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
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2011
Date of reporting period: June 30, 2011



Item 1. Schedule of Investments:


Putnam Asset Allocation Funds
The fund's portfolio
6/30/11 (Unaudited)

COMMON STOCKS(a)  Growth 54.6%  Balanced 43.5%  Conservative 32.8% 
  Shares  Value  Shares  Value  Shares  Value 
 
Basic materials    4.4%    3.2%    2.5% 
Agrium, Inc. (Canada)  898  $78,808  715  $62,748  201  $17,640 
Albany International Corp. Class A  11,068  292,085  7,544  199,086  1,844  48,663 
Albemarle Corp.  37,500  2,595,000  28,200  1,951,440  8,100  560,520 
Andersons, Inc. (The)  20,724  875,589  13,774  581,952  3,523  148,847 
Archer-Daniels Midland Co.  2,476  74,651  1,971  59,426  682  20,562 
Arkema (France)  4,182  431,070  3,148  324,488  171  17,626 
BASF SE (Germany)  28,350  2,781,465  17,769  1,743,346  3,432  336,719 
BBMG Corp. (China)  1,051,500  1,577,700  389,000  583,666  --  -- 
BHP Billiton, Ltd. (Australia)  57,697  2,728,220  30,150  1,425,652  14,316  676,936 
Black Earth Farming, Ltd. SDR             
(Sweden) (NON)  4,410  17,110  3,511  13,622  2,463  9,556 
Boise, Inc.  53,079  413,485  35,532  276,794  8,610  67,072 
Carillion PLC (United Kingdom)  93,447  564,717  68,949  416,671  --  -- 
Century Aluminum Co. (NON)  8,716  136,405  5,701  89,221  1,437  22,489 
CF Industries Holdings, Inc.  521  73,810  415  58,793  136  19,267 
China Agri-Industries Holdings,             
Ltd. (China)  37,000  39,295  29,000  30,799  10,000  10,620 
China BlueChemical, Ltd. (China)  40,000  33,128  32,000  26,502  10,000  8,282 
China National Building Material             
Co., Ltd. (China)  576,000  1,138,470  --  --  --  -- 
China National Materials Co., Ltd.             
(China)  924,000  759,391  --  --  --  -- 
China Shanshui Cement Group, Ltd.             
(China)  362,000  420,759  270,000  313,826  --  -- 
China State Construction             
International Holdings, Ltd.             
(China)  552,000  561,710  --  --  --  -- 
Coeur d'Alene Mines Corp. (NON)  8,414  204,124  5,505  133,551  1,386  33,624 
Compagnie de Saint-Goban (France)  4,658  302,020  3,441  223,111  --  -- 
Cresud S.A.C.I.F. y A. ADR             
(Argentina)  1,797  29,183  1,430  23,223  503  8,169 
Cytec Industries, Inc.  26,000  1,486,940  19,500  1,115,205  5,700  325,983 
Domtar Corp. (Canada)  2,388  226,191  1,572  148,900  394  37,320 
Ferro Corp. (NON)  18,514  248,828  12,065  162,154  3,104  41,718 
First Quantum Minerals, Ltd.             
(Canada)  2,800  408,631  2,000  291,879  --  -- 
Fletcher Building, Ltd. (New             
Zealand)  97,675  697,942  49,926  356,749  24,482  174,938 
Formosa Chemicals & Fibre Corp.             
(Taiwan)  133,000  497,018  --  --  --  -- 
Fortescue Metals Group, Ltd.             
(Australia)  40,229  276,065  30,131  206,769  --  -- 
Freeport-McMoRan Copper & Gold,             
Inc. Class B  118,246  6,255,213  79,000  4,179,100  22,900  1,211,410 
Georgia Gulf Corp. (NON)  6,181  149,209  4,074  98,346  1,026  24,768 
Golden Agri-Resources, Ltd.             
(Singapore)  86,000  47,831  68,000  37,820  25,000  13,904 
GrainCorp, Ltd. (Australia)  5,214  46,664  4,151  37,151  1,402  12,548 
Hecla Mining Co. (NON)  22,585  173,679  15,420  118,580  3,725  28,645 
HeidelbergCement AG (Germany)  2,988  191,006  2,205  140,953  --  -- 
HQ Sustainable Maritime             
Industries, Inc. (F)(NON) (SG) (SB)  8,221  22,854  6,876  19,115  3,969  11,034 
Huabao International Holdings,             
Ltd. (China)  87,000  79,207  65,000  59,178  --  -- 
Incitec Pivot, Ltd. (Australia)  14,968  62,405  11,918  49,689  4,025  16,781 
Innophos Holdings, Inc.  10,035  489,708  6,493  316,858  1,642  80,130 
International Flavors &             
Fragrances, Inc.  33,300  2,139,192  25,000  1,606,000  7,300  468,952 
Intrepid Potash, Inc. (NON)  1,289  41,893  1,026  33,345  320  10,400 
JSR Corp. (Japan)  24,000  465,849  17,500  339,682  --  -- 
K&S AG (Germany)  4,558  350,765  2,306  177,461  1,130  86,960 
KapStone Paper and Packaging Corp.             
(NON)  28,582  473,604  18,945  313,919  4,665  77,299 
Koninklijke DSM NV (Netherlands)  19,373  1,258,940  9,892  642,824  4,410  286,581 
Koppers Holdings, Inc.  15,270  579,191  10,120  383,852  2,554  96,873 
Kronos Worldwide, Inc.  10,674  335,697  7,276  228,830  1,782  56,044 
KWS Saat AG (Germany)  96  21,815  76  17,270  26  5,908 
Layne Christensen Co. (NON)  12,882  390,840  8,685  263,503  2,134  64,746 
LyondellBasell Industries NV             
Class A (Netherlands)  4,011  154,504  4,011  154,504  1,558  60,014 
MeadWestvaco Corp.  69,665  2,320,541  52,377  1,744,678  15,111  503,347 
Mercator Minerals, Ltd. (Canada)             
(NON)  9,955  29,548  7,920  23,508  2,680  7,955 
Minerals Technologies, Inc.  9,748  646,195  6,473  429,095  1,607  106,528 
Monsanto Co.  38,529  2,794,894  29,456  2,136,738  8,821  639,875 
Mosaic Co. (The)  958  64,885  763  51,678  235  15,917 
Neenah Paper, Inc.  5,591  118,976  3,797  80,800  905  19,258 
NewMarket Corp.  1,699  290,036  1,149  196,146  276  47,116 
Nitto Denko Corp. (Japan)  69,500  3,531,844  36,000  1,829,445  16,900  858,823 
Noranda Aluminum Holding Corp.             
(NON)  8,876  134,383  6,071  91,915  1,452  21,983 
Nufarm, Ltd. (Australia) (NON)  7,463  36,101  5,942  28,744  2,007  9,709 
OM Group, Inc. (NON)  19,070  775,005  12,732  517,428  3,117  126,675 
Petronas Chemicals Group Bhd             
(Malaysia) (NON)  84,700  199,096  63,500  149,263  --  -- 
PolyOne Corp.  23,007  355,918  15,432  238,733  3,845  59,482 
Potash Corp. of Saskatchewan, Inc.             
(Canada)  2,663  151,764  2,120  120,819  687  39,152 
PPG Industries, Inc.  40,700  3,695,153  30,600  2,778,174  8,900  808,031 
Quaker Chemical Corp.  2,739  117,804  1,850  79,569  --  -- 
Rare Element Resources, Ltd.             
(Canada) (NON) (SG) (SB) (SC)  14,776  163,866  10,079  111,776  2,447  27,137 
Rayonier, Inc. (R)  58,700  3,836,045  44,100  2,881,935  12,700  829,945 
Rio Tinto PLC (United Kingdom)  48,458  3,496,407  25,797  1,861,340  11,413  823,486 
Rio Tinto, Ltd. (Australia)  52,917  4,733,319  30,581  2,735,409  9,377  838,754 
Rock-Tenn Co. Class A  3,436  227,944  2,265  150,260  571  37,880 
Sealed Air Corp.  41,800  994,422  31,700  754,143  10,600  252,174 
Siam Cement PCL NVDR (Thailand)  70,400  811,075  --  --  --  -- 
Silvinit OJSC (Russia) (F)(NON)  803  950,897  --  --  --  -- 
Sinofert Holdings, Ltd. (China)  64,000  28,288  52,000  22,984  18,000  7,956 
SLC Agricola SA (Brazil)  1,985  23,513  1,580  18,716  508  6,017 
Sociedad Quimica y Minera de Chile             
SA ADR (Chile)  1,545  99,992  1,230  79,606  463  29,965 
Sterlite Industries (India), Ltd.             
(India) (NON)  110,228  416,550  --  --  --  -- 
Sterlite Industries (India), Ltd.             
ADR (India) (NON)  33,060  497,553  --  --  --  -- 
Stillwater Mining Co. (NON)  23,028  506,846  15,387  338,668  3,806  83,770 
Syngenta AG (Switzerland) (NON)  11,564  3,905,818  6,550  2,212,306  2,256  761,979 
Taiwan Fertilizer Co., Ltd.             
(Taiwan)  14,000  43,197  11,000  33,940  4,000  12,342 
TPC Group, Inc. (NON)  5,258  206,219  3,581  140,447  856  33,572 
Uralkali (Russia) (NON)  32,715  294,762  24,277  218,736  --  -- 
Vale Fertilizantes SA (Preference)             
(Brazil)  4,617  69,834  3,676  55,601  1,278  19,330 
Vale SA ADR (Brazil)  52,236  1,668,940  --  --  --  -- 
Vale SA ADR (Preference) (Brazil)  42,285  1,224,574  --  --  --  -- 
Vallourec SA (France) (NON)  3,239  395,007  2,397  292,322  --  -- 
Vedanta Resources PLC (United             
Kingdom)  4,865  163,690  3,610  121,463  --  -- 
Vilmorin & Cie (France)  217  26,782  173  21,352  59  7,282 
Viterra, Inc. (Canada)  4,347  47,280  3,461  37,643  1,128  12,269 
voestalpine AG (Austria)  31,962  1,766,552  16,814  929,316  7,778  429,893 
W.R. Grace & Co. (NON)  23,554  1,074,769  15,770  719,585  3,899  177,911 
Weyerhaeuser Co. (R)  61,400  1,342,204  46,500  1,016,490  13,500  295,110 
Wilmar International, Ltd.             
(Singapore)  14,000  61,946  11,000  48,672  4,000  17,699 
Xstrata PLC (United Kingdom)  36,194  797,617  26,853  591,767  --  -- 
Yara International ASA (Norway)  1,446  81,604  1,151  64,956  389  21,953 
 
    78,919,531    45,993,719    13,189,823 
 
Capital goods    3.5%    2.8%    2.2% 
ABB, Ltd. (Switzerland) (NON)  139,966  3,631,370  70,812  1,837,193  34,724  900,902 
AeroVironment, Inc. (NON)  7,822  276,508  5,339  188,734  1,292  45,672 
AGCO Corp. (NON)  2,172  107,210  1,729  85,343  613  30,258 
Aisin Seiki Co., Ltd. (Japan)  31,900  1,235,777  16,100  623,699  7,900  306,039 
Altra Holdings, Inc. (NON)  20,857  500,359  13,906  333,605  3,332  79,935 
American Axle & Manufacturing             
Holdings, Inc. (NON)  12,805  145,721  8,398  95,569  2,140  24,353 
American Science & Engineering,             
Inc.  1,560  124,800  1,068  85,440  --  -- 
Applied Industrial Technologies,             
Inc.  17,158  610,996  11,373  404,993  2,826  100,634 
Autoliv, Inc. (Sweden) (SG) (SB)             
(SC)  19,500  1,529,775  14,800  1,161,060  4,300  337,335 
AZZ, Inc.  5,518  252,724  3,793  173,719  870  39,846 
BHI Co., Ltd. (South Korea)  36,550  628,481  --  --  --  -- 
Canon, Inc. (Japan)  39,150  1,867,751  21,600  1,030,484  8,200  391,202 
Chart Industries, Inc. (NON)  10,094  544,874  6,799  367,010  1,664  89,823 
CNH Global NV (Netherlands) (NON)  1,651  63,811  1,314  50,786  422  16,310 
Cobham PLC (United Kingdom)  52,538  178,629  40,140  136,476  --  -- 
Cookson Group PLC (United Kingdom)  20,830  225,083  15,565  168,191  --  -- 
Daelim Industrial Co., Ltd. (South             
Korea)  5,766  698,490  --  --  --  -- 
Deere & Co.  1,306  107,680  1,040  85,748  329  27,126 
Douglas Dynamics, Inc.  11,576  182,785  7,946  125,467  1,922  30,348 
Dover Corp.  68,637  4,653,589  51,558  3,495,632  14,876  1,008,593 

 


Duoyuan Global Water, Inc. ADR             
(China) (F)(NON) (SG) (SB) (SC)  13,215  51,274  10,424  40,445  7,129  27,661 
DXP Enterprises, Inc. (NON)  10,301  261,130  6,956  176,335  1,626  41,219 
Emerson Electric Co.  88,625  4,985,156  66,549  3,743,381  19,317  1,086,581 
EnPro Industries, Inc. (NON)  5,222  251,022  3,426  164,688  855  41,100 
European Aeronautic Defense and             
Space Co. (France)  35,823  1,200,506  18,123  607,341  8,887  297,823 
Exide Technologies (NON)  21,985  167,965  14,414  110,123  3,665  28,001 
Faurecia (France)  7,473  320,478  5,521  236,767  --  -- 
Franklin Electric Co., Inc.  6,920  324,894  4,682  219,820  1,155  54,227 
Generac Holdings, Inc. (NON)  7,924  153,726  5,417  105,090  1,297  25,162 
Harbin Power Equipment Co., Ltd.             
(China)  374,000  428,257  --  --  --  -- 
Hyundai Mobis (South Korea)  3,553  1,333,328  --  --  --  -- 
Invensys PLC (United Kingdom)  75,660  391,335  56,161  290,481  --  -- 
John Bean Technologies Corp.  14,028  271,021  9,493  183,405  2,347  45,344 
Kadant, Inc. (NON)  11,160  351,652  7,497  236,230  1,845  58,136 
KEPCO Engineering & Construction             
Co., Inc. (South Korea)  7,203  406,622  --  --  --  -- 
KEPCO Plant Service & Engineering             
Co., Ltd. (South Korea)  16,960  503,435  --  --  --  -- 
Lindsay Corp.  2,508  172,550  1,771  121,845  490  33,712 
LMI Aerospace, Inc. (NON)  7,783  190,139  5,311  129,748  1,280  31,270 
Lockheed Martin Corp.  50,153  4,060,888  37,674  3,050,464  10,903  882,816 
Lonking Holdings, Ltd. (China)  596,000  326,529  --  --  --  -- 
LS Corp. (South Korea)  1,840  190,512  1,376  142,470  --  -- 
LSB Industries, Inc. (NON)  9,558  410,229  6,473  277,821  1,530  65,668 
Meritor, Inc. (NON)  7,880  126,395  5,156  82,702  1,308  20,980 
Metso OYJ (Finland)  7,564  430,201  5,623  319,807  --  -- 
Mitsubishi Electric Corp. (Japan)  381,000  4,426,730  215,000  2,498,023  73,000  848,166 
MTU Aero Engines Holding AG             
(Germany)  3,099  247,846  2,322  185,705  --  -- 
NACCO Industries, Inc. Class A  1,255  121,509  848  82,103  202  19,558 
Nalco Holding Co.  59,400  1,651,914  44,600  1,240,326  12,900  358,749 
Parker Hannifin Corp.  52,300  4,693,402  39,400  3,535,756  11,400  1,023,036 
Polypore International, Inc. (NON)  8,819  598,281  6,040  409,754  1,453  98,572 
Powell Industries, Inc. (NON)  6,180  225,570  4,198  153,227  1,003  36,610 
Power-One, Inc. (NON) (SG) (SB)             
(SC)  32,634  264,335  21,939  177,706  5,412  43,837 
Raytheon Co.  78,163  3,896,426  58,700  2,926,195  17,031  848,995 
Regal-Beloit Corp.  33,300  2,223,441  25,000  1,669,250  7,300  487,421 
Rheinmetall AG (Germany)  3,275  290,311  2,429  215,318  --  -- 
Samsung Heavy Industries Co., Ltd.             
(South Korea)  13,470  604,817  --  --  --  -- 
Schneider Electric SA (France)  3,194  534,262  2,329  389,573  --  -- 
SembCorp Industries, Ltd.             
(Singapore)  275,000  1,122,217  140,000  571,311  69,000  281,575 
Singapore Technologies             
Engineering, Ltd. (Singapore)  108,000  265,807  56,000  137,826  28,000  68,913 
SKF AB Class B (Sweden)  90,510  2,623,042  45,781  1,326,765  23,194  672,178 
Societe BIC SA (France)  9,456  914,975  4,741  458,745  2,193  212,197 
Standex International Corp.  1,574  48,275  1,063  32,602  --  -- 
Thomas & Betts Corp. (NON)  10,618  571,779  7,957  428,484  2,202  118,578 
Timken Co.  5,919  298,318  3,824  192,730  971  48,938 
TriMas Corp. (NON)  24,527  607,043  16,260  402,435  4,041  100,015 
United Technologies Corp.  10,446  924,575  7,922  701,176  2,316  204,989 
Valmont Industries, Inc.  8,041  775,072  5,394  519,928  1,325  127,717 
Vinci SA (France)  6,398  410,335  4,670  299,510  --  -- 
 
    63,215,939    39,242,560    11,768,120 
 
Communication services    2.7%    2.2%    1.7% 
ADTRAN, Inc.  17,246  667,593  11,600  449,036  2,863  110,827 
Allot Communications, Ltd.             
(Israel) (NON)  6,587  120,476  4,514  82,561  1,089  19,918 
American Tower Corp. Class A (NON)  41,100  2,150,763  31,000  1,622,230  9,100  476,203 
Aruba Networks, Inc. (NON)  7,313  216,099  4,993  147,543  1,206  35,637 
AT&T, Inc.  131,206  4,121,180  99,440  3,123,410  28,991  910,607 
Atlantic Tele-Network, Inc.  3,984  152,826  2,608  100,043  657  25,203 
BCE, Inc. (Canada)  11,082  434,976  8,189  321,424  --  -- 
Bharti Airtel, Ltd. (India)  74,079  654,830  --  --  --  -- 
BroadSoft, Inc. (NON)  4,471  170,479  3,051  116,335  736  28,064 
BT Group PLC (United Kingdom)  917,301  2,969,947  463,981  1,502,232  250,429  810,814 
China Mobile, Ltd. (China)  20,500  190,745  15,000  139,570  --  -- 
Cincinnati Bell, Inc. (NON)  78,410  260,321  51,286  170,270  12,977  43,084 
Deutsche Telekom AG (Germany)  56,913  893,726  28,794  452,163  14,119  221,716 
DIRECTV Class A (NON)  97,763  4,968,316  73,307  3,725,462  21,303  1,082,618 
EchoStar Corp. Class A (NON)  46,817  1,705,543  31,507  1,147,800  7,739  281,932 
ENTEL Chile SA (Chile)  21,659  439,761  --  --  --  -- 
France Telecom SA (France)  71,006  1,511,972  37,070  789,353  17,109  364,312 
GeoEye, Inc. (NON)  1,350  50,490  920  34,408  1,024  38,298 
HSN, Inc. (NON)  5,317  175,036  3,650  120,158  883  29,068 
IAC/InterActiveCorp. (NON)  105,200  4,015,484  79,000  3,015,430  22,900  874,093 
Iridium Communications, Inc. (NON)             
(SG) (SB) (SC)  78,945  682,874  52,691  455,777  12,817  110,867 
Kabel Deutschland Holding AG             
(Germany) (NON)  8,466  521,208  6,290  387,243  --  -- 
Loral Space & Communications, Inc.             
(NON)  5,100  354,297  3,413  237,101  848  58,911 
MetroPCS Communications, Inc. (NON)  38,800  667,748  29,400  505,974  9,700  166,937 
Mobile Telesystems ADR (Russia)  31,982  608,298  --  --  --  -- 
NeuStar, Inc. Class A (NON)  13,330  349,246  8,869  232,368  2,153  56,409 
Newport Corp. (NON)  7,323  133,059  5,034  91,468  1,220  22,167 
NICE Systems, Ltd. ADR (Israel)             
(NON)  6,350  230,886  4,331  157,475  1,305  47,450 
NII Holdings, Inc. (NON)  92,064  3,901,672  69,099  2,928,416  20,080  850,990 
Nippon Telegraph & Telephone (NTT)             
Corp. (Japan)  70,600  3,434,450  37,900  1,843,706  15,700  763,752 
NTELOS Holdings Corp.  14,325  292,517  9,771  199,524  2,400  49,008 
NTT DoCoMo, Inc. (Japan)  314  560,402  232  414,055  --  -- 
Tele2 AB Class B (Sweden)  32,977  652,798  16,529  327,201  7,145  141,439 
Telecom Corp. of New Zealand, Ltd.             
(New Zealand)  779,082  1,578,762  398,981  808,510  184,553  373,985 
Telenet Group Holding NV (Belgium)             
(NON)  8,092  385,504  5,877  279,981  --  -- 
USA Mobility, Inc.  14,533  221,774  9,505  145,046  2,420  36,929 
Verizon Communications, Inc.  169,985  6,328,542  127,625  4,751,479  37,532  1,397,316 
Virgin Media, Inc. (United Kingdom)  7,800  233,454  5,900  176,587  --  -- 
Vodafone Group PLC (United Kingdom)  300,513  798,175  221,304  587,792  --  -- 
 
    47,806,229    31,589,131    9,428,554 
 
Conglomerates    1.2%    1.0%    0.8% 
3M Co.  6,846  649,343  5,196  492,841  1,551  147,112 
General Electric Co.  299,413  5,646,929  224,882  4,241,275  65,115  1,228,069 
Honeywell International, Inc.  100,200  5,970,918  75,300  4,487,127  21,800  1,299,062 
Israel Corp., Ltd. (The) (Israel)  1,851  2,012,548  936  1,017,690  459  499,060 
Marubeni Corp. (Japan)  45,000  299,208  22,000  146,280  11,000  73,140 
Mitsui & Co., Ltd. (Japan)  68,500  1,185,092  49,600  858,111  --  -- 
Siemens AG (Germany)  17,778  2,444,553  10,905  1,499,485  2,309  317,498 
SPX Corp.  36,931  3,052,716  27,839  2,301,172  8,046  665,082 
 
    21,261,307    15,043,981    4,229,023 
 
Consumer cyclicals    6.8%    5.5%    4.1% 
Advance Auto Parts, Inc.  33,500  1,959,415  25,100  1,468,099  7,300  426,977 
Aeropostale, Inc. (NON)  7,619  133,333  5,125  89,688  1,270  22,225 
Alliance Data Systems Corp. (NON)             
(SG) (SB)  3,755  353,233  2,404  226,144  621  58,417 
AMERCO (NON)  1,084  104,227  715  68,747  180  17,307 
ANN, Inc. (NON)  19,761  515,762  13,282  346,660  3,277  85,530 
Asahi Diamond Industrial Co., Ltd.             
(Japan)  22,000  481,654  17,000  372,187  --  -- 
Ascena Retail Group, Inc. (NON)  10,623  361,713  6,976  237,533  1,742  59,315 
Bayerische Motoren Werke (BMW) AG             
(Germany)  14,061  1,404,864  9,368  935,977  1,086  108,505 
BR Malls Participacoes SA (Brazil)  109,006  1,246,521  --  --  --  -- 
Bunzl PLC (United Kingdom)  46,930  588,176  23,892  299,439  9,895  124,014 
Burberry Group PLC (United Kingdom)  99,118  2,309,311  50,135  1,168,075  23,640  550,779 
Cash America International, Inc.  4,995  289,061  3,374  195,253  789  45,659 
Childrens Place Retail Stores,             
Inc. (The) (NON)  3,524  156,783  2,350  104,552  563  25,048 
Christian Dior SA (France)  7,248  1,141,864  4,694  739,502  677  106,656 
CJ O Shopping Co., Ltd. (South             
Korea)  2,162  467,308  --  --  --  -- 
Coach, Inc.  44,682  2,856,520  34,162  2,183,977  10,082  644,542 
Compass Group PLC (United Kingdom)  85,135  822,137  51,060  493,080  9,148  88,341 
Cooper Tire & Rubber  4,420  87,472  2,924  57,866  735  14,546 
Daimler AG (Registered Shares)             
(Germany)  17,589  1,325,486  8,899  670,618  4,363  328,790 
Deluxe Corp.  17,342  428,521  11,835  292,443  2,691  66,495 
DG FastChannel, Inc. (NON)  17,691  566,997  11,888  381,010  2,927  93,810 
Dongfeng Motor Group Co., Ltd.             
(China)  148,000  282,102  108,000  205,858  --  -- 
DSW, Inc. Class A (NON)  16,003  809,912  10,632  538,086  2,597  131,434 
Dun & Bradstreet Corp. (The)  33,600  2,538,144  25,200  1,903,608  7,300  551,442 
Edenred (France)  7,804  238,413  5,740  175,357  --  -- 
Elders, Ltd. (Australia) (NON)  44,692  17,839  35,584  14,204  12,016  4,796 
Expedia, Inc.  78,000  2,261,220  58,600  1,698,814  17,000  492,830 
Express, Inc.  8,373  182,531  5,717  124,631  1,378  30,040 
EZCORP, Inc. Class A (NON)  21,751  773,792  14,426  513,205  3,619  128,746 
Fiat Industrial SpA (Italy) (NON)  16,078  207,773  11,816  152,696  --  -- 
Fiat SpA (Italy)  67,033  736,803  49,245  541,283  --  -- 
Finish Line, Inc. (The) Class A  23,367  500,054  15,707  336,130  3,891  83,267 
Foot Locker, Inc.  99,600  2,366,496  74,800  1,777,248  21,700  515,592 
GameStop Corp. Class A (NON) (SG)             
(SB) (SC)  76,700  2,045,589  57,600  1,536,192  16,700  445,389 
Genesco, Inc. (NON)  9,238  481,300  6,141  319,946  1,547  80,599 

 


Genting Bhd (Malaysia)  234,800  874,678  --  --  --  -- 
GNC Holdings, Inc. Class A (NON)  26,244  572,382  17,705  386,146  4,337  94,590 
GOME Electrical Appliances             
Holdings, Ltd. (China)  610,000  244,413  453,000  181,507  --  -- 
Gordmans Stores, Inc. (NON)  7,544  131,190  5,142  89,419  1,257  21,859 
Great Lakes Dredge & Dock Corp.  35,920  200,434  24,466  136,520  5,839  32,582 
Helen of Troy, Ltd. (Bermuda) (NON)  3,532  121,960  2,337  80,697  588  20,304 
Home Inns & Hotels Management,             
Inc. ADR (China) (NON)  19,100  726,564  --  --  --  -- 
Hyundai Department Store Co., Ltd.             
(South Korea)  5,503  895,918  --  --  --  -- 
Iconix Brand Group, Inc. (NON)  10,936  264,651  7,417  179,491  1,768  42,786 
Imperial Holdings, Ltd. (South             
Africa)  33,566  601,942  --  --  --  -- 
Indofood Agri Resources, Ltd.             
(Singapore) (NON)  7,000  9,116  6,000  7,813  4,000  5,209 
Industria de Diseno Textil             
(Inditex) SA (Spain)  12,495  1,140,090  6,263  571,459  2,707  246,997 
Interpublic Group of Companies,             
Inc. (The)  200,100  2,501,250  150,300  1,878,750  43,500  543,750 
Intersections, Inc.  7,516  136,791  5,132  93,402  1,214  22,095 
JB Hi-Fi, Ltd. (Australia) (SG)             
(SB)  6,278  115,504  4,616  84,926  --  -- 
Jos. A. Bank Clothiers, Inc. (NON)  9,968  498,500  6,616  330,866  1,638  81,916 
JS Group Corp. (Japan)  4,000  103,120  3,000  77,340  --  -- 
Kia Motors Corp. (South Korea)  9,716  661,985  --  --  --  -- 
Kimberly-Clark Corp.  65,000  4,326,400  48,800  3,248,128  14,100  938,496 
Kingfisher PLC (United Kingdom)  240,392  1,032,092  135,450  581,537  41,255  177,123 
Knology, Inc. (NON)  39,417  585,342  26,515  393,748  6,576  97,654 
Kuoni Reisen Holding AG (Cat B)             
(Switzerland) (NON)  369  142,725  275  106,367  --  -- 
La-Z-Boy, Inc. (NON)  28,892  285,164  18,907  186,612  4,911  48,472 
LG Corp. (South Korea)  2,625  198,559  1,930  145,988  --  -- 
Limited Brands, Inc.  87,200  3,352,840  65,500  2,518,475  19,000  730,550 
Lojas Renner SA (Brazil)  16,369  623,950  --  --  --  -- 
M6-Metropole Television (France)  23,310  540,015  11,803  273,436  5,788  134,089 
Maidenform Brands, Inc. (NON)  12,693  351,088  8,252  228,250  2,071  57,284 
MasTec, Inc. (NON)  12,047  237,567  8,218  162,059  1,989  39,223 
Medifast, Inc. (NON) (SG) (SB)  8,966  212,763  6,116  145,133  1,516  35,975 
Men's Wearhouse, Inc. (The)  8,267  278,598  5,552  187,102  1,365  46,001 
Moody's Corp.  27,338  1,048,412  20,379  781,535  6,254  239,841 
Myer Holdings, Ltd. (Australia)  104,309  295,983  78,174  221,824  --  -- 
News Corp. Class A  286,100  5,063,970  214,900  3,803,730  62,200  1,100,940 
Next PLC (United Kingdom)  74,266  2,774,437  37,565  1,403,357  19,068  712,344 
Nintendo Co., Ltd. (Japan)  1,000  188,403  700  131,882  --  -- 
Nissan Motor Co., Ltd. (Japan)  134,700  1,414,597  99,300  1,042,832  --  -- 
Nu Skin Enterprises, Inc. Class A  9,480  355,974  6,461  242,611  1,580  59,329 
Omnicom Group, Inc.  78,400  3,775,744  58,900  2,836,624  17,100  823,536 
OPAP SA (Greece)  48,287  753,712  24,655  384,840  10,296  160,710 
Pandora A/S (Denmark) (SG) (SB)  14,083  443,028  10,406  327,356  --  -- 
PCD Stores Group, Ltd. (China)  1,968,000  459,485  --  --  --  -- 
Perry Ellis International, Inc.             
(NON)  15,096  381,174  10,088  254,722  2,481  62,645 
Persimmon PLC (United Kingdom)  59,448  460,698  44,251  342,927  --  -- 
Peugeot SA (France)  63,640  2,852,551  32,190  1,442,860  16,262  728,916 
Phillips-Van Heusen Corp.  3,021  197,785  1,984  129,892  504  32,997 
Porsche Automobil Holding SE             
(Preference) (Germany)  9,989  793,370  6,741  535,400  --  -- 
PPR SA (France)  3,348  596,967  2,502  446,121  --  -- 
R. R. Donnelley & Sons Co.  143,300  2,810,113  107,600  2,110,036  31,200  611,832 
Randstad Holding NV (Netherlands)  6,061  280,518  3,104  143,661  1,522  70,442 
Rent-A-Center, Inc.  12,612  385,423  8,470  258,843  2,096  64,054 
Select Comfort Corp. (NON)  9,812  176,420  6,700  120,466  1,619  29,110 
Signet Jewelers, Ltd. (Bermuda)             
(NON)  6,362  297,805  4,342  203,249  1,047  49,010 
Sinclair Broadcast Group, Inc.             
Class A  25,961  285,052  17,715  194,511  4,287  47,071 
Sonic Automotive, Inc. Class A  62,516  915,859  41,392  606,393  10,317  151,144 
Sony Corp. (Japan)  92,900  2,460,094  47,000  1,244,612  23,100  611,713 
Sotheby's Holdings, Inc. Class A  5,937  258,260  4,079  177,437  988  42,978 
Stage Stores, Inc.  15,557  261,358  10,170  170,856  2,584  43,411 
Steiner Leisure, Ltd. (Bahamas)             
(NON)  7,068  322,866  4,750  216,980  1,169  53,400 
Steven Madden, Ltd. (NON)  21,618  810,891  14,266  535,118  3,460  129,785 
Suzuki Motor Corp. (Japan)  61,800  1,393,290  32,300  728,208  15,000  338,177 
Swire Pacific, Ltd. (Hong Kong)  169,500  2,499,269  85,500  1,260,693  43,500  641,405 
Tata Motors, Ltd. (India)  36,380  814,809  5,149  115,323  --  -- 
Time Warner, Inc.  124,167  4,515,954  93,249  3,391,466  27,055  983,990 
TJX Cos., Inc. (The)  73,900  3,881,967  55,500  2,915,415  16,100  845,733 
TNS, Inc. (NON)  17,856  296,410  12,174  202,088  2,980  49,468 
Toro Co. (The)  3,311  200,316  2,162  130,801  541  32,731 
Town Sports International             
Holdings, Inc. (NON)  17,247  131,250  11,777  89,623  2,876  21,886 
Tractor Supply Co.  2,795  186,930  1,907  127,540  456  30,497 
Trump Entertainment Resorts, Inc.             
(F)  163  815  180  900  115  575 
TRW Automotive Holdings Corp. (NON)  25,300  1,493,459  19,200  1,133,376  5,700  336,471 
TUI Travel PLC (United Kingdom)  130,962  472,204  97,130  350,218  --  -- 
UniFirst Corp.  4,023  226,052  2,717  152,668  641  36,018 
Valeo SA (France) (NON)  21,125  1,444,108  10,787  737,401  4,474  305,843 
ValueClick, Inc. (NON)  5,986  99,368  4,092  67,927  980  16,268 
VF Corp.  23,760  2,579,386  17,946  1,948,218  5,278  572,980 
Volkswagen AG (Preference)             
(Germany)  7,358  1,520,841  3,708  766,415  1,818  375,766 
Volvo AB Class B (Sweden)  19,098  334,201  14,270  249,715  --  -- 
Wal-Mart Stores, Inc.  141,029  7,494,281  106,002  5,632,946  30,747  1,633,896 
Walt Disney Co. (The)  24,000  936,960  18,000  702,720  5,300  206,912 
Warnaco Group, Inc. (The) (NON)  9,331  487,545  6,171  322,435  1,512  79,002 
Wheelock and Co., Ltd. (Hong Kong)  122,000  493,589  62,000  250,840  29,000  117,328 
Whirlpool Corp. (SG) (SB) (SC)  26,400  2,146,848  19,800  1,610,136  5,700  463,524 
Williams-Sonoma, Inc.  52,900  1,930,321  39,700  1,448,653  11,500  419,635 
World Fuel Services Corp.  6,035  216,838  3,920  140,846  1,013  36,397 
WPP PLC (Ireland)  55,609  696,950  41,063  514,644  --  -- 
Zale Corp. (NON) (SG) (SB) (SC)  19,950  111,720  13,622  76,283  3,291  18,430 
 
    120,736,547    77,821,452    22,136,186 
 
Consumer staples    4.9%    4.2%    3.1% 
AFC Enterprises (NON)  54,962  904,125  36,527  600,869  9,156  150,616 
Ajinomoto Co., Inc. (Japan)  33,000  392,594  24,000  285,523  --  -- 
Anheuser-Busch InBev NV (Belgium)  24,205  1,405,826  17,819  1,034,928  --  -- 
Associated British Foods PLC             
(United Kingdom)  14,754  256,744  7,470  129,990  3,663  63,742 
Avis Budget Group, Inc. (NON)  23,087  394,557  15,400  263,186  3,845  65,711 
Biglari Holdings, Inc. (NON)  622  243,233  426  166,587  104  40,669 
BRF - Brasil Foods SA ADR (Brazil)  2,498  43,290  1,989  34,469  695  12,044 
British American Tobacco (BAT) PLC             
(United Kingdom)  14,521  637,206  10,783  473,176  --  -- 
Bunge, Ltd.  1,011  69,708  805  55,505  264  18,203 
Career Education Corp. (NON)  17,078  361,200  11,361  240,285  2,809  59,410 
CEC Entertainment, Inc.  12,023  482,243  8,048  322,805  1,996  80,060 
Chaoda Modern Agriculture             
Holdings, Ltd. (China)  72,000  31,354  58,000  25,257  22,000  9,580 
Chiquita Brands International,             
Inc. (NON)  879  11,445  700  9,114  191  2,487 
Coca-Cola Co. (The)  51,700  3,478,893  38,900  2,617,581  11,200  753,648 
Core-Mark Holding Co., Inc. (NON)  6,117  218,377  3,970  141,729  994  35,486 
Corn Products International, Inc.  1,042  57,602  830  45,882  282  15,589 
Costco Wholesale Corp.  13,700  1,112,988  10,200  828,648  3,000  243,720 
CVS Caremark Corp.  70,600  2,653,148  53,500  2,010,530  15,600  586,248 
Danone (France)  7,410  553,567  5,502  411,029  --  -- 
DeNA Co., Ltd. (Japan)  10,400  448,717  7,700  332,223  --  -- 
DineEquity, Inc. (NON) (SG)  10,626  555,421  7,162  374,358  1,757  91,838 
Domino's Pizza, Inc. (NON)  21,824  550,838  14,641  369,539  3,655  92,252 
Dr. Pepper Snapple Group, Inc.  94,200  3,949,806  70,800  2,968,644  20,500  859,565 
Elizabeth Arden, Inc. (NON)  18,618  540,481  12,489  362,556  3,109  90,254 
Energizer Holdings, Inc. (NON)  19,927  1,441,918  15,170  1,097,701  4,434  320,844 
Genuine Parts Co.  51,000  2,774,400  38,400  2,088,960  11,100  603,840 
Glanbia PLC (Ireland)  3,131  21,731  2,493  17,303  749  5,198 
Heineken Holding NV (Netherlands)  17,776  910,603  8,698  445,569  3,779  193,585 
Henkel AG & Co. KGaA (Germany)  10,742  746,647  7,937  551,679  --  -- 
Hershey Co. (The)  42,299  2,404,698  31,725  1,803,566  9,169  521,258 
Imperial Tobacco Group PLC (United             
Kingdom)  6,136  204,187  4,557  151,643  --  -- 
Indofood Sukses Makmur Tbk PT             
(Indonesia)  660,500  443,241  --  --  --  -- 
IOI Corp. Bhd (Malaysia)  27,000  47,408  21,500  37,751  7,000  12,291 
ITT Educational Services, Inc.             
(NON)  2,662  208,275  1,739  136,059  454  35,521 
Japan Tobacco, Inc. (Japan)  456  1,760,574  265  1,023,141  70  270,264 
Kao Corp. (Japan)  37,000  972,813  18,600  489,036  8,600  226,113 
Kerry Group PLC Class A (Ireland)  40,223  1,665,384  25,064  1,037,744  4,214  174,476 
Koninklijke Ahold NV (Netherlands)  179,551  2,415,721  90,819  1,221,900  46,911  631,151 
Kroger Co. (The)  84,700  2,099,162  64,200  1,591,101  18,700  463,451 
Kuala Lumpur Kepong Bhd (Malaysia)  6,400  46,972  5,100  37,431  1,700  12,477 
Lawson, Inc. (Japan)  4,500  236,443  3,300  173,392  --  -- 
Lincoln Educational Services Corp.  15,467  265,259  10,313  176,868  2,521  43,235 
Lorillard, Inc.  18,200  1,981,434  13,900  1,513,293  4,100  446,367 
Maple Leaf Foods, Inc. (Canada)  2,025  24,988  1,612  19,892  531  6,552 
McDonald's Corp.  18,662  1,573,580  14,000  1,180,480  4,089  344,784 
MEIJI Holdings Co., Ltd. (Japan)  14,400  607,094  7,200  303,547  3,300  139,126 
National Presto Industries, Inc.  1,676  170,097  1,076  109,203  277  28,113 
Nestle SA (Switzerland)  27,593  1,715,840  17,986  1,118,439  2,262  140,660 
Nippon Meat Packers, Inc. (Japan)  208,000  2,983,677  105,000  1,506,183  52,000  745,919 
Olam International, Ltd. (Rights)             
(Singapore) (F) (NON).  5,408  705  4,090  533  136  18 
Olam International, Ltd.             
(Singapore)  119,000  264,835  90,000  200,296  3,000  6,677 
Omega Protein Corp. (NON)  12,668  174,818  8,646  119,315  2,084  28,759 

 


On Assignment, Inc. (NON)  14,423  141,778  9,768  96,019  2,306  22,668 
Papa John's International, Inc.             
(NON)  5,036  167,497  3,283  109,193  845  28,105 
PepsiCo, Inc.  36,443  2,566,680  27,427  1,931,684  7,880  554,988 
Philip Morris International, Inc.  93,642  6,252,476  70,978  4,739,201  20,595  1,375,128 
Prestige Brands Holdings, Inc.             
(NON)  21,879  280,926  14,417  185,114  3,611  46,365 
Procter & Gamble Co. (The)  83,923  5,334,985  62,940  4,001,096  18,217  1,158,055 
PT Astra Agro Lestari Tbk             
(Indonesia)  12,500  34,318  10,000  27,454  3,000  8,236 
PT Perusahaan Perkebunan London             
Sumatra Indonesia Tbk (Indonesia)  97,000  26,336  77,000  20,906  24,500  6,652 
Rakuten, Inc. (Japan)  223  231,222  165  171,083  --  -- 
Reckitt Benckiser Group PLC             
(United Kingdom)  61,916  3,422,340  36,125  1,996,770  11,252  621,942 
Revlon, Inc. Class A (NON)  11,479  192,847  7,741  130,049  1,864  31,315 
Ruth's Hospitality Group, Inc.             
(NON)  10,958  61,474  7,442  41,750  1,773  9,947 
Safeway, Inc.  166,380  3,888,301  124,904  2,919,006  36,203  846,064 
Sally Beauty Holdings, Inc. (NON)  21,250  363,375  14,600  249,660  3,536  60,466 
Shutterfly, Inc. (NON)  1,872  107,490  1,278  73,383  309  17,743 
Smithfield Foods, Inc. (NON)  1,140  24,932  907  19,836  336  7,348 
Spartan Stores, Inc.  10,256  200,300  6,766  132,140  1,694  33,084 
Spectrum Brands Holdings, Inc.             
(NON)  4,235  135,520  4,543  145,376  2,366  75,712 
SRA International, Inc. Class A             
(NON)  7,375  228,035  5,807  179,552  1,987  61,438 
Suedzucker AG (Germany)  9,730  346,206  7,151  254,442  --  -- 
Synergy Co. (Russia) (NON)  31,343  1,068,658  5,263  179,445  --  -- 
Tate & Lyle PLC (United Kingdom)  3,554  35,177  2,830  28,011  956  9,462 
Tesco PLC (United Kingdom)  52,817  341,163  27,241  175,959  13,358  86,284 
Tyson Foods, Inc. Class A  1,994  38,723  1,587  30,820  513  9,962 
Unilever NV (Netherlands)  50,196  1,647,556  25,486  836,513  12,498  410,215 
Unilever PLC (United Kingdom)  9,077  292,574  4,469  144,047  2,191  70,621 
USANA Health Sciences, Inc. (NON)  2,452  76,699  1,658  51,862  402  12,575 
W.W. Grainger, Inc. (SG) (SB) (SC)  27,900  4,286,835  20,900  3,211,285  6,100  937,265 
Walgreen Co.  62,400  2,649,504  47,200  2,004,112  13,700  581,702 
WM Morrison Supermarkets PLC             
(United Kingdom)  82,708  395,629  61,194  292,718  --  -- 
Wolseley PLC (Switzerland)  91,977  3,003,065  47,908  1,564,205  22,990  750,628 
Yamazaki Baking Co., Inc. (Japan)  111,000  1,488,169  56,000  750,788  28,000  375,394 
Zhongpin, Inc. (China) (NON) (SG)             
(SB)  79,187  829,880  14,600  153,008  --  -- 
 
    87,676,537    59,102,925    16,881,165 
 
Energy    6.0%    4.7%    3.4% 
Atwood Oceanics, Inc. (NON)  10,287  453,965  6,880  303,614  1,696  74,844 
BG Group PLC (United Kingdom)  64,946  1,475,583  47,854  1,087,250  --  -- 
BP PLC (United Kingdom)  262,489  1,934,436  155,852  1,148,565  40,589  299,124 
Cairn Energy PLC (United Kingdom)             
(NON)  13,848  92,297  10,286  68,556  --  -- 
Caltex Australia, Ltd. (Australia)  79,851  1,010,844  40,038  506,846  18,520  234,447 
Cameron International Corp. (NON)  88,300  4,440,607  66,300  3,334,227  19,200  965,568 
Canadian Natural Resources, Ltd.             
(Canada)  8,400  352,459  6,200  260,148  --  -- 
Chevron Corp.  55,385  5,695,793  41,663  4,284,623  12,117  1,246,112 
Cimarex Energy Co.  47,800  4,298,176  35,900  3,228,128  10,400  935,168 
Cloud Peak Energy, Inc. (NON)  6,839  145,671  4,491  95,658  1,141  24,303 
CNOOC, Ltd. (China)  654,000  1,536,375  --  --  --  -- 
Compagnie Generale de             
Geophysique-Veritas (France) (NON)  58,541  2,159,039  29,611  1,092,077  13,521  498,665 
Complete Production Services, Inc.             
(NON)  15,728  524,686  10,760  358,954  2,489  83,033 
ConocoPhillips  26,379  1,983,437  19,903  1,496,507  5,769  433,771 
Contango Oil & Gas Co. (NON)  4,506  263,331  3,043  177,833  712  41,609 
CVR Energy, Inc. (NON)  4,797  118,102  3,275  80,631  791  19,474 
Deepocean Group (Shell) (Norway)  8,432  126,480  8,432  126,480  5,769  86,535 
Energy Partners, Ltd. (NON)  17,352  256,983  11,439  169,412  2,882  42,682 
ENI SpA (Italy)  81,002  1,918,299  41,105  973,454  20,157  477,360 
Exxon Mobil Corp.  194,296  15,811,808  146,805  11,946,991  42,778  3,481,274 
First Solar, Inc. (NON) (SG) (SB)  2,974  393,371  2,204  291,523  --  -- 
Gazprom OAO ADR (Russia)  185,076  2,698,408  --  --  --  -- 
Gazprom OAO ADR (Russia)  20,300  295,365  15,000  218,250  --  -- 
GT Solar International, Inc. (NON)  48,348  783,238  32,599  528,104  8,026  130,021 
Halliburton Co.  137,483  7,011,633  103,381  5,272,431  30,007  1,530,357 
Helix Energy Solutions Group, Inc.             
(NON)  33,208  549,924  22,071  365,496  5,554  91,974 
Hidili Industry International             
Development, Ltd. (China)  239,000  208,367  177,000  154,313  --  -- 
Inpex Corp. (Japan)  116  856,769  86  635,191  --  -- 
James River Coal Co. (NON) (SG)             
(SB) (SC)  6,311  131,395  4,143  86,257  1,053  21,923 
Lukoil OAO ADR (Russia)  30,555  1,943,298  --  --  --  -- 
Marathon Oil Corp.  72,600  3,824,568  54,900  2,892,132  16,100  848,148 
Murphy Oil Corp.  60,000  3,939,600  45,100  2,961,266  13,100  860,146 
New World Resources PLC (Czech             
Republic) (NON)  33,105  487,156  --  --  --  -- 
Nexen, Inc. (Canada)  11,682  263,574  8,636  194,849  --  -- 
Occidental Petroleum Corp.  8,266  859,995  6,108  635,476  1,845  191,954 
Oceaneering International, Inc.  98,000  3,969,000  73,600  2,980,800  21,200  858,600 
OGX Petroleo e Gas Participacoes             
SA (Brazil) (NON)  156,506  1,462,842  --  --  --  -- 
Oil States International, Inc.             
(NON)  4,402  351,764  2,973  237,572  694  55,458 
Pacific Rubiales Energy Corp.             
(Colombia)  26,200  702,890  --  --  --  -- 
Peabody Energy Corp.  78,000  4,594,980  58,500  3,446,235  17,000  1,001,470 
Petrofac, Ltd. (United Kingdom)  32,158  782,306  16,124  392,248  7,458  181,430 
Petroleo Brasileiro SA ADR             
(Preference) (Brazil)  54,207  1,663,071  6,500  199,420  --  -- 
Petroleo Brasileiro SA ADR (Brazil)  36,066  1,221,195  3,400  115,124  --  -- 
Petroleum Development Corp. (NON)  9,881  295,541  6,425  192,172  1,605  48,006 
Petroquest Energy, Inc. (NON) (SG)             
(SB) (SC)  10,885  76,413  7,360  51,667  1,737  12,194 
Rosetta Resources, Inc. (NON)  19,706  1,015,647  13,006  670,329  3,250  167,505 
Royal Dutch Shell PLC Class B             
(United Kingdom)  89,840  3,210,453  52,892  1,890,108  14,671  524,272 
Sasol, Ltd. (South Africa)  27,449  1,445,191  --  --  --  -- 
Schlumberger, Ltd.  15,700  1,356,480  11,800  1,019,520  3,400  293,760 
Stallion Oilfield Holdings, Ltd.  1,034  38,258  923  34,151  720  26,640 
Statoil ASA (Norway)  137,977  3,502,338  72,815  1,848,299  31,069  788,640 
Stone Energy Corp. (NON)  26,289  798,923  17,527  532,646  4,282  130,130 
Swift Energy Co. (NON)  9,265  345,307  6,204  231,223  1,563  58,253 
Technip SA (France)  6,827  732,854  5,044  541,455  --  -- 
TETRA Technologies, Inc. (NON)  16,177  205,933  10,915  138,948  2,571  32,729 
Total SA (France)  12,478  722,548  9,204  532,965  --  -- 
Tullow Oil PLC (United Kingdom)  46,995  936,343  22,150  441,324  --  -- 
Unit Corp. (NON)  5,598  341,086  3,769  229,645  936  57,030 
Vaalco Energy, Inc. (NON)  32,335  194,657  20,862  125,589  5,036  30,317 
Valero Energy Corp.  199,600  5,103,772  149,900  3,832,943  43,400  1,109,738 
W&T Offshore, Inc. (SG) (SB) (SC)  15,219  397,520  10,290  268,775  2,429  63,445 
Walter Energy, Inc.  14,114  1,634,401  10,697  1,238,713  3,003  347,747 
Western Refining, Inc. (NON)  13,360  241,415  8,976  162,196  2,209  39,917 
 
    106,188,160    66,329,309    18,445,773 
 
Financials    8.8%    6.2%    4.6% 
3i Group PLC (United Kingdom)  112,322  507,326  56,402  254,752  23,359  105,506 
ACE, Ltd.  7,296  480,223  5,339  351,413  --  -- 
Affiliated Managers Group (NON)  20,100  2,039,145  15,100  1,531,895  4,400  446,380 
Aflac, Inc.  39,700  1,853,196  30,300  1,414,404  9,000  420,120 
African Bank Investments, Ltd.             
(South Africa)  134,589  685,162  --  --  --  -- 
Agree Realty Corp. (R)  9,881  220,643  6,838  152,693  1,550  34,612 
Agricultural Bank of China, Ltd.             
(China) (NON)  2,625,000  1,387,464  --  --  --  -- 
AIA Group, Ltd. (Hong Kong) (NON)  278,800  970,293  150,400  523,429  59,200  206,031 
Allianz SE (Germany)  10,786  1,508,650  6,513  910,981  1,532  214,283 
Allied World Assurance Co.             
Holdings AG  39,303  2,263,067  29,432  1,694,695  8,204  472,386 
American Capital Agency Corp. (R)  7,621  221,847  4,907  142,843  1,247  36,300 
American Equity Investment Life             
Holding Co.  31,502  400,390  20,832  264,775  5,243  66,639 
American Express Co.  36,400  1,881,880  27,900  1,442,430  8,000  413,600 
American Financial Group, Inc.  6,532  233,127  4,960  177,022  1,423  50,787 
American Safety Insurance             
Holdings, Ltd. (NON)  15,980  305,857  10,467  200,338  2,666  51,027 
Annaly Capital Management, Inc. (R)  115,900  2,090,836  87,800  1,583,912  25,600  461,824 
Anworth Mortgage Asset Corp. (R)  26,312  197,603  16,999  127,662  4,328  32,503 
Arch Capital Group, Ltd. (NON)  19,950  636,804  15,096  481,864  4,368  139,427 
Ashford Hospitality Trust, Inc. (R)  25,055  311,935  16,521  205,686  4,136  51,493 
Aspen Insurance Holdings, Ltd.  10,147  261,082  6,657  171,285  1,604  41,271 
Assurant, Inc.  45,000  1,632,150  34,600  1,254,942  9,900  359,073 
Assured Guaranty, Ltd. (Bermuda)  53,330  869,812  38,667  630,659  10,731  175,023 
Australia & New Zealand Banking             
Group, Ltd. (Australia)  139,614  3,298,736  70,619  1,668,554  35,793  845,701 
AvalonBay Communities, Inc. (R)  6,100  783,240  4,600  590,640  1,300  166,920 
Aviva PLC (United Kingdom)  38,450  271,221  19,453  137,219  9,539  67,287 
AXA SA (France)  54,401  1,237,777  40,103  912,457  --  -- 
Banca Monte dei Paschi di Siena             
SpA (Rights) (Italy) (NON) (SG)             
(SB) (SC)  563,068  43,331  276,191  21,255  120,029  9,237 
Banca Monte dei Paschi di Siena             
SpA (Italy) (SG) (SB) (SC)  563,068  427,183  276,191  209,538  120,029  91,062 
Banco Bradesco SA ADR (Brazil)  164,670  3,374,088  29,415  602,713  --  -- 
Banco Latinoamericano de             
Exportaciones SA Class E (Panama)  22,205  384,591  15,134  262,121  3,787  65,591 

 


Banco Santander Central Hispano SA             
(Spain)  20,065  231,997  14,866  171,885  --  -- 
Bank of America Corp.  319,005  3,496,295  242,334  2,655,981  70,161  768,965 
Bank of Marin Bancorp.  4,135  146,255  2,705  95,676  685  24,228 
Bank of the Ozarks, Inc.  11,153  580,625  7,597  395,500  1,891  98,445 
Barclays PLC (United Kingdom)  773,919  3,189,040  443,589  1,827,870  146,204  602,454 
Barratt Developments PLC (United             
Kingdom) (NON)  119,189  218,708  88,531  162,451  --  -- 
Berkshire Hathaway, Inc. Class B             
(NON)  39,500  3,056,905  29,700  2,298,483  8,600  665,554 
BNP Paribas SA (France)  47,084  3,639,120  26,583  2,054,599  9,332  721,270 
Broadridge Financial Solutions,             
Inc.  116,300  2,799,341  87,400  2,103,718  25,300  608,971 
C C Land Holdings, Ltd. (China)  1,637,000  617,109  --  --  --  -- 
Calamos Asset Management, Inc.             
Class A  12,064  175,169  8,230  119,500  2,000  29,040 
Cardtronics, Inc. (NON)  15,027  352,383  10,288  241,254  2,465  57,804 
CBL & Associates Properties, Inc.             
(R)  25,417  460,810  16,368  296,752  4,205  76,237 
CFS Retail Property Trust             
(Australia) (R)  106,578  208,055  78,374  152,997  --  -- 
Cheung Kong Holdings, Ltd. (Hong             
Kong)  37,000  544,110  18,000  264,702  8,000  117,645 
China Construction Bank Corp.             
(China)  3,883,000  3,231,787  741,000  616,728  --  -- 
Chubb Corp. (The)  20,500  1,283,505  15,500  970,455  4,500  281,745 
Citigroup, Inc.  123,283  5,133,504  93,163  3,879,307  27,084  1,127,778 
CNO Financial Group, Inc. (NON)  43,096  340,889  28,186  222,951  7,135  56,438 
Commerzbank AG (Germany) (NON)  98,323  423,869  49,744  214,446  24,393  105,158 
CommonWealth REIT (R)  39,599  1,023,238  28,446  735,045  8,107  209,485 
Community Bank System, Inc.  9,231  228,836  6,048  149,930  1,538  38,127 
DBS Group Holdings, Ltd.             
(Singapore)  22,000  263,535  17,000  203,641  --  -- 
Deutsche Bank AG (Germany)  29,483  1,744,480  14,916  882,565  7,314  432,762 
Dexus Property Group (Australia)  164,331  155,570  122,929  116,375  --  -- 
DnB NOR ASA (Norway)  17,840  249,295  13,158  183,869  --  -- 
Dollar Financial Corp. (NON)  20,892  452,312  14,130  305,915  3,487  75,494 
E*Trade Financial Corp. (NON)  13,174  181,801  8,644  119,287  2,197  30,319 
Encore Capital Group, Inc. (NON)  7,004  215,163  4,808  147,702  1,163  35,727 
Endurance Specialty Holdings, Ltd.             
(Bermuda)  34,300  1,417,619  26,100  1,078,713  7,500  309,975 
Equity Residential Trust (R)  13,000  780,000  9,900  594,000  2,900  174,000 
Evercore Partners, Inc. Class A  5,193  173,031  3,337  111,189  866  28,855 
Extra Space Storage, Inc. (R)  8,107  172,922  5,532  117,998  1,338  28,540 
Fifth Third Bancorp  116,700  1,487,925  87,700  1,118,175  25,400  323,850 
Financial Institutions, Inc.  12,829  210,652  8,389  137,747  2,130  34,975 
First Financial Bancorp  14,364  239,735  9,386  156,652  2,403  40,106 
First Industrial Realty Trust             
(NON)(R)  17,428  199,551  11,401  130,541  2,872  32,884 
Flagstone Reinsurance Holdings SA             
(Luxembourg)  23,313  196,529  15,132  127,563  3,910  32,961 
Flushing Financial Corp.  22,526  292,838  14,652  190,476  3,677  47,801 
Glimcher Realty Trust (R)  36,646  348,137  23,998  227,981  6,107  58,017 
Goldman Sachs Group, Inc. (The)  15,204  2,023,500  11,349  1,510,438  3,300  439,197 
Guangzhou R&F Properties Co., Ltd.             
(China)  532,400  732,878  --  --  --  -- 
Hang Lung Group, Ltd. (Hong Kong)  236,000  1,507,154  119,000  759,963  58,000  370,402 
Hartford Financial Services Group,             
Inc. (The)  107,600  2,837,412  81,700  2,154,429  23,700  624,969 
Henderson Land Development Co.,             
Ltd. (Hong Kong)  28,000  181,156  20,000  129,397  --  -- 
Home Bancshares, Inc.  9,539  225,502  6,253  147,821  1,565  36,997 
HSBC Holdings PLC (London             
Exchange) (United Kingdom)  146,177  1,452,481  96,928  963,120  11,170  110,990 
Hudson City Bancorp, Inc.  200,800  1,644,552  150,500  1,232,595  44,200  361,998 
Huntington Bancshares, Inc.  189,100  1,240,496  142,100  932,176  41,200  270,272 
Industrial and Commercial Bank             
of China, Ltd. (China) (NON)  3,793,000  2,904,163  191,000  146,242  --  -- 
Industrial Bank of Korea (IBK)             
(South Korea)  67,360  1,177,296  --  --  --  -- 
ING Groep NV (Netherlands) (NON)             
GDR  48,640  599,538  35,740  440,532  --  -- 
International Bancshares Corp.  16,155  270,273  11,026  184,465  2,520  42,160 
Intesa Sanpaolo SpA (Italy)  908,253  2,421,286  459,404  1,224,712  232,751  620,484 
Invesco Mortgage Capital, Inc. (R)  9,603  202,911  6,288  132,865  1,661  35,097 
Itau Unibanco Holding SA ADR             
(Preference) (Brazil) (NON)  75,984  1,789,423  --  --  --  -- 
JPMorgan Chase & Co.  150,674  6,168,594  115,098  4,712,112  34,082  1,395,317 
Julius Baer Group, Ltd.             
(Switzerland) (NON)  5,527  228,447  4,116  170,126  --  -- 
Kasikornbank PCL NVDR (Thailand)  202,900  816,123  --  --  --  -- 
KB Financial Group, Inc. (South             
Korea)  24,283  1,154,991  --  --  --  -- 
Kinnevik Investment AB Class B             
(Sweden)  56,206  1,250,595  28,669  637,891  13,261  295,060 
Lexington Realty Trust (R)  37,193  339,572  25,196  230,039  5,848  53,392 
LIC Housing Finance, Ltd. (India)  147,190  803,159  --  --  --  -- 
Lloyds Banking Group PLC (United             
Kingdom) (NON)  3,393,971  2,672,182  1,718,698  1,353,186  842,793  663,558 
LSR Group OJSC GDR (Russia)  56,118  443,332  --  --  --  -- 
LTC Properties, Inc. (R)  13,980  388,924  9,057  251,966  2,290  63,708 
Macquarie Group, Ltd. (Australia)  13,210  445,019  9,780  329,469  --  -- 
Maiden Holdings, Ltd. (Bermuda)  21,265  193,512  13,933  126,790  3,555  32,351 
Merchants Bancshares, Inc.  5,841  142,929  3,818  93,426  977  23,907 
Mission West Properties (R)  18,293  160,613  11,987  105,246  3,005  26,384 
Mitsubishi Estate Co., Ltd. (Japan)  14,000  245,875  10,000  175,625  --  -- 
Mitsubishi UFJ Financial Group,             
Inc. (Japan)  143,600  699,388  106,500  518,697  --  -- 
Mizuho Securities Co., Ltd.             
(Japan) (NON)  1,139,000  2,745,890  576,000  1,388,615  283,000  682,254 
Morgan Stanley  113,300  2,607,033  85,900  1,976,559  24,900  572,949 
Nasdaq OMX Group, Inc. (The) (NON)  68,000  1,720,400  50,800  1,285,240  14,900  376,970 
National Australia Bank, Ltd.             
(Australia)  61,745  1,704,357  33,172  915,652  13,267  366,211 
National Bank of Canada (Canada)  4,529  367,660  3,356  272,437  --  -- 
National Health Investors, Inc. (R)  14,825  658,675  9,504  422,263  2,463  109,431 
Nelnet, Inc. Class A  11,539  254,550  7,631  168,340  1,921  42,377 
Newcastle Investment Corp. (NON)(R)  24,436  141,240  16,046  92,746  4,075  23,554 
Omega Healthcare Investors, Inc.             
(R)  10,509  220,794  6,840  143,708  1,715  36,032 
ORIX Corp. (Japan)  9,320  907,043  6,880  669,577  --  -- 
Orrstown Financial Services, Inc.  5,365  141,153  3,525  92,743  895  23,547 
Park National Corp.  1,873  123,356  1,224  80,613  313  20,614 
PDG Realty SA Empreendimentos e             
Participacoes (Brazil) (NON)  322,189  1,814,306  --  --  --  -- 
Ping An Insurance (Group) Co.             
of China, Ltd. (China)  84,500  881,172  26,500  276,344  --  -- 
PNC Financial Services Group, Inc.  70,200  4,184,622  52,800  3,147,408  15,300  912,033 
Popular, Inc. (Puerto Rico) (NON)  49,088  135,483  32,257  89,029  8,190  22,604 
Portfolio Recovery Associates,             
Inc. (NON)  2,533  214,773  1,660  140,751  422  35,781 
Protective Life Corp.  9,923  229,519  6,491  150,137  1,652  38,211 
Prudential PLC (United Kingdom)  85,209  985,780  62,538  723,500  --  -- 
PS Business Parks, Inc. (R)  6,743  371,539  4,339  239,079  1,119  61,657 
PT Bank Rakyat Indonesia (Persero)             
Tbk (Indonesia)  1,470,000  1,118,451  --  --  --  -- 
RenaissanceRe Holdings, Ltd.  14,395  1,006,930  10,825  757,209  3,106  217,265 
Republic Bancorp, Inc. Class A  4,637  92,276  3,021  60,118  781  15,542 
Rossi Residencial SA (Brazil)  181,102  1,480,420  31,100  254,227  --  -- 
Saul Centers, Inc. (R)  5,033  198,149  3,276  128,976  821  32,323 
Sberbank OJSC (Russia)  991,840  3,649,971  136,512  502,364  --  -- 
SCOR (France)  6,827  194,291  5,096  145,028  --  -- 
SeaCube Container Leasing, Ltd.  16,629  285,686  10,880  186,918  2,759  47,400 
Shinhan Financial Group Co., Ltd.             
(South Korea)  21,577  1,030,638  6,630  316,686  --  -- 
Simon Property Group, Inc. (R)  11,200  1,301,776  8,500  987,955  2,500  290,575 
Societe Generale SA (France)  3,579  212,649  2,660  158,046  --  -- 
Soho China, Ltd. (China)  262,000  234,987  196,000  175,792  --  -- 
Southside Bancshares, Inc.  11,590  230,062  7,618  151,217  1,941  38,529 
Standard Chartered PLC (United             
Kingdom)  48,079  1,265,410  30,251  796,188  5,643  148,520 
Starwood Property Trust, Inc. (R)  7,446  152,717  4,882  100,130  1,241  25,453 
State Street Corp.  23,300  1,050,597  17,700  798,093  5,100  229,959 
Swiss Life Holding AG             
(Switzerland) (NON)  11,350  1,862,737  5,741  942,200  2,805  460,350 
Symetra Financial Corp.  21,330  286,462  14,014  188,208  3,559  47,797 
Tokio Marine Holdings, Inc. (Japan)  77,500  2,178,247  39,200  1,101,771  20,000  562,128 
Travelers Cos., Inc. (The)  17,800  1,039,164  13,500  788,130  3,900  227,682 
U-Store-It Trust (R)  16,150  169,898  11,021  115,941  2,667  28,057 
U.S. Bancorp  96,500  2,461,715  73,600  1,877,536  21,800  556,118 
Universal Health Realty Income             
Trust (R)  3,273  130,855  2,116  84,598  539  21,549 
Universal Insurance Holdings, Inc.  29,270  136,691  18,843  87,997  4,861  22,701 
Urstadt Biddle Properties, Inc.             
Class A (R)  10,421  188,724  6,750  122,243  1,708  30,932 
Virginia Commerce Bancorp, Inc.             
(NON)  31,343  185,237  20,536  121,368  5,221  30,856 
Warsaw Stock Exchange (Poland)             
(NON)  8,054  152,822  5,949  112,880  --  -- 
Wells Fargo & Co.  103,385  2,900,983  77,579  2,176,867  22,483  630,873 
Westpac Banking Corp. (Australia)  70,197  1,684,681  35,507  852,144  17,509  420,204 
World Acceptance Corp. (NON)  3,875  254,084  2,555  167,531  640  41,965 
Yuanta Financial Holding Co., Ltd.             
(Taiwan)  595,000  413,548  --  --  --  -- 
 
    156,264,783    88,699,226    25,216,939 
 
Health care    6.0%    5.3%    4.0% 
Abbott Laboratories  25,700  1,352,334  19,400  1,020,828  5,600  294,672 

 


Acorda Therapeutics, Inc. (NON)  4,249  137,285  2,919  94,313  707  22,843 
Aetna, Inc.  85,327  3,762,067  64,173  2,829,388  18,579  819,148 
Air Methods Corp. (NON)  2,780  207,777  1,895  141,632  464  34,679 
Akorn, Inc. (NON)  12,824  89,768  8,815  61,705  2,135  14,945 
Alexza Pharmaceuticals, Inc. (NON)  65,741  119,649  44,847  81,622  10,855  19,756 
Allergan, Inc.  54,600  4,545,450  41,100  3,421,575  11,900  990,675 
Amedisys, Inc. (NON)  3,122  83,139  2,050  54,592  518  13,794 
AmerisourceBergen Corp.  67,400  2,790,360  50,700  2,098,980  14,700  608,580 
AMN Healthcare Services, Inc. (NON)  24,975  207,792  16,387  136,340  4,163  34,636 
AmSurg Corp. (NON)  4,731  123,621  3,240  84,661  778  20,329 
Amylin Pharmaceuticals, Inc. (NON)  6,975  93,186  4,710  62,926  1,103  14,736 
Astellas Pharma, Inc. (Japan)  24,600  951,627  18,400  711,786  --  -- 
AstraZeneca PLC (United Kingdom)  75,962  3,793,492  38,508  1,923,064  18,883  943,005 
Auxilium Pharmaceuticals, Inc.             
(NON)  7,697  150,861  5,223  102,371  1,245  24,402 
AVEO Pharmaceuticals, Inc. (NON)  8,487  174,917  5,791  119,353  1,401  28,875 
Bayer AG (Germany)  3,751  301,951  1,898  152,787  930  74,864 
BioMarin Pharmaceuticals, Inc.             
(NON)  6,516  177,300  4,345  118,227  1,041  28,326 
BioMerieux (France)  6,354  738,634  4,711  547,640  --  -- 
Biotest AG (Preference) (Germany)  3,583  259,501  2,652  192,073  --  -- 
Bruker Corp. (NON)  9,271  188,758  6,313  128,533  1,511  30,764 
Cardinal Health, Inc.  73,000  3,315,660  54,700  2,484,474  15,900  722,178 
Coloplast A/S Class B (Denmark)  4,126  627,299  2,061  313,346  954  145,042 
Complete Genomics, Inc. (NON)  9,672  147,788  6,600  100,848  1,592  24,326 
Computer Programs & Systems, Inc.  --  --  --  --  455  28,883 
Conmed Corp. (NON)  17,251  491,308  11,596  330,254  2,852  81,225 
Cooper Companies, Inc. (The)  5,105  404,520  3,483  275,993  855  67,750 
Covidien PLC (Ireland)  2,988  159,051  2,166  115,296  --  -- 
Cubist Pharmaceuticals, Inc. (NON)  10,085  362,959  6,876  247,467  1,682  60,535 
Dendreon Corp. (NON)  12,322  485,980  8,528  336,344  1,691  66,693 
Elan Corp. PLC ADR (Ireland) (NON)  78,725  895,103  52,836  600,745  13,065  148,549 
Eli Lilly & Co.  84,759  3,181,005  64,090  2,405,298  19,453  730,071 
Endo Pharmaceuticals Holdings,             
Inc. (NON)  25,832  1,037,671  17,287  694,419  4,279  171,887 
Forest Laboratories, Inc. (NON)  109,489  4,307,297  82,232  3,235,007  23,824  937,236 
Gentiva Health Services, Inc. (NON)  6,119  127,459  3,972  82,737  1,025  21,351 
Gilead Sciences, Inc. (NON)  117,300  4,857,393  88,100  3,648,221  25,500  1,055,955 
GlaxoSmithKline PLC (United             
Kingdom)  155,056  3,323,581  78,429  1,681,103  41,426  887,954 
Grifols SA (Spain)  13,328  267,835  9,871  198,364  --  -- 
Health Management Associates, Inc.             
Class A (NON)  43,306  466,839  29,082  313,504  7,197  77,584 
Health Net, Inc. (NON)  41,600  1,334,944  31,300  1,004,417  9,000  288,810 
HealthSpring, Inc. (NON)  19,902  917,681  13,186  608,006  3,296  151,979 
Healthways, Inc. (NON)  12,374  187,837  8,110  123,110  2,045  31,043 
Hi-Tech Pharmacal Co., Inc. (NON)  12,345  357,141  8,344  241,392  2,017  58,352 
Human Genome Sciences, Inc. (NON)  3,790  93,007  2,492  61,154  624  15,313 
Humana, Inc. (NON)  39,500  3,181,330  29,700  2,392,038  8,600  692,644 
Immucor, Inc. (NON)  20,938  427,554  14,069  287,289  3,456  70,572 
Impax Laboratories, Inc. (NON)  17,212  375,049  11,590  252,546  2,839  61,862 
Ironwood Pharmaceuticals, Inc.             
(NON)  5,883  92,481  4,038  63,477  977  15,358 
ISTA Pharmaceuticals, Inc. (NON)  41,793  319,507  28,236  215,864  6,916  52,873 
Jazz Pharmaceuticals, Inc. (NON)  23,715  790,895  16,980  566,283  4,177  139,303 
Johnson & Johnson  78,133  5,197,407  58,680  3,903,394  17,109  1,138,091 
Kensey Nash Corp. (NON)  8,799  221,999  5,902  148,907  1,390  35,070 
Kinetic Concepts, Inc. (NON)  9,113  525,182  6,099  351,485  1,511  87,079 
Laboratory Corp. of America             
Holdings (NON)  24,700  2,390,713  18,600  1,800,294  5,300  512,987 
Lincare Holdings, Inc.  15,476  452,983  10,302  301,540  2,496  73,058 
Magellan Health Services, Inc.             
(NON)  12,302  673,411  8,233  450,674  2,015  110,301 
Medco Health Solutions, Inc. (NON)  65,800  3,719,016  49,400  2,792,088  14,300  808,236 
Medicines Co. (The) (NON)  9,669  159,635  6,584  108,702  1,608  26,548 
Medicis Pharmaceutical Corp.             
Class A  17,723  676,487  11,739  448,078  2,903  110,808 
Merck & Co., Inc.  71,818  2,534,457  53,999  1,905,625  15,688  553,630 
Metropolitan Health Networks, Inc.             
(NON)  17,800  85,262  12,147  58,184  2,941  14,087 
Mitsubishi Tanabe Pharma (Japan)  39,200  657,993  29,100  488,459  --  -- 
Momenta Pharmaceuticals, Inc. (NON)  5,629  109,540  3,805  74,045  923  17,962 
Neurocrine Biosciences, Inc. (NON)  7,834  63,064  5,346  43,035  1,294  10,417 
Nippon Shinyaku Co., Ltd. (Japan)  19,000  242,963  14,000  179,025  --  -- 
Novartis AG (Switzerland)  52,215  3,200,324  30,214  1,851,855  8,846  542,183 
Obagi Medical Products, Inc. (NON)  1,363  12,853  571  5,385  --  -- 
OraSure Technologies, Inc. (NON)  68,102  580,910  45,678  389,633  11,343  96,756 
Orion Oyj Class B (Finland)  22,938  591,847  11,501  296,749  5,320  137,267 
Par Pharmaceutical Cos., Inc. (NON)  25,999  857,447  17,418  574,446  4,225  139,341 
Perrigo Co. (SG) (SB) (SC)  44,600  3,919,002  33,500  2,943,645  9,700  852,339 
Pfizer, Inc.  208,619  4,297,551  156,623  3,226,434  45,369  934,601 
Providence Service Corp. (The)             
(NON)  9,043  114,394  6,032  76,305  1,451  18,355 
Questcor Pharmaceuticals, Inc.             
(NON)  20,792  501,087  14,154  341,111  3,265  78,687 
Roche Holding AG (Switzerland)  4,700  787,016  2,392  400,541  991  165,943 
Salix Pharmaceuticals, Ltd. (NON)  5,063  201,659  3,457  137,692  792  31,545 
Sanofi (France)  59,439  4,784,773  32,474  2,614,121  12,810  1,031,191 
Sanofi CVR (France) (NON)  106,900  257,629  79,800  192,318  --  -- 
Sciclone Pharmaceuticals, Inc.             
(NON)  46,163  278,825  31,473  190,097  7,697  46,490 
Select Medical Holdings Corp. (NON)  30,895  274,039  20,964  185,951  4,997  44,323 
Sequenom, Inc. (NON)  27,149  204,975  18,521  139,834  4,324  32,646 
Sirona Dental Systems, Inc. (NON)  3,897  206,931  2,599  138,007  622  33,028 
Somaxon Pharmaceuticals, Inc.             
(NON) (SG) (SB) (SC)  48,069  102,387  32,807  69,879  7,911  16,850 
STAAR Surgical Co. (NON)  20,825  110,373  14,308  75,832  3,465  18,365 
Steris Corp.  3,189  111,551  2,178  76,186  526  18,399 
Suzuken Co., Ltd. (Japan)  19,300  446,210  9,900  228,885  4,200  97,103 
Synergetics USA, Inc. (NON)  30,000  165,300  20,500  112,955  4,900  26,999 
Synthes, Inc. (Switzerland)  5,514  970,569  2,789  490,917  1,368  240,794 
Teva Pharmaceutical Industries,             
Ltd. ADR (Israel)  14,064  678,166  10,444  503,610  --  -- 
Thoratec Corp. (NON)  5,193  170,434  3,541  116,216  867  28,455 
United Therapeutics Corp. (NON)  3,284  180,948  2,249  123,920  541  29,809 
UnitedHealth Group, Inc.  115,051  5,934,331  86,476  4,460,432  25,058  1,292,492 
Viropharma, Inc. (NON)  14,029  259,537  9,309  172,217  2,322  42,957 
Warner Chilcott PLC Class A             
(Ireland)  29,108  702,376  19,527  471,187  4,783  115,414 
Waters Corp. (NON)  45,700  4,375,318  34,300  3,283,882  10,000  957,400 
Watson Pharmaceuticals, Inc. (NON)  9,730  668,743  6,525  448,463  1,594  109,556 
WellCare Health Plans, Inc. (NON)  6,998  359,767  4,741  243,735  1,122  57,682 
West Pharmaceutical Services, Inc.  3,539  154,867  2,360  103,274  565  24,724 
WuXi PharmaTech (Cayman), Inc. ADR             
(China) (NON)  10,881  191,070  7,448  130,787  1,790  31,432 
YM Biosciences, Inc. (Canada) (NON)  16,364  45,983  11,163  31,368  2,702  7,593 
 
    107,194,947    74,864,796    21,623,350 
 
Technology    7.7%    6.4%    4.8% 
Accenture PLC Class A  107,800  6,513,276  81,000  4,894,020  23,400  1,413,828 
Actuate Corp. (NON)  19,042  111,396  13,020  76,167  3,114  18,217 
Altek Corp. (Taiwan)  104,979  153,033  78,474  114,395  --  -- 
Amdocs, Ltd. (United Kingdom) (NON)  49,588  1,506,979  37,236  1,131,602  10,813  328,607 
Amkor Technologies, Inc. (NON)             
(SG) (SB)  18,901  116,619  12,363  76,280  3,116  19,226 
Analog Devices, Inc.  48,100  1,882,634  36,000  1,409,040  10,700  418,798 
Anixter International, Inc.  10,097  659,738  6,652  434,642  1,653  108,007 
Apple, Inc. (NON)  40,353  13,545,292  30,683  10,299,363  9,017  3,026,736 
Applied Materials, Inc.  351,400  4,571,714  264,000  3,434,640  76,400  993,964 
AsiaInfo-Linkage, Inc. (China)             
(NON) (SG)  54,114  896,128  --  --  --  -- 
ASML Holding NV (Netherlands)  5,819  214,609  4,322  159,399  --  -- 
Asustek Computer, Inc. (Taiwan)             
(NON)  90,000  896,273  30,000  298,758  --  -- 
Baidu, Inc. ADR (China) (NON)  1,100  154,143  800  112,104  --  -- 
Blue Coat Systems, Inc. (NON)  15,604  341,103  12,386  270,758  4,204  91,899 
Brocade Communications Systems,             
Inc. (NON)  56,659  366,017  38,075  245,965  9,380  60,595 
CA, Inc.  73,900  1,687,876  56,400  1,288,176  16,500  376,860 
CACI International, Inc. Class A             
(NON)  7,703  485,905  5,723  361,007  1,740  109,759 
Cavium, Inc. (NON)  5,331  232,378  3,639  158,624  889  38,752 
Check Point Software Technologies,             
Ltd. (Israel) (NON)  11,061  628,818  8,740  496,869  3,001  170,607 
Cirrus Logic, Inc. (NON)  13,106  208,385  8,889  141,335  2,119  33,692 
Cisco Systems, Inc.  157,368  2,456,514  118,258  1,846,007  34,239  534,471 
Coherent, Inc. (NON)  3,493  193,058  2,372  131,100  567  31,338 
Computershare, Ltd. (Australia)  31,279  297,903  15,554  148,137  7,627  72,640 
CSG Systems International, Inc.             
(NON)  19,536  361,025  12,652  233,809  2,986  55,181 
DDi Corp.  11,530  109,996  7,779  74,212  1,848  17,630 
Dell, Inc. (NON)  204,893  3,415,566  154,224  2,570,914  44,602  743,515 
Elpida Memory, Inc. (Japan) (NON)  8,500  100,111  6,300  74,200  --  -- 
EnerSys (NON)  13,562  466,804  9,029  310,778  2,179  75,001 
Entegris, Inc. (NON)  42,099  426,042  28,400  287,408  6,656  67,359 
F-Secure OYJ (Finland)  27,097  96,788  21,826  77,961  7,286  26,025 
F5 Networks, Inc. (NON)  3,607  397,672  2,461  271,325  593  65,378 
Fair Isaac Corp.  8,700  262,740  5,691  171,868  1,457  44,001 
Fairchild Semiconductor Intl.,             
Inc. (NON)  44,454  742,826  29,573  494,165  7,164  119,710 
Fortinet, Inc. (NON)  38,588  1,053,067  29,426  803,036  9,324  254,452 
Fujitsu, Ltd. (Japan)  407,000  2,327,175  206,000  1,177,882  103,000  588,941 
Global Payments, Inc.  10,955  558,705  8,245  420,495  2,405  122,655 
Google, Inc. Class A (NON)  6,398  3,239,819  4,806  2,433,662  1,393  705,387 
Harris Corp.  82,993  3,739,665  62,461  2,814,493  18,158  818,199 
Hewlett-Packard Co.  177,744  6,469,882  133,628  4,864,059  39,731  1,446,208 
Hitachi, Ltd. (Japan)  580,000  3,430,031  308,000  1,821,465  134,000  792,455 
Hollysys Automation Technologies,             

 


Ltd. (China) (NON) (SG) (SB)  53,996  503,243  8,500  79,220  --  -- 
Hon Hai Precision Industry Co.,             
Ltd. (Taiwan)  570,200  1,966,853  91,000  313,896  --  -- 
IBM Corp.  40,220  6,899,741  30,215  5,183,383  8,795  1,508,782 
Infineon Technologies AG (Germany)  99,611  1,121,212  50,396  567,253  24,712  278,156 
Informatica Corp. (NON)  6,875  401,706  4,691  274,095  1,136  66,376 
Infospace, Inc. (NON)  11,906  108,583  7,863  71,711  1,970  17,966 
Integrated Silicon Solutions, Inc.             
(NON)  7,775  75,184  5,086  49,182  1,282  12,397 
Intel Corp.  138,853  3,076,982  104,241  2,309,981  30,139  667,880 
Ixia (NON)  18,114  231,859  12,237  156,634  2,961  37,901 
KEMET Corp. (NON)  14,309  204,476  9,428  134,726  2,376  33,953 
KEYW Holding Corp. (The) (NON)  6,927  85,826  5,485  67,959  1,866  23,120 
Kyocera Corp. (Japan)  5,700  580,104  4,200  427,445  --  -- 
L-3 Communications Holdings, Inc.  44,700  3,909,015  33,600  2,938,320  9,700  848,265 
Lexmark International, Inc.             
Class A (NON)  5,542  162,159  3,654  106,916  915  26,773 
LG Display Co., Ltd. (South Korea)  54,340  1,511,973  13,730  382,028  --  -- 
LG Electronics, Inc. (South Korea)  1,200  93,659  894  69,776  --  -- 
Longtop Financial Technologies             
Ltd. ADR (Hong Kong) (F)(NON) (SG)             
(SB) (SC)  16,007  48,021  11,900  35,700  10,497  31,491 
LTX-Credence Corp. (NON)  36,796  328,956  25,220  225,467  6,087  54,418 
Magma Design Automation, Inc. (NON)  45,596  364,312  31,223  249,472  7,490  59,845 
Mantech International Corp. Class A  3,663  162,710  2,936  130,417  1,016  45,131 
Microsoft Corp.  401,429  10,437,154  304,260  7,910,760  94,539  2,458,014 
MicroStrategy, Inc. (NON)  4,802  781,189  3,193  519,437  785  127,704 
Monotype Imaging Holdings, Inc.             
(NON)  18,495  261,334  12,593  177,939  3,076  43,464 
Murata Manufacturing Co., Ltd.             
(Japan)  5,200  347,517  3,800  253,955  --  -- 
NCI, Inc. (NON)  2,367  53,778  1,766  40,124  613  13,927 
Nova Measuring Instruments, Ltd.             
(Israel) (NON)  27,062  273,867  18,541  187,635  4,471  45,247 
Omnivision Technologies, Inc. (NON)  5,427  188,914  3,704  128,936  896  31,190 
ON Semiconductor Corp. (NON)  146,600  1,534,902  111,700  1,169,499  32,200  337,134 
Open Text Corp. (Canada) (NON)  2,300  147,246  1,700  108,834  --  -- 
Oracle Corp.  80,138  2,637,342  60,149  1,979,504  17,386  572,173 
Perfect World Co., Ltd. ADR             
(China) (NON)  39,582  742,558  --  --  --  -- 
Plantronics, Inc.  4,869  177,865  3,331  121,681  798  29,151 
Polycom, Inc. (NON)  14,729  947,075  9,855  633,677  2,448  157,406 
Progress Software Corp. (NON)  3,602  86,916  2,459  59,336  595  14,357 
QLogic Corp. (NON)  156,868  2,497,339  117,916  1,877,223  34,150  543,668 
Qualcomm, Inc.  22,194  1,260,397  16,722  949,642  4,905  278,555 
Rohm Co., Ltd. (Japan)  4,300  246,483  3,200  183,429  --  -- 
Rubicon Technology, Inc. (NON)             
(SG) (SB) (SC)  6,587  111,057  4,515  76,123  1,088  18,344 
SAIC, Inc. (NON)  11,373  191,294  9,069  152,541  3,027  50,914 
Samsung Electronics Co., Ltd.             
(South Korea)  4,224  3,283,058  291  226,177  --  -- 
SanDisk Corp. (NON)  75,100  3,116,650  56,200  2,332,300  15,500  643,250 
SAP AG (Germany)  10,598  642,461  6,628  401,796  1,304  79,050 
Seagate Technology  102,600  1,658,016  78,000  1,260,480  22,600  365,216 
SouFun Holdings, Ltd. ADR (China)             
(NON) (SG)  24,290  501,831  --  --  --  -- 
Sourcefire, Inc. (NON)  15,895  472,399  12,674  376,671  4,302  127,855 
STEC, Inc. (NON) (SG) (SB) (SC)  7,912  134,583  5,383  91,565  1,284  21,841 
Symantec Corp. (NON)  27,676  545,771  22,029  434,412  7,459  147,091 
Synchronoss Technologies, Inc.             
(NON)  14,531  461,069  9,914  314,571  2,369  75,168 
Taiwan Semiconductor Manufacturing             
Co., Ltd. (Taiwan)  226,350  572,909  --  --  --  -- 
Tech Data Corp. (NON)  18,646  911,603  12,556  613,863  3,111  152,097 
TeleCommunication Systems, Inc.             
Class A (NON)  44,685  215,829  29,253  141,292  7,731  37,341 
Telefonaktiebolaget LM Ericsson AB             
Class B (Sweden)  25,608  369,852  19,010  274,558  --  -- 
Tencent Holdings, Ltd. (China)  29,500  809,030  --  --  --  -- 
Teradata Corp. (NON)  55,200  3,323,040  41,700  2,510,340  11,400  686,280 
Teradyne, Inc. (NON) (SG) (SB)  190,049  2,812,725  143,225  2,119,730  42,700  631,960 
TIBCO Software, Inc. (NON)  17,276  501,350  11,530  334,601  2,880  83,578 
Trend Micro, Inc. (Japan)  12,100  375,828  9,500  295,071  3,300  102,498 
Tripod Technology Corp. (Taiwan)  14,000  58,228  --  --  --  -- 
TTM Technologies, Inc. (NON)  43,934  703,823  29,019  464,884  7,096  113,678 
Unimicron Technology Corp. (Taiwan)  447,000  799,516  90,000  160,976  --  -- 
Unisys Corp. (NON)  11,116  285,681  7,428  190,900  1,849  47,519 
Veeco Instruments, Inc. (NON) (SG)             
(SB) (SC)  4,064  196,738  2,785  134,822  671  32,483 
VeriFone Systems, Inc. (NON)  6,642  294,573  4,531  200,950  1,096  48,608 
VeriSign, Inc.  11,001  368,093  8,814  294,916  3,005  100,547 
Web.com Group, Inc. (NON)  9,870  121,598  6,738  83,012  1,629  20,069 
Websense, Inc. (NON)  18,889  490,547  13,914  361,347  4,095  106,347 
Western Digital Corp. (NON)  45,100  1,640,738  33,900  1,233,282  9,900  360,162 
Wistron Corp. (Taiwan)  489,101  871,919  --  --  --  -- 
Wistron NeWeb Corp. (Taiwan)  103,000  324,058  --  --  --  -- 
Zix Corp. (NON)  22,499  86,396  17,259  66,275  6,050  23,232 
 
    137,028,418    91,652,767    26,229,665 
 
Transportation    0.8%    0.6%    0.5% 
AirAsia BHD (Malaysia) (NON)  408,600  476,716  --  --  --  -- 
Alaska Air Group, Inc. (NON)  8,589  588,003  5,748  393,508  1,430  97,898 
Alexander & Baldwin, Inc.  10,926  526,196  7,330  353,013  1,803  86,832 
CAI International, Inc. (NON)  29,834  616,370  20,129  415,865  4,887  100,965 
Cebu Air, Inc. (Philippines)  246,650  519,095  --  --  --  -- 
Central Japan Railway Co. (Japan)  357  2,807,186  187  1,470,431  90  707,694 
ComfortDelgro Corp., Ltd.             
(Singapore)  354,000  421,123  178,000  211,751  82,000  97,548 
Deutsche Lufthansa AG (Germany)  12,736  277,852  9,449  206,142  --  -- 
Deutsche Post AG (Germany)  15,669  301,456  11,297  217,343  --  -- 
Genesee & Wyoming, Inc. Class A             
(NON)  6,029  353,541  4,133  242,359  998  58,523 
Hitachi Transport System, Ltd.             
(Japan)  11,600  198,445  8,600  147,123  --  -- 
HUB Group, Inc. Class A (NON)  4,834  182,048  3,314  124,805  800  30,128 
International Consolidated             
Airlines Group SA (United Kingdom)             
(NON)  147,664  600,128  74,707  303,620  36,633  148,882 
Quality Distribution, Inc. (NON)  10,229  133,182  7,011  91,283  1,688  21,978 
TAL International Group, Inc.  7,892  272,511  5,302  183,078  1,224  42,265 
Turk Hava Yollari (Turkey) (NON)  67,182  175,777  49,494  129,498  --  -- 
United Continental Holdings, Inc.             
(NON)  121,378  2,746,784  90,518  2,048,422  26,090  590,417 
US Airways Group, Inc. (NON)  86,647  772,025  57,815  515,132  14,401  128,313 
Wabtec Corp.  8,097  532,135  5,442  357,648  1,341  88,131 
Yangzijiang Shipbuilding Holdings,             
Ltd. (China)  1,961,000  2,343,459  992,000  1,185,472  486,000  580,786 
 
    14,844,032    8,596,493    2,780,360 
 
Utilities and power    1.8%    1.4%    1.1% 
AES Corp. (The) (NON)  172,124  2,192,860  130,279  1,659,754  37,829  481,941 
Alliant Energy Corp.  25,708  1,045,287  19,323  785,673  5,543  225,378 
Ameren Corp.  24,500  706,580  18,400  530,656  5,300  152,852 
American Electric Power Co., Inc.  28,488  1,073,428  21,563  812,494  7,164  269,940 
Atco, Ltd. Class I (Canada)  5,600  363,066  4,100  265,816  --  -- 
Centrica PLC (United Kingdom)  122,484  636,278  89,971  467,380  --  -- 
China Power New Energy Development             
Co., Ltd. (China) (NON)  9,522,000  639,936  --  --  --  -- 
China Resources Power Holdings             
Co., Ltd. (China)  424,000  828,634  90,000  175,889  --  -- 
China WindPower Group, Ltd.             
(China) (NON)  11,030,000  965,995  2,070,000  181,288  --  -- 
Chubu Electric Power, Inc. (Japan)  15,100  295,647  7,500  146,844  3,200  62,654 
CMS Energy Corp.  48,700  958,903  36,600  720,654  10,600  208,714 
Companhia Paranaense de                 
Energia-Copel zero % pfd.                 
(Preference) (Brazil)      33,344  886,496  --  --  --  -- 
DPL, Inc.  54,200  1,634,672  40,656  1,226,185  11,800  355,888 
EDF Energies Nouvelles SA (France)  1,094  63,055  --  --  295  17,003 
Electric Power Development Co.             
(Japan)  11,600  313,449  8,500  229,682  --  -- 
Enel SpA (Italy)  222,419  1,454,578  111,854  731,504  54,850  358,708 
Energias de Portugal (EDP) SA             
(Portugal)  567,083  2,016,518  285,850  1,016,468  140,172  498,444 
Entergy Corp.  22,000  1,502,160  16,600  1,133,448  4,800  327,744 
Exelon Corp.  94,000  4,026,960  70,600  3,024,504  20,500  878,220 
Fortum OYJ (Finland)  19,730  572,100  14,612  423,696  --  -- 
GDF Suez (France)  6,272  229,814  4,610  168,916  --  -- 
International Power PLC (United             
Kingdom)  22,083  114,149  16,555  85,574  --  -- 
NRG Energy, Inc. (NON)  52,500  1,290,450  39,500  970,910  11,400  280,212 
PGE SA (Poland)  57,111  499,734  --  --  --  -- 
Public Power Corp. SA (Greece)  19,553  280,503  9,765  140,086  4,788  68,687 
Red Electrica Corp. SA (Spain)  52,208  3,155,425  26,408  1,596,086  13,392  809,406 
RWE AG (Germany)  10,500  582,931  5,312  294,907  2,605  144,622 
TECO Energy, Inc.  154,000  2,909,060  115,700  2,185,573  33,500  632,815 
Toho Gas Co., Ltd. (Japan)  83,000  449,771  41,000  222,176  19,000  102,960 
Tokyo Gas Co., Ltd. (Japan)  59,000  267,012  43,000  194,602  --  -- 
Westar Energy, Inc.  35,514  955,682  26,657  717,340  7,631  205,350 
    32,911,133    20,108,105    6,081,538 
Total common stocks (cost             
$811,626,414, $504,905,375 and             
$136,070,752)    $974,047,563    $619,044,464    $178,010,496 
 
 
CORPORATE BONDS AND NOTES(a)  Growth 10.5%  Balanced 16.7%  Conservative 25.1% 
  Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 

 


Basic materials      0.8%    1.3%    1.8% 
Airgas, Inc. sr. unsec. unsub.               
notes 2.85s, 2013    $90,000  $92,075  $190,000  $194,382  $255,000  $260,880 
Allegheny Technologies, Inc. sr.               
unsec. unsub. notes 5.95s, 2021    180,000  191,595  375,000  399,156  270,000  287,392 
ArcelorMittal sr. unsec. unsub.               
9.85s, 2019 (France)    285,000  361,301  665,000  843,036  420,000  532,444 
Associated Materials, LLC 144A               
company guaranty sr. notes 9 1/8s,               
2017    295,000  294,263  295,000  294,263  105,000  104,738 
Atkore International, Inc. 144A               
sr. notes 9 7/8s, 2018    335,000  351,750  340,000  357,000  125,000  131,250 
BHP Billiton Finance USA, Ltd.               
company guaranty sr. unsec. unsub.               
notes 6 1/2s, 2019 (Canada)    210,000  251,290  460,000  550,445  370,000  442,749 
Catalyst Paper Corp. 144A company               
guaranty sr. notes 11s, 2016               
(Canada)    120,000  102,600  120,000  102,600  --  -- 
Celanese US Holdings, LLC company               
guaranty sr. unsec. notes 6 5/8s,               
2018 (Germany)    125,000  131,875  120,000  126,600  95,000  100,225 
Celanese US Holdings, LLC sr.               
notes 5 7/8s, 2021 (Germany)    230,000  235,175  235,000  240,288  120,000  122,700 
Chemtura Corp. company guaranty               
sr. unsec. unsub. notes 7 7/8s,               
2018    60,000  62,850  60,000  62,850  --  -- 
Clondalkin Acquisition BV 144A               
company guaranty sr. notes FRN               
2.247s, 2013 (Netherlands)    105,000  100,275  105,000  100,275  --  -- 
Compass Minerals International,               
Inc. company guaranty sr. unsec.               
notes 8s, 2019    360,000  393,300  375,000  409,688  255,000  278,588 
Dow Chemical Co. (The) sr. unsec.               
unsub. notes 8.55s, 2019    230,000  296,572  425,000  548,014  215,000  277,230 
Dow Chemical Co. (The) sr. unsec.               
unsub. notes 5.9s, 2015    67,000  75,262  205,000  230,280  297,000  333,625 
E.I. du Pont de Nemours & Co. sr.               
notes 3 5/8s, 2021    265,000  257,232  525,000  509,610  315,000  305,766 
E.I. du Pont de Nemours & Co. sr.               
unsec. notes FRN 0.667s, 2014    95,000  95,605  220,000  221,400  215,000  216,368 
Exopack Holding Corp. 144A sr.               
notes 10s, 2018    185,000  183,613  185,000  183,613  --  -- 
Ferro Corp. sr. unsec. notes               
7 7/8s, 2018    470,000  487,625  475,000  492,813  180,000  186,750 
FMG Resources August 2006 Pty,               
Ltd. 144A sr. notes 7s, 2015               
(Australia)    205,000  209,038  200,000  203,939  105,000  107,068 
FMG Resources August 2006 Pty,               
Ltd. 144A sr. notes 6 7/8s, 2018               
(Australia)    340,000  346,061  335,000  340,972  105,000  106,872 
Freeport-McMoRan Copper & Gold,               
Inc. sr. unsec. notes 8 3/8s, 2017    2,124,000  2,317,815  1,752,000  1,911,870  442,000  482,333 
Hexion U.S. Finance Corp./Hexion               
Nova Scotia Finance, ULC company               
guaranty notes 9s, 2020    125,000  128,125  125,000  128,125  50,000  51,250 
Hexion U.S. Finance Corp./Hexion               
Nova Scotia Finance, ULC (Escrow)               
company guaranty sr. notes 8 7/8s,               
2018    215,000  223,600  220,000  228,800  85,000  88,400 
Huntsman International, LLC               
company guaranty sr. unsec. sub.               
notes 8 5/8s, 2021    140,000  152,250  145,000  157,688  115,000  125,063 
Huntsman International, LLC               
company guaranty sr. unsec. sub.               
notes 8 5/8s, 2020    265,000  288,850  265,000  288,850  150,000  163,500 
Ineos Finance PLC 144A company               
guaranty sr. notes 9s, 2015               
(United Kingdom)    155,000  163,525  155,000  163,525  --  -- 
Ineos Group Holdings, Ltd. company               
guaranty sr. unsec. notes Ser.               
REGS, 7 7/8s, 2016 (United Kingdom)  EUR  135,000  189,093  135,000  189,093  --  -- 
International Paper Co. sr. unsec.               
notes 9 3/8s, 2019    $35,000  44,694  $--  --  $300,000  383,090 
International Paper Co. sr. unsec.               
notes 7.95s, 2018    200,000  238,139  505,000  601,300  30,000  35,721 
JMC Steel Group 144A sr. notes               
8 1/4s, 2018    100,000  101,500  105,000  106,575  85,000  86,275 
KRATON Polymers, LLC/KRATON               
Polymers Capital Corp. sr. notes               
6 3/4s, 2019    50,000  50,000  50,000  50,000  40,000  40,000 
Lubrizol Corp. (The) sr. unsec.               
notes 8 7/8s, 2019    135,000  175,576  310,000  403,174  245,000  318,638 
Lyondell Chemical Co. sr. notes               
11s, 2018    864,579  968,328  874,584  979,534  494,699  554,063 
Lyondell Chemical Co. 144A company               
guaranty sr. notes 8s, 2017    282,000  313,725  278,000  309,275  --  -- 
Momentive Performance Materials,               
Inc. notes 9s, 2021    430,000  438,600  430,000  438,600  185,000  188,700 
NewPage Corp. company guaranty sr.               
notes 11 3/8s, 2014    265,000  247,113  260,000  242,450  100,000  93,250 
Nexeo Solutions, LLC/Nexeo               
Solutions Finance Corp. 144A               
company guaranty sr. sub. notes               
8 3/8s, 2018    180,000  182,250  185,000  187,313  150,000  151,875 
Novelis, Inc. company guaranty sr.               
unsec. notes 8 3/4s, 2020    450,000  486,000  445,000  480,600  265,000  286,200 
Novelis, Inc. company guaranty sr.               
unsec. notes 7 1/4s, 2015    270,000  271,688  268,000  269,675  --  -- 
Old All, Inc. company guaranty sr.               
unsec. notes 9s, 2014 (In default)               
(F)(NON)    285,000  --  295,000  --  135,000  -- 
PE Paper Escrow GmbH sr. notes               
Ser. REGS, 11 3/4s, 2014 (Austria)  EUR  80,000  130,091  70,000  113,830  --  -- 
PE Paper Escrow GmbH 144A sr.               
notes 12s, 2014 (Austria)    $265,000  299,450  $275,000  310,750  $--  -- 
Rio Tinto Finance USA, Ltd.               
company guaranty sr. unsec. notes               
9s, 2019 (Australia)    133,000  176,230  395,000  523,391  277,000  367,036 
Rio Tinto Finance USA, Ltd.               
company guaranty sr. unsec. notes               
5.2s, 2040 (Australia)    85,000  82,274  180,000  174,228  200,000  193,587 
Rio Tinto Finance USA, Ltd.               
company guaranty sr. unsec. unsub.               
notes 3 1/2s, 2020 (Australia)    145,000  138,766  135,000  129,196  --  -- 
Smurfit Kappa Funding PLC sr. sub.               
notes 7 3/4s, 2015 (Ireland)  EUR  10,000  14,782  10,000  14,782  10,000  14,782 
Smurfit Kappa Funding PLC sr.               
unsec. sub. notes 7 3/4s, 2015               
(Ireland)    $195,000  196,950  $200,000  202,000  $160,000  161,600 
Smurfit Kappa Treasury company               
guaranty sr. unsec. unsub. debs.               
7 1/2s, 2025 (Ireland)    55,000  53,075  55,000  53,075  30,000  28,950 
Solutia, Inc. company guaranty sr.               
unsec. notes 8 3/4s, 2017    260,000  282,100  265,000  287,525  --  -- 
Solutia, Inc. company guaranty sr.               
unsec. notes 7 7/8s, 2020    275,000  297,000  270,000  291,600  225,000  243,000 
Steel Dynamics, Inc. company               
guaranty sr. unsec. unsub. notes               
7 3/8s, 2012    20,000  21,100  --  --  40,000  42,200 
Steel Dynamics, Inc. sr. unsec.               
unsub. notes 7 3/4s, 2016    271,000  284,550  286,000  300,300  110,000  115,500 
Styrolution Group GmbH 144A sr.               
notes 7 5/8s, 2016 (Germany)  EUR  115,000  161,435  115,000  161,435  100,000  140,378 
Teck Resources Limited company               
guaranty sr. unsec. unsub. notes               
4 3/4s, 2022 (Canada)    $230,000  230,601  $485,000  486,267  $345,000  345,901 
Teck Resources Limited sr. notes               
10 1/4s, 2016 (Canada)    215,000  256,925  260,000  310,700  --  -- 
Thompson Creek Metals Co., Inc.               
144A company guaranty sr. notes               
7 3/8s, 2018 (Canada)    130,000  127,400  130,000  127,400  105,000  102,900 
TPC Group, LLC 144A sr. notes               
8 1/4s, 2017    295,000  306,063  295,000  306,063  240,000  249,000 
Tube City IMS Corp. company               
guaranty sr. unsec. sub. notes               
9 3/4s, 2015    265,000  273,613  265,000  273,613  180,000  185,850 
USG Corp. 144A company guaranty               
sr. notes 8 3/8s, 2018    105,000  103,425  105,000  103,425  80,000  78,800 
Verso Paper Holdings, LLC/Verso               
Paper, Inc. company guaranty sr.               
notes FRN Ser. B, 4.023s, 2014    45,000  41,513  50,000  46,125  35,000  32,288 
Verso Paper Holdings, LLC/Verso               
Paper, Inc. 144A sr. notes 8 3/4s,               
2019    125,000  111,250  125,000  111,250  100,000  89,000 
Xstrata Finance Canada, Ltd. 144A               
company guaranty 5.8s, 2016               
(Canada)    --  --  180,000  201,580  195,000  218,379 
 
      15,088,821    18,076,206    9,452,154 
 
Capital goods      0.5%    0.8%    1.2% 
Allied Waste North America, Inc.               
company guaranty sr. unsec. notes               
6 7/8s, 2017    280,000  303,450  595,000  644,831  350,000  379,313 
Allison Transmission 144A company               
guaranty 11s, 2015    270,000  287,550  270,000  287,550  --  -- 
Allison Transmission, Inc. 144A               

 


company guaranty sr. unsec. notes               
7 1/8s, 2019    75,000  72,938  75,000  72,938  60,000  58,350 
Altra Holdings, Inc. company               
guaranty sr. notes 8 1/8s, 2016    430,000  464,400  425,000  459,000  175,000  189,000 
American Axle & Manufacturing,               
Inc. company guaranty sr. unsec.               
notes 5 1/4s, 2014    135,000  133,313  135,000  133,313  --  -- 
American Axle & Manufacturing,               
Inc. company guaranty sr. unsec.               
unsub. notes 7 7/8s, 2017    15,000  15,000  15,000  15,000  15,000  15,000 
American Axle & Manufacturing,               
Inc. 144A company guaranty sr.               
notes 9 1/4s, 2017    180,000  196,200  185,000  201,650  149,000  162,410 
Ardagh Packaging Finance PLC sr.               
notes Ser. REGS, 7 3/8s, 2017               
(Ireland)  EUR  205,000  299,336  200,000  292,035  --  -- 
BE Aerospace, Inc. sr. unsec.               
unsub. notes 6 7/8s, 2020    $75,000  78,375  $75,000  78,375  $--  -- 
Berry Plastics Corp. company               
guaranty notes FRN 4.122s, 2014    170,000  158,100  170,000  158,100  135,000  125,550 
Berry Plastics Corp. company               
guaranty sr. notes 9 1/2s, 2018    155,000  153,838  155,000  153,838  45,000  44,663 
Berry Plastics Corp. notes 9 3/4s,               
2021    35,000  33,863  35,000  33,863  30,000  29,025 
Boeing Capital Corp. sr. unsec.               
unsub. notes 4.7s, 2019    310,000  332,716  770,000  826,423  450,000  482,975 
Briggs & Stratton Corp. company               
guaranty sr. unsec. notes 6 7/8s,               
2020    235,000  249,100  235,000  249,100  190,000  201,400 
Crown Americas, LLC/Crown Americas               
Capital Corp. III 144A sr. notes               
6 1/4s, 2021    110,000  111,100  110,000  111,100  90,000  90,900 
Crown Euro Holdings SA 144A sr.               
notes 7 1/8s, 2018 (France)  EUR  65,000  96,538  60,000  89,112  50,000  74,260 
Delphi Corp. 144A sr. notes               
6 1/8s, 2021    $185,000  182,688  $185,000  182,688  $--  -- 
Exide Technologies 144A sr. notes               
8 5/8s, 2018    140,000  145,600  140,000  145,600  110,000  114,400 
Graham Packaging Co. LP/GPC               
Capital Corp. company guaranty sr.               
unsec. notes 8 1/4s, 2017    120,000  133,800  120,000  133,800  50,000  55,750 
Griffon Corp. 144A company               
guaranty sr. unsec. notes 7 1/8s,               
2018    100,000  100,375  100,000  100,375  85,000  85,319 
John Deere Capital Corp. notes               
Ser. MTN, 5 1/4s, 2012    115,000  121,512  390,000  412,084  445,000  470,199 
Kratos Defense & Security               
Solutions, Inc. company guaranty               
sr. notes 10s, 2017    205,000  216,275  200,000  211,000  165,000  174,075 
Kratos Defense & Security               
Solutions, Inc. 144A sr. notes               
10s, 2017    335,000  353,425  340,000  358,700  45,000  47,475 
Legrand SA unsec. unsub. debs.               
8 1/2s, 2025 (France)    805,000  1,009,462  906,000  1,136,115  516,000  647,059 
Pitney Bowes, Inc. sr. unsec.               
unsub. notes Ser. MTN, 5 1/4s, 2037    155,000  160,573  340,000  352,225  420,000  435,102 
Pittsburgh Glass Works, LLC 144A               
sr. notes 8 1/2s, 2016    165,000  169,538  165,000  169,538  135,000  138,713 
Polypore International, Inc.               
company guaranty sr. unsec. notes               
7 1/2s, 2017    170,000  179,775  165,000  174,488  130,000  137,475 
Pregis Corp. company guaranty               
notes FRN 6.327s, 2013  EUR  --  --  50,000  69,649  --  -- 
Pregis Corp. company guaranty sr.               
sub. notes 12 3/8s, 2013    $165,000  163,556  $165,000  163,556  $--  -- 
Raytheon Co. sr. unsec. notes               
4 7/8s, 2040    130,000  119,478  275,000  252,741  395,000  363,028 
Reynolds Group DL Escrow,               
Inc./Reynolds Group Escrow, LLC               
144A company guaranty sr. notes               
8 1/2s, 2016 (Luxembourg)    150,000  156,375  135,000  140,738  100,000  104,250 
Reynolds Group Issuer, Inc. 144A               
company guaranty sr. notes 7 1/8s,               
2019    195,000  193,538  190,000  188,575  50,000  49,625 
Reynolds Group Issuer, Inc. 144A               
company guaranty sr. unsec. notes               
9s, 2019    275,000  271,563  275,000  271,563  120,000  118,500 
Ryerson Holding Corp. sr. disc.               
notes zero %, 2015    105,000  56,175  105,000  56,175  --  -- 
Ryerson, Inc. company guaranty sr.               
notes 12s, 2015    516,000  548,250  520,000  552,500  215,000  228,438 
Teleflex, Inc. company guaranty               
sr. unsec. sub. notes 6 7/8s, 2019    200,000  202,500  200,000  202,500  80,000  81,000 
Tenneco, Inc. company guaranty sr.               
unsec. notes 8 1/8s, 2015    130,000  136,825  135,000  142,088  --  -- 
Tenneco, Inc. company guaranty sr.               
unsec. unsub. notes 7 3/4s, 2018    110,000  115,225  110,000  115,225  --  -- 
Tenneco, Inc. company guaranty sr.               
unsub. notes 6 7/8s, 2020    210,000  213,675  210,000  213,675  165,000  167,888 
Thermadyne Holdings Corp. 144A sr.               
notes 9s, 2017    395,000  412,775  400,000  418,000  210,000  219,450 
Thermon Industries, Inc. company               
guaranty sr. notes 9 1/2s, 2017    259,000  277,778  259,000  277,778  176,000  188,760 
TransDigm, Inc. 144A sr. sub.               
notes 7 3/4s, 2018    315,000  330,750  315,000  330,750  130,000  136,500 
United Technologies Corp. sr.               
unsec. notes 5 3/8s, 2017    --  --  736,000  844,806  437,000  501,604 
 
      8,957,303    11,423,160    6,317,456 
 
Communication services      1.4%    2.0%    2.7% 
Adelphia Communications Corp.               
escrow bonds zero %, 2011    200,000  124  270,000  167  125,000  78 
AMC Networks, Inc. 144A company               
guaranty sr. unsec notes 7 3/4s,               
2021    105,000  109,725  105,000  109,725  45,000  47,025 
American Tower Corp. sr. unsec.               
notes 7s, 2017    195,000  219,911  266,000  299,982  312,000  351,858 
AT&T, Inc. company guaranty sr.               
unsec. unsub. notes 5.35s, 2040    --  --  256,000  242,654  894,000  847,392 
AT&T, Inc. sr. unsec. bonds 6.55s,               
2039    115,000  126,135  --  --  --  -- 
AT&T, Inc. sr. unsec. unsub. bonds               
5 1/2s, 2018    340,000  379,211  470,000  524,204  195,000  217,489 
AT&T, Inc. sr. unsec. unsub. notes               
6.3s, 2038    --  --  183,000  193,013  143,000  150,824 
Bellsouth Capital Funding unsec.               
notes 7 7/8s, 2030    345,000  425,393  790,000  974,089  1,285,000  1,584,436 
Bresnan Broadband Holdings, LLC               
144A company guaranty sr. unsec.               
unsub. notes 8s, 2018    105,000  109,725  105,000  109,725  85,000  88,825 
Cablevision Systems Corp. sr.               
unsec. unsub. notes 8 5/8s, 2017    570,000  617,738  505,000  547,294  240,000  260,100 
Cablevision Systems Corp. sr.               
unsec. unsub. notes 8s, 2020    80,000  85,800  80,000  85,800  60,000  64,350 
Cablevision Systems Corp. sr.               
unsec. unsub. notes 7 3/4s, 2018    150,000  159,938  155,000  165,269  110,000  117,288 
CCH II, LLC/CCH II Capital company               
guaranty sr. unsec. notes 13 1/2s,               
2016    454,194  534,813  453,259  533,712  141,574  166,703 
CCO Holdings, LLC/CCO Holdings               
Capital Corp. company guaranty sr.               
unsec. notes 7 7/8s, 2018    70,000  73,763  75,000  79,031  10,000  10,538 
CCO Holdings, LLC/CCO Holdings               
Capital Corp. company guaranty sr.               
unsec. notes 6 1/2s, 2021    225,000  221,625  225,000  221,625  180,000  177,300 
CCO Holdings, LLC/CCO Holdings               
Capital Corp. company guaranty sr.               
unsub. notes 7s, 2019    135,000  139,050  135,000  139,050  10,000  10,300 
CenturyLink, Inc. sr. unsec.               
unsub. notes Ser. L, 7 7/8s, 2012    290,000  308,260  610,000  648,410  395,000  419,872 
Cequel Communications Holdings I               
LLC/Cequel Capital Corp. 144A sr.               
notes 8 5/8s, 2017    570,000  592,800  575,000  598,000  215,000  223,600 
Cincinnati Bell, Inc. company               
guaranty sr. unsec. notes 7s, 2015    130,000  131,625  125,000  126,563  --  -- 
Cincinnati Bell, Inc. company               
guaranty sr. unsec. sub. notes               
8 3/4s, 2018    295,000  279,513  295,000  279,513  120,000  113,700 
Clearwire Communications,               
LLC/Clearwire Finance, Inc. 144A               
company guaranty sr. notes 12s,               
2015    705,000  755,231  720,000  771,300  275,000  294,594 
Comcast Corp. company guaranty sr.               
unsec. unsub. notes 6.95s, 2037    588,000  663,778  920,000  1,038,564  216,000  243,837 
Comcast Corp. company guaranty sr.               
unsec. unsub. notes 6 1/2s, 2015    --  --  --  --  13,000  14,873 
Cox Communications, Inc. 144A               
notes 5 7/8s, 2016    --  --  206,000  233,500  64,000  72,544 
Cricket Communications, Inc.               
company guaranty sr. unsec. notes               
7 3/4s, 2020    420,000  411,600  420,000  411,600  285,000  279,300 
Cricket Communications, Inc.               
company guaranty sr. unsec. unsub.               
notes 10s, 2015    535,000  576,463  716,000  771,490  --  -- 
Crown Castle International Corp.               
sr. unsec. notes 7 1/8s, 2019    100,000  105,250  100,000  105,250  80,000  84,200 
Crown Castle Towers, LLC 144A               
company guaranty sr. notes 4.883s,               

 


2020  --  --  75,000  75,414  115,000  115,635 
CSC Holdings LLC sr. notes 6 3/4s,             
2012  17,000  17,489  6,000  6,173  4,000  4,115 
CSC Holdings LLC sr. unsec. unsub.             
notes 8 1/2s, 2014  --  --  45,000  49,838  --  -- 
Deutsche Telekom International             
Finance BV company guaranty             
8 3/4s, 2030 (Germany)  540,000  712,688  841,000  1,109,945  198,000  261,319 
Deutsche Telekom International             
Finance BV company guaranty sr.             
unsec. unsub. notes 6s, 2019             
(Germany)  --  --  --  --  210,000  239,796 
Digicel Group, Ltd. 144A sr. notes             
10 1/2s, 2018 (Jamaica)  170,000  190,400  165,000  184,800  --  -- 
Digicel Group, Ltd. 144A sr.             
unsec. notes 8 1/4s, 2017 (Jamaica)  225,000  233,438  230,000  238,625  90,000  93,375 
DIRECTV Holdings, LLC/DIRECTV             
Financing Co., Inc. company             
guaranty sr. unsec. notes 7 5/8s,             
2016  120,000  130,800  157,000  171,130  --  -- 
DIRECTV Holdings, LLC/DIRECTV             
Financing Co., Inc. company             
guaranty sr. unsec. notes 5s, 2021  360,000  372,866  480,000  497,154  210,000  217,505 
DIRECTV Holdings, LLC/DIRECTV             
Financing Co., Inc. company             
guaranty sr. unsec. unsub. notes             
5 7/8s, 2019  --  --  240,000  266,177  200,000  221,814 
EH Holding Corp. 144A sr. notes             
6 1/2s, 2019  180,000  183,150  185,000  188,238  40,000  40,700 
EH Holding Corp. 144A sr. unsec.             
notes 7 5/8s, 2021  330,000  336,600  335,000  341,700  75,000  76,500 
France Telecom notes 8 1/2s, 2031             
(France)  --  --  20,000  26,918  --  -- 
Frontier Communications Corp. sr.             
unsec. notes 8 1/2s, 2020  430,000  468,700  425,000  463,250  85,000  92,650 
Frontier Communications Corp. sr.             
unsec. notes 8 1/4s, 2017  190,000  206,625  185,000  201,188  125,000  135,938 
Inmarsat Finance PLC 144A company             
guaranty sr. notes 7 3/8s, 2017             
(United Kingdom)  130,000  137,800  --  --  --  -- 
Intelsat Jackson Holding Co.             
company guaranty sr. unsec. notes             
11 1/4s, 2016 (Bermuda)  260,000  275,600  275,000  291,500  --  -- 
Intelsat Jackson Holdings SA 144A             
company guaranty sr. notes 7 1/2s,             
2021 (Bermuda)  315,000  313,031  320,000  318,000  145,000  144,094 
Intelsat Luxembourg SA company             
guaranty sr. unsec. notes 11 1/2s,             
2017 (Luxembourg) (PIK)  524,843  564,206  529,843  569,581  237,812  255,648 
Intelsat Luxembourg SA company             
guaranty sr. unsec. notes 11 1/4s,             
2017 (Luxembourg)  1,280,000  1,374,400  1,280,000  1,374,400  255,000  273,806 
Intelsat Luxembourg SA 144A             
company guaranty sr. unsec. notes             
11 1/2s, 2017 (Luxembourg) (PIK)  200,000  215,000  200,000  215,000  95,000  102,125 
Kabel BW Erste Beteiligungs             
GmbH/Kabel Baden-Wurttemberg GmbH             
& Co. KG 144A company guaranty sr.             
notes 7 1/2s, 2019 (Germany)  150,000  151,625  150,000  151,625  --  -- 
Koninklijke (Royal) KPN NV sr.             
unsec. unsub. bonds 8 3/8s, 2030             
(Netherlands)  90,000  115,785  185,000  238,003  135,000  173,678 
Level 3 Financing, Inc. company             
guaranty sr. unsec. unsub. notes             
9 1/4s, 2014  526,000  541,123  536,000  551,410  139,000  142,996 
Level 3 Financing, Inc. 144A             
company guaranty sr. unsec. unsub.             
notes 9 3/8s, 2019  185,000  192,863  185,000  192,863  80,000  83,400 
Mediacom LLC/Mediacom Capital             
Corp. sr. unsec. notes 9 1/8s, 2019  145,000  152,975  155,000  163,525  --  -- 
MetroPCS Wireless, Inc. company             
guaranty sr. unsec. notes 7 7/8s,             
2018  540,000  571,050  535,000  565,763  125,000  132,188 
MetroPCS Wireless, Inc. company             
guaranty sr. unsec. notes 6 5/8s,             
2020  115,000  113,850  115,000  113,850  95,000  94,050 
Nextel Communications, Inc. sr.             
notes Ser. E, 6 7/8s, 2013  545,000  548,406  --  --  --  -- 
NII Capital Corp. company guaranty             
sr. unsec. unsub. notes 10s, 2016  440,000  510,400  440,000  510,400  80,000  92,800 
NII Capital Corp. company guaranty             
sr. unsec. unsub. notes 7 5/8s,             
2021  95,000  99,038  95,000  99,038  75,000  78,188 
PAETEC Holding Corp. company             
guaranty sr. notes 8 7/8s, 2017  260,000  273,000  260,000  273,000  205,000  215,250 
PAETEC Holding Corp. 144A sr.             
unsec. notes 9 7/8s, 2018  230,000  238,338  230,000  238,338  --  -- 
Qwest Communications             
International, Inc. company             
guaranty 7 1/2s, 2014  180,000  182,700  115,000  116,725  55,000  55,825 
Qwest Corp. sr. notes FRN 3.497s,             
2013  1,475,000  1,508,188  --  --  --  -- 
Qwest Corp. sr. unsec. unsub.             
notes 8 7/8s, 2012  646,000  679,915  694,000  730,435  251,000  264,178 
Qwest Corp. sr. unsec. unsub.             
notes 7 1/4s, 2025  85,000  87,975  115,000  119,025  55,000  56,925 
Rogers Communications, Inc.             
company guaranty sr. unsec. bonds             
8 3/4s, 2032 (Canada)  225,000  292,531  --  --  --  -- 
Rogers Communications, Inc. sec.             
notes 6 3/8s, 2014 (Canada)  --  --  631,000  707,708  330,000  370,116 
SBA Telecommunications, Inc.             
company guaranty sr. unsec. notes             
8 1/4s, 2019  20,000  21,400  20,000  21,400  15,000  16,050 
SBA Telecommunications, Inc.             
company guaranty sr. unsec. notes             
8s, 2016  435,000  462,731  470,000  499,963  135,000  143,606 
Sprint Capital Corp. company             
guaranty 6 7/8s, 2028  1,245,000  1,179,638  1,275,000  1,208,063  305,000  288,988 
Sprint Nextel Corp. sr. notes             
8 3/8s, 2017  565,000  620,794  550,000  604,313  300,000  329,625 
Sprint Nextel Corp. sr. unsec.             
notes 6s, 2016  145,000  144,819  145,000  144,819  120,000  119,850 
TCI Communications, Inc. company             
guaranty 7 7/8s, 2026  --  --  270,000  346,232  599,000  768,122 
Time Warner Cable, Inc. company             
guaranty sr. unsec. notes 7 1/2s,             
2014  50,000  57,512  50,000  57,512  90,000  103,521 
Time Warner Cable, Inc. company             
guaranty sr. unsec. unsub. notes             
8 1/4s, 2014  340,000  395,918  770,000  896,639  325,000  378,451 
Time Warner Cable, Inc. company             
guaranty sr. unsec. unsub. notes             
6 3/4s, 2039  105,000  114,861  200,000  218,783  230,000  251,600 
Verizon Communications, Inc. sr.             
unsec. notes 7.35s, 2039  --  --  18,000  21,627  492,000  591,132 
Verizon Communications, Inc. sr.             
unsec. unsub. notes 8 3/4s, 2018  614,000  799,783  961,000  1,251,778  69,000  89,878 
Verizon New Jersey, Inc. debs. 8s,             
2022  --  --  160,000  190,891  165,000  196,856 
Verizon Pennsylvania, Inc. debs.             
8.35s, 2030  --  --  240,000  292,571  505,000  615,617 
Virgin Media Finance PLC company             
guaranty sr. notes Ser. 1, 9 1/2s,             
2016 (United Kingdom)  295,000  333,350  180,000  203,400  180,000  203,400 
Wind Acquisition Finance SA 144A             
company guaranty sr. notes 7 1/4s,             
2018 (Netherlands)  360,000  374,400  355,000  369,200  --  -- 
Wind Acquisition Finance SA 144A             
sr. notes 11 3/4s, 2017             
(Netherlands)  500,000  566,250  470,000  532,275  320,000  362,400 
Windstream Corp. company guaranty             
sr. unsec. unsub. notes 8 1/8s,             
2018  85,000  90,100  85,000  90,100  70,000  74,200 
Windstream Corp. company guaranty             
sr. unsec. unsub. notes 7 7/8s,             
2017  385,000  408,581  385,000  408,581  280,000  297,150 
Windstream Corp. company guaranty             
sr. unsec. unsub. notes 7 3/4s,             
2021  200,000  209,000  205,000  214,225  --  -- 
 
    24,799,163    28,142,641    14,706,086 
 
Conglomerates    --%    --%    0.1% 
Honeywell International, Inc. sr.             
unsec. unsub. notes 5 3/8s, 2041  155,000  158,127  315,000  321,355  255,000  260,144 
Honeywell International, Inc. sr.             
unsec. unsub. notes 4 1/4s, 2021  120,000  123,754  255,000  262,977  150,000  154,692 
 
    281,881    584,332    414,836 
 
Consumer cyclicals    1.9%    2.5%    3.3% 
Affinion Group Holdings, Inc. 144A             
company guaranty sr. notes             
11 5/8s, 2015  245,000  245,000  240,000  240,000  --  -- 
Affinion Group, Inc. company             
guaranty sr. unsec. sub. notes             
11 1/2s, 2015  215,000  221,988  215,000  221,988  --  -- 

 


Affinion Group, Inc. 144A sr.               
notes 7 7/8s, 2018    315,000  294,525  315,000  294,525  250,000  233,750 
AMC Entertainment, Inc. sr. sub.               
notes 8s, 2014    115,000  115,288  115,000  115,288  --  -- 
AMC Entertainment, Inc. 144A sr.               
sub. notes 9 3/4s, 2020    420,000  429,450  420,000  429,450  155,000  158,488 
American Casino & Entertainment               
Properties LLC sr. notes 11s, 2014    296,000  309,320  301,000  314,545  100,000  104,500 
American Media, Inc. 144A notes               
13 1/2s, 2018    11,246  12,118  14,107  15,200  7,394  7,967 
Ameristar Casinos, Inc. 144A sr.               
notes 7 1/2s, 2021    250,000  257,813  250,000  257,813  205,000  211,406 
ARAMARK Holdings Corp. 144A sr.               
notes 8 5/8s, 2016 (PIK)    105,000  106,838  105,000  106,838  85,000  86,488 
Autonation, Inc. company guaranty               
sr. unsec. notes 6 3/4s, 2018    90,000  93,825  90,000  93,825  65,000  67,763 
Beazer Homes USA, Inc. company               
guaranty sr. unsec. notes 6 7/8s,               
2015    110,000  97,625  110,000  97,625  105,000  93,188 
Beazer Homes USA, Inc. company               
guaranty sr. unsec. unsub. notes               
9 1/8s, 2018    150,000  129,188  150,000  129,188  55,000  47,369 
Beazer Homes USA, Inc. 144A sr.               
notes 9 1/8s, 2019    170,000  146,200  170,000  146,200  60,000  51,600 
Bon-Ton Department Stores, Inc.               
(The) company guaranty 10 1/4s,               
2014    365,000  365,000  370,000  370,000  165,000  165,000 
Brickman Group Holdings, Inc. 144A               
sr. notes 9 1/8s, 2018    70,000  70,525  70,000  70,525  55,000  55,413 
Building Materials Corp. 144A               
company guaranty sr. notes 7 1/2s,               
2020    240,000  251,100  240,000  251,100  --  -- 
Building Materials Corp. 144A sr.               
notes 7s, 2020    95,000  99,513  95,000  99,513  45,000  47,138 
Building Materials Corp. 144A sr.               
notes 6 7/8s, 2018    110,000  112,200  110,000  112,200  85,000  86,700 
Building Materials Corp. 144A sr.               
notes 6 3/4s, 2021    95,000  95,475  95,000  95,475  75,000  75,375 
Burlington Coat Factory Warehouse               
Corp. 144A company guaranty sr.               
unsec. notes 10s, 2019    205,000  202,950  205,000  202,950  80,000  79,200 
Caesars Entertainment Operating               
Co., Inc. company guaranty sr.               
notes 10s, 2018    --  --  5,000  4,513  190,000  171,475 
Caesars Entertainment Operating               
Co., Inc. sr. notes 11 1/4s, 2017    1,265,000  1,396,244  1,270,000  1,401,763  395,000  435,981 
CBS Corp. company guaranty sr.               
unsec. notes 7 7/8s, 2030    200,000  238,687  415,000  495,275  320,000  381,899 
CBS Corp. sr. unsec. unsub. notes               
4 1/2s, 2021    210,000  212,480  430,000  435,079  --  -- 
Cedar Fair LP/Canada's Wonderland               
Co./Magnum Management Corp.               
company guaranty sr. unsec. notes               
9 1/8s, 2018    45,000  48,038  45,000  48,038  35,000  37,363 
Cengage Learning Acquisitions,               
Inc. 144A sr. notes 10 1/2s, 2015    400,000  362,000  400,000  362,000  85,000  76,925 
Cenveo Corp. company guaranty sr.               
notes 8 7/8s, 2018    225,000  218,250  230,000  223,100  85,000  82,450 
Cenveo Corp. 144A company guaranty               
sr. unsec. notes 10 1/2s, 2016    240,000  235,800  325,000  319,313  --  -- 
Choice Hotels International, Inc.               
company guaranty sr. unsec. unsub.               
notes 5.7s, 2020    185,000  188,232  385,000  391,726  550,000  559,609 
Chrysler Group, LLC/CG Co-Issuer,               
Inc. 144A company guaranty sr.               
notes 8 1/4s, 2021    375,000  368,438  375,000  368,438  110,000  108,075 
Cinemark USA, Inc. company               
guaranty sr. unsec. notes 8 5/8s,               
2019    150,000  164,250  155,000  169,725  50,000  54,750 
Cinemark USA, Inc. 144A company               
guaranty sr. sub. notes 7 3/8s,               
2021    55,000  54,725  55,000  54,725  50,000  49,750 
CityCenter Holdings LLC/CityCenter               
Finance Corp. 144A company               
guaranty sr. notes 10 3/4s, 2017               
(PIK)    350,000  379,750  355,000  385,175  225,000  244,125 
Clear Channel Communications, Inc.               
company guaranty unsec. unsub.               
notes 10 3/4s, 2016    90,000  81,225  90,000  81,225  60,000  54,150 
Clear Channel Communications, Inc.               
sr. unsec. notes 5 1/2s, 2014    225,000  196,875  230,000  201,250  185,000  161,875 
Clear Channel Communications, Inc.               
144A company guaranty sr. notes               
9s, 2021    275,000  265,719  280,000  270,550  60,000  57,975 
Clear Channel Worldwide Holdings,               
Inc. company guaranty sr. unsec.               
unsub. notes Ser. B, 9 1/4s, 2017    720,000  784,800  650,000  708,500  195,000  212,550 
Compucom Systems, Inc. 144A sr.               
sub. notes 12 1/2s, 2015    215,000  226,288  195,000  205,238  90,000  94,725 
Cumulus Media, Inc. 144A sr. notes               
7 3/4s, 2019    290,000  279,850  290,000  279,850  85,000  82,025 
DISH DBS Corp. company guaranty               
6 5/8s, 2014    55,000  57,888  10,000  10,525  --  -- 
DISH DBS Corp. company guaranty               
sr. unsec. notes 7 7/8s, 2019    445,000  480,044  505,000  544,769  95,000  102,481 
DISH DBS Corp. 144A company               
guaranty sr. unsec. notes 6 3/4s,               
2021    235,000  240,875  240,000  246,000  55,000  56,375 
DR Horton, Inc. sr. notes 7 7/8s,               
2011    --  --  --  --  15,000  15,038 
Echostar DBS Corp. sr. notes               
6 3/8s, 2011    225,000  226,969  240,000  242,100  175,000  176,531 
Expedia, Inc. company guaranty sr.               
unsec. notes 7.456s, 2018    1,320,000  1,468,500  455,000  506,188  305,000  339,313 
FelCor Lodging Escrow LP 144A sr.               
notes 6 3/4s, 2019 (R)    370,000  355,200  375,000  360,000  305,000  292,800 
FelCor Lodging LP company guaranty               
sr. notes 10s, 2014 (R)    352,000  395,120  356,000  399,610  --  -- 
Ford Motor Credit Co., LLC sr.               
unsec. notes 8 1/8s, 2020    355,000  411,800  355,000  411,800  285,000  330,600 
Ford Motor Credit Co., LLC sr.               
unsec. notes 7s, 2015    100,000  108,016  125,000  135,020  120,000  129,619 
Ford Motor Credit Co., LLC sr.               
unsec. notes 5s, 2018    475,000  473,376  485,000  483,342  395,000  393,649 
General Motors Financial Co., Inc.               
144A sr. notes 6 3/4s, 2018    130,000  130,325  130,000  130,325  --  -- 
Goodyear Tire & Rubber Co. (The)               
sr. unsec. notes 10 1/2s, 2016    41,000  46,125  40,000  45,000  32,000  36,000 
Gray Television, Inc. company               
guaranty sr. notes 10 1/2s, 2015    300,000  312,000  300,000  312,000  220,000  228,800 
Gymboree Corp. 144A sr. unsec.               
notes 9 1/8s, 2018    125,000  117,500  125,000  117,500  45,000  42,300 
Hanesbrands, Inc. company guaranty               
sr. unsec. notes 6 3/8s, 2020    190,000  184,300  190,000  184,300  150,000  145,500 
Home Depot, Inc. (The) sr. unsec.               
notes 5.95s, 2041    --  --  --  --  300,000  308,948 
Home Depot, Inc. (The) sr. unsec.               
unsub. notes 5.4s, 2016    416,000  464,844  652,000  728,554  154,000  172,082 
Host Hotels & Resorts LP company               
guaranty sr. unsec. unsub. notes               
Ser. Q, 6 3/4s, 2016 (R)    110,000  113,575  --  --  --  -- 
Interactive Data Corp. 144A               
company guaranty sr. notes               
10 1/4s, 2018    520,000  565,500  515,000  560,063  225,000  244,688 
Isle of Capri Casinos, Inc.               
company guaranty 7s, 2014    308,000  305,305  305,000  302,331  149,000  147,696 
Isle of Capri Casinos, Inc. 144A               
company guaranty sr. unsec. notes               
7 3/4s, 2019    205,000  207,050  205,000  207,050  105,000  106,050 
Jarden Corp. company guaranty sr.               
unsec. sub. notes 7 1/2s, 2017    690,000  716,738  720,000  747,900  200,000  207,750 
Jarden Corp. company guaranty sr.               
unsec. sub. notes Ser. 1, 7 1/2s,               
2020  EUR  50,000  73,309  50,000  73,309  50,000  73,309 
Johnson Controls, Inc. sr. unsec.               
notes 5.7s, 2041    $35,000  35,555  $75,000  76,190  $--  -- 
Lamar Media Corp. company guaranty               
sr. sub. notes 7 7/8s, 2018    90,000  94,275  90,000  94,275  70,000  73,325 
Lender Processing Services, Inc.               
company guaranty sr. unsec. unsub.               
notes 8 1/8s, 2016    787,000  767,325  1,053,000  1,026,675  60,000  58,500 
Levi Strauss & Co. sr. unsec.               
notes 8 7/8s, 2016    260,000  269,750  265,000  274,938  40,000  41,500 
Liberty Media, LLC. debs. 8 1/4s,               
2030    195,000  188,175  245,000  236,425  120,000  115,800 
Limited Brands, Inc. company               
guaranty sr. unsec. notes 6 5/8s,               
2021    230,000  234,600  235,000  239,700  90,000  91,800 
M/I Homes, Inc. company guaranty               
sr. unsec. notes 8 5/8s, 2018    420,000  413,175  415,000  408,256  165,000  162,319 
Macy's Retail Holdings, Inc.               
company guaranty sr. unsec. notes               
5.9s, 2016    245,000  275,013  255,000  286,238  110,000  123,475 
Mashantucket Western Pequot Tribe               
144A bonds Ser. A, 8 1/2s, 2015               
(In default) (NON)    285,000  22,800  255,000  20,400  175,000  14,000 
Masonite International Corp. 144A               
company guaranty sr. notes 8 1/4s,               
2021 (Canada)    80,000  79,500  80,000  79,500  65,000  64,594 

 


McClatchy Co. (The) company               
guaranty sr. notes 11 1/2s, 2017    195,000  207,188  195,000  207,188  65,000  69,063 
MGM Resorts International company               
guaranty sr. notes 9s, 2020    60,000  65,700  60,000  65,700  45,000  49,275 
MGM Resorts International company               
guaranty sr. unsec. notes 6 7/8s,               
2016    95,000  89,063  95,000  89,063  75,000  70,313 
MGM Resorts International company               
guaranty sr. unsec. notes 6 5/8s,               
2015    125,000  117,188  130,000  121,875  90,000  84,375 
MGM Resorts International sr.               
notes 10 3/8s, 2014    30,000  34,050  30,000  34,050  20,000  22,700 
MGM Resorts International sr.               
notes 6 3/4s, 2012    315,000  316,575  436,000  438,180  --  -- 
Michaels Stores, Inc. company               
guaranty 11 3/8s, 2016    180,000  191,700  180,000  191,700  80,000  85,200 
MTR Gaming Group, Inc. company               
guaranty sr. notes 12 5/8s, 2014    360,000  372,150  360,000  372,150  170,000  175,738 
Navistar International Corp. sr.               
notes 8 1/4s, 2021    380,000  412,300  375,000  406,875  155,000  168,175 
Needle Merger Sub Corp. 144A sr.               
unsec. notes 8 1/8s, 2019    205,000  206,538  205,000  206,538  80,000  80,600 
News America Holdings, Inc.               
company guaranty 7 3/4s, 2024    --  --  350,000  428,202  300,000  367,030 
News America Holdings, Inc. debs.               
7 3/4s, 2045    210,000  250,923  690,000  824,462  819,000  978,601 
Nielsen Finance, LLC/Nielsen               
Finance Co. 144A company guaranty               
sr. unsec. notes 7 3/4s, 2018    215,000  225,750  210,000  220,500  165,000  173,250 
Nortek, Inc. 144A company guaranty               
sr. notes 8 1/2s, 2021    100,000  92,500  100,000  92,500  80,000  74,000 
Nortek, Inc. 144A company guaranty               
sr. unsec. notes 10s, 2018    165,000  165,000  165,000  165,000  60,000  60,000 
Owens Corning company guaranty sr.               
unsec. notes 9s, 2019    670,000  797,300  670,000  797,300  235,000  279,650 
Penn National Gaming, Inc. sr.               
unsec. sub. notes 8 3/4s, 2019    140,000  152,250  145,000  157,688  25,000  27,188 
Penske Automotive Group, Inc.               
company guaranty sr. unsec. sub.               
notes 7 3/4s, 2016    400,000  408,000  405,000  413,100  170,000  173,400 
PETCO Animal Supplies, Inc. 144A               
company guaranty sr. notes 9 1/4s,               
2018    145,000  153,700  145,000  153,700  55,000  58,300 
PHH Corp. sr. unsec. unsub. notes               
9 1/4s, 2016    140,000  153,125  140,000  153,125  105,000  114,844 
Pinnacle Entertainment, Inc.               
company guaranty sr. unsec. notes               
8 5/8s, 2017    45,000  48,319  40,000  42,950  30,000  32,213 
Pinnacle Entertainment, Inc.               
company guaranty sr. unsec. sub.               
notes 7 1/2s, 2015    380,000  386,650  400,000  407,000  160,000  162,800 
Ply Gem Industries, Inc. 144A sr.               
notes 8 1/4s, 2018    100,000  94,750  100,000  94,750  --  -- 
Pulte Group, Inc. company guaranty               
sr. unsec. notes 7 5/8s, 2017    235,000  243,225  240,000  248,400  95,000  98,325 
Pulte Group, Inc. company guaranty               
sr. unsec. unsub. notes 7 7/8s,               
2032    195,000  178,425  200,000  183,000  160,000  146,400 
QVC Inc. 144A sr. notes 7 3/8s,               
2020    160,000  168,400  155,000  163,138  115,000  121,038 
Realogy Corp. company guaranty sr.               
unsec. notes 10 1/2s, 2014    --  --  --  --  10,000  9,900 
Realogy Corp. company guaranty sr.               
unsec. unsub. notes 11 1/2s, 2017    380,000  385,700  380,000  385,700  140,000  142,100 
Realogy Corp. 144A company               
guaranty sr. notes 7 7/8s, 2019    80,000  79,200  80,000  79,200  --  -- 
Regal Entertainment Group company               
guaranty sr. unsec. notes 9 1/8s,               
2018    115,000  119,025  115,000  119,025  90,000  93,150 
Roofing Supply Group, LLC/Roofing               
Supply Finance, Inc. 144A sr.               
notes 8 5/8s, 2017    335,000  334,581  340,000  339,575  135,000  134,831 
Sabre Holdings Corp. sr. unsec.               
unsub. notes 8.35s, 2016    330,000  290,400  335,000  294,800  235,000  206,800 
Scotts Miracle-Gro Co. (The) 144A               
sr. notes 6 5/8s, 2020    210,000  214,725  210,000  214,725  85,000  86,913 
Sealy Mattress Co. sr. sub. notes               
8 1/4s, 2014    50,000  50,125  70,000  70,175  30,000  30,075 
Sealy Mattress Co. 144A company               
guaranty sr. sec. notes 10 7/8s,               
2016    326,000  361,860  331,000  367,410  124,000  137,640 
Sears Holdings Corp. 144A sr.               
notes 6 5/8s, 2018    200,000  185,500  200,000  185,500  70,000  64,925 
Standard Pacific Corp. company               
guaranty sr. notes 10 3/4s, 2016    350,000  396,375  360,000  407,700  --  -- 
Standard Pacific Corp. company               
guaranty sr. unsec. notes 8 3/8s,               
2021    80,000  78,400  80,000  78,400  60,000  58,800 
Standard Pacific Corp. company               
guaranty sr. unsec. unsub. notes               
7s, 2015    30,000  30,075  30,000  30,075  20,000  20,050 
Staples, Inc. sr. unsec. notes               
9 3/4s, 2014    195,000  232,146  405,000  482,149  245,000  291,670 
SugarHouse HSP Gaming Prop. Mezz               
LP/Sugarhouse HSP Gaming Finance               
Corp. 144A notes 8 5/8s, 2016    105,000  107,100  105,000  107,100  90,000  91,800 
Time Warner Entertainment Co., LP               
debs. 8 3/8s, 2023    --  --  --  --  115,000  145,998 
Time Warner, Inc. company guaranty               
sr. unsec. notes 4.7s, 2021    180,000  182,928  390,000  396,343  565,000  574,190 
Time Warner, Inc. company guaranty               
sr. unsec. notes 3.15s, 2015    230,000  237,860  485,000  501,574  105,000  108,588 
Time Warner, Inc. debs. 9.15s, 2023    --  --  25,000  33,639  105,000  141,283 
Toys R Us - Delaware, Inc. 144A               
company guaranty sr. notes 7 3/8s,               
2016    65,000  65,650  65,000  65,650  50,000  50,500 
Toys R Us Property Co., LLC               
company guaranty sr. unsec. notes               
10 3/4s, 2017    535,000  595,188  555,000  617,438  215,000  239,188 
Travelport LLC company guaranty               
11 7/8s, 2016    50,000  43,000  50,000  43,000  35,000  30,100 
Travelport LLC company guaranty               
9 7/8s, 2014    270,000  248,400  275,000  253,000  210,000  193,200 
Travelport, LLC/Travelport, Inc.               
company guaranty sr. unsec. notes               
9s, 2016    190,000  169,575  185,000  165,113  150,000  133,875 
TRW Automotive, Inc. company               
guaranty sr. unsec. unsub. notes               
Ser. REGS, 6 3/8s, 2014  EUR  165,000  249,829  140,000  211,976  105,000  158,982 
TRW Automotive, Inc. 144A company               
guaranty sr. notes 7 1/4s, 2017    $100,000  111,000  $--  --  $--  -- 
TRW Automotive, Inc. 144A company               
guaranty sr. unsec. unsub. notes               
7s, 2014    330,000  364,650  370,000  408,850  120,000  132,600 
Universal City Development               
Partners, Ltd. company guaranty               
sr. unsec. notes 8 7/8s, 2015    550,000  611,875  565,000  628,563  45,000  50,063 
Univision Communications, Inc.               
144A company guaranty sr. unsec.               
notes 8 1/2s, 2021    240,000  239,400  240,000  239,400  185,000  184,538 
Vertis, Inc. company guaranty sr.               
notes 13 1/2s, 2014 (In default)               
(F)(NON)(PIK)    224,245  11,212  227,196  11,360  106,392  5,320 
Visteon Corp. 144A sr. notes               
6 3/4s, 2019    200,000  193,000  200,000  193,000  165,000  159,225 
Vulcan Materials Co. sr. unsec.               
unsub. notes 7 1/2s, 2021    90,000  89,881  95,000  94,874  --  -- 
Wal-Mart Stores, Inc. sr. unsec.               
unsub. notes 6 1/2s, 2037    540,000  620,180  844,000  969,318  198,000  227,399 
Wal-Mart Stores, Inc. sr. unsec.               
unsub. notes 5s, 2040    --  --  50,000  47,077  120,000  112,984 
Wal-Mart Stores, Inc. sr. unsec.               
unsub. notes 4 7/8s, 2040    --  --  --  --  655,000  601,344 
Wynn Las Vegas, LLC/Wynn Las Vegas               
Capital Corp. company guaranty 1st               
mtge. notes 7 3/4s, 2020    155,000  168,369  155,000  168,369  60,000  65,175 
XM Satellite Radio, Inc. 144A               
company guaranty sr. unsec. notes               
13s, 2013    450,000  527,625  455,000  533,488  70,000  82,075 
XM Satellite Radio, Inc. 144A sr.               
unsec. notes 7 5/8s, 2018    300,000  313,500  300,000  313,500  160,000  167,200 
Yankee Candle Co. company guaranty               
sr. notes Ser. B, 8 1/2s, 2015    445,000  458,350  445,000  458,350  175,000  180,250 
YCC Holdings, LLC/Yankee Finance,               
Inc. 144A sr. unsec. notes               
10 1/4s, 2016    185,000  185,463  185,000  185,463  80,000  80,200 
Yonkers Racing Corp. 144A sr.               
notes 11 3/8s, 2016    484,000  525,140  498,000  540,330  125,000  135,625 
 
      33,800,175    36,479,357    17,732,923 
 
Consumer staples      1.0%    1.5%    1.9% 
ACCO Brands Corp. company guaranty               
sr. notes 10 5/8s, 2015    190,000  212,088  190,000  212,088  70,000  78,138 
Altria Group, Inc. company               
guaranty sr. unsec. notes 9.7s,               
2018    300,000  394,236  620,000  814,755  375,000  492,795 
Altria Group, Inc. company               
guaranty sr. unsec. notes 9 1/4s,               

 


2019    20,000  26,079  40,000  52,158  --  -- 
Anheuser-Busch InBev Worldwide,               
Inc. company guaranty sr. unsec.               
unsub. notes 7 3/4s, 2019    --  --  345,000  433,946  210,000  264,189 
Anheuser-Busch InBev Worldwide,               
Inc. company guaranty unsec.               
unsub. notes 5 3/8s, 2020    315,000  347,003  325,000  358,019  450,000  495,719 
Avis Budget Car Rental, LLC               
company guaranty sr. unsec. unsub.               
notes 9 5/8s, 2018    70,000  74,725  70,000  74,725  50,000  53,375 
Avis Budget Car Rental, LLC               
company guaranty sr. unsec. unsub.               
notes 7 3/4s, 2016    120,000  122,100  145,000  147,538  75,000  76,313 
Bumble Bee Acquisition Corp. 144A               
company guaranty sr. notes 9s, 2017    225,000  226,125  225,000  226,125  85,000  85,425 
Bunge Ltd., Finance Corp. company               
guaranty unsec. unsub. notes 4.1s,               
2016    135,000  139,852  280,000  290,063  100,000  103,594 
Burger King Corp. company guaranty               
sr. unsec. notes 9 7/8s, 2018    180,000  191,700  175,000  186,375  140,000  149,100 
Central Garden & Pet Co. company               
guaranty sr. sub. notes 8 1/4s,               
2018    320,000  330,400  320,000  330,400  230,000  237,475 
CKE Holdings, Inc. 144A sr. notes               
10 1/2s, 2016 (PIK)    140,000  135,450  145,000  140,288  115,000  111,263 
CKE Restaurants, Inc. company               
guaranty sr. notes 11 3/8s, 2018    380,000  415,150  375,000  409,688  45,000  49,163 
Claire's Stores, Inc. 144A company               
guaranty sr. unsec. notes 9 5/8s,               
2015 (In default) (NON)    256,907  249,842  229,929  223,606  107,912  104,944 
Claire's Stores, Inc. 144A notes               
8 7/8s, 2019    205,000  191,675  205,000  191,675  70,000  65,450 
Constellation Brands, Inc. company               
guaranty sr. unsec. unsub. notes               
7 1/4s, 2016    350,000  382,375  350,000  382,375  130,000  142,025 
CVS Caremark Corp. jr. unsec. sub.               
bonds FRB 6.302s, 2037    245,000  238,569  290,000  282,388  453,000  441,109 
CVS Caremark Corp. sr. unsec.               
unsub. notes 6.6s, 2019    80,000  92,970  --  --  --  -- 
CVS Pass-Through Trust 144A               
company guaranty notes 7.507s, 2032    --  --  443,305  525,254  14,640  17,346 
CVS Pass-Through Trust 144A               
pass-through certificates 6.117s,               
2013    458,748  483,994  --  --  --  -- 
Darden Restaurants, Inc. sr.               
unsec. unsub. notes 6.8s, 2037    205,000  228,015  425,000  472,714  205,000  228,015 
Dave & Buster's, Inc. company               
guaranty sr. unsec. unsub. notes               
11s, 2018    295,000  315,650  295,000  315,650  110,000  117,700 
Dean Foods Co. company guaranty               
sr. unsec. unsub. notes 7s, 2016    290,000  287,100  290,000  287,100  115,000  113,850 
Dean Foods Co. 144A sr. notes               
9 3/4s, 2018    65,000  69,063  65,000  69,063  50,000  53,125 
Delhaize Group company guaranty               
sr. unsec. bond 5 7/8s, 2014               
(Belgium)    135,000  148,062  310,000  339,993  370,000  405,798 
Diageo Capital PLC company               
guaranty 5 3/4s, 2017 (United               
Kingdom)    280,000  320,982  390,000  447,082  235,000  269,396 
Diageo Investment Corp. company               
guaranty 8s, 2022 (Canada)    --  --  165,000  212,822  135,000  174,127 
DineEquity, Inc. 144A sr. unsec.               
notes 9 1/2s, 2018    285,000  309,225  285,000  309,225  145,000  157,325 
Dole Food Co. sr. notes 13 7/8s,               
2014    107,000  128,133  88,000  105,380  21,000  25,148 
Dole Food Co. 144A sr. notes 8s,               
2016    170,000  178,075  190,000  199,025  35,000  36,663 
Elizabeth Arden, Inc. sr. unsec.               
unsub. notes 7 3/8s, 2021    240,000  249,900  240,000  249,900  190,000  197,838 
General Mills, Inc. sr. unsec.               
notes 5.65s, 2019    75,000  84,681  170,000  191,944  200,000  225,816 
H.J. Heinz Co. sr. unsec. notes               
5.35s, 2013    216,000  233,868  492,000  532,699  --  -- 
Hertz Corp. company guaranty sr.               
unsec. notes 8 7/8s, 2014    23,000  23,575  24,000  24,600  15,000  15,375 
Hertz Corp. 144A company guaranty               
sr. unsec. notes 7 1/2s, 2018    100,000  103,000  95,000  97,850  75,000  77,250 
Hertz Holdings Netherlands BV 144A               
sr. bonds 8 1/2s, 2015               
(Netherlands)  EUR  250,000  381,793  250,000  381,793  70,000  106,902 
JBS USA LLC/JBS USA Finance, Inc.               
company guaranty sr. unsec. notes               
11 5/8s, 2014    $310,000  356,500  $325,000  373,750  $40,000  46,000 
JBS USA LLC/JBS USA Finance, Inc.               
144A sr. unsec. notes 7 1/4s, 2021    760,000  739,100  765,000  743,963  625,000  607,813 
Kraft Foods, Inc. sr. unsec. notes               
6 1/2s, 2017    20,000  23,511  27,000  31,740  --  -- 
Kraft Foods, Inc. sr. unsec.               
unsub. notes 6 1/2s, 2040    410,000  451,053  875,000  962,612  660,000  726,085 
Kroger Co. company guaranty               
6 3/4s, 2012    --  --  --  --  150,000  156,838 
Kroger Co. company guaranty 6.4s,               
2017    234,000  274,118  748,000  876,239  100,000  117,144 
Kroger Co. sr. notes 6.15s, 2020    --  --  40,000  46,072  --  -- 
Landry's Restaurants, Inc. company               
guaranty sr. notes 11 5/8s, 2015    45,000  48,150  45,000  48,150  40,000  42,800 
Landry's Restaurants, Inc. 144A               
company guaranty sr. notes               
11 5/8s, 2015    105,000  112,350  105,000  112,350  --  -- 
Libbey Glass, Inc. sr. notes 10s,               
2015    113,000  122,605  117,000  126,945  77,000  83,545 
McDonald's Corp. sr. unsec. bond               
6.3s, 2037    56,000  65,036  302,000  350,732  300,000  348,409 
McDonald's Corp. sr. unsec. notes               
5.7s, 2039    174,000  187,490  393,000  423,469  270,000  290,933 
Michael Foods, Inc. 144A sr. notes               
9 3/4s, 2018    125,000  133,750  125,000  133,750  95,000  101,650 
PepsiCo, Inc. sr. unsec. notes               
7.9s, 2018    185,000  238,419  346,000  445,908  82,000  105,678 
Pinnacle Foods Finance               
LLC/Pinnacle Foods Finance Corp.               
company guaranty sr. unsec. notes               
9 1/4s, 2015    460,000  477,250  475,000  492,813  100,000  103,750 
Prestige Brands, Inc. company               
guaranty sr. unsec. notes 8 1/4s,               
2018    210,000  219,975  210,000  219,975  165,000  172,838 
Prestige Brands, Inc. 144A company               
guaranty sr. unsec. notes 8 1/4s,               
2018    105,000  109,988  105,000  109,988  85,000  89,038 
Reddy Ice Corp. company guaranty               
sr. notes 11 1/4s, 2015    290,000  296,525  290,000  296,525  115,000  117,588 
Revlon Consumer Products Corp.               
company guaranty notes 9 3/4s, 2015    520,000  559,000  545,000  585,875  375,000  403,125 
Rite Aid Corp. company guaranty               
sr. notes 7 1/2s, 2017    245,000  243,163  225,000  223,313  105,000  104,213 
Rite Aid Corp. company guaranty               
sr. unsec. unsub. notes 9 1/2s,               
2017    709,000  646,963  737,000  672,513  157,000  143,263 
Rite Aid Corp. company guaranty               
sr. unsub. notes 8s, 2020    80,000  86,200  80,000  86,200  --  -- 
Roadhouse Financing, Inc. 144A sr.               
notes 10 3/4s, 2017    170,000  178,500  170,000  178,500  65,000  68,250 
RSC Equipment Rental, Inc. company               
guaranty sr. unsec. notes 8 1/4s,               
2021    140,000  139,300  140,000  139,300  --  -- 
RSC Equipment Rental, Inc. 144A               
sr. sec. notes 10s, 2017    145,000  161,675  130,000  144,950  --  -- 
Service Corporation International               
sr. notes 7s, 2019    115,000  121,038  115,000  121,038  90,000  94,725 
Service Corporation International               
sr. unsec. unsub. notes 6 3/4s,               
2016    625,000  673,438  645,000  694,988  --  -- 
Smithfield Foods, Inc. company               
guaranty sr. notes 10s, 2014    490,000  568,400  510,000  591,600  65,000  75,400 
Spectrum Brands, Inc. sr. unsec.               
sub. bonds 12s, 2019    160,512  177,366  168,907  186,642  103,576  114,451 
Spectrum Brands, Inc. 144A sr.               
notes 9 1/2s, 2018    155,000  169,725  155,000  169,725  115,000  125,925 
Stewart Enterprises, Inc. 144A               
company guaranty sr. unsec. notes               
6 1/2s, 2019    200,000  199,750  200,000  199,750  80,000  79,900 
Tyson Foods, Inc. sr. unsec.               
unsub. notes 10 1/2s, 2014    885,000  1,050,938  285,000  338,438  45,000  53,438 
United Rentals North America, Inc.               
company guaranty sr. unsec. sub.               
notes 8 3/8s, 2020    105,000  105,000  105,000  105,000  85,000  85,000 
United Rentals North America, Inc.               
company guaranty sr. unsec. unsub.               
notes 9 1/4s, 2019    55,000  59,675  55,000  59,675  10,000  10,850 
Wendy's Co. (The) company guaranty               
sr. unsec. unsub. notes 10s, 2016    510,000  564,825  525,000  581,438  175,000  193,813 
West Corp. 144A sr. notes 7 7/8s,               
2019    155,000  150,350  155,000  150,350  120,000  116,400 
West Corp. 144A sr. unsec. notes               
8 5/8s, 2018    115,000  116,150  115,000  116,150  --  -- 
WPP Finance UK company guaranty               
sr. unsec. notes 8s, 2014 (United               
Kingdom)    110,000  129,034  235,000  275,664  295,000  346,047 

 


    17,271,765    20,934,396    10,296,660 
 
Energy    1.1%    1.7%    2.6% 
Alpha Natural Resources, Inc.             
company guaranty sr. unsec. notes             
6 1/4s, 2021  185,000  185,463  185,000  185,463  75,000  75,188 
Alpha Natural Resources, Inc.             
company guaranty sr. unsec. notes             
6s, 2019  195,000  195,731  195,000  195,731  80,000  80,300 
Anadarko Finance Co. company             
guaranty sr. unsec. unsub. notes             
Ser. B, 7 1/2s, 2031  840,000  970,256  1,095,000  1,264,798  700,000  808,547 
Anadarko Petroleum Corp. sr. notes             
5.95s, 2016  105,000  117,551  105,000  117,551  30,000  33,586 
Anadarko Petroleum Corp. sr.             
unsec. notes 6 3/8s, 2017  35,000  40,122  35,000  40,122  30,000  34,390 
Apache Corp. sr. unsec. unsub.             
notes 3 5/8s, 2021  255,000  247,684  525,000  509,938  425,000  412,807 
Arch Coal, Inc. company guaranty             
sr. unsec. notes 7 1/4s, 2020  240,000  244,200  240,000  244,200  75,000  76,313 
Arch Coal, Inc. 144A company             
guaranty sr. unsec. notes 7s, 2019  250,000  249,375  250,000  249,375  100,000  99,750 
Arch Western Finance, LLC company             
guaranty sr. notes 6 3/4s, 2013  107,000  107,134  105,000  105,131  99,000  99,124 
ATP Oil & Gas Corp. company             
guaranty sr. notes 11 7/8s, 2015  120,000  121,800  120,000  121,800  45,000  45,675 
BP Capital Markets PLC company             
guaranty sr. unsec. unsub. notes             
3.2s, 2016 (United Kingdom)  430,000  437,171  885,000  899,759  570,000  579,506 
Brigham Exploration Co. company             
guaranty sr. unsec. notes 8 3/4s,             
2018  205,000  223,450  205,000  223,450  55,000  59,950 
Brigham Exploration Co. 144A             
company guaranty sr. unsec. notes             
6 7/8s, 2019  65,000  64,675  65,000  64,675  55,000  54,725 
Carrizo Oil & Gas, Inc. company             
guaranty sr. unsec notes 8 5/8s,             
2018  390,000  401,700  385,000  396,550  160,000  164,800 
Chaparral Energy, Inc. company             
guaranty sr. unsec. notes 9 7/8s,             
2020  200,000  216,000  200,000  216,000  155,000  167,400 
Chaparral Energy, Inc. company             
guaranty sr. unsec. notes 8 7/8s,             
2017  450,000  465,750  455,000  470,925  155,000  160,425 
Chaparral Energy, Inc. company             
guaranty sr. unsec. notes 8 1/4s,             
2021  10,000  10,075  10,000  10,075  --  -- 
Chesapeake Energy Corp. company             
guaranty 6 1/2s, 2017  95,000  100,463  --  --  --  -- 
Chesapeake Energy Corp. sr. unsec.             
notes 7 5/8s, 2013  --  --  225,000  245,250  230,000  250,700 
Chesapeake Midstream Partners             
LP/CHKM Finance Corp. 144A company             
guaranty sr. unsec. notes 5 7/8s,             
2021  100,000  98,750  105,000  103,688  40,000  39,500 
Complete Production Services, Inc.             
company guaranty 8s, 2016  380,000  397,100  395,000  412,775  80,000  83,600 
Compton Petroleum Finance Corp.             
company guaranty sr. unsec. notes             
10s, 2017 (Canada)  170,624  123,702  167,638  121,538  65,189  47,262 
Concho Resources, Inc. company             
guaranty sr. unsec. notes 6 1/2s,             
2022  275,000  275,688  275,000  275,688  110,000  110,275 
CONSOL Energy, Inc. company             
guaranty sr. unsec. notes 8 1/4s,             
2020  530,000  577,700  525,000  572,250  380,000  414,200 
CONSOL Energy, Inc. company             
guaranty sr. unsec. notes 8s, 2017  310,000  337,900  310,000  337,900  20,000  21,800 
CONSOL Energy, Inc. 144A company             
guaranty sr. unsec. notes 6 3/8s,             
2021  40,000  39,800  40,000  39,800  30,000  29,850 
Crosstex Energy LP/Crosstex Energy             
Finance Corp. company guaranty sr.             
unsec. notes 8 7/8s, 2018  325,000  346,125  320,000  340,800  230,000  244,950 
Denbury Resources, Inc. company             
guaranty sr. unsec. sub. notes             
8 1/4s, 2020  339,000  369,510  339,000  369,510  109,000  118,810 
Denbury Resources, Inc. company             
guaranty sr. unsec. sub. notes             
6 3/8s, 2021  145,000  146,450  145,000  146,450  45,000  45,450 
EXCO Resources, Inc. company             
guaranty sr. unsec. notes 7 1/2s,             
2018  585,000  568,913  580,000  564,050  215,000  209,088 
Ferrellgas LP/Ferrellgas Finance             
Corp. 144A sr. unsec. notes             
6 1/2s, 2021  145,000  137,025  145,000  137,025  55,000  51,975 
Forbes Energy Services Ltd. 144A             
company guaranty sr. unsec. notes             
9s, 2019  185,000  182,225  185,000  182,225  150,000  147,750 
Frac Tech Services, LLC/Frac Tech             
Finance, Inc. 144A company             
guaranty sr. notes 7 1/8s, 2018  265,000  268,975  265,000  268,975  95,000  96,425 
Gazprom OAO Via Gaz Capital SA             
144A sr. unsec. 6.51s, 2022             
(Russia)  230,000  243,800  507,000  537,420  438,000  464,280 
Gazprom Via Gaz Capital SA 144A             
company guaranty sr. unsec. bond             
8.146s, 2018 (Russia)  158,000  183,326  324,000  375,934  288,000  334,164 
Gazprom Via OAO White Nights             
Finance BV notes 10 1/2s, 2014             
(Netherlands)  1,000,000  1,185,560  1,000,000  1,185,560  1,200,000  1,422,672 
Goodrich Petroleum Corp. 144A sr.             
notes 8 7/8s, 2019  420,000  420,000  425,000  425,000  165,000  165,000 
Helix Energy Solutions Group, Inc.             
144A sr. unsec. notes 9 1/2s, 2016  645,000  664,350  645,000  664,350  265,000  272,950 
Hercules Offshore, Inc. 144A sr.             
notes 10 1/2s, 2017  135,000  141,075  150,000  156,750  50,000  52,250 
Hornbeck Offshore Services, Inc.             
sr. notes Ser. B, 6 1/8s, 2014  85,000  84,150  75,000  74,250  35,000  34,650 
Inergy LP/Inergy Finance Corp.             
144A sr. notes 6 7/8s, 2021  315,000  315,000  315,000  315,000  125,000  125,000 
James River Escrow, Inc. 144A sr.             
notes 7 7/8s, 2019  100,000  99,000  105,000  103,950  --  -- 
Key Energy Services, Inc. company             
guaranty unsec. unsub. notes             
6 3/4s, 2021  230,000  227,700  230,000  227,700  85,000  84,150 
Laredo Petroleum, Inc. 144A sr.             
notes 9 1/2s, 2019  190,000  200,450  185,000  195,175  90,000  94,950 
MEG Energy Corp. 144A company             
guaranty sr. unsec. notes 6 1/2s,             
2021 (Canada)  205,000  206,025  205,000  206,025  50,000  50,250 
Milagro Oil & Gas 144A notes             
10 1/2s, 2016  275,000  258,500  275,000  258,500  110,000  103,400 
Motiva Enterprises, LLC 144A sr.             
notes 5.2s, 2012  --  --  80,000  83,634  70,000  73,180 
Newfield Exploration Co. sr. sub.             
notes 6 5/8s, 2016  5,000  5,163  145,000  149,713  165,000  170,363 
Newfield Exploration Co. sr.             
unsec. sub. notes 6 5/8s, 2014  375,000  380,625  335,000  340,025  --  -- 
Noble Holding International, Ltd.             
company guaranty sr. unsec. notes             
6.05s, 2041  245,000  251,142  510,000  522,785  285,000  292,145 
Offshore Group Investments, Ltd.             
company guaranty sr. notes             
11 1/2s, 2015 (Cayman Islands)  225,000  244,688  225,000  244,688  120,000  130,500 
Offshore Group Investments, Ltd.             
144A company guaranty sr. notes             
11 1/2s, 2015 (Cayman Islands)  60,000  65,250  60,000  65,250  50,000  54,375 
OPTI Canada, Inc. company guaranty             
sr. sec. notes 8 1/4s, 2014             
(Canada) (In default) (NON)  220,000  91,300  215,000  89,225  100,000  41,500 
OPTI Canada, Inc. company guaranty             
sr. sec. notes 7 7/8s, 2014             
(Canada) (In default) (NON)  605,000  248,050  625,000  256,250  175,000  71,750 
OPTI Canada, Inc. 144A company             
guaranty sr. notes 9 3/4s, 2013             
(Canada)  75,000  74,250  75,000  74,250  55,000  54,450 
OPTI Canada, Inc. 144A sr. notes             
9s, 2012 (Canada)  10,000  10,050  10,000  10,050  10,000  10,050 
Peabody Energy Corp. company             
guaranty 7 3/8s, 2016  610,000  689,300  420,000  474,600  240,000  271,200 
Peabody Energy Corp. company             
guaranty sr. unsec. unsub. notes             
6 1/2s, 2020  25,000  26,875  25,000  26,875  20,000  21,500 
Petroleos de Venezuela SA sr.             
unsec. notes 4.9s, 2014 (Venezuela)  1,920,000  1,483,200  1,980,000  1,529,550  2,165,000  1,672,463 
Petroleum Development Corp.             
company guaranty sr. unsec. notes             
12s, 2018  345,000  382,950  345,000  382,950  255,000  283,050 
Plains Exploration & Production             
Co. company guaranty 7 3/4s, 2015  70,000  72,538  50,000  51,813  40,000  41,450 
Plains Exploration & Production             
Co. company guaranty 7s, 2017  555,000  571,650  595,000  612,850  185,000  190,550 
Quicksilver Resources, Inc.             
company guaranty 7 1/8s, 2016  30,000  29,550  40,000  39,400  20,000  19,700 
Quicksilver Resources, Inc. sr.             
notes 11 3/4s, 2016  370,000  423,650  375,000  429,375  185,000  211,825 
Range Resources Corp. company             

 


guaranty sr. sub. notes 6 3/4s,             
2020  115,000  119,025  110,000  113,850  85,000  87,975 
Rosetta Resources, Inc. company             
guaranty sr. unsec. notes 9 1/2s,             
2018  315,000  348,863  315,000  348,863  125,000  138,438 
Sabine Pass LNG LP sec. notes             
7 1/2s, 2016  995,000  1,019,875  810,000  830,250  165,000  169,125 
SandRidge Energy, Inc. 144A             
company guaranty sr. unsec. notes             
7 1/2s, 2021  60,000  60,750  60,000  60,750  50,000  50,625 
SandRidge Energy, Inc. 144A             
company guaranty sr. unsec. unsub.             
notes 8s, 2018  115,000  117,300  135,000  137,700  90,000  91,800 
Shell International Finance BV             
company guaranty sr. unsec. notes             
3.1s, 2015 (Netherlands)  270,000  281,864  570,000  595,046  585,000  610,705 
SM Energy Co. 144A sr. unsec.             
notes 6 5/8s, 2019  125,000  125,313  125,000  125,313  50,000  50,125 
Total Capital SA company guaranty             
sr. unsec. unsub. notes 3s, 2015             
(France)  295,000  306,577  615,000  639,135  395,000  410,501 
Unit Corp. company guaranty sr.             
sub. notes 6 5/8s, 2021  75,000  74,602  75,000  74,602  60,000  59,681 
Weatherford Bermuda company             
guaranty sr. unsec. notes 9 7/8s,             
2039 (Switzerland)  100,000  140,386  230,000  322,887  270,000  379,041 
Weatherford International, Inc.             
company guaranty sr. unsec. unsub.             
notes 6.8s, 2037  --  --  110,000  116,846  90,000  95,601 
Weatherford International, Inc.             
company guaranty sr. unsec. unsub.             
notes 6.35s, 2017  --  --  130,000  147,138  100,000  113,183 
Weatherford International, Ltd.             
sr. notes 5 1/2s, 2016             
(Switzerland)  --  --  95,000  104,127  105,000  115,088 
Whiting Petroleum Corp. company             
guaranty 7s, 2014  370,000  397,750  385,000  413,875  85,000  91,375 
Williams Cos., Inc. (The) notes             
7 3/4s, 2031  26,000  30,347  22,000  25,678  15,000  17,508 
Williams Cos., Inc. (The) sr.             
unsec. notes 7 7/8s, 2021  70,000  86,762  63,000  78,086  48,000  59,494 
 
    20,657,044    23,676,510    14,218,153 
 
Financials    1.9%    3.7%    6.5% 
Abbey National Treasury Service             
bank guaranty sr. unsec. unsub.             
notes FRN 1.854s, 2014 (United             
Kingdom)  135,000  134,194  285,000  283,299  255,000  253,478 
ACE Cash Express, Inc. 144A sr.             
notes 11s, 2019  205,000  205,513  205,000  205,513  85,000  85,213 
Aflac, Inc. sr. unsec. notes 6.9s,             
2039  220,000  230,187  450,000  470,836  135,000  141,251 
Ally Financial, Inc. company             
guaranty sr. unsec. unsub. notes             
8.3s, 2015  160,000  178,800  160,000  178,800  115,000  128,513 
Ally Financial, Inc. company             
guaranty sr. unsec. unsub. notes             
8s, 2020  145,000  154,063  140,000  148,750  50,000  53,125 
Ally Financial, Inc. company             
guaranty sr. unsec. unsub. notes             
7 1/2s, 2020  140,000  146,300  140,000  146,300  50,000  52,250 
Ally Financial, Inc. company             
guaranty sr. unsec. unsub. notes             
FRN 2.454s, 2014  236,000  225,719  177,000  169,289  114,000  109,034 
Ally Financial, Inc. unsec. sub.             
notes 8s, 2018  155,000  165,850  155,000  165,850  60,000  64,200 
Ally Financial, Inc. 144A company             
guaranty notes 6 1/4s, 2017  210,000  208,600  210,000  208,600  80,000  79,467 
American Express Co. sr. unsec.             
notes 8 1/8s, 2019  420,000  532,471  870,000  1,102,975  625,000  792,367 
American International Group, Inc.             
jr. sub. bonds FRB 8.175s, 2058  275,000  300,465  270,000  295,002  205,000  223,983 
American International Group, Inc.             
sr. unsec. Ser. MTN, 5.85s, 2018  647,000  667,917  1,286,000  1,327,576  1,244,000  1,284,218 
Bank of America NA sub. notes             
Ser. BKNT, 5.3s, 2017  --  --  250,000  257,687  750,000  773,060 
Bank of Montreal sr. unsec. bond             
2 1/8s, 2013 (Canada)  185,000  189,377  390,000  399,228  200,000  204,732 
Bank of New York Mellon Corp.             
(The) sr. unsec. notes 4.3s, 2014  270,000  291,860  610,000  659,387  160,000  172,954 
Bank of New York Mellon Corp.             
(The) sr. unsec. notes 2.95s, 2015  30,000  30,919  30,000  30,919  140,000  144,291 
Bank of New York Mellon Corp.             
(The) 144A sr. unsec. notes Ser.             
MTN, 2 1/2s, 2016  20,000  20,182  20,000  20,182  65,000  65,592 
BankAmerica Capital III bank             
guaranteed jr. unsec. FRN 0.848s,             
2027  580,000  468,856  327,000  264,338  1,146,000  926,394 
Barclays Bank PLC jr. unsec. sub.             
notes FRN 6.278s, 2049  130,000  112,775  230,000  199,525  325,000  281,938 
Barclays Bank PLC 144A jr. unsec.             
sub. notes FRN 6.86s, 2049  260,000  238,550  575,000  527,563  200,000  183,500 
Barclays Bank PLC 144A sub. notes             
10.179s, 2021  508,000  637,372  285,000  357,581  275,000  345,034 
Bear Stearns Cos., Inc. (The)             
notes 5.7s, 2014  20,000  22,089  135,000  149,104  5,000  5,522 
Bear Stearns Cos., Inc. (The) sr.             
unsec. notes 7 1/4s, 2018  --  --  240,000  284,998  46,000  54,625 
Bosphorus Financial Services, Ltd.             
144A sr. notes FRN 2.061s, 2012  37,500  37,203  99,188  98,402  112,875  111,981 
Camden Property Trust sr. unsec.             
notes 4 7/8s, 2023 (R)  190,000  185,403  390,000  380,563  140,000  136,612 
Capital One Capital III company             
guaranty 7.686s, 2036  --  --  231,000  236,198  811,000  829,248 
Capital One Capital IV company             
guaranty jr. unsec. sub. notes FRN             
6.745s, 2037  235,000  237,350  235,000  237,350  100,000  101,000 
Capital One Capital V company             
guaranty jr. unsec. sub. notes             
10 1/4s, 2039  270,000  286,200  345,000  365,700  --  -- 
CB Richard Ellis Services, Inc.             
company guaranty sr. unsec. notes             
6 5/8s, 2020  85,000  87,338  85,000  87,338  70,000  71,925 
CB Richard Ellis Services, Inc.             
company guaranty sr. unsec. sub.             
notes 11 5/8s, 2017  280,000  324,450  280,000  324,450  35,000  40,556 
CIT Group, Inc. 144A bonds 7s, 2017  1,345,000  1,341,638  1,345,000  1,341,638  995,000  992,513 
CIT Group, Inc. 144A bonds 7s, 2016  585,000  582,806  585,000  582,806  430,000  428,388 
CIT Group, Inc. 144A company             
guaranty notes 6 5/8s, 2018  305,000  317,963  305,000  317,963  --  -- 
Citigroup, Inc. sr. notes 6 1/2s,             
2013  940,000  1,022,305  895,000  973,364  810,000  880,922 
Citigroup, Inc. sub. notes 5s, 2014  --  --  839,000  879,237  225,000  235,791 
Citigroup, Inc. unsec. sub. notes             
6 5/8s, 2032  222,000  229,817  277,000  286,754  976,000  1,010,367 
Citigroup, Inc. unsec. sub. notes             
6 1/8s, 2036  530,000  509,358  1,105,000  1,061,964  --  -- 
CNO Financial Group, Inc. 144A             
company guaranty sr. notes 9s, 2018  140,000  148,400  145,000  153,700  115,000  121,900 
Community Choice Financial, Inc.             
144A sr. notes 10 3/4s, 2019  250,000  253,750  255,000  258,825  205,000  208,075 
Corrections Corporation of America             
company guaranty sr. notes 7 3/4s,             
2017  550,000  598,125  570,000  619,875  140,000  152,250 
Credit Suisse First Boston USA,             
Inc. company guaranty sr. unsec.             
unsub. notes 6 1/8s, 2011  490,000  499,752  764,000  779,206  180,000  183,583 
Credit Suisse Guernsey, Ltd. jr.             
unsec. sub. notes FRN 5.86s, 2017             
(United Kingdom)  44,000  42,042  352,000  336,336  581,000  555,146 
Deutsche Bank AG London sr. unsec.             
notes 2 3/8s, 2013 (United Kingdom)  5,000  5,071  --  --  --  -- 
Deutsche Bank AG/London sr. unsec.             
notes 3 7/8s, 2014 (United Kingdom)  375,000  394,161  820,000  861,899  155,000  162,920 
Deutsche Bank Capital Funding             
Trust VII 144A jr. unsec. sub.             
bonds FRB 5.628s, perpetual             
maturity  --  --  235,000  206,800  1,000,000  880,000 
Duke Realty LP sr. unsec. notes             
6 1/2s, 2018 (R)  --  --  411,000  457,076  339,000  377,005 
E*Trade Financial Corp. sr. notes             
6 3/4s, 2016  180,000  176,400  180,000  176,400  150,000  147,000 
E*Trade Financial Corp. sr. unsec.             
unsub. notes 12 1/2s, 2017  185,000  216,450  185,000  216,450  20,000  23,400 
Fleet Capital Trust V bank             
guaranteed jr. sub. FRN 1.247s,             
2028  790,000  619,440  217,000  170,150  --  -- 
GATX Financial Corp. notes 5.8s,             
2016  --  --  120,000  131,498  130,000  142,456 
GE Capital Trust I unsec. sub.             
bonds FRB 6 3/8s, 2067  --  --  975,000  998,156  1,450,000  1,484,438 
General Electric Capital Corp. sr.             
unsec. FRN Ser. MTN, 0.466s, 2016  260,000  246,124  600,000  567,978  --  -- 
General Electric Capital Corp. sr.             
unsec. notes Ser. MTN, 6 7/8s, 2039  1,141,000  1,279,731  2,446,000  2,743,403  764,000  856,893 
Goldman Sachs Group, Inc. (The)             
sr. notes 7 1/2s, 2019  335,000  388,861  990,000  1,149,171  1,105,000  1,282,661 
Goldman Sachs Group, Inc. (The)             

 


sub. notes 6 3/4s, 2037  736,000  733,240  1,148,000  1,143,696  270,000  268,988 
Highwood Realty LP sr. unsec.             
bonds 5.85s, 2017 (R)  --  --  340,000  371,010  290,000  316,450 
HSBC Finance Capital Trust IX FRN             
5.911s, 2035  --  --  700,000  661,500  800,000  756,000 
HSBC Finance Corp. 144A sr. unsec.             
sub. notes 6.676s, 2021  843,000  864,929  1,314,000  1,348,181  310,000  318,064 
HSBC Holdings PLC sub. notes             
6 1/2s, 2037 (United Kingdom)  --  --  300,000  309,610  500,000  516,017 
HUB International Holdings, Inc.             
144A sr. sub. notes 10 1/4s, 2015  185,000  188,238  190,000  193,325  80,000  81,400 
HUB International Holdings, Inc.             
144A sr. unsec. unsub. notes 9s,             
2014  40,000  40,800  35,000  35,700  23,000  23,460 
Icahn Enterprises LP/Icahn             
Enterprises Finance Corp. company             
guaranty sr. unsec. notes 8s, 2018  575,000  583,625  585,000  593,775  195,000  197,925 
International Lease Finance Corp.             
sr. unsec. Ser. MTN, 5 5/8s, 2013  625,000  634,375  --  --  --  -- 
International Lease Finance Corp.             
sr. unsec. notes 6 1/4s, 2019  65,000  63,538  65,000  63,538  55,000  53,763 
JPMorgan Chase & Co. sr. notes 6s,             
2018  1,044,000  1,161,089  1,537,000  1,709,381  336,000  373,684 
JPMorgan Chase Bank NA sub. notes             
Ser. BKNT, 6s, 2017  --  --  330,000  366,720  --  -- 
JPMorgan Chase Capital XVIII bonds             
Ser. R, 6.95s, 2036  --  --  674,000  669,409  1,460,000  1,450,054 
KB Home company guaranty 6 3/8s,             
2011  --  --  317,000  317,793  288,000  288,720 
Lehman Brothers E-Capital Trust I             
FRN zero %, 2065 (In default) (NON)  1,375,000  138  1,845,000  185  --  -- 
Leucadia National Corp. sr. unsec.             
notes 7 1/8s, 2017  295,000  306,063  335,000  347,563  95,000  98,563 
Liberty Mutual Group, Inc. 144A             
company guaranty jr. sub. notes             
FRB 10 3/4s, 2058  1,145,000  1,505,675  --  --  --  -- 
Liberty Mutual Insurance Co. 144A             
notes 7.697s, 2097  --  --  490,000  452,756  510,000  471,236 
Marsh & McLennan Cos., Inc. sr.             
unsec. notes 6 1/4s, 2012  35,000  36,195  720,000  744,580  --  -- 
Marsh & McLennan Cos., Inc. sr.             
unsec. notes 5 3/8s, 2014  --  --  380,000  412,215  --  -- 
Merrill Lynch & Co., Inc. jr. sub.             
bonds 7 3/4s, 2038  --  --  300,000  332,560  --  -- 
Merrill Lynch & Co., Inc. sr.             
unsec. notes 6.4s, 2017  --  --  10,000  10,916  --  -- 
Merrill Lynch & Co., Inc. sr.             
unsec. notes Ser. MTN, 6 7/8s, 2018  1,226,000  1,356,468  1,640,000  1,814,526  236,000  261,115 
MetLife Capital Trust IV 144A jr.             
sub. debs. 7 7/8s, 2037  --  --  300,000  313,412  385,000  402,212 
MetLife, Inc. sr. unsec. 6 3/4s,             
2016  155,000  180,413  130,000  151,314  --  -- 
Metropolitan Life Global Funding I             
144A notes 3.65s, 2018  1,175,000  1,149,708  1,525,000  1,492,174  --  -- 
MPT Operating Partnership LP/MPT             
Finance Corp. 144A company             
guaranty sr. notes 6 7/8s, 2021 (R)  145,000  142,463  145,000  142,463  55,000  54,038 
National Money Mart Co. company             
guaranty sr. unsec. unsub. notes             
10 3/8s, 2016 (Canada)  240,000  263,400  245,000  268,888  100,000  109,750 
Nationwide Financial Services             
notes 5 5/8s, 2015  --  --  125,000  134,119  425,000  456,003 
Nationwide Health Properties, Inc.             
notes 6 1/2s, 2011 (R)  --  --  145,000  145,200  150,000  150,207 
Nationwide Mutual Insurance Co.             
144A notes 8 1/4s, 2031  --  --  210,000  233,151  --  -- 
Nuveen Investments, Inc. company             
guaranty sr. unsec. unsub. notes             
10 1/2s, 2015  290,000  296,525  310,000  316,975  100,000  102,250 
Omega Healthcare Investors, Inc.             
144A sr. notes 6 3/4s, 2022 (R)  280,000  276,150  280,000  276,150  105,000  103,556 
OneAmerica Financial Partners,             
Inc. 144A bonds 7s, 2033  --  --  520,000  486,183  1,129,000  1,055,578 
OneBeacon US Holdings, Inc.             
company guaranty sr. unsec. notes             
5 7/8s, 2013  --  --  71,000  74,233  249,000  260,338 
Progressive Corp. (The) jr. unsec.             
sub. notes FRN 6.7s, 2037  250,000  259,700  555,000  576,534  190,000  197,372 
Provident Funding Associates             
LP/PFG Finance Corp. 144A sr.             
notes 10 1/4s, 2017  160,000  175,200  155,000  169,725  20,000  21,900 
Provident Funding Associates             
LP/PFG Finance Corp. 144A sr.             
notes 10 1/8s, 2019  140,000  142,100  140,000  142,100  110,000  111,650 
Prudential Financial, Inc. jr.             
unsec. sub. notes FRN 8 7/8s, 2038  320,000  374,399  225,000  263,249  370,000  432,899 
Residential Capital LLC company             
guaranty jr. notes 9 5/8s, 2015  295,000  292,788  305,000  302,713  205,000  203,463 
Royal Bank of Scotland PLC (The)             
bank guaranty sr. unsec. unsub.             
notes 3.95s, 2015 (United Kingdom)  295,000  295,933  620,000  621,962  480,000  481,519 
Russian Agricultural Bank OJSC Via             
RSHB Capital SA 144A notes 7 3/4s,             
2018 (Russia)  --  --  110,000  125,120  100,000  113,745 
Russian Agricultural Bank OJSC Via             
RSHB Capital SA 144A notes 7 1/8s,             
2014 (Russia)  120,000  129,900  110,000  119,075  100,000  108,250 
Sabra Health Care LP/Sabra Capital             
Corp. company guaranty sr. unsec.             
unsub. notes 8 1/8s, 2018 (R)  85,000  85,000  80,000  80,000  65,000  65,000 
Santander Holdings USA, Inc. sr.             
unsec. unsub. notes 4 5/8s, 2016  63,000  63,313  129,000  129,641  93,000  93,462 
Simon Property Group LP sr. unsec.             
notes 6 1/8s, 2018 (R)  --  --  307,000  344,254  297,000  333,041 
Simon Property Group LP sr. unsec.             
unsub. notes 10.35s, 2019 (R)  5,000  6,921  10,000  13,842  --  -- 
Simon Property Group LP sr. unsec.             
unsub. notes 5 1/4s, 2016 (R)  100,000  109,849  147,000  161,479  7,000  7,689 
Simon Property Group LP sr. unsec.             
unsub. notes 4 3/8s, 2021 (R)  205,000  201,771  145,000  142,716  --  -- 
SLM Corp. sr. notes Ser. MTN, 8s,             
2020  225,000  241,606  220,000  236,237  155,000  166,440 
SLM Corp. sr. unsec. unsub. notes             
Ser. MTN, 8.45s, 2018  140,000  153,666  135,000  148,178  110,000  120,737 
Springleaf Finance Corp. sr.             
unsec. notes Ser. MTNI, 4 7/8s,             
2012  755,000  751,225  780,000  776,100  55,000  54,725 
State Street Capital Trust IV             
company guaranty jr. unsec. sub.             
bonds FRB 1.247s, 2037  --  --  475,000  382,462  --  -- 
USI Holdings Corp. 144A company             
guaranty sr. unsec. notes FRN             
4.136s, 2014  45,000  41,850  45,000  41,850  20,000  18,600 
Vnesheconombank Via VEB Finance,             
PLC 144A bank guaranteed bonds             
6.8s, 2025 (Russia)  2,000,000  2,031,800  2,000,000  2,031,800  2,200,000  2,234,980 
Vornado Realty LP sr. unsec.             
unsub. notes 4 1/4s, 2015 (R)  195,000  202,394  405,000  420,356  180,000  186,825 
VTB Bank OJSC Via VTB Capital SA             
sr. notes 6 1/4s, 2035 (Russia)  500,000  523,650  500,000  523,650  600,000  628,380 
VTB Bank OJSC Via VTB Capital SA             
144A sr. unsec. notes 6 7/8s, 2018             
(Russia)  1,976,000  2,120,248  1,800,000  1,931,400  1,887,000  2,024,751 
Wachovia Bank NA sub. notes             
Ser. BKNT, 6s, 2017  --  --  250,000  278,886  500,000  557,773 
Wachovia Corp. sr. unsec. notes             
5 3/4s, 2017  95,000  105,627  105,000  116,745  60,000  66,712 
Westpac Banking Corp. sr. unsec.             
bonds 3s, 2015 (Australia)  90,000  90,568  150,000  150,946  315,000  316,986 
Westpac Banking Corp. sr. unsec.             
notes 4 7/8s, 2019 (Australia)  220,000  228,675  485,000  504,124  80,000  83,155 
Westpac Capital Trust III 144A             
unsec. sub. notes FRN 5.819s,             
perpetual maturity (Australia)  --  --  295,000  292,109  230,000  227,746 
Willis Group North America, Inc.             
company guaranty 6.2s, 2017  --  --  70,000  76,324  40,000  43,614 
ZFS Finance USA Trust V 144A bonds             
FRB 6 1/2s, 2037  --  --  312,000  312,780  411,000  412,028 
 
    33,603,412    52,203,510    35,324,584 
 
Health care    0.6%    0.9%    1.2% 
Abbott Laboratories sr. unsec.             
notes 5 7/8s, 2016  344,000  400,591  538,000  626,506  126,000  146,728 
Aetna, Inc. sr. unsec. unsub.             
notes 6 3/4s, 2037  --  --  286,000  325,936  318,000  362,405 
Amgen, Inc. sr. unsec. notes             
3.45s, 2020  345,000  328,703  730,000  695,516  500,000  476,380 
AstraZeneca PLC sr. unsec. unsub.             
notes 6.45s, 2037 (United Kingdom)  270,000  313,246  422,000  489,592  99,000  114,857 
Aviv Healthcare Properties LP 144A             
sr. notes 7 3/4s, 2019  215,000  219,838  215,000  219,838  80,000  81,800 
Biomet, Inc. company guaranty sr.             
unsec. notes 10s, 2017  145,000  158,050  150,000  163,500  110,000  119,900 
Capella Healthcare, Inc. 144A             
company guaranty sr. notes 9 1/4s,             
2017  295,000  311,225  295,000  311,225  115,000  121,325 
CDRT Merger Sub, Inc. 144A company             
guaranty sr. unsec. notes 8 1/8s,             

 


2019    125,000  125,000  130,000  130,000  50,000  50,000 
CHS/Community Health Systems, Inc.               
company guaranty sr. unsec. sub.               
notes 8 7/8s, 2015    560,000  576,800  565,000  581,950  225,000  231,750 
CIGNA Corp. sr. unsec. unsub.               
notes 4 1/2s, 2021    235,000  234,655  490,000  489,281  350,000  349,486 
ConvaTec Healthcare E SA 144A sr.               
notes 7 3/8s, 2017 (Luxembourg)  EUR  105,000  150,621  105,000  150,621  100,000  143,449 
ConvaTec Healthcare E SA 144A sr.               
unsec. notes 10 1/2s, 2018               
(Luxembourg)    $545,000  564,075  $545,000  564,075  $130,000  134,550 
DaVita, Inc. company guaranty sr.               
unsec. notes 6 5/8s, 2020    70,000  71,225  70,000  71,225  55,000  55,963 
DaVita, Inc. company guaranty sr.               
unsec. notes 6 3/8s, 2018    210,000  212,625  210,000  212,625  80,000  81,000 
Elan Finance PLC/Elan Finance               
Corp. company guaranty sr. unsec.               
notes 8 3/4s, 2016 (Ireland)    570,000  599,213  390,000  409,988  165,000  173,456 
Endo Pharmaceuticals Holdings,               
Inc. 144A company guaranty sr.               
unsec. notes 7s, 2019    155,000  158,875  155,000  158,875  130,000  133,250 
Giant Funding Corp. 144A sr. notes               
8 1/4s, 2018 (Spain)    270,000  281,475  275,000  286,688  110,000  114,675 
HCA Holdings, Inc. 144A sr. unsec.               
notes 7 3/4s, 2021    250,000  259,375  250,000  259,375  195,000  202,313 
HCA, Inc. company guaranty sr.               
notes 9 5/8s, 2016 (PIK)    238,000  253,173  226,000  240,408  145,000  154,244 
HCA, Inc. sr. sec. notes 9 1/4s,               
2016    275,000  291,844  190,000  201,638  141,000  149,636 
HCA, Inc. sr. unsec. notes 6 1/4s,               
2013    50,000  51,750  48,000  49,680  --  -- 
Health Management Associates, Inc.               
sr. notes 6 1/8s, 2016    320,000  332,000  335,000  347,563  125,000  129,688 
IASIS Healthcare, LLC/IASIS               
Capital Corp. 144A sr. notes               
8 3/8s, 2019    465,000  459,188  470,000  464,125  185,000  182,688 
Johnson & Johnson sr. unsec. notes               
4.85s, 2041    335,000  324,258  700,000  677,553  335,000  324,258 
Kindred Healthcare, Inc. 144A               
Company guranty sr. notes 8 1/4s,               
2019    75,000  74,625  75,000  74,625  60,000  59,700 
Multiplan, Inc. 144A company               
guaranty sr. notes 9 7/8s, 2018    210,000  223,125  210,000  223,125  80,000  85,000 
Quest Diagnostics, Inc. company               
guaranty sr. unsec. notes 6.95s,               
2037    45,000  49,960  95,000  105,472  135,000  149,881 
Select Medical Corp. company               
guaranty 7 5/8s, 2015    88,000  87,120  86,000  85,140  66,000  65,340 
Surgical Care Affiliates, Inc.               
144A sr. sub. notes 10s, 2017    80,000  82,600  75,000  77,438  35,000  36,138 
Surgical Care Affiliates, Inc.               
144A sr. unsec. notes 8 7/8s, 2015               
(PIK)    87,885  90,302  82,392  84,658  38,449  39,506 
Talecris Biotherapeutics Holdings               
Corp. company guaranty sr. unsec.               
notes 7 3/4s, 2016    63,000  71,420  63,000  71,420  45,000  51,014 
Tenet Healthcare Corp. company               
guaranty sr. notes 10s, 2018    67,000  76,129  54,000  61,358  34,000  38,633 
Tenet Healthcare Corp. sr. notes               
9s, 2015    601,000  644,573  624,000  669,240  45,000  48,263 
Tenet Healthcare Corp. sr. notes               
8 7/8s, 2019    155,000  171,081  155,000  171,081  115,000  126,931 
Tenet Healthcare Corp. sr. unsec.               
notes 8s, 2020    260,000  264,225  250,000  254,063  195,000  198,169 
Teva Pharmaceutical Finance II               
BV/Teva Pharmaceutical Finance III               
LLC company guaranty sr. unsec.               
unsub. notes 3s, 2015 (Netherland               
Antilles)    135,000  138,712  295,000  303,112  410,000  421,274 
United Surgical Partners               
International, Inc. company               
guaranty sr. unsec. sub. notes               
8 7/8s, 2017    120,000  125,400  125,000  130,625  85,000  88,825 
UnitedHealth Group, Inc. sr.               
unsec. unsub. notes 4.7s, 2021    310,000  320,697  640,000  662,085  --  -- 
Valeant Pharmaceuticals               
International 144A company               
guaranty sr. notes 7s, 2020    45,000  43,538  40,000  38,700  35,000  33,863 
Valeant Pharmaceuticals               
International 144A company               
guaranty sr. unsec. notes 6 7/8s,               
2018    105,000  102,900  105,000  102,900  25,000  24,500 
Valeant Pharmaceuticals               
International 144A sr. notes               
6 3/4s, 2017    45,000  44,100  40,000  39,200  35,000  34,300 
Vanguard Health Systems, Inc. sr.               
unsec. notes zero %, 2016    300,000  197,625  305,000  200,919  120,000  79,050 
Ventas Realty LP/Capital Corp.               
company guaranty 9s, 2012 (R)    395,000  417,995  465,000  492,070  295,000  312,173 
Ventas Realty LP/Capital Corp. sr.               
notes 6 3/4s, 2017 (R)    10,000  10,532  225,000  236,979  140,000  147,453 
WellPoint, Inc. notes 7s, 2019    95,000  113,338  220,000  262,467  260,000  310,188 
 
      10,027,802    12,474,460    6,384,002 
 
Technology      0.6%    0.8%    1.1% 
Advanced Micro Devices, Inc. sr.               
unsec. notes 8 1/8s, 2017    15,000  15,675  15,000  15,675  25,000  26,125 
Advanced Micro Devices, Inc. sr.               
unsec. notes 7 3/4s, 2020    90,000  92,700  90,000  92,700  65,000  66,950 
Alcatel-Lucent USA, Inc. unsec.               
debs. 6.45s, 2029    195,000  175,500  200,000  180,000  --  -- 
Avaya, Inc. company guaranty sr.               
unsec. notes 10 1/8s, 2015 (PIK)    100,000  102,750  100,000  102,750  90,000  92,475 
Avaya, Inc. company guaranty sr.               
unsec. notes 9 3/4s, 2015    355,000  362,100  355,000  362,100  85,000  86,700 
Avaya, Inc. 144A company guaranty               
sr. notes 7s, 2019    285,000  275,738  285,000  275,738  65,000  62,888 
Buccaneer Merger Sub, Inc. 144A               
sr. notes 9 1/8s, 2019    275,000  286,000  275,000  286,000  105,000  109,200 
Ceridian Corp. company guaranty               
sr. unsec. notes 12 1/4s, 2015               
(PIK)    440,000  446,600  460,000  466,900  220,000  223,300 
Ceridian Corp. sr. unsec. notes               
11 1/4s, 2015    190,000  190,000  165,000  165,000  --  -- 
Cisco Systems, Inc. company               
guaranty sr. unsec. unsub. notes               
3.15s, 2017    395,000  403,703  825,000  843,178  595,000  608,110 
CommScope, Inc. 144A sr. notes               
8 1/4s, 2019    205,000  211,150  205,000  211,150  80,000  82,400 
Computer Sciences Corp. sr. unsec.               
notes 6 1/2s, 2018    108,000  115,663  222,000  237,751  325,000  348,059 
Dell, Inc. sr. unsec. notes               
5 7/8s, 2019    215,000  241,275  470,000  527,439  365,000  409,607 
Eagle Parent Inc. 144A sr. notes               
8 5/8s, 2019 (Canada)    145,000  139,744  145,000  139,744  120,000  115,650 
Fidelity National Information               
Services, Inc. company guaranty               
sr. unsec. notes 7 7/8s, 2020    80,000  84,900  80,000  84,900  60,000  63,675 
Fidelity National Information               
Services, Inc. company guaranty               
sr. unsec. notes 7 5/8s, 2017    155,000  164,494  155,000  164,494  20,000  21,225 
First Data Corp. company guaranty               
sr. unsec. notes 10.55s, 2015 (PIK)    1,776,302  1,842,913  1,776,302  1,842,913  178,199  184,881 
First Data Corp. 144A company               
guaranty sr. notes 7 3/8s, 2019    130,000  130,975  130,000  130,975  65,000  65,488 
First Data Corp. 144A sr. bonds               
12 5/8s, 2021    560,000  599,200  560,000  599,200  260,000  278,200 
Freescale Semiconductor, Inc. 144A               
company guaranty sr. notes               
10 1/8s, 2018    100,000  111,250  100,000  111,250  --  -- 
Freescale Semiconductor, Inc. 144A               
company guaranty sr. notes 9 1/4s,               
2018    285,000  307,088  285,000  307,088  210,000  226,275 
Freescale Semiconductor, Inc. 144A               
company guaranty sr. unsec. notes               
10 3/4s, 2020    211,000  238,430  208,000  235,040  127,000  143,510 
Hewlett-Packard Co. sr. unsec.               
notes 6 1/8s, 2014    95,000  106,567  235,000  263,614  125,000  140,220 
Hewlett-Packard Co. sr. unsec.               
notes 5 1/2s, 2018    135,000  150,972  160,000  178,930  183,000  204,651 
Hewlett-Packard Co. sr. unsec.               
notes 3 3/4s, 2020    110,000  106,951  325,000  315,991  135,000  131,258 
Iron Mountain, Inc. company               
guaranty 8 3/4s, 2018    --  --  --  --  5,000  5,194 
Iron Mountain, Inc. company               
guaranty sr. unsec. sub. notes 8s,               
2020    470,000  486,450  625,000  646,875  25,000  25,875 
Jazz Technologies, Inc. company               
guaranty sr. unsec. notes 8s, 2015               
(F)    167,000  164,495  173,000  170,405  119,000  117,215 
Lexmark International Inc, sr.               
unsec. notes 5.9s, 2013    1,925,000  2,052,402  --  --  --  -- 
Microsoft Corp. sr. unsec. unsub.               
notes 5.3s, 2041    60,000  61,360  85,000  86,927  --  -- 
Microsoft Corp. sr. unsec. unsub.               
notes 4.2s, 2019    250,000  262,723  555,000  583,245  475,000  499,173 
NXP BV/NXP Funding, LLC company               
guaranty Ser. EXCH, 9 1/2s, 2015               

 


(Netherlands)  140,000  148,400  150,000  159,000  --  -- 
NXP BV/NXP Funding, LLC 144A             
company guaranty sr. notes 9 3/4s,             
2018 (Netherlands)  355,000  397,600  360,000  403,200  195,000  218,400 
NXP BV/NXP Funding, LLC 144A sr.             
sec. notes 10s, 2013 (Netherlands)  34,000  38,080  15,000  16,800  --  -- 
Oracle Corp. 144A notes 3 7/8s,             
2020  --  --  360,000  358,285  290,000  288,619 
Oracle Corp. 144A sr. notes             
5 3/8s, 2040  --  --  215,000  215,166  310,000  310,239 
Seagate HDD Cayman 144A company             
guaranty sr. unsec. notes 7 3/4s,             
2018 (Cayman Islands)  195,000  204,750  195,000  204,750  75,000  78,750 
SunGard Data Systems, Inc. company             
guaranty 10 1/4s, 2015  --  --  10,000  10,350  --  -- 
SunGard Data Systems, Inc. 144A             
sr. unsec. notes 7 5/8s, 2020  215,000  217,150  210,000  212,100  165,000  166,650 
Xerox Corp. sr. unsec. notes             
6 3/4s, 2039  154,000  171,943  336,000  375,148  230,000  256,797 
Xerox Corp. sr. unsec. unsub.             
notes 5 5/8s, 2019  60,000  65,541  130,000  142,005  164,000  179,144 
 
    11,173,232    11,724,776    5,836,903 
 
Transportation    0.1%    0.2%    0.3% 
AMGH Merger Sub, Inc. 144A company             
guaranty sr. notes 9 1/4s, 2018  290,000  305,225  290,000  305,225  230,000  242,075 
Burlington Northern Santa Fe Corp.             
debs. 5 3/4s, 2040  95,000  97,575  155,000  159,201  300,000  308,131 
Burlington Northern Santa Fe, LLC             
sr. unsec. notes 5.4s, 2041  220,000  216,147  495,000  486,330  130,000  127,723 
Delta Air Lines, Inc. sr. notes             
Ser. A, 7 3/4s, 2019  210,336  229,267  439,369  478,913  158,921  173,224 
Northwest Airlines Corp.             
pass-through certificates Ser.             
00-1, 7.15s, 2019  --  --  462,321  462,321  399,481  399,481 
RailAmerica, Inc. company guaranty             
sr. notes 9 1/4s, 2017  324,000  355,590  322,000  353,395  --  -- 
Southwest Airlines Co.             
pass-through certificates Ser.             
07-1, 6.15s, 2022  --  --  --  --  --  -- 
Swift Services Holdings, Inc.             
company guaranty sr. notes 10s,             
2018  315,000  333,506  315,000  333,506  125,000  132,344 
Union Pacific Corp. 144A             
pass-through certificates 5.214s,             
2014  --  --  115,000  123,601  100,000  107,479 
United AirLines, Inc. pass-through             
certificates Ser. 07-A, 6.636s,             
2022  --  --  139,949  139,600  114,504  114,218 
Western Express, Inc. 144A sr.             
notes 12 1/2s, 2015  300,000  283,500  305,000  288,225  115,000  108,675 
 
    1,820,810    3,130,317    1,713,350 
 
Utilities and power    0.6%    1.3%    2.6% 
AEP Texas North Co. sr. notes             
Ser. B, 5 1/2s, 2013  180,000  191,569  412,000  438,480  --  -- 
AES Corp. (The) sr. unsec. unsub.             
notes 8s, 2017  725,000  768,500  520,000  551,200  150,000  159,000 
AES Corp. (The) 144A sr. note             
7 3/8s, 2021  165,000  167,475  165,000  167,475  135,000  137,025 
Appalachian Power Co. sr. notes             
Ser. L, 5.8s, 2035  --  --  145,000  145,568  120,000  120,470 
Atmos Energy Corp. sr. unsec. sub.             
notes 8 1/2s, 2019  20,000  25,243  45,000  56,796  55,000  69,418 
Beaver Valley Funding Corp. sr.             
bonds 9s, 2017  --  --  137,000  150,073  483,000  529,088 
Boardwalk Pipelines LP company             
guaranty 5 7/8s, 2016  --  --  604,000  673,299  1,168,000  1,302,008 
Bruce Mansfield Unit pass-through             
certificates 6.85s, 2034  --  --  277,334  297,675  973,578  1,044,985 
Calpine Corp. 144A company             
guaranty sr. notes 7 7/8s, 2020  235,000  241,463  230,000  236,325  75,000  77,063 
Calpine Corp. 144A sr. notes             
7 1/4s, 2017  570,000  578,550  595,000  603,925  175,000  177,625 
Colorado Interstate Gas Co. debs.             
6.85s, 2037 (Canada)  30,000  32,832  50,000  54,720  25,000  27,360 
Commonwealth Edison Co. 1st mtge.             
6.15s, 2017  --  --  130,000  150,221  --  -- 
Commonwealth Edison Co. 1st mtge.             
5.9s, 2036  --  --  593,000  621,561  448,000  469,577 
Dominion Resources, Inc. jr. sub.             
notes FRN Ser. 06-B, 6.3s, 2066  --  --  823,000  803,454  853,000  832,741 
Dominion Resources, Inc. unsub.             
notes 5.7s, 2012  343,000  362,578  535,000  565,537  126,000  133,192 
Dynegy Holdings, Inc. sr. unsec.             
notes 7 3/4s, 2019  760,000  552,900  760,000  552,900  280,000  203,700 
Edison Mission Energy sr. unsec.             
notes 7 3/4s, 2016  70,000  63,000  80,000  72,000  40,000  36,000 
Edison Mission Energy sr. unsec.             
notes 7 1/2s, 2013  30,000  30,188  35,000  35,219  20,000  20,125 
Edison Mission Energy sr. unsec.             
notes 7.2s, 2019  395,000  314,025  400,000  318,000  135,000  107,325 
Edison Mission Energy sr. unsec.             
notes 7s, 2017  10,000  8,100  5,000  4,050  5,000  4,050 
El Paso Corp. sr. notes Ser. GMTN,             
7 3/4s, 2032  225,000  261,736  215,000  250,103  35,000  40,715 
El Paso Corp. sr. unsec. notes 7s,             
2017  670,000  758,021  700,000  791,963  210,000  237,589 
Electricite de France 144A notes             
6 1/2s, 2019 (France)  165,000  192,860  375,000  438,318  245,000  286,368 
Energy Future Holdings Corp.             
company guaranty sr. notes 10s,             
2020  100,000  106,146  100,000  106,146  75,000  79,610 
Energy Future Intermediate             
Holdings Co., LLC sr. notes             
9 3/4s, 2019  256,000  261,120  265,000  270,300  --  -- 
Energy Future/Energy Future             
Intermediate Holdings Finance Co.,             
LLC sr. notes 10s, 2020  154,000  164,235  159,000  169,567  107,000  114,111 
Energy Transfer Equity LP company             
guaranty sr. unsec. notes 7 1/2s,             
2020  300,000  318,000  305,000  323,300  140,000  148,400 
Energy Transfer Partners LP sr.             
unsec. unsub. notes 5.65s, 2012  170,000  178,116  350,000  366,709  205,000  214,786 
Energy Transfer Partners LP sr.             
unsec. unsub. notes 4.65s, 2021  125,000  122,291  245,000  239,691  195,000  190,774 
Enterprise Products Operating, LLC             
company guaranty sr. unsec. unsub.             
notes 5.95s, 2041  140,000  138,652  290,000  287,208  420,000  415,956 
Enterprise Products Operating, LLC             
company guaranty sr. unsec. unsub.             
notes 3.2s, 2016  200,000  202,833  410,000  415,809  85,000  86,204 
FirstEnergy Corp. notes Ser. B,             
6.45s, 2011  13,000  13,243  11,000  11,206  --  -- 
GenOn Energy, Inc. sr. unsec.             
notes 9 7/8s, 2020  425,000  444,125  425,000  444,125  180,000  188,100 
GenOn Energy, Inc. sr. unsec.             
notes 9 1/2s, 2018  65,000  67,600  65,000  67,600  --  -- 
Ipalco Enterprises, Inc. 144A sr.             
notes 7 1/4s, 2016  105,000  116,395  230,000  254,961  65,000  72,054 
ITC Holdings Corp. 144A notes             
5 7/8s, 2016  --  --  458,000  520,906  988,000  1,123,702 
ITC Holdings Corp. 144A sr. unsec.             
notes 6.05s, 2018  --  --  305,000  340,638  225,000  251,290 
Kansas Gas & Electric bonds             
5.647s, 2021  --  --  70,761  75,405  66,598  70,970 
MidAmerican Energy Holdings Co.             
bonds 6 1/8s, 2036  7,000  7,538  152,000  163,687  --  -- 
MidAmerican Funding, LLC sr. sec.             
bonds 6.927s, 2029  470,000  542,191  850,000  980,557  970,000  1,118,989 
Nevada Power Co. mtge. sec. notes             
7 1/8s, 2019  115,000  137,925  265,000  317,828  310,000  371,799 
NRG Energy, Inc. company guaranty             
7 3/8s, 2017  100,000  104,750  110,000  115,225  55,000  57,613 
NRG Energy, Inc. 144A company             
guaranty sr. unsec. notes 7 7/8s,             
2021  735,000  733,163  735,000  733,163  265,000  264,338 
NV Energy, Inc. sr. unsec. notes             
6 1/4s, 2020  160,000  167,981  155,000  162,732  125,000  131,235 
NV Energy, Inc. sr. unsec. unsub.             
notes 6 3/4s, 2017  210,000  215,105  235,000  240,713  --  -- 
Pacific Gas & Electric Co. 1st             
mtge. 6.05s, 2034  417,000  440,936  650,000  687,310  153,000  161,782 
Potomac Edison Co. 144A 1st mtge.             
5.8s, 2016  --  --  456,000  513,882  985,000  1,110,030 
Power Receivable Finance, LLC 144A             
sr. notes 6.29s, 2012  --  --  36,469  36,522  31,524  31,570 
PSEG Power, LLC company guaranty             
sr. unsec. notes 5.32s, 2016  144,000  158,728  185,000  203,921  90,000  99,205 
Public Service Electric & Gas Co.             
sr. notes Ser. MTN, 5 1/2s, 2040  75,000  77,875  160,000  166,133  215,000  223,241 
Puget Sound Energy, Inc. jr. sub.             
FRN Ser. A, 6.974s, 2067  240,000  240,000  629,000  629,000  337,000  337,000 
Spectra Energy Capital, LLC sr.             
notes 8s, 2019  --  --  250,000  305,814  215,000  263,000 
Teco Finance, Inc. company             

 


guaranty sr. unsec. unsub. notes             
6 3/4s, 2015  10,000  11,414  10,000  11,414  5,000  5,707 
Texas Competitive/Texas             
Competitive Electric Holdings Co.,             
LLC company guaranty sr. unsec.             
notes 10 1/2s, 2016 (PIK)  453,691  294,899  453,691  294,899  324,063  210,641 
Texas Competitive/Texas             
Competitive Electric Holdings Co.,             
LLC 144A company guaranty sr.             
notes 15s, 2021  185,000  151,700  185,000  151,700  130,000  106,600 
Texas Competitive/Texas             
Competitive Electric Holdings Co.,             
LLC 144A company guaranty sr.             
notes 11 1/2s, 2020  200,000  196,500  200,000  196,500  165,000  162,113 
Trans-Canada Pipelines, Ltd. jr.             
unsec. sub. notes FRN 6.35s, 2067             
(Canada)  --  --  180,000  180,948  155,000  155,816 
Union Electric Co. sr. sec. notes             
6.4s, 2017  140,000  162,282  320,000  370,930  265,000  307,176 
West Penn Power Co. 144A 1st mtge.             
5.95s, 2017  --  --  75,000  85,483  45,000  51,290 
    10,324,783    18,420,794    14,140,526 
Total corporate bonds and notes             
(cost $179,592,579, $224,179,792             
and $125,236,222)    $187,806,191    $237,270,459    $136,537,633 
  
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS(a)  Growth 5.8%  Balanced 12.6%  Conservative 21.3% 
Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
 
U.S. Government Guaranteed Mortgage Obligations             
Government National Mortgage             
Association Pass-Through             
Certificates             
4 1/2s, TBA, July 1, 2041  $23,000,000  $24,273,984  $48,000,000  $50,658,749  $37,000,000  $39,049,452 
4s, February 20, 2041  990,868  1,008,827  --  --  --  -- 
             
    25,282,811    50,658,749    39,049,452 
              
U.S. Government Agency Mortgage Obligations             
Federal Home Loan Mortgage             
Corporation Pass-Through             
Certificates             
3 1/2s, with due dates from             
December 1, 2040 to January 1, 2041  840,572  804,059  911,268  871,400  871,852  833,981 
Federal National Mortgage             
Association Pass-Through             
Certificates             
7s, March 1, 2018  --  --  --  --  177,457  198,974 
6s, with due dates from             
September 1, 2011 to October 1, 2016  656,710  709,718  --  --  --  -- 
5 1/2s, TBA, July 1, 2041  26,000,000  28,122,718  54,000,000  58,408,592  28,000,000  30,285,937 
5s, TBA, June 1, 2041  3,000,000  3,192,070  2,000,000  2,128,047  2,000,000  2,128,047 
4 1/2s, with due dates from             
February 1, 2039 to April 1, 2039  575,902  600,424  --  --  --  -- 
4 1/2s, TBA, July 1, 2041  21,000,000  21,726,797  18,000,000  18,622,969  15,000,000  15,519,141 
4s, TBA, July 1, 2041  5,000,000  5,000,000  10,000,000  10,000,000  5,000,000  5,000,000 
4s, TBA, July 1, 2026  17,000,000  17,702,578  36,000,000  37,487,812  21,000,000  21,867,890 
3 1/2s, with due dates from             
December 1, 2040 to March 1, 2041  --  --  949,239  909,193  978,582  937,392 
    77,858,364    128,428,013    76,771,362 
Total U.S. government and agency             
mortgage obligations (cost             
$103,406,093, $179,642,646 and             
$116,116,641)    $103,141,175    $179,086,762    $115,820,814 
  
 
U.S. TREASURY OBLIGATIONS(a)  Growth 0.0%  Balanced --%  Conservative --% 
Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
U.S. Treasury Notes 1 3/8s,             
February 15, 2013 (i)  $181,000  $184,837  $--  $--  $--  $-- 
Total U.S. treasury obligations             
(cost $184,837, $-- and $--)    $184,837    $--    $-- 
 
 
MORTGAGE-BACKED SECURITIES(a)  Growth 4.0%  Balanced 5.2%  Conservative 9.0% 
Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Adjustable Rate Mortgage Trust FRB             
Ser. 06-1, Class 5A1, 3.414s, 2036  $--  $--  $831,663  $407,515  $457,010  $223,935 
Banc of America Commercial             
Mortgage, Inc.             
Ser. 08-1, Class A3, 6.357s, 2051  516,000  559,781  --  --  --  -- 
FRB Ser. 07-4, Class A3, 5.997s,             
2051  176,000  187,669  --  --  --  -- 
FRB Ser. 07-3, Class A3, 5.802s,             
2049  --  --  787,000  830,854  --  -- 
Ser. 07-2, Class A2, 5.634s, 2049             
(F)  1,092,272  1,121,117  1,111,634  1,140,990  --  -- 
Ser. 06-5, Class A2, 5.317s, 2047  --  --  --  --  2,173,123  2,203,526 
Ser. 07-1, Class XW, IO, 0.308s,             
2049  1,786,664  21,664  9,714,194  117,788  --  -- 
Banc of America Commercial             
Mortgage, Inc. 144A             
Ser. 02-PB2, Class XC, IO,             
0.946s, 2035  2,041,116  6,736  3,038,357  10,027  --  -- 
Ser. 07-5, Class XW, IO, 0.59s,             
2051  4,384,413  73,600  20,104,943  337,498  17,951,606  301,350 
Ser. 04-4, Class XC, IO, 0.535s,             
2042  2,791,715  45,596  7,924,089  129,421  6,246,090  102,015 
Ser. 04-5, Class XC, IO, 0.51s,             
2041  3,666,605  51,332  8,900,044  124,601  9,207,963  128,911 
Ser. 05-1, Class XW, IO, 0.094s,             
2042  14,167,413  8,498  --  --  17,780,379  10,665 
Banc of America Funding Corp. FRB             
Ser. 07-B, Class A1, 0.396s, 2047  1,324,858  821,412  --  --  --  -- 
Bear Stearns Alt-A Trust             
FRB Ser. 06-3, Class 36A1,             
5.986s, 2036  522,356  336,920  552,205  356,172  --  -- 
FRB Ser. 06-3, Class 35A1,             
5.634s, 2036  552,037  358,134  714,401  463,468  --  -- 
Bear Stearns Commercial Mortgage             
Securities, Inc.             
FRB Ser. 00-WF2, Class F, 8.586s,             
2032  --  --  189,000  203,316  124,000  133,392 
FRB Ser. 07-PW16, Class A2,             
5.853s, 2040 (F)  435,628  462,837  477,448  507,270  --  -- 
Ser. 07-PW17, Class A3, 5.736s,             
2050 (F)  31,000  32,589  --  --  --  -- 
Ser. 06-PW14, Class A2, 5.123s,             
2038  327,000  330,162  341,000  344,298  --  -- 
Ser. 05-PWR9, Class A2, 4.735s,             
2042  --  --  --  --  594,718  595,877 
Ser. 04-PR3I, Class X1, IO,             
0.321s, 2041  331,097  6,005  2,218,175  40,233  3,604,165  65,372 
Bear Stearns Commercial Mortgage             
Securities, Inc. 144A Ser.             
06-PW14, Class X1, IO, 0.268s,             
2038 (F)  3,276,460  53,191  8,990,797  145,959  8,239,585  133,764 
Citigroup Commercial Mortgage             
Trust FRB Ser. 07-C6, Class A3,             
5.886s, 2049  902,000  947,026  --  --  --  -- 
Citigroup Commercial Mortgage             
Trust 144A Ser. 06-C5, Class XC,             
IO, 0.21s, 2049  45,101,283  551,589  74,276,624  908,403  79,372,264  970,723 
Citigroup Mortgage Loan Trust, Inc.             
FRB Ser. 06-AR5, Class 2A5A,             
5.407s, 2036  1,103,974  581,005  1,475,828  776,706  --  -- 
FRB Ser. 07-6, Class 1A3A,             
5.265s, 2046  --  --  --  --  1,145,541  572,770 
Citigroup/Deutsche Bank Commercial             
Mortgage Trust Ser. 06-CD2,             
Class A2, 5.408s, 2046  53,893  53,857  --  --  --  -- 
Citigroup/Deutsche Bank Commercial             
Mortgage Trust 144A             
Ser. 07-CD4, Class XW, IO,             
0.549s, 2049  3,238,670  48,191  9,710,212  144,488  --  -- 
Ser. 07-CD4, Class XC, IO,             
0.167s, 2049  10,832,293  95,324  52,934,039  465,820  --  -- 
Ser. 07-CD5, Class XS, IO,             
0.116s, 2044  --  --  2,977,450  12,904  --  -- 
Commercial Mortgage Acceptance             
Corp. 144A             
Ser. 98-C1, Class F, 6.23s, 2031  --  --  138,181  145,245  --  -- 
Ser. 98-C2, Class F, 5.44s, 2030  1,260,204  1,306,283  2,398,067  2,485,752  --  -- 
Commercial Mortgage Pass-Through             
Certificates FRB Ser. 07-C9,             
Class A2, 5.811s, 2049  284,951  290,516  363,114  370,207  --  -- 
Commercial Mortgage Pass-Through             
Certificates 144A             
Ser. 05-LP5, Class XC, IO,             
0.239s, 2043  17,616,995  168,477  39,831,291  380,919  --  -- 
Ser. 06-C8, Class XS, IO, 0.159s,             

 


2046  13,741,191  157,943  40,738,644  468,254  37,791,902  434,384 
Ser. 05-C6, Class XC, IO, 0.097s,             
2044  8,700,010  50,552  25,502,915  148,186  12,809,801  74,432 
Countrywide Alternative Loan Trust             
FRB Ser. 05-84, Class 4A1,             
5.777s, 2036  1,992,336  1,235,249  2,138,462  1,325,846  2,386,506  1,479,634 
Ser. 07-HY5R, Class 2A1A, 5.544s,             
2047  719,296  689,850  369,308  354,189  346,644  332,453 
FRB Ser. 06-6CB, Class 2A13,             
0.586s, 2036  773,952  332,799  990,066  425,729  --  -- 
Credit Suisse Mortgage Capital             
Certificates             
FRB Ser. 08-C1, Class A2, 6.413s,             
2041  1,726,000  1,785,951  --  --  563,000  582,555 
FRB Ser. 07-C4, Class A2, 5.995s,             
2039  1,285,435  1,310,606  770,881  785,977  --  -- 
Ser. 07-C5, Class AAB, 5.62s, 2040  710,000  750,847  737,000  779,400  802,000  848,140 
Ser. 07-C2, Class A2, 5.448s, 2049  897,777  907,511  842,163  851,293  --  -- 
Ser. 07-C1, Class AAB, 5.336s,             
2040  888,000  946,519  650,000  692,835  738,000  786,634 
Ser. 06-C5, Class A2, 5.246s,             
2039 (F)  --  --  1,064,444  1,071,782  --  -- 
Ser. 06-C5, Class AX, IO, 0.252s,             
2039  6,491,123  104,734  17,561,955  283,362  16,003,048  258,209 
Credit Suisse Mortgage Capital             
Certificates 144A             
Ser. 07-C2, Class AX, IO, 0.272s,             
2049  17,010,900  113,225  46,769,937  311,301  --  -- 
Ser. 06-C4, Class AX, IO, 0.193s,             
2039  6,092,169  82,258  --  --  --  -- 
Ser. 07-C1, Class AX, IO, 0.167s,             
2040  7,288,917  50,833  --  --  --  -- 
CS First Boston Mortgage             
Securities Corp. 144A             
Ser. 98-C2, Class F, 6 3/4s, 2030  353,000  380,733  --  --  --  -- 
Ser. 98-C1, Class F, 6s, 2040  383,000  400,488  410,000  428,721  --  -- 
FRB Ser. 03-CK2, Class G, 5.744s,             
2036  464,000  465,155  495,000  496,232  487,000  488,212 
Ser. 03-C3, Class AX, IO, 1.909s,             
2038  4,739,023  116,648  9,184,984  226,083  10,623,946  261,502 
Ser. 02-CP3, Class AX, IO, 1.62s,             
2035  2,826,548  27,497  11,549,226  112,351  --  -- 
Ser. 04-C4, Class AX, IO, 0.418s,             
2039  471,202  10,696  3,156,920  71,662  --  -- 
CWCapital Cobalt FRB Ser. 07-C3,             
Class A3, 6.01s, 2046  394,000  421,166  --  --  --  -- 
Deutsche Alt-A Securities, Inc.             
Mortgage Loan Trust FRB Ser.             
06-AR3, Class A5, 0.356s, 2036  --  --  547,049  333,700  300,051  183,031 
DLJ Commercial Mortgage Corp. 144A             
Ser. 99-CG2, Class B3, 6.1s, 2032  --  --  85,562  85,542  75,149  75,132 
Ser. 99-CG2, Class B4, 6.1s, 2032  --  --  571,000  564,652  --  -- 
Federal Home Loan Mortgage Corp.             
IFB Ser. 3182, Class SP, 27.852s,             
2032  155,135  251,866  --  --  --  -- 
IFB Ser. 3408, Class EK, 25.04s,             
2037  --  --  466,140  701,215  406,082  610,869 
IFB Ser. 2979, Class AS, 23.587s,             
2034  --  --  74,449  102,583  74,872  103,166 
IFB Ser. 3072, Class SM, 23.111s,             
2035  233,055  342,611  211,108  310,347  --  -- 
IFB Ser. 3072, Class SB, 22.964s,             
2035  208,496  305,090  216,334  316,559  551,285  806,691 
IFB Ser. 3249, Class PS, 21.658s,             
2036  192,142  275,858  314,585  451,650  572,658  822,166 
IFB Ser. 3065, Class DC, 19.299s,             
2035  123,244  164,176  --  --  352,296  469,304 
IFB Ser. 2990, Class LB, 16.468s,             
2034  216,931  271,687  425,618  533,048  428,194  536,274 
IFB Ser. 3031, Class BS, 16.257s,             
2035  124,863  163,903  --  --  --  -- 
IFB Ser. 3727, Class PS, IO,             
6.513s, 2038  2,724,651  462,918  --  --  --  -- 
IFB Ser. 3287, Class SE, IO,             
6.513s, 2037  391,998  67,255  2,523,774  433,004  1,449,815  248,745 
IFB Ser. 3398, Class SI, IO,             
6.463s, 2036  --  --  1,843,686  236,987  1,567,196  201,447 
IFB Ser. 3752, Class JS, IO,             
6.413s, 2040  3,039,455  542,424  3,393,575  605,621  --  -- 
IFB Ser. 3861, Class PS, IO,             
6.413s, 2037  6,573,058  1,150,285  6,916,315  1,210,355  --  -- 
IFB Ser. 3708, Class SQ, IO,             
6.363s, 2040  1,886,553  346,975  2,067,350  380,227  2,052,928  377,575 
IFB Ser. 3751, Class SB, IO,             
5.853s, 2039  --  --  --  --  10,623,289  1,635,349 
IFB Ser. 3740, Class DS, IO,             
5.833s, 2040  10,006,927  1,678,962  8,702,153  1,460,047  6,961,539  1,168,007 
Ser. 3747, Class HI, IO, 4 1/2s,             
2037  268,153  39,767  118,753  17,611  149,399  22,156 
Ser. 3751, Class MI, IO, 4s, 2034  --  --  3,555,993  465,302  3,300,138  431,823 
Ser. 3707, Class HI, IO, 4s, 2023  545,481  55,143  242,253  24,489  305,700  30,903 
Ser. T-56, Class A, IO, 0.524s,             
2043  151,434  3,123  --  --  --  -- 
Ser. T-56, Class 3, IO, 0.47s,             
2043  121,694  304  --  --  --  -- 
Ser. T-56, Class 1, IO, 0.292s,             
2043  162,798  432  --  --  --  -- 
Ser. T-56, Class 2, IO, 0.118s,             
2043  146,257  14  --  --  --  -- 
Ser. 3327, Class IF, IO, zero %,             
2037 (F)  13,761  86  29,488  184  24,160  151 
Ser. 3391, PO, zero %, 2037  --  --  47,089  38,077  47,089  38,077 
Ser. 3300, PO, zero %, 2037  --  --  --  --  383,049  336,197 
Ser. 3206, Class EO, PO, zero %,             
2036  --  --  32,113  27,239  32,113  27,239 
Ser. 1208, Class F, PO, zero %,             
2022  3,662  3,229  --  --  --  -- 
FRB Ser. 3326, Class YF, zero %,             
2037  --  --  28,109  22,079  25,368  19,927 
FRB Ser. 3263, Class TA, zero %,             
2037  --  --  264  258  214  209 
FRB Ser. 3147, Class SF, zero %,             
2036  --  --  135,760  125,803  101,474  94,032 
FRB Ser. 3117, Class AF, zero %,             
2036 (F)  --  --  28,928  27,726  --  -- 
FRB Ser. 3326, Class WF, zero %,             
2035  24,740  20,321  49,394  40,570  51,556  42,346 
FRB Ser. 3036, Class AS, zero %,             
2035 (F)  --  --  41,593  32,248  --  -- 
FRB Ser. 3003, Class XF, zero %,             
2035  10,982  10,606  39,096  37,758  37,724  36,432 
Federal National Mortgage             
Association             
IFB Ser. 07-75, Class JS,             
50.874s, 2037  81,454  162,504  --  --  143,766  286,819 
IFB Ser. 06-62, Class PS,             
38.785s, 2036  113,616  200,305  216,628  381,916  176,231  310,696 
IFB Ser. 06-8, Class HP, 23.885s,             
2036  107,760  155,486  --  --  338,069  487,800 
IFB Ser. 05-45, Class DA,             
23.739s, 2035  --  --  832,245  1,238,471  605,771  901,453 
IFB Ser. 07-53, Class SP,             
23.519s, 2037  207,351  307,107  322,546  477,722  --  -- 
IFB Ser. 05-75, Class GS,             
19.693s, 2035  227,779  310,127  235,786  321,030  257,586  350,710 
IFB Ser. 05-106, Class JC,             
19.548s, 2035  --  --  120,951  163,108  115,067  155,173 
IFB Ser. 05-83, Class QP,             
16.911s, 2034  --  --  79,261  104,490  79,261  104,490 
Ser. 03-W10, Class 1, IO, 1.509s,             
2043  231,330  11,277  --  --  --  -- 
Ser. 01-50, Class B1, IO, 0.419s,             
2041  1,776,877  26,653  --  --  --  -- 
Ser. 02-W8, Class 1, IO, 0.341s,             
2042  843,451  11,070  --  --  --  -- 
Ser. 01-79, Class BI, IO, 0.314s,             
2045  585,652  7,687  --  --  --  -- 
Ser. 03-34, Class P1, PO, zero %,             
2043  27,542  20,708  --  --  --  -- 
Ser. 07-64, Class LO, PO, zero %,             
2037  --  --  --  --  183,081  161,688 
Ser. 07-14, Class KO, PO, zero %,             
2037  --  --  116,455  96,916  90,304  75,153 
Ser. 06-125, Class OX, PO, zero             
%, 2037  --  --  28,722  25,068  27,886  24,338 
Ser. 06-84, Class OT, PO, zero %,             
2036  --  --  25,645  22,668  25,645  22,668 
Ser. 06-46, Class OC, PO, zero %,             
2036  --  --  45,848  39,213  --  -- 
Ser. 04-61, Class CO, PO, zero %,             
2031  36,773  36,270  --  --  --  -- 

 


FRB Ser. 06-104, Class EK, zero             
%, 2036  7,290  6,888  9,623  9,092  13,195  12,466 
FRB Ser. 05-117, Class GF, zero             
%, 2036  2,867  2,856  3,187  3,175  2,790  2,780 
FRB Ser. 06-1, Class HF, zero %,             
2032  --  --  3,392  3,390  5,162  5,160 
FFCA Secured Lending Corp. 144A             
Ser. 00-1, Class X, IO, 1.108s,             
2020 (F)  237,508  7,032  918,258  27,188  586,859  17,376 
First Horizon Alternative Mortgage             
Securities FRB Ser. 06-AA5,             
Class A1, 6.3s, 2036  3,800,673  1,824,323  --  --  --  -- 
First Union National Bank-Bank             
of America Commercial Mortgage 144A             
Ser. 01-C1, Class 3, IO, 1.595s,             
2033  --  --  784,686  34  698,907  30 
First Union-Lehman Brothers             
Commercial Mortgage Trust II             
Ser. 97-C2, Class F, 7 1/2s, 2029  --  --  580,000  617,050  538,000  572,367 
Ser. 97-C2, Class G, 7 1/2s, 2029  71,000  76,379  185,000  199,015  288,000  309,818 
First Union-Lehman Brothers-Bank             
of America 144A Ser. 98-C2,             
Class G, 7s, 2035 (F)  --  --  --  --  703,000  739,352 
GE Capital Commercial Mortgage             
Corp. 144A             
Ser. 05-C2, Class XC, IO, 0.186s,             
2043  8,337,120  65,863  14,777,207  116,740  14,209,666  112,256 
Ser. 07-C1, Class XC, IO, 0.113s,             
2049  23,616,257  117,706  66,019,325  329,047  --  -- 
Ser. 05-C3, Class XC, IO, 0.104s,             
2045  103,872,056  520,194  185,997,275  931,480  171,678,223  859,770 
GMAC Commercial Mortgage             
Securities, Inc.             
Ser. 04-C3, Class AJ, 4.915s, 2041  415,000  412,482  440,000  437,331  --  -- 
Ser. 97-C1, Class X, IO, 1.32s,             
2029  286,609  9,895  --  --  --  -- 
Ser. 05-C1, Class X1, IO, 0.446s,             
2043  2,611,571  36,884  10,984,978  155,143  11,930,992  168,504 
GMAC Commercial Mortgage             
Securities, Inc. 144A Ser. 99-C3,             
Class G, 6.974s, 2036  --  --  70,873  65,203  62,030  57,068 
Government National Mortgage             
Association             
IFB Ser. 11-7, Class SH, IO,             
6.414s, 2036  3,250,007  586,951  3,561,470  643,202  3,536,625  638,715 
IFB Ser. 11-25, Class SA, IO,             
5.914s, 2040  2,902,687  459,894  3,119,145  494,190  3,547,187  562,007 
IFB Ser. 11-35, Class AS, IO,             
5.914s, 2037  2,816,088  426,356  2,997,644  453,843  3,385,423  512,553 
IFB Ser. 11-3, Class S, IO,             
5.814s, 2041  6,362,575  1,171,795  5,620,746  1,035,173  --  -- 
Ser. 06-36, Class OD, PO, zero %,             
2036  --  --  22,123  19,897  16,287  14,648 
Ser. 99-31, Class MP, PO, zero %,             
2029  6,134  5,394  28,978  25,483  14,489  12,741 
FRB Ser. 07-73, Class KI, IO,             
zero %, 2037  --  --  1,652,690  23,501  633,120  9,003 
FRB Ser. 07-35, Class UF, zero %,             
2037  8,268  7,895  17,219  16,443  14,185  13,545 
Greenwich Capital Commercial             
Funding Corp.             
Ser. 07-GG9, Class A2, 5.381s,             
2039  1,134,083  1,153,716  1,182,780  1,203,256  --  -- 
Ser. 05-GG5, Class A2, 5.117s,             
2037  567,264  572,402  548,987  553,959  1,252,990  1,264,339 
Greenwich Capital Commercial             
Funding Corp. 144A Ser. 05-GG3,             
Class XC, IO, 0.494s, 2042  8,192,096  118,295  28,818,087  416,136  26,160,713  377,763 
GS Mortgage Securities Corp. II             
Ser. 06-GG6, Class A2, 5.506s, 2038  766,720  780,137  893,685  909,324  --  -- 
GS Mortgage Securities Corp. II             
144A             
Ser. 98-C1, Class F, 6s, 2030 (F)  --  --  208,394  208,391  209,883  209,879 
Ser. 04-C1, Class X1, IO, 1.164s,             
2028  88,059  9  119,972  12  119,972  12 
Ser. 03-C1, Class X1, IO, 1.001s,             
2040  4,926,829  44,668  4,051,565  36,733  --  -- 
Ser. 06-GG6, Class XC, IO,             
0.168s, 2038  2,979,315  6,016  29,811,931  60,196  21,539,850  43,493 
IndyMac Indx Mortgage Loan Trust             
FRB Ser. 07-AR15, Class 1A1,             
5.432s, 2037  1,932,275  1,217,333  --  --  1,342,277  845,635 
FRB Ser. 06-AR25, Class 5A1,             
5.402s, 2036  762,060  446,533  --  --  347,576  203,664 
FRB Ser. 06-AR3, Class 2A1A,             
2.817s, 2036  1,806,791  903,396  1,806,791  903,396  1,002,970  501,485 
FRB Ser. 06-AR39, Class A1,             
0.366s, 2037  567,533  319,237  736,658  414,370  870,028  489,391 
JPMorgan Alternative Loan Trust             
FRB Ser. 07-A2, Class 12A1,             
0.386s, 2037  2,545,790  1,272,895  2,708,287  1,354,144  3,033,282  1,516,641 
JPMorgan Chase Commercial Mortgage             
Securities Corp.             
Ser. 97-C5, Class F, 7.561s, 2029             
(F)  45,792  47,843  145,961  152,499  --  -- 
FRB Ser. 07-LD12, Class A3,             
6.186s, 2051  1,355,000  1,441,520  5,191,000  5,522,456  --  -- 
Ser. 07-C1, Class ASB, 5.857s,             
2051  1,931,000  2,072,522  338,000  362,772  1,760,000  1,888,990 
Ser. 07-LD12, Class A2, 5.827s,             
2051  404,000  416,020  --  --  --  -- 
Ser. 06-CB17, Class A3, 5.45s,             
2043  --  --  359,000  364,641  --  -- 
Ser. 07-LDPX, Class A3S, 5.317s,             
2049  --  --  --  --  857,000  895,065 
Ser. 06-LDP9, Class A2S, 5.298s,             
2047 (F)  1,740,000  1,767,408  1,802,000  1,830,385  1,967,000  1,997,984 
Ser. 06-LDP8, Class A2, 5.289s,             
2045  131,698  132,370  --  --  --  -- 
Ser. 06-LDP8, Class X, IO,             
0.752s, 2045  2,829,733  61,669  14,932,655  325,432  12,592,311  274,428 
Ser. 06-CB17, Class X, IO,             
0.696s, 2043  13,130,924  293,401  --  --  --  -- 
Ser. 07-LDPX, Class X, IO,             
0.516s, 2049  4,747,972  56,976  20,029,310  240,352  --  -- 
Ser. 06-CB16, Class X1, IO,             
0.216s, 2045  3,177,739  40,675  14,701,228  188,176  12,290,892  157,323 
JPMorgan Chase Commercial Mortgage             
Securities Corp. 144A             
Ser. 00-C9, Class G, 6 1/4s, 2032  11,639  11,620  73,510  73,392  79,636  79,507 
Ser. 03-ML1A, Class X1, IO,             
1.487s, 2039  588,380  10,409  --  --  --  -- 
Ser. 05-LDP2, Class X1, IO,             
0.317s, 2042  17,065,740  261,106  41,763,507  638,982  --  -- 
Ser. 07-CB20, Class X1, IO,             
0.198s, 2051  6,957,939  75,130  39,139,980  422,626  31,697,817  342,267 
Ser. 05-CB12, Class X1, IO,             
0.113s, 2037  3,308,882  25,876  9,471,224  74,066  9,104,591  71,199 
Ser. 06-LDP6, Class X1, IO,             
0.096s, 2043  --  --  24,152,098  86,948  17,413,181  62,687 
Key Commercial Mortgage             
Ser. 07-SL1, Class A2, 5.743s,             
2040 (F)  1,091,000  1,056,907  --  --  --  -- 
Ser. 07-SL1, Class A1, 5.48s,             
2040 (F)  272,735  272,680  --  --  --  -- 
LB Commercial Conduit Mortgage             
Trust 144A             
Ser. 99-C1, Class F, 6.41s,             
2031 (F)  --  --  149,428  152,029  136,004  138,371 
Ser. 99-C1, Class G, 6.41s,             
2031 (F)  --  --  159,961  161,877  145,590  147,334 
Ser. 98-C4, Class G, 5.6s, 2035  --  --  132,000  139,564  --  -- 
Ser. 98-C4, Class H, 5.6s, 2035  --  --  223,000  235,048  215,000  226,616 
LB-UBS Commercial Mortgage Trust             
Ser. 07-C6, Class A2, 5.845s, 2040  3,536,283  3,653,056  --  --  --  -- 
Ser. 07-C7, Class A2, 5.588s, 2045  1,176,000  1,205,896  660,000  676,778  --  -- 
Ser. 06-C7, Class A2, 5.3s, 2038  173,000  174,378  --  --  --  -- 
Ser. 07-C2, Class XW, IO, 0.751s,             
2040  1,141,955  24,304  4,445,123  94,604  --  -- 
LB-UBS Commercial Mortgage Trust             
144A             
Ser. 03-C5, Class XCL, IO,             
0.942s, 2037  1,033,785  10,385  4,775,243  47,971  --  -- 
Ser. 06-C7, Class XW, IO, 0.909s,             
2038  1,747,448  43,932  9,339,301  234,797  --  -- 
Ser. 06-C7, Class XCL, IO,             
0.403s, 2038  3,291,271  50,489  16,139,173  247,578  15,117,137  231,900 
Ser. 05-C2, Class XCL, IO,             
0.365s, 2040  10,826,800  82,140  21,629,058  164,093  28,684,852  217,623 
Ser. 05-C3, Class XCL, IO, 0.34s,             
2040  4,396,574  80,447  23,576,965  431,402  21,765,289  398,253 
Ser. 07-C2, Class XCL, IO,             
0.265s, 2040  9,809,027  117,569  38,198,493  457,839  --  -- 

 


Ser. 06-C6, Class XCL, IO,             
0.256s, 2039  38,321,910  704,970  53,490,676  984,014  48,528,573  892,732 
Ser. 05-C5, Class XCL, IO,             
0.253s, 2040  10,787,390  160,703  27,050,240  402,976  25,461,559  379,308 
Ser. 06-C1, Class XCL, IO, 0.16s,             
2041  8,864,142  88,637  --  --  25,810,099  258,088 
Ser. 05-C7, Class XCL, IO,             
0.159s, 2040  10,585,493  65,881  27,490,758  171,094  27,564,536  171,553 
Luminent Mortgage Trust FRB Ser.             
06-7, Class 1A1, 0.366s, 2036  1,979,843  1,088,914  --  --  --  -- 
Merit Securities Corp. 144A FRB             
Ser. 11PA, Class 3A1, 0.806s, 2027  196,641  166,313  548,364  463,789  232,455  196,603 
Merrill Lynch Floating Trust 144A             
FRB Ser. 06-1, Class TM, 0.687s,             
2022  345,021  331,737  305,856  294,081  360,562  346,680 
Merrill Lynch Mortgage Investors,             
Inc.             
FRB Ser. 98-C3, Class E, 7.045s,             
2030  --  --  137,000  145,839  127,000  135,193 
FRB Ser. 97-C2, Class F, 6 1/4s,             
2029  316,835  334,816  339,085  358,328  --  -- 
Ser. 96-C2, Class JS, IO, 2.386s,             
2028 (F)  153,090  5,066  90,289  2,988  34,449  1,140 
Merrill Lynch Mortgage Trust             
FRB Ser. 07-C1, Class A3, 6.02s,             
2050  219,000  234,444  981,000  1,050,182  771,000  825,372 
FRB Ser. 07-C1, Class A2, 5.916s,             
2050  320,162  327,303  --  --  --  -- 
Ser. 03-KEY1, Class B, 5.334s,             
2035  --  --  --  --  1,863,000  1,936,460 
Ser. 05-MCP1, Class XC, IO,             
0.215s, 2043  3,509,267  38,251  11,878,049  129,471  11,425,167  124,534 
Merrill Lynch Mortgage Trust 144A             
Ser. 04-KEY2, Class XC, IO,             
0.455s, 2039  2,178,387  43,620  5,944,475  119,032  7,035,476  140,878 
Merrill Lynch/Countrywide             
Commercial Mortgage Trust             
FRB Ser. 07-8, Class A3, 6.164s,             
2049  151,000  165,312  --  --  --  -- 
Ser. 06-1, Class A2, 5.439s, 2039  43,855  43,834  --  --  --  -- 
Ser. 07-6, Class A2, 5.331s, 2051  2,114,000  2,149,357  --  --  --  -- 
Ser. 2006-3, Class A2, 5.291s,             
2046  536,041  536,720  --  --  --  -- 
Mezz Cap Commercial Mortgage Trust             
144A             
Ser. 06-C4, Class X, IO, 5.949s,             
2045  870,850  52,251  2,180,986  130,859  2,243,619  134,617 
Ser. 05-C3, Class X, IO, 5.901s,             
2044  371,205  28,026  587,293  44,341  588,189  44,408 
Ser. 07-C5, Class X, IO, 5.081s,             
2049  --  --  579,895  40,593  487,435  34,120 
Morgan Stanley Capital I             
Ser. 98-CF1, Class D, 7.35s, 2032  11,986  12,055  --  --  --  -- 
FRB Ser. 06-T23, Class A2, 5.92s,             
2041 (F)  922,770  925,600  1,112,835  1,116,248  --  -- 
FRB Ser. 07-HQ12, Class A2,             
5.776s, 2049 (F)  1,225,962  1,242,824  1,291,655  1,309,421  --  -- 
Ser. 07-IQ16, Class A2, 5.623s,             
2049  508,000  522,473  538,000  553,328  --  -- 
Ser. 07-IQ14, Class A2, 5.61s,             
2049  810,833  824,411  879,637  894,367  --  -- 
FRB Ser. 07-HQ12, Class A2FL,             
0.439s, 2049  563,480  515,584  594,013  543,522  --  -- 
Morgan Stanley Capital I 144A Ser.             
05-HQ5, Class X1, IO, 0.172s, 2042             
(F)  2,649,482  14,566  7,264,330  39,938  5,718,211  31,438 
Morgan Stanley ReREMIC Trust 144A             
FRB Ser. 10-C30A, Class A3B,             
10.236s, 2043 (F)  1,333,143  1,408,667  561,714  593,536  --  -- 
Mortgage Capital Funding, Inc.             
Ser. 97-MC2, Class X, IO, 1.989s,             
2012  379  3  105  1  --  -- 
Nomura Asset Securities Corp. 144A             
Ser. 98-D6, Class B1, 6s, 2030  --  --  --  --  428,000  443,734 
PNC Mortgage Acceptance Corp. 144A             
Ser. 00-C1, Class J, 6 5/8s, 2033  --  --  118,000  4,720  189,000  7,560 
Salomon Brothers Mortgage             
Securities VII 144A Ser. 02-KEY2,             
Class X1, IO, 2.044s, 2036  2,125,301  25,079  7,887,857  93,077  --  -- 
Structured Adjustable Rate             
Mortgage Loan Trust             
FRB Ser. 07-8, Class 1A2, 6 1/4s,             
2037  552,859  348,301  2,743,751  1,728,563  --  -- 
FRB Ser. 06-9, Class 1A1, 5.159s,             
2036  903,913  550,976  385,972  235,267  --  -- 
Structured Asset Securities Corp.             
IFB Ser. 07-4, Class 1A3, IO,             
6.025s, 2045  1,409,417  207,043  --  --  --  -- 
Ser. 07-4, Class 1A4, IO, 1s, 2045  1,409,417  57,222  --  --  --  -- 
Vericrest Opportunity Loan             
Transferee 144A Ser. 10-NPL1,             
Class M, 6s, 2039  1,024,988  1,019,863  1,576,972  1,569,087  1,371,975  1,365,115 
Wachovia Bank Commercial Mortgage             
Trust             
FRB Ser. 07-C32, Class A2,             
5.927s, 2049  383,076  396,052  190,166  196,608  --  -- 
Ser. 06-C27, Class A2, 5.624s,             
2045  555,236  555,967  433,882  434,453  --  -- 
Ser. 07-C30, Class APB, 5.294s,             
2043  709,000  751,744  752,000  797,336  968,000  1,026,358 
Ser. 06-C29, Class A2, 5.275s,             
2048  325,616  328,863  343,595  347,021  --  -- 
Ser. 07-C30, Class A3, 5.246s,             
2043  --  --  528,000  540,514  576,000  589,652 
Ser. 07-C34, IO, 0.545s, 2046  4,691,426  69,152  10,519,181  155,053  --  -- 
Ser. 06-C29, IO, 0.53s, 2048  42,988,124  710,164  73,463,296  1,213,614  --  -- 
Wachovia Bank Commercial Mortgage             
Trust 144A             
FRB Ser. 05-WL5A, Class L,             
3.487s, 2018  --  --  164,000  98,400  156,000  93,600 
Ser. 03-C3, Class IOI, IO, 1.26s,             
2035  388,300  5,075  2,917,476  38,133  --  -- 
Ser. 05-C18, Class XC, IO,             
0.144s, 2042  10,606,562  81,458  18,098,680  138,998  20,898,337  160,499 
Ser. 06-C26, Class XC, IO,             
0.091s, 2045  15,166,151  45,498  12,080,449  36,241  7,481,517  22,445 
Ser. 06-C23, Class XC, IO,             
0.076s, 2045  4,284,286  18,551  28,238,607  122,273  30,997,401  134,219 
Wachovia Mortgage Loan Trust, LLC             
FRB Ser. 06-AMN1, Class A2,             
0.336s, 2036  1,017,306  478,134  1,017,306  478,134  --  -- 
WAMU Commercial Mortgage             
Securities Trust 144A             
Ser. 05-C1A, Class G, 5.72s, 2036             
(F)  --  --  46,000  16,093  44,000  15,393 
Ser. 07-SL2, Class A1, 5.419s,             
2049 (F)  1,439,645  1,309,381  --  --  --  -- 
Total mortgage-backed securities             
(cost $70,630,704, $69,125,488 and             
$44,440,078)    $71,318,013    $73,761,917    $48,900,398 
 
 
INVESTMENT COMPANIES(a)  Growth 3.3%  Balanced 3.8%  Conservative 2.9% 
  Shares  Value  Shares  Value  Shares  Value 
Financial Select Sector SPDR Fund             
(SG) (SB) (SC)  $240,800  $3,691,464  $181,300  $2,779,329  $52,500  $804,825 
iShares MSCI EAFE Index Fund  15,600  938,184  7,707  463,499  3,688  221,796 
iShares Russell 2000 Growth Index             
Fund (SB)  --  --  4,202  398,560  711  67,438 
MCG Capital Corp.  21,107  128,331  13,764  83,685  3,546  21,560 
NGP Capital Resources Co.  31,305  256,701  20,883  171,241  5,125  42,025 
SPDR S&P 500 ETF Trust (SB) (SC)  405,645  53,532,971  383,121  50,560,478  110,783  14,620,033 
Total investment companies (cost             
$55,553,119, $50,848,910 and             
$13,779,440)    $58,547,651    $54,456,792    $15,777,677 
 
 
COMMODITY LINKED NOTES(a)  Growth 2.2%  Balanced 2.2%  Conservative 2.1% 
Principal    Principal    Principal   
  amount  Value  amount  Value  amount  Value 
Citigroup Funding, Inc.144A notes             
zero %, 2011 (Indexed to the 1 Yr             
Dow Jones-UBS Ex-Energy 3-Month             
Forward Total Return Index) (F)  $15,900,000  $18,021,938  $12,700,000  $14,394,881  $4,100,000  $4,647,166 
UBS AG/ Jersey Branch144A notes             
zero %, 2011 (Indexed to the UBS             
Bloomberg Constant Maturity             
Commodity Index) (United Kingdom)             
(F)  18,169,000  20,656,821  14,546,000  16,537,736  5,712,000  6,494,125 
Total commodity linked notes (cost             
$34,069,000, $27,246,000 and             
$9,812,000)    $38,678,759    $30,932,617    $11,141,291 

 


ASSET-BACKED SECURITIES(a)    Growth 1.5%  Balanced 2.2%  Conservative 2.9% 
Principal    Principal    Principal   
    amount  Value  amount  Value  amount  Value 
Ace Securities Corp. FRB Ser.               
06-HE3, Class A2C, 0.336s, 2036    $119,000  $50,235  $549,000  $231,754  $436,000  $184,053 
Ace Securities Corp. 144A Ser.               
03-MH1, Class M2, 6 1/2s, 2030    340,439  336,354  164,167  162,197  --  -- 
Bay View Auto Trust Ser. 05-LJ2,               
Class D, 5.27s, 2014    33,030  33,256  74,051  74,559  71,387  71,877 
Bear Stearns Asset Backed               
Securities, Inc. FRB Ser. 03-ABF1,               
Class A, 0.556s, 2034    8,101  6,118  --  --  --  -- 
Bombardier Capital Mortgage               
Securitization Corp.               
Ser. 00-A, Class A5, 8.32s, 2030    --  --  862,268  603,587  --  -- 
Ser. 00-A, Class A4, 8.29s, 2030    3,236,457  2,225,064  2,348,955  1,614,906  --  -- 
Ser. 00-A, Class A3, 7.83s, 2030    3,889,332  2,496,951  --  --  --  -- 
Ser. 00-A, Class A2, 7.575s, 2030    --  --  925,622  597,026  2,437,544  1,572,216 
Conseco Finance Securitizations               
Corp.               
Ser. 00-4, Class A6, 8.31s, 2032    --  --  717,028  546,734  --  -- 
Ser. 00-5, Class A7, 8.2s, 2032    --  --  1,724,142  1,409,486  566,402  463,034 
Ser. 00-5, Class A6, 7.96s, 2032    2,769,773  2,243,516  1,570,530  1,272,129  --  -- 
Ser. 02-1, Class M1F, 7.954s, 2033    --  --  776,000  856,165  --  -- 
Ser. 00-6, Class A5, 7.27s, 2031    2,439,781  2,562,258  --  --  --  -- 
Ser. 01-1, Class A5, 6.99s, 2031    --  --  1,344,698  1,371,591  1,483,079  1,512,741 
FRB Ser. 02-1, Class M1A, 2.241s,               
2033    725,000  648,626  1,996,000  1,785,735  --  -- 
Credit-Based Asset Servicing and               
Securitization FRB Ser. 02-CB2,               
Class A2, 1.286s, 2032    21,753  17,983  --  --  --  -- 
GE Business Loan Trust 144A Ser.               
04-2, Class D, 2.937s, 2032 (F)    --  --  88,711  17,757  109,105  21,839 
Green Tree Financial Corp.               
Ser. 94-4, Class B2, 8.6s, 2019    1,123,096  587,832  504,429  264,020  --  -- 
Ser. 96-6, Class M1, 7.95s, 2027    2,582,000  2,452,900  1,222,000  1,160,900  1,077,000  1,023,150 
Ser. 99-5, Class A5, 7.86s, 2029    1,110,368  1,010,435  3,529,115  3,211,494  1,737,400  1,581,034 
Ser. 97-6, Class A9, 7.55s, 2029    47,312  50,162  --  --  88,354  93,675 
Ser. 97-2, Class M1, 7.54s, 2028    1,275,418  943,810  --  --  2,117,676  1,567,080 
Ser. 97-6, Class M1, 7.21s, 2029    293,000  253,311  688,000  594,805  --  -- 
Ser. 96-2, Class A4, 7.2s, 2026    23,967  24,053  --  --  --  -- 
Ser. 99-3, Class A8, 7.06s, 2031    --  --  532,000  505,400  --  -- 
Ser. 95-10, Class B1, 7.05s, 2027    311,648  313,206  --  --  --  -- 
Ser. 97-8, Class M1, 7.02s, 2027    --  --  --  --  1,050,000  759,938 
Ser. 98-2, Class M1, 6.94s, 2028    --  --  --  --  2,440,728  1,061,717 
Ser. 99-2, Class A6, 6.92s, 2030    --  --  --  --  775,000  733,828 
Ser. 93-3, Class B, 6.85s, 2018    79,831  71,532  37,293  33,416  --  -- 
Ser. 98-3, Class A6, 6.76s, 2030    --  --  365,229  388,515  --  -- 
Ser. 99-3, Class A7, 6.74s, 2031    383,613  383,613  490,853  490,853  --  -- 
Ser. 99-2, Class A7, 6.44s, 2030    --  --  695,280  716,733  --  -- 
Ser. 99-1, Class A6, 6.37s, 2025    134,667  138,707  190,336  196,046  118,761  122,324 
Greenpoint Manufactured Housing               
Ser. 00-3, Class IA, 8.45s, 2031    3,367,923  3,412,127  3,201,967  3,243,993  1,231,214  1,247,374 
GSAA Home Equity Trust               
FRB Ser. 05-11, Class 3A4,               
0.436s, 2035    339,861  273,588  419,234  337,484  --  -- 
FRB Ser. 06-16, Class A3A,               
0.426s, 2036    865,381  417,006  2,216,241  1,067,951  --  -- 
FRB Ser. 06-3, Class A2, 0.376s,               
2036    968,396  513,250  1,248,240  661,567  1,321,327  700,303 
FRB Ser. 06-16, Class A2, 0.356s,               
2036    --  --  248,713  114,408  --  -- 
FRB Ser. 06-16, Class A1, 0.246s,               
2036    314,890  141,701  232,705  104,717  --  -- 
FRB Ser. 07-3, Class 2A1A,               
0.216s, 2047    --  --  2,604,430  1,315,237  --  -- 
Lehman ABS Manufactured Housing               
Contract Ser. 01-B, Class M1,               
6.63s, 2028    --  --  --  --  448,000  421,120 
Long Beach Mortgage Loan Trust FRB               
Ser. 06-4, Class 2A4, 0.446s, 2036    106,473  37,084  482,484  168,048  377,930  131,632 
Madison Avenue Manufactured               
Housing Contract FRB Ser. 02-A,               
Class M2, 2.436s, 2032    507,000  452,751  --  --  --  -- 
Merrill Lynch Mortgage Investors,               
Inc. FRB Ser. 04-HE2, Class A1A,               
0.586s, 2035    2,087  1,989  --  --  --  -- 
Mid-State Trust Ser. 11, Class B,               
8.221s, 2038    59,424  57,731  158,620  154,101  122,591  119,099 
New Century Home Equity Loan Trust               
Ser. 03-5, Class AI7, 5.15s, 2033    44,944  45,306  152,719  153,947  133,916  134,993 
Novastar Home Equity Loan               
FRB Ser. 06-1, Class A2C, 0.346s,               
2036    105,517  50,584  478,647  229,462  --  -- 
FRB Ser. 06-2, Class A2C, 0.336s,               
2036    138,000  73,723  626,000  334,427  --  -- 
Oakwood Mortgage Investors, Inc.               
Ser. 00-A, Class A3, 7.945s, 2022    55,507  43,913  655,699  518,738  211,285  167,152 
Ser. 95-B, Class B1, 7.55s, 2021    --  --  94,567  69,728  136,483  100,635 
Ser. 01-C, Class A4, 7.405s, 2030    --  --  742,708  468,138  --  -- 
Ser. 01-D, Class A4, 6.93s, 2031    1,314,959  1,059,775  --  --  --  -- 
Ser. 98-A, Class M, 6.825s, 2028    454,000  429,125  219,000  207,001  --  -- 
Ser. 01-E, Class A4, 6.81s, 2031    596,661  523,943  890,057  781,581  --  -- 
Ser. 01-C, Class A3, 6.61s, 2021    --  --  605,857  336,251  --  -- 
Ser. 99-B, Class A3, 6.45s, 2017    90,179  87,079  190,834  184,274  176,660  170,587 
Ser. 99-A, Class A3, 6.09s, 2029    112,797  113,130  --  --  --  -- 
Ser. 01-E, Class A3, 5.69s,               
2031 (F)    --  --  --  --  880,130  722,945 
Ser. 02-C, Class A1, 5.41s, 2032    710,188  681,781  1,053,540  1,011,399  --  -- 
Ser. 01-D, Class A2, 5.26s, 2019    756,004  512,193  781,960  529,778  --  -- 
Ser. 02-B, Class A2, 5.19s, 2019    --  --  --  --  738,311  690,821 
Ser. 02-A, Class A2, 5.01s, 2020    141,292  131,573  --  --  70,646  65,786 
Oakwood Mortgage Investors, Inc.               
144A Ser. 01-B, Class A4, 7.21s,               
2030    --  --  355,879  340,754  72,546  69,463 
Residential Asset Mortgage               
Products, Inc. FRB Ser. 07-RZ1,               
Class A2, 0.346s, 2037    203,661  121,120  826,451  491,500  --  -- 
SG Mortgage Securities Trust FRB               
Ser. 06-OPT2, Class A3D, 0.396s,               
2036    234,000  75,583  1,061,000  342,706  --  -- 
Soundview Home Equity Loan Trust               
FRB Ser. 06-OPT3, Class 2A3,               
0.356s, 2036    107,444  81,811  --  --  381,378  290,392 
TIAA Real Estate CDO, Ltd. Ser.               
03-1A, Class E, 8s, 2038    --  --  371,052  44,526  317,893  38,147 
Total asset-backed securities               
(cost $26,293,808, $33,887,700 and               
$16,307,640)      $26,187,788    $31,317,524    $15,838,955 
 
 
FOREIGN GOVERNMENT BONDS AND NOTES(a)    Growth 0.8%  Balanced 1.1%  Conservative 3.0% 
Principal    Principal    Principal   
    amount  Value  amount  Value  amount  Value 
Argentina (Republic of) sr. unsec.               
bonds 7s, 2017    $125,000  $114,813  $115,000  $105,628  $155,000  $142,368 
Argentina (Republic of) sr. unsec.               
bonds Ser. VII, 7s, 2013    850,000  860,481  880,000  890,850  965,000  976,898 
Argentina (Republic of) sr. unsec.               
unsub. bonds 7s, 2015    4,755,000  4,562,042  5,110,000  4,902,636  5,615,000  5,387,143 
Argentina (Republic of) sr. unsec.               
unsub. bonds FRB 0.467s, 2012    8,160,000  1,966,723  8,525,000  2,054,696  9,140,000  2,202,923 
Brazil (Federal Republic of) notes               
(units) 10s, 2012  BRL  4,130  2,742,408  5,525  3,668,718  4,838  3,212,535 
Indonesia (Republic of) 144A sr.               
unsec. notes 4 7/8s, 2021    $800,000  819,000  $860,000  880,425  $960,000  982,800 
Ukraine (Government of ) Financing               
of Infrastructural Projects State               
Enterprise 144A govt. guaranty               
notes 8 3/8s, 2017    150,000  156,750  175,000  182,875  200,000  209,000 
Ukraine (Government of) 144A bonds               
7 3/4s, 2020    450,000  466,875  525,000  544,688  600,000  622,500 
Ukraine (Government of) 144A sr.               
unsec. unsub. notes 7.65s, 2013    2,200,000  2,310,000  2,200,000  2,310,000  2,300,000  2,415,000 
Total foreign government bonds and               
notes (cost $13,645,887,               
$15,109,215 and $15,640,542)      $13,999,092    $15,540,516    $16,151,167 
 
 
SENIOR LOANS(a)    Growth 0.4%  Balanced 0.5%  Conservative 0.7% 
Principal    Principal    Principal   
    amount  Value  amount  Value  amount  Value 
AGFS Funding Co. bank term loan               
FRN Ser. B, 5 1/2s, 2017    $210,000  $205,581  $215,000  $210,476  $175,000  $171,318 
American Rock Salt Co., LLC /               
American Rock Capital Corp. bank               
term loan FRN 5 1/2s, 2017    75,000  74,813  75,000  74,813  60,000  59,850 
Ardent Health Services bank term               
loan FRN Ser. B, 6 1/2s, 2015    291,313  291,404  301,188  301,282  102,540  102,572 
Avaya, Inc. bank term loan FRN               
Ser. B3, 4.755s, 2017    --  --  234  225  182  175 
Burlington Coat Factory Warehouse               
Corp. bank term loan FRN Ser. B,               
6 1/4s, 2017    74,813  74,541  74,813  74,541  59,850  59,633 
Caesars Entertainment Operating               
Co., Inc. bank term loan FRN               
Ser. B2, 3.246s, 2015    135,000  121,050  229,243  205,555  141,981  127,310 
CCM Merger, Inc. bank term loan               

 


FRN Ser. B, 7s, 2017    371,517  375,581  371,517  375,581  144,747  146,330 
Cengage Learning Acquisitions,               
Inc. bank term loan FRN Ser. B,               
2.44s, 2014    83,270  74,690  78,372  70,296  53,880  48,329 
Claire's Stores, Inc. bank term               
loan FRN 3.051s, 2014    212,285  193,091  216,367  196,804  66,049  60,077 
CNO Financial Group, Inc. bank               
term loan FRN 6 1/4s, 2016    98,810  99,057  94,693  94,930  82,342  82,548 
Del Monte Corp. bank term loan FRN               
Ser. B, 4 1/2s, 2018    170,000  169,442  170,000  169,442  65,000  64,787 
Dex Media West, LLC bank term loan               
FRN Ser. A, 7s, 2014    137,523  114,144  184,281  152,953  --  -- 
Emergency Medical Services Corp.               
bank term loan FRN Ser. B, 5.252s,               
2018    224,438  223,516  229,425  228,483  89,775  89,406 
Exopack, LLC bank term loan FRN               
Ser. B, 6 1/2s, 2017    110,000  109,725  110,000  109,725  --  -- 
First Data Corp. bank term loan               
FRN 4.186s, 2018    560,071  513,174  647,458  593,243  --  -- 
First Data Corp. bank term loan               
FRN Ser. B3, 2.936s, 2014    59,603  55,140  68,903  63,743  --  -- 
Frac Tech International, LLC bank               
term loan FRN Ser. B, 6 1/4s, 2016    189,232  188,788  189,232  188,788  76,820  76,640 
Goodman Global, Inc. bank term               
loan FRN 9s, 2017    100,000  102,542  100,000  102,542  75,000  76,906 
Goodman Global, Inc. bank term               
loan FRN Ser. 1st, 5 3/4s, 2016    213,027  213,382  213,027  213,382  168,439  168,720 
Grifols SA bank term loan FRN               
Ser. B, 6s, 2016 (Spain)    145,000  145,514  145,000  145,514  55,000  55,195 
Health Management Associates, Inc.               
bank term loan FRN 2.057s, 2014    --  --  56,663  54,778  52,493  50,747 
IASIS Healthcare, LLC bank term               
loan FRN Ser. B, 5s, 2018    334,163  333,661  334,163  333,661  129,675  129,480 
INEOS Holdings, Ltd. bank term               
loan FRN Ser. B2, 7.501s, 2013               
(United Kingdom)    173,049  178,727  173,001  178,678  135,756  140,211 
INEOS Holdings, Ltd. bank term               
loan FRN Ser. C2, 8.001s, 2014               
(United Kingdom)    173,448  179,139  173,547  179,242  136,719  141,205 
Intelsat Jackson Holdings SA bank               
term loan FRN 3.285s, 2014               
(Luxembourg)    400,000  385,000  540,000  519,750  460,000  442,750 
KAR Auction Services, Inc. bank               
term loan FRN Ser. B, 5s, 2017    90,000  90,169  90,000  90,169  70,000  70,131 
National Bedding Co., LLC bank               
term loan FRN Ser. B, 3.756s, 2013    --  --  42,178  41,757  38,999  38,609 
Neiman Marcus Group, Inc. (The)               
bank term loan FRN 4 3/4s, 2018    195,000  192,341  195,000  192,341  120,000  118,364 
Nortek, Inc. bank term loan FRN               
Ser. B, 5.253s, 2017    70,000  70,000  69,650  69,650  --  -- 
Polypore, Inc. bank term loan FRN               
Ser. B, 2.2s, 2014    --  --  115,944  114,564  107,460  106,181 
Realogy Corp. bank term loan FRN               
Ser. A, 13 1/2s, 2017    390,000  411,450  390,000  411,450  315,000  332,325 
Revlon Consumer Products bank term               
loan FRN Ser. B, 4 3/4s, 2017    300,000  300,000  300,000  300,000  --  -- 
Six Flags Theme Parks bank term               
loan FRN Ser. B, 5 1/4s, 2016    478,929  480,924  483,766  485,782  362,825  364,337 
SRAM Corp. bank term loan FRN Ser.               
2nd, 8 1/2s, 2018    75,000  75,000  75,000  75,000  --  -- 
Texas Competitive Electric               
Holdings Co., LLC bank term loan               
FRN 4.73s, 2017    799,610  622,696  933,336  726,835  106,302  82,783 
Univision Communications, Inc.               
bank term loan FRN 4.441s, 2017    --  --  120,292  114,878  111,490  106,473 
West Corp. bank term loan FRN               
Ser. B2, 2.645s, 2013    --  --  24,755  24,518  22,944  22,724 
West Corp. bank term loan FRN               
Ser. B5, 4.52s, 2016    --  --  60,208  60,283  55,802  55,872 
Total senior loans (cost               
$6,743,510, $7,599,078 and               
$3,564,595)      $6,664,282    $7,545,654    $3,591,988 
 
 
PURCHASED OPTIONS OUTSTANDING(a)      Growth 0.2%  Balanced 0.5%  Conservative 0.3% 
Expiration date/    Contract    Contract    Contract   
  strike price  amount  Value  amount  Value  amount  Value 
Option on an interest rate swap               
with JPMorgan Chase Bank, N.A. for               
the right to pay a fixed rate               
of 4.04% versus the three month               
USD-LIBOR-BBA maturing               
September 11, 2025.  Sep-15/4.04  $15,352,800  $1,500,429  $21,562,300  $2,107,284  $--  $-- 
Option on an interest rate swap               
with JPMorgan Chase Bank, N.A. for               
the right to receive a fixed rate               
of 4.04% versus the three month               
USD-LIBOR-BBA maturing               
September 11, 2025.  Sep-15/4.04  15,352,800  614,854  21,562,300  863,533  --  -- 
Option on an interest rate swap               
with JPMorgan Chase Bank, N.A. for               
the right to pay a fixed rate               
of 4.375% versus the three month               
USD-LIBOR-BBA maturing               
August 10, 2045.  Aug-15/4.375  1,200,900  175,235  2,918,500  425,868  --  -- 
Option on an interest rate swap               
with JPMorgan Chase Bank, N.A. for               
the right to receive a fixed rate               
of 4.375% versus the three month               
USD-LIBOR-BBA maturing               
August 10, 2045.  Aug-15/4.375  1,200,900  109,042  2,918,500  265,000  --  -- 
Option on an interest rate swap               
with JPMorgan Chase Bank, N.A. for               
the right to pay a fixed rate               
of 4.46% versus the three month               
USD-LIBOR-BBA maturing               
August 7, 2045.  Aug-15/4.46  1,200,900  166,529  2,918,500  404,708  --  -- 
Option on an interest rate swap               
with JPMorgan Chase Bank, N.A. for               
the right to receive a fixed rate               
of 4.46% versus the three month               
USD-LIBOR-BBA maturing               
August 7, 2045.  Aug-15/4.46  1,200,900  115,539  2,918,500  280,789  --  -- 
Option on an interest rate swap               
with Goldman Sachs International               
for the right to pay a fixed rate               
of 4.60% versus the three month               
USD-LIBOR-BBA maturing               
January 5, 2042.  Jan-12/4.6  4,618,020  107,969  6,534,340  152,773  --  -- 
Option on an interest rate swap               
with Goldman Sachs International               
for the right to receive a fixed               
rate of 3.60% versus the three               
month USD-LIBOR-BBA maturing               
January 5, 2042.  Jan-12/3.6  4,618,020  73,935  6,534,340  104,615  --  -- 
Option on an interest rate swap               
with Deutsche Bank AG for               
the right to pay a fixed rate               
of 4.0625% versus the three month               
USD-LIBOR-BBA maturing               
December 23, 2041.  Dec-11/4.0625  --  --  --  --  1,669,139  100,065 
Option on an interest rate swap               
with Deutsche Bank AG for               
the right to receive a fixed rate               
of 4.0625% versus the three month               
USD-LIBOR-BBA maturing               
December 23, 2041.  Dec-11/4.0625  --  --  --  --  1,669,139  67,083 
Option on an interest rate swap               
with Citibank, N.A. for the right               
to pay a fixed rate of 4.045%               
versus the three month               
USD-LIBOR-BBA maturing               
December 13, 2041.  Dec-11/4.045  --  --  1,403,514  83,355  9,444,067  560,883 
Option on an interest rate swap               
with Citibank, N.A. for the right               
to receive a fixed rate of 4.045%               
versus the three month               
USD-LIBOR-BBA maturing               
December 13, 2041.  Dec-11/4.045  --  --  1,403,514  52,772  9,444,067  355,097 
Option on an interest rate swap               
with Credit Suisse International               
for the right to pay a fixed rate               
of 4.11% versus the three month               
USD-LIBOR-BBA maturing               
December 8, 2041.  Dec-11/4.11  --  --  5,860,117  306,719  --  -- 
Option on an interest rate swap               
with Credit Suisse International               
for the right to receive a fixed               
rate of 4.11% versus the three               
month USD-LIBOR-BBA maturing               
December 8, 2041.  Dec-11/4.11  --  --  5,860,117  248,528  --  -- 
Option on an interest rate swap               
with Deutsche Bank AG for               
the right to pay a fixed rate               
of 4.355% versus the three month               
USD-LIBOR-BBA maturing               
December 6, 2041.  Dec-11/4.355  3,492,054  111,746  4,941,136  158,116  --  -- 
Option on an interest rate swap               

 


with Deutsche Bank AG for                 
the right to receive a fixed rate                 
of 3.855% versus the three month                 
USD-LIBOR-BBA maturing                 
December 6, 2041.  Dec-11/3.855    3,492,054  86,114  4,941,136  121,848  --  -- 
Option on an interest rate swap                 
with Goldman Sachs International                 
for the right to pay a fixed rate                 
of 4.0325% versus the three month                 
USD-LIBOR-BBA maturing                 
November 4, 2041.  Nov-11/4.0325    3,049,978  160,337  4,315,614  226,872  --  -- 
Option on an interest rate swap                 
with Goldman Sachs International                 
for the right to receive a fixed                 
rate of 4.0325% versus the three                 
month USD-LIBOR-BBA maturing                 
November 4, 2041.  Nov-11/4.0325    3,049,978  99,521  4,315,614  140,818  --  -- 
Option on an interest rate swap                 
with Goldman Sachs International                 
for the right to pay a fixed rate                 
of 3.99% versus the three month                 
USD-LIBOR-BBA maturing                 
September 29, 2041.  Sep-11/3.99    9,243,924  446,851  4,590,023  221,882  5,510,687  266,387 
Option on an interest rate swap                 
with Goldman Sachs International                 
for the right to receive a fixed                 
rate of 3.99% versus the three                 
month USD-LIBOR-BBA maturing                 
September 29, 2041.  Sep-11/3.99    9,243,924  228,325  4,590,023  113,374  5,510,687  136,114 
Option on an interest rate swap                 
with JPMorgan Chase Bank, N.A. for                 
the right to pay a fixed rate                 
of 4.0275% versus the three month                 
USD-LIBOR-BBA maturing                 
September 8, 2041.  Sep-11/4.0275    3,985,000  151,444  1,968,000  74,791  --  -- 
Option on an interest rate swap                 
with JPMorgan Chase Bank, N.A. for                 
the right to receive a fixed rate                 
of 4.0275% versus the three month                 
USD-LIBOR-BBA maturing                 
September 8, 2041.  Sep-11/4.0275    3,985,000  95,609  1,968,000  47,217  --  -- 
Option on an interest rate swap                 
with Barclay's Bank PLC for                 
the right to receive a fixed rate                 
of 2.14% versus the three month                 
USD-LIBOR-BBA maturing                 
September 8, 2016.  Sep-11/2.14    2,330,000  18,221  --  --  --  -- 
Option on an interest rate swap                 
with Barclay's Bank PLC for                 
the right to pay a fixed rate                 
of 2.64% versus the three month                 
USD-LIBOR-BBA maturing                 
September 8, 2016.  Sep-11/2.64    2,330,000  4,544  --  --  --  -- 
Option on an interest rate swap                 
with Deutsche Bank AG for                 
the right to pay a fixed rate                 
of 4.09% versus the three month                 
USD-LIBOR-BBA maturing                 
August 25, 2041.  Aug-11/4.09    628,794  17,726  1,292,404  36,433  --  -- 
Option on an interest rate swap                 
with Deutsche Bank AG for                 
the right to receive a fixed rate                 
of 4.09% versus the three month                 
USD-LIBOR-BBA maturing                 
August 25, 2041.  Aug-11/4.09    628,794  16,198  1,292,404  33,292  --  -- 
Option on an interest rate swap                 
with Barclay's Bank PLC for                 
the right to receive a fixed rate                 
of 2.065% versus the three month                 
USD-LIBOR-BBA maturing                 
August 8, 2016.  Aug-11/2.065    2,160,000  11,405  --  --  --  -- 
Option on an interest rate swap                 
with Barclay's Bank PLC for                 
the right to pay a fixed rate                 
of 2.565% versus the three month                 
USD-LIBOR-BBA maturing                 
August 8, 2016.  Aug-11/2.565    2,160,000  1,447  --  --  --  -- 
Option on an interest rate swap                 
with Deutsche Bank AG for                 
the right to pay a fixed rate                 
of 3.55% versus the three month                 
USD-LIBOR-BBA maturing                 
July 21, 2021.  Jul-11/3.55    --  --  3,219,448  4,185  --  -- 
Option on an interest rate swap                 
with Deutsche Bank AG for                 
the right to receive a fixed rate                 
of 3.55% versus the three month                 
USD-LIBOR-BBA maturing                 
July 21, 2021.  Jul-11/3.55    --  --  3,219,448  78,909  --  -- 
Option on an interest rate swap                 
with Barclay's Bank PLC for                 
the right to receive a fixed rate                 
of 2.0025% versus the three month                 
USD-LIBOR-BBA maturing                 
July 7, 2016.  July-11/2.0025    1,910,000  2,980  --  --  --  -- 
Option on an interest rate swap                 
with Barclay's Bank PLC for                 
the right to pay a fixed rate                 
of 2.5025% versus the three month                 
USD-LIBOR-BBA maturing                 
July 7, 2016.  July-11/2.5025    1,910,000  --  --  --  --  -- 
Option on an interest rate swap                 
with Credit Suisse International                 
for the right to pay a fixed rate                 
of 1.578% versus the six month                 
CHF-LIBOR-BBA maturing                 
December 24, 2013.  Dec-11/1.578  CHF  13,400,000  511  14,050,000  536  --  -- 
Option on an interest rate swap                 
with Credit Suisse International                 
for the right to pay a fixed rate                 
of 1.602% versus the six month                 
CHF-LIBOR-BBA maturing                 
December 22, 2013.  Dec-11/1.602  CHF  13,400,000  433  14,050,000  454  --  -- 
Option on an interest rate swap                 
with Credit Suisse International                 
for the right to pay a fixed rate                 
of 1.70175% versus the six month                 
CHF-LIBOR-BBA maturing                 
January 23, 2014.  Jan-12/1.70175  CHF  13,400,000  897  14,050,000  940  --  -- 
Option on an interest rate swap                 
with UBS AG for the right to pay                 
a fixed rate of 1.722% versus                 
the six month CHF-LIBOR-BBA                 
maturing January 23, 2014.  Jan-12/1.722  CHF  13,400,000  837  14,050,000  878  --  -- 
Total purchased options                 
outstanding (cost $4,229,743,                 
$6,327,774 and $1,471,448)        $4,318,678    $6,556,489    $1,485,629 
 
 
PREFERRED STOCKS(a)      Growth --%  Balanced 0.1%  Conservative 0.1% 
      Shares  Value  Shares  Value  Shares  Value 
Ally Financial, Inc. 144A Ser. G,                 
7.00% cum. pfd.      471  $442,652  499  $468,966  349  $327,995 
GMAC Capital Trust I Ser. 2,                 
$2.031 cum. pfd. (NON)      15,430  395,008  15,485  396,416  7,800  199,680 
Total preferred stocks (cost                 
$727,853, $680,522 and $399,432)        $837,660    $865,382    $527,675 
 
 
CONVERTIBLE BONDS AND NOTES(a)      Growth 0.1%  Balanced 0.1%  Conservative 0.1% 
      Principal amount  Value  Principal amount  Value  Principal amount  Value 
Alliant Techsystems, Inc. cv.                 
company guaranty sr. sub. notes                 
3s, 2024      $185,000  $205,581  $180,000  $200,025  $75,000  $83,344 
Digital Realty Trust LP 144A cv.                 
sr. unsec. notes 5 1/2s, 2029 (R)      80,000  121,250  80,000  121,250  65,000  98,516 
Ford Motor Co. cv. sr. unsec.                 
notes 4 1/4s, 2016      49,000  83,974  39,000  66,836  24,000  41,130 
Meritor, Inc. cv. company guaranty                 
sr. unsec. notes 4s, 2027      180,000  171,900  185,000  176,675  75,000  71,625 
Steel Dynamics, Inc. cv. sr. notes                 
5 1/8s, 2014      134,000  159,795  135,000  160,988  72,000  85,860 
Trinity Industries, Inc. cv.                 
unsec. sub. notes 3 7/8s, 2036      215,000  224,406  220,000  229,625  85,000  88,719 
Total convertible bonds and notes                 
(cost $862,376, $871,517 and                 
$401,077)        $966,906    $955,399    $469,194 
 
 
CONVERTIBLE PREFERRED STOCKS(a)      Growth 0.1%  Balanced 0.1%  Conservative 0.1% 
      Shares  Value  Shares  Value  Shares  Value 
Apache Corp. Ser. D, $3.00 cv. pfd.      4,097  $270,146  4,068  $268,234  1,490  $98,247 

 


Entertainment Properties Trust                 
Ser. C, $1.438 cum. cv. pfd.      7,578  150,849  7,508  149,456  5,720  113,863 
General Motors Co. Ser. B, $2.375                 
cv. pfd.      5,637  274,451  5,621  273,672  4,439  216,124 
Lehman Brothers Holdings, Inc.                 
Ser. P, 7.25% cv. pfd.                 
(In default) (NON)      684  650  912  866  --  -- 
Lucent Technologies Capital Trust                 
I 7.75% cv. pfd.      217  212,931  218  213,913  87  85,369 
Total convertible preferred stocks                 
(cost $1,482,861, $1,695,220 and                 
$486,366)        $909,027    $906,141    $513,603 
 
 
MUNICIPAL BONDS AND NOTES(a)      Growth 0.0%  Balanced 0.0%  Conservative 0.0% 
      Principal    Principal    Principal   
      amount  Value  amount  Value  amount  Value 
IL State G.O. Bonds                 
4.421s, 1/1/15      $50,000  $51,301  $105,000  $107,731  $135,000  $138,511 
4.071s, 1/1/14      150,000  155,388  315,000  326,315  35,000  36,257 
Total municipal bonds and notes                 
(cost $200,000, $420,000 and                 
$170,000)        $206,689    $434,046    $174,768 
 
 
WARRANTS(a)(NON)      Growth 0.0%  Balanced 0.0%  Conservative 0.0% 
Expiration  Strike             
  date  price  Warrants  Value  Warrants  Value  Warrants  Value 
Aventine Renewable Energy                 
Holdings, Inc. (F)  3/15/15  $40.94  431  $--  376  $--  202  $-- 
Charter Communications, Inc.                 
Class A  11/30/14  46.86  62  868  37  518  12  168 
Tower Semiconductor, Ltd. 144A                 
(Israel) (F)  6/30/15  0.01  49,174  11,802  50,760  12,182  34,898  8,376 
Total warrants (cost $219,087,                 
$192,669 and $105,039)        $12,670    $12,700    $8,544 
 
 
SHORT-TERM INVESTMENTS(a)      Growth 25.7%  Balanced 29.0%  Conservative 25.8% 
      Principal    Principal    Principal   
      amount/    amount/    amount/   
      shares  Value  shares  Value  shares  Value 
U.S. Treasury Bills for effective                 
yields from 0.10% to 0.11%,                 
February 9, 2012 (SEG) (SEGSF)      $3,490,000  $3,483,732  $3,469,000  $3,462,770  $--  $-- 
U.S. Treasury Bills for                 
an effective yield of 0.10%,                 
December 1, 2011 (SEG) (SEGSF)      29,231,000  29,218,460  37,437,000  37,420,939  --  -- 
U.S. Treasury Bills for                 
an effective yield of 0.094%,                 
November 17, 2011 (SEG) (SEGSF)      8,514,000  8,510,875  9,876,000  9,872,375  --  -- 
U.S. Treasury Bills for effective                 
yields from 0.24% to 0.26%,                 
October 20, 2011 (SEG) (SEGSF)      34,068,000  34,046,878  26,597,000  26,580,510  25,586,000  25,570,137 
U.S. Treasury Bills for effective                 
yields from 0.19% to 0.20%,                 
August 25, 2011 (SEG)      --  --  --  --  4,028,000  4,026,819 
U.S. Treasury Bills for effective                 
yields from 0.231% to 0.236%,                 
July 28, 2011 (SEG) (SEGSF)      14,613,000  14,610,431  11,857,000  11,854,903  5,754,000  5,752,977 
Putnam Cash Collateral Pool, LLC                 
0.17% (d)      21,167,264  21,167,264  20,335,552  20,335,552  17,283,564  17,283,564 
Putnam Money Market Liquidity Fund                 
0.04% (e)      347,569,058  347,569,058  302,341,335  302,341,335  87,308,119  87,308,119 
SSgA Prime Money Market Fund 0.08%                 
(i) (P)      --  --  --  --  213,000  213,000 
Total short-term investments (cost                 
$458,605,661, $411,869,069 and                 
$140,149,979)        $458,606,698    $411,868,384    $140,154,616 
 
 
TOTAL INVESTMENTS                 
Total investments (cost                 
$1,768,073,532, $1,534,600,975 and                 
$624,151,251) (b)        $1,946,433,679    $1,670,555,246    $685,104,448 

 


Putnam Asset Allocation Growth Portfolio

FORWARD CURRENCY CONTRACTS at 6/30/11 (aggregate face value $784,856,952) (Unaudited)

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America, N.A.        
  Australian Dollar  Sell  8/17/11  $1,916,899  $1,869,596  $(47,303) 
  Brazilian Real  Buy  8/17/11  2,053,658  2,051,901  1,757 
  British Pound  Sell  8/17/11  5,772,707  5,749,937  (22,770) 
  Canadian Dollar  Sell  8/17/11  10,562,556  10,317,250  (245,306) 
  Chilean Peso  Buy  8/17/11  1,065,094  1,057,570  7,524 
  Czech Koruna  Buy  8/17/11  46,843  46,843  -- 
  Euro  Sell  8/17/11  6,858,722  6,720,502  (138,220) 
  Japanese Yen  Sell  8/17/11  5,222,149  5,193,882  (28,267) 
  Mexican Peso  Buy  8/17/11  477,863  475,529  2,334 
  Norwegian Krone  Sell  8/17/11  1,693,250  1,668,097  (25,153) 
  Russian Ruble  Buy  8/17/11  2,071,091  2,071,091  -- 
  Singapore Dollar  Buy  8/17/11  3,289,186  3,289,186  -- 
  South African Rand  Buy  7/21/11  2,039,425  2,040,914  (1,489) 
  South Korean Won  Buy  8/17/11  3,370,140  3,320,005  50,135 
  Swedish Krona  Buy  8/17/11  8,375,656  8,210,353  165,303 
  Swiss Franc  Sell  8/17/11  6,603,192  6,602,206  (986) 
  Taiwan Dollar  Sell  8/17/11  918,005  918,005  -- 
  Turkish Lira  Buy  8/17/11  1,515,218  1,515,218  -- 
 
Barclays Bank PLC        
  Australian Dollar  Sell  8/17/11  2,306,659  2,249,997  (56,662) 
  Brazilian Real  Buy  8/17/11  7,542,701  7,489,456  53,245 
  British Pound  Sell  8/17/11  9,521,667  9,467,450  (54,217) 
  Canadian Dollar  Buy  8/17/11  1,471,883  1,468,633  3,250 
  Chilean Peso  Buy  8/17/11  2,394,376  2,360,910  33,466 
  Czech Koruna  Buy  8/17/11  172,167  172,167  -- 
  Euro  Buy  8/17/11  6,551,583  6,446,366  105,217 
  Hungarian Forint  Sell  8/17/11  751,538  751,538  -- 
  Indian Rupee  Sell  8/17/11  4,084,004  4,060,686  (23,318) 
  Japanese Yen  Sell  8/17/11  6,792,148  6,755,299  (36,849) 
  Malaysian Ringgit  Buy  8/17/11  2,092,196  2,092,196  -- 
  Mexican Peso  Sell  8/17/11  176,552  174,331  (2,221) 
  New Zealand Dollar  Sell  7/21/11  1,060,556  1,045,324  (15,232) 
  Norwegian Krone  Buy  8/17/11  1,526,973  1,504,098  22,875 
  Philippines Peso  Buy  8/17/11  1,739,654  1,739,654  -- 
  Polish Zloty  Sell  8/17/11  1,330,483  1,330,483  -- 
  Russian Ruble  Buy  8/17/11  2,071,091  2,071,091  -- 
  Singapore Dollar  Buy  8/17/11  2,672,096  2,672,096  -- 
  South Korean Won  Buy  8/17/11  2,027,216  1,995,586  31,630 
  Swedish Krona  Sell  8/17/11  1,418,207  1,389,808  (28,399) 
  Swiss Franc  Sell  8/17/11  133,211  133,746  535 
  Taiwan Dollar  Sell  8/17/11  2,955,203  2,955,203  -- 
  Thai Baht  Buy  8/17/11  1,678,610  1,678,610  -- 
  Turkish Lira  Sell  8/17/11  627,705  627,705  -- 
 
Citibank, N.A.        
  Australian Dollar  Sell  8/17/11  460,500  449,071  (11,429) 
  Brazilian Real  Buy  8/17/11  461,739  461,343  396 
  British Pound  Sell  8/17/11  4,480,605  4,458,301  (22,304) 
  Canadian Dollar  Sell  8/17/11  4,578,511  4,471,137  (107,374) 
  Chilean Peso  Buy  8/17/11  2,536,302  2,495,291  41,011 
  Czech Koruna  Buy  8/17/11  1,114,437  1,114,437  -- 
  Danish Krone  Buy  7/21/11  1,633,370  1,645,370  (12,000) 
  Euro  Buy  8/17/11  12,113,011  11,956,549  156,462 
  Hong Kong Dollar  Sell  8/17/11  1,252,998  1,252,181  (817) 
  Hungarian Forint  Buy  8/17/11  1,004,568  1,004,568  -- 
  Japanese Yen  Sell  8/17/11  6,783,003  6,746,871  (36,132) 
  Mexican Peso  Buy  8/17/11  3,451,494  3,441,891  9,603 
  New Zealand Dollar  Sell  7/21/11  561,855  553,820  (8,035) 
  Norwegian Krone  Sell  8/17/11  7,011,082  6,909,015  (102,067) 
  Polish Zloty  Sell  8/17/11  1,806,310  1,806,310  -- 
  Singapore Dollar  Buy  8/17/11  545,050  545,050  -- 
  South African Rand  Buy  7/21/11  4,525,956  4,565,129  (39,173) 
  South Korean Won  Buy  8/17/11  1,559,247  1,537,711  21,536 
  Swedish Krona  Buy  8/17/11  5,199,203  5,100,318  98,885 
  Swiss Franc  Sell  8/17/11  1,385,089  1,392,378  7,289 
  Taiwan Dollar  Sell  8/17/11  2,274,433  2,274,433  -- 
  Turkish Lira  Buy  8/17/11  579,193  579,193  -- 
 
Credit Suisse AG        
  Australian Dollar  Sell  8/17/11  122,594  119,451  (3,143) 
  Brazilian Real  Buy  8/17/11  2,377,890  2,374,501  3,389 
  British Pound  Sell  8/17/11  2,482,391  2,467,627  (14,764) 
  Canadian Dollar  Sell  8/17/11  5,312,379  5,183,806  (128,573) 
  Czech Koruna  Buy  8/17/11  901,047  899,373  1,674 
  Euro  Sell  8/17/11  26,464,457  26,202,006  (262,451) 
  Indian Rupee  Sell  8/17/11  2,325,533  2,312,255  (13,278) 
  Japanese Yen  Sell  8/17/11  14,564,931  14,494,693  (70,238) 
  Malaysian Ringgit  Buy  8/17/11  4,854,090  4,854,090  -- 
  Mexican Peso  Buy  8/17/11  2,053,095  2,047,088  6,007 
  Norwegian Krone  Buy  8/17/11  5,486,815  5,406,493  80,322 
  Polish Zloty  Sell  8/17/11  796,070  796,070  -- 
  Russian Ruble  Buy  8/17/11  2,070,427  2,070,427  -- 
  South African Rand  Buy  7/21/11  1,530,333  1,531,158  (825) 
  South Korean Won  Buy  8/17/11  3,106,010  3,058,535  47,475 

 


  Swedish Krona  Buy  8/17/11  5,301,481  5,302,985  (1,504) 
  Swiss Franc  Buy  8/17/11  5,886,541  5,906,108  (19,567) 
  Taiwan Dollar  Sell  8/17/11  3,053,826  3,053,826  -- 
  Turkish Lira  Sell  8/17/11  186,360  186,360  -- 
 
Deutsche Bank AG        
  Australian Dollar  Buy  8/17/11  4,208,406  4,092,330  116,076 
  Brazilian Real  Sell  8/17/11  140,741  139,868  (873) 
  British Pound  Sell  8/17/11  7,108,329  7,069,094  (39,235) 
  Canadian Dollar  Buy  8/17/11  5,067,721  5,054,437  13,284 
  Chilean Peso  Buy  8/17/11  187,270  185,631  1,639 
  Czech Koruna  Buy  8/17/11  1,417,516  1,417,516  -- 
  Euro  Sell  8/17/11  11,304,559  11,091,048  (213,511) 
  Hungarian Forint  Buy  8/17/11  1,080,729  1,071,271  9,458 
  Malaysian Ringgit  Buy  8/17/11  2,713,917  2,726,094  (12,177) 
  Mexican Peso  Buy  8/17/11  954,280  949,258  5,022 
  New Zealand Dollar  Sell  7/21/11  945,077  932,350  (12,727) 
  Norwegian Krone  Sell  8/17/11  1,717,358  1,692,465  (24,893) 
  Philippines Peso  Buy  8/17/11  1,732,517  1,732,517  -- 
  Polish Zloty  Sell  8/17/11  3,469,802  3,469,802  -- 
  Singapore Dollar  Buy  8/17/11  1,827,743  1,827,743  -- 
  South Korean Won  Buy  8/17/11  3,737,208  3,679,914  57,294 
  Swedish Krona  Buy  8/17/11  3,196,688  3,133,209  63,479 
  Swiss Franc  Buy  8/17/11  3,176,956  3,188,563  (11,607) 
  Taiwan Dollar  Sell  8/17/11  761,371  761,371  -- 
  Turkish Lira  Buy  8/17/11  923,374  923,374  -- 
 
Goldman Sachs International        
  Australian Dollar  Buy  8/17/11  5,300,332  5,169,066  131,266 
  British Pound  Sell  8/17/11  4,198,931  4,178,212  (20,719) 
  Canadian Dollar  Sell  8/17/11  8,892,149  8,682,911  (209,238) 
  Chilean Peso  Buy  8/17/11  2,324,019  2,305,887  18,132 
  Euro  Sell  8/17/11  12,753,537  12,514,155  (239,382) 
  Hungarian Forint  Sell  8/17/11  815,051  815,051  -- 
  Japanese Yen  Buy  8/17/11  3,524,058  3,505,372  18,686 
  Norwegian Krone  Buy  8/17/11  2,492,908  2,478,682  14,226 
  Polish Zloty  Buy  8/17/11  1,466,650  1,466,493  157 
  South African Rand  Buy  7/21/11  2,113,217  2,127,613  (14,396) 
  Swedish Krona  Buy  8/17/11  3,366,873  3,299,658  67,215 
  Swiss Franc  Buy  8/17/11  2,167,335  2,175,331  (7,996) 
 
HSBC Bank USA, National Association        
  Australian Dollar  Buy  8/17/11  10,999,814  10,738,066  261,748 
  British Pound  Buy  8/17/11  113,175  112,545  630 
  Euro  Sell  8/17/11  15,520,403  15,232,190  (288,213) 
  Hong Kong Dollar  Sell  8/17/11  3,241,965  3,240,348  (1,617) 
  Indian Rupee  Sell  8/17/11  623,718  621,941  (1,777) 
  Japanese Yen  Sell  8/17/11  8,912,548  8,863,976  (48,572) 
  New Zealand Dollar  Sell  7/21/11  1,759,630  1,734,731  (24,899) 
  Norwegian Krone  Buy  8/17/11  1,051,269  1,037,310  13,959 
  Philippines Peso  Buy  8/17/11  1,732,717  1,732,717  -- 
  Singapore Dollar  Buy  8/17/11  7,527,216  7,523,097  4,119 
  South Korean Won  Buy  8/17/11  2,145,852  2,116,937  28,915 
  Swiss Franc  Buy  8/17/11  5,267,625  5,288,420  (20,795) 
  Taiwan Dollar  Sell  8/17/11  2,650,945  2,650,945  -- 
 
JPMorgan Chase Bank, N.A.        
  Australian Dollar  Buy  8/17/11  2,070,861  2,019,642  51,219 
  Brazilian Real  Buy  8/17/11  3,088,066  3,067,154  20,912 
  British Pound  Buy  8/17/11  152,239  151,944  295 
  Canadian Dollar  Sell  8/17/11  3,938,048  3,845,422  (92,626) 
  Chilean Peso  Buy  8/17/11  1,550,218  1,538,940  11,278 
  Czech Koruna  Buy  8/17/11  2,348,127  2,338,033  10,094 
  Euro  Buy  8/17/11  3,198,862  3,141,973  56,889 
  Hong Kong Dollar  Sell  8/17/11  903,607  903,021  (586) 
  Hungarian Forint  Buy  8/17/11  179,202  177,618  1,584 
  Japanese Yen  Sell  8/17/11  8,618,029  8,570,850  (47,179) 
  Malaysian Ringgit  Buy  8/17/11  2,395,624  2,395,624  -- 
  Mexican Peso  Buy  8/17/11  1,953,489  1,944,442  9,047 
  New Zealand Dollar  Sell  7/21/11  1,147,765  1,131,003  (16,762) 
  Norwegian Krone  Buy  8/17/11  964,175  950,078  14,097 
  Polish Zloty  Buy  8/17/11  1,832,791  1,832,791  -- 
  Russian Ruble  Buy  8/17/11  2,069,174  2,068,843  331 
  Singapore Dollar  Sell  8/17/11  964,399  963,491  (908) 
  South African Rand  Buy  7/21/11  3,400,100  3,422,906  (22,806) 
  South Korean Won  Buy  8/17/11  2,446,602  2,407,762  38,840 
  Swedish Krona  Sell  8/17/11  3,111,121  3,049,531  (61,590) 
  Swiss Franc  Buy  8/17/11  4,868,348  4,885,669  (17,321) 
  Taiwan Dollar  Sell  8/17/11  2,985,106  2,981,508  (3,598) 
  Thai Baht  Buy  8/17/11  1,700,220  1,700,220  -- 
  Turkish Lira  Sell  8/17/11  1,003,015  1,006,034  3,019 
 
Royal Bank of Scotland PLC (The)        
  Australian Dollar  Buy  8/17/11  4,352,126  4,333,183  18,943 
  Brazilian Real  Buy  8/17/11  3,183,522  3,166,551  16,971 
  British Pound  Sell  8/17/11  5,466,784  5,436,448  (30,336) 
  Canadian Dollar  Sell  8/17/11  5,823,360  5,686,170  (137,190) 
  Chilean Peso  Buy  8/17/11  2,009,944  1,989,195  20,749 
  Czech Koruna  Buy  8/17/11  1,165,981  1,165,981  -- 
  Euro  Sell  8/17/11  8,452,860  8,296,940  (155,920) 
  Hungarian Forint  Sell  8/17/11  193,079  193,247  168 
  Indian Rupee  Sell  8/17/11  3,293,336  3,273,810  (19,526) 
  Japanese Yen  Buy  8/17/11  1,032,280  1,026,249  6,031 

 


  Malaysian Ringgit  Buy  8/17/11  2,871,979  2,871,979  -- 
  Mexican Peso  Buy  8/17/11  2,157,141  2,146,878  10,263 
  New Zealand Dollar  Sell  7/21/11  151,416  131,993  (19,423) 
  Norwegian Krone  Buy  8/17/11  4,454,521  4,387,757  66,764 
  Polish Zloty  Buy  8/17/11  240,974  240,974  -- 
  Russian Ruble  Buy  8/17/11  2,072,938  2,072,938  -- 
  Singapore Dollar  Buy  8/17/11  1,193,097  1,193,097  -- 
  South African Rand  Buy  7/21/11  694,643  698,129  (3,486) 
  South Korean Won  Buy  8/17/11  4,234,145  4,167,889  66,256 
  Swedish Krona  Buy  8/17/11  433,393  424,825  8,568 
  Swiss Franc  Buy  8/17/11  48,570  48,763  (193) 
  Taiwan Dollar  Sell  8/17/11  3,405,059  3,405,059  -- 
  Turkish Lira  Buy  8/17/11  551,838  551,838  -- 
 
State Street Bank and Trust Co.        
  Australian Dollar  Buy  8/17/11  11,342,841  11,182,601  160,240 
  Brazilian Real  Buy  8/17/11  4,078,331  4,056,078  22,253 
  British Pound  Sell  8/17/11  2,885,470  2,871,211  (14,259) 
  Canadian Dollar  Sell  8/17/11  4,533,519  4,427,640  (105,879) 
  Euro  Sell  8/17/11  17,146,299  16,820,917  (325,382) 
  Hungarian Forint  Sell  8/17/11  2,915,557  2,915,557  -- 
  Japanese Yen  Sell  8/17/11  1,171,290  1,165,277  (6,013) 
  Malaysian Ringgit  Buy  8/17/11  4,915,777  4,915,777  -- 
  Mexican Peso  Buy  8/17/11  2,049,837  2,040,257  9,580 
  Norwegian Krone  Sell  8/17/11  433,917  427,384  (6,533) 
  Philippines Peso  Buy  8/17/11  1,732,837  1,732,837  -- 
  Polish Zloty  Buy  8/17/11  407,789  407,789  -- 
  Russian Ruble  Buy  8/17/11  2,076,715  2,076,715  -- 
  Singapore Dollar  Buy  8/17/11  357,120  357,120  -- 
  South African Rand  Buy  7/21/11  2,076,358  2,057,874  18,484 
  Swedish Krona  Buy  8/17/11  3,874,855  3,799,133  75,722 
  Swiss Franc  Buy  8/17/11  6,612,477  6,638,700  (26,223) 
  Taiwan Dollar  Sell  8/17/11  2,800,017  2,800,017  -- 
  Thai Baht  Buy  8/17/11  1,705,196  1,705,196  -- 
 
UBS AG        
  Australian Dollar  Buy  8/17/11  9,612,340  9,438,765  173,575 
  Brazilian Real  Buy  8/17/11  2,868,868  2,865,231  3,637 
  British Pound  Sell  8/17/11  4,687,765  4,671,256  (16,509) 
  Canadian Dollar  Sell  8/17/11  2,329,323  2,275,457  (53,866) 
  Czech Koruna  Buy  8/17/11  3,019,857  3,019,857  -- 
  Euro  Sell  8/17/11  28,128,926  27,725,714  (403,212) 
  Hungarian Forint  Buy  8/17/11  1,326,820  1,326,820  -- 
  Indian Rupee  Sell  8/17/11  3,384,829  3,366,246  (18,583) 
  Japanese Yen  Sell  8/17/11  10,598,258  10,543,941  (54,317) 
  Mexican Peso  Buy  8/17/11  1,947,441  1,941,397  6,044 
  New Zealand Dollar  Sell  7/21/11  2,209,643  2,175,475  (34,168) 
  Norwegian Krone  Sell  8/17/11  3,886,682  3,801,023  (85,659) 
  Polish Zloty  Buy  8/17/11  3,619  3,619  -- 
  Russian Ruble  Buy  8/17/11  2,073,408  2,073,408  -- 
  Singapore Dollar  Buy  8/17/11  1,368,438  1,368,438  -- 
  South African Rand  Buy  7/21/11  1,514,677  1,499,116  15,561 
  South Korean Won  Buy  8/17/11  3,210,128  3,158,294  51,834 
  Swedish Krona  Sell  8/17/11  1,183,574  1,160,071  (23,503) 
  Swiss Franc  Buy  8/17/11  1,757,224  1,764,298  (7,074) 
  Taiwan Dollar  Sell  8/17/11  4,205,200  4,209,407  4,207 
  Thai Baht  Buy  8/17/11  1,679,701  1,679,701  -- 
  Turkish Lira  Buy  8/17/11  46,114  46,257  (143) 
 
Westpac Banking Corp.        
  Australian Dollar  Buy  8/17/11  7,547,668  7,353,635  194,033 
  British Pound  Sell  8/17/11  10,445,056  10,393,582  (51,474) 
  Canadian Dollar  Buy  8/17/11  3,262,338  3,186,153  76,185 
  Euro  Sell  8/17/11  24,117,439  23,665,172  (452,267) 
  Japanese Yen  Sell  8/17/11  10,445,574  10,391,602  (53,972) 
  New Zealand Dollar  Buy  7/21/11  500,933  493,854  7,079 
  Norwegian Krone  Sell  8/17/11  6,385,242  6,293,239  (92,003) 
  Swedish Krona  Sell  8/17/11  2,266,481  2,222,403  (44,078) 
  Swiss Franc  Buy  8/17/11  1,408,303  1,413,803  (5,500) 
Total            $(2,255,383) 

 


Putnam Asset Allocation Growth Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)

        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Amsterdam Exchange Index (Short)  84  $8,287,726  Jul-11  $(108,676) 
Australian Government Treasury Bond 10 yr (Long)  39  3,966,653  Sep-11  (15,881) 
Australian Government Treasury Bond 10 yr (Short)  71  7,221,342  Sep-11  44,362 
Canadian Government Bond 10 yr (Short)  91  11,709,916  Sep-11  147,446 
DAX Index (Short)  29  7,781,032  Sep-11  (303,812) 
Euro STOXX 50 Index (Short)  563  23,281,716  Sep-11  (855,116) 
Euro-Bobl 5 yr (Short)  6  1,015,645  Sep-11  (1,329) 
Euro-Bund 10 yr (Long)  85  15,486,742  Sep-11  (52,503) 
Euro-CAC 40 Index (Short)  347  20,050,472  Jul-11  (894,961) 
Euro-Dollar 90 day (Short)  553  137,399,763  Jun-12  (318,170) 
Euro-Schatz 2 yr (Long)  8  1,249,359  Sep-11  1,075 
Euro-Swiss Franc 3 Month (Short)  18  5,341,625  Dec-11  (21,225) 
Euro-Swiss Franc 3 Month (Short)  18  5,331,985  Jun-12  (35,060) 
Euro-Swiss Franc 3 Month (Short)  18  5,319,667  Dec-12  (41,635) 
Euro-Swiss Franc 3 Month (Short)  18  5,337,340  Mar-12  (27,889) 
Euro-Swiss Franc 3 Month (Short)  18  5,344,838  Sep-11  (13,102) 
FTSE 100 Index (Long)  372  35,280,990  Sep-11  124,371 
FTSE 100 Index (Short)  153  14,510,730  Sep-11  (363,044) 
FTSE/MIB Index (Long)  150  22,011,957  Sep-11  2,729 
IBEX 35 Index (Long)  47  7,010,706  Jul-11  257,110 
Japanese Government Bond 10 yr (Long)  4  7,010,811  Sep-11  13,398 
Japanese Government Bond 10 yr (Short)  2  3,505,406  Sep-11  (6,722) 
Japanese Government Bond 10 yr Mini (Long)  15  2,630,546  Sep-11  5,891 
MSCI EAFE Index E-Mini (Long)  60  5,147,700  Sep-11  182,280 
OMXS 30 Index (Short)  364  6,427,378  Jul-11  (64,851) 
Russell 2000 Index Mini (Short)  46  3,796,840  Sep-11  (192,602) 
S&P 500 Index (Long)  7  2,302,125  Sep-11  57,674 
S&P 500 Index E-Mini (Long)  5,235  344,332,125  Sep-11  11,480,358 
S&P 500 Index E-Mini (Short)  121  7,958,775  Sep-11  (38,874) 
S&P Mid Cap 400 Index E-Mini (Long)  767  74,897,550  Sep-11  3,000,311 
SGX MSCI Singapore Index (Short)  36  2,114,214  Jul-11  (40,654) 
SPI 200 Index (Short)  135  16,662,723  Sep-11  (279,511) 
Tokyo Price Index (Short)  187  19,741,084  Sep-11  (834,202) 
U.K. Gilt 10 yr (Long)  184  35,522,492  Sep-11  (249,042) 
U.S. Treasury Bond 20 yr (Long)  257  31,619,031  Sep-11  (351,356) 
U.S. Treasury Bond 30 yr (Long)  35  4,418,750  Sep-11  (35,613) 
U.S. Treasury Bond 30 yr (Short)  126  15,907,500  Sep-11  265,378 
U.S. Treasury Note 10 yr (Long)  459  56,148,609  Sep-11  (703,763) 
U.S. Treasury Note 10 yr (Short)  179  21,896,734  Sep-11  106,598 
U.S. Treasury Note 2 yr (Long)  203  44,526,781  Sep-11  (9,652) 
U.S. Treasury Note 2 yr (Short)  287  62,951,656  Sep-11  (99,030) 
U.S. Treasury Note 5 yr (Long)  180  21,455,156  Sep-11  134,259 
U.S. Treasury Note 5 yr (Short)  359  42,791,117  Sep-11  (349,651) 
Total        $9,515,314 

 


Putnam Asset Allocation Growth Portfolio

WRITTEN OPTIONS OUTSTANDING at 6/30/11 (premiums received $21,951,704) (Unaudited)

  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to receive a fixed rate of 5.02% versus the       
three month USD-LIBOR-BBA maturing May 3, 2026.  $18,028,331  Apr-16/5.02  $1,169,678 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to pay a fixed rate of 5.02% versus the       
three month USD-LIBOR-BBA maturing May 3, 2026.  18,028,331  Apr-16/5.02  1,304,350 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to receive a fixed rate of 4.475% versus       
the three month USD-LIBOR-BBA maturing August 19, 2021.  5,547,000  Aug-11/4.475  222 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to pay a fixed rate of 4.475% versus the       
three month USD-LIBOR-BBA maturing August 19, 2021.  5,547,000  Aug-11/4.475  559,304 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.49% versus the three       
month USD-LIBOR-BBA maturing August 17, 2021.  8,520,000  Aug-11/4.49  872,363 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 4.49% versus the       
three month USD-LIBOR-BBA maturing August 17, 2021.  8,520,000  Aug-11/4.49  256 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to receive a fixed rate of 4.55% versus       
the three month USD-LIBOR-BBA maturing August 17, 2021.  4,260,000  Aug-11/4.55  85 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to pay a fixed rate of 4.55% versus the       
three month USD-LIBOR-BBA maturing August 17, 2021.  4,260,000  Aug-11/4.55  458,546 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to receive a fixed rate of 4.70% versus       
the three month USD-LIBOR-BBA maturing August 8, 2021.  5,111,000  Aug-11/4.70  8 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to pay a fixed rate of 4.70% versus the       
three month USD-LIBOR-BBA maturing August 8, 2021.  5,111,000  Aug-11/4.70  623,235 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.375% versus the three month USD-LIBOR-BBA maturing       
August 10, 2045.  204,400  Aug-15/4.375  29,826 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.375%       
versus the three month USD-LIBOR-BBA maturing       
August 10, 2045.  204,400  Aug-15/4.375  18,560 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.46%       
versus the three month USD-LIBOR-BBA maturing       
August 7, 2045.  204,400  Aug-15/4.46  19,665 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.46% versus the three month USD-LIBOR-BBA maturing       
August 7, 2045.  204,400  Aug-15/4.46  28,344 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
5.27% versus the three month USD-LIBOR-BBA maturing       
February 12, 2025.  2,187,480  Feb-15/5.27  101,998 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 5.27%       
versus the three month USD-LIBOR-BBA maturing       
February 12, 2025.  2,187,480  Feb-15/5.27  195,954 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to receive a fixed rate of 3.55% versus the       
three month USD-LIBOR-BBA maturing July 21, 2021.  373,224  Jul-11/3.55  485 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to pay a fixed rate of 3.55% versus the       
three month USD-LIBOR-BBA maturing July 21, 2021.  373,224  Jul-11/3.55  9,148 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.46% versus the three month USD-LIBOR-BBA maturing       
July 26, 2021.  19,608,000  Jul-11/4.46  5 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.46%       
versus the three month USD-LIBOR-BBA maturing July 26, 2021.  19,608,000  Jul-11/4.46  2,020,800 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 4.52% versus the       
three month USD-LIBOR-BBA maturing July 26, 2021.  18,389,000  Jul-11/4.52  2 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.52% versus the three       
month USD-LIBOR-BBA maturing July 26, 2021.  18,389,000  Jul-11/4.52  1,992,264 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.525%       
versus the three month USD-LIBOR-BBA maturing July 26, 2021.  19,608,000  Jul-11/4.525  2,132,958 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.525% versus the three month USD-LIBOR-BBA maturing       
July 26, 2021.  19,608,000  Jul-11/4.525  2 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 4.5475% versus the       
three month USD-LIBOR-BBA maturing July 26, 2021.  9,194,500  Jul-11/4.5475  1 
Option on an interest rate swap with Citibank, N.A. for the       

 


obligation to pay a fixed rate of 4.5475% versus the three       
month USD-LIBOR-BBA maturing July 26, 2021.  9,194,500  Jul-11/4.5475  1,018,291 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.745% versus the three month USD-LIBOR-BBA maturing       
July 27, 2021.  29,412,000  Jul-11/4.745  1 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.745%       
versus the three month USD-LIBOR-BBA maturing July 27, 2021.  29,412,000  Jul-11/4.745  3,748,850 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.12% versus the three       
month USD-LIBOR-BBA maturing June 6, 2021.  4,568,578  Jun-16/4.1200  125,358 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to pay a fixed rate of 4.39% versus the       
three month USD-LIBOR-BBA maturing June 6, 2021.  4,495,597  Jun-16/4.3900  146,556 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.575%       
versus the three month USD-LIBOR-BBA maturing June 6, 2021.  4,467,054  Jun-16/4.575  161,127 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.575% versus the three month USD-LIBOR-BBA maturing       
June 6, 2021.  4,467,054  Jun-16/4.575  192,664 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.815%       
versus the three month USD-LIBOR-BBA maturing June 10, 2026.  2,745,482  Jun-16/4.815  176,315 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.815% versus the three month USD-LIBOR-BBA maturing       
June 10, 2026.  2,745,482  Jun-16/4.815  198,169 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to receive a fixed rate of 4.89% versus the       
three month USD-LIBOR-BBA maturing June 6, 2021.  4,495,597  Jun-16/4.89  168,135 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 5.12% versus the       
three month USD-LIBOR-BBA maturing June 6, 2021.  4,568,578  Jun-16/5.12  153,519 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 5.51%       
versus the three month USD-LIBOR-BBA maturing May 14, 2022.  4,114,000  May-12/5.51  651,164 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
5.51% versus the three month USD-LIBOR-BBA maturing       
May 14, 2022.  4,114,000  May-12/5.51  9,874 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to pay a fixed rate of 2.065% versus the       
three month USD-LIBOR-BBA maturing September 8, 2016.  6,164,361  Sep-11/2.065  37,294 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to receive a fixed rate of 2.065% versus the       
three month USD-LIBOR-BBA maturing September 8, 2016.  6,164,361  Sep-11/2.065  64,911 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to pay a fixed rate of 4.60% versus the       
three month USD-LIBOR-BBA maturing June 1, 2021.  939,055  May-16/4.60  34,379 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to receive a fixed rate of 4.60% versus the       
three month USD-LIBOR-BBA maturing June 1, 2021.  939,055  May-16/4.60  39,957 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate of       
4.36% versus the three month USD-LIBOR-BBA maturing       
June 1, 2021.  943,752  May-16/4.3600  30,115 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate of       
4.86% versus the three month USD-LIBOR-BBA maturing       
June 1, 2021.  943,752  May-16/4.8600  35,702 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.11% versus the three       
month USD-LIBOR-BBA maturing June 1, 2021.  958,517  May-16/4.1100  26,128 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 5.11% versus the       
three month USD-LIBOR-BBA maturing June 1, 2021.  958,517  May-16/5.1100  32,328 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate of       
2.31% versus the three month USD-LIBOR-BBA maturing       
December 1, 2016.  1,059,846  Nov-11/2.31  12,686 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate of       
2.31% versus the three month USD-LIBOR-BBA maturing       
December 1, 2016.  1,059,846  Nov-11/2.31  13,948 
Option on an interest rate swap with Credit Suisse       
International for the obligation to receive a fixed rate of       
4.7575% versus the three month USD-LIBOR-BBA maturing       
May 15, 2016.  2,851,997  May-16/4.7575  112,540 
Option on an interest rate swap with Credit Suisse       
International for the obligation to pay a fixed rate of       
4.7575% versus the three month USD-LIBOR-BBA maturing       
May 15, 2016.  2,851,997  May-16/4.7575  114,565 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to receive a fixed rate of 4.745% versus the       
three month USD-LIBOR-BBA maturing May 15, 2016.  4,355,295  May-16/4.7575  172,862 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to pay a fixed rate of 4.745% versus the       
three month USD-LIBOR-BBA maturing May 15, 2016.  4,355,295  May-16/4.7575  173,733 

 


Option on an interest rate swap with Deutsche Bank AG for         
the obligation to receive a fixed rate of 4.765% versus the         
three month USD-LIBOR-BBA maturing May 23, 2021.    6,894,306  May-16/4.765  271,774 
Option on an interest rate swap with Deutsche Bank AG for         
the obligation to pay a fixed rate of 4.765% versus the         
three month USD-LIBOR-BBA maturing May 23, 2021.    6,894,306  May-16/4.765  277,634 
Option on an interest rate swap with Credit Suisse         
International for the obligation to receive a fixed rate of         
4.77% versus the three month USD-LIBOR-BBA maturing         
May 15, 2016.    10,888,239  May-16/4.77  427,255 
Option on an interest rate swap with Credit Suisse         
International for the obligation to pay a fixed rate of         
4.77% versus the three month USD-LIBOR-BBA maturing         
May 15, 2016.    10,888,239  May-16/4.77  440,429 
Option on an interest rate swap with Credit Suisse         
International for the obligation to pay a fixed rate of         
0.578% versus the six month CHF-LIBOR-BBA maturing         
December 24, 2013.  CHF  13,400,000  Dec-11/0.578  16,519 
Option on an interest rate swap with Credit Suisse         
International for the obligation to pay a fixed rate of         
0.602% versus the six month CHF-LIBOR-BBA maturing         
December 22, 2013.  CHF  13,400,000  Dec-11/0.6020  19,745 
Option on an interest rate swap with Credit Suisse         
International for the obligation to pay a fixed rate of         
0.70175% versus the six month CHF-LIBOR-BBA maturing         
January 23, 2014.  CHF  13,400,000  Jan-12/0.70175  30,650 
Option on an interest rate swap with UBS AG for the         
obligation to pay a fixed rate of 0.722% versus the six         
month CHF-LIBOR-BBA maturing January 23, 2014.  CHF  13,400,000  Jan-12/0.7220  34,053 
Total        $20,707,289 

 


Putnam Asset Allocation Growth Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 6/30/11 (proceeds receivable $10,479,610) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, July 1, 2041  $1,000,000  7/15/11  $1,081,641 
FNMA, 5s, June 1, 2041  3,000,000  7/26/11  3,192,070 
FNMA, 4 1/2s, July 1, 2041  5,000,000  7/15/11  5,173,047 
FNMA, 4s, July 1, 2041  1,000,000  7/15/11  1,000,000 
Total      $10,446,758 

 


Putnam Asset Allocation: Growth Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/11 (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.       
  $16,463,500    $(24,648)  2/7/15  1.891%  3 month USD-LIBOR-BBA  $(424,860) 
AUD  1,400,000    --  4/18/21  6.1%  6 month AUD-BBR-BBSW  (33,269) 
CAD  2,260,000    --  6/28/21  3.25%  3 month CAD-BA-CDOR  30,212 
EUR  8,500,000    --  6/14/13  1 year EUR-EONIA-OIS-COMPOUND  1.711561%  6,032 
GBP  5,563,000    --  6/29/20  6 month GBP-LIBOR-BBA  3.355%  (30,720) 
GBP  1,700,000    --  6/30/21  6 month GBP-LIBOR-BBA  3.4725%  -- 
GBP  12,890,000    --  2/3/13  1.875%  6 month GBP-LIBOR-BBA  (247,052) 
GBP  5,760,000    --  2/3/16  3.0625%  6 month GBP-LIBOR-BBA  (351,204) 
GBP  8,380,000  (E)  --  2/3/31  6 month GBP-LIBOR-BBA  4.87%  (5,386) 
Barclays Bank PLC         
  $70,350,600    13,266  6/17/13  0.64%  3 month USD-LIBOR-BBA  48,156 
  1,634,700    3,321  6/17/21  3.2%  3 month USD-LIBOR-BBA  8,995 
  2,596,800    (539)  6/17/13  3 month USD-LIBOR-BBA  0.64%  (1,826) 
  25,454,000    (46,724)  6/17/16  3 month USD-LIBOR-BBA  1.93%  (110,733) 
  33,067,000    (79,897)  6/17/20  3 month USD-LIBOR-BBA  3.04%  (181,516) 
  32,477,600    (66,594)  6/17/21  3 month USD-LIBOR-BBA  3.2%  (179,318) 
  6,625,300    24,583  6/17/41  4.04%  3 month USD-LIBOR-BBA  49,588 
  927,000    (3,457)  6/17/41  3 month USD-LIBOR-BBA  4.04%  (6,956) 
  10,000,000    --  6/20/16  1.8125%  3 month USD-LIBOR-BBA  84,815 
  2,400,000    --  6/20/41  3 month USD-LIBOR-BBA  3.91625%  (62,757) 
  18,428,600    --  3/10/18  3.06%  3 month USD-LIBOR-BBA  (726,806) 
  2,105,000    --  6/23/20  2.955%  3 month USD-LIBOR-BBA  22,414 
  400,000    --  6/24/20  2.92375%  3 month USD-LIBOR-BBA  5,316 
  3,505,600    --  6/24/21  3.103%  3 month USD-LIBOR-BBA  44,992 
  31,550,000    --  6/27/20  2.89485%  3 month USD-LIBOR-BBA  506,559 
  11,420,000    --  6/27/41  3 month USD-LIBOR-BBA  3.88882%  (362,531) 
  17,060,000    --  6/28/13  0.628%  3 month USD-LIBOR-BBA  18,577 
  11,222,000    --  6/28/21  3 month USD-LIBOR-BBA  3.042%  (209,594) 
  4,976,000    --  6/28/41  3.885%  3 month USD-LIBOR-BBA  161,853 
  1,580,000    --  6/28/41  3 month USD-LIBOR-BBA  3.88%  (52,799) 
  4,560,000    --  6/28/20  2.855%  3 month USD-LIBOR-BBA  88,248 
  11,580,000    --  6/29/20  2.841084%  3 month USD-LIBOR-BBA  236,299 
  5,290,000    --  6/29/14  3 month USD-LIBOR-BBA  3.85488%  (199,272) 
  1,455,000    --  6/29/13  0.64625%  3 month USD-LIBOR-BBA  1,044 
  22,025,000    --  6/29/13  0.6425%  3 month USD-LIBOR-BBA  17,434 
  1,800,000    --  6/30/13  0.66%  3 month USD-LIBOR-BBA  817 
  2,700,000    --  6/30/20  0.66%  3 month USD-LIBOR-BBA  46,350 
  2,200,000    --  6/30/14  3 month USD-LIBOR-BBA  3.92%  (57,613) 
  1,675,200    2,160  3/30/31  3 month USD-LIBOR-BBA  4.17%  76,301 
  106,198,600    51,682  5/4/16  3 month USD-LIBOR-BBA  2.15%  1,373,253 
AUD  3,010,000    --  6/29/21  5.735%  6 month AUD-BBR-BBSW  25,690 
AUD  6,020,000    --  6/30/16  5.42%  6 month AUD-BBR-BBSW  20,671 
AUD  14,650,000    --  3/21/16  5.57%  6 month AUD-BBR-BBSW  (91,816) 
AUD  11,140,000    --  3/21/21  6 month AUD-BBR-BBSW  5.88%  77,398 
AUD  2,200,000    --  4/21/21  6.0675%  6 month AUD-BBR-BBSW  (46,469) 
EUR  14,930,000    --  6/15/13  1 year EUR-EONIA-OIS-COMPOUND  1.67%  (3,478) 
EUR  18,662,500    --  6/15/13  1.95%  3 month EUR-EURIBOR-REUTERS  26,767 
GBP  15,770,000    --  4/6/16  6 month GBP-LIBOR-BBA  3.05%  821,165 
GBP  5,360,000    --  4/6/31  4.2375%  6 month GBP-LIBOR-BBA  (296,865) 
GBP  6,760,000    --  1/18/21  3.7875%  6 month GBP-LIBOR-BBA  (409,325) 
GBP  7,730,000  (E)  --  2/3/31  6 month GBP-LIBOR-BBA  4.86%  (11,800) 
GBP  18,040,000    --  2/3/13  1.895%  6 month GBP-LIBOR-BBA  (357,219) 
GBP  7,510,000    --  5/17/13  1.555%  6 month GBP-LIBOR-BBA  (38,210) 
GBP  7,510,000    --  5/18/13  1.555%  6 month GBP-LIBOR-BBA  (37,698) 
Citibank, N.A.         
  $253,623    --  6/29/21  3 month USD-LIBOR-BBA  3.05375%  (4,465) 
  161,376,600    (43,696)  6/28/14  1.81%  3 month USD-LIBOR-BBA  (3,353,580) 
GBP  15,770,000    --  4/5/16  6 month GBP-LIBOR-BBA  3.075%  853,436 
GBP  5,360,000    --  4/5/31  4.21075%  6 month GBP-LIBOR-BBA  (264,923) 
GBP  30,750,000    --  8/3/15  2.9225%  6 month GBP-LIBOR-BBA  (1,742,797) 
GBP  9,120,000    --  8/3/20  6 month GBP-LIBOR-BBA  3.885%  717,884 
GBP  38,430,000    --  8/3/12  6 month GBP-LIBOR-BBA  1.61%  407,032 
SEK  7,450,000    --  6/10/21  3.62%  3 month SEK-STIBOR-SIDE  (9,700) 
SEK  17,910,000    --  3/24/21  3 month SEK-STIBOR-SIDE  3.8025%  99,287 
SEK  8,010,000    --  4/15/21  3.93%  3 month SEK-STIBOR-SIDE  (48,836) 
SEK  8,940,000    --  5/23/21  3.6575%  3 month SEK-STIBOR-SIDE  (19,900) 
SEK  7,450,000    --  6/9/21  3.6225%  3 month SEK-STIBOR-SIDE  (9,977) 
SEK  12,920,000    --  2/4/21  3.79%  3 month SEK-STIBOR-SIDE  (72,069) 
Credit Suisse International       
  $105,284,700    (51,260)  5/27/16  3 month USD-LIBOR-BBA  2.02%  359,387 
  33,110,200    8,518  5/27/21  3 month USD-LIBOR-BBA  3.21%  3,361 
  2,700    (5)  3/14/20  3 month USD-LIBOR-BBA  3.42%  101 
  14,300,000  (E)  --  3/21/13  1.15625%  3 month USD-LIBOR-BBA  (56,914) 
  255,300    (32)  2/24/14  1.53%  3 month USD-LIBOR-BBA  (5,080) 
  57,230,900    (11,709)  2/24/15  2.04%  3 month USD-LIBOR-BBA  (1,667,105) 
  15,342,100    (5,383)  2/24/19  3.35%  3 month USD-LIBOR-BBA  (746,810) 
  127,471,000    (57,582)  12/16/13  2.23%  3 month USD-LIBOR-BBA  (4,346,063) 
CHF  3,020,000    --  6/14/21  6 month CHF-LIBOR-BBA  2.075%  (10,333) 
CHF  1,520,000    --  5/13/21  2.225%  6 month CHF-LIBOR-BBA  (23,765) 
CHF  1,520,000    --  5/16/21  2.185%  6 month CHF-LIBOR-BBA  (16,742) 
CHF  26,300,000    --  5/19/13  0.7125%  6 month CHF-LIBOR-BBA  (143,447) 
CHF  3,020,000    --  5/20/21  2.24%  6 month CHF-LIBOR-BBA  (50,437) 
EUR  1,340,000    --  4/19/21  3.691%  6 month EUR-EURIBOR-REUTERS  (56,639) 
GBP  9,250,000    --  2/3/16  3.065%  6 month GBP-LIBOR-BBA  (565,638) 
GBP  5,110,000    --  2/3/21  6 month GBP-LIBOR-BBA  3.93%  397,921 
MXN  23,310,000    --  7/21/20  1 month MXN-TIIE-BANXICO  6.895%  (38,913) 
SEK  12,920,000    --  2/7/21  3.82%  3 month SEK-STIBOR-SIDE  (77,312) 
SEK  3,450,000    --  3/29/21  3 month SEK-STIBOR-SIDE  3.81125%  19,356 
SEK  9,290,000    --  4/4/21  3.815%  3 month SEK-STIBOR-SIDE  (43,018) 
SEK  22,110,000    --  3/4/21  3 month SEK-STIBOR-SIDE  3.78%  118,424 
Deutsche Bank AG       
  $8,056,000    --  7/1/16  3 month USD-LIBOR-BBA  1.955%  (22,073) 
  12,023,300    2,120  12/31/14  1.91%  3 month USD-LIBOR-BBA  (229,524) 
  1,062,000    --  6/1/16  3 month USD-LIBOR-BBA  1.937%  (645) 
EUR  20,010,000    --  12/23/20  3.325%  6 month EUR-EURIBOR-REUTERS  (378,150) 
KRW  1,887,000,000    --  5/9/16  4.115%  3 month KRW-CD-KSDA-BLOOMBERG  (17,164) 
KRW  1,887,000,000    --  4/22/16  4.135%  3 month KRW-CD-KSDA-BLOOMBERG  (19,483) 
KRW  1,871,000,000    --  4/29/16  4.14%  3 month KRW-CD-KSDA-BLOOMBERG  (19,454) 
MXN  23,310,000    --  7/17/20  1 month MXN-TIIE-BANXICO  6.95%  (30,712) 
Goldman Sachs International       

 


  $180,800    (1,215)  2/15/31  3 month USD-LIBOR-BBA  4.43%  14,555 
  2,300,000    --  6/16/16  3 month USD-LIBOR-BBA  1.93%  (5,561) 
  7,999,000    --  7/1/14  3 month USD-LIBOR-BBA  1.105%  (4,239) 
  542,000    --  7/1/41  3 month USD-LIBOR-BBA  4.02625%  (4,255) 
  13,427,000    --  7/1/16  3 month USD-LIBOR-BBA  1.9625%  (31,822) 
  14,688,400  (E)  --  3/19/13  1.09375%  3 month USD-LIBOR-BBA  (49,941) 
  66,513,400    168,593  5/20/16  3 month USD-LIBOR-BBA  2.00%  409,002 
CHF  20,310,000    --  12/15/12  0.538%  6 month CHF-LIBOR-BBA  (122,100) 
CHF  3,030,000    --  5/5/21  6 month CHF-LIBOR-BBA  2.3725%  98,100 
EUR  10,370,000    --  6/9/21  6 month EUR-EURIBOR-REUTERS  3.409%  19,267 
EUR  18,662,500    --  6/17/13  1 year EUR-EONIA-OIS-COMPOUND  1.665%  (21,337) 
EUR  18,662,500    --  6/17/13  1.92%  3 month EUR-EURIBOR-REUTERS  27,632 
EUR  17,490,000    --  6/20/13  1.91%  3 month EUR-EURIBOR-REUTERS  32,970 
EUR  17,490,000    --  6/20/13  1 year EUR-EONIA-OIS-COMPOUND  1.615%  (55,209) 
EUR  6,440,000    --  6/21/13  1 year EUR-EONIA-OIS-COMPOUND  1.632%  (11,943) 
EUR  11,220,000    --  5/26/13  2.224%  6 month EUR-EURIBOR-REUTERS  (31,306) 
GBP  3,230,000    --  1/21/21  3.81%  6 month GBP-LIBOR-BBA  (204,339) 
KRW  1,808,000,000    --  4/21/16  4.12%  3 month KRW-CD-KSDA-BLOOMBERG  (17,531) 
SEK  13,500,000    --  12/10/20  3.5775%  3 month SEK-STIBOR-SIDE  (54,106) 
SEK  22,110,000    --  3/2/21  3 month SEK-STIBOR-SIDE  3.7575%  111,545 
JPMorgan Chase Bank, N.A.       
  $7,717,700    --  3/9/26  3 month USD-LIBOR-BBA  4.07%  402,697 
  28,600,000  (E)  --  3/21/13  1.1685%  3 month USD-LIBOR-BBA  (117,475) 
  23,700,000  (E)  --  3/22/13  1.185%  3 month USD-LIBOR-BBA  (100,516) 
  37,233,000    --  3/5/18  4.325%  3 month USD-LIBOR-BBA  (4,599,499) 
  23,708,700    --  7/5/16  1.9375%  3 month USD-LIBOR-BBA  -- 
CAD  2,400,000    --  9/21/20  3.105%  3 month CAD-BA-CDOR  24,781 
EUR  14,930,000    --  6/13/13  1 year EUR-EONIA-OIS-COMPOUND  1.74%  6,598 
EUR  14,930,000    --  6/13/13  1.9865%  3 month EUR-EURIBOR-REUTERS  4,403 
JPY  499,000,000    --  2/22/21  1.36375%  6 month JPY-LIBOR-BBA  (172,013) 
JPY  751,800,000    --  5/25/15  0.674375%  6 month JPY-LIBOR-BBA  (79,895) 
JPY  749,720,000    --  9/16/15  6 month JPY-LIBOR-BBA  0.59125%  47,845 
JPY  293,300,000  (E)  --  7/28/29  6 month JPY-LIBOR-BBA  2.67%  29,232 
JPY  394,300,000  (E)  --  7/28/39  2.40%  6 month JPY-LIBOR-BBA  24,892 
MXN  3,330,000    --  7/16/20  1 month MXN-TIIE-BANXICO  6.99%  (3,795) 
MXN  12,390,000    --  11/4/20  1 month MXN-TIIE-BANXICO  6.75%  (35,512) 
UBS, AG         
AUD  1,700,000  (E)  --  4/11/21  6 month AUD-BBR-BBSW  6.65%  21,252 
AUD  1,700,000    --  4/12/21  6 month AUD-BBR-BBSW  6.61%  18,862 
CHF  15,261,000    --  5/23/13  0.7625%  6 month CHF-LIBOR-BBA  (100,227) 
Total              $(16,382,613) 

 

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


Putnam Asset Allocation: Growth Portfolio

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)

    Upfront    Fixed payments  Total return  Unrealized 
Swap counterparty /   premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount   received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Bank of America, N.A.          
  $71,088  $--  1/12/39  (5.50%) 1 month  Synthetic TRS  $(172) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  73,262  --  1/12/40  5.00% (1 month  Synthetic TRS  546 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  71,088  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (172) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  73,262  --  1/12/40  5.00% (1 month  Synthetic TRS  546 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  1,370,969  --  1/12/34  (5.50%) 1 month  Synthetic TRS  (4,164) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  385,636  --  1/12/40  (4.50%) 1 month  Synthetic TRS  (2,534) 
        USD-LIBOR  Index 4.50% 30   
          year Fannie Mae   
          pools   
Barclays Bank PLC          
  1,164,252  --  1/12/41  (5.00%) 1 month  Synthetic MBX  (1,492) 
        USD-LIBOR  Index 5.00% 30   
          year Fannie Mae   
          pools   
  204,086  --  1/12/40  (5.00%) 1 month  Synthetic TRS  (1,522) 
        USD-LIBOR  Index 5.00% 30   
          year Fannie Mae   
          pools   
  195,863  --  1/12/40  5.00% (1 month  Synthetic TRS  1,461 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  75,030  --  1/12/40  4.50% (1 month  Synthetic TRS  493 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  592,822  --  1/12/40  5.00% (1 month  Synthetic TRS  4,422 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  337,154  --  1/12/40  5.00% (1 month  Synthetic TRS  2,515 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  41,931  --  1/12/41  (5.00%) 1 month  Synthetic TRS  (319) 
        USD-LIBOR  Index 5.00% 30   
          year Fannie Mae   
          pools   
  117,788  --  1/12/40  4.50% (1 month  Synthetic TRS  774 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  67,803  --  1/12/41  5.00% (1 month  Synthetic TRS  516 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  4,420,000  --  4/7/16  (2.63%)  USA Non Revised  (23,448) 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  71,088  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (172) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  71,088  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (172) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  73,262  --  1/12/40  5.00% (1 month  Synthetic TRS  546 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  171,121  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (413) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   

 


        pools   
  177,489  --    1/12/40  4.50% (1 month  Synthetic TRS  1,166 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
  28,520  --    1/12/39  (5.50%) 1 month  Synthetic TRS  (69) 
      USD-LIBOR  Index 5.50% 30   
        year Fannie Mae   
        pools   
  25,872  --    1/12/41  (5.00%) 1 month  Synthetic TRS  (197) 
      USD-LIBOR  Index 5.00% 30   
        year Fannie Mae   
        pools   
  25,417  --    1/12/40  5.00% (1 month  Synthetic TRS  190 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  5,368,294  --    1/12/40  5.00% (1 month  Synthetic TRS  40,040 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  396,959  --    1/12/40  5.00% (1 month  Synthetic TRS  2,961 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  524,400  --    1/12/40  4.50% (1 month  Synthetic TRS  3,445 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
  583,294  --    1/12/40  (4.50%) 1 month  Synthetic TRS  (3,832) 
      USD-LIBOR  Index 4.50% 30   
        year Fannie Mae   
        pools   
  1,575,621  --    1/12/40  4.50% (1 month  Synthetic MBX  (5,038) 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
  787,190  --    1/12/40  5.00% (1 month  Synthetic TRS  5,871 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  4,721,241  --    1/12/41  5.00% (1 month  Synthetic MBX  6,051 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  1,898,826  --    1/12/40  5.00% (1 month  Synthetic TRS  14,163 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  4,813,380  --    1/12/41  4.50% (1 month  Synthetic MBX  (14,641) 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
  2,393,716  --    1/12/40  5.00% (1 month  Synthetic TRS  17,854 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  2,228,583  --    1/12/41  5.00% (1 month  Synthetic MBX  2,856 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  244,671  --    1/12/41  4.50% (1 month  Synthetic MBX  (744) 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
  239,988  --    1/12/41  5.00% (1 month  Synthetic MBX  308 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  275,105  --    1/12/40  5.00% (1 month  Synthetic MBX  (249) 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  893,345  --    1/12/40  5.00% (1 month  Synthetic MBX  (809) 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  647,395  --    1/12/40  5.00% (1 month  Synthetic MBX  (586) 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  675,545  --    1/12/39  5.50% (1 month  Synthetic TRS  1,631 
      USD-LIBOR)  Index 5.50% 30   
        year Fannie Mae   
        pools   
Citibank, N.A.         
  69,385  --    1/12/39  (5.50%) 1 month  Synthetic TRS  (167) 

 


        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  74,223  --  1/12/40  4.50% (1 month  Synthetic TRS  488 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  944,180  --  1/12/40  5.00% (1 month  Synthetic TRS  7,042 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
basket  1,162  --  4/11/12  (3 month USD-  A basket  999,875 
        LIBOR-BBA plus  (CGPUTQL1)   
        0.10%)  of common stocks   
GBP  4,150,000  --  5/18/13  (3.38%)  GBP Non-revised  191,009 
          UK Retail Price   
          Index   
units  25,929  --  4/11/12  3 month USD-  Russell 2000  50,604 
        LIBOR-BBA minus  Total Return   
        0.05%  Index   
Credit Suisse International         
  $5,294,200  (14,063)  1/12/41  4.50% (1 month  Synthetic MBX  (19,954) 
        USD-LIBOR)  Index 4.50% 30   
          year Ginnie Mae   
          II pools   
  73,262  --  1/12/40  5.00% (1 month  Synthetic TRS  546 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  71,088  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (172) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
Goldman Sachs International         
  2,075,000  --  7/28/11  (0.685%)  USA Non Revised  58,747 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  2,075,000  --  7/29/11  (0.76%)  USA Non Revised  57,462 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  2,075,000  --  7/30/11  (0.73%)  USA Non Revised  58,355 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  2,530,000  --  3/1/16  2.47%  USA Non Revised  (9,945) 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  1,897,500  --  3/3/16  2.45%  USA Non Revised  (9,252) 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  1,370,969  --  1/12/34  5.50% (1 month  Synthetic TRS  4,164 
        USD-LIBOR)  Index 5.50% 30   
          year Fannie Mae   
          pools   
  51,081  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (123) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  2,074,084  --  1/12/40  (5.00%) 1 month  Synthetic TRS  (15,470) 
        USD-LIBOR  Index 5.00% 30   
          year Fannie Mae   
          pools   
baskets  651  --  9/26/11  (1 month USD-  A basket  8,869 
        LIBOR-BBA plus 60  (GSGLPMIN)   
        bp)  of common stocks   
JPMorgan Chase Bank, N.A.         
shares  966,887  --  10/20/11  (3 month USD-  iShares MSCI  (1,659,514) 
        LIBOR-BBA plus  Emerging Markets   
        5 bp)  Index   
Total            $(229,826) 

 


Putnam Asset Allocation: Growth Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/11 (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 CDX NA HY Series 16               
Version 1 Index  B+  $(1,158,323)    $51,481,000  6/20/16  500 bp  $(265,242) 
Barclays Bank PLC               
DJ CDX NA HY Series 16               
Version 1 Index  B+  (20,891)    955,000  6/20/16  500 bp  (4,323) 
Citibank, N.A.               
DJ CDX NA IG Series 16               
Version 1 Index  BBB+  (3,746)    1,610,000  6/20/16  100 bp  2,848 
Credit Suisse International               
Bonos Y Oblig Del               
Estado, 5 1/2%, 7/30/17  --  (10,504)    1,180,000  12/20/19  (100 bp)  112,721 
DJ CDX NA HY Series 16               
Version 1 Index  B+  (652,884)    31,655,000  6/20/16  500 bp  (103,182) 
Deutsche Bank AG               
Smurfit Kappa Funding,               
7 3/4%, 4/1/15  B2  --  EUR  435,000  9/20/13  715 bp  76,897 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  BB-  --  EUR  605,000  9/20/13  477 bp  59,414 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  BB-  --  EUR  605,000  9/20/13  535 bp  70,583 
Goldman Sachs International               
CSC Holdings, Inc.,               
7 5/8%, 7/15/18  Ba3  --    $340,000  9/20/13  495 bp  26,520 
Lighthouse               
International Co, SA,               
8%, 4/30/14  Ca  --  EUR  1,195,000  3/20/13  680 bp  (923,261) 
JPMorgan Chase Bank, N.A.               
DJ CDX NA HY Series 16               
Version 1 Index  B+  (467,303)    $20,769,000  6/20/16  500 bp  (107,006) 
Morgan Stanley Capital Services, Inc.               
DJ iTraxx Europe               
Crossover Series 12               
Version 1  --  (40,625)  EUR  3,414,000  12/20/14  (500 bp)  (294,994) 
Total              $(1,349,025) 

 

* Payments related to the referenced 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 Jun 30, 2011. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F."


Putnam Asset Allocation Balanced Portfolio

FORWARD CURRENCY CONTRACTS at 6/30/11 (aggregate face value $659,560,962) (Unaudited)

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America, N.A.          
  Australian Dollar  Sell  8/17/11  $9,960,489  $9,714,697  $(245,792) 
  Brazilian Real  Buy  8/17/11  808,867  808,175  692 
  British Pound  Sell  8/17/11  4,960,767  4,940,674  (20,093) 
  Canadian Dollar  Sell  8/17/11  5,403,399  5,277,910  (125,489) 
  Chilean Peso  Buy  8/17/11  852,356  846,335  6,021 
  Czech Koruna  Buy  8/17/11  94,126  94,126  -- 
  Euro  Sell  8/17/11  13,968,319  13,686,822  (281,497) 
  Japanese Yen  Sell  8/17/11  3,716,650  3,696,532  (20,118) 
  Mexican Peso  Buy  8/17/11  73,195  72,837  358 
  Norwegian Krone  Sell  8/17/11  3,393,986  3,343,569  (50,417) 
  Russian Ruble  Buy  8/17/11  1,631,375  1,631,375  -- 
  Singapore Dollar  Buy  8/17/11  2,042,493  2,042,493  -- 
  South African Rand  Buy  7/21/11  1,631,083  1,632,182  (1,099) 
  South Korean Won  Buy  8/17/11  2,771,459  2,730,230  41,229 
  Swedish Krona  Buy  8/17/11  4,375,918  4,289,554  86,364 
  Swiss Franc  Sell  8/17/11  7,479,602  7,490,454  10,852 
  Taiwan Dollar  Sell  8/17/11  292,486  292,486  -- 
  Turkish Lira  Buy  8/17/11  1,222,386  1,222,386  -- 
 
Barclays Bank PLC          
  Australian Dollar  Buy  8/17/11  146,920  145,731  1,189 
  Brazilian Real  Buy  8/17/11  6,353,344  6,310,067  43,277 
  British Pound  Sell  8/17/11  8,532,115  8,483,533  (48,582) 
  Canadian Dollar  Buy  8/17/11  817,217  814,607  2,610 
  Chilean Peso  Buy  8/17/11  1,846,424  1,820,617  25,807 
  Czech Koruna  Buy  8/17/11  955,957  955,957  -- 
  Euro  Buy  8/17/11  3,893,768  3,819,313  74,455 
  Hong Kong Dollar  Buy  8/17/11  311,447  311,272  175 
  Hungarian Forint  Sell  8/17/11  612,351  612,351  -- 
  Indian Rupee  Sell  8/17/11  3,247,554  3,229,011  (18,543) 
  Japanese Yen  Sell  8/17/11  6,328,574  6,294,240  (34,334) 
  Malaysian Ringgit  Buy  8/17/11  1,665,174  1,665,174  -- 
  Mexican Peso  Sell  8/17/11  151,842  149,892  (1,950) 
  New Zealand Dollar  Sell  7/21/11  863,903  851,495  (12,408) 
  Norwegian Krone  Buy  8/17/11  1,558,605  1,535,256  23,349 
  Philippines Peso  Buy  8/17/11  1,380,233  1,380,233  -- 
  Polish Zloty  Sell  8/17/11  1,047,900  1,047,900  -- 
  Russian Ruble  Buy  8/17/11  1,631,375  1,631,375  -- 
  Singapore Dollar  Buy  8/17/11  953,215  953,215  -- 
  South Korean Won  Buy  8/17/11  1,200,373  1,181,644  18,729 
  Swedish Krona  Buy  8/17/11  386,574  378,622  7,952 
  Swiss Franc  Sell  8/17/11  452,490  454,306  1,816 
  Taiwan Dollar  Sell  8/17/11  2,429,207  2,429,207  -- 
  Thai Baht  Buy  8/17/11  1,330,818  1,330,818  -- 
  Turkish Lira  Sell  8/17/11  449,219  449,219  -- 
 
Citibank, N.A.          
  Australian Dollar  Buy  8/17/11  1,871,339  1,824,898  46,441 
  Brazilian Real  Sell  8/17/11  723,940  723,321  (619) 
  British Pound  Sell  8/17/11  3,900,556  3,881,139  (19,417) 
  Canadian Dollar  Sell  8/17/11  1,792,632  1,750,592  (42,040) 
  Chilean Peso  Buy  8/17/11  1,699,536  1,669,570  29,966 
  Czech Koruna  Buy  8/17/11  448,173  448,173  -- 
  Danish Krone  Sell  7/21/11  1,188,827  1,197,561  8,734 
  Euro  Buy  8/17/11  4,195,832  4,154,934  40,898 
  Hong Kong Dollar  Sell  8/17/11  306,730  306,529  (201) 
  Hungarian Forint  Buy  8/17/11  812,608  812,608  -- 
  Japanese Yen  Sell  8/17/11  703,643  699,895  (3,748) 
  Mexican Peso  Buy  8/17/11  3,275,614  3,266,500  9,114 
  New Zealand Dollar  Sell  7/21/11  447,120  440,725  (6,395) 
  Norwegian Krone  Sell  8/17/11  4,930,187  4,858,413  (71,774) 
  Polish Zloty  Sell  8/17/11  1,368,709  1,368,709  -- 
  Singapore Dollar  Buy  8/17/11  1,379,117  1,379,117  -- 
  South African Rand  Buy  7/21/11  4,506,139  4,545,141  (39,002) 
  South Korean Won  Buy  8/17/11  1,134,210  1,118,544  15,666 
  Swedish Krona  Buy  8/17/11  3,694,544  3,624,277  70,267 
  Swiss Franc  Sell  8/17/11  1,696,154  1,703,282  7,128 
  Taiwan Dollar  Sell  8/17/11  1,756,080  1,756,080  -- 
  Turkish Lira  Buy  8/17/11  542,387  542,387  -- 
 
Credit Suisse AG          
  Australian Dollar  Sell  8/17/11  8,745,436  8,521,267  (224,169) 
  Brazilian Real  Buy  8/17/11  1,820,379  1,817,785  2,594 
  British Pound  Sell  8/17/11  2,541,648  2,528,008  (13,640) 
  Canadian Dollar  Sell  8/17/11  4,422,697  4,315,657  (107,040) 
  Czech Koruna  Sell  8/17/11  83,530  83,530  -- 
  Euro  Sell  8/17/11  8,166,893  8,201,169  34,276 
  Indian Rupee  Sell  8/17/11  1,849,669  1,839,109  (10,560) 
  Japanese Yen  Sell  8/17/11  10,653,724  10,602,453  (51,271) 
  Malaysian Ringgit  Buy  8/17/11  3,850,937  3,850,937  -- 
  Mexican Peso  Buy  8/17/11  1,653,539  1,648,701  4,838 
  Norwegian Krone  Buy  8/17/11  6,203,715  6,112,479  91,236 
  Polish Zloty  Sell  8/17/11  643,746  643,746  -- 
  Russian Ruble  Buy  8/17/11  1,630,852  1,630,852  -- 
  South African Rand  Buy  7/21/11  1,121,843  1,122,448  (605) 

 


  South Korean Won  Buy  8/17/11  2,441,655  2,404,334  37,321 
  Swedish Krona  Buy  8/17/11  3,678,132  3,681,673  (3,541) 
  Swiss Franc  Buy  8/17/11  3,473,735  3,485,282  (11,547) 
  Taiwan Dollar  Sell  8/17/11  2,450,028  2,450,028  -- 
  Turkish Lira  Sell  8/17/11  416,552  416,552  -- 
 
Deutsche Bank AG          
  Australian Dollar  Buy  8/17/11  9,117,912  8,866,420  251,492 
  Brazilian Real  Buy  8/17/11  1,099,293  1,092,468  6,825 
  British Pound  Sell  8/17/11  5,349,875  5,320,346  (29,529) 
  Canadian Dollar  Buy  8/17/11  3,599,467  3,594,613  4,854 
  Chilean Peso  Buy  8/17/11  140,885  139,652  1,233 
  Czech Koruna  Buy  8/17/11  2,068,488  2,068,488  -- 
  Euro  Sell  8/17/11  11,938,559  11,713,074  (225,485) 
  Hungarian Forint  Buy  8/17/11  858,334  850,822  7,512 
  Malaysian Ringgit  Buy  8/17/11  2,153,368  2,163,031  (9,663) 
  Mexican Peso  Buy  8/17/11  734,500  730,634  3,866 
  New Zealand Dollar  Sell  7/21/11  759,418  749,191  (10,227) 
  Norwegian Krone  Sell  8/17/11  1,435,487  1,414,679  (20,808) 
  Philippines Peso  Buy  8/17/11  1,373,555  1,373,555  -- 
  Polish Zloty  Sell  8/17/11  3,261,170  3,261,170  -- 
  Singapore Dollar  Buy  8/17/11  1,377,239  1,377,239  -- 
  South Korean Won  Buy  8/17/11  3,368,665  3,317,022  51,643 
  Swedish Krona  Buy  8/17/11  2,801,363  2,745,735  55,628 
  Swiss Franc  Buy  8/17/11  6,674,381  6,698,767  (24,386) 
  Taiwan Dollar  Sell  8/17/11  592,394  592,394  -- 
  Turkish Lira  Buy  8/17/11  1,077,178  1,077,178  -- 
 
Goldman Sachs International          
  Australian Dollar  Buy  8/17/11  2,880,576  2,809,236  71,340 
  British Pound  Sell  8/17/11  7,571,630  7,534,269  (37,361) 
  Canadian Dollar  Sell  8/17/11  7,483,711  7,307,614  (176,097) 
  Chilean Peso  Buy  8/17/11  2,246,935  2,229,404  17,531 
  Euro  Sell  8/17/11  6,714,869  6,588,831  (126,038) 
  Hungarian Forint  Sell  8/17/11  829,466  829,466  -- 
  Japanese Yen  Sell  8/17/11  5,478,135  5,449,089  (29,046) 
  Norwegian Krone  Buy  8/17/11  4,061,298  4,041,174  20,124 
  Polish Zloty  Buy  8/17/11  650,647  650,458  189 
  South African Rand  Buy  7/21/11  1,819,008  1,831,400  (12,392) 
  Swedish Krona  Buy  8/17/11  2,680,082  2,626,577  53,505 
  Swiss Franc  Buy  8/17/11  1,488,063  1,493,554  (5,491) 
 
HSBC Bank USA, National Association          
  Australian Dollar  Buy  8/17/11  12,266,433  11,974,545  291,888 
  British Pound  Buy  8/17/11  525,826  522,897  2,929 
  Euro  Sell  8/17/11  12,488,452  12,256,356  (232,096) 
  Indian Rupee  Sell  8/17/11  493,906  492,498  (1,408) 
  Japanese Yen  Sell  8/17/11  4,597,098  4,572,045  (25,053) 
  New Zealand Dollar  Sell  7/21/11  2,198,567  2,167,456  (31,111) 
  Norwegian Krone  Sell  8/17/11  2,584,839  2,550,516  (34,323) 
  Philippines Peso  Buy  8/17/11  1,373,713  1,373,713  -- 
  Singapore Dollar  Buy  8/17/11  1,715,564  1,714,625  939 
  South Korean Won  Buy  8/17/11  1,595,110  1,573,616  21,494 
  Swiss Franc  Buy  8/17/11  2,792,916  2,803,942  (11,026) 
  Taiwan Dollar  Sell  8/17/11  2,693,383  2,693,383  -- 
 
JPMorgan Chase Bank, N.A.          
  Australian Dollar  Buy  8/17/11  1,008,063  983,131  24,932 
  Brazilian Real  Buy  8/17/11  2,434,339  2,417,853  16,486 
  British Pound  Buy  8/17/11  6,299,922  6,267,592  32,330 
  Canadian Dollar  Sell  8/17/11  6,420,385  6,269,373  (151,012) 
  Chilean Peso  Buy  8/17/11  1,243,080  1,234,037  9,043 
  Czech Koruna  Buy  8/17/11  1,486,021  1,479,633  6,388 
  Euro  Sell  8/17/11  3,450,751  3,323,563  (127,188) 
  Hong Kong Dollar  Sell  8/17/11  870,869  870,304  (565) 
  Hungarian Forint  Buy  8/17/11  563,277  558,297  4,980 
  Japanese Yen  Sell  8/17/11  3,609,653  3,589,893  (19,760) 
  Malaysian Ringgit  Buy  8/17/11  1,918,482  1,918,482  -- 
  Mexican Peso  Buy  8/17/11  1,687,955  1,680,137  7,818 
  New Zealand Dollar  Sell  7/21/11  896,389  883,298  (13,091) 
  Norwegian Krone  Buy  8/17/11  1,374,798  1,354,697  20,101 
  Polish Zloty  Buy  8/17/11  1,700,427  1,700,427  -- 
  Russian Ruble  Buy  8/17/11  1,629,865  1,629,604  261 
  Singapore Dollar  Buy  8/17/11  2,218,541  2,216,452  2,089 
  South African Rand  Buy  7/21/11  2,683,265  2,701,263  (17,998) 
  South Korean Won  Buy  8/17/11  2,583,141  2,542,134  41,007 
  Swedish Krona  Sell  8/17/11  989,869  970,272  (19,597) 
  Swiss Franc  Sell  8/17/11  2,149,240  2,156,886  7,646 
  Taiwan Dollar  Sell  8/17/11  2,445,848  2,442,972  (2,876) 
  Thai Baht  Buy  8/17/11  1,348,945  1,348,945  -- 
  Turkish Lira  Sell  8/17/11  927,340  930,131  2,791 
 
Royal Bank of Scotland PLC (The)          
  Australian Dollar  Buy  8/17/11  6,739,340  6,666,291  73,049 
  Brazilian Real  Buy  8/17/11  2,503,092  2,489,748  13,344 
  British Pound  Sell  8/17/11  4,320,658  4,296,672  (23,986) 
  Canadian Dollar  Sell  8/17/11  4,127,864  4,030,700  (97,164) 
  Chilean Peso  Buy  8/17/11  1,634,432  1,617,560  16,872 
  Czech Koruna  Buy  8/17/11  465,238  465,238  -- 
  Euro  Buy  8/17/11  207,805  203,972  3,833 
  Hungarian Forint  Sell  8/17/11  481,379  481,799  420 
  Indian Rupee  Sell  8/17/11  2,652,885  2,637,156  (15,729) 
  Japanese Yen  Sell  8/17/11  7,370,702  7,337,639  (33,063) 

 


  Malaysian Ringgit  Buy  8/17/11  2,254,352  2,254,352  -- 
  Mexican Peso  Buy  8/17/11  1,725,245  1,717,037  8,208 
  New Zealand Dollar  Sell  7/21/11  109,808  94,272  (15,536) 
  Norwegian Krone  Buy  8/17/11  3,825,160  3,767,829  57,331 
  Polish Zloty  Buy  8/17/11  215,325  215,325  -- 
  Russian Ruble  Buy  8/17/11  1,632,829  1,632,829  -- 
  Singapore Dollar  Buy  8/17/11  1,836,128  1,836,128  -- 
  South African Rand  Buy  7/21/11  524,084  526,965  (2,881) 
  South Korean Won  Buy  8/17/11  2,802,722  2,758,865  43,857 
  Swedish Krona  Buy  8/17/11  2,225,064  2,180,342  44,722 
  Swiss Franc  Buy  8/17/11  3,427,188  3,440,779  (13,591) 
  Taiwan Dollar  Sell  8/17/11  2,732,306  2,732,306  -- 
  Turkish Lira  Buy  8/17/11  170,650  170,650  -- 
 
State Street Bank and Trust Co.          
  Australian Dollar  Buy  8/17/11  8,929,593  8,805,099  124,494 
  Brazilian Real  Buy  8/17/11  2,314,084  2,301,457  12,627 
  British Pound  Sell  8/17/11  2,175,183  2,164,434  (10,749) 
  Canadian Dollar  Sell  8/17/11  4,360,289  4,258,456  (101,833) 
  Euro  Sell  8/17/11  19,288,734  18,922,695  (366,039) 
  Hungarian Forint  Sell  8/17/11  2,346,183  2,346,183  -- 
  Japanese Yen  Sell  8/17/11  1,973,219  1,963,082  (10,137) 
  Malaysian Ringgit  Buy  8/17/11  3,925,787  3,925,787  -- 
  Mexican Peso  Buy  8/17/11  1,599,815  1,592,338  7,477 
  Norwegian Krone  Sell  8/17/11  4,225,888  4,162,262  (63,626) 
  Philippines Peso  Buy  8/17/11  1,373,808  1,373,808  -- 
  Polish Zloty  Sell  8/17/11  780,078  780,078  -- 
  Russian Ruble  Buy  8/17/11  1,635,805  1,635,805  -- 
  Singapore Dollar  Buy  8/17/11  1,141,789  1,141,789  -- 
  South African Rand  Buy  7/21/11  1,658,174  1,643,541  14,633 
  Swedish Krona  Buy  8/17/11  1,264,781  1,240,065  24,716 
  Swiss Franc  Buy  8/17/11  6,432,719  6,458,229  (25,510) 
  Taiwan Dollar  Sell  8/17/11  2,266,250  2,266,250  -- 
  Thai Baht  Buy  8/17/11  1,352,895  1,352,895  -- 
 
UBS AG          
  Australian Dollar  Buy  8/17/11  9,391,693  9,255,313  136,380 
  Brazilian Real  Buy  8/17/11  2,534,678  2,531,152  3,526 
  British Pound  Sell  8/17/11  8,721,129  8,680,058  (41,071) 
  Canadian Dollar  Sell  8/17/11  1,762  1,722  (40) 
  Czech Koruna  Buy  8/17/11  2,837,415  2,837,415  -- 
  Euro  Sell  8/17/11  16,079,431  15,875,056  (204,375) 
  Hungarian Forint  Buy  8/17/11  1,078,876  1,078,876  -- 
  Indian Rupee  Sell  8/17/11  2,713,742  2,698,844  (14,898) 
  Japanese Yen  Sell  8/17/11  5,226,416  5,199,630  (26,786) 
  Mexican Peso  Buy  8/17/11  1,485,561  1,480,950  4,611 
  New Zealand Dollar  Sell  7/21/11  1,779,056  1,751,557  (27,499) 
  Norwegian Krone  Buy  8/17/11  578,735  593,995  (15,260) 
  Polish Zloty  Buy  8/17/11  819,577  819,577  -- 
  Russian Ruble  Buy  8/17/11  1,633,215  1,633,215  -- 
  Singapore Dollar  Buy  8/17/11  1,117,360  1,117,360  -- 
  South African Rand  Buy  7/21/11  624,097  617,685  6,412 
  South Korean Won  Buy  8/17/11  3,421,613  3,366,364  55,249 
  Swedish Krona  Sell  8/17/11  787,744  772,101  (15,643) 
  Swiss Franc  Buy  8/17/11  3,464,450  3,478,396  (13,946) 
  Taiwan Dollar  Sell  8/17/11  3,380,537  3,383,919  3,382 
  Thai Baht  Buy  8/17/11  1,331,683  1,331,683  -- 
  Turkish Lira  Buy  8/17/11  35,303  35,412  (109) 
 
Westpac Banking Corp.          
  Australian Dollar  Buy  8/17/11  7,219,471  7,033,876  185,595 
  British Pound  Sell  8/17/11  5,477,704  5,450,710  (26,994) 
  Canadian Dollar  Buy  8/17/11  2,825,998  2,760,003  65,995 
  Euro  Sell  8/17/11  24,302,183  23,846,447  (455,736) 
  Japanese Yen  Sell  8/17/11  2,798,330  2,783,871  (14,459) 
  New Zealand Dollar  Buy  7/21/11  409,261  403,477  5,784 
  Norwegian Krone  Sell  8/17/11  3,372,008  3,323,422  (48,586) 
  Swedish Krona  Sell  8/17/11  1,904,801  1,867,757  (37,044) 
  Swiss Franc  Buy  8/17/11  3,470,045  3,483,597  (13,552) 
Total            $(1,900,625) 

 


Putnam Asset Allocation Balanced Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)

        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Amsterdam Exchange Index (Short)  46  $4,538,516  Jul-11  $(59,513) 
Australian Government Treasury Bond 10 yr (Long)  26  2,644,435  Sep-11  (10,587) 
Australian Government Treasury Bond 10 yr (Short)  73  7,424,760  Sep-11  46,646 
Canadian Government Bond 10 yr (Short)  108  13,897,483  Sep-11  161,408 
DAX Index (Short)  21  5,634,540  Sep-11  (220,001) 
Euro STOXX 50 Index (Short)  544  22,496,010  Sep-11  (799,637) 
Euro-Bobl 5 yr (Short)  8  1,354,193  Sep-11  (1,772) 
Euro-Bund 10 yr (Long)  91  16,579,923  Sep-11  (57,563) 
Euro-CAC 40 Index (Short)  221  12,769,897  Jul-11  (569,989) 
Euro-Dollar 90 day (Short)  589  146,344,413  Jun-12  (341,124) 
Euro-Schatz 2 yr (Long)  11  1,717,868  Sep-11  1,478 
Euro-Swiss Franc 3 Month (Short)  19  5,638,381  Dec-11  (22,358) 
Euro-Swiss Franc 3 Month (Short)  19  5,628,206  Jun-12  (36,997) 
Euro-Swiss Franc 3 Month (Short)  19  5,615,204  Dec-12  (43,989) 
Euro-Swiss Franc 3 Month (Short)  19  5,633,859  Mar-12  (29,410) 
Euro-Swiss Franc 3 Month (Short)  19  5,641,773  Sep-11  (13,879) 
FTSE 100 Index (Long)  237  22,477,405  Sep-11  55,078 
FTSE 100 Index (Short)  151  14,321,047  Sep-11  (358,299) 
FTSE/MIB Index (Long)  99  14,527,892  Sep-11  1,802 
IBEX 35 Index (Long)  23  3,430,771  Jul-11  125,819 
Japanese Government Bond 10 yr (Long)  6  10,516,217  Sep-11  20,098 
Japanese Government Bond 10 yr Mini (Short)  16  2,805,915  Sep-11  (5,957) 
MSCI EAFE Index E-Mini (Long)  67  5,748,265  Sep-11  203,546 
OMXS 30 Index (Short)  315  5,562,154  Jul-11  (56,120) 
Russell 2000 Index Mini (Short)  67  5,530,180  Sep-11  (280,529) 
S&P 500 Index (Long)  11  3,617,625  Sep-11  102,984 
S&P 500 Index E-Mini (Long)  2539  167,002,725  Sep-11  5,568,028 
S&P 500 Index E-Mini (Short)  97  6,380,175  Sep-11  (32,047) 
S&P Mid Cap 400 Index E-Mini (Long)  337  32,908,050  Sep-11  1,317,274 
SGX MSCI Singapore Index (Short)  38  2,231,670  Jul-11  (42,912) 
SPI 200 Index (Short)  79  9,750,779  Sep-11  (163,566) 
Tokyo Price Index (Short)  183  19,318,814  Sep-11  (839,695) 
U.K. Gilt 10 yr (Long)  187  36,101,663  Sep-11  (256,843) 
U.S. Treasury Bond 20 yr (Long)  988  121,554,875  Sep-11  (1,104,854) 
U.S. Treasury Bond 30 yr (Long)  73  9,216,250  Sep-11  (74,764) 
U.S. Treasury Bond 30 yr (Short)  598  75,497,500  Sep-11  1,147,622 
U.S. Treasury Note 2 yr (Long)  423  92,782,406  Sep-11  (20,257) 
U.S. Treasury Note 2 yr (Short)  300  65,803,125  Sep-11  (87,195) 
U.S. Treasury Note 5 yr (Long)  294  35,043,422  Sep-11  210,754 
U.S. Treasury Note 5 yr (Short)  11  1,311,148  Sep-11  (10,708) 
U.S. Treasury Note 10 yr (Long)  569  69,604,703  Sep-11  (877,957) 
U.S. Treasury Note 10 yr (Short)  143  17,492,922  Sep-11  85,166 
Total        $2,629,181 

 


Putnam Asset Allocation Balanced Portfolio

WRITTEN OPTIONS OUTSTANDING at 6/30/11 (premiums received $25,223,228) (Unaudited)

  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to receive a fixed rate of 5.02% versus the       
three month USD-LIBOR-BBA maturing May 3, 2026.  $23,092,447  Apr-16/5.02  $1,498,238 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to pay a fixed rate of 5.02% versus the       
three month USD-LIBOR-BBA maturing May 3, 2026.  23,092,447  Apr-16/5.02  1,670,739 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to receive a fixed rate of 4.475% versus       
the three month USD-LIBOR-BBA maturing August 19, 2021.  6,523,000  Aug-11/4.475  261 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to pay a fixed rate of 4.475% versus the       
three month USD-LIBOR-BBA maturing August 19, 2021.  6,523,000  Aug-11/4.475  657,714 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 4.49% versus the       
three month USD-LIBOR-BBA maturing August 17, 2021.  9,568,000  Aug-11/4.49  287 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.49% versus the three       
month USD-LIBOR-BBA maturing August 17, 2021.  9,568,000  Aug-11/4.49  979,668 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to receive a fixed rate of 4.55% versus       
the three month USD-LIBOR-BBA maturing August 17, 2021.  4,784,000  Aug-11/4.55  96 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to pay a fixed rate of 4.55% versus the       
three month USD-LIBOR-BBA maturing August 17, 2021.  4,784,000  Aug-11/4.55  514,950 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to receive a fixed rate of 4.70% versus       
the three month USD-LIBOR-BBA maturing August 8, 2021.  4,305,000  Aug-11/4.7  7 
Option on an interest rate swap with Bank of America, N.A.       
for the obligation to pay a fixed rate of 4.70% versus the       
three month USD-LIBOR-BBA maturing August 8, 2021.  4,305,000  Aug-11/4.7  524,952 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to receive a fixed rate of 2.24% versus the       
three month USD-LIBOR-BBA maturing December 8, 2016.  14,823,538  Dec-11/2.24  229,913 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to pay a fixed rate of 2.24% versus the       
three month USD-LIBOR-BBA maturing December 8, 2016.  14,823,538  Dec-11/2.24  150,904 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
5.27% versus the three month USD-LIBOR-BBA maturing       
February 12, 2025.  5,469,460  Feb-15/5.27  255,030 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 5.27%       
versus the three month USD-LIBOR-BBA maturing       
February 12, 2025.  5,469,460  Feb-15/5.27  489,954 
Option on an interest rate swap with Barclays Bank PLC for       
the obligation to receive a fixed rate of 5.36% versus the       
three month USD-LIBOR-BBA maturing February 13, 2025.  1,574,340  Feb-15/5.36  69,888 
Option on an interest rate swap with Barclays Bank PLC for       
the obligation to pay a fixed rate of 5.36% versus the       
three month USD-LIBOR-BBA maturing February 13, 2025.  1,574,340  Feb-15/5.36  148,051 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.46% versus the three month USD-LIBOR-BBA maturing       
July 26, 2021.  18,908,000  Jul-11/4.46  4 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.46%       
versus the three month USD-LIBOR-BBA maturing July 26, 2021.  18,908,000  Jul-11/4.46  1,948,658 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 4.52% versus the       
three month USD-LIBOR-BBA maturing July 26, 2021.  17,732,000  Jul-11/4.52  2 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.52% versus the three       
month USD-LIBOR-BBA maturing July 26, 2021.  17,732,000  Jul-11/4.52  1,921,085 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.525% versus the three month USD-LIBOR-BBA maturing       
July 26, 2021.  18,908,000  Jul-11/4.525  2 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.525%       
versus the three month USD-LIBOR-BBA maturing July 26, 2021.  18,908,000  Jul-11/4.525  2,056,807 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 4.5475% versus the       
three month USD-LIBOR-BBA maturing July 26, 2021.  8,866,000  Jul-11/4.5475  1 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.5475% versus the three       
month USD-LIBOR-BBA maturing July 26, 2021.  8,866,000  Jul-11/4.5475  981,910 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.745% versus the three month USD-LIBOR-BBA maturing       
July 27, 2021.  28,362,000  Jul-11/4.745  1 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.745%       
versus the three month USD-LIBOR-BBA maturing July 27, 2021.  28,362,000  Jul-11/4.745  3,615,021 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 5.12% versus the       

 


three month USD-LIBOR-BBA maturing June 6, 2021.  6,724,074  Jun-16/5.12  225,951 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.12% versus the three       
month USD-LIBOR-BBA maturing June 6, 2021.  6,724,074  Jun-16/4.12  184,502 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to receive a fixed rate of 4.89% versus the       
three month USD-LIBOR-BBA maturing June 6, 2021.  6,616,660  Jun-16/4.89  247,463 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to pay a fixed rate of 4.39% versus the       
three month USD-LIBOR-BBA maturing June 6, 2021.  6,616,660  Jun-16/4.39  215,703 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.575% versus the three month USD-LIBOR-BBA maturing       
June 6, 2021.  6,574,650  Jun-16/4.575  283,565 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.575%       
versus the three month USD-LIBOR-BBA maturing June 6, 2021.  6,574,650  Jun-16/4.575  237,148 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.815% versus the three month USD-LIBOR-BBA maturing       
June 10, 2026.  2,998,911  Jun-16/4.815  216,461 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.815%       
versus the three month USD-LIBOR-BBA maturing June 10, 2026.  2,998,911  Jun-16/4.815  192,590 
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  29,287 
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  1,931,491 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to receive a fixed rate of 2.065% versus the       
three month USD-LIBOR-BBA maturing September 8, 2016.  4,597,118  Sep-11/2.065  48,408 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to pay a fixed rate of 2.065% versus the       
three month USD-LIBOR-BBA maturing September 8, 2016.  4,597,118  Sep-11/2.065  27,813 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to receive a fixed rate of 4.60% versus the       
three month USD-LIBOR-BBA maturing June 1, 2021.  158,406  May-16/4.60  6,740 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to pay a fixed rate of 4.60% versus the       
three month USD-LIBOR-BBA maturing June 1, 2021.  158,406  May-16/4.60  5,799 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate of       
4.86% versus the three month USD-LIBOR-BBA maturing       
June 1, 2021.  159,199  May-16/4.86  6,023 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate of       
4.36% versus the three month USD-LIBOR-BBA maturing       
June 1, 2021.  159,199  May-16/4.36  5,080 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 5.11% versus the       
three month USD-LIBOR-BBA maturing June 1, 2021.  161,689  May-16/5.11  5,453 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.11% versus the three       
month USD-LIBOR-BBA maturing June 1, 2021.  161,689  May-16/4.11  4,407 
Option on an interest rate swap with Credit Suisse       
International for the obligation to receive a fixed rate of       
4.7575% versus the three month USD-LIBOR-BBA maturing       
May 15, 2016.  4,190,064  May-16/4.7575  165,340 
Option on an interest rate swap with Credit Suisse       
International for the obligation to pay a fixed rate of       
4.7575% versus the three month USD-LIBOR-BBA maturing       
May 15, 2016.  4,190,064  May-16/4.7575  168,315 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate of       
2.31% versus the three month USD-LIBOR-BBA maturing       
December 1, 2016.  4,677,417  Nov-11/2.31  61,555 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate of       
2.31% versus the three month USD-LIBOR-BBA maturing       
December 1, 2016.  4,677,417  Nov-11/2.31  55,989 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to receive a fixed rate of 4.745% versus the       
three month USD-LIBOR-BBA maturing May 15, 2016.  6,398,663  May-16/4.7575  253,963 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to pay a fixed rate of 4.745% versus the       
three month USD-LIBOR-BBA maturing May 15, 2016.  6,398,663  May-16/4.7575  255,243 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to receive a fixed rate of 4.765% versus the       
three month USD-LIBOR-BBA maturing May 23, 2021.  8,872,918  May-16/4.765  349,770 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to pay a fixed rate of 4.765% versus the       
three month USD-LIBOR-BBA maturing May 23, 2021.  8,872,918  May-16/4.765  357,312 
Option on an interest rate swap with Credit Suisse       
International for the obligation to receive a fixed rate of       
4.77% versus the three month USD-LIBOR-BBA maturing       
May 15, 2016.  15,996,658  May-16/4.77  627,709 
Option on an interest rate swap with Credit Suisse       

 


International for the obligation to pay a fixed rate of         
4.77% versus the three month USD-LIBOR-BBA maturing         
May 15, 2016.    15,996,658  May-16/4.77  647,065 
Option on an interest rate swap with Credit Suisse         
International for the obligation to pay a fixed rate of         
0.578% versus the six month CHF-LIBOR-BBA maturing         
December 24, 2013.  CHF  14,050,000  Dec-11/0.578  17,320 
Option on an interest rate swap with Credit Suisse         
International for the obligation to pay a fixed rate of         
0.602% versus the six month CHF-LIBOR-BBA maturing         
December 22, 2013.  CHF  14,050,000  Dec-11/0.602  20,703 
Option on an interest rate swap with Credit Suisse         
International for the obligation to pay a fixed rate of         
0.70175% versus the six month CHF-LIBOR-BBA maturing         
January 23, 2014.  CHF  14,050,000  Jan-12/0.70175  32,137 
Option on an interest rate swap with UBS AG for the         
obligation to pay a fixed rate of 0.722% versus the six         
month CHF-LIBOR-BBA maturing January 23, 2014.  CHF  14,050,000  Jan-12/0.722  35,705 
Total        $24,636,153 

 


Putnam Asset Allocation Balanced Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 6/30/11 (proceeds receivable $12,633,047) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, July 1, 2041  $3,000,000  7/15/11  $3,244,922 
FNMA, 5s, June 1, 2041  2,000,000  7/26/11  2,128,047 
FNMA, 4 1/2s, July 1, 2041  6,000,000  7/15/11  6,207,656 
FNMA, 4s, July 1, 2041  1,000,000  7/15/11  1,000,000 
Total      $12,580,625 

 


Putnam Asset Allocation: Balanced Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)

      Upfront    Payments  Payments  Unrealized 
Swap counterparty /    premium  Termination  made by  received by  appreciation/ 
Notional amount    received (paid)  date  fund per annum  fund per annum  (depreciation) 
Bank of America, N.A.       
  $1,486,400    $(1,351)  2/7/41  4.401%  3 month USD-LIBOR-BBA  $(114,361) 
AUD  1,480,000    --  4/18/21  6.1%  6 month AUD-BBR-BBSW  (35,170) 
CAD  2,360,000    --  6/28/21  3.25%  3 month CAD-BA-CDOR  31,549 
EUR  9,000,000    --  6/14/13  1 year EUR-EONIA-OIS-COMPOUND  1.711561%  6,386 
GBP  5,936,000    --  6/29/20  6 month GBP-LIBOR-BBA  3.355%  (32,780) 
GBP  1,810,000    --  6/30/21  6 month GBP-LIBOR-BBA  3.4725%  -- 
GBP  13,670,000    --  2/3/13  1.875%  6 month GBP-LIBOR-BBA  (262,001) 
GBP  6,110,000    --  2/3/16  3.0625%  6 month GBP-LIBOR-BBA  (372,544) 
GBP  8,890,000  (E)  --  2/3/31  6 month GBP-LIBOR-BBA  4.87%  (5,714) 
Barclays Bank PLC       
  $85,352,900    (17,702)  6/17/13  3 month USD-LIBOR-BBA  0.64%  (60,033) 
  66,121,900    (121,374)  6/17/16  3 month USD-LIBOR-BBA  1.93%  (287,652) 
  72,204,300    (174,466)  6/17/20  3 month USD-LIBOR-BBA  3.04%  (396,354) 
  14,906,600    (30,565)  6/17/21  3 month USD-LIBOR-BBA  3.2%  (82,304) 
  13,903,100    (51,850)  6/17/41  3 month USD-LIBOR-BBA  4.04%  (104,322) 
  2,100,000    --  6/20/16  1.8125%  3 month USD-LIBOR-BBA  17,811 
  600,000    --  6/20/41  3.91625%  3 month USD-LIBOR-BBA  15,689 
  19,262,600    --  3/10/18  3.06%  3 month USD-LIBOR-BBA  (759,698) 
  2,782,000    --  6/23/20  2.955%  3 month USD-LIBOR-BBA  29,622 
  3,973,100    --  6/24/21  3.103%  3 month USD-LIBOR-BBA  50,992 
  34,160,000    --  6/27/20  2.89485%  3 month USD-LIBOR-BBA  548,464 
  12,510,000    --  6/27/41  3 month USD-LIBOR-BBA  3.88882%  (397,134) 
  5,983,000    --  6/28/13  0.628%  3 month USD-LIBOR-BBA  6,515 
  8,721,000    --  6/28/21  3 month USD-LIBOR-BBA  3.042%  (162,882) 
  5,080,000    --  6/28/41  3.885%  3 month USD-LIBOR-BBA  165,236 
  1,690,000    --  6/28/41  3 month USD-LIBOR-BBA  3.88%  (56,475) 
  4,860,000    --  6/28/20  2.855%  3 month USD-LIBOR-BBA  94,054 
  15,020,000    --  6/29/20  2.841084%  3 month USD-LIBOR-BBA  306,495 
  6,680,000    --  6/29/14  3 month USD-LIBOR-BBA  3.85488%  (251,632) 
  5,950,000    --  6/29/13  3 month USD-LIBOR-BBA  0.6425%  (4,688) 
  5,300,000    --  6/30/13  0.66%  3 month USD-LIBOR-BBA  2,406 
  4,000,000    --  6/30/20  0.66%  3 month USD-LIBOR-BBA  68,667 
  3,700,000    --  6/30/14  3 month USD-LIBOR-BBA  3.92%  (96,895) 
  8,760,000    (11,568)  3/30/31  4.17%  3 month USD-LIBOR-BBA  (399,270) 
  62,670,300    1,260  5/4/13  3 month USD-LIBOR-BBA  0.78%  222,120 
  23,699,400    11,533  5/4/16  3 month USD-LIBOR-BBA  2.15%  306,457 
AUD  3,300,000    --  6/29/21  5.735%  6 month AUD-BBR-BBSW  28,165 
AUD  6,600,000    --  6/30/16  5.42%  6 month AUD-BBR-BBSW  22,663 
AUD  15,650,000    --  3/21/16  5.57%  6 month AUD-BBR-BBSW  (98,084) 
AUD  11,890,000    --  3/21/21  6 month AUD-BBR-BBSW  5.88%  82,609 
AUD  2,330,000    --  4/21/21  6.0675%  6 month AUD-BBR-BBSW  (49,215) 
EUR  15,910,000    --  6/15/13  1 year EUR-EONIA-OIS-COMPOUND  1.67%  (3,706) 
EUR  19,887,500    --  6/15/13  1.95%  3 month EUR-EURIBOR-REUTERS  28,524 
EUR  131,000    --  2/9/21  3.53%  6 month EUR-EURIBOR-REUTERS  (4,034) 
GBP  16,730,000    --  4/6/16  6 month GBP-LIBOR-BBA  3.05%  871,153 
GBP  5,690,000    --  4/6/31  4.2375%  6 month GBP-LIBOR-BBA  (315,142) 
GBP  6,920,000    --  1/18/21  3.7875%  6 month GBP-LIBOR-BBA  (419,013) 
GBP  8,200,000  (E)  --  2/3/31  6 month GBP-LIBOR-BBA  4.86%  (12,517) 
GBP  19,140,000    --  2/3/13  1.895%  6 month GBP-LIBOR-BBA  (379,000) 
GBP  8,010,000    --  5/17/13  1.555%  6 month GBP-LIBOR-BBA  (40,754) 
GBP  8,010,000    --  5/18/13  1.555%  6 month GBP-LIBOR-BBA  (40,207) 
Citibank, N.A.         
  $81,115,900    (25,665)  6/28/19  3 month USD-LIBOR-BBA  3.04%  814,112 
  125,935    --  6/29/21  3 month USD-LIBOR-BBA  3.05375%  (2,217) 
  1,300,000    --  4/7/41  4.3%  3 month USD-LIBOR-BBA  (65,507) 
  29,700,000    --  3/4/13  3 month USD-LIBOR-BBA  0.88625%  238,649 
GBP  16,730,000    --  4/5/16  6 month GBP-LIBOR-BBA  3.075%  905,389 
GBP  5,690,000    --  4/5/31  4.21075%  6 month GBP-LIBOR-BBA  (281,233) 
GBP  32,620,000    --  8/3/15  2.9225%  6 month GBP-LIBOR-BBA  (1,848,781) 
GBP  9,680,000    --  8/3/20  6 month GBP-LIBOR-BBA  3.885%  761,965 
GBP  40,770,000    --  8/3/12  6 month GBP-LIBOR-BBA  1.61%  431,817 
SEK  7,950,000    --  6/10/21  3.62%  3 month SEK-STIBOR-SIDE  (10,351) 
SEK  18,860,000    --  3/24/21  3 month SEK-STIBOR-SIDE  3.8025%  104,553 
SEK  8,530,000    --  4/15/21  3.93%  3 month SEK-STIBOR-SIDE  (52,006) 
SEK  9,610,000    --  5/23/21  3.6575%  3 month SEK-STIBOR-SIDE  (21,392) 
SEK  7,950,000    --  6/9/21  3.6225%  3 month SEK-STIBOR-SIDE  (10,647) 
SEK  13,690,000    --  2/4/21  3.79%  3 month SEK-STIBOR-SIDE  (76,364) 
Credit Suisse International         
  $5,278,600    (1,516)  5/27/21  3.21%  3 month USD-LIBOR-BBA  (694) 
  16,800,000  (E)  --  3/21/13  1.15625%  3 month USD-LIBOR-BBA  (66,864) 
  32,977,100    (6,747)  2/24/15  2.04%  3 month USD-LIBOR-BBA  (960,605) 
  31,200,000    --  5/6/13  3 month USD-LIBOR-BBA  0.75375%  93,013 
  73,398,400    (7,435)  5/27/13  3 month USD-LIBOR-BBA  0.72%  118,423 
CHF  3,220,000    --  6/14/21  6 month CHF-LIBOR-BBA  2.075%  (11,018) 
CHF  1,620,000    --  5/13/21  2.225%  6 month CHF-LIBOR-BBA  (25,328) 
CHF  1,620,000    --  5/16/21  2.185%  6 month CHF-LIBOR-BBA  (17,843) 
CHF  28,000,000    --  5/19/13  0.7125%  6 month CHF-LIBOR-BBA  (152,719) 
CHF  3,220,000    --  5/20/21  2.24%  6 month CHF-LIBOR-BBA  (53,777) 
EUR  1,440,000    --  4/19/21  3.691%  6 month EUR-EURIBOR-REUTERS  (60,866) 
GBP  9,810,000    --  2/3/16  3.065%  6 month GBP-LIBOR-BBA  (599,882) 
GBP  5,420,000    --  2/3/21  6 month GBP-LIBOR-BBA  3.93%  422,061 
MXN  30,380,000    --  7/21/20  1 month MXN-TIIE-BANXICO  6.895%  (50,715) 
SEK  13,690,000    --  2/7/21  3.82%  3 month SEK-STIBOR-SIDE  (81,920) 
SEK  3,570,000    --  3/29/21  3 month SEK-STIBOR-SIDE  3.81125%  20,029 
SEK  10,010,000    --  4/4/21  3.815%  3 month SEK-STIBOR-SIDE  (46,352) 
SEK  23,600,000    --  3/4/21  3 month SEK-STIBOR-SIDE  3.78%  126,404 
Deutsche Bank AG         
  $59,321,000    (73,315)  2/3/14  2.25%  3 month USD-LIBOR-BBA  (2,583,933) 
  69,044,300    (182,018)  3/10/19  3.58%  3 month USD-LIBOR-BBA  (4,579,612) 
  8,594,000    --  7/1/16  3 month USD-LIBOR-BBA  1.955%  (23,548) 
  1,015,800    2,380  7/27/20  3 month USD-LIBOR-BBA  2.94%  564 
  71,281,100    12,567  12/31/14  1.91%  3 month USD-LIBOR-BBA  (1,360,751) 
  139,700,000    --  1/8/14  2.375%  3 month USD-LIBOR-BBA  (6,592,226) 
EUR  20,950,000    --  12/23/20  3.325%  6 month EUR-EURIBOR-REUTERS  (395,914) 
KRW  2,024,000,000    --  5/9/16  4.115%  3 month KRW-CD-KSDA-BLOOMBERG  (18,410) 
KRW  2,024,000,000    --  4/22/16  4.135%  3 month KRW-CD-KSDA-BLOOMBERG  (20,898) 
KRW  2,007,000,000    --  4/29/16  4.14%  3 month KRW-CD-KSDA-BLOOMBERG  (20,868) 
MXN  30,380,000    --  7/17/20  1 month MXN-TIIE-BANXICO  6.95%  (40,027) 
Goldman Sachs International         
  $153,936,000    (870,226)  2/15/25  3 month USD-LIBOR-BBA  4.2%  10,780,187 

 


  16,400,000    --  6/7/41  3 month USD-LIBOR-BBA  3.97%  (249,466) 
  2,599,000    --  7/1/14  1.105%  3 month USD-LIBOR-BBA  1,377 
  601,000    --  7/1/41  3 month USD-LIBOR-BBA  4.02625%  (4,718) 
  14,323,000    --  7/1/16  3 month USD-LIBOR-BBA  1.9625%  (33,946) 
  15,527,100  (E)  --  3/19/13  1.09375%  3 month USD-LIBOR-BBA  (52,792) 
  48,325,000    (212,712)  5/3/21  3.39%  3 month USD-LIBOR-BBA  (1,107,877) 
  48,327,300    139,672  5/9/21  3.3%  3 month USD-LIBOR-BBA  (336,920) 
  10,565,400    67,507  5/9/41  4.09%  3 month USD-LIBOR-BBA  (30,147) 
  23,686,500    14,093  5/20/13  3 month USD-LIBOR-BBA  0.71%  55,195 
  8,485,000    21,507  5/20/16  3 month USD-LIBOR-BBA  2.00%  52,176 
CHF  21,200,000    --  12/15/12  0.538%  6 month CHF-LIBOR-BBA  (127,450) 
CHF  3,220,000    --  5/5/21  6 month CHF-LIBOR-BBA  2.3725%  104,252 
EUR  10,850,000    --  6/9/21  6 month EUR-EURIBOR-REUTERS  3.409%  20,159 
EUR  19,887,500    --  6/17/13  1 year EUR-EONIA-OIS-COMPOUND  1.665%  (22,738) 
EUR  19,887,500    --  6/17/13  1.92%  3 month EUR-EURIBOR-REUTERS  29,446 
EUR  18,660,000    --  6/20/13  1.91%  3 month EUR-EURIBOR-REUTERS  35,175 
EUR  18,660,000    --  6/20/13  1 year EUR-EONIA-OIS-COMPOUND  1.615%  (58,902) 
EUR  6,910,000    --  6/21/13  1 year EUR-EONIA-OIS-COMPOUND  1.632%  (12,814) 
EUR  11,940,000    --  5/26/13  2.224%  6 month EUR-EURIBOR-REUTERS  (33,315) 
GBP  3,350,000    --  1/21/21  3.81%  6 month GBP-LIBOR-BBA  (211,931) 
KRW  1,940,000,000    --  4/21/16  4.12%  3 month KRW-CD-KSDA-BLOOMBERG  (18,811) 
SEK  14,100,000    --  12/10/20  3.5775%  3 month SEK-STIBOR-SIDE  (56,511) 
SEK  23,600,000    --  3/2/21  3 month SEK-STIBOR-SIDE  3.7575%  119,063 
JPMorgan Chase Bank, N.A.         
  $8,374,100    25,771  2/18/41  4.43%  3 month USD-LIBOR-BBA  (644,224) 
  8,686,500    --  3/9/26  3 month USD-LIBOR-BBA  4.07%  453,247 
  32,995,900    (15,780)  3/11/13  3 month USD-LIBOR-BBA  0.91%  259,151 
  33,500,000  (E)  --  3/21/13  1.1685%  3 month USD-LIBOR-BBA  (137,602) 
  14,200,000  (E)  --  3/22/13  1.185%  3 month USD-LIBOR-BBA  (60,225) 
  118,568,000    --  3/5/18  4.325%  3 month USD-LIBOR-BBA  (14,647,896) 
  38,200,000    --  6/10/13  3 month USD-LIBOR-BBA  0.5775%  (58,426) 
  9,400,000    --  6/10/21  3.061%  3 month USD-LIBOR-BBA  140,346 
  400,000    --  6/10/41  3.933%  3 month USD-LIBOR-BBA  8,849 
  1,400,000    --  6/10/16  3 month USD-LIBOR-BBA  1.7525%  (14,551) 
  25,306,200    --  7/5/16  1.9375%  3 month USD-LIBOR-BBA  -- 
CAD  2,470,000    --  9/21/20  3.105%  3 month CAD-BA-CDOR  25,504 
EUR  15,910,000    --  6/13/13  1 year EUR-EONIA-OIS-COMPOUND  1.74%  7,031 
EUR  15,910,000    --  6/13/13  1.9865%  3 month EUR-EURIBOR-REUTERS  4,692 
JPY  531,000,000    --  2/22/21  1.36375%  6 month JPY-LIBOR-BBA  (183,044) 
JPY  982,870,000    --  5/25/15  0.674375%  6 month JPY-LIBOR-BBA  (104,452) 
JPY  980,150,000    --  9/16/15  6 month JPY-LIBOR-BBA  0.59125%  62,550 
JPY  372,000,000  (E)  --  7/28/29  6 month JPY-LIBOR-BBA  2.67%  37,075 
JPY  500,100,000  (E)  --  7/28/39  2.40%  6 month JPY-LIBOR-BBA  31,571 
MXN  4,340,000    --  7/16/20  1 month MXN-TIIE-BANXICO  6.99%  (4,946) 
MXN  7,830,000    --  11/4/20  1 month MXN-TIIE-BANXICO  6.75%  (22,442) 
UBS, AG         
AUD  1,670,000  (E)  --  4/11/21  6 month AUD-BBR-BBSW  6.65%  20,877 
AUD  1,670,000    --  4/12/21  6 month AUD-BBR-BBSW  6.61%  18,529 
CHF  16,257,000    --  5/23/13  0.7625%  6 month CHF-LIBOR-BBA  (106,768) 
Total              $(24,510,755) 

 

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


Putnam Asset Allocation: Balanced Portfolio

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)

    Upfront    Fixed payments  Total return  Unrealized 
Swap counterparty /   premium    Termination  received (paid) by  received by  appreciation/ 
Notional amount   received (paid)    date  fund per annum  or paid by fund  (depreciation) 
Bank of America, N.A.          
  $106,419  $--  1/12/39  (5.50%) 1 month  Synthetic TRS  $(257) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  110,640  --  1/12/40  5.00% (1 month  Synthetic TRS  825 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  106,419  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (257) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  110,640  --  1/12/40  5.00% (1 month  Synthetic TRS  825 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  325,935  --  1/12/40  (4.50%) 1 month  Synthetic TRS  (2,141) 
        USD-LIBOR  Index 4.50% 30   
          year Fannie Mae   
          pools   
Barclays Bank PLC          
  1,262,388  --  1/12/41  (5.00%) 1 month  Synthetic MBX  (1,618) 
        USD-LIBOR  Index 5.00% 30   
          year Fannie Mae   
          pools   
  218,290  --  1/12/40  (5.00%) 1 month  Synthetic TRS  (1,628) 
        USD-LIBOR  Index 5.00% 30   
          year Fannie Mae   
          pools   
  86,718  --  1/12/40  5.00% (1 month  Synthetic TRS  647 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  33,078  --  1/12/40  4.50% (1 month  Synthetic TRS  217 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  263,144  --  1/12/40  5.00% (1 month  Synthetic TRS  1,963 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  150,261  --  1/12/40  5.00% (1 month  Synthetic TRS  1,121 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  62,450  --  1/12/41  (5.00%) 1 month  Synthetic TRS  (475) 
        USD-LIBOR  Index 5.00% 30   
          year Fannie Mae   
          pools   
  403,687  --  1/12/40  5.00% (1 month  Synthetic TRS  3,011 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  494,891  --  1/12/40  5.00% (1 month  Synthetic TRS  3,691 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  176,683  --  1/12/40  4.50% (1 month  Synthetic TRS  1,161 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  100,813  --  1/12/41  5.00% (1 month  Synthetic TRS  767 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  4,700,000  --  4/7/16  (2.63%)  USA Non Revised  (24,933) 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  106,419  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (257) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  106,844  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (258) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  110,640  --  1/12/40  5.00% (1 month  Synthetic TRS  825 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   

 


        pools   
256,256  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (619) 
      USD-LIBOR  Index 5.50% 30   
        year Fannie Mae   
        pools   
265,427  --  1/12/40  4.50% (1 month  Synthetic TRS  1,744 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
42,993  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (104) 
      USD-LIBOR  Index 5.50% 30   
        year Fannie Mae   
        pools   
38,362  --  1/12/41  (5.00%) 1 month  Synthetic TRS  (292) 
      USD-LIBOR  Index 5.00% 30   
        year Fannie Mae   
        pools   
38,126  --  1/12/40  5.00% (1 month  Synthetic TRS  284 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
5,592,565  --  1/12/40  5.00% (1 month  Synthetic TRS  41,713 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
176,426  --  1/12/40  5.00% (1 month  Synthetic TRS  1,316 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
233,156  --  1/12/40  4.50% (1 month  Synthetic TRS  1,532 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
494,550  --  1/12/40  (4.50%) 1 month  Synthetic TRS  (3,249) 
      USD-LIBOR  Index 4.50% 30   
        year Fannie Mae   
        pools   
1,650,651  --  1/12/40  4.50% (1 month  Synthetic MBX  (5,278) 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
825,316  --  1/12/40  5.00% (1 month  Synthetic TRS  6,156 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
4,946,954  --  1/12/41  5.00% (1 month  Synthetic MBX  6,340 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
1,990,029  --  1/12/40  5.00% (1 month  Synthetic TRS  14,843 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
5,043,498  --  1/12/41  4.50% (1 month  Synthetic MBX  (15,341) 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
2,508,095  --  1/12/40  5.00% (1 month  Synthetic TRS  18,707 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
2,415,042  --  1/12/41  5.00% (1 month  Synthetic MBX  3,095 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
264,681  --  1/12/41  4.50% (1 month  Synthetic MBX  (805) 
      USD-LIBOR)  Index 4.50% 30   
        year Fannie Mae   
        pools   
259,615  --  1/12/41  5.00% (1 month  Synthetic MBX  333 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
298,280  --  1/12/40  5.00% (1 month  Synthetic MBX  (270) 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
968,102  --  1/12/40  5.00% (1 month  Synthetic MBX  (877) 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
701,967  --  1/12/40  5.00% (1 month  Synthetic MBX  (636) 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
1,013,104  --  1/12/39  5.50% (1 month  Synthetic TRS  2,445 
      USD-LIBOR)  Index 5.50% 30   

 


          year Fannie Mae   
          pools   
Citibank, N.A.          
  103,864  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (251) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  112,141  --  1/12/40  4.50% (1 month  Synthetic TRS  737 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  800,647  --  1/12/40  5.00% (1 month  Synthetic TRS  5,972 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  999,604  --  1/12/41  (4.50%) 1 month  Synthetic MBX  3,040 
        USD-LIBOR  Index 4.50% 30   
          year Fannie Mae   
          pools   
  1,061,655  --  1/12/41  5.00% (1 month  Synthetic MBX  1,361 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
basket  925  --  4/11/12  (3 month USD-  A basket  797,127 
        LIBOR-BBA plus  (CGPUTQL1)   
        0.10%)  of common stocks   
GBP  5,450,000  --  5/18/13  (3.38%)  GBP Non-revised  250,843 
          UK Retail Price   
          Index   
units  20,628  --  4/11/12  3 month USD-  Russell 2000  40,258 
        LIBOR-BBA minus  Total Return   
        0.05%  Index   
Credit Suisse International          
  $1,068,730  --  1/12/41  4.50% (1 month  Synthetic MBX  (3,251) 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  6,000,596  (15,939)  1/12/41  4.50% (1 month  Synthetic MBX  (22,616) 
        USD-LIBOR)  Index 4.50% 30   
          year Ginnie Mae   
          II pools   
  110,640  --  1/12/40  5.00% (1 month  Synthetic TRS  825 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  106,844  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (258) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
Goldman Sachs International          
  2,725,000  --  7/28/11  (0.685%)  USA Non Revised  77,150 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  2,725,000  --  7/29/11  (0.76%)  USA Non Revised  75,462 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  2,725,000  --  7/30/11  (0.73%)  USA Non Revised  76,635 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  2,690,000  --  3/1/16  2.47%  USA Non Revised  (10,574) 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  2,017,500  --  3/3/16  2.45%  USA Non Revised  (9,837) 
          Consumer Price   
          Index- Urban   
          (CPI-U)   
  77,047  --  1/12/39  (5.50%) 1 month  Synthetic TRS  (186) 
        USD-LIBOR  Index 5.50% 30   
          year Fannie Mae   
          pools   
  465,754  --  1/12/40  (5.00%) 1 month  Synthetic TRS  (3,474) 
        USD-LIBOR  Index 5.00% 30   
          year Fannie Mae   
          pools   
  2,137,461  --  1/12/41  4.50% (1 month  Synthetic MBX  (6,501) 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
baskets  476  --  9/26/11  (1 month USD-  A basket  6,485 
        LIBOR-BBA plus 60  (GSGLPMIN)   
        bp)  of common stocks   
JPMorgan Chase Bank, N.A.          
shares  804,010  --  10/20/11  (3 month USD-  iShares MSCI  (1,379,753) 

 


  LIBOR-BBA plus  Emerging Markets   
  5 bp)  Index   
Total      $(46,540) 

 


Putnam Asset Allocation: Balanced Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/11 (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 CDX NA HY Series 16               
Version 1 Index  B+  $(961,088)    $42,715,000  6/20/16  500 bp  $(220,077) 
Barclays Bank PLC               
DJ CDX NA HY Series 16               
Version 1 Index  B+  (13,344)    610,000  6/20/16  500 bp  (2,762) 
Citibank, N.A.               
DJ CDX EM Series 11               
Index  --  (8,100)    300,000  6/20/14  (500 bp)  (35,879) 
Credit Suisse International               
Bonos Y Oblig Del               
Estado, 5 1/2%, 7/30/17  --  (13,976)    1,570,000  12/20/19  (100 bp)  149,976 
DJ CDX NA HY Series 16               
Version 1 Index  B+  (524,597)    25,435,000  6/20/16  500 bp  (83,356) 
Deutsche Bank AG               
DJ CDX EM Series 11               
Index  --  (37,840)    1,720,000  6/20/14  (500 bp)  (197,108) 
Smurfit Kappa Funding,               
7 3/4%, 4/1/15  B2  --  EUR  580,000  9/20/13  715 bp  102,530 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  BB-  --  EUR  800,000  9/20/13  477 bp  78,564 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  BB-  --  EUR  800,000  9/20/13  535 bp  93,333 
Goldman Sachs International               
CSC Holdings, Inc.,               
7 5/8%, 7/15/18  Ba3  --    $605,000  9/20/13  495 bp  47,190 
Lighthouse               
International Co, SA,               
8%, 4/30/14  Ca  --  EUR  745,000  3/20/13  680 bp  (573,351) 
JPMorgan Chase Bank, N.A.               
DJ CDX NA HY Series 16               
Version 1 Index  B+  (387,788)    $17,235,000  6/20/16  500 bp  (88,798) 
Morgan Stanley Capital Services, Inc.               
DJ iTraxx Europe               
Crossover Series 12               
Version 1  --  (25,334)  EUR  2,129,000  12/20/14  (500 bp)  (183,961) 
Total              $(913,699) 

 

* Payments related to the referenced 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 Jun 30, 2011. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F."


Putnam Asset Allocation Conservative Portfolio

FORWARD CURRENCY CONTRACTS at 6/30/11 (aggregate face value $210,007,610) (Unaudited)

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America, N.A.          
  Australian Dollar  Sell  8/17/11  $2,394,363  $2,335,278  $(59,085) 
  Brazilian Real  Buy  8/17/11  540,259  539,797  462 
  British Pound  Sell  8/17/11  5,117,824  5,092,449  (25,375) 
  Canadian Dollar  Sell  8/17/11  3,452,984  3,372,791  (80,193) 
  Chilean Peso  Buy  8/17/11  407,750  404,869  2,881 
  Czech Koruna  Buy  8/17/11  313,725  313,724  1 
  Euro  Sell  8/17/11  796,851  780,793  (16,058) 
  Japanese Yen  Sell  8/17/11  1,776,471  1,766,855  (9,616) 
  Mexican Peso  Buy  8/17/11  592,457  589,563  2,894 
  Norwegian Krone  Sell  8/17/11  1,298,933  1,279,638  (19,295) 
  Russian Ruble  Buy  8/17/11  330,331  330,331  -- 
  Singapore Dollar  Sell  8/17/11  766,006  766,006  -- 
  South African Rand  Buy  7/21/11  323,233  323,434  (201) 
  South Korean Won  Buy  8/17/11  1,017,416  1,002,280  15,136 
  Swedish Krona  Sell  8/17/11  2,307,297  2,261,760  (45,537) 
  Swiss Franc  Sell  8/17/11  1,075,096  1,075,244  148 
  Taiwan Dollar  Sell  8/17/11  171,411  171,411  -- 
  Turkish Lira  Buy  8/17/11  43,569  43,569  -- 
 
Barclays Bank PLC          
  Australian Dollar  Buy  8/17/11  70,633  70,061  572 
  Brazilian Real  Buy  8/17/11  599,753  596,706  3,047 
  British Pound  Sell  8/17/11  386,860  384,657  (2,203) 
  Canadian Dollar  Buy  8/17/11  1,857,425  1,838,638  18,787 
  Chilean Peso  Sell  8/17/11  294,912  290,790  (4,122) 
  Czech Koruna  Sell  8/17/11  391,538  391,538  -- 
  Euro  Sell  8/17/11  578,460  567,399  (11,061) 
  Hungarian Forint  Sell  8/17/11  691,417  691,417  -- 
  Indian Rupee  Sell  8/17/11  553,436  550,276  (3,160) 
  Japanese Yen  Sell  8/17/11  2,905,640  2,889,876  (15,764) 
  Malaysian Ringgit  Buy  8/17/11  688,290  688,290  -- 
  Mexican Peso  Buy  8/17/11  581,254  579,200  2,054 
  New Zealand Dollar  Buy  7/21/11  35,710  35,654  56 
  Norwegian Krone  Sell  8/17/11  4,911  4,837  (74) 
  Philippines Peso  Buy  8/17/11  278,603  278,603  -- 
  Polish Zloty  Buy  8/17/11  515,997  515,997  -- 
  Russian Ruble  Buy  8/17/11  330,331  330,331  -- 
  Singapore Dollar  Buy  8/17/11  916,487  916,487  -- 
  South Korean Won  Buy  8/17/11  617,409  607,776  9,633 
  Swedish Krona  Sell  8/17/11  1,654,198  1,620,767  (33,431) 
  Swiss Franc  Buy  8/17/11  602,844  605,264  (2,420) 
  Taiwan Dollar  Sell  8/17/11  333,519  333,519  -- 
  Thai Baht  Buy  8/17/11  270,562  270,562  -- 
  Turkish Lira  Sell  8/17/11  224,885  224,885  -- 
 
Citibank, N.A.          
  Australian Dollar  Buy  8/17/11  768,744  749,666  19,078 
  Brazilian Real  Sell  8/17/11  3,040,751  3,038,150  (2,601) 
  British Pound  Sell  8/17/11  404,685  402,671  (2,014) 
  Canadian Dollar  Sell  8/17/11  1,373,087  1,340,886  (32,201) 
  Chilean Peso  Buy  8/17/11  586,805  578,467  8,338 
  Czech Koruna  Buy  8/17/11  313,545  313,545  -- 
  Danish Krone  Buy  7/21/11  848,473  847,823  650 
  Euro  Buy  8/17/11  1,468,556  1,447,821  20,735 
  Hungarian Forint  Buy  8/17/11  304,500  304,500  -- 
  Japanese Yen  Sell  8/17/11  1,272,826  1,266,046  (6,780) 
  Mexican Peso  Buy  8/17/11  1,057,246  1,054,304  2,942 
  New Zealand Dollar  Sell  7/21/11  50,176  50,063  (113) 
  Norwegian Krone  Sell  8/17/11  1,497,713  1,475,909  (21,804) 
  Polish Zloty  Sell  8/17/11  735,210  735,210  -- 
  Singapore Dollar  Buy  8/17/11  665,494  665,494  -- 
  South African Rand  Buy  7/21/11  628,081  629,810  (1,729) 
  South Korean Won  Buy  8/17/11  505,427  498,446  6,981 
  Swedish Krona  Buy  8/17/11  1,488,373  1,460,065  28,308 
  Swiss Franc  Buy  8/17/11  2,402,568  2,412,499  (9,931) 
  Taiwan Dollar  Sell  8/17/11  25,895  25,895  -- 
  Turkish Lira  Buy  8/17/11  170,102  170,102  -- 
 
Credit Suisse AG          
  Australian Dollar  Sell  8/17/11  1,320,255  1,286,413  (33,842) 
  Brazilian Real  Buy  8/17/11  727,999  726,962  1,037 
  British Pound  Buy  8/17/11  146,458  145,760  698 
  Canadian Dollar  Buy  8/17/11  340,136  331,904  8,232 
  Czech Koruna  Sell  8/17/11  17,553  17,553  -- 
  Euro  Sell  8/17/11  1,329,052  1,342,904  13,852 
  Indian Rupee  Sell  8/17/11  757,760  753,433  (4,327) 
  Japanese Yen  Buy  8/17/11  2,118,721  2,108,503  10,218 
  Malaysian Ringgit  Buy  8/17/11  367,745  367,745  -- 
  Mexican Peso  Sell  8/17/11  617,652  615,845  (1,807) 
  Norwegian Krone  Buy  8/17/11  1,403,892  1,383,340  20,552 
  Polish Zloty  Sell  8/17/11  276,672  276,672  -- 
  Russian Ruble  Buy  8/17/11  330,225  330,225  -- 
  South African Rand  Buy  7/21/11  190,552  190,655  (103) 
  South Korean Won  Buy  8/17/11  101,135  99,589  1,546 
  Swedish Krona  Buy  8/17/11  560,077  560,545  (468) 

 


  Swiss Franc  Buy  8/17/11  527,013  528,764  (1,751) 
  Taiwan Dollar  Sell  8/17/11  747,900  747,900  -- 
  Turkish Lira  Buy  8/17/11  213,640  213,640  -- 
 
Deutsche Bank AG        
  Australian Dollar  Sell  8/17/11  267,807  260,420  (7,387) 
  Brazilian Real  Sell  8/17/11  82,263  81,752  (511) 
  British Pound  Sell  8/17/11  2,210,192  2,197,992  (12,200) 
  Canadian Dollar  Buy  8/17/11  373,932  373,816  116 
  Chilean Peso  Buy  8/17/11  109,571  108,612  959 
  Czech Koruna  Buy  8/17/11  475,712  475,712  -- 
  Euro  Sell  8/17/11  1,938,401  1,901,790  (36,611) 
  Hungarian Forint  Buy  8/17/11  366,779  363,569  3,210 
  Malaysian Ringgit  Buy  8/17/11  892,910  896,916  (4,006) 
  Mexican Peso  Buy  8/17/11  634,324  630,985  3,339 
  New Zealand Dollar  Sell  7/21/11  297,419  296,896  (523) 
  Norwegian Krone  Sell  8/17/11  780,090  768,783  (11,307) 
  Philippines Peso  Buy  8/17/11  276,542  276,542  -- 
  Polish Zloty  Sell  8/17/11  491,527  491,527  -- 
  Singapore Dollar  Buy  8/17/11  626,425  626,425  -- 
  South Korean Won  Buy  8/17/11  1,207,828  1,189,311  18,517 
  Swedish Krona  Buy  8/17/11  1,425,047  1,396,749  28,298 
  Swiss Franc  Sell  8/17/11  452,966  454,621  1,655 
  Taiwan Dollar  Sell  8/17/11  259,972  259,972  -- 
  Turkish Lira  Buy  8/17/11  182,370  182,370  -- 
 
Goldman Sachs International        
  Australian Dollar  Buy  8/17/11  3,657,856  3,567,266  90,590 
  British Pound  Sell  8/17/11  2,692,763  2,679,476  (13,287) 
  Canadian Dollar  Sell  8/17/11  2,971,963  2,902,031  (69,932) 
  Chilean Peso  Buy  8/17/11  441,246  437,803  3,443 
  Euro  Sell  8/17/11  5,212,235  5,114,396  (97,839) 
  Hungarian Forint  Sell  8/17/11  737,600  737,600  -- 
  Japanese Yen  Sell  8/17/11  1,347,918  1,340,771  (7,147) 
  Norwegian Krone  Buy  8/17/11  447,704  445,485  2,219 
  Polish Zloty  Sell  8/17/11  306,772  306,205  (567) 
  South African Rand  Buy  7/21/11  702,256  702,511  (255) 
  Swedish Krona  Buy  8/17/11  1,016,974  996,672  20,302 
  Swiss Franc  Buy  8/17/11  750,222  752,990  (2,768) 
 
HSBC Bank USA, National Association        
  Australian Dollar  Buy  8/17/11  3,912,554  3,819,452  93,102 
  British Pound  Sell  8/17/11  2,212,095  2,199,775  (12,320) 
  Euro  Sell  8/17/11  2,330,373  2,287,098  (43,275) 
  Indian Rupee  Sell  8/17/11  195,658  195,101  (557) 
  Japanese Yen  Buy  8/17/11  133,757  133,028  729 
  New Zealand Dollar  Buy  7/21/11  6,613  6,599  14 
  Norwegian Krone  Buy  8/17/11  404,657  399,283  5,374 
  Philippines Peso  Buy  8/17/11  276,574  276,574  -- 
  Singapore Dollar  Sell  8/17/11  1,062,257  1,061,675  (582) 
  South Korean Won  Sell  8/17/11  79,373  78,304  (1,069) 
  Swiss Franc  Buy  8/17/11  649,153  651,715  (2,562) 
  Taiwan Dollar  Sell  8/17/11  256,657  256,657  -- 
 
JPMorgan Chase Bank, N.A.        
  Australian Dollar  Buy  8/17/11  759,675  740,886  18,789 
  Brazilian Real  Buy  8/17/11  654,870  650,435  4,435 
  British Pound  Buy  8/17/11  537,172  534,375  2,797 
  Canadian Dollar  Sell  8/17/11  1,372,361  1,340,082  (32,279) 
  Chilean Peso  Buy  8/17/11  389,416  386,583  2,833 
  Czech Koruna  Sell  8/17/11  292,383  291,126  (1,257) 
  Euro  Buy  8/17/11  4,009,344  3,952,545  56,799 
  Hong Kong Dollar  Sell  8/17/11  626,416  626,009  (407) 
  Hungarian Forint  Buy  8/17/11  170,353  168,847  1,506 
  Japanese Yen  Sell  8/17/11  678,510  674,796  (3,714) 
  Malaysian Ringgit  Buy  8/17/11  804,641  804,641  -- 
  Mexican Peso  Buy  8/17/11  755,314  751,816  3,498 
  New Zealand Dollar  Sell  7/21/11  393,389  392,641  (748) 
  Norwegian Krone  Sell  8/17/11  525,811  518,123  (7,688) 
  Polish Zloty  Buy  8/17/11  398,502  398,502  -- 
  Russian Ruble  Buy  8/17/11  330,028  329,976  52 
  Singapore Dollar  Buy  8/17/11  1,081,486  1,080,467  1,019 
  South African Rand  Buy  7/21/11  138,583  138,738  (155) 
  South Korean Won  Buy  8/17/11  50,189  49,393  796 
  Swedish Krona  Buy  8/17/11  860,926  843,883  17,043 
  Swiss Franc  Buy  8/17/11  1,840,199  1,846,746  (6,547) 
  Taiwan Dollar  Sell  8/17/11  714,663  714,068  (595) 
  Thai Baht  Buy  8/17/11  277,951  277,951  -- 
  Turkish Lira  Sell  8/17/11  522,457  524,030  1,573 
 
Royal Bank of Scotland PLC (The)        
  Australian Dollar  Sell  8/17/11  470,849  458,039  (12,810) 
  Brazilian Real  Buy  8/17/11  1,017,791  1,012,365  5,426 
  British Pound  Sell  8/17/11  1,845,815  1,835,605  (10,210) 
  Canadian Dollar  Sell  8/17/11  1,639,203  1,600,217  (38,986) 
  Chilean Peso  Buy  8/17/11  349,121  345,517  3,604 
  Czech Koruna  Buy  8/17/11  409,586  409,586  -- 
  Euro  Buy  8/17/11  81,788  80,279  1,509 
  Hungarian Forint  Buy  8/17/11  132,091  132,206  (115) 
  Indian Rupee  Sell  8/17/11  340,026  338,010  (2,016) 
  Japanese Yen  Buy  8/17/11  476,393  473,609  2,784 
  Malaysian Ringgit  Buy  8/17/11  35,910  35,910  -- 
  Mexican Peso  Sell  8/17/11  619,489  616,542  (2,947) 

 


  New Zealand Dollar  Sell  7/21/11  35,214  32,196  (3,018) 
  Norwegian Krone  Buy  8/17/11  1,572,874  1,549,300  23,574 
  Polish Zloty  Sell  8/17/11  306,816  306,816  -- 
  Russian Ruble  Buy  8/17/11  330,625  330,625  -- 
  Singapore Dollar  Buy  8/17/11  352,165  352,165  -- 
  South African Rand  Sell  7/21/11  544,447  545,216  769 
  South Korean Won  Buy  8/17/11  789,035  776,688  12,347 
  Swedish Krona  Sell  8/17/11  1,279,219  1,253,481  (25,738) 
  Swiss Franc  Sell  8/17/11  1,030,216  1,034,301  4,085 
  Taiwan Dollar  Sell  8/17/11  803,595  803,595  -- 
  Turkish Lira  Buy  8/17/11  367,402  367,402  -- 
 
State Street Bank and Trust Co.        
  Australian Dollar  Buy  8/17/11  3,012,986  2,958,442  54,544 
  Brazilian Real  Sell  8/17/11  46,110  45,859  (251) 
  British Pound  Sell  8/17/11  798,129  794,185  (3,944) 
  Canadian Dollar  Buy  8/17/11  820,535  801,371  19,164 
  Euro  Sell  8/17/11  4,363,323  4,280,521  (82,802) 
  Hungarian Forint  Sell  8/17/11  363,260  363,260  -- 
  Japanese Yen  Sell  8/17/11  2,875,985  2,860,869  (15,116) 
  Malaysian Ringgit  Buy  8/17/11  405,535  405,535  -- 
  Mexican Peso  Buy  8/17/11  676,216  673,056  3,160 
  Norwegian Krone  Sell  8/17/11  149,488  147,237  (2,251) 
  Philippines Peso  Buy  8/17/11  276,598  276,598  -- 
  Polish Zloty  Sell  8/17/11  409,167  409,167  -- 
  Russian Ruble  Buy  8/17/11  331,228  331,228  -- 
  Singapore Dollar  Buy  8/17/11  463,946  463,946  -- 
  South African Rand  Buy  7/21/11  690,231  689,968  263 
  Swedish Krona  Buy  8/17/11  1,443,512  1,415,303  28,209 
  Swiss Franc  Buy  8/17/11  573,678  575,953  (2,275) 
  Taiwan Dollar  Sell  8/17/11  617,048  617,048  -- 
  Thai Baht  Buy  8/17/11  278,774  278,774  -- 
 
UBS AG        
  Australian Dollar  Sell  8/17/11  1,312,146  1,279,816  (32,330) 
  Brazilian Real  Buy  8/17/11  1,078,299  1,076,150  2,149 
  British Pound  Buy  8/17/11  7,565,045  7,522,086  42,959 
  Canadian Dollar  Buy  8/17/11  1,661,181  1,622,766  38,415 
  Czech Koruna  Buy  8/17/11  850,291  850,291  -- 
  Euro  Sell  8/17/11  8,191,110  8,059,259  (131,851) 
  Hungarian Forint  Buy  8/17/11  434,309  434,309  -- 
  Indian Rupee  Sell  8/17/11  352,602  350,667  (1,935) 
  Japanese Yen  Buy  8/17/11  3,034,467  3,018,915  15,552 
  Mexican Peso  Sell  8/17/11  636,263  634,288  (1,975) 
  New Zealand Dollar  Sell  7/21/11  382,147  381,453  (694) 
  Norwegian Krone  Buy  8/17/11  1,449,144  1,447,618  1,526 
  Polish Zloty  Buy  8/17/11  924,480  924,480  -- 
  Russian Ruble  Buy  8/17/11  330,709  330,709  -- 
  Singapore Dollar  Buy  8/17/11  455,522  455,522  -- 
  South African Rand  Buy  7/21/11  768,774  768,962  (188) 
  South Korean Won  Buy  8/17/11  134,206  132,039  2,167 
  Swedish Krona  Buy  8/17/11  2,482,711  2,433,411  49,300 
  Swiss Franc  Sell  8/17/11  1,240,926  1,245,921  4,995 
  Taiwan Dollar  Sell  8/17/11  392,317  392,709  392 
  Thai Baht  Buy  8/17/11  270,737  270,737  -- 
  Turkish Lira  Buy  8/17/11  9,162  9,190  (28) 
 
Westpac Banking Corp.          
  Australian Dollar  Buy  8/17/11  2,524,212  2,459,320  64,892 
  British Pound  Buy  8/17/11  323,106  321,514  1,592 
  Canadian Dollar  Buy  8/17/11  560,846  547,748  13,098 
  Euro  Buy  8/17/11  967,214  949,076  18,138 
  Japanese Yen  Sell  8/17/11  3,953,604  3,933,175  (20,429) 
  New Zealand Dollar  Buy  7/21/11  119,778  119,559  219 
  Norwegian Krone  Sell  8/17/11  1,476,477  1,455,203  (21,274) 
  Swedish Krona  Sell  8/17/11  816,492  800,613  (15,879) 
  Swiss Franc  Buy  8/17/11  849,863  853,182  (3,319) 
Total            $(260,865) 

 


Putnam Asset Allocation Conservative Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)

        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Amsterdam Exchange Index (Short)  12  $1,183,961  Jul-11  $(11,204) 
Australian Government Treasury Bond 10 yr (Long)  10  1,017,090  Sep-11  (4,072) 
Australian Government Treasury Bond 10 yr (Short)  39  3,966,653  Sep-11  23,432 
Canadian Government Bond 10 yr (Short)  70  9,007,628  Sep-11  129,838 
DAX Index (Short)  9  2,414,803  Sep-11  (18,852) 
Euro-Bund 10 yr (Long)  11  2,004,167  Sep-11  (1,158) 
Euro-CAC 40 Index (Short)  70  4,044,764  Jul-11  (43,245) 
Euro-Dollar 90 day (Short)  660  163,985,250  Jun-12  (417,482) 
Euro-Swiss Franc 3 Month (Short)  22  6,528,652  Dec-11  (25,881) 
Euro-Swiss Franc 3 Month (Short)  22  6,516,870  Jun-12  (42,900) 
Euro-Swiss Franc 3 Month (Short)  22  6,501,815  Dec-12  (50,993) 
Euro-Swiss Franc 3 Month (Short)  22  6,523,416  Mar-12  (33,974) 
Euro-Swiss Franc 3 Month (Short)  22  6,532,580  Sep-11  (16,063) 
FTSE 100 Index (Long)  92  8,725,406  Sep-11  31,132 
FTSE/MIB Index (Long)  34  4,989,377  Sep-11  49,987 
IBEX 35 Index (Long)  9  1,342,476  Jul-11  19,276 
Japanese Government Bond 10 yr (Long)  2  3,505,406  Sep-11  6,700 
Japanese Government Bond 10 yr Mini (Short)  8  1,402,958  Sep-11  (3,221) 
MSCI EAFE Index E-Mini (Short)  339  29,084,505  Sep-11  (1,031,238) 
Russell 2000 Index Mini (Short)  58  4,787,320  Sep-11  (242,846) 
S&P 500 Index (Long)  3  986,625  Sep-11  35,489 
S&P 500 Index E-Mini (Short)  210  13,812,750  Sep-11  (393,004) 
S&P Mid Cap 400 Index E-Mini (Long)  1  97,650  Sep-11  3,918 
S&P Mid Cap 400 Index E-Mini (Short)  18  1,757,700  Sep-11  (70,596) 
SPI 200 Index (Short)  11  1,357,703  Sep-11  (938) 
Tokyo Price Index (Short)  13  1,372,375  Sep-11  (73) 
U.K. Gilt 10 yr (Long)  50  9,652,851  Sep-11  (61,311) 
U.S. Treasury Bond 20 yr (Long)  251  30,880,844  Sep-11  (226,609) 
U.S. Treasury Bond 30 yr (Long)  51  6,438,750  Sep-11  (170,628) 
U.S. Treasury Note 2 yr (Long)  307  67,338,531  Sep-11  112,307 
U.S. Treasury Note 2 yr (Short)  208  45,623,500  Sep-11  (18,614) 
U.S. Treasury Note 5 yr (Long)  175  20,859,180  Sep-11  (105,606) 
U.S. Treasury Note 10 yr (Long)  121  14,801,703  Sep-11  (165,417) 
U.S. Treasury Note 10 yr (Short)  56  6,850,375  Sep-11  33,394 
Total        $(2,710,452) 

 


Putnam Asset Allocation Conservative Portfolio

WRITTEN OPTIONS OUTSTANDING at 6/30/11 (premiums received $3,010,749) (Unaudited)

  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to pay a fixed rate of 3.655% versus the       
three month USD-LIBOR-BBA maturing June 13, 2021.  $10,600,000  Jun-16/3.655  $222,600 
Option on an interest rate swap with Barclay's Bank PLC for       
the obligation to receive a fixed rate of 5.655% versus the       
three month USD-LIBOR-BBA maturing June 13, 2021.  10,600,000  Jun-16/5.655  276,660 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.155% versus the three       
month USD-LIBOR-BBA maturing June 13, 2021.  9,900,000  Jun-16/4.155  277,214 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 5.155% versus the       
three month USD-LIBOR-BBA maturing June 13, 2021.  9,900,000  Jun-16/5.155  328,328 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.61% versus the three       
month USD-LIBOR-BBA maturing June 24, 2021.  2,236,010  Jun-16/4.61  81,927 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 4.61% versus the       
three month USD-LIBOR-BBA maturing June 24, 2021.  2,236,010  Jun-16/4.61  95,411 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to pay a fixed rate of 4.64% versus the       
three month USD-LIBOR-BBA maturing June 13, 2021.  5,700,000  Jun-16/4.64  213,066 
Option on an interest rate swap with Deutsche Bank AG for       
the obligation to receive a fixed rate of 4.64% versus the       
three month USD-LIBOR-BBA maturing June 13, 2021.  5,700,000  Jun-16/4.64  239,286 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to pay a fixed rate of       
4.77% versus the three month USD-LIBOR-BBA maturing       
June 14, 2026.  5,083,787  Jun-16/4.77  317,991 
Option on an interest rate swap with Goldman Sachs       
International for the obligation to receive a fixed rate of       
4.77% versus the three month USD-LIBOR-BBA maturing       
June 14, 2026.  5,083,787  Jun-16/4.77  375,133 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate of 4.815%       
versus the three month USD-LIBOR-BBA maturing June 10,       
2026.  3,167,162  Jun-16/4.815  203,395 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to receive a fixed rate of       
4.815% versus the three month USD-LIBOR-BBA maturing       
June 10, 2026.  3,167,162  Jun-16/4.815  228,606 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to pay a fixed rate of 4.86% versus the three       
month USD-LIBOR-BBA maturing July 1, 2026.  1,206,318  Jun-16/4.86  79,303 
Option on an interest rate swap with Citibank, N.A. for the       
obligation to receive a fixed rate of 5.86% versus the       
three month USD-LIBOR-BBA maturing July 1, 2026.  1,206,318  Jun-16/5.86  52,475 
Total      $2,991,395 

 


Putnam Asset Allocation Conservative Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 6/30/11 (proceeds receivable $2,121,875) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5s, June 1, 2041  $2,000,000  7/26/11  $2,128,047 
Total      $2,128,047 

 


Putnam Asset Allocation: Conservative Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/11 (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.         
  $12,660,436  $--  6/10/18  3 month USD-LIBOR-BBA  2.43375%  $(160,994) 
  899,282  --  6/13/21  3 month USD-LIBOR-BBA  3.0775%  (12,460) 
  3,300,000  --  6/13/20  2.935%  3 month USD-LIBOR-BBA  36,984 
CAD  1,280,000  --  6/28/21  3.25%  3 month CAD-BA-CDOR  17,111 
GBP  3,279,000  --  6/29/20  6 month GBP-LIBOR-BBA  3.355%  (18,107) 
GBP  1,020,000  --  6/30/21  6 month GBP-LIBOR-BBA  3.4725%  -- 
Barclays Bank PLC         
  $41,071,800  (84,216)  6/17/21  3 month USD-LIBOR-BBA  3.2%  (226,769) 
  15,600,000  --  6/20/16  3 month USD-LIBOR-BBA  1.8125%  (132,311) 
  5,400,000  --  6/20/41  3.91625%  3 month USD-LIBOR-BBA  141,203 
  1,955,000  --  6/23/20  2.955%  3 month USD-LIBOR-BBA  20,817 
  1,400,000  --  6/24/20  2.92375%  3 month USD-LIBOR-BBA  18,605 
  15,500,000  --  6/27/20  2.89485%  3 month USD-LIBOR-BBA  248,864 
  5,380,000  --  6/27/41  3 month USD-LIBOR-BBA  3.88882%  (170,790) 
  50,087,000  --  6/28/13  3 month USD-LIBOR-BBA  0.628%  (54,540) 
  32,665,000  --  6/28/21  3.042%  3 month USD-LIBOR-BBA  610,085 
  13,803,000  --  6/28/41  3 month USD-LIBOR-BBA  3.885%  (449,460) 
  930,000  --  6/28/41  3 month USD-LIBOR-BBA  3.88%  (31,078) 
  2,680,000  --  6/28/20  2.855%  3 month USD-LIBOR-BBA  51,865 
  7,110,000  --  6/29/20  2.841084%  3 month USD-LIBOR-BBA  145,085 
  2,760,000  --  6/29/14  3 month USD-LIBOR-BBA  3.85488%  (103,968) 
  340,000  --  6/29/13  0.64625%  3 month USD-LIBOR-BBA  244 
  5,100,000  --  6/29/13  0.6425%  3 month USD-LIBOR-BBA  4,037 
  300,000  --  6/30/13  0.66%  3 month USD-LIBOR-BBA  136 
  1,700,000  --  6/30/20  0.66%  3 month USD-LIBOR-BBA  29,183 
  300,000  --  6/30/14  3 month USD-LIBOR-BBA  3.92%  (7,856) 
AUD  1,560,000  --  6/29/21  5.735%  6 month AUD-BBR-BBSW  13,315 
AUD  3,120,000  --  6/30/16  5.42%  6 month AUD-BBR-BBSW  10,713 
EUR  8,750,000  --  6/15/13  1 year EUR-EONIA-OIS-COMPOUND  1.67%  (2,038) 
EUR  10,937,500  --  6/15/13  1.95%  3 month EUR-EURIBOR-REUTERS  15,687 
Citibank, N.A.         
  $21,836,585  --  6/10/16  3 month USD-LIBOR-BBA  1.75875%  (220,550) 
  768,422  --  6/14/20  2.905%  3 month USD-LIBOR-BBA  10,532 
  161,673  --  6/23/21  3 month USD-LIBOR-BBA  3.12625%  (1,727) 
  151,195  --  6/29/21  3 month USD-LIBOR-BBA  3.05375%  (2,662) 
SEK  4,380,000  --  6/10/21  3.62%  3 month SEK-STIBOR-SIDE  (5,703) 
SEK  4,380,000  --  6/9/21  3.6225%  3 month SEK-STIBOR-SIDE  (5,866) 
Deutsche Bank AG         
  $57,000,000  --  6/9/15  1.468%  3 month USD-LIBOR-BBA  146,304 
  30,180,000  --  6/10/13  0.59125%  3 month USD-LIBOR-BBA  37,758 
  20,352,000  --  6/10/41  3.97%  3 month USD-LIBOR-BBA  315,866 
  12,881,645  --  6/10/13  3 month USD-LIBOR-BBA  0.575%  (20,231) 
  635,936  --  6/10/41  3.95%  3 month USD-LIBOR-BBA  12,141 
  313,833  --  6/24/20  2.92%  3 month USD-LIBOR-BBA  4,265 
  62,536  --  7/1/20  3.035%  3 month USD-LIBOR-BBA  323 
  4,513,000  --  7/1/16  3 month USD-LIBOR-BBA  1.955%  (12,366) 
Goldman Sachs International         
  4,285,000  --  7/1/14  3 month USD-LIBOR-BBA  1.105%  (2,271) 
  1,653,000  --  7/1/41  3 month USD-LIBOR-BBA  4.02625%  (12,976) 
  7,522,000  --  7/1/16  3 month USD-LIBOR-BBA  1.9625%  (17,827) 
EUR  10,937,500  --  6/17/13  1 year EUR-EONIA-OIS-COMPOUND  1.665%  (12,505) 
EUR  10,937,500  --  6/17/13  1.92%  3 month EUR-EURIBOR-REUTERS  16,194 
EUR  10,280,000  --  6/20/13  1.91%  3 month EUR-EURIBOR-REUTERS  19,378 
EUR  10,280,000  --  6/20/13  1 year EUR-EONIA-OIS-COMPOUND  1.615%  (32,450) 
EUR  2,180,000  --  6/21/13  1 year EUR-EONIA-OIS-COMPOUND  1.632%  (4,043) 
JPMorgan Chase Bank, N.A.         
  $45,000,000  --  6/9/15  1.469%  3 month USD-LIBOR-BBA  113,676 
  3,946,361  --  6/10/26  3.591%  3 month USD-LIBOR-BBA  65,988 
  13,256,200  --  7/5/16  1.9375%  3 month USD-LIBOR-BBA  -- 
EUR  8,750,000  --  6/13/13  1 year EUR-EONIA-OIS-COMPOUND  1.74%  3,867 
EUR  8,750,000  --  6/13/13  1.9865%  3 month EUR-EURIBOR-REUTERS  2,580 
UBS, AG         
  $34,000,000  --  6/9/15  1.465%  3 month USD-LIBOR-BBA  91,411 
Total            $482,669 

 


Putnam Asset Allocation: Conservative Portfolio

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)

    Upfront    Fixed payments  Total return  Unrealized 
Swap counterparty /   premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount   received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Bank of America, N.A.          
  $133,117  $--  1/12/40  (4.50%) 1 month  Synthetic TRS  $(875) 
        USD-LIBOR  Index 4.50% 30   
          year Fannie Mae   
          pools   
Barclays Bank PLC          
  114,195  --  1/12/41  (5.00%) 1 month  Synthetic MBX  (146) 
        USD-LIBOR  Index 5.00% 30   
          year Fannie Mae   
          pools   
  109,145  --  1/12/40  5.00% (1 month  Synthetic TRS  814 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  41,952  --  1/12/40  4.50% (1 month  Synthetic TRS  276 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  331,173  --  1/12/40  5.00% (1 month  Synthetic TRS  2,470 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  188,387  --  1/12/40  5.00% (1 month  Synthetic TRS  1,405 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  6,595,055  --  1/12/40  5.00% (1 month  Synthetic TRS  49,190 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  222,028  --  1/12/40  5.00% (1 month  Synthetic TRS  1,656 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  292,857  --  1/12/40  4.50% (1 month  Synthetic TRS  1,924 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  201,692  --  1/12/40  (4.50%) 1 month  Synthetic TRS  (1,325) 
        USD-LIBOR  Index 4.50% 30   
          year Fannie Mae   
          pools   
  1,458,640  --  1/12/40  4.50% (1 month  Synthetic MBX  (4,664) 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  728,880  --  1/12/40  5.00% (1 month  Synthetic TRS  5,436 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  4,371,520  --  1/12/41  5.00% (1 month  Synthetic MBX  5,602 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  1,758,283  --  1/12/40  5.00% (1 month  Synthetic TRS  13,114 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  4,456,833  --  1/12/41  4.50% (1 month  Synthetic MBX  (13,556) 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  2,215,795  --  1/12/40  5.00% (1 month  Synthetic TRS  16,527 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  219,468  --  1/12/41  5.00% (1 month  Synthetic MBX  281 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  23,649  --  1/12/41  4.50% (1 month  Synthetic MBX  (72) 
        USD-LIBOR)  Index 4.50% 30   
          year Fannie Mae   
          pools   
  23,196  --  1/12/41  5.00% (1 month  Synthetic MBX  30 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   
          pools   
  26,912  --  1/12/40  5.00% (1 month  Synthetic MBX  (24) 
        USD-LIBOR)  Index 5.00% 30   
          year Fannie Mae   

 


        pools   
  88,213  --  1/12/40  5.00% (1 month  Synthetic MBX  (80) 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
  63,543  --  1/12/40  5.00% (1 month  Synthetic MBX  (58) 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
Citibank, N.A.       
  326,688  --  1/12/40  5.00% (1 month  Synthetic TRS  2,437 
      USD-LIBOR)  Index 5.00% 30   
        year Fannie Mae   
        pools   
basket  273  --  4/11/12  (3 month USD-  A basket  235,260 
      LIBOR-BBA plus  (CGPUTQL1)   
      0.10%)  of common stocks   
units  6,046  --  4/11/12  3 month USD-  Russell 2000  11,800 
      LIBOR-BBA minus  Total Return   
      0.05%  Index   
Goldman Sachs International       
  $2,795,000  --  7/28/11  (0.685%)  USA Non Revised  79,132 
        Consumer Price   
        Index- Urban   
        (CPI-U)   
  2,795,000  --  7/29/11  (0.76%)  USA Non Revised  77,400 
        Consumer Price   
        Index- Urban   
        (CPI-U)   
  2,795,000  --  7/30/11  (0.73%)  USA Non Revised  78,604 
        Consumer Price   
        Index- Urban   
        (CPI-U)   
  1,208,765  --  1/12/40  (5.00%) 1 month  Synthetic TRS  (9,016) 
      USD-LIBOR  Index 5.00% 30   
        year Fannie Mae   
        pools   
JPMorgan Chase Bank, N.A.       
shares  269,208  --  10/20/11  (3 month USD-  iShares MSCI  (462,025) 
      LIBOR-BBA plus  Emerging Markets   
      5 bp)  Index   
Total          $91,517 

 


Putnam Asset Allocation: Conservative Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/11 (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) 
Credit Suisse International               
DJ CDX NA HY Series 16               
Version 1 Index  B+  $(346,603)    $16,805,000  6/20/16  500 bp  $(55,074) 
Deutsche Bank AG               
Smurfit Kappa Funding,               
7 3/4%, 4/1/15  B2  --  EUR  440,000  9/20/13  715 bp  77,781 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  BB-  --  EUR  690,000  9/20/13  477 bp  67,762 
Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  BB-  --  EUR  690,000  9/20/13  535 bp  80,500 
Goldman Sachs International               
Lighthouse               
International Co, SA,               
8%, 4/30/14  Ca  --  EUR  680,000  3/20/13  680 bp  (525,830) 
JPMorgan Chase Bank, N.A.               
DJ CDX NA HY Series 16               
Version 1 Index  B+  (171,113)    $7,605,000  6/20/16  500 bp  (39,183) 
Morgan Stanley Capital Services, Inc.               
DJ iTraxx Europe               
Crossover Series 12               
Version 1  --  (23,121)  EUR  1,943,000  12/20/14  (500 bp)  (167,889) 
Total              $(561,933) 

 

* Payments related to the referenced 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 Jun 30, 2011. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F."


Key to holding's currency abbreviations

AUD  Australian Dollar 
BRL  Brazilian Real 
CAD  Canadian Dollar 
CHF  Swiss Franc 
EUR  Euro 
GBP  British Pound 
JPY  Japanese Yen 
KRW  South Korean Won 
MXN  Mexican Peso 
PLN  Polish Zloty 
SEK  Swedish Krona 
USD / $  United States Dollar 

 

Key to holding's abbreviations

 

ADR  American Depository Receipts 
CVR  Contingent Value Rights 
ETF  Exchange Traded Fund 
FRB  Floating Rate Bonds 
FRN  Floating Rate Notes 
GDR  Global Depository Receipts 
GMTN  Global Medium Term Notes 
G.O. Bonds  General Obligation Bonds 
IFB  Inverse Floating Rate Bonds 
IO  Interest Only 
MTN  Medium Term Notes 
MTNI  Medium Term Notes Class I 
NVDR  Non-voting Depository Receipt 
OAO  Open Joint Stock Company 
OJSC  Open Joint Stock Company 
PO  Principal Only 
SDR  Swedish Depository Receipts 
SPDR  S&P 500 Index Depository Receipts 
TBA  To Be Announced Commitments 

 

Notes to the funds' portfolios

Unless noted otherwise, the notes to the funds' portfolios are for the close of the funds' reporting period, which ran from October 1, 2010 through June 30, 2011 (the reporting period).

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

Growth portfolio  $1,783,796,155 
Balanced portfolio  1,421,521,824 
Conservative portfolio  543,191,305 

 

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

 

  Cost for federal  Unrealized  Unrealized  Net unrealized 
  income tax purposes  appreciation  depreciation  appreciation 
 
Growth Portfolio  $1,780,399,163  $208,212,847  $42,178,331  $166,034,516 
Balanced Portfolio  1,550,328,198  151,810,674  31,583,626  120,227,048 
Conservative Portfolio  636,219,785  56,327,108  7,442,445  48,884,663 

 

(NON) Non-income-producing security.

(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 the close of the reporting period.

(SEGSF) These securities, in part or in entirety, were pledged and segregated with the custodian for collateral on certain derivatives contracts, for one or more of the funds, at the close of the reporting period.

(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 the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

(d) Each fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash 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 agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. At the close of the reporting period, the value of securities loaned amounted to $20,892,677, $20,032,716 and $17,051,955 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively). Certain of these securities were sold prior to the close of the reporting period. The funds received cash collateral of $21,167,264, $20,335,552 and $17,283,564 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Investment Management, LLC (Putnam Management), the funds' manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged by Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close fo the reporting period.

(e) Each fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the funds are recorded as interest income and totaled $329,300, $279,228 and $251,677 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated as follows:

  Purchases  Sales 
 
Growth Portfolio  $ 777,609,632  $ 757,833,249 
Balanced Portfolio  696,698,871  672,188,426 
Conservative Portfolio  467,925,936  690,829,838 

 

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 Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolios.


(i) Securities purchased with cash or securities received, that were pledged to one or more funds for collateral on certain derivatives contracts.

(P) The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

(R) Real Estate Investment Trust.

(SG) Securities on loan, in part or in entirety, at the close of the reporting period (Growth portfolio).

(SB) Securities on loan, in part or in entirety, at the close of the reporting period (Balanced portfolio).

(SC) Securities on loan, in part or in entirety, at the close of the reporting period (Conservative portfolio).

At the close of the reporting period, the funds maintained liquid assets totaling $424,650,695, $682,695,960, $257,480,625 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) to cover certain derivatives 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, SDR or GDR after the name of a foreign holding represents ownership of foreign securities on deposit with a custodian bank.

The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.

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 the close of the reporting period.

DIVERSIFICATION BY COUNTRY

Growth Portfolio

Distribution of investments by country of risk at the close of the reporting period (as a percentage of Portfolio Value):

United States  78.3% 
United Kingdom  4.0 
Japan  2.8 
France  1.6 
China  1.5 
Germany  1.2 
Brazil  1.1 
Switzerland  1.0 
Australia  1.0 
Russia  0.9 
South Korea  0.8 
Netherlands  0.6 
Other  5.2 
Total  100.0% 

 

Balanced Portfolio

Distribution of investments by country of risk at the close of the reporting period (as a percentage of Portfolio Value):

United States  86.0% 
United Kingdom  3.2 
Japan  1.9 
France  1.2 
Germany  0.9 
Australia  0.7 
Switzerland  0.7 
Netherlands  0.5 
Argentina  0.5 
Other  4.4 
Total  100.0% 

 

Conservative Portfolio

Distribution of investments by country of risk at the close of the reporting period (as a percentage of Portfolio Value):

United States  85.5% 
United Kingdom  2.9 
Japan  1.4 
Argentina  1.3 
France  1.0 
Russia  0.9 
Australia  0.7 
Netherlands  0.7 
Switzerland  0.7 
Germany  0.6 
Brazil  0.5 
Ukraine  0.5 
Other  3.3 
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, and are classified as Level 1 securities. 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 and is generally categorized as a Level 2 security.

Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. 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). These securities will generally be categorized as Level 2.


Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the funds will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the funds to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolios. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that 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. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the funds could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

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

Futures contracts: Each fund uses futures contracts to equitize cash and to manage exposure to market risk.

The potential risk to each fund is that the change in value of futures 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, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal 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.

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”. The funds had average number of contracts of approximately 12,000, 10,000 and 5,000 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) on futures contracts for the reporting period.

Options contracts: Each fund uses options contracts to hedge against changes in values of securities it owns, owned or expects to own, to generate additional income for the portfolio and to enhance the return on securities owned.

The potential risk to each fund is that the change in value of 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, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. 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.

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. The funds had average contract amounts of approximately $173,100,000, $188,200,000, $146,100,000 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) on purchased options contracts for the reporting period. The funds had average contract amounts of approximately $380,600,000, $424,100,000 and $275,500,000 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) on written options contracts for the reporting period.

Forward currency contracts: Each fund buys and sells 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 hedge foreign exchange risk and to gain exposure on currency. 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. The funds had average contract amounts of approximately $817,500,000, $695,100,000, and $280,000,000 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) on forward currency contracts for the reporting period.

Total return swap contracts: Each fund enters 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 hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific markets/countries and to gain exposure to specific sectors/industries. 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 an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain 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. The funds had average notional amounts of approximately $178,100,000, $157,100,000 and $87,100,000 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) on total return swap contracts for the reporting period.

Interest rate swap contracts: Each fund enters into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to hedge prepayment risk. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. 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. The funds had average notional amounts of approximately $2,119,800,000, $2,741,200,000 and $1,902,700,000 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) on interest rate swap contracts for the reporting period.

Credit default contracts: Each fund enters into credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities. 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. The funds had average notional amounts of approximately $123,800,000, $106,800,000 and $80,200,000 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) on credit default swap contracts for the reporting period.

Master agreements: Each fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the funds which cannot be sold or repledged totaled $11,073,714 and $69,979 (for Balanced Portfolio and Conservative Portfolio, respectively) at the close of the reporting period. 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. Collateral requirements are determined based on the fund’s net position with each 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.

At the close of the reporting period, the funds had  net liability positions of $34,118,621, $51,980,758, and $2,033,602 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively.) on derivative contracts subject to the Master Agreements. Collateral posted by the funds totaled $38,534,246, $57,650,929, and $3,209,788 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively).

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

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

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

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

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


ASC 820 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 the close of the reporting period:

Growth Portfolio 
    Valuation inputs   
Investments in securities:  Level 1  Level 2  Level 3 
Common stocks:       
Basic materials  $58,652,710  $19,293,070  $973,751 
Capital goods  49,125,912  14,038,753  51,274 
Communication services  41,387,040  6,419,189  -- 
Conglomerates  19,777,007  1,484,300  -- 
Consumer cyclicals  106,364,017  14,371,715  815 
Consumer staples  77,660,065  10,015,767  705 
Energy  102,411,067  3,777,093  -- 
Financials  122,021,908  34,242,875  -- 
Health care  104,896,154  2,298,793  -- 
Technology  117,934,736  19,045,661  48,021 
Transportation  8,078,008  6,766,024  -- 
Utilities and power  29,150,689  3,760,444  -- 
Total common stocks  837,459,313  135,513,684  1,074,566 
Asset-backed securities  --  26,187,788  -- 
Commodity linked notes  --  38,678,759  -- 
Convertible bonds and notes  --  966,906  -- 
Convertible preferred stocks  --  909,027  -- 
Corporate bonds and notes  --  187,630,484  175,707 
Foreign government bonds and notes  --  13,999,092  -- 
Investment Companies  58,547,651  --  -- 
Mortgage-backed securities  --  71,238,072  79,941 
Municipal bonds and notes  --  206,689  -- 
Preferred stocks  --  837,660  -- 
Purchased options outstanding  --  4,318,678  -- 
Senior loans  --  6,664,282  -- 
U.S. Government and Agency Mortgage Obligations  --  103,141,175  -- 
U.S. Treasury Obligations  --  184,837  -- 
Warrants  --  868  11,802 
Short-term investments  347,569,058  111,037,640  -- 
Totals by level  $1,243,576,022  $701,515,641  $1,342,016 
 
 
 
 
    Valuation inputs   
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $--  $(2,255,383)  $-- 
Futures contracts  9,515,314  --  -- 
Written options  --  (20,707,289)  -- 
TBA sale commitments  --  (10,446,758)  -- 
Interest rate swap contracts  --  (16,264,115)  -- 
Total return swap contracts  --  (215,763)  -- 
Credit default contracts  --  1,005,251  -- 
Totals by level  $9,515,314  $(48,884,057)  $-- 

 

At the start and close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio.

Market Values of Derivative Instruments as of the close of the reporting period

  Asset derivatives  Liability derivatives 
Derivatives not accounted for as hedging instruments under ASC 815  Market value  Market value 
Credit contracts  $2,182,881  $1,177,630 
Foreign exchange contracts  3,027,377  5,282,760 
Equity contracts  16,176,851  5,632,723 
Interest rate contracts  13,374,441  47,259,074 
Total  $34,761,550  $59,352,187 

 

Balanced Portfolio           
    Valuation inputs   
Investments in securities:  Level 1  Level 2  Level 3 
Common stocks:       
Basic materials  $37,658,664  $8,315,940  $19,115 
Capital goods  34,198,302  5,003,813  40,445 
Communication services  28,383,290  3,205,841  -- 
Conglomerates  14,039,590  1,004,391  -- 
Consumer cyclicals  71,734,515  6,086,037  900 
Consumer staples  53,718,381  5,384,011  533 
Energy  64,872,328  1,456,981  -- 
Financials  77,396,826  11,302,400  -- 
Health care  73,256,641  1,608,155  -- 
Technology  85,669,477  5,947,590  35,700 
Transportation  5,581,716  3,014,777  -- 
Utilities and power  18,957,624  1,150,481  -- 
Total common stocks  565,467,354  53,480,417  96,693 
Asset-backed securities  --  31,317,524  -- 
Commodity linked notes  --  30,932,617  -- 
Convertible bonds and notes  --  955,399  -- 
Convertible preferred stocks  --  906,141  -- 
Corporate bonds and notes  --  237,088,694  181,765 
Foreign government bonds and notes  --  15,540,516  -- 
Investment Companies  54,456,792  --  -- 
Mortgage-backed securities  --  73,545,660  216,257 
Municipal bonds and notes  --  434,046  -- 
Preferred stocks  --  865,382  -- 
Purchased options outstanding  --  6,556,489  -- 
Senior loans  --  7,545,654  -- 
U.S. Government and Agency Mortgage Obligations  --  179,086,762  -- 
Warrants  --  518  12,182 
Short-term investments  302,341,335  109,527,049  -- 
Totals by level  $922,265,481  $747,782,868  $506,897 
 
 
 
 
    Valuation inputs   
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $--  $(1,900,625)  $-- 
Futures contracts  2,629,181  --  -- 
Written options  --  (24,636,153)  -- 
TBA sale commitments  --  (12,580,625)  -- 

 


Interest rate swap contracts  --  (23,002,755)  -- 
Total return swap contracts  --  (30,601)  -- 
Credit default contracts  --  1,058,368  -- 
Totals by level  $2,629,181  $(61,092,391)  $-- 

 

At the start and close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio.

Market Values of Derivative Instruments as of the close of the reporting period

  Asset derivatives  Liability derivatives 
Derivatives not accounted for as hedging instruments under ASC 815  Market value  Market value 
Credit contracts  $1,977,393  $919,025 
Foreign exchange contracts  2,694,735  4,595,360 
Equity contracts  8,231,101  4,802,061 
Interest rate contracts  28,915,226  70,815,405 
Total  $41,818,455  $81,131,851 

 

Conservative Portfolio           
    Valuation inputs   
Investments in securities:  Level 1  Level 2  Level 3 
Common stocks:       
Basic materials  $10,519,497  $2,659,292  $11,034 
Capital goods  9,844,564  1,895,895  27,661 
Communication services  8,290,817  1,137,737  -- 
Conglomerates  4,155,883  73,140  -- 
Consumer cyclicals  20,416,983  1,718,628  575 
Consumer staples  15,068,418  1,812,729  18 
Energy  18,098,151  347,622  -- 
Financials  21,646,363  3,570,576  -- 
Health care  21,526,247  97,103  -- 
Technology  24,641,640  1,556,534  31,491 
Transportation  1,394,332  1,386,028  -- 
Utilities and power  5,915,924  165,614  -- 
Total common stocks  161,518,819  16,420,898  70,779 
Asset-backed securities  --  15,838,955  -- 
Commodity linked notes  --  11,141,291  -- 
Convertible bonds and notes  --  469,194  -- 
Convertible preferred stocks  --  513,603  -- 
Corporate bonds and notes  --  136,415,098  122,535 
Foreign government bonds and notes  --  16,151,167  -- 
Investment Companies  15,777,677  --  -- 
Mortgage-backed securities  --  48,716,529  183,869 
Municipal bonds and notes  --  174,768  -- 
Preferred stocks  --  527,675  -- 
Purchased options outstanding  --  1,485,629  -- 
Senior loans  --  3,591,988  -- 
U.S. Government and Agency Mortgage Obligations  --  115,820,814  -- 
Warrants  --  168  8,376 
Short-term investments  87,521,119  52,633,497  -- 
Totals by level  $264,817,615  $419,901,274  $385,559 
 
 
 
 
    Valuation inputs   
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $--  $(260,865)  $-- 
Futures contracts  (2,710,452)  --  -- 
Written options  --  (2,991,395)  -- 
TBA sale commitments  --  (2,128,047)  -- 
Interest rate swap contracts  --  566,885  -- 
Total return swap contracts  --  91,517  -- 
Credit default contracts  --  (21,096)  -- 
Totals by level  $(2,710,452)  $(4,743,001)  $-- 

 

At the start and close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio.

Market Values of Derivative Instruments as of the close of the reporting period

  Asset derivatives  Liability derivatives 
Derivatives not accounted for as hedging instruments under ASC 815  Market value  Market value 
Credit contracts  $649,502  $670,598 
Foreign exchange contracts  996,677  1,257,542 
Equity contracts  395,406  2,274,021 
Interest rate contracts  4,352,850  6,023,507 
Total  $6,394,435  $10,225,668 

 

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

Item 2. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

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

Putnam Asset Allocation Funds
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 26, 2011

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/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: August 26, 2011

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 26, 2011