  84,363 
Valor Telecommunications Enterprises LLC/Finance Corp.               
company guaranty sr. unsec. unsub. notes 7 3/4s, 2015    20,000  19,600  20,000  19,600  10,000  9,800 
Verizon Communications, Inc. sr. unsec. notes 7.35s,               
2039    --  --  18,000  19,614  492,000  536,109 
Verizon Communications, Inc. sr. unsec. unsub. notes               
8 3/4s, 2018    614,000  729,583  961,000  1,141,904  419,000  497,875 
Verizon Global Funding Corp. notes 7 3/4s, 2030    5,000  5,584  210,000  234,524  65,000  72,591 
Verizon New England, Inc. sr. notes 6 1/2s, 2011    --  --  489,000  520,501  1,220,000  1,298,591 
Verizon New Jersey, Inc. debs. 8s, 2022    --  --  160,000  167,698  165,000  172,939 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030    --  --  240,000  261,219  505,000  549,649 
Verizon Virginia, Inc. debs. Ser. A, 4 5/8s, 2013    --  --  --  --  95,000  95,314 
Vodafone Group PLC sr. unsec. notes 7 3/4s, 2010               
(United Kingdom)    319,000  329,785  497,000  513,804  117,000  120,956 
West Corp. company guaranty 9 1/2s, 2014    145,000  126,875  140,000  122,500  65,000  56,875 
Windstream Corp. company guaranty 8 5/8s, 2016    460,000  440,450  395,000  378,213  185,000  177,138 
Windstream Corp. company guaranty 8 1/8s, 2013    160,000  154,800  160,000  154,800  80,000  77,400 
      39,290,966    28,587,138    26,353,073 

Conglomerates      --%    --%    --% 
Siemens Financieringsmaatschappij 144A notes 5 3/4s,               
2016 (Netherlands)    --  --  155,000  160,850  160,000  166,038 
Tyco International Finance SA company guaranty sr.               
unsec. unsub. notes 8 1/2s, 2019    50,000  55,432  110,000  121,949  130,000  144,122 
      55,432    282,799    310,160 
 
Consumer cyclicals      2.4%    1.9%    1.8% 
Affinion Group, Inc. company guaranty 11 1/2s, 2015    175,000  149,625  175,000  149,625  100,000  85,500 
Affinion Group, Inc. company guaranty 10 1/8s, 2013    315,000  291,375  300,000  277,500  135,000  124,875 
Affinity Group, Inc. sr. sub. notes 9s, 2012    155,000  105,400  220,000  149,600  100,000  68,000 
AMC Entertainment, Inc. company guaranty 11s, 2016    230,000  222,525  275,000  266,063  149,000  144,158 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014    115,000  98,038  115,000  98,038  54,000  46,035 
American Media Operations, Inc. 144A sr. sub. notes               
14s, 2013 (PIK)    117,180  45,993  146,166  57,370  76,197  29,907 
American Media Operations, Inc. 144A sr. unsec. notes               
9s, 2013 (PIK)    9,818  4,835  12,313  6,064  6,455  3,179 
Aramark Corp. company guaranty 8 1/2s, 2015    305,000  295,850  270,000  261,900  185,000  179,450 
Associated Materials, Inc. company guaranty 9 3/4s,               
2012    340,000  297,500  300,000  262,500  190,000  166,250 
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,               
2014    225,000  97,875  240,000  104,400  120,000  52,200 
Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016    95,000  70,419  115,000  85,244  65,000  48,181 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)               
(In default) (NON)    391,391  115,460  384,071  113,301  139,145  41,048 
Cenveo Corp. 144A company guaranty sr. unsec. notes               
10 1/2s, 2016    470,000  352,500  630,000  472,500  --  -- 
Cinemark, Inc. sr. unsec. disc. notes 9 3/4s, 2014    23,000  24,035  --  --  --  -- 
Clear Channel Communications, Inc. sr. unsec. notes               
7.65s, 2010    235,000  138,650  315,000  185,850  --  -- 
Clear Channel Communications, Inc. sr. unsec. notes               
5 1/2s, 2014    55,000  12,100  50,000  11,000  25,000  5,500 
D.R. Horton, Inc. sr. notes 7 7/8s, 2011    --  --  --  --  15,000  15,075 
DaimlerChrysler NA Holding Corp. company guaranty               
6 1/2s, 2013 (Germany)    --  --  35,000  35,579  50,000  50,827 
DaimlerChrysler NA Holding Corp. company guaranty sr.               
unsec. unsub. notes 5 7/8s, 2011 (Germany)    223,000  226,707  290,000  294,821  --  -- 
DaimlerChrysler NA Holding Corp. company guaranty               
unsec. notes 7.2s, 2009 (Germany)    --  --  --  --  5,000  5,022 
DaimlerChrysler NA Holding Corp. company guaranty               
unsec. unsub. notes Ser. MTN, 5 3/4s, 2011 (Germany)    142,000  144,896  500,000  510,197  956,000  975,497 
Dana Corp. escrow sr. notes 5.85s, 2015               
(In default) (NON)    225,000  23  245,000  25  120,000  12 
DIRECTV Holdings, LLC company guaranty sr. unsec.               
notes 7 5/8s, 2016    120,000  116,700  157,000  152,683  --  -- 
DIRECTV Holdings, LLC company guaranty sr. unsec.               
notes 6 3/8s, 2015    924,000  854,700  1,194,000  1,104,450  235,000  217,375 
Echostar DBS Corp. company guaranty 6 5/8s, 2014    55,000  50,738  10,000  9,225  --  -- 
Echostar DBS Corp. sr. notes 6 3/8s, 2011    650,000  630,500  655,000  635,350  295,000  286,150 
Expedia, Inc. company guaranty sr. unsec. notes               
7.456s, 2018    1,100,000  1,042,250  --  --  --  -- 
FelCor Lodging LP company guaranty 9s, 2011 (R)    1,590,000  1,399,200  --  --  --  -- 
Ford Motor Credit Co., LLC notes 7 7/8s, 2010    535,000  508,178  550,000  522,426  215,000  204,221 
Ford Motor Credit Co., LLC notes 7.8s, 2012    110,000  94,646  --  --  100,000  86,042 
Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011    1,330,000  1,236,900  1,090,000  1,013,700  495,000  460,350 
Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s,               
2010    145,000  139,200  179,000  171,840  --  -- 
Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009    85,000  84,271  105,000  104,100  50,000  49,571 
Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011    --  --  4,000  3,900  --  -- 
Goodyear Tire & Rubber Co. (The) sr. notes 9s, 2015    313,000  309,870  276,000  273,240  135,000  133,650 
Goodyear Tire & Rubber Co. (The) sr. unsec. notes               
10 1/2s, 2016    250,000  252,500  220,000  222,200  150,000  151,500 
Hanesbrands, Inc. company guaranty sr. unsec. notes               
FRN Ser. B, 4.593s, 2014    340,000  273,700  305,000  245,525  205,000  165,025 
Hertz Corp. company guaranty 8 7/8s, 2014    335,000  308,200  360,000  331,200  180,000  165,600 
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.4s,               
2016    416,000  415,260  652,000  650,840  154,000  153,726 
Host Marriott LP company guaranty Ser. Q, 6 3/4s, 2016               
(R)    110,000  95,425  --  --  --  -- 
Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)    320,000  308,800  450,000  434,250  210,000  202,650 
Isle of Capri Casinos, Inc. company guaranty 7s, 2014    78,000  62,790  70,000  56,350  34,000  27,370 
Jostens IH Corp. company guaranty 7 5/8s, 2012    160,000  159,600  220,000  219,450  105,000  104,738 
KB Home company guaranty 6 3/8s, 2011    --  --  1,520,000  1,466,800  1,380,000  1,331,700 
Lamar Media Corp. company guaranty 7 1/4s, 2013    185,000  175,981  260,000  247,325  120,000  114,150 
Lender Processing Services, Inc. company guaranty sr.               
unsec. unsub. notes 8 1/8s, 2016    787,000  771,260  1,053,000  1,031,940  --  -- 
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016    115,000  111,263  145,000  140,288  75,000  72,563 
Levi Strauss & Co. sr. unsec. unsub. notes 9 3/4s, 2015    290,000  284,925  275,000  270,188  125,000  122,813 
Liberty Media Corp. debs. 8 1/4s, 2030    195,000  134,306  245,000  168,744  120,000  82,650 
Liberty Media, LLC sr. unsec. notes 7 7/8s, 2009    1,490,000  1,480,688  --  --  --  -- 
Limited Brands, Inc. sr. unsec. notes 6 1/8s, 2012    3,130,000  3,004,800  --  --  --  -- 
Limited Brands, Inc. 144A sr. notes 8 1/2s, 2019    80,000  76,647  70,000  67,066  50,000  47,904 
Macy's Retail Holdings, Inc. company guaranty sr.               
unsec. notes 6 5/8s, 2011    --  --  4,375,000  4,229,343  3,965,000  3,832,993 
Marriott International, Inc. sr. unsec. unsub. notes               
4 5/8s, 2012    1,625,000  1,617,673  --  --  --  -- 
Masco Corp. sr. unsec. notes 5.85s, 2017    2,370,000  1,893,161  --  --  --  -- 
Masco Corp. sr. unsec. unsub. notes 6 1/8s, 2016    240,000  201,503  210,000  176,315  140,000  117,543 
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,               
2015    355,000  177,500  315,000  157,500  150,000  75,000 
Mattel, Inc. sr. unsec. notes 5 5/8s, 2013    1,645,000  1,666,632  --  --  --  -- 
Meritage Homes Corp. company guaranty 6 1/4s, 2015    237,000  182,490  246,000  189,420  112,000  86,240 
Meritage Homes Corp. sr. notes 7s, 2014    30,000  24,600  15,000  12,300  5,000  4,100 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010    1,318,000  1,196,085  45,000  40,838  23,000  20,873 
MGM Mirage, Inc. sr. notes 6 3/4s, 2012    315,000  223,650  436,000  309,560  216,000  153,360 
MGM Mirage, Inc. 144A sr. sec. notes 10 3/8s, 2014    30,000  31,125  30,000  31,125  20,000  20,750 
Michaels Stores, Inc. company guaranty 11 3/8s, 2016    180,000  117,900  180,000  117,900  80,000  52,400 
Michaels Stores, Inc. company guaranty 10s, 2014    30,000  25,200  5,000  4,200  5,000  4,200 
Mohegan Tribal Gaming Authority sr. sub. notes 6 3/8s,               
2009    90,000  87,750  130,000  126,750  59,000  57,525 
Neiman-Marcus Group, Inc. company guaranty sr. unsec.               
notes 9s, 2015 (PIK)    476,334  281,037  517,309  305,212  256,093  151,095 
News America Holdings, Inc. company guaranty 7 3/4s,               
2024    --  --  350,000  336,846  300,000  288,725 
News America Holdings, Inc. debs. 7 3/4s, 2045    210,000  191,301  690,000  628,561  819,000  746,075 
Nielsen Finance LLC/Nielsen Finance Co. company               
guaranty 10s, 2014    195,000  184,519  190,000  179,788  90,000  85,163 
Nielsen Finance LLC/Nielsen Finance Co. company               
guaranty sr. unsec. sub. disc. notes stepped-coupon               
zero % (12 1/2s, 8/1/11), 2016 (STP)    275,000  176,688  220,000  141,350  105,000  67,463 
NTL Cable PLC sr. notes 9 1/8s, 2016 (United Kingdom)    --  --  100,000  96,250  --  -- 
Omnicom Group, Inc. sr. notes 5.9s, 2016    --  --  140,000  140,234  150,000  150,251 
Owens Corning, Inc. company guaranty unsec. unsub.               
notes 9s, 2019    335,000  324,950  300,000  291,000  205,000  198,850 
Pearson Dollar Finance Two PLC 144A company guaranty               
sr. notes 6 1/4s, 2018 (United Kingdom)    2,470,000  2,330,113  --  --  --  -- 
Pinnacle Entertainment, Inc. company guaranty sr.               
unsec. sub. notes 7 1/2s, 2015    240,000  205,200  225,000  192,375  105,000  89,775 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,               
2012    250,000  248,750  240,000  238,800  110,000  109,450 
Quebecor Media, Inc. sr. unsec. notes Ser. *, 7 3/4s,               
2016 (Canada)    65,000  58,906  60,000  54,375  25,000  22,656 
R. R. Donnelley & Sons Co. sr. unsec. notes 5 5/8s,               
2012    1,810,000  1,748,574  --  --  --  -- 
Reader's Digest Association, Inc. (The) company               
guaranty sr. unsec. sub. notes 9s, 2017    205,000  8,713  200,000  8,500  90,000  3,825 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014    50,000  41,125  70,000  57,575  30,000  24,675 
Sealy Mattress Co. 144A sr. sec. notes 10 7/8s, 2016    165,000  172,838  150,000  157,125  105,000  109,988 
Station Casinos, Inc. sr. notes 6s, 2012               
(In default) (NON)    305,000  105,225  405,000  139,725  190,000  65,550 
Target Corp. bonds 6 1/2s, 2037    --  --  675,000  682,800  1,395,000  1,411,119 
Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,               
2013    255,000  241,613  225,000  213,188  158,000  149,705 
Tenneco, Inc. company guaranty sr. unsec. notes               
8 1/8s, 2015    75,000  59,250  65,000  51,350  45,000  35,550 
Texas Industries, Inc. sr. unsec. notes 7 1/4s, 2013    275,000  246,813  255,000  228,863  120,000  107,700 
Texas Industries, Inc. 144A company guaranty sr.               
unsec. notes 7 1/4s, 2013    491,000  444,355  --  --  --  -- 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sec.               
notes 10s, 2013    173,000  138,833  228,000  182,970  70,000  56,175 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.               
notes 8 1/2s, 2014    525,000  149,625  435,000  123,975  190,000  54,150 
Time Warner Entertainment Co., LP debs. Ser. *,               
8 3/8s, 2023    --  --  --  --  25,000  27,566 
Time Warner, Inc. company guaranty sr. unsec. notes               
FRN 1.15s, 2009    160,000  159,618  --  --  --  -- 
Time Warner, Inc. debs. 9.15s, 2023    --  --  25,000  27,107  105,000  113,848 
Time Warner, Inc. debs. 9 1/8s, 2013    95,000  104,595  743,000  818,044  1,040,000  1,145,042 
Toyota Motor Credit Corp. sr. unsec. FRN Ser. MTN,               
0.639s, 2010    1,200,000  1,159,453  --  --  --  -- 
Travelport LLC company guaranty 9 7/8s, 2014    330,000  219,450  295,000  196,175  140,000  93,100 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,               
2015 (In default) (NON)    382,000  47,273  421,000  52,099  195,000  24,131 
TRW Automotive, Inc. company guaranty sr. unsec.               
unsub. notes Ser. REGS, 6 3/8s, 2014  EUR  90,000  75,816  80,000  67,392  55,000  46,332 
TRW Automotive, Inc. 144A company guaranty sr. notes               
7 1/4s, 2017    $210,000  144,900  $200,000  138,000  $105,000  72,450 
TRW Automotive, Inc. 144A company guaranty sr. unsec.               
unsub. notes 7s, 2014    120,000  86,400  100,000  72,000  100,000  72,000 
United Auto Group, Inc. company guaranty 7 3/4s, 2016    195,000  157,463  200,000  161,500  100,000  80,750 
Univision Communications, Inc. 144A company guaranty               
unsec. notes zero %, 2015 (PIK)    165,000  96,113  150,000  87,375  75,000  43,688 
Vertis, Inc. company guaranty sr. notes zero %, 2014               
(PIK)    184,341  922  186,767  934  87,460  437 
Viacom, Inc. company guaranty 5 5/8s, 2012    1,465,000  1,444,449  --  --  --  -- 
Viacom, Inc. company guaranty sr. unsec. notes 6 5/8s,               
2011    1,705,000  1,725,931  --  --  --  -- 
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6 1/2s,               
2037    540,000  603,407  844,000  943,103  198,000  221,249 
Yankee Acquisition Corp. company guaranty Ser. B,               
8 1/2s, 2015    185,000  155,863  170,000  143,225  80,000  67,400 
Young Broadcasting, Inc. company guaranty sr. unsec.               
sub. notes 10s, 2011 (In default) (NON)    180,000  450  170,000  425  79,000  198 
      38,062,904    25,438,149    16,581,579 
 
 
Consumer staples      1.4%    1.0%    1.3% 
Altria Group, Inc. company guaranty sr. unsec. notes               
9 1/4s, 2019    --  --  40,000  44,916  200,000  224,582 
Altria Group, Inc. company guaranty sr. unsec. unsub.               

notes 8 1/2s, 2013  209,000  238,607  482,000  550,280  544,000  621,062 
Anheuser-Busch Cos., Inc. sr. unsec. notes 5.6s, 2017  2,370,000  2,330,236  --  --  --  -- 
Avis Budget Car Rental, LLC company guaranty sr.             
unsec. unsub. notes 7 3/4s, 2016  120,000  83,400  145,000  100,775  75,000  52,125 
Avis Budget Car Rental, LLC company guaranty sr.             
unsec. unsub. notes 7 5/8s, 2014  95,000  67,450  105,000  74,550  55,000  39,050 
Campbell Soup Co. debs. 8 7/8s, 2021  --  --  300,000  384,976  255,000  327,230 
Chiquita Brands International, Inc. sr. notes 7 1/2s,             
2014  150,000  126,000  170,000  142,800  85,000  71,400 
Chiquita Brands International, Inc. sr. unsec. unsub.             
notes 8 7/8s, 2015  25,000  21,563  30,000  25,875  15,000  12,938 
Claire's Stores, Inc. 144A company guaranty sr. unsec.             
notes 9 5/8s, 2015 (In default) (NON)(PIK)  199,856  63,954  178,819  57,222  84,150  26,928 
ConAgra Foods, Inc. unsec. notes 7 7/8s, 2010  --  --  105,000  111,278  91,000  96,441 
Constellation Brands, Inc. company guaranty sr. unsec.             
notes 7 1/4s, 2017  --  --  --  --  15,000  13,875 
Constellation Brands, Inc. company guaranty sr. unsec.             
unsub. notes 7 1/4s, 2016  --  --  --  --  70,000  64,750 
CVS Caremark, Corp. notes 6.6s, 2019  80,000  85,155  --  --  --  -- 
CVS Caremark, Corp. sr. unsec. FRN 6.302s, 2037  --  --  1,050,000  777,000  1,733,000  1,282,420 
CVS Caremark, Corp. 144A pass-through certificates             
6.117s, 2013  1,369,030  1,393,127  625,536  636,546  1,425,507  1,450,598 
Darden Restaurants, Inc. sr. unsec. notes 6.2s, 2017  1,485,000  1,409,347  --  --  --  -- 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012  35,000  35,438  45,000  45,563  20,000  20,250 
Delhaize Group company guaranty sr. unsec. bond             
5 7/8s, 2014 (Belgium)  135,000  137,954  310,000  316,784  370,000  378,097 
Delhaize Group sr. unsub. notes 6 1/2s, 2017 (Belgium)  --  --  200,000  204,235  170,000  173,599 
Diageo Capital PLC company guaranty 5 3/4s, 2017             
(United Kingdom)  230,000  239,951  435,000  453,820  390,000  406,873 
Diageo Capital PLC company guaranty 5.2s, 2013 (United             
Kingdom)  --  --  190,000  197,604  165,000  171,603 
Diageo PLC company guaranty 8s, 2022 (Canada)  --  --  165,000  181,306  135,000  148,341 
Dole Food Co. 144A sr. unsec. notes 13 7/8s, 2014  260,000  286,000  225,000  247,500  160,000  176,000 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014  210,000  181,650  275,000  237,875  130,000  112,450 
General Mills, Inc. sr. unsec. notes 5.65s, 2019  75,000  78,544  170,000  178,034  200,000  209,452 
H.J. Heinz Co. sr. unsec. notes 5.35s, 2013  216,000  223,956  492,000  510,122  --  -- 
Jarden Corp. company guaranty 7 1/2s, 2017  200,000  175,000  200,000  175,000  90,000  78,750 
Kellogg Co. sr. unsec. notes 4.45s, 2016  150,000  150,126  335,000  335,281  420,000  420,353 
Kellogg Co. sr. unsub. 5 1/8s, 2012  --  --  65,000  69,547  55,000  58,848 
Kroger Co. company guaranty 6 3/4s, 2012  --  --  --  --  150,000  162,174 
Kroger Co. company guaranty 6.4s, 2017  234,000  248,082  748,000  793,015  100,000  106,018 
Kroger Co. sr. notes 6.15s, 2020  --  --  40,000  41,018  --  -- 
McDonald's Corp. sr. unsec. bond 6.3s, 2037  56,000  60,567  302,000  326,632  300,000  324,469 
McDonald's Corp. sr. unsec. notes 5.7s, 2039  174,000  172,272  393,000  389,096  515,000  509,885 
Newell Rubbermaid, Inc. sr. unsec. notes 5 1/2s, 2013  1,375,000  1,323,901  --  --  --  -- 
PepsiCo, Inc. sr. unsec. notes 7.9s, 2018  220,000  267,653  346,000  420,945  82,000  99,762 
Pinnacle Foods Finance LLC sr. notes 9 1/4s, 2015  125,000  113,125  115,000  104,075  55,000  49,775 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012  150,000  148,500  210,000  207,900  100,000  99,000 
Reynolds American, Inc. company guaranty 7 1/4s, 2013  260,000  267,373  285,000  293,081  140,000  143,970 
Rite Aid Corp. company guaranty 9 1/2s, 2017  214,000  139,100  197,000  128,050  92,000  59,800 
Rite Aid Corp. sec. notes 7 1/2s, 2017  245,000  191,713  225,000  176,063  105,000  82,163 
RSC Equipment Rental, Inc. 144A sr. sec. notes 10s,             
2017  60,000  59,925  55,000  54,931  35,000  34,956 
Sara Lee Corp. sr. unsec. unsub. notes 3 7/8s, 2013  670,000  656,449  --  --  --  -- 
Smithfield Foods, Inc. 144A sr. sec. notes 10s, 2014  105,000  103,688  90,000  88,875  65,000  64,188 
Spectrum Brands, Inc. company guaranty 7 3/8s, 2015             
(In default) (NON)  207,000  138,690  238,000  159,460  119,000  79,730 
Spectrum Brands, Inc. company guaranty sr. unsec. sub.             
notes stepped-coupon 12 1/2s (12 3/4s, 10/2/09), 2013             
(STP) (In default) (NON)(PIK)  140,000  96,600  145,000  100,050  65,000  44,850 
Supervalu, Inc. notes 7 7/8s, 2009  5,760,000  5,760,000  --  --  --  -- 
Supervalu, Inc. sr. unsec. notes 7 1/2s, 2014  215,000  206,400  210,000  201,600  95,000  91,200 
Tesco PLC 144A sr. unsec. unsub. notes 6.15s, 2037             
(United Kingdom)  --  --  --  --  450,000  455,229 
Tyson Foods, Inc. 144A sr. unsec. notes 10 1/2s, 2014  2,970,000  3,222,450  --  --  --  -- 
United Rentals North America, Inc. company guaranty             
sr. unsec. notes 6 1/2s, 2012  337,000  326,890  525,000  509,250  17,000  16,490 
United Rentals North America, Inc. 144A company             
guaranty sr. unsec. notes 10 7/8s, 2016  30,000  28,800  30,000  28,800  20,000  19,200 
Universal Corp. notes Ser. MTNC, 5.2s, 2013  --  --  3,160,000  2,871,148  2,840,000  2,580,398 
Wendy's/Arby's Restaurants LLC 144A sr. unsec. notes             
10s, 2016  205,000  196,031  180,000  172,125  125,000  119,531 
WPP Finance UK company guaranty sr. unsec. notes 8s,             
2014 (United Kingdom)  110,000  111,708  235,000  238,649  295,000  299,581 
Yum! Brands, Inc. sr. unsec. unsub. 6 1/4s, 2018  --  --  320,000  329,249  270,000  277,804 
    21,167,375    13,692,901    12,358,188 
 
 
Energy    0.6%    1.1%    1.1% 
Amerada Hess Corp. unsub. notes 6.65s, 2011  220,000  234,153  500,000  532,167  570,000  606,670 
Anadarko Petroleum Corp. sr. unsec. notes 6.95s, 2019  215,000  216,162  455,000  457,459  555,000  558,000 
Arch Western Finance, LLC company guaranty sr. notes             
6 3/4s, 2013  455,000  415,188  515,000  469,938  255,000  232,688 
BP Capital Markets PLC company guaranty sr. unsec.             
notes 3 7/8s, 2015 (United Kingdom)  140,000  140,226  305,000  305,493  385,000  385,623 
Chaparral Energy, Inc. company guaranty sr. unsec.             
notes 8 7/8s, 2017  215,000  133,300  190,000  117,800  125,000  77,500 
Chesapeake Energy Corp. company guaranty 6 1/2s, 2017  95,000  79,800  --  --  --  -- 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  --  --  515,000  493,113  250,000  239,375 
Chesapeake Energy Corp. sr. notes 7s, 2014  --  --  200,000  185,000  --  -- 
Chesapeake Energy Corp. sr. unsec. notes 7 5/8s, 2013  --  --  225,000  213,750  230,000  218,500 
Complete Production Services, Inc. company guaranty             
8s, 2016  195,000  166,725  170,000  145,350  120,000  102,600 
Compton Petroleum Corp. company guaranty 7 5/8s, 2013             
(Canada)  305,000  169,275  345,000  191,475  170,000  94,350 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  125,000  120,000  175,000  168,000  80,000  76,800 
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,             
2015 (Canada)  190,000  114,950  170,000  102,850  80,000  48,400 
ConocoPhillips notes 6 1/2s, 2039  250,000  266,108  600,000  638,660  775,000  824,936 
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015  230,000  218,500  220,000  209,000  105,000  99,750 
Encore Acquisition Co. sr. sub. notes 6s, 2015  290,000  239,250  402,000  331,650  184,000  151,800 
Ferrellgas LP/Finance sr. notes 6 3/4s, 2014  215,000  185,975  300,000  259,500  140,000  121,100 
Forest Oil Corp. sr. notes 8s, 2011  305,000  303,475  340,000  338,300  220,000  218,900 
Gaz Capital SA 144A company guaranty sr. unsec. bond             
7.343s, 2013 (Russia)  143,000  137,891  334,000  322,066  298,000  287,352 
Gaz Capital SA 144A company guaranty sr. unsec. bond             
8.146s, 2018 (Russia)  158,000  141,219  324,000  289,588  288,000  257,412 
Gaz Capital SA 144A sr. unsec. 6.51s, 2022 (Russia)  230,000  172,500  507,000  380,250  438,000  328,500 
Halliburton Co. sr. unsec. notes 7.45s, 2039  235,000  274,334  505,000  589,527  620,000  723,776 
Harvest Operations Corp. sr. notes 7 7/8s, 2011  165,000  138,600  205,000  172,200  110,000  92,400 
Helix Energy Solutions Group, Inc. 144A sr. unsec.             
notes 9 1/2s, 2016  420,000  383,250  440,000  401,500  265,000  241,813 
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr.             
unsec. notes 7 3/4s, 2015  70,000  59,150  80,000  67,600  40,000  33,800 
Hornbeck Offshore Services, Inc. sr. notes Ser. B,             
6 1/8s, 2014  85,000  77,031  75,000  67,969  35,000  31,719 
Kerr-McGee Corp. sec. notes 6.95s, 2024  265,000  245,887  430,000  398,986  365,000  338,674 
Key Energy Services, Inc. company guaranty sr. unsec.             
unsub. notes 8 3/8s, 2014  170,000  150,025  145,000  127,963  70,000  61,775 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012  --  --  80,000  81,274  70,000  71,115 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016  5,000  4,513  145,000  130,863  155,000  139,888 
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s,             
2014  245,000  225,706  230,000  211,888  105,000  96,731 
Nexen, Inc. unsec. unsub. notes 6.4s, 2037 (Canada)  --  --  225,000  206,654  200,000  183,692 
OPTI Canada, Inc. company guaranty sr. sec. notes             
8 1/4s, 2014 (Canada)  220,000  145,200  215,000  141,900  100,000  66,000 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011  27,696  28,126  40,285  40,910  28,955  29,404 
Peabody Energy Corp. company guaranty 7 3/8s, 2016  385,000  363,825  515,000  486,675  245,000  231,525 
Peabody Energy Corp. company guaranty Ser. B, 6 7/8s,             
2013  235,000  232,650  180,000  178,200  130,000  128,700 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  --  --  270,000  237,600  225,000  198,000 
Petro-Canada sr. unsec. unsub. notes 6.05s, 2018             
(Canada)  208,000  206,982  472,000  469,691  --  -- 
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013  220,000  218,900  250,000  248,750  125,000  124,375 
Petroleum Development Corp. company guaranty sr.             
unsec. notes 12s, 2018  145,000  121,800  130,000  109,200  65,000  54,600 
Petroplus Finance, Ltd. 144A company guaranty 6 3/4s,             
2014 (Bermuda)  270,000  232,200  260,000  223,600  75,000  64,500 
Plains Exploration & Production Co. company guaranty             
7 3/4s, 2015  70,000  65,450  50,000  46,750  30,000  28,050 
Plains Exploration & Production Co. company guaranty             
7s, 2017  245,000  214,375  230,000  201,250  105,000  91,875 
Pride International, Inc. sr. unsec. notes 7 3/8s, 2014  195,000  193,538  275,000  272,938  130,000  129,025 
Quicksilver Resources, Inc. company guaranty 7 1/8s,             
2016  30,000  23,400  40,000  31,200  20,000  15,600 
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016  100,000  103,500  90,000  93,150  60,000  62,100 
Range Resources Corp. company guaranty sr. unsec. sub.             
notes 7 1/2s, 2017  55,000  52,250  50,000  47,500  35,000  33,250 
Sabine Pass LNG LP sec. notes 7 1/2s, 2016  465,000  375,488  455,000  367,413  250,000  201,875 
SandRidge Energy, Inc. 144A company guaranty sr.             
unsec. unsub. notes 8s, 2018  615,000  525,825  765,000  654,075  125,000  106,875 
SandRidge Energy, Inc. company guaranty sr. unsec.             
unsub. FRN 4.833s, 2014  100,000  78,555  95,000  74,627  45,000  35,350 
Stallion Oilfield Services/Stallion Oilfield Finance             
Corp. 144A sr. unsec. notes 9 3/4s, 2015  180,000  61,200  160,000  54,400  110,000  37,400 
Targa Resources, Inc. company guaranty sr. unsec.             
notes 8 1/2s, 2013  540,000  403,650  470,000  351,325  235,000  175,663 
Weatherford International, Inc. company guaranty sr.             
unsec. unsub. bonds 6.35s, 2017  --  --  130,000  128,734  100,000  99,026 
Weatherford International, Inc. company guaranty sr.             
unsec. unsub. bonds 6.8s, 2037  --  --  110,000  103,351  90,000  84,560 
Weatherford International, Ltd. company guaranty sr.             
unsec. notes 9 7/8s, 2039  100,000  122,332  230,000  281,363  270,000  330,296 
Weatherford International, Ltd. sr. notes 5 1/2s, 2016  --  --  95,000  91,092  105,000  100,681 
Whiting Petroleum Corp. company guaranty 7s, 2014  120,000  111,300  150,000  139,125  75,000  69,563 
Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010  50,000  49,990  60,000  59,988  30,000  29,994 
Williams Cos., Inc. (The) notes 7 3/4s, 2031  35,000  31,500  30,000  27,000  20,000  18,000 
Williams Cos., Inc. (The) sr. unsec. notes 7 5/8s, 2019  480,000  474,000  460,000  454,250  220,000  217,250 
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021  95,000  93,575  85,000  83,725  55,000  54,175 
XTO Energy, Inc. sr. unsec. notes 5 1/2s, 2018  158,000  159,404  357,000  360,173  --  -- 
    9,702,208    14,667,788    9,763,351 
 
 
Financials    1.8%    3.3%    5.4% 
AGFC Capital Trust I 144A company guaranty 6s, 2067  --  --  180,000  37,800  185,000  38,850 
Allstate Life Global Funding Trusts notes Ser. MTN,             
5 3/8s, 2013  --  --  249,000  257,463  873,000  902,670 
American Express Co. sr. unsec. notes 8 1/8s, 2019  205,000  212,734  555,000  575,940  740,000  767,919 
American International Group, Inc. sr. unsec. Ser.             
MTN, 5.85s, 2018  647,000  346,145  1,286,000  688,010  1,244,000  665,540 
Amvescap PLC company guaranty 5 5/8s, 2012  --  --  180,000  157,454  --  -- 
Bank of America Corp. sr. notes 7 5/8s, 2019  390,000  391,740  455,000  457,030  --  -- 

Bank of America NA sub. notes Ser. BKNT, 5.3s, 2017  --  --  250,000  212,112  750,000  636,335 
Bank of New York Mellon Corp. (The) sr. unsec. notes             
4.3s, 2014  270,000  274,353  610,000  619,834  760,000  772,253 
BankAmerica Capital III bank guaranty jr. unsec. FRN             
Ser. *, 1.701s, 2027  580,000  296,426  1,072,000  547,878  1,146,000  585,698 
Barclays Bank PLC 144A sub. bonds FRB 7.7s, 2049  635,000  539,750  --  --  --  -- 
Bear Stearns Cos., Inc. (The) notes 5.7s, 2014  85,000  86,604  155,000  157,925  5,000  5,094 
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,             
2012  105,000  114,120  1,075,000  1,168,368  1,715,000  1,863,955 
Bear Stearns Cos., Inc. (The) sr. unsec. notes 7 1/4s,             
2018  --  --  240,000  252,957  706,000  744,116 
Block Financial Corp. notes 5 1/8s, 2014  2,260,000  2,112,969  --  --  --  -- 
Bosphorus Financial Services, Ltd. 144A sr. notes FRN             
2.683s, 2012  137,500  119,633  363,688  316,429  413,875  360,095 
Capital One Capital III company guaranty 7.686s, 2036  --  --  231,000  163,679  811,000  574,646 
Capital One Financial Corp. sr. unsec. unsub. notes             
FRN Ser. MTN, 0.93s, 2009  215,000  214,260  280,000  279,036  --  -- 
CIT Group, Inc. jr. unsec. sub. notes FRN 6.1s, 2067  --  --  1,442,000  519,120  2,095,000  754,200 
CIT Group, Inc. sr. notes 5.4s, 2013  --  --  60,000  37,186  50,000  30,988 
CIT Group, Inc. sr. notes 5s, 2014  --  --  400,000  237,545  220,000  130,650 
Citigroup, Inc. sr. notes 6 1/2s, 2013  545,000  529,401  260,000  252,558  825,000  801,387 
Citigroup, Inc. sr. unsec. notes 6s, 2017  --  --  85,000  74,100  715,000  623,312 
Citigroup, Inc. sr. unsec. notes 5 1/2s, 2013  1,055,000  988,793  1,643,000  1,539,894  387,000  362,714 
Citigroup, Inc. sr. unsec. unsub. notes FRN 1.07s, 2010  --  --  135,000  131,811  220,000  214,804 
Citigroup, Inc. sub. notes 5s, 2014  --  --  749,000  627,900  1,292,000  1,083,107 
CNA Financial Corp. unsec. notes 6 1/2s, 2016  1,415,000  1,146,601  --  --  --  -- 
CNA Financial Corp. unsec. notes 6s, 2011  885,000  842,159  165,000  157,013  170,000  161,771 
Credit Suisse First Boston USA, Inc. company guaranty             
sr. unsec. unsub. notes 6 1/8s, 2011  490,000  524,615  764,000  817,970  180,000  192,716 
Credit Suisse Guernsey Ltd. jr. sub. FRN 5.86s, 2049             
(United Kingdom)  --  --  746,000  484,900  1,316,000  855,400 
Deutsche Bank AG/London sr. unsec. notes 5 3/8s, 2012             
(United Kingdom)  490,000  520,904  764,000  812,185  180,000  191,353 
Deutsche Bank Capital Funding Trust VII 144A FRB             
5.628s, 2049  --  --  444,000  288,600  1,002,000  651,300 
Dresdner Funding Trust I 144A bonds 8.151s, 2031  --  --  685,000  329,656  1,115,000  536,594 
Duke Realty LP sr. unsec. notes 6 1/2s, 2018  --  --  411,000  321,586  989,000  773,841 
E*Trade Financial Corp. sr. unsec. notes 7 3/8s, 2013  125,000  100,625  10,000  8,050  5,000  4,025 
Fleet Capital Trust V bank guaranty FRN 1.613s, 2028  790,000  413,896  1,297,000  679,522  979,000  512,916 
Fund American Cos., Inc. notes 5 7/8s, 2013  --  --  498,000  471,384  969,000  917,212 
GATX Financial Corp. notes 5.8s, 2016  --  --  120,000  106,155  130,000  115,001 
General Electric Capital Corp. sr. unsec. FRN Ser.             
MTN, 1.156s, 2016  260,000  206,920  600,000  477,508  --  -- 
General Electric Capital Corp. sr. unsec. notes Ser.             
MTN, 6 7/8s, 2039  1,141,000  908,654  2,446,000  1,947,912  3,149,000  2,507,758 
General Electric Capital Corp. sub. notes FRN 6 3/8s,             
2067  --  --  975,000  650,540  1,450,000  967,470 
GMAC, LLC sr. unsec. unsub. notes 7 3/4s, 2010  80,000  78,012  70,000  68,261  60,000  58,509 
GMAC, LLC sr. unsec. unsub. notes 7 1/4s, 2011  105,000  95,272  90,000  81,662  70,000  63,515 
GMAC, LLC 144A company guaranty sr. unsec. unsub.             
notes 7 3/4s, 2010  413,000  402,675  152,000  148,200  161,000  156,975 
GMAC, LLC 144A company guaranty sr. unsec. unsub.             
notes 7s, 2012  44,000  37,312  193,000  163,664  224,000  189,952 
GMAC, LLC 144A company guaranty sr. unsec. unsub.             
notes 6 7/8s, 2012  234,000  195,390  297,000  247,995  151,000  126,085 
GMAC, LLC 144A company guaranty sr. unsec. unsub.             
notes 6 7/8s, 2011  300,000  262,500  383,000  335,125  186,000  162,750 
GMAC, LLC 144A company guaranty sr. unsec. unsub.             
notes 6 3/4s, 2014  6,000  4,710  --  --  --  -- 
GMAC, LLC 144A company guaranty sr. unsec. unsub.             
notes 6 5/8s, 2012  129,000  107,715  91,000  75,985  44,000  36,740 
GMAC, LLC 144A company guaranty sr. unsec. unsub.             
notes FRN 2.868s, 2014  226,000  158,200  107,000  74,900  29,000  20,300 
Goldman Sachs Group, Inc. (The) sr. notes 7 1/2s, 2019  335,000  357,564  970,000  1,035,336  1,540,000  1,643,729 
Goldman Sachs Group, Inc. (The) sr. notes 5.45s, 2012  --  --  685,000  714,770  1,188,000  1,239,631 
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037  736,000  647,154  1,148,000  1,009,420  270,000  237,407 
Health Care Property Investors, Inc. sr. unsec. notes             
6s, 2017  --  --  214,000  181,413  748,000  634,097 
Health Care REIT, Inc. sr. notes 6s, 2013 (R)  --  --  85,000  78,859  90,000  83,498 
Highwood Properties, Inc. sr. unsec. bonds 5.85s, 2017             
(R)  --  --  340,000  270,773  290,000  230,953 
HSBC Finance Capital Trust IX FRN 5.911s, 2035  --  --  1,000,000  528,623  2,000,000  1,057,246 
HSBC Finance Corp. notes 5s, 2015  760,000  708,164  1,185,000  1,104,177  280,000  260,903 
HSBC Holdings PLC sub. notes 6 1/2s, 2037 (United             
Kingdom)  --  --  300,000  290,194  1,000,000  967,313 
HUB International Holdings, Inc. 144A sr. sub. notes             
10 1/4s, 2015  70,000  51,538  70,000  51,538  30,000  22,088 
HUB International Holdings, Inc. 144A sr. unsec.             
unsub. notes 9s, 2014  50,000  40,813  50,000  40,813  25,000  20,406 
International Lease Finance Corp. sr. unsec. 6 3/8s,             
2013  1,840,000  1,426,000  --  --  --  -- 
International Lease Finance Corp. sr. unsec. Ser. MTN,             
5 5/8s, 2013  625,000  465,625  --  --  --  -- 
JPMorgan Chase & Co. sr. notes 6s, 2018  1,044,000  1,037,117  1,537,000  1,526,867  336,000  333,785 
JPMorgan Chase Bank NA sub. notes Ser. BKNT, 6s, 2017  --  --  330,000  321,202  280,000  272,535 
JPMorgan Chase Capital XVIII bonds Ser. R, 6.95s, 2036  --  --  674,000  568,042  1,460,000  1,230,476 
JPMorgan Chase Capital XXV bonds Ser. Y, 6.8s, 2037  --  --  330,000  283,800  285,000  245,100 
Lehman Brothers E-Capital Trust I FRN 3.589s, 2065             
(In default) (NON)  1,375,000  138  1,845,000  185  --  -- 
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015  115,000  104,075  95,000  85,975  45,000  40,725 
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017  195,000  158,438  185,000  150,313  85,000  69,063 
Liberty Mutual Group 144A company guaranty jr. sub.             
notes FRB 10 3/4s, 2058  1,145,000  827,262  1,350,000  975,374  1,363,000  984,766 
Liberty Mutual Insurance 144A notes 7.697s, 2097  --  --  690,000  412,781  1,410,000  843,509 
Marsh & McLennan Cos., Inc. sr. unsec. notes 6 1/4s,             
2012  35,000  36,003  720,000  740,629  815,000  838,351 
Marsh & McLennan Cos., Inc. sr. unsec. notes 5 3/8s,             
2014  --  --  380,000  369,933  345,000  335,860 
Merrill Lynch & Co., Inc. jr. sub. bonds 7 3/4s, 2038  --  --  300,000  278,672  1,200,000  1,114,686 
Merrill Lynch & Co., Inc. notes FRN Ser. MTN, 1.292s,             
2011  --  --  380,000  351,872  280,000  259,274 
Merrill Lynch & Co., Inc. sr. unsec. notes Ser. MTN,             
6 7/8s, 2018  711,000  658,070  1,110,000  1,027,367  261,000  241,570 
Merrill Lynch & Co., Inc. sr. unsec. notes Ser. MTNC,             
4 1/4s, 2010  5,000  5,020  240,000  240,951  580,000  582,298 
MetLife Capital Trust IV 144A jr. sub. debs. 7 7/8s,             
2067  --  --  300,000  243,000  1,200,000  972,000 
MetLife, Inc. sr. unsec. 6 3/4s, 2016  155,000  157,799  130,000  132,347  --  -- 
MetLife, Inc. sr. unsec. notes Ser. A, 6.817s, 2018  395,000  397,808  875,000  881,220  230,000  231,635 
Morgan Stanley sr. unsec. notes FRN Ser. MTN, 0.409s,             
2010  --  --  625,000  619,339  1,855,000  1,838,197 
Morgan Stanley sr. unsec. unsub. notes 6 3/4s, 2011  687,000  719,679  1,068,000  1,118,803  252,000  263,987 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  --  --  125,000  112,003  425,000  380,810 
Nationwide Health Properties, Inc. notes 6 1/2s, 2011             
(R)  --  --  145,000  142,850  150,000  147,776 
Nationwide Health Properties, Inc. unsec. notes             
6 1/4s, 2013 (R)  --  --  723,000  668,694  1,139,000  1,053,447 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  --  --  210,000  168,459  --  -- 
Nuveen Investments, Inc. sr. unsec. notes 5 1/2s, 2015  --  --  110,000  55,550  110,000  55,550 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  --  --  520,000  405,044  1,129,000  879,412 
Prudential Financial, Inc. jr. unsec. sub. notes FRN             
8 7/8s, 2038  1,120,000  940,568  225,000  188,953  --  -- 
Royal Bank of Scotland Group PLC jr. sub. notes FRN             
Ser. MTN, 7.64s, 2049 (United Kingdom)  --  --  400,000  160,000  300,000  120,000 
Russian Agricultural Bank 144A notes 7 3/4s, 2018             
(Russia)  --  --  110,000  99,000  100,000  90,000 
Russian Agricultural Bank 144A notes 7 1/8s, 2014             
(Russia)  120,000  112,800  110,000  103,400  100,000  94,000 
Simon Property Group LP sr. unsec. notes 6 3/4s,             
2014 (R)  211,000  212,341  264,000  265,677  --  -- 
Simon Property Group LP sr. unsec. notes 6 1/8s, 2018             
(R)  --  --  307,000  280,419  927,000  846,738 
Simon Property Group LP sr. unsec. unsub. notes             
5 1/4s, 2016 (R)  100,000  88,828  147,000  130,578  30,000  26,648 
Simon Property Group LP unsub. bonds 5 3/4s, 2015 (R)  --  --  83,000  76,442  83,000  76,442 
SLM Corp. notes Ser. MTNA, 4 1/2s, 2010  650,000  614,250  1,128,000  1,065,960  1,206,000  1,139,670 
Sovereign Bancorp, Inc. sr. notes 4.8s, 2010  --  --  155,000  151,403  155,000  151,403 
State Street Capital Trust IV company guaranty jr.             
unsec. sub. bond FRB 1.629s, 2037  --  --  475,000  273,596  --  -- 
Stowe CDO 08-1 144A notes FRN 3.078s, 2010 (F)  4,200,000  3,066,000  --  --  --  -- 
 
Universal City Florida Holding Co. sr. notes 8 3/8s,             
2010  140,000  114,100  200,000  163,000  95,000  77,425 
USI Holdings Corp. 144A company guaranty sr. unsec.             
notes FRN 4.758s, 2014  45,000  29,250  45,000  29,250  20,000  13,000 
VTB Capital SA 144A notes 6 7/8s, 2018 (Russia)  876,000  788,400  800,000  720,000  687,000  618,300 
Wachovia Bank NA sub. notes Ser. BKNT, 6s, 2017  --  --  1,115,000  1,123,719  1,755,000  1,768,724 
Wachovia Corp. sr. unsec. notes FRN Ser. MTNE, 0.818s,             
2012  140,000  132,508  470,000  444,850  510,000  482,709 
Wells Fargo & Co. sr. notes 4 3/8s, 2013  --  --  985,000  993,481  1,560,000  1,573,432 
Wells Fargo & Co. sr. unsec. unsub. notes 5 1/4s, 2012  660,000  683,188  1,025,000  1,061,012  245,000  253,608 
Wells Fargo Capital XV jr. sub. unsec. company             
guaranty FRN 9 3/4s, 2049  455,000  436,800  --  --  --  -- 
Westpac Capital Trust III 144A unsec. sub. notes FRN             
5.819s, 2049 (Australia)  --  --  295,000  237,782  230,000  185,389 
Willis Group North America, Inc. company guaranty             
6.2s, 2017  --  --  70,000  61,991  40,000  35,423 
ZFS Finance USA Trust I 144A bonds FRB 6 1/2s, 2037  --  --  1,240,000  899,000  1,630,000  1,181,750 
    27,250,388    43,777,503    49,467,260 
 
 
Health care    0.7%    0.9%    1.1% 
Abbott Laboratories sr. unsec. notes 5 7/8s, 2016  344,000  375,174  538,000  586,754  126,000  137,418 
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037  --  --  286,000  265,191  673,000  624,034 
AmerisourceBergen Corp. company guaranty sr. unsec.             
notes 5 5/8s, 2012  195,000  192,256  --  --  --  -- 
AstraZeneca PLC sr. unsec. unsub. notes 6.45s, 2037             
(United Kingdom)  270,000  298,018  422,000  465,791  99,000  109,273 
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United             
Kingdom)  --  --  982,000  1,051,555  1,709,000  1,830,048 
Cardinal Health, Inc. sr. unsec. unsub. notes 5 1/2s,             
2013  4,045,000  4,053,023  --  --  --  -- 
Community Health Systems, Inc. company guaranty             
8 7/8s, 2015  235,000  230,300  210,000  205,800  95,000  93,100 
DaVita, Inc. company guaranty 6 5/8s, 2013  190,000  179,075  235,000  221,488  125,000  117,813 
Elan Finance PLC/Elan Finance Corp. company guaranty             
7 3/4s, 2011 (Ireland)  320,000  292,000  355,000  323,938  170,000  155,125 
GlaxoSmith Kline Capital, Inc. company guaranty sr.             
notes 5.65s, 2018  344,000  364,366  870,000  921,507  1,290,000  1,366,373 
HCA, Inc. company guaranty sr. notes 9 5/8s, 2016 (PIK)  198,000  196,020  201,000  198,990  94,000  93,060 
HCA, Inc. sr. sec. notes 9 1/4s, 2016  315,000  310,275  215,000  211,775  110,000  108,350 
HCA, Inc. sr. sec. notes 9 1/8s, 2014  219,000  216,810  167,000  165,330  79,000  78,210 

HCA, Inc. sr. unsec. notes 7 7/8s, 2011  416,000  409,240  590,000  580,413  275,000  270,531 
HCA, Inc. sr. unsec. notes 6 1/4s, 2013  50,000  43,750  48,000  42,000  --  -- 
Health Management Associates, Inc. sr. notes 6 1/8s,             
2016  80,000  68,600  70,000  60,025  35,000  30,013 
Healthsouth Corp. company guaranty 10 3/4s, 2016  150,000  150,750  145,000  145,725  65,000  65,325 
Hospira, Inc. sr. notes 6.05s, 2017  --  --  190,000  185,553  125,000  122,075 
Hospira, Inc. sr. notes 5.55s, 2012  150,000  156,272  607,000  632,381  230,000  239,617 
IASIS Healthcare/IASIS Capital Corp. sr. sub. notes             
8 3/4s, 2014  135,000  132,300  120,000  117,600  55,000  53,900 
Merck & Co., Inc. sr. unsec. unsub. notes 5.85s, 2039  77,000  78,489  166,000  169,210  204,000  207,945 
Merck & Co., Inc. sr. unsec. unsub. notes 5s, 2019  73,000  74,013  159,000  161,205  196,000  198,719 
Novartis Securities Investment, Ltd. company guaranty             
sr. unsec. notes 5 1/8s, 2019  165,000  168,022  375,000  381,869  450,000  458,243 
Omnicare, Inc. company guaranty 6 3/4s, 2013  60,000  54,000  85,000  76,500  40,000  36,000 
Omnicare, Inc. sr. sub. notes 6 7/8s, 2015  35,000  31,588  45,000  40,613  25,000  22,563 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013  170,000  153,425  240,000  216,600  110,000  99,275 
Pfizer, Inc. sr. unsec. notes 7.2s, 2039  80,000  94,993  190,000  225,608  239,000  283,791 
Pfizer, Inc. sr. unsec. notes 6.2s, 2019  245,000  267,879  520,000  568,560  639,000  698,672 
Psychiatric Solutions, Inc. company guaranty 7 3/4s,             
2015  305,000  279,075  270,000  247,050  185,000  169,275 
Roche Holdings, Inc. 144A company guaranty sr. unsec.             
notes 7s, 2039  --  --  190,000  218,665  225,000  258,945 
Select Medical Corp. company guaranty 7 5/8s, 2015  361,000  293,313  327,000  265,688  130,000  105,625 
Service Corporation International sr. unsec. unsub.             
notes 6 3/4s, 2016  255,000  230,138  360,000  324,900  170,000  153,425 
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013  205,000  190,650  270,000  251,100  125,000  116,250 
Sun Healthcare Group, Inc. company guaranty sr. unsec.             
unsub. notes 9 1/8s, 2015  200,000  198,000  195,000  193,050  90,000  89,100 
Surgical Care Affiliates, Inc. 144A sr. sub. notes             
10s, 2017  80,000  55,600  75,000  52,125  35,000  24,325 
Surgical Care Affiliates, Inc. 144A sr. unsec. notes             
zero %, 2015 (PIK)  80,000  61,600  75,000  57,750  35,000  26,950 
Tenet Healthcare Corp. sr. notes 9 1/4s, 2015  20,000  18,300  25,000  22,875  15,000  13,725 
Tenet Healthcare Corp. 144A company guaranty sr. sec.             
notes 10s, 2018  109,000  114,450  92,000  96,600  62,000  65,100 
Tenet Healthcare Corp. 144A company guaranty sr. sec.             
notes 9s, 2015  339,000  341,543  271,000  273,033  197,000  198,478 
UnitedHealth Group, Inc. sr. unsec. notes 5 1/2s, 2012  --  --  280,000  289,755  245,000  253,535 
US Oncology Holdings, Inc. sr. unsec. notes FRN             
6.904s, 2012 (PIK)  128,000  111,360  128,000  111,360  55,000  47,850 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,             
2014  250,000  239,375  255,000  244,163  120,000  114,900 
Ventas Realty LP/Capital Corp. company guaranty 9s,             
2012 (R)  585,000  602,550  605,000  623,150  360,000  370,800 
Ventas Realty LP/Capital Corp. sr. notes 6 3/4s, 2017             
(R)  --  --  145,000  130,138  140,000  125,650 
WellPoint, Inc. notes 7s, 2019  95,000  98,188  220,000  227,382  260,000  268,724 
    11,424,780    11,850,765    9,902,130 
 
 
Technology    0.7%    0.8%    0.9% 
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012  208,000  138,320  280,000  186,200  130,000  86,450 
Arrow Electronics, Inc. unsec. notes 9.15s, 2010  1,405,000  1,428,982  --  --  --  -- 
Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada)  175,000  170,625  145,000  141,375  65,000  63,375 
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015  250,000  209,063  225,000  188,156  110,000  91,988 
Cisco Systems, Inc. sr. unsec. notes 5 1/4s, 2011  319,000  336,366  497,000  524,056  117,000  123,369 
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s,             
2015  215,000  178,719  195,000  162,094  90,000  74,813 
Computer Sciences Corp. sr. unsec. notes 6 1/2s, 2018  1,190,000  1,215,977  2,870,000  2,932,649  2,625,000  2,682,301 
Computer Sciences Corp. sr. unsec. unsub. notes 5s,             
2013  750,000  748,346  --  --  --  -- 
Dell, Inc. sr. unsec. notes 5 7/8s, 2019  215,000  219,452  470,000  479,732  585,000  597,114 
Fiserv, Inc. sr. unsec. unsub. notes company guaranty             
6.8s, 2017  --  --  280,000  283,170  250,000  252,831 
Freescale Semiconductor, Inc. company guaranty sr.             
unsec. notes 8 7/8s, 2014  460,000  232,300  340,000  171,700  160,000  80,800 
Freescale Semiconductor, Inc. company guaranty sr.             
unsec. sub. notes 10 1/8s, 2016  9,000  3,060  9,000  3,060  5,000  1,700 
Hewlett-Packard Co. sr. unsec. notes 6 1/8s, 2014  95,000  104,716  235,000  259,035  425,000  468,467 
Hewlett-Packard Co. sr. unsec. notes 5 1/2s, 2018  135,000  141,911  160,000  168,191  183,000  192,368 
Hewlett-Packard Co. sr. unsec. notes 4 1/4s, 2012  100,000  104,374  320,000  333,997  270,000  281,810 
IBM Corp. sr. unsec. notes 5.7s, 2017  235,000  249,606  1,035,000  1,099,327  1,250,000  1,327,690 
Iron Mountain, Inc. company guaranty 8 3/4s, 2018  60,000  59,100  70,000  68,950  35,000  34,475 
Iron Mountain, Inc. company guaranty 8 5/8s, 2013  5,000  4,988  --  --  90,000  89,775 
Iron Mountain, Inc. company guaranty 6 5/8s, 2016  245,000  219,275  90,000  80,550  40,000  35,800 
Iron Mountain, Inc. company guaranty sr. unsec. sub.             
notes 8s, 2020  470,000  438,863  625,000  583,594  --  -- 
Lexmark International Inc, sr. unsec. notes 5.9s, 2013  2,455,000  2,355,531  --  --  --  -- 
Lucent Technologies, Inc. unsec. debs. 6.45s, 2029  55,000  31,213  45,000  25,538  20,000  11,350 
Microsoft Corp. sr. unsec. unsub. notes 4.2s, 2019  250,000  245,160  555,000  544,256  695,000  681,546 
NXP BV/NXP Funding, LLC 144A sr. sec. notes 10s, 2013             
(Netherlands)  34,000  24,735  15,000  10,913  --  -- 
Oracle Corp. sr. unsec. notes 5s, 2011  319,000  334,408  497,000  521,005  117,000  122,651 
Sanmina Corp. sr. unsec. sub. notes 8 1/8s, 2016  180,000  131,175  238,000  173,443  --  -- 
Seagate Technology Hdd Holdings company guaranty 6.8s,             
2016  95,000  81,762  105,000  90,369  50,000  43,033 
SunGard Data Systems, Inc. company guaranty 10 1/4s,             
2015  90,000  83,138  100,000  92,375  56,000  51,730 
SunGard Data Systems, Inc. company guaranty 9 1/8s,             
2013  590,000  557,550  491,000  463,995  221,000  208,845 
Syniverse Technologies, Inc. sr. sub. notes Ser. B,             
7 3/4s, 2013  42,000  39,480  54,000  50,760  26,000  24,440 
Tyco Electronics Group SA company guaranty 6.55s, 2017             
(Luxembourg)  940,000  853,450  --  --  --  -- 
Xerox Corp. sr. notes 6.4s, 2016  --  --  335,000  308,200  285,000  262,200 
Xerox Corp. sr. unsec. notes 6.35s, 2018  --  --  --  --  20,000  17,850 
Xerox Corp. sr. unsec. notes FRN 1.363s, 2009  265,000  262,245  600,000  593,762  715,000  707,567 
    11,203,890    10,540,452    8,616,338 
 
 
Transportation    0.2%    0.2%    0.3% 
American Airlines, Inc. pass-through certificates Ser.             
01-1, 6.817s, 2011  --  --  110,000  90,200  70,000  57,400 
Burlington Northern Santa Fe Corp. sr. unsec. notes             
7s, 2014  170,000  185,230  385,000  419,492  440,000  479,420 
Continental Airlines, Inc. pass-through certificates             
Ser. 97-4A, 6.9s, 2018  --  --  54,238  46,916  45,199  39,097 
Continental Airlines, Inc. pass-through certificates             
Ser. 98-1A, 6.648s, 2017  --  --  256,975  215,859  181,235  152,238 
Northwest Airlines Corp. pass-through certificates             
Ser. 00-1, 7.15s, 2019  --  --  501,860  409,016  433,646  353,422 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  180,000  162,900  235,000  212,675  115,000  104,075 
RailAmerica, Inc. 144A company guaranty sr. sec. notes             
9 1/4s, 2017  120,000  115,800  105,000  101,325  70,000  67,550 
Ryder System, Inc. sr. unsec. unsub. notes Ser. MTN,             
6s, 2013  1,645,000  1,637,760  --  --  --  -- 
Southwest Airlines Co. pass-through certificates Ser.             
07-1, 6.15s, 2022  --  --  61,802  58,381  123,605  116,762 
Southwest Airlines Co. sr. unsec. unsub. notes 6 1/2s,             
2012  590,000  611,465  --  --  --  -- 
Union Pacific Corp. sr. unsec. bond 5.7s, 2018  --  --  30,000  30,161  --  -- 
Union Pacific Corp. sr. unsec. notes 6 1/8s, 2020  185,000  191,585  415,000  429,772  495,000  512,619 
Union Pacific Corp. sr. unsub. notes 5 3/4s, 2017  --  --  290,000  292,327  355,000  357,849 
Union Pacific Corp. 144A pass-through certificates             
5.214s, 2014  --  --  115,000  112,187  100,000  97,554 
United AirLines, Inc. pass-through certificates Ser.             
07-A, 6.636s, 2022  --  --  153,620  118,287  125,689  96,781 
    2,904,740    2,536,598    2,434,767 
 
 
Utilities and power    1.0%    1.9%    2.8% 
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  180,000  183,511  577,000  588,256  190,000  193,707 
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017  120,000  111,600  105,000  97,650  50,000  46,500 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013  258,000  258,000  331,000  331,000  133,000  133,000 
American Water Capital Corp. sr. unsec. bonds 6.085s,             
2017  214,000  205,454  484,000  464,672  --  -- 
Appalachian Power Co. sr. notes Ser. L, 5.8s, 2035  --  --  145,000  128,750  120,000  106,552 
Atmos Energy Corp. sr. unsec. sub. notes 8 1/2s, 2019  20,000  23,196  45,000  52,190  55,000  63,788 
Atmos Energy Corp. sr. unsub. notes 6.35s, 2017  --  --  320,000  325,545  275,000  279,765 
Beaver Valley II Funding debs. 9s, 2017  --  --  469,000  462,917  1,035,000  1,021,576 
Boardwalk Pipelines LP company guaranty 5 7/8s, 2016  --  --  604,000  571,243  1,168,000  1,104,655 
Bruce Mansfield Unit pass-through certificates 6.85s,             
2034  --  --  1,141,000  883,669  1,725,000  1,335,958 
CMS Energy Corp. sr. notes 8 1/2s, 2011  170,000  175,957  150,000  155,256  70,000  72,453 
CMS Energy Corp. unsub. notes 6.55s, 2017  --  --  20,000  17,850  15,000  13,388 
Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada)  30,000  27,688  50,000  46,146  25,000  23,073 
Commonwealth Edison Co. 1st mtge. 6.15s, 2017  --  --  130,000  135,300  110,000  114,485 
Commonwealth Edison Co. 1st mtge. 5.9s, 2036  --  --  593,000  568,898  448,000  429,791 
Consolidated Natural Gas Co. sr. notes Ser. A, 5s, 2014  --  --  180,000  184,197  315,000  322,345 
Consumers Energy Co. 1st mtge. sec. bond 6 1/8s, 2019  174,000  183,769  395,000  417,177  --  -- 
Dominion Resources, Inc. jr. sub. notes FRN Ser. 06-B,             
6.3s, 2066  --  --  823,000  559,640  1,448,000  984,640 
Dominion Resources, Inc. sr. unsec. notes 6.4s, 2018  3,975,000  4,195,843  --  --  --  -- 
Dominion Resources, Inc. sr. unsec. unsub. notes Ser.             
07-A, 6s, 2017  1,320,000  1,370,941  455,000  472,559  290,000  301,192 
Dominion Resources, Inc. unsub. notes 5.7s, 2012  343,000  364,849  535,000  569,079  126,000  134,026 
Duke Energy Corp. sr. unsec. notes 6 1/4s, 2018  --  --  304,000  318,981  1,062,000  1,114,335 
Dynegy Holdings, Inc. sr. unsec. notes 8 3/8s, 2016  255,000  216,113  250,000  211,875  115,000  97,463 
Dynegy-Roseton Danskamme company guaranty Ser. B,             
7.67s, 2016  145,000  127,238  195,000  171,113  90,000  78,975 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016  70,000  57,050  80,000  65,200  40,000  32,600 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013  30,000  26,850  35,000  31,325  20,000  17,900 
Edison Mission Energy sr. unsec. notes 7.2s, 2019  215,000  160,175  205,000  152,725  95,000  70,775 
Edison Mission Energy sr. unsec. notes 7s, 2017  10,000  7,675  5,000  3,838  5,000  3,838 
El Paso Corp. sr. notes Ser. GMTN, 7 3/4s, 2032  225,000  183,155  215,000  175,015  95,000  77,332 
El Paso Natural Gas Co. sr. unsec. notes 5.95s, 2017  --  --  40,000  38,502  35,000  33,689 
Electricite de France 144A notes 6 1/2s, 2019 (France)  165,000  180,713  375,000  410,711  450,000  492,853 
Entergy Gulf States, Inc. 1st mtge. 5 1/4s, 2015  --  --  215,000  205,160  225,000  214,702 
FirstEnergy Corp. notes Ser. B, 6.45s, 2011  295,000  307,909  2,970,000  3,099,967  2,485,000  2,593,744 
Florida Power Corp. 1st mtge. sec. bond 6.4s, 2038  --  --  328,000  364,709  1,146,000  1,274,257 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  --  --  115,000  114,967  110,000  109,968 
Indiantown Cogeneration LP 1st mtge. Ser. A-10, 9.77s,             
2020  --  --  215,000  198,338  225,000  207,563 
Inergy LP/Inergy Finance Corp. sr. unsec. notes             
6 7/8s, 2014  285,000  259,350  380,000  345,800  190,000  172,900 
Inergy LP/Inergy Finance Corp. 144A company guaranty             
sr. unsec. notes 8 3/4s, 2015  140,000  136,850  125,000  122,188  85,000  83,088 
Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,             
2016  105,000  100,275  230,000  219,650  200,000  191,000 
ITC Holdings Corp. 144A notes 5 7/8s, 2016  --  --  458,000  433,527  988,000  935,206 
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018  --  --  305,000  281,448  225,000  207,626 
Kansas Gas & Electric bonds 5.647s, 2021  --  --  79,549  75,805  74,870  71,346 

Kinder Morgan, Inc. sr. notes 6 1/2s, 2012  --  --  122,000  118,950  126,000  122,850 
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036  442,000  436,907  1,512,000  1,494,579  1,729,000  1,709,078 
MidAmerican Funding, LLC sr. sec. bond 6.927s, 2029  470,000  526,439  850,000  952,071  970,000  1,086,481 
Mirant Americas Generation, Inc. sr. unsec. notes             
8.3s, 2011  215,000  215,000  215,000  215,000  100,000  100,000 
Mirant North America, LLC company guaranty 7 3/8s, 2013  375,000  360,000  410,000  393,600  205,000  196,800 
National Fuel Gas Co. notes 5 1/4s, 2013  238,000  233,830  687,000  674,963  100,000  98,248 
Nevada Power Co. mtge. sec. notes 7 1/8s, 2019  115,000  123,748  265,000  285,157  315,000  338,961 
NiSource Finance Corp. company guaranty sr. unsec.             
notes 10 3/4s, 2016  65,000  72,098  60,000  66,552  40,000  44,368 
NiSource Finance Corp. company guaranty sr. unsec.             
unsub. notes 5.4s, 2014  90,000  85,160  80,000  75,697  55,000  52,042 
Northwestern Corp. sec. notes 5 7/8s, 2014  --  --  463,000  470,915  979,000  995,735 
NRG Energy, Inc. company guaranty 7 3/8s, 2017  100,000  94,500  110,000  103,950  55,000  51,975 
NRG Energy, Inc. sr. notes 7 3/8s, 2016  945,000  894,206  894,000  845,948  377,000  356,736 
Oncor Electric Delivery Co. debs. 7s, 2022  --  --  63,000  66,533  56,000  59,140 
Pacific Gas & Electric Co. 1st mtge. 6.05s, 2034  417,000  432,611  650,000  674,334  153,000  158,728 
Pacific Gas & Electric Co. sr. notes 8 1/4s, 2018  --  --  --  --  490,000  606,036 
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016  --  --  456,000  412,577  985,000  891,203 
Power Receivable Finance, LLC 144A sr. notes 6.29s,             
2012  --  --  125,285  123,509  108,298  106,762 
PSEG Energy Holdings, Inc. sr. notes 8 1/2s, 2011  175,000  176,683  225,000  227,164  110,000  111,058 
Public Service Co. of Colorado 1st mtge. sec. bonds             
5 1/8s, 2019  105,000  107,902  235,000  241,494  295,000  303,152 
Public Service Co. of Colorado sr. notes Ser. A,             
6 7/8s, 2009  --  --  215,000  215,246  205,000  205,235 
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s,             
2067  --  --  629,000  446,590  1,107,000  785,970 
Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014  90,000  88,651  125,000  123,126  60,000  59,100 
Southern Natural Gas. Co. 144A notes 5.9s, 2017  --  --  155,000  145,605  130,000  122,121 
Spectra Energy Capital, LLC sr. notes 8s, 2019  --  --  250,000  272,346  215,000  234,217 
Spectra Energy Capital, LLC sr. unsec. unsub. notes             
5.668s, 2014  1,645,000  1,661,057  --  --  --  -- 
Taqa Abu Dhabi National Energy sr. unsec. notes             
7 1/4s, 2018 (United Arab Emirates)  440,000  428,960  690,000  672,688  445,000  433,835 
Teco Finance, Inc. company guaranty sr. unsec. unsub.             
notes Ser. *, 7.2s, 2011  270,000  278,423  610,000  629,029  430,000  443,414 
Teco Finance, Inc. company guaranty sr. unsec. unsub.             
notes Ser. *, 6 3/4s, 2015  10,000  9,595  10,000  9,595  5,000  4,798 
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs.             
7 1/2s, 2017  25,000  26,156  30,000  31,387  15,000  15,694 
Texas Competitive Electric Holdings Co., LLC company             
guaranty sr. unsec. notes Ser. A, 10 1/4s, 2015             
(United Kingdom)  735,000  457,538  655,000  407,738  310,000  192,975 
TransAlta Corp. sr. unsec. notes 5 3/4s, 2013 (Canada)  --  --  140,000  138,336  150,000  148,218 
TransCanada Pipelines, Ltd. jr. sub. FRN 6.35s, 2067             
(Canada)  --  --  180,000  125,100  155,000  107,725 
TXU Corp. sr. notes Ser. P, 5.55s, 2014  525,000  331,496  554,000  349,807  237,000  149,647 
Union Electric Co. sr. sec. notes 6.4s, 2017  140,000  143,748  320,000  328,567  365,000  374,771 
West Penn Power Co. 144A 1st mtge. 5.95s, 2017  --  --  75,000  68,818  45,000  41,291 
    16,048,869    25,479,809    25,470,418 
 
Total corporate bonds and notes (cost $208,994,452,
$209,745,148 and $179,229,836)    $197,793,416    $198,700,562    $178,145,698 
 
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS(a)  Growth 11.1%    Balanced 25.0%    Conservative 34.4%   
Principal  Principal  Principal 
  amount  Value  amount  Value   amount  Value 
 
U.S. Government Guaranteed Mortgage Obligations    2.6%    5.1%    4.7% 
Government National Mortgage Association Pass-Through             
Certificates             
6 1/2s, with due dates from June 20, 2037 to             
November 20, 2037  $4,565,981  $4,849,928  $--  $--  $--  $-- 
6 1/2s, TBA, July 1, 2039  --  --  26,000,000  27,531,561  7,000,000  7,412,343 
5 1/2s, TBA, July 1, 2039  7,000,000  7,227,500  6,000,000  6,195,000  5,000,000  5,162,500 
4 1/2s, TBA, July 1, 2039  28,000,000  27,938,802  35,000,000  34,923,386  31,000,000  30,932,125 
    40,016,230    68,649,947    43,506,968 
 
 
U.S. Government Agency Mortgage Obligations    8.5%    19.9%    29.7% 
Federal Home Loan Mortgage Corporation Pass-Through             
Certificates             
6s, with due dates from July 1, 2013 to October 1, 2021  297,273  315,382  --  --  --  -- 
5 1/2s, with due dates from June 1, 2035 to             
November 1, 2036  56,677  58,650  --  --  273,393  284,575 
5 1/2s, with due dates from January 1, 2020 to             
April 1, 2020  456,320  481,570  --  --  --  -- 
Federal National Mortgage Association Pass-Through             
Certificates             
7s, with due dates from October 1, 2029 to             
January 1, 2036  1,004,064  1,097,985  --  --  --  -- 
7s, March 1, 2018  --  --  --  --  308,003  331,045 
7s, TBA, August 1, 2039  --  --  1,000,000  1,080,938  --  -- 
7s, TBA, July 1, 2039  --  --  2,000,000  2,170,625  --  -- 
6 1/2s, with due dates from June 1, 2037 to             
November 1, 2037  597,733  637,541  --  --  --  -- 
6 1/2s, TBA, July 1, 2039  1,000,000  1,064,531  26,000,000  27,677,811  --  -- 
6s, with due dates from September 1, 2011 to             
September 1, 2021  1,662,462  1,763,592  --  --  --  -- 
5 1/2s, with due dates from June 1, 2037 to             
November 1, 2037  1,490,762  1,542,764  --  --  --  -- 
5 1/2s, with due dates from February 1, 2014 to             
August 1, 2022  5,773,318  6,071,603  --  --  --  -- 
5 1/2s, TBA, July 1, 2039  21,000,000  21,672,655  74,000,000  76,370,309  93,000,000  95,978,902 
5 1/2s, TBA, July 1, 2024  --  --  --  --  24,000,000  25,110,000 
5s, July 1, 2035 (i)  8,547,585  8,780,763  --  --  579,497  595,306 
5s, May 1, 2033 (i)  --  --  --  --  1,551,548  1,617,163 
4 1/2s, with due dates from February 1, 2039 to             
April 1, 2039  814,912  814,021  --  --  --  -- 
4 1/2s, with due dates from April 1, 2020 to             
May 1, 2022  2,087,479  2,156,876  --  --  --  -- 
4 1/2s, TBA, August 1, 2039  12,000,000  11,925,469  17,000,000  16,894,415  23,000,000  22,857,149 
4 1/2s, TBA, July 1, 2039  76,000,000  75,810,000  142,000,000  141,645,000  115,000,000  114,712,500 
4 1/2s, TBA, July 1, 2024  --  --  --  --  11,000,000  11,220,000 
    134,193,402    265,839,098    272,706,640 
Total U.S. government and agency mortgage obligations
(cost $172,026,983, $331,870,752 and $313,401,782) $174,209,632    $334,489,045    $316,213,608 
 
 
U.S. TREASURY OBLIGATIONS(a)  Growth 0.6%   Balanced 0.4%   Conservative 0.6%  
Principal  Principal  Principal 
   amount  Value   amount  Value   amount  Value 
U.S. Treasury Notes 3 5/8s, May 15, 2013 (i)  $2,150,000  $2,287,342  $1,700,000  $1,808,596  $1,700,000  $1,808,596 
U.S. Treasury Notes 3 1/2s, August 15, 2009 (i)  350,000  355,005  --  --  --  -- 
U.S. Treasury Bonds 5 1/4s, February 15, 2029 (i)  1,114,000  1,277,669  --  --  --  -- 
U.S. Treasury Notes 4 3/4s, March 31, 2011 (i)  1,862,000  2,007,813  --  --  --  -- 
U.S. Treasury Notes 4 3/4s, May 31, 2012 (i)  1,377,000  1,507,939  --  --  --  -- 
U.S. Treasury Notes 4s, September 30, 2009 (i)  --  --  233,000  237,588  1,685,000  1,718,178 
U.S. Treasury Notes 3 5/8s, October 31, 2009 (i)  1,514,000  1,531,275  3,401,000  3,439,805  407,000  411,644 
U.S. Treasury Notes 2 1/8s, January 31, 2010 (i)  1,080,000  1,101,773  --  --  1,326,000  1,352,732 
U.S. Treasury Notes 1 3/4s, March 31, 2010 (i)  10,000  10,100  --  --  10,000  10,100 
Total U.S. treasury obligations (cost $10,078,916,
$5,485,989 and $5,301,250) $10,078,916    $5,485,989    $5,301,250 
 
 
MORTGAGE-BACKED SECURITIES(a)  Growth 6.6%    Balanced 11.4%   Conservative 14.0%  
Principal  Principal  Principal 
  amount  Value   amount  Value   amount  Value 
Asset Securitization Corp.             
Ser. 96-MD6, Class A7, 8.631s, 2029  $--  $--  $355,627  $393,743  $396,252  $438,722 
FRB Ser. 97-D5, Class A5, 7.27s, 2043  150,000  143,592  234,000  224,004  247,000  236,449 
Banc of America Alternative Loan Trust Ser. 06-7,             
Class A2, 5.707s, 2036  2,852,000  1,301,938  --  --  --  -- 
Banc of America Commercial Mortgage, Inc.             
Ser. 08-1, Class A3, 6.317s, 2014  5,700,000  4,734,751  --  --  --  -- 
FRB Ser. 07-3, Class A3, 5.837s, 2049  167,000  129,926  748,000  581,944  --  -- 
Ser. 07-2, Class A2, 5.634s, 2049  960,000  866,976  479,000  432,585  434,000  391,945 
Ser. 07-5, Class A3, 5.62s, 2051  578,000  433,550  --  --  --  -- 
Ser. 04-3, Class A5, 5.557s, 2039  230,000  210,370  920,000  841,478  930,000  850,625 
Ser. 06-4, Class A2, 5.522s, 2046  620,000  583,405  3,157,000  2,970,659  2,319,000  2,182,121 
Ser. 06-5, Class A2, 5.317s, 2047  --  --  --  --  1,847,000  1,710,089 
Ser. 05-6, Class A2, 5.165s, 2047  1,742,000  1,655,663  304,000  288,933  371,000  352,613 
Ser. 07-5, Class XW, IO, 0.606s, 2051  4,490,535  67,358  20,591,569  308,874  18,386,111  275,792 
Ser. 07-1, Class XW, IO, 0.463s, 2049  1,808,463  19,725  9,832,719  107,247  5,032,161  54,887 
Banc of America Commercial Mortgage, Inc. 144A             
Ser. 02-PB2, Class XC, IO, 1.002s, 2035  2,436,639  39,939  3,627,123  59,452  2,156,147  35,341 
Ser. 04-5, Class XC, IO, 0.46s, 2041  5,562,701  46,851  13,502,486  113,722  13,969,638  117,656 
Ser. 04-4, Class XC, IO, 0.423s, 2042  3,872,195  42,512  10,990,958  120,669  8,663,521  95,116 
Ser. 05-1, Class XW, IO, 0.144s, 2042  18,783,292  27,874  --  --  23,573,397  34,983 
Ser. 06-5, Class XC, IO, 0.137s, 2016  3,280,134  29,457  35,155,893  315,714  29,929,481  268,779 
Banc of America Funding Corp. FRB Ser. 06-D,             
Class 6A1, 5.934s, 2036  3,839,763  2,150,267  1,725,100  966,056  1,512,814  847,176 
Banc of America Large Loan             
FRB Ser. 04-BBA4, Class H, 1.269s, 2018  25,000  25,000  70,000  70,000  73,000  73,000 
FRB Ser. 04-BBA4, Class G, 1.019s, 2018  --  --  94,000  94,000  98,000  98,000 
Banc of America Large Loan 144A             
FRB Ser. 05-MIB1, Class K, 2.319s, 2022  190,000  86,585  186,000  84,762  187,000  85,218 
FRB Ser. 05-MIB1, Class J, 1.369s, 2022  100,000  30,000  409,000  122,700  343,000  102,900 
Banc of America Mortgage Securities Ser. 05-E,             
Class 2, IO, 0.3s, 2035  1,669,430  4,565  5,579,022  15,255  5,371,818  14,689 
Banc of America Structured Security Trust 144A Ser.             
02-X1, Class A3, 5.436s, 2033  --  --  69,316  69,220  71,112  71,014 
Bayview Commercial Asset Trust 144A             
Ser. 07-1, Class S, IO, 2.477s, 2037  1,117,615  62,077  6,967,392  386,995  3,225,578  179,161 
Ser. 06-4A, IO, 2.331s, 2036  321,991  22,088  936,000  64,205  1,107,782  75,988 
Ser. 05-1A, IO, 2.15s, 2035  322,794  11,298  898,420  31,445  858,372  30,043 
Ser. 06-2A, IO, 1.798s, 2036  121,702  6,743  583,599  32,335  555,131  30,758 
Ser. 05-3A, IO, 1.6s, 2035  984,767  48,826  3,172,684  157,305  2,865,782  142,088 
Ser. 07-5A, IO, 1.55s, 2037  --  --  3,499,658  254,775  2,951,048  214,836 
FRB Ser. 05-1A, Class A1, 0.614s, 2035  26,829  15,148  205,687  116,131  152,030  85,836 
Bear Stearns Alternate Trust             
FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036  2,058,868  968,977  2,737,553  1,288,391  --  -- 
FRB Ser. 06-6, Class 2A1, 5.841s, 2036  1,017,868  494,766  1,361,669  661,882  --  -- 
FRB Ser. 05-7, Class 23A1, 5 5/8s, 2035  2,582,116  1,391,574  1,103,351  594,626  --  -- 
Ser. 04-9, Class 1A1, 4.955s, 2034  13,437  7,780  25,776  14,924  23,515  13,614 
Bear Stearns Asset Backed Securities, Inc. FRB Ser.             
06-2, Class A1, 0.444s, 2036  71,539  66,326  --  --  --  -- 
Bear Stearns Commercial Mortgage Securities, Inc.             
FRB Ser. 00-WF2, Class F, 8.45s, 2032  --  --  189,000  109,770  124,000  72,018 
Ser. 07-PW17, Class A3, 5.736s, 2050  1,999,000  1,634,962  --  --  7,002,000  5,726,866 
Ser. 07-PW18, Class A2, 5.613s, 2050  656,000  592,153  --  --  --  -- 

Ser. 05-PWR9, Class A2, 4.735s, 2042  --  --  626,000  601,375  860,000  826,171 
Ser. 04-PR3I, Class X1, IO, 0.243s, 2041  391,089  4,693  2,620,089  31,441  4,257,207  51,086 
Ser. 05-PWR9, Class X1, IO, 0.129s, 2042  --  --  8,680,175  46,873  13,074,531  70,602 
Bear Stearns Commercial Mortgage Securities, Inc. 144A             
Ser. 06-PW14, Class XW, IO, 0.882s, 2038  3,154,344  79,237  8,656,746  217,457  7,932,073  199,254 
Ser. 06-PW14, Class X1, IO, 0.135s, 2038  3,392,296  28,936  9,308,657  79,403  8,530,887  72,768 
Ser. 07-PW15, Class X1, IO, 0.109s, 2044  6,144,939  38,652  29,156,531  183,395  19,823,788  124,692 
Ser. 07-PW18, Class X1, IO, 0.095s, 2050  1,060,432  5,988  6,611,284  37,334  4,442,671  25,088 
Ser. 05-PW10, Class X1, IO, 0.08s, 2040  11,226,349  23,239  --  --  --  -- 
Bear Stearns Small Balance Commercial Trust 144A Ser.             
06-1A, Class AIO, IO, 1s, 2034  --  --  1,072,400  6,971  1,117,600  7,264 
Chase Commercial Mortgage Securities Corp. Ser. 00-3,             
Class A2, 7.319s, 2032  8,777  8,960  103,563  105,724  101,808  103,932 
Chase Commercial Mortgage Securities Corp. 144A Ser.             
98-1, Class F, 6.56s, 2030  --  --  --  --  896,000  918,896 
Citigroup FRB Ser. 07-AR5, Class 1A2A, 5.604s, 2037  --  --  --  --  4,921,176  2,373,698 
Citigroup Commercial Mortgage Trust             
Ser. 08-C7, Class A3, 6.299s, 2014  2,270,000  1,739,998  2,995,000  2,295,724  --  -- 
Ser. 08-C7, Class A2A, 6.034s, 2049  1,230,000  1,084,885  1,630,000  1,437,693  --  -- 
Citigroup Commercial Mortgage Trust 144A Ser. 06-C5,             
Class XC, IO, 0.117s, 2049  6,548,097  39,289  36,810,790  220,865  39,830,567  238,983 
Citigroup Mortgage Loan Trust, Inc.             
IFB Ser. 07-6, Class 2A5, IO, 6.336s, 2037  593,476  60,167  1,499,045  151,973  1,274,106  129,169 
FRB Ser. 06-AR5, Class 2A5A, 6.197s, 2036  1,323,081  665,265  1,768,737  889,348  --  -- 
FRB Ser. 05-10, Class 1A5A, 5.83s, 2035  92,209  51,637  942,912  528,031  373,596  209,214 
FRB Ser. 07-6, Class 1A3A, 5.786s, 2046  --  --  --  --  1,624,585  763,555 
FRB Ser. 06-AR7, Class 2A2A, 5.637s, 2036  3,655,297  1,973,860  --  --  --  -- 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A             
Ser. 07-CD4, Class XW, IO, 0.559s, 2049  3,337,447  41,051  10,006,366  123,078  7,942,746  97,696 
Ser. 06-CD2, Class X, IO, 0.127s, 2046  2,467,089  5,676  16,295,019  37,490  17,881,216  41,140 
Ser. 07-CD4, Class XC, IO, 0.089s, 2049  11,162,671  47,999  33,463,113  143,891  26,561,141  114,213 
Ser. 07-CD5, Class XS, IO, 0.077s, 2044  --  --  3,217,277  11,804  --  -- 
CNL Funding Ser. 99-1, Class A2, 7.645s, 2014  109,477  95,487  408,295  356,120  256,642  223,847 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1, IO,             
1.217s, 2017  409,902  11,332  1,547,629  42,784  1,005,259  27,790 
Commercial Mortgage Acceptance Corp. 144A             
Ser. 98-C1, Class F, 6.23s, 2031  --  --  415,000  370,799  404,000  360,971 
Ser. 98-C2, Class F, 5.44s, 2030  1,370,000  1,117,150  2,607,000  2,125,848  2,247,000  1,832,290 
Commercial Mortgage Loan Trust Ser. 08-LS1, Class A4B,             
6.22s, 2017  166,000  123,084  842,000  624,320  618,000  458,230 
Commercial Mortgage Pass-Through Certificates 144A             
Ser. 06-CN2A, Class H, 5.756s, 2019  66,000  23,760  197,000  70,920  218,000  78,480 
Ser. 06-CN2A, Class J, 5.756s, 2019  53,000  13,780  158,000  41,080  174,000  45,240 
FRB Ser. 01-J2A, Class A2F, 0.818s, 2034  118,000  97,998  326,000  270,741  314,000  260,775 
Ser. 03-LB1A, Class X1, IO, 0.511s, 2038  851,283  26,426  1,809,827  56,182  1,956,247  60,728 
Ser. 05-LP5, Class XC, IO, 0.183s, 2043  5,638,693  27,053  12,560,056  60,259  12,218,841  58,622 
Ser. 06-C8, Class XS, IO, 0.085s, 2046  10,490,566  46,370  28,378,567  125,438  25,854,469  114,281 
Ser. 05-C6, Class XC, IO, 0.064s, 2044  8,698,224  27,671  25,498,860  81,116  12,806,946  40,741 
Countrywide Alternative Loan Trust             
Ser. 06-45T1, Class 2A2, 6s, 2037  3,573,174  1,875,358  --  --  --  -- 
Ser. 06-J8, Class A4, 6s, 2037  3,011,233  1,580,427  1,286,749  675,342  --  -- 
Ser. 07-HY5R, Class 2A1A, 5.544s, 2047  1,258,769  859,749  646,290  441,421  606,628  414,332 
Countrywide Home Loans             
FRB Ser. 05-HYB7, Class 6A1, 5.667s, 2035  3,751,290  1,950,671  757,399  393,847  --  -- 
FRB Ser. 06-HYB1, Class 1A1, 5.309s, 2036  --  --  714,208  332,722  1,573,094  732,844 
FRB Ser. 06-HYB1, Class 2A1, 5.292s, 2036  658,374  368,690  3,431,453  1,921,614  4,487,608  2,513,060 
FRB Ser. 05-HYB4, Class 2A1, 4.891s, 2035  --  --  1,779,132  1,014,105  2,230,927  1,271,629 
Countrywide Home Loans 144A             
IFB Ser. 05-R2, Class 2A3, 8s, 2035  94,680  104,710  --  --  177,156  195,923 
IFB Ser. 05-R1, Class 1AS, IO, 5.58s, 2035  219,846  18,951  1,571,879  135,496  1,567,543  135,122 
Ser. 06-R1, Class AS, IO, 5.572s, 2036  --  --  959,582  82,885  1,058,696  91,446 
Ser. 05-R3, Class AS, IO, 5.524s, 2035  554,969  45,064  2,710,735  220,112  2,129,219  172,893 
IFB Ser. 05-R2, Class 1AS, IO, 5.242s, 2035  209,733  17,030  1,357,768  110,251  1,251,230  101,600 
Credit Suisse Mortgage Capital Certificates             
FRB Ser. 08-C1, Class A2, 6.425s, 2041  105,000  91,332  --  --  --  -- 
FRB Ser. 07-C4, Class A2, 6.004s, 2039  587,000  542,592  2,631,000  2,431,959  2,064,000  1,907,854 
Ser. 07-3, Class 1A1A, 5.837s, 2037  155,812  87,255  1,566,388  877,177  600,822  336,461 
Ser. 07-C2, Class A2, 5.448s, 2049  249,000  231,130  --  --  --  -- 
Ser. 06-C5, Class AX, IO, 0.145s, 2039  6,713,111  44,917  18,162,552  121,526  16,550,332  110,738 
Credit Suisse Mortgage Capital Certificates 144A             
FRB Ser. 06-TFLA, Class K, 1.519s, 2021  50,000  12,500  --  --  484,000  121,000 
Ser. 07-C2, Class AX, IO, 0.279s, 2049  17,319,438  86,597  47,618,236  238,091  37,613,023  188,065 
Ser. 06-C4, Class AX, IO, 0.133s, 2039  6,308,050  47,070  29,145,113  217,478  24,358,807  181,763 
Ser. 07-C1, Class AX, IO, 0.11s, 2040  7,588,736  33,618  36,466,106  161,545  24,750,895  109,646 
CRESI Finance Limited Partnership 144A FRB Ser. 06-A,             
Class C, 0.914s, 2017  --  --  155,000  85,250  161,000  88,550 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,             
Class B, 7s, 2033  620,764  553,838  --  --  --  -- 
CS First Boston Mortgage Securities Corp. Ser. 04-C2,             
Class A2, 5.416s, 2036  260,000  227,896  1,050,000  920,350  1,050,000  920,350 
CS First Boston Mortgage Securities Corp. 144A             
Ser. 98-C2, Class F, 6 3/4s, 2030  353,000  249,394  --  --  --  -- 
FRB Ser. 05-TFLA, Class J, 1.269s, 2020  --  --  67,000  44,890  65,500  43,885 
FRB Ser. 04-TF2A, Class J, 1.269s, 2016  153,000  99,450  310,000  201,500  349,000  226,850 
FRB Ser. 05-TF2A, Class J, 1.219s, 2020  43,847  32,885  148,024  111,018  148,683  111,512 
FRB Ser. 04-TF2A, Class H, 1.019s, 2019  100,000  75,000  132,000  99,000  128,000  96,000 
Ser. 01-CK1, Class AY, IO, 0.9s, 2035  4,363,951  33,160  12,087,465  91,849  11,631,399  88,384 
Ser. 03-C3, Class AX, IO, 0.549s, 2038  5,708,688  194,839  11,064,350  377,630  12,797,741  436,791 
Ser. 02-CP3, Class AX, IO, 0.478s, 2035  1,179,293  38,220  8,039,642  260,556  5,806,780  188,191 
Ser. 04-C4, Class AX, IO, 0.449s, 2039  605,716  10,095  4,058,127  67,636  3,207,035  53,451 
CWCapital Cobalt             
FRB Ser. 07-C3, Class A3, 6.015s, 2046  394,000  310,451  --  --  --  -- 
Ser. 07-C2, Class A2, 5.334s, 2047  439,000  392,135  2,629,000  2,348,345  897,000  801,242 
Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1,             
Class X, IO, 0.781s, 2031  468,148  8,853  1,814,210  34,309  1,358,507  25,691 
DLJ Commercial Mortgage Corp.             
Ser. 00-CF1, Class A1B, 7.62s, 2033  33,869  34,742  409,907  420,473  402,091  412,455 
Ser. 99-CG2, Class B3, 6.1s, 2032  --  --  378,000  376,123  332,000  330,352 
Ser. 99-CG2, Class B4, 6.1s, 2032  --  --  571,000  428,250  551,000  413,250 
Fannie Mae             
IFB Ser. 06-70, Class SM, 52.158s, 2036  --  --  86,611  137,194  81,235  128,679 
IFB Ser. 07-75, Class JS, 49.85s, 2037  144,216  219,542  --  --  254,542  387,491 
IFB Ser. 07-80, Class AS, 46.85s, 2037  --  --  467,760  708,608  381,110  577,343 
IFB Ser. 06-62, Class PS, 38.018s, 2036  154,587  213,805  294,745  407,655  239,781  331,635 
IFB Ser. 07-W7, Class 1A4, 37.298s, 2037  216,832  269,230  482,248  598,785  410,270  509,414 
IFB Ser. 07-30, Class FS, 28.374s, 2037  145,873  187,786  483,929  622,972  372,015  478,904 
IFB Ser. 06-49, Class SE, 27.745s, 2036  240,715  317,065  679,829  895,458  588,954  775,759 
IFB Ser. 05-25, Class PS, 26.78s, 2035  92,550  116,781  --  --  67,554  85,242 
IFB Ser. 06-30, Class HK, 25.345s, 2036  154,813  186,393  --  --  --  -- 
IFB Ser. 06-115, Class ES, 25.305s, 2036  --  --  607,719  786,116  467,362  604,556 
IFB Ser. 05-115, Class NQ, 23.761s, 2036  --  --  154,058  180,330  155,216  181,686 
IFB Ser. 05-74, Class CP, 23.6s, 2035  122,366  148,311  259,415  314,419  260,639  315,902 
IFB Ser. 06-8, Class HP, 23.416s, 2036  141,278  178,253  --  --  443,226  559,225 
IFB Ser. 05-99, Class SA, 23.416s, 2035  62,611  77,838  301,158  374,403  302,410  375,959 
IFB Ser. 05-45, Class DC, 23.16s, 2035  123,340  153,406  431,691  536,920  308,351  383,514 
IFB Ser. 06-46, Class SK, 23.05s, 2036  195,278  232,268  --  --  --  -- 
IFB Ser. 05-95, Class OP, 19.386s, 2035  --  --  197,063  216,234  197,931  217,186 
IFB Ser. 05-106, Class JC, 19.151s, 2035  --  --  146,363  172,507  139,242  164,115 
IFB Ser. 05-83, Class QP, 16.578s, 2034  --  --  108,771  118,660  108,771  118,660 
FRB Ser. 03-W6, Class PT1, 10.262s, 2042  26,785  30,585  --  --  --  -- 
Ser. 02-T4, Class A4, 9 1/2s, 2041  25,413  28,891  --  --  --  -- 
Ser. 02-T1, Class A4, 9 1/2s, 2031  3,305  3,575  --  --  --  -- 
Ser. 04-T3, Class PT1, 8.888s, 2044  26,968  29,177  --  --  85,246  92,226 
Ser. 383, Class 90, IO, 8s, 2037  69,315  9,374  91,496  12,374  --  -- 
Ser. 383, Class 91, IO, 8s, 2037  69,046  8,831  71,808  9,185  --  -- 
Ser. 02-26, Class A2, 7 1/2s, 2048  65,094  70,180  --  --  --  -- 
Ser. 04-T3, Class 1A4, 7 1/2s, 2044  2,374  2,566  --  --  6,859  7,412 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  51,273  55,407  --  --  --  -- 
Ser. 03-W1, Class 2A, 7 1/2s, 2042  93,694  101,248  --  --  722,373  780,614 
Ser. 02-T19, Class A3, 7 1/2s, 2042  18,964  20,493  --  --  --  -- 
Ser. 02-T12, Class A3, 7 1/2s, 2042  14,896  16,098  --  --  --  -- 
Ser. 02-14, Class A2, 7 1/2s, 2042  97,348  105,198  --  --  --  -- 
Ser. 01-T10, Class A2, 7 1/2s, 2041  7,290  7,878  --  --  --  -- 
Ser. 02-T4, Class A3, 7 1/2s, 2041  37,345  40,356  --  --  337,789  365,023 
Ser. 01-T12, Class A2, 7 1/2s, 2041  38,436  41,535  --  --  --  -- 
Ser. 01-T3, Class A1, 7 1/2s, 2040  10,539  11,389  --  --  27,754  29,992 
Ser. 01-T1, Class A1, 7 1/2s, 2040  10,371  11,208  --  --  73,076  78,968 
Ser. 99-T2, Class A1, 7 1/2s, 2039  78,999  86,159  --  --  16,953  18,489 
Ser. 386, Class 26, IO, 7 1/2s, 2038  127,062  16,303  --  --  --  -- 
Ser. 386, Class 27, IO, 7 1/2s, 2037  74,997  11,547  107,939  16,620  --  -- 
Ser. 386, Class 28, IO, 7 1/2s, 2037  72,956  9,090  104,738  13,049  --  -- 
Ser. 383, Class 88, IO, 7 1/2s, 2037  138,769  20,662  --  --  --  -- 
Ser. 383, Class 89, IO, 7 1/2s, 2037  108,619  16,482  --  --  --  -- 
Ser. 383, Class 87, IO, 7 1/2s, 2037  174,290  23,044  --  --  --  -- 
Ser. 02-33, Class A2, 7 1/2s, 2032  22,168  23,955  --  --  --  -- 
Ser. 02-T1, Class A3, 7 1/2s, 2031  25,115  27,139  --  --  78,647  84,988 
Ser. 01-T4, Class A1, 7 1/2s, 2028  15,352  16,590  --  --  --  -- 
IFB Ser. 07-W6, Class 6A2, IO, 7.486s, 2037  69,274  7,260  665,031  69,700  534,399  56,009 
IFB Ser. 06-90, Class SE, IO, 7.486s, 2036  152,453  19,950  554,198  72,522  806,760  105,573 
IFB Ser. 04-17, Class ST, IO, 7.286s, 2034  386,251  57,709  --  --  --  -- 
IFB Ser. 08-7, Class SA, IO, 7.236s, 2038  481,715  60,750  --  --  --  -- 
Ser. 02-26, Class A1, 7s, 2048  37,406  40,024  --  --  --  -- 
Ser. 04-W12, Class 1A3, 7s, 2044  138,219  149,277  --  --  --  -- 
Ser. 04-T3, Class 1A3, 7s, 2044  64,132  68,622  --  --  --  -- 
Ser. 04-T2, Class 1A3, 7s, 2043  38,647  41,352  --  --  --  -- 
Ser. 03-W8, Class 2A, 7s, 2042  30,922  33,241  --  --  --  -- 
Ser. 03-W3, Class 1A2, 7s, 2042  56,615  60,578  --  --  --  -- 
Ser. 02-T16, Class A2, 7s, 2042  34,610  37,033  --  --  --  -- 
Ser. 02-14, Class A1, 7s, 2042  131,921  141,155  --  --  --  -- 
Ser. 02-T4, Class A2, 7s, 2041  16,587  17,748  --  --  --  -- 
Ser. 01-W3, Class A, 7s, 2041  54,118  57,906  --  --  66,001  70,621 
Ser. 386, Class 24, IO, 7s, 2038  110,047  14,144  --  --  --  -- 
Ser. 386, Class 25, IO, 7s, 2038  117,375  14,741  --  --  --  -- 
Ser. 386, Class 22, IO, 7s, 2038  152,150  19,252  --  --  --  -- 
Ser. 386, Class 21, IO, 7s, 2037  174,045  22,436  --  --  --  -- 
Ser. 386, Class 23, IO, 7s, 2037  169,262  21,748  --  --  --  -- 
Ser. 383, Class 84, IO, 7s, 2037  159,086  20,408  --  --  --  -- 
Ser. 383, Class 85, IO, 7s, 2037  101,650  13,207  --  --  --  -- 
Ser. 383, Class 86, IO, 7s, 2037  79,260  9,386  114,404  13,548  --  -- 
Ser. 383, Class 79, IO, 7s, 2037  157,560  18,680  --  --  --  -- 
Ser. 383, Class 80, IO, 7s, 2037  354,312  45,593  509,131  65,515  --  -- 
Ser. 383, Class 81, IO, 7s, 2037  190,849  23,256  --  --  --  -- 
Ser. 383, Class 82, IO, 7s, 2037  190,562  24,301  --  --  --  -- 
Ser. 383, Class 83, IO, 7s, 2037  161,757  20,707  --  --  --  -- 
Ser. 05-W4, Class 1A3, 7s, 2035  107,665  115,202  --  --  327,805  350,751 
Ser. 04-W1, Class 2A2, 7s, 2033  342,550  368,455  --  --  --  -- 
IFB Ser. 07-W6, Class 5A2, IO, 6.976s, 2037  105,133  10,268  1,008,494  98,497  810,689  79,178 
IFB Ser. 07-W4, Class 4A2, IO, 6.966s, 2037  723,071  70,519  3,738,773  364,633  3,284,487  320,328 
IFB Ser. 07-W2, Class 3A2, IO, 6.966s, 2037  195,099  19,028  1,001,001  97,625  843,519  82,266 
IFB Ser. 05-113, Class AI, IO, 6.916s, 2036  --  --  173,432  18,392  252,362  26,763 
IFB Ser. 05-52, Class DC, IO, 6.886s, 2035  292,066  34,589  648,972  76,857  675,367  79,982 
IFB Ser. 06-79, Class DI, IO, 6.836s, 2036  318,901  35,621  1,902,389  212,497  1,801,140  201,187 

IFB Ser. 06-60, Class SI, IO, 6.836s, 2036  753,768  91,483  1,939,585  235,402  1,753,650  212,836 
IFB Ser. 06-60, Class UI, IO, 6.836s, 2036  200,627  23,926  466,964  55,689  392,166  46,769 
IFB Ser. 04-89, Class EI, IO, 6.836s, 2034  553,643  60,691  --  --  --  -- 
IFB Ser. 04-24, Class CS, IO, 6.836s, 2034  210,212  24,600  --  --  909,925  106,484 
IFB Ser. 07-W7, Class 3A2, IO, 6.816s, 2037  325,623  31,073  1,548,148  147,736  1,310,415  125,050 
IFB Ser. 03-122, Class SA, IO, 6.786s, 2028  227,072  18,007  806,881  63,987  776,444  61,574 
IFB Ser. 03-122, Class SJ, IO, 6.786s, 2028  239,729  18,965  851,834  67,390  818,060  64,718 
IFB Ser. 04-60, Class SW, IO, 6.736s, 2034  380,686  42,730  1,325,277  148,756  1,270,570  142,615 
IFB Ser. 05-65, Class KI, IO, 6.686s, 2035  608,989  66,005  898,894  97,426  1,122,859  121,701 
Ser. 386, Class 19, IO, 6 1/2s, 2038  160,683  22,089  --  --  --  -- 
Ser. 386, Class 17, IO, 6 1/2s, 2037  247,056  34,394  --  --  --  -- 
Ser. 386, Class 16, IO, 6 1/2s, 2037  168,793  23,515  --  --  --  -- 
Ser. 383, Class 62, IO, 6 1/2s, 2037  223,958  31,456  --  --  --  -- 
Ser. 383, Class 69, IO, 6 1/2s, 2037  128,244  16,686  --  --  --  -- 
Ser. 383, Class 63, IO, 6 1/2s, 2037  177,175  25,185  --  --  --  -- 
Ser. 383, Class 64, IO, 6 1/2s, 2037  321,957  44,596  462,720  64,094  --  -- 
Ser. 383, Class 67, IO, 6 1/2s, 2037  172,295  24,165  --  --  --  -- 
Ser. 383, Class 68, IO, 6 1/2s, 2037  82,956  11,609  119,456  16,718  --  -- 
Ser. 383, Class 58, IO, 6 1/2s, 2037  364,706  49,229  525,040  70,871  --  -- 
Ser. 383, Class 59, IO, 6 1/2s, 2037  237,014  33,299  --  --  --  -- 
Ser. 383, Class 61, IO, 6 1/2s, 2037  185,795  26,077  --  --  --  -- 
Ser. 383, Class 65, IO, 6 1/2s, 2037  223,559  31,403  --  --  --  -- 
Ser. 383, Class 66, IO, 6 1/2s, 2037  231,429  32,910  --  --  --  -- 
Ser. 383, Class 77, IO, 6 1/2s, 2037  133,888  18,803  --  --  --  -- 
Ser. 383, Class 78, IO, 6 1/2s, 2037  138,110  17,234  --  --  --  -- 
Ser. 381, Class 14, IO, 6 1/2s, 2037  184,106  24,854  476,109  64,275  453,473  61,219 
Ser. 381, Class 16, IO, 6 1/2s, 2037  --  --  --  --  110,725  13,969 
Ser. 381, Class 15, IO, 6 1/2s, 2037  77,961  10,034  --  --  191,903  24,698 
Ser. 383, Class 73, IO, 6 1/2s, 2037  304,650  42,446  438,665  61,118  --  -- 
Ser. 383, Class 76, IO, 6 1/2s, 2037  186,046  25,007  --  --  --  -- 
Ser. 383, Class 74, IO, 6 1/2s, 2037  252,952  35,592  --  --  --  -- 
Ser. 383, Class 71, IO, 6 1/2s, 2036  195,093  26,834  --  --  --  -- 
Ser. 383, Class 75, IO, 6 1/2s, 2036  158,165  21,748  --  --  --  -- 
Ser. 383, Class 101, IO, 6 1/2s, 2022  68,517  8,168  97,967  11,678  --  -- 
Ser. 383, Class 102, IO, 6 1/2s, 2022  --  --  66,630  7,374  --  -- 
IFB Ser. 08-41, Class S, IO, 6.486s, 2036  1,919,038  191,087  346,703  34,523  305,569  30,427 
IFB Ser. 07-54, Class CI, IO, 6.446s, 2037  99,368  10,270  938,825  97,031  754,399  77,970 
IFB Ser. 07-30, Class WI, IO, 6.446s, 2037  631,383  61,042  --  --  --  -- 
IFB Ser. 07-58, Class SP, IO, 6.436s, 2037  --  --  1,080,259  122,089  858,540  97,030 
IFB Ser. 07-28, Class SE, IO, 6.436s, 2037  320,453  33,512  934,717  97,751  733,007  76,656 
IFB Ser. 06-128, Class SH, IO, 6.436s, 2037  94,668  7,867  679,056  56,431  699,627  58,140 
IFB Ser. 05-12, Class SC, IO, 6.436s, 2035  422,384  50,636  929,735  111,458  804,277  96,418 
IFB Ser. 05-17, Class ES, IO, 6.436s, 2035  157,351  16,208  559,117  57,593  536,948  55,309 
IFB Ser. 05-17, Class SY, IO, 6.436s, 2035  118,482  12,305  260,546  27,060  250,216  25,987 
IFB Ser. 07-W5, Class 2A2, IO, 6.426s, 2037  --  --  454,308  40,873  380,370  34,221 
IFB Ser. 07-30, Class IE, IO, 6.426s, 2037  455,249  60,864  2,238,310  299,247  1,878,729  251,174 
IFB Ser. 06-123, Class CI, IO, 6.426s, 2037  719,362  77,783  2,085,421  225,492  1,642,179  177,566 
IFB Ser. 06-123, Class UI, IO, 6.426s, 2037  301,189  32,016  791,964  84,186  665,336  70,725 
IFB Ser. 05-82, Class SY, IO, 6.416s, 2035  342,718  35,780  1,168,037  121,943  1,124,426  117,390 
IFB Ser. 05-45, Class EW, IO, 6.406s, 2035  428,433  43,363  2,163,359  218,962  2,189,143  221,572 
IFB Ser. 05-45, Class SR, IO, 6.406s, 2035  442,932  43,035  1,541,971  149,818  1,478,320  143,634 
IFB Ser. 06-126, Class CS, IO, 6.386s, 2037  293,322  26,359  400,582  35,998  374,314  33,637 
IFB Ser. 06-31, Class SX, IO, 6.386s, 2036  379,009  42,178  2,372,485  264,020  2,245,926  249,936 
IFB Ser. 06-36, Class SP, IO, 6.386s, 2036  295,635  29,800  2,454,300  247,393  1,295,732  130,610 
IFB Ser. 06-23, Class SP, IO, 6.386s, 2036  --  --  592,511  69,405  653,548  76,555 
IFB Ser. 06-16, Class SM, IO, 6.386s, 2036  367,144  42,396  853,148  98,517  664,294  76,709 
IFB Ser. 05-95, Class CI, IO, 6.386s, 2035  213,984  25,816  691,884  83,471  695,127  83,862 
IFB Ser. 05-84, Class SG, IO, 6.386s, 2035  358,749  38,207  1,147,067  122,163  1,150,550  122,534 
IFB Ser. 05-57, Class NI, IO, 6.386s, 2035  159,467  17,171  407,728  43,903  342,491  36,878 
IFB Ser. 06-3, Class SB, IO, 6.386s, 2035  215,007  24,468  944,096  107,438  1,038,580  118,190 
IFB Ser. 05-54, Class SA, IO, 6.386s, 2035  314,899  30,999  1,088,263  107,131  1,050,636  103,427 
IFB Ser. 05-23, Class SG, IO, 6.386s, 2035  236,634  25,409  841,308  90,336  808,078  86,768 
IFB Ser. 05-29, Class SX, IO, 6.386s, 2035  645,951  65,659  133,446  13,564  106,846  10,861 
IFB Ser. 05-29, Class SY, IO, 6.386s, 2035  732,764  77,617  --  --  --  -- 
IFB Ser. 05-17, Class SA, IO, 6.386s, 2035  666,055  71,173  749,312  80,070  719,603  76,895 
IFB Ser. 05-17, Class SE, IO, 6.386s, 2035  229,280  24,376  814,702  86,616  782,401  83,182 
IFB Ser. 05-57, Class DI, IO, 6.386s, 2035  499,956  44,846  --  --  2,176,183  195,204 
IFB Ser. 05-104, Class SI, IO, 6.386s, 2033  1,263,579  126,737  --  --  --  -- 
IFB Ser. 05-83, Class QI, IO, 6.376s, 2035  --  --  194,629  21,676  196,150  21,846 
IFB Ser. 06-128, Class GS, IO, 6.366s, 2037  109,304  11,159  1,025,721  104,719  824,486  84,174 
IFB Ser. 06-114, Class IS, IO, 6.336s, 2036  166,370  15,863  851,260  81,166  717,471  68,409 
IFB Ser. 06-116, Class ES, IO, 6.336s, 2036  275,986  24,350  657,962  58,052  790,105  69,711 
IFB Ser. 06-116, Class LS, IO, 6.336s, 2036  562,477  60,746  --  --  --  -- 
IFB Ser. 06-51, Class SP, IO, 6.336s, 2036  --  --  5,595,301  663,457  2,143,669  254,183 
IFB Ser. 06-115, Class EI, IO, 6.326s, 2036  1,866,222  194,444  --  --  --  -- 
IFB Ser. 06-115, Class GI, IO, 6.326s, 2036  --  --  898,791  94,279  741,977  77,830 
IFB Ser. 06-115, Class IE, IO, 6.326s, 2036  265,037  29,224  683,124  75,324  573,377  63,223 
IFB Ser. 06-117, Class SA, IO, 6.326s, 2036  390,170  36,182  1,026,579  95,200  862,186  79,955 
IFB Ser. 06-121, Class SD, IO, 6.326s, 2036  331,276  32,598  2,003,196  197,114  1,529,238  150,477 
IFB Ser. 06-109, Class SG, IO, 6.316s, 2036  479,626  45,564  1,392,734  132,310  1,066,224  101,291 
IFB Ser. 06-104, Class IM, IO, 6.306s, 2036  89,044  8,600  298,140  28,795  378,439  36,551 
IFB Ser. 06-104, Class SY, IO, 6.306s, 2036  189,956  16,574  637,337  55,610  808,953  70,584 
IFB Ser. 06-109, Class SH, IO, 6.306s, 2036  370,529  43,673  1,087,421  128,172  853,827  100,639 
IFB Ser. 06-111, Class SA, IO, 6.306s, 2036  2,898,731  317,427  --  --  --  -- 
IFB Ser. 07-W6, Class 4A2, IO, 6.286s, 2037  614,212  54,055  4,342,051  382,133  3,489,799  307,129 
IFB Ser. 06-116, Class S, IO, 6.286s, 2036  1,957,187  185,389  2,660,895  252,045  --  -- 
IFB Ser. 06-104, Class IC, IO, 6.286s, 2036  561,063  65,304  --  --  2,883,287  335,594 
IFB Ser. 06-43, Class SI, IO, 6.286s, 2036  538,834  56,914  2,510,047  265,123  2,167,522  228,944 
IFB Ser. 06-8, Class JH, IO, 6.286s, 2036  605,641  67,279  3,111,631  345,660  2,619,349  290,974 
IFB Ser. 06-8, Class PS, IO, 6.286s, 2036  212,838  18,473  --  --  --  -- 
IFB Ser. 09-12, Class CI, IO, 6.286s, 2036  677,415  80,067  --  --  2,209,710  261,177 
IFB Ser. 05-122, Class SG, IO, 6.286s, 2035  90,070  10,180  874,771  98,871  680,984  76,968 
IFB Ser. 05-122, Class SW, IO, 6.286s, 2035  354,038  37,936  931,246  99,785  781,778  83,769 
IFB Ser. 06-45, Class XS, IO, 6.286s, 2034  346,766  36,329  --  --  --  -- 
IFB Ser. 06-101, Class SA, IO, 6.266s, 2036  690,750  71,423  3,442,247  355,925  2,927,399  302,690 
IFB Ser. 06-92, Class JI, IO, 6.266s, 2036  229,793  23,014  579,381  58,026  752,668  75,381 
IFB Ser. 06-92, Class LI, IO, 6.266s, 2036  386,551  36,827  1,015,563  96,753  852,768  81,243 
IFB Ser. 06-96, Class ES, IO, 6.266s, 2036  212,372  19,689  1,283,851  119,028  979,383  90,800 
IFB Ser. 06-99, Class AS, IO, 6.266s, 2036  314,183  31,764  803,918  81,276  1,006,639  101,771 
IFB Ser. 06-60, Class YI, IO, 6.256s, 2036  373,973  48,436  817,522  105,884  736,087  95,337 
IFB Ser. 06-85, Class TS, IO, 6.246s, 2036  257,667  22,375  976,704  84,813  1,147,358  99,632 
IFB Ser. 06-95, Class SH, IO, 6.236s, 2036  2,256,170  195,694  3,067,438  266,061  --  -- 
IFB Ser. 06-86, Class SB, IO, 6.236s, 2036  539,973  64,177  2,635,913  313,284  2,070,503  246,084 
IFB Ser. 07-75, Class PI, IO, 6.226s, 2037  276,507  23,440  1,295,133  109,788  1,111,590  94,229 
IFB Ser. 07-W7, Class 2A2, IO, 6.216s, 2037  710,123  61,800  2,911,504  253,381  2,489,708  216,673 
IFB Ser. 07-88, Class MI, IO, 6.206s, 2037  119,646  10,675  651,320  58,115  575,794  51,376 
Ser. 06-94, Class NI, IO, 6.186s, 2036  271,853  21,947  678,758  54,796  831,857  67,156 
IFB Ser. 08-21, Class NI, IO, 6.186s, 2038  565,204  42,076  --  --  --  -- 
IFB Ser. 09-12, Class AI, IO, 6.186s, 2037  --  --  3,679,074  386,415  3,059,580  321,349 
IFB Ser. 07-116, Class IA, IO, 6.186s, 2037  785,183  68,003  4,061,796  351,782  3,568,154  309,029 
IFB Ser. 07-103, Class AI, IO, 6.186s, 2037  638,982  55,341  3,279,702  284,047  2,764,076  239,390 
IFB Ser. 07-15, Class NI, IO, 6.186s, 2022  129,270  10,975  1,615,877  137,188  1,228,066  104,263 
IFB Ser. 08-3, Class SC, IO, 6.136s, 2038  324,067  32,785  1,238,240  125,270  813,293  82,279 
IFB Ser. 07-109, Class XI, IO, 6.136s, 2037  175,086  11,475  787,886  51,640  700,343  45,902 
IFB Ser. 07-109, Class YI, IO, 6.136s, 2037  208,640  17,069  1,066,291  87,233  899,709  73,605 
IFB Ser. 07-W8, Class 2A2, IO, 6.136s, 2037  431,202  37,044  2,045,320  175,708  1,730,592  148,671 
IFB Ser. 06-79, Class SH, IO, 6.136s, 2036  844,406  88,855  --  --  --  -- 
IFB Ser. 07-30, Class LI, IO, 6.126s, 2037  1,153,009  114,833  3,372,283  335,860  2,613,078  260,247 
IFB Ser. 07-30, Class OI, IO, 6.126s, 2037  1,922,595  206,755  4,732,778  508,960  3,639,114  391,348 
IFB Ser. 07-W2, Class 1A2, IO, 6.116s, 2037  96,830  8,291  965,687  82,689  832,218  71,261 
IFB Ser. 07-106, Class SN, IO, 6.096s, 2037  259,241  21,151  1,258,944  102,715  1,061,541  86,609 
IFB Ser. 07-54, Class IA, IO, 6.096s, 2037  199,199  18,863  977,817  92,595  819,722  77,624 
IFB Ser. 07-54, Class IB, IO, 6.096s, 2037  199,199  18,863  977,817  92,595  819,722  77,624 
IFB Ser. 07-54, Class IC, IO, 6.096s, 2037  199,199  18,863  977,817  92,595  819,722  77,624 
IFB Ser. 07-54, Class ID, IO, 6.096s, 2037  199,199  18,863  977,817  92,595  819,722  77,624 
IFB Ser. 07-54, Class IE, IO, 6.096s, 2037  199,199  18,863  977,817  92,595  819,722  77,624 
IFB Ser. 07-54, Class IF, IO, 6.096s, 2037  295,637  29,370  1,455,263  144,574  1,218,911  121,094 
IFB Ser. 07-54, Class NI, IO, 6.096s, 2037  100,701  7,783  982,274  75,915  871,856  67,381 
IFB Ser. 07-54, Class UI, IO, 6.096s, 2037  135,438  15,500  1,351,054  154,623  1,105,106  126,475 
IFB Ser. 07-91, Class AS, IO, 6.086s, 2037  176,116  14,577  829,931  68,693  706,805  58,502 
IFB Ser. 07-91, Class HS, IO, 6.086s, 2037  94,757  9,631  912,743  92,772  773,442  78,613 
IFB Ser. 07-15, Class CI, IO, 6.066s, 2037  1,337,868  133,107  3,885,828  386,609  3,059,056  304,351 
IFB Ser. 06-124, Class SC, IO, 6.066s, 2037  1,246,107  110,935  1,693,806  150,791  --  -- 
IFB Ser. 06-115, Class JI, IO, 6.066s, 2036  950,662  97,073  2,752,665  281,076  2,163,821  220,949 
IFB Ser. 07-109, Class PI, IO, 6.036s, 2037  139,097  10,243  1,357,110  99,934  1,204,286  88,681 
IFB Ser. 06-123, Class LI, IO, 6.006s, 2037  646,699  62,911  1,874,699  182,372  1,475,054  143,495 
Ser. 383, Class 100, IO, 6s, 2022  71,668  7,212  103,593  10,425  --  -- 
Ser. 383, Class 98, IO, 6s, 2022  212,558  23,613  --  --  --  -- 
Ser. 383, Class 99, IO, 6s, 2022  96,596  11,006  --  --  --  -- 
IFB Ser. 07-81, Class IS, IO, 5.986s, 2037  228,029  21,431  1,731,389  162,719  1,639,363  154,071 
IFB Ser. 07-116, Class BI, IO, 5.936s, 2037  717,623  59,640  3,709,700  308,304  3,258,210  270,782 
IFB Ser. 08-01, Class AI, IO, 5.936s, 2037  1,109,876  92,239  5,815,347  483,299  4,872,965  404,980 
IFB Ser. 08-1, Class HI, IO, 5.886s, 2037  513,775  42,339  2,688,338  221,539  2,252,707  185,640 
IFB Ser. 07-39, Class AI, IO, 5.806s, 2037  329,839  29,235  1,675,859  148,537  1,410,768  125,041 
IFB Ser. 07-32, Class SD, IO, 5.796s, 2037  233,295  21,789  1,155,588  107,930  970,507  90,644 
IFB Ser. 07-30, Class UI, IO, 5.786s, 2037  193,839  15,906  951,502  78,081  797,661  65,456 
IFB Ser. 07-32, Class SC, IO, 5.786s, 2037  306,394  27,274  1,530,416  136,231  1,284,678  114,357 
IFB Ser. 07-1, Class CI, IO, 5.786s, 2037  221,465  19,795  1,090,461  97,469  913,728  81,672 
IFB Ser. 05-74, Class NI, IO, 5.766s, 2035 (F)  386,547  43,633  --  --  --  -- 
IFB Ser. 09-12, Class DI, IO, 5.716s, 2037  418,799  40,857  4,400,254  429,276  3,679,308  358,943 
IFB Ser. 05-58, Class IK, IO, 5.686s, 2035  266,814  29,903  923,305  103,478  891,214  99,882 
Ser. 06-W3, Class 1AS, IO, 5.677s, 2046  1,236,667  101,283  3,625,103  296,896  3,630,763  297,360 
IFB Ser. 07-75, Class ID, IO, 5.556s, 2037  126,036  10,670  1,182,734  100,128  950,694  80,484 
Ser. 383, Class 18, IO, 5 1/2s, 2038  793,907  95,269  1,142,301  137,076  --  -- 
Ser. 383, Class 19, IO, 5 1/2s, 2038  723,347  86,802  1,040,051  124,806  --  -- 
Ser. 383, Class 25, IO, 5 1/2s, 2038  120,941  15,088  --  --  --  -- 
Ser. 386, Class 4, IO, 5 1/2s, 2037  182,753  23,891  --  --  --  -- 
Ser. 386, Class 5, IO, 5 1/2s, 2037  117,653  18,236  --  --  --  -- 
Ser. 383, Class 15, IO, 5 1/2s, 2037  106,650  13,156  --  --  --  -- 
Ser. 383, Class 16, IO, 5 1/2s, 2037  --  --  81,113  9,782  --  -- 
Ser. 383, Class 6, IO, 5 1/2s, 2037  617,459  78,524  888,116  112,944  --  -- 
Ser. 383, Class 7, IO, 5 1/2s, 2037  609,170  73,100  876,390  105,167  --  -- 
Ser. 383, Class 8, IO, 5 1/2s, 2037  256,526  32,740  368,655  47,051  --  -- 
Ser. 383, Class 9, IO, 5 1/2s, 2037  243,795  31,042  --  --  --  -- 
Ser. 383, Class 20, IO, 5 1/2s, 2037  455,250  54,630  655,018  78,602  --  -- 
Ser. 383, Class 21, IO, 5 1/2s, 2037  429,520  51,542  617,684  74,122  --  -- 
Ser. 383, Class 22, IO, 5 1/2s, 2037  290,345  36,955  417,716  53,167  --  -- 
Ser. 383, Class 23, IO, 5 1/2s, 2037  261,445  33,247  375,630  47,768  --  -- 
Ser. 383, Class 24, IO, 5 1/2s, 2037  179,564  22,362  --  --  --  -- 
Ser. 383, Class 26, IO, 5 1/2s, 2037  135,335  17,187  --  --  --  -- 
Ser. 383, Class 27, IO, 5 1/2s, 2037  --  --  80,367  12,165  --  -- 
Ser. 383, Class 95, IO, 5 1/2s, 2022  335,692  40,912  483,263  58,897  --  -- 
Ser. 383, Class 97, IO, 5 1/2s, 2022  139,533  17,237  --  --  --  -- 
Ser. 383, Class 94, IO, 5 1/2s, 2022  175,135  21,416  --  --  --  -- 
Ser. 383, Class 96, IO, 5 1/2s, 2022  180,668  21,203  --  --  --  -- 
IFB Ser. 09-3, Class SE, IO, 5.186s, 2037  391,543  30,262  1,658,905  128,217  1,570,855  121,412 
Ser. 385, Class 3, IO, 5s, 2038  1,329,222  173,596  --  --  --  -- 
Ser. 383, Class 2, IO, 5s, 2037  130,076  19,422  --  --  --  -- 
Ser. 383, Class 92, IO, 5s, 2022  147,967  16,678  --  --  --  -- 
Ser. 383, Class 93, IO, 5s, 2022  84,283  10,245  --  --  --  -- 
Ser. 03-W12, Class 2, IO, 2.217s, 2043  869,038  55,172  1,731,604  109,934  1,424,320  90,425 
Ser. 03-W10, Class 3, IO, 1.921s, 2043  266,573  14,448  1,094,489  59,318  853,913  46,280 

Ser. 03-W10, Class 1, IO, 1.895s, 2043  775,941  41,938  3,709,124  200,472  5,397,884  291,747 
Ser. 03-W8, Class 12, IO, 1.635s, 2042  1,187,107  45,698  4,212,290  162,155  3,243,318  124,853 
Ser. 03-W17, Class 12, IO, 1.144s, 2033  --  --  1,383,737  41,473  1,328,461  39,816 
Ser. 03-T2, Class 2, IO, 0.809s, 2042  566,863  13,004  5,456,052  125,160  3,879,465  88,993 
Ser. 03-W6, Class 51, IO, 0.671s, 2042  376,336  7,292  1,683,381  32,616  1,333,210  25,831 
Ser. 01-T12, Class IO, 0.565s, 2041  2,047,310  31,503  1,026,901  15,802  683,338  10,515 
Ser. 03-W2, Class 1, IO, 0.465s, 2042  266,338  3,172  9,351,426  111,390  7,487,059  89,182 
Ser. 02-T4, IO, 0.449s, 2041  5,480,975  72,217  5,760,883  75,905  3,642,857  47,998 
Ser. 01-50, Class B1, IO, 0.444s, 2041  2,568,676  33,070  1,816,296  23,384  1,216,011  15,655 
Ser. 02-T1, Class IO, IO, 0.427s, 2031  952,049  11,792  1,182,200  14,643  750,667  9,298 
Ser. 03-W6, Class 3, IO, 0.367s, 2042  524,342  5,446  2,345,134  24,359  1,857,431  19,293 
Ser. 03-W6, Class 23, IO, 0.352s, 2042  557,662  5,544  2,493,693  24,792  1,974,965  19,635 
Ser. 02-W8, Class 1, IO, 0.345s, 2042  1,064,779  10,589  --  --  --  -- 
Ser. 01-79, Class BI, IO, 0.325s, 2045  885,769  9,659  6,036,858  65,833  4,292,574  46,811 
Ser. 03-34, Class P1, PO, zero %, 2043  31,869  23,477  --  --  --  -- 
Ser. 07-64, Class LO, PO, zero %, 2037  --  --  --  --  596,392  512,913 
Ser. 07-14, Class KO, PO, zero %, 2037  --  --  208,264  176,421  161,496  136,804 
Ser. 06-125, Class OX, PO, zero %, 2037  --  --  70,964  60,883  68,897  59,110 
Ser. 06-84, Class OT, PO, zero %, 2036  --  --  59,582  52,251  59,582  52,251 
Ser. 06-56, Class XF, zero %, 2036  --  --  67,974  61,333  67,974  61,333 
Ser. 06-46, Class OC, PO, zero %, 2036  --  --  72,667  60,372  --  -- 
Ser. 06-47, Class VO, PO, zero %, 2036  --  --  135,198  99,683  99,811  73,592 
Ser. 05-117, Class MO, PO, zero %, 2036  --  --  44,945  43,946  --  -- 
Ser. 05-103, Class OA, PO, zero %, 2035  --  --  174,000  153,149  115,000  101,219 
Ser. 05-50, Class LO, PO, zero %, 2035  39,436  31,184  --  --  --  -- 
Ser. 04-38, Class AO, PO, zero %, 2034  287,793  230,953  --  --  --  -- 
Ser. 08-37, Class DO, PO, zero %, 2033  106,386  87,155  372,784  305,396  243,045  199,109 
Ser. 04-61, Class JO, PO, zero %, 2032  82,192  74,720  302,649  275,135  222,895  202,631 
Ser. 326, Class 1, PO, zero %, 2032  --  --  231,906  205,327  219,004  193,903 
Ser. 318, Class 1, PO, zero %, 2032  --  --  86,736  72,922  81,876  68,837 
Ser. 04-61, Class CO, PO, zero %, 2031  152,285  139,052  --  --  --  -- 
Ser. 314, Class 1, PO, zero %, 2031  --  --  413,251  353,924  390,237  334,214 
FRB Ser. 07-76, Class SF, zero %, 2037  69,503  70,385  77,844  78,831  --  -- 
FRB Ser. 06-115, Class SN, zero %, 2036  70,945  57,191  391,616  315,693  334,151  269,368 
FRB Ser. 06-104, Class EK, zero %, 2036  38,711  37,011  51,099  48,854  70,068  66,989 
FRB Ser. 05-117, Class GF, zero %, 2036  90,381  88,215  100,477  98,069  87,977  85,869 
FRB Ser. 05-91, Class EF, zero %, 2035  53,081  49,629  --  --  --  -- 
FRB Ser. 05-79, Class FE, zero %, 2035  22,673  22,534  --  --  --  -- 
FRB Ser. 05-65, Class ER, zero %, 2035  92,055  85,236  --  --  --  -- 
FRB Ser. 06-54, Class CF, zero %, 2035  --  --  --  --  29,516  28,403 
FRB Ser. 05-57, Class UL, zero %, 2035  68,200  67,895  235,533  234,480  227,496  226,479 
FRB Ser. 05-36, Class QA, zero %, 2035  --  --  69,607  60,129  67,186  58,038 
FRB Ser. 05-65, Class CU, zero %, 2034  --  --  68,806  73,085  66,190  70,306 
FRB Ser. 05-77, Class HF, zero %, 2034  --  --  166,320  161,241  122,096  118,368 
FRB Ser. 05-81, Class DF, zero %, 2033  --  --  14,090  13,807  13,650  13,375 
FRB Ser. 06-1, Class HF, zero %, 2032  --  --  22,879  22,642  34,825  34,464 
IFB Ser. 06-75, Class FY, zero %, 2036  --  --  137,922  139,166  108,209  109,185 
Federal Home Loan Mortgage Corp. Structured             
Pass-Through Securities             
Ser. T-42, Class A6, 9 1/2s, 2042  13,886  15,274  --  --  34,844  38,328 
IFB Ser. T-56, Class 2ASI, IO, 7.786s, 2043  135,615  15,596  609,065  70,043  484,181  55,681 
Ser. T-58, Class 4A, 7 1/2s, 2043  414,150  443,399  --  --  74,081  79,313 
Ser. T-51, Class 2A, 7 1/2s, 2042  89,530  95,853  --  --  229,208  245,396 
Ser. T-42, Class A5, 7 1/2s, 2042  88,281  94,516  --  --  347,325  371,855 
Ser. T-60, Class 1A2, 7s, 2044  105,923  113,387  --  --  --  -- 
Ser. T-56, Class A, IO, 0.524s, 2043  497,902  7,375  1,748,952  25,907  1,394,940  20,663 
Ser. T-56, Class 3, IO, 0.276s, 2043  462,430  4,110  1,535,751  13,649  1,254,634  11,150 
Ser. T-56, Class 1, IO, 0.269s, 2043  597,730  4,664  1,985,419  15,493  1,621,783  12,655 
Ser. T-56, Class 2, IO, 0.019s, 2043  549,247  315  1,823,878  1,046  1,489,969  855 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X,             
IO, 1.238s, 2020  312,521  7,897  1,208,274  30,533  772,209  19,514 
First Horizon Alternative Mortgage Securities FRB Ser.             
05-AA10, Class 2A1, 5.723s, 2035  359,312  186,843  987,873  513,694  703,930  366,044 
First Union National Bank-Bank of America Commercial             
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.948s, 2033  --  --  6,253,060  122,372  5,569,495  108,995 
First Union-Lehman Brothers Commercial Mortgage Trust             
II             
Ser. 97-C2, Class F, 7 1/2s, 2029  --  --  580,000  485,635  538,000  450,469 
Ser. 97-C2, Class G, 7 1/2s, 2029  71,000  54,670  185,000  142,450  288,000  221,760 
First Union-Lehman Brothers-Bank of America 144A Ser.             
98-C2, Class G, 7s, 2035  --  --  --  --  703,000  513,190 
Freddie Mac             
IFB Ser. 3182, Class PS, 27.322s, 2032  200,705  266,129  --  --  375,542  497,959 
IFB Ser. 3182, Class SP, 27.322s, 2032  200,864  236,744  --  --  --  -- 
IFB Ser. 3211, Class SI, IO, 26.323s, 2036  177,512  89,856  --  --  --  -- 
IFB Ser. 2976, Class KL, 23.212s, 2035  143,950  179,227  459,668  572,314  440,892  548,936 
IFB Ser. 2979, Class AS, 23.102s, 2034  --  --  110,392  123,847  111,020  124,551 
IFB Ser. 3065, Class DC, 18.902s, 2035  150,195  178,191  --  --  429,339  509,366 
IFB Ser. 2990, Class LB, 16.129s, 2034  141,600  157,785  480,478  535,397  459,857  512,418 
IFB Ser. 3031, Class BS, 15.927s, 2035  166,096  180,349  --  --  --  -- 
IFB Ser. 2828, Class GI, IO, 7.181s, 2034  206,425  25,890  676,733  84,877  675,964  84,781 
IFB Ser. 3184, Class SP, IO, 7.031s, 2033  149,895  15,105  1,413,811  142,473  1,135,851  114,462 
IFB Ser. 2927, Class SI, IO, 7s, 2035  170,163  20,260  605,250  72,064  581,305  69,213 
IFB Ser. 3110, Class SP, IO, 6.981s, 2035  215,803  30,767  947,591  135,098  1,043,171  148,725 
IFB Ser. 3156, Class PS, IO, 6.931s, 2036  214,855  29,080  1,631,361  220,798  1,544,652  209,062 
IFB Ser. 2869, Class JS, IO, 6.931s, 2034  401,226  31,412  1,315,354  102,979  1,313,859  102,862 
IFB Ser. 3149, Class LS, IO, 6.881s, 2036  1,179,899  173,859  3,425,564  504,759  2,696,567  397,341 
IFB Ser. 3119, Class PI, IO, 6.881s, 2036  353,940  51,799  930,506  136,179  781,837  114,421 
IFB Ser. 2882, Class NS, IO, 6.881s, 2034  1,856,731  204,781  2,670,297  294,510  --  -- 
IFB Ser. 2882, Class LS, IO, 6.881s, 2034  185,678  19,374  1,008,729  105,250  891,150  92,982 
IFB Ser. 3149, Class SE, IO, 6.831s, 2036  --  --  981,826  133,595  824,223  112,150 
IFB Ser. 3151, Class SI, IO, 6.831s, 2036  1,113,498  146,756  --  --  --  -- 
IFB Ser. 3157, Class SA, IO, 6.831s, 2036  597,558  79,424  2,451,149  325,793  2,095,805  278,562 
IFB Ser. 3203, Class SH, IO, 6.821s, 2036  87,865  10,093  830,148  95,358  667,070  76,626 
IFB Ser. 2815, Class PT, IO, 6.731s, 2032  201,252  18,367  715,110  65,262  686,757  62,675 
IFB Ser. 2594, Class SE, IO, 6.731s, 2030  184,865  13,652  --  --  --  -- 
IFB Ser. 2828, Class TI, IO, 6.731s, 2030  114,427  11,364  348,460  34,606  349,496  34,709 
IFB Ser. 3397, Class GS, IO, 6.681s, 2037  154,538  12,978  744,393  62,515  639,917  53,741 
IFB Ser. 3311, Class BI, IO, 6.441s, 2037  1,798,466  163,692  2,444,674  222,508  --  -- 
IFB Ser. 3287, Class SD, IO, 6.431s, 2037  464,711  45,194  1,353,563  131,635  1,059,983  103,084 
IFB Ser. 3281, Class BI, IO, 6.431s, 2037  227,627  21,732  553,647  52,858  464,799  44,375 
IFB Ser. 3281, Class CI, IO, 6.431s, 2037  178,903  17,486  832,478  81,366  719,221  70,296 
IFB Ser. 3510, Class ID, IO, 6.431s, 2037  --  --  --  --  1,666,195  160,820 
IFB Ser. 3249, Class SI, IO, 6.431s, 2036  246,102  27,724  492,205  55,448  410,170  46,207 
IFB Ser. 3028, Class ES, IO, 6.431s, 2035  579,787  63,644  --  --  1,156,237  126,921 
IFB Ser. 2922, Class SE, IO, 6.431s, 2035  245,779  23,037  855,533  80,188  820,236  76,880 
IFB Ser. 3316, Class SA, IO, 6.411s, 2037  1,499,766  149,181  2,038,600  202,778  --  -- 
IFB Ser. 2981, Class AS, IO, 6.401s, 2035  199,716  20,171  1,226,002  123,826  1,160,969  117,258 
IFB Ser. 3236, Class ES, IO, 6.381s, 2036  341,949  30,417  882,737  78,520  998,325  88,802 
IFB Ser. 3136, Class NS, IO, 6.381s, 2036  849,730  87,541  1,147,465  118,214  1,280,524  131,922 
IFB Ser. 3122, Class DS, IO, 6.381s, 2036  165,451  19,105  1,254,121  144,813  1,187,940  137,171 
IFB Ser. 3118, Class SD, IO, 6.381s, 2036  404,737  36,408  1,409,075  126,753  1,350,849  121,515 
IFB Ser. 3107, Class DC, IO, 6.381s, 2035  1,392,065  159,444  --  --  --  -- 
IFB Ser. 3001, Class IH, IO, 6.381s, 2035  1,474,528  165,314  167,165  18,741  146,794  16,458 
IFB Ser. 2950, Class SM, IO, 6.381s, 2016  195,016  18,800  1,093,146  105,382  1,002,540  96,647 
IFB Ser. 3256, Class S, IO, 6.371s, 2036  165,240  18,243  1,554,429  171,609  1,248,808  137,868 
IFB Ser. 3031, Class BI, IO, 6.371s, 2035  134,764  16,115  378,685  45,283  380,033  45,444 
IFB Ser. 3370, Class TS, IO, 6.351s, 2037  1,016,901  83,060  249,999  20,420  154,804  12,644 
IFB Ser. 3244, Class SB, IO, 6.341s, 2036  297,151  28,286  780,918  74,337  656,028  62,449 
IFB Ser. 3244, Class SG, IO, 6.341s, 2036  360,458  34,847  947,088  91,560  795,130  76,869 
IFB Ser. 3236, Class IS, IO, 6.331s, 2036  542,608  50,654  1,426,755  133,191  1,197,455  111,785 
IFB Ser. 3398, Class SI, IO, 6.331s, 2036  --  --  2,587,485  274,046  2,199,450  232,949 
IFB Ser. 3067, Class SI, IO, 6.331s, 2035  675,933  75,883  3,457,968  388,208  2,897,276  325,262 
IFB Ser. 3033, Class SG, IO, 6.331s, 2035  334,254  27,599  --  --  --  -- 
IFB Ser. 3114, Class TS, IO, 6.331s, 2030  683,824  70,484  2,214,319  228,238  2,231,535  230,013 
IFB Ser. 3128, Class JI, IO, 6.311s, 2036  491,492  49,690  1,345,638  136,044  1,524,920  154,169 
IFB Ser. 2990, Class LI, IO, 6.311s, 2034  207,993  23,653  735,355  83,623  703,821  80,037 
IFB Ser. 3240, Class S, IO, 6.301s, 2036  1,072,602  111,657  3,126,070  325,421  2,462,750  256,370 
IFB Ser. 3229, Class BI, IO, 6.301s, 2036  73,285  6,636  244,758  22,164  310,928  28,156 
IFB Ser. 3065, Class DI, IO, 6.301s, 2035  69,956  8,265  295,915  34,960  297,314  35,125 
IFB Ser. 3145, Class GI, IO, 6.281s, 2036  407,176  47,517  1,114,820  130,099  1,263,650  147,468 
IFB Ser. 3114, Class GI, IO, 6.281s, 2036  139,920  16,233  395,971  45,938  435,848  50,564 
IFB Ser. 3114, Class IP, IO, 6.281s, 2036  2,062,958  205,751  1,286,749  128,335  1,093,669  109,078 
IFB Ser. 3510, Class IB, IO, 6.281s, 2036  --  --  662,757  85,159  726,833  93,393 
IFB Ser. 3218, Class AS, IO, 6.261s, 2036  105,931  9,946  1,011,042  94,928  848,122  79,631 
IFB Ser. 3221, Class SI, IO, 6.261s, 2036  428,363  39,750  1,126,021  104,490  945,171  87,708 
IFB Ser. 3153, Class UI, IO, 6.251s, 2036  2,013,290  205,352  447,564  45,651  2,644,354  269,719 
IFB Ser. 3153, Class QI, IO, 6.231s, 2036  544,556  71,586  445,883  58,615  --  -- 
IFB Ser. 3346, Class SC, IO, 6.231s, 2033  11,667,184  1,329,008  868,122  98,888  2,875,605  327,560 
IFB Ser. 3346, Class SB, IO, 6.231s, 2033  7,673,918  871,317  694,521  78,858  1,582,483  179,679 
IFB Ser. 3355, Class AI, IO, 6.181s, 2037  2,121,028  180,405  2,882,442  245,168  --  -- 
IFB Ser. 3355, Class MI, IO, 6.181s, 2037  191,437  15,949  895,958  74,644  768,850  64,054 
IFB Ser. 3349, Class AS, IO, 6.181s, 2037  --  --  --  --  5,644,752  576,168 
IFB Ser. 3510, Class IA, IO, 6.181s, 2037  --  --  2,032,579  194,661  1,762,848  168,828 
IFB Ser. 3201, Class SG, IO, 6.181s, 2036  576,737  59,618  1,517,212  156,837  1,274,065  131,703 
IFB Ser. 3203, Class SE, IO, 6.181s, 2036  496,489  50,937  1,304,033  133,786  1,095,335  112,375 
IFB Ser. 3238, Class LI, IO, 6.171s, 2036  503,820  50,595  --  --  --  -- 
IFB Ser. 3171, Class PS, IO, 6.166s, 2036  271,770  27,449  1,304,493  131,754  1,102,607  111,363 
IFB Ser. 3510, Class CI, IO, 6.161s, 2037  --  --  3,416,251  345,597  2,840,299  287,332 
IFB Ser. 3152, Class SY, IO, 6.161s, 2036  369,051  41,923  1,029,680  116,970  1,130,395  128,411 
IFB Ser. 3510, Class DI, IO, 6.161s, 2035  613,986  64,227  1,171,720  122,571  1,171,720  122,571 
IFB Ser. 3181, Class PS, IO, 6.151s, 2036  178,075  20,179  847,230  96,007  717,008  81,251 
IFB Ser. 3366, Class SA, IO, 6.131s, 2037  961,067  87,093  --  --  --  -- 
IFB Ser. 3284, Class BI, IO, 6.131s, 2037  343,754  29,730  903,646  78,152  759,063  65,648 
IFB Ser. 3199, Class S, IO, 6.131s, 2036  244,888  25,145  647,349  66,469  946,807  97,217 
IFB Ser. 3284, Class LI, IO, 6.121s, 2037  1,392,132  140,938  4,263,314  431,612  3,315,911  335,698 
IFB Ser. 3359, Class SN, IO, 6.101s, 2037  1,479,042  124,842  2,010,429  169,695  --  -- 
IFB Ser. 3012, Class UI, IO, 6.101s, 2035  84,636  8,135  --  --  --  -- 
IFB Ser. 3311, Class EI, IO, 6.091s, 2037  110,446  8,398  1,075,346  81,770  954,626  72,590 
IFB Ser. 3311, Class IA, IO, 6.091s, 2037  278,797  28,165  1,362,487  137,644  1,141,181  115,287 
IFB Ser. 3311, Class IB, IO, 6.091s, 2037  278,797  28,165  1,362,487  137,644  1,141,181  115,287 
IFB Ser. 3311, Class IC, IO, 6.091s, 2037  278,797  28,165  1,362,487  137,644  1,141,181  115,287 
IFB Ser. 3311, Class ID, IO, 6.091s, 2037  278,797  28,165  1,362,487  137,644  1,141,181  115,287 
IFB Ser. 3311, Class IE, IO, 6.091s, 2037  278,797  28,165  2,018,528  203,920  1,675,150  169,231 
IFB Ser. 3510, Class AS, IO, 6.091s, 2037  397,783  42,852  8,238,055  887,461  7,401,209  797,310 
IFB Ser. 3240, Class GS, IO, 6.061s, 2036  667,693  65,153  1,924,944  187,833  1,520,067  148,326 
IFB Ser. 3257, Class SI, IO, 6.001s, 2036  288,987  24,967  824,846  71,263  648,404  56,019 
IFB Ser. 3225, Class JY, IO, 5.971s, 2036  1,259,856  120,908  3,600,983  345,585  2,832,234  271,808 
IFB Ser. 3339, Class TI, IO, 5.821s, 2037  190,063  17,410  1,792,026  164,155  1,439,850  131,894 
IFB Ser. 3284, Class CI, IO, 5.801s, 2037  1,022,267  94,769  2,982,623  276,504  2,338,776  216,816 
IFB Ser. 3012, Class WI, IO, 5.781s, 2035  141,867  14,259  --  --  --  -- 
IFB Ser. 3510, Class IC, IO, 5.761s, 2037  --  --  --  --  2,636,064  243,945 
IFB Ser. 3012, Class IG, IO, 5.761s, 2035  326,246  25,952  --  --  --  -- 
IFB Ser. 2965, Class SA, IO, 5.731s, 2032  210,016  19,924  1,292,380  122,604  1,223,835  116,101 
IFB Ser. 3510, Class BI, IO, 5.711s, 2037  --  --  3,736,680  355,551  2,871,000  273,180 
IFB Ser. 3397, Class SQ, IO, 5.651s, 2037  686,773  59,755  3,199,356  278,373  2,763,004  240,406 
IFB Ser. 248, IO, 5 1/2s, 2037  1,237,600  173,635  --  --  --  -- 
IFB Ser. 3424, Class UI, IO, 5.441s, 2037  733,628  57,316  --  --  --  -- 
Ser. 3327, Class IF, IO, zero %, 2037  142,816  985  306,035  2,112  250,734  1,730 
Ser. 246, PO, zero %, 2037  85,499  77,257  --  --  --  -- 
Ser. 3391, PO, zero %, 2037  --  --  77,511  64,160  77,511  64,160 
Ser. 3292, Class DO, PO, zero %, 2037  --  --  151,901  124,340  120,981  99,030 

Ser. 3274, Class MO, PO, zero %, 2037  --  --  75,401  61,297  101,038  82,137 
Ser. 3300, PO, zero %, 2037  --  --  --  --  447,849  384,747 
Ser. 3252, Class LO, PO, zero %, 2036  --  --  316,536  273,099  205,481  177,284 
Ser. 3226, Class YI, IO, zero %, 2036  189,469  420  --  --  --  -- 
Ser. 3206, Class EO, PO, zero %, 2036  --  --  60,952  49,140  60,952  49,140 
Ser. 2858, Class MO, PO, zero %, 2034  --  --  47,699  39,596  35,255  29,267 
Ser. 2587, Class CO, PO, zero %, 2032  72,507  66,056  --  --  712,744  649,331 
Ser. 201, PO, zero %, 2029  --  --  254,202  215,903  240,016  203,855 
Ser. 1208, Class F, PO, zero %, 2022  6,140  5,496  --  --  --  -- 
FRB Ser. 3349, Class DO, zero %, 2037  --  --  207,712  185,054  175,102  156,001 
FRB Ser. 3326, Class XF, zero %, 2037  --  --  247,865  234,724  211,224  200,026 
FRB Ser. 3326, Class YF, zero %, 2037  --  --  497,348  473,793  448,852  427,593 
FRB Ser. 3263, Class TA, zero %, 2037  --  --  95,156  86,233  77,088  69,859 
FRB Ser. 3241, Class FH, zero %, 2036  28,546  28,432  56,377  56,154  45,815  45,634 
FRB Ser. 3283, Class HF, zero %, 2036  --  --  21,925  21,259  --  -- 
FRB Ser. 3231, Class X, zero %, 2036  --  --  64,588  64,195  70,069  69,642 
FRB Ser. 3147, Class SF, zero %, 2036  --  --  282,988  274,415  211,520  205,113 
FRB Ser. 3130, Class JF, zero %, 2036  44,117  42,155  --  --  --  -- 
FRB Ser. 3117, Class AF, zero %, 2036  --  --  64,688  58,635  --  -- 
FRB Ser. 3047, Class BD, zero %, 2035  --  --  157,342  143,093  115,780  105,295 
FRB Ser. 3326, Class WF, zero %, 2035  204,303  182,214  407,892  363,790  425,750  379,718 
FRB Ser. 3036, Class AS, zero %, 2035  --  --  71,759  58,202  --  -- 
FRB Ser. 3003, Class XF, zero %, 2035  123,072  109,417  438,138  389,524  422,754  375,846 
FRB Ser. 2980, Class BU, zero %, 2035  20,681  20,622  76,232  76,014  56,155  55,994 
FRB Ser. 3112, Class XM, zero %, 2034  21,859  20,977  --  --  --  -- 
FRB Ser. 2947, Class GF, zero %, 2034  73,964  66,597  151,545  136,450  111,440  100,340 
GE Capital Commercial Mortgage Corp. 144A             
Ser. 05-C2, Class XC, IO, 0.17s, 2043  11,521,621  54,608  20,421,605  96,790  19,637,283  93,073 
Ser. 07-C1, Class XC, IO, 0.12s, 2019  25,464,547  78,558  71,186,225  219,610  56,110,713  173,102 
Ser. 05-C3, Class XC, IO, 0.089s, 2045  24,806,540  61,989  48,188,791  120,419  48,561,026  121,350 
GMAC Commercial Mortgage Securities, Inc.             
Ser. 99-C3, Class F, 8.171s, 2036  56,000  56,078  75,000  75,104  112,000  112,155 
Ser. 97-C1, Class X, IO, 1.359s, 2029  334,169  13,892  --  --  --  -- 
Ser. 05-C1, Class X1, IO, 0.216s, 2043  4,279,212  28,760  17,999,529  120,974  19,549,629  131,392 
GMAC Commercial Mortgage Securities, Inc. 144A             
Ser. 99-C3, Class G, 6.974s, 2036  --  --  350,039  252,028  306,364  220,582 
Ser. 06-C1, Class XC, IO, 0.07s, 2045  19,590,221  53,075  --  --  35,587,086  96,415 
Government National Mortgage Association             
IFB Ser. 06-34, Class SA, 37.65s, 2036  --  --  74,095  97,511  69,391  91,320 
Ser. 07-17, Class CI, IO, 7 1/2s, 2037  303,125  48,575  --  --  --  -- 
IFB Ser. 05-68, Class PU, IO, 6.985s, 2032  515,562  55,459  --  --  --  -- 
IFB Ser. 04-59, Class SC, IO, 6.882s, 2034  135,942  14,592  646,512  69,397  547,760  58,797 
IFB Ser. 04-26, Class IS, IO, 6.882s, 2034  546,026  40,393  68,645  5,078  51,919  3,841 
IFB Ser. 07-47, Class SA, IO, 6.782s, 2036  799,357  88,476  --  --  --  -- 
IFB Ser. 07-35, Class TY, IO, 6.585s, 2035  --  --  1,866,753  144,735  1,518,592  117,741 
IFB Ser. 07-36, Class SW, IO, 6.585s, 2035  296,081  17,974  --  --  --  -- 
IFB Ser. 07-35, Class NY, IO, 6.582s, 2035  541,819  43,669  86,003  6,932  --  -- 
IFB Ser. 07-22, Class S, IO, 6.485s, 2037  338,571  34,465  882,313  89,815  743,001  75,634 
IFB Ser. 05-84, Class AS, IO, 6.485s, 2035  735,399  75,809  225,239  23,219  171,783  17,708 
IFB Ser. 07-51, Class SJ, IO, 6.435s, 2037  230,556  22,433  1,102,430  107,268  933,709  90,851 
IFB Ser. 07-35, Class PY, IO, 6.432s, 2037  3,953,244  438,158  --  --  --  -- 
IFB Ser. 07-53, Class SY, IO, 6.42s, 2037  1,544,684  146,586  420,383  39,893  358,667  34,036 
IFB Ser. 07-58, Class PS, IO, 6.385s, 2037  598,437  47,707  461,370  36,780  3,196,442  254,820 
IFB Ser. 04-88, Class S, IO, 6.385s, 2032  679,055  43,518  69,333  4,443  50,980  3,267 
IFB Ser. 07-59, Class PS, IO, 6.355s, 2037  180,549  13,139  866,814  63,078  722,195  52,554 
IFB Ser. 07-59, Class SP, IO, 6.355s, 2037  564,103  41,877  3,813,982  283,139  1,444,391  107,227 
IFB Ser. 07-68, Class PI, IO, 6.335s, 2037  182,178  15,081  1,275,253  105,566  1,001,984  82,945 
IFB Ser. 07-16, Class KU, IO, 6.335s, 2037  1,342,528  140,595  233,517  24,455  773,765  81,032 
IFB Ser. 07-17, Class AI, IO, 6.232s, 2037  643,558  67,307  3,548,880  371,162  2,954,519  309,000 
IFB Ser. 09-13, Class SD, IO, 6.232s, 2033  --  --  2,286,006  177,552  2,286,006  177,552 
IFB Ser. 07-78, Class SA, IO, 6.212s, 2037  606,091  49,006  --  --  --  -- 
IFB Ser. 06-26, Class S, IO, 6.185s, 2036  4,225,370  368,406  531,781  46,365  403,074  35,144 
IFB Ser. 06-28, Class GI, IO, 6.185s, 2035  251,932  18,768  1,525,247  113,625  1,164,044  86,717 
IFB Ser. 08-2, Class SM, IO, 6.182s, 2038  1,988,129  161,583  250,183  20,333  189,010  15,362 
IFB Ser. 07-9, Class AI, IO, 6.182s, 2037  361,340  30,192  1,379,896  115,299  1,100,066  91,917 
IFB Ser. 09-35, Class SP, IO, 6.082s, 2037  833,044  85,205  2,302,483  235,502  2,591,034  265,015 
IFB Ser. 05-71, Class SA, IO, 6.042s, 2035  957,198  89,287  113,182  10,558  84,078  7,843 
IFB Ser. 05-65, Class SI, IO, 6.035s, 2035  118,318  10,882  762,005  70,080  765,900  70,439 
IFB Ser. 06-16, Class SX, IO, 5.975s, 2036  1,460,532  128,929  183,653  16,212  139,043  12,274 
IFB Ser. 07-17, Class IB, IO, 5.935s, 2037  132,138  13,311  792,828  79,867  660,690  66,556 
IFB Ser. 06-10, Class SM, IO, 5.935s, 2036  1,053,716  92,154  --  --  3,588,984  313,879 
IFB Ser. 06-14, Class S, IO, 5.935s, 2036  246,710  19,575  1,184,207  93,959  1,002,720  79,559 
IFB Ser. 05-57, Class PS, IO, 5.935s, 2035  977,799  91,833  --  --  --  -- 
IFB Ser. 07-17, Class IC, IO, 5.932s, 2037  675,897  61,223  1,980,596  179,404  1,508,331  136,626 
IFB Ser. 06-11, Class ST, IO, 5.925s, 2036  151,933  12,882  726,157  61,567  615,241  52,163 
IFB Ser. 07-7, Class JI, IO, 5.885s, 2037  219,423  18,761  2,086,857  178,431  1,750,719  149,690 
IFB Ser. 07-25, Class KS, IO, 5.882s, 2037  296,634  23,905  592,451  47,744  432,285  34,837 
IFB Ser. 07-21, Class S, IO, 5.882s, 2037  323,033  23,957  1,597,687  118,491  1,344,569  99,719 
IFB Ser. 05-17, Class S, IO, 5.865s, 2035  796,960  74,110  100,445  9,341  75,923  7,060 
IFB Ser. 07-31, Class AI, IO, 5.862s, 2037  223,020  16,443  1,078,935  79,547  927,385  68,373 
IFB Ser. 07-62, Class S, IO, 5.832s, 2037  883,814  75,391  111,610  9,521  84,405  7,200 
IFB Ser. 05-3, Class SN, IO, 5.785s, 2035  2,195,398  191,570  175,866  15,346  127,294  11,108 
IFB Ser. 07-43, Class SC, IO, 5.782s, 2037  122,691  9,047  1,144,104  84,361  933,173  68,808 
IFB Ser. 04-41, Class SG, IO, 5.685s, 2034  1,848,961  102,486  232,909  12,910  176,023  9,757 
Ser. 07-73, Class MO, PO, zero %, 2037  --  --  396,310  348,033  151,431  132,984 
Ser. 06-36, Class OD, PO, zero %, 2036  --  --  55,445  45,660  40,818  33,615 
Ser. 99-31, Class MP, PO, zero %, 2029  9,960  9,022  47,055  42,625  23,528  21,312 
FRB Ser. 07-73, Class KI, IO, zero %, 2037  --  --  3,960,289  44,050  1,517,126  16,875 
FRB Ser. 07-73, Class KM, zero %, 2037  --  --  395,747  428,592  151,994  164,608 
FRB Ser. 07-49, Class UF, zero %, 2037  29,724  28,770  57,036  55,208  47,664  46,136 
FRB Ser. 07-33, Class TB, zero %, 2037  93,887  93,523  --  --  --  -- 
FRB Ser. 07-35, Class UF, zero %, 2037  60,323  56,420  125,628  117,499  103,491  96,795 
FRB Ser. 07-22, Class TA, zero %, 2037  62,962  62,110  64,664  63,789  55,588  54,836 
FRB Ser. 07-6, Class TD, zero %, 2037  47,104  47,053  --  --  --  -- 
FRB Ser. 06-56, Class YF, zero %, 2036  45,869  41,288  88,069  79,273  64,676  58,216 
FRB Ser. 98-2, Class EA, PO, zero %, 2028  13,357  11,875  2,548  2,266  --  -- 
Greenwich Capital Commercial Funding Corp.             
Ser. 07-GG9, Class A2, 5.381s, 2039  915,000  859,111  --  --  --  -- 
Ser. 05-GG5, Class A2, 5.117s, 2037  68,000  65,515  657,000  632,986  958,000  922,984 
Ser. 05-GG5, Class XC, IO, 0.098s, 2037  12,696,850  30,099  40,442,873  95,874  40,553,766  96,137 
Greenwich Capital Commercial Funding Corp. 144A Ser.             
05-GG3, Class XC, IO, 0.4s, 2042  10,084,476  130,185  27,872,199  359,813  23,835,947  307,708 
GS Mortgage Securities Corp. II             
FRB Ser. 07-GG10, Class A3, 5.993s, 2045  318,000  253,097  1,426,000  1,134,957  1,118,000  889,819 
Ser. 06-GG6, Class A2, 5.506s, 2038  366,000  354,486  601,000  582,093  --  -- 
GS Mortgage Securities Corp. II 144A             
Ser. 98-C1, Class F, 6s, 2030  --  --  280,000  257,600  282,000  259,440 
FRB Ser. 07-EOP, Class J, 1.154s, 2020  130,000  84,436  383,000  248,761  240,000  155,881 
Ser. 06-GG8, Class X, IO, 0.666s, 2039  2,176,208  44,433  10,063,595  205,475  8,413,809  171,791 
Ser. 03-C1, Class X1, IO, 0.348s, 2040  5,137,270  90,935  4,224,621  74,780  6,088,313  107,769 
Ser. 04-C1, Class X1, IO, 0.327s, 2028  2,041,983  10,385  2,781,994  14,148  2,781,994  14,148 
Ser. 06-GG6, Class XC, IO, 0.074s, 2038  3,441,306  6,288  34,434,749  62,923  24,879,950  45,463 
GSMPS Mortgage Loan Trust             
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  29,091  27,009  --  --  57,374  53,267 
Ser. 05-RP3, Class 1A3, 8s, 2035  97,412  88,452  --  --  191,148  173,566 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  77,209  69,076  --  --  151,329  135,389 
GSMPS Mortgage Loan Trust 144A             
Ser. 05-RP2, Class 1A3, 8s, 2035  61,673  55,262  168,352  150,850  161,267  144,502 
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  65,382  58,360  180,154  160,807  171,981  153,512 
Ser. 05-RP1, Class 1A2, 7 1/2s, 2035  83,331  69,925  --  --  --  -- 
IFB Ser. 04-4, Class 1AS, IO, 5.776s, 2034  2,165,720  190,800  1,338,672  117,937  6,511,481  573,661 
GSR Mortgage Loan Trust Ser. 05-AR2, Class 2A1,             
4.833s, 2035  143,195  97,372  340,915  231,822  358,241  243,604 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,             
2035 (In default) (NON)  --  --  48,565  874  53,330  960 
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1,             
6.072s, 2037  2,715,764  1,493,670  3,549,745  1,952,360  1,422,543  782,399 
HVB Mortgage Capital Corp. Ser. 03-FL1A, Class K,             
3.173s, 2022  118,000  38,940  --  --  --  -- 
IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,             
0.424s, 2037  697,587  378,527  2,918,017  1,583,383  2,857,632  1,550,617 
IndyMac Indx Mortgage Loan Trust             
FRB Ser. 07-AR9, Class 2A1, 6.69s, 2037  2,337,028  1,168,514  1,651,858  825,929  1,534,053  767,027 
FRB Ser. 06-AR25, Class 5A1, 6.059s, 2036  704,279  324,548  489,020  225,352  459,769  211,872 
FRB Ser. 07-AR15, Class 1A1, 5.971s, 2037  2,251,714  1,193,408  1,609,308  852,933  1,513,771  802,299 
FRB Ser. 05-AR31, Class 3A1, 5.702s, 2036  3,304,633  1,751,456  --  --  --  -- 
FRB Ser. 07-AR11, Class 1A1, 5.292s, 2037  718,431  294,557  1,533,227  628,623  1,337,917  548,546 
FRB Ser. 05-AR5, Class 4A1, 5.253s, 2035  3,221,989  1,485,111  --  --  --  -- 
JPMorgan Alternative Loan Trust             
FRB Ser. 06-A3, Class 2A1, 6.061s, 2036  1,183,229  586,847  --  --  --  -- 
FRB Ser. 06-A1, Class 5A1, 5.935s, 2036  1,626,702  959,754  1,149,610  678,270  1,067,545  629,851 
FRB Ser. 06-A6, Class 1A1, 0.474s, 2036  1,051,284  446,745  729,173  309,863  686,107  291,562 
JPMorgan Chase Commercial Mortgage Securities Corp.             
Ser. 97-C5, Class F, 7.561s, 2029  64,000  55,680  204,000  177,480  204,000  177,480 
FRB Ser. 07-LD12, Class AM, 6.26s, 2051  332,000  142,532  1,433,000  615,208  --  -- 
FRB Ser. 07-LD12, Class A3, 6.188s, 2051  3,282,000  2,664,797  12,789,000  10,383,940  --  -- 
FRB Ser. 07-LD11, Class A3, 6.007s, 2049  407,000  321,250  1,778,000  1,403,395  1,394,000  1,100,299 
Ser. 07-CB20, Class A3, 5.863s, 2051  816,000  656,443  3,569,000  2,871,133  2,789,000  2,243,651 
Ser. 07-LD12, Class A2, 5.827s, 2051  190,000  174,788  --  --  --  -- 
Ser. 06-CB15, Class A4, 5.814s, 2043  477,000  365,628  1,612,000  1,235,624  1,381,000  1,058,559 
Ser. 07-CB20, Class A4, 5.794s, 2051  174,000  131,114  793,000  597,547  617,000  464,926 
Ser. 05-LDP2, Class AM, 4.78s, 2042  100,000  61,936  420,000  260,129  400,000  247,742 
Ser. 06-LDP8, Class X, IO, 0.761s, 2045  2,890,200  57,220  13,371,135  264,720  11,178,740  221,316 
Ser. 06-CB17, Class X, IO, 0.7s, 2043  2,409,395  46,869  13,161,977  256,036  14,123,356  274,737 
Ser. 08-C2, Class X, IO, 0.644s, 2051  71,264,068  900,186  --  --  --  -- 
Ser. 06-LDP9, Class X, IO, 0.641s, 2047  3,209,647  52,309  5,597,505  91,225  5,246,729  85,509 
Ser. 07-LDPX, Class X, IO, 0.525s, 2049  4,816,087  52,941  20,316,652  223,331  16,103,448  177,017 
Ser. 06-CB16, Class X1, IO, 0 1/8s, 2045  3,287,377  26,649  15,208,447  123,286  12,714,950  103,072 
JPMorgan Chase Commercial Mortgage Securities Corp.             
144A             
Ser. 00-C9, Class G, 6 1/4s, 2032  38,000  37,403  240,000  236,229  260,000  255,915 
Ser. 03-ML1A, Class X1, IO, 0.828s, 2039  625,360  18,003  --  --  --  -- 
Ser. 05-LDP2, Class X1, IO, 0.239s, 2042  16,568,425  179,196  40,546,080  438,526  --  -- 
Ser. 05-CB12, Class X1, IO, 0.141s, 2037  4,116,241  24,476  11,782,182  70,059  11,326,091  67,347 
Ser. 07-CB20, Class X1, IO, 0.113s, 2051  6,848,149  47,265  38,525,452  265,899  31,199,895  215,339 
Ser. 06-LDP6, Class X1, IO, 0.093s, 2043  --  --  22,592,661  66,592  16,287,641  48,008 
Key Commercial Mortgage             
Ser. 07-SL1, Class A2, 5.742s, 2040  1,091,000  436,400  --  --  --  -- 
Ser. 07-SL1, Class A1, 5.479s, 2040  645,032  483,774  --  --  --  -- 
LB Commercial Conduit Mortgage Trust 144A             
Ser. 99-C1, Class F, 6.41s, 2031  --  --  149,428  101,353  136,004  92,248 
Ser. 99-C1, Class G, 6.41s, 2031  --  --  159,961  35,924  145,590  32,697 
Ser. 98-C4, Class G, 5.6s, 2035  --  --  132,000  102,960  127,000  99,060 
Ser. 98-C4, Class H, 5.6s, 2035  --  --  223,000  173,846  215,000  167,609 
LB-UBS Commercial Mortgage Trust             
Ser. 07-C6, Class A2, 5.845s, 2012  1,022,000  934,615  --  --  --  -- 
Ser. 06-C7, Class A2, 5.3s, 2038  173,000  160,486  --  --  --  -- 
Ser. 04-C7, Class A6, 4.786s, 2029  121,000  102,029  362,000  305,242  400,000  337,284 
Ser. 07-C2, Class XW, IO, 0.741s, 2040  1,179,442  22,519  4,591,045  87,656  3,614,163  69,004 
LB-UBS Commercial Mortgage Trust 144A             
Ser. 06-C7, Class XW, IO, 0.914s, 2038  1,776,837  41,365  9,496,374  221,076  10,210,095  237,691 
Ser. 03-C5, Class XCL, IO, 0.287s, 2037  1,311,782  21,610  6,059,362  99,819  5,064,549  83,431 

Ser. 05-C3, Class XCL, IO, 0.224s, 2040  3,150,283  42,481  14,115,054  190,337  11,636,780  156,918 
Ser. 05-C2, Class XCL, IO, 0.194s, 2040  14,612,446  95,986  29,191,766  191,755  38,714,654  254,309 
Ser. 05-C7, Class XCL, IO, 0.169s, 2040  12,124,211  62,567  31,486,842  162,488  31,571,344  162,924 
Ser. 05-C5, Class XCL, IO, 0.169s, 2020  4,916,428  42,979  13,699,383  119,759  14,762,921  129,056 
Ser. 06-C7, Class XCL, IO, 0.138s, 2038  3,346,626  31,746  16,410,610  155,673  15,371,384  145,814 
Ser. 07-C2, Class XCL, IO, 0 1/8s, 2040  10,131,032  71,707  39,452,451  279,244  31,055,659  219,812 
Ser. 06-C1, Class XCL, IO, 0.114s, 2041  10,394,314  62,616  --  --  30,265,568  182,323 
Lehman Brothers Floating Rate Commercial Mortgage             
Trust 144A             
FRB Ser. 04-LLFA, Class H, 1.269s, 2017  175,000  105,000  184,000  110,400  214,000  128,400 
FRB Ser. 05-LLFA, Class J, 1.119s, 2018  23,000  11,500  93,000  46,500  89,000  44,500 
Lehman Mortgage Trust             
IFB Ser. 06-7, Class 4A2, IO, 7.436s, 2036  --  --  733,551  87,278  789,615  93,948 
IFB Ser. 07-4, Class 3A2, IO, 6.886s, 2037  257,205  28,339  1,040,326  114,623  894,056  98,507 
IFB Ser. 07-2, Class 2A13, IO, 6.376s, 2037  --  --  1,798,684  183,502  1,542,770  157,393 
IFB Ser. 07-4, Class 2A2, IO, 6.356s, 2037  1,069,003  108,718  4,382,456  445,696  3,747,423  381,113 
IFB Ser. 06-9, Class 2A2, IO, 6.306s, 2037  1,219,316  123,029  1,632,228  164,692  1,497,968  151,145 
IFB Ser. 06-7, Class 2A4, IO, 6.236s, 2036  --  --  2,574,456  256,879  2,767,425  276,134 
IFB Ser. 06-7, Class 2A5, IO, 6.236s, 2036  --  --  2,434,492  242,914  2,616,933  261,118 
IFB Ser. 07-5, Class 10A2, IO, 6.026s, 2037  513,410  49,503  2,105,941  203,055  1,800,859  173,639 
MASTR Adjustable Rate Mortgages Trust             
Ser. 04-7, Class 2A1, 5.189s, 2034  10,597  5,731  26,094  14,113  26,160  14,149 
Ser. 04-03, Class 4AX, IO, 0.376s, 2034  98,955  336  337,170  1,146  324,587  1,104 
Ser. 05-2, Class 7AX, IO, 0.17s, 2035  305,104  534  1,039,403  1,819  1,000,906  1,752 
MASTR Alternative Loans Trust Ser. 06-3, Class 1A1,             
6 1/4s, 2036  1,269,436  744,604  896,924  526,102  833,030  488,624 
MASTR Reperforming Loan Trust 144A             
Ser. 05-2, Class 1A3, 7 1/2s, 2035  113,897  101,860  --  --  432,247  386,567 
Ser. 05-1, Class 1A4, 7 1/2s, 2034  84,870  93,622  236,422  260,803  225,597  248,861 
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1,             
0.928s, 2027  247,873  158,681  356,052  227,934  293,019  187,582 
Merrill Lynch Capital Funding Corp. Ser. 06-4,             
Class XC, IO, 0.148s, 2049  16,078,877  105,447  47,056,886  308,604  40,245,316  263,933 
Merrill Lynch Floating Trust 144A FRB Ser. 06-1,             
Class TM, 0.819s, 2022  554,794  360,616  491,817  319,681  579,784  376,860 
Merrill Lynch Mortgage Investors, Inc.             
FRB Ser. 98-C3, Class E, 6.986s, 2030  --  --  137,000  80,498  127,000  74,623 
FRB Ser. 05-A9, Class 3A1, 5.271s, 2035  361,630  264,600  1,050,265  768,466  1,141,955  835,555 
Ser. 96-C2, Class JS, IO, 2.263s, 2028  238,356  7,637  140,577  4,504  53,636  1,719 
Merrill Lynch Mortgage Trust             
FRB Ser. 07-C1, Class A3, 6.022s, 2050  219,000  177,397  981,000  794,641  771,000  624,535 
FRB Ser. 07-C1, Class A4, 6.022s, 2050  191,000  137,426  645,000  464,081  552,000  397,167 
FRB Ser. 07-C1, Class A2, 5.918s, 2050  248,000  217,230  --  --  --  -- 
Ser. 05-MCP1, Class XC, IO, 0.156s, 2043  4,392,905  31,629  14,868,957  107,056  14,302,038  102,975 
Merrill Lynch Mortgage Trust 144A             
Ser. 04-KEY2, Class XC, IO, 0.435s, 2039  2,596,203  35,049  7,084,628  95,642  8,384,883  113,196 
Ser. 05-LC1, Class X, IO, 0.1s, 2044  2,396,426  11,627  7,225,400  35,057  7,951,647  38,581 
Merrill Lynch/Countrywide Commercial Mortgage Trust             
FRB Ser. 07-8, Class A3, 6.156s, 2049  417,000  310,779  2,122,000  1,581,469  --  -- 
FRB Ser. 07-8, Class A2, 6.119s, 2049  257,000  228,088  1,160,000  1,029,500  905,000  803,188 
Ser. 06-1, Class A2, 5.439s, 2039  352,000  334,986  --  --  --  -- 
Mezz Cap Commercial Mortgage Trust Ser. 07-C5,             
Class X, 4.881s, 2017  --  --  639,362  51,149  537,421  42,994 
Mezz Cap Commercial Mortgage Trust 144A             
Ser. 04-C2, Class X, IO, 6.004s, 2040  200,129  20,013  509,420  50,942  498,887  49,889 
Ser. 05-C3, Class X, IO, 5.555s, 2044  404,500  32,360  639,970  51,198  640,947  51,276 
Ser. 06-C4, Class X, IO, 5.454s, 2016  967,584  77,407  2,423,250  193,860  2,492,839  199,427 
Morgan Stanley Capital 144A Ser. 05-RR6, Class X, IO,             
1.68s, 2043  887,375  24,128  2,574,274  69,995  4,142,266  112,628 
Morgan Stanley Capital I             
Ser. 98-CF1, Class D, 7.35s, 2032  48,125  40,753  --  --  --  -- 
FRB Ser. 08-T29, Class A3, 6.458s, 2043  176,000  156,640  533,000  474,370  506,000  450,340 
FRB Ser. 06-IQ11, Class A4, 5.771s, 2042  477,000  397,038  1,612,000  1,341,772  1,381,000  1,149,495 
Ser. 07-IQ14, Class A2, 5.61s, 2049  854,000  768,170  --  --  --  -- 
Ser. 05-HQ6, Class A4A, 4.989s, 2042  79,000  67,861  516,000  443,241  571,000  490,486 
Ser. 04-HQ4, Class A7, 4.97s, 2040  144,000  128,549  427,000  381,183  473,000  422,247 
Morgan Stanley Capital I 144A             
Ser. 04-RR, Class F5, 6s, 2039  --  --  395,000  27,650  340,000  23,800 
Ser. 04-RR, Class F6, 6s, 2039  --  --  395,000  23,700  350,000  21,000 
Ser. 07-HQ13, Class X1, IO, 0.818s, 2044  5,065,910  90,376  23,140,980  412,835  --  -- 
Ser. 05-HQ5, Class X1, IO, 0.188s, 2042  3,049,892  12,139  8,362,170  33,281  6,582,390  26,198 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,             
Class 2A1, 4.691s, 2035 (F)  276,445  131,311  487,518  231,571  819,094  389,070 
Mortgage Capital Funding, Inc.             
FRB Ser. 98-MC2, Class E, 7.185s, 2030  53,000  35,510  215,000  144,050  206,000  138,020 
Ser. 97-MC2, Class X, IO, 1.988s, 2012  785  21  217  6  --  -- 
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,             
7.005s, 2035  63,353  44,714  83,835  59,171  81,929  57,826 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2,             
Class PT, 9.087s, 2034  --  --  72,503  66,246  66,674  60,920 
PNC Mortgage Acceptance Corp. 144A             
Ser. 99-CM1, Class B3, 7.1s, 2032  --  --  --  --  757,000  698,080 
Ser. 00-C1, Class J, 6 5/8s, 2010  --  --  118,000  40,136  189,000  64,285 
Residential Asset Mortgage Products, Inc. Ser. 02-SL1,             
Class AI3, 7s, 2032  82,660  78,462  269,488  255,801  169,537  160,927 
Residential Asset Securitization Trust Ser. 07-A5,             
Class 2A3, 6s, 2037  3,225,692  1,870,901  3,811,115  2,210,446  --  -- 
Saco I Trust FRB Ser. 05-10, Class 1A1, 0.574s, 2033  96,014  16,238  175,484  29,678  193,209  32,675 
Salomon Brothers Mortgage Securities VII 144A Ser.             
02-KEY2, Class X1, IO, 0.617s, 2036  2,421,438  80,634  8,986,943  299,265  7,872,524  262,155 
SBA CMBS Trust 144A Ser. 05-1A, Class D, 6.219s, 2035  --  --  200,000  188,982  200,000  188,982 
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  712,540  384,772  3,536,222  1,909,560  2,912,458  1,572,727 
FRB Ser. 06-9, Class 1A1, 5.671s, 2036  1,243,542  577,207  530,994  246,468  --  -- 
FRB Ser. 05-18, Class 6A1, 5.256s, 2035  168,511  106,162  414,549  261,166  438,237  276,089 
Ser. 04-19, Class 2A1X, IO, 1.104s, 2035  392,347  4,316  --  --  --  -- 
Structured Adjustable Rate Mortgage Loan Trust 144A             
Ser. 04-NP2, Class A, 0.664s, 2034  37,637  24,841  145,580  96,083  150,548  99,362 
Structured Asset Securities Corp.             
IFB Ser. 07-4, Class 1A3, IO, 5.943s, 2037  3,346,049  297,129  9,596,992  852,213  9,827,097  872,646 
Ser. 07-4, Class 1A4, IO, 1s, 2037  3,312,906  98,239  10,154,936  301,129  10,382,762  307,885 
Structured Asset Securities Corp. 144A             
Ser. 07-RF1, Class 1A, IO, 5.441s, 2037  --  --  4,166,442  328,316  3,310,966  260,904 
Ser. 06-RF4, Class 1A, IO, 5.372s, 2036  --  --  2,021,117  162,223  1,727,037  138,619 
Ser. 08-RF1, Class AI, IO, 4.509s, 2037  --  --  13,473,655  926,987  --  -- 
Terwin Mortgage Trust 144A FRB Ser. 06-9HGA, Class A1,             
0.394s, 2037  48,276  43,244  --  --  --  -- 
Wachovia Bank Commercial Mortgage Trust             
FRB Ser. 07-C33, Class A3, 6.1s, 2051  327,000  258,860  1,665,000  1,318,047  --  -- 
FRB Ser. 07-C33, Class A2, 6.055s, 2051  88,000  80,247  --  --  --  -- 
Ser. 06-C26, Class A2, 5.935s, 2045  270,000  252,793  --  --  --  -- 
FRB Ser. 07-C32, Class A2, 5.924s, 2049  329,000  307,048  --  --  --  -- 
Ser. 07-C31, Class A2, 5.421s, 2047  497,000  456,175  --  --  1,670,000  1,532,821 
Ser. 07-C30, Class A3, 5.246s, 2043  6,500,000  5,664,488  1,882,000  1,640,087  --  -- 
Ser. 04-C15, Class A4, 4.803s, 2041  215,000  185,939  637,000  550,899  705,000  609,708 
Ser. 06-C29, IO, 0.53s, 2048  17,899,818  256,118  47,055,771  673,295  --  -- 
Ser. 07-C34, IO, 0.519s, 2046  4,734,204  71,869  10,615,097  161,147  8,748,115  132,804 
Wachovia Bank Commercial Mortgage Trust 144A             
FRB Ser. 05-WL5A, Class L, 3.619s, 2018  --  --  164,000  49,200  156,000  46,800 
Ser. 03-C3, Class IOI, IO, 0.562s, 2035  463,252  10,367  3,480,624  77,895  3,483,951  77,969 
Ser. 07-C31, IO, 0.435s, 2047  9,168,324  85,989  35,702,029  334,847  28,103,058  263,577 
Ser. 05-C18, Class XC, IO, 0.152s, 2042  12,393,261  84,398  21,147,443  144,014  24,418,708  166,292 
Ser. 06-C27, Class XC, IO, 0.123s, 2045  3,749,822  18,694  17,346,765  86,480  14,502,481  72,300 
Ser. 06-C23, Class XC, IO, 0.081s, 2045  4,825,127  14,411  31,803,403  94,985  34,910,463  104,265 
Ser. 06-C26, Class XC, IO, 0.061s, 2045  17,434,857  31,297  13,887,564  24,930  8,600,677  15,439 
WAMU Commercial Mortgage Securities Trust 144A             
Ser. 05-C1A, Class G, 5.72s, 2036  --  --  46,000  10,064  44,000  9,626 
Ser. 07-SL2, Class A1, 5.426s, 2049  1,763,779  987,716  --  --  --  -- 
Ser. 06-SL1, Class X, IO, 0.935s, 2043  432,226  12,582  2,311,883  67,299  2,485,537  72,354 
Ser. 07-SL2, Class X, IO, 0.85s, 2049  1,301,079  33,425  5,536,166  142,224  4,385,501  112,664 
WAMU Mortgage Pass-Through Certificates 144A Ser.             
04-RP1, Class 1S, IO, 5.309s, 2034  2,269,736  198,765  4,667,969  408,782  3,068,438  268,708 
Washington Mutual Asset Securities Corp. 144A Ser.             
05-C1A, Class F, 5.3s, 2036  107,000  48,150  --  --  --  -- 
Washington Mutual Mortgage Pass-Through Certificates             
Ser. 07-2, Class CX, IO, 7s, 2037  71,402  7,997  326,048  36,517  260,333  29,157 
 
Total mortgage-backed securities (cost $118,231,144,
$151,661,585 and $121,572,886) $103,203,815    $152,027,373    $128,796,362 
 
 
ASSET-BACKED SECURITIES(a)  Growth 1.4%    Balanced 3.4%    Conservative 3.9%   
   Principal  Principal  Principal 
  amount  Value  amount  Value   amount  Vlaue 
 
Accredited Mortgage Loan Trust             
FRB Ser. 05-1, Class M2, 1.004s, 2035  $--  $--  $69,508  $23,758  $62,557  $21,382 
FRB Ser. 05-4, Class A2C, 0.524s, 2035  --  --  156,938  133,709  125,550  106,967 
Ace Securities Corp.             
FRB Ser. 06-OP2, Class A2C, 0.464s, 2036  107,000  21,782  475,000  96,696  377,000  76,746 
FRB Ser. 06-HE3, Class A2C, 0.464s, 2036  119,000  31,022  549,000  143,116  436,000  113,659 
Ace Securities Corp. 144A Ser. 03-MH1, Class M2,             
6 1/2s, 2030  406,410  320,992  195,980  154,789  --  -- 
Aegis Asset Backed Securities Trust 144A Ser. 04-6N,             
Class Note, 4 3/4s, 2035 (In default) (NON)  8,939  1  12,634  1  12,515  1 
AFC Home Equity Loan Trust Ser. 99-2, Class 1A,             
0.724s, 2029  274,982  119,182  511,739  221,797  364,042  157,782 
American Express Credit Account Master Trust 144A Ser.             
04-C, Class C, 0.819s, 2012  11,643  11,628  71,061  70,972  57,009  56,938 
Ameriquest Mortgage Securities, Inc.             
FRB Ser. 06-R1, Class M10, 2.814s, 2036  --  --  142,000  1,924  261,000  3,536 
FRB Ser. 03-8, Class M2, 2.064s, 2033  --  --  187,403  34,591  168,754  31,148 
FRB Ser. 04-R10, Class A5, 0.704s, 2034  50  43  --  --  --  -- 
FRB Ser. 04-R11, Class A2, 0.684s, 2034  7,812  5,853  --  --  --  -- 
Arcap REIT, Inc. 144A             
Ser. 03-1A, Class E, 7.11s, 2038  --  --  286,000  31,460  223,000  24,530 
Ser. 04-1A, Class E, 6.42s, 2039  --  --  240,272  43,249  227,202  40,896 
Argent Securities, Inc.             
FRB Ser. 03-W3, Class M3, 2.584s, 2033  --  --  22,925  2,811  20,633  2,530 
FRB Ser. 06-W4, Class A2C, 0.474s, 2036  211,000  67,391  975,000  311,403  775,000  247,526 
Asset Backed Funding Certificates             
FRB Ser. 04-OPT2, Class M2, 1.314s, 2033  --  --  156,421  103,615  140,581  93,122 
FRB Ser. 05-WMC1, Class M1, 0.754s, 2035  29,000  12,470  583,000  250,690  404,000  173,720 
Asset Backed Securities Corp. Home Equity Loan Trust             
FRB Ser. 04-HE7, Class A2, 0.694s, 2034  126  67  --  --  --  -- 
FRB Ser. 04-HE6, Class A2, 0.674s, 2034  77,763  43,457  275,390  153,897  264,196  147,642 
FRB Ser. 06-HE2, Class A3, 0.504s, 2036  32,933  16,932  153,308  78,823  122,079  62,766 
FRB Ser. 06-HE4, Class A5, 0.474s, 2036  129,733  77,155  594,952  353,830  477,614  284,047 
FRB Ser. 06-HE7, Class A4, 0.454s, 2036  --  --  324,000  96,552  252,000  75,096 

BankAmerica Manufactured Housing Contract Trust Ser.             
97-2, Class M, 6.9s, 2028  778,000  1,009,673  370,000  480,179  --  -- 
Bay View Auto Trust             
Ser. 05-LJ2, Class D, 5.27s, 2014  62,000  54,783  139,000  122,821  134,000  118,403 
Ser. 05-LJ2, Class C, 4.92s, 2014  100,000  100,144  46,000  46,066  45,000  45,065 
Bayview Financial Acquisition Trust             
Ser. 04-B, Class A1, 1.316s, 2039  --  --  707,607  406,024  929,214  533,182 
FRB Ser. 04-D, Class A, 0.698s, 2044  55,392  47,244  181,058  154,424  176,759  150,757 
Bayview Financial Asset Trust 144A             
FRB Ser. 03-SSRA, Class M, 1.664s, 2038  33,340  20,004  99,246  59,547  77,536  46,521 
FRB Ser. 03-SSRA, Class A, 1.014s, 2038  33,340  21,671  99,246  64,510  77,536  50,398 
FRB Ser. 04-SSRA, Class A1, 0.914s, 2039  85,719  40,288  124,589  58,557  120,728  56,742 
Bear Stearns Asset Backed Securities, Inc.             
FRB Ser. 06-PC1, Class M9, 2.064s, 2035  --  --  --  --  38,594  386 
FRB Ser. 05-HE1, Class M3, 1.244s, 2035  --  --  210,000  101,205  189,000  91,084 
FRB Ser. 03-3, Class A2, 0.904s, 2043  93,584  63,102  324,966  219,116  256,436  172,908 
FRB Ser. 03-1, Class A1, 0.814s, 2042  84,743  63,388  241,773  180,848  172,009  128,664 
FRB Ser. 05-3, Class A1, 0.764s, 2035  68,900  50,680  --  --  --  -- 
FRB Ser. 03-ABF1, Class A, 0.684s, 2034  23,282  13,156  --  --  --  -- 
Bombardier Capital Mortgage Securitization Corp.             
Ser. 00-A, Class A4, 8.29s, 2030  3,207,331  1,668,220  1,994,431  1,037,358  387,022  201,301 
Ser. 00-A, Class A2, 7.575s, 2030  725,667  372,101  338,644  173,647  --  -- 
Ser. 99-B, Class A-5, 7.44s, 2020  149,732  76,363  1,424,947  726,723  1,116,125  569,224 
Ser. 99-B, Class A3, 7.18s, 2015  72,370  35,320  1,416,213  691,185  1,097,409  535,593 
Ser. 99-B, Class A2, 6.975s, 2012  --  --  47,415  17,542  61,140  22,620 
Chase Funding Loan Acquisition Trust FRB Ser. 04-AQ1,             
Class A2, 0.714s, 2034  77,026  53,344  --  --  --  -- 
Citigroup Mortgage Loan Trust, Inc.             
FRB Ser. 05-OPT1, Class M1, 0.734s, 2035  44,358  19,696  200,967  89,233  157,515  69,939 
Ser. 03-HE3, Class A, 0.694s, 2033  531,674  360,052  --  --  --  -- 
Citigroup Mortgage Loan Trust, Inc. 144A FRB Ser.             
03-HE4, Class A, 0.724s, 2033  179,610  128,730  --  --  --  -- 
Conseco Finance Securitizations Corp.             
Ser. 02-2, Class A, IO, 8 1/2s, 2033  249,805  17,366  370,612  25,764  233,424  16,227 
Ser. 00-4, Class A6, 8.31s, 2032  121,489  85,257  2,283,824  1,602,717  2,241,640  1,573,114 
Ser. 00-5, Class A7, 8.2s, 2032  --  --  1,231,000  900,813  817,000  597,859 
Ser. 00-5, Class A6, 7.96s, 2032  418,528  310,063  1,654,467  1,225,702  1,515,462  1,122,721 
Ser. 02-1, Class M1F, 7.954s, 2033  --  --  510,000  306,989  676,000  406,911 
Ser. 02-2, Class M1, 7.424s, 2033  83,000  47,057  216,000  122,461  154,000  87,310 
Ser. 01-4, Class A4, 7.36s, 2033  189,415  162,457  850,023  729,048  --  -- 
Ser. 00-6, Class A5, 7.27s, 2031  152,113  125,941  395,627  327,558  281,543  233,102 
Ser. 01-1, Class A5, 6.99s, 2032  1,039,999  844,444  4,148,352  3,368,320  3,697,127  3,001,942 
Ser. 01-3, Class A4, 6.91s, 2033  --  --  464,453  382,625  --  -- 
Ser. 02-1, Class A, 6.681s, 2033  95,743  87,760  411,573  377,254  --  -- 
FRB Ser. 02-1, Class M1A, 2.359s, 2033  725,000  249,478  1,996,000  686,840  1,264,000  434,953 
Countrywide Asset Backed Certificates             
FRB Ser. 05-BC3, Class M1, 0.834s, 2035  47,000  34,543  210,000  154,342  166,000  122,004 
FRB Ser. 04-6, Class 2A5, 0.704s, 2034  35,743  23,744  319,850  212,476  268,004  178,034 
FRB Ser. 04-5, Class 4A3, 0.634s, 2034  37,080  23,056  130,612  81,213  125,742  78,185 
FRB Ser. 05-14, Class 3A2, 0.554s, 2036  20,913  16,204  94,690  73,366  74,358  57,612 
Credit-Based Asset Servicing and Securitization FRB             
Ser. 02-CB2, Class A2, 1.414s, 2032  29,292  16,758  --  --  --  -- 
Credit-Based Asset Servicing and Securitization 144A             
Ser. 06-MH1, Class B1, 6 1/4s, 2036  --  --  291,000  122,220  186,000  78,120 
Ser. 06-MH1, Class M1, 6 1/4s, 2036  843,000  430,773  236,000  120,596  314,000  160,454 
Ser. 06-MH1, Class M2, 6 1/4s, 2036  228,000  177,950  110,000  85,853  123,000  95,999 
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038  --  --  339,000  84,750  313,000  78,250 
CS First Boston Mortgage Securities Corp. 144A Ser.             
04-FR1N, Class A, 5s, 2034 (In default) (NON)  16,582  --  23,162  --  25,268  -- 
Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,             
0.984s, 2035  --  --  68,804  30,934  62,404  28,057 
Fieldstone Mortgage Investment Corp. FRB Ser. 05-1,             
Class M3, 0.854s, 2035  --  --  139,617  124,336  134,735  119,988 
First Franklin Mortgage Loan Asset Backed Certificates             
FRB Ser. 06-FF7, Class 2A3, 0.464s, 2036  163,000  56,934  744,000  259,869  583,000  203,634 
Fremont Home Loan Trust             
FRB Ser. 05-E, Class 2A4, 0.644s, 2036  231,000  80,792  1,045,000  365,489  816,000  285,397 
FRB Ser. 06-2, Class 2A3, 0.484s, 2036  392,000  102,105  1,688,000  439,675  1,342,000  349,552 
GE Corporate Aircraft Financing, LLC 144A             
FRB Ser. 05-1A, Class C, 1.614s, 2019  --  --  269,000  161,400  271,000  162,600 
Ser. 04-1A, Class B, 1.164s, 2018  9,141  7,587  9,964  8,270  9,690  8,043 
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,             
8.22s, 2012  --  --  443,000  420,777  442,000  419,827 
GEBL 144A             
Ser. 04-2, Class D, 3.069s, 2032  --  --  110,971  6,658  136,481  8,189 
Ser. 04-2, Class C, 1.169s, 2032  --  --  82,909  8,291  136,481  13,648 
Granite Mortgages PLC             
FRB Ser. 03-3, Class 1C, 3.557s, 2044  77,405  9,172  148,359  17,580  --  -- 
FRB Ser. 03-2, Class 1C, 2.657s, 2043 (F)  176,004  20,856  --  --  --  -- 
Green Tree Financial Corp.             
Ser. 94-4, Class B2, 8.6s, 2019  1,230,337  712,884  552,595  320,186  --  -- 
Ser. 96-8, Class A7, 8.05s, 2027  15,492  14,567  --  --  --  -- 
Ser. 96-5, Class M1, 8.05s, 2027  --  --  238,206  173,159  322,794  234,649 
Ser. 96-6, Class M1, 7.95s, 2027  2,582,000  1,859,254  1,222,000  879,941  1,077,000  775,529 
Ser. 99-5, Class A5, 7.86s, 2030  643,582  490,097  2,485,146  1,892,473  2,030,379  1,546,162 
Ser. 97-2, Class A7, 7.62s, 2028  154,220  139,621  113,151  102,440  81,301  73,605 
Ser. 96-2, Class M1, 7.6s, 2026  1,460,000  1,050,498  691,000  497,188  609,000  438,187 
Ser. 97-6, Class A9, 7.55s, 2029  60,283  47,574  --  --  112,577  88,844 
Ser. 97-4, Class A7, 7.36s, 2029  12,426  9,923  38,164  30,478  82,246  65,682 
Ser. 97-3, Class A6, 7.32s, 2028  1,841  1,588  --  --  --  -- 
Ser. 96-10, Class A6, 7.3s, 2028  14,158  13,483  --  --  --  -- 
Ser. 95-8, Class M1, 7.3s, 2026  50,321  46,235  --  --  --  -- 
Ser. 96-10, Class M1, 7.24s, 2028  --  --  449,000  342,434  625,000  476,662 
Ser. 97-6, Class M1, 7.21s, 2029  293,000  136,765  688,000  321,141  946,000  441,569 
Ser. 96-2, Class A4, 7.2s, 2027  130,887  128,625  --  --  --  -- 
Ser. 97-3, Class A5, 7.14s, 2028  21,295  18,515  153,442  133,412  110,560  96,128 
Ser. 97-6, Class A8, 7.07s, 2029  28,878  27,130  --  --  32,507  30,540 
Ser. 95-10, Class B1, 7.05s, 2027  311,648  183,053  --  --  --  -- 
Ser. 93-4, Class A5, 7.05s, 2019  5,947  5,530  --  --  --  -- 
Ser. 98-4, Class A7, 6.87s, 2030  45,838  38,042  116,359  96,567  82,666  68,605 
Ser. 97-7, Class A8, 6.86s, 2029  5,784  4,790  22,610  18,724  48,726  40,351 
Ser. 93-3, Class B, 6.85s, 2018  152,657  109,383  71,313  51,098  --  -- 
Ser. 99-3, Class A7, 6.74s, 2031  93,938  85,781  127,860  116,758  131,339  119,935 
Ser. 98-6, Class A7, 6.45s, 2030  --  --  93,570  90,896  67,443  65,516 
Ser. 99-2, Class A7, 6.44s, 2030  --  --  456,665  328,661  636,446  458,050 
Ser. 98-7, Class M1, 6.4s, 2030  118,000  44,775  218,000  82,719  136,000  51,605 
Ser. 99-1, Class A6, 6.37s, 2025  254,000  231,160  359,000  326,718  224,000  203,857 
Ser. 98-2, Class A5, 6.24s, 2016  9,735  8,485  --  --  --  -- 
Greenpoint Manufactured Housing             
Ser. 00-3, Class IA, 8.45s, 2031  3,929,905  2,554,438  3,736,258  2,428,568  1,436,659  933,828 
Ser. 99-5, Class M1A, 8.3s, 2026  --  --  198,000  115,255  157,000  91,389 
Ser. 99-5, Class A4, 7.59s, 2028  185,588  168,421  234,884  213,157  160,939  146,052 
Ser. 99-3, Class 1A5, 6.79s, 2023  8,529  8,100  --  --  --  -- 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011  --  --  97,098  96,127  94,995  94,045 
GSAMP Trust FRB Ser. 06-HE5, Class A2C, 0.464s, 2036  584,000  153,926  2,514,000  662,619  1,998,000  526,616 
Guggenheim Structured Real Estate Funding, Ltd. 144A             
FRB Ser. 05-2A, Class D, 1.864s, 2030  --  --  250,000  25,000  250,000  25,000 
FRB Ser. 05-1A, Class D, 1.844s, 2030  --  --  105,068  10,507  100,774  10,077 
High Income Trust Securities 144A FRB Ser. 03-1A,             
Class A, 1.474s, 2036  --  --  394,406  145,930  358,918  132,800 
Home Equity Asset Trust             
FRB Ser. 04-7, Class A3, 0.704s, 2035  309  229  --  --  --  -- 
FRB Ser. 06-1, Class 2A4, 0.644s, 2036  117,000  45,098  527,000  203,133  415,000  159,963 
Impac CMB Trust FRB Ser. 04-8, Class 1A, 1.034s, 2034  7,534  2,547  --  --  --  -- 
JPMorgan Mortgage Acquisition Corp. FRB Ser. 06-FRE1,             
Class A4, 0.604s, 2035  100,000  29,940  443,000  132,632  347,000  103,890 
Lehman ABS Manufactured Housing Contract             
Ser. 01-B, Class M1, 6.63s, 2028  185,000  66,002  171,000  61,007  176,000  62,791 
Ser. 01-B, Class A5, 5.873s, 2022  57,622  39,513  --  --  --  -- 
Ser. 01-B, Class A4, 5.27s, 2018  35,126  23,500  --  --  --  -- 
Lehman XS Trust             
Ser. 07-6, Class 3A6, 6 1/2s, 2037  471,441  279,863  4,230,603  2,511,427  3,543,535  2,103,561 
IFB Ser. 07-3, Class 4B, IO, 6.376s, 2037  368,985  37,644  1,512,605  154,316  1,293,398  131,953 
FRB Ser. 07-6, Class 2A1, 0.524s, 2037  974,848  299,243  4,530,777  1,390,783  3,500,390  1,074,492 
LNR CDO, Ltd. 144A FRB Ser. 03-1A, Class EFL, 3.317s,             
2036  105,000  7,350  595,000  41,650  460,000  32,200 
Local Insight Media Finance, LLC Ser. 07-1W, Class A1,             
5.53s, 2012 (F)  349,816  152,170  1,831,957  796,901  1,584,291  689,167 
Long Beach Mortgage Loan Trust             
FRB Ser. 05-2, Class M4, 0.934s, 2035  --  --  240,000  81,881  216,000  73,693 
FRB Ser. 06-4, Class 2A4, 0.574s, 2036  111,000  29,263  503,000  132,605  394,000  103,869 
FRB Ser. 06-1, Class 2A3, 0.504s, 2036  134,991  60,225  626,161  279,359  497,676  222,036 
Madison Avenue Manufactured Housing Contract FRB Ser.             
02-A, Class M2, 2.564s, 2032  507,000  347,074  --  --  --  -- 
Marriott Vacation Club Owner Trust 144A             
Ser. 05-2, Class D, 6.205s, 2027  --  --  19,283  9,642  20,712  10,356 
Ser. 04-2A, Class D, 5.389s, 2026  --  --  13,141  6,570  12,888  6,444 
Ser. 04-1A, Class C, 5.265s, 2026  --  --  33,523  25,412  31,129  23,597 
FRB Ser. 02-1A, Class A1, 1.015s, 2024  11,396  9,881  48,291  41,872  47,502  41,187 
MASTR Asset Backed Securities Trust             
FRB Ser. 04-OPT2, Class A2, 0.664s, 2034  17,045  8,494  --  --  --  -- 
FRB Ser. 06-FRE2, Class A4, 0.464s, 2036  58,000  22,993  262,000  103,864  206,000  81,664 
FRB Ser. 04-HE1, Class A1, 0.714s, 2034  1,244  1,164  --  --  --  -- 
Merrill Lynch Mortgage Investors, Inc.             
Ser. 04-WMC3, Class B3, 5s, 2035  4,642  204  13,777  607  12,729  560 
FRB Ser. 04-HE2, Class A1A, 0.714s, 2035  4,085  2,200  --  --  --  -- 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038  65,827  29,288  175,713  78,179  135,802  60,422 
Morgan Stanley ABS Capital I             
FRB Ser. 05-HE2, Class M5, 0.994s, 2035  --  --  150,000  106,816  135,000  96,134 
FRB Ser. 05-HE1, Class M3, 0.834s, 2034  --  --  150,000  92,338  135,000  83,105 
FRB Ser. 04-HE8, Class A4, 0.694s, 2034  6,211  3,536  --  --  --  -- 
FRB Ser. 06-NC4, Class M2, 0.614s, 2036  --  --  210,000  1,279  189,000  1,151 
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1,             
1.373s, 2015  29,777  27,029  51,741  46,965  48,995  44,473 
Navistar Financial Corp. Owner Trust Ser. 05-A,             
Class C, 4.84s, 2014  11,436  10,769  26,873  25,308  25,873  24,365 
New Century Home Equity Loan Trust             
Ser. 03-5, Class AI7, 5.15s, 2033  81,165  67,379  275,798  228,951  241,841  200,761 
FRB Ser. 03-4, Class M3, 2.364s, 2033  --  --  11,794  4,767  10,615  4,290 
Novastar Home Equity Loan             
FRB Ser. 06-1, Class A2C, 0.474s, 2036  138,000  51,257  626,000  232,514  488,000  181,257 
FRB Ser. 06-2, Class A2C, 0.464s, 2036  138,000  34,254  626,000  155,382  488,000  121,129 
Oakwood Mortgage Investors, Inc.             
Ser. 96-C, Class B1, 7.96s, 2027  518,467  243,680  699,254  328,649  434,844  204,376 
Ser. 00-A, Class A3, 7.945s, 2022  63,529  32,723  247,150  127,305  241,821  124,560 
Ser. 95-B, Class B1, 7.55s, 2021  --  --  151,776  84,843  219,049  122,449 
Ser. 00-D, Class A3, 6.99s, 2022  --  --  97,654  94,058  49,741  47,909 
Ser. 98-A, Class M, 6.825s, 2028  454,000  208,266  219,000  100,463  --  -- 
Ser. 01-E, Class A4, 6.81s, 2031  570,107  441,781  751,680  582,484  814,000  630,776 
Ser. 99-B, Class A3, 6.45s, 2017  116,099  89,238  245,685  188,844  227,437  174,818 
Ser. 99-A, Class A3, 6.09s, 2029  155,638  112,864  --  --  --  -- 
Ser. 01-E, Class A, IO, 6s, 2009  165,365  3,149  439,756  8,373  294,878  5,614 

Ser. 01-D, Class A3, 5.9s, 2022        79,875  35,327  628,653  278,044  487,867  215,776 
Ser. 02-C, Class A1, 5.41s, 2032        335,061  221,141  735,295  485,295  680,433  449,086 
Ser. 01-D, Class A2, 5.26s, 2019        47,845  28,923  --  --  292,470  176,802 
Ser. 02-A, Class A2, 5.01s, 2020        173,390  88,914  --  --  86,695  44,457 
Oakwood Mortgage Investors, Inc. 144A                   
Ser. 01-B, Class A4, 7.21s, 2030        --  --  70,565  56,640  93,395  74,965 
Ser. 01-B, Class A3, 6.535s, 2023        --  --  58,787  38,196  42,372  27,531 
Origen Manufactured Housing                   
Ser. 04-B, Class A3, 4 3/4s, 2021        56,000  50,904  --  --  --  -- 
Ser. 04-B, Class A2, 3.79s, 2017        11,212  10,978  3,684  3,607  3,403  3,333 
Ownit Mortgage Loan Asset-Backed Certificates FRB Ser.                
06-7, Class A2A, 0.384s, 2037        559,642  432,408  --  --  --  -- 
Park Place Securities, Inc.                   
FRB Ser. 05-WCH1, Class M4, 1.144s, 2036        --  --  97,000  10,684  88,000  9,692 
FRB Ser. 04-MCW1, Class A2, 0.694s, 2034        7,914  6,672  --  --  --  -- 
FRB Ser. 04-WHQ2, Class A3A, 0.664s, 2035        2,370  2,213  19,136  17,876  18,562  17,339 
People's Financial Realty Mortgage Securities Trust                   
FRB Ser. 06-1, Class 1A2, 0.444s, 2036        224,000  74,761  995,000  332,086  791,000  264,000 
Pillar Funding PLC 144A FRB Ser. 04-2A, Class C,                   
1.509s, 2011 (United Kingdom)        --  --  183,000  173,850  169,000  160,550 
Popular ABS Mortgage Pass-Through Trust FRB Ser. 04-4,                
Class AV1, 0.654s, 2034        3,550  1,647  --  --  --  -- 
Renaissance Home Equity Loan Trust FRB Ser. 04-3,                
Class AV1, 0.734s, 2034        130,235  86,786  --  --  --  -- 
Residential Asset Mortgage Products, Inc.                   
FRB Ser. 06-NC3, Class A2, 0.504s, 2036        130,686  72,265  605,731  334,948  481,579  266,297 
FRB Ser. 06-RZ2, Class A2, 0.484s, 2036        248,294  150,878  --  --  --  -- 
FRB Ser. 07-RZ1, Class A2, 0.474s, 2037        207,000  65,540  840,000  265,958  667,000  211,183 
Residential Asset Securities Corp. FRB Ser. 06-EMX3,                
Class A2, 0.494s, 2036        784,295  407,833  --  --  --  -- 
Residential Asset Securities Corp. 144A Ser. 04-NT,                   
Class Note, 4 1/2s, 2034 (In default) (NON)        12,285  61  17,855  89  19,247  96 
SAIL Net Interest Margin Notes 144A Ser. 04-4A,                   
Class B, 7 1/2s, 2034 (In default) (NON)        --  --  49,135  --  --  -- 
Saxon Asset Securities Trust FRB Ser. 04-3, Class A,                
0.654s, 2034        20,877  10,341  --  --  --  -- 
Securitized Asset Backed Receivables, LLC                   
FRB Ser. 05-HE1, Class M2, 0.964s, 2035        --  --  150,000  1,235  135,000  1,112 
FRB Ser. 07-NC2, Class A2B, 0.454s, 2037        171,000  48,585  789,000  224,172  628,000  178,428 
FRB Ser. 07-BR5, Class A2A, 0.444s, 2037        127,224  76,970  1,267,284  766,707  450,479  272,540 
FRB Ser. 07-BR4, Class A2A, 0.404s, 2037        162,148  98,754  1,073,547  653,828  401,651  244,619 
SG Mortgage Securities Trust                   
FRB Ser. 06-OPT2, Class A3D, PO, 0.524s, 2036        234,000  55,297  1,061,000  250,728  832,000  196,612 
FRB Ser. 06-FRE1, Class A2B, 0.494s, 2036        --  --  506,000  219,390  402,000  174,298 
Soundview Home Equity Loan Trust                   
FRB Ser. 06-OPT3, Class 2A3, 0.484s, 2036        111,000  62,783  502,000  283,938  394,000  222,852 
FRB Ser. 06-3, Class A3, 0.474s, 2036        587,000  237,865  2,527,000  1,023,995  2,009,000  814,091 
Structured Asset Investment Loan Trust FRB Ser.                   
06-BNC2, Class A6, 0.574s, 2036        111,000  2,576  503,000  11,675  394,000  9,145 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,                
1.602s, 2015        --  --  1,094,210  678,410  1,054,133  653,562 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,                   
2038        --  --  349,000  20,940  299,000  17,940 
TIAA Real Estate CDO, Ltd. 144A FRB Ser. 02-1A,                   
Class III, 7.6s, 2037        100,000  12,000  384,000  46,080  278,000  33,360 
UCFC Mfg. Hsg. Contract Ser. 97-4, Class A4, 6.995s,                
2029        393,356  343,927  --  --  --  -- 
WAMU Asset-Backed Certificates FRB Ser. 07-HE2,                   
Class 2A1, 0.424s, 2037        509,525  285,334  2,996,104  1,677,818  4,975,193  2,786,108 
Wells Fargo Home Equity Trust FRB Ser. 07-1, Class A3,                
0.634s, 2037        --  --  222,000  55,545  174,000  43,535 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,                
Class B3, 1.992s, 2044 (United Kingdom)        --  --  131,083  15,730  131,434  15,772 
Total asset-backed securities (cost $31,832,121,
$78,839,157 and $63,052,379)   $21,940,367    $45,661,653    $36,303,929 
 
 
INVESTMENT COMPANIES(a)        Growth 1.1%    Balanced 1.3%    Conservative 0.8%   
        Shares  Value  Shares  Value  Shares  Value 
Eurazeo (France)        14,973  $624,629  8,453  $352,634  2,705  $112,845 
Harris & Harris Group, Inc. (NON) (SG) (SB)        66,600  388,278  54,600  318,318  31,800  185,394 
iShares Dow Jones U.S. Real Estate Index Fund        67,000  2,166,780  55,200  1,785,168  24,500  792,330 
iShares MSCI EAFE Index Fund        --  --  --  --  2,300  105,363 
iShares MSCI Taiwan Index Fund (Taiwan)        97,940  988,215  --  --  --  -- 
iShares Russell 2000 Growth Index Fund        7,679  435,323  12,145  688,500  9,674  548,419 
iShares Russell 2000 Value Index Fund        22,531  1,048,367  --  --  8,243  383,547 
MCG Capital Corp.        68,490  166,431  49,326  119,862  19,097  46,406 
S&P 500 Index Depository Receipts (SPDR Trust Series 1)     97,636  8,974,701  131,800  12,115,056  47,781  4,392,030 
SPDR KBW Bank ETF (SG) (SB)        156,100  2,817,605  130,600  2,357,330  56,900  1,027,045 
Total investment companies (cost $16,984,625,
$18,316,025 and $7,275,102)     $17,610,329    $17,736,868    $7,593,379 
 
 
FOREIGN GOVERNMENT BONDS AND NOTES(a)     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  $2,058,506  5,525  $2,753,813  4,838  $2,411,393 
Japan (Government of) CPI Linked bonds Ser. 16, 1.4s,                
2018      JPY  799,065,800  7,219,046  --  --  --  -- 
Peru (Republic of) govt. guaranty sr. sec. bond Ser.                
8-1, 12 1/4s, 2011      PEN  --  --  8,475,000  3,319,798  7,270,000  2,847,779 
Total foreign government bonds and notes
(cost $9,810,486, $6,843,257 and $5,928,429) $9,277,552    $6,073,611    $5,259,172 
  
PURCHASED OPTIONS OUTSTANDING(a)        Growth 0.4%    Balanced 0.6%    Conservative 1.2%   
    Expiration date/    Contract  Contract  Contract 
    strike price    amount  Value  amount  Value  amount  Value 
Citigroup, Inc. (Call)    Sep-09/$5.00    370,630  $11,119  310,032  $9,301  132,049  $3,961 
Porsche Automobil Holding SE (Preference) (Call)  EUR  Aug-09/47.00    2,079  14,796  1,649  11,736  1,102  7,843 
Porsche Automobil Holding SE (Preference) (Call)  EUR  Aug-09/49.28    2,807  13,306  2,254  10,685  1,522  7,215 
Wienerberger AG (Call)  EUR  Jul-09/9.00    17,541  6,896  14,065  5,529  9,251  3,637 
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  81,750  --  --  35,609,000  248,402 
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  1,482,695  --  --  35,609,000  4,505,270 
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  91,525  48,439,000  378,309  35,609,000  278,106 
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  1,504,837  48,439,000  6,220,052  35,609,000  4,572,552 
Option on an interest rate swap with JPMorgan Chase                   
Bank, N.A. for the right to receive a fixed rate                   
of 4.23% versus the three month USD-LIBOR-BBA maturing                
June 9, 2020.    Jun-10/4.23    21,257,000  1,143,627  10,378,000  558,336  13,729,000  738,620 
Option on an interest rate swap with JPMorgan Chase                   
Bank, N.A. for the right to receive a fixed rate                   
of 4.235% versus the three month USD-LIBOR-BBA maturing                
June 11, 2020.    Jun-10/4.235    21,257,000  1,147,878  10,378,000  560,412  13,729,000  741,366 
Total purchased options outstanding
(cost $3,215,983, $4,280,538 and $6,107,484) $5,498,429    $7,754,360    $11,106,972 
 
 
COMMODITY LINKED NOTES(a)        Growth 0.5%    Balanced 0.5%    Conservative 0.4%   
Principal  Principal  Principal 
        amount  Value  amount  Value   amount  Value 
UBS AG/Jersey Branch 144A 144A sr. unsec. notes Ser.                
CMCI, zero % (Indexed to the UBS Bloomberg Constant                
Maturity Commodity Index) (United Kingdom)        $11,287,000  $8,130,544  $9,667,000  $6,963,584  $5,398,000  $3,888,427 
Total Commodity linked notes (cost $11,287,000,
$9,667,000 and $5,398,000)     $8,130,544    $6,963,584    $3,888,427 
 
 
SENIOR LOANS(a)(c)        Growth 0.3%    Balanced 0.7%    Conservative 0.6%   
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,                
2.058s, 2014        $1,237,374  $1,104,356  $1,638,283  $1,462,167  $1,405,657  $1,254,548 
NewPage Holding Corp. bank term loan FRN 4.067s, 2014     --  --  92,419  79,557  86,591  74,540 
          1,104,356    1,541,724    1,329,088 
 
 
Capital goods          --%    0.1%    --% 
Hawker Beechcraft Acquisition Co., LLC bank term loan                
FRN 3.22s, 2014        35,485  24,019  47,980  32,476  4,511  3,053 
Hawker Beechcraft Acquisition Co., LLC bank term loan                
FRN Ser. B, 2.616s, 2014        719,437  486,969  959,555  649,499  79,186  53,599 
Polypore, Inc. bank term loan FRN Ser. B, 2.59s, 2014     --  --  121,455  110,827  112,568  102,718 
Sequa Corp. bank term loan FRN 4.057s, 2014        --  --  167,537  130,399  157,220  122,370 
Wesco Aircraft Hardware Corp. bank term loan FRN                
2.57s, 2013        --  --  123,000  107,256  114,000  99,408 
          510,988    1,030,457    381,148 
 
 
Communication services          --%    0.1%    0.1% 
Fairpoint Communications, Inc. bank term loan FRN                
Ser. B, 5 3/4s, 2015        288,664  215,777  637,053  476,197  552,444  412,952 
Intelsat Corp. bank term loan FRN Ser. B2, 2.819s, 2011     --  --  32,180  29,227  29,826  27,088 
Intelsat Corp. bank term loan FRN Ser. B2-A, 2.819s,                
2013        --  --  32,190  29,235  29,834  27,096 
Intelsat Corp. bank term loan FRN Ser. B2-C, 2.819s,                
2013        --  --  32,180  29,227  29,826  27,088 
Intelsat, Ltd. bank term loan FRN 3.319s, 2014                   
(Bermuda)        400,000  330,750  540,000  446,513  460,000  380,363 
Level 3 Communications, Inc. bank term loan FRN                   
3.155s, 2014        --  --  123,000  102,052  114,000  94,584 
MetroPCS Wireless, Inc. bank term loan FRN 3.066s, 2013     --  --  48,453  46,024  44,907  42,656 
TW Telecom, Inc. bank term loan FRN Ser. B, 2.32s, 2013     --  --  89,035  83,124  82,521  77,042 
West Corp. bank term loan FRN 2.689s, 2013        --  --  121,447  111,037  112,561  102,913 
          546,527    1,352,636    1,191,782 
 
 
Consumer cyclicals          0.2%    0.3%    0.2% 
Affinion Group, Inc. bank term loan FRN Ser. B,                   
2.809s, 2013        --  --  121,798  114,795  112,886  106,395 
Allison Transmission, Inc. bank term loan FRN Ser. B,                
3.071s, 2014        305,000  241,059  387,912  306,589  294,454  232,724 

Building Materials Holdings Corp. bank term loan FRN                 
3.067s, 2014      145,000  125,860  124,688  108,229  84,788  73,596 
Dex Media West, LLC/Dex Media Finance Co. bank term                 
loan FRN Ser. B, 7s, 2014      236,003  194,113  316,244  260,111  --  -- 
Goodman Global Holdings, Inc. bank term loan FRN                 
Ser. B, 6 1/2s, 2011      925,000  881,063  1,236,500  1,177,766  88,780  84,563 
Harrah's Operating Co., Inc. bank term loan FRN                 
Ser. B2, 4.092s, 2015      --  --  107,653  78,586  99,776  72,836 
Lear Corp. bank term loan FRN 3.168s, 2013      234,818  163,296  419,127  291,468  371,278  258,193 
National Bedding Co. bank term loan FRN 2.38s, 2011      --  --  52,331  44,656  48,381  41,285 
Navistar Financial Corp. bank term loan FRN 4.271s,                 
2012      --  --  32,800  28,229  30,400  26,163 
Navistar International Corp. bank term loan FRN                 
3.569s, 2012      --  --  90,200  77,628  83,600  71,948 
Six Flags Theme Parks bank term loan FRN 3.366s, 2015      184,530  173,063  159,594  149,676  104,734  98,225 
Travelport bank term loan FRN Ser. B, 3.146s, 2013      --  --  49,137  38,388  45,542  35,579 
Travelport bank term loan FRN Ser. DD, 2.819s, 2013      --  --  72,749  56,881  67,426  52,719 
TRW Automotive, Inc. bank term loan FRN Ser. B,                 
1 7/8s, 2014      255,000  223,975  225,000  197,625  155,000  136,142 
Univision Communications, Inc. bank term loan FRN                 
Ser. B, 2.569s, 2014      --  --  123,000  91,415  114,000  84,726 
Visteon Corp. bank term loan FRN Ser. B, 4 1/4s, 2013      480,000  196,800  635,000  260,350  --  -- 
Yankee Candle Co., Inc. bank term loan FRN 3.207s, 2014      --  --  69,141  61,535  64,405  57,321 
        2,199,229    3,343,927    1,432,415 
 
 
Consumer staples        --%    --%    --% 
Dean Foods Co. bank term loan FRN Ser. B, 2.588s, 2014      144,630  135,149  129,668  121,168  89,770  83,885 
Pinnacle Foods Holding Corp. bank term loan FRN                 
Ser. B, 3.066s, 2014      --  --  121,146  107,567  112,281  99,697 
Spectrum Brands, Inc. bank term loan FRN 2.803s, 2013                 
(In default) (NON)      --  --  7,849  6,959  7,274  6,450 
Spectrum Brands, Inc. bank term loan FRN Ser. B1,                 
7.019s, 2013 (In default) (NON)      --  --  113,974  101,057  105,635  93,663 
        135,149    336,751    283,695 
 
 
Health care        --%    --%    --% 
Health Management Associates, Inc. bank term loan FRN                 
2.97s, 2014      --  --  113,685  99,919  105,367  92,608 
IASIS Healthcare Corp. bank term loan FRN Ser. DD,                 
2.319s, 2014      --  --  29,192  26,674  27,056  24,722 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term                 
loan FRN 7.62s, 2014      --  --  7,863  7,185  7,288  6,659 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term                 
loan FRN Ser. B, 2.319s, 2014      --  --  84,356  77,080  78,183  71,440 
Sun Healthcare Group, Inc. bank term loan FRN 2.1s,                 
2014      --  --  20,507  17,995  19,006  16,678 
Sun Healthcare Group, Inc. bank term loan FRN Ser. B,                 
3.175s, 2014      --  --  130,870  114,839  119,769  105,097 
        --    343,692    317,204 
 
 
Technology        --%    0.1%    --% 
First Data Corp. bank term loan FRN Ser. B1, 3.065s,                 
2014      --  --  121,150  90,560  112,286  83,934 
First Data Corp. bank term loan FRN Ser. B3, 3.065s,                 
2014      696,143  520,150  804,761  601,308  --  -- 
Freescale Semiconductor, Inc. bank term loan FRN                 
12 1/2s, 2014      65,750  57,367  69,443  60,589  34,554  30,149 
        577,517    752,457    114,083 
 
 
Utilities and power        --%    --%    --% 
Energy Future Holdings Corp. bank term loan FRN                 
Ser. B2, 3.821s, 2014      --  --  121,150  86,365  112,286  80,046 
 
Total senior loans (cost $6,090,092,
$10,316,708 and $5,693,762)     $5,073,766    $8,788,009    $5,129,461 
 
 
CONVERTIBLE BONDS AND NOTES(a)      Growth 0.1%    Balanced 0.0%    Conservative 0.0%  
Principal 

Principal 

 Principal 
      amount  Value  amount  Value  amount  Value 
ArcelorMittal cv. sr. unsec. unsub. notes 5s, 2014                 
(Luxembourg)      $75,000  $94,688  $65,000  $82,063  $45,000  $56,813 
General Cable Corp. cv. company guaranty sr. unsec.                 
notes 1s, 2012      800,000  628,000  --  --  --  -- 
General Cable Corp. cv. company guaranty sr. unsec.                 
unsub. notes 0 7/8s, 2013      --  --  70,000  63,525  105,000  95,288 
General Growth Properties, Inc. 144A cv. sr. notes                 
3.98s, 2027 (In default) (NON)(R)      660,000  224,400  740,000  251,600  515,000  175,100 
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014      60,000  65,625  55,000  60,156  40,000  43,750 
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s,                 
2036      175,000  95,375  155,000  84,475  105,000  57,225 
Total convertible bonds and notes (cost $1,544,357,
$987,766 and $725,073)     $1,108,088    $541,819    $428,176 
 
 
WARRANTS(a)(NON)      Growth 0.0%    Balanced 0.0%   Conservative 0.0%   
  Expiration
date 		 Strike
Price 		 Warrants  Value  Warrants  Value  Warrants  Value 
AboveNet, Inc.  9/08/10  $24.00  58  $3,335  --  $--  29  $1,668 
Baoshan Iron & Steel Co. 144A (China)  12/23/09  0.001  500,200  515,506  412,300  424,916  270,200  278,468 
Vertis Holdings, Inc. (F)  10/18/15  0.01  265  --  154  --  66  -- 
Total warrants (cost $367,321, $302,736 and $199,723)        $518,841    $424,916    $280,136 
 
 
PREFERRED STOCKS(a)      Growth 0.0%    Balanced 0.0%    Conservative 0.0%   
      Shares  Value  Shares  Value  Shares  Value 
Preferred Blocker, Inc. 144A 7.00% cum. pfd.      221  $95,044  249  $107,086  144  $61,929 
Total preferred stocks (cost $74,328, $82,779 and $48,594)        $95,044    $107,086    $61,929 
 
 
MUNICIPAL BONDS AND NOTES(a)      Growth --%    Balanced 0.0%    Conservative 0.1%   
Principal  Principal  Principal 
      amount  Value  amount  Value   amount  Value 
MI Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A,                 
7.309s, 6/1/34      $--  $--  $210,000  $140,192  $220,000  $146,868 
Tobacco Settlement Fin. Auth. of WVA Rev. Bonds,                 
Ser. A, 7.467s, 6/1/47      --  --  635,000  426,657  500,000  335,950 
Total municipal bonds and notes
(cost $--, $844,978 and $719,977)     $--    $566,849    $482,818 
 
 
CONVERTIBLE PREFERRED STOCKS(a)      Growth 0.0%    Balanced 0.0%    Conservative --%   
      Shares  Value  Shares  Value  Shares  Value 
Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd.                 
(In default) (NON)      684  $855  912  $1,140  --  $-- 
Total convertible preferred stocks
(cost $644,723, $859,630 and $--)     $855    $1,140    $-- 
 
 
SHORT-TERM INVESTMENTS(a)      Growth 23.4%    Balanced 30.1%    Conservative 33.7%   
      Principal 
 amount/shares 		 Value  Principal 
amount/shares 		 Value  Principal 
amount/shares 		 Value 
Federal Home Loan Banks for an effective yield                 
of 2.81%, July 14, 2009 (SEGSF)      $20,000,000  $19,980,283  $26,000,000  $25,974,368  $14,000,000  $13,986,198 
Manhattan Asset Funding Co., LLC for an effective                 
yield of 0.40%, July 2, 2009      3,000,000  2,999,967  --  --  8,900,000  8,899,901 
Starbird Funding Corp. for an effective yield                 
of 0.70%, July 7, 2009      4,000,000  3,999,533  --  --  --  -- 
Thunder Bay Funding, Inc. for an effective yield                 
of 0.25%, July 1, 2009      3,500,000  3,500,000  --  --  --  -- 
Victory Receivables Corp. for an effective yield                 
of 0.38%, July 13, 2009      --  --  --  --  15,000,000  14,998,100 
Working Capital Management Co. 0.45%, July 14, 2009      10,000,000  9,998,375  --  --  --  -- 
U.S. Treasury Bills for an effective yield of 0.70%,                 
December 17, 2009 (SEG) (SEGSF)      35,510,000  35,393,811  68,029,000  67,806,409  51,100,000  50,932,801 
U.S. Treasury Bills for an effective yield of 0.47%,                 
December 19, 2009 (SEG)      35,000,000  34,914,320  13,350,000  13,317,319  13,217,000  13,184,645 
U.S. Treasury Bills zero% November 19, 2010 (i)      4,700,000  4,695,300  7,515,000  7,507,485  6,965,000  6,958,035 
U.S. Treasury Cash Management Bills for an effective                 
yield of 0.44%, April 1, 2010 (SEG)      2,577,000  2,567,792  --  --  --  -- 
Short-term investments held as collateral for loaned                 
securities with yields ranging from 0.01% to 0.89% and                 
due dates ranging from July 1, 2009 to August 7, 2009                 
(d)      64,841,802  64,839,640  47,567,797  47,566,214  9,734,453  9,734,131 
Putnam Money Market Liquidity Fund (e)      185,140,325  185,140,326  240,691,588  240,691,586  189,691,318  189,691,318 
SSgA Prime Money Market Fund (i)      --  --  --  --  1,960,000  1,960,000 
Total short-term investments (cost $368,078,903,
$402,905,428 and $310,385,986)   $368,029,347    $402,863,381    $310,345,129 
 
TOTAL INVESTMENTS                 
 
Total investments (cost $1,911,138,223,
$1,907,455,426 and $1,321,021,065) (b)   $1,824,490,307    $1,814,260,419    $1,290,210,326 

Putnam Asset Allocation: Growth Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 6/30/09 (aggregate face value $286,517,874) (Unaudited)   
 
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $77,339,076  $77,289,443  7/15/09  $49,633 
Brazilian Real  3,990,477  4,007,563  7/15/09  (17,086) 
British Pound  15,256,468  15,269,012  7/15/09  (12,544) 
Canadian Dollar  840,729  877,881  7/15/09  (37,152) 
Chilean Peso  3,091,228  2,935,214  7/15/09  156,014 
Czech Koruna  231,822  226,050  7/15/09  5,772 
Danish Krone  1,292,602  1,316,464  7/15/09  (23,862) 
Euro  67,354,705  67,726,327  7/15/09  (371,622) 
Hong Kong Dollar  4,968,605  4,967,853  7/15/09  752 
Hungarian Forint  1,076,142  1,026,147  7/15/09  49,995 
Japanese Yen  34,857,123  35,083,197  7/15/09  (226,074) 
Mexican Peso  926,929  914,808  7/15/09  12,121 
Norwegian Krone  43,311,207  44,620,281  7/15/09  (1,309,074) 
Polish Zloty  3,562,399  3,526,063  7/15/09  36,336 
Singapore Dollar  4,757,338  4,775,242  7/15/09  (17,904) 
South African Rand  2,396,800  2,283,913  7/15/09  112,887 
South Korean Won  2,674,772  2,715,598  7/15/09  (40,826) 
Swedish Krona  6,775,406  6,956,900  7/15/09  (181,494) 
Swiss Franc  6,813,867  6,955,539  7/15/09  (141,672) 
Turkish Lira (New)  3,045,154  3,044,379  7/15/09  775 
Total        $(1,955,025) 

Putnam Asset Allocation: Growth Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 6/30/09 (aggregate face value $323,590,110) (Unaudited)   
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $3,699,497  $3,708,845  7/15/09  $9,348 
Brazilian Real  2,261,038  2,268,401  7/15/09  7,363 
British Pound  67,134,797  66,599,753  7/15/09  (535,044) 
Canadian Dollar  37,116,914  39,454,434  7/15/09  2,337,520 
Czech Koruna  2,415,579  2,353,462  7/15/09  (62,117) 
Euro  69,920,413  70,630,287  7/15/09  709,874 
Hong Kong Dollar  1,111,412  1,111,253  7/15/09  (159) 
Hungarian Forint  956,684  910,156  7/15/09  (46,528) 
Japanese Yen  19,162,267  19,208,607  7/15/09  46,340 
Mexican Peso  1,753,516  1,730,179  7/15/09  (23,337) 
New Zealand Dollar  1,215,790  1,195,881  7/15/09  (19,909) 
Norwegian Krone  7,109,022  7,390,373  7/15/09  281,351 
Polish Zloty  2,215,255  2,191,423  7/15/09  (23,832) 
Singapore Dollar  10,503,264  10,544,249  7/15/09  40,985 
South African Rand  3,951,502  3,762,927  7/15/09  (188,575) 
South Korean Won  1,126,231  1,143,224  7/15/09  16,993 
Swedish Krona  25,081,469  25,630,834  7/15/09  549,365 
Swiss Franc  59,984,831  60,827,754  7/15/09  842,923 
Taiwan Dollar  2,894,426  2,928,068  7/15/09  33,642 
Total        $3,976,203 

Putnam Asset Allocation: Growth Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/09 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Amsterdam Exchange Index (Short)  102  $7,287,855  Jul-09  $102,683 
Australian Government Treasury Bond 10 yr (Long)  178  101,834,334  Sep-09  83,957 
Canadian Government Bond 10 yr (Long)  125  13,048,812  Sep-09  70,659 
DAX Index (Long)  18  3,044,960  Sep-09  (51,240) 
Dow Jones Euro Stoxx 50 Index (Short)  1,933  65,080,089  Sep-09  977,041 
Euro-Bobl 5 yr (Long)  16  2,593,469  Sep-09  16,475 
Euro-Bund 10 yr (Long)  532  90,438,042  Sep-09  1,771,200 
Euro-CAC 40 Index (Long)  277  12,196,155  Jul-09  (362,662) 
Euro-Dollar 90 day (Short)  159  39,483,675  Sep-09  (733,785) 
Euro-Dollar 90 day (Short)  125  30,967,188  Dec-09  (720,078) 
Euro-Dollar 90 day (Short)  6  1,482,375  Mar-10  (37,555) 
Euro-Euribor Interest Rate 90 day (Long)  67  22,985,516  Dec-10  67,903 
Euro-Euribor Interest Rate 90 day (Long)  80  27,545,076  Sep-10  81,579 
Euro-Euribor Interest Rate 90 day (Short)  67  23,238,324  Dec-09  (138,186) 
Euro-Euribor Interest Rate 90 day (Short)  80  27,785,160  Sep-09  (159,571) 
Euro-Schatz 2 yr (Short)  3  454,475  Sep-09  (1,078) 
FTSE 100 Index (Short)  243  16,872,097  Sep-09  385,316 
Hang Seng Index (Short)  134  15,924,798  Jul-09  (2,020) 
IBEX 35 Index (Short)  21  2,864,960  Jul-09  (68,140) 
Japanese Government Bond 10 yr (Long)  11  15,768,113  Sep-09  269,515 
Japanese Government Bond 10 yr (Short)  32  45,870,874  Sep-09  (599,589) 
Japanese Government Bond 10 yr Mini (Long)  34  4,877,310  Sep-09  87,030 
NASDAQ 100 Index E-Mini (Short)  284  8,385,100  Sep-09  104,796 
OMXS 30 Index (Short)  423  4,365,637  Jul-09  549 
Russell 2000 Index Mini (Short)  368  18,664,960  Sep-09  571,504 
S&P 500 Index (Long)  83  18,996,625  Sep-09  (345,986) 
S&P 500 Index E-Mini (Long)  7,478  342,305,450  Sep-09  (7,320,328) 
S&P 500 Index E-Mini (Short)  2,251  103,039,525  Sep-09  2,353,421 
S&P Mid Cap 400 Index E-Mini (Long)  963  55,536,210  Sep-09  (1,786,356) 
SGX MSCI Singapore Index (Short)  58  2,234,929  Jul-09  (3,445) 
SPI 200 Index (Long)  361  28,418,707  Sep-09  43,877 
SPI 200 Index (Short)  84  6,612,663  Sep-09  (10,365) 
Sterling Interest Rate 90 day (Long)  13  2,604,562  Sep-10  (12,818) 
Sterling Interest Rate 90 day (Short)  13  2,644,953  Sep-09  (7,905) 
Tokyo Price Index (Long)  104  9,980,071  Sep-09  47,013 
Tokyo Price Index (Short)  240  23,030,932  Sep-09  (110,733) 
U.K. Gilt 10 yr (Long)  13  2,526,829  Sep-09  (5,604) 
U.K. Gilt 10 yr (Short)  160  31,099,438  Sep-09  (29,061) 
U.S. Treasury Bond 20 yr (Long)  825  97,646,484  Sep-09  1,190,153 
U.S. Treasury Bond 20 yr (Short)  57  6,746,484  Sep-09  (24,813) 
U.S. Treasury Note 2 yr (Long)  9  1,945,969  Sep-09  (3,337) 
U.S. Treasury Note 2 yr (Short)  410  88,649,688  Sep-09  163,092 
U.S. Treasury Note 5 yr (Long)  99  11,357,156  Sep-09  (81,233) 
U.S. Treasury Note 5 yr (Short)  264  30,285,750  Sep-09  304,321 
U.S. Treasury Note 10 yr (Long)  622  72,317,219  Sep-09  160,383 
U.S. Treasury Note 10 yr (Short)  988  114,870,438  Sep-09  627,916 
Total        $(3,135,505) 

Putnam Asset Allocation: Growth Portfolio

WRITTEN OPTIONS OUTSTANDING at 6/30/09 (premiums received $6,161,444) (Unaudited)       
    Contract  Expiration date/   
    amount  strike price  Value 
Citigroup, Inc. (Put)    $370,630  Sep-09/$5.00  $874,687 
Porsche Automobil Holding SE (Preference) (Put)  EUR  3,009  Aug-09/43.00  11,138 
Porsche Automobil Holding SE (Preference) (Put)  EUR  3,064  Aug-09/40.32  9,221 
Wienerberger AG (Put)  EUR  20,363  Jul-09/8.50  5,718 
Wienerberger AG (Put)  EUR  21,361  Jul-09/7.50  3,149 
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.    $1,917,500  May-12/5.51  215,201 
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.    1,917,500  May-12/5.51  89,375 
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.    2,196,500  May-12/5.51  246,513 
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.    2,196,500  May-12/5.51  102,379 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.235% versus the three month USD-LIBOR-BBA maturing         
June 11, 2020.    5,222,000  Jun-10/5.235  116,451 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.23% versus the three month USD-LIBOR-BBA maturing         
June 9, 2020.    5,222,000  Jun-10/5.23  116,398 
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  350,981 
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  125,633 
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  1,580,656 
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  281,257 
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  1,721,662 
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  247,440 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.235% versus the three month USD-LIBOR-BBA maturing         
June 11, 2020.    16,035,000  Jun-10/5.235  357,581 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.23% versus the three month USD-LIBOR-BBA maturing         
June 9, 2020.    16,035,000  Jun-10/5.23  357,420 
Total        $6,812,860 

Putnam Asset Allocation: Growth Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 6/30/09 (proceeds receivable $45,145,234) (Unaudited) 
  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, July 1, 2039  $1,000,000  7/13/09  $1,032,031 
FNMA, 4 1/2s, July 1, 2039  45,000,000  7/13/09  44,887,500 
Total      $45,919,531 

Putnam Asset Allocation: Growth Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/09 (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%  $91,257 
  3,100,000    --  7/18/13  4.14688%  3 month USD-LIBOR-BBA  (230,647) 
  83,620,000    --  9/10/10  3 month USD-LIBOR-BBA  3.22969%  3,003,550 
  39,560,000    --  9/18/38  4.36125%  3 month USD-LIBOR-BBA  (1,850,878) 
  469,369,000    --  9/18/10  3 month USD-LIBOR-BBA  2.86667%  14,264,336 
  12,082,000    37,713  10/1/18  3 month USD-LIBOR-BBA  4.30%  714,399 
  14,105,000    (59,436)  10/8/38  3 month USD-LIBOR-BBA  4.30%  380,281 
  2,876,000    (2,614)  10/20/10  3.00%  3 month USD-LIBOR-BBA  (84,445) 
  4,367,000    3,970  10/20/10  3 month USD-LIBOR-BBA  3.00%  128,224 
  7,200,000    --  3/2/11  5.815%  3 month USD-LIBOR-BBA  (670,343) 
  1,361,000    --  10/26/12  4.6165%  3 month USD-LIBOR-BBA  (108,507) 
  42,391,000    --  5/19/10  3.2925%  3 month USD-LIBOR-BBA  (1,031,164) 
  11,271,000    --  7/22/10  3 month USD-LIBOR-BBA  3.5375%  460,125 
  308,000    --  5/7/38  4.8775%  3 month USD-LIBOR-BBA  (39,393) 
  3,543,000    --  5/8/28  4.95%  3 month USD-LIBOR-BBA  (427,381) 
Barclays Bank PLC            
  190,590,000    --  12/9/10  3 month USD-LIBOR-BBA  2.005%  2,458,373 
  35,394,000    --  12/9/20  3 month USD-LIBOR-BBA  2.91875%  (3,079,379) 
  108,042,000    --  12/17/13  2.42875%  3 month USD-LIBOR-BBA  1,604,900 
  3,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.632%  (19,343) 
Citibank, N.A.               
  16,000,000    --  7/21/18  4.80625%  3 month USD-LIBOR-BBA  (1,719,647) 
GBP  14,190,000  (E)  --  6/9/11  6 month GBP-LIBOR-BBA  3.0575%  25,928 
GBP  14,190,000    --  6/9/10  1.7075%  6 month GBP-LIBOR-BBA  (32,612) 
GBP  14,110,000  (E)  --  6/10/11  6 month GBP-LIBOR-BBA  3.09%  32,053 
EUR  3,080,000  (E)  --  6/12/24  6 month EUR-EURIBOR-REUTERS  5.1275%  13,535 
EUR  3,520,000  (E)  --  6/20/24  6 month EUR-EURIBOR-REUTERS  5.135%  11,287 
MXN  34,130,000    --  7/18/13  1 month MXN-TIIE-BANXICO  9.175%  203,164 
MXN  10,240,000    --  7/22/13  1 month MXN-TIIE-BANXICO  9.21%  62,095 
  $10,400,000    --  9/5/13  3.905%  3 month USD-LIBOR-BBA  (627,461) 
  89,465,000    --  9/17/13  3 month USD-LIBOR-BBA  3.4975%  3,723,977 
  38,242,000    --  9/18/38  4.45155%  3 month USD-LIBOR-BBA  (2,389,933) 
  228,426,000    --  9/18/10  3 month USD-LIBOR-BBA  2.92486%  7,142,182 
  22,334,000    --  2/24/16  2.77%  3 month USD-LIBOR-BBA  584,242 
  1,457,000    --  3/25/19  2.95%  3 month USD-LIBOR-BBA  82,925 
  34,939,000    --  3/27/14  3 month USD-LIBOR-BBA  2.335%  (646,947) 
  8,052,000    --  4/6/39  3.295%  3 month USD-LIBOR-BBA  1,165,248 
  12,808,000    --  5/11/39  3.8425%  3 month USD-LIBOR-BBA  661,634 
Credit Suisse International            
  30,000    --  9/16/10  3.143%  3 month USD-LIBOR-BBA  (1,035) 
  93,873,000    --  9/18/10  3 month USD-LIBOR-BBA  2.91916%  2,927,020 
  28,339,000    --  9/23/10  3 month USD-LIBOR-BBA  3.32%  1,046,893 
  90,890,000    --  10/9/10  3 month USD-LIBOR-BBA  2.81%  2,361,376 
  10,535,000    7,391  10/31/13  3.80%  3 month USD-LIBOR-BBA  (494,063) 
  28,000,000    --  12/5/20  3 month USD-LIBOR-BBA  3.01%  (2,185,010) 
  34,401,000    --  9/23/38  4.7375%  3 month USD-LIBOR-BBA  (3,842,955) 
  27,680,000    (295,856)  12/10/38  2.69%  3 month USD-LIBOR-BBA  6,664,834 
  21,230,000    226,915  12/10/38  3 month USD-LIBOR-BBA  2.69%  (5,111,793) 
  4,354,000    --  6/30/38  2.71%  3 month USD-LIBOR-BBA  1,073,833 
  791,278,000    --  1/30/11  1.4725%  3 month USD-LIBOR-BBA  (5,852,511) 
  82,713,000    --  1/30/29  3 month USD-LIBOR-BBA  3.225%  (8,920,015) 
  45,828,000    --  2/5/14  2.475%  3 month USD-LIBOR-BBA  368,529 
  14,904,000    --  2/5/29  3 month USD-LIBOR-BBA  3.35%  (1,351,539) 
SEK  56,950,000    --  4/7/14  2.735%  3 month SEK-STIBOR-SIDE  (15,835) 
  $2,100,000    --  4/28/39  3.50375%  3 month USD-LIBOR-BBA  230,695 
  1,000,000    --  4/30/19  3 month USD-LIBOR-BBA  3.072%  (52,365) 
SEK  56,950,000    --  5/4/14  3 month SEK-STIBOR-SIDE  2.625%  (37,100) 
EUR  5,350,000    --  5/4/14  2.685%  6 month EUR-EURIBOR-REUTERS  40,711 
EUR  11,200,000    --  5/8/14  2.705%  6 month EUR-EURIBOR-REUTERS  71,650 
  $3,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.592%  (29,563) 
  3,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.632%  (19,343) 
  3,000,000    --  6/3/19  3 month USD-LIBOR-BBA  3.92%  52,300 
  21,857,000    --  6/5/39  4.29417%  3 month USD-LIBOR-BBA  (555,198) 
  22,000,000    --  6/16/14  3.237%  3 month USD-LIBOR-BBA  (312,369) 
  65,000,000    --  6/16/24  3 month USD-LIBOR-BBA  4.306%  2,201,161 
  48,000,000    --  6/16/39  4.361%  3 month USD-LIBOR-BBA  (1,723,532) 
  5,000,000    --  6/23/19  3 month USD-LIBOR-BBA  4.054%  134,225 
Deutsche Bank AG            
  32,264,000    --  4/21/14  2.51%  3 month USD-LIBOR-BBA  503,725 
  1,000,000    --  4/30/19  3 month USD-LIBOR-BBA  3.072%  (52,365) 
  170,460,000    --  5/12/11  1.43%  3 month USD-LIBOR-BBA  (19,485) 
  3,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.592%  (29,563) 
  4,000,000    --  6/9/19  3 month USD-LIBOR-BBA  4.195%  160,988 
EUR  14,190,000  (E)  --  6/11/11  6 month EUR-EURIBOR-REUTERS  2.45%  52,198 
EUR  14,190,000    --  6/11/10  1.617%  6 month EUR-EURIBOR-REUTERS  (46,690) 
EUR  14,110,000  (E)  --  6/14/11  6 month EUR-EURIBOR-REUTERS  2.47%  54,083 
  $9,603,000    --  9/23/38  4.75%  3 month USD-LIBOR-BBA  (1,093,634) 
  15,254,000    --  10/17/18  4.585%  3 month USD-LIBOR-BBA  (1,189,309) 
  155,211,000    --  10/24/10  3 month USD-LIBOR-BBA  2.604%  3,482,892 
  10,667,000    9,135  11/21/10  2.25%  3 month USD-LIBOR-BBA  (171,579) 
  256,319,000    --  11/25/13  3 month USD-LIBOR-BBA  2.95409%  2,463,426 
  85,413,000    --  12/5/13  2.590625%  3 month USD-LIBOR-BBA  581,574 
  71,471,000    --  12/9/13  3 month USD-LIBOR-BBA  2.5225%  (722,214) 
  5,035,000    --  12/11/18  3 month USD-LIBOR-BBA  2.94%  (308,225) 
  12,532,000    --  12/16/28  3 month USD-LIBOR-BBA  2.845%  (2,125,236) 
  46,346,000    --  12/17/23  3 month USD-LIBOR-BBA  2.81682%  (6,145,642) 
  120,558,000    --  12/19/10  3 month USD-LIBOR-BBA  1.53429%  666,456 
  3,000,000    --  12/22/13  2.008%  3 month USD-LIBOR-BBA  100,081 
  32,750,000    --  12/24/13  2.165%  3 month USD-LIBOR-BBA  877,295 
  51,604,000    --  12/30/13  2.15633%  3 month USD-LIBOR-BBA  1,426,680 
  55,500,000    --  1/8/29  3 month USD-LIBOR-BBA  3.19625%  (6,122,739) 
  177,800,000    --  1/8/14  2.375%  3 month USD-LIBOR-BBA  1,837,775 
  9,717,000    --  1/9/14  3 month USD-LIBOR-BBA  2.165%  (198,480) 
  14,573,000    --  1/28/29  3 month USD-LIBOR-BBA  3.1785%  (1,665,957) 
  76,845,000    --  1/30/11  3 month USD-LIBOR-BBA  1.45%  534,219 
  47,050,000    --  2/5/29  3 month USD-LIBOR-BBA  3.324%  (4,439,562) 
  131,840,000    --  2/5/14  2.44661%  3 month USD-LIBOR-BBA  1,238,861 

  103,816,000    --  2/6/14  2.5529%  3 month USD-LIBOR-BBA  458,217 
  37,021,000    --  2/6/29  3 month USD-LIBOR-BBA  3.42575%  (2,964,571) 
  40,000,000    --  2/6/14  2.5675%  3 month USD-LIBOR-BBA  148,598 
  22,000,000    --  2/9/14  2.525%  3 month USD-LIBOR-BBA  130,129 
  19,000,000    --  2/10/14  2.55%  3 month USD-LIBOR-BBA  91,147 
  50,767,000    --  2/10/14  2.5825%  3 month USD-LIBOR-BBA  164,987 
  16,154,000    --  2/10/29  3 month USD-LIBOR-BBA  3.4725%  (1,190,615) 
  21,458,000    --  2/25/14  2.4675%  3 month USD-LIBOR-BBA  203,100 
  465,000,000    --  3/16/11  1.6725%  3 month USD-LIBOR-BBA  (4,797,855) 
  230,000,000    --  3/16/16  3 month USD-LIBOR-BBA  2.85%  (5,307,861) 
  57,000,000    --  3/16/29  3.29%  3 month USD-LIBOR-BBA  5,788,597 
  129,003,000    --  3/20/11  3 month USD-LIBOR-BBA  1.43%  691,424 
  77,000,000    --  3/23/11  3 month USD-LIBOR-BBA  1.45%  429,756 
  161,000,000    --  3/30/14  2.36%  3 month USD-LIBOR-BBA  2,857,918 
  74,000,000    --  3/30/21  3 month USD-LIBOR-BBA  3.125%  (4,758,740) 
  5,010,000  (E)  --  4/17/39  3.66904%  3 month USD-LIBOR-BBA  399,548 
EUR  11,082,500  (E)  --  4/23/24  6 month EUR-EURIBOR-REUTERS  4.926%  (42,323) 
Goldman Sachs International            
  $4,135,000    --  3/27/13  3 month USD-LIBOR-BBA  3.4625%  178,581 
  1,425,000    --  3/29/38  4.665%  3 month USD-LIBOR-BBA  (140,387) 
  68,619,000    --  11/25/28  3.38125%  3 month USD-LIBOR-BBA  6,484,765 
  7,280,000    (45,062)  11/18/18  3 month USD-LIBOR-BBA  4.10%  212,744 
  6,472,000    1,780  11/18/10  2.35%  3 month USD-LIBOR-BBA  (116,610) 
AUD  17,025,000  (E)  --  2/14/12  3 month AUD-BBR-BBSW  4.39%  (186,193) 
GBP  14,780,000    --  4/7/11  2.2%  6 month GBP-LIBOR-BBA  (29,640) 
GBP  14,780,000    --  4/7/14  6 month GBP-LIBOR-BBA  3.26%  (336,717) 
JPMorgan Chase Bank, N.A.            
  $37,233,000    --  3/5/18  4.325%  3 month USD-LIBOR-BBA  (2,435,096) 
  1,671,000    --  3/11/38  5.0025%  3 month USD-LIBOR-BBA  (264,595) 
  13,753,000    --  3/11/38  5.03%  3 month USD-LIBOR-BBA  (2,243,110) 
  78,169,000    --  3/15/10  3 month USD-LIBOR-BBA  2.5%  1,514,285 
  10,478,000    --  3/20/13  3 month USD-LIBOR-BBA  3.145%  331,013 
  16,151,000    --  3/20/13  3 month USD-LIBOR-BBA  3.13%  500,830 
  45,327,000    --  3/25/10  3 month USD-LIBOR-BBA  2.325%  799,058 
  8,543,000    --  3/26/10  3 month USD-LIBOR-BBA  2.33375%  151,335 
  7,675,000    --  4/8/13  3 month USD-LIBOR-BBA  3.58406%  336,178 
  6,577,000    --  5/23/10  3 month USD-LIBOR-BBA  3.16%  152,527 
  3,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.592%  (29,563) 
  1,674,000    --  5/28/11  3 month USD-LIBOR-BBA  1.3375%  (3,433) 
  2,000,000    --  6/3/19  3 month USD-LIBOR-BBA  3.91%  33,152 
  15,453,000  (E)  --  6/9/20  4.73%  3 month USD-LIBOR-BBA  (721,655) 
  4,000,000    --  6/9/19  3 month USD-LIBOR-BBA  4.207%  165,097 
  42,596,000    --  6/9/11  3 month USD-LIBOR-BBA  1.7675%  252,748 
  43,758,000    --  6/10/11  3 month USD-LIBOR-BBA  1.81%  291,720 
  51,868,000    --  7/16/10  3 month USD-LIBOR-BBA  3.384%  2,004,262 
  9,027,000    --  7/22/10  3 month USD-LIBOR-BBA  3.565%  372,231 
  90,110,000    --  7/28/10  3 month USD-LIBOR-BBA  3.5141%  3,639,386 
CAD  14,070,000    --  6/9/12  6 month CAD-BA-CDOR  1.95%  42,491 
CAD  4,490,000    --  6/9/14  2.725%  6 month CAD-BA-CDOR  (30,680) 
  $15,453,000  (E)  --  6/11/20  4.735%  3 month USD-LIBOR-BBA  (725,054) 
CAD  22,450,000  (F)  --  6/9/10  0.57%  1 month CAD-BA-CDOR  (26,485) 
EUR  7,090,000  (E)  --  6/17/24  6 month EUR-EURIBOR-REUTERS  5.195%  51,165 
  $32,308,000    --  6/16/19  4.09%  3 month USD-LIBOR-BBA  (988,431) 
EUR  21,040,000    --  6/19/11  6 month EUR-EURIBOR-REUTERS  1.93%  59,882 
  $13,245,000    --  6/19/19  3 month USD-LIBOR-BBA  3.8725%  156,788 
AUD  5,100,000  (F)  --  6/26/19  6 month AUD-BBR-BBSW  6.05%  35,352 
CAD  5,100,000    --  6/25/19  3.626%  6 month CAD-BA-CDOR  (39,676) 
  $18,200,000    --  9/23/38  4.70763%  3 month USD-LIBOR-BBA  (1,938,468) 
  27,685,000    --  10/23/13  3 month USD-LIBOR-BBA  3.535%  1,019,331 
  42,300,000    --  11/10/18  4.12%  3 month USD-LIBOR-BBA  (1,586,992) 
  26,000,000    --  11/24/10  3 month USD-LIBOR-BBA  2.0075%  347,633 
PLN  10,550,000    --  1/26/11  6 month PLN-WIBOR-WIBO  4.177%  (53,180) 
  $8,260,000    --  1/27/24  3.1%  3 month USD-LIBOR-BBA  758,106 
AUD  13,620,000  (E)  --  1/27/12  3 month AUD-BBR-BBSW  4.21%  (151,266) 
  $4,130,000    --  2/3/24  3 month USD-LIBOR-BBA  3.2825%  (292,752) 
  93,087,000    --  3/3/11  3 month USD-LIBOR-BBA  1.68283%  1,034,233 
EUR  16,550,000    --  3/4/14  1 month EUR-EURIBOR-REUTERS  2.74%  (7,860) 
  $7,111,000    --  3/6/39  3.48%  3 month USD-LIBOR-BBA  759,493 
  71,807,000    2,506,064  5/19/19  4.735%  3 month USD-LIBOR-BBA  (3,815,680) 
CAD  6,990,000    --  3/16/11  0.98%  3 month CAD-BA-CDOR  (9,011) 
CAD  1,540,000    --  3/16/19  3 month CAD-BA-CDOR  2.7%  (80,681) 
CAD  7,170,000    --  3/17/13  1.56%  3 month CAD-BA-CDOR  124,670 
  $7,290,000    --  3/19/13  3 month USD-LIBOR-BBA  2.28%  (12,490) 
  2,340,000    --  3/19/24  3.37%  3 month USD-LIBOR-BBA  149,538 
CAD  2,290,000    --  3/17/24  3 month CAD-BA-CDOR  3.46%  (150,238) 
  $52,000,000    --  3/24/11  3 month USD-LIBOR-BBA  1.4625%  300,665 
  95,490,000    --  4/3/11  3 month USD-LIBOR-BBA  1.365%  32,195 
  36,170,000    --  4/3/13  1.963%  3 month USD-LIBOR-BBA  661,227 
  137,650,000    --  4/3/14  3 month USD-LIBOR-BBA  2.203%  (3,918,124) 
  34,570,000    --  4/3/14  2.203%  3 month USD-LIBOR-BBA  984,014 
  1,820,000    --  4/9/11  3 month USD-LIBOR-BBA  1.5025%  5,064 
EUR  11,570,000  (E)  --  4/17/24  6 month EUR-EURIBOR-REUTERS  4.95%  (31,839) 
  $5,010,000  (E)  --  4/17/39  3.7%  3 month USD-LIBOR-BBA  385,720 
GBP  7,510,000    --  4/20/14  6 month GBP-LIBOR-BBA  3.17875%  (227,700) 
AUD  15,064,000  (E)  --  4/22/11  3 month AUD-BBR-BBSW  4.05%  (54,877) 
AUD  15,064,000  (F)  --  4/22/10  3%  3 month AUD-BBR-BBSW  49,705 
  $10,020,000  (E)  --  5/1/39  3 month USD-LIBOR-BBA  3.84125%  (643,885) 
EUR  22,652,500  (E)  --  5/6/24  4.76248%  6 month EUR-EURIBOR-REUTERS  245,528 
UBS, AG            
  $350,263,000    --  11/6/10  3 month USD-LIBOR-BBA  2.64%  7,956,951 
  8,289,000    275,540  11/10/28  4.45%  3 month USD-LIBOR-BBA  (162,582) 
  7,459,000    (189,486)  11/10/18  3 month USD-LIBOR-BBA  4.45%  292,186 
  36,125,000    (475,265)  11/24/38  3 month USD-LIBOR-BBA  3.3%  (5,719,637) 
  1,229,000    (5,999)  11/24/18  3 month USD-LIBOR-BBA  3.4%  (33,265) 
  4,707,000    (1,486)  11/24/10  3 month USD-LIBOR-BBA  2.05%  64,420 
  37,976,000    --  11/24/10  3 month USD-LIBOR-BBA  2.05%  531,733 
 
Total              $(1,264,185) 
 
(E) See Interest rate swap contracts note regarding extended effective dates.
 
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.
       

Putnam Asset Allocation: Growth Portfolio

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/09 (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  3/27/14  1.785%  Eurostat  $(37,276) 
        Eurozone HICP   
        excluding tobacco   
Goldman Sachs International        
EUR  14,750,000  4/30/13  2.375%  French Consumer  620,442 
        Price Index   
        excluding tobacco   
EUR  14,750,000  4/30/13  (2.41%)  Eurostat  (702,863) 
        Eurozone HICP   
        excluding tobacco   
EUR  14,750,000  5/6/13  2.34%  French Consumer  591,449 
        Price Index   
        excluding tobacco   
EUR  14,750,000  5/6/13  (2.385%)  Eurostat  (683,190) 
        Eurozone HICP   
        excluding tobacco   
  $1,095,141  8/28/09  (3 month USD-  iShares MSCI  (851,147) 
      LIBOR-BBA minus  Emerging Markets   
      85 bp)  Index   
EUR  760,000  4/23/14  1.67%  Eurostat  (15,664) 
        Eurozone HICP   
        excluding tobacco   
EUR  8,850,000  4/14/14  1.835%  Eurostat  (86,605) 
        Eurozone HICP   
        excluding tobacco   
  $15,760,000  5/18/10  (0.25%)  USA Non Revised  120,564 
        Consumer Price   
        Index- Urban   
        (CPI-U)   
JPMorgan Chase Bank, N.A.        
  1,114,907  8/19/09  (3 month USD-  iShares MSCI  2,366,589 
      LIBOR-BBA minus  Emerging Markets   
      125 bp)  Index   
Morgan Stanley Capital Services, Inc.        
  2,368  8/4/09  (3 month USD-  MSCI Daily Total  222,133 
      LIBOR-BBA minus  Return Net   
      3.30%)  Emerging Markets   
        India USD Index   
UBS, AG           
  1,632  2/8/10  (3 month USD-  MSCI Daily Total  127,357 
      LIBOR-BBA minus  Return Net   
      3.50%)  Emerging Markets   
        India USD Index   
  1,542  6/28/10  (3 month USD-  MSCI 10 year  (9,210) 
      LIBOR-BBA)  Total Return Net   
        Emerging Markets   
        India USD Index   
Total          $1,662,579 

Putnam Asset Allocation: Growth Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/09 (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  $(59,409) 
Computer Science Corp.,               
5%, 2/15/13  --  --  1,190,000    3/20/18  (71 bp)  (15,396) 
DJ ABX CMBX BBB Index    255  370,000    10/12/52  (134 bp)  313,465 
Embarq Corp., 7.082%,               
6/1/16  --  --  950,000    6/20/16  (265 bp)  (96,930) 
Limited Brands, Inc.,               
6 1/8%, 12/1/12  --  --  935,000    12/20/12  (252 bp)  2,590 
Marriott International,               
4 5/8%, 6/15/12  --  --  475,000    6/20/12  (139 bp)  8,516 
Mattel, Inc., 7 1/4%,               
7/9/12  --  --  1,645,000    3/20/13  (157.2 bp)  (59,521) 
Motorola, Inc., 6.5%,               
9/1/25  --  --  1,790,000    11/20/11  (240 bp)  (8,574) 
Nalco Co., 7.75%,               
11/15/11  Ba2  --  70,000    9/20/12  350 bp  (2,793) 
Ryder System Inc.,               
6.95%, 12/1/25  --  --  1,645,000    3/20/13  (135 bp)  48,894 
Sealed Air Corp.,               
5 5/8%, 7/15/13  --  --  1,040,000    9/20/13  (169 bp)  (18,463) 
Spectra Energy Capital,               
6 1/4%, 2/15/13  --  --  1,645,000    9/20/14  (115 bp)  (44,493) 
Tyson Foods, Inc.,               
6.6%, 4/1/16  --  --  1,485,000    12/20/11  (370 bp)  (61,338) 
Tyson Foods, Inc.,               
6.6%, 4/1/16  --  --  1,485,000    10/20/11  (370 bp)  (71,857) 
Barclays Bank PLC               
DJ ABX HE PEN AAA               
Series 6 Version 1 Index  AAA  69,445  437,647    7/25/45  18 bp  (2,753) 
DJ ABX HE PEN AAA               
Series 6 Version 1 Index  AAA  54,926  328,098    7/25/45  18 bp  799 
DJ ABX HE PEN AAA               
Series 7 Version 1 Index  A-  273,470  464,000  (F)  8/25/37  9 bp  (49,560) 
DJ CDX NA IG Series 12               
Version 1 Index  --  (420,047)  11,138,000    6/20/14  (100 bp)  (262,221) 
Citibank, N.A.               
Advanced Micro Devices,               
Inc., 7 3/4%, 11/1/12  Caa1  86,100  1,435,000    9/20/09  500 bp  59,380 
DJ ABX HE AAA Index  AA  513,565  2,581,489    5/25/46  11 bp  (525,437) 
DJ ABX HE PEN AAA               
Series 6 Version 1 Index  AA  107,016  523,387    5/25/46  11 bp  (103,638) 
DJ ABX HE PEN AAA               
Series 6 Version 1 Index  AAA  34,119  191,984    7/25/45  18 bp  2,448 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA  397,746  2,252,860    5/25/46  11 bp  (508,989) 
Dominion Resources               
Inc., 5.15%, 7/15/15  --  --  5,295,000    6/20/18  (73 bp)  (74,037) 
Donnelley (R.R.) &               
Sons, 4.95%, 4/1/14  --  --  1,810,000    3/20/12  (102 bp)  107,939 
Hanson Plc, 7 7/8%,               
9/27/10  --  --  1,535,000    9/20/16  (71 bp)  428,683 
International Lease               
Finance Corp., 4.15%,               
1/20/15  --  --  1,840,000    6/20/13  (222.50 bp)  365,192 
International Lease               
Finance Corp., 4.15%,               
1/20/15  --  --  625,000    9/20/13  (105 bp)  149,573 
Lear Corp., T/L Bank               
Loan  --  --  265,000    6/20/13  (225 bp)  87,770 
Lear Corp., T/L Bank               
Loan  Ca  --  265,000    6/20/13  700 bp  (79,715) 
Lexmark International,               
Inc., 5.9%, 6/1/13  Baa3  --  905,000    6/20/13  108.5 bp  10,243 
Limited Brands, Inc.,               
6 1/8%, 12/1/12  --  --  1,755,000    12/20/12  (275 bp)  (8,051) 
Limited Brands, Inc.,               
6 1/8%, 12/1/12  --  --  295,000    6/20/11  (250 bp)  96 
Masco Corp., 5 7/8%,               
7/15/12  --  --  2,370,000    3/20/17  (213 bp)  120,888 
Newell Rubbermaid,               
Inc., 6.35%, 7/15/28  --  --  1,375,000    6/20/13  (85 bp)  32,612 
Qwest Capital Funding,               
7 3/4%, 2/15/31  --  --  1,475,000    6/20/13  (263 bp)  47,867 
Telecom Italia SPA.               
5 3/8%, 1/29/19  --  --  4,865,000    9/20/11  (218 bp)  (66,042) 

Credit Suisse International                 
Arrow Electronics,                 
Inc., 6 7/8%, 6/1/18  --  --    1,405,000    10/1/10  (54.2 bp)  (795) 
DJ ABX HE AAA Series 7                 
Version 2 Index  BB+  35,520    64,000    1/25/38  76 bp  (11,840) 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  199,423    1,113,562    7/25/45  18 bp  15,718 
DJ ABX HE PEN AAA                 
Series 6 Version 2 Index  AA  1,056,435    2,402,995    5/25/46  11 bp  89,274 
DJ ABX HE PEN AAA                 
Series 7 Version 1 Index  A-  347,938    586,000    8/25/37  9 bp  (59,332) 
DJ CMB NA CMBX AAA Index  AAA  83,722    503,000  (F)  12/13/49  8 bp  (41,367) 
DJ CMB NA CMBX AJ Index    (79,093)    246,000  (F)  2/17/51  (96 bp)  89,944 
DJ CMBX NA AAA Series 4                 
Version 1 Index  --  (1,014,140)    2,455,000  (F)  2/17/51  (35 bp)  (357,079) 
Liberty Mutual                 
Insurance, 7 7/8%,                 
10/15/26  --  --    235,000    12/20/13  (210 bp)  (3,086) 
Southwest Airlines,                 
5 1/4%, 10/1/14  --  --    590,000    3/20/12  (190 bp)  1,301 
Deutsche Bank AG                 
Advanced Micro Devices,                 
Inc., 7 3/4%, 11/1/12  Caa1  20,150    310,000    9/20/09  500 bp  4,768 
CBS Corp, 4 5/8%,                 
5/15/18  --  --    1,705,000    6/20/11  (102 bp)  38,968 
CBS Corp., 4 5/8%,                 
5/15/18  --  --    1,465,000    9/20/12  (87 bp)  75,114 
CenturyTel. Inc., 6%,                 
4/1/17  --  --    1,235,000    6/20/13  (170 bp)  (43,330) 
CNA Financial Corp.,                 
5.85%, 12/15/14  --  --    1,415,000    9/20/16  (155 bp)  97,992 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  24,041    126,255    7/25/45  18 bp  3,212 
DJ ABX HE PEN AAA                 
Series 6 Version 2 Index  AA  136,544    377,006    5/25/46  11 bp  (15,194) 
DJ CDX NA HY Series 11                 
Version 1 Index  B2  5,113,718    21,760,500    12/20/13  500 bp  1,944,301 
DJ CDX NA IG Series 11                 
Version 1 Index  Baa1  158,178    7,515,000    12/20/13  150 bp  104,784 
DJ CDX NA IG Series 12                 
Version 1 Index  --  (19,149)    485,000    6/20/14  (100 bp)  (12,276) 
DJ CDX NA IG Series 12                 
Version 1 Index  --  (477,952)    12,387,000    6/20/14  (100 bp)  (302,429) 
DJ iTraxx Europe Series                 
9 Version 1  --  129,204  EUR  1,891,400    6/20/13  (650 bp)  314,528 
Expedia Inc., 7.456%,                 
8/15/18  --  --    $660,000    12/20/13  (310 bp)  (18,879) 
General Electric                 
Capital Corp., 6%,                 
6/15/12  Aa2  --    460,000    9/20/13  109 bp  (50,567) 
Hanson PLC., 7 7/8%,                 
9/27/10  --  --    260,000    9/20/16  (255 bp)  48,425 
Korea Monetary STAB                 
Bond, 5.15%, 2/12/10  A2  --    1,335,000    2/19/10  115 bp  424 
Nalco Co., 7.75%,                 
11/15/11  Ba2  --    60,000    12/20/12  363 bp  (2,455) 
Pacific Gas & Electric                 
Co., 4.8%, 3/1/14  A3  --    775,000    12/20/13  112 bp  (9,533) 
Packaging Corporation                 
of America, 5 3/4%,                 
8/1/13  --  --    1,730,000    9/20/13  (129 bp)  (26,629) 
Pitney Bowes, Inc.,                 
4 5/8%, 10/1/12  --  --    615,000    3/20/18  (95 bp)  (16,204) 
PPG Industries, Inc.,                 
7.05%, 8/15/09  --  --    915,000    3/20/18  (154 bp)  (6,190) 
Smurfit Kappa Funding,                 
7 3/4%, 4/1/15  B2  --  EUR  435,000    9/20/13  715 bp  (43,775) 
Tyco Electronics Group,                 
6.55%, 10/1/17  --  --    $940,000    12/20/17  (125.5 bp)  54,610 
Virgin Media Finance                 
PLC, 8 3/4%, 4/15/14  B2  --  EUR  605,000    9/20/13  477 bp  (36,666) 
Virgin Media Finance                 
PLC, 8 3/4%, 4/15/14  B2  --  EUR  605,000    9/20/13  535 bp  (12,745) 
Goldman Sachs International                 
CNA Financial Corp.,                 
5.85%, 12/15/14  --  --    $885,000    9/20/11  (160 bp)  29,072 
CSC Holdings, Inc.,                 
7 5/8%, 7/15/18  Ba3  --    340,000    9/20/13  495 bp  7,178 
CVS Caremark Corp.,                 
4 7/8%, 9/15/14  --  --    595,000    9/20/13  (59 bp)  (564) 
CVS Caremark Corp.,                 
4 7/8%, 9/15/14  --  --    740,000    9/20/11  (50 bp)  (233) 
DJ ABX HE AAA Index  BB+  33,138    141,000    1/25/38  76 bp  (71,892) 
DJ ABX HE PEN AAA                 
Series 6 Version 2 Index  AA  567,331    1,367,063    5/25/46  11 bp  17,097 

DJ CDX NA CMBX AAA Index  AAA  8,778    240,000  3/15/49  7 bp  (36,219) 
DJ CDX NA IG Series 12               
Version 1 Index  --  (12,173)    277,000  6/20/14  (100 bp)  (8,248) 
DJ CMB NA CMBX AAA Index  AAA  1,067,975    14,468,000  2/17/51  35 bp  (2,837,685) 
Lighthouse               
International Co, SA,               
8%, 4/30/14  B3  --  EUR  1,195,000  3/20/13  680 bp  (561,776) 
Pearson PLC., 7%,               
10/27/14  --  --    $1,500,000  6/20/18  (96 bp)  (43,200) 
Smurfit Kappa Funding,               
7 3/4%, 4/1/15  B2  --  EUR  400,000  9/20/13  720 bp  (30,863) 
Southern California               
Edison Co., 7 5/8%,               
1/15/10  A3  --    $860,000  12/20/13  118.1 bp  (22,416) 
JPMorgan Chase Bank, N.A.               
AllTel Corp., 7 7/8%,               
7/1/32  --  --    825,000  9/20/12  (95 bp)  (21,836) 
Anheuser-Busch Co.,               
Inc. 5 5/8%, 10/1/10  --  --    2,370,000  3/20/17  (133 bp)  (52,501) 
CenturyTel. Inc., 6%,               
4/1/17  --  --    725,000  6/20/13  (95 bp)  (4,674) 
Cox Communications,               
Inc., 6.8%, 8/1/28  --  --    2,360,000  3/20/10  (45 bp)  (3,853) 
Darden Restaurants,               
Inc., 6%, 8/15/35  --  --    1,485,000  12/20/17  (155.3 bp)  (45,260) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA  118,053    562,172  5/25/46  11 bp  (108,211) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA  138,216    376,172  5/25/46  11 bp  (13,186) 
DJ CMBX NA AAA Series 4               
Version 1 Index  --  (702,897)    1,800,000  2/17/51  (35 bp)  (221,397) 
DJ CMBX NA AAA Series 4               
Version 1 Index  AAA  898,927    2,302,000  2/17/51  35 bp  283,142 
DJ iTraxx Europe               
Crossover Series 8               
Version 1    (447,049)  EUR  3,345,720  12/20/12  (375 bp)  276,698 
Embarq Corp., 7.082%,               
6/1/16  --  --    $3,150,000  6/20/13  (337 bp)  (286,374) 
Expedia, Inc., 7.456%,               
8/15/18  --  --    440,000  9/20/13  (300 bp)  (13,772) 
Lexmark International,               
Inc., 5.9%, 6/1/13  --  --    1,550,000  6/20/13  (113 bp)  14,923 
Nextel Communications,               
7 3/8%, 8/1/15  --  --    1,685,000  9/20/13  (540 bp)  87,435 
Sanmina-Sci Corp.,               
8 1/8%, 3/1/16  B3  --    280,000  6/20/13  595 bp  (76,651) 
TDC AS, 6 1/2%, 4/19/12  --  --  EUR  655,000  9/20/13  (200 bp)  (24,387) 
Merrill Lynch Capital Services, Inc.               
Marriott International,               
4 5/8%, 6/15/12  --  --    $1,030,000  6/20/12  (247 bp)  (4,488) 
Pacific Gas & Electric               
Co., 4.8%, 3/1/14  A3  --    815,000  12/20/13  113 bp  (9,688) 
Merrill Lynch International               
AllTel Corp., 7 7/8%,               
7/1/32  --  --    5,835,000  9/20/12  (97 bp)  (158,201) 
AmerisourceBergen               
Corp., 5 7/8%, 9/15/15  --  --    195,000  9/20/12  (65 bp)  (429) 
Block Financial LLC.               
5 1/8%, 10/30/14  --  --    2,110,000  12/20/14  (69 bp)  (26) 
Computer Sciences Corp,               
5%, 2/15/13  --  --    750,000  3/20/13  (66 bp)  (5,329) 
Felcor Lodging LP,               
8 1/2%, 6/1/11  --  --    770,000  6/20/11  (316 bp)  75,491 
MGM Mirage Inc.,               
5 7/8%, 2/27/14  --  --    1,318,000  9/20/10  (470 bp)  97,591 
Pearson PLC, 7%,               
10/27/14  --  --    970,000  6/20/18  (65 bp)  (6,016) 
Sara Lee Corp., 6 1/8%,               
11/1/32  --  --    670,000  6/20/13  (55.5 bp)  (4,964) 
Supervalu, Inc.,               
7 1/2%, 05/15/12  --  --    5,760,000  8/1/09  (90 bp)  4,234 
Morgan Stanley Capital Services, Inc.               
DJ CDX NA IG Series 12               
Version 1 Index  --  (135,698)    3,340,000  6/20/14  (100 bp)  (88,370) 
DJ CDX NA IG Series 12               
Version 1 Index  --  (2,337,311)    52,653,000  6/20/14  (100 bp)  (1,591,218) 
Nalco Co., 7.75%,               
11/15/11  Ba2  --    70,000  9/20/12  330 bp  (3,196) 
Nalco Co., 7.75%,               
11/15/11  Ba2  --    110,000  3/20/13  460 bp  (1,557) 
UBS, AG               
Cardinal Health Inc.,               
5.85%, 12/15/17  --  --    4,045,000  6/20/13  (49 bp)  (12,024) 
Hanson PLC., 7 7/8%,               
9/27/10  --  --    610,000  9/20/16  (250 bp)  116,659 

Meritage Homes Corp.,           
7%, 5/1/14   --  195,000  9/20/13  (760 bp)  (7,416) 
 
Total          $(3,887,870) 

* 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 represent 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 June 30, 2009. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F."

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

Putnam Asset Allocation: Balanced Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 6/30/09 (aggregate face value $258,953,576) (Unaudited)   
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $71,619,643  $71,612,689  7/15/09  $6,954 
Brazilian Real  3,409,991  3,425,578  7/15/09  (15,587) 
British Pound  22,140,465  22,163,646  7/15/09  (23,181) 
Canadian Dollar  71,976  76,602  7/15/09  (4,626) 
Chilean Peso  2,684,086  2,556,772  7/15/09  127,314 
Czech Koruna  409,471  399,245  7/15/09  10,226 
Euro  62,788,744  63,097,486  7/15/09  (308,742) 
Hungarian Forint  1,403,261  1,337,861  7/15/09  65,400 
Japanese Yen  33,508,852  33,758,622  7/15/09  (249,770) 
Mexican Peso  818,334  807,659  7/15/09  10,675 
Norwegian Krone  39,018,028  40,200,159  7/15/09  (1,182,131) 
Polish Zloty  3,680,755  3,643,182  7/15/09  37,573 
Singapore Dollar  760,448  763,447  7/15/09  (2,999) 
South African Rand  2,261,097  2,154,603  7/15/09  106,494 
South Korean Won  2,164,615  2,197,347  7/15/09  (32,732) 
Swedish Krona  5,873,750  6,027,937  7/15/09  (154,187) 
Swiss Franc  1,738,648  1,771,738  7/15/09  (33,090) 
Taiwan Dollar  360,332  363,823  7/15/09  (3,491) 
Turkish Lira (New)  2,595,941  2,595,180  7/15/09  761 
Total        $(1,645,139) 

Putnam Asset Allocation: Balanced Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 6/30/09 (aggregate face value $305,619,940) (Unaudited)   
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $8,225,011  $8,244,488  7/15/09  $19,477 
Brazilian Real  2,951,113  2,960,736  7/15/09  9,623 
British Pound  67,485,577  67,064,489  7/15/09  (421,088) 
Canadian Dollar  29,859,158  31,780,516  7/15/09  1,921,358 
Czech Koruna  3,040,389  2,957,733  7/15/09  (82,656) 
Danish Krone  1,054,554  1,074,021  7/15/09  19,467 
Euro  66,367,438  67,082,160  7/15/09  714,722 
Hong Kong Dollar  740,158  740,054  7/15/09  (104) 
Hungarian Forint  1,329,269  1,264,670  7/15/09  (64,599) 
Japanese Yen  15,375,834  15,362,277  7/15/09  (13,557) 
Mexican Peso  1,582,242  1,561,215  7/15/09  (21,027) 
New Zealand Dollar  1,643,610  1,619,695  7/15/09  (23,915) 
Norwegian Krone  10,202,560  10,605,471  7/15/09  402,911 
Peruvian New Sol  3,421,490  3,456,562  7/15/09  35,072 
Polish Zloty  1,901,037  1,880,585  7/15/09  (20,452) 
Singapore Dollar  5,307,528  5,327,354  7/15/09  19,826 
South African Rand  3,515,686  3,347,452  7/15/09  (168,234) 
South Korean Won  1,089,752  1,106,079  7/15/09  16,327 
Swedish Krona  22,258,552  22,753,364  7/15/09  494,812 
Swiss Franc  51,779,013  52,526,883  7/15/09  747,870 
Taiwan Dollar  2,857,951  2,890,081  7/15/09  32,130 
Turkish Lira (New)  14,117  14,055  7/15/09  (62) 
Total        $3,617,901 

Putnam Asset Allocation: Balanced Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/09 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Amsterdam Exchange Index (Short)  54  $3,858,276  Jul-09  $54,361 
Australian Government Treasury Bond 10 yr (Long)  135  77,233,905  Sep-09  81,321 
Canadian Government Bond 10 yr (Long)  109  11,378,564  Sep-09  52,944 
DAX Index (Long)  12  2,029,973  Sep-09  (34,160) 
Dow Jones Euro Stoxx 50 Index (Short)  1,805  60,770,596  Sep-09  912,343 
Euro-Bobl 5 yr (Long)  18  2,917,652  Sep-09  18,531 
Euro-Bobl 5 yr (Short)  1  162,092  Sep-09  (1,036) 
Euro-Bund 10 yr (Long)  566  96,217,917  Sep-09  1,711,514 
Euro-CAC 40 Index (Long)  215  9,466,330  Jul-09  (281,488) 
Euro-Dollar 90 day (Short)  556  138,068,700  Sep-09  (2,421,611) 
Euro-Dollar 90 day (Short)  420  104,049,750  Dec-09  (2,339,784) 
Euro-Dollar 90 day (Short)  22  5,435,375  Mar-10  (137,760) 
Euro-Euribor Interest Rate 90 day (Long)  82  28,131,527  Dec-10  83,098 
Euro-Euribor Interest Rate 90 day (Long)  97  33,398,405  Sep-10  98,979 
Euro-Euribor Interest Rate 90 day (Short)  82  28,440,933  Dec-09  (169,213) 
Euro-Euribor Interest Rate 90 day (Short)  97  33,689,507  Sep-09  (193,552) 
FTSE 100 Index (Short)  249  17,288,692  Sep-09  394,830 
Hang Seng Index (Short)  36  4,278,304  Jul-09  (543) 
IBEX 35 Index (Short)  16  2,182,827  Jul-09  (51,916) 
Japanese Government Bond 10 yr (Long)  13  18,635,043  Sep-09  318,499 
Japanese Government Bond 10 yr (Short)  22  31,536,226  Sep-09  (276,001) 
NASDAQ 100 Index E-Mini (Short)  238  7,026,950  Sep-09  87,822 
OMXS 30 Index (Short)  518  5,346,099  Jul-09  672 
Russell 2000 Index Mini (Short)  382  19,375,040  Sep-09  593,246 
S&P 500 Index (Long)  51  11,672,625  Sep-09  (191,966) 
S&P 500 Index E-Mini (Long)  3,684  168,635,100  Sep-09  (3,606,388) 
S&P 500 Index E-Mini (Short)  1,380  63,169,500  Sep-09  1,442,791 
S&P Mid Cap 400 Index E-Mini (Long)  488  28,142,960  Sep-09  (901,109) 
SGX MSCI Singapore Index (Short)  63  2,427,595  Jul-09  (3,742) 
SPI 200 Index (Long)  255  20,074,156  Sep-09  30,994 
SPI 200 Index (Short)  80  6,297,774  Sep-09  (9,871) 
Sterling Interest Rate 90 day (Long)  16  3,205,615  Sep-10  (15,779) 
Sterling Interest Rate 90 day (Short)  16  3,255,327  Sep-09  (9,684) 
Tokyo Price Index (Long)  56  5,373,884  Sep-09  25,314 
Tokyo Price Index (Short)  250  23,990,554  Sep-09  (115,346) 
U.K. Gilt 10 yr (Long)  18  3,498,687  Sep-09  (7,758) 
U.K. Gilt 10 yr (Short)  191  37,124,954  Sep-09  (45,409) 
U.S. Treasury Bond 20 yr (Long)  751  88,887,891  Sep-09  1,059,255 
U.S. Treasury Bond 20 yr (Short)  73  8,640,234  Sep-09  (31,880) 
U.S. Treasury Note 2 yr (Long)  42  9,081,188  Sep-09  41,229 
U.S. Treasury Note 2 yr (Short)  379  81,946,906  Sep-09  149,443 
U.S. Treasury Note 5 yr (Long)  35  4,015,156  Sep-09  (28,722) 
U.S. Treasury Note 5 yr (Short)  270  30,974,063  Sep-09  310,094 
U.S. Treasury Note 10 yr (Long)  1,006  116,963,219  Sep-09  146,562 
U.S. Treasury Note 10 yr (Short)  971  112,893,922  Sep-09  660,799 
Total        $(2,600,077) 

Putnam Asset Allocation: Balanced Portfolio

WRITTEN OPTIONS OUTSTANDING at 6/30/09 (premiums received $15,338,175) (Unaudited)       
 
    Contract  Expiration date/   
    amount  strike price  Value 
Citigroup, Inc. (Put)    $310,032  Sep-09/$5.00  $731,676 
Porsche Automobil Holding SE (Preference) (Put)  EUR  2,390  Aug-09/43.00  8,847 
Porsche Automobil Holding SE (Preference) (Put)  EUR  2,464  Aug-09/40.32  7,415 
Wienerberger AG (Put)  EUR  16,425  July-09/8.50  4,612 
Wienerberger AG (Put)  EUR  17,128  July-09/7.50  2,525 
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  4,021,004 
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  715,485 
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  1,369,543 
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  568,782 
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  4,379,706 
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  629,458 
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  6,437,714 
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  907,245 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.235% versus the three month USD-LIBOR-BBA maturing         
June 11, 2020.    10,378,000  Jun-10/5.235  231,429 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.23% versus the three month USD-LIBOR-BBA maturing         
June 9, 2020.    10,378,000  Jun-10/5.23  231,326 
Total        $20,246,767 

Putnam Asset Allocation: Balanced Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 6/30/09 (proceeds receivable $87,270,625) (Unaudited) 
  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 7s, July 1, 2039  $1,000,000  7/13/09  $1,085,313 
FNMA, 4 1/2s, July 1, 2039  88,000,000  7/13/09  87,780,000 
Total      $88,865,313 

Putnam Asset Allocation: Balanced Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/09 (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%  $562,739 
  20,800,000    --  7/18/13  4.14688%  3 month USD-LIBOR-BBA  (1,547,562) 
  189,730,000    --  9/10/10  3 month USD-LIBOR-BBA  3.22969%  6,814,920 
  79,311,000    --  9/18/38  4.36125%  3 month USD-LIBOR-BBA  (3,710,693) 
  180,482,000    --  9/18/10  3 month USD-LIBOR-BBA  2.86667%  5,484,930 
  18,544,000    (78,141)  10/8/38  3 month USD-LIBOR-BBA  4.30%  499,959 
  58,762,000    (53,418)  10/20/10  3.00%  3 month USD-LIBOR-BBA  (1,725,367) 
  14,124,000    --  10/26/12  4.6165%  3 month USD-LIBOR-BBA  (1,126,045) 
  30,577,000    --  7/22/10  3 month USD-LIBOR-BBA  3.5375%  1,248,271 
  9,379,000    --  5/8/28  4.95%  3 month USD-LIBOR-BBA  (1,131,359) 
Barclays Bank PLC            
  195,740,000    --  12/9/10  3 month USD-LIBOR-BBA  2.005%  2,524,801 
  39,503,000    --  12/9/20  3 month USD-LIBOR-BBA  2.91875%  (3,436,873) 
  159,088,000    --  12/17/13  2.42875%  3 month USD-LIBOR-BBA  2,363,159 
  5,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.632%  (32,238) 
Citibank, N.A.            
GBP  17,930,000  (E)  --  6/9/11  6 month GBP-LIBOR-BBA  3.0575%  32,761 
GBP  17,930,000    --  6/9/10  1.7075%  6 month GBP-LIBOR-BBA  (41,208) 
GBP  17,860,000  (E)  --  6/10/11  6 month GBP-LIBOR-BBA  3.09%  40,571 
EUR  3,899,000  (E)  --  6/12/24  6 month EUR-EURIBOR-REUTERS  5.1275%  17,134 
EUR  4,456,000  (E)  --  6/20/24  6 month EUR-EURIBOR-REUTERS  5.135%  14,288 
MXN  45,610,000    --  7/18/13  1 month MXN-TIIE-BANXICO  9.175%  271,501 
MXN  13,685,000    --  7/22/13  1 month MXN-TIIE-BANXICO  9.21%  82,985 
  $8,800,000    --  9/5/13  3.905%  3 month USD-LIBOR-BBA  (530,929) 
  124,692,000    --  9/17/13  3 month USD-LIBOR-BBA  3.4975%  5,190,300 
  76,667,000    --  9/18/38  4.45155%  3 month USD-LIBOR-BBA  (4,791,302) 
  87,835,000    --  9/18/10  3 month USD-LIBOR-BBA  2.92486%  2,746,332 
  5,493,000    --  2/24/16  2.77%  3 month USD-LIBOR-BBA  143,693 
  11,851,000    --  3/25/19  2.95%  3 month USD-LIBOR-BBA  674,495 
  48,954,000    --  3/27/14  3 month USD-LIBOR-BBA  2.335%  (906,455) 
  7,441,000    --  4/6/39  3.295%  3 month USD-LIBOR-BBA  1,076,828 
  12,893,000    --  5/11/39  3.8425%  3 month USD-LIBOR-BBA  666,025 
Credit Suisse International            
  36,096,000    --  9/18/10  3 month USD-LIBOR-BBA  2.91916%  1,125,496 
  31,520,000    --  9/23/10  3 month USD-LIBOR-BBA  3.32%  1,164,406 
  117,045,000    --  10/9/10  3 month USD-LIBOR-BBA  2.81%  3,040,899 
  17,848,000    --  11/6/15  3.97005%  3 month USD-LIBOR-BBA  (770,482) 
  34,000,000    --  12/5/20  3 month USD-LIBOR-BBA  3.01%  (2,653,227) 
  42,027,000    --  9/23/38  4.7375%  3 month USD-LIBOR-BBA  (4,694,859) 
  55,500,000    (593,208)  12/10/38  2.69%  3 month USD-LIBOR-BBA  13,363,377 
  1,183,090,000    --  1/30/11  1.4725%  3 month USD-LIBOR-BBA  (8,750,460) 
  112,617,000    --  1/30/29  3 month USD-LIBOR-BBA  3.225%  (12,144,951) 
  42,442,000    --  2/5/14  2.475%  3 month USD-LIBOR-BBA  341,300 
  13,803,000    --  2/5/29  3 month USD-LIBOR-BBA  3.35%  (1,251,697) 
  58,557,000    --  3/24/39  3 month USD-LIBOR-BBA  3.34%  (7,779,834) 
SEK  71,260,000    --  4/7/14  2.735%  3 month SEK-STIBOR-SIDE  (19,813) 
  $4,860,000    --  4/28/39  3.50375%  3 month USD-LIBOR-BBA  533,896 
SEK  71,260,000    --  5/4/14  3 month SEK-STIBOR-SIDE  2.625%  (46,422) 
EUR  6,690,000    --  5/4/14  2.685%  6 month EUR-EURIBOR-REUTERS  50,908 
EUR  13,720,000    --  5/8/14  2.705%  6 month EUR-EURIBOR-REUTERS  87,771 
  $5,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.592%  (49,271) 
  5,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.632%  (32,238) 
  10,000,000    --  6/3/19  3 month USD-LIBOR-BBA  3.92%  174,333 
  30,868,000    --  6/5/39  4.29417%  3 month USD-LIBOR-BBA  (784,090) 
  137,000,000    --  6/16/24  3 month USD-LIBOR-BBA  4.306%  4,639,369 
  71,000,000    --  6/16/39  4.361%  3 month USD-LIBOR-BBA  (2,549,392) 
  10,000,000    --  6/23/19  3 month USD-LIBOR-BBA  4.054%  268,449 
Deutsche Bank AG            
  41,924,000    --  4/21/14  2.51%  3 month USD-LIBOR-BBA  654,543 
  77,089,000    --  5/12/11  1.43%  3 month USD-LIBOR-BBA  (8,812) 
  5,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.592%  (49,271) 
  8,000,000    --  6/9/19  3 month USD-LIBOR-BBA  4.195%  321,977 
EUR  17,930,000  (E)  --  6/11/11  6 month EUR-EURIBOR-REUTERS  2.45%  65,955 
EUR  17,930,000    --  6/11/10  1.617%  6 month EUR-EURIBOR-REUTERS  (58,996) 
EUR  17,860,000  (E)  --  6/14/11  6 month EUR-EURIBOR-REUTERS  2.47%  68,456 
  $12,632,000    --  9/23/38  4.75%  3 month USD-LIBOR-BBA  (1,438,590) 
  37,702,000    --  9/24/10  3 month USD-LIBOR-BBA  3.395%  1,434,147 
  318,298,000    --  10/24/10  3 month USD-LIBOR-BBA  2.604%  7,142,520 
  211,311,000    --  11/25/13  3 month USD-LIBOR-BBA  2.95409%  2,030,864 
  53,144,000    --  11/28/13  3 month USD-LIBOR-BBA  2.8725%  313,882 
  103,714,000    --  12/5/13  2.590625%  3 month USD-LIBOR-BBA  706,185 
  73,402,000    --  12/9/13  3 month USD-LIBOR-BBA  2.5225%  (741,727) 
  16,595,000    --  12/16/28  3 month USD-LIBOR-BBA  2.845%  (2,814,259) 
  61,744,000    --  12/17/23  3 month USD-LIBOR-BBA  2.81682%  (8,187,470) 
  223,506,000    --  12/19/10  3 month USD-LIBOR-BBA  1.53429%  1,235,563 
  12,710,000    --  12/24/13  2.165%  3 month USD-LIBOR-BBA  340,471 
  45,363,000    --  12/30/13  2.15633%  3 month USD-LIBOR-BBA  1,254,137 
  43,700,000    --  1/8/29  3 month USD-LIBOR-BBA  3.19625%  (4,820,968) 
  139,700,000    --  1/8/14  2.375%  3 month USD-LIBOR-BBA  1,443,966 
  14,333,000    --  1/28/29  3 month USD-LIBOR-BBA  3.1785%  (1,638,520) 
  43,575,000    --  2/5/29  3 month USD-LIBOR-BBA  3.324%  (4,111,667) 
  122,102,000    --  2/5/14  2.44661%  3 month USD-LIBOR-BBA  1,147,356 
  95,341,000    --  2/6/14  2.5529%  3 month USD-LIBOR-BBA  420,811 
  34,262,000    --  2/6/29  3 month USD-LIBOR-BBA  3.42575%  (2,743,636) 
  25,000,000    --  2/6/14  2.5675%  3 month USD-LIBOR-BBA  92,873 
  24,000,000    --  2/9/14  2.525%  3 month USD-LIBOR-BBA  141,959 
  22,000,000    --  2/10/14  2.55%  3 month USD-LIBOR-BBA  105,538 
  34,856,000    --  2/10/14  2.5825%  3 month USD-LIBOR-BBA  113,278 
  11,098,000    --  2/10/29  3 month USD-LIBOR-BBA  3.4725%  (817,968) 
  24,498,000    --  2/25/14  2.4675%  3 month USD-LIBOR-BBA  231,874 
  790,000,000    --  3/16/11  3 month USD-LIBOR-BBA  1.6725%  8,151,194 
  370,000,000    --  3/16/16  2.85%  3 month USD-LIBOR-BBA  8,538,734 
  99,000,000    --  3/16/29  3 month USD-LIBOR-BBA  3.29%  (10,053,878) 
  224,073,000    --  3/20/11  3 month USD-LIBOR-BBA  1.43%  1,200,977 
  60,300,000    --  3/23/11  3 month USD-LIBOR-BBA  1.45%  336,549 
  1,000,000    --  3/24/14  2.297%  3 month USD-LIBOR-BBA  20,079 
  155,000,000    --  3/30/14  2.36%  3 month USD-LIBOR-BBA  2,751,411 

  71,000,000    --  3/30/21  3 month USD-LIBOR-BBA  3.125%  (4,565,818) 
  6,260,000  (E)  --  4/17/39  3.66904%  3 month USD-LIBOR-BBA  499,235 
EUR  13,832,500  (E)  --  4/23/24  6 month EUR-EURIBOR-REUTERS  4.926%  (52,825) 
Goldman Sachs International          
  $16,431,000    --  5/30/28  5.014%  3 month USD-LIBOR-BBA  (2,098,227) 
  1,184,000    (558)  10/24/10  2.6%  3 month USD-LIBOR-BBA  (27,059) 
  5,956,000    (36,867)  11/18/18  3 month USD-LIBOR-BBA  4.10%  174,053 
  79,100,000    --  12/16/18  3 month USD-LIBOR-BBA  2.78%  (5,910,496) 
  11,920,000    --  1/23/19  2.61125%  3 month USD-LIBOR-BBA  972,885 
AUD  20,650,000  (E)  --  2/14/12  3 month AUD-BBR-BBSW  4.39%  (225,838) 
GBP  18,400,000    --  4/7/11  2.2%  6 month GBP-LIBOR-BBA  (36,899) 
GBP  18,400,000    --  4/7/14  6 month GBP-LIBOR-BBA  3.26%  (419,188) 
JPMorgan Chase Bank, N.A.          
  $118,568,000    --  3/5/18  4.325%  3 month USD-LIBOR-BBA  (7,754,532) 
  6,007,000    --  3/11/38  5.0025%  3 month USD-LIBOR-BBA  (951,183) 
  45,375,000    --  3/11/38  5.03%  3 month USD-LIBOR-BBA  (7,400,650) 
  125,112,000    --  3/15/10  3 month USD-LIBOR-BBA  2.5%  2,423,662 
  45,626,000    --  3/20/13  3 month USD-LIBOR-BBA  3.145%  1,441,384 
  112,568,000    --  3/20/13  3 month USD-LIBOR-BBA  3.13%  3,490,644 
  226,815,000    --  3/25/10  3 month USD-LIBOR-BBA  2.325%  3,998,465 
  51,496,000    --  4/8/13  3 month USD-LIBOR-BBA  3.58406%  2,255,612 
  40,554,000    --  5/23/10  3 month USD-LIBOR-BBA  3.16%  940,487 
  5,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.592%  (49,271) 
  8,000,000    --  6/3/19  3 month USD-LIBOR-BBA  3.91%  132,604 
  7,545,000  (E)  --  6/9/20  4.73%  3 month USD-LIBOR-BBA  (352,352) 
  8,000,000    --  6/9/19  3 month USD-LIBOR-BBA  4.207%  330,195 
  43,613,000    --  6/9/11  3 month USD-LIBOR-BBA  1.7675%  258,783 
  100,537,000    --  6/10/11  3 month USD-LIBOR-BBA  1.81%  670,247 
  59,238,000    --  7/16/10  3 month USD-LIBOR-BBA  3.384%  2,289,050 
  24,487,000    --  7/22/10  3 month USD-LIBOR-BBA  3.565%  1,009,729 
CAD  17,780,000    --  6/9/12  6 month CAD-BA-CDOR  1.95%  53,695 
CAD  5,680,000    --  6/9/14  2.725%  6 month CAD-BA-CDOR  (38,811) 
  $7,545,000  (E)  --  6/11/20  4.735%  3 month USD-LIBOR-BBA  (354,011) 
CAD  28,370,000  (F)  --  6/9/10  0.57%  1 month CAD-BA-CDOR  (33,470) 
EUR  8,960,000  (E)  --  6/17/24  6 month EUR-EURIBOR-REUTERS  5.195%  64,660 
  $32,564,000    --  6/16/19  4.09%  3 month USD-LIBOR-BBA  (996,263) 
EUR  26,550,000    --  6/19/11  6 month EUR-EURIBOR-REUTERS  1.93%  75,565 
  $15,252,000    --  6/19/19  3 month USD-LIBOR-BBA  3.8725%  180,546 
AUD  6,460,000  (F)  --  6/26/19  6 month AUD-BBR-BBSW  6.05%  44,779 
CAD  6,460,000    --  6/25/19  3.626%  6 month CAD-BA-CDOR  (50,257) 
  $23,930,000    --  9/23/38  4.70763%  3 month USD-LIBOR-BBA  (2,548,766) 
  33,314,000    --  10/23/13  3 month USD-LIBOR-BBA  3.535%  1,226,584 
  74,300,000    --  11/10/18  4.12%  3 month USD-LIBOR-BBA  (2,787,553) 
PLN  12,800,000    --  1/26/11  6 month PLN-WIBOR-WIBO  4.177%  (64,522) 
  $7,780,000    --  1/27/24  3.1%  3 month USD-LIBOR-BBA  714,051 
AUD  16,520,000  (E)  --  1/27/12  3 month AUD-BBR-BBSW  4.21%  (183,474) 
  $3,890,000    --  2/3/24  3 month USD-LIBOR-BBA  3.2825%  (275,740) 
  61,840,000    --  3/3/11  3 month USD-LIBOR-BBA  1.68283%  687,066 
EUR  20,410,000    --  3/4/14  1 month EUR-EURIBOR-REUTERS  2.74%  (9,693) 
  $13,955,000    --  3/6/39  3.48%  3 month USD-LIBOR-BBA  1,490,470 
  26,807,000    935,564  5/19/19  4.735%  3 month USD-LIBOR-BBA  (1,424,470) 
CAD  8,690,000    --  3/16/11  0.98%  3 month CAD-BA-CDOR  (11,202) 
CAD  1,910,000    --  3/16/19  3 month CAD-BA-CDOR  2.7%  (100,065) 
CAD  8,920,000    --  3/17/13  1.56%  3 month CAD-BA-CDOR  155,098 
  $9,060,000    --  3/19/13  3 month USD-LIBOR-BBA  2.28%  (15,523) 
  2,910,000    --  3/19/24  3.37%  3 month USD-LIBOR-BBA  185,964 
CAD  2,840,000    --  3/17/24  3 month CAD-BA-CDOR  3.46%  (186,322) 
  $119,000,000    --  3/24/11  3 month USD-LIBOR-BBA  1.4625%  688,060 
  6,900,000    --  4/1/24  3 month USD-LIBOR-BBA  3.17%  (630,572) 
  235,240,000    --  4/3/11  3 month USD-LIBOR-BBA  1.365%  79,313 
  48,550,000    --  4/3/13  1.963%  3 month USD-LIBOR-BBA  887,546 
  42,840,000    --  4/3/14  3 month USD-LIBOR-BBA  2.203%  (1,219,415) 
  56,310,000    --  4/3/14  2.203%  3 month USD-LIBOR-BBA  1,602,830 
  1,530,000    --  4/3/10  3 month USD-LIBOR-BBA  1.168%  4,553 
EUR  14,440,000  (E)  --  4/17/24  6 month EUR-EURIBOR-REUTERS  4.95%  (39,737) 
  $6,260,000  (E)  --  4/17/39  3.7%  3 month USD-LIBOR-BBA  481,957 
GBP  9,340,000    --  4/20/14  6 month GBP-LIBOR-BBA  3.17875%  (283,185) 
AUD  18,620,000  (E)  --  4/22/11  3 month AUD-BBR-BBSW  4.05%  (67,831) 
AUD  18,620,000  (F)  --  4/22/10  3%  3 month AUD-BBR-BBSW  61,439 
  $12,520,000  (E)  --  5/1/39  3 month USD-LIBOR-BBA  3.84125%  (804,535) 
EUR  28,272,500  (E)  --  5/6/24  4.76248%  6 month EUR-EURIBOR-REUTERS  306,442 
UBS, AG               
  $827,868,000    --  10/29/10  2.75%  3 month USD-LIBOR-BBA  (20,309,297) 
  138,667,000    --  10/29/20  3 month USD-LIBOR-BBA  4.18142%  5,058,194 
  80,871,000    2,688,289  11/10/28  4.45%  3 month USD-LIBOR-BBA  (1,586,218) 
  131,843,000    (3,349,294)  11/10/18  3 month USD-LIBOR-BBA  4.45%  5,164,582 
  35,257,000    (463,845)  11/24/38  3 month USD-LIBOR-BBA  3.3%  (5,582,207) 
  1,199,000    (5,853)  11/24/18  3 month USD-LIBOR-BBA  3.4%  (32,453) 
  4,594,000    (1,450)  11/24/10  3 month USD-LIBOR-BBA  2.05%  62,874 
  139,494,000    --  11/24/10  3 month USD-LIBOR-BBA  2.05%  1,953,168 
 
Total              $(29,844,793) 

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

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

 

Putnam Asset Allocation: Balanced Portfolio

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/09 (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  3/27/14  1.785%  Eurostat  $(49,053) 
        Eurozone HICP   
        excluding tobacco   
Goldman Sachs International        
EUR  19,410,000  4/30/13  2.375%  French Consumer  816,459 
        Price Index   
        excluding tobacco   
EUR  19,410,000  4/30/13  (2.41%)  Eurostat  (924,921) 
        Eurozone HICP   
        excluding tobacco   
EUR  19,410,000  5/6/13  2.34%  French Consumer  778,307 
        Price Index   
        excluding tobacco   
EUR  19,410,000  5/6/13  (2.385%)  Eurostat  (899,032) 
        Eurozone HICP   
        excluding tobacco   
  $948,150  8/28/09  (3 month USD-  iShares MSCI  (736,905) 
      LIBOR-BBA minus  Emerging Markets   
      85 bp)  Index   
EUR  350,000  4/23/14  1.67%  Eurostat  (7,214) 
        Eurozone HICP   
        excluding tobacco   
EUR  11,646,000  4/14/14  1.835%  Eurostat  (113,966) 
        Eurozone HICP   
        excluding tobacco   
  $19,790,000  5/18/10  (0.25%)  USA Non Revised  151,394 
        Consumer Price   
        Index- Urban   
        (CPI-U)   
JPMorgan Chase Bank, N.A.        
  956,183  8/19/09  (3 month USD-  iShares MSCI  2,029,746 
      LIBOR-BBA minus  Emerging Markets   
      125 bp)  Index   
 
Total          $1,044,815 

Putnam Asset Allocation: Balanced Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/09 (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  $(79,025) 
DJ ABX CMBX BBB Index    1,225    1,781,000    10/12/52  (134 bp)  1,508,868 
Financial Security                 
Assurance Holdings,                 
Ltd, 6.4%, 12/15/66  Baa1  --    120,000    12/20/12  95 bp  (33,344) 
Marsh & Mclennan Co.                 
Inc., 5 3/8%, 7/15/14  --  --    625,000    3/20/12  (95 bp)  (8,224) 
Nalco Co., 7.75%,                 
11/15/11  Ba2  --    60,000    9/20/12  350 bp  (2,394) 
Barclays Bank PLC                 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  120,986    762,459    7/25/45  18 bp  (4,797) 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  95,730    571,844    7/25/45  18 bp  1,393 
DJ ABX HE PEN AAA                 
Series 7 Version 1 Index  A-  431,423    732,000  (F)  8/25/37  9 bp  (78,185) 
Citibank, N.A.                 
Advanced Micro Devices,                 
Inc., 7 3/4%, 11/1/12  Caa1  98,100    1,635,000    9/20/09  500 bp  67,656 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AA  237,566    1,161,878    5/25/46  11 bp  (230,068) 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  51,106    287,565    7/25/45  18 bp  3,666 
DJ ABX HE PEN AAA                 
Series 6 Version 2 Index  AA  138,129    782,370    5/25/46  11 bp  (176,761) 
DJ CDX EM Series 11                 
Index  --  (8,100)    300,000    6/20/14  (500 bp)  (21,459) 
FirstEnergy Corp.,                 
7 3/8%, 11/15/31  --  --    2,795,000    12/20/11  (85 bp)  52,651 
Lear Corp., T/L Bank                 
Loan  --  --    350,000    6/20/13  (225 bp)  115,923 
Lear Corp., T/L Bank                 
Loan  Ca  --    350,000    6/20/13  700 bp  (105,284) 
Lighthouse                 
International Co., SA,                 
8%, 4/30/14  B3  --  EUR  1,245,000    3/20/13  815 bp  (529,614) 
Marsh & Mclennan Co.                 
Inc., 5 3/8%, 7/15/14  --  --    $380,000    9/20/14  (105 bp)  (9,721) 
Yum! Brands, Inc.,                 
8 7/8%, 4/15/11  --  --    320,000    3/20/13  (65 bp)  1,081 
Credit Suisse International                 
DJ ABX HE AAA Series 7                 
Version 2 Index  BB+  161,505    291,000    1/25/38  76 bp  (53,835) 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  317,085    1,770,580    7/25/45  18 bp  24,992 
DJ ABX HE PEN AAA                 
Series 6 Version 2 Index  AA  1,310,552    2,981,015    5/25/46  11 bp  110,748 
DJ ABX HE PEN AAA                 
Series 7 Version 1 Index  A-  551,594    929,000    8/25/37  9 bp  (94,061) 
DJ CMB NA CMBX AJ Index  --  (806,039)    2,507,000  (F)  2/17/51  (96 bp)  916,621 
DJ CMBX NA AAA Series 4                 
Version 1 Index  AAA  549,618    1,330,500  (F)  2/17/51  35 bp  193,521 
KB Home, 5 3/4%, 2/1/14  --  --    1,520,000    9/20/11  (425 bp)  (41,743) 
Liberty Mutual                 
Insurance, 7 7/8%,                 
10/15/26  --  --    390,000    12/20/13  (210 bp)  (5,121) 
Deutsche Bank AG                 
Advanced Micro Devices,                 
Inc., 7 3/4%, 11/1/12  Caa1  22,750    350,000    9/20/09  500 bp  5,383 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  36,087    189,519    7/25/45  18 bp  4,822 
DJ ABX HE PEN AAA                 
Series 6 Version 2 Index  AA  204,514    564,675    5/25/46  11 bp  (22,757) 
DJ CDX EM Series 11                 
Index  --  (37,840)    1,720,000    6/20/14  (500 bp)  (114,432) 
DJ CDX NA IG Series 11                 
Version 1 Index  Baa1  96,717    4,595,000    12/20/13  150 bp  64,069 
DJ CDX NA IG Series 12                 
Version 1 Index  --  (3,140,858)    81,401,000    6/20/14  (100 bp)  (1,987,394) 
DJ iTraxx Europe Series                 
8 Version 1  --  (140,537)  EUR  1,465,100    12/20/12  (375 bp)  176,435 
DJ iTraxx Europe Series                 
9 Version 1  --  284,182  EUR  4,160,100    6/20/13  (650 bp)  691,798 
Korea Monetary STAB                 
Bond, 5.15%, 2/12/10  A2  --    $4,110,000    2/19/10  115 bp  1,305 

Nalco Co., 7.75%,               
11/15/11  Ba2  --    60,000  12/20/12  363 bp  (2,455) 
Pacific Gas & Electric               
Co., 4.8%, 3/1/14  A3  --    895,000  12/20/13  112 bp  (11,009) 
Smurfit Kappa Funding,               
7 3/4%, 4/1/15  B2  --  EUR  580,000  9/20/13  715 bp  (58,367) 
Universal Corp., 5.2%,               
10/15/13  --  --    $790,000  3/20/15  (95 bp)  (4,367) 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  B2  --  EUR  800,000  9/20/13  477 bp  (48,485) 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  B2  --  EUR  800,000  9/20/13  535 bp  (16,852) 
Goldman Sachs International               
CSC Holdings, Inc.,               
7 5/8%, 7/15/18  Ba3  --    $605,000  9/20/13  495 bp  12,773 
CVS Caremark Corp.,               
4 7/8%, 9/15/14  --  --    435,000  9/20/13  (59 bp)  (412) 
CVS Caremark Corp.,               
4 7/8%, 9/15/14  --  --    540,000  9/20/11  (50 bp)  (170) 
DJ ABX HE AAA Index  BB+  151,354    644,000  1/25/38  76 bp  (328,358) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA  232,263    559,670  5/25/46  11 bp  6,999 
DJ CDX NA CMBX AAA Index  AAA  20,848    570,000  3/15/49  7 bp  (86,021) 
DJ CDX NA IG Series 12               
Version 1 Index  --  (1,754,270)    39,918,000  6/20/14  (100 bp)  (1,188,632) 
Lighthouse               
International Co, SA,               
8%, 4/30/14  B3  --  EUR  745,000  3/20/13  680 bp  (350,229) 
Macy's Retail Holdings,               
Inc., 7.45%, 7/15/17  --  --    $4,375,000  6/20/11  (254.9 bp)  116,791 
Smurfit Kappa Funding,               
7 3/4%, 4/1/15  B2  --  EUR  540,000  9/20/13  720 bp  (41,664) 
Southern California               
Edison Co., 7 5/8%,               
1/15/10  A3  --    $820,000  12/20/13  118.1 bp  (21,373) 
JPMorgan Chase Bank, N.A.               
Computer Science Corp.,               
5%, 2/15/13  --  --    2,870,000  3/20/18  (82 bp)  (60,858) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA  261,852    1,246,955  5/25/46  11 bp  (240,024) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA  207,478    564,675  5/25/46  11 bp  (19,793) 
DJ CMBX NA AAA Series 4               
Version 1 Index  AAA  522,877    1,339,000  2/17/51  35 bp  164,695 
DJ iTraxx Europe               
Crossover Series 8               
Version 1  --  (278,784)  EUR  2,086,420  12/20/12  (375 bp)  172,551 
GATX Corp., 8.875%,               
6/1/09  --  --    $120,000  3/20/16  (100 bp)  7,804 
Glencore Funding LLC,               
6%, 4/15/14  --  --    3,150,000  6/20/14  (148 bp)  509,607 
Sanmina-Sci Corp.,               
8 1/8%, 3/1/16  B3  --    370,000  6/20/13  595 bp  (101,288) 
TDC AS, 6 1/2%, 4/19/12  --  --  EUR  870,000  9/20/13  (200 bp)  (32,393) 
Merrill Lynch Capital Services, Inc.               
Pacific Gas & Electric               
Co., 4.8%, 3/1/14  A3  --    $950,000  12/20/13  113 bp  (11,293) 
Merrill Lynch International               
Kinder Morgan, Inc.,               
6 1/2%, 9/1/12  --  --    122,000  9/20/12  (128 bp)  (183) 
Morgan Stanley Capital Services, Inc.               
DJ CDX NA IG Series 12               
Version 1 Index  --  (336,400)    8,280,000  6/20/14  (100 bp)  (219,073) 
DJ CMB NA CMBX AAA Index  --  (333,515)    3,699,000  2/17/51  (35 bp)  656,528 
Nalco Co., 7.75%,               
11/15/11  Ba2  --    65,000  9/20/12  330 bp  (2,968) 
Nalco Co., 7.75%,               
11/15/11  Ba2  --    90,000  3/20/13  460 bp  (1,274) 
Universal Corp., 5.2%,               
10/15/13  --  --    2,370,000  3/20/13  (89 bp)  (10,221) 
UBS, AG               
Meritage Homes Corp.,               
7%, 5/1/14  --  --    190,000  9/20/13  (760 bp)  (7,226) 
 
Total              $(874,527) 

* 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 represent 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 June 30, 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.

Putnam Asset Allocation: Conservative Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 6/30/09 (aggregate face value $95,061,494) (Unaudited)   
 
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $25,028,948  $25,012,549  7/15/09  $16,399 
Brazilian Real  1,159,851  1,164,745  7/15/09  (4,894) 
British Pound  5,430,576  5,435,405  7/15/09  (4,829) 
Canadian Dollar  67,069  71,379  7/15/09  (4,310) 
Chilean Peso  948,793  904,291  7/15/09  44,502 
Czech Koruna  23,052  22,478  7/15/09  574 
Danish Krone  885,584  901,932  7/15/09  (16,348) 
Euro  30,888,790  31,138,245  7/15/09  (249,455) 
Hungarian Forint  408,213  389,261  7/15/09  18,952 
Japanese Yen  11,193,355  11,267,417  7/15/09  (74,062) 
Mexican Peso  316,681  312,606  7/15/09  4,075 
New Zealand Dollar  27,739  27,428  7/15/09  311 
Norwegian Krone  12,665,427  13,028,007  7/15/09  (362,580) 
Polish Zloty  617,720  611,436  7/15/09  6,284 
Singapore Dollar  54,273  54,479  7/15/09  (206) 
South African Rand  743,286  708,272  7/15/09  35,014 
South Korean Won  837,725  850,663  7/15/09  (12,938) 
Swedish Krona  1,410,388  1,447,595  7/15/09  (37,207) 
Swiss Franc  736,709  749,687  7/15/09  (12,978) 
Taiwan Dollar  87,818  88,669  7/15/09  (851) 
Turkish Lira (New)  875,631  874,950  7/15/09  681 
Total        $(653,866) 

Putnam Asset Allocation: Conservative Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 6/30/09 (aggregate face value $143,850,371) (Unaudited)   
 
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $2,984,997  $2,991,937  7/15/09  $6,940 
Brazilian Real  2,517,238  2,525,461  7/15/09  8,223 
British Pound  27,449,478  27,328,246  7/15/09  (121,232) 
Canadian Dollar  13,292,469  14,168,596  7/15/09  876,127 
Czech Koruna  312,373  304,394  7/15/09  (7,979) 
Euro  39,026,144  39,463,562  7/15/09  437,418 
Hong Kong Dollar  2,629,877  2,629,505  7/15/09  (372) 
Hungarian Forint  345,055  328,213  7/15/09  (16,842) 
Japanese Yen  11,357,965  11,376,114  7/15/09  18,149 
Mexican Peso  532,481  525,403  7/15/09  (7,078) 
New Zealand Dollar  324,413  320,856  7/15/09  (3,557) 
Norwegian Krone  2,362,248  2,455,733  7/15/09  93,485 
Peruvian New Sol  2,933,466  2,963,536  7/15/09  30,070 
Polish Zloty  582,449  576,183  7/15/09  (6,266) 
Singapore Dollar  3,112,498  3,124,707  7/15/09  12,209 
South African Rand  1,126,786  1,072,761  7/15/09  (54,025) 
South Korean Won  390,694  396,548  7/15/09  5,854 
Swedish Krona  8,590,232  8,791,471  7/15/09  201,239 
Swiss Franc  21,141,263  21,460,502  7/15/09  319,239 
Taiwan Dollar  1,011,831  1,023,110  7/15/09  11,279 
Turkish Lira (New)  23,636  23,533  7/15/09  (103) 
Total        $1,802,778 

Putnam Asset Allocation: Conservative Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/09 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Amsterdam Exchange Index (Short)  22  $1,571,890  Jul-09  $22,147 
Australian Government Treasury Bond 10 yr (Long)  111  63,503,433  Sep-09  55,766 
Canadian Government Bond 10 yr (Long)  94  9,812,707  Sep-09  42,629 
Dow Jones Euro Stoxx 50 Index (Short)  989  33,297,573  Sep-09  499,893 
Euro-Bobl 5 yr (Long)  18  2,917,652  Sep-09  18,546 
Euro-Bund 10 yr (Long)  477  81,088,245  Sep-09  1,402,545 
Euro-CAC 40 Index (Long)  95  4,182,797  Jul-09  (124,379) 
Euro-Dollar 90 day (Short)  542  134,592,150  Sep-09  (2,508,705) 
Euro-Dollar 90 day (Short)  388  96,122,150  Dec-09  (2,228,855) 
Euro-Dollar 90 day (Short)  22  5,435,375  Mar-10  (137,760) 
Euro-Euribor Interest Rate 90 day (Long)  61  20,927,111  Dec-10  62,519 
Euro-Euribor Interest Rate 90 day (Long)  72  24,790,568  Sep-10  73,570 
Euro-Euribor Interest Rate 90 day (Short)  61  21,157,280  Dec-09  (125,916) 
Euro-Euribor Interest Rate 90 day (Short)  72  25,006,644  Sep-09  (143,749) 
Euro-Schatz 2 yr (Short)  2  302,983  Sep-09  (189) 
FTSE 100 Index (Short)  177  12,289,552  Sep-09  280,662 
Hang Seng Index (Short)  25  2,971,044  Jul-09  (376) 
Japanese Government Bond 10 yr (Long)  12  17,201,578  Sep-09  294,111 
Japanese Government Bond 10 yr (Short)  20  28,669,296  Sep-09  (251,805) 
MSCI EAFE Index E-Mini (Short)  52  3,387,540  Sep-09  113,133 
NASDAQ 100 Index E-Mini (Short)  136  4,015,400  Sep-09  50,184 
Russell 2000 Index Mini (Short)  190  9,636,800  Sep-09  295,070 
S&P 500 Index (Long)  44  10,070,500  Sep-09  (185,665) 
S&P 500 Index E-Mini (Long)  128  5,859,200  Sep-09  (125,282) 
S&P 500 Index E-Mini (Short)  567  25,954,425  Sep-09  592,799 
S&P Mid Cap 400 Index E-Mini (Long)  111  6,401,370  Sep-09  (196,640) 
S&P Mid Cap 400 Index E-Mini (Short)  38  2,191,460  Sep-09  70,984 
SGX MSCI Singapore Index (Short)  49  1,888,129  Jul-09  (2,910) 
SPI 200 Index (Long)  172  13,540,215  Sep-09  20,906 
SPI 200 Index (Short)  54  4,250,998  Sep-09  (6,663) 
Sterling Interest Rate 90 day (Long)  12  2,404,211  Sep-10  (11,827) 
Sterling Interest Rate 90 day (Short)  12  2,441,496  Sep-09  (7,276) 
Tokyo Price Index (Long)  48  4,606,186  Sep-09  21,698 
Tokyo Price Index (Short)  170  16,313,577  Sep-09  (78,436) 
U.K. Gilt 10 yr (Long)  16  3,109,944  Sep-09  (6,897) 
U.K. Gilt 10 yr (Short)  169  32,848,781  Sep-09  (46,798) 
U.S. Treasury Bond 20 yr (Long)  730  86,402,344  Sep-09  899,891 
U.S. Treasury Note 2 yr (Long)  57  12,324,469  Sep-09  (21,110) 
U.S. Treasury Note 2 yr (Short)  212  45,838,375  Sep-09  83,558 
U.S. Treasury Note 5 yr (Short)  64  7,342,000  Sep-09  73,504 
U.S. Treasury Note 10 yr (Long)  749  87,082,953  Sep-09  (248,286) 
U.S. Treasury Note 10 yr (Short)  281  32,670,641  Sep-09  43,424 
Total        $(1,441,985) 

Putnam Asset Allocation: Conservative Portfolio

WRITTEN OPTIONS OUTSTANDING at 6/30/09 (premiums received $11,983,152) (Unaudited)       
    Contract  Expiration date/   
    amount  strike price  Value 
Citigroup, Inc. (Put)    $132,049  Sep-09/$5.00  $311,636 
Porsche Automobil Holding SE (Preference) (Put)  EUR  1,597  Aug-09/43.00  5,912 
Porsche Automobil Holding SE (Preference) (Put)  EUR  1,661  Aug-09/40.32  4,999 
Wienerberger AG (Put)  EUR  10,877  July-09/8.50  3,054 
Wienerberger AG (Put)  EUR  11,270  July-09/7.50  1,661 
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  3,186,126 
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  566,930 
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  3,470,351 
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  498,764 
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  4,696,294 
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  661,833 
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  May-12/5.51  1,090,314 
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  452,816 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.23% versus the three month USD-LIBOR-BBA maturing         
June 9, 2020.    13,729,000  Jun-10/5.23  306,019 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.235% versus the three month USD-LIBOR-BBA maturing         
June 11, 2020.    13,729,000  Jun-10/5.235  306,157 
Total        $15,562,866 

Putnam Asset Allocation: Conservative Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 6/30/09 (proceeds receivable $52,096,641) (Unaudited) 
 
  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 4 1/2s, July 1, 2039  $52,000,000  7/13/09  $51,870,000 
GNMA, 4 1/2s, July 1, 2039  1,000,000  7/13/09  997,813 
Total      $52,867,813 

Putnam Asset Allocation: Conservative Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/09 (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%  $463,989 
  115,340,000    --  9/10/10  3 month USD-LIBOR-BBA  3.22969%  4,142,903 
  179,544,000    --  9/18/10  3 month USD-LIBOR-BBA  2.86667%  5,456,424 
  2,000,000    --  9/19/18  3 month USD-LIBOR-BBA  4.07%  82,797 
  14,216,000    (59,903)  10/8/38  3 month USD-LIBOR-BBA  4.30%  383,273 
  67,241,000    167,901  10/14/38  4.25%  3 month USD-LIBOR-BBA  (1,306,895) 
  51,740,000    (47,034)  10/20/10  3.00%  3 month USD-LIBOR-BBA  (1,519,188) 
  12,017,000    --  12/22/13  1.99%  3 month USD-LIBOR-BBA  410,076 
  5,002,000    --  10/26/12  4.6165%  3 month USD-LIBOR-BBA  (398,788) 
  25,957,000    --  7/22/10  3 month USD-LIBOR-BBA  3.5375%  1,059,665 
  4,145,000    --  5/8/28  4.95%  3 month USD-LIBOR-BBA  (499,998) 
Barclays Bank PLC            
  268,573,000    --  12/9/10  3 month USD-LIBOR-BBA  2.005%  3,464,256 
  32,295,000    --  12/9/20  3 month USD-LIBOR-BBA  2.91875%  (2,809,757) 
  373,301,000    --  12/17/13  2.42875%  3 month USD-LIBOR-BBA  5,545,167 
  8,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.632%  (51,580) 
Citibank, N.A.            
GBP  16,910,000  (E)  --  6/9/11  6 month GBP-LIBOR-BBA  3.0575%  30,897 
GBP  16,910,000    --  6/9/10  1.7075%  6 month GBP-LIBOR-BBA  (38,864) 
GBP  16,860,000  (E)  --  6/10/11  6 month GBP-LIBOR-BBA  3.09%  38,299 
EUR  3,682,000  (E)  --  6/12/24  6 month EUR-EURIBOR-REUTERS  5.1275%  16,181 
EUR  4,208,000  (E)  --  6/20/24  6 month EUR-EURIBOR-REUTERS  5.135%  13,493 
MXN  34,350,000    --  7/18/13  1 month MXN-TIIE-BANXICO  9.175%  204,474 
MXN  10,305,000    --  7/22/13  1 month MXN-TIIE-BANXICO  9.21%  62,489 
  $8,300,000    --  9/5/13  3.905%  3 month USD-LIBOR-BBA  (500,762) 
  118,072,000    --  9/17/13  3 month USD-LIBOR-BBA  3.4975%  4,914,743 
  70,840,000    --  9/18/38  4.45155%  3 month USD-LIBOR-BBA  (4,427,144) 
  87,378,000    --  9/18/10  3 month USD-LIBOR-BBA  2.92486%  2,732,043 
  4,104,000    --  2/24/16  2.77%  3 month USD-LIBOR-BBA  107,358 
  48,080,000    --  3/27/14  3 month USD-LIBOR-BBA  2.335%  (890,271) 
MXN  13,500,000    --  3/28/13  1 month MXN-TIIE-BANXICO  6.9425%  619 
  $7,399,000    --  4/6/39  3.295%  3 month USD-LIBOR-BBA  1,070,750 
  12,136,000    --  5/11/39  3.8425%  3 month USD-LIBOR-BBA  626,920 
Credit Suisse International            
  12,066,900    --  9/16/10  3.143%  3 month USD-LIBOR-BBA  (416,271) 
  35,909,000    --  9/18/10  3 month USD-LIBOR-BBA  2.91916%  1,119,665 
  42,449,000    --  9/23/10  3 month USD-LIBOR-BBA  3.32%  1,568,143 
  91,328,000    --  10/9/10  3 month USD-LIBOR-BBA  2.81%  2,372,756 
  63,033,000    --  11/6/15  3.97005%  3 month USD-LIBOR-BBA  (2,721,078) 
  41,000,000    --  12/5/20  3 month USD-LIBOR-BBA  3.01%  (3,199,479) 
  51,280,000    (548,103)  12/10/38  2.69%  3 month USD-LIBOR-BBA  12,347,279 
  30,020,000    320,867  12/10/38  3 month USD-LIBOR-BBA  2.69%  (7,228,262) 
  72,819,000    --  6/30/38  2.71%  3 month USD-LIBOR-BBA  17,959,446 
  829,384,000    --  1/30/11  1.4725%  3 month USD-LIBOR-BBA  (6,134,353) 
  85,574,000    --  1/30/29  3 month USD-LIBOR-BBA  3.225%  (9,228,553) 
  45,345,000    --  2/5/14  2.475%  3 month USD-LIBOR-BBA  364,645 
  14,746,000    --  2/5/29  3 month USD-LIBOR-BBA  3.35%  (1,337,211) 
SEK  66,430,000    --  4/7/14  2.735%  3 month SEK-STIBOR-SIDE  (18,470) 
  $2,520,000    --  4/28/39  3.50375%  3 month USD-LIBOR-BBA  276,835 
SEK  66,430,000    --  5/4/14  3 month SEK-STIBOR-SIDE  2.625%  (43,275) 
EUR  6,240,000    --  5/4/14  2.685%  6 month EUR-EURIBOR-REUTERS  47,484 
EUR  12,520,000    --  5/8/14  2.705%  6 month EUR-EURIBOR-REUTERS  80,094 
  $8,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.592%  (78,834) 
  8,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.632%  (51,580) 
  23,795,000    --  6/5/39  4.29417%  3 month USD-LIBOR-BBA  (604,426) 
  50,000,000    --  6/16/14  3 month USD-LIBOR-BBA  3.237%  709,930 
  28,000,000    --  6/16/19  3 month USD-LIBOR-BBA  4.066%  799,512 
Deutsche Bank AG          
  60,518,000    --  4/21/14  2.51%  3 month USD-LIBOR-BBA  944,843 
  76,125,000    --  5/12/11  1.43%  3 month USD-LIBOR-BBA  (8,702) 
  8,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.592%  (78,834) 
  7,000,000    --  6/9/19  3 month USD-LIBOR-BBA  4.195%  281,730 
EUR  16,910,000  (E)  --  6/11/11  6 month EUR-EURIBOR-REUTERS  2.45%  62,203 
EUR  16,910,000    --  6/11/10  1.617%  6 month EUR-EURIBOR-REUTERS  (55,639) 
EUR  16,860,000  (E)  --  6/14/11  6 month EUR-EURIBOR-REUTERS  2.47%  64,623 
  $9,689,000    --  9/23/38  4.75%  3 month USD-LIBOR-BBA  (1,103,428) 
  307,895,000    --  10/24/10  3 month USD-LIBOR-BBA  2.604%  6,909,080 
  7,551,000    6,467  11/21/10  2.25%  3 month USD-LIBOR-BBA  (121,458) 
  290,227,000    --  11/25/13  3 month USD-LIBOR-BBA  2.95409%  2,789,308 
  58,387,000    --  11/28/13  3 month USD-LIBOR-BBA  2.8725%  344,848 
  122,997,000    --  12/5/13  2.590625%  3 month USD-LIBOR-BBA  837,482 
  100,715,000    --  12/9/13  3 month USD-LIBOR-BBA  2.5225%  (1,017,725) 
  70,800,000    --  12/16/18  3 month USD-LIBOR-BBA  2.845%  (4,914,564) 
  40,500,000    --  12/16/38  2.765%  3 month USD-LIBOR-BBA  9,675,777 
  15,405,000    --  12/16/28  3 month USD-LIBOR-BBA  2.845%  (2,612,453) 
  131,089,000    --  12/17/23  3 month USD-LIBOR-BBA  2.81682%  (17,382,860) 
  230,318,000    --  12/19/10  3 month USD-LIBOR-BBA  1.53429%  1,273,220 
  27,244,000    --  12/24/13  2.165%  3 month USD-LIBOR-BBA  729,802 
  48,851,000    --  12/30/13  2.15633%  3 month USD-LIBOR-BBA  1,350,569 
  67,200,000    --  1/8/29  3 month USD-LIBOR-BBA  3.19625%  (7,413,479) 
  215,300,000    --  1/8/14  2.375%  3 month USD-LIBOR-BBA  2,225,382 
  13,017,000    --  1/28/29  3 month USD-LIBOR-BBA  3.1785%  (1,488,078) 
  53,345,000    --  1/30/11  3 month USD-LIBOR-BBA  1.45%  370,849 
  24,474,000    --  2/3/19  3.01%  3 month USD-LIBOR-BBA  1,175,844 
  46,553,000    --  2/5/29  3 month USD-LIBOR-BBA  3.324%  (4,392,666) 
  130,452,000    --  2/5/14  2.44661%  3 month USD-LIBOR-BBA  1,225,818 
  80,666,000    --  2/6/14  2.5529%  3 month USD-LIBOR-BBA  356,039 
  29,230,000    --  2/6/29  3 month USD-LIBOR-BBA  3.42575%  (2,340,683) 
  19,000,000    --  2/6/14  2.5675%  3 month USD-LIBOR-BBA  70,584 
  43,000,000    --  2/9/14  2.525%  3 month USD-LIBOR-BBA  254,344 
  41,000,000    --  2/10/14  2.55%  3 month USD-LIBOR-BBA  196,685 
  46,053,000    --  2/10/14  2.5825%  3 month USD-LIBOR-BBA  149,667 
  14,654,000    --  2/10/29  3 month USD-LIBOR-BBA  3.4725%  (1,080,059) 
  20,656,000    --  2/25/14  2.4675%  3 month USD-LIBOR-BBA  195,509 
  670,000,000    --  3/16/11  3 month USD-LIBOR-BBA  1.6725%  6,913,038 
  310,000,000    --  3/16/16  2.85%  3 month USD-LIBOR-BBA  7,154,074 
  83,000,000    --  3/16/29  3 month USD-LIBOR-BBA  3.29%  (8,429,009) 

  167,073,000    --  3/20/11  3 month USD-LIBOR-BBA  1.43%  895,471 
  77,200,000    --  3/23/11  3 month USD-LIBOR-BBA  1.45%  430,872 
  1,000,000    --  3/24/14  2.297%  3 month USD-LIBOR-BBA  20,079 
  101,000,000    --  3/30/14  2.36%  3 month USD-LIBOR-BBA  1,792,855 
  46,000,000    --  3/30/21  3 month USD-LIBOR-BBA  3.125%  (2,958,135) 
  3,828,000    --  4/14/19  3 month USD-LIBOR-BBA  3.037%  (207,675) 
  5,830,000  (E)  --  4/17/39  3.66904%  3 month USD-LIBOR-BBA  464,943 
EUR  12,897,500  (E)  --  4/23/24  6 month EUR-EURIBOR-REUTERS  4.926%  (49,254) 
Goldman Sachs International            
  $6,902,000    --  5/30/28  5.014%  3 month USD-LIBOR-BBA  (881,380) 
  5,515,000    (34,137)  11/18/18  3 month USD-LIBOR-BBA  4.10%  161,165 
AUD  16,812,500  (E)  --  2/14/12  3 month AUD-BBR-BBSW  4.39%  (183,869) 
  $23,230,000    (669,024)  4/8/19  3 month USD-LIBOR-BBA  5.325%  2,636,784 
GBP  17,190,000    --  4/7/11  2.2%  6 month GBP-LIBOR-BBA  (34,473) 
GBP  17,190,000    --  4/7/14  6 month GBP-LIBOR-BBA  3.26%  (391,622) 
JPMorgan Chase Bank, N.A.            
  $5,091,000    --  3/11/38  5.0025%  3 month USD-LIBOR-BBA  (806,138) 
  41,043,000    --  3/11/38  5.03%  3 month USD-LIBOR-BBA  (6,694,102) 
  90,389,000    --  3/15/10  3 month USD-LIBOR-BBA  2.5%  1,751,010 
  41,018,000    --  3/20/13  3 month USD-LIBOR-BBA  3.145%  1,295,811 
  106,684,000    --  3/20/13  3 month USD-LIBOR-BBA  3.13%  3,308,186 
  215,990,000    --  3/25/10  3 month USD-LIBOR-BBA  2.325%  3,807,634 
  47,989,000    --  4/8/13  3 month USD-LIBOR-BBA  3.58406%  2,102,000 
  33,439,000    --  5/23/10  3 month USD-LIBOR-BBA  3.16%  775,483 
  8,000,000    --  5/28/19  3 month USD-LIBOR-BBA  3.592%  (78,834) 
  9,981,000  (E)  --  6/9/20  4.73%  3 month USD-LIBOR-BBA  (466,113) 
  8,000,000    --  6/9/19  3 month USD-LIBOR-BBA  4.207%  330,195 
  41,035,000    --  6/9/11  3 month USD-LIBOR-BBA  1.7675%  243,486 
  97,558,000    --  6/10/11  3 month USD-LIBOR-BBA  1.81%  650,387 
  65,996,000    --  7/16/10  3 month USD-LIBOR-BBA  3.384%  2,550,190 
  20,788,000    --  7/22/10  3 month USD-LIBOR-BBA  3.565%  857,199 
  134,630,000    --  7/28/10  3 month USD-LIBOR-BBA  3.5141%  5,437,471 
CAD  16,770,000    --  6/9/12  6 month CAD-BA-CDOR  1.95%  50,645 
CAD  5,360,000    --  6/9/14  2.725%  6 month CAD-BA-CDOR  (36,625) 
  $9,981,000  (E)  --  6/11/20  4.735%  3 month USD-LIBOR-BBA  (468,309) 
CAD  26,760,000  (F)  --  6/9/10  0.57%  1 month CAD-BA-CDOR  (31,570) 
EUR  8,460,000  (E)  --  6/17/24  6 month EUR-EURIBOR-REUTERS  5.195%  61,052 
  $34,734,000    --  6/16/19  4.09%  3 month USD-LIBOR-BBA  (1,062,652) 
EUR  25,070,000    --  6/19/11  6 month EUR-EURIBOR-REUTERS  1.93%  71,352 
  $11,787,000    --  6/19/19  3 month USD-LIBOR-BBA  3.8725%  139,529 
AUD  6,110,000  (F)  --  6/26/19  6 month AUD-BBR-BBSW  6.05%  42,353 
CAD  6,110,000    --  6/25/19  3.626%  6 month CAD-BA-CDOR  (47,534) 
  $18,360,000    --  9/23/38  4.70763%  3 month USD-LIBOR-BBA  (1,955,510) 
  35,458,000    --  10/23/13  3 month USD-LIBOR-BBA  3.535%  1,305,524 
  45,300,000    --  11/10/18  4.12%  3 month USD-LIBOR-BBA  (1,699,544) 
  75,000,000    --  11/24/10  3 month USD-LIBOR-BBA  2.0075%  1,002,786 
PLN  10,420,000    --  1/26/11  6 month PLN-WIBOR-WIBO  4.177%  (52,525) 
  $5,690,000    --  1/27/24  3.1%  3 month USD-LIBOR-BBA  522,230 
AUD  13,450,000  (E)  --  1/27/12  3 month AUD-BBR-BBSW  4.21%  (149,378) 
  $2,845,000    --  2/3/24  3 month USD-LIBOR-BBA  3.2825%  (201,666) 
  63,586,000    --  3/3/11  3 month USD-LIBOR-BBA  1.68283%  706,465 
EUR  18,760,000    --  3/4/14  1 month EUR-EURIBOR-REUTERS  2.74%  (8,910) 
  $10,961,000    --  3/6/39  3.48%  3 month USD-LIBOR-BBA  1,170,694 
  118,299,000    4,128,635  5/19/19  4.735%  3 month USD-LIBOR-BBA  (6,286,172) 
CAD  8,080,000    --  3/16/11  0.98%  3 month CAD-BA-CDOR  (10,416) 
CAD  1,780,000    --  3/16/19  3 month CAD-BA-CDOR  2.7%  (93,254) 
CAD  8,310,000    --  3/17/13  1.56%  3 month CAD-BA-CDOR  144,492 
  $8,440,000    --  3/19/13  3 month USD-LIBOR-BBA  2.28%  (14,461) 
  2,710,000    --  3/19/24  3.37%  3 month USD-LIBOR-BBA  173,183 
CAD  2,640,000    --  3/17/24  3 month CAD-BA-CDOR  3.46%  (173,200) 
  $45,000,000    --  3/20/19  3.20875%  3 month USD-LIBOR-BBA  1,538,994 
  95,000,000    --  3/24/11  3 month USD-LIBOR-BBA  1.4625%  549,291 
  149,480,000    --  4/3/11  3 month USD-LIBOR-BBA  1.365%  50,398 
  28,900,000    --  4/3/13  1.963%  3 month USD-LIBOR-BBA  528,323 
  132,570,000    --  4/3/14  3 month USD-LIBOR-BBA  2.203%  (3,773,525) 
  45,290,000    --  4/3/14  2.203%  3 month USD-LIBOR-BBA  1,289,153 
  2,560,000    --  4/3/10  3 month USD-LIBOR-BBA  1.168%  7,618 
EUR  13,460,000  (E)  --  4/17/24  6 month EUR-EURIBOR-REUTERS  4.95%  (37,040) 
  $5,830,000  (E)  --  4/17/39  3.7%  3 month USD-LIBOR-BBA  448,852 
GBP  8,730,000    --  4/20/14  6 month GBP-LIBOR-BBA  3.17875%  (264,690) 
AUD  17,400,000  (E)  --  4/22/11  3 month AUD-BBR-BBSW  4.05%  (63,387) 
AUD  17,400,000  (F)  --  4/22/10  3%  3 month AUD-BBR-BBSW  57,413 
  $11,660,000  (E)  --  5/1/39  3 month USD-LIBOR-BBA  3.84125%  (749,272) 
EUR  26,357,500  (E)  --  5/6/24  4.76248%  6 month EUR-EURIBOR-REUTERS  285,686 
UBS, AG               
  $651,364,000    --  10/29/10  2.75%  3 month USD-LIBOR-BBA  (15,979,293) 
  109,102,000    --  10/29/20  3 month USD-LIBOR-BBA  4.18142%  3,979,743 
  42,246,000    1,404,328  11/10/28  4.45%  3 month USD-LIBOR-BBA  (828,621) 
  65,358,000    (1,660,332)  11/10/18  3 month USD-LIBOR-BBA  4.45%  2,560,218 
  37,318,000    (490,960)  11/24/38  3 month USD-LIBOR-BBA  3.3%  (5,908,523) 
  1,269,000    (6,194)  11/24/18  3 month USD-LIBOR-BBA  3.4%  (34,348) 
  4,863,000    (1,535)  11/24/10  3 month USD-LIBOR-BBA  2.05%  66,555 
  15,134,000    --  11/24/10  3 month USD-LIBOR-BBA  2.05%  211,903 
 
Total              $11,872,900 

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

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

Putnam Asset Allocation: Conservative Portfolio

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/09 (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  3/27/14  1.785%  Eurostat  $(42,684) 
        Eurozone HICP   
        excluding tobacco   
Goldman Sachs International        
EUR  16,890,000  4/30/13  2.375%  French Consumer  710,458 
        Price Index   
        excluding tobacco   
EUR  16,890,000  4/30/13  (2.41%)  Eurostat  (804,838) 
        Eurozone HICP   
        excluding tobacco   
EUR  16,890,000  5/6/13  2.34%  French Consumer  677,259 
        Price Index   
        excluding tobacco   
EUR  16,890,000  5/6/13  (2.385%)  Eurostat  (782,310) 
        Eurozone HICP   
        excluding tobacco   
  $446,645  8/28/09  (3 month USD-  iShares MSCI  (347,134) 
      LIBOR-BBA minus  Emerging Markets   
      85 bp)  Index   
EUR  1,100,000  4/23/14  1.67%  Eurostat  (22,672) 
        Eurozone HICP   
        excluding tobacco   
EUR  10,134,000  4/14/14  1.835%  Eurostat  (99,170) 
        Eurozone HICP   
        excluding tobacco   
  $18,560,000  5/18/10  (0.25%)  USA Non Revised  141,984 
        Consumer Price   
        Index- Urban   
        (CPI-U)   
JPMorgan Chase Bank, N.A.        
  519,575  8/19/09  (3 month USD-  iShares MSCI  1,102,890 
      LIBOR-BBA minus  Emerging Markets   
      125 bp)  Index   
 
Total          $533,783 

Putnam Asset Allocation: Conservative Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/09 (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    10/12/52  (134 bp)  $1,320,789 
Financial Security                 
Assurance Holdings,                 
Ltd, 6.4%, 12/15/66  Baa1  --    105,000    12/20/12  95 bp  (29,176) 
Marsh & Mclennan Co.                 
Inc., 5 3/8%, 7/15/14  --  --    565,000    3/20/12  (95 bp)  (7,435) 
Nalco Co., 7.75%,                 
11/15/11  Ba2  --    30,000    9/20/12  350 bp  (1,197) 
Barclays Bank PLC                 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  218,374    1,376,205    7/25/45  18 bp  (8,658) 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  172,800    1,032,222    7/25/45  18 bp  2,514 
DJ ABX HE PEN AAA                 
Series 7 Version 1 Index  A-  704,893    1,196,000  (F)  8/25/37  9 bp  (127,745) 
Citibank, N.A.                 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AA  203,628    995,896    5/25/46  11 bp  (197,202) 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  78,217    440,112    7/25/45  18 bp  5,611 
DJ CDX EM Series 11                 
Index  --  (8,100)    300,000    6/20/14  (500 bp)  (21,459) 
FirstEnergy Corp.,                 
7 3/8%, 11/15/31  --  --    2,535,000    12/20/11  (85 bp)  47,753 
Lear Corp., T/L Bank                 
Loan  --  --    305,000    6/20/13  (225 bp)  101,018 
Lear Corp., T/L Bank                 
Loan  Ca  --    305,000    6/20/13  700 bp  (91,747) 
Lighthouse                 
International Co., SA,                 
8%, 4/30/14  B3  --  EUR  1,000,000    3/20/13  815 bp  (425,393) 
Marsh & Mclennan Co.                 
Inc., 5 3/8%, 7/15/14  --  --    $345,000    9/20/14  (105 bp)  (8,826) 
Yum! Brands, Inc.,                 
8 7/8%, 4/15/11  --  --    270,000    3/20/13  (65 bp)  912 
Credit Suisse International                 
DJ ABX HE AAA Series 7                 
Version 2 Index  BB+  135,975    245,000    1/25/38  76 bp  (45,325) 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  385,112    2,150,440    7/25/45  18 bp  30,354 
DJ ABX HE PEN AAA                 
Series 6 Version 2 Index  AA  1,391,590    3,165,347    5/25/46  11 bp  117,596 
DJ ABX HE PEN AAA                 
Series 7 Version 1 Index  A-  901,313    1,518,000    8/25/37  9 bp  (153,698) 
DJ CDX NA HY Series 10  B1  45,791    436,100    6/20/13  500 bp  (3,362) 
DJ CDX NA HY Series 10  B1  312,056    2,937,000    6/20/13  500 bp  (18,973) 
DJ CMB NA CMBX AAA Index  AAA  151,798    912,000  (F)  12/13/49  8 bp  (75,004) 
DJ CMB NA CMBX AJ Index  --  (460,732)    1,433,000  (F)  2/17/51  (96 bp)  523,940 
DJ CMBX NA AAA Series 4                 
Version 1 Index  AAA  4,829,039    11,690,000  (F)  2/17/51  35 bp  1,700,308 
KB Home, 5 3/4%, 2/1/14  --  --    1,380,000    9/20/11  (425 bp)  (37,898) 
Liberty Mutual                 
Insurance, 7 7/8%,                 
10/15/26  --  --    70,000    12/20/13  (210 bp)  (919) 
Deutsche Bank AG                 
DJ ABX HE PEN AAA                 
Series 6 Version 1 Index  AAA  55,434    291,126    7/25/45  18 bp  7,407 
DJ ABX HE PEN AAA                 
Series 6 Version 2 Index  AA  312,964    864,111    5/25/46  11 bp  (34,825) 
DJ CDX EM Series 11                 
Index  --  (35,420)    1,610,000    6/20/14  (500 bp)  (107,113) 
DJ CDX NA HY Series 11                 
Version 1 Index  B2  3,454,112    14,698,350    12/20/13  500 bp  1,313,298 
DJ CDX NA IG Series 12                 
Version 1 Index  --  (1,583,413)    41,037,000    6/20/14  (100 bp)  (1,001,919) 
DJ iTraxx Europe Series                 
8 Version 1  --  (112,806)  EUR  1,176,000    12/20/12  (375 bp)  141,620 
DJ iTraxx Europe Series                 
9 Version 1  --  246,023  EUR  3,601,500    6/20/13  (650 bp)  598,907 
Korea Monetary STAB                 
Bond, 5.15%, 2/12/10  A2  --    $3,770,000    2/19/10  115 bp  1,197 
Nalco Co., 7.75%,                 
11/15/11  Ba2  --    25,000    12/20/12  363 bp  (1,023) 
Pacific Gas & Electric                 
Co., 4.8%, 3/1/14  A3  --    665,000    12/20/13  112 bp  (8,180) 
Smurfit Kappa Funding,                 
7 3/4%, 4/1/15  B2  --  EUR  440,000    9/20/13  715 bp  (44,278) 

Universal Corp., 5.2%,               
10/15/13  --  --    $710,000  3/20/15  (95 bp)  (3,925) 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  B2  --  EUR  690,000  9/20/13  477 bp  (41,818) 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  B2  --  EUR  690,000  9/20/13  535 bp  (14,535) 
Goldman Sachs International               
CVS Caremark Corp.,               
4 7/8%, 9/15/14  --  --    $435,000  9/20/13  (59 bp)  (412) 
CVS Caremark Corp.,               
4 7/8%, 9/15/14    --    540,000  9/20/11  (50 bp)  (170) 
DJ ABX HE AAA Index  BB+  127,146    541,000  1/25/38  76 bp  (275,841) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA  199,033    479,598  5/25/46  11 bp  5,998 
DJ CDX NA CMBX AAA Index  AAA  17,922    490,000  3/15/49  7 bp  (73,948) 
DJ CDX NA HY Series 11               
Version 1 Index  B2  1,340,006    4,895,000  12/20/13  500 bp  627,050 
Lighthouse               
International Co, SA,               
8%, 4/30/14  B3  --  EUR  680,000  3/20/13  680 bp  (319,672) 
Macy's Retail Holdings,               
Inc., 7.45%, 7/15/17  --  --    $3,965,000  6/20/11  (254.9 bp)  105,846 
Smurfit Kappa Funding,               
7 3/4%, 4/1/15  B2  --  EUR  405,000  9/20/13  720 bp  (31,248) 
Southern California               
Edison Co., 7 5/8%,               
1/15/10  A3  --    $615,000  12/20/13  118.1 bp  (16,030) 
JPMorgan Chase Bank, N.A.               
Computer Science Corp.,               
5%, 2/15/13  --  --    2,625,000  3/20/18  (82 bp)  (55,663) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA  224,370    1,068,461  5/25/46  11 bp  (205,666) 
DJ ABX HE PEN AAA               
Series 6 Version 2 Index  AA  317,806    864,945  5/25/46  11 bp  (30,319) 
DJ CMBX NA AAA Series 4               
Version 1 Index  --  (5,568,896)    14,261,000  2/17/51  (35 bp)  (1,754,079) 
DJ iTraxx Europe               
Crossover Series 8               
Version 1  --  (254,428)  EUR  1,904,140  12/20/12  (375 bp)  157,476 
GATX Corp., 8.875%,               
6/1/09  --  --    $130,000  3/20/16  (100 bp)  8,454 
Glencore Funding LLC,               
6%, 4/15/14  --  --    2,860,000  6/20/14  (148 bp)  462,691 
Merrill Lynch Capital Services, Inc.               
Pacific Gas & Electric               
Co., 4.8%, 3/1/14  A3  --    710,000  12/20/13  113 bp  (8,440) 
Merrill Lynch International               
Kinder Morgan, Inc.,               
6 1/2%, 9/1/12  --  --    126,000  9/20/12  (128 bp)  (189) 
Morgan Stanley Capital Services, Inc.               
DJ CDX NA IG Series 12               
Version 1 Index  --  (351,839)    8,660,000  6/20/14  (100 bp)  (229,127) 
DJ CDX NA IG Series 12               
Version 1 Index  --  (3,359,276)    75,675,000  6/20/14  (100 bp)  (2,286,961) 
DJ CMB NA CMBX AAA Index  AAA  210,335    1,720,000  2/17/51  35 bp  (250,026) 
Nalco Co., 7.75%,               
11/15/11  Ba2  --    30,000  9/20/12  330 bp  (1,370) 
Nalco Co., 7.75%,               
11/15/11  Ba2  --    45,000  3/20/13  460 bp  (637) 
Universal Corp., 5.2%,               
10/15/13  --  --    2,130,000  3/20/13  (89 bp)  (9,186) 
UBS, AG               
Meritage Homes Corp.,               
7%, 5/1/14  --  --    90,000  9/20/13  (760 bp)  (3,423) 
 
Total              $(783,301) 

* 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 represent 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 June 30, 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.

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 
SEK  Swedish Krona 
USD / $  United States Dollar 
IO  Interest Only 
PO  Principal Only 
 
 
NOTES 

(a) Percentages indicated are based on net assets as follows:
 
Growth portfolio  $1,570,052,086 
Balanced portfolio  1,336,331,467 
Conservative portfolio  919,993,173 

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

  Cost for federal  Unrealized  Unrealized  Net unrealized 
  income tax purposes  appreciation  depreciation  depreciation 
 
Growth Portfolio  $1,923,542,745  $118,642,378  $217,694,816  $99,052,438 
Balanced Portfolio  1,919,800,835  102,882,459  208,422,875  105,540,416 
Conservative Portfolio  1,326,779,722  74,061,489  110,630,885  36,569,396 

(NON) Non-income-producing security.

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

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

(SEG) These securities, in part or in entirety, were pledged and segregated with the broker to cover margin requirements for futures contracts, for one or more of the funds, at June 30, 2009.

(SEGSF) These securities, in part or in entirety, were pledged and segregated with the custodian for collateral on certain derivative contracts, for one or more of the funds, at June 30, 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 June 30, 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. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

(d) The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. At June 30, 2009, the value of securities loaned amounted to $62,547,977, $45,819,457, and $9,375,822 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively). Certain of these securities were sold prior to period-end. The fund received cash collateral of $64,839,640, $47,566,214 and $9,734,131 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) which is pooled with collateral of other Putnam funds into 24 issues of short-term investments.

(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, a wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $120,371, $148,576, and $131,141 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) for the period ended June 30, 2009. During the period ended June 30, 2009, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund were as follows:

  Cost of  Proceeds 
  Purchases  of Sales 
 
Growth Portfolio  $448,711,908  $263,571,582 
Balanced Portfolio  587,615,343  346,923,757 
Conservative Portfolio  372,319,715  182,628,397 

Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for SFAS 157 disclosures based on the securities valuation inputs. On June 30, 2009, fair value pricing was also used for certain foreign securities in the portfolio.

(i) Securities purchased with cash or received, that were pledged to the fund for collateral on certain derivative contracts.

(R) Real Estate Investment Trust.

(SG) Securities on loan, in part or in entirety, at June 30, 2009 (Growth portfolio).

(SB) Securities on loan, in part or in entirety, at June 30, 2009 (Balanced portfolio).

(SC) Securities on loan, in part or in entirety, at June 30, 2009 (Conservative portfolio).

At June 30, 2009, liquid assets totaling $376,906,625, 516,749,251 and 579,849,851 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) have been designated as collateral for open forward contracts, forward commitments, swap 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 after the name of a foreign holding stands for American Depository Receipts, respectively, representing ownership of foreign securities on deposit with a custodian bank.

The rates shown on FRB and FRN are the current interest rates at June 30, 2009.

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

IFB are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at June 30, 2009.

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of risk at June 30, 2009 (as a percentage of Portfolio Value):

Growth Portfolio   
 
United States  76.2% 
Japan  4.1 
United Kingdom  3.9 
France  1.7 
Italy  1.7 
China  1.4 
Australia  1.0 
Brazil  0.8 
Switzerland  0.8 
Canada  0.6 
South Korea  0.6 
Belgium  0.5 
South Africa  0.5 
Singapore  0.5 
Other  5.7 

Total  100.0% 
 
 
 
Balanced Portfolio   
 
United States  86.8% 
United Kingdom  2.7 
Japan  2.3 
France  1.1 
Italy  0.9 
Australia  0.6 
Canada  0.6 
Switzerland  0.6 
Other  4.4 
Total  100.0% 
 
 
 
Conservative Portfolio   
 
United States  90.4% 
United Kingdom  2.1 
Japan  1.4 
France  0.7 
Canada  0.6 
Switzerland  0.5 
Other  4.3 
Total  100.0% 

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

At June 30, 2009, fair value pricing was used for certain foreign securities in the portfolio.

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

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

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

The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, interest or exchange rates moving unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is no counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. 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. Outstanding contracts at period end are indicative of the volume of activity during the period.

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

Total return swap contracts: The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to help enhance the fund's return and manage the fund’s exposure to credit risk. 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. The fund’s maximum risk of loss from counterparty risk, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Outstanding contracts at period end are indicative of the volume of activity during the period.

Interest rate swap contracts: The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate swap contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Outstanding contracts at period end are indicative of the volume of activity during the period.

Credit default contracts: The 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. 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 may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, 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. Outstanding contracts at period end are indicative of the volume of activity during the period.

Master agreements: The 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.

TBA purchase commitments: The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, 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 the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so. Outstanding contracts at period end are indicative of the volume of activity during the period.

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

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

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

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

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

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

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

The following is a summary of the inputs used to value the fund’s net assets as of June 30, 2009 (Growth Portfolio):

    VALUATION INPUTS   
Investments in securities:  Level 1  Level 2  Level 3 
Asset-backed securities  $--  $21,767,341  $173,026 
Common stocks:       
Basic materials  34,609,797  30,906,472  -- 
Capital goods  41,594,504  22,600,567  -- 
Communication services  33,886,908  18,984,745  -- 
Conglomerates  8,877,716  6,436,148  -- 
Consumer cyclicals  42,448,815  38,568,627  9 
Consumer staples  59,449,095  31,774,149  -- 
Energy  69,759,007  33,564,881  -- 
Financial  71,957,969  71,037,649  111,887 
Health care  75,472,728  23,564,827  -- 
Technology  104,691,646  20,867,110  -- 
Transportation  8,518,273  8,554,179  -- 
Utilities and power  22,394,133  21,289,525  -- 
Total Common stocks  573,660,591  328,148,879  111,896 
Commodity linked notes  --  8,130,544  -- 
Convertible bonds and notes  --  1,108,088  -- 
Convertible preferred stocks  --  855  -- 
Corporate bonds and notes  --  194,727,416  3,066,000 
Foreign government bonds and notes  --  9,277,552  -- 
Investment companies  16,985,700  624,629  -- 
Mortgage-backed securities  --  103,203,815  -- 
Preferred stocks  --  95,044  -- 
Purchased options outstanding  --  5,498,429  -- 
Senior loans  --  5,073,766  -- 
U.S. Government and agency mortgage obligations  --  174,209,632  -- 
U.S Treasury obligations  --  10,078,916  -- 
Warrants  3,335  515,506  -- 
Short-term investments  185,140,326  182,889,021  -- 
Totals by level  $775,789,952  $1,045,349,433  $3,350,922 
 
  Level 1  Level 2  Level 3 
Other financial instruments:  $(3,135,505)  $(54,200,689)  $-- 

The following is a reconciliation of Level 3 assets as of June 30, 2009 (Growth Portfolio):

  Balance as of  Accrued    Change in net unrealized    Net transfers in  Balance as of 
Investments in securities:  September 30, 2008  discounts/premiums  Realized gain/(loss)  appreciation/(depreciation)  Net purchases/sales  and/or out of Level 3  June 30, 2009 
 
 
Asset-backed securities  $348,864  $--  $152  $(125,593)  $(6,806)  $(43,591)  $173,026 
Common stocks:               
Consumer cyclicals  --  --  --  (47,577)  47,586  --  9 
Financial  --  --  --  (65,608)  177,495  --  111,887 
Total Common stocks  $--  --  --  (113,185)  225,081  --  $111,896 
Corporate bonds and notes  $--  --  (5,167)  24,382  (19,215)  3,066,000  $3,066,000 
Mortgage-backed securities  $1,349,908  --  --  --  --  (1,349,908)  $-- 
Totals:  $1,698,772  $--  $(5,015)  $(214,396)  $199,060  $1,672,501  $3,350,922 
 
  Balance as of  Accrued    Change in net unrealized    Net transfers in  Balance as of 
  September 30, 2008  discounts/premiums  Realized gain/(loss)  appreciation/(depreciation)  Net purchases/sales  and/or out of Level 3  June 30, 2009 
Other financial instruments:  $--  $--  $--  $--  $--  $--  $-- 

Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts.

The following is a summary of the inputs used to value the fund’s net assets as of June 30, 2009 (Balanced Portfolio):

    VALUATION INPUTS   
Investments in securities:  Level 1  Level 2  Level 3 
Asset-backed securities  $--  $44,864,752  $796,901 
Common stocks:       
Basic materials  24,928,515  17,124,311  -- 
Capital goods  33,790,537  11,957,012  -- 
Communication services  24,696,310  9,997,114  -- 
Conglomerates  7,292,901  3,848,908  -- 
Consumer cyclicals  32,842,367  19,989,255  9 
Consumer staples  48,337,276  19,184,906  -- 
Energy  54,112,291  16,353,328  -- 
Financial  57,420,398  34,112,083  63,170 
Health care  61,021,603  14,571,928  -- 
Technology  84,166,584  9,326,991  -- 
Transportation  6,434,766  4,823,785  -- 
Utilities and power  16,544,902  13,132,924  -- 
Total Common stocks  451,588,450  174,422,545  63,179 
Commodity linked notes  --  6,963,584  -- 
Convertible bonds and notes  --  541,819  -- 
Convertible preferred stocks  --  1,140  -- 
Corporate bonds and notes  --  198,700,562  -- 
Foreign government bonds and notes  --  6,073,611  -- 
Investment companies  17,384,234  352,634  -- 
Mortgage-backed securities  --  152,027,373  -- 
Municipal bonds and notes  --  566,849   
Preferred stocks  --  107,086  -- 
Purchased options outstanding  --  7,754,360  -- 
Senior loans  --  8,788,009  -- 
U.S. Government and agency mortgage obligations  --  334,489,045  -- 
U.S Treasury obligations  --  5,485,989  -- 
Warrants  --  424,916  -- 
Short-term investments  240,691,586  162,171,795  -- 
Totals by level  $709,664,270  $1,103,736,069  $860,080 
  Level 1  Level 2  Level 3 
Other financial instruments:  $(2,600,077)  $(136,813,823)  $-- 

Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts.

The following is a reconciliation of Level 3 assets as of June 30, 2009 (Balanced Portfolio):

  Balance as of  Accrued    Change in net unrealized    Net transfers in  Balance as of 
Investments in securities:  September 30, 2008  discounts/premiums  Realized gain/(loss)  appreciation/(depreciation)  Net purchases/sales  and/or out of Level 3  June 30, 2009 
Asset-backed securities  $2,509,331  --  (125,423)  (553,390)  (168,244)  (865,373)  $796,901 
Common stocks:               
Consumer cyclicals  $--  --  --  (70,991)  71,000  --  9 
Financial  $--  --  --  (37,042)  100,212  --  63,170 
Total Common stocks  $--  --  --  (108,033)  171,212  --  $63,179 

Corporate bonds and notes  $--  --  (5,739)  28,942  (23,203)  --  $-- 
 
Mortgage-backed securities  $779,223  --  --  --  --  (779,223)  $-- 
Totals:  $3,288,554  $--  $(131,162)  $(632,481)  $(20,235)  $(1,644,596)  $860,080 
 
  Balance as of  Accrued    Change in net unrealized    Net transfers in  Balance as of 
  September 30, 2008  discounts/premiums  Realized gain/(loss)  appreciation/(depreciation)  Net purchases/sales  and/or out of Level 3  June 30, 2009 
Other financial instruments:  $--  $--  $--  $--  $--  $--  $-- 

Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts.

The following is a summary of the inputs used to value the fund’s net assets as of June 30, 2009 (Conservative Portfolio):

    VALUATION INPUTS   
Investments in securities:  Level 1  Level 2  Level 3 
Asset-backed securities  $--  $35,614,762  $689,167 
Common stocks:       
Basic materials  11,479,184  8,175,072  -- 
Capital goods  14,929,254  5,447,799  -- 
Communication services  10,781,052  4,373,216  -- 
Conglomerates  3,269,743  1,650,890  -- 
Consumer cyclicals  14,197,657  9,262,812  4 
Consumer staples  21,099,003  9,270,178  -- 
Energy  23,930,809  7,514,738  -- 
Financial  25,045,064  16,009,805  20,220 
Health care  26,714,351  6,783,146  -- 
Technology  37,783,025  4,548,133  -- 
Transportation  2,843,054  2,320,672  -- 
Utilities and power  7,361,794  6,063,205  -- 
Total Common stocks  199,433,990  81,419,666  20,224 
Commodity linked notes  --  3,888,427  -- 
Convertible bonds and notes  --  428,176  -- 
Corporate bonds and notes  --  178,145,698  -- 
Foreign government bonds and notes  --  5,259,172  -- 
Investment companies  7,480,534  112,845  -- 
Mortgage-backed securities  --  128,796,362  -- 
Municipal bonds and notes  --  482,818   
Preferred stocks  --  61,929  -- 
Purchased options outstanding  --  11,106,972  -- 
Senior loans  --  5,129,461  -- 
U.S. Government and agency mortgage obligations  --  316,213,608  -- 
U.S Treasury obligations  --  5,301,250  -- 
Warrants  1,668  278,468  -- 
Short-term investments  191,651,318  118,693,811  -- 
Totals by level  $398,567,510  $890,933,425  $709,391 
 
  Level 1  Level 2  Level 3 
Other financial instruments:  $(1,441,985)  $(55,658,385)  $-- 

Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts.

The following is a reconciliation of Level 3 assets as of June 30, 2009 (Conservative Portfolio):

  Balance as of  Accrued    Change in net unrealized    Net transfers in  Balance as of 
Investments in securities:  September 30, 2008  discounts/premiums  Realized gain/(loss)  appreciation/(depreciation)  Net purchases/sales  and/or out of Level 3  June 30, 2009 
 
Asset-backed securities  $2,427,536  --  (117,182)  (473,982)  (169,925)  (977,280)  $689,167 
Common stocks:               
Consumer cyclicals  $--  --  --  (30,941)  30,945  --  4 
Consumer staples  $5,259  --  (226,096)  225,438  (4,601)  --  -- 
Financial  $--  --  --  (11,858)  32,078  --  20,220 
Total Common stocks  $5,259  --  (226,096)  182,639  58,422  --  $20,224 
Corporate bonds and notes  $--  --  (2,946)  14,486  (11,540)  --  $-- 
Mortgage-backed securities  $514,876  --  --  --  --  (514,876)  $-- 
Warrants  $594  --  (6,238)  5,644  --  --  $-- 
Totals:  $2,948,265  $--  $(352,462)  $(271,213)  $(123,043)  $(1,492,156)  $709,391 
 
  Balance as of  Accrued    Change in net unrealized    Net transfers in  Balance as of 
  September 30, 2008  discounts/premiums  Realized gain/(loss)  appreciation/(depreciation)  Net purchases/sales  and/or out of Level 3  June 30, 2009 
Other financial instruments:  $--  $--  $--  $--  $--  $--  $-- 

Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts.

Market Values of Derivative Instruments as of June 30, 2009 (Growth Portfolio):     
  Asset derivatives  Liability derivatives 
 
Derivatives not accounted for as hedging instruments under Statement 133  Market value  Market value 
 
 
Credit contracts  $5,679,838  $9,567,708 
Foreign exchange contracts  5,722,011  3,700,832 
Equity contracts  7,348,396  11,825,546 
 
 
Interest rate contracts  124,477,568  124,051,961 
Total  $143,227,813  $149,146,047 
 
Market Values of Derivative Instruments as of June 30, 2009 (Balanced Portfolio):     
  Asset derivatives  Liability derivatives 
 
Derivatives not accounted for as hedging instruments under Statement 133  Market value  Market value 
 
 
Credit contracts  $5,588,680  $6,463,207 
Foreign exchange contracts  5,248,349  3,275,609 
Equity contracts  5,609,370  6,688,487 
 
 
Interest rate contracts  151,823,203  194,636,526 
Total  $168,269,602  $211,063,829 
 
Market Values of Derivative Instruments as of June 30, 2009 (Conservative Portfolio):     
  Asset derivatives  Liability derivatives 
 
Derivatives not accounted for as hedging instruments under Statement 133  Market value  Market value 
 
 
Credit contracts  $7,280,739  $8,064,040 
Foreign exchange contracts  2,281,834  1,132,897 
Equity contracts  3,093,022  1,394,772 
 
 
Interest rate contracts  176,163,676  171,353,147 
Total  $188,819,271  $181,944,856 

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

Item 2. Controls and Procedures:

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

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

Item 3. Exhibits:

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

SIGNATURES

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

Putnam Asset Allocation Funds

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 28, 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: August 28, 2009

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 28, 2009