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

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- 58 )

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, 2007

Date of reporting period: October 31, 2006

Item 1. Schedule of Investments:

The George Putnam Fund of Boston     
The fund's portfolio     
10/31/06 (Unaudited)     
 
COMMON STOCKS (58.9%)(a)     
  Shares  Value 
 
Banking (3.9%)     
 
Bank of America Corp.  1,628,600  $87,732,682 
U.S. Bancorp  531,799  17,996,078 
Wachovia Corp.  236,800  13,142,400 
Washington Mutual, Inc. (S)  447,200  18,916,560 
Wells Fargo & Co.  1,161,309  42,143,904 
 
    179,931,624 
Basic Materials (2.5%)     
 
E.I. du Pont de Nemours & Co.  421,800  19,318,440 
Freeport-McMoRan Copper & Gold, Inc. Class B (S)  217,400  13,148,352 
Lyondell Chemical Co.  646,500  16,595,655 
Nucor Corp. (NON) (S)  328,100  19,164,321 
Phelps Dodge Corp.  255,600  25,657,128 
PPG Industries, Inc.  42,700  2,920,680 
Rohm & Haas Co.  318,000  16,478,760 
Temple Inland, Inc.  124,500  4,910,280 
 
    118,193,616 
Capital Goods (5.5%)     
 
AGCO Corp. (NON)  175,974  4,707,305 
Boeing Co. (The)  366,400  29,260,704 
Caterpillar, Inc.  365,500  22,189,505 
Cooper Industries, Ltd. Class A  9,209  823,745 
Cummins, Inc. (S)  216,500  27,491,170 
Eaton Corp.  261,400  18,933,202 
Emerson Electric Co.  51,100  4,312,840 
Illinois Tool Works, Inc.  59,600  2,856,628 
Ingersoll-Rand Co., Ltd. Class A (Bermuda)  413,500  15,179,585 
L-3 Communications Holdings, Inc. (S)  91,500  7,367,580 
Lockheed Martin Corp.  377,600  32,824,768 
Parker-Hannifin Corp. (S)  334,000  27,932,420 
Raytheon Co.  631,100  31,523,445 
Thomas & Betts Corp. (NON)  121,000  6,235,130 
United Technologies Corp.  138,500  9,102,220 
Waste Management, Inc.  320,082  11,996,673 
 
    252,736,920 
Communication Services (3.3%)     
 
AT&T, Inc. (S)  1,267,500  43,411,875 
Qwest Communications International, Inc. (NON)  1,568,200  13,533,566 
Sprint Nextel Corp.  2,142,100  40,035,849 
Verizon Communications, Inc.  1,482,100  54,837,700 
 
    151,818,990 
 
Conglomerates (3.0%)     
 
3M Co.  223,000  17,581,320 
General Electric Co.  1,636,500  57,457,515 
Honeywell International, Inc.  373,324  15,724,407 
Textron, Inc.  105,792  9,619,667 
Tyco International, Ltd. (Bermuda) (S)  1,252,150  36,850,775 
 
    137,233,684 
 
Consumer Cyclicals (4.1%)     
 
Barnes & Noble, Inc.  26,512  1,095,211 
Big Lots, Inc. (NON)  161,995  3,414,855 
Black & Decker Manufacturing Co.  147,414  12,365,086 

Brunswick Corp.  140,200  4,416,300 
Carnival Corp. (S)  175,300  8,558,146 
Ford Motor Co. (S)  706,200  5,847,336 
Gap, Inc. (The)  95,993  2,017,773 
Home Depot, Inc. (The)  51,889  1,937,016 
Lennar Corp. (S)  264,300  12,548,964 
Masco Corp. (S)  970,549  26,835,680 
Nordstrom, Inc.  140,609  6,657,836 
NVR, Inc. (NON)  17,900  10,050,850 
Office Depot, Inc. (NON) (S)  465,400  19,542,146 
OfficeMax, Inc.  470,200  22,372,116 
R. R. Donnelley & Sons Co.  161,000  5,451,460 
Sherwin-Williams Co. (The)  106,300  6,296,149 
Walt Disney Co. (The)  643,025  20,229,567 
Whirlpool Corp. (S)  151,800  13,195,974 
Wyndham Worldwide Corp. (NON)  290,420  8,567,390 
 
    191,399,855 
Consumer Finance (1.0%)     
 
Capital One Financial Corp.  252,200  20,007,026 
Countrywide Financial Corp. (S)  736,800  28,086,816 
 
    48,093,842 
Consumer Staples (3.3%)     
 
Altria Group, Inc.  318,220  25,880,833 
Coca-Cola Co. (The)  345,400  16,137,088 
Coca-Cola Enterprises, Inc. (S)  235,300  4,713,059 
Colgate-Palmolive Co.  234,400  14,994,568 
Comcast Corp. Class A (NON) (S)  346,600  14,096,222 
General Mills, Inc.  352,800  20,046,096 
Kroger Co.  234,300  5,269,407 
Loews Corp. - Carolina Group  371,000  21,451,220 
McDonald's Corp.  284,668  11,933,283 
Pepsi Bottling Group, Inc. (The)  620,500  19,620,210 
 
    154,141,986 
Energy (5.1%)     
 
Apache Corp.  120,400  7,864,528 
BJ Services Co.  67,479  2,035,167 
Cameron International Corp. (NON) (S)  71,942  3,604,294 
Chevron Corp.  70,900  4,764,480 
ConocoPhillips  237,300  14,294,952 
Devon Energy Corp.  84,115  5,622,247 
EOG Resources, Inc.  105,000  6,985,650 
Exxon Mobil Corp.  1,122,200  80,147,524 
Marathon Oil Corp.  526,500  45,489,600 
Newfield Exploration Co. (NON)  130,600  5,327,174 
Occidental Petroleum Corp.  164,800  7,735,712 
Pride International, Inc. (NON) (S)  359,826  9,934,796 
Rowan Cos., Inc. (S)  92,500  3,087,650 
Schlumberger, Ltd.  183,700  11,587,796 
Sunoco, Inc.  173,700  11,486,781 
Tesoro Corp. (S)  131,400  8,401,716 
Valero Energy Corp.  115,800  6,059,814 
 
    234,429,881 
Financial (7.1%)     
 
AMBAC Financial Group, Inc.  235,200  19,636,848 
Assurant, Inc.  101,400  5,339,724 
Citigroup, Inc. (S) (SEG)  2,401,700  120,469,272 
Hospitality Properties Trust (R)  66,036  3,200,105 
HRPT Properties Trust (R)  341,541  4,064,338 
JPMorgan Chase & Co. (S)  1,299,700  61,657,768 
Lehman Brothers Holdings, Inc.  340,600  26,512,304 
MGIC Investment Corp. (S)  378,000  22,211,280 
PMI Group, Inc. (The) (S)  358,324  15,282,519 
Radian Group, Inc. (S)  374,400  19,955,520 
Realogy Corp. (NON)  363,000  9,358,140 

St. Paul Travelers Cos., Inc. (The)  428,100  21,888,753 
 
    329,576,571 
Health Care (3.4%)     
 
AmerisourceBergen Corp.  486,700  22,972,240 
Barr Pharmaceuticals, Inc. (NON)  102,000  5,341,740 
Baxter International, Inc. (S)  84,100  3,866,077 
Becton, Dickinson and Co. (S)  45,684  3,199,251 
Boston Scientific Corp. (NON)  587,500  9,347,125 
Cardinal Health, Inc.  174,600  11,427,570 
Caremark Rx, Inc.  175,600  8,644,788 
McKesson Corp.  633,300  31,721,997 
Merck & Co., Inc. (S)  582,900  26,475,318 
Pfizer, Inc.  446,000  11,885,900 
Watson Pharmaceuticals, Inc. (NON)  306,200  8,239,842 
WellPoint, Inc. (NON)  173,700  13,256,784 
 
    156,378,632 
Insurance (2.9%)     
 
ACE, Ltd. (Bermuda)  160,600  9,194,350 
American International Group, Inc.  149,198  10,021,630 
Berkshire Hathaway, Inc. Class B (NON)  3,260  11,458,900 
Chubb Corp. (The)  766,000  40,712,900 
Everest Re Group, Ltd. (Barbados)  228,700  22,682,466 
Genworth Financial, Inc. Class A (S)  355,560  11,889,926 
Hartford Financial Services Group, Inc. (The) (S)  69,500  6,058,315 
Prudential Financial, Inc.  314,900  24,225,257 
 
    136,243,744 
Investment Banking/Brokerage (4.1%)     
 
Allied Capital Corp. (S)  307,000  9,679,710 
Bear Stearns Cos., Inc. (The) (S)  173,300  26,228,955 
Goldman Sachs Group, Inc. (The) (S)  301,000  57,126,790 
Merrill Lynch & Co., Inc. (S)  394,400  34,478,448 
Morgan Stanley (S)  827,100  63,215,253 
 
    190,729,156 
Real Estate (0.1%)     
 
Apartment Investment & Management Co. Class A (R)  87,928  5,040,033 
Camden Property Trust (R)  17,476  1,410,663 
 
    6,450,696 
Technology (4.9%)     
 
Accenture, Ltd. Class A (Bermuda)  262,000  8,622,420 
Acxiom Corp.  220,200  5,449,950 
Analog Devices, Inc.  315,400  10,036,028 
Applied Materials, Inc.  786,600  13,678,974 
Dell, Inc. (NON) (S)  443,100  10,780,623 
Electronic Data Systems Corp.  221,400  5,608,062 
Hewlett-Packard Co.  1,451,200  56,219,488 
IBM Corp.  287,600  26,554,108 
Intel Corp. (S)  1,294,100  27,616,094 
Lexmark International, Inc. Class A (NON)  131,886  8,386,631 
McAfee, Inc. (NON)  209,500  6,060,835 
Micron Technology, Inc. (NON)  386,400  5,583,480 
Motorola, Inc. (S)  388,800  8,965,728 
National Semiconductor Corp. (S)  705,900  17,146,311 
Oracle Corp. (NON) (S)  53,100  980,757 
VeriSign, Inc. (NON)  640,800  13,251,744 
 
    224,941,233 
Transportation (1.0%)     
 
AMR Corp. (NON) (S)  861,600  24,417,744 
Norfolk Southern Corp.  106,144  5,579,990 

Overseas Shipholding Group  88,100  5,510,655 
Southwest Airlines Co.  773,900  11,631,717 
 
    47,140,106 
Utilities & Power (3.7%)     
 
AES Corp. (The) (NON)  242,096  5,323,691 
Alliant Energy Corp.  202,409  7,762,385 
Dominion Resources, Inc. (S)  87,650  7,098,774 
DPL, Inc. (S)  177,300  5,092,056 
Duke Energy Corp.  775,900  24,549,476 
Edison International  532,600  23,668,744 
Entergy Corp.  74,558  6,399,313 
Exelon Corp.  217,876  13,503,954 
FirstEnergy Corp.  569,200  33,497,420 
Pepco Holdings, Inc.  98,978  2,516,021 
PG&E Corp. (S)  680,050  29,337,357 
Wisconsin Energy Corp.  247,333  11,362,478 
 
    170,111,669 
 
Total common stocks (cost $2,205,941,046)    $2,729,552,205 
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (18.6%)(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  $284,680  $296,270 
 
    296,270 
U.S. Government Agency Mortgage Obligations (18.6%)     
 
Federal Home Loan Mortgage Corporation     
8 3/4s, with due dates from May 1, 2009 to June 1, 2009  120,177  122,645 
Federal Home Loan Mortgage Corporation Pass-Through     
Certificates     
6s, with due dates from May 1, 2021 to March 1, 2035  61,351,793  62,272,444 
6s, June 1, 2017  3,124  3,174 
5 1/2s, with due dates from June 1, 2035 to     
June 1, 2035  2,513,292  2,491,309 
5 1/2s, July 1, 2016  446,898  448,399 
5 1/2s, TBA, November 1, 2036  47,000,000  46,493,284 
Federal National Mortgage Association Pass-Through     
Certificates     
11s, with due dates from October 1, 2015 to     
March 1, 2016  8,339  9,007 
9s, with due dates from January 1, 2027 to July 1, 2032  236,345  257,560 
8 3/4s, July 1, 2009  3,453  3,531 
8s, with due dates from August 1, 2026 to July 1, 2033  1,079,335  1,112,866 
7 1/2s, with due dates from October 1, 2025 to     
July 1, 2033  680,289  704,745 
7s, with due dates from February 1, 2033 to     
January 1, 2036  6,067,377  6,244,399 
7s, with due dates from November 1, 2007 to     
February 1, 2017  1,064,270  1,096,445 
6 1/2s, December 1, 2034  19,407  19,795 
6 1/2s, with due dates from July 1, 2010 to May 1, 2011  253,324  258,511 
6s, with due dates from June 1, 2021 to June 1, 2036  175,801,403  178,608,516 
6s, with due dates from December 1, 2013 to May 1, 2021  93,044,788  94,535,436 
5 1/2s, with due dates from August 1, 2021 to     
August 1, 2036  13,764,192  13,607,883 
5 1/2s, with due dates from April 1, 2009 to     
January 1, 2021  152,316  152,522 
5 1/2s, TBA, December 1, 2036  80,350,000  79,370,734 
5 1/2s, TBA, November 1, 2036  337,750,000  333,765,597 
5s, with due dates from June 1, 2021 to May 1, 2036  20,569,402  19,883,493 
5s, April 1, 2021  243,763  240,068 
4 1/2s, with due dates from April 1, 2020 to     
December 1, 2020  1,022,228  990,546 
4 1/2s, TBA, November 1, 2021  20,800,000  20,124,000 
4s, with due dates from May 1, 2019 to August 1, 2020  884,153  838,799 

    863,655,708 
 
Total U.S. government and agency mortgage obligations (cost $860,329,316)    $863,951,978 
 
U.S. TREASURY OBLIGATIONS (0.7%)(a) (cost $33,248,426)     
  Principal amount  Value 
 
U.S. Treasury Notes 3 7/8s, May 15, 2010  $34,000,000  $33,229,689 
 
 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (15.3%)(a)     
  Principal amount  Value 
 
AMP CMBS 144A FRB Ser. 06-1A, Class A, 6.14s, 2047     
(Cayman Islands)  $1,910,000  $1,910,000 
Amresco Commercial Mortgage Funding I 144A     
Ser. 97-C1, Class G, 7s, 2029  1,030,000  1,031,041 
Ser. 97-C1, Class H, 7s, 2029  664,000  667,625 
Asset Securitization Corp.     
Ser. 96-MD6, Class A7, 8.01s, 2029  1,858,000  1,946,208 
FRB Ser. 97-D5, Class A5, 7.163s, 2043  325,000  352,818 
Banc of America Commercial Mortgage, Inc.     
Ser. 01-1, Class G, 7.324s, 2036  950,000  1,009,046 
Ser. 06-4, Class A4, 5.634s, 2046  3,420,000  3,498,898 
Ser. 06-5, Class A4, 5.414s, 2047  4,233,000  4,262,986 
Ser. 04-3, Class A5, 5.303s, 2039  4,690,000  4,733,242 
FRB Ser. 05-1, Class A5, 4.981s, 2042  252,000  250,794 
Ser. 06-1, Class XC, Interest Only (IO), 0.042s, 2045  41,144,834  300,208 
Banc of America Commercial Mortgage, Inc. 144A     
Ser. 01-PB1, Class K, 6.15s, 2035  715,000  719,448 
Ser. 02-PB2, Class XC, IO, 0.216s, 2035  9,845,347  191,138 
Ser. 05-1, Class XW, IO, 0.104s, 2042  277,786,560  1,231,006 
Ser. 05-4, Class XC, IO, 0.051s, 2045  83,250,627  604,341 
Banc of America Large Loan     
FRB Ser. 04-BBA4, Class H, 6.27s, 2018  142,000  142,801 
FRB Ser. 04-BBA4, Class G, 6.02s, 2018  449,000  450,259 
Banc of America Large Loan 144A     
FRB Ser. 02-FL2A, Class L1, 8.32s, 2014  427,000  427,000 
FRB Ser. 02-FL2A, Class K1, 7.82s, 2014  148,000  147,803 
FRB Ser. 05-MIB1, Class K, 7.32s, 2022  496,000  492,415 
FRB Ser. 05-ESHA, Class K, 7.12s, 2020  1,660,000  1,665,354 
FRB Ser. 06-LAQ, Class M, 6.97s, 2021  1,104,000  1,107,260 
FRB Ser. 06-LAQ, Class L, 6.87s, 2021  920,000  924,088 
FRB Ser. 05-MIB1, Class J, 6.37s, 2022  1,400,000  1,407,738 
FRB Ser. 05-ESHA, Class G, 6.2s, 2020  1,024,000  1,025,995 
Ser. 06-LAQ, Class X1, IO, 0.675s, 2021  50,159,000  284,155 
Ser. 03-BBA2, Class X1A, IO, 0.175s, 2015  4,621,138  70 
Banc of America Structured Security Trust 144A Ser.     
02-X1, Class A3, 5.436s, 2033  1,825,582  1,835,087 
Bayview Commercial Asset Trust 144A     
FRB Ser. 05-1A, Class A1, 5.62s, 2035  1,768,014  1,772,964 
Ser. 04-2, IO, 1.72s, 2034  9,066,008  662,244 
Ser. 04-3, IO, 1.6s, 2035  6,008,311  453,205 
Ser. 06-2A, IO, 0.879s, 2036  3,382,216  309,991 
Ser. 05-3A, IO, 0.775s, 2035  20,765,521  1,705,191 
Ser. 05-1A, IO, 0.775s, 2035  7,442,987  570,726 
Bear Stearns Commercial Mortgage Securities, Inc. Ser.     
05-PWR9, Class X1, IO, 0.072s, 2042  41,541,381  417,037 
Bear Stearns Commercial Mortgage Securities, Inc. 144A     
FRB Ser. 05-LXR1, Class J, 6.97s, 2018  1,795,000  1,795,000 
FRB Ser. 05-LXR1, Class H, 6.52s, 2018  997,000  997,000 
FRB Ser. 05-LXR1, Class G, 6.27s, 2018  997,000  997,000 
Ser. 06-BBA7, Class X1A, IO, 1.708s, 2019  31,284,000  531,362 
Ser. 05-LXR1, Class X1, IO, 0.792s, 2018  96,649,000  341,190 
Ser. 05-PW10, Class X1, IO, 0.032s, 2040  64,396,534  301,859 
Bear Stearns Commercial Mortgage Securitization Corp.     
Ser. 00-WF2, Class F, 8.195s, 2032  456,000  511,026 
Ser. 04-PR3I, Class X1, IO, 0.064s, 2041  15,188,024  328,213 
Chase Commercial Mortgage Securities Corp. Ser. 00-3,     
Class A2, 7.319s, 2032  553,000  589,030 
Chase Commercial Mortgage Securities Corp. 144A     
Ser. 98-1, Class F, 6.56s, 2030  4,600,000  4,742,232 
Ser. 98-1, Class G, 6.56s, 2030  1,171,000  1,235,586 
Ser. 98-1, Class H, 6.34s, 2030  1,761,000  1,503,787 
Citigroup Commercial Mortgage Trust 144A Ser. 05-C3,     

Class XC, IO, 0.067s, 2043  118,263,614  1,251,931 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A     
Ser. 06-CD2, Class X, IO, 0.087s, 2046  76,651,703  449,102 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1,     
Class A3, 6.57s, 2030  4,937,500  4,948,864 
Commercial Mortgage Acceptance Corp. 144A Ser. 98-C1,     
Class F, 6.23s, 2031  2,013,000  2,085,027 
Commercial Mortgage Pass-Through Certificates Ser.     
04-LB2A, Class A4, 4.715s, 2039  26,622,000  25,632,204 
Commercial Mortgage Pass-Through Certificates 144A     
FRB Ser. 01-J2A, Class A2F, 5.82s, 2034  1,590,000  1,606,313 
Ser. 06-CN2A, Class H, 5.57s, 2019  939,000  935,773 
Ser. 06-CN2A, Class J, 5.57s, 2019  751,000  745,661 
Ser. 03-LB1A, Class X1, IO, 0.297s, 2038  9,156,421  381,997 
Ser. 05-LP5, Class XC, IO, 0.054s, 2043  73,544,671  784,280 
Ser. 05-C6, Class XC, IO, 0.043s, 2044  67,379,421  457,978 
Countrywide Alternative Loan Trust     
Ser. 04-15, Class 1A1, 4.921s, 2034  641,312  638,026 
Ser. 06-OA10, Class XBI, IO, 1.813s, 2046  7,376,310  343,459 
Ser. 05-24, Class 1AX, IO, 1.221s, 2035  19,204,388  361,273 
Ser. 05-24, Class IIAX, IO, 1.201s, 2035  16,096,844  486,833 
IFB Ser. 06-19CB, Class A2, IO, zero %, 2036  1,269,036  3,272 
IFB Ser. 06-14CB, Class A9, IO, zero %, 2036  1,914,279  10,768 
IFB Ser. 06-6CB, Class 1A3, IO, zero %, 2036  22,306,731  54,024 
IFB Ser. 06-20CB, Class A14, IO, zero %, 2036  1,015,558  3,174 
Countrywide Home Loans     
Ser. 05-9, Class 1X, IO, 1.411s, 2035  16,594,586  388,313 
Ser. 05-2, Class 2X, IO, 1.16s, 2035  18,224,945  444,233 
Credit Suisse Mortgage Capital Certificates Ser.     
06-C4, Class A3, 5.467s, 2039  6,869,000  6,938,274 
Credit Suisse Mortgage Capital Certificates 144A Ser.     
06-C3, Class AX, IO, 0.025s, 2038  103,235,845  129,045 
CRESI Finance Limited Partnership 144A     
FRB Ser. 06-A, Class D, 6.12s, 2017  232,000  231,999 
FRB Ser. 06-A, Class C, 5.92s, 2017  688,000  687,997 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,     
Class B, 7s, 2033  3,385,000  3,387,370 
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D,     
5.612s, 2035  2,903,000  2,880,433 
CS First Boston Mortgage Securities Corp.     
Ser. 97-C2, Class F, 7.46s, 2035  1,239,000  1,366,117 
Ser. 04-C2, Class A2, 5.416s, 2036  5,070,000  5,105,490 
FRB Ser. 04-C3, Class A5, 5.113s, 2036  92,000  90,931 
Ser. 05-C4, Class A5, 5.104s, 2038  2,284,000  2,252,127 
Ser. 04-C3, Class A3, 4.302s, 2036  196,000  191,910 
CS First Boston Mortgage Securities Corp. 144A     
FRB Ser. 05-TFLA, Class J, 6.27s, 2020  518,000  517,996 
FRB Ser. 04-TF2A, Class J, 6.27s, 2016  313,000  312,860 
FRB Ser. 05-TF2A, Class J, 6.22s, 2020  1,237,000  1,237,000 
FRB Ser. 05-TFLA, Class H, 6.07s, 2020  319,000  318,998 
FRB Ser. 04-TF2A, Class H, 6.02s, 2019  627,000  627,182 
Ser. 01-CK1, Class AY, IO, 0.783s, 2035  67,907,000  1,761,338 
Ser. 03-C3, Class AX, IO, 0.426s, 2038  51,975,409  2,159,546 
Ser. 02-CP3, Class AX, IO, 0.403s, 2035  22,732,785  923,290 
Ser. 05-C2, Class AX, IO, 0.078s, 2037  76,571,618  1,184,486 
DLJ Commercial Mortgage Corp.     
Ser. 00-CF1, Class A1B, 7.62s, 2033  2,212,000  2,361,647 
Ser. 99-CG2, Class B3, 6.1s, 2032  1,752,000  1,759,699 
Ser. 99-CG2, Class B4, 6.1s, 2032  2,785,000  2,792,303 
Ser. 98-CF2, Class B3, 6.04s, 2031  814,188  827,893 
DLJ Mortgage Acceptance Corp. 144A Ser. 97-CF1,     
Class A3, 7.76s, 2030  1,000,000  1,001,199 
Fannie Mae     
IFB Ser. 06-70, Class BS, 14.69s, 2036  473,000  561,940 
Ser. 03-W6, Class PT1, 9.852s, 2042  285,838  305,343 
Ser. 04-T3, Class PT1, 9.552s, 2044  697,190  792,077 
Ser. 02-T12, Class A4, 9 1/2s, 2042  247,891  262,516 
Ser. 02-T4, Class A4, 9 1/2s, 2041  1,436,160  1,519,170 
Ser. 02-T6, Class A3, 9 1/2s, 2041  497,569  519,562 
IFB Ser. 06-62, Class PS, 7.98s, 2036  1,674,098  1,870,673 
IFB Ser. 05-37, Class SU, 7.92s, 2035  3,088,195  3,371,480 
IFB Ser. 06-76, Class QB, 7.68s, 2036  1,784,151  1,977,948 
IFB Ser. 06-48, Class TQ, 7.68s, 2036  3,084,238  3,341,124 
Ser. 02-26, Class A2, 7 1/2s, 2048  2,293,272  2,399,749 
Ser. 05-W3, Class 1A, 7 1/2s, 2045  2,808,142  2,964,037 
Ser. 05-W1, Class 1A4, 7 1/2s, 2044  2,907,343  3,058,141 

Ser. 04-W12, Class 1A4, 7 1/2s, 2044  714,219  751,467 
Ser. 04-W14, Class 2A, 7 1/2s, 2044  342,009  359,710 
Ser. 04-W8, Class 3A, 7 1/2s, 2044  3,405,824  3,585,385 
Ser. 04-W11, Class 1A4, 7 1/2s, 2044  1,853,350  1,950,223 
Ser. 04-W2, Class 5A, 7 1/2s, 2044  4,489,388  4,723,739 
Ser. 04-T3, Class 1A4, 7 1/2s, 2044  72,279  76,012 
Ser. 04-W9, Class 2A3, 7 1/2s, 2044  2,246,765  2,361,119 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  1,037,046  1,090,610 
Ser. 03-W1, Class 2A, 7 1/2s, 2042  518,712  541,885 
Ser. 03-W4, Class 4A, 7 1/2s, 2042  325,985  340,666 
Ser. 02-T18, Class A4, 7 1/2s, 2042  254,783  267,056 
Ser. 03-W3, Class 1A3, 7 1/2s, 2042  1,231,577  1,290,605 
Ser. 02-T16, Class A3, 7 1/2s, 2042  2,389,035  2,503,015 
Ser. 02-T19, Class A3, 7 1/2s, 2042  1,469,532  1,540,155 
Ser. 03-W2, Class 1A3, 7 1/2s, 2042  2,698,399  2,828,634 
Ser. 02-W6, Class 2A, 7 1/2s, 2042  2,389,683  2,499,806 
Ser. 02-T12, Class A3, 7 1/2s, 2042  406,889  424,712 
Ser. 02-W4, Class A5, 7 1/2s, 2042  5,025,577  5,256,487 
Ser. 02-W1, Class 2A, 7 1/2s, 2042  2,428,682  2,529,502 
Ser. 02-14, Class A2, 7 1/2s, 2042  832,336  869,827 
Ser. 01-T10, Class A2, 7 1/2s, 2041  2,399,014  2,501,318 
Ser. 02-T4, Class A3, 7 1/2s, 2041  456,267  475,904 
Ser. 02-T6, Class A2, 7 1/2s, 2041  5,865,350  6,107,902 
Ser. 01-T12, Class A2, 7 1/2s, 2041  2,265,696  2,361,991 
Ser. 01-T8, Class A1, 7 1/2s, 2041  2,119,102  2,204,588 
Ser. 01-T7, Class A1, 7 1/2s, 2041  6,005,759  6,242,745 
Ser. 01-T3, Class A1, 7 1/2s, 2040  369,553  384,664 
Ser. 01-T1, Class A1, 7 1/2s, 2040  808,879  843,258 
Ser. 99-T2, Class A1, 7 1/2s, 2039  231,772  243,615 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032  1,000,402  1,045,350 
Ser. 02-T1, Class A3, 7 1/2s, 2031  656,816  686,214 
Ser. 00-T6, Class A1, 7 1/2s, 2030  1,984,493  2,072,192 
Ser. 01-T5, Class A3, 7 1/2s, 2030  43,715  45,558 
Ser. 02-W7, Class A5, 7 1/2s, 2029  1,488,772  1,558,442 
Ser. 01-T4, Class A1, 7 1/2s, 2028  4,582,807  4,832,276 
Ser. 02-W3, Class A5, 7 1/2s, 2028  1,322,048  1,381,597 
IFB Ser. 06-63, Class SP, 7.38s, 2036  1,938,902  2,137,587 
IFB Ser. 06-60, Class TK, 7.32s, 2036  881,812  932,342 
Ser. 02-26, Class A1, 7s, 2048  1,417,032  1,464,134 
Ser. 04-T3, Class 1A3, 7s, 2044  659,903  685,429 
Ser. 03-W3, Class 1A2, 7s, 2042  669,279  692,949 
Ser. 02-T16, Class A2, 7s, 2042  1,444,810  1,495,766 
Ser. 02-14, Class A1, 7s, 2042  129,876  134,033 
Ser. 02-T4, Class A2, 7s, 2041  834,237  860,450 
Ser. 01-W3, Class A, 7s, 2041  524,119  541,840 
Ser. 04-W1, Class 2A2, 7s, 2033  7,210,299  7,485,907 
IFB Ser. 06-104, Class ES, 6.8s, 2036  2,228,000  2,394,506 
IFB Ser. 06-104, Class CS, 5.74s, 2036  2,265,000  2,327,759 
IFB Ser. 05-74, Class SK, 5 1/2s, 2035  3,135,640  3,185,180 
IFB Ser. 05-74, Class CS, 5.39s, 2035  1,940,156  1,962,482 
IFB Ser. 05-74, Class CP, 5.243s, 2035  1,701,233  1,742,304 
IFB Ser. 05-76, Class SA, 5.243s, 2034  2,411,422  2,429,560 
IFB Ser. 05-57, Class CD, 5.175s, 2035  1,541,065  1,562,462 
IFB Ser. 06-8, Class PK, 5.12s, 2036  2,985,874  2,989,108 
IFB Ser. 06-27, Class SP, 5.06s, 2036  2,143,000  2,185,543 
IFB Ser. 06-8, Class HP, 5.06s, 2036  2,640,419  2,675,201 
IFB Ser. 06-8, Class WK, 5.06s, 2036  4,051,085  4,064,778 
IFB Ser. 05-106, Class US, 5.06s, 2035  4,106,284  4,195,704 
IFB Ser. 05-99, Class SA, 5.06s, 2035  2,033,879  2,041,767 
IFB Ser. 05-114, Class SP, 4.95s, 2036  1,156,821  1,107,656 
IFB Ser. 05-45, Class DA, 4.913s, 2035  3,190,522  3,219,887 
IFB Ser. 05-74, Class DM, 4.877s, 2035  3,879,191  3,898,229 
IFB Ser. 05-45, Class DC, 4.803s, 2035  2,488,573  2,500,702 
IFB Ser. 06-60, Class CS, 4.583s, 2036  844,461  815,298 
IFB Ser. 05-57, Class DC, 4.485s, 2034  2,756,534  2,760,257 
IFB Ser. 05-45, Class PC, 4.29s, 2034  1,462,403  1,454,858 
IFB Ser. 05-95, Class CP, 4.089s, 2035  318,645  315,643 
IFB Ser. 05-95, Class OP, 3.923s, 2035  1,046,000  978,829 
IFB Ser. 05-106, Class JC, 3.628s, 2035  761,920  698,320 
IFB Ser. 05-83, Class QP, 3.562s, 2034  656,635  614,410 
IFB Ser. 02-36, Class QH, IO, 2.73s, 2029  449,505  3,587 
IFB Ser. 06-90, Class SE, IO, 2.48s, 2036  2,577,804  234,218 
IFB Ser. 03-66, Class SA, IO, 2.33s, 2033  3,690,059  283,673 
Ser. 03-W12, Class 2, IO, 2.234s, 2043  9,638,817  539,871 
IFB Ser. 03-48, Class S, IO, 2.23s, 2033  1,613,256  122,507 
Ser. 03-W10, Class 1, IO, 1.952s, 2043  29,905,286  1,358,819 

Ser. 03-W10, Class 3, IO, 1.923s, 2043  7,585,113  354,933 
IFB Ser. 05-113, Class AI, IO, 1.91s, 2036  853,039  58,251 
IFB Ser. 05-113, Class DI, IO, 1.91s, 2036  28,704,692  1,678,514 
IFB Ser. 04-24, Class CS, IO, 1.83s, 2034  4,890,120  343,286 
IFB Ser. 03-122, Class SA, IO, 1.78s, 2028  6,731,539  325,089 
IFB Ser. 03-122, Class SJ, IO, 1.78s, 2028  7,012,837  344,060 
IFB Ser. 06-60, Class DI, IO, 1 3/4s, 2035  2,559,543  133,661 
IFB Ser. 04-60, Class SW, IO, 1.73s, 2034  9,048,346  626,204 
IFB Ser. 05-65, Class KI, IO, 1.68s, 2035  19,076,341  982,126 
Ser. 03-W8, Class 12, IO, 1.639s, 2042  30,538,736  1,304,008 
IFB Ser. 05-42, Class SA, IO, 1.48s, 2035  7,499,012  409,559 
Ser. 03-W3, Class 2IO2, IO, 1.456s, 2042  128,360  4 
IFB Ser. 05-73, Class SI, IO, 1.43s, 2035  1,902,537  105,236 
IFB Ser. 05-17, Class ES, IO, 1.43s, 2035  3,947,779  254,633 
IFB Ser. 05-17, Class SY, IO, 1.43s, 2035  1,819,806  115,731 
IFB Ser. 05-82, Class SY, IO, 1.41s, 2035  8,693,565  435,949 
IFB Ser. 05-45, Class SR, IO, 1.4s, 2035  11,974,558  610,266 
IFB Ser. 05-95, Class CI, IO, 1.38s, 2035  4,204,303  265,758 
IFB Ser. 05-84, Class SG, IO, 1.38s, 2035  7,364,274  435,593 
IFB Ser. 05-69, Class AS, IO, 1.38s, 2035  1,899,236  102,179 
IFB Ser. 05-54, Class SA, IO, 1.38s, 2035  8,386,204  408,827 
IFB Ser. 05-23, Class SG, IO, 1.38s, 2035  5,925,244  362,032 
IFB Ser. 05-29, Class SX, IO, 1.38s, 2035  7,034,980  396,237 
IFB Ser. 05-57, Class CI, IO, 1.38s, 2035  5,178,011  271,879 
IFB Ser. 05-17, Class SA, IO, 1.38s, 2035  5,315,467  319,365 
IFB Ser. 05-17, Class SE, IO, 1.38s, 2035  5,640,710  334,133 
IFB Ser. 05-57, Class DI, IO, 1.38s, 2035  12,435,134  632,258 
IFB Ser. 04-92, Class S, IO, 1.38s, 2034  5,917,907  313,466 
IFB Ser. 05-104, Class SI, IO, 1.38s, 2033  9,881,020  573,957 
IFB Ser. 05-83, Class QI, IO, 1.37s, 2035  1,090,408  74,323 
IFB Ser. 05-92, Class SC, IO, 1.36s, 2035  9,935,824  587,943 
IFB Ser. 05-73, Class SD, IO, 1.36s, 2035  4,839,464  313,791 
IFB Ser. 05-83, Class SL, IO, 1.35s, 2035  13,466,216  670,591 
IFB Ser. 06-20, Class IG, IO, 1.33s, 2036  24,376,667  1,051,408 
IFB Ser. 06-104, Class IM, IO, 1.32s, 2036  906,000  54,743 
IFB Ser. 06-104, Class SY, IO, 1.32s, 2036  2,352,000  101,677 
Ser. 03-W6, Class 11, IO, 1.286s, 2035  719,235  52 
IFB Ser. 06-44, Class IS, IO, 1.28s, 2036  4,802,598  249,255 
IFB Ser. 06-45, Class SM, IO, 1.28s, 2036  5,914,469  259,681 
IFB Ser. 06-104, Class CI, IO, 1.276s, 2036  907,000  55,482 
IFB Ser. 06-42, Class IB, IO, 1.27s, 2036  4,878,081  202,883 
IFB Ser. 06-20, Class IB, IO, 1.27s, 2036  10,447,266  434,509 
IFB Ser. 05-95, Class OI, IO, 1.27s, 2035  615,848  42,241 
IFB Ser. 06-92, Class JI, IO, 1.26s, 2036  2,311,898  133,656 
IFB Ser. 06-99, Class AS, IO, 1.26s, 2036  2,856,774  142,553 
IFB Ser. 06-85, Class TS, IO, 1.24s, 2036  6,377,699  265,004 
IFB Ser. 06-61, Class SE, IO, 1.23s, 2036  6,872,912  249,143 
IFB Ser. 03-112, Class SA, IO, 1.18s, 2028  3,574,108  108,380 
Ser. 03-W17, Class 12, IO, 1.157s, 2033  9,193,986  357,646 
IFB Ser. 05-67, Class BS, IO, 0.83s, 2035  4,938,180  145,182 
Ser. 03-T2, Class 2, IO, 0.826s, 2042  44,793,950  894,276 
IFB Ser. 05-74, Class SE, IO, 0.78s, 2035  16,803,837  469,112 
IFB Ser. 05-82, Class SI, IO, 0.78s, 2035  15,728,330  489,053 
IFB Ser. 05-87, Class SE, IO, 0.73s, 2035  29,036,296  889,553 
Ser. 03-W3, Class 2IO1, IO, 0.683s, 2042  3,999,031  70,216 
IFB Ser. 05-58, Class IK, IO, 0.68s, 2035  4,317,620  189,666 
IFB Ser. 04-54, Class SW, IO, 0.68s, 2033  2,237,212  65,212 
Ser. 03-W6, Class 51, IO, 0.677s, 2042  12,968,296  213,686 
Ser. 01-T12, Class IO, 0.568s, 2041  26,725,743  341,714 
Ser. 03-W2, Class 1, IO, 0.47s, 2042  24,189,381  268,692 
Ser. 02-T4, IO, 0.451s, 2041  9,615,752  94,304 
Ser. 03-W3, Class 1, IO, 0.44s, 2042  30,941,141  280,799 
Ser. 02-T1, Class IO, IO, 0.427s, 2031  24,559,122  231,558 
Ser. 03-W6, Class 3, IO, 0.365s, 2042  17,082,032  152,873 
Ser. 03-W6, Class 23, IO, 0.352s, 2042  18,751,394  161,945 
Ser. 03-W4, Class 3A, IO, 0.335s, 2042  16,358,482  146,549 
Ser. 01-79, Class BI, IO, 0.328s, 2045  4,869,255  42,623 
Ser. 03-W8, Class 11, IO, 0.03s, 2042  5,006,493  324 
Ser. 03-W6, Class 21, IO, 0.004s, 2042  2,795,767  18 
Ser. 06-104, Class EK, zero %, 2036  482,000  471,904 
Ser. 06-84, Class OP, Principal Only (PO), zero %, 2036  164,661  157,077 
Ser. 371, Class 1, PO, zero %, 2036  1,856,164  1,579,984 
Ser. 05-113, Class DO, PO, zero %, 2036  4,411,680  3,582,259 
Ser. 367, Class 1, PO, zero %, 2036  1,212,601  906,978 
Ser. 363, Class 1, PO, zero %, 2035  16,105,174  12,048,870 
Ser. 361, Class 1, PO, zero %, 2035  8,854,661  7,141,921 

Ser. 04-38, Class AO, PO, zero %, 2034  4,731,448  3,440,650 
Ser. 342, Class 1, PO, zero %, 2033  2,018,261  1,592,315 
Ser. 02-82, Class TO, PO, zero %, 2032  1,402,745  1,112,771 
Ser. 04-61, Class CO, PO, zero %, 2031  3,065,000  2,418,592 
FRB Ser. 05-117, Class GF, zero %, 2036  900,255  834,237 
FRB Ser. 05-65, Class ER, zero %, 2035  2,880,106  2,806,765 
FRB Ser. 05-57, Class UL, zero %, 2035  2,973,808  2,921,069 
FRB Ser. 05-36, Class QA, zero %, 2035  560,022  533,504 
FRB Ser. 05-65, Class CU, zero %, 2034  401,488  484,516 
FRB Ser. 05-81, Class DF, zero %, 2033  386,789  396,097 
FRB Ser. 06-1, Class HF, zero %, 2032  363,326  354,546 
Federal Home Loan Mortgage Corp. Structured     
Pass-Through Securities     
Ser. T-42, Class A6, 9 1/2s, 2042  260,702  276,083 
Ser. T-60, Class 1A3, 7 1/2s, 2044  5,177,725  5,447,316 
Ser. T-59, Class 1A3, 7 1/2s, 2043  3,458,968  3,647,744 
Ser. T-58, Class 4A, 7 1/2s, 2043  675,064  707,148 
Ser. T-57, Class 1A3, 7 1/2s, 2043  3,837,201  4,022,510 
Ser. T-51, Class 2A, 7 1/2s, 2042  702,966  733,521 
Ser. T-42, Class A5, 7 1/2s, 2042  1,094,442  1,142,498 
Ser. T-41, Class 3A, 7 1/2s, 2032  3,188,520  3,327,073 
Ser. T-60, Class 1A2, 7s, 2044  4,827,571  5,012,622 
Ser. T-41, Class 2A, 7s, 2032  117,896  121,549 
Ser. T-56, Class A, IO, 0.597s, 2043  11,435,539  151,117 
Ser. T-56, Class 3, IO, 0.35s, 2043  13,866,633  155,306 
Ser. T-56, Class 1, IO, 0.28s, 2043  17,356,397  135,380 
Ser. T-56, Class 2, IO, 0.045s, 2043  15,810,951  41,108 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2,     
7.77s, 2027  5,598,136  6,022,451 
First Union National Bank-Bank of America Commercial     
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.687s, 2033  31,135,170  1,823,405 
First Union-Lehman Brothers Commercial Mortgage Trust     
II     
Ser. 97-C2, Class F, 7 1/2s, 2029  2,726,000  2,992,961 
Ser. 97-C2, Class G, 7 1/2s, 2029  832,000  922,304 
First Union-Lehman Brothers-Bank of America 144A Ser.     
98-C2, Class G, 7s, 2035  3,410,000  3,679,561 
Freddie Mac     
IFB Ser. 3153, Class UK, 7 1/2s, 2036  703,601  805,368 
IFB Ser. 3202, Class PS, 7.32s, 2036  1,167,957  1,249,021 
IFB Ser. 3182, Class PS, 7.32s, 2032  2,564,228  2,812,243 
IFB Ser. 3202, Class HM, 6.65s, 2036  746,410  787,157 
IFB Ser. 3153, Class SX, 6.65s, 2036  983,478  1,052,291 
IFB Ser. 3081, Class DC, 5.22s, 2035  1,642,534  1,639,882 
IFB Ser. 3114, Class GK, 5.12s, 2036  1,032,894  1,037,124 
IFB Ser. 2976, Class KL, 4.877s, 2035  2,906,057  2,877,169 
IFB Ser. 2990, Class DP, 4.767s, 2034  2,534,468  2,509,863 
IFB Ser. 2979, Class AS, 4.767s, 2034  727,771  723,696 
IFB Ser. 3153, Class UT, 4.51s, 2036  569,563  553,286 
IFB Ser. 3065, Class DC, 3.9s, 2035  2,459,488  2,289,190 
IFB Ser. 3050, Class SA, 3.575s, 2034  1,750,932  1,601,236 
IFB Ser. 2990, Class LB, 3.348s, 2034  3,070,813  2,832,910 
IFB Ser. 2990, Class WP, 3.302s, 2035  1,974,942  1,879,549 
IFB Ser. 2927, Class SI, IO, 3.18s, 2035  4,509,384  479,240 
IFB Ser. 2828, Class GI, IO, 2.18s, 2034  5,022,453  454,554 
IFB Ser. 2869, Class SH, IO, 1.98s, 2034  2,558,455  147,432 
IFB Ser. 2869, Class JS, IO, 1.93s, 2034  12,198,267  691,028 
IFB Ser. 2815, Class PT, IO, 1.73s, 2032  4,951,695  315,447 
IFB Ser. 2828, Class TI, IO, 1.73s, 2030  2,353,952  141,708 
IFB Ser. 3033, Class SF, IO, 1.48s, 2035  3,510,470  136,031 
IFB Ser. 3028, Class ES, IO, 1.43s, 2035  12,469,563  879,180 
IFB Ser. 2922, Class SE, IO, 1.43s, 2035  6,663,117  333,156 
IFB Ser. 3045, Class DI, IO, 1.41s, 2035  22,380,041  980,362 
IFB Ser. 3136, Class NS, IO, 1.38s, 2036  6,637,126  394,676 
IFB Ser. 3118, Class SD, IO, 1.38s, 2036  11,133,298  463,145 
IFB Ser. 3054, Class CS, IO, 1.38s, 2035  2,686,040  122,551 
IFB Ser. 3107, Class DC, IO, 1.38s, 2035  11,775,426  816,937 
IFB Ser. 3129, Class SP, IO, 1.38s, 2035  4,821,023  225,233 
IFB Ser. 3066, Class SI, IO, 1.38s, 2035  8,049,961  545,756 
IFB Ser. 2927, Class ES, IO, 1.38s, 2035  3,626,054  172,659 
IFB Ser. 2950, Class SM, IO, 1.38s, 2016  5,049,031  273,153 
IFB Ser. 3031, Class BI, IO, 1.37s, 2035  2,310,789  164,955 
IFB Ser. 3067, Class SI, IO, 1.33s, 2035  9,410,714  652,920 
IFB Ser. 2986, Class WS, IO, 1.33s, 2035  2,769,626  80,270 
IFB Ser. 2962, Class BS, IO, 1.33s, 2035  14,915,232  710,313 
IFB Ser. 3114, Class TS, IO, 1.33s, 2030  17,081,484  767,188 

IFB Ser. 3128, Class JI, IO, 1.31s, 2036  7,320,545  400,637 
IFB Ser. 2990, Class LI, IO, 1.31s, 2034  4,485,485  285,222 
IFB Ser. 3229, Class BI, IO, 1.3s, 2036  832,000  36,028 
IFB Ser. 3065, Class DI, IO, 1.3s, 2035  1,769,613  115,426 
IFB Ser. 3145, Class GI, IO, 1.28s, 2036  5,892,010  383,700 
IFB Ser. 3114, Class GI, IO, 1.28s, 2036  2,482,912  166,715 
IFB Ser. 3174, Class BS, IO, 1.2s, 2036  4,907,226  193,136 
IFB Ser. 3152, Class SY, IO, 1.16s, 2036  5,414,837  341,068 
IFB Ser. 3081, Class DI, IO, 1.16s, 2035  2,183,894  120,191 
IFB Ser. 3199, Class S, IO, 1.13s, 2036  2,915,279  152,824 
IFB Ser. 3016, Class SP, IO, 0.79s, 2035  2,297,858  66,422 
IFB Ser. 3016, Class SQ, IO, 0.79s, 2035  5,225,669  152,689 
IFB Ser. 2957, Class SW, IO, 0.68s, 2035  11,708,532  341,889 
IFB Ser. 2815, Class S, IO, 0.68s, 2032  5,234,041  144,761 
Ser. 3174, PO, zero %, 2036  408,266  338,034 
Ser. 236, PO, zero %, 2036  9,186,948  7,308,784 
Ser. 3045, Class DO, PO, zero %, 2035  1,765,370  1,433,374 
Ser. 231, PO, zero %, 2035  77,442,842  58,518,506 
Ser. 228, PO, zero %, 2035  17,940,309  14,135,045 
Ser. 3130, Class KO, PO, zero %, 2034  754,434  598,314 
FRB Ser. 3213, Class FX, zero %, 2036  414,579  397,478 
FRB Ser. 3048, Class XG, zero %, 2035  254,889  238,903 
FRB Ser. 3022, Class TC, zero %, 2035  411,970  429,801 
FRB Ser. 3003, Class XF, zero %, 2035  2,588,747  2,576,613 
FRB Ser. 2986, Class XT, zero %, 2035  250,665  251,449 
FRB Ser. 2958, Class FL, zero %, 2035  1,075,426  988,645 
FRB Ser. 3046, Class WF, zero %, 2035  565,385  547,709 
FRB Ser. 3054, Class XF, zero %, 2034  252,952  249,356 
GE Capital Commercial Mortgage Corp. Ser. 04-C2,     
Class A4, 4.893s, 2040  6,296,000  6,115,035 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 05-C2, Class XC, IO, 0.06s, 2043  88,362,102  748,992 
Ser. 05-C3, Class XC, IO, 0.042s, 2045  231,798,047  1,213,231 
GMAC Commercial Mortgage Securities, Inc.     
Ser. 99-C3, Class F, 7.813s, 2036  592,000  634,027 
Ser. 04-C2, Class A4, 5.301s, 2038  10,233,000  10,239,447 
Ser. 03-C2, Class A2, 5.284s, 2040  6,249,000  6,344,172 
Ser. 97-C1, Class X, IO, 1.497s, 2029  13,091,117  375,654 
Ser. 05-C1, Class X1, IO, 0.135s, 2043  98,705,898  1,785,195 
GMAC Commercial Mortgage Securities, Inc. 144A     
Ser. 99-C3, Class G, 6.974s, 2036  1,614,303  1,626,060 
Ser. 06-C1, Class XC, IO, 0.039s, 2045  128,461,892  878,166 
Government National Mortgage Association     
IFB Ser. 06-34, Class SA, 7.62s, 2036  421,119  445,005 
IFB Ser. 05-7, Class JM, 5.016s, 2034  3,163,591  3,145,365 
IFB Ser. 05-66, Class SP, 3.1s, 2035  1,483,579  1,361,374 
IFB Ser. 05-68, Class SN, IO, 1.88s, 2034  8,039,464  450,966 
IFB Ser. 04-86, Class SW, IO, 1.43s, 2034  5,843,300  311,266 
IFB Ser. 05-65, Class SI, IO, 1.03s, 2035  5,964,350  236,095 
IFB Ser. 05-68, Class SI, IO, 0.98s, 2035  20,225,862  900,890 
IFB Ser. 06-14, Class S, IO, 0.93s, 2036  5,563,170  201,405 
IFB Ser. 05-51, Class SJ, IO, 0.88s, 2035  5,988,686  251,128 
IFB Ser. 05-68, Class S, IO, 0.88s, 2035  11,694,070  477,235 
IFB Ser. 05-28, Class SA, IO, 0.88s, 2035  14,414,659  477,864 
Ser. 98-2, Class EA, PO, zero %, 2028  133,088  109,106 
Government National Mortgage Association 144A IFB Ser.     
06-GG8, Class X, IO, 0.858s, 2039  15,089,000  693,740 
Greenwich Capital Commercial Funding Corp. Ser.     
05-GG5, Class XC, IO, 0.036s, 2037  184,840,130  830,337 
Greenwich Capital Commercial Funding Corp. 144A Ser.     
05-GG3, Class XC, IO, 0.096s, 2042  126,951,484  2,082,798 
GS Mortgage Securities Corp. II     
Ser. 06-GG8, Class A4, 5.56s, 2039  4,326,000  4,407,978 
Ser. 04-GG2, Class A6, 5.396s, 2038  3,745,000  3,769,380 
Ser. 05-GG4, Class A4, 4.761s, 2039  197,000  189,533 
Ser. 05-GG4, Class A4B, 4.732s, 2039  835,000  796,375 
GS Mortgage Securities Corp. II 144A     
FRB Ser. 03-FL6A, Class L, 8.57s, 2015  565,000  568,164 
Ser. 98-C1, Class F, 6s, 2030  1,286,000  1,291,080 
Ser. 03-C1, Class X1, IO, 0.26s, 2040  29,129,361  526,057 
Ser. 05-GG4, Class XC, IO, 0.103s, 2039  108,230,713  1,898,265 
Ser. 04-C1, Class X1, IO, 0.076s, 2028  36,410,650  290,147 
Ser. 06-GG6, Class XC, IO, 0.032s, 2038  52,977,128  184,178 
JPMorgan Chase Commercial Mortgage Securities Corp.     
Ser. 97-C5, Class F, 7.561s, 2029  911,000  1,002,100 
Ser. 06-CB16, Class A4, 5.552s, 2045  4,616,000  4,678,039 

Ser. 06-CB14, Class A4, 5.481s, 2044  8,500,000  8,570,380 
Ser. 06-CB14, Class AM, 5.445s, 2044  5,502,000  5,575,947 
FRB Ser. 04-PNC1, Class A4, 5.373s, 2041  75,000  75,784 
Ser. 05-CB11, Class A4, 5.335s, 2037  6,441,000  6,436,974 
Ser. 05-CB12, Class A4, 4.895s, 2037  198,000  192,355 
Ser. 04-C3, Class A5, 4.878s, 2042  189,000  183,666 
Ser. 05-LDP2, Class AM, 4.78s, 2042  1,990,000  1,915,865 
Ser. 06-LDP7, Class X, IO, 0.009s, 2045  229,731,726  215,373 
JPMorgan Chase Commercial Mortgage Securities Corp.     
144A     
Ser. 04-FL1A, Class X1A, IO, 1.963s, 2019  363,449  909 
Ser. 03-ML1A, Class X1, IO, 0.322s, 2039  49,332,621  1,815,286 
Ser. 05-LDP2, Class X1, IO, 0.079s, 2042  169,346,522  2,910,643 
Ser. 05-CB12, Class X1, IO, 0.073s, 2037  55,863,273  619,733 
Ser. 05-LDP1, Class X1, IO, 0.07s, 2046  37,795,938  360,243 
Ser. 05-LDP4, Class X1, IO, 0.05s, 2042  110,925,419  1,039,926 
Ser. 05-LDP3, Class X1, IO, 0.044s, 2042  82,520,906  631,801 
Ser. 06-LDP6, Class X1, IO, 0.037s, 2043  68,719,651  375,811 
Ser. 05-LDP5, Class X1, IO, 0.033s, 2044  346,934,345  1,680,463 
LB Commercial Conduit Mortgage Trust 144A     
Ser. 99-C1, Class F, 6.41s, 2031  715,303  733,686 
Ser. 99-C1, Class G, 6.41s, 2031  765,731  721,282 
Ser. 98-C4, Class G, 5.6s, 2035  634,000  625,724 
Ser. 98-C4, Class H, 5.6s, 2035  1,074,000  1,042,011 
LB-UBS Commercial Mortgage Trust     
Ser. 01-C3, Class A2, 6.365s, 2028  67,000  69,976 
Ser. 05-C7, Class AM, 5.263s, 2040  1,044,000  1,036,387 
Ser. 04-C7, Class A6, 4.786s, 2029  1,733,000  1,674,970 
LB-UBS Commercial Mortgage Trust 144A     
Ser. 05-C3, Class XCL, IO, 0.126s, 2040  67,457,526  1,463,806 
Ser. 05-C2, Class XCL, IO, 0.112s, 2040  134,669,390  1,425,502 
Ser. 05-C5, Class XCL, IO, 0.098s, 2020  70,229,879  1,016,426 
Ser. 05-C7, Class XCL, IO, 0.072s, 2040  84,133,909  788,359 
Ser. 06-C1, Class XCL, IO, 0.061s, 2041  67,067,422  743,939 
Lehman Brothers Floating Rate Commercial Mortgage     
Trust 144A     
FRB Ser. 03-LLFA, Class L, 9.07s, 2014  1,704,000  1,704,000 
FRB Ser. 04-LLFA, Class H, 6.27s, 2017  733,000  734,374 
FRB Ser. 05-LLFA, 6.12s, 2018  423,000  421,943 
Lehman Mortgage Trust     
IFB Ser. 06-5, Class 2A2, IO, 1.83s, 2036  8,997,246  460,292 
IFB Ser. 06-5, Class 1A3, IO, 0.08s, 2036  2,432,154  10,308 
IFB Ser. 06-4, Class 1A3, IO, 0.08s, 2036  1,985,952  16,179 
IFB Ser. 06-3, Class 1A7, IO, 0.08s, 2036  1,274,581  4,127 
Merrill Lynch Floating Trust 144A Ser. 06-1,     
Class X1A, IO, zero %, 2022  55,108,000  846,409 
Merrill Lynch Mortgage Investors, Inc. Ser. 98-C3,     
Class E, 6.917s, 2030  644,000  694,321 
Merrill Lynch Mortgage Trust     
FRB Ser. 04-BPC1, Class A5, 4.855s, 2041  193,000  187,307 
FRB Ser. 05-MCP1, Class A4, 4.747s, 2043  187,000  179,937 
Ser. 05-MCP1, Class XC, IO, 0.065s, 2043  71,736,843  972,371 
Merrill Lynch Mortgage Trust 144A     
Ser. 04-KEY2, Class XC, IO, 0.148s, 2039  16,703,428  368,650 
Ser. 05-LC1, Class X, IO, 0.108s, 2044  37,910,165  361,331 
Merrill Lynch/Countrywide Commercial Mortgage Trust     
144A Ser. 06-1, Class X, IO, 0.082s, 2039  30,420,000  171,113 
Mezz Cap Commercial Mortgage Trust 144A     
Ser. 04-C1, Class X, IO, 7.846s, 2037  3,196,804  1,128,372 
Ser. 04-C2, Class X, IO, 6.007s, 2040  2,522,174  829,165 
Ser. 05-C3, Class X, IO, 5.158s, 2044  2,887,851  911,929 
Morgan Stanley Capital 144A     
Ser. 05-RR6, Class X, IO, 1.63s, 2043  10,637,157  662,075 
Ser. 05-HQ6, Class X1, IO, 0.074s, 2042  76,820,576  780,209 
Morgan Stanley Capital I     
Ser. 05-HQ6, Class A4A, 4.989s, 2042  3,963,000  3,858,827 
Ser. 04-HQ4, Class A7, 4.97s, 2040  2,047,000  2,007,554 
Morgan Stanley Capital I 144A     
Ser. 98-HF1, Class F, 7.18s, 2030  482,000  490,777 
Ser. 04-RR, Class F5, 6s, 2039  1,000,000  878,844 
Ser. 04-RR, Class F6, 6s, 2039  1,700,000  1,420,963 
Ser. 05-HQ5, Class X1, IO, 0.074s, 2042  52,356,804  413,128 
Morgan Stanley Dean Witter Capital I Ser. 00-LIF2,     
Class A1, 6.96s, 2033  276,266  278,002 
Mortgage Capital Funding, Inc. FRB Ser. 98-MC2,     
Class E, 7.094s, 2030  1,020,000  1,047,422 

Permanent Financing PLC FRB Ser. 8, Class 2C, 5.79s,     
2042 (United Kingdom)  2,054,000  2,053,936 
PNC Mortgage Acceptance Corp. 144A     
Ser. 99-CM1, Class B3, 7.1s, 2032  3,870,000  4,039,661 
Ser. 00-C1, Class J, 6 5/8s, 2010  456,000  448,613 
Ser. 00-C2, Class J, 6.22s, 2033  1,113,000  1,140,246 
Pure Mortgages 144A     
FRB Ser. 04-1A, Class F, 8.9s, 2034 (Ireland)  2,645,000  2,651,613 
Ser. 04-1A, Class E, 6.65s, 2034 (Ireland)  1,041,000  1,041,000 
SBA CMBS Trust 144A Ser. 05-1A, Class D, 6.219s, 2035  600,000  600,439 
STRIPS 144A     
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands)  757,000  667,224 
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)  513,000  433,686 
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands)  337,000  295,691 
Wachovia Bank Commercial Mortgage Trust     
Ser. 06-C23, Class A4, 5.418s, 2045  24,362,000  24,554,460 
Ser. 05-C17, Class A4, 5.083s, 2042  7,065,000  6,957,895 
Ser. 04-C15, Class A4, 4.803s, 2041  3,055,000  2,946,610 
Ser. 06-C28, Class XC, IO, 0.418s, 2048  14,876,000  422,925 
Wachovia Bank Commercial Mortgage Trust 144A     
FRB Ser. 05-WL5A, Class L, 8.62s, 2018  771,000  770,298 
Ser. 03-C3, Class IOI, IO, 0.315s, 2035  17,593,243  535,646 
Ser. 06-C23, Class XC, IO, 0.046s, 2045  90,915,168  567,311 
Ser. 06-C26, Class XC, IO, 0.037s, 2045  35,115,142  134,425 
Washington Mutual Asset Securities Corp. 144A Ser.     
05-C1A, Class G, 5.72s, 2036  222,000  215,100 
Washington Mutual Multi-Fam., Mtge. 144A Ser. 01-1,     
Class B5, 7.2s, 2031 (Cayman Islands)  1,305,000  1,370,679 
 
Total collateralized mortgage obligations (cost $714,876,433)    $709,080,929 
 
ASSET-BACKED SECURITIES (6.7%)(a)     
  Principal amount  Value 
 
Aames Mortgage Investment Trust FRB Ser. 04-1,     
Class 2A1, 5.66s, 2034  $459,208  $459,468 
ABSC NIMS Trust 144A Ser. 05-HE2, Class A1, 4 1/2s,     
2035 (Cayman Islands)  355,913  348,795 
Advanta Business Card Master Trust FRB Ser. 04-C1,     
Class C, 6.37s, 2013  210,000  212,421 
Aegis Asset Backed Securities Trust 144A     
Ser. 04-5N, Class Note, 5s, 2034  87,766  86,422 
Ser. 04-6N, Class Note, 4 3/4s, 2035  134,843  132,567 
AFC Home Equity Loan Trust Ser. 99-2, Class 1A, 5.73s,     
2029  2,995,096  3,006,363 
American Express Credit Account Master Trust 144A Ser.     
04-C, Class C, 5.82s, 2012  5,296,340  5,297,166 
American Home Mortgage Investment Trust     
FRB Ser. 04-3, Class 3A, 3.71s, 2034  1,380,452  1,376,878 
FRB Ser. 04-3, Class 2A, 3.59s, 2034  1,449,853  1,442,868 
Americredit Automobile Receivables Trust 144A Ser.     
05-1, Class E, 5.82s, 2012  240,908  240,701 
Ameriquest Mortgage Securities, Inc. FRB Ser. 06-R1,     
Class M10, 7.82s, 2036  902,000  805,344 
Arcap REIT, Inc. 144A     
Ser. 03-1A, Class E, 7.11s, 2038  1,283,000  1,336,363 
Ser. 04-1A, Class E, 6.42s, 2039  1,112,000  1,104,592 
Asset Backed Funding Corp. NIM Trust 144A FRB Ser.     
05-OPT1, Class B1, 7.82s, 2035  407,000  321,875 
Asset Backed Securities Corp. Home Equity Loan Trust     
FRB Ser. 04-HE9, Class A2, 5.69s, 2034  234,164  234,418 
FRB Ser. 05-HE1, Class A3, 5.61s, 2035  508,613  509,032 
Asset Backed Securities Corp. Home Equity Loan Trust     
144A FRB Ser. 06-HE2, Class M11, 7.82s, 2036  242,000  197,525 
Aviation Capital Group Trust 144A FRB Ser. 03-2A,     
Class G1, 6.02s, 2033  939,097  940,491 
Banc of America Alternative Loan Trust IFB Ser. 06-6,     
Class CB2, IO, 0.03s, 2046  3,155,302  5,130 
Banc of America Funding Corp. IFB Ser. 06-4, Class A4,     
IO, 0.18s, 2036  3,503,248  9,290 
Banc of America Mortgage Securities     
Ser. 04-D, Class 2A, IO, 0.45s, 2034  14,159,418  64,200 
Ser. 05-E, Class 2, IO, 0.306s, 2035  34,569,000  220,094 
IFB Ser. 06-2, Class A4, IO, 0.08s, 2036  2,805,161  17,894 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4,     
6.35s, 2011  210,000  212,728 
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014  420,000  415,228 

Bayview Commercial Asset Trust 144A Ser. 06-4A,     
Class IO, IO, 1.14s, 2036  2,340,000  292,284 
Bayview Financial Acquisition Trust     
FRB Ser. 03-G, Class A1, 5.92s, 2039  4,813,000  4,816,089 
Ser. 04-B, Class A1, 5.82s, 2039  4,211,489  4,211,478 
FRB Ser. 03-F, Class A, 5.82s, 2043  1,591,010  1,594,987 
FRB Ser. 04-D, Class A, 5.71s, 2044  2,292,070  2,293,509 
Ser. 04-D, Class A, IO, 3.938s, 2007  9,821,900  183,788 
Ser. 05-B, Class A, IO, 3.595s, 2039  7,710,764  220,054 
Bayview Financial Acquisition Trust 144A FRN Ser.     
04-B, Class M2, 7.22s, 2039  200,000  203,156 
Bayview Financial Asset Trust 144A     
FRB Ser. 03-SSRA, Class M, 6.67s, 2038  1,073,835  1,082,211 
FRB Ser. 03-SSRA, Class A, 6.02s, 2038  905,703  908,511 
FRB Ser. 04-SSRA, Class A1, 5.92s, 2039  1,186,766  1,194,836 
Bear Stearns Adjustable Rate Mortgage Trust Ser. 04-1,     
Class 11A1, 3.594s, 2034  3,338,667  3,346,395 
Bear Stearns Alternate Trust     
Ser. 04-9, Class 1A1, 4.882s, 2034  624,420  621,672 
Ser. 05-5, Class 21A1, 4.688s, 2035  3,669,716  3,639,560 
Bear Stearns Asset Backed Securities NIM Trust 144A     
Ser. 04-HE10, Class A1, 4.25s, 2034 (Cayman Islands)  3,700  3,700 
Bear Stearns Asset Backed Securities NIM Trust 144A     
Ser. 04-HE10, Class A2, 5s, 2034 (Cayman Islands)  65,592  65,346 
Bear Stearns Asset Backed Securities, Inc.     
FRB Ser. 06-EC1, Class M9, 7.32s, 2035  698,000  579,122 
FRB Ser. 06-PC1, Class M9, 7.07s, 2035  414,000  340,903 
FRB Ser. 03-3, Class A2, 5.91s, 2043  2,197,474  2,203,655 
FRB Ser. 03-1, Class A1, 5.82s, 2042  535,490  535,487 
FRB Ser. 05-3, Class A1, 5.77s, 2035  998,678  1,000,238 
Bear Stearns Asset Backed Securities, Inc. 144A FRB     
Ser. 06-HE2, Class M10, 7.57s, 2036  251,000  225,978 
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. 06-1, Class D, 7.16s, 2013  500,000  500,859 
Ser. 05-1, Class D, 6 1/2s, 2011  1,442,000  1,423,919 
Capital One Multi-Asset Execution Trust FRB Ser.     
02-C1, Class C1, 8.07s, 2010  570,000  581,912 
CARMAX Auto Owner Trust Ser. 04-2, Class D, 3.67s, 2011  238,483  234,935 
CARSSX Finance, Ltd. 144A     
FRB Ser. 04-AA, Class B4, 10.82s, 2011 (Cayman Islands)  694,723  721,486 
FRB Ser. 04-AA, Class B3, 8.67s, 2011 (Cayman Islands)  90,645  92,380 
CDO Repackaging Trust Series 144A FRB Ser. 03-2,     
Class A, 9.51s, 2008  3,105,000  3,299,063 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,     
6.40s, 2010  1,730,000  1,755,518 
Chase Funding Net Interest Margin 144A Ser. 04-OPT1,     
Class Note, 4.458s, 2034  131,974  130,221 
CHEC NIM Ltd., 144A Ser. 04-2, Class N3, 8s, 2034     
(Cayman Islands)  76,724  74,092 
Citibank Credit Card Issuance Trust FRB Ser. 01-C1,     
Class C1, 6.454s, 2010  1,060,000  1,070,994 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-WMC1,     
Class M10, 8.82s, 2035  201,000  183,460 
Conseco Finance Securitizations Corp.     
Ser. 02-1, Class M2, 9.546s, 2033  2,974,000  1,933,100 
Ser. 02-2, Class A, IO, 8 1/2s, 2033  6,902,761  1,460,258 
Ser. 00-4, Class A6, 8.31s, 2032  8,597,000  7,434,345 
Ser. 00-5, Class A6, 7.96s, 2032  3,727,000  3,239,833 
Ser. 02-1, Class M1F, 7.954s, 2033  1,004,000  1,068,858 
Ser. 01-4, Class A4, 7.36s, 2033  6,025,000  6,246,322 
Ser. 01-1, Class A5, 6.99s, 2032  2,692,000  2,629,276 
Ser. 01-3, Class A4, 6.91s, 2033  8,065,000  7,778,378 
Ser. 02-1, Class A, 6.681s, 2033  7,554,043  7,668,747 
Ser. 01-1, Class A4, 6.21s, 2032  1,027,841  1,028,200 
Consumer Credit Reference IDX Securities 144A FRB Ser.     
02-1A, Class A, 7.387s, 2007  3,061,000  3,080,621 
Countrywide Alternative Loan Trust IFB Ser. 06-26CB,     
Class A2, IO, 0.48s, 2036  3,887,444  9,293 
Countrywide Asset Backed Certificates 144A     
Ser. 04-6N, Class N1, 6 1/4s, 2035  105,583  105,324 
Ser. 04-BC1N, Class Note, 5 1/2s, 2035  111,586  111,432 
Ser. 04-14N, 5s, 2036  70,046  69,517 
Countrywide Home Loans     
FRB Ser. 05-22, Class 2A1, 5.302s, 2035  3,276,816  3,262,480 

Ser. 06-0A5, Class X, IO, 1.882s, 2046  13,074,024  582,203 
Countrywide Home Loans 144A     
IFB Ser. 05-R2, Class 2A3, 8s, 2035  1,345,666  1,417,565 
IFB Ser. 05-R1, Class 1AS, IO, 0.798s, 2035 (SN)  9,635,969  314,672 
IFB Ser. 06-R1, Class AS, IO, 0.743s, 2036 (SN)  18,804,864  585,802 
IFB Ser. 05-R3, Class AS, IO, 0.699s, 2035 (SN)  6,482,644  177,507 
IFB Ser. 05-R2, Class 1AS, IO, 0.411s, 2035 (SN)  8,954,152  291,483 
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038     
(Cayman Islands)  1,617,000  1,619,654 
CS First Boston Mortgage Securities Corp. 144A Ser.     
04-FR1N, Class A, 5s, 2034  579,054  570,368 
DB Master Finance, LLC 144A Ser. 06-1, Class M1,     
8.285s, 2031  373,000  383,410 
Fieldstone Mortgage Investment Corp. FRB Ser. 05-1,     
Class M3, 5.86s, 2035  700,000  701,218 
Finance America NIM Trust 144A Ser. 04-1, Class A,     
5 1/4s, 2034  78,556  7,266 
First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s,     
2023  487,710  488,015 
Ford Credit Auto Owner Trust Ser. 04-A, Class C,     
4.19s, 2009  650,000  635,675 
Fort Point CDO, Ltd. FRB Ser. 03-2A, Class A2, 6.448s,     
2038 (Cayman Islands)  616,000  620,558 
Foxe Basin, Ltd. 144A FRB Ser. 03-1A, Class A1, 5.89s,     
2015 (Cayman Islands)  2,000,000  2,002,600 
Fremont NIM Trust 144A     
Ser. 04-3, Class B, 7 1/2s, 2034  201,517  184,481 
Ser. 04-3, Class A, 4 1/2s, 2034  5,950  5,934 
G-Force CDO, Ltd. 144A Ser. 03-1A, Class E, 6.58s,     
2038 (Cayman Islands)  939,000  934,680 
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 7.32s,     
2037 (Cayman Islands)  308,000  317,283 
GE Capital Credit Card Master Note Trust FRB Ser.     
04-2, Class C, 5.8s, 2010  1,903,750  1,905,212 
GE Corporate Aircraft Financing, LLC 144A     
FRB Ser. 05-1A, Class C, 6.62s, 2019  1,680,000  1,679,983 
Ser. 04-1A, Class B, 6.17s, 2018  161,260  162,469 
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,     
8.22s, 2012  1,962,000  1,952,487 
GEBL 144A     
Ser. 04-2, Class D, 8.07s, 2032  707,990  707,990 
Ser. 04-2, Class C, 6.17s, 2032  265,279  265,279 
GMAC Mortgage Corp. Loan Trust Ser. 04-HE5, Class A,     
IO, 6s, 2007  4,879,050  116,640 
Granite Mortgages PLC     
FRB Ser. 01-1, Class 1C, 6.77s, 2041 (United Kingdom)  1,870,000  1,888,335 
FRB Ser. 02-1, Class 1C, 6.67s, 2042 (United Kingdom)  1,080,415  1,083,818 
FRB Ser. 02-2, Class 1C, 6.626s, 2043 (United Kingdom)  650,000  654,295 
Green Tree Financial Corp.     
Ser. 96-5, Class M1, 8.05s, 2027  512,386  486,573 
Ser. 99-5, Class A5, 7.86s, 2030  16,750,000  14,832,125 
Ser. 97-4, Class A7, 7.36s, 2029  657,187  678,508 
Ser. 95-8, Class B1, 7.3s, 2026  362,579  363,148 
Ser. 96-10, Class M1, 7.24s, 2028  972,000  979,679 
Ser. 97-7, Class A8, 6.86s, 2029  472,484  479,882 
Ser. 99-3, Class A6, 6 1/2s, 2031  1,137,000  1,123,925 
Ser. 99-2, Class A7, 6.44s, 2030  1,387,261  1,365,892 
Ser. 99-3, Class A5, 6.16s, 2031  77,579  78,064 
Greenpoint Manufactured Housing Ser. 00-3, Class IA,     
8.45s, 2031  3,597,643  3,338,228 
Greenpoint Mortgage Funding Trust Ser. 05-AR1,     
Class X1, IO, zero %, 2045  10,513,048  302,250 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011  1,156,849  1,148,751 
GSAMP Trust 144A     
Ser. 05-NC1, Class N, 5s, 2035  102,415  102,190 
Ser. 04-NIM2, Class N, 4 7/8s, 2034  62,242  61,975 
GSMPS Mortgage Loan Trust     
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  346,814  370,092 
Ser. 05-RP3, Class 1A3, 8s, 2035  1,017,175  1,075,906 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  939,597  981,983 
GSMPS Mortgage Loan Trust 144A     
Ser. 05-RP2, Class 1A3, 8s, 2035  1,259,429  1,331,770 
Ser. 05-RP1, Class 1A3, 8s, 2035  159,300  168,452 
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  1,441,088  1,505,779 
IFB Ser. 05-RP1, Class 1AS, IO, 0.898s, 2035 (SN)  6,856,329  213,938 
IFB Ser. 04-4, Class 1AS, IO, 0.695s, 2034 (SN)  15,193,110  467,659 

IFB Ser. 06-RP1, Class 1AS, IO, 0.461s, 2036 (SN)  18,507,630  449,101 
GSR Mortgage Loan Trust     
Ser. 05-AR2, Class 2A1, 4.862s, 2035  2,135,922  2,111,829 
Ser. 04-12, Class 2A2, 3.554s, 2034  1,120,543  1,106,862 
Guggenheim Structured Real Estate Funding, Ltd. 144A     
FRB Ser. 05-2A, Class D, 6.87s, 2030 (Cayman Islands)  1,141,000  1,144,537 
FRB Ser. 05-1A, Class D, 6.85s, 2030 (Cayman Islands)  2,225,000  2,225,000 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,     
2035 (Cayman Islands)  811,210  796,734 
High Income Trust Securities 144A FRB Ser. 03-1A,     
Class A, 5.95s, 2036 (Cayman Islands)  2,040,685  2,025,380 
Holmes Financing PLC FRB Ser. 8, Class 2C, 6.094s,     
2040 (United Kingdom)  746,000  747,194 
Home Equity Asset Trust 144A Ser. 04-4N, Class A, 5s,     
2034  23,581  23,110 
Hyundai Auto Receivables Trust Ser. 04-A, Class D,     
4.1s, 2011  429,000  423,245 
JPMorgan Mortgage Acquisition Corp. FRB Ser. 05-OPT2,     
Class M11, 7.57s, 2035  645,000  556,119 
Lehman Manufactured Housing Ser. 98-1, Class 1, IO,     
0.808s, 2028  20,589,295  385,871 
Lehman Mortgage Trust     
IFB Ser. 06-6, Class 1A2, IO, 1.18s, 2036  5,205,490  172,450 
IFB Ser. 06-6, Class 1A3, IO, 1.18s, 2036  6,593,560  354,637 
IFB Ser. 06-6, Class 4A2, IO, 0.03s, 2036  5,234,709  11,921 
LNR CDO, Ltd. 144A     
FRB Ser. 03-1A, Class EFL, 8.32s, 2036 (Cayman Islands)  2,585,000  2,591,563 
FRB Ser. 02-1A, Class FFL, 8.07s, 2037 (Cayman Islands)  5,220,000  5,220,204 
Long Beach Mortgage Loan Trust     
Ser. 04-3, Class S1, IO, 4 1/2s, 2006  9,436,886  66,353 
Ser. 04-3, Class S2, IO, 4 1/2s, 2006  4,718,506  33,177 
Long Beach Mortgage Loan Trust 144A FRB Ser. 06-WL3,     
Class B1, 7.82s, 2036  953,000  797,034 
Madison Avenue Manufactured Housing Contract     
FRB Ser. 02-A, Class B1, 8.57s, 2032  4,059,503  3,166,412 
Ser. 02-A IO, 0.3s, 2032  154,408,461  1,674,683 
Marriott Vacation Club Owner Trust 144A     
Ser. 05-2, Class D, 6.205s, 2027  134,539  133,893 
FRB Ser. 02-1A, Class A1, 6.02s, 2024  1,269,321  1,278,488 
Ser. 04-2A, Class D, 5.389s, 2026  121,489  117,754 
Ser. 04-2A, Class C, 4.741s, 2026  111,770  108,006 
MASTR Adjustable Rate Mortgages Trust     
Ser. 04-7, Class 2A1, 4.666s, 2034  747,729  753,444 
Ser. 04-13, Class 3A6, 3.786s, 2034  2,253,000  2,166,369 
Ser. 06-OA1, Class X, IO, 2.017s, 2046  6,372,553  283,778 
Ser. 04-03, Class 4AX, IO, 1.417s, 2034  2,768,479  61,737 
Ser. 05-2, Class 7AX, IO, 0.168s, 2035  7,186,364  20,122 
MASTR Asset Backed Securities NIM Trust 144A Ser.     
04-HE1A, Class Note, 5.191s, 2034 (Cayman Islands)  17,795  17,689 
MASTR Reperforming Loan Trust 144A     
Ser. 05-2, Class 1A3, 7 1/2s, 2035  858,585  894,918 
Ser. 05-1, Class 1A4, 7 1/2s, 2034  2,079,053  2,167,373 
MBNA Credit Card Master Note Trust FRB Ser. 03-C5,     
Class C5, 6 1/2s, 2010  1,730,000  1,757,086 
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1,     
5.94s, 2027  5,642,627  5,360,495 
Merrill Lynch Mortgage Investors, Inc. FRB Ser. 05-A9,     
Class 3A1, 5.293s, 2035  4,342,196  4,321,842 
Merrill Lynch Mortgage Investors, Inc. 144A     
Ser. 05-WM1N, Class N1, 5s, 2035  28,164  27,777 
Ser. 04-HE2N, Class N1, 5s, 2035 (Cayman Islands)  37,877  37,167 
Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)  20,197  19,894 
Ser. 04-WM3N, Class N1, 4 1/2s, 2035  56,647  55,401 
Ser. 04-WM2N, Class N1, 4 1/2s, 2034  27,824  27,528 
Ser. 04-WM1N, Class N1, 4 1/2s, 2034  1,921  1,900 
Mid-State Trust     
Ser. 11, Class B, 8.221s, 2038  392,900  389,781 
Ser. 10, Class B, 7.54s, 2036  751,988  655,585 
MMCA Automobile Trust Ser. 02-1, Class B, 5.37s, 2010  669  669 
Morgan Stanley ABS Capital I FRB Ser. 04-WMC3,     
Class A2PT, 5.61s, 2035  593,725  594,189 
Morgan Stanley Auto Loan Trust 144A     
Ser. 04-HB1, Class D, 5 1/2s, 2011  303,710  302,629 
Ser. 04-HB2, Class E, 5s, 2012  347,648  342,945 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,     
Class 2A1, 5.395s, 2035  5,689,211  5,681,487 

N-Star Real Estate CDO, Ltd. 144A FRB Ser. 04-2A,     
Class C1, 7.32s, 2039 (Cayman Islands)  544,000  559,300 
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1,     
5.895s, 2015 (Cayman Islands)  1,168,000  1,168,000 
Navistar Financial Corp. Owner Trust     
Ser. 05-A, Class C, 4.84s, 2014  682,257  669,603 
Ser. 04-B, Class C, 3.93s, 2012  265,290  259,016 
New Century Home Equity Loan Trust Ser. 03-5,     
Class AI7, 5.15s, 2033  1,734,000  1,681,475 
Newcastle CDO, Ltd. 144A FRB Ser. 3A, Class 4FL,     
8.52s, 2038 (Cayman Islands)  624,000  627,120 
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,     
0.414s, 2035  555,178  573,221 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2,     
Class PT, 9.087s, 2034  498,595  521,655 
Oakwood Mortgage Investors, Inc. Ser. 02-C, Class A1,     
5.41s, 2032  4,453,472  3,851,185 
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B,     
Class A4, 7.21s, 2030  658,484  586,276 
Ocean Star PLC 144A     
FRB Ser. 04, Class D, 7.702s, 2018 (Ireland)  623,000  631,566 
FRB Ser. 05-A, Class D, 6.902s, 2012 (Ireland)  696,000  696,000 
Option One Mortgage Loan Trust FRB Ser. 05-4,     
Class M11, 7.82s, 2035  216,000  195,725 
Origen Manufactured Housing Ser. 04-B, Class A2,     
3.79s, 2017  426,948  418,560 
Park Place Securities, Inc. FRB Ser. 04-WHQ2,     
Class A3A, 5.67s, 2035  805,750  806,458 
Park Place Securities, Inc. 144A     
FRB Ser. 05-WCW2, Class M11, 7.82s, 2035  896,000  636,429 
FRB Ser. 04-MHQ1, Class M10, 7.82s, 2034  415,000  385,985 
People's Choice Net Interest Margin Note 144A Ser.     
04-2, Class B, 5s, 2034  46,466  45,831 
Permanent Financing PLC FRB Ser. 3, Class 3C, 6.54s,     
2042 (United Kingdom)  1,300,000  1,313,736 
Pillar Funding PLC 144A     
FRB Ser. 04-1A, Class C1, 6.39s, 2011 (United Kingdom)  657,000  656,958 
FRB Ser. 04-2A, Class C, 6.27s, 2011 (United Kingdom)  912,000  909,078 
Provident Funding Mortgage Loan Trust FRB Ser. 05-2,     
Class 1A1A, 4.391s, 2035  3,220,341  3,208,265 
Providian Gateway Master Trust 144A     
FRB Ser. 04-AA, Class D, 7.17s, 2011  1,204,000  1,211,104 
FRB Ser. 04-EA, Class D, 6 1/4s, 2011  701,000  706,191 
Ser. 04-FA, Class E, 5s, 2011  500,000  500,000 
Ser. 04-DA, Class D, 4.4s, 2011  944,000  927,333 
Residential Accredit Loans, Inc. Ser. 04-QA5,     
Class A2, 4.907s, 2034  418,394  416,482 
Residential Asset Securities Corp. 144A     
FRB Ser. 05-KS10, Class B, 8.08s, 2035  1,165,000  1,040,217 
Ser. 04-NT, Class Note, 5s, 2034  152,074  145,991 
Ser. 04-NT12, Class Note, 4.7s, 2035  11,084  11,057 
Residential Asset Securitization Trust IFB Ser.     
06-A7CB, Class 1A6, IO, 0.23s, 2036  1,264,709  15,512 
Residential Funding Mortgage Securities FRB Ser.     
04-S5, Class 2A1, 4 1/2s, 2019  2,990,083  2,805,894 
Residential Funding Mortgage Securities I FRB Ser.     
05-SA2, Class 1A, 4.692s, 2035  1,664,947  1,644,851 
Saco I Trust FRB Ser. 05-10, Class 1A1, 5.58s, 2033  1,770,939  1,773,430 
SAIL Net Interest Margin Notes 144A     
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)  22,036  4,187 
Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)  133,867  10,709 
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands)  218,326  12,403 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)  8,625  863 
Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)  48,411  2,905 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)  65,758  2,630 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)  12,564  1,005 
Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)  19,639  1,964 
Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)  52,782  52,782 
Ser. 04-BN2A, Class A, 5s, 2034 (Cayman Islands)  19,324  19,292 
Ser. 05-2A, Class A, 4 3/4s, 2035 (Cayman Islands)  241,939  240,245 
Ser. 04-11A, Class A2, 4 3/4s, 2035 (Cayman Islands)  154,635  153,945 
Ser. 05-1A, Class A, 4 1/4s, 2035 (Cayman Islands)  207,935  205,806 
Sasco Net Interest Margin Trust 144A     
Ser. 05-NC1A, Class A, 4 3/4s, 2035 (Cayman Islands)  231,252  224,315 
Ser. 05-WF1A, Class A, 4 3/4s, 2035 (Cayman Islands)  124,924  124,497 
Sharps SP I, LLC Net Interest Margin Trust 144A     

Ser. 04-HS1N, Class Note, 5.92s, 2034 (Cayman Islands)  34,927  1,746 
Ser. 04-HE2N, Class NA, 5.43s, 2034 (Cayman Islands)  17,376  17,376 
Ser. 04-HE1N, Class Note, 4.94s, 2034 (Cayman Islands)  144,254  7,213 
Soundview Home Equity Loan Trust 144A FRB Ser.     
05-CTX1, Class B1, 7.82s, 2035  466,000  397,992 
South Coast Funding 144A FRB Ser. 3A, Class A2,     
6.646s, 2038 (Cayman Islands)  470,000  471,410 
Structured Adjustable Rate Mortgage Loan Trust     
FRB Ser. 05-18, Class 6A1, 5.293s, 2035  2,695,697  2,688,176 
Ser. 04-12, Class 1A2, 4.965s, 2034  1,640,948  1,653,433 
Ser. 04-10, Class 1A1, 4.908s, 2034  1,173,572  1,183,129 
Ser. 04-8, Class 1A3, 4.671s, 2034  50,333  50,693 
Ser. 04-6, Class 1A, 4.379s, 2034  4,962,656  4,997,533 
Ser. 05-9, Class AX, IO, 0.894s, 2035  36,408,294  546,124 
Structured Adjustable Rate Mortgage Loan Trust 144A     
Ser. 04-NP2, Class A, 5.67s, 2034  1,002,340  1,002,340 
Structured Asset Investment Loan Trust 144A     
FRB Ser. 06-BNC2, Class B1, 7.82s, 2036  273,000  244,958 
FRB Ser. 05-HE3, Class M11, 7.82s, 2035  974,000  806,139 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,     
5.874s, 2015  5,283,898  5,277,293 
Structured Asset Securities Corp.     
Ser. 03-40A, Class 1A, 5.266s, 2034  583,142  592,220 
IFB Ser. 05-10, Class 3A3, 5.17s, 2034  3,101,991  2,891,679 
Ser. 04-8, Class 1A1, 4.671s, 2034  970,057  976,986 
IFB Ser. 05-6, Class 5A8, 3.26s, 2035  4,372,893  3,694,447 
Structured Asset Securities Corp. 144A     
Ser. 98-RF3, Class A, IO, 6.1s, 2028  3,650,213  380,422 
IFB Ser. 05-RF6, Class AIO, IO, 0.84s, 2043 (SN)  6,072,804  184,515 
IFB Ser. 05-RF4, Class AIO, IO, 0.793s, 2035 (SN)  4,771,953  140,874 
Terwin Mortgage Trust FRB Ser. 04-5HE, Class A1B,     
5.74s, 2035  458,202  458,410 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,     
2038 (Cayman Islands)  1,698,000  1,743,619 
Wells Fargo Mortgage Backed Securities Trust     
Ser. 06-AR10, Class 3A1, 5.088s, 2036  3,670,661  3,649,371 
Ser. 05-AR2, Class 2A1, 4.547s, 2035  1,576,232  1,550,854 
Ser. 04-R, Class 2A1, 4.356s, 2034  1,614,442  1,584,575 
Ser. 05-AR9, Class 1A2, 4.354s, 2035  2,216,683  2,174,021 
Ser. 05-AR12, Class 2A5, 4.319s, 2035  21,411,000  20,985,930 
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035  44,983,000  550,156 
WFS Financial Owner Trust     
Ser. 05-1, Class D, 4 1/4s, 2012  455,233  449,707 
Ser. 04-3, Class D, 4.07s, 2012  419,622  415,237 
Ser. 04-4, Class D, 3.58s, 2012  183,242  180,588 
Ser. 04-1, Class D, 3.17s, 2011  168,148  166,696 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,     
Class B3, 6.28s, 2044 (United Kingdom)  1,572,879  1,572,863 
Whole Auto Loan Trust 144A Ser. 04-1, Class D, 5.6s,     
2011  348,922  347,205 
 
Total asset-backed securities (cost $317,950,287)    $311,454,306 
 
CORPORATE BONDS AND NOTES (4.6%)(a)     
  Principal amount  Value 
 
Basic Materials (0.1%)     
 
Dow Chemical Co. (The) Pass Through Trust 144A company     
guaranty 4.027s, 2009  $1,510,000  $1,451,856 
Georgia-Pacific Corp. notes 8 1/8s, 2011  635,000  657,225 
ICI Wilmington, Inc. company guaranty 5 5/8s, 2013  1,235,000  1,222,352 
Lafarge SA notes 6 1/2s, 2016 (France)  325,000  332,313 
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014  470,000  460,326 
Newmont Mining Corp. notes 5 7/8s, 2035  675,000  635,331 
Potash Corp. of Saskatchewan notes 7 3/4s, 2011     
(Canada)  510,000  557,161 
Weyerhaeuser Co. debs. 7.95s, 2025  895,000  960,421 
 
    6,276,985 
Capital Goods (0.1%)     
 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015  435,000  420,863 
L-3 Communications Corp. sr. sub. notes Class B,     
6 3/8s, 2015  595,000  586,075 
Legrand SA debs. 8 1/2s, 2025 (France)  860,000  980,400 

Lockheed Martin Corp. 144A notes 6.15s, 2036  1,145,000  1,216,661 
Raytheon Co. debs. 6 3/4s, 2018  185,000  202,780 
 
    3,406,779 
Communication Services (0.4%)     
 
Ameritech Capital Funding company guaranty 6 1/4s, 2009  200,000  203,600 
AT&T Corp. sr. notes 8s, 2031  670,000  839,394 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031  2,225,000  2,915,522 
France Telecom notes 8 1/2s, 2031 (France)  180,000  239,160 
Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s,     
2013  600,000  613,087 
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada)  765,000  765,000 
Southwestern Bell Telephone debs. 7s, 2027  1,075,000  1,101,716 
Sprint Capital Corp. company guaranty 6.9s, 2019  715,000  749,951 
Sprint Capital Corp. company guaranty 6 7/8s, 2028  1,965,000  2,013,388 
Telecom Italia Capital SA company guaranty 5 1/4s,     
2013 (Luxembourg)  515,000  492,576 
Telecom Italia Capital SA company guaranty 4s, 2010     
(Luxembourg)  60,000  57,380 
Telecom Italia Capital SA notes 5 1/4s, 2015     
(Luxembourg)  965,000  902,394 
Telefonica Emisones SAU company guaranty 7.045s, 2036     
(Spain)  1,220,000  1,315,192 
Telefonica Emisones SAU company guaranty 6.421s, 2016     
(Spain)  270,000  279,799 
Telefonica Europe BV company guaranty 8 1/4s, 2030     
(Netherlands)  595,000  721,142 
Verizon New England, Inc. sr. notes 6 1/2s, 2011  2,285,000  2,354,896 
Verizon New Jersey, Inc. debs. 8s, 2022  770,000  864,219 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030  980,000  1,136,727 
 
    17,565,143 
Conglomerates (--%)     
 
Siemens Financieringsmaatschappij 144A notes 5 3/4s,     
2016 (Netherlands)  680,000  694,028 
Consumer Cyclicals (0.3%)     
 
D.R. Horton, Inc. sr. notes 7 7/8s, 2011  565,000  606,430 
D.R. Horton, Inc. sr. notes 5 7/8s, 2013  660,000  646,672 
DaimlerChrysler NA Holding Corp. company guaranty     
7.2s, 2009  1,545,000  1,610,309 
DaimlerChrysler NA Holding Corp. company guaranty     
6 1/2s, 2013  565,000  582,927 
DaimlerChrysler NA Holding Corp. notes Ser. MTN,     
5 3/4s, 2011  1,730,000  1,731,298 
Ford Motor Credit Corp. notes 6 3/8s, 2008  980,000  943,166 
General Motors Acceptance Corp. bonds 8s, 2031  845,000  905,392 
General Motors Acceptance Corp. FRN 6.324s, 2007  1,870,000  1,869,295 
General Motors Acceptance Corp. FRN Ser. MTN, 6.243s,     
2007  1,815,000  1,813,606 
General Motors Acceptance Corp. notes 7s, 2012  845,000  854,016 
JC Penney Co., Inc. debs. 7.65s, 2016  110,000  122,666 
JC Penney Co., Inc. notes 6 7/8s, 2015  910,000  963,838 
Office Depot, Inc. notes 6 1/4s, 2013  563,000  575,914 
Omnicom Group, Inc. sr. notes 5.9s, 2016  635,000  646,013 
 
    13,871,542 
Consumer Staples (0.4%)     
 
Comcast Corp. company guaranty 4.95s, 2016  165,000  154,670 
Cox Communications, Inc. notes 6 3/4s, 2011  800,000  836,706 
Cox Enterprises, Inc. 144A notes 7 7/8s, 2010  1,045,000  1,121,837 
CVS Corp. 144A pass-through certificates 6.117s, 2013  1,589,793  1,610,302 
Dean Foods Co. company guaranty 7s, 2016  680,000  687,650 
Delhaize America, Inc. company guaranty 8 1/8s, 2011  655,000  705,217 
Diageo PLC company guaranty 8s, 2022  760,000  930,800 
Fortune Brands, Inc. notes 5 3/8s, 2016  1,170,000  1,108,469 
Kroger Co. company guaranty 6 3/4s, 2012  275,000  288,998 
News America Holdings, Inc. debs. 7 3/4s, 2045  1,065,000  1,199,940 
News America, Inc. company guaranty 6.4s, 2035  2,050,000  2,055,541 

TCI Communications, Inc. debs. 9.8s, 2012  1,870,000  2,211,183 
TCI Communications, Inc. debs. 8 3/4s, 2015  1,115,000  1,320,691 
TCI Communications, Inc. debs. 7 7/8s, 2013  1,240,000  1,386,892 
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023  170,000  200,659 
Time Warner, Inc. debs. 9.15s, 2023  340,000  422,810 
Time Warner, Inc. debs. 9 1/8s, 2013  2,435,000  2,843,252 
Viacom, Inc. sr. notes 5 3/4s, 2011  610,000  610,759 
 
    19,696,376 
Energy (0.2%)     
 
Anadarko Petroleum Corp. sr. notes 6.45s, 2036  1,460,000  1,511,204 
Anadarko Petroleum Corp. sr. notes 5.95s, 2016  705,000  715,991 
Chesapeake Energy Corp. sr. unsecd. notes 7 5/8s, 2013  1,010,000  1,046,613 
Enterprise Products Operating LP company guaranty Ser.     
B, 6 3/8s, 2013  595,000  614,916 
Enterprise Products Operating LP company guaranty FRN     
8 3/8s, 2066  1,010,000  1,085,461 
Forest Oil Corp. sr. notes 8s, 2011  610,000  631,350 
Hess Corp. bonds 7 7/8s, 2029  1,160,000  1,378,290 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012  530,000  527,324 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016  650,000  635,375 
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015  220,000  230,333 
Sunoco, Inc. notes 4 7/8s, 2014  590,000  562,158 
Valero Energy Corp. sr. unsecd. notes 7 1/2s, 2032  745,000  868,146 
Weatherford International, Ltd. company guaranty     
6 1/2s, 2036  855,000  877,760 
Weatherford International, Ltd. sr. notes 5 1/2s, 2016  455,000  447,503 
 
    11,132,424 
Financial (1.9%)     
 
American Express Co. FRN 6.8s, 2066  840,000  894,397 
Ameriprise Financial, Inc. jr. sub. FRN 7.518s, 2066  1,740,000  1,892,118 
Barclays Bank PLC FRB 6.278s, 2049 (United Kingdom)  1,110,000  1,090,209 
Block Financial Corp. notes 5 1/8s, 2014  760,000  725,698 
Bosphorus Financial Services, Ltd. 144A sec. FRN     
7.205s, 2012 (Cayman Islands)  2,378,000  2,360,688 
Brandywine Operating Partnership LP notes 5 3/4s, 2012     
(R)  505,000  510,068 
Capital One Capital III company guaranty 7.686s, 2036  1,790,000  1,973,901 
CIT Group, Inc. sr. notes 5s, 2015  780,000  750,813 
CIT Group, Inc. sr. notes 5s, 2014  3,485,000  3,378,701 
Citigroup, Inc. sub. notes 5s, 2014  2,377,000  2,321,754 
CNA Financial Corp. unsecd. notes 6 1/2s, 2016  730,000  763,469 
CNA Financial Corp. unsecd. notes 6s, 2011  730,000  744,912 
Colonial Properties Trust notes 6 1/4s, 2014 (R)  730,000  746,094 
Countrywide Capital III company guaranty Ser. B,     
8.05s, 2027  1,035,000  1,189,779 
Deutsche Bank Capital Funding Trust VII 144A FRB     
5.628s, 2049  1,145,000  1,121,690 
Developers Diversified Realty Corp. unsecd. notes     
5 3/8s, 2012 (R)  385,000  383,040 
Equity One, Inc. company guaranty 3 7/8s, 2009 (R)  840,000  810,114 
ERP Operating LP notes 6.584s, 2015  600,000  641,017 
Executive Risk Capital Trust company guaranty Ser. B,     
8.675s, 2027  1,545,000  1,618,185 
Fleet Capital Trust V bank guaranty FRN 6.39s, 2028  935,000  932,786 
Fund American Cos. Inc. notes 5 7/8s, 2013  1,370,000  1,370,336 
GATX Financial Corp notes 5.8s, 2016  560,000  554,790 
Greenpoint Capital Trust I company guaranty 9.1s, 2027  600,000  635,957 
Health Care REIT, Inc. sr. notes 6s, 2013 (R)  385,000  389,166 
Heritage Property Investment Trust company guaranty     
5 1/8s, 2014 (R)  795,000  776,518 
Hospitality Properties Trust notes 6 3/4s, 2013 (R)  780,000  821,126 
HRPT Properties Trust bonds 5 3/4s, 2014 (R)  530,000  531,198 
HRPT Properties Trust notes 6 1/4s, 2016 (R)  525,000  541,557 
HSBC Finance Capital Trust IX FRN 5.911s, 2035  3,300,000  3,318,916 
ILFC E-Capital Trust II 144A FRB 6 1/4s, 2065  2,560,000  2,593,859 
International Lease Finance Corp. notes 4 3/4s, 2012  2,630,000  2,561,346 
iStar Financial, Inc. sr. unsecd. notes 5 7/8s, 2016     
(R)  1,630,000  1,624,647 
JP Morgan Chase Capital XVIII bonds Ser. R, 6.95s, 2036  3,460,000  3,745,492 
JP Morgan Chase Capital XX jr. sub. Ser. T, 6.55s, 2036  565,000  580,006 

Lehman Brothers E-Capital Trust I FRN 6.173s, 2065  2,420,000  2,436,352 
Lehman Brothers Holdings, Inc. sub. notes 5 3/4s, 2017  160,000  161,926 
Liberty Mutual Insurance 144A notes 7.697s, 2097  2,160,000  2,246,439 
Lincoln National Corp. FRB 7s, 2066  1,250,000  1,315,824 
Loews Corp. notes 5 1/4s, 2016  510,000  498,541 
MetLife, Inc. notes 5.7s, 2035  725,000  715,421 
MetLife, Inc. notes 5s, 2015  1,210,000  1,173,492 
Mizuho Financial Group Cayman, Ltd. bank guaranty     
8 3/8s, 2049 (Cayman Islands)  750,000  790,725 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  465,000  464,108 
Nationwide Health Properties, Inc. notes 6 1/2s, 2011     
(R)  650,000  667,954 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  375,000  461,581 
NB Capital Trust IV company guaranty 8 1/4s, 2027  5,540,000  5,802,003 
Nuveen Investments, Inc. sr. notes 5 1/2s, 2015  505,000  494,232 
Nuveen Investments, Inc. sr. notes 5s, 2010  505,000  496,106 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  1,240,000  1,294,006 
PNC Bank NA notes 4 7/8s, 2017  1,030,000  983,338 
ProLogis Trust sr. notes 5 3/4s, 2016 (R)  905,000  908,149 
Prudential Holdings LLC 144A bonds 8.695s, 2023  1,510,000  1,862,781 
Realogy Corp. 144A notes 6.15s, 2011 (R)  70,000  71,130 
Realogy Corp. 144A sr. notes 6 1/2s, 2016 (R)  280,000  286,998 
Rouse Co LP/TRC Co-Issuer Inc. sr. notes 6 3/4s, 2013  695,000  702,473 
Rouse Co. (The) notes 7.2s, 2012 (R)  645,000  664,079 
Royal Bank of Scotland Group PLC bonds Ser. 1, 9.118s,     
2049 (United Kingdom)  1,900,000  2,115,958 
Royal Bank of Scotland Group PLC FRB 7.648s, 2049     
(United Kingdom)  400,000  468,986 
Safeco Capital Trust I company guaranty 8.072s, 2037  1,365,000  1,434,858 
Simon Property Group LP unsub. 5 3/4s, 2015 (R)  740,000  753,172 
Sovereign Bancorp, Inc. 144A sr. notes 4.8s, 2010  730,000  715,772 
St. Paul Travelers Cos., Inc. (The) sr. unsecd. notes     
5 1/2s, 2015  80,000  80,189 
Sun Life Canada Capital Trust 144A company guaranty     
8.526s, 2049  2,115,000  2,231,010 
Swiss Re Capital I LP 144A company guaranty FRN     
6.854s, 2049  850,000  876,367 
Transamerica Capital III company guaranty 7 5/8s, 2037  1,095,000  1,263,338 
UBS AG/Jersey Branch FRN 8.39s, 2008 (Jersey)  3,020,000  3,099,275 
UBS Preferred Funding Trust I company guaranty 8.622s,     
2049  1,345,000  1,495,454 
Washington Mutual Bank/Henderson NV sub. notes Ser.     
BKNT, 5.95s, 2013  1,030,000  1,053,086 
Westfield Group sr. notes 5.7s, 2016 (Australia)  875,000  876,393 
Westpac Capital Trust III 144A sub. notes FRN 5.819s,     
2049 (Australia)  1,010,000  1,007,041 
 
    86,862,904 
Health Care (0.1%)     
 
Bayer Corp. 144A FRB 6.2s, 2008  845,000  848,304 
Health Management Associates, Inc. sr. notes 6 1/8s,     
2016  420,000  404,694 
Hospira, Inc. notes 5.9s, 2014  430,000  426,110 
Ventas Realty LP/Capital Corp. company guaranty     
6 3/4s, 2010 (R)  275,000  282,563 
Ventas Realty LP/Capital Corp. sr. notes 6 3/4s, 2017     
(R)  620,000  624,650 
WellPoint, Inc. notes 5s, 2014  515,000  499,602 
WellPoint, Inc. unsecd. notes 5 1/4s, 2016  590,000  581,082 
Wyeth notes 5 1/2s, 2014  2,475,000  2,489,796 
 
    6,156,801 
Technology (0.1%)     
 
Arrow Electronics, Inc. debs. 7 1/2s, 2027  760,000  834,708 
Avnet, Inc. notes 6s, 2015  765,000  747,540 
Computer Associates International, Inc. 144A sr. notes     
6 1/8s, 2014  980,000  919,949 
Xerox Corp. sr. notes 6.4s, 2016  1,030,000  1,032,575 
 
    3,534,772 
Transportation (0.2%)     

American Airlines, Inc. pass-through certificates Ser.     
01-2, 7.858s, 2011  525,000  567,000 
BNSF Funding Trust I company guaranty FRB 6.613s, 2055  2,285,000  2,323,840 
Continental Airlines, Inc. pass-through certificates     
Ser. 98-3, 6.32s, 2008  2,895,000  2,933,091 
Ryder System, Inc. notes Ser. MTN, 5.95s, 2011  450,000  458,329 
Ryder System, Inc. notes Ser. MTN, 5.85s, 2016  585,000  584,696 
Union Pacific Corp. 144A pass-through certificates     
5.214s, 2014  590,000  581,492 
 
    7,448,448 
Utilities & Power (0.8%)     
 
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  905,000  900,727 
Appalachian Power Co. sr. notes 5.8s, 2035  510,000  485,981 
Arizona Public Services Co. notes 6 1/2s, 2012  1,040,000  1,077,278 
Atmos Energy Corp. notes 4.95s, 2014  1,125,000  1,066,254 
Beaver Valley II Funding debs. 9s, 2017  1,465,000  1,654,849 
CenterPoint Energy Houston Electric, LLC general ref.     
mtge. Ser. M2, 5 3/4s, 2014  110,000  110,904 
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011  1,060,000  1,149,451 
Cleveland Electric Illuminating Co. (The) 144A sr.     
notes Ser. D, 7.88s, 2017  550,000  642,629 
Commonwealth Edison Co. 1st mtge. Ser. 104, 5.95s, 2016  605,000  612,181 
Consolidated Natural Gas Co. sr. notes 5s, 2014  530,000  505,960 
Consumers Energy Co. 1st mtge. 5s, 2012  1,210,000  1,184,217 
Consumers Energy Co. 1st mtge. Ser. B, 5 3/8s, 2013  805,000  798,367 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013  975,000  961,974 
Dominion Resources, Inc. jr. ub. notes FRN 6.3s, 2066  3,085,000  3,088,893 
Duke Energy Field Services, LLC 144A bonds 6.45s, 2036  1,190,000  1,226,998 
Duke Energy Field Services, LLC 144A notes 5 3/8s, 2015  260,000  253,811 
Enbridge Energy Partners LP sr. notes 5.35s, 2014  555,000  533,492 
Entergy Gulf States, Inc. 1st mtge. 5 1/4s, 2015  985,000  937,042 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  515,000  531,937 
Ipalco Enterprises, Inc. sec. notes 8 3/8s, 2008  440,000  455,400 
ITC Holdings Corp. 144A notes 5 7/8s, 2016  1,090,000  1,088,878 
Kansas Gas & Electric bonds 5.647s, 2021  395,000  390,078 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012  685,000  689,145 
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036  2,410,000  2,478,292 
National Fuel Gas Co. notes 5 1/4s, 2013  545,000  535,285 
Nevada Power Co. 2nd mtge. 9s, 2013  478,000  519,131 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s,     
2015  525,000  526,537 
Northwestern Corp. sec. notes 5 7/8s, 2014  1,090,000  1,084,307 
Oncor Electric Delivery Co. debs. 7s, 2022  675,000  736,036 
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033  820,000  937,736 
PacifiCorp Sinking Fund 1st mtge. 5.45s, 2013  1,020,000  1,025,261 
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016  1,085,000  1,096,437 
Power Receivable Finance, LLC 144A sr. notes 6.29s,     
2012 (S)  1,082,313  1,091,404 
PPL Energy Supply LLC bonds Ser. A, 5.7s, 2015  640,000  633,011 
Progress Energy, Inc. sr. unsecd. notes 5 5/8s, 2016  970,000  972,464 
Public Service Co. of Colorado sr. notes Ser. A,     
6 7/8s, 2009  375,000  388,951 
Public Service Co. of New Mexico sr. notes 4.4s, 2008  570,000  559,896 
Southern California Edison Co. 1st mtge. 5s, 2014  230,000  225,250 
Southern California Edison Co. notes 6.65s, 2029  1,205,000  1,316,478 
Teco Energy, Inc. notes 7.2s, 2011  1,070,000  1,112,800 
TransAlta Corp. notes 5 3/4s, 2013 (Canada)  665,000  664,644 
Westar Energy, Inc. 1st mtge. 5.15s, 2017  75,000  71,634 
Westar Energy, Inc. 1st mtge. 5.1s, 2020  800,000  743,346 
York Power Funding 144A notes 12s, 2007 (Cayman     
Islands) (In default) (F)(NON)  157,726  13,127 
 
    37,078,473 
 
Total corporate bonds and notes (cost $213,089,382)    $213,724,675 
 
CONVERTIBLE PREFERRED STOCKS (0.3%)(a)     
  Shares  Value 
 
Hartford Financial Services Group, Inc. (The) $3.00     
cv. pfd.  70,503  $5,331,789 
Huntsman Corp. $2.50 cv. pfd.  109,061  4,171,583 
XL Capital, Ltd. $1.625 cv. pfd. (Bermuda)  245,200  5,590,560 

Total convertible preferred stocks (cost $13,812,524)        $15,093,932 
 
PURCHASED OPTIONS OUTSTANDING (--%)(a)         
 
  Expiration   
  date/strike price    Contract amount  Value 
 
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  $1,665,462 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right 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  626,038 
 
Total purchased options outstanding (cost $4,392,574)        $2,291,500 
 
MUNICIPAL BONDS AND NOTES (--%)(a)         
  Rating (RAT)    Principal amount  Value 
 
MI Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A,         
7.309s, 6/1/34      $1,005,000  $1,047,692 
NJ State Tpk. Auth. Rev. Bonds, Ser. B, AMBAC, 4.252s,         
1/1/16      600,000  567,564 
 
Total municipal bonds and notes (cost $1,586,739)        $1,615,256 
 
WARRANTS (--%)(a) (NON) (cost $0)         
  Expiration date  Strike Price  Warrants  Value 
 
Raytheon Co.  6/16/11  $37.50  29,195  $458,945 
 
 
 
PREFERRED STOCKS (--%)(a) (cost $8,700)         
      Shares  Value 
 
Ion Media Networks, Inc. 14.25% cum. pfd. (PIK)      1  $8,025 
 
 
 
SHORT-TERM INVESTMENTS (12.4%)(a)         
      Principal 
      amount/shares  Value 
 
Short-term investments held as collateral for loaned         
securities with yields ranging from 5.27% to 5.44% and         
due dates ranging from November 1, 2006 to         
December 22, 2006 (d)      $355,981,271  $354,996,482 
Putnam Prime Money Market Fund (e)      172,720,592  172,720,592 
CHARTA LLC for an effective yield of 5.31%, maturity         
date in November 1, 2006      45,000,000  45,000,000 
 
Total short-term investments (cost $572,717,074)        $572,717,074 
 
 
TOTAL INVESTMENTS         
 
Total investments (cost $4,937,952,501) (b)        $5,453,178,514 

FUTURES CONTRACTS OUTSTANDING at 10/31/06 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
 
U.S. Treasury Note 2 yr (Short)  4,210  $860,550,313  Dec-06  $(101,448) 
U.S. Treasury Note 5 yr (Long)  633  66,821,063  Dec-06  376,339 
U.S. Treasury Note 10 yr (Long)  3,734  404,088,813  Dec-06  2,694,026 
U.S. Treasury Bond 20 yr (Long)  1,386  156,141,563  Dec-06  1,280,063 
S&P 500 Index E-Mini (Long)  747  51,664,388  Dec-06  2,141,684 
Euro-Dollar 90 day (Short)  2,321  552,659,113  Dec-07  9,036 
Euro-Dollar 90 day (Long)  2,173  514,892,350  Mar-07  (368,423) 
Euro-Dollar 90 day (Long)  167  39,510,113  Dec-06  9,996 
Euro-Dollar 90 day (Long)  166  39,476,875  Sep-07  63,873 
Euro-Dollar 90 day (Long)  166  39,404,250  Dec-06  38,848 
 
Total        $6,143,994 

WRITTEN OPTIONS OUTSTANDING at 10/31/06 (premiums received $8,198,261) (Unaudited)       
  Contract  Expiration date/   
  amount  strike price  Value 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing on       
July 5, 2017.  $76,820,000  Jun 07 /4.55  $316,967 
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  937,681 
Option on an interest rate swap with Lehman Brothers International for the       
obligation 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  754,283 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing on       
July 5, 2017.  76,820,000  Jun 07 /4.55  3,658,668 
 
Total      $5,667,599 

TBA SALE COMMITMENTS OUTSTANDING at 10/31/06 (proceeds receivable $378,735,126) (Unaudited)       
  Principal  Settlement   
Agency  amount  date  Value 
 
FHLMC, 5 1/2s, November 1, 2036  $15,000,000  11/13/06  $14,838,282 
FNMA, 5 1/2s, November 1, 2036  369,750,000  11/13/06  365,388,096 
 
Total      $380,226,378 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/06 (Unaudited)       
    Payments  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.         
$700,000  9/1/15  3 month USD-LIBOR-BBA  4.53%  $(30,156) 
4,636,000  10/2/16  5.15631%  3 month USD-LIBOR-BBA  (6,710) 
53,000,000  10/21/15  4.943%  3 month USD-LIBOR-BBA  677,605 
3,720,000  6/24/15  4.39%  3 month USD-LIBOR-BBA  150,420 
3,070,000  6/23/15  4.45%  3 month USD-LIBOR-BBA  109,557 
7,440,000  6/23/15  4.466%  3 month USD-LIBOR-BBA  256,823 
20,610,000  6/17/15  4.555%  3 month USD-LIBOR-BBA  587,511 
248,000,000  5/21/07  3.95%  3 month USD-LIBOR-BBA  270,485 
84,900,000  4/6/10  4.6375%  3 month USD-LIBOR-BBA  1,069,616 
87,100,000  1/14/10  3 month USD-LIBOR-BBA  4.106%  (1,488,921) 
102,075,000  12/22/09  3.965%  3 month USD-LIBOR-BBA  2,264,790 
82,772,000  1/28/24  3 month USD-LIBOR-BBA  5.2125%  839,055 
Citibank, N.A.         
56,920,000  7/27/09  5.504%  3 month USD-LIBOR-BBA  (1,446,780) 
4,380,000  4/7/14  5.377%  3 month USD-LIBOR-BBA  (77,244) 
Credit Suisse First Boston International         
6,600,000  11/17/09  3.947%  3 month USD-LIBOR-BBA  154,405 
Credit Suisse International         
6,762,000  9/28/16  5.10886%  3 month USD-LIBOR-BBA  16,584 
3,843,000  3/21/16  3 month USD-LIBOR-BBA  5.20497%  19,502 
Goldman Sachs Capital Markets, L.P.         
4,968,000  5/3/16  5.565%  3 month USD-LIBOR-BBA  (230,699) 
13,380,000  4/7/14  5.33842%  3 month USD-LIBOR-BBA  (202,873) 
Goldman Sachs International         
4,331,000  10/19/16  5.32413%  3 month USD-LIBOR-BBA  (61,907) 
17,771,000  9/29/16  3 month USD-LIBOR-BBA  5.1275%  (17,094) 
55,949,000  9/29/08  5.085%  3 month USD-LIBOR-BBA  29,073 
JPMorgan Chase Bank, N.A.         
47,810,000  10/21/15  4.916%  3 month USD-LIBOR-BBA  703,333 
81,200,000  8/4/16  3 month USD-LIBOR-BBA  5.5195%  2,363,008 
156,100,000  8/4/08  3 month USD-LIBOR-BBA  5.40%  637,247 
10,430,000  8/2/15  3 month USD-LIBOR-BBA  4.6570%  (345,992) 
63,370,000  6/29/15  3 month USD-LIBOR-BBA  4.296%  (2,970,214) 
4,470,000  6/24/15  3 month USD-LIBOR-BBA  4.387%  187,006 
17,930,000  6/16/15  4.538%  3 month USD-LIBOR-BBA  526,430 
170,000,000  3/30/08  3 month USD-LIBOR-BBA  5.163%  (103,752) 
94,000,000  3/30/16  3 month USD-LIBOR-BBA  5.2755%  1,061,231 
61,990,000  10/10/13  5.09%  3 month USD-LIBOR-BBA  (12,243) 
44,550,000  10/10/13  5.054%  3 month USD-LIBOR-BBA  95,047 
126,500,000  3/7/15  3 month USD-LIBOR-BBA  4.798%  (2,771,327) 
20,829,000  9/28/16  3 month USD-LIBOR-BBA  5.1223%  (34,607) 
65,551,000  9/28/08  5.096%  3 month USD-LIBOR-BBA  23,888 
4,639,000  9/18/16  5.291%  3 month USD-LIBOR-BBA  (53,636) 
183,000,000  1/17/16  4.946%  3 month USD-LIBOR-BBA  181,283 
57,486,000  8/15/11  5.412%  3 month USD-LIBOR-BBA  (880,370) 
Lehman Brothers International (Europe)         
46,981,000  10/23/08  5.255%  3 month USD-LIBOR-BBA  (137,858) 
18,884,000  10/23/16  3 month USD-LIBOR-BBA  5.3275%  275,148 
267,010,000  8/3/16  5.5675%  3 month USD-LIBOR-BBA  (8,771,464) 
150,213,000  8/3/11  5.445%  3 month USD-LIBOR-BBA  (2,496,728) 
Lehman Brothers Special Financing, Inc.         

  18,884,000  10/23/16  5.325%  3 month USD-LIBOR-BBA  (271,550) 
  46,981,000  10/23/08  3 month USD-LIBOR-BBA  5.26%  142,139 
  111,090,000  9/29/13  5.0555%  3 month USD-LIBOR-BBA  198,391 
  135,710,000  9/8/16  5.3275%  3 month USD-LIBOR-BBA  (1,951,274) 
  153,985,000  8/3/08  3 month USD-LIBOR-BBA  5.425%  704,075 
Total          $(10,819,747) 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/06 (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  The spread  $26,600 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index     
 
Deutsche Bank AG London         
16,150,000  11/1/06  5 bp plus  The spread  24,675 
    nominal spread  return of Lehman   
    of Lehman  Brothers AAA   
    Brothers AAA  8.5+ CMBS Index   
    8.5+ Commercial  adjusted by   
    Mortgage Backed  modified   
    Securities Index  duration factor   
 
Goldman Sachs Capital Markets, L.P.         
15,120,000  11/1/06  5 bp plus change  The spread  22,861 
    in spread  return of Lehman   
    of Lehman  Brothers AAA   
    Brothers AAA  8.5+ CMBS Index   
    8.5+ Commercial  adjusted by   
    Mortgage Backed  modified   
    Securities Index  duration factor   
    multiplied by     
    the modified     
    duration factor     
 
Goldman Sachs International         
3,843,000  9/15/11  678 bp (1 month  Ford Credit Auto  9,250 
    USD-LIBOR)  Owner Trust   
      Series 2005-B   
      Class D   
 
71,700,000  12/1/06  5 bp plus change  The spread  258,694 
    in spread  return of Lehman   
    of Lehman  Brothers Aaa   
    Brothers Aaa  8.5+ CMBS Index   
    8.5+ Commercial  adjusted by   
    Mortgage Backed  modified   
    Securities Index  duration factor   
    multiplied by     
    the modified     
    duration factor     
 
Total        $342,080 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 10/31/06 (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.           
L-3 Communications           
Corp. 7 5/8%, 6/15/12  $--  $735,000  9/20/11  (111 bp)  $(6,707) 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  295,000  6/20/11  (101 bp)  (1,917) 
 
Waste Management,           
7.375%, 8/1/10  --  1,140,000  9/20/12  64 bp  14,805 
 
Deutsche Bank AG           
DJ CDX NA IG Series 7  (1)  3,591,000  12/20/13  (50 bp)  (12,620) 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  3,591,000  12/20/13  55 bp  20,705 
 
France Telecom, 7.25%,           
1/28/13  --  1,870,000  6/20/16  70 bp  12,803 
 
Goldman Sachs Capital Markets, L.P.           
Noble Energy, Inc., 8%,           
4/1/27  --  1,145,000  6/20/13  60 bp  (1,936) 
 
Goldman Sachs International           
Any one of the           
underlying securities           
in the basket of BB           
CMBS securities  --  8,582,000  (a)  2.461%  744,443 
 
DJ CDX NA IG Series 6           
Index  --  5,974,000  6/20/13  55 bp  49,833 
 
DJ CDX NA IG Series 6           
Index  2,562  5,974,000  6/20/13  (50 bp)  (21,680) 
 
DJ CDX NA IG Series 7           
Index  (22,000)  192,305,000  12/20/11  (40 bp)  (547,692) 
 
DJ CDX NA IG Series 7           
Index  (2)  5,989,000  12/20/13  (50 bp)  (20,899) 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  5,989,000  12/20/13  56 bp  37,911 
 
Lehman Brothers Special Financing, Inc.           
DJ CDX NA IG Series 7           
Index  3,381  5,700,000  12/20/13  (50 bp)  (16,140) 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  5,700,000  12/20/13  54.37 bp  29,800 
 
Hilton Hotels, 7 5/8%,           
12/1/12  --  1,465,000  6/20/13  94 bp  (22,419) 
 
Morgan Stanley Capital Services, Inc.           
DJ CDX NA IG Series 7           
Index  3,692  6,218,000  12/20/13  (50 bp)  (17,841) 
 
DJ CDX NA IG Series 7           
Index, 7-10% tranche  --  6,218,000  12/20/13  53 bp  27,706 
 
Total          $268,155 

* 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 $4,636,523,911.

(RAT) The Moody's or Standard & Poor's ratings indicated are believed to be the most recent ratings available at October 31, 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 October 31, 2006. Securities rated by Putnam are indicated by "/P". Securities rated by Fitch are indicated by "/F". Security ratings are defined in the Statement of Additional Information.

(b) The aggregate identified cost on a tax basis is $4,970,584,126, resulting in gross unrealized appreciation and depreciation of $558,923,501 and $76,329,113, respectively, or net unrealized appreciation of $482,594,388.

(NON) Non-income-producing security.

(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 and written options at October 31, 2006.

(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 October 31, 2006 the value of securities loaned amounted to $344,393,372. Certain of these securities were sold prior to year/period-end. The fund received cash collateral of $354,996,482 which is pooled with collateral of other Putnam funds into 42 issues of high-grade, short-term investments.

(e) 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. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. 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 $33,863 for the period ended October 31, 2006. During the period ended October 31, 2006, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $68,812,600 and $344,111,919, respectively.

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

(R) Real Estate Investment Trust.

(S) Securities on loan, in part or in entirety, at October 31, 2006.

(SN) The securities noted above were purchased during the period for an aggregate cost of $3,466,531. During the period, questions arose regarding a potential misidentification of the characteristics of these securities. As a result of initial inquiries into the matter, the values of these securities were adjusted. As of October 31, 2006, the aggregate values of these securities totaled $2,829,218. The positions in two of the nine holdings, Countrywide Home Loans 144A, IFB Ser. 05-R3, Class AS, IO, 0.699s, 2035 and GSMPS Mortgage Loan Trust 144A, IFB Ser. 05-RPI, Class 1AS, IO, 0.898s, 2035, subsequently were sold for $196,462 and $233,424, respectively. An investigation of the facts surrounding the acquisition and valuation of these securities is currently underway to determine whether the fund may have claims against other parties in this regard (Note 1).

At October 31, 2006, liquid assets totaling $364,048,616 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 under the Securities Act of 1933, as amended. 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 October 31, 2006.

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

AMBAC represents AMBAC Indemnity Corporation

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 October 31, 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 equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Certain investments, including certain restricted securities, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.

Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the market value of which at the time of purchase is required to be an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest.

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

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

The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying

instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the 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. Certain total return swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the 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. Certain interest rate swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the 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. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. 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: December 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: December 28, 2006

By (Signature and Title):

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