-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, IZkMpgxI4vHG62Zu56dCtTuv1ozEXvusscFQMJfrrcEA//9FqhjzsdItLE1SxbTK 6PSJ0EBQ09+q/RziN0Mt4Q== 0000928816-04-000315.txt : 20040409 0000928816-04-000315.hdr.sgml : 20040409 20040408192032 ACCESSION NUMBER: 0000928816-04-000315 CONFORMED SUBMISSION TYPE: 485APOS PUBLIC DOCUMENT COUNT: 2 FILED AS OF DATE: 20040409 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GEORGE PUTNAM FUND OF BOSTON CENTRAL INDEX KEY: 0000081259 IRS NUMBER: 046013677 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: 485APOS SEC ACT: 1933 Act SEC FILE NUMBER: 002-10816 FILM NUMBER: 04725918 BUSINESS ADDRESS: STREET 1: ONE POST OFFICE SQ STREET 2: MAILSTOP A 14 CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8002252581 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM EQUITY INCOME FUND/NEW DATE OF NAME CHANGE: 19940302 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM GEORGE FUND OF BOSTON DATE OF NAME CHANGE: 19920703 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GEORGE PUTNAM FUND OF BOSTON CENTRAL INDEX KEY: 0000081259 IRS NUMBER: 046013677 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: 485APOS SEC ACT: 1940 Act SEC FILE NUMBER: 811-00058 FILM NUMBER: 04725919 BUSINESS ADDRESS: STREET 1: ONE POST OFFICE SQ STREET 2: MAILSTOP A 14 CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8002252581 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM EQUITY INCOME FUND/NEW DATE OF NAME CHANGE: 19940302 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM GEORGE FUND OF BOSTON DATE OF NAME CHANGE: 19920703 485APOS 1 gp1.txt THE GEORGE PUTNAM FUND OF BOSTON As filed with the Securities and Exchange Commission on April 9, 2004 Registration No. 2-10816 811-58 - ------------------------------------------------------------------------ SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 --------------- FORM N-1A ---- REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 / X / ---- ---- Pre-Effective Amendment No. / / ---- ---- Post-Effective Amendment No. 93 / X / and/or ---- ---- REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY / X / ACT OF 1940 ---- ---- Amendment No. 27 / X / (Check appropriate box or boxes) ---- --------------- THE GEORGE PUTNAM FUND OF BOSTON (Exact name of Registrant as Specified in Charter) One Post Office Square, Boston, Massachusetts 02109 (Address of Principal Executive Offices) (Zip Code) Registrant's Telephone Number, including Area Code (617) 292-1000 ----------------- It is proposed that this filing will become effective (check appropriate box) - ---- / / immediately upon filing pursuant to paragraph (b) - ---- - ---- / / on (date) pursuant to paragraph (b)---- - ---- / X / 60 days after filing pursuant to paragraph (a)(1) - ---- - ---- / / on (date) pursuant to paragraph (a)(1) - ---- - ---- / / 75 days after filing pursuant to paragraph (a)(2) - ---- - ---- / / on (date) pursuant to paragraph (a)(2) of Rule 485. - ---- If appropriate, check the following box: - ---- / / this post-effective amendment designates a new - ---- effective date for a previously filed post-effective amendment. ------------------ BETH S. MAZOR, Vice President THE GEORGE PUTNAM FUND OF BOSTON One Post Office Square Boston, Massachusetts 02109 (Name and address of agent for service) ------------------ Copy to: JOHN W. GERSTMAYR, Esquire ROPES & GRAY LLP One International Place Boston, Massachusetts 02110 Part A of this registration statement (other than with respect to the supplement to the prospectus filed herewith), Part B of this registration statement (other than with respect to the supplement to the statement of additional information filed herewith), and Part C of this registration statement (other than with respect to the signature pages filed herewith) are hereby incorporated by reference to Post-Effective Amendment No. 92 to the registration statement, as filed with the Commission on November 26, 2003 (File No. 0000928816-03-000759). Prospectus Supplement dated April 9, 2004 to: - ----------------------------------------------------------------------------- THE GEORGE PUTNAM FUND OF BOSTON (the "fund") Prospectuses dated November 30, 2003 As previously disclosed in a press release dated March 2, 2004, Putnam Management discovered that in early 2001, certain Putnam employees had willfully circumvented controls in connection with the correction of operational errors with respect to a 401(k) client's investment in certain Putnam Funds, which led to losses in the fund. Putnam made restitution to the fund of approximately $169,000 on February 27, 2004, representing less than $0.001 per share outstanding as of such date. Putnam and the fund's trustees are in the process of finalizing the restitution amount. Additional amounts may be warranted. Putnam has also implemented a number of personnel changes, including senior personnel, and has begun to implement changes in procedures to address these items. Putnam has informed the SEC, the fund's Trustees and independent auditors. The following information replaces the first paragraph appearing under the caption "Financial Highlights": The financial highlights tables are intended to help you understand the fund's recent financial performance. Certain information reflects financial results for a single fund share. The total returns represent the rate that an investor would have earned or lost on an investment in the fund, assuming reinvestment of all dividends and distributions. Except for the unaudited information for the six months ended January 31, 2004, this information has been derived from the fund's financial statements, which have been audited by PricewaterhouseCoopers LLP. Its report and the fund's financial statements are included in the fund's annual report to shareholders, which is available upon request. To comply with regulatory requirements, the following unaudited information for the six months ended January 31, 2004 supplements the information contained in the Financial Highlights table:
- ------------------------------------------------------------------------------------------------------------ Class A Class B Class C Class M Class R Class Y Six months Six months Six months Six months Six months Six months ended ended ended ended ended ended January 31 January 31 January 31 January 31 January 31 January 31 Per-share operating 2004 2004 2004 2004 2004 2004 performance (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) - ------------------------------------------------------------------------------------------------------------ Net Asset Value, beginning of period $15.72 $15.56 $15.63 $15.57 $15.70 $15.76 - ------------------------------------------------------------------------------------------------------------ Investment Operations: - ------------------------------------------------------------------------------------------------------------ Net Investment Income (a) .16 .10 .10 .12 .14 .18 - ------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain on investments 1.48 1.46 1.47 1.47 1.50 1.49 - ------------------------------------------------------------------------------------------------------------ Total from investment operations 1.64 1.56 1.57 1.59 1.64 1.67 - ------------------------------------------------------------------------------------------------------------ Less distributions: - ------------------------------------------------------------------------------------------------------------ From net investment income (.18) (.11) (.12) (.14) (.15) (.20) - ------------------------------------------------------------------------------------------------------------ From net realized gain on investments -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Total distributions (.18) (.11) (.12) (.14) (.15) (.20) - ------------------------------------------------------------------------------------------------------------ Net asset value, end of period 17.18 17.01 17.08 17.02 17.19 17.23 - ------------------------------------------------------------------------------------------------------------ Total return at net asset value (%)(b) 10.50* 10.11* 10.08* 10.26* 10.54* 10.68* - ------------------------------------------------------------------------------------------------------------ Ratios and supplemental data - ------------------------------------------------------------------------------------------------------------ Net assets, end of period (in thousands) $3,504,915 $1,229,969 $78,774 $229,974 $1 $985,436 - ------------------------------------------------------------------------------------------------------------ Ratio of expenses to average net assets (%)(c) .49* .87* .87* .74* .62* .37* - ------------------------------------------------------------------------------------------------------------ Ratio of net investment income to average net assets (%) .99* .62* .62* .74* .87* 1.12* - ------------------------------------------------------------------------------------------------------------ Portfolio turnover (%) 76.75* 76.75* 76.75* 76.75* 76.75* 76.75* - ------------------------------------------------------------------------------------------------------------
* Not annualized. (a) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (b) Total return assumes dividend reinvestment and does not reflect the effect of sales charges. (c) Includes amounts paid through brokerage service and expense offset arrangements. Statement of Additional Information Supplement 4/04 dated April 9, 2004 to: - ---------------------------------------------------------------------- THE GEORGE PUTNAM FUND OF BOSTON Statement of Additional Information dated November 30, 2003 The text in the section "Independent Auditors and Financial Statements" is replaced with the following: INDEPENDENT AUDITORS AND FINANCIAL STATEMENTS PricewaterhouseCoopers LLP, 125 High Street, Boston, Massachusetts 02110, are the fund's independent auditors providing audit services, tax return review and other tax consulting services and assistance and consultation in connection with the review of various Securities and Exchange Commission filings. The Report of Independent Auditors, financial highlights and financial statements included in the fund's Annual Report for the fiscal year ended July 31, 2003 are incorporated by reference into this SAI. The fund's Annual Report for the fiscal year ended July 31, 2003 was filed electronically on September 29, 2003 (File No. 811-58). The audited financial highlights included in the prospectus and incorporated by reference into this SAI and the audited financial statements incorporated by reference into the prospectus and this SAI have been so included and incorporated in reliance upon the reports of the independent auditors, given on their authority as experts in auditing and accounting. The following unaudited financial information is added to under the new heading "Financial Statements": A guide to the financial statements These sections of the report, as well as the accompanying Notes, constitute the fund's financial statements. The fund's portfolio lists all the fund's investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification. Statement of assets and liabilities shows how the fund's net assets and share price are determined. All investment and noninvestment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the net assets allocated to remarketed preferred shares.) Statement of operations shows the fund's net investment gain or loss. This is done by first adding up all the fund's earnings -- from dividends and interest income -- and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings -- as well as any unrealized gains or losses over the period -- is added to or subtracted from the net investment result to determine the fund's net gain or loss for the fiscal period. Statement of changes in net assets shows how the fund's net assets were affected by distributions to shareholders and by changes in the number of the fund's shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Financial highlights provide an overview of the fund's investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlight table also includes the current reporting period. For open-end funds, a separate table is provided for each share class. The fund's portfolio January 31, 2004 (Unaudited) Common stocks (60.9%) (a) Number of shares Value Aerospace and Defense (1.6%) - ------------------------------------------------------------------------------- 709,400 Boeing Co. (The) $29,617,450 740,500 Lockheed Martin Corp. 36,002,959 249,500 Northrop Grumman Corp. 24,129,145 185,500 Raytheon Co. 5,659,605 -------------- 95,409,159 Airlines (0.1%) - ------------------------------------------------------------------------------- 218,500 Southwest Airlines Co. 3,266,575 Automotive (0.3%) - ------------------------------------------------------------------------------- 41,100 BorgWarner, Inc. 3,819,012 230,000 Lear Corp. 15,101,800 -------------- 18,920,812 Banking (7.4%) - ------------------------------------------------------------------------------- 1,018,860 Bank of America Corp. 82,996,336 1,529,350 Bank of New York Co., Inc. (The) 48,556,863 164,000 Charter One Financial, Inc. 5,938,440 142,500 Compass Bancshares, Inc. 5,617,350 39,900 M&T Bank Corp. 3,589,803 454,000 State Street Corp. 24,447,900 53,500 SunTrust Banks, Inc. 3,871,260 3,008,660 U.S. Bancorp 85,054,818 1,268,900 Wachovia Corp. 58,673,936 1,222,750 Washington Mutual, Inc. 54,167,825 1,209,130 Wells Fargo & Co. 69,416,153 64,250 Zions Bancorp. 3,767,620 -------------- 446,098,304 Beverage (0.4%) - ------------------------------------------------------------------------------- 776,700 Coca-Cola Enterprises, Inc. 17,786,430 150,500 Pepsi Bottling Group, Inc. (The) 3,989,755 -------------- 21,776,185 Broadcasting (0.1%) - ------------------------------------------------------------------------------- 96,200 Viacom, Inc. Class B 3,876,860 Building Materials (0.7%) - ------------------------------------------------------------------------------- 1,555,390 Masco Corp. 41,466,697 Cable Television (0.5%) - ------------------------------------------------------------------------------- 2,592,320 Liberty Media Corp. Class A (NON) 30,174,605 Capital Goods (0.1%) - ------------------------------------------------------------------------------- 33,200 Eaton Corp. 3,856,180 Chemicals (1.5%) - ------------------------------------------------------------------------------- 263,100 Avery Dennison Corp. 16,354,296 999,900 Dow Chemical Co. (The) 41,945,805 291,000 Engelhard Corp. 8,255,670 456,150 PPG Industries, Inc. 26,561,615 -------------- 93,117,386 Computers (3.2%) - ------------------------------------------------------------------------------- 434,100 Dell, Inc. (NON) 14,529,327 4,294,681 Hewlett-Packard Co. 102,170,461 605,330 IBM Corp. 60,066,896 184,100 Lexmark International, Inc. (NON) 15,260,049 -------------- 192,026,733 Conglomerates (2.5%) - ------------------------------------------------------------------------------- 13,877 Berkshire Hathaway, Inc. Class B (NON) 41,367,337 843,800 General Electric Co. 28,376,994 381,900 Honeywell International, Inc. 13,794,228 2,538,460 Tyco International, Ltd. (Bermuda) 67,903,805 -------------- 151,442,364 Consumer Finance (0.5%) - ------------------------------------------------------------------------------- 58,200 Countrywide Financial Corp. 4,862,610 856,700 MBNA Corp. 23,096,632 -------------- 27,959,242 Consumer Goods (0.7%) - ------------------------------------------------------------------------------- 57,700 Colgate-Palmolive Co. 2,958,279 100,750 Kimberly-Clark Corp. 5,950,295 215,500 Newell Rubbermaid, Inc. 5,264,665 256,100 Procter & Gamble Co. 25,886,588 -------------- 40,059,827 Electric Utilities (2.2%) - ------------------------------------------------------------------------------- 571,600 CenterPoint Energy, Inc. 6,001,800 171,750 Dominion Resources, Inc. 11,019,480 508,892 DPL, Inc. 10,299,974 1,002,200 Edison International 22,048,400 256,200 Entergy Corp. 14,982,576 368,200 Exelon Corp. 24,662,036 109,350 FirstEnergy Corp. 4,102,812 1,096,150 PG&E Corp. (NON) 29,431,628 272,280 Progress Energy, Inc. 12,192,698 -------------- 134,741,404 Electrical Equipment (0.1%) - ------------------------------------------------------------------------------- 114,900 Emerson Electric Co. 7,342,110 Electronics (1.1%) - ------------------------------------------------------------------------------- 562,852 Celestica, Inc. (Canada) (NON) 9,652,912 833,230 Intel Corp. 25,496,838 469,000 Micron Technology, Inc. (NON) 7,555,590 988,800 Motorola, Inc. 16,394,304 1,358,289 Solectron Corp. (NON) 9,643,852 -------------- 68,743,496 Energy (0.5%) - ------------------------------------------------------------------------------- 425,100 GlobalSantaFe Corp. (Cayman Islands) 11,605,230 625,200 Halliburton Co. 18,849,780 -------------- 30,455,010 Financial (5.9%) - ------------------------------------------------------------------------------- 156,550 CIT Group, Inc. 5,936,376 3,428,420 Citigroup, Inc. (SEG) 169,638,222 845,140 Fannie Mae 65,160,294 1,135,140 Freddie Mac 70,855,439 291,700 PMI Group, Inc. (The) 11,265,454 1,865,606 Travelers Property Casualty Corp. Class B 33,767,469 -------------- 356,623,254 Food (0.7%) - ------------------------------------------------------------------------------- 870,800 ConAgra, Inc. 22,588,552 212,100 General Mills, Inc. 9,635,703 328,950 H.J. Heinz Co. 11,638,251 330 PSF Group Holdings, Inc. 144A Class A (NON) 495,570 -------------- 44,358,076 Forest Products and Packaging (0.8%) - ------------------------------------------------------------------------------- 1,162,210 Abitibi-Consolidated, Inc. (Canada) 8,893,707 370,650 Boise Cascade Corp. 12,027,593 146,100 MeadWestvaco Corp. 3,940,317 924,300 Smurfit-Stone Container Corp. (NON) 15,934,932 403,850 Sonoco Products Co. 9,522,783 -------------- 50,319,332 Gaming & Lottery (0.2%) - ------------------------------------------------------------------------------- 193,600 Harrah's Entertainment, Inc. 10,260,800 Health Care Services (1.5%) - ------------------------------------------------------------------------------- 257,258 Anthem, Inc. (NON) 21,038,559 393,100 Cardinal Health, Inc. 25,201,641 302,700 CIGNA Corp. 18,773,454 136,400 Express Scripts, Inc. Class A (NON) 9,434,788 454,000 McKesson Corp. 13,338,520 -------------- 87,786,962 Household Furniture and Appliances (0.6%) - ------------------------------------------------------------------------------- 451,640 Whirlpool Corp. 34,302,058 Insurance (2.4%) - ------------------------------------------------------------------------------- 1,035,900 ACE, Ltd. (Bermuda) 44,978,778 519,850 American International Group, Inc. 36,103,583 184,200 AON Corp. 4,525,794 94,100 MBIA, Inc. 5,928,300 252,600 Radian Group, Inc. 11,761,056 71,400 Torchmark Corp. 3,387,216 443,725 XL Capital, Ltd. Class A (Bermuda) 35,276,138 -------------- 141,960,865 Investment Banking/Brokerage (1.8%) - ------------------------------------------------------------------------------- 2,294,300 JPMorgan Chase & Co. 89,225,327 291,300 Merrill Lynch & Co., Inc. 17,125,527 81,000 Morgan Stanley Dean Witter & Co. 4,715,010 -------------- 111,065,864 Lodging/Tourism (0.3%) - ------------------------------------------------------------------------------- 503,900 Hilton Hotels Corp. 8,062,400 217,600 Royal Caribbean Cruises, Ltd. 9,219,712 -------------- 17,282,112 Machinery (0.6%) - ------------------------------------------------------------------------------- 542,350 Ingersoll-Rand Co. Class A (Bermuda) 36,082,546 Manufacturing (0.2%) - ------------------------------------------------------------------------------- 221,350 Dover Corp. 9,146,182 Media (1.0%) - ------------------------------------------------------------------------------- 873,900 Time Warner, Inc. (NON) 15,354,423 1,755,200 Walt Disney Co. (The) 42,124,800 -------------- 57,479,223 Medical Services (--%) - ------------------------------------------------------------------------------- 374,000 Service Corp. International (NON) 2,569,380 Medical Technology (0.2%) - ------------------------------------------------------------------------------- 126,000 C.R. Bard, Inc. 11,869,200 Metals (0.2%) - ------------------------------------------------------------------------------- 337,600 Alcoa, Inc. 11,539,168 Office Equipment & Supplies (0.1%) - ------------------------------------------------------------------------------- 185,600 Pitney Bowes, Inc. 7,531,648 Oil & Gas (4.9%) - ------------------------------------------------------------------------------- 27,700 Amerada Hess Corp. 1,562,003 205,660 Apache Corp. 7,913,797 302,550 BP PLC ADR (United Kingdom) 14,401,380 136,500 Canadian Natural Resources, Ltd. (Canada) 6,595,680 736,823 ConocoPhillips 48,541,899 3,428,692 Exxon Mobil Corp. 139,856,347 232,600 Noble Corp. (Cayman Islands) (NON) 8,629,460 123,100 Royal Dutch Petroleum Co. ADR (Netherlands) 5,834,940 454,700 Total SA Class B ADR (France) 40,150,010 475,100 Unocal Corp. 17,493,182 100,500 Valero Energy Corp. 5,318,460 -------------- 296,297,158 Pharmaceuticals (3.5%) - ------------------------------------------------------------------------------- 1,255,100 Abbott Laboratories 54,069,708 197,100 Forest Laboratories, Inc. (NON) 14,681,979 264,500 Johnson & Johnson 14,129,590 1,443,200 King Pharmaceuticals, Inc. (NON) 24,072,576 2,329,223 Pfizer, Inc. 85,319,438 438,100 Wyeth 17,940,195 -------------- 210,213,486 Photography/Imaging (0.4%) - ------------------------------------------------------------------------------- 1,762,398 Xerox Corp. (NON) 25,801,507 Publishing (0.1%) - ------------------------------------------------------------------------------- 75,050 Knight-Ridder, Inc. 5,772,846 Railroads (1.3%) - ------------------------------------------------------------------------------- 352,700 Canadian National Railway Co. (Canada) 21,144,365 919,000 Union Pacific Corp. 59,183,600 -------------- 80,327,965 Real Estate (0.2%) - ------------------------------------------------------------------------------- 439,570 Equity Office Properties Trust (R) 13,033,251 Regional Bells (2.7%) - ------------------------------------------------------------------------------- 1,048,750 BellSouth Corp. 30,654,963 1,965,404 SBC Communications, Inc. 50,117,802 2,217,881 Verizon Communications, Inc. 81,751,094 -------------- 162,523,859 Restaurants (0.7%) - ------------------------------------------------------------------------------- 1,355,600 Darden Restaurants, Inc. 27,112,000 714,000 McDonald's Corp. 18,378,360 -------------- 45,490,360 Retail (2.4%) - ------------------------------------------------------------------------------- 606,600 Home Depot, Inc. (The) 21,516,102 556,450 JC Penney Co., Inc. (Holding Co.) 14,567,861 705,900 Limited Brands 12,847,380 263,400 Lowe's Cos., Inc. 14,105,070 1,949,600 Office Depot, Inc. (NON) 31,096,120 699,850 TJX Cos., Inc. (The) 16,089,552 658,400 Wal-Mart Stores, Inc. 35,454,840 -------------- 145,676,925 Software (1.6%) - ------------------------------------------------------------------------------- 1,232,800 Computer Associates International, Inc. 32,225,392 2,044,100 Microsoft Corp. 56,519,365 797,100 Oracle Corp. (NON) 11,007,951 -------------- 99,752,708 Technology Services (0.4%) - ------------------------------------------------------------------------------- 232,900 Automatic Data Processing, Inc. 9,956,475 98,500 First Data Corp. 3,857,260 254,100 Fiserv, Inc. (NON) 9,493,176 -------------- 23,306,911 Telecommunications (0.1%) - ------------------------------------------------------------------------------- 230,800 CenturyTel, Inc. 6,093,120 Textiles (0.1%) - ------------------------------------------------------------------------------- 189,900 Liz Claiborne, Inc. 6,792,723 Tobacco (1.9%) - ------------------------------------------------------------------------------- 2,056,848 Altria Group, Inc. 114,340,180 Toys (0.3%) - ------------------------------------------------------------------------------- 1,016,700 Mattel, Inc. 19,225,797 Waste Management (0.3%) - ------------------------------------------------------------------------------- 700,950 Republic Services, Inc. 17,488,703 -------------- Total Common stocks (cost $2,847,303,197) $3,673,047,118 U.S. government and agency obligations (24.3%) (a) Principal amount Value U.S. Government and Agency Mortgage Obligations (22.0%) - ------------------------------------------------------------------------------- Federal Home Loan Mortgage Corporation $484,802 8 3/4s, with due dates from May 1, 2009 to June 1, 2009 $526,263 Federal National Mortgage Association Pass-Through Certificates 29,882 11s, with due dates from October 1, 2015 to March 1, 2016 33,639 842,024 9s, with due dates from January 1, 2027 to July 1, 2032 925,118 7,471 8 3/4s, July 1, 2009 8,118 3,379,209 8s, with due dates from August 1, 2026 to July 1, 2033 3,680,178 4,477,679 7 1/2s, with due dates from October 1, 2025 to July 1, 2033 4,789,002 1,465,003 7 1/2s, with due dates from February 1, 2015 to April 1, 2016 1,572,190 2,889,385 7s, with due dates from July 1, 2025 to November 1, 2033 3,065,564 3,483,703 7s, with due dates from November 1, 2007 to January 1, 2015 3,718,977 43,544,153 6 1/2s, with due dates from January 1, 2019 to October 1, 2033 45,701,651 657,371 6 1/2s, with due dates from July 1, 2010 to May 1, 2011 699,492 29,570,000 6 1/2s, TBA, February 1, 2034 31,020,763 468,317 6s, with due dates from December 1, 2013 to May 1, 2017 493,591 618,163,000 5 1/2s, TBA, February 1, 2034 628,980,853 544,976,000 5s, TBA, February 1, 2019 556,897,350 40,629,000 4s, TBA, February 1, 2019 39,867,206 Government National Mortgage Association Pass-Through Certificates 990,227 7s, with due dates from August 15, 2029 to October 15, 2031 1,056,480 6,062 5s, July 15, 2033 6,036 -------------- 1,323,042,471 U.S. Government and Agency Obligations (2.3%) - ------------------------------------------------------------------------------- 118,135,000 Fannie Mae 7 1/4s, January 15, 2010 139,750,633 U.S. Treasury Obligations (--%) - ------------------------------------------------------------------------------- 1,450,000 U.S. Treasury Bonds 4 1/4s, November 15, 2013 1,463,140 -------------- Total U.S. government and agency obligations (cost $1,458,295,270) $1,464,256,244 Corporate bonds and notes (10.2%) (a) Principal amount Value Aerospace and Defense (0.2%) - ------------------------------------------------------------------------------- $675,000 BAE Systems Holdings, Inc. 144A notes 6.4s, 2011 $732,658 285,000 Boeing Capital Corp. sr. notes 4 3/4s, 2008 297,709 785,000 Boeing Co. (The) bonds 6 1/8s, 2033 803,309 2,300,000 Lockheed Martin Corp. bonds 8 1/2s, 2029 3,053,542 1,115,000 Northrop Grumman Corp. company guaranty 7 1/8s, 2011 1,298,372 2,275,000 Raytheon Co. debs. 6s, 2010 2,464,692 1,145,000 Raytheon Co. notes 8.3s, 2010 1,375,764 830,000 Raytheon Co. notes 4.85s, 2011 846,987 -------------- 10,873,033 Airlines (0.1%) - ------------------------------------------------------------------------------- 377,074 Continental Airlines, Inc. pass-through certificates Ser. 98-1A, 6.648s, 2017 377,074 4,215,000 Continental Airlines, Inc. pass-through certificates Ser. 98-2, 6.32s, 2008 4,254,119 363,848 US Air, Inc. pass-through certificates Ser. 93-A2, 9 5/8s, 2004 (In default) (NON) 109,154 -------------- 4,740,347 Automotive (0.4%) - ------------------------------------------------------------------------------- 400,000 American Axle & Manufacturing, Inc. company guaranty 9 3/4s, 2009 421,000 2,525,000 DaimlerChrysler NA Holding Corp. company guaranty 7.2s, 2009 2,844,731 2,785,000 DaimlerChrysler NA Holding Corp. company guaranty Ser. D, 3.4s, 2004 2,823,346 2,120,000 Ford Motor Co. debs. 9.98s, 2047 2,670,963 1,410,000 Ford Motor Co. notes 7.45s, 2031 1,431,476 3,835,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 4,216,306 1,295,000 General Motors Acceptance Corp. bonds 8s, 2031 1,420,103 3,735,000 General Motors Acceptance Corp. notes Ser. MTN, 5.36s, 2004 3,801,819 1,020,000 Lear Corp. company guaranty Ser. B, 8.11s, 2009 1,188,300 1,540,000 SPX Corp. sr. notes 6 1/4s, 2011 1,586,200 -------------- 22,404,244 Banking (1.1%) - ------------------------------------------------------------------------------- 1,055,000 Allfirst Financial, Inc. sub. notes 7.2s, 2007 1,177,776 405,000 Bank of New York Co., Inc. (The) sr. sub. notes FRN 3.4s, 2013 398,070 1,785,000 Bank One Corp. sub. debs. 8s, 2027 2,285,198 515,000 Bank One Corp. sub. debs. 7 5/8s, 2026 628,234 2,355,000 Bank One Corp. sub. notes 7.6s, 2007 2,678,118 7,190,000 Bank United Corp. notes Ser. A, 8s, 2009 8,554,346 350,000 Bank United Corp. sub. notes 8 7/8s, 2007 414,175 1,930,000 Barclays Bank PLC 144A FRN 6.86s, 2049 (United Kingdom) 2,136,358 545,000 Capital One Bank notes 6 1/2s, 2013 589,505 385,000 Capital One Bank notes Ser. BKNT, 4 7/8s, 2008 401,552 470,000 Capital One Bank sr. notes Ser. BKNT, 6.7s, 2008 521,845 1,035,000 Countrywide Capital III company guaranty Ser. B, 8.05s, 2027 1,217,222 1,035,000 Credit Suisse First Boston USA, Inc. notes 5 1/2s, 2013 1,074,798 1,620,000 First Chicago NBD Corp. sub. notes 6 3/8s, 2009 1,843,929 3,760,000 First Union National Bank sub. notes 7.8s, 2010 4,557,116 935,000 Fleet Capital Trust V bank guaranty FRN 2.17s, 2028 922,531 410,000 FleetBoston Financial Corp. notes 7 1/4s, 2005 444,922 2,300,000 HSBC Capital Funding LP 144A bank guaranty FRB 9.547s, 2049 (Jersey) 2,940,651 2,645,000 HSBC Capital Funding LP 144A bank guaranty FRB 4.61s, 2049 (Jersey) 2,513,816 1,455,000 Merita Bank, Ltd. sub. notes 6 1/2s, 2006 (Finland) 1,568,235 1,095,000 National City Bank bonds 4 5/8s, 2013 1,085,126 5,540,000 NB Capital Trust IV company guaranty 8 1/4s, 2027 6,495,351 815,000 Nordea Bank Finland PLC sub. notes 6 1/2s, 2009 (Finland) 914,547 2,520,000 Peoples Bank - Bridgeport sub. notes 7.2s, 2006 2,744,025 2,345,000 PNC Funding Corp. bonds 5 1/4s, 2015 2,352,928 1,200,000 Popular North America, Inc. sub. notes 3 7/8s, 2008 1,203,749 80,000 Rabobank Capital Funding II 144A bonds 5.26s, 2049 80,890 2,745,000 Royal Bank of Scotland Group PLC FRB 7.648s, 2031 (United Kingdom) 3,324,028 2,855,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 3,405,321 1,270,000 Suncorp-Metway, Ltd. 144A FRB 3 1/2s, 2013 (Australia) 1,250,252 3,020,000 UBS AG/Jersey Branch FRN 4.17s, 2008 (United Kingdom) 3,050,200 1,345,000 UBS Preferred Funding Trust I FRB 8.622s, 2049 1,663,941 1,010,000 Westpac Capital Trust III 144A sub. notes FRN 5.819s, 2013 1,056,127 -------------- 65,494,882 Beverage (0.1%) - ------------------------------------------------------------------------------- 235,000 Constellation Brands, Inc. company guaranty 8 1/2s, 2009 244,988 2,000,000 Diageo PLC company guaranty 8s, 2022 (United Kingdom) 2,504,650 1,380,000 Miller Brewing Co. 144A notes 5 1/2s, 2013 1,434,352 2,605,000 PepsiAmericas, Inc. notes Ser. MTN, 3 7/8s, 2007 2,666,240 -------------- 6,850,230 Broadcasting (0.2%) - ------------------------------------------------------------------------------- 1,355,000 Chancellor Media Corp. company guaranty 8s, 2008 1,568,413 740,000 News America Holdings, Inc. company guaranty 9 1/4s, 2013 957,374 1,930,000 News America Holdings, Inc. debs. 7 3/4s, 2045 2,301,112 1,900,000 News America Holdings, Inc. debs. 7.7s, 2025 2,222,367 75,000 News America, Inc. company guaranty 4 3/4s, 2010 76,909 1,420,000 News America, Inc. sr. notes 6 5/8s, 2008 1,576,007 1,955,000 Viacom, Inc. company guaranty 7.7s, 2010 2,351,949 -------------- 11,054,131 Cable Television (0.3%) - ------------------------------------------------------------------------------- 561,000 AT&T Broadband Corp. company guaranty 8 3/8s, 2013 689,122 2,150,000 Comcast Corp. company guaranty 7.05s, 2033 2,359,081 890,000 Comcast Corp. company guaranty 5.85s, 2010 959,676 1,305,000 Cox Communications, Inc. notes 7 3/4s, 2010 1,554,695 945,000 Cox Enterprises, Inc. 144A notes 8s, 2007 1,081,440 3,070,000 Jones Intercable, Inc. sr. notes 7 5/8s, 2008 3,522,263 1,485,000 Liberty Media Corp. debs. 8 1/2s, 2029 1,795,693 1,330,000 Liberty Media Corp. sr. notes 5.7s, 2013 1,346,500 1,400,000 Rogers Cable Inc. sec. notes 6 1/4s, 2013 (Canada) 1,449,000 3,200,000 TCI Communications, Inc. debs. 7 7/8s, 2013 3,811,030 1,380,000 USA Interactive notes 7s, 2013 1,532,921 -------------- 20,101,421 Chemicals (0.2%) - ------------------------------------------------------------------------------- 1,270,000 Avery Dennison Corp. notes 4 7/8s, 2013 1,274,078 1,315,000 Dow Chemical Co. (The) debs. 8.55s, 2009 1,601,571 2,195,000 Dow Chemical Co. (The) notes 5 3/4s, 2009 2,371,168 685,000 Eastman Chemical Co. notes 3 1/4s, 2008 664,496 1,917,000 Hercules, Inc. company guaranty 11 1/8s, 2007 2,319,570 450,000 ICI Wilmington, Inc. company guaranty 5 5/8s, 2013 462,780 1,150,000 ICI Wilmington, Inc. company guaranty 4 3/8s, 2008 1,157,455 2,027,000 ISP Chemco, Inc. company guaranty Ser. B, 10 1/4s, 2011 2,249,970 680,000 Millennium America, Inc. company guaranty 9 1/4s, 2008 741,200 1,080,000 Millennium America, Inc. company guaranty 7s, 2006 1,112,400 730,000 Monsanto Co. notes 4s, 2008 733,001 240,000 Monsanto Co. sr. notes 7 3/8s, 2012 277,562 465,000 Praxair, Inc. notes 6 3/8s, 2012 522,766 -------------- 15,488,017 Coal (--%) - ------------------------------------------------------------------------------- 1,505,000 Arch Western Finance, LLC 144A sr. notes 6 3/4s, 2013 1,565,200 Commercial and Consumer Services (--%) - ------------------------------------------------------------------------------- 1,600,000 Deluxe Corp. notes 5s, 2012 1,641,878 Computers (--%) - ------------------------------------------------------------------------------- 695,000 SunGard Data Systems, Inc. 144A bonds 4 7/8s, 2014 688,236 Conglomerates (0.1%) - ------------------------------------------------------------------------------- 2,280,000 Textron Financial Corp. notes 6s, 2009 2,514,977 1,235,000 Tyco International Group SA company guaranty 7s, 2028 (Luxembourg) 1,303,618 2,425,000 Tyco International Group SA company guaranty 6 3/4s, 2011 (Luxembourg) 2,659,568 -------------- 6,478,163 Consumer Finance (0.2%) - ------------------------------------------------------------------------------- 720,000 Capital One Financial Corp. notes 7 1/4s, 2006 778,710 2,310,000 Countrywide Home Loans, Inc. company guaranty Ser. K, 5 5/8s, 2007 2,497,863 4,025,000 Household Finance Corp. notes 7s, 2012 4,633,685 1,820,000 Household Finance Corp. notes 6 3/4s, 2011 2,067,673 2,895,000 Household Finance Corp. sr. unsub. 5 7/8s, 2009 3,162,388 -------------- 13,140,319 Consumer Goods (--%) - ------------------------------------------------------------------------------- 1,385,000 Johnson (SC) & Son, Inc. 144A bonds 5 3/4s, 2033 1,358,150 1,550,000 Procter & Gamble Co. bonds 5 1/2s, 2034 1,525,355 -------------- 2,883,505 Containers (0.1%) - ------------------------------------------------------------------------------- 1,283,000 Owens-Brockway Glass company guaranty 8 7/8s, 2009 1,404,885 750,000 Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012 825,000 845,000 Sealed Air Corp. 144A bonds 6 7/8s, 2033 907,286 800,000 Sealed Air Corp. 144A notes 5 5/8s, 2013 828,118 -------------- 3,965,289 Electric Utilities (1.4%) - ------------------------------------------------------------------------------- 485,000 AEP Texas Central Co. sr. notes Ser. D, 5 1/2s, 2013 504,586 2,015,000 Alabama Power Co. sr. notes Ser. S, 5 7/8s, 2022 2,087,118 275,000 American Electric Power Co., Inc. notes Ser. A, 6 1/8s, 2006 296,469 400,000 American Electric Power Co., Inc. sr. notes Ser. C, 5 3/8s, 2010 421,309 475,000 Appalachian Power Co. notes 3.6s, 2008 472,109 4,845,000 Arizona Public Services Co. sr. notes 6 3/4s, 2006 5,331,230 480,000 Carolina Power & Light Co. 1st mtge. 6 1/8s, 2033 493,456 1,760,000 CenterPoint Energy, Inc. sr. notes Ser. B, 7 1/4s, 2010 1,890,948 1,385,000 Cleveland Electric Illuminating Co. (The) 144A sr. notes 5.65s, 2013 1,381,179 735,000 Consumers Energy Co. bonds 6 1/4s, 2006 791,852 2,410,000 Consumers Energy Co. 144A 1st. mtge. 5 3/8s, 2013 2,445,605 975,000 Dayton Power & Light Co. (The) 144A 1st mtge. 5 1/8s, 2013 991,972 535,000 DPL, Inc. sr. notes 8 1/4s, 2007 596,525 1,140,000 DPL, Inc. sr. notes 6 7/8s, 2011 1,214,100 1,155,000 Duke Capital Corp. sr. notes Ser. A, 6 1/4s, 2005 1,205,663 3,535,000 Duke Energy Corp. 1st mtge. 5.3s, 2015 3,603,784 1,090,000 Enterprise Capital Trust II company guaranty FRB Ser. B, 2.383s, 2028 964,798 2,270,000 Exelon Corp. sr. notes 6 3/4s, 2011 2,557,673 1,450,000 Exelon Generation Co., LLC sr. notes 6.95s, 2011 1,654,288 2,475,000 FirstEnergy Corp. notes Ser. C, 7 3/8s, 2031 2,582,920 1,055,000 Florida Power & Light Co. 1st mtge. 5.95s, 2033 1,100,971 490,000 Florida Power & Light Co. 1st mtge. 5 5/8s, 2034 488,546 2,185,000 Monongahela Power Co. 1st mtge. 5s, 2006 2,220,506 2,735,000 National Rural Utilities Cooperative Finance Corp. coll. trust 6s, 2006 2,946,487 1,065,000 National Rural Utilities Cooperative Finance Corp. coll. trust 3 7/8s, 2008 1,083,718 1,650,000 National Rural Utilities Cooperative Finance Corp. coll. trust 3s, 2006 1,674,486 1,040,000 Nevada Power Co. 144A 2nd mtge. 9s, 2013 1,154,400 3,840,000 NiSource Finance Corp. company guaranty 7 7/8s, 2010 4,604,863 1,840,000 Northern States Power Co. mtge. Ser. B, 8s, 2012 2,268,939 820,000 Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033 946,158 1,365,000 Oncor Electric Delivery Co. sec. notes 6 3/8s, 2012 1,507,840 1,020,000 PacifiCorp Sinking Fund 1st mtge. 5.45s, 2013 1,067,616 470,000 Panhandle Eastern Pipe Line 144A notes 4.8s, 2008 486,419 1,715,000 Pepco Holdings, Inc. notes 5 1/2s, 2007 1,827,789 585,000 Potomac Edison Co. 1st mtge. 8s, 2024 581,344 1,431,718 Power Receivable Finance LLC 144A sr. notes 6.29s, 2012 1,515,503 1,850,000 PP&L Capital Funding, Inc. company guaranty Ser. D, 8 3/8s, 2007 2,106,593 555,000 Progress Energy, Inc. sr. notes 6 3/4s, 2006 601,301 2,060,000 Progress Energy, Inc. sr. notes 6.55s, 2004 2,067,978 165,000 Progress Energy, Inc. sr. notes 6.05s, 2007 178,298 7,810,000 PSI Energy, Inc. 1st mtge. Ser. EEE, 6.65s, 2006 8,512,325 570,000 Public Service Company of New Mexico sr. notes 4.4s, 2008 580,211 1,465,000 Public Service Electric & Gas Co. 1st mtge. FRN 6 3/8s, 2008 1,617,250 375,000 Public Services Co. of Colorado sr. notes Ser. A, 6 7/8s, 2009 426,228 510,000 Rochester Gas & Electric notes 6 3/8s, 2033 525,875 875,000 South Carolina Electric & Gas Co. 1st mtge. 5.3s, 2033 823,583 770,000 Southern California Edison Co. 1st mtge. 6s, 2034 774,783 520,000 Southern California Edison Co. 1st mtge. 5s, 2014 522,576 1,345,000 Southwestern Public Service Co. 144A bonds 6s, 2033 1,349,864 660,000 Tampa Electric Co. notes 6 7/8s, 2012 734,628 835,000 TXU Energy Co. sr. notes 7s, 2013 930,997 400,000 TXU Energy Co. sr. notes 6 1/8s, 2008 427,966 1,170,000 Virginia Electric & Power Co. sr. notes 4 3/4s, 2013 1,163,709 1,373,000 Western Resources, Inc. sr. notes 9 3/4s, 2007 1,596,113 950,000 XCEL Energy, Inc. sr. notes 3.4s, 2008 932,026 -------------- 82,835,473 Electronics (0.1%) - ------------------------------------------------------------------------------- 1,710,000 Arrow Electronics, Inc. notes 6 7/8s, 2013 1,830,756 1,520,000 Jabil Circuit, Inc. sr. notes 5 7/8s, 2010 1,613,699 390,000 Motorola, Inc. notes 7 5/8s, 2010 455,689 425,000 Motorola, Inc. notes 6 3/4s, 2006 456,931 -------------- 4,357,075 Energy (0.1%) - ------------------------------------------------------------------------------- 548,000 BRL Universal Equipment sec. notes 8 7/8s, 2008 593,210 650,000 Halliburton Co. notes Ser. MTN, 5 5/8s, 2008 690,033 1,300,000 Halliburton Co. 144A notes 5 1/2s, 2010 1,367,125 536,000 Pride Petroleum Services, Inc. sr. notes 9 3/8s, 2007 552,080 1,180,000 Schlumberger Technology Corp. 144A notes 6 1/2s, 2012 1,326,427 1,870,000 Transocean Sedco Forex, Inc. notes 6 5/8s, 2011 2,092,365 650,000 Weatherford International, Ltd. notes 4.95s, 2013 (Bermuda) 645,501 -------------- 7,266,741 Financial (1.3%) - ------------------------------------------------------------------------------- 1,310,000 Ace INA Holdings, Inc. company guaranty 8.3s, 2006 1,479,076 6,320,000 ASIF Global Financing 144A notes 3.85s, 2007 6,436,991 1,525,000 Associates Corp. NA sr. notes Ser. 8, 7 3/8s, 2007 1,730,723 3,165,000 Associates First Capital Corp. debs. 6.95s, 2018 3,679,961 3,770,000 Associates First Capital Corp. sr. notes 6 1/4s, 2008 4,192,368 4,065,000 Associates First Capital Corp. sub. debs. 8.15s, 2009 4,878,939 1,250,000 AXA Financial, Inc. sr. notes 7 3/4s, 2010 1,481,865 2,125,000 CIT Group, Inc. sr. notes 5 1/2s, 2007 2,276,810 2,235,000 CIT Group, Inc. sr. notes Ser. MTN, 6 7/8s, 2009 2,526,594 1,555,000 CIT Group, Inc. sr. sub. notes 4 1/8s, 2006 1,609,616 1,925,000 Citigroup, Inc. debs. 6 5/8s, 2028 2,127,196 2,865,000 Citigroup, Inc. sub. notes 7 1/4s, 2010 3,350,615 1,545,000 Executive Risk Capital Trust company guaranty Class B, 8.675s, 2027 1,777,158 1,300,000 Fund American Cos. Inc. notes 5 7/8s, 2013 1,323,989 1,795,000 General Electric Capital Corp. company guaranty 7 7/8s, 2006 2,050,398 565,000 General Electric Capital Corp. notes Ser. A, 6 3/4s, 2032 637,240 830,000 General Electric Capital Corp. notes Ser. A, 6s, 2012 907,759 1,340,000 General Electric Capital Corp. notes Ser. MTN, 3 1/4s, 2009 1,311,517 955,000 General Electric Capital Corp. notes Ser. MTNA, 6 1/8s, 2011 1,056,081 890,000 Hartford Financial Services Group, Inc. (The) sr. notes 7.9s, 2010 1,062,789 1,685,000 Hartford Life, Inc. sr. notes 7 3/8s, 2031 2,005,930 760,000 Heller Financial, Inc. notes 7 3/8s, 2009 895,009 1,370,000 ING Capital Funding Trust III company guaranty FRB 8.439s, 2010 1,663,232 1,585,000 International Lease Finance Corp. notes 4.35s, 2008 1,623,294 1,470,000 John Hancock Financial Services, Inc. sr. notes 5 5/8s, 2008 1,586,552 765,000 John Hancock Global Funding II 144A notes 7.9s, 2010 914,245 8,205,000 Liberty Mutual Insurance 144A notes 7.697s, 2097 7,814,811 680,000 Metlife, Inc. sr. notes 6 1/8s, 2011 748,566 465,000 Nationwide Financial Services, Inc. notes 5 5/8s, 2015 488,111 375,000 Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031 456,634 710,000 OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033 735,314 1,515,000 Principal Life Global Funding I 144A sec. notes 5 1/4s, 2013 1,547,918 865,000 Protective Life Corp. notes 4.3s, 2013 827,289 210,000 Prudential Financial, Inc. notes Ser. MTNB, 4 1/2s, 2013 202,383 1,745,000 Prudential Insurance Co. 144A notes 8.3s, 2025 2,160,329 1,585,000 St. Paul Co., Inc. (The) sr. notes 5 3/4s, 2007 1,705,033 935,000 State Street Capital Trust II FRN 1.68s, 2008 941,979 2,115,000 Sun Life Canada Capital Trust 144A company guaranty 8.526s, 2049 2,506,023 565,000 Travelers Property Casualty Corp. sr. notes 3 3/4s, 2008 569,841 1,730,000 USF&G Capital I 144A company guaranty 8 1/2s, 2045 2,089,096 620,000 XL Capital Europe PLC company guaranty 6 1/2s, 2012 (United Kingdom) 678,835 -------------- 78,058,109 Food (0.4%) - ------------------------------------------------------------------------------- 2,070,000 Cadbury Schweppes US Finance LLC 144A notes 3 7/8s, 2008 2,077,365 3,520,000 Campbell Soup Co. notes 6 3/4s, 2011 4,028,003 1,130,000 ConAgra, Inc. notes 7 7/8s, 2010 1,354,654 2,475,000 ConAgra, Inc. notes 6s, 2006 2,672,374 810,000 Dean Foods Co. sr. notes 8.15s, 2007 882,900 1,375,000 Hormel Foods Corp. notes 6 5/8s, 2011 1,572,952 5,245,000 Kraft Foods, Inc. notes 4 5/8s, 2006 5,497,636 2,560,000 Tyson Foods, Inc. notes 8 1/4s, 2011 2,998,546 810,000 Tyson Foods, Inc. notes 7 1/4s, 2006 887,321 790,000 Tyson Foods, Inc. notes 7s, 2018 853,978 -------------- 22,825,729 Forest Products and Packaging (--%) - ------------------------------------------------------------------------------- 465,000 Packaging Corp. of America notes 5 3/4s, 2013 477,108 Gaming & Lottery (0.2%) - ------------------------------------------------------------------------------- 810,000 GTECH Holdings Corp. 144A notes 4 3/4s, 2010 829,022 935,000 International Game Technology sr. notes 8 3/8s, 2009 1,122,819 1,330,000 International Game Technology sr. notes 7 7/8s, 2004 1,351,695 600,000 MGM Mirage, Inc. company guaranty 9 3/4s, 2007 690,000 1,605,000 MGM Mirage, Inc. company guaranty 8 3/8s, 2011 1,845,750 1,320,000 Mohegan Tribal Gaming Authority sr. notes 8 1/8s, 2006 1,412,400 390,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/8s, 2011 429,000 270,000 Mohegan Tribal Gaming Authority sr. sub. notes 6 3/8s, 2009 281,475 740,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 823,250 705,000 Park Place Entertainment Corp. sr. sub. notes 9 3/8s, 2007 798,413 -------------- 9,583,824 Health Care (--%) - ------------------------------------------------------------------------------- 265,000 HCA, Inc. sr. notes 7 7/8s, 2011 305,714 495,000 HCA, Inc. sr. notes 6.95s, 2012 541,652 -------------- 847,366 Homebuilding (0.2%) - ------------------------------------------------------------------------------- 1,350,000 D.R. Horton, Inc. company guaranty 8s, 2009 1,518,750 490,000 D.R. Horton, Inc. sr. notes 6 7/8s, 2013 525,525 1,725,000 D.R. Horton, Inc. sr. notes 5 7/8s, 2013 1,725,000 2,652,000 K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014 2,665,260 20,000 Lennar Corp. company guaranty Ser. B, 9.95s, 2010 23,025 973,000 Lennar Corp. sr. notes 7 5/8s, 2009 1,124,816 1,990,000 Pulte Homes, Inc. company guaranty 7 7/8s, 2011 2,353,931 -------------- 9,936,307 Investment Banking/Brokerage (0.2%) - ------------------------------------------------------------------------------- 2,365,000 Bear Stearns Cos., Inc. (The) notes 7.8s, 2007 2,737,071 1,610,000 Goldman Sachs Group, Inc. (The) notes 6 1/8s, 2033 1,636,354 770,000 Goldman Sachs Group, Inc. (The) notes 4 3/4s, 2013 754,731 4,410,000 JPMorgan Chase & Co. notes 5.35s, 2007 4,727,855 500,000 JPMorgan Chase & Co. sr. notes 3 5/8s, 2008 503,532 2,700,000 JPMorgan Chase & Co. sub. notes 5 3/4s, 2013 2,891,795 540,000 Merrill Lynch & Co., Inc. notes Ser. B, 4 3/4s, 2009 566,549 1,270,000 Morgan Stanley Tracers notes 4 1/4s, 2010 1,276,908 -------------- 15,094,795 Lodging/Tourism (0.1%) - ------------------------------------------------------------------------------- 1,995,000 Cendant Corp. notes 6 1/4s, 2010 2,178,125 900,000 Hilton Hotels Corp. notes 8 1/4s, 2011 1,035,000 465,000 Hilton Hotels Corp. notes 7 5/8s, 2012 520,800 621,000 Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 3/8s, 2007 666,023 -------------- 4,399,948 Machinery (0.1%) - ------------------------------------------------------------------------------- 1,270,000 John Deere Capital Corp. sr. notes Ser. D, 3 1/8s, 2005 1,291,759 1,720,000 Kennametal, Inc. sr. notes 7.2s, 2012 1,879,301 -------------- 3,171,060 Manufacturing (--%) - ------------------------------------------------------------------------------- 265,000 Bunge Ltd. Finance Corp. company guaranty 7.8s, 2012 308,280 420,000 Bunge Ltd. Finance Corp. notes 5 7/8s, 2013 428,791 905,000 Bunge Ltd. Finance Corp. 144A notes 4 3/8s, 2008 918,883 -------------- 1,655,954 Media (0.2%) - ------------------------------------------------------------------------------- 2,325,000 Time Warner, Inc. bonds 7 5/8s, 2031 2,671,209 2,520,000 Time Warner, Inc. debs. 9.15s, 2023 3,290,493 4,090,000 Time Warner, Inc. debs. 9 1/8s, 2013 5,221,306 915,000 Time Warner, Inc. notes 8.18s, 2007 1,056,734 -------------- 12,239,742 Medical Services (--%) - ------------------------------------------------------------------------------- 650,000 AmerisourceBergen Corp. company guaranty 7 1/4s, 2012 695,500 476,000 AmerisourceBergen Corp. sr. notes 8 1/8s, 2008 533,120 1,608,000 Multicare Companies, Inc. sr. sub. notes 9s, 2007 (In default) (NON) 2 1,446,000 Service Corp. International notes 6s, 2005 1,485,765 -------------- 2,714,387 Metals (0.1%) - ------------------------------------------------------------------------------- 2,750,000 Alcoa, Inc. notes 6 1/2s, 2011 3,111,603 1,205,000 Falconbridge, Ltd. bonds 5 3/8s, 2015 (Canada) 1,206,828 575,000 WMC Finance USA company guaranty 6 1/4s, 2033 (Australia) 595,866 995,000 WMC Finance USA company guaranty 5 1/8s, 2013 (Australia) 1,003,627 -------------- 5,917,924 Natural Gas Utilities (0.2%) - ------------------------------------------------------------------------------- 260,000 CenterPoint Energy Resources Corp. debs. 8.9s, 2006 294,161 1,025,000 CenterPoint Energy Resources Corp. notes 7 3/4s, 2011 1,148,737 1,835,000 Duke Energy Field Services, LLC notes 7 7/8s, 2010 2,180,565 910,000 KeySpan Corp. notes 7 5/8s, 2010 1,091,336 1,860,000 Kinder Morgan, Inc. sr. notes 6 1/2s, 2012 2,065,451 545,000 National Fuel Gas Co. notes 5 1/4s, 2013 563,222 1,595,000 Sempra Energy notes 7.95s, 2010 1,898,340 590,000 TransCanada Pipelines, Ltd. notes 4s, 2013 (Canada) 554,887 -------------- 9,796,699 Oil & Gas (0.4%) - ------------------------------------------------------------------------------- 565,000 Anadarko Finance Co. company guaranty Ser. B, 6 3/4s, 2011 647,001 3,130,000 Conoco Funding Co. company guaranty 6.35s, 2011 3,526,136 2,890,000 Louis Dreyfus Natural Gas Corp. notes 6 7/8s, 2007 3,197,649 1,140,000 MidAmerican Energy Holdings Co. sr. notes 4 5/8s, 2007 1,180,622 245,000 MidAmerican Energy Holdings Co. sr. notes 3 1/2s, 2008 241,411 1,780,000 Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012 1,831,458 370,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 414,400 1,000,000 Nexen, Inc. notes 7 7/8s, 2032 (Canada) 1,230,075 885,000 Nexen, Inc. notes 5.05s, 2013 (Canada) 885,220 1,910,000 Noble Affiliates, Inc. sr. notes 8s, 2027 2,254,161 1,140,000 Ocean Energy, Inc. company guaranty 7 1/4s, 2011 1,324,967 820,000 Petro-Canada, Ltd. bonds 5.35s, 2033 (Canada) 745,142 1,525,000 Phillips Petroleum Co. notes 8 3/4s, 2010 1,915,960 2,935,000 Union Oil Co. of California company guaranty 7 1/2s, 2029 3,471,172 599,000 Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012 664,890 733,000 Westport Resources Corp. company guaranty 8 1/4s, 2011 806,300 -------------- 24,336,564 Pharmaceuticals (0.1%) - ------------------------------------------------------------------------------- 2,935,000 American Home Products Corp. notes 6.95s, 2011 3,332,285 845,000 Bayer Corp. 144A FRB 6.2s, 2008 917,155 790,000 Wyeth bonds 6 1/2s, 2034 822,456 -------------- 5,071,896 Power Producers (--%) - ------------------------------------------------------------------------------- 717,431 York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (NON) 502,202 Railroads (0.2%) - ------------------------------------------------------------------------------- 2,180,000 CSX Corp. notes 6 1/4s, 2008 2,402,711 1,040,000 CSX Corp. notes 4 7/8s, 2009 1,076,942 1,075,000 Norfolk Southern Corp. sr. notes 7 1/4s, 2031 1,234,474 2,055,000 Union Pacific Corp. notes 7 3/8s, 2009 2,395,733 940,000 Union Pacific Corp. notes 6.65s, 2011 1,070,971 885,000 Union Pacific Corp. notes 6 5/8s, 2008 983,022 -------------- 9,163,853 Real Estate (0.3%) - ------------------------------------------------------------------------------- 3,535,000 Archstone-Smith Operating Trust notes 5s, 2007 (R) 3,715,747 650,000 CenterPoint Properties Trust notes Ser. MTN, 4 3/4s, 2010 646,974 1,320,000 Developers Diversified Realty Corp. notes 4 5/8s, 2010 1,319,312 1,540,000 EOP Operating LP sr. notes 7s, 2011 1,761,830 2,730,000 Franchise Finance Corp. of America sr. notes 8 3/4s, 2010 (R) 3,454,837 1,690,000 Hospitality Properties Trust notes 6 3/4s, 2013 (R) 1,786,600 530,000 HRPT Properties Trust bonds 5 3/4s, 2014 (R) 536,209 410,000 HRPT Properties Trust sr. notes 6.7s, 2005 (R) 426,211 282,000 iStar Financial, Inc. sr. notes 8 3/4s, 2008 (R) 322,185 1,050,000 iStar Financial, Inc. sr. notes 7s, 2008 (R) 1,134,000 680,000 iStar Financial, Inc. sr. notes 6s, 2010 (R) 702,100 1,375,000 Kimco Realty Corp. notes Ser. MTNC, 5.19s, 2013 1,390,155 445,000 Rouse Co. (The) notes 5 3/8s, 2013 445,947 2,575,000 Tanger Properties, Ltd. company guaranty 7 7/8s, 2004 2,652,250 1,045,000 Vornado Realty Trust notes 4 3/4s, 2010 1,045,868 -------------- 21,340,225 Regional Bells (0.2%) - ------------------------------------------------------------------------------- 200,000 Ameritech Capital Funding company guaranty 6 1/4s, 2009 220,228 1,020,000 Bellsouth Capital Funding notes 7 3/4s, 2010 1,208,917 440,000 SBC Communications, Inc. notes 5 7/8s, 2012 470,061 595,000 Telus Corp. notes 8s, 2011 (Canada) 701,858 1,515,000 Telus Corp. notes 7 1/2s, 2007 (Canada) 1,696,571 2,705,000 Verizon Global Funding Corp. notes 7 1/4s, 2010 3,118,175 2,045,000 Verizon New England Inc. sr. notes 6 1/2s, 2011 2,274,600 670,000 Verizon Virginia Inc. debs. Ser. A, 4 5/8s, 2013 648,622 -------------- 10,339,032 Retail (0.2%) - ------------------------------------------------------------------------------- 2,035,000 Albertsons, Inc. sr. notes 7 1/2s, 2011 2,343,130 1,806,831 CVS Corp. 144A pass-through certificates 6.117s, 2013 1,991,213 2,020,000 Federated Department Stores, Inc. sr. notes 8 1/2s, 2010 2,505,438 1,385,000 Fred Meyer, Inc. Holding Co. company guaranty 7.45s, 2008 1,579,738 1,333,000 JC Penney Co., Inc. notes 7.6s, 2007 1,472,965 1,190,000 RadioShack Corp. notes 7 3/8s, 2011 1,395,907 1,845,000 Sears Roebuck Acceptance FRN Ser. MTN, 3.18s, 2004 1,846,986 335,000 Sears Roebuck Acceptance FRN Ser. MTN, 3.07s, 2004 335,093 -------------- 13,470,470 Shipping (--%) - ------------------------------------------------------------------------------- 11,184 Aran Shipping & Trading SA notes 8.3s, 2005 (Greece) (In default) (NON) 1 Software (--%) - ------------------------------------------------------------------------------- 715,000 Computer Associates International, Inc. sr. notes Ser. B, 6 3/8s, 2005 747,866 Technology Services (0.1%) - ------------------------------------------------------------------------------- 1,410,000 Electronic Data Systems Corp. sec. sr. notes Ser. B, 6s, 2013 1,416,466 645,000 Fiserv, Inc. notes 4s, 2008 649,932 1,465,000 Science Applications International Corp. notes 5 1/2s, 2033 1,357,638 -------------- 3,424,036 Telecommunications (1.1%) - ------------------------------------------------------------------------------- 1,515,000 AT&T Corp. sr. notes 8 3/4s, 2031 1,771,520 1,705,000 AT&T Corp. sr. notes 8.05s, 2011 1,975,120 715,000 AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031 906,080 3,125,000 AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011 3,645,369 1,995,000 British Telecommunications PLC bonds 8 7/8s, 2030 (United Kingdom) 2,603,804 5,010,000 British Telecommunications PLC notes 8 3/8s, 2010 (United Kingdom) 6,074,722 4,415,000 Cingular Wireless, LLC sr. notes 5 5/8s, 2006 4,725,909 880,000 Citizens Communications Co. notes 9 1/4s, 2011 1,045,084 2,025,000 Deutsche Telekom International Finance BV bonds 8 1/2s, 2010 (Netherlands) 2,445,827 3,545,000 Deutsche Telekom International Finance BV company guaranty 8 3/4s, 2030 (Netherlands) 4,520,832 1,540,000 Deutsche Telekom International Finance BV notes 5 1/4s, 2013 (Netherlands) 1,556,452 1,450,000 France Telecom notes 10s, 2031 (France) 1,910,281 3,365,000 France Telecom notes 7 3/4s, 2011 (France) 4,050,427 1,085,000 Koninklijke (Royal) KPN NV sr. unsub. notes 8 3/8s, 2030 (Netherlands) 1,398,441 505,000 Koninklijke (Royal) KPN NV sr. unsub. notes 8s, 2010 (Netherlands) 605,225 1,515,000 Sprint Capital Corp. company guaranty 8 3/4s, 2032 1,839,895 2,455,000 Sprint Capital Corp. company guaranty 7 5/8s, 2011 2,789,965 2,100,000 Sprint Capital Corp. company guaranty 6 7/8s, 2028 2,107,169 1,355,000 Sprint Capital Corp. company guaranty 6 1/8s, 2008 1,447,873 2,500,000 Telecom Italia Capital 144A company guaranty 6 3/8s, 2033 (Luxembourg) 2,493,073 1,165,000 Telecom Italia Capital 144A company guaranty 5 1/4s, 2013 (Luxembourg) 1,167,891 1,610,000 Telecom Italia Capital 144A company guaranty 4s, 2008 (Luxembourg) 1,605,553 775,000 United States Cellular Corp. notes 6.7s, 2033 791,618 6,050,000 Verizon Wireless, Inc. notes 5 3/8s, 2006 6,467,762 2,150,000 Vodafone Group PLC notes 7 7/8s, 2030 (United Kingdom) 2,642,986 1,705,000 Vodafone Group PLC notes 7 5/8s, 2005 (United Kingdom) 1,810,204 -------------- 64,399,082 Telephone (--%) - ------------------------------------------------------------------------------- 1,655,000 Telefonica Europe BV company guaranty 7 3/4s, 2010 (Netherlands) 1,960,253 Tobacco (--%) - ------------------------------------------------------------------------------- 790,000 Philip Morris Cos., Inc. debs. 7 3/4s, 2027 870,721 Waste Management (--%) - ------------------------------------------------------------------------------- 2,245,000 Allied Waste North America, Inc. sr. notes 7 7/8s, 2013 2,447,050 4,000 Browning-Ferris Industries, Inc. debs. 7.4s, 2035 3,900 -------------- 2,450,950 -------------- Total Corporate bonds and notes (cost $587,732,330) $616,624,287 Collateralized mortgage obligations (5.0%) (a) Principal amount Value - ------------------------------------------------------------------------------- Asset Securitization Corp. $2,000,000 Ser. 97-MD7, Class A1B, 7.41s, 2030 $2,195,304 4,670,500 Ser. 97-D5, Class A1C, 6 3/4s, 2043 5,172,150 129,407,082 Banc of America Large Loan 144A Ser. 03-BBA2, Class X1A, Interest Only (IO), 0.82s, 2015 1,516,522 Chase Commercial Mortgage Securities Corp. 2,925,614 Ser. 00-1, Class A1, 7.656s, 2032 3,049,610 377,927 Ser. 98-1, Class A1, 6.34s, 2030 384,186 4,937,500 Commercial Mortgage Acceptance Corp. Ser. 97-ML1, Class A3, 6.57s, 2007 5,394,990 9,485,000 Criimi Mae Commercial Mortgage Trust Ser. 98-C1, Class A2, 7s, 2011 10,685,445 3,385,000 Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1, Class B, 7s, 2033 3,505,243 1,460,143 Entertainment Properties Trust 144A Ser. 03-EPR, Class A1, 4.239s, 2018 1,461,975 Fannie Mae 3,526,000 Ser. 04-10, Class QC, 28.6s, 2034 4,429,538 2,966,385 Ser. 02-36, Class SJ, 17 3/8s, 2029 3,298,338 1,000 Ser. 92-15, Class L, IO, 10.37s, 2022 12,902 344,095 Ser. 02-T18, Class A4, 7 1/2s, 2042 376,582 2,944,393 Ser. 03-W3, Class 1A3, 7 1/2s, 2042 3,222,382 3,736,418 Ser. 02-T16, Class A3, 7 1/2s, 2042 4,089,185 3,525,256 Ser. 02-T19, Class A3, 7 1/2s, 2042 3,858,086 1,330,182 Ser. 03-W2, Class 1A3, 7 1/2s, 2042 1,455,768 6,524,750 Ser. 02-W4, Class A5, 7 1/2s, 2042 7,140,772 781,800 Ser. 02-W1, Class 2A, 7 1/2s, 2042 855,612 2,109,639 Ser. 02-14, Class A2, 7 1/2s, 2042 2,308,816 6,521,273 Ser. 01-T10, Class A2, 7 1/2s, 2041 7,136,966 1,279,125 Ser. 02-T4, Class A3, 7 1/2s, 2041 1,399,892 4,089,621 Ser. 01-T12, Class A2, 7 1/2s, 2041 4,475,734 4,662,338 Ser. 01-T8, Class A1, 7 1/2s, 2041 5,102,523 8,267,462 Ser. 01-T7, Class A1, 7 1/2s, 2041 9,048,019 448,529 Ser. 01-T3, Class A1, 7 1/2s, 2040 490,876 1,363,642 Ser. 01-T1, Class A1, 7 1/2s, 2040 1,492,388 546,793 Ser. 99-T2, Class A1, 7 1/2s, 2039 598,417 5,227,194 Ser. 00-T6, Class A1, 7 1/2s, 2030 5,720,710 125,178 Ser. 01-T5, Class A3, 7 1/2s, 2030 136,996 11,016,534 Ser. 01-T4, Class A1, 7 1/2s, 2028 12,056,639 1,695,782 Ser. 02-W3, Class A5, 7 1/2s, 2028 1,855,885 6,427,152 Ser. 02-36, Class QH, IO, 6.95s, 2029 410,566 540,378 Ser. 02-27, Class SQ, IO, 6.9s, 2032 11,314 8,747,551 Ser. 03-58, Class ID, IO, 6s, 2033 1,656,567 10,399,080 Ser. 03-63, Class IP, IO, 6s, 2033 2,141,561 30,357,878 Ser. 03-22, IO, 6s, 2033 6,147,470 6,157,479 Ser. 343, Class 14, IO, 5 1/2s, 2033 1,296,919 6,423,418 Ser. 343, Class 15, IO, 5 1/2s, 2033 1,358,954 2,941,378 Ser. 343, Class 17, IO, 5 1/2s, 2033 635,154 19,500,680 Ser. 329, Class 2, IO, 5 1/2s, 2033 4,332,817 48,300 Ser. 03-29, Class IG, IO, 5 1/2s, 2031 14,890 8,487,000 Ser. 03-8, Class IP, IO, 5 1/2s, 2028 864,374 6,932,316 Ser. 03-42, Class JI, IO, 5 1/2s, 2028 571,916 37,958,350 Ser. 03, Class PK, IO, 5 1/2s, 2026 3,143,426 7,261,826 Ser. 03-54, Class IY, IO, 5 1/2s, 2026 1,000,770 386,500 Ser. 03-17, IO, 5 1/2s, 2025 36,234 7,059,851 Ser. 343, Class 29, IO, 5s, 2033 1,090,968 11,778,560 Ser. 343, Class 5, IO, 5s, 2033 2,644,655 13,162,443 Ser. 343, Class 9, IO, 5s, 2033 3,087,004 4,720,609 Ser. 03-16, Class IC, IO, 5s, 2015 871,118 25,176,432 Ser. 03-W12, Class 2, IO, 2.24s, 2043 1,783,626 46,506,984 Ser. 03-W6, Class 11, IO, 2.16s, 2042 1,051,446 9,059,745 Ser. 03-W3, Class 2IO2, IO, 2.16s, 2042 219,111 18,700,987 Ser. 03-W10, Class 3, IO, 2.09s, 2043 1,154,202 74,920,921 Ser. 03-W10, Class 1, IO, 2.08s, 2043 4,495,255 42,482,970 Ser. 03-W6, Class 21, IO, 1.78s, 2042 624,564 4,259,654 Ser. 03-W10, Class 1A1, 1.701s, 2032 4,252,998 80,535,743 Ser. 03-W8, Class 12, IO, 1.65s, 2042 4,084,895 119,854,258Ser. 03-T2, Class 2, IO, 1 1/2s, 2042 3,630,462 61,986,338 Ser. 03-W8, Class 11, IO, 1.19s, 2042 852,903 35,152,856 Ser. 03-49, Class SV, IO, 1s, 2033 1,136,975 32,611,586 Ser. 03-W6, Class 51, IO, 0.67s, 2042 618,663 9,773,873 Ser. 03-W3, Class 2IO1, IO, 0.67s, 2042 206,390 77,334,270 Ser. 01-T12, Class IO, 0.57s, 2041 1,377,517 69,588,265 Ser. 03-W2, Class 1, IO, 0.47s, 2042 1,029,456 26,416,042 Ser. 02-T4, IO, 0.448s, 2041 367,348 87,671,437 Ser. 03-W3, Class 1, IO, 0.44s, 2042 1,190,616 63,884,820 Ser. 02-T1, IO, 0.42s, 2031 858,452 45,575,451 Ser. 03-W4, Class 3A, IO, 0.38s, 2042 662,268 48,281,056 Ser. 03-W6, Class 3, IO, 0.37s, 2042 527,900 49,760,630 Ser. 03-W6, Class 23, IO, 0.35s, 2042 522,539 12,546,863 Ser. 01-79, Class BI, IO, 0.342s, 2045 124,214 Federal Home Loan Mortgage Corp. Structured Pass-Through Securities 1,729,944 Ser. T-58, Class 4A, 7 1/2s, 2043 1,893,273 1,275,983 Ser. T-42, Class A5, 7 1/2s, 2042 1,396,453 1,676,468 Ser. 212, IO, 6s, 2031 271,640 30,756,117 Ser. T-56, Class A, IO, 1.95s, 2043 879,433 38,710,226 Ser. T-56, Class 3, IO, 0.38s, 2043 502,023 42,758,434 Ser. T-56, Class 1, IO, 0.28s, 2043 374,136 44,267,752 Ser. T-56, Class 2, IO, 0.06s, 2043 138,337 15,802,000 FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s, 2027 17,761,722 1,930,000 First Chicago Lennar Trust 144A Ser. 97-CHL1, Class D, 7.961s, 2039 2,020,771 6,670,000 First Union-Lehman Brothers Commercial Mortgage Trust II Ser. 97-C1, Class A3, 7.38s, 2029 7,371,391 Freddie Mac 8,442,902 Ser. 2437, Class SB, IO, 6.9s, 2032 865,397 247,751 Ser. 2422, Class IB, IO, 6 1/2s, 2028 1,316 6,651,533 Ser. 2469, Class SH, IO, 6.4s, 2032 615,267 7,242,381 Ser. 2581, Class IE, IO, 5 1/2s, 2025 1,213,099 573,325 Ser. 2626, Class JS, IO, 5 1/2s, 2023 51,241 6,981,900 Ser. 2553, Class IJ, IO, 5 1/2s, 2020 440,732 1,020,751 G-Force FRB Ser. 01-1A, Class A, 1.7s, 2033 (Cayman Islands) 1,020,706 G-Force CDO, Ltd. 144A 715,000 Ser. 02-1A, Class E, 8 1/4s, 2037 727,513 315,000 Ser. 02-1A, Class D, 7.61s, 2037 336,755 4,463,816 General Growth Properties-Mall Properties Trust FRB Ser. 01-C1A, Class D3, 3.35s, 2014 4,469,396 9,408,000 GMAC Commercial Mortgage Securities, Inc. Ser. 97-C2, Class A2, 6.55s, 2029 9,603,936 408,231 Government National Mortgage Association Ser. 98-2, Class EA, Principal Only (PO), zero %, 2028 358,159 Granite Mortgages PLC 2,970,000 FRN Ser. 01-1, Class 1C, 2.52s, 2041 (United Kingdom) 2,983,922 1,619,000 FRB Ser. 04-1, Class 1C, 2.008s, 2044 1,619,000 565,000 GS Mortgage Securities Corp. II 144A FRB Ser. 03-FL6A, Class L, 4.35s, 2015 565,177 13,365,000 Holmes Financing PLC FRB Ser. 1, Class 2C, 2.27s, 2040 (United Kingdom) 13,314,213 60,644 Housing Securities Inc. Ser. 94-1, Class AB1, 6 1/2s, 2009 59,781 13,094,564 JP Morgan Commercial Mortgage Finance Corp. Ser. 00-C9, Class A1, 7.59s, 2032 13,994,160 1,688,286 Lehman Brothers Floating Rate Commercial Mortgage Trust 144A FRB Ser. 03-C4, Class A, 1.71s, 2015 1,688,286 7,557,870 Merit Securities Corp. FRB Ser. 11PA, Class 3A1, 1.761s, 2027 7,215,995 Merrill Lynch Mortgage Investors, Inc. 248,250 Ser. 96-C2, Class A3, 6.96s, 2028 269,662 214,320 Ser. 98-C2, Class A1, 6.22s, 2030 218,070 1,470,151 Morgan Stanley Dean Witter Capital I Ser. 00-LIF2, Class A1, 6.96s, 2008 1,622,831 Morgan Stanley Dean Witter Capital I 144A 645,206 FRB Ser. 01-XLF, Class D, 2.64s, 2013 645,615 719,091 FRB Ser. 01-XLF, Class E, 2.59s, 2013 719,230 4,432,000 Nomura Asset Securities Corp. Ser. 96-MD5, Class A1B, 7.12s, 2039 4,789,343 Ryland Mortgage Securities Corp. 388,417 Ser. 94-7C, Class B1, 7.359s, 2025 388,417 479,628 Ser. 94-7C, Class B1, 7.359s, 2025 490,092 20,765,000 Salomon Brothers Mortgage Securities VII 144A Ser. 03-CDCA, Class X3CD, IO, 1.32s, 2015 526,497 1,767,000 Starwood Asset Receivables Trust FRN Ser. 02-1A, Class F, 2. 435s, 2020 1,771,418 Starwood Asset Receivables Trust 144A 650,000 FRB Ser. 03-1A, Class F, 2.2s, 2022 651,625 825,000 FRB Ser. 03-1A, Class E, 2.15s, 2022 827,063 Structured Asset Securities Corp. 144A 2,800,000 FRB Ser. 03-NP2, Class A2, 1.65s, 2032 2,796,063 3,020,805 FRN Ser. 03-NP3, Class A1, 1.60s, 2033 3,020,805 1,120,774 TIAA Commercial Real Estate Securitization Ser. 01-C1A, Class A1, 5.77s, 2016 (Cayman Islands) 1,179,440 9,115,339 TIAA Real Estate CDO, Ltd. 144A Ser. 99-1, Class A, 7.17s, 2032 (Cayman Islands) 9,903,162 718,000 Trizechahn Office Properties Trust 144A Ser. 01-TZHA, Class D3, 6.943s, 2013 770,869 -------------- Total Collateralized mortgage obligations (cost $299,645,796) $300,360,360 Asset-backed securities (4.8%) (a) Principal amount Value - ------------------------------------------------------------------------------- $893,000 AABST 144A Ser. 04-1N, 5s, 2034 $893,000 Aames Mortgage Trust 17,187,000 Ser. 03-1, Class A, IO, 6s, 2005 996,202 1,504,000 FRN Ser. 03-1, Class M6, 4.1s, 2033 1,431,268 845,629 ABSC NIMS Trust 144A Ser. 03-HE7, Class A, 7s, 2033 830,831 6,157,000 Ace Securities Corp. Ser. 03-FM1, Class A, IO, 5 1/2s, 2005 421,139 3,338,801 Advanta Mortgage Loan Trust Ser. 00-1, Class A4, 8.61s, 2028 3,521,392 7,496,628 AFC Home Equity Loan Trust Ser. 99-2, Class 1A, 1.51s, 2029 7,496,628 Ameriquest Mortgage Securities, Inc. 8,194,000 Ser. 03-12, Class S, IO, 5s, 2006 547,974 13,296,000 Ser. 03-6, Class S, IO, 5s, 2005 674,149 9,090,000 Ser. 03-8, Class S, IO, 5s, 2006 580,851 391,000 FRB Ser. 02-4, Class M4, 4.85s, 2033 364,737 1,575,000 FRB Ser. 03-10, Class MV6, 4.85s, 2033 1,307,250 560,000 FRB Ser. 03-AR3, Class M5, 4.85s, 2033 587,037 496,000 FRB Ser. 03-1, Class M4, 4.18s, 2033 439,067 Amortizing Residential Collateral Trust 11,830,727 Ser. 01-BC6, Class A, IO, 6s, 2004 341,492 18,147,273 Ser. 02-BC1, Class A, IO, 6s, 2005 343,400 21,121,545 Ser. 02-BC10, Class A, IO, 6s, 2004 684,080 28,595,454 Ser. 02-BC3, Class A, IO, 6s, 2005 963,906 457,752 Ser. 02-BC3N, Class B2, 7s, 2032 453,417 17,384,727 Ser. 02-BC5, Class A, IO, 6s, 2004 502,763 24,897,727 Ser. 02-BC6, Class A, IO, 6s, 2004 525,740 27,681,818 Ser. 02-BC7, Class AIO, IO, 6s, 2004 721,147 19,114,454 Ser. 02-BC9, Class A, IO, 6s, 2004 685,925 1,465,000 FRN Ser. 02-BC1, Class M2, 2.2s, 2032 1,455,672 683,000 FRN Ser. 02-BC5, Class B, 3.35s, 2032 666,992 1,342,000 FRN Ser. 02-BC7, Class B3, 3.1s, 2032 1,212,623 AQ Finance NIM Trust 144A 1,155,158 Ser. 03-N7A, Class NOTE, 9.07s, 2033 1,160,212 546,952 Ser. 03-N9A, Class NOTE, 7.385s, 2033 546,952 Arc Net Interest Margin Trust 483,214 Ser. 02-2, Class A, 7 3/4s, 2032 482,409 113,487 Ser. 02-5A, Class A, 7 3/4s, 2032 112,757 305,575 Arc Net Interest Margin Trust 144A Ser. 02-1A, Class A, 7 3/4s, 2032 305,522 1,283,000 Arcap REIT, Inc. 144A Ser. 03-1A, Class E, 6.33s, 2038 1,331,714 466,000 Argent NIM Trust Ser. 03-N8, Class A, 5.56s, 2034 465,953 836,812 Argent NIM Trust 144A Ser. 03-N6, Class A, 6.4s, 2034 832,628 Argent Securities, Inc. 35,919,075 Ser. 03-W2, Class A, IO, 1.56s, 2004 218,029 720,000 FRB Ser. 03-W6, Class M3, 4.6s, 2034 577,575 Asset Backed Funding Certificates 24,361 Ser. 02-NC1, Class N1, 8.84s, 2032 24,369 1,457,000 FRB Ser. 02-OPT1, Class M3, 2 1/2s, 2032 1,457,000 18,931 Asset Backed Funding Corp. NIM Trust Ser. 02-WF1, Class NOTE, 9.32s, 2032 18,931 Asset Backed Funding Corp. NIM Trust 144A 796,173 Ser. 03-OPT1, Class NOTE, 6.9s, 2033 796,173 1,102,362 Ser. 03-WF1, Class N1, 8.35s, 2032 1,102,362 Asset Backed Securities Corp. Home Equity Loan Trust 41,213,000 Ser. 02-HE1, Class A, IO, 3.6s, 2032 600,269 12,549,485 Ser. 03-HE5, Class A, IO, 4s, 2033 604,879 1,273,000 FRB Ser. 03-HE1, Class M4, 5.6s, 2033 1,295,313 1,032,000 FRB Ser. 04-HE1, Class A3, 1.55s, 2034 1,031,999 1,353,000 FRB Ser. 02-HE2, Class M2, 2.23s, 2032 1,336,142 931,000 FRB Ser. 03-HE3, Class M5, 5.1s, 2033 936,632 1,102,629 Aviation Capital Group Trust 144A FRB Ser. 03-2A, Class G1, 1.8s, 2033 1,102,629 7,219,000 Bank One Issuance Trust FRN Ser. 02-C1, Class C1, 2.06s, 2009 7,175,855 Bayview Financial Acquisition Trust 2,947,485 Ser. 02-CA, Class A, IO, 5.7s, 2004 87,043 16,146,090 Ser. 03-DA, IO, 4s, 2006 832,533 15,992,000 Ser. 03-E, Class A, IO, 4s, 2006 812,394 68,726,019 Ser. 03-X, Class A, IO, 1.36s, 2006 1,073,844 4,813,000 FRB Ser. 03-G, Class A1, 1.7s, 2039 4,813,000 2,504,276 FRN Ser. 01-DA, Class M3, 2 1/2s, 2031 2,512,101 5,724,115 FRN Ser. 03-F, Class A, 1.60s, 2043 5,726,799 8,477,891 Bayview Financial Acquisition Trust 144A Ser. 03-CA, Class A, IO, 4s, 2005 399,314 200,352,000 Bayview Financial Asset Trust Ser. 03-Z, Class A, IO, 5 1/2s, 2005 1,270,973 Bayview Financial Asset Trust 144A 2,471,324 FRB Ser. 03-SSRA, Class A, 1.8s, 2038 2,469,841 2,930,093 FRB Ser. 03-SSRA, Class M, 2.45s, 2038 2,928,335 Bear Stearns Asset Backed Securities, Inc. 11,341,000 Ser. 03-AC1, Class A, IO, 5s, 2005 703,496 11,241,000 Ser. 03-AC4, Class A, IO, 5s, 2006 918,600 2,229,000 FRB Ser. 03-3, Class A2, 1.69s, 2043 2,229,000 2,446,357 FRN Ser. 03-1, Class A1, 1.6s, 2042 2,446,357 2,715,000 Capital One Master Trust 144A FRN Ser. 01-5, Class C, 2 1/4s, 2009 2,715,000 Capital One Multi-Asset Execution Trust 1,300,000 Ser. 04-C1, Class C1, 3.4s, 2009 1,293,500 570,000 FRB Ser. 02-C1, Class C1, 3.85s, 2010 601,083 2,153,000 FRN Ser. 03-C1, Class C1, 3.65s, 2011 2,272,761 3,105,000 CDO Repackaging Trust Series 144A FRB Ser. 03-2, Class A, 5.29s, 2008 3,182,625 Chase Credit Card Master Trust 4,510,000 FRB Ser. 02-2, Class C, 2s, 2007 4,531,603 1,550,000 FRN Ser. 01-1, Class C, 1.824s, 2007 1,552,422 Chase Funding Net Interest Margin 144A 466,649 Ser. 03-3A, Class NOTE, 6 7/8s, 2036 467,816 1,532,945 Ser. 03-5A, Class NOTE, 5 3/4s, 2034 1,532,026 173,794 Ser. 03-6A, Class NOTE, 5s, 2035 173,585 1,253,163 Ser. 03-C1A, Class NOTE, 6 3/4s, 2036 1,255,544 3,002,000 Citibank Credit Card Issuance Trust FRN Ser. 01-C1, Class C1, 2.2s, 2010 3,043,747 Conseco Finance Securitizations Corp. 17,670,000 Ser. 00-4, Class A6, 8.31s, 2032 14,391,688 8,310,000 Ser. 01-04, Class A4, 7.36s, 2019 7,743,050 6,235,000 Ser. 01-3, Class A4, 6.91s, 2033 5,653,419 3,810,000 Ser. 01-4, Class B1, 9.4s, 2010 381,000 10,727,794 Ser. 02-1, Class A, 6.681s, 2032 10,915,892 4,582,000 Ser. 02-1, Class M2, 9.546s, 2032 2,291,000 9,932,031 Ser. 02-2, Class A, IO, 8 1/2s, 2010 2,996,957 26,921,696 Conseco Recreational Enthusiast Consumer Trust Ser. 01-A, Class AP, IO, 5s, 2025 813,494 3,061,000 Consumer Credit Reference IDX Securities FRB Ser. 02-1A, Class A, 3.17s, 2007 3,112,241 517,000 Countrywide Asset Backed Certificates FRB Ser. 03-BC4, Class B, 4.6s, 2032 516,354 641,708 Countrywide Asset Backed Certificates 144A Ser. 03-5NF, Class NF, 6 3/4s, 2034 642,991 516,000 Countrywide Asset-Backed Certificates FRB Ser. 03-4, Class B, 4.6s, 2032 508,260 814,679 Credit-Based Asset Servicing and Securitization 144A Ser. 03-CB2N, Class NOTE, 8.35s, 2033 815,442 1,617,000 Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038 1,617,000 First Franklin Mortgage Loan Asset Backed Certificates 6,772,630 Ser. 02-FF3, Class A, IO, 6s, 2004 129,027 31,428,000 Ser. 03-FF3, Class A, IO, 6s, 2005 1,318,340 12,457,636 Ser. 03-FFB, Class A, IO, 6s, 2005 763,819 567,880 First Franklin NIM Trust 144A Ser. 03-FF3A, Class A, 6 3/4s, 2033 565,675 458,445 First Plus 144A Ser. 98-A, Class A, 8 1/2s, 2023 343,833 2,034,509 First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s, 2023 2,033,402 616,000 Fort Point CDO, Ltd. FRN Ser. 03-2A, Class A2, 2.215s, 2038 616,000 2,000,000 Foxe Basin, Ltd. FRB Ser. 2003-1A, Class A1, 1.724s, 2015 2,000,000 939,000 G-Force CDO, Ltd. 144A Ser. 03-1A, Class E, 6.58s, 2038 947,216 308,000 G-Star, Ltd. 144A FRN Ser. 02-2A, Class BFL, 3.1s, 2037 306,031 470,000 Goldentree Loan Opportunities II, Ltd. 144A FRN Ser. 2A, Class 4, 4.37s, 2015 (Cayman Islands) 470,000 Green Tree Financial Corp. 496,331 Ser. 99-3, Class A5, 6.16s, 2031 503,155 16,750,000 Ser. 99-5, Class A5, 7.86s, 2030 14,415,245 848,000 GSAMP Trust FRB Ser. 03-HE1, Class B2, 5.1s, 2033 760,259 760,348 GSAMP Trust 144A Ser. 03-HE1N, Class NOTE, 7 1/4s, 2033 760,500 Home Equity Asset Trust 324,632 Ser. 02-1N, Class A, 8s, 2032 323,009 1,160,000 FRB Ser. 03-4, Class B3, 5.60s, 2033 1,190,612 1,515,000 FRN Ser. 02-1, Class M2, 2 1/2s, 2032 1,500,253 Home Equity Asset Trust 144A 760,552 Ser. 03-4N, Class A, 8s, 2033 752,946 1,147,051 Ser. 03-5N, Class A, 7 1/2s, 2034 1,135,581 35,938,014 Lehman Manufactured Housing Ser. 98-1, Class 1, IO, 0.81s, 2028 868,625 5,220,000 LNR CDO, Ltd. FRB Ser. 02-1A, Class FFL, 3.85s, 2037 (Cayman Islands) 4,955,868 2,585,000 LNR CDO, Ltd. 144A FRB Ser. 03-1A, Class EFL, 4.1s, 2036 (Cayman Islands) 2,588,878 872,551 Long Beach Asset Holdings Corp. NIM Trust 144A Ser. 03-4, Class N1, 6.535s, 2033 872,278 Long Beach Mortgage Loan Trust 848,000 FRB Ser. 03-3, Class M4, 4.60s, 2033 699,600 1,162,000 FRB Ser. 03-4, Class M6, 5.1s, 2033 990,242 Madison Avenue Manufactured Housing Contract 237,103,022 Ser. 02-A, 0.3s, 2032 2,704,456 4,059,503 FRB Ser. 02-A, Class B1, 4.35s, 2032 2,638,677 2,877,301 Marriott Vacation Club Owner Trust 144A FRB Ser. 02-1A, Class A1, 1.8s, 2010 2,876,940 456,000 Master Asset Backed Securities Trust FRB Ser. 03-NC1, Class M6, 5.1s, 2033 456,000 MBNA Credit Card Master Note Trust 1,720,000 Ser. 02-C5, Class C5, 4.05s, 2008 1,757,840 3,412,000 FRB Ser. 01-C1, Class C1, 2.15s, 2008 3,435,202 1,299,000 MBNA Master Credit Card Trust 144A FRN Ser. 99-C, Class C, 1.9s, 2006 1,299,779 499,144 Merrill Lynch Mortgage Investors, Inc. Ser. 03-WM3N, Class N1, 8s, 2005 494,453 1,017,609 Merrill Lynch Mortgage Investors, Inc. 144A Ser. 03-OP1N, Class N1, 7 1/4s, 2034 1,015,079 Mid-State Trust 1,048,273 Ser. 10, Class B, 7.54s, 2036 754,757 565,763 Ser. 11, Class B, 8.221s, 2038 538,006 3,209,000 MNIMS 144A 4.458s, 2034 3,209,000 1,039,000 Morgan Stanley Capital I FRB Ser. 03-HE1, Class B3, 4.85s, 2033 951,724 Morgan Stanley Dean Witter Capital I 1,470,000 FRN Ser. 01-NC3, Class B1, 3.55s, 2031 1,415,853 1,194,000 FRN Ser. 01-NC4, Class B1, 3.6s, 2032 1,146,164 1,965,000 FRN Ser. 02-AM2, Class B1, 3.35s, 2032 1,833,092 1,207,000 FRN Ser. 02-HE1, Class B1, 2.9s, 2032 1,194,458 1,168,000 Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1, 1.69s, 2015 1,168,000 1,284,655 NC Finance Trust 144A Ser. 03-2, Class NOTE, 9s, 2033 1,297,903 New Century Home Equity Loan Trust 1,734,000 Ser. 03-5, Class AI7, 5.15s, 2033 1,744,567 1,455,000 FRN Ser. 03-2, Class M4, 4.7s, 2033 1,273,125 New Century Mortgage Corp. NIM Trust 144A 935,888 Ser. 03-5, Class NOTE, 8s, 2033 944,954 757,269 Ser. 03-B, Class NOTE, 6 1/2s, 2033 759,162 624,000 Newcastle CDO, Ltd. 144A FRB Ser. 3A, Class 4FL, 4.341s, 2038 620,880 153,429 NNIMS 144A Ser. 03-N1, 7.385s, 2033 153,429 Option One Mortgage Loan Trust 606,000 FRB Ser. 03-5, Class M6, 4.6s, 2033 558,348 1,538,000 FRB Ser. 03-6, Class M6, 4.6s, 2033 1,384,200 676,000 FRN Ser. 02-6, Class M4, 4.1s, 2032 659,100 Option One Mortgage Securities Corp. 144A 31,313 Ser. 02-1, Class CTFS, 6 3/4s, 2032 31,181 805,723 Ser. 03-5, Class NOTE, 6.9s, 2033 805,723 100,071 Option One Mortgage Securities Corp. NIM Trust 144A Ser. 2003-2B, Class N1, 7.63s, 2033 (Cayman Islands) 100,697 Pass-Through Amortizing Credit Card Trust 1,137,486 Ser. 02-1A, Class A3FL, 4.1s, 2012 1,141,817 1,911,056 Ser. 02-1A, Class A4FL, 6.6s, 2012 1,918,220 62,122,000 Renaissance Home Equity Loan Trust Ser. 03-4, Class S, IO, 3s, 2006 1,164,788 7,361,129 Residential Asset Securities Corp. Ser. 02-KS6, Class AIO, IO, 4 1/2s, 2005 233,628 Residential Funding Mortgage Securities II 24,897,672 Ser. 03-HS1, Class AI, IO, 5 1/2s, 2033 1,287,210 7,581,333 Ser. 03-HS2, Class AI, IO, 5 1/2s, 2005 415,789 8,754,000 Ser. 03-HS3, Class AI, IO, 5s, 2006 471,841 6,449,000 Restructured Asset Securities 144A FRN Ser. 03-3A, Class A1, 1.776s, 2022 6,376,449 1,190,233 SAIL Net Interest Margin Notes Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands) 1,188,924 SAIL Net Interest Margin Notes 144A 954,431 Ser. 03-BC2A, Class A, 7 3/4s, 2033 951,657 455,069 Ser. 03-12A, Class A, 7.35s, 2033 454,931 647,032 Ser. 03-6A, Class A, 7s, 2033 642,222 332,536 Ser. 03-7A, Class A, 7s, 2033 330,069 694,005 Ser. 03-8A, Class A, 7s, 2033 690,512 194,891 Ser. 03-9A, Class A, 7s, 2033 193,878 606,615 Ser. 03-13A, Class A, 6 3/4s, 2033 605,837 Sasco Arc Net Interest Margin Notes 144A 405,400 Ser. 03-3, Class A, 7 3/4s, 2033 403,365 148,734 Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands) 148,690 261,975 Ser. 03-AM1, Class A, 7 3/4s, 2033 260,698 750,275 Saxon Net Interest Margin Trust 144A Ser. 03-A, Class A, 6.656s, 2033 754,027 769,797 SHARP Ser. 03-NC1N, Class N, 7 1/4s, 2033 770,513 SHARP 144A 644,000 Ser. 03-HE1N, 6.9s, 2033 643,936 391,015 Ser. 03-TC1N, 7 3/4s, 2033 391,015 470,000 South Coast Funding FRB Ser. 3A, Class A2, 2.37s, 2038 470,000 Structured Asset Investment Loan Trust 22,498,000 Ser. 03-BC10, Class A, IO, 6s, 2005 978,030 63,685,000 Ser. 03-BC11, Class A, IO, 6s, 2005 3,466,568 12,553,000 Ser. 03-BC12, Class A, IO, 6s, 2005 659,439 38,184,000 Ser. 03-BC13, Class A, IO, 6s, 2005 2,005,899 105,510 Ser. 03-BC1A, Class A, 7 3/4s, 2033 104,997 45,129,361 Ser. 03-BC2, Class A, IO, 6s, 2005 2,036,423 26,693,968 Ser. 03-BC3, Class A, IO, 6s, 2004 901,908 12,082,904 Ser. 03-BC4, Class A, IO, 6s, 2004 388,397 22,050,014 Ser. 03-BC5, Class A, IO, 6s, 2004 708,781 48,537,000 Ser. 03-BC6, Class A, IO, 6s, 2005 2,352,204 10,521,000 Ser. 03-BC8, Class A, IO, 6s, 2005 610,070 12,788,000 Ser. 03-BC9, Class A, IO, 6s, 2005 618,721 46,153,000 Ser. 04-1, Class A, IO, 6s, 2005 3,195,449 1,208,000 FRB Ser. 03-BC4, Class B, 4.6s, 2033 1,215,550 669,000 FRB Ser. 03-BC9, Class B, 4.1s, 2033 669,000 870,000 FRN Ser. 03-BC5, Class B, 4.6s, 2033 878,462 662,000 FRN Ser. 03-BC8, Class B, 4.1s, 2033 662,000 Structured Asset Securities Corp. 15,315,364 Ser. 02-BC1, Class A, IO, 6s, 2004 549,594 8,960,155 Ser. 98-RF3, Class A, IO, 6.1s, 2028 1,519,463 1,343,000 FRN Ser. 02-HF2, Class M3, 3.1s, 2032 1,242,275 1,698,000 TIAA Commercial Real Estate Securitization 144A Ser. 03-1A, Class E, 8s, 2038 1,549,956 538,000 Whole Auto Loan Trust Ser. 03-1, Class C, 3.13s, 2010 535,898 3,342,000 Whole Auto Loan Trust 144A Ser. 03-1, Class D, 6s, 2010 3,329,468 -------------- Total Asset-backed securities (cost $308,555,627) $289,530,827 Convertible preferred stocks (0.7%) (a) Number of shares Value - ------------------------------------------------------------------------------- 113,416 Ford Motor Company Capital Trust II $3.25 cum. cv. pfd. $6,110,287 50,309 Hartford Financial Services Group, Inc. (The) $3.50 cv. pfd. 3,182,044 113,181 Hartford Financial Services Group, Inc. (The) zero % cv. pfd. 7,017,222 204,000 Xerox Corp. 6.25% cv. pfd. 27,744,000 -------------- Total Convertible preferred stocks (cost $34,346,519) $44,053,553 Convertible bonds and notes (0.4%) (a) Principal amount Value - ------------------------------------------------------------------------------- $254,300 CenterPoint Energy, Inc. cv. sub notes FRN 2s, 2029 $8,423,688 5,062,000 Rite Aid Corp. cv. notes 4 3/4s, 2006 5,909,885 9,650,000 Service Corp. International cv. sub. notes 6 3/4s, 2008 10,783,875 -------------- Total Convertible bonds and notes (cost $20,822,399) $25,117,448 Municipal bonds and notes (0.1%) (a) Principal amount Rating (RAT) Value - ------------------------------------------------------------------------------- $2,765,000 IL State G.O. Bonds (Taxable Pension), 5.1s, 6/1/33 Aa3 $2,595,727 1,120,000 NJ State Tpk. Auth. Rev. Bonds, Ser. B, AMBAC, 4.252s, 1/1/16 Aaa 1,074,595 1,320,000 OR State G.O. Bonds (Taxable Pension), 5.892s, 6/1/27 Aa3 1,388,878 -------------- Total Municipal bonds and notes (cost $5,205,000) $5,059,200 Expiration Purchased options outstanding (--%) (a) date/ Contract amount strike price Value - ------------------------------------------------------------------------------- 165,516 BellSouth Corp. (Call) Apr-04/$29.35 $181,174 362,436 SBC Communications, Inc. (Call) Apr-04/$26.74 232,974 134,974 Verizon Communications, Inc. (Call) Apr-04/$36.17 237,473 -------------- Total Purchased options outstanding (cost $504,946) $651,621 Preferred stocks (--%) (a) (cost $--) Number of shares Value - ------------------------------------------------------------------------------- 6 PTV, Inc. Ser.A, $5.00 cum. pfd. $21 Short-term investments (14.9%) (a) Principal amount Value - ------------------------------------------------------------------------------- $48,009,389 Short-term investments held as collateral for loaned securities with yields ranging from 1.00% to 1.05% and a due date of February 2, 2004 (d) $48,006,611 850,058,108 Short-term investments held in Putnam commingled cash account with yields ranging from 0.85% to 1.13% and due dates ranging from February 2, 2004 to March 30, 2004 (d) 850,058,108 -------------- Total Short-term investments (cost $898,064,719) $898,064,719 - ------------------------------------------------------------------------------- Total Investments (cost $6,460,475,803) $7,316,765,398 - ------------------------------------------------------------------------------- (a) Percentages indicated are based on net assets of $6,028,800,181. (RAT) The Moody's or Standard & Poor's ratings indicated are believed to be the most recent ratings available at January 31, 2004 for the securities listed. Ratings are generally ascribed to securities at the time of issuance. While the agencies may from time to time revise such ratings, they undertake no obligation to do so, and the ratings do not necessarily represent what the agencies would ascribe to these securities at January 31, 2004. Securities rated by Putnam are indicated by "/P" and are not publicly rated. (NON) Non-income-producing security. (SEG) A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts at January 31, 2004. (R) Real Estate Investment Trust. (d) See Note 1 to the financial statements. 144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ADR after the name of a foreign holding stands for American Depositary Receipts, representing ownership of foreign securities on deposit with a custodian bank. TBA after the name of a security represents to be announced securities (Note 1). AMBAC represents AMBAC Indemnity Corporation. G.O. Bonds represent General Obligation Bonds. The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates shown at January 31, 2004.
Forward currency contracts to buy at January 31, 2004 (Unaudited) (aggregate face value $2,456,291) Aggregate Delivery Unrealized Value face value date appreciation - ------------------------------------------------------------------------------------------------------ Euro $2,541,435 $2,456,291 3/17/04 $85,144 - ------------------------------------------------------------------------------------------------------
Futures contracts outstanding at January 31, 2004 (Unaudited) - ------------------------------------------------------------------------------------------------------ Unrealized Aggregate Expiration appreciation/ Value face value date (depreciation) - ------------------------------------------------------------------------------------------------------ Euro 90 day (Short) $2,893,350 $2,903,296 Dec-05 $9,946 Euro 90 day (Short) 2,902,650 2,909,987 Sep-05 7,337 Euro 90 day (Short) 2,913,450 2,920,274 Jun-05 6,824 Euro 90 day (Short) 2,925,750 2,932,274 Mar-05 6,524 Euro 90 day (Short) 2,938,500 2,944,212 Dec-04 5,712 Euro 90 day (Short) 2,950,500 2,954,724 Sep-04 4,224 Euro 90 day (Short) 2,959,200 2,961,812 Jun-04 2,612 Euro 90 day (Short) 2,964,600 2,965,049 Mar-04 449 Interest Rate Swap 10 yr (Long) 1,000,125 1,009,445 Mar-04 (9,320) S&P 500 Index (Short) 72,313,600 67,752,512 Mar-04 (4,561,088) U. S. Long Treasury Bond 20 yr (Long) 106,555,969 104,672,306 Mar-04 1,883,663 U. S. Treasury Note 10 yr (Long) 628,103,438 624,488,275 Mar-04 3,615,163 U. S. Treasury Note 5 yr (Long) 62,454,438 61,817,548 Mar-04 636,890 U. S. Treasury Note 5 yr (Short) 202,639,938 200,229,083 Mar-04 (2,410,855) - ------------------------------------------------------------------------------------------------------ $(801,919) - ------------------------------------------------------------------------------------------------------ TBA sale commitments at January 31, 2004 (Unaudited) (proceeds receivable $441,748,975) Principal Settlement Agency amount date Value - ------------------------------------------------------------------------------------------------------ FNMA, 7s, February 1, 2034 $1,457,000 2/12/04 $1,545,331 FNMA, 6.5s, February 1, 2034 37,574,000 2/12/04 39,417,456 FNMA, 5.5s, February 1, 2034 246,691,000 2/12/04 251,008,092 FNMA, 5s, February 1, 2019 107,583,000 2/18/04 109,936,378 FNMA, 4s, February 1, 2019 40,612,000 2/18/04 39,850,525 - ------------------------------------------------------------------------------------------------------ $441,757,782 - ------------------------------------------------------------------------------------------------------ Total return swap contracts outstanding at January 31, 2004 (Unaudited) Notional Termination Unrealized amount date appreciation - ------------------------------------------------------------------------------------------------------ Agreement with Lehman Brothers Special Financing, Inc. dated August 28 2003 to receive/(pay) monthly the notional amount multiplied by the return of the Lehman Brothers CMBS Investment Grade Index and pay monthly the notional amount multiplied by the USD-LIBOR-BBA adjusted by a specified spread. $7,643,736 3/1/04 $54,671 - ------------------------------------------------------------------------------------------------------ Interest rate swap contracts outstanding at January 31, 2004 (Unaudited) Unrealized Notional Termination appreciation/ amount date (depreciation) - ------------------------------------------------------------------------------------------------------ Agreement with Bank of America, N.A. dated December 2, 2003 to receive semi-annually the notional amount multiplied by 2.444% and pay quarterly the notional amount multiplied by the three month USD-LIBOR. $12,822,000 12/5/05 $115,857 Agreement with Bank of America, N.A. dated December 12, 2003 to pay semi-annually the notional amount multiplied by 2.1125% and receive quarterly the notional amount multiplied by the three month USD-LIBOR. 3,280,000 12/16/05 (6,119) Agreement with Bank of America, N.A. dated January 14, 2004 to pay semi-annually the notional amount multiplied by 4.35625% and receive quarterly the notional amount multiplied by the three month USD-LIBOR. 158,677,000 1/16/14 1,980,714 Agreement with Bank of America, N.A. dated January 26, 2004 to pay semi-annually the notional amount multiplied by 3.505% and receive quarterly the notional amount multiplied by the three month USD-LIBOR. 151,627,000 1/28/09 265,705 Agreement with Bank of America, N.A. dated January 26, 2004 to receive semi-annually the notional amount multiplied by 5.2125% and pay quarterly the notional amount multiplied by the three month USD-LIBOR. 82,772,000 1/28/24 172,160 Agreement with Lehman Brothers Special Financing, Inc. dated August 1, 2003 to receive semi-annually the notional amount multiplied by 3.93% and pay quarterly the notional amount multiplied by the three month USD-LIBOR. 116,700,000 8/5/08 4,534,184 Agreement with Lehman Brothers Special Financing, Inc. dated December 5, 2003 to receive semi-annually the notional amount multiplied by 2.23762% and pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 54,516,000 12/9/05 254,160 Agreement with Lehman Brothers Special Financing, Inc. dated December 9, 2003 to receive semi-annually the notional amount multiplied by 4.641% and pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 3,658,000 12/15/13 55,806 Agreement with Lehman Brothers Special Financing, Inc. dated December 11, 2003 to pay semi-annually the notional amount multiplied by 2.235% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 2,559,000 12/15/05 (10,993) Agreement with Lehman Brothers Special Financing, Inc. dated December 11, 2003 to pay semi-annually the notional amount multiplied by 4.71% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 10,708,000 12/15/13 (222,280) Agreement with Lehman Brothers Special Financing, Inc. dated December 12, 2003 to pay semi-annually the notional amount multiplied by 4.5792% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 10,192,000 12/16/13 (99,868) Agreement with Lehman Brothers Special Financing, Inc. dated January 21, 2004 to pay semi-annually the notional amount multiplied by 2.008% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 28,154,000 1/23/06 74,151 Agreement with Lehman Brothers Special Financing, Inc. dated January 21, 2004 to pay semi-annually the notional amount multiplied by 2.009% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 28,154,000 1/23/06 74,145 Agreement with Lehman Brothers Special Financing, Inc. dated January 21, 2004 to pay semi-annually the notional amount multiplied by 4.408% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 9,307,000 1/23/14 81,906 Agreement with Lehman Brothers Special Financing, Inc. dated January 21, 2004 to pay semi-annually the notional amount multiplied by 4.419% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 9,307,000 1/23/14 73,507 Agreement with Lehman Brothers Special Financing, Inc. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 1.999% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 28,852,000 1/26/06 83,931 Agreement with Lehman Brothers Special Financing, Inc. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 2.007% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 15,124,000 1/26/06 42,467 Agreement with Lehman Brothers Special Financing, Inc. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 4.375% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 9,540,000 1/26/14 113,326 Agreement with Lehman Brothers Special Financing, Inc. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 4.379% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA. 4,886,000 1/26/14 56,572 - ------------------------------------------------------------------------------------------------------ $7,639,331 - ------------------------------------------------------------------------------------------------------ Credit default contracts outstanding at January 31, 2004 (Unaudited) (premiums paid $2,483,345) Notional amount Value - ------------------------------------------------------------------------------------------------------ Agreements with Goldman Sachs with effective dates ranging from October 14, 2003 to November 4, 2003, maturing on June 20, 2008, to pay a premiums ranging from 12.312% to 14.019% times the notional amount. For each credit default event related to one of the issues within the Tracer HYDI BB 320, 6/20/2008 Bond Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the defaulted issue. $18,975,000 $1,897,690 - ------------------------------------------------------------------------------------------------------ Credit default contracts outstanding at January 31, 2004 (Unaudited) (premiums received $149,693) Notional amount Value - ------------------------------------------------------------------------------------------------------ Agreement with Merrill Lynch International effective June 26, 2003, maturing on September 20, 2008, to receive a premium equal to 11.088% times the notional amount. Upon a credit default event of The Gap, Inc. 5.75% due 3/15/09 the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of The Gap, Inc. 5.75%, 2009. $1,350,000 $64,949 - ------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. Statement of assets and liabilities January 31, 2004 (Unaudited) Assets - ------------------------------------------------------------------------------- Investments in securities, at value, including $45,999,195 of securities on loan (identified cost $6,460,475,803) (Note 1) $7,316,765,398 - ------------------------------------------------------------------------------- Cash 13,719,406 - ------------------------------------------------------------------------------- Dividends, interest and other receivables 26,439,643 - ------------------------------------------------------------------------------- Receivable for shares of the fund sold 8,309,521 - ------------------------------------------------------------------------------- Receivable for securities sold 506,793,320 - ------------------------------------------------------------------------------- Receivable for open forward currency contracts (Note 1) 85,144 - ------------------------------------------------------------------------------- Receivable for open swap contracts (Note 1) 8,033,262 - ------------------------------------------------------------------------------- Credit default contracts outstanding, at value (Premiums paid $2,483,345) (Note 1) 1,897,690 - ------------------------------------------------------------------------------- Receivable for variation margin (Note 1) 2,789,547 - ------------------------------------------------------------------------------- Receivable from Manager (Note 7) 169,037 - ------------------------------------------------------------------------------- Total assets 7,885,001,968 Liabilities - ------------------------------------------------------------------------------- Payable for securities purchased 1,320,017,047 - ------------------------------------------------------------------------------- Payable for shares of the fund repurchased 33,905,986 - ------------------------------------------------------------------------------- Payable for compensation of Manager (Note 2) 7,327,435 - ------------------------------------------------------------------------------- Payable for investor servicing and custodian fees (Note 2) 1,781,761 - ------------------------------------------------------------------------------- Payable for Trustee compensation and expenses (Note 2) 318,410 - ------------------------------------------------------------------------------- Payable for administrative services (Note 2) 3,035 - ------------------------------------------------------------------------------- Payable for distribution fees (Note 2) 2,018,742 - ------------------------------------------------------------------------------- Payable for open swap contracts (Note 1) 339,260 - ------------------------------------------------------------------------------- Credit default contracts outstanding, at value (Premiums received $149,693) (Note 1) 64,949 - ------------------------------------------------------------------------------- TBA sale commitments, at value (proceeds receivable $441,748,975) (Note 1) 441,757,782 - ------------------------------------------------------------------------------- Collateral on securities loaned, at value (Note 1) 48,006,611 - ------------------------------------------------------------------------------- Other accrued expenses 491,732 - ------------------------------------------------------------------------------- Total liabilities 1,856,032,750 - ------------------------------------------------------------------------------- Net assets $6,028,969,218 Represented by - ------------------------------------------------------------------------------- Paid-in capital (Notes 1, 4 and 7) $5,756,130,897 - ------------------------------------------------------------------------------- Undistributed net investment income (Note 1) 14,136,511 - ------------------------------------------------------------------------------- Accumulated net realized loss on investments and foreign currency transactions (Note 1) (604,055,293) - ------------------------------------------------------------------------------- Net unrealized appreciation of investments and assets and liabilities in foreign currencies 862,757,103 - ------------------------------------------------------------------------------- Total -- Representing net assets applicable to capital shares outstanding $6,028,969,218 - ------------------------------------------------------------------------------- Computation of net asset value and offering price - ------------------------------------------------------------------------------- Net asset value and redemption price per class A share ($3,504,914,839 divided by 203,962,080 shares) $17.18 - ------------------------------------------------------------------------------- Offering price per class A share (100/94.75 of $17.18)* $18.13 - ------------------------------------------------------------------------------- Net asset value and offering price per class B share ($1,229,969,200 divided by 72,324,137 shares)** $17.01 - ------------------------------------------------------------------------------- Net asset value and offering price per class C share ($78,773,876 divided by 4,612,002 shares)** $17.08 - ------------------------------------------------------------------------------- Net asset value and redemption price per class M share ($229,874,302 divided by 13,507,226 shares) $17.02 - ------------------------------------------------------------------------------- Offering price per class M share (100/96.50 of $17.02)* $17.64 - ------------------------------------------------------------------------------- Net asset value, offering price and redemption price per class R share ($1,166 divided by 68 shares) $17.19 - ------------------------------------------------------------------------------- Net asset value, offering price and redemption price per class Y share ($985,435,835 divided by 57,197,459 shares) $17.23 - ------------------------------------------------------------------------------- * On single retail sales of less than $50,000. On sales of $50,000 or more and on group sales, the offering price is reduced. ** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. The accompanying notes are an integral part of these financial statements. Statement of operations Six months ended January 31, 2004 (Unaudited) Investment income: - ------------------------------------------------------------------------------- Interest $49,324,801 - ------------------------------------------------------------------------------- Dividends (net of foreign tax of $66,527) 42,528,630 - ------------------------------------------------------------------------------- Securities lending 37,117 - ------------------------------------------------------------------------------- Total investment income 91,890,548 Expenses: - ------------------------------------------------------------------------------- Compensation of Manager (Note 2) 15,016,959 - ------------------------------------------------------------------------------- Investor servicing and custodian fees (Note 2) 7,051,693 - ------------------------------------------------------------------------------- Trustee compensation and expenses (Note 2) 50,337 - ------------------------------------------------------------------------------- Administrative services (Note 2) 19,256 - ------------------------------------------------------------------------------- Distribution fees -- Class A (Note 2) 4,638,806 - ------------------------------------------------------------------------------- Distribution fees -- Class B (Note 2) 6,496,479 - ------------------------------------------------------------------------------- Distribution fees -- Class C (Note 2) 456,965 - ------------------------------------------------------------------------------- Distribution fees -- Class M (Note 2) 901,989 - ------------------------------------------------------------------------------- Distribution fees -- Class R (Note 2) 3 - ------------------------------------------------------------------------------- Other 759,863 - ------------------------------------------------------------------------------- Non-recurring costs (Note 6) 84,675 - ------------------------------------------------------------------------------- Costs assumed by Manager (Note 6) (84,675) - ------------------------------------------------------------------------------- Total expenses 35,392,350 - ------------------------------------------------------------------------------- Expense reduction (Note 2) (797,121) - ------------------------------------------------------------------------------- Net expenses 34,595,229 - ------------------------------------------------------------------------------- Net investment income 57,295,319 - ------------------------------------------------------------------------------- Net realized gain on investments (Notes 1 and 3) 80,797,675 - ------------------------------------------------------------------------------- Net realized gain on swap contracts (Note 1) 393,773 - ------------------------------------------------------------------------------- Net realized loss on futures contracts (Note 1) (11,400,023) - ------------------------------------------------------------------------------- Net realized gain on foreign currency transactions (Note 1) 73,871 - ------------------------------------------------------------------------------- Net realized loss on credit default contracts (Note 1) (368,795) - ------------------------------------------------------------------------------- Net realized gain on written options (Notes 1 and 3) 206,164 - ------------------------------------------------------------------------------- Net unrealized appreciation of assets and liabilities in foreign currencies during the period 177,090 - ------------------------------------------------------------------------------- Net unrealized appreciation of investments, futures contracts, swap contracts, written options, credit default contracts and TBA sale commitments during the period 486,926,375 - ------------------------------------------------------------------------------- Net gain on investments 556,806,130 - ------------------------------------------------------------------------------- Net increase in net assets resulting from operations $614,101,449 - ------------------------------------------------------------------------------- The accompanying notes are an integral part of these financial statements. Statement of changes in net assets Six months ended Year ended January 31 July 31 Increase (decrease) in net assets 2004* 2003 - ------------------------------------------------------------------------------- Operations: - ------------------------------------------------------------------------------- Net investment income $57,295,319 $137,222,025 - ------------------------------------------------------------------------------- Net realized gain (loss) on investments and foreign currency transactions 69,702,665 (314,771,145) - ------------------------------------------------------------------------------- Net unrealized appreciation of investments and assets and liabilities in foreign currencies 487,103,465 666,689,756 - ------------------------------------------------------------------------------- Net increase in net assets resulting from operations 614,101,449 489,140,636 - ------------------------------------------------------------------------------- Distributions to shareholders: (Note 1) - ------------------------------------------------------------------------------- From net investment income Class A (40,028,157) (107,895,962) - ------------------------------------------------------------------------------- Class B (9,218,179) (29,270,787) - ------------------------------------------------------------------------------- Class C (670,850) (1,730,918) - ------------------------------------------------------------------------------- Class M (2,039,505) (6,195,401) - ------------------------------------------------------------------------------- Class R (10) (11) - ------------------------------------------------------------------------------- Class Y (11,431,333) (26,338,433) - ------------------------------------------------------------------------------- Increase (decrease) from capital share transactions (Notes 4, 5 and 7) (826,330,409) 919,964,935 - ------------------------------------------------------------------------------- Total increase (decrease) in net assets (275,616,994) 1,237,674,059 Net assets - ------------------------------------------------------------------------------- Beginning of period 6,304,586,212 5,066,912,153 - ------------------------------------------------------------------------------- End of period (including undistributed net investment income of $14,136,511 and $20,229,226, respectively) $6,028,969,218 $6,304,586,212 - ------------------------------------------------------------------------------- * Unaudited The accompanying notes are an integral part of these financial statements.
Financial highlights (For a common share outstanding throughout the period) CLASS A - --------------------------------------------------------------------------------------------------------------- Six months ended January 31 Per-share (Unaudited) Year ended July 31 operating performance 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $15.72 $15.02 $17.24 $15.77 $18.49 $18.82 - --------------------------------------------------------------------------------------------------------------- Investment operations: - --------------------------------------------------------------------------------------------------------------- Net investment income (a) .16 .37 .45 .52 .55 .57 - --------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments 1.48 .81 (2.17) 1.49 (1.44) .90 - --------------------------------------------------------------------------------------------------------------- Total from investment operations 1.64 1.18 (1.72) 2.01 (.89) 1.47 - --------------------------------------------------------------------------------------------------------------- Less distributions: - --------------------------------------------------------------------------------------------------------------- From net investment income (.18) (.48) (.48) (.53) (.58) (.55) - --------------------------------------------------------------------------------------------------------------- From net realized gain on investments -- -- (.02) (.01) (1.25) (1.25) - --------------------------------------------------------------------------------------------------------------- Total distributions (.18) (.48) (.50) (.54) (1.83) (1.80) - --------------------------------------------------------------------------------------------------------------- Net asset value, end of period $17.18 $15.72 $15.02 $17.24 $15.77 $18.49 - --------------------------------------------------------------------------------------------------------------- Total return at net asset value (%)(b) 10.50* 8.06 (10.20) 12.86 (5.09) 8.33 - --------------------------------------------------------------------------------------------------------------- Ratios and supplemental data - --------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $3,504,915 $3,784,601 $2,990,984 $3,176,287 $3,030,281 $3,937,264 - --------------------------------------------------------------------------------------------------------------- Ratio of expenses to average net assets (%)(c) .49* .99 .96 .92 .93 .93 - --------------------------------------------------------------------------------------------------------------- Ratio of net investment income to average net assets (%) .99* 2.50 2.75 3.11 3.32 3.10 - --------------------------------------------------------------------------------------------------------------- Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68 - ---------------------------------------------------------------------------------------------------------------
* Not annualized. (a) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (b) Total return assumes dividend reinvestment and does not reflect the effect of sales charges. (c) Includes amounts paid through brokerage service and expense offset arrangements (Note 2). (d) Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy. (e) Portfolio turnover excludes the impact of assets received from the acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund (Note 5). The accompanying notes are an integral part of these financial statements.
Financial highlights (For a common share outstanding throughout the period) CLASS B - -------------------------------------------------------------------------------------------------------------- Six months ended January 31 Per-share (Unaudited) Year ended July 31 operating performance 2004 2003 2002 2001 2000 1999 - -------------------------------------------------------------------------------------------------------------- C> Net asset value, beginning of period $15.56 $14.87 $17.07 $15.62 $18.33 $18.67 - -------------------------------------------------------------------------------------------------------------- Investment operations: - -------------------------------------------------------------------------------------------------------------- Net investment income (a) .10 .26 .33 .39 .42 .43 - -------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments 1.46 .80 (2.15) 1.48 (1.43) .90 - -------------------------------------------------------------------------------------------------------------- Total from investment operations 1.56 1.06 (1.82) 1.87 (1.01) 1.33 - -------------------------------------------------------------------------------------------------------------- Less distributions: - -------------------------------------------------------------------------------------------------------------- From net investment income (.11) (.37) (.36) (.41) (.45) (.42) - -------------------------------------------------------------------------------------------------------------- From net realized gain on investments -- -- (.02) (.01) (1.25) (1.25) - -------------------------------------------------------------------------------------------------------------- Total distributions (.11) (.37) (.38) (.42) (1.70) (1.67) - -------------------------------------------------------------------------------------------------------------- Net asset value, end of period $17.01 $15.56 $14.87 $17.07 $15.62 $18.33 - -------------------------------------------------------------------------------------------------------------- Total return at net asset value (%)(b) 10.11* 7.25 (10.86) 12.02 (5.82) 7.55 - -------------------------------------------------------------------------------------------------------------- Ratios and supplemental data - -------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $1,229,969 $1,308,605 $1,068,667 $1,199,676 $1,175,947 $1,641,515 - -------------------------------------------------------------------------------------------------------------- Ratio of expenses to average net assets (%)(c) .87* 1.74 1.71 1.67 1.68 1.68 - -------------------------------------------------------------------------------------------------------------- Ratio of net investment income to average net assets (%) .62* 1.75 2.00 2.36 2.57 2.35 - -------------------------------------------------------------------------------------------------------------- Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68 - --------------------------------------------------------------------------------------------------------------
* Not annualized. (a) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (b) Total return assumes dividend reinvestment and does not reflect the effect of sales charges. (c) Includes amounts paid through brokerage service and expense offset arrangements (Note 2). (d) Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy. (e) Portfolio turnover excludes the impact of assets received from the acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund (Note 5). The accompanying notes are an integral part of these financial statements.
Financial highlights (For a common share outstanding throughout the period) CLASS C - ---------------------------------------------------------------------------------------------------------- For the Six months period ended July 26, January 31 1999+ to Per-share (Unaudited) Year ended July 31 July 31 operating performance 2004 2003 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $15.63 $14.94 $17.16 $15.71 $18.49 $18.76 - ---------------------------------------------------------------------------------------------------------- Investment operations: - ---------------------------------------------------------------------------------------------------------- Net investment income (loss) (a) .10 .26 .33 .39 .42 -- (f) - ---------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments 1.47 .80 (2.16) 1.49 (1.44) (.27) - ---------------------------------------------------------------------------------------------------------- Total from investment operations 1.57 1.06 (1.83) 1.88 (1.02) (.27) - ---------------------------------------------------------------------------------------------------------- Less distributions: - ---------------------------------------------------------------------------------------------------------- From net investment income (.12) (.37) (.37) (.42) (.51) -- - ---------------------------------------------------------------------------------------------------------- From net realized gain on investments -- -- (.02) (.01) (1.25) -- - ---------------------------------------------------------------------------------------------------------- Total distributions (.12) (.37) (.39) (.43) (1.76) -- - ---------------------------------------------------------------------------------------------------------- Net asset value, end of period $17.08 $15.63 $14.94 $17.16 $15.71 $18.49 - ---------------------------------------------------------------------------------------------------------- Total return at net asset value (%)(b) 10.08* 7.25 (10.88) 12.02 (5.82) (1.44)* - ---------------------------------------------------------------------------------------------------------- Ratios and supplemental data - ---------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $78,774 $91,282 $53,186 $37,453 $20,642 $565 - ---------------------------------------------------------------------------------------------------------- Ratio of expenses to average net assets (%)(c) .87* 1.74 1.71 1.67 1.68 .03* - ---------------------------------------------------------------------------------------------------------- Ratio of net investment income (loss) to average net assets (%) .62* 1.73 1.99 2.32 2.60 (.03)* - ---------------------------------------------------------------------------------------------------------- Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68 - ----------------------------------------------------------------------------------------------------------
+ Commencement of operations. * Not annualized. (a) Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. (b) Total return assumes dividend reinvestment and does not reflect the effect of sales charges. (c) Includes amounts paid through brokerage service and expense offset arrangements (Note 2). (d) Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy. (e) Portfolio turnover excludes the impact of assets received from the acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund (Note 5). (f) Amount represents less than $0.01 per share. The accompanying notes are an integral part of these financial statements.
Financial highlights (For a common share outstanding throughout the period) CLASS M - ------------------------------------------------------------------------------------------------------------ Six months ended January 31 Per-share (Unaudited) Year ended July 31 operating performance 2004 2003 2002 2001 2000 1999 - ------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $15.57 $14.87 $17.08 $15.63 $18.33 $18.67 - ------------------------------------------------------------------------------------------------------------ Investment operations: - ------------------------------------------------------------------------------------------------------------ Net investment income (a) .12 .30 .37 .43 .46 .47 - ------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain (loss) on investments 1.47 .80 (2.16) 1.48 (1.42) .90 - ------------------------------------------------------------------------------------------------------------ Total from investment operations 1.59 1.10 (1.79) 1.91 (.96) 1.37 - ------------------------------------------------------------------------------------------------------------ Less distributions: - ------------------------------------------------------------------------------------------------------------ From net investment income (.14) (.40) (.40) (.45) (.49) (.46) - ------------------------------------------------------------------------------------------------------------ From net realized gain on investments -- -- (.02) (.01) (1.25) (1.25) - ------------------------------------------------------------------------------------------------------------ Total distributions (.14) (.40) (.42) (.46) (1.74) (1.71) - ------------------------------------------------------------------------------------------------------------ Net asset value, end of period $17.02 $15.57 $14.87 $17.08 $15.63 $18.33 - ------------------------------------------------------------------------------------------------------------ Total return at net asset value (%)(b) 10.26* 7.58 (10.69) 12.31 (5.52) 7.80 - ------------------------------------------------------------------------------------------------------------ Ratios and supplemental data - ------------------------------------------------------------------------------------------------------------ Net assets, end of period (in thousands) $229,874 $239,662 $222,176 $252,802 $223,246 $293,336 - ------------------------------------------------------------------------------------------------------------ Ratio of expenses to average net assets (%)(c) .74* 1.49 1.46 1.42 1.43 1.43 - ------------------------------------------------------------------------------------------------------------ Ratio of net investment income to average net assets (%) .74* 2.02 2.25 2.60 2.82 2.61 - ------------------------------------------------------------------------------------------------------------ Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68 - ------------------------------------------------------------------------------------------------------------
* Not annualized. (a) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (b) Total return assumes dividend reinvestment and does not reflect the effect of sales charges. (c) Includes amounts paid through brokerage service and expense offset arrangements (Note 2). (d) Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy. (e) Portfolio turnover excludes the impact of assets received from the acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund (Note 5). The accompanying notes are an integral part of these financial statements.
Financial highlights (For a common share outstanding throughout the period) CLASS R - --------------------------------------------------------------------------------------------------- For the Six months period ended January 21, January 31 2003+ to Per-share (Unaudited) July 31 operating performance 2004 2003 - --------------------------------------------------------------------------------------------------- Net asset value, beginning of period $15.70 $15.05 - --------------------------------------------------------------------------------------------------- Investment operations: - --------------------------------------------------------------------------------------------------- Net investment income (a) .14 .17 - --------------------------------------------------------------------------------------------------- Net realized and unrealized gain on investments 1.50 .65 - --------------------------------------------------------------------------------------------------- Total from investment operations 1.64 .82 - --------------------------------------------------------------------------------------------------- Less distributions: - --------------------------------------------------------------------------------------------------- From net investment income (.15) (.17) - --------------------------------------------------------------------------------------------------- Total distributions (.15) (.17) - --------------------------------------------------------------------------------------------------- Net asset value, end of period $17.19 $15.70 - --------------------------------------------------------------------------------------------------- Total return at net asset value (%)(b) 10.54* 5.52* - --------------------------------------------------------------------------------------------------- Ratios and supplemental data - --------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $1 $1 - --------------------------------------------------------------------------------------------------- Ratio of expenses to average net assets (%)(c) .62* .65* - --------------------------------------------------------------------------------------------------- Ratio of net investment income to average net assets (%) .87* 1.18* - --------------------------------------------------------------------------------------------------- Portfolio turnover (%) 76.75* 121.38 (d)(e) - ---------------------------------------------------------------------------------------------------
+ Commencement of operations. * Not annualized. (a) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (b) Total return assumes dividend reinvestment and does not reflect the effect of sales charges. (c) Includes amounts paid through brokerage service and expense offset arrangements (Note 2). (d) Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy. (e) Portfolio turnover excludes the impact of assets received from the acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund (Note 5). The accompanying notes are an integral part of these financial statements.
Financial highlights (For a common share outstanding throughout the period) CLASS Y - ------------------------------------------------------------------------------------------------------------- Six months ended January 31 Per-share (Unaudited) Year ended July 31 operating performance 2004 2003 2002 2001 2000 1999 - ------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $15.76 $15.05 $17.28 $15.80 $18.53 $18.85 - ------------------------------------------------------------------------------------------------------------- Investment operations: - ------------------------------------------------------------------------------------------------------------- Net investment income (a) .18 .41 .49 .56 .60 .62 - ------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments 1.49 .82 (2.17) 1.50 (1.46) .91 - ------------------------------------------------------------------------------------------------------------- Total from investment operations 1.67 1.23 (1.68) 2.06 (.86) 1.53 - ------------------------------------------------------------------------------------------------------------- Less distributions: - ------------------------------------------------------------------------------------------------------------- From net investment income (.20) (.52) (.53) (.57) (.62) (.60) - ------------------------------------------------------------------------------------------------------------- From net realized gain on investments -- -- (.02) (.01) (1.25) (1.25) - ------------------------------------------------------------------------------------------------------------- Total distributions (.20) (.52) (.55) (.58) (1.87) (1.85) - ------------------------------------------------------------------------------------------------------------- Net asset value, end of period $17.23 $15.76 $15.05 $17.28 $15.80 $18.53 - ------------------------------------------------------------------------------------------------------------- Total return at net asset value (%)(b) 10.68* 8.38 (10.01) 13.18 (4.89) 8.63 - ------------------------------------------------------------------------------------------------------------- Ratios and supplemental data - ------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $985,436 $880,435 $731,900 $768,075 $621,363 $744,552 - ------------------------------------------------------------------------------------------------------------- Ratio of expenses to average net assets (%)(c) .37* .74 .71 .67 .68 .68 - ------------------------------------------------------------------------------------------------------------- Ratio of net investmen income to average net assets (%) 1.12* 2.76 3.00 3.35 3.57 3.33 - ------------------------------------------------------------------------------------------------------------- Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68 - -------------------------------------------------------------------------------------------------------------
* Not annualized. (a) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (b) Total return assumes dividend reinvestment and does not reflect the effect of sales charges. (c) Includes amounts paid through brokerage service and expense offset arrangements (Note 2). (d) Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy. (e) Portfolio turnover excludes the impact of assets received from the acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund (Note 5). The accompanying notes are an integral part of these financial statements. Notes to financial statements January 31, 2004 (Unaudited) Note 1 Significant accounting policies The George Putnam Fund of Boston ("the fund"), is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. The fund seeks to provide a balanced investment comprised of a well-diversified portfolio of stocks and bonds, which will produce both capital growth and current income. The fund offers class A, class B, class C, class M, class R and class Y shares. Class A shares are sold with a maximum front-end sales charge of 5.25%. Prior to January 28, 2004, the maximum front-end sales charge for class A shares was 5.75%. Class B shares, which convert to class A shares after approximately eight years, do not pay a front-end sales charge but pay a higher ongoing distribution fee than class A, class M and class R shares, and are subject to a contingent deferred sales charge, if those shares are redeemed within six years of purchase. Class C shares are subject to the same fees and expenses as class B shares, except that class C shares have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class M shares are sold with a maximum front end sales charge of 3.50% and pay an ongoing distribution fee that is higher than class A and class R shares but lower than class B and class C shares. Class R shares are sold without a front-end-sales charge and pay an ongoing distribution fee that is higher than class A shares, but lower than class B, class C and class M shares. Class R shares are offered to qualified employee-benefit plans. Class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee. Class Y shares are sold to certain eligible purchasers including certain defined contribution plans (including corporate IRAs), bank trust departments, trust companies and certain college savings plans. Expenses of the fund are borne pro-rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the distribution fees applicable to such class). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. Shares of each class would receive their pro-rata share of the net assets of the fund, if the fund were liquidated. In addition, the Trustees declare separate dividends on each class of shares. Effective April 19, 2004, a 2.0% redemption fee may apply to any shares that are redeemed (either by selling or exchanging into another fund) within 5 days of purchase. The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. A) Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies are translated into U.S. dollars at the current exchange rate. Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value. Tax-exempt bonds and notes are valued on the basis of valuations provided by an independent pricing service, approved by the Trustees. Such services use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. Other investments, including restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. B) Joint trading account The fund may transfer uninvested cash balances, including cash collateral received under security lending arrangements, into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. These balances may be invested in issuers of high-grade short-term investments having maturities of up to 397 days for collateral received under security lending arrangements and up to 90 days for other cash investments. C) Security transactions and related investment income Security transactions are recorded on the trade date (date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis. Interest income is recorded on the accrual basis. Dividend income is recognized on the ex-dividend date except that certain dividends from foreign securities are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. All premiums/discounts are amortized/accreted on a yield-to-maturity basis. D) Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities are recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund's books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments. E) Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). 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. Forward currency contracts outstanding at period end, if any, are listed after the fund's portfolio. F) Futures and options contracts The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase. The fund may also write options on securities it owns or in which it may invest to increase its current returns. The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin." Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund's portfolio. G) Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security or index 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, respectively. Total return swap contracts are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gain or loss. 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. Total return swap contracts outstanding at period end, if any, are listed after the fund's portfolio. H) Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund's exposure to interest rates. Interest rate swap contracts are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gain or loss. 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. Interest rate swap contracts outstanding at period end, if any, are listed after the fund's portfolio. I) Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront payment to a counter party, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal to the notional amount, at par, of the underlying index or security as a result of a related credit event. The 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. The credit default contracts are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. The risk of loss may exceed the fair value of these contracts recognized on the Statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund's portfolio. J) TBA purchase commitments The fund may enter into "TBA" (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund's other assets. Unsettled TBA purchase commitments are valued at the fair value of the underlying securities, according to the procedures described under "Security valuation" above. 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. K) TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction. Unsettled TBA sale commitments are valued at 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 purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund's portfolio. L) Security lending The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund's agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the Statement of operations. At January 31, 2004, the value of securities loaned amounted to $45,999,195. The fund received cash collateral of $48,006,611 which is pooled with collateral of other Putnam funds into 9 issuers of high-grade short-term investments. M) Line of credit During the period, the fund was entered into a committed line of credit with certain banks. The line of credit agreement included restrictions that the fund would maintain an asset coverage ratio of at least 300% and that borrowings would not exceed prospectus limitations. For the period ended August 6, 2003, the fund had no borrowings against the line of credit. Effective August 6, 2003, the fund will no longer participate in a committed line of credit. N) Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time and otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Internal Revenue Code of 1986, as amended. Therefore, no provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. At July 31, 2003, the fund had a capital loss carryover of $418,373,972 available to the extent allowed by tax law to offset future net capital gains, if any. The amount of the carryover and the expiration dates are: Loss Carryover Expiration - -------------------------------- $711,962 July 31, 2009 118,009,857 July 31, 2010 299,652,153 July 31, 2011 Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer to its fiscal year ending July 31, 2004, $133,505,182 of losses recognized during the period November 1, 2002 to July 31, 2003 a portion which could be limited by Section 381. The aggregate identified cost on a tax basis is $6,595,343,380, resulting in gross unrealized appreciation and depreciation of $786,329,455 and $64,907,437 respectively, or net unrealized appreciation of $721,422,018. O) Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Reclassifications are made to the fund's capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. Note 2 Management fee, administrative services and other transactions Putnam Management is paid for management and investment advisory services quarterly based on the average net assets of the fund. Such fee is based on the following annual rates: 0.65% of the first $500 million of average net assets, 0.55% of the next $500 million, 0.50% of the next $500 million, 0.45% of the next $5 billion, 0.425% of the next $5 billion, 0.405% of the next $5 billion, 0.39% of the next $5 billion and 0.38% thereafter. Effective January 28, 2004, Putnam Management has agreed to limit its compensation (and, to the extent necessary, bear other expenses) through December 31, 2004, to the extent that the fund's net expenses as a percentage of average net assets exceed the average expense ratio for the fund's Lipper peer group of front-end load funds. The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees. Custodial functions for the fund's assets are provided by Putnam Fiduciary Trust Company (PFTC), a subsidiary of Putnam, LLC. Putnam Investor Services, a division of PFTC, provides investor servicing agent functions to the fund. During the six months ended January 31, 2004, the fund paid PFTC $5,811,519 for these services. The fund has entered into an arrangement with PFTC whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the fund's expenses. The fund also reduced expenses through brokerage service arrangements. For the six months ended January 31, 2004, the fund's expenses were reduced by $797,121 under these arrangements. Each independent Trustee of the fund receives an annual Trustee fee, of which $4,398 has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees receive additional fees for attendance at certain committee meetings. The fund has adopted a Trustee Fee Deferral Plan (the "Deferral Plan"), which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan. The fund has adopted an unfunded noncontributory defined benefit pension plan (the "Pension Plan") covering all Trustees of the fund who have served as a Trustee for at least five years. Benefits under the Pension Plan are equal to 50% of the Trustee's average total retainer and meeting fees for the three years preceding retirement. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The fund has adopted distribution plans (the "Plans") with respect to its class A, class B, class C, class M and class R shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management, a wholly-owned subsidiary of Putnam, LLC and Putnam Retail Management GP, Inc., for services provided and expenses incurred by it in distributing shares of the fund. The Plans provide for payments by the fund to Putnam Retail Management at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at the annual rates of 0.25%, 1.00%, 1.00%, 0.75% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. For the six months ended January 31, 2004, Putnam Retail Management, acting as underwriter, received net commissions of $404,240 and $5,098 from the sale of class A and class M shares, respectively, and received $2,007,783 and $36,386 in contingent deferred sales charges from redemptions of class B and class C shares, respectively. A deferred sales charge of up to 1.00% and 0.65% is assessed on certain redemptions of class A and class M shares, respectively. For the six months ended January 31, 2004, Putnam Retail Management, acting as underwriter, received $210,624 and no monies on class A and class M redemptions, respectively. Note 3 Purchases and sales of securities During the six months ended January 31, 2004, cost of purchases and proceeds from sales of investment securities other than U.S. government obligations and short-term investments aggregated $3,569,359,488 and $4,365,864,710, respectively. Purchases and sales of U.S. government obligations aggregated $595,333,073 and $841,016,289, respectively. Written option transactions during the period are summarized as follows: Contract Premiums Amounts Received - ---------------------------------------------------------------- Written options outstanding at beginning of period 25,121 $15,324 - ---------------------------------------------------------------- Options opened 833,093 211,039 Options exercised -- -- Options expired (50,242) (32,773) Options closed (807,972) (193,590) - ---------------------------------------------------------------- Written options outstanding at end of period -- $-- - ---------------------------------------------------------------- Note 4 Capital shares At January 31, 2004, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows: Six months ended January 31, 2004 - ---------------------------------------------------------------- Class A Shares Amount - ---------------------------------------------------------------- Shares sold 20,280,072 $330,226,332 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 2,310,684 36,769,424 - ---------------------------------------------------------------- 22,590,756 366,995,756 Shares repurchased (59,337,430) (969,569,723) - ---------------------------------------------------------------- Net decrease (36,746,674) $(602,573,967) - ---------------------------------------------------------------- Year ended July 31, 2003 - ---------------------------------------------------------------- Class A Shares Amount - ---------------------------------------------------------------- Shares sold 56,893,872 $849,636,705 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 6,611,050 98,441,412 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Fund 5,510,707 78,454,369 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Retirement Fund 36,618,830 521,331,845 - ---------------------------------------------------------------- 105,634,459 1,547,864,331 Shares repurchased (64,088,705) (949,329,152) - ---------------------------------------------------------------- Net increase 41,545,754 $598,535,179 - ---------------------------------------------------------------- Six months ended January 31, 2004 - ---------------------------------------------------------------- Class B Shares Amount - ---------------------------------------------------------------- Shares sold 6,212,207 $100,082,795 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 541,347 8,537,148 - ---------------------------------------------------------------- 6,753,554 108,619,943 Shares repurchased (18,532,401) (300,736,830) - ---------------------------------------------------------------- Net decrease (11,778,847) $(192,116,887) - ---------------------------------------------------------------- Year ended July 31, 2003 - ---------------------------------------------------------------- Class B Shares Amount - ---------------------------------------------------------------- Shares sold 16,149,786 $237,706,103 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 1,840,131 27,227,335 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Fund 1,154,490 16,293,350 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Retirement Fund 14,223,453 200,736,033 - ---------------------------------------------------------------- 33,367,860 481,962,821 Shares repurchased (21,153,997) (307,917,883) - ---------------------------------------------------------------- Net increase 12,213,863 $174,044,938 - ---------------------------------------------------------------- Six months ended January 31, 2004 - ---------------------------------------------------------------- Class C Shares Amount - ---------------------------------------------------------------- Shares sold 806,217 $12,929,407 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 38,278 606,029 - ---------------------------------------------------------------- 844,495 13,535,436 Shares repurchased (2,073,299) (33,938,851) - ---------------------------------------------------------------- Net decrease (1,228,804) $(20,403,415) - ---------------------------------------------------------------- Year ended July 31, 2003 - ---------------------------------------------------------------- Class C Shares Amount - ---------------------------------------------------------------- Shares sold 2,469,236 $36,842,084 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 107,929 1,603,699 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Fund 206,343 2,926,165 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Retirement Fund 1,118,461 15,861,018 - ---------------------------------------------------------------- 3,901,969 57,232,966 Shares repurchased (1,621,481) (23,883,301) - ---------------------------------------------------------------- Net increase 2,280,488 $33,349,665 - ---------------------------------------------------------------- Six months ended January 31, 2004 - ---------------------------------------------------------------- Class M Shares Amount - ---------------------------------------------------------------- Shares sold 1,041,192 $16,775,672 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 126,656 1,998,349 - ---------------------------------------------------------------- 1,167,848 18,774,021 Shares repurchased (3,051,000) (49,647,615) - ---------------------------------------------------------------- Net decrease (1,883,152) $(30,873,594) - ---------------------------------------------------------------- Year ended July 31, 2003 - ---------------------------------------------------------------- Class M Shares Amount - ---------------------------------------------------------------- Shares sold 2,958,968 $43,759,073 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 410,989 6,080,663 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Fund 49,611 700,183 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Retirement Fund 1,163,340 16,418,669 - ---------------------------------------------------------------- 4,582,908 66,958,588 Shares repurchased (4,130,141) (60,618,953) - ---------------------------------------------------------------- Net increase 452,767 $6,339,635 - ---------------------------------------------------------------- Six months ended January 31, 2004 - ---------------------------------------------------------------- Class R Shares Amount - ---------------------------------------------------------------- Shares sold -- $-- - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 1 10 - ---------------------------------------------------------------- 1 10 Shares repurchased -- -- - ---------------------------------------------------------------- Net increase 1 $10 - ---------------------------------------------------------------- For the period January 21, 2003 (commencement of operations) to July 31, 2003 - ---------------------------------------------------------------- Class R Shares Amount - ---------------------------------------------------------------- Shares sold 65 $1,000 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 2 11 - ---------------------------------------------------------------- 67 1,011 Shares repurchased -- -- - ---------------------------------------------------------------- Net increase 67 $1,011 - ---------------------------------------------------------------- Six months ended January 31, 2004 - ---------------------------------------------------------------- Class Y Shares Amount - ---------------------------------------------------------------- Shares sold 8,627,067 $139,507,808 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 716,576 11,431,333 - ---------------------------------------------------------------- 9,343,643 150,939,141 Shares repurchased (7,998,221) (131,301,697) - ---------------------------------------------------------------- Net increase 1,345,422 $19,637,444 - ---------------------------------------------------------------- Year ended July 31 2003 - ---------------------------------------------------------------- Class Y Shares Amount - ---------------------------------------------------------------- Shares sold 13,589,658 $204,021,187 - ---------------------------------------------------------------- Shares issued in connection with reinvestment of distributions 1,762,486 26,338,433 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Fund 1,599,557 22,813,715 - ---------------------------------------------------------------- Shares issued in connection with the merger of Putnam Balanced Retirement Fund 295,174 4,209,928 - ---------------------------------------------------------------- 17,246,875 257,383,263 Shares repurchased (10,018,455) (149,688,756) - ---------------------------------------------------------------- Net increase 7,228,420 $107,694,507 - ---------------------------------------------------------------- At January 31, 2004, Putnam, LLC owned 68 class R shares of the fund (100% of class R shares outstanding), valued at $1,166. Note 5 Acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund On September 23, 2002, the fund issued the following shares to acquire the net assets of Putnam Balanced Fund and Putnam Balanced Retirement Fund in a tax-free exchange approved by the shareholders. Shares Shares Issued Exchanged - ------------------------------------------------------------ Putnam Balanced Fund Class A 5,510,707 9,462,721 Class B 1,154,490 1,970,031 Class C 206,343 353,307 Class M 49,611 84,332 Class Y 1,599,557 2,752,898 - ------------------------------------------------------------ Putnam Balanced Retirement Fund Class A 36,618,830 55,745,386 Class B 14,223,453 21,678,937 Class C 1,118,461 1,705,371 Class M 1,163,340 1,766,568 Class Y 295,174 450,232 - ------------------------------------------------------------ The net assets of the fund, Putnam Balanced Fund and Putnam Balanced Retirement Fund on September 20, 2002, valuation date, were $4,894,295,298, $121,187,782 and $758,557,493, respectively. On September 20, 2002, Putnam Balanced Fund had unrealized depreciation of $6,934,989 and Putnam Balanced Retirement Fund had unrealized depreciation of $31,608,849, respectively. The aggregate net assets of the fund immediately following the acquisition were $5,774,040,573. Note 6 Regulatory matters and litigation On November 13, 2003, Putnam Management agreed to entry of an order by the Securities and Exchange Commission in partial resolution of administrative and cease-and-desist proceedings initiated by the SEC on October 28, 2003 in connection with alleged excessive short-term trading by at least six Putnam Management investment professionals. The SEC's findings reflect that four of those employees engaged in such trading in funds over which they had investment decision-making responsibility and had access to non-public information regarding, among other things, current portfolio holdings and valuations. The six individuals are no longer employed by Putnam Management. Under the order, Putnam Management will make restitution for losses attributable to excessive short-term trading by Putnam employees, institute new employee trading restrictions and enhanced employee trading compliance, retain an independent compliance consultant, and take other remedial actions. Putnam Management neither admitted nor denied the order's findings, which included findings that Putnam Management willfully violated provisions of the federal securities laws. A civil monetary penalty and other monetary relief, if any, will be determined at a later date. If a hearing is necessary to determine the amounts of such penalty or other relief, Putnam Management will be precluded from arguing that it did not violate the federal securities laws in the manner described in the SEC order, the findings set forth in the SEC order will be accepted as true by the hearing officer and additional evidence may be presented. Putnam Management, and not the investors in any Putnam fund, will bear all costs, including restitution, civil penalties and associated legal fees. Administrative proceedings instituted by the Commonwealth of Massachusetts on October 28, 2003 against Putnam Management in connection with alleged market timing activities by Putnam employees and by participants in some Putnam-administered 401(k) plans are pending. Putnam Management has committed to make complete restitution for any losses suffered by Putnam shareholders as a result of any improper market-timing activities by Putnam employees or within Putnam-administered 401(k) plans. The SEC's and Commonwealth's allegations and related matters also serve as the general basis for numerous lawsuits, including purported class action lawsuits filed against Putnam Management and certain related parties, including certain Putnam funds. Putnam Management has agreed to bear any costs incurred by Putnam funds in connection with these lawsuits. Based on currently available information, Putnam Management believes that the likelihood that the pending private lawsuits and purported class action lawsuits will have a material adverse financial impact on the fund is remote, and the pending actions are not likely to materially affect its ability to provide investment management services to its clients, including the Putnam funds. For the period ended January 31, 2004, Putnam Management has assumed $84,675 of legal, shareholder servicing and communication, audit, and Trustee fees incurred by the fund in connection with these matters. Review of these matters by counsel for Putnam Management and by separate independent counsel for the Putnam funds and their independent Trustees is continuing. In addition, Marsh & McLennan Companies, Inc., Putnam Management's parent company, has engaged counsel to conduct a separate review of Putnam Management's policies and controls related to short-term trading. The fund may experience increased redemptions as a result of these matters, which could result in increased transaction costs and operating expenses. Note 7 Other matters In connection with an ongoing review of compliance procedures and controls, Putnam Management discovered that in early January 2001, certain Putnam employees had willfully circumvented controls in connection with the correction of operational errors with respect to a 401(k) client's investment in certain Putnam Funds, which led to losses in the fund. Putnam made restitution of approximately $169,000 to the fund on February 27, 2004. Putnam and the fund's trustees are in the process of finalizing the restitution amount. Putnam has also made a number of personnel changes, including senior managers, and has begun to implement changes in procedures. Putnam has informed the SEC, the Funds' Trustees and independent auditors. POWER OF ATTORNEY I, the undersigned Officer of each of the funds listed on Schedule A hereto, hereby severally constitute and appoint John Hill, George Putnam III, Patricia Flaherty, John W. Gerstmayr and Bryan Chegwidden, and each of them singly, my true and lawful attorneys, with full power to them and each of them, to sign for me, and in my name and in the capacities indicated below, the Registration Statements on Form N-1A or Form N-14 of each of the funds listed on Schedule A hereto and any and all amendments (including post-effective amendments) to said Registration Statements and to file the same with all exhibits thereto, and other documents in connection therewith, with the Securities and Exchange Commission, granting unto my said attorneys, and each of them acting alone, full power and authority to do and perform each and every act and thing requisite or necessary to be done in the premises, as fully to all intents and purposes as he might or could do in person, and hereby ratify and confirm all that said attorneys or any of them may lawfully do or cause to be done by virtue thereof. WITNESS my hand and seal on the date set forth below. Signature Title Date /s/ Charles E. Porter - ---------------------------- Executive Vice President; March 19, 2004 Charles E. Porter Treasurer and Principal Executive Officer Schedule A Putnam American Government Income Fund Putnam Arizona Tax Exempt Income Fund Putnam Asset Allocation Funds Putnam California Tax Exempt Income Fund Putnam Capital Appreciation Fund Putnam Classic Equity Fund Putnam Convertible Income-Growth Trust Putnam Diversified Income Trust Putnam Discovery Growth Fund Putnam Equity Income Fund Putnam Europe Equity Fund Putnam Florida Tax Exempt Income Fund Putnam Funds Trust The George Putnam Fund of Boston Putnam Global Equity Fund Putnam Global Income Trust Putnam Global Natural Resources Fund The Putnam Fund for Growth and Income Putnam Health Sciences Trust Putnam High Yield Advantage Fund Putnam High Yield Trust Putnam Income Fund Putnam Intermediate U.S. Government Income Fund Putnam International Equity Fund Putnam Investment Funds Putnam Investors Fund Putnam Massachusetts Tax Exempt Income Fund Putnam Michigan Tax Exempt Income Fund Putnam Minnesota Tax Exempt Income Fund Putnam Money Market Fund Putnam Municipal Income Fund Putnam New Jersey Tax Exempt Income Fund Putnam New Opportunities Fund Putnam New York Tax Exempt Income Fund Putnam Ohio Tax Exempt Income Fund Putnam OTC & Emerging Growth Fund Putnam Pennsylvania Tax Exempt Income Fund Putnam Tax Exempt Income Fund Putnam Tax Exempt Money Market Fund Putnam Tax-Free Income Trust Putnam Tax Smart Funds Trust Putnam U.S. Government Income Trust Putnam Utilities Growth and Income Fund Putnam Variable Trust Putnam Vista Fund Putnam Voyager Fund SIGNATURES Pursuant to the requirements of the Securities Act of 1933 and the Investment Company Act of 1940, the Registrant has duly caused this Amendment to its Registration Statement to be signed on its behalf by the undersigned, duly authorized, in the City of Boston, and The Commonwealth of Massachusetts, on the 9th day of April, 2004. The George Putnam Fund of Boston By: /s/ Charles E. Porter, Executive Vice President Pursuant to the requirements of the Securities Act of 1933, this Amendment to the Registration Statement has been signed below by the following persons in the capacities and on the dates indicated: Signature Title John A. Hill Chairman of the Board; Trustee George Putnam, III President; Trustee Charles E. Porter Executive Vice President; Treasurer and Principal Executive Officer Steven D. Krichmar Vice President and Principal Financial Officer Michael T. Healy Assistant Treasurer and Principal Accounting Officer Jameson A. Baxter Trustee Charles B. Curtis Trustee Ronald J. Jackson Trustee Paul L. Joskow Trustee Elizabeth T. Kennan Trustee John H. Mullin, III Trustee Robert E. Patterson Trustee A.J.C. Smith Trustee W. Thomas Stephens Trustee W. Nicholas Thorndike Trustee By: /s/ Charles E. Porter, as Attorney-in-Fact April 9, 2004 EX-99.J OTHER OPININ 3 exnnj2.txt EX-99.J OTHER OPININ CONSENT OF INDEPENDENT ACCOUNTANTS We hereby consent to the incorporation by reference in this Post-Effective Amendment No. 93 to the registration statement on Form N-1A (File No. 2-10816) ("Registration Statement") of our report dated September 11, 2003, relating to the financial statements and financial highlights appearing in the July 31, 2003, Annual Report of The George Putnam Fund of Boston, which are also incorporated by reference into the Registration Statement. We also consent to the references to us under the headings "Financial highlights" and "Independent Auditors and Financial Statements" in the Prospectus and Statement of Additional Information incorporated by reference into such Registration Statement. PricewaterhouseCoopers LLP /s/ PricewaterhouseCoopers LLP Boston, Massachusetts April 8, 2004 -----END PRIVACY-ENHANCED MESSAGE-----