N-Q 1 a_george.htm THE GEORGE PUTNAM FUND OF BOSTON a_george.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY

Investment Company Act file number: (811- 00058 )

Exact name of registrant as specified in charter: The George Putnam Fund of Boston

Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109

Name and address of agent for service:  Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
 
Copy to:  John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  One International Place 
  Boston, Massachusetts 02110 
 
Registrant’s telephone number, including area code:  (617) 292-1000 

Date of fiscal year end: July 31, 2006

Date of reporting period: April 30, 2006,

Item 1. Schedule of Investments:

The George Putnam Fund of Boston     
The fund's portfolio     
4/30/06 (Unaudited)     
 
COMMON STOCKS (58.7%)(a)     
  Shares  Value 
 
Aerospace and Defense (1.6%)     
Boeing Co. (The)  269,700  $22,506,465 
Lockheed Martin Corp.  688,700  52,272,330 
    74,778,795 
 
Airlines (0.1%)     
Southwest Airlines Co. (S)  286,700  4,650,274 
 
Automotive (0.3%)     
General Motors Corp. (S)  614,800  14,066,624 
 
Banking (9.5%)     
Bank of America Corp.  2,779,845  138,769,862 
Citigroup, Inc. (SEG)  2,577,900  128,766,105 
Commerce Bancorp, Inc.  209,500  8,451,230 
U.S. Bancorp  2,289,260  71,974,334 
Wachovia Corp.  399,200  23,892,120 
Washington Mutual, Inc.  521,400  23,494,284 
Wells Fargo & Co.  870,600  59,801,514 
    455,149,449 
 
Beverage (0.7%)     
Coca-Cola Co. (The)  498,900  20,933,844 
Coca-Cola Enterprises, Inc.  542,700  10,598,931 
    31,532,775 
 
Biotechnology (0.2%)     
Amgen, Inc. (NON)  146,800  9,938,360 
 
Building Materials (1.7%)     
Masco Corp.  1,423,400  45,406,460 
Sherwin-Williams Co. (The)  583,400  29,718,396 
Vulcan Materials Co. (S)  93,300  7,926,768 
    83,051,624 
 
Cable Television (1.1%)     
Comcast Corp. Class A (NON) (S)  1,688,300  52,252,885 
 
Chemicals (0.9%)     
E.I. du Pont de Nemours & Co.  496,900  21,913,290 
Huntsman Corp. (NON)  141,400  2,778,510 
PPG Industries, Inc.  113,300  7,604,696 
Rohm & Haas Co.  227,100  11,491,260 
    43,787,756 
 
Communications Equipment (0.4%)     
Cisco Systems, Inc. (NON)  974,830  20,422,689 
 
Computers (2.3%)     
Dell, Inc. (NON)  702,600  18,408,120 
EMC Corp. (NON)  1,036,500  14,003,115 
Hewlett-Packard Co.  1,877,300  60,955,931 
IBM Corp.  191,500  15,768,110 
    109,135,276 
 
Conglomerates (3.7%)     
General Electric Co.  2,711,700  93,797,703 
Honeywell International, Inc.  503,500  21,398,750 
Textron, Inc.  150,700  13,555,465 
Tyco International, Ltd. (Bermuda)  1,880,650  49,555,128 
    178,307,046 
 
Consumer Finance (1.5%)     
Capital One Financial Corp.  516,700  44,766,888 
Countrywide Financial Corp.  628,400  25,550,744 
    70,317,632 
 
Consumer Goods (0.4%)     
Newell Rubbermaid, Inc.  211,600  5,802,072 
Procter & Gamble Co. (The)  236,100  13,743,381 

    19,545,453 
 
Containers (--%)     
Owens-Illinois, Inc. (NON)  73,700  1,347,236 
 
Electric Utilities (2.4%)     
Dominion Resources, Inc.  199,650  14,947,796 
DPL, Inc. (S)  310,400  8,433,568 
Entergy Corp.  263,900  18,457,166 
Exelon Corp. (S)  489,300  26,422,200 
PG&E Corp.  698,550  27,830,232 
Public Service Enterprise Group, Inc.  101,500  6,364,050 
Wisconsin Energy Corp. (S)  352,400  13,761,220 
    116,216,232 
 
Electronics (1.4%)     
Arrow Electronics, Inc. (NON)  237,500  8,597,500 
Avnet, Inc. (NON)  259,300  6,780,695 
Intel Corp.  2,115,400  42,265,692 
Micron Technology, Inc. (NON)  521,200  8,844,764 
    66,488,651 
 
Energy (0.9%)     
BJ Services Co.  209,000  7,952,450 
Cooper Cameron Corp. (NON) (S)  217,500  10,927,200 
Pride International, Inc. (NON)  460,500  16,066,845 
Weatherford International, Ltd. (NON)  162,700  8,611,711 
    43,558,206 
 
Financial (1.5%)     
Allied Capital Corp. (S)  234,200  7,274,252 
Fannie Mae  230,800  11,678,480 
Freddie Mac  440,540  26,899,372 
PMI Group, Inc. (The)  464,800  21,450,520 
Radian Group, Inc.  37,500  2,352,000 
    69,654,624 
 
Food (0.5%)     
General Mills, Inc.  481,300  23,747,342 
 
Forest Products and Packaging (0.1%)     
Crown Holdings, Inc. (NON)  403,900  6,474,517 
 
Health Care Services (1.1%)     
Cardinal Health, Inc.  302,300  20,359,905 
CIGNA Corp.  199,900  21,389,300 
HCA, Inc.  241,600  10,603,824 
    52,353,029 
 
Homebuilding (0.3%)     
Lennar Corp. (S)  116,800  6,415,824 
NVR, Inc. (NON)  9,436  7,124,180 
    13,540,004 
 
Household Furniture and Appliances (0.4%)     
Whirlpool Corp.  218,700  19,628,325 
 
Insurance (4.5%)     
ACE, Ltd. (Bermuda)  636,500  35,351,210 
American International Group, Inc.  529,150  34,527,038 
Axis Capital Holdings, Ltd. (Bermuda)  373,303  11,131,895 
Berkshire Hathaway, Inc. Class B (NON)  3,320  9,800,640 
Chubb Corp. (The)  678,100  34,949,274 
Everest Re Group, Ltd. (Barbados)  378,600  34,452,600 
Genworth Financial, Inc. Class A  365,160  12,123,312 
Hartford Financial Services Group, Inc. (The)  146,200  13,440,166 
Prudential Financial, Inc.  213,200  16,657,316 
Willis Group Holdings, Ltd. (United Kingdom)  331,200  11,641,680 
    214,075,131 
 
Investment Banking/Brokerage (1.3%)     
Bear Stearns Cos., Inc. (The) (S)  121,600  17,329,216 
Lehman Brothers Holdings, Inc.  115,200  17,412,480 
Morgan Stanley  412,200  26,504,460 
    61,246,156 
 
Leisure (0.1%)     
Brunswick Corp.  143,600  5,631,992 

Lodging/Tourism (0.8%)     
Cendant Corp.  1,487,400  25,925,382 
Royal Caribbean Cruises, Ltd.  324,200  13,548,318 
    39,473,700 
 
Machinery (0.5%)     
Parker-Hannifin Corp.  311,700  25,263,285 
 
Manufacturing (0.4%)     
Ingersoll-Rand Co., Ltd. Class A (Bermuda)  424,700  18,580,625 
 
Media (0.8%)     
Walt Disney Co. (The) (S)  1,289,100  36,043,236 
 
Medical Services (0.5%)     
WellPoint, Inc. (NON)  363,100  25,780,100 
 
Medical Technology (1.1%)     
Baxter International, Inc.  399,700  15,068,690 
Becton, Dickinson and Co.  362,400  22,845,696 
Boston Scientific Corp. (NON)  601,800  13,985,832 
    51,900,218 
 
Metals (0.8%)     
Alcoa, Inc. (S)  464,800  15,700,944 
Freeport-McMoRan Copper & Gold, Inc. Class B (S)  100,400  6,483,832 
Phelps Dodge Corp.  110,500  9,523,995 
United States Steel Corp. (S)  123,800  8,480,300 
    40,189,071 
 
Natural Gas Utilities (0.2%)     
Sempra Energy  211,500  9,733,230 
 
Oil & Gas (4.2%)     
Amerada Hess Corp.  139,000  19,914,530 
Chevron Corp.  364,900  22,266,198 
Devon Energy Corp.  159,700  9,599,567 
EOG Resources, Inc.  78,500  5,513,055 
Exxon Mobil Corp.  1,150,000  72,542,000 
Marathon Oil Corp.  360,700  28,625,152 
Newfield Exploration Co. (NON) (S)  133,800  5,967,480 
Occidental Petroleum Corp.  194,800  20,013,752 
Sunoco, Inc.  89,600  7,261,184 
Valero Energy Corp.  118,600  7,678,164 
    199,381,082 
 
Pharmaceuticals (1.4%)     
Barr Pharmaceuticals, Inc. (NON)  78,100  4,728,955 
Johnson & Johnson  352,800  20,677,608 
Pfizer, Inc.  327,800  8,303,174 
Watson Pharmaceuticals, Inc. (NON)  324,200  9,220,248 
Wyeth  458,700  22,324,929 
    65,254,914 
 
Power Producers (0.1%)     
AES Corp. (The) (NON)  416,300  7,064,611 
 
Publishing (0.4%)     
R. R. Donnelley & Sons Co.  583,100  19,644,639 
 
Railroads (0.4%)     
Norfolk Southern Corp.  339,200  18,316,800 
 
Regional Bells (1.3%)     
Verizon Communications, Inc.  1,816,200  59,989,086 
 
Restaurants (0.5%)     
McDonald's Corp.  691,100  23,891,327 
 
Retail (2.0%)     
Foot Locker, Inc.  293,500  6,803,330 
Gap, Inc. (The)  307,300  5,559,057 
Home Depot, Inc. (The)  163,901  6,544,567 
Michaels Stores, Inc. (S)  149,500  5,655,585 
Office Depot, Inc. (NON)  478,100  19,401,298 
Rite Aid Corp. (NON)  1,907,600  8,584,200 
Sears Holdings Corp. (NON)  45,400  6,523,526 
Staples, Inc.  236,900  6,256,529 
Supervalu, Inc.  812,801  23,579,357 

Target Corp.  132,600  7,041,060 
    95,948,509 
 
Semiconductor (0.2%)     
Applied Materials, Inc. (S)  473,900  8,506,505 
 
Software (1.4%)     
McAfee, Inc. (NON)  456,100  11,899,649 
Microsoft Corp.  730,700  17,646,405 
Oracle Corp. (NON)  1,527,800  22,290,602 
Symantec Corp. (NON)  791,500  12,964,770 
    64,801,426 
 
Technology Services (0.4%)     
Accenture, Ltd. Class A (Bermuda)  452,500  13,154,175 
Fair Isaac Corp.  145,400  5,395,794 
    18,549,969 
 
Telecommunications (1.0%)     
Sprint Nextel Corp.  1,966,500  48,769,200 
 
Tobacco (1.0%)     
Altria Group, Inc.  634,600  46,427,336 
 
Waste Management (0.3%)     
Waste Management, Inc.  437,700  16,396,242 
 
    $2,800,803,194 
Total common stocks (cost $2,215,262,730)     
 
COLLATERALIZED MORTGAGE OBLIGATIONS (15.3%)(a)     
 
  Principal amount  Value 
 
Amresco Commercial Mortgage Funding I Ser. 97-C1,     
Class G, 7s, 2029  $1,030,000  $1,037,318 
Amresco Commercial Mortgage Funding I 144A Ser. 97-C1,     
Class H, 7s, 2029  664,000  670,813 
Asset Securitization Corp. Ser. 96-MD6, Class A7,     
8.293s, 2029  1,858,000  1,937,289 
Banc of America Commercial Mortgage, Inc.     
Ser. 01-1, Class G, 7.324s, 2036  950,000  999,753 
Ser. 04-3, Class A5, 5.481s, 2039  4,690,000  4,613,178 
Ser. 06-1, Class XC, Interest Only (IO), 0.045s, 2045  41,249,000  284,791 
Banc of America Commercial Mortgage, Inc. 144A     
Ser. 01-PB1, Class K, 6.15s, 2035  715,000  707,807 
Ser. 02-PB2, Class XC, IO, 0.26s, 2035  9,915,707  187,469 
Ser. 05-1, Class XW, IO, 0.16s, 2042  278,640,900  1,365,703 
Ser. 05-4, Class XC, IO, 0.045s, 2045  83,421,151  594,751 
Banc of America Large Loan     
FRB Ser. 04-BBA4, Class H, 5.851s, 2018  142,000  142,440 
FRB Ser. 04-BBA4, Class G, 5.601s, 2018  449,000  450,649 
Banc of America Large Loan 144A     
FRB Ser. 02-FL2A, Class L1, 7.84s, 2014  427,000  426,413 
FRB Ser. 02-FL2A, Class K1, 7.34s, 2014  148,000  147,972 
FRB Ser. 05-BOCA, Class M, 7.001s, 2016  956,000  958,044 
FRB Ser. 05-MIB1, Class K, 6.901s, 2022  496,000  486,856 
FRB Ser. 05-ESHA, Class K, 6.701s, 2020  1,660,000  1,659,988 
FRB Ser. 05-BOCA, Class L, 6.601s, 2016  456,000  456,696 
FRB Ser. 06-LAQ, Class M, 6.573s, 2021  1,104,000  1,103,938 
FRB Ser. 06-LAQ, Class L, 6.473s, 2021  920,000  919,948 
FRB Ser. 05-BOCA, Class K, 6.251s, 2016  470,000  470,719 
FRB Ser. 05-BOCA, Class J, 6.001s, 2016  200,000  200,245 
FRB Ser. 05-MIB1, Class J, 5.951s, 2022  1,400,000  1,401,854 
FRB Ser. 05-BOCA, Class H, 5.851s, 2016  200,000  200,270 
FRB Ser. 05-ESHA, Class G, 5.781s, 2020  1,024,000  1,023,141 
Ser. 06-LAQ, Class X1, IO, 0.675s, 2021  50,159,000  446,515 
Ser. 03-BBA2, Class X1A, IO, 0.488s, 2015  33,919,156  47,555 
Banc of America Structured Security Trust 144A Ser.     
02-X1, Class A3, 5.436s, 2033  1,930,000  1,926,711 
Bayview Commercial Asset Trust 144A     
FRB Ser. 05-1A, Class A1, 5.259s, 2035  1,926,725  1,924,413 
Ser. 05-3A, IO, 0.775s, 2035  21,687,965  1,794,720 
Ser. 05-1A, IO, 0.775s, 2035  8,099,440  602,396 
Ser. 04-3, IO, 0.775s, 2035  6,587,424  470,438 
Ser. 04-2, IO, 0.72s, 2034  10,107,745  754,133 
Bear Stearns Commercial Mortgage Securities, Inc. Ser.     
05-PWR9, Class X1, IO, 0.047s, 2042  41,686,371  392,643 
Bear Stearns Commercial Mortgage Securities, Inc. 144A     
FRB Ser. 05-LXR1, Class J, 6.551s, 2018  1,795,000  1,795,000 
FRB Ser. 05-LXR1, Class H, 6.101s, 2018  997,000  997,000 
FRB Ser. 05-LXR1, Class G, 5.851s, 2018  997,000  997,000 
Ser. 05-LXR1, Class X1, IO, 0.818s, 2018  96,649,000  716,846 
Ser. 05-PW10, Class X1, IO, 0.032s, 2040  64,550,607  289,961 
Bear Stearns Commercial Mortgage Securitization Corp.     
Ser. 00-WF2, Class F, 8.455s, 2032  456,000  505,081 
Ser. 04-PR3I, Class X1, IO, 0.26s, 2041  16,431,480  364,861 

Chase Commercial Mortgage Securities Corp. Ser. 00-3,     
Class A2, 7.319s, 2032  553,000  588,062 
Chase Commercial Mortgage Securities Corp. 144A     
Ser. 98-1, Class F, 6.56s, 2030  4,600,000  4,670,419 
Ser. 98-1, Class G, 6.56s, 2030  1,171,000  1,191,372 
Ser. 98-1, Class H, 6.34s, 2030  1,761,000  1,446,120 
Citigroup Commercial Mortgage Trust 144A Ser. 05-C3,     
Class XC, IO, 0.061s, 2043  118,766,338  1,224,778 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A     
Ser. 06-CD2, Class X, IO, 0.13s, 2046  76,781,000  465,293 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1,     
Class A3, 6.57s, 2030  4,937,500  4,965,366 
Commercial Mortgage Acceptance Corp. 144A Ser. 98-C1,     
Class F, 6.23s, 2031  2,013,000  2,024,036 
Commercial Mortgage Pass-Through Certificates Ser.     
04-LB2A, Class A4, 4.715s, 2039  26,622,000  24,916,430 
Commercial Mortgage Pass-Through Certificates 144A     
Ser. 06-CN2A, Class H, 5.756s, 2019  939,000  922,389 
Ser. 06-CN2A, Class J, 5.756s, 2019  751,000  734,718 
FRB Ser. 01-J2A, Class A2F, 5.401s, 2034  1,590,000  1,610,177 
Ser. 03-LB1A, Class X1, IO, 0.267s, 2038  9,223,194  372,396 
Ser. 05-LP5, Class XC, IO, 0.043s, 2043  73,806,375  766,848 
Ser. 05-C6, Class XC, IO, 0.036s, 2044  67,529,737  448,397 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,     
Class B, 7s, 2033  3,385,000  3,423,589 
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D,     
5.612s, 2035  2,903,000  2,797,540 
CS First Boston Mortgage Securities Corp.     
Ser. 97-C2, Class F, 7.46s, 2035  1,239,000  1,348,263 
Ser. 04-C2, Class A2, 5.416s, 2036  5,070,000  4,970,430 
Ser. 05-C4, Class A5, 5.104s, 2038  2,284,000  2,184,555 
CS First Boston Mortgage Securities Corp. 144A     
FRB Ser. 05-TFLA, Class J, 5.851s, 2020  518,000  517,931 
FRB Ser. 04-TF2A, Class J, 5.851s, 2016  313,000  312,998 
FRB Ser. 05-TF2A, Class J, 5.801s, 2020  1,237,000  1,237,000 
FRB Ser. 05-TFLA, Class H, 5.651s, 2020  319,000  318,998 
FRB Ser. 04-TF2A, Class H, 5.601s, 2019  627,000  626,997 
Ser. 01-CK1, Class AY, IO, 0.905s, 2035  67,907,000  2,025,666 
Ser. 02-CP3, Class AX, IO, 0.482s, 2035  22,921,963  915,237 
Ser. 03-C3, Class AX, IO, 0.357s, 2038  29,222,554  1,199,764 
Ser. 05-C2, Class AX, IO, 0.072s, 2037  76,780,207  1,131,817 
DLJ Commercial Mortgage Corp.     
Ser. 00-CF1, Class A1B, 7.62s, 2033  2,212,000  2,361,003 
Ser. 99-CG2, Class B3, 6.1s, 2032  1,752,000  1,747,940 
Ser. 99-CG2, Class B4, 6.1s, 2032  2,785,000  2,769,584 
Ser. 98-CF2, Class B3, 6.04s, 2031  814,188  818,377 
DLJ Mortgage Acceptance Corp. 144A Ser. 97-CF1,     
Class A3, 7.76s, 2030  1,000,000  1,012,191 
Fannie Mae     
Ser. 04-T3, Class PT1, 9.773s, 2044  795,518  843,726 
Ser. 03-W6, Class PT1, 9.637s, 2042  337,434  358,343 
Ser. 02-T12, Class A4, 9 1/2s, 2042  290,119  306,464 
Ser. 02-T4, Class A4, 9 1/2s, 2041  1,660,687  1,751,647 
Ser. 02-T6, Class A3, 9 1/2s, 2041  580,941  610,453 
IFB Ser. 05-37, Class SU, 9.362s, 2035  3,362,186  3,574,444 
IFB Ser. 04-10, Class QC, 8.762s, 2031  2,047,777  2,084,973 
Ser. 06-20, Class IP, IO, 8s, 2030  1,249,199  265,186 
Ser. 02-26, Class A2, 7 1/2s, 2048  2,619,070  2,721,795 
Ser. 05-W3, Class 1A, 7 1/2s, 2045  3,341,952  3,490,974 
Ser. 05-W1, Class 1A4, 7 1/2s, 2044  3,412,867  3,557,443 
Ser. 04-W12, Class 1A4, 7 1/2s, 2044  812,102  846,577 
Ser. 04-W14, Class 2A, 7 1/2s, 2044  368,233  383,669 
Ser. 04-W8, Class 3A, 7 1/2s, 2044  3,860,382  4,026,437 
Ser. 04-W11, Class 1A4, 7 1/2s, 2044  2,165,047  2,257,285 
Ser. 04-W2, Class 5A, 7 1/2s, 2044  5,248,941  5,473,710 
Ser. 04-T3, Class 1A4, 7 1/2s, 2044  83,094  86,603 
Ser. 04-W9, Class 2A3, 7 1/2s, 2044  2,793,946  2,910,686 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  1,201,192  1,251,913 
Ser. 03-W1, Class 2A, 7 1/2s, 2042  619,305  642,471 
Ser. 03-W4, Class 4A, 7 1/2s, 2042  370,480  384,506 
Ser. 02-T18, Class A4, 7 1/2s, 2042  292,934  304,677 
Ser. 03-W3, Class 1A3, 7 1/2s, 2042  1,440,588  1,498,374 
Ser. 02-T16, Class A3, 7 1/2s, 2042  2,772,826  2,883,424 
Ser. 02-T19, Class A3, 7 1/2s, 2042  1,662,493  1,728,932 
Ser. 03-W2, Class 1A3, 7 1/2s, 2042  3,149,742  3,276,464 
Ser. 02-W6, Class 2A, 7 1/2s, 2042  2,707,097  2,811,258 
Ser. 02-T12, Class A3, 7 1/2s, 2042  478,133  496,314 
Ser. 02-W4, Class A5, 7 1/2s, 2042  5,883,468  6,112,542 
Ser. 02-W1, Class 2A, 7 1/2s, 2042  2,974,270  3,079,263 
Ser. 02-14, Class A2, 7 1/2s, 2042  953,344  989,927 
Ser. 01-T10, Class A2, 7 1/2s, 2041  2,818,171  2,921,797 
Ser. 02-T4, Class A3, 7 1/2s, 2041  527,599  547,133 
Ser. 02-T6, Class A2, 7 1/2s, 2041  6,858,506  7,103,469 
Ser. 01-T12, Class A2, 7 1/2s, 2041  2,585,429  2,680,528 
Ser. 01-T8, Class A1, 7 1/2s, 2041  2,445,931  2,532,330 
Ser. 01-T7, Class A1, 7 1/2s, 2041  6,890,506  7,129,489 
Ser. 01-T3, Class A1, 7 1/2s, 2040  409,424  423,905 
Ser. 01-T1, Class A1, 7 1/2s, 2040  916,880  950,605 
Ser. 99-T2, Class A1, 7 1/2s, 2039  258,650  269,403 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032  1,155,041  1,199,146 
Ser. 02-T1, Class A3, 7 1/2s, 2031  736,152  763,905 

Ser. 00-T6, Class A1, 7 1/2s, 2030  2,289,139  2,368,533 
Ser. 01-T5, Class A3, 7 1/2s, 2030  49,692  51,472 
Ser. 02-W7, Class A5, 7 1/2s, 2029  1,652,047  1,717,338 
Ser. 01-T4, Class A1, 7 1/2s, 2028  5,261,455  5,491,844 
Ser. 02-W3, Class A5, 7 1/2s, 2028  1,562,699  1,622,664 
Ser. 02-26, Class A1, 7s, 2048  1,598,646  1,642,674 
Ser. 04-T3, Class 1A3, 7s, 2044  765,462  788,227 
Ser. 03-W3, Class 1A2, 7s, 2042  780,936  802,775 
Ser. 02-T16, Class A2, 7s, 2042  1,641,111  1,686,623 
Ser. 02-14, Class A1, 7s, 2042  155,249  159,447 
Ser. 02-T4, Class A2, 7s, 2041  968,131  993,230 
Ser. 01-W3, Class A, 7s, 2041  606,049  621,394 
Ser. 04-W1, Class 2A2, 7s, 2033  8,228,599  8,471,119 
IFB Ser. 05-74, Class CP, 6.566s, 2035  1,806,073  1,763,561 
IFB Ser. 05-76, Class SA, 6.566s, 2034  2,556,035  2,469,692 
IFB Ser. 06-8, Class PK, 6.562s, 2036  3,077,250  2,885,813 
IFB Ser. 05-57, Class CD, 6.527s, 2035  1,618,648  1,582,028 
IFB Ser. 02-97, Class TW, IO, 6 1/2s, 2031  1,351,887  249,385 
IFB Ser. 05-74, Class SK, 6.492s, 2035  3,328,876  3,241,785 
IFB Ser. 06-27, Class SP, 6.382s, 2036  2,143,000  2,081,267 
IFB Ser. 06-11, Class PS, 6.382s, 2036  3,013,251  2,859,293 
IFB Ser. 06-8, Class HP, 6.382s, 2036  2,760,004  2,645,067 
IFB Ser. 06-8, Class WK, 6.382s, 2036  4,149,189  3,954,397 
IFB Ser. 05-106, Class US, 6.382s, 2035  4,366,708  4,252,049 
IFB Ser. 05-99, Class SA, 6.382s, 2035  2,139,825  2,070,223 
IFB Ser. 05-74, Class CS, 6.382s, 2035  2,059,719  1,998,750 
IFB Ser. 05-45, Class DA, 6.236s, 2035  3,376,131  3,239,165 
IFB Ser. 05-74, Class DM, 6.199s, 2035  4,104,925  3,928,473 
IFB Ser. 04-79, Class SA, 6.189s, 2032  4,456,031  4,181,422 
IFB Ser. 05-45, Class DC, 6.126s, 2035  2,633,345  2,515,618 
IFB Ser. 05-114, Class SP, 5.942s, 2036  1,207,536  1,123,008 
IFB Ser. 05-57, Class DC, 5.657s, 2034  2,931,523  2,845,649 
Ser. 350, Class 2, IO, 5 1/2s, 2034  14,323,096  3,670,491 
Ser. 329, Class 2, IO, 5 1/2s, 2033  15,792,058  4,051,991 
IFB Ser. 05-45, Class PC, 5.372s, 2034  1,583,295  1,526,614 
IFB Ser. 05-95, Class CP, 5.157s, 2035  344,426  327,662 
IFB Ser. 05-95, Class OP, 5.037s, 2035  1,046,000  902,801 
Ser. 06-42, Class PS, 5s, 2036  2,139,000  2,084,780 
Ser. 06-45, Class SM, IO, 5s, 2036  6,540,000  308,623 
Ser. 06-42, Class IB, IO, 5s, 2036  5,394,000  219,201 
IFB Ser. 05-73, Class SA, 4.656s, 2035  1,790,783  1,654,096 
IFB Ser. 05-83, Class QP, 4 1/2s, 2034  680,989  605,033 
IFB Ser. 05-93, Class AS, 4.477s, 2034  923,752  808,897 
IFB Ser. 97-44, Class SN, IO, 3.31s, 2023  1,462,326  121,227 
IFB Ser. 05-56, Class TP, 3.272s, 2033  769,259  663,585 
IFB Ser. 02-89, Class S, IO, 3.241s, 2033  3,915,011  346,234 
IFB Ser. 02-36, Class QH, IO, 3.091s, 2029  841,636  14,484 
IFB Ser. 03-66, Class SA, IO, 2.691s, 2033  4,249,664  312,750 
IFB Ser. 03-48, Class S, IO, 2.591s, 2033  1,843,604  133,661 
IFB Ser. 02-92, Class SB, IO, 2.391s, 2030  1,421,168  86,910 
IFB Ser. 05-113, Class DI, IO, 2.271s, 2036  33,448,557  1,982,594 
IFB Ser. 05-52, Class DC, IO, 2.241s, 2035  2,923,224  230,204 
Ser. 03-W12, Class 2, IO, 2.229s, 2043  11,000,349  540,377 
IFB Ser. 04-24, Class CS, IO, 2.191s, 2034  5,336,191  368,531 
IFB Ser. 03-122, Class SA, IO, 2.141s, 2028  7,518,840  355,456 
IFB Ser. 03-122, Class SJ, IO, 2.141s, 2028  8,003,644  383,986 
IFB Ser. 04-65, Class ST, IO, 2.091s, 2034  5,861,153  307,711 
IFB Ser. 04-51, Class S0, IO, 2.091s, 2034  1,058,643  51,940 
IFB Ser. 04-60, Class SW, IO, 2.091s, 2034  10,033,254  675,679 
IFB Ser. 05-65, Class KI, IO, 2.041s, 2035  21,978,618  1,219,000 
Ser. 03-W10, Class 1, IO, 1.961s, 2043  34,429,896  1,558,281 
Ser. 03-W10, Class 3, IO, 1.929s, 2043  8,713,932  405,763 
IFB Ser. 05-42, Class SA, IO, 1.841s, 2035  8,446,314  436,366 
IFB Ser. 05-73, Class SI, IO, 1.791s, 2035  2,064,437  98,545 
IFB Ser. 05-17, Class ES, IO, 1.791s, 2035  4,171,405  258,538 
IFB Ser. 05-17, Class SY, IO, 1.791s, 2035  1,931,507  120,770 
IFB Ser. 05-62, Class FS, IO, 1.791s, 2034  5,277,294  279,726 
IFB Ser. 05-82, Class SW, IO, 1.771s, 2035  7,863,569  344,338 
IFB Ser. 05-82, Class SY, IO, 1.771s, 2035  10,006,145  438,160 
IFB Ser. 05-45, Class EW, IO, 1.761s, 2035  17,204,984  820,485 
IFB Ser. 05-45, Class SR, IO, 1.761s, 2035  13,698,871  651,814 
IFB Ser. 05-47, Class SW, IO, 1.761s, 2035  11,164,194  478,839 
IFB Ser. 05-105, Class S, IO, 1.741s, 2035  3,067,866  160,104 
IFB Ser. 05-95, Class CI, IO, 1.741s, 2035  4,575,652  255,015 
IFB Ser. 05-84, Class SG, IO, 1.741s, 2035  8,010,437  478,031 
IFB Ser. 05-87, Class SG, IO, 1.741s, 2035  10,196,039  487,498 
IFB Ser. 05-89, Class S, IO, 1.741s, 2035  14,383,677  622,544 
IFB Ser. 05-69, Class AS, IO, 1.741s, 2035  2,098,831  112,812 
IFB Ser. 05-54, Class SA, IO, 1.741s, 2035  9,614,844  414,640 
IFB Ser. 05-23, Class SG, IO, 1.741s, 2035  6,401,331  364,076 
IFB Ser. 05-29, Class SX, IO, 1.741s, 2035  7,685,534  434,523 
IFB Ser. 05-57, Class CI, IO, 1.741s, 2035  5,650,440  301,412 
IFB Ser. 05-104, Class NI, IO, 1.741s, 2035  1,356,824  86,694 
IFB Ser. 05-17, Class SA, IO, 1.741s, 2035  5,833,223  350,821 
IFB Ser. 05-17, Class SE, IO, 1.741s, 2035  6,242,339  370,661 
IFB Ser. 05-57, Class DI, IO, 1.741s, 2035  13,655,206  686,707 
IFB Ser. 04-92, Class S, IO, 1.741s, 2034  6,490,282  334,658 
IFB Ser. 05-104, Class SI, IO, 1.741s, 2033  10,217,696  570,691 
IFB Ser. 05-83, Class QI, IO, 1.731s, 2035  1,130,246  70,270 
IFB Ser. 05-92, Class SC, IO, 1.721s, 2035  10,748,896  599,584 
IFB Ser. 05-73, Class SD, IO, 1.721s, 2035  5,168,677  280,845 

IFB Ser. 06-20, Class PI, IO, 1.721s, 2030  10,725,541  400,698 
IFB Ser. 05-83, Class SL, IO, 1.711s, 2035  21,233,724  1,056,358 
IFB Ser. 06-20, Class IG, IO, 1.691s, 2036  27,556,931  1,288,444 
IFB Ser. 06-8, Class NS, IO, 1.671s, 2036  12,717,644  688,876 
IFB Ser. 06-8, Class NY, IO, 1.641s, 2036  4,920,382  257,019 
Ser. 03-W8, Class 12, IO, 1.637s, 2042  34,914,252  1,315,080 
IFB Ser. 06-20, Class IB, IO, 1.631s, 2036  11,810,252  530,537 
IFB Ser. 05-95, Class OI, IO, 1.631s, 2035  640,297  38,895 
IFB Ser. 04-38, Class SI, IO, 1.611s, 2033  9,543,987  368,398 
IFB Ser. 04-72, Class SB, IO, 1.541s, 2034  4,340,021  160,038 
IFB Ser. 03-112, Class SA, IO, 1.541s, 2028  4,054,201  135,002 
Ser. 03-W3, Class 2IO2, IO, 1.456s, 2042  864,533  1,536 
Ser. 03-W6, Class 11, IO, 1.286s, 2035  5,313,778  3,188 
IFB Ser. 05-67, Class BS, IO, 1.191s, 2035  5,475,035  212,158 
Ser. 03-W17, Class 12, IO, 1.151s, 2033  10,604,267  310,996 
IFB Ser. 05-74, Class SE, IO, 1.141s, 2035  18,619,220  533,541 
IFB Ser. 05-82, Class SI, IO, 1.141s, 2035  17,435,038  501,938 
IFB Ser. 05-87, Class SE, IO, 1.091s, 2035  40,838,830  1,314,500 
IFB Ser. 05-58, Class IK, IO, 1.041s, 2035  4,380,412  171,794 
IFB Ser. 04-54, Class SW, IO, 1.041s, 2033  2,465,896  64,422 
Ser. 03-T2, Class 2, IO, 0.848s, 2042  51,577,860  930,645 
Ser. 03-W6, Class 51, IO, 0.682s, 2042  14,728,212  162,010 
Ser. 03-W3, Class 2IO1, IO, 0.682s, 2042  4,475,025  70,318 
Ser. 01-T12, Class IO, 0.569s, 2041  31,291,742  359,272 
Ser. 03-W2, Class 1, IO, 0.471s, 2042  28,274,569  268,005 
Ser. 02-T4, IO, 0.45s, 2041  11,094,694  97,558 
Ser. 03-W3, Class 1, IO, 0.439s, 2042  36,302,768  340,136 
Ser. 02-T1, Class IO, IO, 0.426s, 2031  27,668,215  249,103 
Ser. 03-W6, Class 3, IO, 0.365s, 2042  20,067,400  94,317 
Ser. 03-W6, Class 23, IO, 0.35s, 2042  21,460,977  96,574 
Ser. 01-79, Class BI, IO, 0.336s, 2045  5,730,842  39,690 
Ser. 03-W4, Class 3A, IO, 0.308s, 2042  18,779,956  165,415 
Ser. 03-W8, Class 11, IO, 0.03s, 2042  9,993,116  1,001 
Ser. 03-W6, Class 21, IO, 0.004s, 2042  6,263,630  1 
Ser. 05-113, Class DO, PO, zero %, 2036  5,140,774  3,969,648 
Ser. 363, Class 1, PO, zero %, 2035  16,938,142  11,822,210 
Ser. 361, Class 1, PO, zero %, 2035  10,009,870  7,552,706 
Ser. 05-65, Class KO, PO, zero %, 2035  787,169  619,530 
Ser. 04-38, Class AO, PO, zero %, 2034  4,996,823  3,544,621 
Ser. 342, Class 1, PO, zero %, 2033  2,218,636  1,655,002 
Ser. 02-82, Class TO, PO, zero %, 2032  1,402,745  1,050,963 
Ser. 04-61, Class CO, PO, zero %, 2031  3,065,000  2,237,450 
Ser. 05-38, PO, zero %, 2031  431,000  295,908 
FRB Ser. 05-117, Class GF, zero %, 2036  980,578  973,224 
FRB Ser. 05-65, Class ER, zero %, 2035  3,196,532  3,487,978 
FRB Ser. 05-57, Class UL, zero %, 2035  3,357,607  3,622,951 
FRB Ser. 05-36, Class QA, zero %, 2035  616,900  636,036 
FRB Ser. 05-65, Class CU, zero %, 2034  456,218  662,577 
FRB Ser. 05-81, Class DF, zero %, 2033  467,558  542,662 
Federal Home Loan Mortgage Corp. Structured     
Pass-Through Securities     
Ser. T-42, Class A6, 9 1/2s, 2042  303,711  320,737 
Ser. T-60, Class 1A3, 7 1/2s, 2044  5,776,747  6,020,253 
Ser. T-59, Class 1A3, 7 1/2s, 2043  4,131,536  4,312,719 
Ser. T-58, Class 4A, 7 1/2s, 2043  768,089  798,082 
Ser. T-57, Class 1A3, 7 1/2s, 2043  4,324,923  4,493,420 
Ser. T-51, Class 2A, 7 1/2s, 2042  844,263  875,254 
Ser. T-42, Class A5, 7 1/2s, 2042  1,274,662  1,322,957 
Ser. T-41, Class 3A, 7 1/2s, 2032  3,689,928  3,826,407 
Ser. T-60, Class 1A2, 7s, 2044  5,629,219  5,794,087 
Ser. T-41, Class 2A, 7s, 2032  146,423  150,102 
Ser. T-56, Class A, IO, 0.641s, 2043  13,270,237  146,610 
Ser. T-56, Class 3, IO, 0.353s, 2043  16,075,396  166,576 
Ser. T-56, Class 1, IO, 0.279s, 2043  19,882,035  139,544 
Ser. T-56, Class 2, IO, 0.038s, 2043  18,524,449  48,970 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2,     
7.77s, 2027  7,018,281  7,415,641 
First Union National Bank-Bank of America Commercial     
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.956s, 2033  31,936,713  2,074,267 
First Union-Lehman Brothers Commercial Mortgage Trust     
II     
Ser. 97-C2, Class F, 7 1/2s, 2029  2,726,000  2,940,635 
Ser. 97-C2, Class G, 7 1/2s, 2029  832,000  899,389 
Ser. 97-C1, Class A3, 7.38s, 2029  2,237,234  2,253,130 
First Union-Lehman Brothers-Bank of America 144A Ser.     
98-C2, Class G, 7s, 2035  3,410,000  3,569,042 
Freddie Mac     
IFB Ser. 2990, Class LB, 4.419s, 2034  3,182,738  2,794,417 
IFB Ser. 2963, Class SV, 8.995s, 2034  904,000  903,223 
IFB Ser. 2763, Class SC, 8.995s, 2032  4,364,424  4,422,397 
Ser. 3114, Class BL, IO, 7 1/2s, 2030  516,543  102,138 
IFB Ser. 3081, Class DC, 7.104s, 2035  1,692,259  1,594,299 
IFB Ser. 3114, Class GK, 6.795s, 2036  1,072,314  1,010,264 
IFB Ser. 2976, Class LC, 6.449s, 2035  1,274,646  1,204,136 
IFB Ser. 2976, Class KL, 6.412s, 2035  3,004,842  2,839,286 
IFB Ser. 2990, Class DP, 6.302s, 2034  2,642,860  2,507,929 
IFB Ser. 2979, Class AS, 6.302s, 2034  763,716  720,280 
IFB Ser. 3072, Class SA, 6.155s, 2035  660,421  597,217 
IFB Ser. 3072, Class SM, 5.825s, 2035  1,051,906  936,607 
IFB Ser. 3072, Class SB, 5.679s, 2035  992,976  878,745 
IFB Ser. 3065, Class DC, 5.156s, 2035  2,575,431  2,264,909 

IFB Ser. 3050, Class SA, 4.622s, 2034  1,803,868  1,578,878 
IFB Ser. 2990, Class WP, 4.383s, 2035  2,086,705  1,925,578 
IFB Ser. 2927, Class SI, IO, 3.599s, 2035  4,922,551  532,007 
Ser. 2437, Class SB, IO, 3.099s, 2032  3,238,276  263,110 
IFB Ser. 2538, Class SH, IO, 2.649s, 2032  755,821  47,853 
IFB Ser. 2828, Class GI, IO, 2.599s, 2034  5,424,571  487,167 
IFB Ser. 2802, Class SM, IO, 2.449s, 2032  1,614,537  103,214 
IFB Ser. 2869, Class SH, IO, 2.399s, 2034  2,837,654  161,975 
IFB Ser. 2869, Class JS, IO, 2.349s, 2034  13,529,438  759,221 
IFB Ser. 2882, Class SL, IO, 2.299s, 2034  2,837,053  195,148 
IFB Ser. 2682, Class TQ, IO, 2.149s, 2033  2,278,238  118,896 
IFB Ser. 2815, Class PT, IO, 2.149s, 2032  5,284,535  339,182 
IFB Ser. 2828, Class TI, IO, 2.149s, 2030  2,535,956  149,780 
IFB Ser. 3033, Class SF, IO, 1.899s, 2035  3,820,816  148,057 
IFB Ser. 3028, Class ES, IO, 1.849s, 2035  12,924,525  829,373 
IFB Ser. 2922, Class SE, IO, 1.849s, 2035  7,568,432  335,849 
IFB Ser. 3045, Class DI, IO, 1.829s, 2035  25,691,127  1,160,481 
IFB Ser. 2981, Class AS, IO, 1.819s, 2035  6,806,929  282,913 
IFB Ser. 2981, Class BS, IO, 1.819s, 2035  3,450,135  148,787 
IFB Ser. 3118, Class SD, IO, 1.799s, 2036  12,913,622  510,492 
IFB Ser. 3054, Class CS, IO, 1.799s, 2035  2,869,409  133,158 
IFB Ser. 3107, Class DC, IO, 1.799s, 2035  12,102,398  852,841 
IFB Ser. 3129, Class SP, IO, 1.799s, 2035  4,949,757  231,248 
IFB Ser. 3066, Class SI, IO, 1.799s, 2035  8,323,084  522,002 
IFB Ser. 2924, Class SA, IO, 1.799s, 2035  10,786,808  448,327 
IFB Ser. 2927, Class ES, IO, 1.799s, 2035  3,981,748  181,399 
IFB Ser. 2950, Class SM, IO, 1.799s, 2016  5,498,466  268,050 
IFB Ser. 3031, Class BI, IO, 1.789s, 2035  2,446,152  152,524 
IFB Ser. 3067, Class SI, IO, 1.749s, 2035  9,640,131  634,948 
IFB Ser. 2986, Class WS, IO, 1.749s, 2035  3,142,239  107,209 
IFB Ser. 2962, Class BS, IO, 1.749s, 2035  16,162,182  810,255 
IFB Ser. 3114, Class TS, IO, 1.749s, 2030  19,262,668  769,275 
IFB Ser. 3114, Class BI, IO, 1.749s, 2030  7,604,663  284,369 
IFB Ser. 2990, Class LI, IO, 1.729s, 2034  4,731,504  267,278 
IFB Ser. 3065, Class DI, IO, 1.719s, 2035  1,875,708  108,892 
IFB Ser. 3114, Class GI, IO, 1.699s, 2036  2,648,256  155,012 
IFB Ser. 3081, Class DI, IO, 1.579s, 2035  2,310,494  123,321 
IFB Ser. 2988, Class AS, IO, 1.299s, 2035  1,534,416  50,299 
IFB Ser. 3016, Class SP, IO, 1.209s, 2035  2,475,283  74,645 
IFB Ser. 3016, Class SQ, IO, 1.209s, 2035  5,643,417  175,476 
IFB Ser. 2937, Class SY, IO, 1.199s, 2035  2,458,537  64,045 
IFB Ser. 2957, Class SW, IO, 1.099s, 2035  13,520,518  384,490 
IFB Ser. 2815, Class S, IO, 1.099s, 2032  5,781,345  161,147 
Ser. 236, PO, zero %, 2036  9,659,814  7,122,346 
Ser. 3045, Class DO, PO, zero %, 2035  2,026,554  1,505,034 
Ser. 231, PO, zero %, 2035  100,840,623  71,366,158 
Ser. 228, PO, zero %, 2035  27,046,449  19,988,348 
FRB Ser. 3022, Class TC, zero %, 2035  514,814  617,777 
FRB Ser. 3003, Class XF, zero %, 2035  2,923,328  3,322,537 
FRB Ser. 2986, Class XT, zero %, 2035  306,385  340,088 
FRB Ser. 2958, Class FL, zero %, 2035  1,292,627  1,239,009 
FRB Ser. 3046, Class WF, zero %, 2035  741,534  737,704 
FRB Ser. 3054, Class XF, zero %, 2034  303,766  336,421 
GE Capital Commercial Mortgage Corp. Ser. 04-C2,     
Class A4, 4.893s, 2040  6,296,000  5,947,151 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 05-C2, Class XC, IO, 0.052s, 2043  88,641,201  738,488 
Ser. 05-C3, Class XC, IO, 0.035s, 2045  232,914,000  1,201,836 
General Growth Properties-Mall Properties Trust 144A     
FRB Ser. 01-C1A, Class D3, 7.151s, 2014  1,565,918  1,567,386 
GMAC Commercial Mortgage Securities, Inc.     
Ser. 99-C3, Class F, 8.062s, 2036  592,000  635,855 
Ser. 03-C2, Class A2, 5.457s, 2040  6,249,000  6,176,199 
Ser. 04-C2, Class A4, 5.301s, 2038  10,233,000  9,958,551 
Ser. 97-C1, Class X, IO, 1.552s, 2029  14,526,742  477,515 
Ser. 05-C1, Class X1, IO, 0.109s, 2043  99,281,000  1,768,195 
GMAC Commercial Mortgage Securities, Inc. 144A     
Ser. 99-C3, Class G, 6.974s, 2036  1,614,303  1,561,543 
Ser. 06-C1, Class XC, IO, 0.043s, 2045  128,655,734  854,274 
Government National Mortgage Association     
IFB Ser. 05-7, Class JM, 5.918s, 2034  3,392,975  3,259,723 
IFB Ser. 05-66, Class SP, 4.467s, 2035  1,526,788  1,327,024 
IFB Ser. 04-86, Class SW, IO, 1.828s, 2034  6,477,483  320,059 
IFB Ser. 05-65, Class SI, IO, 1.428s, 2035  6,484,359  248,890 
IFB Ser. 05-68, Class SI, IO, 1.378s, 2035  21,263,942  897,903 
IFB Ser. 06-10, Class SM, IO, 1.328s, 2036  13,778,034  529,593 
IFB Ser. 06-14, Class S, IO, 1.328s, 2036  5,878,753  211,268 
IFB Ser. 05-51, Class SJ, IO, 1.278s, 2035  6,361,598  259,432 
IFB Ser. 05-68, Class S, IO, 1.278s, 2035  12,568,498  485,166 
IFB Ser. 05-28, Class SA, IO, 1.278s, 2035  16,136,778  557,797 
Ser. 98-2, Class EA, PO, zero %, 2028  153,219  118,410 
Greenwich Capital Commercial Funding Corp. Ser.     
05-GG5, Class XC, IO, 0.041s, 2037  185,153,828  823,514 
Greenwich Capital Commercial Funding Corp. 144A Ser.     
05-GG3, Class XC, IO, 0.08s, 2042  127,369,898  2,057,024 
GS Mortgage Securities Corp. II     
Ser. 04-GG2, Class A6, 5.396s, 2038  3,745,000  3,668,247 
Ser. 05-GG4, Class A4B, 4.732s, 2039  835,000  772,945 
GS Mortgage Securities Corp. II 144A     
FRB Ser. 03-FL6A, Class L, 8.151s, 2015  565,000  568,178 
Ser. 98-C1, Class F, 6s, 2030  1,286,000  1,278,721 

Ser. 03-C1, Class X1, IO, 0.297s, 2040  29,349,558  541,353 
Ser. 05-GG4, Class XC, IO, 0.112s, 2039  108,445,369  2,064,096 
Ser. 04-C1, Class X1, IO, 0.088s, 2028  36,525,469  296,769 
Ser. 06-GG6, Class XC, IO, 0.04s, 2038  53,035,967  182,311 
JP Morgan Commercial Mortgage Finance Corp. Ser.     
97-C5, Class F, 7.561s, 2029  911,000  979,849 
JPMorgan Chase Commercial Mortgage Securities Corp.     
Ser. 06-CB14, Class AM, 5.63s, 2044  5,502,000  5,404,855 
Ser. 06-CB14, Class A4, 5.481s, 2044  8,500,000  8,327,365 
Ser. 05-CB11, Class A4, 5.335s, 2037  6,441,000  6,505,410 
Ser. 05-LDP2, Class AM, 4.78s, 2042  1,990,000  1,850,690 
JPMorgan Chase Commercial Mortgage Securities Corp.     
144A     
Ser. 04-FL1A, Class X1A, IO, 0.964s, 2019  6,619,078  21,866 
Ser. 03-ML1A, Class X1, IO, 0.413s, 2039  49,771,862  1,839,226 
Ser. 05-LDP1, Class X1, IO, 0.061s, 2046  37,931,503  349,681 
Ser. 05-CB12, Class X1, IO, 0.06s, 2037  56,017,857  595,190 
Ser. 05-LDP2, Class X1, IO, 0.051s, 2042  169,857,404  2,654,022 
Ser. 05-LDP4, Class X1, IO, 0.047s, 2042  111,799,231  1,030,649 
Ser. 06-LDP6, Class X1, IO, 0.041s, 2043  68,823,929  397,888 
Ser. 05-LDP3, Class X1, IO, 0.04s, 2042  82,787,475  620,906 
Ser. 05-LDP5, Class X1, IO, 0.037s, 2044  347,561,335  1,629,194 
LB Commercial Conduit Mortgage Trust 144A     
Ser. 99-C1, Class F, 6.41s, 2031  715,303  717,284 
Ser. 99-C1, Class G, 6.41s, 2031  765,731  703,098 
Ser. 98-C4, Class G, 5.6s, 2035  634,000  616,740 
Ser. 98-C4, Class H, 5.6s, 2035  1,074,000  1,006,707 
LB-UBS Commercial Mortgage Trust     
Ser. 05-C7, Class AM, 5.263s, 2040  1,044,000  1,003,460 
Ser. 04-C7, Class A6, 4.786s, 2029  1,733,000  1,625,241 
LB-UBS Commercial Mortgage Trust 144A     
Ser. 05-C3, Class XCL, IO, 0.127s, 2040  68,007,188  1,462,252 
Ser. 05-C2, Class XCL, IO, 0.107s, 2040  135,083,243  1,439,766 
Ser. 05-C5, Class XCL, IO, 0.092s, 2020  70,374,555  998,192 
Ser. 05-C7, Class XCL, IO, 0.083s, 2040  84,427,234  781,691 
Ser. 06-C1, Class XCL, IO, 0.072s, 2041  67,215,971  724,200 
Lehman Brothers Floating Rate Commercial Mortgage     
Trust 144A     
FRB Ser. 03-LLFA, Class L, 8.651s, 2014  1,704,000  1,702,790 
FRB Ser. 04-LLFA, Class H, 5.851s, 2017  733,000  735,785 
FRB Ser. 05-LLFA, 5.701s, 2018  423,000  423,000 
Merrill Lynch Mortgage Investors, Inc. Ser. 98-C3,     
Class E, 7.138s, 2030  644,000  678,339 
Merrill Lynch Mortgage Trust Ser. 05-MCP1, Class XC,     
IO, 0.052s, 2043  71,978,216  947,526 
Merrill Lynch Mortgage Trust 144A Ser. 05-LC1,     
Class X, IO, 0.238s, 2044  37,952,435  379,524 
Merrill Lynch/Countrywide Commercial Mortgage Trust     
144A Ser. 06-1, Class X, IO, 0.14s, 2039  30,420,000  184,184 
Mezz Cap Commercial Mortgage Trust 144A     
Ser. 04-C1, Class X, IO, 8.051s, 2037  3,203,889  1,209,468 
Ser. 04-C2, Class X, IO, 6.405s, 2040  2,522,174  865,421 
Ser. 05-C3, Class X, IO, 4.362s, 2044  2,890,265  947,465 
Morgan Stanley Capital 144A     
Ser. 05-RR6, Class X, IO, 1.719s, 2043  10,669,000  732,960 
Ser. 05-HQ6, Class X1, IO, 0.05s, 2042  77,086,170  764,849 
Morgan Stanley Capital I     
Ser. 05-HQ6, Class A4A, 4.989s, 2042  3,963,000  3,754,591 
Ser. 04-HQ4, Class A7, 4.97s, 2040  2,047,000  1,938,243 
Morgan Stanley Capital I 144A     
Ser. 98-HF1, Class F, 7.18s, 2030  482,000  493,584 
Ser. 04-RR, Class F5, 6s, 2039  1,000,000  817,622 
Ser. 04-RR, Class F6, 6s, 2039  1,700,000  1,335,895 
Ser. 05-HQ5, Class X1, IO, 0.088s, 2042  52,551,301  424,930 
Morgan Stanley Dean Witter Capital I Ser. 00-LIF2,     
Class A1, 6.96s, 2033  333,969  338,520 
Mortgage Capital Funding, Inc. FRB Ser. 98-MC2,     
Class E, 7 1/4s, 2030  1,020,000  1,047,781 
Permanent Financing PLC FRB Ser. 8, Class 2C, 4.489s,     
2042 (United Kingdom)  2,054,000  2,053,349 
PNC Mortgage Acceptance Corp. 144A     
Ser. 99-CM1, Class B3, 7.1s, 2032  3,870,000  3,996,510 
Ser. 00-C1, Class J, 6 5/8s, 2010  456,000  423,246 
Ser. 00-C2, Class J, 6.22s, 2033  998,000  1,004,567 
Pure Mortgages 144A     
FRB Ser. 04-1A, Class F, 8.31s, 2034 (Ireland)  2,645,000  2,660,077 
Ser. 04-1A, Class E, 6.06s, 2034 (Ireland)  1,041,000  1,041,260 
QFA Royalties, LLC 144A Ser. 05-1, 7.3s, 2025  1,784,061  1,748,777 
Salomon Brothers Mortgage Securities VII 144A Ser.     
03-CDCA, Class X3CD, IO, 1.43s, 2015  3,824,595  24,699 
SBA CMBS Trust 144A Ser. 05-1A, Class D, 6.219s, 2035  600,000  592,411 
STRIPS 144A     
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands)  757,000  651,497 
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)  513,000  422,081 
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands)  337,000  288,607 
Wachovia Bank Commercial Mortgage Trust     
Ser. 06-C23, Class A4, 5.418s, 2045  24,362,000  23,729,075 
Ser. 05-C17, Class A4, 5.083s, 2042  7,065,000  6,741,140 
Ser. 04-C15, Class A4, 4.803s, 2041  3,055,000  2,857,963 
Wachovia Bank Commercial Mortgage Trust 144A     
FRB Ser. 05-WL5A, Class L, 8.201s, 2018  771,000  768,764 

Ser. 03-C3, Class IOI, IO, 0.401s, 2035  18,052,172  610,920 
Ser. 06-C23, Class XC, IO, 0.052s, 2045  91,097,351  554,783 
Washington Mutual Asset Securities Corp. 144A Ser.     
05-C1A, Class G, 5.72s, 2036  222,000  208,810 
Washington Mutual Multi-Fam., Mtge. 144A Ser. 01-1,     
Class B5, 7.209s, 2031 (Cayman Islands)  1,305,000  1,345,415 
 
    $730,149,360 
Total collateralized mortgage obligations (cost $766,278,030)     
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (13.9%)(a)     
 
  Principal amount  Value 
 
 
U.S. Government Guaranteed Mortgage Obligations (--%)     
Government National Mortgage Association Pass-Through     
Certificates     
7s, with due dates from August 15, 2029 to     
October 15, 2031  $324,104  $338,258 
    338,258 
 
U.S. Government Agency Mortgage Obligations (13.9%)     
Federal Home Loan Mortgage Corporation     
8 3/4s, with due dates from May 1, 2009 to June 1, 2009  171,543  176,039 
Federal Home Loan Mortgage Corporation Pass-Through     
Certificates     
6s, with due dates from October 1, 2031 to     
March 1, 2035  61,250  61,172 
5 1/2s, with due dates from June 1, 2035 to     
June 1, 2035  2,684,465  2,612,049 
5 1/2s, July 1, 2016  521,078  517,475 
Federal National Mortgage Association Pass-Through     
Certificates     
11s, with due dates from October 1, 2015 to     
March 1, 2016  9,544  10,347 
9s, with due dates from January 1, 2027 to July 1, 2032  269,134  290,795 
8 3/4s, July 1, 2009  4,388  4,518 
8s, with due dates from August 1, 2026 to July 1, 2033  1,212,233  1,252,253 
7 1/2s, with due dates from October 1, 2025 to     
July 1, 2033  911,576  947,673 
7s, with due dates from February 1, 2033 to     
January 1, 2036  7,403,459  7,616,250 
7s, with due dates from November 1, 2007 to     
February 1, 2017  1,349,503  1,371,448 
6 1/2s, with due dates from February 1, 2033 to     
December 1, 2034  6,719,265  6,842,267 
6 1/2s, with due dates from July 1, 2010 to May 1, 2011  293,797  300,362 
6s, with due dates from May 1, 2035 to February 1, 2036  207,216  206,553 
6s, with due dates from December 1, 2013 to May 1, 2017  210,764  213,541 
6s, TBA, May 1, 2036  2,913,000  2,899,801 
5 1/2s, with due dates from December 1, 2035 to     
February 1, 2036  158,794  154,298 
5 1/2s, with due dates from April 1, 2009 to     
January 1, 2021  15,226,575  15,115,035 
5 1/2s, TBA, May 1, 2036  402,750,000  391,108,028 
5s, with due dates from July 1, 2035 to August 1, 2035  115,271  109,079 
5s, with due dates from April 1, 2020 to June 1, 2020  396,311  386,186 
5s, TBA, May 1, 2036  168,900,000  159,755,653 
4 1/2s, with due dates from April 1, 2020 to     
April 1, 2021  47,201,826  44,930,237 
4 1/2s, TBA, May 1, 2036  27,650,000  25,314,872 
4s, with due dates from May 1, 2019 to August 1, 2020  924,237  861,880 
    663,057,811 
 
    $663,396,069 
Total U.S. government and agency mortgage obligations (cost $669,556,202)     
 
U.S. TREASURY OBLIGATIONS (1.4%)(a)     
 
  Principal amount  Value 
 
U.S. Treasury Notes     
4 1/4s, November 15, 2013  $1,450,000  $1,380,445 
3 7/8s, May 15, 2010  62,500,000  60,161,131 
3 1/4s, August 15, 2008  3,005,000  2,900,294 
 
    $64,441,870 
Total U.S. treasury obligations (cost $65,453,603)     
 
ASSET-BACKED SECURITIES (7.0%)(a)     
 
  Principal amount  Value 
 
Aames Mortgage Investment Trust FRB Ser. 04-1,     
Class 2A1, 5.299s, 2034  $1,046,212  $1,047,247 
ABSC NIMS Trust 144A Ser. 05-HE2, Class A1, 4 1/2s,     
2035 (Cayman Islands)  1,172,377  1,149,251 
Advanta Business Card Master Trust FRB Ser. 04-C1,     
Class C, 5.973s, 2013  210,000  212,806 
Advanta Mortgage Loan Trust Ser. 00-1, Class A4,     
8.61s, 2028  183,462  183,233 

Aegis Asset Backed Securities Trust 144A     
Ser. 04-2N, Class N1, 4 1/2s, 2034  8,232  8,205 
Ser. 04-5N, Class Note, 5s, 2034  167,290  166,192 
Ser. 04-6N, Class Note, 4 3/4s, 2035  255,462  253,466 
AFC Home Equity Loan Trust Ser. 99-2, Class 1A,     
5.369s, 2029  3,364,373  3,378,775 
American Express Credit Account Master Trust 144A Ser.     
04-C, Class C, 5.401s, 2012  6,266,497  6,267,475 
American Home Mortgage Investment Trust     
FRB Ser. 04-3, Class 2A, 3.59s, 2034  1,858,929  1,825,726 
FRB Ser. 04-3, Class 3A, 3.71s, 2034  1,698,282  1,670,280 
Americredit Automobile Receivables Trust 144A Ser.     
05-1, Class E, 5.82s, 2012  1,212,190  1,208,335 
Ameriquest Finance NIM Trust 144A     
Ser. 04-IAN, Class 1A, 5.437s, 2034 (Cayman Islands)  4,745  4,735 
Ser. 04-RN9, Class N1, 4.8s, 2034 (Cayman Islands)  119,599  119,599 
Ameriquest Mortgage Securities, Inc. FRB Ser. 06-R1,     
Class M10, 7.459s, 2036  902,000  756,608 
Arcap REIT, Inc. 144A     
Ser. 03-1A, Class E, 7.11s, 2038  1,283,000  1,282,126 
Ser. 04-1A, Class E, 6.42s, 2039  1,112,000  1,079,915 
Argent NIM Trust 144A Ser. 04-WN9, Class A, 5.19s,     
2034 (Cayman Islands)  28,685  28,505 
Asset Backed Funding Corp. NIM Trust 144A     
Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)  37,596  37,498 
FRB Ser. 05-OPT1, Class B1, 7.459s, 2035  407,000  301,577 
Asset Backed Securities Corp. Home Equity Loan Trust     
FRB Ser. 04-HE9, Class A2, 5.329s, 2034  514,363  515,133 
FRB Ser. 05-HE1, Class A3, 5.249s, 2035  724,125  724,863 
Asset Backed Securities Corp. Home Equity Loan Trust     
144A FRB Ser. 06-HE2, Class M11, 7.309s, 2036  242,000  197,131 
Aviation Capital Group Trust 144A FRB Ser. 03-2A,     
Class G1, 5.623s, 2033  960,084  961,509 
Banc of America Mortgage Securities     
Ser. 04-D, Class 2A, IO, 0.542s, 2034  15,165,813  47,393 
Ser. 05-E, Class 2, IO, 0.306s, 2035  34,569,000  226,859 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4,     
5.931s, 2011  210,000  213,962 
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014  420,000  411,867 
Bayview Financial Acquisition Trust     
Ser. 04-B, Class A1, 5 1/2s, 2039  4,211,489  4,211,476 
Ser. 04-D, Class A, IO, 3.938s, 2007  13,423,706  413,291 
Ser. 05-B, Class A, IO, 3.382s, 2039  11,133,411  374,327 
FRB Ser. 03-F, Class A, 5 1/2s, 2043  2,082,166  2,085,743 
FRB Ser. 03-G, Class A1, 5.6s, 2039  4,813,000  4,818,423 
FRB Ser. 04-D, Class A, 5.39s, 2044  2,686,101  2,688,342 
Bayview Financial Acquisition Trust 144A FRN Ser.     
04-B, Class M2, 6.9s, 2039  200,000  202,493 
Bayview Financial Asset Trust 144A     
FRB Ser. 03-SSRA, Class A, 5.659s, 2038  1,037,872  1,043,995 
FRB Ser. 03-SSRA, Class M, 6.309s, 2038  1,230,539  1,243,952 
FRB Ser. 04-SSRA, Class A1, 5.559s, 2039  1,358,518  1,361,643 
Bear Stearns Adjustable Rate Mortgage Trust Ser. 04-1,     
Class 11A1, 3.617s, 2034  4,248,917  4,201,013 
Bear Stearns Alternate Trust     
Ser. 04-12, Class 2A2, 4.986s, 2035  2,025,657  2,011,095 
Ser. 04-9, Class 1A1, 4.949s, 2034  770,963  766,520 
Ser. 05-2, Class 2A2A, 4.826s, 2035  1,228,676  1,218,436 
Ser. 05-5, Class 21A1, 4.683s, 2035  4,263,005  4,211,031 
Bear Stearns Asset Backed Securities NIM Trust 144A     
Ser. 04-FR1, Class A1, 5s, 2034 (Cayman Islands)  57,127  57,011 
Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)  118,159  117,347 
Ser. 04-HE10, Class A2, 5s, 2034 (Cayman Islands)  245,000  242,856 
Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)  51,592  51,520 
Ser. 04-HE7N, Class A1, 5 1/4s, 2034  56,952  56,872 
Ser. 04-HE8N, Class A1, 5s, 2034  39,187  39,101 
Bear Stearns Asset Backed Securities, Inc.     
FRB Ser. 03-1, Class A1, 5.459s, 2042  535,490  535,488 
FRB Ser. 03-3, Class A2, 5.549s, 2043  2,229,000  2,234,224 
FRB Ser. 05-3, Class A1, 5.409s, 2035  1,311,494  1,311,494 
FRB Ser. 06-EC1, Class M9, 6.959s, 2035  698,000  566,253 
FRB Ser. 06-PC1, Class M9, 6.709s, 2035  414,000  333,529 
Broadhollow Funding, LLC 144A FRB Ser. 04-A,     
Class Sub, 6.57s, 2009  1,610,000  1,628,676 
Capital Auto Receivables Asset Trust 144A     
Ser. 05-1, Class D, 6 1/2s, 2011  1,442,000  1,414,287 
Ser. 06-1, Class D, 7.39s, 2013  500,000  497,891 
Capital One Multi-Asset Execution Trust FRB Ser.     
02-C1, Class C1, 7.651s, 2010  570,000  588,080 
CARMAX Auto Owner Trust Ser. 04-2, Class D, 3.67s, 2011  317,976  311,554 
CARSSX Finance, Ltd. 144A     
FRB Ser. 04-AA, Class B3, 8.251s, 2011 (Cayman Islands)  90,645  92,940 
FRB Ser. 04-AA, Class B4, 10.401s, 2011 (Cayman     
Islands)  694,723  729,344 
CDO Repackaging Trust Series 144A FRB Ser. 03-2,     
Class A, 9.04s, 2008  3,105,000  3,322,350 
Centex Home Equity Ser. 04-C, Class A, IO, 3 1/2s, 2006  5,742,000  15,631 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,     
5.981s, 2010  1,730,000  1,762,013 
Chase Funding Net Interest Margin 144A Ser. 04-OPT1,     
Class Note, 4.458s, 2034  311,233  311,038 

CHEC NIM Ltd., 144A     
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)  9,504  9,489 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  421,000  417,223 
Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands)  169,000  153,906 
Citibank Credit Card Issuance Trust FRB Ser. 01-C1,     
Class C1, 6.148s, 2010  1,060,000  1,074,948 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-WMC1,     
Class M10, 8.459s, 2035  201,000  178,482 
Conseco Finance Securitizations Corp.     
Ser. 00-4, Class A6, 8.31s, 2032  8,597,000  7,165,390 
Ser. 00-5, Class A4, 7.47s, 2032  837,262  839,042 
Ser. 00-5, Class A6, 7.96s, 2032  3,727,000  3,062,181 
Ser. 01-1, Class A4, 6.21s, 2032  2,582,520  2,587,891 
Ser. 01-1, Class A5, 6.99s, 2032  2,692,000  2,428,184 
Ser. 01-3, Class A4, 6.91s, 2033  8,065,000  7,574,721 
Ser. 01-4, Class A4, 7.36s, 2033  6,025,000  5,824,578 
Ser. 01-4, Class B1, 9.4s, 2033  349,805  28,859 
Ser. 02-1, Class A, 6.681s, 2033  8,595,179  8,653,926 
Ser. 02-1, Class M2, 9.546s, 2033  2,974,000  1,635,700 
Ser. 02-2, Class A, IO, 8 1/2s, 2033  7,389,431  1,703,641 
Consumer Credit Reference IDX Securities 144A FRB Ser.     
02-1A, Class A, 6.935s, 2007  3,061,000  3,106,915 
Countrywide Alternative Loan Trust     
Ser. 04-15, Class 1A1, 4.934s, 2034  722,529  716,884 
Ser. 05-24, Class 1AX, IO, 1.233s, 2035  25,348,063  665,387 
Ser. 05-24, Class IIAX, IO, 1.201s, 2035  21,410,697  802,901 
Countrywide Asset Backed Certificates 144A     
Ser. 04-11N, Class N, 5 1/4s, 2036  58,048  57,870 
Ser. 04-14N, 5s, 2036  266,231  264,253 
Ser. 04-6N, Class N1, 6 1/4s, 2035  626,293  622,058 
Ser. 04-BC1N, Class Note, 5 1/2s, 2035  120,811  117,934 
Countrywide Home Loans     
Ser. 05-2, Class 2X, IO, 1.428s, 2035  22,917,460  512,063 
Ser. 05-9, Class 1X, IO, 1 1/4s, 2035  22,151,676  533,855 
Ser. 06-0A5, Class X, IO, 1.464s, 2046  13,710,344  685,517 
Countrywide Home Loans 144A Ser. 05-R2, Class 2A3, 8s,     
2035  1,569,832  1,643,909 
Countrywide Partnership Trust 144A Ser. 04-EC1N,     
Class N, 5s, 2035  43,933  43,764 
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038     
(Cayman Islands)  1,617,000  1,589,349 
CS First Boston Mortgage Securities Corp. 144A Ser.     
04-FR1N, Class A, 5s, 2034  744,173  736,731 
Fieldstone Mortgage Investment Corp. FRB Ser. 05-1,     
Class M3, 5.499s, 2035  700,000  701,490 
Finance America NIM Trust 144A Ser. 04-1, Class A, 5     
1/4s, 2034  135,040  50,815 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class D,     
7.577s, 2039  2,953,280  2,945,897 
First Franklin Mortgage Loan NIM Trust 144A     
Ser. 04-FF10, Class N1, 4.45s, 2034 (Cayman Islands)  45,052  44,940 
Ser. 04-FF7A, Class A, 5s, 2034 (Cayman Islands)  55,409  55,244 
First Horizon Mortgage Pass-Through Trust Ser. 05-AR2,     
Class 1A1, 4.832s, 2035  2,889,225  2,854,745 
First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s,     
2023  617,803  618,189 
Ford Credit Auto Owner Trust Ser. 04-A, Class C,     
4.19s, 2009  650,000  630,094 
Fort Point CDO, Ltd. FRB Ser. 03-2A, Class A2, 5.873s,     
2038 (Cayman Islands)  616,000  621,729 
Foxe Basin, Ltd. 144A FRB Ser. 03-1A, Class A1, 5.41s,     
2015 (Cayman Islands)  2,000,000  2,004,000 
Fremont NIM Trust 144A     
Ser. 04-3, Class A, 4 1/2s, 2034  260,801  258,866 
Ser. 04-3, Class B, 7 1/2s, 2034  218,783  188,153 
Ser. 04-D, Class N1, 4 1/2s, 2034 (Cayman Islands)  140,170  139,636 
Ser. 04-D, Class N2, 7 1/2s, 2034 (Cayman Islands)  53,932  53,499 
G-Force CDO, Ltd. 144A Ser. 03-1A, Class E, 6.58s,     
2038 (Cayman Islands)  939,000  934,433 
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 6.959s,     
2037 (Cayman Islands)  308,000  320,160 
GE Capital Credit Card Master Note Trust FRB Ser.     
04-2, Class C, 5.381s, 2010  1,903,750  1,906,038 
GE Corporate Aircraft Financing, LLC 144A     
Ser. 04-1A, Class B, 5.809s, 2018  234,816  234,675 
FRB Ser. 05-1A, Class C, 6.259s, 2019  1,680,000  1,679,983 
Gears Auto Owner Trust Ser. 05-AA, Class E1, 8.22s,     
2012  1,962,000  1,936,125 
GEBL 144A     
Ser. 04-2, Class C, 5.751s, 2032  276,863  276,863 
Ser. 04-2, Class D, 7.651s, 2032  738,902  724,899 
GMAC Mortgage Corp. Loan Trust Ser. 04-HE5, Class A,     
IO, 6s, 2007  6,209,700  263,912 
Goldentree Loan Opportunities II, Ltd. 144A FRB Ser.     
2A, Class 4, 7.93s, 2015 (Cayman Islands)  470,000  473,055 
Granite Mortgages PLC     
FRB Ser. 01-1, Class 1C, 6.48s, 2041 (United Kingdom)  2,200,000  2,222,688 
FRB Ser. 02-1, Class 1C, 6.38s, 2042 (United Kingdom)  1,300,000  1,307,617 
FRB Ser. 02-2, Class 1C, 6.33s, 2043 (United Kingdom)  650,000  656,207 
FRB Ser. 04-1, Class 1C, 5.83s, 2044 (United Kingdom)  1,619,000  1,620,012 
Green Tree Financial Corp.     

Ser. 95-8, Class B1, 7.3s, 2026  362,579  279,631 
Ser. 97-4, Class A7, 7.36s, 2029  718,741  720,287 
Ser. 97-7, Class A8, 6.86s, 2029  537,181  540,485 
Ser. 99-3, Class A5, 6.16s, 2031  144,357  145,259 
Ser. 99-3, Class A6, 6 1/2s, 2031  1,137,000  1,131,934 
Ser. 99-5, Class A5, 7.86s, 2030  16,750,000  14,542,268 
Greenpoint Manufactured Housing Ser. 00-3, Class IA,     
8.45s, 2031  3,866,518  3,541,974 
Greenpoint Mortgage Funding Trust Ser. 05-AR1,     
Class X1, IO, 1.985s, 2045  15,522,431  424,442 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011  1,304,155  1,294,883 
GSAMP Trust 144A     
Ser. 04-NIM1, Class N1, 5 1/2s, 2034  142,647  142,618 
Ser. 04-NIM1, Class N2, zero %, 2034  1,553,000  1,143,785 
Ser. 04-NIM2, Class N, 4 7/8s, 2034  714,054  710,984 
Ser. 05-NC1, Class N, 5s, 2035  324,779  324,065 
GSMPS Mortgage Loan Trust     
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  1,116,574  1,161,259 
Ser. 05-RP3, Class 1A3, 8s, 2035  1,179,481  1,240,024 
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  407,115  432,217 
GSMPS Mortgage Loan Trust 144A     
Ser. 04-4, Class 1AS, IO, 1.279s, 2034  17,597,819  533,434 
Ser. 05-RP1, Class 1A3, 8s, 2035  179,109  188,279 
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  1,681,375  1,753,001 
Ser. 05-RP2, Class 1A3, 8s, 2035  1,466,445  1,541,967 
Guggenheim Structured Real Estate Funding, Ltd. 144A     
FRB Ser. 05-1A, Class D, 6.489s, 2030 (Cayman Islands)  2,225,000  2,225,000 
FRB Ser. 05-2A, Class D, 6.509s, 2030 (Cayman Islands)  1,141,000  1,141,342 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,     
2035  1,075,604  1,038,988 
High Income Trust Securities 144A FRB Ser. 03-1A,     
Class A, 5.215s, 2036 (Cayman Islands)  2,320,550  2,221,926 
Holmes Financing PLC     
FRB Ser. 4, Class 3C, 6.368s, 2040 (United Kingdom)  870,000  871,277 
FRB Ser. 8, Class 2C, 5.788s, 2040 (United Kingdom)  746,000  747,716 
Home Equity Asset Trust 144A     
Ser. 04-3N, Class A, 5s, 2034  5,694  5,651 
Ser. 04-4N, Class A, 5s, 2034  89,060  87,947 
Hyundai Auto Receivables Trust Ser. 04-A, Class D,     
4.1s, 2011  429,000  418,404 
Lehman Manufactured Housing Ser. 98-1, Class 1, IO,     
0.809s, 2028  22,858,858  445,108 
LNR CDO, Ltd. 144A     
FRB Ser. 02-1A, Class FFL, 7.7s, 2037 (Cayman Islands)  5,220,000  5,289,530 
FRB Ser. 03-1A, Class EFL, 7.95s, 2036 (Cayman Islands)  2,585,000  2,787,147 
Long Beach Asset Holdings Corp. NIM Trust 144A     
Ser. 04-5, Class Note, 5s, 2034  31,175  31,122 
Ser. 05-1, Class N1, 4.115s, 2035  514,149  511,578 
Long Beach Mortgage Loan Trust     
Ser. 04-3, Class S1, IO, 4 1/2s, 2006  14,155,377  371,579 
Ser. 04-3, Class S2, IO, 4 1/2s, 2006  7,077,701  185,790 
Long Beach Mortgage Loan Trust 144A FRB Ser. 06-WL3,     
Class B1, 7.459s, 2036  953,000  765,612 
Madison Avenue Manufactured Housing Contract     
Ser. 02-A IO, 0.3s, 2032  167,352,289  1,778,118 
FRB Ser. 02-A, Class B1, 8.209s, 2032  4,059,503  2,029,752 
Marriott Vacation Club Owner Trust 144A     
Ser. 04-2A, Class C, 4.741s, 2026  128,801  123,050 
Ser. 04-2A, Class D, 5.389s, 2026  140,001  134,199 
Ser. 05-2, Class D, 6.205s, 2027  158,572  156,937 
FRB Ser. 02-1A, Class A1, 5.623s, 2024  1,474,672  1,487,584 
MASTR Adjustable Rate Mortgages Trust     
Ser. 04-03, Class 4AX, IO, 1.417s, 2034  3,297,085  74,184 
Ser. 04-7, Class 2A1, 4.66s, 2034  869,701  857,372 
Ser. 05-2, Class 7AX, IO, 0.168s, 2035  8,751,642  26,255 
Ser. 06-OA1, Class X, IO, zero %, 2046  6,729,875  343,291 
MASTR Asset Backed Securities NIM Trust 144A     
Ser. 04-CI5, Class N2, 9s, 2034 (Cayman Islands)  312,923  314,738 
Ser. 04-HE1A, Class Note, 5.191s, 2034 (Cayman Islands)  34,938  34,868 
MASTR Reperforming Loan Trust 144A     
Ser. 05-1, Class 1A4, 7 1/2s, 2034  2,369,590  2,454,747 
Ser. 05-2, Class 1A3, 7 1/2s, 2035  990,952  1,026,564 
MBNA Credit Card Master Note Trust FRB Ser. 03-C5,     
Class C5, 6.081s, 2010  1,730,000  1,762,662 
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1,     
5.62s, 2027  5,980,417  5,741,201 
Merrill Lynch Mortgage Investors, Inc. Ser. 03-WM3N,     
Class N1, 8s, 2034  7,609  7,516 
Merrill Lynch Mortgage Investors, Inc. 144A     
Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)  23,750  23,513 
Ser. 04-HE2N, Class N1, 5s, 2035 (Cayman Islands)  166,102  163,195 
Ser. 04-OP1N, Class N1, 4 3/4s, 2035 (Cayman Islands)  40,426  40,073 
Ser. 04-WM1N, Class N1, 4 1/2s, 2034  2,306  2,294 
Ser. 04-WM2N, Class N1, 4 1/2s, 2034  32,816  32,560 
Ser. 04-WM3N, Class N1, 4 1/2s, 2035  64,159  63,197 
Ser. 05-WM1N, Class N1, 5s, 2035  394,212  389,285 
Metris Master Trust FRB Ser. 04-2, Class C, 6.273s,     
2010  1,050,000  1,055,614 
Metris Master Trust 144A     
FRB Ser. 01-2, Class C, 6.823s, 2009  1,670,000  1,671,979 
FRB Ser. 04-2, Class D, 8.173s, 2010  668,000  674,680 

Mid-State Trust     
Ser. 10, Class B, 7.54s, 2036  796,768  680,701 
Ser. 11, Class B, 8.221s, 2038  417,502  407,842 
MMCA Automobile Trust Ser. 02-1, Class B, 5.37s, 2010  1,818,573  1,811,663 
Morgan Stanley ABS Capital I FRB Ser. 04-WMC3,     
Class A2PT, 5.249s, 2035  1,162,536  1,162,900 
Morgan Stanley Auto Loan Trust Ser. 04-HB2, Class D,     
3.82s, 2012  14,601  14,593 
Morgan Stanley Auto Loan Trust 144A     
Ser. 04-HB1, Class D, 5 1/2s, 2011  685,575  681,289 
Ser. 04-HB2, Class E, 5s, 2012  513,000  503,026 
Morgan Stanley Dean Witter Capital I     
FRB Ser. 01-NC3, Class B1, 8.634s, 2031  248,180  248,180 
FRB Ser. 01-NC4, Class B1, 7.459s, 2032  274,184  274,474 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,     
Class 2A1, 5.42s, 2035  6,616,865  6,607,304 
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1,     
5.239s, 2015 (Cayman Islands)  1,168,000  1,170,102 
Navistar Financial Corp. Owner Trust     
Ser. 04-B, Class C, 3.93s, 2012  316,056  306,001 
Ser. 05-A, Class C, 4.84s, 2014  813,038  798,757 
New Century Home Equity Loan Trust Ser. 03-5,     
Class AI7, 5.15s, 2033  1,734,000  1,653,998 
Newcastle CDO, Ltd. 144A FRB Ser. 3A, Class 4FL,     
8.15s, 2038 (Cayman Islands)  624,000  626,652 
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,     
8.795s, 2035  609,104  639,749 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2,     
Class PT, 9.087s, 2034  567,178  596,601 
Oakwood Mortgage Investors, Inc. Ser. 02-C, Class A1,     
5.41s, 2032  4,865,130  4,110,782 
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B,     
Class A4, 7.21s, 2030  717,498  632,240 
Ocean Star PLC 144A     
FRB Ser. 04, Class D, 7.04s, 2018 (Ireland)  623,000  640,911 
FRB Ser. 05-A, Class D, 6.24s, 2012 (Ireland)  696,000  695,930 
Option One Mortgage Loan Trust FRB Ser. 05-4,     
Class M11, 7.459s, 2035  216,000  188,317 
Origen Manufactured Housing Ser. 04-B, Class A2,     
3.79s, 2017  431,000  419,282 
Park Place Securities NIM Trust 144A     
Ser. 04-MCWN1, Class A, 4.458s, 2034  8,440  8,429 
Ser. 04-WHQ2, Class A, 4s, 2035  59,573  58,977 
Park Place Securities, Inc. FRB Ser. 04-WHQ2,     
Class A3A, 5.309s, 2035  1,138,794  1,139,800 
Park Place Securities, Inc. 144A     
FRB Ser. 04-MHQ1, Class M10, 7.459s, 2034  415,000  378,378 
FRB Ser. 05-WCW2, Class M11, 7.459s, 2035  1,793,000  1,389,575 
People's Choice Net Interest Margin Note 144A     
Ser. 04-2, Class A, 5s, 2034  225,581  224,724 
Ser. 04-2, Class B, 5s, 2034  313,000  304,987 
Permanent Financing PLC FRB Ser. 3, Class 3C, 6.03s,     
2042 (United Kingdom)  1,300,000  1,316,455 
Pillar Funding PLC 144A     
FRB Ser. 04-1A, Class C1, 5.91s, 2011 (United Kingdom)  657,000  665,463 
FRB Ser. 04-2A, Class C, 5.371s, 2011 (United Kingdom)  912,000  919,822 
Providian Gateway Master Trust 144A     
Ser. 04-DA, Class D, 4.4s, 2011  944,000  918,335 
Ser. 04-FA, Class E, 5s, 2011  500,000  500,000 
FRB Ser. 04-AA, Class D, 6.751s, 2011  1,204,000  1,219,965 
FRB Ser. 04-BA, Class D, 6.301s, 2010  1,900,000  1,904,115 
FRB Ser. 04-EA, Class D, 5.831s, 2011  701,000  708,639 
Renaissance NIM Trust 144A Ser. 05-1, Class N, 4.7s,     
2035  279,306  279,306 
Residential Accredit Loans, Inc. Ser. 04-QA5,     
Class A2, 4.976s, 2034  606,698  602,792 
Residential Asset Mortgage Products, Inc. Ser. 04-RZ2,     
Class A, IO, 3 1/2s, 2006  2,322,222  6,259 
Residential Asset Securities Corp. 144A     
Ser. 04-N10B, Class A1, 5s, 2034  340,890  339,399 
Ser. 04-NT, Class Note, 5s, 2034  233,551  224,209 
Ser. 04-NT12, Class Note, 4.7s, 2035  156,457  155,846 
FRB Ser. 05-KS10, Class B, 7.201s, 2035  1,165,000  1,022,194 
Saco I Trust FRB Ser. 05-10, Class 1A1, 5.078s, 2033  2,225,732  2,225,732 
SAIL Net Interest Margin Notes 144A     
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)  22,036  16,527 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)  10,916  8,042 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)  12,564  8,487 
Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)  19,639  15,318 
Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)  48,598  9,720 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)  66,712  8,005 
Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)  133,867  29,049 
Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)  518,283  515,236 
Ser. 04-11A, Class A2, 4 3/4s, 2035 (Cayman Islands)  794,784  788,004 
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands)  242,086  145,251 
Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands)  11,252  11,237 
Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands)  62,596  62,483 
Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)  59,489  59,370 
Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)  322,546  320,812 
Ser. 04-BN2A, Class A, 5s, 2034 (Cayman Islands)  90,852  90,362 
Ser. 04-BNCA, Class A, 5s, 2034 (Cayman Islands)  3,898  3,891 

Ser. 05-1A, Class A, 4 1/4s, 2035  787,459  779,680 
Ser. 05-2A, Class A, 4 3/4s, 2035 (Cayman Islands)  896,894  889,667 
Sasco Net Interest Margin Trust 144A     
Ser. 05-NC1A, Class A, 4 3/4s, 2035 (Cayman Islands)  948,225  940,593 
Ser. 05-WF1A, Class A, 4 3/4s, 2035 (Cayman Islands)  759,294  752,889 
Sharps SP I, LLC Net Interest Margin Trust 144A     
Ser. 03-HE1N, Class N, 6.9s, 2033  11,776  11,776 
Ser. 04-4N, Class Note, 6.65s, 2034  5,290  5,290 
Ser. 04-HE1N, Class Note, 4.94s, 2034  144,312  50,509 
Ser. 04-HE2N, Class NA, 5.43s, 2034  43,533  42,880 
Ser. 04-HE4N, Class NA, 3 3/4s, 2034  546,557  541,092 
Ser. 04-HS1N, Class Note, 5.92s, 2034  35,626  35,626 
Ser. 04-RM2N, Class NA, 4s, 2035  275,439  272,685 
Soundview Home Equity Loan Trust 144A FRB Ser.     
05-CTX1, Class B1, 7.459s, 2035  466,000  375,130 
South Coast Funding 144A FRB Ser. 3A, Class A2, 5.92s,     
2038 (Cayman Islands)  470,000  474,418 
Structured Adjustable Rate Mortgage Loan Trust     
Ser. 04-10, Class 1A1, 4.913s, 2034  1,381,628  1,378,014 
Ser. 04-12, Class 1A2, 4.961s, 2034  1,934,992  1,930,356 
Ser. 04-6, Class 1A, 4.373s, 2034  6,129,761  6,021,761 
Ser. 04-8, Class 1A3, 4.685s, 2034  59,573  58,922 
Ser. 05-9, Class AX, IO, 0.943s, 2035  45,795,393  1,364,703 
Structured Adjustable Rate Mortgage Loan Trust 144A     
Ser. 04-NP2, Class A, 5.309s, 2034  1,418,827  1,418,968 
Structured Asset Investment Loan Trust 144A FRB Ser.     
05-HE3, Class M11, 7.459s, 2035  974,000  782,876 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,     
5.114s, 2015  5,307,138  5,305,482 
Structured Asset Securities Corp.     
Ser. 03-40A, Class 1A, 4.88s, 2034  883,869  886,409 
Ser. 04-8, Class 1A1, 4.685s, 2034  1,148,130  1,137,244 
IFB Ser. 05-10, Class 3A3, 6.162s, 2034  3,210,614  2,804,239 
IFB Ser. 05-6, Class 5A8, 3.981s, 2035  4,467,680  3,483,246 
Structured Asset Securities Corp. 144A     
Ser. 98-RF3, Class A, IO, 6.1s, 2028  4,074,902  499,176 
FRB Ser. 03-NP2, Class A2, 5.509s, 2032  109,268  109,268 
FRB Ser. 03-NP3, Class A1, 5.959s, 2033  30,175  30,178 
Terwin Mortgage Trust FRB Ser. 04-5HE, Class A1B,     
5.379s, 2035  1,278,446  1,279,904 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,     
2038 (Cayman Islands)  1,698,000  1,704,620 
Wells Fargo Home Equity Trust 144A     
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)  40,626  40,546 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  862,000  862,635 
Wells Fargo Mortgage Backed Securities Trust     
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035  44,983,000  632,573 
Ser. 05-AR12, Class 2A5, 4.32s, 2035  21,411,000  20,503,745 
Ser. 05-AR9, Class 1A2, 4.352s, 2035  2,490,939  2,424,594 
WFS Financial Owner Trust     
Ser. 04-1, Class D, 3.17s, 2011  232,773  229,400 
Ser. 04-3, Class D, 4.07s, 2012  559,806  550,440 
Ser. 04-4, Class D, 3.58s, 2012  243,254  238,864 
Ser. 05-1, Class D, 4 1/4s, 2012  596,334  587,085 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,     
Class B3, 6s, 2044 (United Kingdom)  1,687,000  1,686,789 
Whole Auto Loan Trust Ser. 03-1, Class C, 3.13s, 2010  159,889  159,276 
Whole Auto Loan Trust 144A     
Ser. 03-1, Class D, 6s, 2010  53,530  53,513 
Ser. 04-1, Class D, 5.6s, 2011  721,525  715,708 
 
    $333,450,264 
Total asset-backed securities (cost $345,893,258)     
 
CORPORATE BONDS AND NOTES (4.6%)(a)     
 
  Principal amount  Value 
 
 
Advertising and Marketing Services (--%)     
Omnicom Group, Inc. sr. notes 5.9s, 2016  $635,000  $619,561 
 
Aerospace and Defense (0.1%)     
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015  725,000  681,500 
L-3 Communications Corp. sr. sub. notes Class B, 6     
3/8s, 2015  595,000  577,150 
Lockheed Martin Corp. bonds 8 1/2s, 2029  1,145,000  1,448,775 
Raytheon Co. debs. 6 3/4s, 2018  185,000  195,591 
    2,903,016 
 
Airlines (0.1%)     
Continental Airlines, Inc. pass-through certificates     
Ser. 98-3, 6.32s, 2008  4,215,000  4,209,810 
 
Automotive (0.4%)     
DaimlerChrysler NA Holding Corp. company guaranty     
7.2s, 2009  3,720,000  3,890,186 
DaimlerChrysler NA Holding Corp. company guaranty 6     
1/2s, 2013  1,130,000  1,143,334 
Ford Motor Credit Corp. FRN 8.149s, 2007  950,000  932,394 

Ford Motor Credit Corp. notes 7 3/4s, 2007  190,000  187,650 
Ford Motor Credit Corp. notes 7 3/8s, 2009  2,925,000  2,702,630 
Ford Motor Credit Corp. notes 6 3/8s, 2008  980,000  916,816 
Ford Motor Credit Corp. notes 5 5/8s, 2008  1,709,000  1,555,602 
General Motors Acceptance Corp. FRN 6.018s, 2007  1,870,000  1,814,841 
General Motors Acceptance Corp. FRN Ser. MTN, 5.968s,     
2007  1,170,000  1,149,704 
General Motors Acceptance Corp. FRN Ser. MTN, 5.645s,     
2006  846,000  845,810 
General Motors Acceptance Corp. FRN Ser. MTN, 5.62s,     
2007  1,815,000  1,780,203 
Johnson Controls, Inc. sr. notes 5 1/2s, 2016  840,000  804,018 
    17,723,188 
 
Banking (0.6%)     
Allfirst Financial Inc. sub. notes 7.2s, 2007  1,055,000  1,076,774 
Bank of New York Co., Inc. (The) sr. sub. notes FRN     
3.4s, 2013  405,000  389,589 
Bank One Corp. sub. notes 5 1/4s, 2013  100,000  97,486 
Barclays Bank PLC FRB 6.278s, 2049 (United Kingdom)  1,110,000  1,016,982 
Capital One Bank notes 6 1/2s, 2013  655,000  678,463 
Citigroup, Inc. sub. notes 5s, 2014  2,377,000  2,251,276 
Countrywide Capital III company guaranty Ser. B,     
8.05s, 2027  1,035,000  1,154,520 
Deutsche Bank Capital Funding Trust VII 144A FRB     
5.628s, 2049  1,145,000  1,086,632 
Fleet Capital Trust V bank guaranty FRN 5.93s, 2028  935,000  932,449 
Greenpoint Capital Trust I company guaranty 9.1s, 2027  600,000  645,592 
JPMorgan Chase Capital XV notes 5 7/8s, 2035  3,380,000  3,067,380 
NB Capital Trust IV company guaranty 8 1/4s, 2027  5,540,000  5,872,317 
PNC Bank NA notes 4 7/8s, 2017  1,030,000  941,705 
Royal Bank of Scotland Group PLC bonds Ser. 1, 9.118s,     
2049 (United Kingdom)  1,900,000  2,118,036 
Royal Bank of Scotland Group PLC FRB 7.648s, 2049     
(United Kingdom)  400,000  446,192 
Sovereign Bancorp, Inc. 144A sr. notes 4.8s, 2010  730,000  702,840 
UBS AG/Jersey Branch FRN 7.93s, 2008 (Jersey)  3,020,000  3,121,925 
UBS Preferred Funding Trust I company guaranty 8.622s,     
2049  1,345,000  1,492,852 
Washington Mutual, Inc. sub. notes 8 1/4s, 2010  1,580,000  1,711,646 
Westpac Capital Trust III 144A sub. notes FRN 5.819s,     
2049 (Australia)  1,010,000  988,517 
    29,793,173 
 
Beverage (--%)     
Diageo PLC company guaranty 8s, 2022  760,000  894,400 
 
Broadcasting (0.1%)     
Chancellor Media Corp. company guaranty 8s, 2008  1,355,000  1,425,582 
News America Holdings, Inc. debs. 7 3/4s, 2045  1,065,000  1,139,314 
News America, Inc. 144A notes 6.4s, 2035  1,645,000  1,554,732 
Viacom, Inc. 144A sr. notes 5 3/4s, 2011  610,000  605,765 
    4,725,393 
 
Cable Television (0.2%)     
Comcast Corp. company guaranty 4.95s, 2016  165,000  149,325 
Cox Communications, Inc. notes 7 3/4s, 2010  730,000  780,563 
Cox Communications, Inc. notes 6 3/4s, 2011  500,000  515,578 
Cox Enterprises, Inc. 144A notes 7 7/8s, 2010  1,045,000  1,110,541 
Jones Intercable, Inc. sr. notes 7 5/8s, 2008  3,585,000  3,720,542 
TCI Communications, Inc. debs. 8 3/4s, 2015  1,115,000  1,294,251 
TCI Communications, Inc. debs. 7 7/8s, 2013  1,240,000  1,356,837 
    8,927,637 
 
Chemicals (0.1%)     
Dow Chemical Co. (The) Pass Through Trust 144A company     
guaranty 4.027s, 2009  1,510,000  1,428,322 
ICI Wilmington, Inc. company guaranty 5 5/8s, 2013  1,235,000  1,194,850 
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014  470,000  450,142 
Potash Corp. of Saskatchewan notes 7 3/4s, 2011     
(Canada)  510,000  554,734 
    3,628,048 
 
Conglomerates (--%)     
Tyco International Group SA company guaranty 6 3/4s,     
2011 (Luxembourg)  1,185,000  1,232,805 
 
Consumer Finance (0.1%)     
Block Financial Corp. notes 5 1/8s, 2014  760,000  688,218 
HSBC Finance Capital Trust IX FRN 5.911s, 2035  3,300,000  3,188,114 
    3,876,332 
 
Consumer Goods (--%)     

Fortune Brands, Inc. notes 5 3/8s, 2016  1,170,000  1,107,639 
 
Containers (--%)     
Sealed Air Corp. 144A notes 5 5/8s, 2013  800,000  777,265 
 
Electric Utilities (0.6%)     
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  905,000  877,950 
Appalachian Power Co. sr. notes 5.8s, 2035  510,000  454,595 
Beaver Valley II Funding debs. 9s, 2017  960,000  1,072,282 
CenterPoint Energy Houston Electric, LLC general ref.     
mtge. Ser. M2, 5 3/4s, 2014  110,000  108,386 
Cleveland Electric Illuminating Co. (The) 144A sr.     
notes Ser. D, 7.88s, 2017  550,000  624,234 
Commonwealth Edison Co. 1st mtge. 5.9s, 2036  950,000  882,844 
Consumers Energy Co. 1st mtge. 5.65s, 2020  420,000  394,186 
Consumers Energy Co. 1st mtge. 5s, 2012  1,210,000  1,158,208 
Consumers Energy Co. 1st mtge. Ser. B, 5 3/8s, 2013  805,000  775,878 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013  975,000  936,379 
Entergy Gulf States, Inc. 1st mtge. 5 1/4s, 2015  375,000  342,164 
Entergy Gulf States, Inc. 1st mtge. 3.6s, 2008  565,000  541,052 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  515,000  519,100 
Ipalco Enterprises, Inc. sec. notes 8 3/8s, 2008  440,000  457,600 
Kansas Gas & Electric bonds 5.647s, 2021  320,000  300,938 
MidAmerican Energy Holdings Co. 144A bonds 6 1/8s, 2036  2,685,000  2,561,251 
Monongahela Power Co. 1st mtge. 5s, 2006  2,185,000  2,179,249 
Nevada Power Co. 2nd mtge. 9s, 2013  463,000  508,498 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s,     
2015  425,000  409,448 
NiSource Finance Corp. company guaranty 5.45s, 2020  1,315,000  1,195,293 
NiSource Finance Corp. company guaranty 5 1/4s, 2017  140,000  129,146 
Oncor Electric Delivery Co. debs. 7s, 2022  60,000  62,645 
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033  820,000  890,195 
PacifiCorp Sinking Fund 1st mtge. 5.45s, 2013  1,020,000  1,003,616 
Power Receivable Finance, LLC 144A sr. notes 6.29s,     
2012 (S)  1,169,166  1,172,159 
PPL Energy Supply LLC bonds Ser. A, 5.7s, 2015  640,000  614,301 
Progress Energy, Inc. sr. unsecd. notes 5 5/8s, 2016  970,000  937,295 
Public Service Co. of Colorado sr. notes Ser. A, 6     
7/8s, 2009  375,000  389,022 
Public Service Co. of New Mexico sr. notes 4.4s, 2008  570,000  553,348 
Public Service Electric & Gas Co. 1st mtge. 6 3/8s,     
2008  915,000  930,270 
Southern California Edison Co. 1st mtge. 5s, 2014  230,000  218,971 
Southern California Edison Co. notes 6.65s, 2029  1,205,000  1,234,274 
Teco Energy, Inc. notes 7.2s, 2011  1,070,000  1,110,125 
TransAlta Corp. notes 5 3/4s, 2013 (Canada)  665,000  648,608 
TXU Corp. sr. notes Ser. P, 5.55s, 2014  1,490,000  1,384,615 
Westar Energy, Inc. 1st mtge. 5.15s, 2017  75,000  69,197 
Westar Energy, Inc. 1st mtge. 5.1s, 2020  800,000  716,306 
    28,363,628 
 
Electronics (--%)     
Arrow Electronics, Inc. debs. 7 1/2s, 2027  760,000  795,133 
Avnet, Inc. notes 6s, 2015  765,000  729,231 
    1,524,364 
 
Energy (--%)     
Weatherford International, Ltd. sr. notes 5 1/2s, 2016  455,000  438,956 
 
Financial (0.6%)     
Bosphorus Financial Services, Ltd. 144A sec. FRN     
6.549s, 2012 (Cayman Islands)  2,378,000  2,395,619 
CIT Group, Inc. sr. notes 7 3/4s, 2012  1,015,000  1,113,887 
CIT Group, Inc. sr. notes 5s, 2015  780,000  726,809 
CIT Group, Inc. sr. notes 5s, 2014  2,575,000  2,416,020 
Executive Risk Capital Trust company guaranty Ser. B,     
8.675s, 2027  1,545,000  1,637,596 
Fund American Cos. Inc. notes 5 7/8s, 2013  1,370,000  1,331,129 
ILFC E-Capital Trust I 144A FRB 5.9s, 2065  295,000  287,736 
ILFC E-Capital Trust II 144A FRB 6 1/4s, 2065  1,710,000  1,637,282 
International Lease Finance Corp. notes 4 3/4s, 2012  2,630,000  2,499,297 
Liberty Mutual Insurance 144A notes 7.697s, 2097  2,095,000  2,015,570 
Loews Corp. notes 5 1/4s, 2016  510,000  477,816 
MetLife, Inc. notes 5.7s, 2035  725,000  658,848 
MetLife, Inc. notes 5s, 2015  1,210,000  1,133,976 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015     
(S)  465,000  452,015 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  375,000  431,893 
Nuveen Investments, Inc. sr. notes 5 1/2s, 2015  505,000  478,066 
Nuveen Investments, Inc. sr. notes 5s, 2010  505,000  485,930 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  710,000  730,205 
Prudential Holdings LLC 144A bonds 8.695s, 2023  1,510,000  1,803,922 
Safeco Capital Trust I company guaranty 8.072s, 2037  1,365,000  1,442,163 
Sun Life Canada Capital Trust 144A company guaranty     
8.526s, 2049  2,115,000  2,251,819 
Transamerica Capital III company guaranty 7 5/8s, 2037  1,095,000  1,176,410 
ZFS Finance USA Trust I 144A bonds FRB 6.15s, 2065  1,510,000  1,463,879 

    29,047,887 
 
Forest Products and Packaging (0.1%)     
Georgia-Pacific Corp. notes 8 1/8s, 2011  635,000  658,813 
Weyerhaeuser Co. debs. 7.95s, 2025  975,000  1,063,638 
Weyerhaeuser Co. debs. 7 3/8s, 2032  880,000  919,004 
Weyerhaeuser Co. notes 6 3/4s, 2012  380,000  393,315 
    3,034,770 
 
Gaming & Lottery (0.1%)     
GTECH Holdings Corp. notes 4 3/4s, 2010  640,000  619,058 
Harrah's Operating Co., Inc. company guaranty 5 3/4s,     
2017  770,000  721,565 
Park Place Entertainment Corp. sr. notes 7s, 2013  1,020,000  1,061,444 
    2,402,067 
 
Health Care (--%)     
Health Management Associates, Inc. sr. notes 6 1/8s,     
2016  1,020,000  1,012,021 
 
Homebuilding (--%)     
D.R. Horton, Inc. sr. notes 7 7/8s, 2011  565,000  604,908 
D.R. Horton, Inc. sr. notes 5 7/8s, 2013  660,000  630,635 
    1,235,543 
 
Investment Banking/Brokerage (0.1%)     
Lehman Brothers E-Capital Trust I 144A FRN 5.55s, 2065  2,420,000  2,427,105 
 
Lodging/Tourism (0.1%)     
Cendant Corp. notes 6 1/4s, 2010  1,785,000  1,827,778 
Hilton Hotels Corp. notes 8 1/4s, 2011  1,355,000  1,459,665 
    3,287,443 
 
Media (0.1%)     
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023  795,000  891,538 
Time Warner, Inc. debs. 9.15s, 2023  340,000  406,266 
Time Warner, Inc. debs. 9 1/8s, 2013  2,435,000  2,803,153 
    4,100,957 
 
Medical Services (--%)     
WellPoint, Inc. notes 5s, 2014  515,000  484,007 
WellPoint, Inc. unsecd. notes 5 1/4s, 2016  590,000  560,666 
    1,044,673 
 
Metals (--%)     
Newmont Mining Corp. notes 5 7/8s, 2035  675,000  609,129 
Teck Cominco Ltd. notes 6 1/8s, 2035 (Canada)  650,000  598,696 
Teck Cominco Ltd. notes 5 3/8s, 2015 (Canada)  120,000  114,253 
    1,322,078 
 
Natural Gas Utilities (0.1%)     
Atmos Energy Corp. notes 4.95s, 2014  860,000  795,472 
Buckeye Partners LP notes 5.3s, 2014  570,000  541,298 
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011  1,060,000  1,145,037 
Consolidated Natural Gas Co. sr. notes 5s, 2014  530,000  491,515 
Duke Energy Field Services, LLC 144A notes 5 3/8s, 2015  260,000  246,442 
Enbridge Energy Partners LP sr. notes 5.35s, 2014  555,000  522,102 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012  780,000  801,901 
National Fuel Gas Co. notes 5 1/4s, 2013  545,000  523,412 
    5,067,179 
 
Oil & Gas (0.1%)     
Amerada Hess Corp. bonds 7 7/8s, 2029  1,160,000  1,321,337 
Forest Oil Corp. sr. notes 8s, 2011  610,000  648,888 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012  1,070,000  1,039,388 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016  650,000  642,688 
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015  325,000  341,499 
Sunoco, Inc. notes 4 7/8s, 2014  590,000  549,448 
Valero Energy Corp. sr. unsecd. notes 7 1/2s, 2032  745,000  834,740 
    5,377,988 
 
Pharmaceuticals (0.1%)     
Bayer Corp. 144A FRB 6.2s, 2008  845,000  853,399 
Hospira, Inc. notes 5.9s, 2014  430,000  425,335 
Wyeth notes 5 1/2s, 2014  2,475,000  2,418,241 
    3,696,975 
 
Photography/Imaging (--%)     

Xerox Corp. sr. notes 6.4s, 2016  1,030,000  1,002,963 
 
Power Producers (--%)     
York Power Funding 144A notes 12s, 2007 (Cayman     
Islands) (In default) (F)(NON)  157,726  13,154 
 
Railroads (0.1%)     
BNSF Funding Trust I company guaranty FRB 6.613s, 2055  2,285,000  2,195,853 
Union Pacific Corp. 144A pass-through certificates     
5.214s, 2014  590,000  563,438 
    2,759,291 
 
Real Estate (0.3%)     
Archstone-Smith Trust 5 3/4s, 2016 (R)  740,000  723,703 
Brandywine Operating Partnership LP notes 5 3/4s, 2012     
(R)  505,000  498,793 
Colonial Properties Trust notes 6 1/4s, 2014 (R)  660,000  658,568 
Developers Diversified Realty Corp. unsecd. notes 5     
3/8s, 2012 (R)  385,000  372,671 
Equity One, Inc. company guaranty 3 7/8s, 2009 (R)  840,000  797,474 
ERP Operating LP notes 6.584s, 2015  600,000  621,478 
Franchise Finance Corp. of America sr. notes 8 3/4s,     
2010 (R)  1,850,000  2,082,046 
Heritage Property Investment Trust company guaranty 5     
1/8s, 2014 (R)  795,000  735,676 
Hospitality Properties Trust notes 6 3/4s, 2013 (R)  780,000  804,570 
HRPT Properties Trust bonds 5 3/4s, 2014 (R)  530,000  511,231 
HRPT Properties Trust notes 6 1/4s, 2016 (R)  525,000  521,369 
iStar Financial, Inc. sr. unsecd. notes 5 7/8s, 2016     
(R)  1,630,000  1,570,117 
ProLogis Trust sr. notes 5 3/4s, 2016 (R)  905,000  881,210 
Rouse Co. (The) notes 7.2s, 2012 (R)  1,065,000  1,096,464 
Simon Property Group LP 144A unsub. notes 5 3/4s, 2015     
(R)  740,000  724,860 
    12,600,230 
 
Regional Bells (0.1%)     
Ameritech Capital Funding company guaranty 6 1/4s, 2009  200,000  203,500 
Citizens Communications Co. sr. notes 6 1/4s, 2013  685,000  665,306 
SBC Communications, Inc. notes 5 7/8s, 2012  440,000  440,035 
Southwestern Bell Telephone debs. 7s, 2027  1,075,000  1,049,496 
Verizon New England, Inc. sr. notes 6 1/2s, 2011  2,285,000  2,317,541 
Verizon New Jersey, Inc. debs. 8s, 2022  770,000  823,096 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030  980,000  1,082,856 
    6,581,830 
 
Retail (0.1%)     
CVS Corp. 144A pass-through certificates 6.117s, 2013  1,632,010  1,635,813 
Delhaize America, Inc. company guaranty 8 1/8s, 2011  1,370,000  1,477,133 
JC Penney Co., Inc. debs. 7.65s, 2016  110,000  119,968 
JC Penney Co., Inc. notes 6 7/8s, 2015  910,000  942,211 
Kroger Co. company guaranty 6 3/4s, 2012  275,000  285,330 
Office Depot, Inc. notes 6 1/4s, 2013  563,000  557,628 
    5,018,083 
 
Software (--%)     
Computer Associates International, Inc. 144A sr. notes     
6 1/8s, 2014  980,000  924,723 
 
Telecommunications (0.3%)     
AT&T Corp. sr. notes 9 3/4s, 2031  670,000  793,921 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031  2,225,000  2,796,829 
Deutsche Telekom International Finance BV company     
guaranty 8 1/4s, 2030 (Germany)  560,000  664,946 
Deutsche Telekom International Finance BV notes 5     
1/4s, 2013 (Germany)  1,540,000  1,471,328 
France Telecom notes 8 1/2s, 2031 (France)  180,000  221,840 
France Telecom notes 7 3/4s, 2011 (France)  455,000  494,990 
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada)  765,000  751,613 
Sprint Capital Corp. company guaranty 6.9s, 2019  1,315,000  1,391,608 
Sprint Capital Corp. company guaranty 6 7/8s, 2028  2,950,000  3,039,090 
Telecom Italia Capital SA company guaranty 6 3/8s,     
2033 (Luxembourg)  290,000  271,502 
Telecom Italia Capital SA company guaranty 5 1/4s,     
2013 (Luxembourg)  1,335,000  1,258,857 
Telecom Italia Capital SA company guaranty 4s, 2010     
(Luxembourg)  1,270,000  1,193,457 
Telecom Italia Capital SA notes 5 1/4s, 2015     
(Luxembourg)  965,000  886,642 
Vodafone Group PLC notes 5 3/4s, 2016 (United Kingdom)  1,130,000  1,095,512 
    16,332,135 
 
Telephone (--%)     
Telefonica Europe BV company guaranty 8 1/4s, 2030     

(Netherlands)    595,000  681,680 
 
      $219,715,990 
Total corporate bonds and notes (cost $226,256,568)       
 
CONVERTIBLE PREFERRED STOCKS (0.7%)(a)       
    Shares  Value 
 
General Motors Corp. Ser. A, $1.13 cv. pfd. (S)    75,536  $1,793,980 
Hartford Financial Services Group, Inc. (The) $3.50       
cv. pfd.    20,620  1,685,685 
Hartford Financial Services Group, Inc. (The) $3.00       
cv. pfd.    70,999  5,706,545 
Huntsman Corp. $2.50 cv. pfd.    109,829  4,722,647 
Xerox Corp. $6.25 cv. pfd.    138,354  15,979,848 
XL Capital, Ltd. $1.625 cv. pfd. (Bermuda) (S)    246,890  5,401,953 
 
      $35,290,658 
Total convertible preferred stocks (cost $30,499,042)       
 
PURCHASED OPTIONS (0.1%)(a)       
  Expiration     
  date/strike price  Contract amount  Value 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the obligation to pay a fixed rate       
of 5.28% versus the three month USD-LIBOR-BBA maturing       
on March 8, 2017.  Mar 07/$5.28  89,553,000  $3,326,464 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the right to receive a fixed rate       
of 5.28% versus the three month USD-LIBOR-BBA maturing       
on March 8, 2017.  Mar 07/$5.28  89,553,000  978,680 
90 Day Euro Future (CALL)  Mar 07/$94.75  458  291,975 
90 Day Euro Future (PUT)  Mar 07/$94.75  458  246,175 
 
      $4,843,294 
Total Purchased Options (cost $4,979,559)       
 
MUNICIPAL BONDS AND NOTES (0.0%)(a)       
  Rating (RAT)  Principal amount  Value 
 
NJ State Tpk. Auth. Rev. Bonds, Ser. B       
AMBAC, 4.252s, 1/1/16  Aaa  $1,065,000  $972,068 
AMBAC, U.S. Govt. Coll., 4.252s, 1/1/16 (Prerefunded)  Aaa  55,000  49,576 
 
      $1,021,644 
Total municipal bonds and notes (cost $1,084,718)       
 
PREFERRED STOCKS (0.0%)(a)       
    Shares  Value 
 
Paxson Communications Corp. 14.25% cum. pfd. (PIK)    1  $8,975 
UBS Capital III $1.938 cum. pfd.    31,000  775,000 
 
      $783,975 
Total preferred stocks (cost $788,350)       
 
UNITS (0.0%)(a) (cost $863,004)       
    Units  Value 
 
Cendant Corp. units 4.89s, 2006    10,100  $503,409 
 
 
 
SHORT-TERM INVESTMENTS (12.9%)(a)       
    Principal   
    amount/shares  Value 
Short-term investments held as collateral for loaned       
securities with yields ranging from 4.70% to 5.01% and       
due dates ranging from May 1,2006 to June 2, 2006 (d)    $114,570,170  $114,435,524 
Putnam Prime Money Market Fund (e)    501,795,833  501,795,833 
 
      $616,231,357 
Total short-term investments (cost $616,231,357)       
 
 
TOTAL INVESTMENTS       
 
      $5,470,631,084 
Total investments (cost $4,943,146,421)(b)       

FUTURES CONTRACTS OUTSTANDING at 4/30/06 (Unaudited)     
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Euro 90 day (Long)  4,572  $1,133,092,700  Mar-06  $(1,645,310) 
Euro 90 day (Short)  4,783  1,083,449,700  Sep-06  3,971,000 
Euro 90 day (Long)  3  711,075  Jun-06  (161) 
S&P 500 Index Mini (Long)  747  49,152,600  Jun-06  134,283 
U.S. Treasury Bond CBT (Long)  1,013  108,232,719  Jun-06  (3,372,740) 
U.S. Treasury Note 2yr (Short)  1,789  364,480,797  Jun-06  328,067 
U.S. Treasury Note 5 yr (Short)  2,960  308,302,500  Jun-06  2,385,035 
U.S. Treasury Note 10 yr (Long)  2,125  224,353,516  Jun-06  (2,139,661) 
Total        $(339,487) 

WRITTEN OPTIONS OUTSTANDING at 4/30/06 (premiums received $8,198,261) (Unaudited)       
  
  Contract  Expiration date/   
  amount strike price    Value 
Option on an interest rate swap with Lehman Brothers International for the obligation to       
pay a fixed rate of 5.225% semi-annually versus the three month USD-LIBOR-BBA       
maturing March 5, 2018.  $32,581,000  Mar 08/5.225  $1,621,263 
Option on an interest rate swap with Lehman Brothers International for the right to       
receive a fixed rate of 5.225% semi-annually versus the three month USD-LIBOR-BBA       
maturing March 5, 2018.  32,581,000  Mar 08/5.225  578,410 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive       
a fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017.  76,820,000  Jun 07/4.55  263,700 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to       
pay a fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017.  76,820,000  Jun 07/4.55  6,365,643 
Total      $8,829,016 

TBA SALE COMMITMENTS OUTSTANDING at 4/30/06 (proceeds receivable $232,305,097) (Unaudited)   
  
  Principal Settlement     
Agency  amount   date  Value 
FNMA, 6s, May 1, 2036  $2,913,000  5/11/06  $2,899,801 
FNMA, 5 1/2s, May 1, 2036  79,501,000  5/11/06  77,202,928 
FNMA, 5s, May 1, 2036  130,300,000  5/11/06  123,245,480 
FNMA, 5s, May 1, 2021  220,000  5/16/06  214,156 
FNMA, 4 1/2s, May 1, 2036  27,650,000  5/11/06  25,314,872 
Total      $228,877,237 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/06 (Unaudited)   
    Fixed payments  Fixed payments  Unrealized 
Swap counterparty /  Termination  made by  received by  appreciation/ 
Notional amount  date  fund per annum  fund per annum  (depreciation) 
Bank of America, N.A.         
$82,772,000  1/28/24  3 month USD-LIBOR-BBA  5.2125%  $(3,425,196) 
102,075,000  12/22/09  3.965%  3 month USD-LIBOR-BBA  3,704,898 
87,100,000  1/14/10  3 month USD-LIBOR-BBA  4.106%  (2,730,448) 
84,900,000  4/6/10  4.6375%  3 month USD-LIBOR-BBA  2,147,280 
248,000,000  5/21/07  3.95%  3 month USD-LIBOR-BBA  1,306,202 
20,610,000  6/17/15  4.555%  3 month USD-LIBOR-BBA  1,232,650 
7,440,000  6/23/15  4.466%  3 month USD-LIBOR-BBA  493,291 
3,070,000  6/23/15  4.45%  3 month USD-LIBOR-BBA  207,223 
3,720,000  6/24/15  4.39%  3 month USD-LIBOR-BBA  269,685 
53,000,000  10/21/15  4.943%  3 month USD-LIBOR-BBA  2,375,809 
700,000  9/1/15  3 month USD-LIBOR-BBA  4.53%  (52,183) 
Citibank, N.A.         
4,380,000  4/7/14  5.377%  3 month USD-LIBOR-BBA  33,880 
Credit Suisse First Boston International       
6,600,000  11/17/09  3.947%  3 month USD-LIBOR-BBA  237,410 
25,631,800  7/9/06  3 month USD-LIBOR-BBA  2.931%  47,390 
Credit Suisse International       
3,843,000  3/21/16  3 month USD-LIBOR-BBA  5.20497%  (105,188) 
Goldman Sachs Capital Markets, L.P.       
13,380,000  4/7/14  5.33842%  3 month USD-LIBOR-BBA  138,129 
4,968,000  5/3/16  5.565%  3 month USD-LIBOR-BBA  -- 
JPMorgan Chase Bank, N.A.       
183,000,000  1/17/16  4.946%  3 month USD-LIBOR-BBA  6,109,009 
126,500,000  3/7/15  3 month USD-LIBOR-BBA  4.798%  (6,506,239) 
94,000,000  3/30/16  3 month USD-LIBOR-BBA  5.2755%  (2,001,833) 
170,000,000  3/30/08  3 month USD-LIBOR-BBA  5.163%  (394,905) 
17,930,000  6/16/15  4.538%  3 month USD-LIBOR-BBA  1,090,775 
4,470,000  6/24/15  3 month USD-LIBOR-BBA  4.387%  330,451 
63,370,000  6/29/15  3 month USD-LIBOR-BBA  4.296%  (5,000,400) 
10,430,000  8/2/15  4.6757%  3 month USD-LIBOR-BBA  (656,848) 
47,810,000  10/21/15  4.916%  3 month USD-LIBOR-BBA  2,238,181 
Lehman Brothers Special Financing, Inc.       
87,235,000  12/19/15  5.0265%  3 month USD-LIBOR-BBA  2,332,766 
26,541,000  3/21/14  5.17596%  3 month USD-LIBOR-BBA  538,614 
3,658,000  12/11/13  3 month USD-LIBOR-BBA  4.641%  (151,794) 
10,708,000  12/15/13  4.710%  3 month USD-LIBOR-BBA  398,412 
10,192,000  12/16/13  4.579%  3 month USD-LIBOR-BBA  466,808 
94,000,000  4/2/08  5.275%  3 month USD-LIBOR-BBA  13,003 
50,000,000  4/2/16  5.399%  3 month USD-LIBOR-BBA  616,594 
1,990,000  4/10/15  5.41053%  3 month USD-LIBOR-BBA  17,420 
54,300,000  4/28/08  5.4025%  3 month USD-LIBOR-BBA  (93,617) 
30,200,000  6/16/07  4.0525%  3 month USD-LIBOR-BBA  (140,303) 

  8,300,000  6/16/15  4.5475%  3 month USD-LIBOR-BBA  (498,992) 
  63,000,000  7/15/10  4.38%  3 month USD-LIBOR-BBA  1,628,983 
  36,500,000  4/28/16  5.613%  3 month USD-LIBOR-BBA  (120,472) 
  9,307,000  1/23/14  4.408%  3 month USD-LIBOR-BBA  534,409 
  9,307,000  1/23/14  4.419%  3 month USD-LIBOR-BBA  533,573 
Total          $7,164,427 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/06 (Unaudited)     
    Fixed payments  Total return  Unrealized 
Swap counterparty /  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Citibank, N.A.         
$16,150,000  11/1/06  (7.5 bp plus beginning of period  Lehman Brothers AAA 8.5+  $-- 
    nominal spread of Lehman Brothers  CMBS Index adjusted by   
    AAA 8.5+ Commercial Mortgage  modified duration factor   
    Backed Securities Index)     
Deutsche Bank AG London         
16,150,000  11/1/06  (5 bp plus nominal spread of Lehman  Lehman Brothers AAA 8.5+  -- 
    Brothers AAA 8.5+ Commercial  CMBS Index adjusted by   
    Mortgage Backed Securities Index)  modified duration factor   
Goldman Sachs International         
      Ford Credit Auto Owner   
  9/15/11    Trust Series 2005-B Class   
3,843,000    (678 bp 1 month USD-LIBOR)  D  (17,027) 
15,120,000  11/1/06  (5 bp plus change in spread on the  Lehman Brothers AAA 8.5+  -- 
    Lehman Brothers AAA 8.5+  CMBS Index adjusted by   
    Commercial Mortgage Backed  modified duration factor   
    Securities Index multiplied by the     
    modified duration factor)     
Total        $(17,027) 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 4/30/06 (Unaudited)         
  Upfront      Fixed payments  Unrealized 
Swap counterparty /  premium  Notional  Termination  received (paid) by  appreciation/ 
Referenced Debt*  received (paid)**  amount  date  fund per annum  (depreciation) 
Bank of America, N.A.           
DJ CDX NA IG HVOL Series 4 Index  $(38,611)  5,034,000  6/20/10  (90 bp)  $(53,663) 
Waste Management, 7.375%, 8/1/10  --  1,140,000  9/20/12  64 bp  13,095 
Deutsche Bank AG           
France Telecomm, 7.25%, 1/28/13  --  1,905,000  9/20/10  41 bp  (3,810) 
Goldman Sachs Capital Markets, L.P.           
DJ CDX NA IG HVOL Series 5 Index  (20,572)  2,396,000  12/20/10  (85 bp)  (41,445) 
DJ CDX NA IG Series 5 Index  (67,392)  26,770,000  12/20/10  (45 bp)  (219,044) 
DJ CDX NA IG Series 5 Index 3-7% tranche  --  1,198,000  12/20/10  (113 bp)  (31,697) 
DJ CDX NA IG HVOL Series 5 Index  (15,474)  2,396,000  12/20/10  (85 bp)  (36,347) 
DJ CDX NA IG Series 5 Index 3-7% tranche  --  1,030,000  12/20/10  (115 bp)  (28,131) 
Noble Energy, Inc., 8%, 4/1/27  --  1,145,000  6/20/13  60 bp  (344) 
Goodrich Corp., 7 5/8%, 12/15/12  --  930,000  9/20/10  49 bp  4,410 
Goldman Sachs International           
one of the underlying securities in the basket of           
BB CMBS securities  --  8,582,000  (a)  2.55625%  424,045 
Lehman Brothers Special Financing, Inc.           
DJ CDX NA IG Series 5 Index  (24,130)  13,240,000  12/20/10  (45 bp)  (99,135) 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  1,258,500  6/20/10  (124.5 bp)  (36,374) 
DJ CDX NA IG Series 4 Index  (8,731)  6,520,000  12/20/10  (45 bp)  (45,667) 
DJ CDX NA IG HVOL Series 4 Index  (18,052)  1,567,000  6/20/10  (90 bp)  (22,580) 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  1,567,000  6/20/12  309 bp  101,706 
DJ CDX NA IG HVOL Series 5 Index  (5,607)  1,030,000  12/20/10  (85 bp)  (14,581) 
DJ CDX NA IG Series 5 Index  (3,905)  12,095,000  12/20/10  45 bp  (72,423) 
Merrill Lynch International           
DJ CDX NA IG Series 5 Index  (3,874)  6,010,000  12/20/10  (45 bp)  (37,920) 
Merrill Lynch International & Co. C.V.           
DJ CDX NA IG Series 5 Index 3-7% tranche  --  1,030,000  12/20/12  246 bp  51,799 
Morgan Stanley Capital Services, Inc.           
DJ CDX NA IG Series 5 Index 3-7% tranche  --  2,396,000  12/20/12  305 bp  200,565 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  1,567,000  6/20/10  (110.5 bp)  (37,105) 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  2,517,000  6/20/12  275 bp  118,018 
DJ CDX NA IG Series 5 Index 3-7% tranche  --  1,030,000  12/20/10  (115 bp)  (28,131) 
DJ CDX NA IG HVOL Series 5 Index  (5,880)  1,030,000  12/20/10  (85 bp)  (14,853) 
DJ CDX NA IG Series 5 Index 3-7% tranche  --  1,030,000  12/20/12  248 bp  52,966 
Total          $143,354 

* Payments related to the reference debt are made upon a credit default event.

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

(a) Terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference entity are liquidated.

NOTES

(a) Percentages indicated are based on net assets of $4,771,961,099.

(RAT) The Moody's or Standard & Poor's ratings indicated are believed to be the most recent ratings available at April 30, 2006 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 April 30, 2006. Securities rated by Putnam are indicated by "/P". Security ratings are defined in the Statement of Additional Information.

(b) The aggregate identified cost on a tax basis is $4,998,854,726, resulting in gross unrealized appreciation and depreciation of $585,017,814 and $113,241,456, respectively, or net unrealized appreciation of $471,776,358.

(NON) Non-income-producing security.

(S) Securities on loan, in part or in entirety, at April 30, 2006.

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

(SEG) A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts at April 30, 2006.

(R) Real Estate Investment Trust.

(d) The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of operations. At April 30, 2006, the value of securities loaned amounted to $111,401,035. The fund received cash collateral of $114,435,524 which is pooled with collateral of other Putnam funds into 31 issues of high-grade, short-term investments.

(e) Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $7,432,153 for the period ended April 30, 2006. During the period ended April 30, 2006, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $1,189,762,767 and $873,563,929, respectively.

(F) Security is valued at fair value following procedures approved by the Trustees.

At April 30, 2006, liquid assets totaling $508,776,310 have been designated as collateral for open forward commitments and swap contracts.

144A after the name of an issuer represents securities 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.

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

The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at April 30, 2006.

Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at April 30, 2006.

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, if any, are translated into U.S. dollars at the current exchange rate.

Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.

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

Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). 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. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

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. 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 gains 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. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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 an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or 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. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting 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.

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

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

Item 2. Controls and Procedures:

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

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

Item 3. Exhibits:

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

SIGNATURES

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

The George Putnam Fund of Boston

By (Signature and Title):

/s/ Michael T. Healy
Michael T. Healy
Principal Accounting Officer
Date: June 28, 2006

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

By (Signature and Title):

/s/ Charles E. Porter
Charles E. Porter
Principal Executive Officer
Date: June 28, 2006

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: June 28, 2006