N-Q 1 a_georgeputnam.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- 00058)  
 
Exact name of registrant as specified in charter: The George Putnam Fund of Boston
 
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
 
Name and address of agent for service:   Beth S. Mazor, Vice President
  One Post Office Square
   Boston, Massachusetts 02109
 
Copy to:   John W. Gerstmayr, Esq.
  Ropes & Gray LLP
  One International Place
  Boston, Massachusetts 02110
 
Registrant’s telephone number, including area code: (617) 292-1000
 
Date of fiscal year end: July 31, 2008    
 
Date of reporting period: April 30, 2008    

Item 1. Schedule of Investments:

The George Putnam Fund of Boston
The fund's portfolio
4/30/08 (Unaudited)

COMMON STOCKS (53.3%)(a)    
  Shares Value
Basic Materials (3.3%)    
Cytec Industries, Inc. 91,600 $5,405,316
Dow Chemical Co. (The) (S) 194,500 7,809,175
E.I. du Pont de Nemours & Co. 163,200 7,982,112
Freeport-McMoRan Copper & Gold, Inc. Class B 148,692 16,913,715
Lubrizol Corp. (The) 156,700 9,138,744
Nucor Corp. (S) 177,200 13,378,600
Packaging Corp. of America 273,800 6,018,124
PPG Industries, Inc. 199,600 12,249,452
Reliance Steel & Aluminum Co. 106,300 6,460,914
Southern Copper Corp. 58,800 6,747,888
Terra Industries, Inc. (NON) (S) 217,000 8,215,620
United States Steel Corp. (S) 62,500 9,621,875
    109,941,535
 
Capital Goods (3.7%)    
Ball Corp. 98,400 5,291,952
Boeing Co. (The) 198,600 16,853,196
Caterpillar, Inc. 230,700 18,889,716
Cummins, Inc. 82,400 5,162,360
Eaton Corp. 21,700 1,906,128
Gardner Denver, Inc. (NON) 183,100 8,504,995
General Dynamics Corp. 76,100 6,880,962
L-3 Communications Holdings, Inc. 84,500 9,417,525
Lockheed Martin Corp. 81,500 8,642,260
Northrop Grumman Corp. 200,100 14,721,357
Precision Castparts Corp. 50,700 5,960,292
Raytheon Co. 176,200 11,271,514
Roper Industries, Inc. 32,300 2,006,476
Teleflex, Inc. 33,500 1,845,515
Waste Management, Inc. 86,200 3,111,820
WESCO International, Inc. (NON) 148,200 5,514,522
    125,980,590
 
Communication Services (3.9%)    
AT&T, Inc. (SEG) 1,695,182 65,620,495
CenturyTel, Inc. 279,300 9,063,285
Embarq Corp. 124,200 5,162,994
NeuStar, Inc. Class A (NON) 215,700 5,933,907
Sprint Nextel Corp. (S) 924,100 7,383,559
Verizon Communications, Inc. 987,400 37,995,152
    131,159,392
 
Conglomerates (3.3%)    
General Electric Co. 2,892,600 94,588,020
Honeywell International, Inc. 268,300 15,937,020
    110,525,040
 
Consumer Cyclicals (2.9%)    
Amazon.com, Inc. (NON) (S) 69,600 5,472,648
AutoZone, Inc. (NON) 16,900 2,040,675
Big Lots, Inc. (NON) 362,300 9,792,969
Black & Decker Manufacturing Co. (S) 46,500 3,051,795
Carnival Corp. (S) 152,800 6,137,976
Clear Channel Communications, Inc. 79,400 2,393,910
Deluxe Corp. 99,900 2,123,874
GameStop Corp. (NON) 101,900 5,608,576
Gap, Inc. (The) (S) 145,100 2,701,762
JC Penney Co., Inc. (Holding Co.) 64,500 2,741,250
Lennar Corp. (S) 357,700 6,588,834
Lowe's Cos., Inc. (S) 258,000 6,499,020
Macy's, Inc. 205,500 5,197,095
Nordstrom, Inc. (S) 89,800 3,166,348
NVR, Inc. (NON) (S) 14,256 8,746,056
R. H. Donnelley Corp. (NON) (S) 403,400 1,932,286
RadioShack Corp. (S) 135,200 1,879,280
Regal Entertainment Group Class A (S) 642,700 12,185,592
Whirlpool Corp. (S) 110,600 8,049,468
    96,309,414
 
Consumer Staples (5.3%)    
Altria Group, Inc. (SEG) 332,400 6,648,000
American Greetings Corp. Class A 261,800 4,686,220
Blyth Industries, Inc. 164,552 2,771,056
Clorox Co. 106,800 5,660,400
Corn Products International, Inc. 85,700 3,974,766
Darden Restaurants, Inc. 165,100 5,874,258
Energizer Holdings, Inc. (NON) (S) 17,500 1,383,550
General Mills, Inc. (S) 226,100 13,656,440
H.J. Heinz Co. 55,700 2,619,571
ITT Educational Services, Inc. (NON) 113,400 8,693,244
JM Smucker Co. (The) 120,000 5,985,600
Kimberly-Clark Corp. 70,000 4,479,300
Kraft Foods, Inc. Class A 160,443 5,074,812
Kroger Co. 204,100 5,561,725
Loews Corp. - Carolina Group 66,700 4,380,189
McDonald's Corp. 58,500 3,485,430

MPS Group, Inc. (NON) (S) 191,700 2,056,941
Newell Rubbermaid, Inc. 311,800 6,401,254
Pepsi Bottling Group, Inc. (The) 374,100 12,610,911
Philip Morris International, Inc. (NON) 332,400 16,962,372
Procter & Gamble Co. (The) 354,500 23,769,225
Robert Half International, Inc. (S) 252,600 5,986,620
Ruby Tuesday, Inc. (S) 507,900 4,322,229
SYSCO Corp. 63,800 1,950,366
Tyson Foods, Inc. Class A 334,600 5,955,880
Universal Corp. (S) 120,100 7,709,219
Walt Disney Co. (The) 240,300 7,792,929
    180,452,507
 
Energy (3.0%)    
Chevron Corp. (S) 240,700 23,143,305
ConocoPhillips 195,100 16,807,865
Exxon Mobil Corp. 88,800 8,264,616
Frontier Oil Corp. 130,000 3,230,500
Global Industries, Ltd. (NON) (S) 287,900 4,594,884
Hess Corp. (S) 103,300 10,970,460
Marathon Oil Corp. 149,700 6,821,829
National-Oilwell Varco, Inc. (NON) 81,100 5,551,295
Sunoco, Inc. 54,100 2,510,781
Tesoro Corp. 102,000 2,564,280
Valero Energy Corp. 348,200 17,009,570
    101,469,385
 
Financial (14.3%)    
Allied World Assurance Company Holdings, Ltd. (Bermuda) 126,400 5,211,472
Allstate Corp. (The) 225,915 11,377,079
American International Group, Inc. 88,300 4,079,460
Assurant, Inc. 49,415 3,211,975
Axis Capital Holdings, Ltd. (Bermuda) 299,288 10,148,856
Bank of America Corp. 1,405,000 52,743,700
Bank of New York Mellon Corp. (The) 77,996 3,395,166
BB&T Corp. 128,900 4,419,981
CB Richard Ellis Group, Inc. Class A (NON) 268,800 6,214,656
CBL & Associates Properties (R) 344,000 8,424,560
Chubb Corp. (The) 148,300 7,855,451
Citigroup, Inc. (SEG) 2,003,200 50,620,864
Endurance Specialty Holdings, Ltd. (Bermuda) 152,200 5,651,186
Everest Re Group, Ltd. (Bermuda) 39,500 3,568,825
Freddie Mac 633,075 15,769,898
General Growth Properties, Inc. (R) 61,000 2,498,560
Goldman Sachs Group, Inc. (The) 81,003 15,501,544
Hartford Financial Services Group, Inc. (The) 44,754 3,189,618
Hospitality Properties Trust (R) 103,700 3,331,881
HRPT Properties Trust (R) 340,000 2,356,200
Jones Lang LaSalle, Inc. 88,700 6,884,007
JPMorgan Chase & Co. 1,335,151 63,619,945
KeyCorp 421,500 10,170,795
Lehman Brothers Holdings, Inc. 240,795 10,652,771
Marshall & Ilsley Corp. 327,499 8,180,925
Merrill Lynch & Co., Inc. 318,491 15,870,407
Morgan Stanley 434,162 21,100,273
National City Corp. 269,400 1,697,220
PNC Financial Services Group 139,321 9,661,911
ProLogis Trust (R) 97,600 6,110,736
RenaissanceRe Holdings, Ltd. (Bermuda) 219,000 11,265,360
SunTrust Banks, Inc. (S) 37,400 2,085,050
Travelers Cos., Inc. (The) 158,200 7,973,280
U.S. Bancorp 289,499 9,811,121
W.R. Berkley Corp. 172,000 4,418,680
Wachovia Corp. 947,200 27,610,880
Washington Mutual, Inc. 123,000 1,511,670
Wells Fargo & Co. 1,026,800 30,547,300
XL Capital, Ltd. Class A (Bermuda) (S) 182,900 6,381,381
Zions Bancorp. (S) 117,200 5,432,220
    480,556,864
 
Health Care (5.1%)    
Aetna, Inc. 101,600 4,429,760
AmerisourceBergen Corp. 263,900 10,701,145
Apria Healthcare Group, Inc. (NON) 159,700 2,813,914
Baxter International, Inc. 140,600 8,762,192
Boston Scientific Corp. (NON) 253,900 3,384,487
Bristol-Myers Squibb Co. 158,700 3,486,639
Coventry Health Care, Inc. (NON) (S) 111,100 4,969,503
Covidien, Ltd. 257,312 12,013,897
DaVita, Inc. (NON) 99,300 5,204,313
Endo Pharmaceuticals Holdings, Inc. (NON) (S) 218,500 5,425,355
Express Scripts, Inc. (NON) 67,800 4,747,356
Humana, Inc. (NON) 102,300 4,888,917
King Pharmaceuticals, Inc. (NON) 659,100 6,188,949
McKesson Corp. 283,200 14,760,384
Medco Health Solutions, Inc. (NON) 140,400 6,955,416
Merck & Co., Inc. 411,900 15,668,676
Par Pharmaceutical Cos., Inc. 132,700 2,262,535
Pfizer, Inc. 1,930,900 38,830,399
UnitedHealth Group, Inc. 76,700 2,502,721
WellPoint, Inc. (NON) 264,200 13,143,950
    171,140,508
 
Technology (5.3%)    
Accenture, Ltd. Class A (Bermuda) 486,400 18,264,320

Apple Computer, Inc. (NON) 13,200 2,296,140
Applied Materials, Inc. 685,300 12,787,698
Arrow Electronics, Inc. (NON) 120,900 3,289,689
Atmel Corp. (NON) 1,320,300 4,911,516
Avnet, Inc. (NON) (S) 116,100 3,040,659
BMC Software, Inc. (NON) 57,000 1,981,320
Computer Sciences Corp. (NON) 38,000 1,656,420
Dell, Inc. (NON) (S) 250,300 4,663,089
DST Systems, Inc. (NON) (S) 70,600 4,224,704
eBay, Inc. (NON) 148,600 4,649,694
Fidelity National Information Services, Inc. 177,000 6,382,620
Harris Corp. 55,600 3,004,068
Hewlett-Packard Co. 689,900 31,976,865
IBM Corp. 176,300 21,279,410
Intel Corp. 912,700 20,316,702
Oracle Corp. (NON) 282,900 5,898,465
SanDisk Corp. (NON) (S) 252,200 6,832,098
Seagate Technology (Cayman Islands) 217,500 4,104,225
Thermo Electron Corp. (NON) 223,400 12,928,158
Xerox Corp. 397,900 5,558,663
    180,046,523
 
Transportation (0.4%)    
AMR Corp. (NON) (S) 404,600 3,548,342
UAL Corp. (S) 131,100 1,953,390
Union Pacific Corp. 15,300 2,221,407
US Airways Group, Inc. (NON) (S) 791,900 6,802,421
    14,525,560
 
Utilities & Power (2.8%)    
Atmos Energy Corp. 221,500 6,131,120
Black Hills Corp. 127,300 4,965,973
Dominion Resources, Inc. (S) 50,200 2,178,178
DTE Energy Co. (S) 119,300 4,808,983
Duke Energy Corp. 303,500 5,557,085
Edison International 273,300 14,258,061
Energen Corp. 93,500 6,380,440
Entergy Corp. 45,300 5,203,158
FirstEnergy Corp. 116,500 8,812,060
FPL Group, Inc. 79,700 5,283,313
PG&E Corp. 321,950 12,878,000
Sempra Energy 76,600 4,340,922
Southern Union Co. 173,300 4,439,946
Wisconsin Energy Corp. 194,700 9,240,462
    94,477,701
Total common stocks (cost $1,791,802,369)   $1,796,585,019
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (52.1%)(a)    
  Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (1.0%)    
Government National Mortgage Association Pass-Through    
Certificates    
6 1/2s, with due dates from January 20, 2034 to    
November 20, 2037 $31,146,650 $32,406,828
 
 
U.S. Government Agency Mortgage Obligations (51.1%)    
Federal Home Loan Mortgage Corporation    
8 3/4s, with due dates from May 1, 2009 to June 1, 2009 26,162 26,550
Federal Home Loan Mortgage Corporation Pass-Through    
Certificates    
6s, March 1, 2035 24,863 25,566
5 1/2s, June 1, 2035 2,086,809 2,104,828
5 1/2s, July 1, 2016 312,890 318,941
Federal National Mortgage Association Pass-Through    
Certificates    
9s, with due dates from January 1, 2027 to    
April 1, 2032 202,757 225,763
8s, with due dates from August 1, 2026 to March 1, 2033 758,684 783,076
7 1/2s, with due dates from August 1, 2028 to    
July 1, 2033 497,506 529,084
7s, with due dates from February 1, 2033 to    
January 1, 2036 3,527,710 3,729,063
7s, with due dates from July 1, 2014 to    
December 1, 2014 546,252 568,429
6 1/2s, with due dates from June 1, 2036 to    
December 1, 2037 4,303,196 4,458,849
6 1/2s, with due dates from September 1, 2010 to    
May 1, 2011 72,005 74,960
6 1/2s, TBA, June 1, 2038 21,000,000 21,682,500
6 1/2s, TBA, May 1, 2038 46,000,000 47,603,691
6s, with due dates from May 1, 2036 to    
September 1, 2037 14,473,783 14,813,928
6s, with due dates from October 1, 2011 to    
September 1, 2021 1,161,509 1,197,321
6s, TBA, May 1, 2038 58,000,000 59,277,810
5 1/2s, with due dates from January 1, 2037 to    
December 1, 2037 21,824,766 21,968,020
5 1/2s, with due dates from November 1, 2020 to    
October 1, 2022 57,810,485 58,998,764
5 1/2s, TBA, June 1, 2038 531,000,000 532,431,204
5 1/2s, TBA, May 1, 2038 879,000,000 883,532,300
5s, with due dates from April 1, 2021 to June 1, 2021 308,226 310,742
5s, TBA, May 1, 2038 7,000,000 6,878,593
4 1/2s, with due dates from July 1, 2020 to    

October 1, 2022 59,289,202 58,768,198
4s, with due dates from May 1, 2019 to August 1, 2020 714,608 690,410
    1,720,998,590
Total U.S. government and agency mortgage obligations (cost $1,744,882,080)   $1,753,405,418
 
COLLATERALIZED MORTGAGE OBLIGATIONS (23.2%)(a)    
  Principal amount Value
Adjustable Rate Mortgage Trust FRB Ser. 04-5,    
Class 3A1, 4.943s, 2035 $2,756,666 $2,515,458
Asset Backed Funding Certificates 144A FRB Ser.    
06-OPT3, Class B, 5.395s, 2036 157,000 9,441
Asset Securitization Corp.    
Ser. 96-MD6, Class A7, 8.631s, 2029 1,562,688 1,626,060
FRB Ser. 97-D5, Class A5, 6.934s, 2043 325,000 328,181
Banc of America Commercial Mortgage, Inc.    
Ser. 01-1, Class G, 7.324s, 2036 950,000 960,893
FRB Ser. 07-3, Class A3, 5.659s, 2049 1,200,000 1,107,834
Ser. 07-2, Class A2, 5.634s, 2049 1,198,000 1,196,275
Ser. 06-4, Class A2, 5.522s, 2046 6,770,000 6,752,301
Ser. 04-3, Class A5, 5.493s, 2039 4,690,000 4,676,446
FRB Ser. 05-1, Class A5, 5.08s, 2042 252,000 242,415
Ser. 05-6, Class A2, 5.165s, 2047 675,000 665,581
Ser. 07-5, Class XW, Interest Only (IO), 0.608s, 2051 33,980,702 830,842
Ser. 07-1, Class XW, IO, 0.465s, 2049 17,074,446 276,945
Ser. 06-1, Class XC, IO, 0.076s, 2045 40,736,207 221,856
Banc of America Commercial Mortgage, Inc. 144A    
Ser. 01-PB1, Class K, 6.15s, 2035 715,000 630,790
Ser. 02-PB2, Class XC, IO, 0.219s, 2035 9,132,798 151,604
Ser. 04-4, Class XC, IO, 0.167s, 2042 30,263,428 390,184
Ser. 04-5, Class XC, IO, 0.147s, 2041 48,787,014 532,391
Ser. 05-1, Class XW, IO, 0.144s, 2042 243,621,417 698,509
Ser. 05-4, Class XC, IO, 0.092s, 2045 82,108,171 459,129
Ser. 06-4, Class XC, IO, 0.088s, 2046 49,782,349 472,932
Ser. 06-5, Class XC, IO, 0.07s, 2016 100,181,124 1,136,233
Banc of America Funding Corp. Ser. 07-4, Class 4A2,    
IO, 5 1/2s, 2034 (F) 1,290,111 226,209
Banc of America Large Loan    
FRB Ser. 04-BBA4, Class H, 3.666s, 2018 142,000 137,030
FRB Ser. 04-BBA4, Class G, 3.416s, 2018 449,000 435,530
Banc of America Large Loan 144A    
FRB Ser. 05-MIB1, Class K, 4.716s, 2022 496,000 401,760
FRB Ser. 05-MIB1, Class J, 3.766s, 2022 1,400,000 1,134,000
Banc of America Mortgage Securities    
FRB Ser. 03-F, Class 2A1, 3.745s, 2033 416,814 388,679
Ser. 04-D, Class 2A, IO, 0.31s, 2034 11,820,883 14,717
Ser. 05-E, Class 2, IO, 0.303s, 2035 31,284,978 115,967
Banc of America Structured Security Trust 144A Ser.    
02-X1, Class A3, 5.436s, 2033 1,554,009 1,539,680
Bayview Commercial Asset Trust 144A    
FRB Ser. 05-1A, Class A1, 3.195s, 2035 (F) 1,165,361 1,034,486
Ser. 04-2, IO, 1.72s, 2034 (F) 4,987,916 237,895
Ser. 05-3A, IO, 1.6s, 2035 15,160,859 1,044,724
Ser. 05-1A, IO, 1.6s, 2035 (F) 5,043,999 295,008
Ser. 04-3, IO, 1.6s, 2035 (F) 3,343,649 160,517
Ser. 07-5A, IO, 1.55s, 2037 (F) 13,373,058 1,807,286
Ser. 07-2A, IO, 1.3s, 2037 (F) 15,181,694 1,701,107
Ser. 07-1, Class S, IO, 1.211s, 2037 (F) 13,238,371 1,423,022
Ser. 06-4A, IO, 1.14s, 2036 2,135,923 241,453
Ser. 06-2A, IO, 0.879s, 2036 2,822,834 231,254
Bear Stearns Alternate Trust Ser. 04-9, Class 1A1,    
6.892s, 2034 161,825 145,602
Bear Stearns Commercial Mortgage Securities, Inc.    
FRB Ser. 00-WF2, Class F, 8.188s, 2032 456,000 431,954
Ser. 07-PW17, Class A3, 5.736s, 2050 14,895,000 14,569,246
Ser. 04-PR3I, Class X1, IO, 0.456s, 2041 14,352,727 228,438
Ser. 05-PWR9, Class X1, IO, 0.109s, 2042 40,795,523 320,359
Bear Stearns Commercial Mortgage Securities, Inc. 144A    
Ser. 06-PW14, Class XW, IO, 0.883s, 2038 18,141,967 694,696
Ser. 06-PW14, Class X1, IO, 0.091s, 2038 19,510,066 271,680
Ser. 07-PW15, Class X1, IO, 0.078s, 2044 64,317,677 619,727
Ser. 05-PW10, Class X1, IO, 0.032s, 2040 63,309,341 215,011
Ser. 07-PW16, Class X, IO, 0.032s, 2040 143,679,602 134,700
Bear Stearns Small Balance Commercial Trust 144A Ser.    
06-1A, Class AIO, IO, 1s, 2034 7,445,600 101,126
Chase Commercial Mortgage Securities Corp. Ser. 00-3,    
Class A2, 7.319s, 2032 550,441 571,001
Chase Commercial Mortgage Securities Corp. 144A    
Ser. 98-1, Class F, 6.56s, 2030 4,600,000 4,258,256
Ser. 98-1, Class G, 6.56s, 2030 1,171,000 1,124,082
Ser. 98-1, Class H, 6.34s, 2030 1,761,000 1,625,444
Citigroup Ser. 08-C7, Class A2A, 6.034s, 2012 (F) 105,000 104,012
Citigroup Commercial Mortgage Trust Ser. 08-C7,    
Class A3, 6.095s, 2014 (F) 190,000 184,508
Citigroup Commercial Mortgage Trust 144A    
Ser. 05-C3, Class XC, IO, 0.122s, 2043 (F) 115,894,081 1,019,169
Ser. 06-C5, Class XC, IO, 0.068s, 2049 (F) 122,919,060 1,329,004
Citigroup Mortgage Loan Trust, Inc. IFB Ser. 07-6,    
Class 2A5, IO, 3.755s, 2037 4,599,064 321,597
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser.    
06-CD3, Class A4, 5.658s, 2048 759,000 732,971
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A    
Ser. 07-CD4, Class XW, IO, 0.56s, 2049 (F) 26,670,242 562,895
Ser. 06-CD2, Class X, IO, 0.128s, 2046 76,242,120 318,788
Ser. 07-CD4, Class XC, IO, 0.058s, 2049 (F) 89,188,324 687,207
Commercial Mortgage Acceptance Corp. 144A    
Ser. 98-C1, Class F, 6.23s, 2031 2,013,000 2,027,842

Ser. 98-C2, Class F, 5.44s, 2030 3,255,000 3,163,040
Commercial Mortgage Loan Trust Ser. 08-LS1, Class A4B,    
6.221s, 2017 1,806,000 1,771,020
Commercial Mortgage Pass-Through Certificates 144A    
Ser. 06-CN2A, Class H, 5.756s, 2019 939,000 794,245
Ser. 06-CN2A, Class J, 5.756s, 2019 751,000 620,313
FRB Ser. 01-J2A, Class A2F, 3.213s, 2034 (F) 1,590,000 1,382,852
Ser. 03-LB1A, Class X1, IO, 0.514s, 2038 8,593,390 319,906
Ser. 05-LP5, Class XC, IO, 0.093s, 2043 71,050,537 559,109
Ser. 06-C8, Class XS, IO, 0.062s, 2046 57,532,206 553,635
Ser. 05-C6, Class XC, IO, 0.059s, 2044 66,883,245 359,172
Countrywide Alternative Loan Trust    
IFB Ser. 04-2CB, Class 1A5, IO, 4.705s, 2034 103,794 5,449
Ser. 05-24, Class 1AX, IO, 1.209s, 2035 10,579,675 186,128
Countrywide Home Loans    
Ser. 05-9, Class 1X, IO, 3.781s, 2035 8,917,043 183,063
Ser. 05-2, Class 2X, IO, 1.16s, 2035 8,861,110 174,405
Countrywide Home Loans 144A    
IFB Ser. 05-R2, Class 2A3, 8s, 2035 975,998 1,052,418
IFB Ser. 05-R1, Class 1AS, IO, 3.395s, 2035 7,069,139 489,931
IFB Ser. 05-R2, Class 1AS, IO, 3.034s, 2035 6,745,834 380,434
Credit Suisse Mortgage Capital Certificates    
FRB Ser. 07-C4, Class A2, 5.811s, 2039 4,505,000 4,516,055
Ser. 06-C5, Class AX, IO, 0.11s, 2039 36,636,694 506,832
Credit Suisse Mortgage Capital Certificates 144A    
Ser. 07-C2, Class AX, IO, 0.28s, 2049 121,891,259 1,053,872
Ser. 06-C4, Class AX, IO, 0.105s, 2039 76,688,410 998,361
Ser. 07-C1, Class AX, IO, 0.084s, 2040 80,640,341 701,732
Ser. 06-C3, Class AX, IO, 0.032s, 2038 102,717,318 30,815
CRESI Finance Limited Partnership 144A    
FRB Ser. 06-A, Class D, 3.695s, 2017 232,000 209,960
FRB Ser. 06-A, Class C, 3.495s, 2017 688,000 626,080
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,    
Class B, 7s, 2033 2,610,407 2,610,407
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D,    
5.612s, 2035 2,903,000 2,742,377
CS First Boston Mortgage Securities Corp.    
Ser. 97-C2, Class F, 7.46s, 2035 1,239,000 1,329,127
Ser. 04-C2, Class A2, 5.416s, 2036 5,070,000 5,087,390
FRB Ser. 04-C3, Class A5, 5.113s, 2036 92,000 90,740
Ser. 04-C3, Class A3, 4.302s, 2036 196,000 194,544
CS First Boston Mortgage Securities Corp. 144A    
FRB Ser. 05-TFLA, Class J, 3.666s, 2020 259,000 236,985
FRB Ser. 04-TF2A, Class J, 3.666s, 2016 313,000 287,960
FRB Ser. 05-TF2A, Class J, 3.616s, 2020 407,807 385,378
FRB Ser. 04-TF2A, Class H, 3.416s, 2019 627,000 583,110
Ser. 01-CK1, Class AY, IO, 0.892s, 2035 65,724,067 1,012,808
Ser. 03-C3, Class AX, IO, 0.595s, 2038 54,797,435 1,962,821
Ser. 02-CP3, Class AX, IO, 0.396s, 2035 20,670,134 716,326
Ser. 04-C4, Class AX, IO, 0.281s, 2039 11,590,982 225,248
Ser. 05-C2, Class AX, IO, 0.147s, 2037 75,465,132 964,746
DLJ Commercial Mortgage Corp.    
Ser. 00-CF1, Class A1B, 7.62s, 2033 2,139,610 2,203,371
Ser. 99-CG2, Class B3, 6.1s, 2032 1,752,000 1,750,326
Ser. 99-CG2, Class B4, 6.1s, 2032 2,785,000 2,737,934
Ser. 98-CF2, Class B3, 6.04s, 2031 814,188 818,617
Fannie Mae    
IFB Ser. 06-70, Class SM, 30.218s, 2036 349,313 456,656
IFB Ser. 07-75, Class JS, 29.2s, 2037 2,227,640 3,093,847
IFB Ser. 07-80, Class AS, 26.2s, 2037 920,787 1,201,912
IFB Ser. 07-1, Class NR, 25.498s, 2037 74,408 86,109
IFB Ser. 07-75, Class CS, 25.235s, 2037 1,466,253 2,029,880
IFB Ser. 06-62, Class PS, 22.53s, 2036 1,392,639 1,825,652
IFB Ser. 07-60, Class SB, 22.23s, 2037 786,026 969,012
IFB Ser. 06-76, Class QB, 22.23s, 2036 1,500,349 1,966,734
IFB Ser. 06-48, Class TQ, 22.23s, 2036 2,753,149 3,511,264
IFB Ser. 06-63, Class SP, 21.93s, 2036 1,640,640 2,124,349
IFB Ser. 07-W7, Class 1A4, 21.81s, 2037 1,461,113 1,801,148
IFB Ser. 07-81, Class SC, 20.43s, 2037 1,278,682 1,554,333
IFB Ser. 07-1, Class NK, 19.828s, 2037 3,718,531 4,722,496
IFB Ser. 06-104, Class GS, 19.61s, 2036 990,658 1,234,686
IFB Ser. 06-104, Class ES, 18.975s, 2036 1,855,641 2,305,546
IFB Ser. 05-37, Class SU, 17.62s, 2035 2,303,439 2,791,004
IFB Ser. 06-49, Class SE, 17.42s, 2036 2,427,648 2,888,304
IFB Ser. 06-60, Class AK, 17.22s, 2036 1,178,204 1,407,756
IFB Ser. 06-60, Class TK, 17.02s, 2036 780,081 923,071
IFB Ser. 06-104, Class CS, 16.673s, 2036 2,018,782 2,320,088
IFB Ser. 07-30, Class FS, 16.419s, 2037 3,730,097 4,338,688
IFB Ser. 07-96, Class AS, 15.675s, 2037 1,817,412 2,025,214
IFB Ser. 05-25, Class PS, 15.422s, 2035 78,278 90,968
IFB Ser. 06-115, Class ES, 14.98s, 2036 1,537,297 1,805,713
IFB Ser. 06-8, Class PK, 14.82s, 2036 2,657,258 2,960,833
IFB Ser. 05-57, Class CD, 14.269s, 2035 1,211,533 1,370,923
IFB Ser. 05-74, Class CP, 14.135s, 2035 1,405,480 1,635,951
IFB Ser. 05-115, Class NQ, 14.081s, 2036 784,952 866,884
IFB Ser. 06-27, Class SP, 13.952s, 2036 2,117,314 2,423,716
IFB Ser. 06-8, Class HP, 13.952s, 2036 2,231,276 2,550,399
IFB Ser. 06-8, Class WK, 13.952s, 2036 3,560,030 4,037,131
IFB Ser. 05-106, Class US, 13.952s, 2035 3,371,884 3,871,068
IFB Ser. 05-99, Class SA, 13.952s, 2035 1,658,502 1,863,717
IFB Ser. 05-45, Class DA, 13.805s, 2035 2,667,263 3,031,258
IFB Ser. 05-74, Class DM, 13.768s, 2035 3,242,500 3,717,332
IFB Ser. 05-45, Class DC, 13.695s, 2035 2,080,436 2,356,557
IFB Ser. 06-60, Class CS, 13.475s, 2036 755,778 808,843
IFB Ser. 05-57, Class DC, 12.366s, 2034 2,053,029 2,268,201
IFB Ser. 05-74, Class SK, 12.169s, 2035 2,590,521 2,866,884
IFB Ser. 05-74, Class CS, 12.059s, 2035 1,602,867 1,787,672

IFB Ser. 05-114, Class SP, 11.619s, 2036 977,866 1,034,612
IFB Ser. 05-45, Class PC, 11.565s, 2034 1,082,496 1,181,428
IFB Ser. 05-95, Class OP, 11.413s, 2035 1,000,377 1,051,124
IFB Ser. 05-95, Class CP, 11.274s, 2035 247,263 273,377
IFB Ser. 05-106, Class JC, 11.147s, 2035 690,143 709,054
Ser. 03-W6, Class PT1, 10.029s, 2042 206,369 235,009
IFB Ser. 05-83, Class QP, 9.867s, 2034 568,681 581,963
IFB Ser. 05-72, Class SB, 9.638s, 2035 1,642,123 1,691,572
Ser. 02-T12, Class A4, 9 1/2s, 2042 184,720 201,074
Ser. 02-T4, Class A4, 9 1/2s, 2041 1,014,694 1,135,689
Ser. 02-T6, Class A3, 9 1/2s, 2041 371,303 405,093
Ser. 04-T3, Class PT1, 8.967s, 2044 540,899 602,933
Ser. 02-26, Class A2, 7 1/2s, 2048 1,710,322 1,844,388
Ser. 04-T3, Class 1A4, 7 1/2s, 2044 49,878 54,061
Ser. 04-T2, Class 1A4, 7 1/2s, 2043 776,762 841,800
Ser. 03-W1, Class 2A, 7 1/2s, 2042 1,512,434 1,630,001
Ser. 02-T19, Class A3, 7 1/2s, 2042 1,116,486 1,205,414
Ser. 02-T12, Class A3, 7 1/2s, 2042 302,601 325,224
Ser. 02-14, Class A2, 7 1/2s, 2042 597,785 642,164
Ser. 01-T10, Class A2, 7 1/2s, 2041 1,901,358 2,039,002
Ser. 02-T4, Class A3, 7 1/2s, 2041 322,367 345,663
Ser. 01-T12, Class A2, 7 1/2s, 2041 1,648,765 1,766,844
Ser. 01-T3, Class A1, 7 1/2s, 2040 287,451 307,938
Ser. 01-T1, Class A1, 7 1/2s, 2040 616,113 663,412
Ser. 99-T2, Class A1, 7 1/2s, 2039 170,391 186,344
Ser. 03-W10, Class 1A1, 7 1/2s, 2032 710,629 764,976
Ser. 02-T1, Class A3, 7 1/2s, 2031 498,379 536,215
Ser. 00-T6, Class A1, 7 1/2s, 2030 1,476,903 1,572,645
Ser. 01-T5, Class A3, 7 1/2s, 2030 171,450 184,068
Ser. 01-T4, Class A1, 7 1/2s, 2028 3,520,268 3,820,685
Ser. 02-26, Class A1, 7s, 2048 1,130,733 1,204,683
Ser. 04-T3, Class 1A3, 7s, 2044 516,061 552,270
Ser. 03-W3, Class 1A2, 7s, 2042 507,958 541,992
Ser. 02-T16, Class A2, 7s, 2042 1,049,435 1,121,122
Ser. 02-14, Class A1, 7s, 2042 93,373 99,243
Ser. 02-T4, Class A2, 7s, 2041 602,950 640,057
Ser. 01-W3, Class A, 7s, 2041 355,839 379,353
Ser. 04-W1, Class 2A2, 7s, 2033 5,289,883 5,658,124
Ser. 381, Class 14, IO, 6 1/2s, 2037 1,996,793 385,946
Ser. 381, Class 16, IO, 6 1/2s, 2037 392,081 82,962
Ser. 381, Class 15, IO, 6 1/2s, 2037 845,617 167,114
Ser. 371, Class 2, IO, 6 1/2s, 2036 4,598,139 1,012,073
Ser. 363, Class 2, IO, 5 1/2s, 2035 2,452,893 576,874
IFB Ser. 07-W6, Class 6A2, IO, 4.905s, 2037 2,078,605 239,198
IFB Ser. 06-90, Class SE, IO, 4.905s, 2036 2,013,595 269,882
IFB Ser. 04-51, Class XP, IO, 4.805s, 2034 128,809 13,882
IFB Ser. 03-66, Class SA, IO, 4.755s, 2033 2,777,704 330,513
IFB Ser. 04-17, Class ST, IO, 4.705s, 2034 142,717 18,117
IFB Ser. 07-W6, Class 5A2, IO, 4.395s, 2037 2,784,744 307,984
IFB Ser. 07-W4, Class 4A2, IO, 4.385s, 2037 12,716,492 1,324,265
IFB Ser. 07-W2, Class 3A2, IO, 4.385s, 2037 3,777,116 398,360
IFB Ser. 06-115, Class BI, IO, 4.365s, 2036 3,525,994 299,969
IFB Ser. 05-113, Class AI, IO, 4.335s, 2036 645,345 73,903
IFB Ser. 05-113, Class DI, IO, 4.335s, 2036 20,464,493 2,009,658
IFB Ser. 05-52, Class DC, IO, 4.305s, 2035 1,739,500 199,582
IFB Ser. 07-60, Class AX, IO, 4.255s, 2037 7,800,110 826,209
IFB Ser. 06-60, Class SI, IO, 4.255s, 2036 3,640,377 408,502
IFB Ser. 06-60, Class UI, IO, 4.255s, 2036 1,476,865 169,694
IFB Ser. 04-24, Class CS, IO, 4.255s, 2034 3,854,303 408,022
IFB Ser. 04-12, Class WS, IO, 4.255s, 2033 109,220 10,793
IFB Ser. 07-W7, Class 3A2, IO, 4.235s, 2037 4,775,798 470,685
IFB Ser. 03-122, Class SA, IO, 4.205s, 2028 4,933,709 347,974
IFB Ser. 03-122, Class SJ, IO, 4.205s, 2028 5,158,759 363,553
IFB Ser. 06-60, Class DI, IO, 4.175s, 2035 1,840,783 167,025
IFB Ser. 04-60, Class SW, IO, 4.155s, 2034 7,143,230 796,118
IFB Ser. 05-65, Class KI, IO, 4.105s, 2035 13,697,752 1,336,383
IFB Ser. 08-01, Class GI, IO, 4.065s, 2037 14,178,871 1,451,865
IFB Ser. 05-42, Class SA, IO, 3.905s, 2035 213,899 18,144
IFB Ser. 07-23, Class SI, IO, 3 7/8s, 2037 3,055,778 269,762
IFB Ser. 07-54, Class CI, IO, 3.865s, 2037 2,369,692 238,093
IFB Ser. 07-39, Class JI, IO, 3.865s, 2037 2,082,684 171,670
IFB Ser. 07-39, Class PI, IO, 3.865s, 2037 2,322,055 214,448
IFB Ser. 07-30, Class WI, IO, 3.865s, 2037 19,730,764 1,700,744
IFB Ser. 07-28, Class SE, IO, 3.855s, 2037 2,521,187 242,294
IFB Ser. 06-128, Class SH, IO, 3.855s, 2037 2,816,986 232,728
IFB Ser. 06-56, Class SM, IO, 3.855s, 2036 7,069,860 637,667
IFB Ser. 05-73, Class SI, IO, 3.855s, 2035 1,577,298 127,357
IFB Ser. 05-12, Class SC, IO, 3.855s, 2035 2,379,229 205,971
IFB Ser. 05-17, Class ES, IO, 3.855s, 2035 3,135,975 300,784
IFB Ser. 05-17, Class SY, IO, 3.855s, 2035 1,445,253 139,927
IFB Ser. 05-45, Class PL, IO, 3.855s, 2034 216,456 21,963
IFB Ser. 07-W5, Class 2A2, IO, 3.845s, 2037 1,183,560 101,631
IFB Ser. 07-30, Class IE, IO, 3.845s, 2037 6,793,310 781,332
IFB Ser. 06-123, Class CI, IO, 3.845s, 2037 5,656,498 546,530
IFB Ser. 06-123, Class UI, IO, 3.845s, 2037 2,482,403 237,185
IFB Ser. 05-82, Class SY, IO, 3.835s, 2035 6,269,662 563,383
IFB Ser. 05-45, Class EW, IO, 3.825s, 2035 2,832,862 233,020
IFB Ser. 05-45, Class SR, IO, 3.825s, 2035 8,682,294 778,191
IFB Ser. 07-15, Class BI, IO, 3.805s, 2037 4,092,341 387,886
IFB Ser. 06-126, Class CS, IO, 3.805s, 2037 1,569,708 135,473
IFB Ser. 06-16, Class SM, IO, 3.805s, 2036 2,170,955 212,480
IFB Ser. 05-95, Class CI, IO, 3.805s, 2035 3,670,420 372,410
IFB Ser. 05-84, Class SG, IO, 3.805s, 2035 6,019,620 602,083
IFB Ser. 05-57, Class NI, IO, 3.805s, 2035 1,273,069 112,450
IFB Ser. 05-54, Class SA, IO, 3.805s, 2035 6,087,876 519,704
IFB Ser. 05-23, Class SG, IO, 3.805s, 2035 4,712,218 451,562
IFB Ser. 05-29, Class SX, IO, 3.805s, 2035 77,474 7,168

IFB Ser. 05-104, Class NI, IO, 3.805s, 2035 4,143,066 393,915
IFB Ser. 05-17, Class SA, IO, 3.805s, 2035 4,095,593 390,195
IFB Ser. 05-17, Class SE, IO, 3.805s, 2035 4,425,578 417,000
IFB Ser. 05-57, Class DI, IO, 3.805s, 2035 9,572,892 836,163
IFB Ser. 05-7, Class SC, IO, 3.805s, 2035 252,911 20,816
IFB Ser. 05-83, Class QI, IO, 3.795s, 2035 980,275 110,364
IFB Ser. 06-128, Class GS, IO, 3.785s, 2037 2,650,019 257,471
IFB Ser. 05-83, Class SL, IO, 3.775s, 2035 10,434,937 931,078
Ser. 06-116, Class ES, IO, 3.755s, 2036 1,726,272 136,527
IFB Ser. 06-114, Class IS, IO, 3.755s, 2036 2,895,579 243,486
IFB Ser. 06-116, Class LS, IO, 3.755s, 2036 217,676 19,966
IFB Ser. 06-115, Class GI, IO, 3.745s, 2036 2,618,162 269,469
IFB Ser. 06-115, Class IE, IO, 3.745s, 2036 2,203,223 215,524
IFB Ser. 06-117, Class SA, IO, 3.745s, 2036 3,282,013 286,609
IFB Ser. 06-121, Class SD, IO, 3.745s, 2036 5,467,887 483,198
IFB Ser. 06-109, Class SG, IO, 3.735s, 2036 3,862,469 344,245
IFB Ser. 06-104, Class IM, IO, 3.725s, 2036 839,845 78,710
IFB Ser. 06-104, Class SY, IO, 3.725s, 2036 1,789,789 148,778
IFB Ser. 06-109, Class SH, IO, 3.725s, 2036 2,866,223 298,460
IFB Ser. 06-111, Class SA, IO, 3.725s, 2036 770,166 74,236
Ser. 06-104, Class SG, IO, 3.705s, 2036 3,500,254 283,244
IFB Ser. 07-W6, Class 4A2, IO, 3.705s, 2037 11,270,436 1,020,856
IFB Ser. 06-128, Class SC, IO, 3.705s, 2037 9,244,485 820,328
IFB Ser. 06-43, Class SI, IO, 3.705s, 2036 4,350,048 371,897
IFB Ser. 06-44, Class IS, IO, 3.705s, 2036 3,986,314 332,452
IFB Ser. 06-8, Class JH, IO, 3.705s, 2036 10,017,315 994,039
IFB Ser. 05-122, Class SG, IO, 3.705s, 2035 2,191,706 211,863
IFB Ser. 05-57, Class MS, IO, 3.705s, 2035 184,622 15,574
IFB Ser. 05-95, Class OI, IO, 3.695s, 2035 551,596 61,972
IFB Ser. 06-92, Class JI, IO, 3.685s, 2036 2,028,708 185,898
IFB Ser. 06-92, Class LI, IO, 3.685s, 2036 3,221,074 289,887
IFB Ser. 06-96, Class ES, IO, 3.685s, 2036 3,539,982 309,169
IFB Ser. 06-99, Class AS, IO, 3.685s, 2036 2,309,520 212,056
IFB Ser. 06-85, Class TS, IO, 3.665s, 2036 5,013,586 411,439
IFB Ser. 06-61, Class SE, IO, 3.655s, 2036 4,689,280 349,961
IFB Ser. 07-75, Class PI, IO, 3.645s, 2037 3,766,369 319,391
IFB Ser. 07-76, Class SA, IO, 3.645s, 2037 3,543,759 247,292
IFB Ser. 07-W7, Class 2A2, IO, 3.635s, 2037 8,981,465 789,467
IFB Ser. 07-88, Class MI, IO, 3 5/8s, 2037 1,186,600 84,246
Ser. 06-94, Class NI, IO, 3.605s, 2036 1,712,433 132,251
IFB Ser. 07-116, Class IA, IO, 3.605s, 2037 13,136,436 1,096,221
IFB Ser. 07-103, Class AI, IO, 3.605s, 2037 15,296,990 1,328,318
IFB Ser. 07-1, Class NI, IO, 3.605s, 2037 8,646,353 756,448
IFB Ser. 07-15, Class NI, IO, 3.605s, 2022 4,355,166 347,737
IFB Ser. 08-3, Class SC, IO, 3.555s, 2038 1,918,324 169,202
IFB Ser. 07-109, Class XI, IO, 3.555s, 2037 2,260,901 198,299
IFB Ser. 07-109, Class YI, IO, 3.555s, 2037 3,468,424 274,438
IFB Ser. 07-W8, Class 2A2, IO, 3.555s, 2037 6,135,835 529,740
IFB Ser. 07-88, Class JI, IO, 3.555s, 2037 4,633,694 408,975
IFB Ser. 06-79, Class SH, IO, 3.555s, 2036 218,107 20,767
IFB Ser. 07-54, Class KI, IO, 3.545s, 2037 1,786,738 137,041
IFB Ser. 07-30, Class JS, IO, 3.545s, 2037 5,789,398 503,275
IFB Ser. 07-30, Class LI, IO, 3.545s, 2037 8,822,589 785,127
IFB Ser. 07-W2, Class 1A2, IO, 3.535s, 2037 2,580,227 220,048
IFB Ser. 07-106, Class SN, IO, 3.515s, 2037 3,746,422 284,042
IFB Ser. 07-54, Class IA, IO, 3.515s, 2037 3,091,383 275,343
IFB Ser. 07-54, Class IB, IO, 3.515s, 2037 3,091,383 271,702
IFB Ser. 07-54, Class IC, IO, 3.515s, 2037 3,091,383 271,702
IFB Ser. 07-54, Class ID, IO, 3.515s, 2037 3,091,383 271,702
IFB Ser. 07-54, Class IE, IO, 3.515s, 2037 3,091,383 271,702
IFB Ser. 07-54, Class IF, IO, 3.515s, 2037 4,599,709 401,006
IFB Ser. 07-54, Class NI, IO, 3.515s, 2037 2,730,926 230,912
IFB Ser. 07-54, Class UI, IO, 3.515s, 2037 3,690,614 354,238
IFB Ser. 07-109, Class AI, IO, 3.505s, 2037 11,839,297 992,331
IFB Ser. 07-91, Class AS, IO, 3.505s, 2037 2,460,885 198,153
IFB Ser. 07-91, Class HS, IO, 3.505s, 2037 2,640,455 207,317
IFB Ser. 07-15, Class CI, IO, 3.485s, 2037 10,480,039 909,638
IFB Ser. 06-123, Class BI, IO, 3.485s, 2037 13,737,209 1,157,492
IFB Ser. 06-115, Class JI, IO, 3.485s, 2036 7,644,583 662,389
IFB Ser. 07-109, Class PI, IO, 3.455s, 2037 3,742,869 301,538
IFB Ser. 06-123, Class LI, IO, 3.425s, 2037 5,086,595 419,338
IFB Ser. 08-11, Class SC, IO, 3.385s, 2038 126,465 11,250
IFB Ser. 08-1, Class DI, IO, 3.365s, 2038 1,858,468 132,284
IFB Ser. 08-1, Class NI, IO, 3.355s, 2037 6,218,993 435,563
IFB Ser. 07-116, Class BI, IO, 3.355s, 2037 12,193,585 892,834
IFB Ser. 08-01, Class AI, IO, 3.355s, 2037 17,065,206 1,353,079
IFB Ser. 08-10, Class GI, IO, 3.335s, 2038 4,593,918 352,760
IFB Ser. 08-13, Class SA, IO, 3.325s, 2038 429,716 32,337
IFB Ser. 08-1, Class HI, IO, 3.305s, 2037 8,034,365 614,152
IFB Ser. 07-39, Class AI, IO, 3.225s, 2037 5,305,464 395,627
IFB Ser. 07-32, Class SD, IO, 3.215s, 2037 3,644,708 271,218
IFB Ser. 07-30, Class UI, IO, 3.205s, 2037 3,018,424 239,270
IFB Ser. 07-32, Class SC, IO, 3.205s, 2037 4,839,125 360,733
IFB Ser. 07-1, Class CI, IO, 3.205s, 2037 3,494,859 270,114
IFB Ser. 05-74, Class SE, IO, 3.205s, 2035 12,710,207 858,512
IFB Ser. 05-82, Class SI, IO, 3.205s, 2035 12,021,930 822,821
IFB Ser. 05-92, Class US, IO, 3.205s, 2025 565,987 38,736
IFB Ser. 05-14, Class SE, IO, 3.155s, 2035 2,376,965 163,078
IFB Ser. 08-33, Class SA, IO, 3.105s, 2038 7,037,476 498,324
IFB Ser. 05-58, Class IK, IO, 3.105s, 2035 4,317,620 386,608
IFB Ser. 08-1, Class BI, IO, 3.015s, 2038 9,469,670 553,591
IFB Ser. 07-75, Class ID, IO, 2.975s, 2037 2,962,974 214,815
Ser. 03-W12, Class 2, IO, 2.22s, 2043 7,144,321 421,719
Ser. 03-W10, Class 3, IO, 1.931s, 2043 5,631,981 297,027
Ser. 03-W10, Class 1, IO, 1.925s, 2043 22,211,287 1,150,922
Ser. 03-W8, Class 12, IO, 1.634s, 2042 22,938,777 1,094,127
FRB Ser. 03-W17, Class 12, IO, 1.15s, 2033 7,068,718 252,014

Ser. 03-T2, Class 2, IO, 0.814s, 2042 32,956,444 842,162
Ser. 03-W3, Class 2IO1, IO, 0.683s, 2042 3,030,327 57,846
Ser. 03-W6, Class 51, IO, 0.677s, 2042 9,458,974 177,807
Ser. 06-W3, Class 1AS, IO, 0.662s, 2046 12,471,050 803,904
Ser. 01-T12, Class IO, 0.565s, 2041 19,421,948 292,053
Ser. 03-W2, Class 1, IO, 0.469s, 2042 17,485,725 229,983
Ser. 02-T4, IO, 0.451s, 2041 6,946,920 78,607
Ser. 03-W3, Class 1, IO, 0.439s, 2042 23,402,367 250,664
Ser. 02-T1, Class IO, IO, 0.423s, 2031 18,798,180 214,798
Ser. 03-W6, Class 3, IO, 0.366s, 2042 12,965,504 132,430
Ser. 03-W4, Class 3A, IO, 0.354s, 2042 12,457,277 139,049
Ser. 03-W6, Class 23, IO, 0.351s, 2042 13,744,684 155,423
Ser. 01-79, Class BI, IO, 0.333s, 2045 3,591,223 30,992
Ser. 08-33, Principal Only (PO), zero %, 2038 845,411 618,149
Ser. 08-9, PO, zero %, 2038 622,315 485,027
Ser. 07-112, Class EO, PO, zero %, 2037 313,088 233,411
Ser. 07-89, Class PO, PO, zero %, 2037 524,324 399,325
Ser. 07-64, Class LO, PO, zero %, 2037 1,499,143 1,215,617
Ser. 07-47, Class B0, PO, zero %, 2037 152,749 121,449
Ser. 07-14, Class KO, PO, zero %, 2037 355,098 279,731
Ser. 06-125, Class MO, PO, zero %, 2037 553,114 440,380
Ser. 06-125, Class OX, PO, zero %, 2037 142,896 107,195
Ser. 06-116, Class OD, PO, zero %, 2036 85,598 65,054
Ser. 06-117, Class OA, PO, zero %, 2036 374,163 281,908
Ser. 06-81, Class OP, PO, zero %, 2036 346,549 266,487
Ser. 06-84, Class OP, PO, zero %, 2036 3,757 3,774
Ser. 06-84, Class OT, PO, zero %, 2036 77,036 60,835
Ser. 06-56, Class XF, zero %, 2036 228,371 207,661
Ser. 06-46, Class OC, PO, zero %, 2036 131,925 102,466
Ser. 06-16, Class OG, PO, zero %, 2036 192,909 143,430
Ser. 04-38, Class AO, PO, zero %, 2034 3,927,538 2,866,264
Ser. 04-61, Class CO, PO, zero %, 2031 2,901,652 2,454,190
Ser. 07-31, Class TS, IO, zero %, 2009 8,581,697 222,755
Ser. 07-15, Class IM, IO, zero %, 2009 3,420,704 80,238
Ser. 07-16, Class TS, IO, zero %, 2009 13,866,125 343,117
FRB Ser. 07-76, Class SF, zero %, 2037 190,696 187,688
FRB Ser. 06-115, Class SN, zero %, 2036 1,188,873 1,153,982
FRB Ser. 06-104, Class EK, zero %, 2036 287,427 277,448
FRB Ser. 05-117, Class GF, zero %, 2036 223,041 195,476
FRB Ser. 05-65, Class ER, zero %, 2035 2,544,347 2,330,514
FRB Ser. 05-57, Class UL, zero %, 2035 2,325,333 2,183,847
FRB Ser. 05-36, Class QA, zero %, 2035 475,135 402,651
FRB Ser. 05-65, Class CU, zero %, 2034 322,365 362,699
FRB Ser. 05-81, Class DF, zero %, 2033 262,616 260,287
FRB Ser. 06-1, Class HF, zero %, 2032 215,940 203,909
IFB Ser. 06-75, Class FY, zero %, 2036 507,093 501,859
Federal Home Loan Mortgage Corp. Structured    
Pass-Through Securities    
Ser. T-42, Class A6, 9 1/2s, 2042 190,366 215,910
Ser. T-58, Class 4A, 7 1/2s, 2043 487,114 526,358
Ser. T-51, Class 2A, 7 1/2s, 2042 510,166 548,672
Ser. T-42, Class A5, 7 1/2s, 2042 811,651 871,958
Ser. T-60, Class 1A2, 7s, 2044 3,515,025 3,758,772
Ser. T-41, Class 2A, 7s, 2032 79,589 84,493
IFB Ser. T-56, Class 2ASI, IO, 5.205s, 2043 1,831,106 219,733
Ser. T-56, Class A, IO, 0.524s, 2043 8,227,164 123,587
Ser. T-56, Class 3, IO, 0.366s, 2043 9,840,072 194
Ser. T-56, Class 1, IO, 0.285s, 2043 12,694,373 103,083
Ser. T-56, Class 2, IO, 0.037s, 2043 11,572,187 33,272
FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2,    
7.77s, 2027 4,349,477 4,422,637
First Horizon Alternative Mortgage Securities FRB Ser.    
05-AA10, Class 2A1, 5 3/4s, 2035 (F) 1,933,221 1,554,717
First Union National Bank-Bank of America Commercial    
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.947s, 2033 30,341,433 1,062,027
First Union-Lehman Brothers Commercial Mortgage Trust    
II    
Ser. 97-C2, Class F, 7 1/2s, 2029 2,726,000 2,925,529
Ser. 97-C2, Class G, 7 1/2s, 2029 832,000 775,118
First Union-Lehman Brothers-Bank of America 144A Ser.    
98-C2, Class G, 7s, 2035 (F) 3,410,000 3,270,695
Freddie Mac    
IFB Ser. 3360, Class SB, 26.912s, 2037 852,997 1,169,664
IFB Ser. 3339, Class WS, 26.348s, 2037 1,392,036 1,908,899
IFB Ser. 3339, Class JS, 25.181s, 2037 1,239,119 1,592,128
IFB Ser. 3202, Class PS, 22.944s, 2036 935,575 1,198,191
IFB Ser. 3349, Class SA, 22.704s, 2037 4,848,882 6,114,461
IFB Ser. 3331, Class SE, 22.704s, 2037 1,196,102 1,464,980
IFB Ser. 3202, Class HM, 19.67s, 2036 621,520 764,481
IFB Ser. 3153, Class SX, 19.67s, 2036 815,872 1,004,885
IFB Ser. 3153, Class JS, 20.53s, 2036 80,632 98,945
IFB Ser. 3182, Class PS, 17.736s, 2032 2,068,503 2,544,135
IFB Ser. 3081, Class DC, 16.938s, 2035 1,334,071 1,566,656
IFB Ser. 3114, Class GK, 15.536s, 2036 889,985 1,013,463
IFB Ser. 3360, Class SC, 15.349s, 2037 1,974,024 2,131,359
IFB Ser. 3408, Class EK, 14.864s, 2037 4,026,404 4,364,234
IFB Ser. 2976, Class KL, 14.425s, 2035 2,492,423 2,791,273
IFB Ser. 2990, Class DP, 14.315s, 2034 2,110,715 2,338,684
IFB Ser. 2979, Class AS, 14.315s, 2034 600,946 660,260
IFB Ser. 3153, Class UT, 14.058s, 2036 491,738 531,957
IFB Ser. 3149, Class SU, 12.194s, 2036 1,052,131 1,099,769
IFB Ser. 3065, Class DC, 11.712s, 2035 2,162,134 2,286,641
IFB Ser. 3012, Class FS, 10.085s, 2035 78,538 79,504
IFB Ser. 2990, Class WP, 10.021s, 2035 1,499,429 1,565,051
IFB Ser. 2990, Class LB, 10.004s, 2034 2,638,743 2,661,901
IFB Ser. 246, Class S54, IO, 5.884s, 2037 308,751 38,015
IFB Ser. 2927, Class SI, IO, 5.784s, 2035 3,507,277 500,122

IFB Ser. 2828, Class GI, IO, 4.784s, 2034 4,051,188 482,873
IFB Ser. 3184, Class SP, IO, 4.634s, 2033 3,729,614 372,512
IFB Ser. 2869, Class SH, IO, 4.584s, 2034 1,912,341 145,182
IFB Ser. 2869, Class JS, IO, 4.534s, 2034 9,117,707 757,729
IFB Ser. 2777, Class SJ, IO, 4.534s, 2017 97,151 7,112
IFB Ser. 239, IO, 4.484s, 2036 426,275 37,033
IFB Ser. 2882, Class LS, IO, 4.484s, 2034 1,798,727 199,990
IFB Ser. 3203, Class SH, IO, 4.424s, 2036 2,121,101 243,394
IFB Ser. 3194, IO, 4.384s, 2036 454,366 35,781
IFB Ser. 2815, Class PT, IO, 4.334s, 2032 4,053,565 375,575
IFB Ser. 2828, Class TI, IO, 4.334s, 2030 1,882,271 179,294
IFB Ser. 3397, Class GS, IO, 4.284s, 2037 2,384,858 192,115
IFB Ser. 3311, Class BI, IO, 4.044s, 2037 2,658,153 220,364
IFB Ser. 3297, Class BI, IO, 4.044s, 2037 9,233,743 919,580
IFB Ser. 3284, Class IV, IO, 4.034s, 2037 2,407,046 250,356
IFB Ser. 3287, Class SD, IO, 4.034s, 2037 3,621,697 328,510
IFB Ser. 3281, Class BI, IO, 4.034s, 2037 1,793,901 170,860
IFB Ser. 3281, Class CI, IO, 4.034s, 2037 1,432,668 117,130
IFB Ser. 3249, Class SI, IO, 4.034s, 2036 1,580,949 165,849
IFB Ser. 3028, Class ES, IO, 4.034s, 2035 10,450,315 1,067,247
IFB Ser. 2990, Class TS, IO, 4.034s, 2035 226,315 17,503
IFB Ser. 2922, Class SE, IO, 4.034s, 2035 4,867,854 404,387
IFB Ser. 3045, Class DI, IO, 4.014s, 2035 16,818,101 1,406,657
IFB Ser. 3236, Class ES, IO, 3.984s, 2036 3,399,576 277,793
IFB Ser. 3136, Class NS, IO, 3.984s, 2036 5,581,815 501,890
IFB Ser. 3118, Class SD, IO, 3.984s, 2036 7,901,900 545,416
IFB Ser. 3054, Class CS, IO, 3.984s, 2035 2,063,523 143,004
IFB Ser. 3107, Class DC, IO, 3.984s, 2035 10,195,827 1,054,084
IFB Ser. 3066, Class SI, IO, 3.984s, 2035 6,816,458 697,754
IFB Ser. 2927, Class ES, IO, 3.984s, 2035 2,759,364 206,125
IFB Ser. 2950, Class SM, IO, 3.984s, 2016 5,335,815 461,345
IFB Ser. 3256, Class S, IO, 3.974s, 2036 4,076,912 398,875
IFB Ser. 3031, Class BI, IO, 3.974s, 2035 1,975,147 225,711
IFB Ser. 3370, Class TS, IO, 3.954s, 2037 226,406 19,077
IFB Ser. 3244, Class SB, IO, 3.944s, 2036 2,536,408 233,771
IFB Ser. 3244, Class SG, IO, 3.944s, 2036 2,952,356 284,481
IFB Ser. 3236, Class IS, IO, 3.934s, 2036 4,704,524 418,083
IFB Ser. 3033, Class SG, IO, 3.934s, 2035 93,394 10,775
IFB Ser. 2962, Class BS, IO, 3.934s, 2035 11,549,003 961,764
IFB Ser. 3114, Class TS, IO, 3.934s, 2030 12,774,329 1,027,488
IFB Ser. 3128, Class JI, IO, 3.914s, 2036 6,064,529 582,999
IFB Ser. 2990, Class LI, IO, 3.914s, 2034 3,910,700 397,005
IFB Ser. 3240, Class S, IO, 3.904s, 2036 8,862,684 808,386
IFB Ser. 3229, Class BI, IO, 3.904s, 2036 682,673 56,316
IFB Ser. 3153, Class JI, IO, 3.904s, 2036 4,377,124 373,070
IFB Ser. 3065, Class DI, IO, 3.904s, 2035 1,512,043 169,486
IFB Ser. 3145, Class GI, IO, 3.884s, 2036 4,973,356 506,631
IFB Ser. 3114, Class GI, IO, 3.884s, 2036 2,126,700 248,966
IFB Ser. 2877, Class WS, IO, 3.884s, 2034 225,708 15,039
IFB Ser. 3339, Class JI, IO, 3.874s, 2037 9,393,324 740,542
IFB Ser. 3218, Class AS, IO, 3.864s, 2036 3,183,251 258,661
IFB Ser. 3221, Class SI, IO, 3.864s, 2036 3,811,230 328,740
IFB Ser. 3153, Class UI, IO, 3.854s, 2036 3,673,510 409,363
IFB Ser. 3202, Class PI, IO, 3.824s, 2036 10,409,554 922,738
IFB Ser. 3355, Class MI, IO, 3.784s, 2037 2,636,994 218,718
IFB Ser. 3201, Class SG, IO, 3.784s, 2036 4,807,676 426,096
IFB Ser. 3203, Class SE, IO, 3.784s, 2036 4,303,900 370,770
IFB Ser. 3171, Class PS, IO, 3.769s, 2036 4,051,505 359,606
IFB Ser. 3152, Class SY, IO, 3.764s, 2036 4,571,983 445,363
IFB Ser. 3284, Class BI, IO, 3.734s, 2037 2,916,690 244,411
IFB Ser. 3260, Class SA, IO, 3.734s, 2037 2,905,566 193,139
IFB Ser. 3199, Class S, IO, 3.734s, 2036 2,464,821 215,501
IFB Ser. 3284, Class LI, IO, 3.724s, 2037 11,762,301 1,015,385
IFB Ser. 3281, Class AI, IO, 3.714s, 2037 10,665,185 938,668
IFB Ser. 3261, Class SA, IO, 3.714s, 2037 229,300 20,422
IFB Ser. 3311, Class EI, IO, 3.694s, 2037 3,045,332 252,045
IFB Ser. 3311, Class IA, IO, 3.694s, 2037 4,376,942 397,076
IFB Ser. 3311, Class IB, IO, 3.694s, 2037 4,376,942 397,076
IFB Ser. 3311, Class IC, IO, 3.694s, 2037 4,376,942 397,076
IFB Ser. 3311, Class ID, IO, 3.694s, 2037 4,376,942 397,076
IFB Ser. 3311, Class IE, IO, 3.694s, 2037 6,246,972 566,725
IFB Ser. 3265, Class SC, IO, 3.694s, 2037 217,619 17,274
IFB Ser. 3382, Class SI, IO, 3.684s, 2037 604,410 55,873
IFB Ser. 3375, Class MS, IO, 3.684s, 2037 349,006 27,380
IFB Ser. 3240, Class GS, IO, 3.664s, 2036 5,339,399 455,783
IFB Ser. 3408, Class BI, IO, 3.544s, 2038 1,836,843 125,124
IFB Ser. 2967, Class SA, IO, 3.434s, 2035 245,775 16,460
IFB Ser. 3339, Class TI, IO, 3.424s, 2037 4,594,744 370,040
IFB Ser. 3284, Class CI, IO, 3.404s, 2037 8,110,219 637,206
IFB Ser. 3016, Class SQ, IO, 3.394s, 2035 3,974,857 239,950
Ser. 3403, PO, zero %, 2037 96,963 77,005
Ser. 3366, Class AO, PO, zero %, 2037 118,378 88,668
Ser. 3369, Class BO, PO, zero %, 2037 94,545 72,246
Ser. 246, PO, zero %, 2037 4,921,362 4,005,082
Ser. 3391, PO, zero %, 2037 467,464 360,593
Ser. 3292, Class DO, PO, zero %, 2037 292,279 224,655
Ser. 3292, Class OA, PO, zero %, 2037 195,837 146,658
Ser. 3296, Class OK, PO, zero %, 2037 168,267 126,156
Ser. 3274, Class MO, PO, zero %, 2037 90,283 69,079
Ser. 3300, PO, zero %, 2037 2,170,964 1,732,137
Ser. 3252, Class LO, PO, zero %, 2036 698,740 554,748
Ser. 3255, Class CO, PO, zero %, 2036 402,084 306,626
Ser. 3218, Class AO, PO, zero %, 2036 236,912 188,908
Ser. 239, PO, zero %, 2036 8,009,522 6,408,871
Ser. 3206, Class EO, PO, zero %, 2036 86,778 67,646
Ser. 3175, Class MO, PO, zero %, 2036 425,196 326,977
Ser. 3210, PO, zero %, 2036 172,852 133,700

Ser. 3139, Class CO, PO, zero %, 2036 496,262 378,427
Ser. 236, PO, zero %, 2036 4,847,431 3,901,973
FRB Ser. 3349, Class DO, zero %, 2037 231,682 228,369
FRB Ser. 3327, Class YF, zero %, 2037 958,647 953,168
FRB Ser. 3326, Class XF, zero %, 2037 1,499,349 1,411,905
FRB Ser. 3326, Class YF, zero %, 2037 3,367,040 3,453,800
FRB Ser. 3263, Class TA, zero %, 2037 322,372 338,981
FRB Ser. 3241, Class FH, zero %, 2036 757,155 724,440
FRB Ser. 3341, Class FA, zero %, 2036 106,023 104,538
FRB Ser. 3231, Class XB, zero %, 2036 655,810 649,054
FRB Ser. 3283, Class HF, zero %, 2036 118,589 119,550
FRB Ser. 3231, Class X, zero %, 2036 333,965 338,653
FRB Ser. 3147, Class SF, zero %, 2036 1,443,364 1,336,747
FRB Ser. 3130, Class JF, zero %, 2036 57,608 54,757
FRB Ser. 3117, Class AF, zero %, 2036 195,077 196,878
FRB Ser. 3326, Class WF, zero %, 2035 2,176,596 1,991,368
FRB Ser. 3036, Class AS, zero %, 2035 193,233 178,723
FRB Ser. 3003, Class XF, zero %, 2035 2,062,976 1,927,243
GE Capital Commercial Mortgage Corp. 144A    
Ser. 05-C2, Class XC, IO, 0.083s, 2043 85,500,386 509,122
Ser. 05-C3, Class XC, IO, 0.081s, 2045 229,980,134 944,542
Ser. 07-C1, Class XC, IO, 0.046s, 2019 184,284,794 992,738
GMAC Commercial Mortgage Securities, Inc.    
Ser. 99-C3, Class F, 8.115s, 2036 592,000 609,586
Ser. 97-C1, Class X, IO, 1.344s, 2029 3,570,468 189,766
Ser. 05-C1, Class X1, IO, 0.166s, 2043 93,516,922 1,028,791
GMAC Commercial Mortgage Securities, Inc. 144A    
Ser. 99-C3, Class G, 6.974s, 2036 1,614,303 1,590,502
Ser. 06-C1, Class XC, IO, 0.056s, 2045 127,536,142 680,901
Government National Mortgage Association    
IFB Ser. 07-26, Class WS, 40.8s, 2037 3,213,793 5,178,628
IFB Ser. 07-38, Class AS, 29.975s, 2037 2,870,596 3,911,465
IFB Ser. 06-34, Class SA, 22.74s, 2036 342,593 423,789
IFB Ser. 07-51, Class SP, 22.68s, 2037 999,629 1,201,501
IFB Ser. 07-44, Class SP, 21.809s, 2036 1,436,140 1,799,360
IFB Ser. 07-35, Class DK, 18.45s, 2035 767,000 916,253
IFB Ser. 05-66, Class SP, 11.79s, 2035 1,286,347 1,337,859
IFB Ser. 05-7, Class JM, 10.751s, 2034 2,489,531 2,628,094
IFB Ser. 08-29, Class SA, IO, 4.98s, 2038 437,701 41,035
IFB Ser. 06-61, Class SM, IO, 4.58s, 2036 142,871 11,615
IFB Ser. 06-62, Class SI, IO, 4.58s, 2036 3,460,987 277,135
IFB Ser. 07-1, Class SL, IO, 4.56s, 2037 1,575,473 130,862
IFB Ser. 07-1, Class SM, IO, 4.55s, 2037 1,575,473 130,496
IFB Ser. 04-59, Class SH, IO, 4.537s, 2034 94,277 9,905
IFB Ser. 04-59, Class SC, IO, 4.487s, 2034 1,983,706 208,351
IFB Ser. 04-26, Class IS, IO, 4.487s, 2034 78,906 5,951
IFB Ser. 07-47, Class SA, IO, 4.387s, 2036 91,442 9,621
IFB Ser. 07-35, Class NY, IO, 4.187s, 2035 134,000 11,039
IFB Ser. 07-26, Class SD, IO, 4.087s, 2037 5,099,846 392,683
IFB Ser. 07-26, Class SL, IO, 4.087s, 2037 230,697 19,748
IFB Ser. 07-26, Class SG, IO, 4.05s, 2037 4,967,001 423,063
IFB Ser. 07-9, Class BI, IO, 4.02s, 2037 10,301,632 767,496
IFB Ser. 07-31, Class CI, IO, 4.01s, 2037 2,772,856 196,052
IFB Ser. 07-25, Class SA, IO, 4s, 2037 3,655,853 258,019
IFB Ser. 07-25, Class SB, IO, 4s, 2037 7,129,919 527,325
IFB Ser. 07-22, Class S, IO, 4s, 2037 2,694,757 263,561
IFB Ser. 07-11, Class SA, IO, 4s, 2037 2,602,557 203,273
IFB Ser. 07-14, Class SB, IO, 4s, 2037 2,794,809 227,590
IFB Ser. 05-84, Class AS, IO, 4s, 2035 189,945 15,478
IFB Ser. 04-17, Class QN, IO, 3.987s, 2034 114,740 11,143
IFB Ser. 07-51, Class SJ, IO, 3.95s, 2037 3,065,145 291,135
IFB Ser. 07-48, Class SB, IO, 3.937s, 2037 4,192,066 275,008
IFB Ser. 07-53, Class SY, IO, 3.935s, 2037 154,384 14,903
IFB Ser. 07-58, Class PS, IO, 3.9s, 2037 5,225,722 450,818
IFB Ser. 04-88, Class S, IO, 3.9s, 2032 93,638 5,538
IFB Ser. 07-59, Class PS, IO, 3.87s, 2037 2,371,832 191,416
IFB Ser. 07-59, Class SP, IO, 3.87s, 2037 4,808,430 390,440
IFB Ser. 07-74, Class SI, IO, 3.857s, 2037 108,078 7,430
IFB Ser. 07-68, Class PI, IO, 3.85s, 2037 4,338,780 346,582
IFB Ser. 08-34, Class SH, IO, 3.85s, 2037 124,000 9,610
IFB Ser. 06-38, Class SG, IO, 3.85s, 2033 10,574,425 700,838
IFB Ser. 07-17, Class AI, IO, 3.837s, 2037 10,920,523 927,000
IFB Ser. 07-53, Class SG, IO, 3.8s, 2037 1,928,725 126,360
IFB Ser. 08-2, Class SM, IO, 3.787s, 2038 257,550 18,847
IFB Ser. 07-9, Class AI, IO, 3.787s, 2037 4,200,937 317,472
IFB Ser. 08-3, Class SA, IO, 3 3/4s, 2038 6,249,864 392,986
IFB Ser. 07-79, Class SY, IO, 3 3/4s, 2037 10,955,661 676,688
IFB Ser. 07-64, Class AI, IO, 3 3/4s, 2037 20,019,611 1,338,967
IFB Ser. 07-53, Class ES, IO, 3 3/4s, 2037 2,985,281 173,639
IFB Ser. 08-4, Class SA, IO, 3.716s, 2038 12,563,868 780,811
IFB Ser. 07-67, Class SI, IO, 3.71s, 2037 8,764,688 531,052
IFB Ser. 07-9, Class DI, IO, 3.71s, 2037 5,213,712 352,667
IFB Ser. 07-57, Class QA, IO, 3.7s, 2037 6,620,425 397,760
IFB Ser. 07-58, Class SA, IO, 3.7s, 2037 8,927,661 546,828
IFB Ser. 07-58, Class SC, IO, 3.7s, 2037 5,396,771 292,589
IFB Ser. 07-61, Class SA, IO, 3.7s, 2037 3,533,118 215,260
IFB Ser. 07-53, Class SC, IO, 3.7s, 2037 3,292,373 191,287
IFB Ser. 06-26, Class S, IO, 3.7s, 2036 565,369 42,884
IFB Ser. 06-28, Class GI, IO, 3.7s, 2035 4,113,003 291,772
IFB Ser. 07-58, Class SD, IO, 3.69s, 2037 5,139,720 274,513
IFB Ser. 07-59, Class SD, IO, 3.67s, 2037 8,445,715 491,363
IFB Ser. 07-36, IO, 3.67s, 2037 760,071 54,939
IFB Ser. 07-36, Class SG, IO, 3.67s, 2037 1,159,246 86,943
IFB Ser. 05-71, Class SA, IO, 3.647s, 2035 248,622 18,029
IFB Ser. 05-92, Class S, IO, 3.6s, 2032 344,955 20,374
IFB Ser. 05-65, Class SI, IO, 3.55s, 2035 4,403,742 342,760
IFB Ser. 07-17, Class IC, IO, 3.537s, 2037 5,643,623 415,777

IFB Ser. 08-15, Class PI, IO, 3 1/2s, 2035 145,064 11,010
IFB Ser. 06-16, Class SX, IO, 3.49s, 2036 198,594 13,225
IFB Ser. 07-25, Class KS, IO, 3.487s, 2037 984,271 83,521
IFB Ser. 07-21, Class S, IO, 3.487s, 2037 5,723,466 341,886
IFB Ser. 07-31, Class AI, IO, 3.467s, 2037 3,023,443 287,620
IFB Ser. 07-17, Class IB, IO, 3.45s, 2037 2,351,281 165,391
IFB Ser. 06-14, Class S, IO, 3.45s, 2036 3,842,819 273,682
IFB Ser. 05-57, Class PS, IO, 3.45s, 2035 89,041 6,898
IFB Ser. 06-11, Class ST, IO, 3.44s, 2036 2,395,524 162,977
IFB Ser. 07-62, Class S, IO, 3.437s, 2037 124,768 7,369
IFB Ser. 07-27, Class SD, IO, 3.4s, 2037 2,596,122 150,064
IFB Ser. 07-19, Class SJ, IO, 3.4s, 2037 4,404,764 246,839
IFB Ser. 07-23, Class ST, IO, 3.4s, 2037 5,395,178 285,572
IFB Ser. 07-8, Class SA, IO, 3.4s, 2037 3,704,300 232,678
IFB Ser. 07-9, Class CI, IO, 3.4s, 2037 6,781,943 401,151
IFB Ser. 07-7, Class EI, IO, 3.4s, 2037 4,520,305 252,703
IFB Ser. 07-7, Class JI, IO, 3.4s, 2037 6,957,796 474,135
IFB Ser. 07-1, Class S, IO, 3.4s, 2037 5,767,350 324,431
IFB Ser. 07-3, Class SA, IO, 3.4s, 2037 5,507,590 308,596
IFB Ser. 07-43, Class SC, IO, 3.387s, 2037 3,665,104 213,027
IFB Ser. 05-17, Class S, IO, 3.38s, 2035 100,403 7,091
IFB Ser. 05-3, Class SN, IO, 3.3s, 2035 287,178 18,263
IFB Ser. 07-73, Class MI, IO, 3.2s, 2037 9,195,677 441,411
IFB Ser. 04-41, Class SG, IO, 3.2s, 2034 292,728 14,250
IFB Ser. 07-67, Class EI, IO, 0.02s, 2037 4,735,759 1,894
IFB Ser. 07-67, Class GI, IO, 0.02s, 2037 13,866,079 5,546
Ser. 07-73, Class MO, PO, zero %, 2037 707,360 545,116
FRB Ser. 07-73, Class KI, IO, zero %, 2037 7,073,598 165,207
FRB Ser. 07-73, Class KM, zero %, 2037 707,360 700,064
FRB Ser. 07-49, Class UF, zero %, 2037 262,285 254,978
FRB Ser. 07-33, Class TB, zero %, 2037 80,949 74,884
FRB Ser. 07-35, Class UF, zero %, 2037 404,893 413,952
FRB Ser. 07-22, Class TA, zero %, 2037 289,738 299,186
FRB Ser. 98-2, Class EA, PO, zero %, 2028 97,977 80,841
Government National Mortgage Association 144A IFB Ser.    
06-GG8, Class X, IO, 0.857s, 2039 (F) 26,413,603 791,192
Greenpoint Mortgage Funding Trust Ser. 05-AR1,    
Class X1, IO, 4.287s, 2045 6,193,740 162,729
Greenwich Capital Commercial Funding Corp. Ser.    
05-GG5, Class XC, IO, 0.071s, 2037 183,532,276 592,809
Greenwich Capital Commercial Funding Corp. 144A    
Ser. 07-GG9, Class X, IO, 0.512s, 2039 29,435,047 565,705
Ser. 05-GG3, Class XC, IO, 0.178s, 2042 136,241,977 1,958,478
GS Mortgage Securities Corp. II    
FRB Ser. 07-GG10, Class A3, 5.799s, 2045 2,285,000 2,247,590
Ser. 06-GG6, Class A2, 5.506s, 2038 2,998,000 3,014,729
Ser. 05-GG4, Class A4, 4.761s, 2039 (F) 197,000 184,630
GS Mortgage Securities Corp. II 144A    
Ser. 98-C1, Class F, 6s, 2030 1,286,000 1,271,031
FRB Ser. 07-EOP, Class J, 3.591s, 2009 428,000 376,640
Ser. 04-C1, Class X1, IO, 0.301s, 2028 27,752,934 191,495
Ser. 03-C1, Class X1, IO, 0.258s, 2040 19,485,197 392,471
Ser. 05-GG4, Class XC, IO, 0.22s, 2039 107,171,670 1,593,643
Ser. 06-GG6, Class XC, IO, 0.061s, 2038 52,707,540 137,040
GSMPS Mortgage Loan Trust    
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035 (F) 249,154 255,906
Ser. 05-RP3, Class 1A3, 8s, 2035 (F) 751,875 757,985
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035 (F) 679,371 672,722
GSMPS Mortgage Loan Trust 144A    
Ser. 05-RP2, Class 1A3, 8s, 2035 (F) 921,981 929,544
Ser. 05-RP1, Class 1A3, 8s, 2035 (F) 118,725 119,693
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035 (F) 1,017,358 1,007,058
IFB Ser. 04-4, Class 1AS, IO, 3.508s, 2034 11,534,044 755,963
GSR Mortgage Loan Trust Ser. 05-AR2, Class 2A1,    
4.836s, 2035 (F) 1,698,786 1,567,503
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,    
2035 (Cayman Islands) (F) 282,722 70,680
IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,    
3.005s, 2037 5,040,947 4,473,840
IndyMac Indx Mortgage Loan Trust FRB Ser. 07-AR11,    
Class 1A1, 5.654s, 2037 (F) 3,455,805 2,461,784
JPMorgan Chase Commercial Mortgage Securities Corp.    
Ser. 97-C5, Class F, 7.561s, 2029 911,000 894,274
FRB Ser. 07-LD12, Class AM, 6.063s, 2051 5,510,000 5,157,856
FRB Ser. 07-LD12, Class A3, 5.99s, 2051 26,282,000 26,056,238
FRB Ser. 07-LD11, Class A3, 5.819s, 2049 2,850,000 2,809,986
Ser. 07-CB20, Class A3, 5.863s, 2051 5,740,000 5,624,282
Ser. 06-CB15, Class A4, 5.814s, 2043 4,443,000 4,488,168
Ser. 07-CB20, Class A4, 5.794s, 2051 3,738,000 3,687,201
FRB Ser. 04-PNC1, Class A4, 5.371s, 2041 75,000 75,333
Ser. 06-CB14, Class A4, 5.481s, 2044 4,125,000 4,076,036
Ser. 05-CB12, Class A4, 4.895s, 2037 198,000 191,078
Ser. 04-C3, Class A5, 4.878s, 2042 189,000 183,028
Ser. 05-LDP2, Class AM, 4.78s, 2042 1,990,000 1,642,779
Ser. 06-LDP8, Class X, IO, 0.762s, 2045 35,036,999 1,128,191
Ser. 06-CB17, Class X, IO, 0.702s, 2043 42,839,724 1,312,181
Ser. 06-LDP9, Class X, IO, 0.642s, 2047 9,815,793 257,281
Ser. 07-LDPX, Class X, IO, 0.526s, 2049 54,534,763 1,018,267
Ser. 06-CB16, Class X1, IO, 0.087s, 2045 39,952,851 487,425
Ser. 06-LDP7, Class X, IO, 0.02s, 2045 228,310,479 178,368
JPMorgan Chase Commercial Mortgage Securities Corp.    
144A    
Ser. 03-ML1A, Class X1, IO, 0.67s, 2039 39,181,137 1,347,048
Ser. 05-LDP1, Class X1, IO, 0.158s, 2046 54,849,753 439,226
Ser. 05-LDP2, Class X1, IO, 0.157s, 2042 165,959,742 2,489,396
Ser. 05-CB12, Class X1, IO, 0.132s, 2037 54,404,302 469,662
Ser. 05-LDP3, Class X1, IO, 0.096s, 2042 81,587,993 548,169

Ser. 06-LDP6, Class X1, IO, 0.08s, 2043 68,338,585 309,659
Ser. 07-CB20, Class X1, IO, 0.068s, 2051 89,095,941 1,016,585
Ser. 05-LDP5, Class X1, IO, 0.068s, 2044 344,609,342 1,359,591
LB Commercial Conduit Mortgage Trust 144A    
Ser. 99-C1, Class F, 6.41s, 2031 715,303 678,257
Ser. 99-C1, Class G, 6.41s, 2031 765,731 753,608
Ser. 98-C4, Class G, 5.6s, 2035 634,000 572,074
Ser. 98-C4, Class H, 5.6s, 2035 1,074,000 1,077,202
LB-UBS Commercial Mortgage Trust    
Ser. 01-C3, Class A2, 6.365s, 2028 67,000 68,660
Ser. 07-C6, Class A2, 5.845s, 2012 8,188,000 8,221,181
Ser. 04-C7, Class A6, 4.786s, 2029 1,733,000 1,649,945
Ser. 07-C2, Class XW, IO, 0.73s, 2040 11,764,601 368,214
LB-UBS Commercial Mortgage Trust 144A    
Ser. 06-C7, Class XW, IO, 0.914s, 2038 30,455,358 1,132,378
Ser. 03-C5, Class XCL, IO, 0.86s, 2037 20,931,384 335,574
Ser. 05-C3, Class XCL, IO, 0.183s, 2040 66,550,322 1,201,225
Ser. 05-C2, Class XCL, IO, 0.151s, 2040 123,140,666 1,101,077
Ser. 05-C5, Class XCL, IO, 0.14s, 2020 69,596,753 819,161
Ser. 05-C7, Class XCL, IO, 0.121s, 2040 83,184,116 602,255
Ser. 06-C1, Class XCL, IO, 0.106s, 2041 66,616,137 623,695
Ser. 06-C7, Class XCL, IO, 0.095s, 2038 47,047,507 451,273
Ser. 07-C2, Class XCL, IO, 0.074s, 2040 101,094,234 1,314,225
Lehman Brothers Floating Rate Commercial Mortgage    
Trust 144A    
FRB Ser. 04-LLFA, Class H, 3.666s, 2017 733,000 670,695
FRB Ser. 05-LLFA, Class J, 3.516s, 2018 423,000 372,240
Lehman Mortgage Trust    
IFB Ser. 06-7, Class 1A9, 23.55s, 2036 744,540 891,819
IFB Ser. 07-5, Class 4A3, 22.71s, 2036 2,046,447 2,382,285
IFB Ser. 06-7, Class 4A2, IO, 4.855s, 2036 3,372,249 326,857
IFB Ser. 07-5, Class 8A2, IO, 4.825s, 2036 3,464,708 297,031
Ser. 07-1, Class 3A2, IO, 4.355s, 2037 3,855,747 401,675
IFB Ser. 06-9, Class 3A2, IO, 4.335s, 2037 2,393,842 241,196
IFB Ser. 07-4, Class 3A2, IO, 4.305s, 2037 3,181,142 283,931
IFB Ser. 06-5, Class 2A2, IO, 4.255s, 2036 7,106,808 539,489
IFB Ser. 07-2, Class 2A13, IO, 3.795s, 2037 5,560,525 452,056
IFB Ser. 07-4, Class 2A2, IO, 3.775s, 2037 12,745,414 1,052,829
IFB Ser. 07-1, Class 2A3, IO, 3.735s, 2037 6,491,883 595,340
Ser. 06-9, Class 2A3, IO, 3.725s, 2036 7,900,923 708,468
IFB Ser. 06-9, Class 2A2, IO, 3.725s, 2037 5,716,674 508,551
IFB Ser. 06-7, Class 2A4, IO, 3.655s, 2036 11,227,876 746,600
IFB Ser. 06-7, Class 2A5, IO, 3.655s, 2036 10,382,223 847,470
IFB Ser. 06-6, Class 1A2, IO, 3.605s, 2036 4,199,941 274,141
IFB Ser. 06-6, Class 1A3, IO, 3.605s, 2036 5,924,160 426,861
IFB Ser. 07-5, Class 10A2, IO, 3.445s, 2037 6,339,471 395,125
Local Insight Media Finance, LLC Ser. 07-1W, Class A1,    
5.53s, 2012 5,135,832 5,007,949
MASTR Adjustable Rate Mortgages Trust    
Ser. 04-7, Class 2A1, 7.18s, 2034 168,310 136,552
FRB Ser. 04-13, Class 3A6, 3.787s, 2034 2,253,000 2,142,793
Ser. 04-03, Class 4AX, IO, 1.417s, 2034 2,234,438 16,939
Ser. 05-2, Class 7AX, IO, 0.168s, 2035 5,375,250 9,381
MASTR Reperforming Loan Trust 144A    
Ser. 05-2, Class 1A3, 7 1/2s, 2035 660,006 710,908
Ser. 05-1, Class 1A4, 7 1/2s, 2034 1,594,407 1,717,798
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1,    
3.506s, 2027 4,783,057 4,261,704
Merrill Lynch Capital Funding Corp. Ser. 06-4,    
Class XC, IO, 0.062s, 2049 89,452,214 985,372
Merrill Lynch Floating Trust 144A    
FRB Ser. 06-1, Class TM, 3.216s, 2022 1,019,621 866,678
Ser. 06-1, Class X1A, IO, 1.527s, 2022 17,885,125 146,714
Merrill Lynch Mortgage Investors, Inc.    
FRB Ser. 98-C3, Class E, 6.919s, 2030 644,000 668,617
FRB Ser. 05-A9, Class 3A1, 5.275s, 2035 3,586,373 3,424,986
Merrill Lynch Mortgage Trust    
FRB Ser. 07-C1, Class A3, 5.829s, 2050 1,576,000 1,560,786
FRB Ser. 07-C1, Class A4, 5.829s, 2050 1,777,000 1,767,935
FRB Ser. 04-BPC1, Class A5, 4.855s, 2041 (F) 193,000 184,058
FRB Ser. 05-MCP1, Class A4, 4.747s, 2043 187,000 179,226
Ser. 05-MCP1, Class XC, IO, 0.126s, 2043 70,034,897 787,893
Merrill Lynch Mortgage Trust 144A    
Ser. 04-KEY2, Class XC, IO, 0.255s, 2039 15,934,499 318,939
Ser. 05-LC1, Class X, IO, 0.236s, 2044 36,863,650 263,518
Merrill Lynch/Countrywide Commercial Mortgage Trust    
FRB Ser. 07-8, Class A3, 5.957s, 2049 4,551,000 4,572,632
FRB Ser. 07-8, Class A2, 5.92s, 2049 2,784,000 2,769,564
Ser. 07-9, Class A4, 5.748s, 2049 9,050,000 8,827,942
Merrill Lynch/Countrywide Commercial Mortgage Trust    
144A    
Ser. 06-1, Class X, IO, 0.134s, 2039 29,995,365 117,169
Ser. 06-3, Class XC, IO, 0.078s, 2046 53,056,791 679,127
Ser. 07-7, Class X, IO, 0.02s, 2050 192,618,252 601,932
Mezz Cap Commercial Mortgage Trust 144A    
Ser. 04-C1, Class X, IO, 8.007s, 2037 3,072,900 788,391
Ser. 04-C2, Class X, IO, 6.004s, 2040 2,424,342 625,783
Ser. 05-C3, Class X, IO, 5.555s, 2044 2,848,194 706,263
Ser. 06-C4, Class X, IO, 5.477s, 2016 8,743,430 2,470,019
Morgan Stanley Capital 144A Ser. 05-RR6, Class X, IO,    
1.699s, 2043 10,057,361 388,717
Morgan Stanley Capital I    
FRB Ser. 08-T29, Class A3, 6.28s, 2043 1,316,000 1,339,083
FRB Ser. 06-IQ11, Class A4, 5.773s, 2042 4,443,000 4,332,407
FRB Ser. 07-IQ14, Class AM, 5.691s, 2049 1,732,000 1,593,307
Ser. 05-HQ6, Class A4A, 4.989s, 2042 3,963,000 3,969,787
Ser. 04-HQ4, Class A7, 4.97s, 2040 2,047,000 2,003,030

Morgan Stanley Capital I 144A    
Ser. 98-HF1, Class F, 7.18s, 2030 44,105 44,185
Ser. 04-RR, Class F5, 6s, 2039 1,000,000 650,000
Ser. 04-RR, Class F6, 6s, 2039 1,700,000 1,020,000
Ser. 07-HQ13, Class X1, IO, 0.823s, 2044 59,898,281 1,541,183
Ser. 05-HQ5, Class X1, IO, 0.17s, 2042 22,700,678 148,916
Ser. 05-HQ6, Class X1, IO, 0.117s, 2042 75,856,679 620,053
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,    
Class 2A1, 5.448s, 2035 4,160,553 3,013,905
Mortgage Capital Funding, Inc. FRB Ser. 98-MC2,    
Class E, 7.066s, 2030 1,020,000 1,031,282
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,    
7.569s, 2035 389,256 373,803
Nomura Asset Acceptance Corp. 144A Ser. 04-R2,    
Class PT, 9.087s, 2034 376,640 426,319
Permanent Financing PLC FRB Ser. 8, Class 2C, 3.39s,    
2042 (United Kingdom) 2,054,000 2,037,646
Permanent Financing PLC 144A FRB Ser. 9A, Class 3A,    
3.09s, 2033 (United Kingdom) 3,086,000 2,984,162
Permanent Master Issuer PLC FRB Ser. 07-1, Class 4A,    
2.793s, 2033 (United Kingdom) 3,745,000 3,576,850
PNC Mortgage Acceptance Corp. 144A    
Ser. 99-CM1, Class B3, 7.1s, 2032 3,870,000 3,842,252
Ser. 00-C1, Class J, 6 5/8s, 2010 456,000 303,523
Ser. 00-C2, Class J, 6.22s, 2033 1,113,000 1,029,981
Residential Asset Securitization Trust IFB Ser. 07-A3,    
Class 2A2, IO, 3.795s, 2037 12,824,317 1,083,030
Residential Funding Mortgage Securities I Ser. 04-S5,    
Class 2A1, 4 1/2s, 2019 2,531,614 2,413,542
Saco I Trust FRB Ser. 05-10, Class 1A1, 3.155s, 2033 1,066,369 693,140
Salomon Brothers Mortgage Securities VII 144A Ser.    
02-KEY2, Class X1, IO, 0.799s, 2036 23,580,285 993,729
SBA CMBS Trust 144A Ser. 05-1A, Class D, 6.219s, 2035 600,000 561,097
STRIPS 144A    
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands) 757,000 620,740
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands) 513,000 384,750
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands) 337,000 262,860
Structured Adjustable Rate Mortgage Loan Trust    
Ser. 04-8, Class 1A3, 6.833s, 2034 11,956 11,511
FRB Ser. 07-8, Class 1A2, 6 1/4s, 2037 10,215,250 8,709,522
FRB Ser. 05-18, Class 6A1, 5 1/4s, 2035 (F) 2,003,321 1,761,995
Ser. 05-9, Class AX, IO, 1.599s, 2035 20,404,886 550,932
Structured Adjustable Rate Mortgage Loan Trust 144A    
Ser. 04-NP2, Class A, 3.245s, 2034 632,894 582,262
Structured Asset Securities Corp.    
IFB Ser. 07-4, Class 1A3, IO, 3.605s, 2037 46,878,588 3,193,765
Ser. 07-4, Class 1A4, IO, 1s, 2037 49,655,550 1,308,292
Structured Asset Securities Corp. 144A    
Ser. 07-RF1, Class 1A, IO, 2.659s, 2037 12,346,386 618,769
Ser. 06-RF4, Class 1A, IO, 0.356s, 2036 6,594,471 354,540
Wachovia Bank Commercial Mortgage Trust    
FRB Ser. 07-C33, Class A3, 5.9s, 2051 3,570,000 3,519,306
Ser. 07-C30, Class A3, 5.246s, 2043 5,721,000 5,633,264
Ser. 04-C15, Class A4, 4.803s, 2041 3,055,000 2,901,189
Ser. 06-C28, Class XC, IO, 0.564s, 2048 23,356,440 474,603
Ser. 06-C29, IO, 0.529s, 2048 97,738,409 2,107,240
Ser. 07-C34, IO, 0.52s, 2046 24,024,004 545,825
Wachovia Bank Commercial Mortgage Trust 144A    
FRB Ser. 05-WL5A, Class L, 6.016s, 2018 771,000 616,800
Ser. 03-C3, Class IOI, IO, 0.492s, 2035 15,995,332 417,218
Ser. 07-C31, IO, 0.435s, 2047 91,564,652 1,473,275
Ser. 06-C27, Class XC, IO, 0.085s, 2045 45,605,399 433,251
Ser. 06-C23, Class XC, IO, 0.072s, 2045 90,256,660 457,601
Ser. 06-C26, Class XC, IO, 0.054s, 2045 34,403,201 97,017
WAMU Commercial Mortgage Securities Trust 144A    
Ser. 05-C1A, Class G, 5.72s, 2036 222,000 158,155
Ser. 06-SL1, Class X, IO, 1.005s, 2043 7,637,909 292,303
Ser. 07-SL2, Class X, IO, 0.852s, 2049 14,988,394 522,945
WAMU Mortgage Pass-Through Certificates FRB Ser.    
04-AR1, Class A, 4.229s, 2034 401,310 369,205
Washington Mutual Mortgage Pass-Through Certificates    
Ser. 07-2, Class CX, IO, 7s, 2037 921,529 169,994
Washington Mutual Multi-Fam., Mtge. 144A Ser. 01-1,    
Class B5, 7.189s, 2031 (Cayman Islands) 1,305,000 1,211,855
Wells Fargo Mortgage Backed Securities Trust    
Ser. 06-AR10, Class 3A1, 5.258s, 2036 2,459,854 2,345,797
Ser. 05-AR2, Class 2A1, 4.541s, 2035 1,293,843 1,199,231
Ser. 05-AR9, Class 1A2, 4.366s, 2035 1,579,492 1,184,619
Ser. 04-R, Class 2A1, 4.365s, 2034 1,261,986 1,206,035
Ser. 05-AR12, Class 2A5, 4.336s, 2035 18,969,000 17,181,765
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035 44,983,000 232,029
 
Total collateralized mortgage obligations (cost $748,457,042)   $781,146,535
 
CORPORATE BONDS AND NOTES (10.5%)(a)    
  Principal amount Value
Basic Materials (0.2%)    
Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011    
(Canada) $310,000 $316,200
Dow Chemical Co. (The) Pass Through Trust 144A company    
guaranty 4.027s, 2009 1,510,000 1,525,440
E.I. du Pont de Nemours & Co. sr. unsec. 5s, 2013 560,000 572,134
Georgia-Pacific Corp. debs. 9 1/2s, 2011 556,000 586,580
Georgia-Pacific Corp. notes 8 1/8s, 2011 635,000 658,019
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014 470,000 457,487
Monsanto Co. company guaranty sr. unsec. notes 5 7/8s,    

2038 515,000 508,191
Monsanto Co. sr. unsec. unsub. notes 5 1/8s, 2018 355,000 353,486
Packaging Corp. of America unsec. unsub. notes 5 3/4s,    
2013 345,000 337,086
PPG Industries, Inc. sr. unsec. unsub. notes 6.65s,    
2018 185,000 195,237
Steel Dynamics, Inc. company guaranty sr. unsec.    
unsub. notes 6 3/4s, 2015 1,080,000 1,066,500
Steel Dynamics, Inc. 144A sr. notes 7 3/8s, 2012 700,000 712,250
Westvaco Corp. unsec. notes 7 1/2s, 2027 175,000 175,894
Xstrata Finance Canada, Ltd. 144A company guaranty    
5.8s, 2016 (Canada) 735,000 704,900
    8,169,404
 
Capital Goods (0.2%)    
Caterpillar Financial Services Corp. sr. unsec. 4.85s,    
2012 820,000 830,526
Caterpillar Financial Services Corp. sr. unsec. notes    
Ser. MTN, 5.85s, 2017 1,505,000 1,569,912
Caterpillar Financial Services Corp. sr. unsec. notes    
Ser. MTN, 5.45s, 2018 980,000 994,031
John Deere Capital Corp. sr. unsec. notes Ser. MTN,    
5.35s, 2018 335,000 338,302
L-3 Communications Corp. company guaranty Ser. B,    
6 3/8s, 2015 595,000 588,306
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015 435,000 421,950
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 860,000 924,790
Pitney Bowes, Inc. sr. unsec. notes 5.6s, 2018 125,000 124,426
Sealed Air Corp. 144A notes 5 5/8s, 2013 210,000 213,877
United Technologies Corp. sr. unsec. notes 5 3/8s, 2017 1,310,000 1,340,948
    7,347,068
 
Communication Services (1.0%)    
American Tower Corp. 144A sr. notes 7s, 2017 (S) 1,250,000 1,262,500
Ameritech Capital Funding company guaranty 6 1/4s, 2009 200,000 205,412
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031 1,139,000 1,401,962
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011 3,140,000 3,396,868
AT&T, Inc. sr. unsec. unsub. bonds 5 1/2s, 2018 245,000 244,959
AT&T, Inc. sr. unsec. 6.3s, 2038 3,645,000 3,647,994
AT&T, Inc. sr. unsec. 4.95s, 2013 (S) 1,135,000 1,147,336
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030 1,800,000 2,044,510
British Telecommunications PLC sr. unsec. notes 5.15s,    
2013 (United Kingdom) 1,875,000 1,868,606
France Telecom notes 8 1/2s, 2031 (France) 180,000 231,996
Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s,    
2013 600,000 495,000
Nextel Communications, Inc. sr. notes Ser. F, 5.95s,    
2014 2,655,000 2,070,900
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada) 2,055,000 2,097,128
Southwestern Bell Telephone debs. 7s, 2027 1,075,000 1,061,710
Sprint Capital Corp. company guaranty 6 7/8s, 2028 1,965,000 1,527,788
Telecom Italia Capital SA company guaranty 7.2s, 2036    
(Luxembourg) 350,000 343,067
Telecom Italia Capital SA company guaranty 5 1/4s,    
2015 (Luxembourg) 965,000 902,398
Telecom Italia Capital SA company guaranty 5 1/4s,    
2013 (Luxembourg) 515,000 493,777
Telecom Italia Capital SA company guaranty 4s, 2010    
(Luxembourg) 60,000 58,684
Telefonica Emisones SAU company guaranty 7.045s, 2036    
(Spain) 690,000 760,939
Telefonica Emisones SAU company guaranty 6.421s, 2016    
(Spain) 270,000 285,721
Telefonica Emisones SAU company guaranty 6.221s, 2017    
(Spain) 385,000 401,609
Telefonica Europe BV company guaranty 8 1/4s, 2030    
(Netherlands) 595,000 722,351
Telus Corp. notes 8s, 2011 (Canada) 1,055,000 1,138,129
Verizon Communications, Inc. sr. unsec. 5.55s, 2016 1,460,000 1,472,611
Verizon Communications, Inc. sr. unsec. notes 6.4s,    
2038 145,000 146,873
Verizon New England, Inc. sr. notes 6 1/2s, 2011 2,285,000 2,361,833
Verizon New Jersey, Inc. debs. 8s, 2022 770,000 869,215
Verizon Pennsylvania, Inc. debs. 8.35s, 2030 980,000 1,162,842
Vodafone Group PLC unsec. notes 6.15s, 2037 (United    
Kingdom) (S) 1,550,000 1,464,750
    35,289,468
 
Conglomerates (0.1%)    
General Electric Co. sr. unsec. notes 5 1/4s, 2017 720,000 716,535
Honeywell International, Inc. sr. unsec. notes 5.3s,    
2018 455,000 462,957
Siemens Financieringsmaatschappij 144A notes 5 3/4s,    
2016 (Netherlands) 680,000 688,548
Textron, Inc. sr. unsec. 5.6s, 2017 1,400,000 1,415,074
    3,283,114
 
Consumer Cyclicals (0.5%)    
D.R. Horton, Inc. sr. notes 7 7/8s, 2011 565,000 546,709
D.R. Horton, Inc. sr. notes 5 7/8s, 2013 660,000 607,200
DaimlerChrysler NA Holding Corp. company guaranty    
unsec. notes 7.2s, 2009 1,545,000 1,598,976
DaimlerChrysler NA Holding Corp. company guaranty    
6 1/2s, 2013 565,000 588,289
DaimlerChrysler NA Holding Corp. company guaranty    

unsec. unsub. notes Ser. E, 5 3/4s, 2011 1,730,000 1,772,411
Ford Motor Credit Co., LLC notes 6 3/8s, 2008 980,000 968,301
Hanson PLC company guaranty 6 1/8s, 2016 (United    
Kingdom) 175,000 169,083
Harley-Davidson Funding Corp. company guaranty 5 1/4s,    
2012 1,250,000 1,254,493
JC Penney Co., Inc. debs. 7.65s, 2016 110,000 112,685
JC Penney Co., Inc. notes 6 7/8s, 2015 910,000 882,623
Marriott International, Inc. notes 6 3/8s, 2017 926,000 906,211
Marriott International, Inc. sr. unsec. Ser. J,    
5 5/8s, 2013 150,000 146,342
Mattel, Inc. sr. unsec. notes 5 5/8s, 2013 330,000 325,752
Omnicom Group, Inc. sr. notes 5.9s, 2016 635,000 641,289
Starwood Hotels & Resorts Worldwide, Inc. sr. unsec.    
notes 6 1/4s, 2013 1,445,000 1,433,684
Target Corp. bonds 6 1/2s, 2037 1,705,000 1,718,342
VF Corp. sr. unsec. 5.95s, 2017 730,000 726,824
Vulcan Materials Co. sr. unsub. 5.6s, 2012 875,000 881,352
    15,280,566
 
Consumer Staples (1.2%)    
Campbell Soup Co. debs. 8 7/8s, 2021 855,000 1,138,411
ConAgra Foods, Inc. unsec. notes 7 7/8s, 2010 2,750,000 2,960,587
Cox Communications, Inc. notes 7 1/8s, 2012 890,000 946,199
Cox Communications, Inc. 144A notes 5 7/8s, 2016 1,155,000 1,155,270
Cox Enterprises, Inc. 144A notes 7 7/8s, 2010 1,045,000 1,110,075
CVS Caremark, Corp. sr. unsec. FRN 6.302s, 2037 2,485,000 2,125,980
CVS Caremark, Corp. 144A pass-through certificates    
6.117s, 2013 1,950,342 2,071,848
Delhaize Group sr. unsub. notes 6 1/2s, 2017 (Belgium) 565,000 596,323
Diageo Capital PLC company guaranty 5 3/4s, 2017    
(United Kingdom) 925,000 943,285
Diageo Capital PLC company guaranty 5.2s, 2013 (United    
Kingdom) 395,000 402,914
Diageo PLC company guaranty 8s, 2022 760,000 915,637
Estee Lauder Cos., Inc. (The) sr. unsec. notes 6s, 2037 1,040,000 961,041
Estee Lauder Cos., Inc. (The) sr. unsec. notes 5.55s,    
2017 280,000 275,900
General Mills, Inc. sr. unsec. unsub. 5.65s, 2012 1,470,000 1,513,172
Kellogg Co. sr. unsub. 5 1/8s, 2012 165,000 169,147
Kroger Co. company guaranty 6 3/4s, 2012 275,000 292,491
Kroger Co. company guaranty 6.4s, 2017 995,000 1,058,548
Kroger Co. company guaranty sr. notes 5s, 2013 175,000 175,363
McDonald's Corp. sr. unsec. Ser. MTN, 6.3s, 2038 535,000 544,931
McDonald's Corp. sr. unsec. bond 6.3s, 2037 860,000 879,779
McDonald's Corp. sr. unsec. bond 5.8s, 2017 435,000 452,270
Newell Rubbermaid, Inc. sr. unsec. notes 5 1/2s, 2013 160,000 161,084
News America Holdings, Inc. company guaranty 7 3/4s,    
2024 1,045,000 1,120,603
News America Holdings, Inc. debs. 7 3/4s, 2045 1,955,000 2,184,630
Sara Lee Corp. sr. unsec. unsub. notes 6 1/4s, 2011 865,000 895,566
TCI Communications, Inc. company guaranty 7 7/8s, 2026 2,170,000 2,386,826
TCI Communications, Inc. debs. 9.8s, 2012 1,870,000 2,108,068
TCI Communications, Inc. debs. 7 7/8s, 2013 1,240,000 1,348,059
Tesco PLC 144A notes 6.15s, 2037 (United Kingdom) 1,080,000 1,051,188
Time Warner Cable, Inc. company guaranty 5.85s, 2017 475,000 471,367
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023 170,000 191,678
Time Warner, Inc. debs. 9.15s, 2023 340,000 403,654
Time Warner, Inc. debs. 9 1/8s, 2013 2,435,000 2,737,727
Viacom, Inc. sr. notes 5 3/4s, 2011 610,000 616,814
Walt Disney Co. (The) sr. unsec. 4.7s, 2012 2,115,000 2,152,351
Yum! Brands, Inc. sr. unsec. unsub. 6 1/4s, 2018 820,000 828,333
    39,347,119
 
Energy (0.5%)    
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 575,000 589,374
Chesapeake Energy Corp. sr. unsec. notes 7 5/8s, 2013 1,010,000 1,057,975
Enterprise Products Operating LP company guaranty FRB    
8 3/8s, 2066 1,945,000 1,935,932
Enterprise Products Operating LP company guaranty FRB    
7.034s, 2068 55,000 48,058
Enterprise Products Operating, LLC company guaranty    
sr. notes 6 1/2s, 2019 340,000 350,614
EOG Resources, Inc. sr. unsec. notes 5 7/8s, 2017 645,000 669,104
Forest Oil Corp. sr. notes 8s, 2011 610,000 644,313
Hess Corp. bonds 7 7/8s, 2029 1,160,000 1,386,911
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012 225,000 235,877
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016 650,000 640,250
Nexen, Inc. unsec. unsub. notes 6.4s, 2037 (Canada) 595,000 581,870
Peabody Energy Corp. sr. notes 5 7/8s, 2016 805,000 778,838
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015 1,330,000 1,386,893
Sunoco, Inc. notes 4 7/8s, 2014 590,000 562,731
Tesoro Corp. company guaranty 6 1/2s, 2017 (S) 1,025,000 940,438
Valero Energy Corp. sr. notes 6 1/8s, 2017 160,000 161,403
Valero Energy Corp. sr. unsec. notes 7 1/2s, 2032 755,000 781,505
Weatherford International, Inc. company guaranty sr.    
unsec. unsub. bonds 6.8s, 2037 245,000 258,178
Weatherford International, Inc. company guaranty    
sr.unsec. unsub. bonds 6.35s, 2017 280,000 294,807
Weatherford International, Ltd. company guaranty    
6 1/2s, 2036 855,000 839,709
Weatherford International, Ltd. sr. notes 5 1/2s, 2016 455,000 444,239
XTO Energy, Inc. sr. unsec. 5 1/2s, 2018 390,000 386,426
XTO Energy, Inc. sr. unsec. notes 6 3/8s, 2038 770,000 776,513
    15,751,958

Financial (4.2%)    
AGFC Capital Trust I company guaranty 6s, 2067 620,000 497,480
Allstate Life Global Funding Trusts notes Ser. MTN,    
5 3/8s, 2013 1,805,000 1,832,151
American Express Bank FSB notes Ser. BKN1, 5.55s, 2012 2,465,000 2,466,856
American Express Co. sr. unsec. notes 6.15s, 2017 1,275,000 1,288,394
American International Group, Inc. jr. sub. bond    
6 1/4s, 2037 2,075,000 1,769,704
Ameriprise Financial, Inc. jr. sub. FRN 7.518s, 2066 1,745,000 1,611,696
Amvescap PLC company guaranty 5 5/8s, 2012 520,000 501,025
Bank of America Corp. sr. unsec. notes 5.65s, 2018 3,435,000 3,429,619
Bank of New York Mellon Corp. (The) sr. unsec. unsub.    
notes 4.95s, 2012 600,000 609,023
Barclays Bank PLC FRB 6.278s, 2049 (United Kingdom) 1,110,000 913,014
Barclays Bank PLC 144A sub. bonds FRB 7.7s, 2049    
(United Kingdom) 1,875,000 1,912,500
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,    
2012 1,715,000 1,798,665
Bear Stearns Cos., Inc. (The) sr. notes 6.4s, 2017 370,000 381,551
Bosphorus Financial Services, Ltd. 144A sec. sr. notes    
FRN 4.865s, 2012 (Cayman Islands) 2,378,000 2,290,045
Capital One Capital III company guaranty 7.686s, 2036 1,280,000 1,093,385
Capital One Financial Corp. sr. unsec. unsub. notes    
FRN Ser. MTN, 2.96s, 2009 240,000 216,867
Chubb Corp. (The) sr. notes 6s, 2037 670,000 623,023
CIT Group, Inc. jr. sub. FRN 6.1s, 2067 3,330,000 1,764,900
CIT Group, Inc. med. term notes 3.303s, 2008 50,000 49,586
CIT Group, Inc. sr. notes 5.4s, 2013 155,000 129,411
CIT Group, Inc. sr. notes 5s, 2015 170,000 140,694
CIT Group, Inc. sr. notes 5s, 2014 1,210,000 999,933
Citigroup, Inc. sr. unsec. bonds 6 7/8s, 2038 681,000 709,548
Citigroup, Inc. sub. notes 5s, 2014 1,295,000 1,234,218
CNA Financial Corp. unsec. notes 6 1/2s, 2016 1,015,000 997,942
CNA Financial Corp. unsec. notes 6s, 2011 730,000 738,967
Credit Suisse Guernsey Ltd. jr. sub. FRN 5.86s, 2049    
(Guernsey) 1,416,000 1,198,517
Deutsche Bank Capital Funding Trust VII 144A FRB    
5.628s, 2049 1,145,000 972,729
Developers Diversified Realty Corp. unsec. notes    
5 3/8s, 2012 (R) 385,000 359,428
Dresdner Funding Trust I 144A bonds 8.151s, 2031 1,250,000 954,674
Duke Realty LP sr. unsec 6 1/2s, 2018 1,445,000 1,335,970
Equity One, Inc. notes 5 3/8s, 2015 (R) 695,000 620,338
Erac USA Finance Co. 144A company guaranty 6 3/8s, 2017 1,120,000 1,012,011
Fleet Capital Trust V bank guaranty FRN 3.764s, 2028 940,000 740,928
Fund American Cos., Inc. notes 5 7/8s, 2013 1,370,000 1,346,341
GATX Financial Corp. notes 5.8s, 2016 560,000 543,841
General Electric Capital Corp. sr. unsec. notes    
5 7/8s, 2038 5,195,000 4,953,048
General Electric Capital Corp. sr. unsec. 5 5/8s, 2017    
(S) 3,520,000 3,586,380
General Electric Capital Corp. sub. notes FRN 6 3/8s,    
2067 1,420,000 1,421,367
Genworth Life Institutional Funding Trust notes Ser.    
MTN, 5 7/8s, 2013 (FWC) 1,315,000 1,329,991
GMAC, LLC sr. unsec. unsub. notes 7s, 2012 845,000 691,170
GMAC, LLC unsub. notes FRN 4.315s, 2009 2,920,000 2,663,948
Goldman Sachs Group, Inc. (The) sr. notes 5.45s, 2012 1,210,000 1,231,629
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037 2,990,000 2,951,230
HCP, Inc. sr. unsec. Ser. MTN, 6.7s, 2018 (R) 1,015,000 910,299
Health Care REIT, Inc. sr. notes 6s, 2013 (R) 385,000 367,923
Highwood Properties, Inc. sr. unsec. bonds 5.85s, 2017    
(R) 1,005,000 872,174
Hospitality Properties Trust notes 6 3/4s, 2013 (R) 780,000 758,940
HRPT Properties Trust bonds 5 3/4s, 2014 (R) 530,000 477,176
HRPT Properties Trust notes 6 1/4s, 2016 (R) 525,000 485,319
HSBC Finance Capital Trust IX FRN 5.911s, 2035 3,300,000 2,742,274
HSBC Holdings PLC sub. notes 6 1/2s, 2037 (United    
Kingdom) (S) 3,555,000 3,486,182
ILFC E-Capital Trust II 144A FRB 6 1/4s, 2065 2,560,000 2,206,249
International Lease Finance Corp. sr. unsec. 6 3/8s,    
2013 210,000 212,849
iStar Financial, Inc. sr. unsec. notes 5 7/8s, 2016 (R) 1,630,000 1,369,200
iStar Financial, Inc. sr. unsec. notes Ser. B, 4 7/8s,    
2009 (R) (S) 705,000 664,463
JPMorgan Chase & Co. sr. notes 6s, 2018 (S) 2,665,000 2,762,281
JPMorgan Chase Capital XVIII bonds Ser. R, 6.95s, 2036 1,996,000 1,905,505
JPMorgan Chase Capital XXV bonds 6.8s, 2037 780,000 739,194
Lehman Brothers E-Capital Trust I FRN 3.85s, 2065 1,589,000 1,257,595
Lehman Brothers Holdings, Inc. sr. unsec. notes Ser.    
I, 6.2s, 2014 1,660,000 1,670,310
Lehman Brothers Holdings, Inc. sr. unsec. notes Ser.    
MTN, 6 7/8s, 2018 3,100,000 3,174,978
Lehman Brothers Holdings, Inc. sr. unsec. notes Ser.    
MTN, 5s, 2011 1,535,000 1,487,154
Lehman Brothers Holdings, Inc. sub. notes 6 3/4s, 2017 3,295,000 3,288,466
Lehman Brothers Holdings, Inc. sub. notes 5 3/4s, 2017 160,000 149,536
Liberty Mutual Insurance 144A notes 7.697s, 2097 2,160,000 1,988,645
Lincoln National Corp. FRB 7s, 2066 790,000 727,966
Lincoln National Corp. sr. unsec. notes 6.3s, 2037 480,000 458,845
Loews Corp. notes 5 1/4s, 2016 510,000 498,868
Marsh & McLennan Cos., Inc. sr. unsec. notes 6 1/4s,    
2012 1,620,000 1,642,009
Marsh & McLennan Cos., Inc. sr. unsec. notes 5 3/8s,    
2014 980,000 963,623
Merrill Lynch & Co., Inc. notes 5.45s, 2013 1,940,000 1,893,900
Merrill Lynch & Co., Inc. notes Ser. MTN, 6.15s, 2013 460,000 459,038

Merrill Lynch & Co., Inc. notes FRN Ser. MTN, 3.12s,    
2011 835,000 766,997
MetLife Capital Trust IV jr. sub. debs. 7 7/8s, 2067 5,200,000 5,137,049
Metropolitan Life Global Funding I 144A sr. sec. notes    
5 1/8s, 2013 1,860,000 1,867,536
Monumental Global Funding, Ltd. 144A notes 5 1/2s,    
2013 (Cayman Islands) 1,410,000 1,425,593
Nationwide Financial Services, Inc. notes 5 5/8s, 2015 465,000 464,154
Nationwide Health Properties, Inc. notes 6 1/2s, 2011    
(R) 650,000 665,761
Nationwide Health Properties, Inc. unsec. notes    
6 1/4s, 2013 (R) 1,130,000 1,113,071
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031 375,000 385,240
NB Capital Trust IV company guaranty 8 1/4s, 2027 (S) 5,575,000 5,789,638
Nuveen Investments, Inc. sr. notes 5 1/2s, 2015 505,000 350,975
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033 1,240,000 1,302,258
Pacific Life Global Funding 144A notes 5.15s, 2013 1,525,000 1,536,171
ProLogis Trust sr. notes 5 3/4s, 2016 (R) 375,000 353,277
Protective Life Secured Trusts sr. sec. notes 5.45s,    
2012 840,000 842,139
Prudential Financial, Inc. notes Ser. MTN, 6s, 2017 845,000 854,103
Prudential Holdings LLC 144A bonds 8.695s, 2023 1,510,000 1,816,787
RBS Capital Trust IV company guaranty FRN 3.496s, 2049 2,384,000 1,848,036
Regency Centers LP sr. unsec. 5 7/8s, 2017 650,000 582,546
Rouse Co LP/TRC Co-Issuer Inc. 144A sr. notes 6 3/4s,    
2013 (R) 695,000 620,803
Rouse Co. (The) notes 7.2s, 2012 (R) 645,000 599,827
Royal Bank of Scotland Group PLC jr. sub. notes FRN    
Ser. MTN, 7.64s, 2049 (United Kingdom) 700,000 649,938
Simon Property Group LP unsub. bonds 5 3/4s, 2015 (R) 371,000 362,711
SLM Corp. notes Ser. MTNA, 4 1/2s, 2010 1,285,000 1,146,333
Sovereign Bancorp, Inc. sr. notes 4.8s, 2010 730,000 665,878
Swiss Re Capital I LP 144A FRN 6.854s, 2049 (United    
Kingdom) 850,000 764,003
Travelers Cos., Inc. (The) sr. unsec. notes 6 1/4s,    
2037 730,000 710,646
Unitrin, Inc. sr. notes 6s, 2017 740,000 679,360
Wachovia Bank NA sr. unsec. sub. notes 6.6s, 2038 693,000 670,125
Wachovia Bank NA sub. notes Ser. BKNT, 6s, 2017 2,310,000 2,300,781
Wachovia Corp. sr. unsec. notes Ser. MTN, 5 1/2s, 2013 925,000 927,383
Washington Mutual Bank/Henderson NV sub. notes Ser.    
BKNT, 5.95s, 2013 780,000 705,900
Wells Fargo & Co. sr.not 4 3/8s, 2013 (S) 2,120,000 2,097,189
Westfield Group sr. notes 5.7s, 2016 (Australia) 875,000 829,554
Westpac Capital Trust III 144A sub. notes FRN 5.819s,    
2049 (Australia) 1,010,000 882,215
Willis Group North America, Inc. company guaranty    
6.2s, 2017 605,000 590,446
ZFS Finance USA Trust I 144A bonds FRB 6 1/2s, 2037 2,130,000 1,893,639
    141,732,760
 
Health Care (0.3%)    
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037 5,050,000 4,961,373
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United    
Kingdom) (S) 1,805,000 1,911,157
Covidien International Finance SA 144A company    
guaranty 6.55s, 2037 (Luxembourg) 505,000 505,474
Covidien International Finance SA 144A company    
guaranty 6s, 2017 (Luxembourg) 585,000 596,771
Hospira, Inc. sr. notes 6.05s, 2017 560,000 548,295
Hospira, Inc. sr. notes 5.55s, 2012 785,000 776,427
UnitedHealth Group, Inc. bonds 6 7/8s, 2038 360,000 352,470
UnitedHealth Group, Inc. bonds 6s, 2018 525,000 518,828
UnitedHealth Group, Inc. sr. unsec. notes 5 1/2s, 2012 755,000 752,300
Ventas Realty LP/Capital Corp. sr. notes 6 3/4s, 2017    
(R) 470,000 461,775
    11,384,870
 
Technology (0.3%)    
Arrow Electronics, Inc. debs. 7 1/2s, 2027 760,000 779,951
Avnet, Inc. notes 6s, 2015 765,000 748,335
Electronic Data Systems Corp. sr. sec. notes Ser. B,    
6 1/2s, 2013 75,000 75,187
Fiserv, Inc. company guaranty sr. unsec. unsub. notes    
6.8s, 2017 760,000 774,911
Fiserv, Inc. company guaranty sr. unsec. unsub. notes    
6 1/8s, 2012 760,000 772,134
IBM Corp. sr. unsec. notes 5.7s, 2017 1,820,000 1,897,486
Motorola, Inc. sr. notes 8s, 2011 205,000 208,782
Motorola, Inc. sr. unsec. notes 6 5/8s, 2037 1,040,000 860,694
Motorola, Inc. sr. unsec. notes 6s, 2017 530,000 479,523
Tyco Electronics Group SA company guaranty 6s, 2012    
(Luxembourg) 1,150,000 1,176,071
Tyco Electronics Group SA 144A company guaranty sr.    
unsec. bond 6.55s, 2017 (Luxembourg) 180,000 184,284
Xerox Corp. sr. notes 6.4s, 2016 1,030,000 1,049,550
Xerox Corp. sr. unsec. notes 6.35s, 2018 960,000 964,849
    9,971,757
 
Transportation (0.3%)    
American Airlines, Inc. pass-through certificates Ser.    
01-1, 6.817s, 2011 100,000 93,500
American Airlines, Inc. pass-through certificates Ser.    
01-2, 7.858s, 2011 525,000 525,000
Canadian National Railway Co. sr. unsec. unsub. notes    
5.55s, 2018 (Canada) 625,000 630,584

Continental Airlines, Inc. pass-through certificates    
Ser. 98-3, 6.32s, 2008 2,895,000 2,880,525
CSX Corp. sr. unsec. unsub. notes 6 1/4s, 2015 160,000 163,756
Delta Air Lines, Inc. pass-through certificates    
6.821s, 2022 899,876 795,908
Norfolk Southern Corp. 144A sr. unsec. 5 3/4s, 2018 1,215,000 1,232,192
Northwest Airlines Corp. pass-through certificates    
Ser. 00-1, 7.15s, 2019 1,514,646 1,393,474
Ryder System, Inc. sr. unsec. unsub. notes Ser. MTN,    
6s, 2013 330,000 333,529
Southwest Airlines Co. pass-through certificates    
6.15s, 2022 (S) 845,102 808,995
Union Pacific Corp. sr. unsub. notes 5 3/4s, 2017 750,000 759,308
Union Pacific Corp. 144A pass-through certificates    
5.214s, 2014 590,000 584,720
United AirLines, Inc. pass-through certificates    
6.636s, 2022 695,564 620,210
    10,821,701
 
Utilities & Power (1.7%)    
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013 905,000 912,922
American Water Capital Corp. 144A sr. unsec. bonds    
6.593s, 2037 455,000 438,031
American Water Capital Corp. 144A bonds 6.085s, 2017 510,000 507,268
Appalachian Power Co. sr. notes 5.8s, 2035 510,000 436,841
Arizona Public Services Co. notes 6 1/2s, 2012 1,040,000 1,047,199
Atmos Energy Corp. sr. unsub. notes 6.35s, 2017 905,000 904,242
Beaver Valley II Funding debs. 9s, 2017 1,436,000 1,572,736
Boardwalk Pipelines LP company guaranty 5 7/8s, 2016 1,950,000 1,887,104
Bruce Mansfield Unit pass-through certificates 6.85s,    
2034 2,390,000 2,439,847
CenterPoint Energy Houston Electric, LLC general ref.    
mtge. Ser. M2, 5 3/4s, 2014 110,000 111,528
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011 1,060,000 1,132,059
CMS Energy Corp. unsub. notes 6.55s, 2017 50,000 48,688
Commonwealth Edison Co. 1st mtge. 6.15s, 2017 275,000 282,439
Commonwealth Edison Co. 1st mtge. 5.9s, 2036 1,145,000 1,048,630
Commonwealth Edison Co. 1st mtge. sec. bond 5.8s, 2018 495,000 494,922
Consolidated Natural Gas Co. sr. notes 5s, 2014 530,000 512,381
Consumers Energy Co. 1st mtge. sec. bond 5.65s, 2018 1,805,000 1,801,954
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013 826,000 842,945
Dominion Resources, Inc. jr. sub. notes FRN 6.3s, 2066 3,085,000 2,820,723
Dominion Resources, Inc. sr. unsec. unsub. notes Ser.    
A, 5.6s, 2016 1,050,000 1,049,204
Duke Energy Carolinas LLC 1st mtge. sec. bond 6.05s,    
2038 630,000 639,404
E.ON International Finance BV 144A notes 5.8s, 2018    
(Netherlands) 2,500,000 2,518,620
El Paso Natural Gas Co. sr. unsec. 5.95s, 2017 120,000 119,085
Enbridge Energy Partners LP 144A notes 6 1/2s, 2018 1,245,000 1,260,291
Entergy Gulf States, Inc. 1st mtge. 5 1/4s, 2015 985,000 932,160
FirstEnergy Corp. notes Ser. B, 6.45s, 2011 862,000 895,182
Florida Power Corp. 1st mtge. 6.35s, 2037 1,040,000 1,097,169
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013 515,000 539,341
Indiantown Cogeneration LP 1st mtge. Ser. A-10, 9.77s,    
2020 775,000 838,891
Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,    
2016 170,000 175,100
ITC Holdings Corp. 144A notes 5 7/8s, 2016 1,090,000 1,059,295
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018 365,000 363,019
Kansas Gas & Electric bonds 5.647s, 2021 388,342 373,422
Kinder Morgan, Inc. notes 6s, 2017 (S) 545,000 540,537
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012 558,000 564,975
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036 2,345,000 2,342,965
MidAmerican Energy Holdings Co. sr. unsec. bond    
6 1/2s, 2037 380,000 398,950
National Fuel Gas Co. notes 5 1/4s, 2013 545,000 525,076
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s,    
2015 525,000 521,058
Northwestern Corp. sec. notes 5 7/8s, 2014 1,090,000 1,085,006
Oncor Electric Delivery Co. debs. 7s, 2022 675,000 661,137
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033 820,000 816,979
Pacific Gas & Electric Co. sr. unsec. notes 6.35s, 2038 350,000 357,437
Pacific Gas & Electric Co. sr. unsub. 5.8s, 2037 775,000 739,278
Pacific Gas & Electric Co. unsec. bonds 4.2s, 2011 95,000 94,779
PacifiCorp Sinking Fund 1st mtge. 6 1/4s, 2037 520,000 531,951
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016 1,085,000 1,079,905
Power Receivable Finance, LLC 144A sr. notes 6.29s,    
2012 808,924 833,701
PPL Energy Supply LLC bonds Ser. A, 5.7s, 2015 640,000 611,544
Public Service Co. of Colorado sr. notes Ser. A,    
6 7/8s, 2009 375,000 385,944
Public Service Co. of New Mexico sr. notes 4.4s, 2008 570,000 568,593
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s,    
2067 1,185,000 1,067,918
Sierra Pacific Power Co. general ref. mtge. Ser. P,    
6 3/4s, 2037 (S) 1,760,000 1,730,939
Southern California Edison Co. 1st mtge. Ser. 06-E,    
5.55s, 2037 895,000 854,089
Southern California Edison Co. notes 6.65s, 2029 1,030,000 1,081,215
Southern Natural Gas. Co. 144A notes 5.9s, 2017 460,000 446,941
Spectra Energy Capital, LLC company guaranty sr.    
unsec. unsub. notes 6.2s, 2018 1,080,000 1,090,238
Spectra Energy Capital, LLC sr. notes 8s, 2019 780,000 885,249
Spectra Energy Capital, LLC sr. unsec. unsub. notes    
5.668s, 2014 330,000 323,820

Teco Finance, Inc. sr. unsec. unsub. notes 7.2s, 2011 1,070,000 1,127,199
TEPPCO Partners LP company guaranty FRB 7s, 2067 595,000 504,946
TransAlta Corp. notes 5 3/4s, 2013 (Canada) 665,000 663,694
TransCanada Pipelines, Ltd. jr. sub. FRN 6.35s, 2067    
(Canada) 520,000 462,160
TransCanada Pipelines, Ltd. sr. unsec. 6.2s, 2037    
(Canada) 890,000 855,013
West Penn Power Co. 1st mtge. 5.95s, 2017 995,000 1,007,944
Westar Energy, Inc. 1st mtge. 5.15s, 2017 75,000 71,905
Westar Energy, Inc. 1st mtge. 5.1s, 2020 800,000 747,410
    56,683,137
Total corporate bonds and notes (cost $364,895,152)   $355,062,922
 
ASSET-BACKED SECURITIES (5.0%)(a)    
  Principal amount Value
Accredited Mortgage Loan Trust    
FRB Ser. 05-1, Class M2, 3.585s, 2035 $349,000 $216,380
FRB Ser. 05-4, Class A2C, 3.105s, 2035 302,000 277,840
Ace Securities Corp.    
FRB Ser. 06-OP2, Class A2C, 3.045s, 2036 759,000 493,350
FRB Ser. 06-HE3, Class A2C, 3.045s, 2036 1,021,000 756,560
Advanta Business Card Master Trust FRB Ser. 04-C1,    
Class C, 3.85s, 2013 210,000 184,647
Aegis Asset Backed Securities Trust 144A Ser. 04-6N,    
Class Note, 4 3/4s, 2035 59,595 9
AFC Home Equity Loan Trust Ser. 99-2, Class 1A,    
3.305s, 2029 2,305,195 1,634,153
American Express Credit Account Master Trust 144A Ser.    
04-C, Class C, 3.216s, 2012 431,181 418,785
Ameriquest Mortgage Securities, Inc.    
FRB Ser. 06-R1, Class M10, 5.395s, 2036 902,000 90,200
FRB Ser. 03-8, Class M2, 4.645s, 2033 506,214 116,429
AMP CMBS 144A FRB Ser. 06-1A, Class A, 3.55s, 2047    
(Cayman Islands) 1,910,000 1,008,795
Arcap REIT, Inc. 144A    
Ser. 03-1A, Class E, 7.11s, 2038 1,283,000 1,181,532
Ser. 04-1A, Class E, 6.42s, 2039 1,112,000 933,273
Argent Securities, Inc.    
FRB Ser. 03-W3, Class M3, 5.165s, 2033 56,091 8,414
FRB Ser. 06-W4, Class A2C, 3.055s, 2036 (F) 1,813,000 1,232,060
Asset Backed Funding Certificates    
FRB Ser. 04-OPT2, Class M2, 3.895s, 2033 551,000 330,600
FRB Ser. 05-WMC1, Class M1, 3.335s, 2035 (F) 564,000 394,416
Asset Backed Funding Corp. NIM Trust 144A FRB Ser.    
05-OPT1, Class B1, 5.395s, 2035 407,000 45,063
Asset Backed Securities Corp. Home Equity Loan Trust    
FRB Ser. 06-HE2, Class A3, 3.085s, 2036 421,766 357,088
FRB Ser. 06-HE4, Class A5, 3.055s, 2036 1,346,000 942,200
FRB Ser. 06-HE7, Class A4, 3.035s, 2036 529,000 370,300
Aviation Capital Group Trust 144A FRB Ser. 03-2A,    
Class G1, 3 1/2s, 2033 843,697 780,420
Bank One Issuance Trust FRB Ser. 03-C4, Class C4,    
3.746s, 2011 210,000 208,425
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014 420,000 397,820
Bayview Financial Acquisition Trust    
Ser. 04-B, Class A1, 3.386s, 2039 4,209,515 4,189,730
FRB Ser. 04-D, Class A, 3.276s, 2044 1,183,082 828,157
Bayview Financial Acquisition Trust 144A FRN Ser.    
04-B, Class M2, 4.786s, 2039 199,906 198,907
Bayview Financial Asset Trust 144A    
FRB Ser. 03-SSRA, Class M, 4.245s, 2038 (F) 723,369 571,324
FRB Ser. 03-SSRA, Class A, 3.595s, 2038 (F) 610,110 512,406
FRB Ser. 04-SSRA, Class A1, 3.495s, 2039 (F) 787,774 637,809
Bear Stearns Asset Backed Securities, Inc.    
FRB Ser. 06-EC1, Class M9, 4.895s, 2035 698,000 31,410
FRB Ser. 06-PC1, Class M9, 4.645s, 2035 414,000 34,155
FRB Ser. 05-HE1, Class M3, 3.825s, 2035 489,000 220,050
FRB Ser. 03-3, Class A2, 3.485s, 2043 1,979,788 1,760,155
FRB Ser. 03-1, Class A1, 3.395s, 2042 485,973 439,269
FRB Ser. 05-3, Class A1, 3.345s, 2035 449,613 377,113
Bear Stearns Asset Backed Securities, Inc. 144A FRB    
Ser. 06-HE2, Class M10, 5.145s, 2036 251,000 22,075
Capital Auto Receivables Asset Trust 144A    
Ser. 06-1, Class D, 7.16s, 2013 (F) 500,000 494,419
Ser. 05-1, Class D, 6 1/2s, 2011 (F) 1,442,000 1,412,190
CARMAX Auto Owner Trust Ser. 04-2, Class D, 3.67s, 2011 72,065 70,699
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,    
3.796s, 2010 1,730,000 1,711,731
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-OPT1,    
Class M1, 3.315s, 2035 324,987 235,643
Conseco Finance Securitizations Corp.    
Ser. 02-2, Class A, IO, 8 1/2s, 2033 5,661,257 478,874
Ser. 00-4, Class A6, 8.31s, 2032 7,989,401 6,721,084
Ser. 00-5, Class A6, 7.96s, 2032 3,514,549 2,770,368
Ser. 02-1, Class M1F, 7.954s, 2033 1,004,000 927,020
Ser. 01-4, Class A4, 7.36s, 2033 4,767,616 4,542,885
Ser. 00-6, Class A5, 7.27s, 2031 970,410 850,291
Ser. 01-1, Class A5, 6.99s, 2032 6,388,582 6,227,392
Ser. 01-3, Class A4, 6.91s, 2033 7,014,595 6,335,519
Ser. 02-1, Class A, 6.681s, 2033 5,195,177 5,176,862
Countrywide Asset Backed Certificates    
FRB Ser. 05-BC3, Class M1, 3.415s, 2035 332,000 252,320
FRB Ser. 04-6, Class 2A5, 3.285s, 2034 888,046 692,676
FRB Ser. 05-14, Class 3A2, 3.135s, 2036 210,538 185,273
Credit-Based Asset Servicing and Securitization 144A    
Ser. 06-MH1, Class B1, 6 1/4s, 2036 359,000 265,875

Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038    
(Cayman Islands) 1,617,000 1,051,050
CS First Boston Mortgage Securities Corp. 144A Ser.    
04-FR1N, Class A, 5s, 2034 (F) 170,790 51,237
DB Master Finance, LLC 144A Ser. 06-1, Class M1,    
8.285s, 2031 373,000 327,380
Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,    
3.565s, 2035 201,000 80,400
Fieldstone Mortgage Investment Corp. FRB Ser. 05-1,    
Class M3, 3.435s, 2035 700,000 630,000
First Franklin Mortgage Loan Asset Backed Certificates    
FRB Ser. 06-FF7, Class 2A3, 3.045s, 2036 1,203,000 1,011,091
First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s,    
2023 283,350 274,726
Fort Point CDO, Ltd. FRB Ser. 03-2A, Class A2, 4.126s,    
2038 (Cayman Islands) (F) 616,000 80,001
Foxe Basin, Ltd. 144A FRB Ser. 03-1A, Class A1, 3.3s,    
2015 (Cayman Islands) (F) 2,000,000 1,902,732
Fremont Home Loan Trust    
FRB Ser. 05-E, Class 2A4, 3.225s, 2036 1,688,000 1,443,071
FRB Ser. 06-2, Class 2A3, 3.065s, 2036 (F) 3,141,000 2,195,806
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 4.895s,    
2037 (Cayman Islands) 306,726 251,515
GE Corporate Aircraft Financing, LLC 144A    
FRB Ser. 05-1A, Class C, 4.195s, 2019 1,680,000 1,438,080
Ser. 04-1A, Class B, 3.745s, 2018 68,811 64,682
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,    
8.22s, 2012 1,962,000 1,844,962
GEBL 144A    
Ser. 04-2, Class D, 5.466s, 2032 578,427 289,214
Ser. 04-2, Class C, 3.566s, 2032 216,734 140,877
Green Tree Financial Corp.    
Ser. 96-5, Class M1, 8.05s, 2027 512,386 436,818
Ser. 99-5, Class A5, 7.86s, 2030 14,946,814 13,003,728
Ser. 97-2, Class A7, 7.62s, 2028 318,899 335,585
Ser. 97-4, Class A7, 7.36s, 2029 492,246 476,248
Ser. 95-8, Class B1, 7.3s, 2026 362,579 304,289
Ser. 96-10, Class M1, 7.24s, 2028 972,000 835,920
Ser. 97-3, Class A5, 7.14s, 2028 423,276 430,819
Ser. 98-4, Class A7, 6.87s, 2030 298,539 303,614
Ser. 97-7, Class A8, 6.86s, 2029 320,291 305,878
Ser. 99-3, Class A6, 6 1/2s, 2031 418,237 414,054
Ser. 98-6, Class A7, 6.45s, 2030 406,615 415,439
Ser. 99-2, Class A7, 6.44s, 2030 1,135,157 1,015,329
Ser. 99-1, Class A6, 6.37s, 2025 1,023,000 1,019,931
Greenpoint Manufactured Housing    
Ser. 00-3, Class IA, 8.45s, 2031 3,832,989 3,305,401
Ser. 99-5, Class M1A, 8.3s, 2026 488,000 436,681
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011 1,156,849 1,155,605
GSAMP Trust FRB Ser. 06-HE5, Class A2C, 3.045s, 2036 4,677,000 2,991,759
Guggenheim Structured Real Estate Funding, Ltd. 144A    
FRB Ser. 05-2A, Class D, 4.445s, 2030 (Cayman Islands) 1,141,000 694,641
FRB Ser. 05-1A, Class D, 4.425s, 2030 (Cayman Islands) 502,743 397,167
High Income Trust Securities 144A FRB Ser. 03-1A,    
Class A, 3.628s, 2036 (Cayman Islands) 1,561,374 936,824
Home Equity Asset Trust FRB Ser. 06-1, Class 2A4,    
3.225s, 2036 848,000 593,600
Hyundai Auto Receivables Trust Ser. 04-A, Class D,    
4.1s, 2011 95,843 95,078
JPMorgan Mortgage Acquisition Corp.    
FRB Ser. 05-OPT2, Class M11, 5.145s, 2035 645,000 64,500
FRB Ser. 06-FRE1, Class A4, 3.185s, 2035 716,000 623,708
Lehman Manufactured Housing Ser. 98-1, Class 1, IO,    
0.807s, 2028 14,953,891 149,539
Lehman XS Trust    
Ser. 07-6, Class 3A6, 6 1/2s, 2037 12,197,087 10,813,486
IFB Ser. 07-3, Class 4B, IO, 3.795s, 2037 4,638,497 387,159
FRB Ser. 07-6, Class 2A1, 3.105s, 2037 8,973,453 6,468,962
LNR CDO, Ltd. 144A    
FRB Ser. 03-1A, Class EFL, 5.898s, 2036 (Cayman    
Islands) 2,585,000 1,202,025
FRB Ser. 02-1A, Class FFL, 5.645s, 2037 (Cayman    
Islands) 5,220,000 1,827,000
Long Beach Mortgage Loan Trust    
FRB Ser. 05-2, Class M4, 3.515s, 2035 558,000 334,800
FRB Ser. 06-4, Class 2A4, 3.155s, 2036 813,000 411,758
FRB Ser. 06-1, Class 2A3, 3.085s, 2036 (F) 1,433,000 1,088,582
Madison Avenue Manufactured Housing Contract    
FRB Ser. 02-A, Class B1, 6.145s, 2032 4,059,503 2,760,056
FRB Ser. 02-A, Class M2, 5.145s, 2032 278,000 230,676
Ser. 02-A IO, 0.3s, 2032 125,544,902 1,277,557
Marriott Vacation Club Owner Trust 144A    
Ser. 05-2, Class D, 6.205s, 2027 (F) 91,360 90,251
Ser. 04-2A, Class D, 5.389s, 2026 (F) 85,389 84,896
Ser. 04-2A, Class C, 4.741s, 2026 (F) 78,558 78,289
FRB Ser. 02-1A, Class A1, 3 1/2s, 2024 766,029 705,111
MASTR Asset Backed Securities Trust FRB Ser. 06-FRE2,    
Class A4, 3.045s, 2036 424,000 292,212
MBNA Credit Card Master Note Trust FRB Ser. 03-C5,    
Class C5, 3.896s, 2010 1,730,000 1,719,347
Mid-State Trust    
Ser. 11, Class B, 8.221s, 2038 339,745 287,816
Ser. 10, Class B, 7.54s, 2036 628,426 526,998
Morgan Stanley ABS Capital I    
FRB Ser. 05-HE2, Class M5, 3.575s, 2035 349,000 164,030
FRB Ser. 05-HE1, Class M3, 3.415s, 2034 349,000 191,950
FRB Ser. 06-NC4, Class M2, 3.195s, 2036 489,000 97,800

N-Star Real Estate CDO, Ltd. 144A FRB Ser. 04-2A,      
Class C1, 4.886s, 2039 (Cayman Islands)   544,000 441,150
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1,      
3.555s, 2015 (Cayman Islands) (F)   435,017 418,597
Navistar Financial Corp. Owner Trust      
Ser. 05-A, Class C, 4.84s, 2014   299,096 271,466
Ser. 04-B, Class C, 3.93s, 2012   143,316 130,005
New Century Home Equity Loan Trust      
Ser. 03-5, Class AI7, 5.15s, 2033   1,579,410 1,432,206
FRB Ser. 03-4, Class M3, 4.945s, 2033   31,679 4,435
Novastar Home Equity Loan      
FRB Ser. 06-1, Class A2C, 3.055s, 2036   1,010,000 879,811
FRB Ser. 06-2, Class A2C, 3.045s, 2036   1,010,000 725,743
Oakwood Mortgage Investors, Inc.      
Ser. 00-D, Class A3, 6.99s, 2022   70,270 67,817
Ser. 01-D, Class A3, 5.9s, 2022   154,106 116,041
Ser. 02-C, Class A1, 5.41s, 2032   3,643,618 3,241,363
Oakwood Mortgage Investors, Inc. 144A      
Ser. 01-B, Class A4, 7.21s, 2030   532,010 439,417
Ser. 01-B, Class A3, 6.535s, 2023   154,011 131,659
Ocean Star PLC 144A      
FRB Ser. 04, Class D, 5.388s, 2018 (Ireland)   623,000 560,700
FRB Ser. 05-A, Class D, 4.588s, 2012 (Ireland)   696,000 570,720
Option One Mortgage Loan Trust FRB Ser. 05-4,      
Class M11, 5.395s, 2035 (F)   216,000 30,169
Origen Manufactured Housing Ser. 04-B, Class A2,      
3.79s, 2017   152,887 148,347
Park Place Securities, Inc.      
FRB Ser. 05-WCH1, Class M4, 3.725s, 2036   227,000 102,150
FRB Ser. 04-WHQ2, Class A3A, 3.245s, 2035   206,091 168,995
Park Place Securities, Inc. 144A FRB Ser. 04-MHQ1,      
Class M10, 5.395s, 2034   203,191 14,223
People's Financial Realty Mortgage Securities Trust      
FRB Ser. 06-1, Class 1A2, 3.025s, 2036   1,587,000 1,301,340
Permanent Financing PLC FRB Ser. 3, Class 3C, 4.14s,      
2042 (United Kingdom)   1,300,000 1,287,393
Pillar Funding PLC 144A      
FRB Ser. 04-1A, Class C1, 3.8s, 2011 (United Kingdom)   657,000 565,107
FRB Ser. 04-2A, Class C, 3.68s, 2011 (United Kingdom)   912,000 757,208
Residential Asset Mortgage Products, Inc.      
FRB Ser. 06-NC3, Class A2, 3.085s, 2036   1,617,992 1,360,326
FRB Ser. 07-RZ1, Class A2, 3.055s, 2037   1,562,000 1,110,712
Residential Asset Securities Corp. FRB Ser. 05-EMX1,      
Class M2, 3 5/8s, 2035   793,000 356,850
Residential Asset Securities Corp. 144A      
FRB Ser. 05-KS10, Class B, 5.645s, 2035   1,165,000 58,250
Ser. 04-NT, Class Note, 4 1/2s, 2034 (In default) (NON)   76,375 6,110
SAIL Net Interest Margin Notes 144A      
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands) (In      
default) (NON)   22,036 22
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands) (In      
default) (NON)   214,965 22
Securitized Asset Backed Receivables, LLC      
FRB Ser. 05-HE1, Class M2, 3.545s, 2035   349,000 139,600
FRB Ser. 07-NC2, Class A2B, 3.035s, 2037 (F)   1,468,000 996,970
SG Mortgage Securities Trust      
FRB Ser. 06-OPT2, Class A3D, PO, 3.105s, 2036   1,718,000 990,255
FRB Ser. 06-FRE1, Class A2B, 3.075s, 2036   807,000 629,460
Soundview Home Equity Loan Trust      
FRB Ser. 06-OPT3, Class 2A3, 3.065s, 2036   814,000 624,491
FRB Ser. 06-3, Class A3, 3.055s, 2036   4,702,000 3,678,784
Soundview Home Equity Loan Trust 144A FRB Ser.      
05-CTX1, Class B1, 5.395s, 2035   466,000 46,600
South Coast Funding 144A FRB Ser. 3A, Class A2,      
4.296s, 2038 (Cayman Islands) (F)   470,000 9,391
Structured Asset Investment Loan Trust FRB Ser.      
06-BNC2, Class A6, 3.155s, 2036   814,000 328,524
Structured Asset Investment Loan Trust 144A FRB Ser.      
05-HE3, Class M11, 5.395s, 2035   974,000 20,693
Structured Asset Receivables Trust 144A FRB Ser. 05-1,      
3.32s, 2015   5,210,787 5,007,567
Structured Asset Securities Corp. 144A Ser. 98-RF3,      
Class A, IO, 6.1s, 2028   2,750,653 249,492
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,      
2038   1,698,000 811,984
Wells Fargo Home Equity Trust FRB Ser. 07-1, Class A3,      
3.215s, 2037   359,000 182,807
WFS Financial Owner Trust      
Ser. 05-1, Class D, 4.09s, 2012   147,436 145,799
Ser. 04-3, Class D, 4.07s, 2012   23,498 23,442
Ser. 04-4, Class D, 3.58s, 2012   20,599 20,415
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,      
Class B3, 3.82s, 2044 (United Kingdom)   591,276 413,893
 
Total asset-backed securities (cost $206,815,158)     $167,430,701
 
PURCHASED OPTIONS OUTSTANDING (1.7%)(a)      
  Expiration date/ Contract  
  strike price amount Value
Option on an interest rate swap with Lehman Brothers      
Special Financing, Inc. for the right to receive      
a fixed rate of 5.37% versus the three month      
USD-LIBOR-BBA maturing November 12, 2019. Nov-09/5.37 117,731,000 $8,123,439
Option on an interest rate swap with JPMorgan Chase      
Bank, N.A. for the right to receive a fixed rate      
of 5.355% versus the three month USD-LIBOR-BBA maturing      

on November 12, 2019. Nov-09/5.355 117,731,000 8,032,786
Option on an interest rate swap with Goldman Sachs      
International for the right to receive a fixed rate      
of 5.355% versus the three month USD-LIBOR-BBA maturing      
November 12, 2019. Nov-09/5.355 117,731,000 8,032,786
Option on an interest rate swap with Goldman Sachs      
International for the right to pay a fixed rate      
of 5.355% versus the three month USD-LIBOR-BBA maturing      
on November 12, 2019. Nov-09/5.355 117,731,000 2,760,792
Option on an interest rate swap with Lehman Brothers      
Special Financing, Inc. for the right to pay a fixed      
rate of 5.37% versus the three month USD-LIBOR-BBA      
maturing November 12, 2019. Nov-09/5.37 117,731,000 2,717,231
Option on an interest rate swap with JPMorgan Chase      
Bank, N.A. for the right to pay a fixed rate of 5.355%      
versus the three month USD-LIBOR-BBA maturing      
November 12, 2019. Nov-09/5.355 117,731,000 2,760,792
Option on an interest rate swap with JPMorgan Chase      
Bank, N.A. for the right to receive a fixed rate      
of 5.03% versus the three month USD-LIBOR-BBA maturing      
on February 16, 2020. Feb-10/5.03 81,840,000 4,300,692
Option on an interest rate swap with Goldman Sachs      
International for the right to receive a fixed rate      
of 5.325% versus the three month USD-LIBOR-BBA maturing      
April 08, 2019. Apr-09/5.325 54,984,000 3,799,944
Option on an interest rate swap with JPMorgan Chase      
Bank, N.A. for the right to receive a fixed rate      
of 5.315% versus the three month USD-LIBOR-BBA maturing      
on April 08, 2019. Apr-09/5.315 54,984,000 3,768,054
Option on an interest rate swap with Deutschbank for      
the right to receive a fixed rate of 5.385% versus      
the three month USD-LIBOR-BBA maturing April 16, 2019. Apr-09/5.385 43,245,000 3,133,533
Option on an interest rate swap with JPMorgan Chase      
Bank, N.A. for the right to pay a fixed rate of 5.03%      
versus the three month USD-LIBOR-BBA maturing on      
February 16, 2020. Feb-10/5.03 81,840,000 3,011,712
Option on an interest rate swap with Lehman Brothers      
Special Financing, Inc. for the right to receive      
a fixed rate of 5.315% versus the three month      
USD-LIBOR-BBA maturing February 7, 2023. Feb-13/5.315 43,076,000 2,443,271
Option on an interest rate swap with Lehman Brothers      
Special Financing, Inc. for the right to pay a fixed      
rate of 5.315% versus the three month USD-LIBOR-BBA      
maturing February 7, 2023. Feb-13/5.315 43,076,000 2,200,322
Option on an interest rate swap with JPMorgan Chase      
Bank, N.A. for the right to pay a fixed rate of 5.315%      
versus the three month USD-LIBOR-BBA maturing on      
April 08, 2019. Apr-09/5.315 54,984,000 801,117
Option on an interest rate swap with Goldman Sachs      
International for the right to pay a fixed rate      
of 5.325% versus the three month USD-LIBOR-BBA maturing      
April 08, 2019. Apr-09/5.325 54,984,000 790,120
Option on an interest rate swap with Lehman Brothers      
Special Financing, Inc. for the right to pay a fixed      
rate of 4.2375% versus the three month USD-LIBOR-BBA      
maturing May 8, 2018. May-08/4.2375 43,076,000 701,708
Option on an interest rate swap with Deutschbank for      
the right to pay a fixed rate of 5.385% versus      
the three month USD-LIBOR-BBA maturing April 16, 2019. Apr-09/5.385 43,245,000 585,105
Option on an interest rate swap with Lehman Brothers      
Special Financing, Inc. for the right to receive      
a fixed rate of 4.2375% versus the three month      
USD-LIBOR-BBA maturing May 8, 2018. May-08/4.2375 43,076,000 209,349
 
Total purchased options outstanding (cost $48,640,452)     $58,172,753
 
SENIOR LOANS (0.8%)(a)(c)      
    Principal amount Value
Basic Materials (0.1%)      
Aleris International, Inc. bank term loan FRN Ser. B,      
4 7/8s, 2013   $414,949 $349,249
Georgia-Pacific, LLC bank term loan FRN Ser. B,      
4.727s, 2013   622,408 596,215
Momentive Performance Materials, Inc. bank term loan      
FRN 4.938s, 2013   615,780 572,456
NewPage Holding Corp. bank term loan FRN 6.313s, 2014   622,440 617,858
      2,135,778
 
Capital Goods (0.1%)      
Hawker Beechcraft Acquisition Co., LLC bank term loan      
FRN 4.73s, 2014   33,423 31,809
Hawker Beechcraft Acquisition Co., LLC bank term loan      
FRN Ser. B, 4.696s, 2014   573,532 545,841
Polypore, Inc. bank term loan FRN Ser. B, 4.96s, 2014   622,432 591,311
Sequa Corp. bank term loan FRN 5.95s, 2014   1,244,880 1,189,638
Wesco Aircraft Hardware Corp. bank term loan FRN      
4.95s, 2013   624,000 606,840
      2,965,439
 
Communication Services (0.1%)      
Cricket Communications, Inc. bank term loan FRN Ser.      
B, 5.696s, 2013   622,416 611,719
Crown Castle International Corp. bank term loan FRN      
4.196s, 2014   311,214 289,916
Intelsat Corp. bank term loan FRN Ser. B2, 5.184s, 2011   207,453 196,367

Intelsat Corp. bank term loan FRN Ser. B2-A, 5.184s,    
2013 207,515 196,426
Intelsat Corp. bank term loan FRN Ser. B2-C, 5.184s,    
2013 207,453 196,367
Level 3 Communications, Inc. bank term loan FRN    
4.962s, 2014 624,000 576,420
MetroPCS Wireless, Inc. bank term loan FRN 5.317s, 2013 622,420 585,940
PAETEC Holding Corp. bank term loan FRN Ser. B1,    
5.204s, 2013 610,084 587,969
Time Warner Telecom, Inc. bank term loan FRN Ser. B,    
4.71s, 2013 622,424 588,191
West Corp. bank term loan FRN 5.323s, 2013 624,000 568,793
    4,398,108
 
Consumer Cyclicals (0.2%)    
Allison Transmission bank term loan FRN Ser. B,    
5.573s, 2014 622,436 582,756
Aramark Corp. bank term loan FRN 4.83s, 2014 37,275 35,690
Aramark Corp. bank term loan FRN Ser. B, 4.696s, 2014 586,725 561,790
Dana Corp. bank term loan FRN 6.781s, 2015 622,440 600,849
Goodman Global Holdings, Inc. bank term loan FRN Ser.    
B, 7 1/2s, 2011 508,000 502,285
Goodyear Tire & Rubber Co. (The) bank term loan FRN    
6.43s, 2010 624,000 589,992
Harrah's Operating Co., Inc. bank term loan FRN Ser.    
B2, 5.92s, 2015 624,000 585,446
Lear Corp bank term loan FRN 5.211s, 2013 624,000 598,148
National Bedding Co. bank term loan FRN 4.741s, 2011 289,268 228,521
Nortek Holdings, Inc. bank term loan FRN Ser. B,    
5.35s, 2011 387,372 348,635
Yankee Candle Co., Inc. bank term loan FRN 4.615s, 2014 370,000 335,775
    4,969,887
 
Consumer Staples (0.2%)    
Affinion Group, Inc. bank term loan FRN Ser. B,    
5.563s, 2013 624,000 586,560
Cablevision Systems Corp. bank term loan FRN 4.477s,    
2013 622,412 598,878
Charter Communications, Inc. bank term loan FRN 5.26s,    
2014 622,440 549,239
Cinemark USA, Inc. bank term loan FRN 4.664s, 2013 624,000 593,677
Idearc, Inc. bank term loan FRN Ser. B, 4.7s, 2014 622,424 512,333
Paxson Communications Corp. bank term loan FRN Ser. B,    
5.963s, 2012 1,040,000 821,600
Pinnacle Foods Holding Corp. bank term loan FRN Ser.    
B, 5.442s, 2014 622,432 579,121
Spectrum Brands, Inc. bank term loan FRN 2.559s, 2013 39,467 37,300
Spectrum Brands, Inc. bank term loan FRN Ser. B1,    
6.893s, 2013 577,466 526,216
Univision Communications, Inc. bank term loan FRN Ser.    
B, 5.479s, 2014 624,000 524,160
VNU Group BV bank term loan FRN Ser. B, 5.346s, 2013    
(Netherlands) 622,421 587,928
    5,917,012
 
Energy (--%)    
Western Refining, Inc. bank term loan FRN Ser. B,    
4.994s, 2014 430,915 381,359
 
Health Care (--%)    
Health Management Associates, Inc. bank term loan FRN    
4.446s, 2014 610,997 562,335
IASIS Healthcare, LLC/IASIS Capital Corp. bank term    
loan FRN Ser. DD, 4.732s, 2014 149,591 142,610
IASIS Healthcare, LLC/IASIS Capital Corp. bank term    
loan FRN 7.62s, 2014 39,891 38,029
IASIS Healthcare, LLC/IASIS Capital Corp. bank term    
loan FRN Ser. B, 4.881s, 2014 433,424 413,197
Sun Healthcare Group, Inc. bank term loan FRN 2.596s,    
2014 104,035 94,672
Sun Healthcare Group, Inc. bank term loan FRN Ser. B,    
4.919s, 2014 312,102 284,013
Sun Healthcare Group, Inc. bank term loan FRN Ser. DD,    
4.677s, 2014 65,580 59,678
    1,594,534
 
Technology (0.1%)    
First Data Corp. bank term loan FRN Ser. B1, 5.624s,    
2014 620,441 582,749
Freescale Semiconductor, Inc. bank term loan FRN Ser.    
B, 4.459s, 2013 411,957 355,687
SunGard Data Systems, Inc. bank term loan FRN 5.162s,    
2014 622,424 588,262
Travelport bank term loan FRN Ser. B, 4.954s, 2013 249,280 228,528
Travelport bank term loan FRN Ser. DD, 4.954s, 2013 373,778 341,259
    2,096,485
 
Transportation (--%)    
Ceva Group PLC bank term loan FRN 6.966s, 2008    
(Netherlands) 165,000 135,300
Navistar Financial Corp. bank term loan FRN 5.957s,    
2012 166,400 154,544
Navistar International Corp. bank term loan FRN    
6.501s, 2012 457,600 424,996
    714,840

Utilities & Power (--%)        
Energy Future Holdings Corp. bank term loan FRN Ser.        
B2, 6.579s, 2014     622,436 595,558
NRG Energy, Inc. bank term loan FRN 4.346s, 2014     197,099 188,820
NRG Energy, Inc. bank term loan FRN 4.196s, 2014     403,564 386,614
        1,170,992
Total senior loans (cost $25,298,806)       $26,344,434
 
INVESTMENT COMPANIES (0.2%)(a) (cost $8,684,325)        
      Shares Value
American Capital Strategies, Ltd.     255,900 $8,124,825
 
 
CONVERTIBLE PREFERRED STOCKS (0.2%)(a) (cost $5,194,500)        
      Shares Value
Citigroup, Inc. Ser. T, $3.25 cv. pfd.     103,890 $5,376,308
 
 
CONVERTIBLE BONDS AND NOTES (0.1%)(a) (cost $4,519,000)        
      Principal amount Value
Ford Motor Co. cv. sr. notes 4 1/4s, 2036     $4,519,000 $5,021,739
 
 
MUNICIPAL BONDS AND NOTES (0.1%)(a)        
  Rating(RAT)   Principal amount Value
MI Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A,        
7.309s, 6/1/34 Baa3   $1,005,000 $961,001
Tobacco Settlement Fin. Auth. of WVA Rev. Bonds, Ser.        
A, 7.467s, 6/1/47 Baa3   1,460,000 1,368,779
 
Total municipal bonds and notes (cost $2,464,893)       $2,329,780
 
WARRANTS (--%)(a)(NON) (cost $0)        
  Expiration date Strike Price Warrants Value
Raytheon Co. 6/16/11 $37.50 27,504 $757,719
 
 
SHORT-TERM INVESTMENTS (12.3%)(a)        
      Principal  
      amount/shares Value
Short-term investments held as collateral for loaned        
securities with yields ranging from 1.96% to 3.11% and        
due dates ranging from May 1, 2008 to June 27, 2008 (d)     $181,412,201 $181,168,338
Sheffield Receivables Corp., for an effective yield        
of 2.75%, May 9, 2008     40,000,000 39,975,556
Sheffield Receivables Corp., for an effective yield        
of 2.82%, May 13, 2008     29,000,000 28,972,740
Victory Receivables Corp., for an effective yield        
of 2.95%, May 9, 2008     50,000,000 49,967,222
Putnam Prime Money Market Fund (e)     113,547,150 113,547,150
 
Total short-term investments (cost $413,631,006)       $413,631,006
 
TOTAL INVESTMENTS        
Total investments (cost $5,365,284,783) (b)       $5,373,389,159

FUTURES CONTRACTS OUTSTANDING at 4/30/08 (Unaudited)      
        Unrealized
  Number of   Expiration appreciation/
  contracts Value date (depreciation)
Euro-Dollar 90 day (Long) 1327 $322,875,688 Jun-08 $1,016,441
Euro-Dollar 90 day (Short) 997 241,348,775 Jun-09 957,701
Euro-Dollar 90 day (Short) 1668 403,051,350 Sep-09 1,462,126
Euro-Dollar 90 day (Short) 1347 324,795,375 Dec-09 1,179,711
Euro-Dollar 90 day (Short) 81 19,503,788 Mar-10 1,130
S&P 500 Index E-Mini (Long) 3548 245,876,400 Jun-08 12,402,051
U.S. Treasury Bond 20 yr (Long) 768 89,772,000 Jun-08 87,525
U.S. Treasury Note 2 yr (Short) 17537 3,729,900,688 Jun-08 25,066,255
U.S. Treasury Note 5 yr (Short) 11723 1,312,792,828 Jun-08 27,346,468
U.S. Treasury Note 10 yr (Long) 12517 1,449,625,063 Jun-08 (2,012,201)
Total       $67,507,207

WRITTEN OPTIONS OUTSTANDING at 4/30/08 (premiums received $43,872,569) (Unaudited)
  Contract Expiration date/  
  amount strike price Value
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 5.31% versus the three month USD-LIBOR-BBA      
maturing on August 29, 2018. $130,817,000 Aug-08/5.31 $9,448,912
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 5.31% versus the three month      
USD-LIBOR-BBA maturing on August 29, 2018. 130,817,000 Aug-08/5.31 474,866
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on      
December 19, 2018. 92,650,000 Dec-08/5.00 4,814,094
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on      
December 19, 2018. 92,650,000 Dec-08/5.00 1,478,694
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.215% versus the three month USD-LIBOR-BBA maturing on      
February 18, 2020. 111,851,000 Feb-10/5.215 6,778,171
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.22% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 71,681,000 Feb-10/5.22 4,356,771
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 2.36% versus the three month USD-LIBOR-BBA      
maturing September 22, 2010. 259,127,000 Sep-08/2.36 383,508
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 2.36% versus the three month      
USD-LIBOR-BBA maturing September 22, 2010. 259,127,000 Sep-08/2.36 5,076,298
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.08% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 71,681,000 Feb-10/5.08 3,916,650
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.215% versus the three month USD-LIBOR-BBA maturing      
on February 18, 2020. 111,851,000 Feb-10/5.215 3,469,618
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.08% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 71,681,000 Feb-10/5.08 2,542,525
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.22% versus the three month USD-LIBOR-BBA maturing on      
February 24, 2020. 71,681,000 Feb-10/5.22 2,228,562
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on      
May 14, 2022. 20,548,000 May-12/5.51 1,355,552
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation      
to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on      
May 14, 2022. 20,548,000 May-12/5.51 859,523
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 5.515% versus the three month USD-LIBOR-BBA      
maturing on May 14, 2022. 10,274,000 May-12/5.515 680,858
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 5.515% versus the three month      
USD-LIBOR-BBA maturing on May 14, 2022. 10,274,000 May-12/5.515 428,323
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to pay a fixed rate of 5.52% versus the three month USD-LIBOR-BBA      
maturing on May 14, 2022. 4,109,500 May-12/5.52 272,665
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for      
the obligation to receive a fixed rate of 5.52% versus the three month      
USD-LIBOR-BBA maturing on May 14, 2022. 4,109,500 May-12/5.52 170,708
 
Total     $48,736,298

TBA SALE COMMITMENTS OUTSTANDING at 4/30/08 (proceeds receivable $535,157,461) (Unaudited)
    
  Principal Settlement  
Agency amount date Value
FNMA, 6 1/2s, May 1, 2038 $1,000,000 05/13/08 $1,035,720
FNMA, 5 1/2s, May 1, 2038 535,000,000 05/13/08 537,758,567
Total     $538,794,287

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/08 (Unaudited)  
  Upfront   Payments Payments Unrealized
Swap counterparty/ premium Termination made by received by appreciation/
Notional amount received (paid) date fund per annum   fund per annum (depreciation)
Bank of America, N.A.          
$82,772,000 $-- 1/28/24 3 month USD-LIBOR-BBA   5.2125% $6,155,206
102,075,000 -- 12/22/09 3.965% 3 month USD-LIBOR-BBA   (2,750,585)
87,100,000 -- 1/14/10 3 month USD-LIBOR-BBA 4.106% 2,513,203
84,900,000 -- 4/6/10 4.6375% 3 month USD-LIBOR-BBA (2,593,960)
970,000 -- 9/24/09 3 month USD-LIBOR-BBA 4.7375% 26,080
20,610,000 -- 6/17/15 4.555% 3 month USD-LIBOR-BBA (850,672)
7,440,000 -- 6/23/15 4.466% 3 month USD-LIBOR-BBA (265,043)
3,070,000 -- 6/23/15 4.45% 3 month USD-LIBOR-BBA (106,123)
3,720,000 -- 6/24/15 4.39% 3 month USD-LIBOR-BBA (113,929)
53,000,000 -- 10/21/15 4.943% 3 month USD-LIBOR-BBA (2,758,672)
4,636,000 -- 10/3/16 5.15630% 3 month USD-LIBOR-BBA (313,200)
700,000 -- 9/1/15 3 month USD-LIBOR-BBA 4.53% 19,087
Bear Stearns Bank plc          
63,600,000 -- 4/24/12 5.027% 3 month USD-LIBOR-BBA (3,331,985)
Citibank, N.A.          
4,380,000 -- 4/7/14 5.377% 3 month USD-LIBOR-BBA (340,748)
56,920,000 -- 7/27/09 5.504% 3 month USD-LIBOR-BBA (2,578,842)
10,114,000 -- 10/26/12 4.6275% 3 month USD-LIBOR-BBA (381,939)
87,779,000 -- 11/9/09 4.387% 3 month USD-LIBOR-BBA (3,053,792)
90,203,000 -- 11/9/17 5.0825% 3 month USD-LIBOR-BBA (6,844,829)
41,870,000 -- 11/23/17 4.885% 3 month USD-LIBOR-BBA (2,451,913)
2,700,000 -- 11/9/17 3 month USD-LIBOR-BBA 5.07641% 203,508
51,736,000 -- 12/24/09 3 month USD-LIBOR-BBA 3.8675% 1,297,681
9,733,000 -- 12/24/27 4.9425% 3 month USD-LIBOR-BBA (388,883)
Credit Suisse First Boston International          
6,600,000 -- 11/17/09 3.947% 3 month USD-LIBOR-BBA (171,676)
Credit Suisse International          
3,922,000 -- 8/29/12 5.04556% 3 month USD-LIBOR-BBA (226,129)
3,843,000 -- 3/21/16 3 month USD-LIBOR-BBA 5.20497% 273,368
80,000,000 -- 1/9/09 3 month USD-LIBOR-BBA 5.145% 2,434,444
7,071,000 -- 10/16/17 3 month USD-LIBOR-BBA 5.297% 543,749
6,762,000 -- 9/28/16 5.10886% 3 month USD-LIBOR-BBA (434,190)
Deutsche Bank AG          
16,169,000 -- 10/16/17 3 month USD-LIBOR-BBA 5.297% 1,243,371
11,100,000 -- 11/7/17 3 month USD-LIBOR-BBA 5.056% 815,402
Goldman Sachs International          
25,439,000 -- 3/11/38 5.029% 3 month USD-LIBOR-BBA (871,324)
13,650,000 -- 4/2/18 4.076% 3 month USD-LIBOR-BBA 302,375
137,156,000 -- 4/3/18 3 month USD-LIBOR-BBA 4.19% (1,759,502)
69,773,000 -- 4/8/10 3 month USD-LIBOR-BBA 2.64% (578,830)
43,068,000 -- 4/23/18 4.43% 3 month USD-LIBOR-BBA (222,572)
376,000 -- 4/11/12 3.1825% 3 month USD-LIBOR-BBA 5,708
55,949,000 -- 9/29/08 5.085% 3 month USD-LIBOR-BBA (645,528)
17,771,000 -- 9/29/16 3 month USD-LIBOR-BBA 5.1275% 1,161,221
4,331,000 -- 10/19/16 5.32413% 3 month USD-LIBOR-BBA (336,936)
34,600,000 -- 7/25/09 5.327% 3 month USD-LIBOR-BBA (1,483,948)
161,722,000 -- 11/20/08 5.16% 3 month USD-LIBOR-BBA (4,816,396)
36,385,000 -- 11/20/26 3 month USD-LIBOR-BBA 5.261% 3,036,097
158,394,000 -- 11/21/08 5.0925% 3 month USD-LIBOR-BBA (4,611,465)
35,081,000 -- 11/21/26 3 month USD-LIBOR-BBA 5.2075% 2,681,767
18,233,000 -- 12/20/16 3 month USD-LIBOR-BBA 5.074% 1,365,801
22,090,000 -- 1/8/12 3 month USD-LIBOR-BBA 4.98% 1,394,743
12,500,000 -- 10/1/17 3 month USD-LIBOR-BBA 5.253% 931,092
3,930,000 -- 11/9/17 3 month USD-LIBOR-BBA 5.071% 294,465
13,380,000 -- 4/7/14 5.33842% 3 month USD-LIBOR-BBA (1,012,205)
4,968,000 -- 5/3/16 5.565% 3 month USD-LIBOR-BBA (560,024)
14,495,000 -- 9/14/14 4.906% 3 month USD-LIBOR-BBA (766,279)

7,071,000 -- 9/14/17 5.0625% 3 month USD-LIBOR-BBA   (424,751)
72,398,100 -- 9/19/09 3 month USD-LIBOR-BBA   4.763% 1,992,154
108,912,400 -- 9/21/09 3 month USD-LIBOR-BBA 4.60% 2,697,658
30,314,000 -- 9/21/17 5.149% 3 month USD-LIBOR-BBA (2,026,432)
1,990,000 -- 11/9/17 3 month USD-LIBOR-BBA 5.08% 150,604
205,784,000 -- 1/16/18 5.790% 3 month USD-LIBOR-BBA (26,926,601)
JPMorgan Chase Bank, N.A.        
4,639,000 -- 9/18/16 5.291% 3 month USD-LIBOR-BBA (360,232)
17,320,000 -- 2/15/18 3 month USD-LIBOR-BBA 5.34% 1,446,095
5,125,000 -- 2/15/13 3 month USD-LIBOR-BBA 3.585% (35,835)
8,200,000 -- 2/15/18 3 month USD-LIBOR-BBA 4.422% 63,917
5,125,000 -- 2/15/13 3.585% 3 month USD-LIBOR-BBA 35,835
8,200,000 -- 2/15/18 4.422% 3 month USD-LIBOR-BBA (63,917)
40,500,000 -- 4/23/17 5.186% 3 month USD-LIBOR-BBA (2,729,844)
57,486,000 -- 8/15/11 5.412% 3 month USD-LIBOR-BBA (3,743,188)
306,762,000 -- 3/5/18 4.325% 3 month USD-LIBOR-BBA 324,571
63,909,000 -- 3/7/18 4.45% 3 month USD-LIBOR-BBA (586,791)
50,608,000 -- 3/12/18 3 month USD-LIBOR-BBA 4.4525% 472,113
15,899,000 -- 3/11/38 5.0025% 3 month USD-LIBOR-BBA (476,727)
113,217,000 -- 3/11/38 5.03% 3 month USD-LIBOR-BBA (3,896,123)
230,165,000 -- 3/15/10 3 month USD-LIBOR-BBA 2.5% (2,487,189)
111,087,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.145% (3,006,428)
157,185,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.13% (4,362,010)
55,034,000 -- 3/25/10 3 month USD-LIBOR-BBA 2.325% (759,119)
92,513,000 -- 3/26/10 3 month USD-LIBOR-BBA 2.33375% (1,262,555)
183,000,000 -- 1/17/16 4.946% 3 month USD-LIBOR-BBA (11,835,021)
154,761,000 -- 4/8/13 3 month USD-LIBOR-BBA 3.58406% (1,279,713)
65,551,000 -- 9/28/08 5.096% 3 month USD-LIBOR-BBA (769,165)
126,500,000 -- 3/7/15 3 month USD-LIBOR-BBA 4.798% 5,803,019
61,200,000 -- 6/27/17 3 month USD-LIBOR-BBA 5.712% 7,620,221
76,820,000 -- 7/5/17 3 month USD-LIBOR-BBA 4.55% 2,399,089
44,550,000 -- 10/10/13 5.054% 3 month USD-LIBOR-BBA (2,651,943)
61,990,000 -- 10/10/13 5.09% 3 month USD-LIBOR-BBA (3,812,902)
161,308,000 -- 11/20/08 5.165% 3 month USD-LIBOR-BBA (4,784,624)
36,282,000 -- 11/20/26 3 month USD-LIBOR-BBA 5.266% 3,051,171
5,900,000 -- 7/25/17 3 month USD-LIBOR-BBA 5.652% 690,980
94,000,000 -- 3/30/16 3 month USD-LIBOR-BBA 5.2755% 7,157,256
5,472,000 -- 12/19/16 5.0595% 3 month USD-LIBOR-BBA (403,622)
9,442,000 -- 1/19/17 3 month USD-LIBOR-BBA 5.249% 805,423
37,105,000 -- 1/19/09 5.24% 3 month USD-LIBOR-BBA (1,143,849)
65,346,000 -- 1/31/17 3 month USD-LIBOR-BBA 5.415% 6,410,271
89,553,000 -- 3/8/17 3 month USD-LIBOR-BBA 5.28% 6,907,322
20,829,000 -- 9/28/16 3 month USD-LIBOR-BBA 5.1223% 1,354,980
17,930,000 -- 6/16/15 4.538% 3 month USD-LIBOR-BBA (720,095)
4,470,000 -- 6/24/15 4.387% 3 month USD-LIBOR-BBA (136,002)
63,370,000 -- 6/29/15 3 month USD-LIBOR-BBA 4.296% 1,519,458
10,430,000 -- 8/2/15 3 month USD-LIBOR-BBA 4.6570% 388,038
179,500,000 -- 8/13/12 3 month USD-LIBOR-BBA 5.2% 11,616,343
32,041,000 -- 8/29/17 5.2925% 3 month USD-LIBOR-BBA (2,520,083)
8,923,000 -- 8/29/17 5.263% 3 month USD-LIBOR-BBA (682,708)
108,912,400 -- 9/21/09 3 month USD-LIBOR-BBA 4.6125% 2,717,535
30,314,000 -- 9/21/17 5.15% 3 month USD-LIBOR-BBA (2,028,584)
10,596,000 -- 9/27/17 5.2335% 3 month USD-LIBOR-BBA (776,067)
1,775,000 -- 10/30/12 4.68375% 3 month USD-LIBOR-BBA (71,230)
6,980,000 -- 11/7/17 3 month USD-LIBOR-BBA 5.05771% 513,713
87,779,000 -- 11/9/09 4.3975% 3 month USD-LIBOR-BBA (3,071,363)
90,203,000 -- 11/9/17 5.0895% 3 month USD-LIBOR-BBA (6,897,458)
57,843,000 -- 12/11/17 3 month USD-LIBOR-BBA 4.65% 2,201,713

                               
9,733,000 -- 12/24/27 4.9675% 3 month USD-LIBOR-BBA (421,276)
156,100,000 -- 8/4/08 3 month USD-LIBOR-BBA   5.40% 1,849,726
81,200,000 -- 8/4/16 3 month USD-LIBOR-BBA 5.5195% 7,812,935
47,810,000 -- 10/21/15 4.916% 3 month USD-LIBOR-BBA (2,404,982)
72,119,000 -- 1/18/18 4.27625% 3 month USD-LIBOR-BBA (390,715)
5,559,000 -- 1/24/18 4.135% 3 month USD-LIBOR-BBA 39,392
7,412,000 -- 1/24/18 4.175% 3 month USD-LIBOR-BBA 28,006
7,412,000 -- 1/24/18 4.1625% 3 month USD-LIBOR-BBA 35,668
167,546,000 -- 1/31/18 3 month USD-LIBOR-BBA 4.25% 363,997
Lehman Brothers Special Financing, Inc.        
70,357,000 423,171 2/26/18 4.65% 3 month USD-LIBOR-BBA (1,402,974)
82,238,000 -- 3/19/13 3 month USD-LIBOR-BBA 3.0675% (2,522,357)
457,729,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.13666% (12,566,135)
78,344,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.215% (1,869,601)
288,370,000 -- 3/26/10 3 month USD-LIBOR-BBA 2.3525% (3,832,177)
288,370,000 -- 3/26/10 3 month USD-LIBOR-BBA 2.395% (3,595,333)
111,087,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.07% (3,388,058)
168,421,000 -- 3/20/13 3 month USD-LIBOR-BBA 3.06% (5,214,403)
551,000,000 -- 3/25/13 3 month USD-LIBOR-BBA 3.2292% (12,992,275)
187,000,000 -- 3/25/38 4.583% 3 month USD-LIBOR-BBA 6,989,246
160,856,000 -- 3/25/10 3 month USD-LIBOR-BBA 2.275% (2,373,212)
226,325,000 -- 4/3/18 4.087% 3 month USD-LIBOR-BBA 4,815,875
15,365,000 -- 4/16/18 3 month USD-LIBOR-BBA 4.405% 60,949
47,842,000 -- 4/19/38 4.8425% 3 month USD-LIBOR-BBA (124,724)
35,440,000 -- 4/21/38 4.945% 3 month USD-LIBOR-BBA (664,889)
86,500,000 -- 5/29/12 5.28% 3 month USD-LIBOR-BBA (6,845,634)
18,940,000 -- 8/24/12 5.085% 3 month USD-LIBOR-BBA (1,123,197)
39,298,515 -- 8/29/09 5.005% 3 month USD-LIBOR-BBA (1,176,467)
75,305,000 -- 8/29/09 5.001% 3 month USD-LIBOR-BBA (2,259,133)
8,974,000 -- 8/29/17 5.29125% 3 month USD-LIBOR-BBA (707,597)
10,100,871 -- 8/29/12 5.075% 3 month USD-LIBOR-BBA (596,731)
91,930,000 -- 12/28/16 5.084% 3 month USD-LIBOR-BBA (6,879,810)
2,443,839 -- 8/29/17 3 month USD-LIBOR-BBA 5.32% 197,998
153,985,000 -- 8/3/08 3 month USD-LIBOR-BBA 5.425% 1,844,746
150,213,000 -- 8/3/11 5.445% 3 month USD-LIBOR-BBA (9,996,431)
267,010,000 -- 8/3/16 5.5675% 3 month USD-LIBOR-BBA (26,611,395)
135,710,000 -- 9/8/16 5.3275% 3 month USD-LIBOR-BBA (10,882,368)
111,090,000 -- 9/29/13 5.0555% 3 month USD-LIBOR-BBA (6,710,011)
46,981,000 -- 10/23/08 3 month USD-LIBOR-BBA 5.26% 563,302
18,884,000 -- 10/23/16 3 month USD-LIBOR-BBA 5.3275% 1,466,437
46,981,000 -- 10/23/08 5.255% 3 month USD-LIBOR-BBA (562,310)
18,884,000 -- 10/23/16 5.325% 3 month USD-LIBOR-BBA (1,463,027)
86,483,000 -- 3/15/09 4.9298% 3 month USD-LIBOR-BBA (1,796,711)
18,115,000 -- 9/11/17 5.0525% 3 month USD-LIBOR-BBA (1,072,845)
48,265,400 -- 9/19/09 3 month USD-LIBOR-BBA 4.755% 1,322,343
108,912,400 -- 9/24/09 3 month USD-LIBOR-BBA 4.695% 2,860,482
30,314,000 -- 9/24/17 5.285% 3 month USD-LIBOR-BBA (2,351,580)
10,114,000 -- 10/26/12 4.61375% 3 month USD-LIBOR-BBA (376,162)
4,000,000 -- 11/7/17 3 month USD-LIBOR-BBA 5.05521% 293,583
87,779,000 -- 11/9/09 4.403% 3 month USD-LIBOR-BBA (3,081,570)
90,203,000 -- 11/9/17 5.067% 3 month USD-LIBOR-BBA (6,728,101)
3,470,000 -- 11/9/17 3 month USD-LIBOR-BBA 5.068% 259,116
40,788,000 -- 12/11/17 3 month USD-LIBOR-BBA 4.839% 2,194,195
51,736,000 -- 12/24/09 3 month USD-LIBOR-BBA 3.84625% 1,276,212
26,033,000 -- 4/12/12 3 month USD-LIBOR-BBA 5.087% 1,447,759
40,000 -- 1/16/18 4.375% 3 month USD-LIBOR-BBA (551)
72,023,000 -- 2/8/10 2.728% 3 month USD-LIBOR-BBA 489,928
52,122,000 -- 2/7/18 4.217% 3 month USD-LIBOR-BBA 465,348

133,300,000 -- 2/14/13 3.563% 3 month USD-LIBOR-BBA   1,062,425
47,478,000 -- 2/21/18 4.599% 3 month USD-LIBOR-BBA (1,046,560)
288,370,000 -- 3/26/10 3 month USD-LIBOR-BBA   2.325% (3,984,072)
Merrill Lynch Capital Services, Inc.        
10,114,000 -- 10/26/12 4.6165% 3 month USD-LIBOR-BBA (377,277)
18,100,000 -- 11/6/17 5.00693% 3 month USD-LIBOR-BBA (1,260,388)
Morgan Stanley Capital Services, Inc.        
3,161,000 -- 8/29/17 5.26021% 3 month USD-LIBOR-BBA (241,172)
3,674,000 -- 2/20/17 5.192% 3 month USD-LIBOR-BBA (262,233)
 
Total       $(163,733,219)

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/08 (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)
 
Bank of America, N.A.          
$16,800,000 (1)(F) 5/2/08 Banc of America The spread $(1,063,054)
      Securities CMBS return of Banc  
      AAA 10 yr Index of America  
      multiplied by Securities- CMBS  
      the modified AAA 10 year Index  
      duration factor    
 
24,130,000 (2)(F) 7/2/08 (Banc of America The spread 1,193,494
      Securities AAA return of Banc  
      10 yr Index of America  
      multiplied by Securities- CMBS  
      the modified AAA 10 year Index  
      duration factor    
      minus 150 bp)    
 
17,620,000 (1) 5/2/08 10 bp plus The spread (1,425,921)
      change in spread return of Banc  
      of Banc of America  
      of America Securities- CMBS  
      Securities AAA AAA 10 year Index  
      10 yr Index    
      multiplied by    
      the modified    
      duration factor    
 
55,310,000 (1) 5/2/08 5 bp plus change The spread (4,537,152)
      in spread return of Banc  
      of Banc of America  
      of America Securities- CMBS  
      Securities AAA AAA 10 year Index  
      10 yr Index    
      multiplied by    
      the modified    
      duration factor    
 
Citibank, N.A.          
16,550,000 (1)(F) 5/2/08 12.5 bp plus The spread (1,350,106)
      change in spread return of Banc  
      of Banc of America  
      of America Securities- CMBS  
      Securities AAA AAA 10 year Index  
      10 yr Index    
      multiplied by    
      the modified    
      duration factor    
 
Deutsche Bank AG          
333,285 (F) 10/29/08 6 month USD-    
      LIBOR-BBA minus    
      55 bp Moody's Corp 1,392
 
30,034,810 (F) 10/29/08 6 month USD- S&P 500 (61,814)
      LIBOR-BBA minus /Citigroup Pure  
      5 bp Value Index  
 
329,649 (F) 10/31/08 6 month USD-    
      LIBOR-BBA minus    
      55 bp Moody's Corp 890
 
30,039,561 (F) 10/31/08 6 month USD- S&P 500 470,470
      LIBOR-BBA minus /Citigroup Pure  
      5 bp Value Index  
 
30,367,636 (F) 10/31/08 (6 month USD- S&P 500 (298,808)
      LIBOR-BBA plus /Citigroup Pure  
      5 bp) Value Index  
 
30,365,971 (F) 10/29/08 (6 month USD- S&P 500 35,043
      LIBOR-BBA plus /Citigroup Pure  
      5 bp) Value Index  
 
30,038,079   11/4/08 6 month USD- S&P 500 --
      LIBOR-BBA minus /Citigroup Pure  
      5 bp Value Index  
 
30,369,187   11/4/08 (6 month USD- S&P 500 --
      LIBOR-BBA plus /Citigroup Pure  
      5 bp) Value Index  
 
330,312   11/4/08 6 month USD-    
      LIBOR-BBA minus    
      55 bp Moody's Corp --
 
Goldman Sachs International          
82,140,000 (2)(F) 7/2/08 (Banc The spread (1,968,403)
      of America return of Banc  
      Securities AAA of America  
      10 year Index Securities- CMBS  
      multiplied by AAA 10 year Index  
      the modified    
      duration factor    
      minus 125 bp)    
 
3,843,000   9/15/11 678 bp (1 month Ford Credit Auto (54,564)
      USD-LIBOR-BBA) Owner Trust  
        Series 2005-B  
        Class D  
 
18,240,000 (1)(F) 11/2/08 20 bp plus The spread 584,592
      change in spread return of Banc  

      of Banc of America  
      of America Securities- CMBS  
      Securities AAA AAA 10 year Index  
      10 year Index    
      multiplied by    
      the modified    
      duration factor    
 
21,110,000 (1)(F) 5/1/08 10 bp plus The spread 498,829
      change in spread return of Banc  
      of Banc of America  
      of America Securities- CMBS  
      Securities AAA AAA 10 year Index  
      10 year Index    
      multiplied by    
      the modified    
      duration factor    
 
JPMorgan Chase Bank, N.A.          
14,595,000 (1)(E)(F) 8/1/08 Change in spread The spread (1,446,175)
      of Lehman return of Lehman  
      Brothers AAA Brothers AAA  
      8.5+ Commercial 8.5+ CMBS Index  
      Mortgage Backed adjusted by  
      Securities Index modified  
      minus 17.5 bp duration factor  
 
7,146,000 (1)(F) 4/30/08 110 bp plus Banc The spread (353,184)
      of America return of Banc  
      Securities AAA of America  
      10 yr Index Securities- CMBS  
      multiplied by AAA 10 year Index  
      the modified    
      duration factor    
 
Lehman Brothers Special Financing, Inc.        
23,678,000 (2) 8/1/08 (Beginning The spread (1,647,728)
      of period nominal return of Lehman  
      spread of Lehman Brothers AAA  
      Brothers AAA 8.5+ CMBS Index  
      8.5+ Commercial adjusted by  
      Mortgage Backed modified  
      Securities Index) duration factor  
 
20,718,000 (2)(F) 9/1/08 (Beginning The spread (1,496,378)
      of period nominal return of Lehman  
      spread of Lehman Brothers AAA  
      Brothers AAA 8.5+ CMBS Index  
      8.5+ Commercial adjusted by  
      Mortgage Backed modified  
      Securities Index) duration factor  
 
63,100,000 (1) 9/1/08 66.7 bp plus The spread (5,926,806)
      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    
 
31,970,000 (2)(F) 5/1/08 (Beginning The spread 2,544,716
      of period nominal return of Lehman  
      spread of Lehman Brothers AAA  
      Brothers AAA 8.5+ CMBS Index  
      8.5+ Commercial adjusted by  
      Mortgage Backed modified  
      Securities Index duration factor  
      minus 218.75 bp)    
 
15,640,000 (2) 5/1/08 (Beginning The spread 1,207,774
      of period nominal return of Lehman  
      spread of Lehman Brothers AAA  
      Brothers AAA 8.5+ CMBS Index  
      8.5+ Commercial adjusted by  
      Mortgage Backed modified  
      Securities Index duration factor  
      minus 175 bp)    
 
7,840,000 (2) 6/1/08 (20 bp plus The spread 535,481
      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)    
 
17,825,000 (2) 6/2/08 (Beginning The spread 1,196,687
      of period nominal return of Lehman  
      spread of Lehman Brothers AAA  
      Brothers AAA 8.5+ CMBS Index  
      8.5+ Commercial adjusted by  
      Mortgage Backed modified  
      Securities Index duration factor  
      minus 300 bp)    
 
29,840,000 (2) 6/1/08 (Beginning The spread 2,386,967
      of period nominal return of Lehman  
      spread of Lehman Brothers AAA  
      Brothers AAA 8.5+ CMBS Index  
      8.5+ Commercial adjusted by  
      Mortgage Backed modified  
      Securities Index duration factor  
      minus 500 bp)    
 
48,840,000 (2)(F) 7/2/08 (Beginning The spread 3,960,875

      of period nominal return of Lehman  
      spread of Lehman Brothers AAA  
      Brothers AAA 8.5+ CMBS Index  
      8.5+ Commercial adjusted by  
      Mortgage Backed modified  
      Securities Index duration factor  
      minus 230 bp)    
 
33,764,000 (2) 7/1/08 (Beginning The spread (2,157,060)
      of period nominal return of Lehman  
      spread of Lehman Brothers AAA  
      Brothers AAA 8.5+ CMBS Index  
      8.5+ Commercial adjusted by  
      Mortgage Backed modified  
      Securities Index duration factor  
      minus 100 bp)    
 
21,365,000 (1) 8/1/08 Lehman Brothers The spread 82,693
      SD CMBS AAA 8.5+ return of Lehman  
      Index multiplied Brothers SD CMBS  
      by the modified AAA 8.5+ Index  
      duration factor    
      plus 40 bp    
 
21,365,000 (1) 8/1/08 Lehman Brothers The spread 93,553
      SD CMBS AAA 8.5+ return of Lehman  
      Index multiplied Brothers SD CMBS  
      by the modified AAA 8.5+ Index  
      duration factor    
      plus 50 bp    
 
54,137,000 (1) 8/1/08 Lehman Brothers The spread 30,658
      SD CMBS AAA 8.5+ return of Lehman  
      Index multiplied Brothers SD CMBS  
      by the modified AAA 8.5+ Index  
      duration factor    
      minus 25 bp    
 
Merrill Lynch Capital Services          
179,858,365   5/13/08 (2.40) 5.00% FNMA 5.5 30 YR (1,122,408)
        TBA  
 
Morgan Stanley Capital Services, Inc.        
55,484,000 (2)(F) 4/30/08 (Banc of America The spread (1,123,218)
      Securities LLC return of Banc  
      AAA 10 yr CMBS of America  
      10 year Index Securities LLC  
      multiplied by AAA 10 year CMBS  
      the modified 10 year Index  
      duration factor    
      plus 175 bp)    
 
13,870,000 (1)(E)(F) 4/30/08 Change in spread The spread (888,179)
      of Banc return of Banc  
      of America of America  
      Securities AAA Securities- CMBS  
      10 yr Index AAA 10 year Index  
      multiplied by    
      the modified    
      duration factor    
      minus 15 bp    
 
24,212,000 (1)(F) 5/2/08 10 bp plus Banc The spread (1,478,143)
      of America return of Banc  
      Securities AAA of America  
      10 yr Index Securities- CMBS  
      multiplied by AAA 10 year Index  
      the modified    
      duration factor    
 
17,825,000 (2)(F) 5/31/08 (Banc of America The spread 726,779
      Securities AAA return of Banc  
      10 yr Index of America  
      multiplied by Securities- CMBS  
      the modified AAA 10 year Index  
      duration factor    
      minus 250 bp)    
 
54,959,000 (1)(E)(F) 8/1/08 Beginning The spread (41,989)
      of period nominal return of Lehman  
      spread of Lehman Brothers Aaa  
      Brothers AAA 8.5+ CMBS Index  
      8.5+ Commercial adjusted by  
      Mortgage Backed modified  
      Securities Index duration factor  
 
Total         $(12,890,197)

(E) See Total return swap contracts note and/or Interest rate swap contracts note(s) regarding extended effective dates.

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

(1) Fund receives the net fixed and total return payment if positive and pays the net fixed and total return payment if negative.

(2) Fund pays the net fixed and total return payment if positive and receives the net fixed and total return payment if negative.

CREDIT DEFAULT CONTRACTS OUTSTANDING at 4/30/08 (Unaudited)
  
  Upfront     Fixed payments Unrealized
Swap counterparty/ premium Notional Termination received (paid) by appreciation/
Referenced debt* received (paid)** amount date fund per annum (depreciation)
Bank of America, N.A.          
DJ ABX NA CMBX BBB Index $4,742 $6,896,783 10/12/52 (134 bp) $1,834,878
DJ ABX NA HE AAA Index 354,963 3,086,635 7/25/45 18 bp 185,092
Financial Security          
Assurance Inc. -- 330,000 12/20/12 95 bp (13,979)
Kroger Co., 5 1/2%,          
2/1/13 -- 175,000 6/20/13 (82 bp) (3,191)
L-3 Communications          
Corp. 7 5/8%, 6/15/12 -- 295,000 6/20/11 (101 bp) (1,056)
Marsh & Mclennan Co.          
Inc., 5 3/8%, 7/15/14 -- 1,620,000 3/20/12 (95 bp) (27,311)
Mattel, Inc., 7 1/4%,          
7/9/12 -- 330,000 3/20/13 (157.2 bp) (11,609)
Meadwestvaco Corp.,          
6.85%, 4/1/12 -- 175,000 3/20/18 (177 bp) (1,322)
Ryder System Inc.,          
6.95%, 12/1/25 -- 330,000 3/20/13 (135 bp) (6,791)
Sealed Air Corp.,          
5 5/8%, 7/15/13 -- 210,000 9/20/13 (169 bp) (7,461)
Spectra Energy Capital,          
6 1/4%, 2/15/13 -- 330,000 (F) 9/20/14 (115 bp) (6,761)
Bear Stearns International, Ltd.          
GATX Corp., 8.875%,          
6/1/09 -- 560,000 3/20/16 (100 bp) (3,364)
Citibank, N.A.          
Arrow Electronic Inc.,          
6 7/8%, 6/1/18 -- 730,000 3/20/13 (43 bp) 7,963
CMS Energy Corp.,          
6.875%, 12/15/15 -- 1,550,000 6/20/12 57 bp (34,945)
Conagra Foods Inc., 7%,          
10/1/28 -- 3,025,000 9/20/10 (27 bp) (1,649)
CSX Corp., 5.3%, 2/15/14 -- 160,000 6/20/15 (135 bp) (5,067)
DJ ABX NA HE AAA Index 607,083 5,758,202 7/25/45 18 bp 308,232
DJ CDX NA HY Series 9          
Index, 35-100% tranche -- 131,659,129 (F) 12/20/12 112 bp 778,852
Electronic Data Systems          
Corp., 6.5%, 8/1/13 -- 75,000 9/20/13 (155 bp) (2,129)
International Lease          
Finance Corp., 4.15%,          
1/20/15 -- 210,000 6/20/13 (222.50 bp) (12,232)
Marsh & Mclennan Co.          
Inc., 5 3/8%, 7/15/14 -- 980,000 9/20/14 (105 bp) (24,838)
Motorola, Inc., 6.5%,          
9/1/25 -- 820,000 3/20/13 (79 bp) 42,278
Newell Rubbermaid,          
Inc., 6.35%, 7/15/28 -- 160,000 6/20/13 (85 bp) (2,363)
Sara Lee Corp., 6 1/8%,          
11/1/32 -- 865,000 9/20/11 (43 bp) (1,982)
Seat Pagine Gialle          
S.P.A., 8%, 4/30/14 -- 55,000 3/20/13 815 bp 6,273
Valero Energy Corp.,          
9.5%, 2/1/13 -- 1,380,000 3/20/13 (69.5 bp) 4,235
Yum! Brands Inc.,          
8 7/8%, 4/15/11 -- 880,000 3/20/13 (65 bp) 6,232
Credit Suisse International          
DJ ABX NA HE AAA Index 733,087 4,867,348 7/25/45 18 bp 480,526
DJ ABX NA HE AAA Index 27,584 228,935 7/25/45 18 bp 15,705
DJ ABX NA HE AAA Index 25,286 228,935 7/25/45 18 bp 13,407
DJ CMB NA CMBX AA Index (201,182) 900,000 (F) 10/12/52 (25 bp) (75,510)
DJ CMB NA CMBX AAA Index 6,576,591 39,512,000 12/13/49 8 bp 3,970,538
DJ CMB NA CMBX AAA Index 9,655,056 61,632,000 2/17/51 35 bp 6,628,031
DJ CMB NA CMBX AAA Index (658,206) 7,918,000 12/13/49 (8 bp) (135,967)
Sprint Capital Corp,          
8 3/8%, 3/15/12 -- 2,655,000 6/20/12 (59 bp) 384,661

Deutsche Bank AG          
CNA Financial Corp.,          
5.85%, 12/15/14 -- 285,000 9/20/16 (155 bp) (5,947)
 
DJ ABX NA CMBX AAA Index 154,944 2,570,000 2/17/51 35 bp 28,220
 
DJ ABX NA HE AAA Index 284,446 2,775,085 7/25/45 18 bp 131,721
 
DJ CDX NA IG Series 9          
Index 30-100% tranche -- 31,320,000 12/20/12 (27.2 bp) (88,510)
 
DJ CDX NA IG Series 9          
Index 30-100% tranche -- 2,250,000 12/20/12 (65 bp) (45,059)
 
DJ iTraxx Europe Series          
8 Version 1 (6,235) 65,000 (F) 12/20/12 (375 bp) (5,317)
 
DJ iTraxx Europe Series          
9 Version 1 15,712 230,000 6/20/13 (650 bp) (16,922)
 
DJ iTraxx Europe Series          
9 Version 1 1,552 22,000 6/20/13 (650 bp) (1,570)
 
France Telecom, 7.25%,          
1/28/13 -- 1,870,000 6/20/16 70 bp (35,798)
 
Grohe Holding GmBh,          
8 5/8%, 10/1/14 -- 15,000 6/20/09 400 bp 415
 
Grohe Holding GmBh,          
8 5/8%, 10/1/14 -- 55,000 6/20/09 400 bp 1,579
 
iStar Financial, Inc.,          
6%, 12/15/10 39,150 580,000 3/20/09 500 bp 29,052
 
Packaging Corporation          
of America, 5 3/4%,          
8/1/13 -- 345,000 9/20/13 (129 bp) (7,158)
 
Pitney Bowes, Inc.,          
4 5/8%, 10/1/12 -- 125,000 3/20/18 (95 bp) (4,136)
 
PPG Industries, Inc.,          
7.05%, 8/15/09 -- 185,000 3/20/18 (154 bp) (15,020)
 
Tyco Electronics Group,          
6.55%, 10/1/17 -- 180,000 12/20/17 (125.5 bp) (6,644)
 
Goldman Sachs International          
Any one of the          
underlying securities          
in the basket of BB          
CMBS securities -- 8,582,000 (F) (a) 2.461% (1,370,540)
 
DJ ABX HE A Index 1,048,040 1,564,000 1/25/38 369 bp (343,118)
 
DJ ABX HE AAA Index 367,573 1,564,000 1/25/38 76 bp (289,142)
 
DJ CDX NA CMBX AAA Index 65,836 1,800,000 3/15/49 7 bp (26,512)
 
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 8,420,000 12/20/10 108.65 bp (195,785)
 
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 31,320,000 12/20/10 249 bp 432,059
 
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 17,980,000 12/20/10 305 bp 513,838
 
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 3,930,000 12/20/10 435 bp 260,435
 
DJ CDX NA HY Series 9          
Index 35-100% tranche -- 8,098,200 12/20/10 153.5 bp 170,346
 
DJ CDX NA IG Series 10          
Index (665,022) 90,110,000 6/20/13 155 bp 2,033,347
 
DJ CDX NA IG Series 10          
Index 111,715 5,820,000 6/20/18 (150 bp) (158,789)
 
DJ CDX NA IG Series 10          
Index (720,026) 56,037,000 6/20/13 155 bp 958,018
 
DJ CDX NA IG Series 10          
Index 2,371,742 103,183,000 6/20/18 (150 bp) (2,424,032)
 
DJ CDX NA IG Series 10          
Index (2,137,591) 108,680,000 6/20/13 155 bp 1,116,862
 
DJ CDX NA IG Series 10          
Index 377,774 10,000,000 6/20/18 (150 bp) (87,009)
 
DJ CDX NA IG Series 10          
Index 30-100% tranche -- 97,890,000 6/20/13 (44.25 bp) (1,038,971)
 
DJ CDX NA IG Series 8          
Index 1,214,746 86,745,000 6/20/18 (150 bp) (2,817,017)
 
Lehman Brothers          
Holdings, 6 5/8%,          
1/18/12 -- 1,585,000 9/20/17 (67.8 bp) 65,880
 
Lighthouse          

International Co, SA,          
8%, 4/30/14 -- 45,000 3/20/13 680 bp 1,701
Merrill Lynch & Co.,          
5%, 1/15/15 -- 1,585,000 9/20/17 (59.8 bp) 74,087
Wind Acquisition          
9 3/4%, 12/1/15 -- 45,000 3/20/13 597 bp 5,831
JPMorgan Chase Bank, N.A.          
Codere Finance          
(Luxembourg) S.A.,          
8.25%, 6/15/15 -- 45,000 3/20/13 795 bp 7,945
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 2,250,000 12/20/10 388.75 bp 120,580
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 8,633,000 12/20/10 105.5 bp (207,875)
DJ CDX NA IG Series 9          
Index -- 139,160,000 12/20/12 (13.55 bp) 459,367
DJ CMB NA CMBX AAA Index 677,817 5,680,000 2/17/51 35 bp 399,231
DJ CMB NA CMBX AAA Index 2,206,440 17,628,000 12/13/49 8 bp 1,039,031
DJ CMB NA CMBX AAA Index 613,473 5,618,000 2/17/51 35 bp 337,928
DJ iTraxx Europe          
Crossover Series 8          
Version 1 (24,051) 180,000 12/20/12 (375 bp) (21,370)
GMAC, LLC, 6 7/8%,          
8/28/12 23,000 400,000 3/20/09 500 bp 4,015
iStar Financial, Inc.,          
6%, 12/15/10 39,200 560,000 3/20/09 500 bp 29,450
Lehman Brothers Special Financing, Inc.          
Bear Stearns Co. Inc.,          
5.3%, 10/30/15 -- 1,585,000 9/20/17 (77 bp) (15,562)
CMS Energy Corp.,          
6.875%, 12/15/15 -- 390,000 6/20/12 62 bp (8,037)
DJ ABX HE A Index 1,048,040 1,564,000 1/25/38 369 bp (345,187)
DJ ABX HE A Index 1,089,065 1,567,000 1/25/38 369 bp (306,835)
DJ ABX HE AAA Index 367,573 1,564,000 1/25/38 76 bp (278,942)
DJ ABX HE AAA Index 438,760 1,567,000 1/25/38 76 bp (209,383)
DJ CDX NA CMBX AA Index (76,552) 2,416,000 (F) 3/15/49 (15 bp) 365,984
DJ CDX NA HY Series 8          
Index 35-60% tranche -- 30,983,000 6/20/12 104 bp (1,187,893)
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 34,100,000 12/20/10 104.5 bp (830,363)
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 34,100,000 12/20/10 90 bp (960,597)
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 31,320,000 12/20/10 266 bp 572,634
DJ CDX NA HY Series 9          
Index 25-35% tranche -- 62,640,000 12/20/10 295 bp 1,624,986
DJ CDX NA IG Series 10          
Index 853,067 45,580,000 6/20/18 (150 bp) (1,265,415)
DJ CDX NA IG Series 10          
Index 356,809 23,585,000 6/20/18 (150 bp) (739,382)
DJ CDX NA IG Series 10          
Index 30-100% tranche -- 48,198,150 (F) 6/20/13 (42 bp) (490,207)
DJ CDX NA IG Series 9          
Index (830,901) 17,938,500 12/20/17 (80 bp) (659,290)
DJ LCDX NA Series 9          
Index, 30-100% tranche -- 17,050,000 (F) 12/20/12 96 bp 210,380
Domtar Corp., 7 1/8%,          
8/15/15 -- 310,000 12/20/11 (250 bp) 7,683
Goldman Sachs Group,          
Inc., 6.6%, 1/15/12 -- 1,585,000 9/20/17 (58 bp) 35,953
Hanson Plc, 7 7/8%,          
9/27/10 -- 175,000 9/20/16 (140 bp) (7,669)
Morgan Stanley Dean          
Witter, 6.6%, 4/1/12 -- 1,585,000 9/20/17 (60.5 bp) 53,518
Morgan Stanley Dean          
Witter, 6.6%, 4/1/12 -- 1,585,000 9/20/12 48 bp (46,201)
Motorola, Inc., 6 1/2%,          
9/1/25 -- 205,000 11/20/11 (335 bp) (9,013)

Yum! Brands, Inc.,          
8 7/8%, 4/15/11 -- 160,000 3/20/18 (130 bp) (5,372)
Morgan Stanley Capital Services, Inc.          
DJ ABX NA CMBX AAA Index 1,520,729 21,365,000 3/15/49 7 bp 412,638
DJ CDX NA IG Series 10          
Index 436,487 22,404,500 6/20/18 (150 bp) (601,252)
DJ CDX NA IG Series 10          
Index 2,530,535 129,700,000 6/20/18 (150 bp) (3,497,704)
DJ CDX NA IG Series 10          
Index 30-100% tranche -- 39,512,000 (F) 6/20/13 (52 bp) (594,612)
DJ CDX NA IG Series 10          
Index 30-100% tranche -- 45,345,000 (F) 6/20/13 (38.6 bp) (382,810)
DJ CMB NA CMBX AA Index (256,903) 1,126,000 (F) 10/12/52 (25 bp) (99,673)
DJ CMB NA CMBX AAA Index (59,516) 920,000 12/13/49 ( 8 bp) 1,279
DJ CMB NA CMBX AAA Index 2,592,361 21,610,500 12/13/49 8 bp 1,161,215
DJ CMB NA CMBX AAA Index 1,799,644 14,716,500 2/17/51 35 bp 1,111,026
DJ CMB NA CMBX AAA Index 2,901,410 21,796,000 12/13/49 8 bp 1,457,977
Total         $7,769,947

* 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.

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

NOTES

(a) Percentages indicated are based on net assets of $3,369,521,884.

(RAT) The Moody's, Standard & Poor's or Fitch's ratings indicated are believed to be the most recent ratings available at April 30, 2008 for the securities listed. Ratings are generally ascribed to securities at the time of issuance. While the agencies may from time to time revise such ratings, they undertake no obligation to do so, and the ratings do not necessarily represent what the agencies would ascribe to these securities at April 30, 2008. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F." The rating of an insured security represents what is believed to be the most recent rating of the insurer's claims-paying ability available at April 30, 2008 and does not reflect any subsequent changes. Security ratings are defined in the Statement of Additional Information.

(b) The aggregate identified cost on a tax basis is $5,391,842,669, resulting in gross unrealized appreciation and depreciation of $320,621,690 and $339,075,200, respectively, or net unrealized depreciation of $18,453,510.

(NON) Non-income-producing security.

(SEG) A portion of these securities were pledged and segregated with the custodian to cover margin requirements for futures contracts at April 30, 2008.

(FWC) Forward commitments, in part or in entirety.

(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at April 30, 2008. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

(d) The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. At April 30, 2008, the value of securities loaned amounted to $175,608,428. Certain of these securities were sold prior to period-end. The fund received cash collateral of $181,168,338 which is pooled with collateral of other Putnam funds into 58 issues of 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, a 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 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 $4,140,128 for the period ended April 30, 2008. During the period ended April 30, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $913,050,054 and $1,217,214,249, respectively.

(F) 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 April 30, 2008.

At April 30, 2008, liquid assets totaling $1,095,954,679 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 April 30, 2008.

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

Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at April 30, 2008.

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 and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.

Certain securities may be valued on the basis of a price provided by a single source.

The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.

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 and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.

Certain securities may be valued on the basis of a price provided by a single source.

The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.

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

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

The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, 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, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as a realized gain 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. Total return swap contracts outstanding at period end 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. Interest rate swap contracts outstanding at period end 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. Credit default contracts outstanding at period end 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 TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end 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, on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.

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/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: June 27, 2008

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

By (Signature and Title):

/s/ Charles E. Porter
Charles E. Porter
Principal Executive Officer
Date: June 27, 2008

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: June 27, 2008