N-Q 1 a_geoputfnd.htm THE GEORGE PUTNAM FUND OF BOSTON a_001nq.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT 
INVESTMENT COMPANY
 
Investment Company Act file number: (811- 00058)   
 
Exact name of registrant as specified in charter:  The George Putnam Fund of Boston 
 
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 
 
Name and address of agent for service:    Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
 
Copy to:    John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  One International Place 
  Boston, Massachusetts 02110 
 
Registrant’s telephone number, including area code:  (617) 292-1000 
 
Date of fiscal year end: July 31, 2009     
 
Date of reporting period: October 31, 2008     
 
 
 
Item 1. Schedule of Investments:     

The George Putnam Fund of Boston
The fund's portfolio
10/31/08 (Unaudited)

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (86.2%)(a)     
  Principal amount  Value 
 
U.S. Government Guaranteed Mortgage Obligations (1.5%)     
Government National Mortgage Association Pass-Through     
Certificates 6 1/2s, TBA, November 1, 2036  $28,000,000  $28,293,126 
 
U.S. Government Agency Mortgage Obligations (84.7%)     
Federal Home Loan Mortgage Corporation 8 3/4s,     
May 1, 2009  3,179  3,200 
Federal Home Loan Mortgage Corporation Pass-Through     
Certificates     
6s, March 1, 2035  23,128  23,153 
5 1/2s, with due dates from June 1, 2035 to     
June 1, 2035  1,995,197  1,949,670 
5 1/2s, July 1, 2016  266,735  270,033 
Federal National Mortgage Association Pass-Through     
Certificates     
9s, with due dates from January 1, 2027 to     
April 1, 2032  200,463  216,116 
8s, with due dates from August 1, 2026 to March 1, 2033  674,533  684,716 
7 1/2s, with due dates from August 1, 2028 to     
July 1, 2033  464,860  486,230 
7s, with due dates from February 1, 2033 to     
January 1, 2036  3,282,086  3,402,301 
7s, with due dates from July 1, 2014 to     
December 1, 2014  467,742  482,824 
6 1/2s, with due dates from September 1, 2010 to     
May 1, 2011  55,613  56,660 
6 1/2s, TBA, November 1, 2035  70,000,000  70,929,684 
6s, with due dates from October 1, 2011 to     
September 1, 2021  958,193  972,332 
6s, TBA, November 1, 2038  73,000,000  72,942,972 
 
5 1/2s, TBA, December 1, 2038  248,000,000  241,877,500 
5 1/2s, TBA, November 1, 2038  751,000,000  733,515,819 
5 1/2s, TBA, November 1, 2023  25,000,000  24,914,063 
5s, with due dates from April 1, 2021 to June 1, 2021  280,773  275,278 
5s, TBA, December 1, 2038  133,000,000  125,877,225 
5s, TBA, November 1, 2035  345,000,000  326,941,389 
4 1/2s, TBA, November 1, 2021  55,000,000  52,370,313 
4s, with due dates from May 1, 2019 to August 1, 2020  657,167  607,917 
    1,658,799,395 
Total U.S. government and agency mortgage obligations (cost $1,715,107,960)    $1,687,092,521 
 
 
COMMON STOCKS (50.0%)(a)     
  Shares  Value 
 
Basic materials (2.4%)     
Armstrong World Industries, Inc.  94,900  $1,862,887 
Cytec Industries, Inc.  35,800  1,013,856 
Dow Chemical Co. (The)  187,800  5,008,626 
E.I. du Pont de Nemours & Co.  185,700  5,942,400 
Lubrizol Corp. (The)  151,300  5,685,854 
Nucor Corp.  166,900  6,761,119 
Packaging Corp. of America (S)  264,300  4,448,169 
PPG Industries, Inc.  77,700  3,852,366 
Reliance Steel & Aluminum Co.  116,900  2,927,176 
Sonoco Products Co.  24,500  616,910 
Southern Copper Corp. (S)  170,300  2,479,568 
Terra Industries, Inc.  204,400  4,494,756 
United States Steel Corp.  58,800  2,168,544 
    47,262,231 
 
Capital goods (2.9%)     
Autoliv, Inc. (Sweden)  264,100  5,641,176 
Boeing Co. (The)  207,700  10,856,479 
Caterpillar, Inc.  76,400  2,916,188 
Eaton Corp.  21,300  949,980 
Gardner Denver, Inc. (NON)  116,900  2,994,978 
General Dynamics Corp.  49,300  2,973,776 
L-3 Communications Holdings, Inc.  16,500  1,339,305 
Lockheed Martin Corp.  51,900  4,414,095 
Manitowoc Co., Inc. (The)  79,100  778,344 
Northrop Grumman Corp.  188,500  8,838,765 
Parker-Hannifin Corp.  53,300  2,066,441 
Raytheon Co.  165,900  8,479,149 
WESCO International, Inc. (NON)  179,100  3,560,508 
    55,809,184 
 
Communication services (3.9%)     
AT&T, Inc. (SEG)  1,551,882  41,543,881 
CenturyTel, Inc. (S)  202,000  5,072,220 
Embarq Corp.  56,200  1,686,000 
Qwest Communications International, Inc. (S)  1,386,500  3,965,390 
Sprint Nextel Corp.  195,700  612,541 
Verizon Communications, Inc.  816,000  24,210,720 

    77,090,752 
 
Conglomerates (2.9%)     
General Electric Co. (S)  2,522,000  49,204,220 
Honeywell International, Inc.  252,700  7,694,715 
    56,898,935 
 
Consumer cyclicals (2.3%)     
Amazon.com, Inc. (NON)  27,800  1,591,272 
Big Lots, Inc. (NON) (S)  241,000  5,887,630 
D.R. Horton, Inc.  180,000  1,328,400 
GameStop Corp. (NON)  99,800  2,733,522 
JC Penney Co., Inc. (Holding Co.) (S)  63,200  1,511,744 
Lennar Corp.  350,200  2,710,548 
Macy's, Inc. (S)  201,200  2,472,748 
Manpower, Inc. (S)  61,700  1,920,721 
Nordstrom, Inc.  87,900  1,590,111 
NVR, Inc. (NON) (S)  9,436  4,625,622 
RadioShack Corp.  132,400  1,676,184 
Scripps Co. (E.W.) Class A  241,336  1,122,212 
TJX Cos., Inc. (The)  80,200  2,146,152 
TRW Automotive Holdings Corp. (NON)  75,600  477,792 
Wal-Mart Stores, Inc.  89,100  4,972,671 
Walt Disney Co. (The)  192,700  4,990,930 
Whirlpool Corp.  53,500  2,495,775 
    44,254,034 
 
Consumer staples (5.6%)     
American Greetings Corp. Class A  256,300  2,993,584 
BJ's Wholesale Club, Inc. (NON) (S)  201,100  7,078,720 
Clorox Co.  103,000  6,263,430 
Comcast Corp. Class A  227,600  3,586,976 
Corn Products International, Inc.  83,900  2,040,448 
CVS Caremark Corp.  92,600  2,838,190 
Energizer Holdings, Inc. (NON) (S)  42,200  2,061,892 
General Mills, Inc.  152,000  10,296,480 
Genuine Parts Co.  16,300  641,405 
H.J. Heinz Co.  54,500  2,388,190 
Kimberly-Clark Corp.  68,500  4,198,365 
Kraft Foods, Inc. Class A  151,762  4,422,345 
Kroger Co.  197,000  5,409,620 
McDonald's Corp.  121,300  7,026,909 
MPS Group, Inc. (NON)  187,700  1,462,183 
Newell Rubbermaid, Inc.  247,700  3,405,875 
Philip Morris International, Inc. (SEG)  313,100  13,610,457 
Procter & Gamble Co. (The)  264,100  17,045,014 
Robert Half International, Inc. (S)  243,900  4,602,393 
Safeway, Inc.  239,200  5,087,784 
SYSCO Corp.  62,500  1,637,500 
Universal Corp.  23,100  914,529 
    109,012,289 
 
Energy (2.6%)     
Chevron Corp.  226,700  16,911,820 
ConocoPhillips  107,500  5,592,150 
Devon Energy Corp.  38,700  3,129,282 
Exxon Mobil Corp.  99,800  7,397,176 
Hess Corp.  36,300  2,185,623 
Marathon Oil Corp.  144,500  4,204,950 
National-Oilwell Varco, Inc. (NON)  78,300  2,340,387 
Occidental Petroleum Corp.  56,000  3,110,240 
Sunoco, Inc. (S)  53,000  1,616,500 
Valero Energy Corp.  248,900  5,122,362 
    51,610,490 
 
Financials (12.6%)     
ACE, Ltd. (Switzerland)  80,000  4,588,800 
Allied World Assurance Company Holdings, Ltd. (Bermuda)  123,700  3,967,059 
Allstate Corp. (The)  221,000  5,832,190 
Assurant, Inc.  67,200  1,712,256 
Axis Capital Holdings, Ltd. (Bermuda)  281,927  8,029,281 
Bank of America Corp.  1,236,300  29,881,371 
Bank of New York Mellon Corp. (The)  302,500  9,861,500 
BB&T Corp.  37,800  1,355,130 
Chubb Corp. (The)  143,100  7,415,442 
Citigroup, Inc. (SEG)  1,642,100  22,414,665 
Endurance Specialty Holdings, Ltd. (Bermuda)  149,000  4,505,760 
Everest Re Group, Ltd. (Bermuda)  38,700  2,890,890 
Goldman Sachs Group, Inc. (The)  149,210  13,801,925 
Jones Lang LaSalle, Inc.  86,800  2,857,456 
JPMorgan Chase & Co.  1,125,400  46,422,750 
KeyCorp  412,700  5,047,321 
Merrill Lynch & Co., Inc.  387,600  7,205,484 
PNC Financial Services Group  58,700  3,913,529 
RenaissanceRe Holdings, Ltd. (Bermuda)  206,300  9,469,170 
Travelers Cos., Inc. (The)  246,100  10,471,555 
U.S. Bancorp  148,900  4,438,709 
W.R. Berkley Corp.  168,400  4,423,868 
Wells Fargo & Co.  899,600  30,631,380 
XL Capital, Ltd. Class A (Bermuda) (S)  179,100  1,737,270 
Zions Bancorp. (S)  114,700  4,371,217 

    247,245,978 
 
Health care (6.1%)     
Aetna, Inc.  99,500  2,474,565 
AmerisourceBergen Corp.  193,900  6,063,253 
Baxter International, Inc.  132,400  8,008,876 
Boston Scientific Corp. (NON)  248,600  2,244,858 
Bristol-Myers Squibb Co.  155,400  3,193,470 
Covidien, Ltd.  242,312  10,731,998 
Eli Lilly & Co.  95,900  3,243,338 
Endo Pharmaceuticals Holdings, Inc. (NON)  210,800  3,899,800 
Express Scripts, Inc. (NON)  15,800  957,638 
Forest Laboratories, Inc. (NON)  77,900  1,809,617 
Health Management Associates, Inc. Class A (NON)  544,000  1,142,400 
Humana, Inc. (NON)  35,200  1,041,568 
King Pharmaceuticals, Inc. (NON) (S)  636,200  5,592,198 
McKesson Corp.  206,100  7,582,419 
Medco Health Solutions, Inc. (NON)  135,500  5,142,225 
Merck & Co., Inc.  387,900  12,005,505 
Par Pharmaceutical Cos., Inc. (NON) (S)  129,900  1,299,000 
Pfizer, Inc.  1,818,700  32,209,177 
UnitedHealth Group, Inc.  75,100  1,782,123 
WellPoint, Inc. (NON) (S)  248,900  9,674,743 
    120,098,771 
 
Technology (5.1%)     
Accenture, Ltd. Class A (Bermuda)  252,500  8,345,125 
Apple, Inc. (NON)  13,000  1,398,670 
Applied Materials, Inc. (S)  645,500  8,333,405 
Arrow Electronics, Inc. (NON)  118,400  2,066,080 
Atmel Corp. (NON) (S)  1,292,700  5,364,705 
Avnet, Inc. (NON)  113,600  1,901,664 
BMC Software, Inc. (NON)  55,800  1,440,756 
Computer Sciences Corp. (NON)  108,100  3,260,296 
eBay, Inc. (NON)  145,500  2,221,785 
Hewlett-Packard Co.  431,400  16,513,992 
IBM Corp.  139,800  12,997,206 
Intel Corp.  797,500  12,760,000 
Microsoft Corp.  110,700  2,471,931 
Nokia OYJ ADR (Finland)  310,200  4,708,836 
Oracle Corp. (NON)  273,000  4,993,170 
Texas Instruments, Inc.  572,600  11,200,056 
    99,977,677 
 
Transportation (1.0%)     
AMR Corp. (NON)  396,200  4,045,202 
UAL Corp. (S)  128,400  1,869,504 
Union Pacific Corp.  30,000  2,003,100 
United Parcel Service, Inc. Class B  68,700  3,625,986 
US Airways Group, Inc. (NON)  775,300  7,861,542 
    19,405,334 
 
Utilities and power (2.6%)     
AES Corp. (The) (NON) (S)  396,400  3,159,308 
Dominion Resources, Inc.  49,200  1,784,976 
DTE Energy Co.  66,000  2,329,800 
Duke Energy Corp.  292,900  4,797,702 
Edison International  257,500  9,164,425 
Energen Corp.  111,100  3,729,627 
Entergy Corp.  43,800  3,418,590 
FirstEnergy Corp.  109,800  5,727,168 
FPL Group, Inc.  76,900  3,632,756 
MDU Resources Group, Inc.  38,500  701,085 
PG&E Corp. (S)  128,750  4,721,263 
Sempra Energy  75,000  3,194,250 
Wisconsin Energy Corp.  104,700  4,554,450 
    50,915,400 
Total common stocks (cost $1,288,949,111)    $979,581,075 
 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (31.6%)(a)     
  Principal amount  Value 
 
Adjustable Rate Mortgage Trust FRB Ser. 04-5,     
Class 3A1, 4.945s, 2035  $2,614,173  $1,960,630 
Asset Backed Funding Certificates 144A FRB Ser.     
06-OPT3, Class B, 5.759s, 2036  141,090  4,914 
Asset Securitization Corp.     
Ser. 96-MD6, Class A7, 8.335s, 2029  1,463,858  1,449,209 
FRB Ser. 97-D5, Class A5, 6.934s, 2043  325,000  336,384 
Banc of America Commercial Mortgage, Inc.     
Ser. 01-1, Class G, 7.324s, 2036  950,000  967,041 
FRB Ser. 07-3, Class A3, 5.658s, 2049  1,200,000  1,067,466 
Ser. 07-2, Class A2, 5.634s, 2049  1,198,000  1,053,162 
Ser. 06-4, Class A2, 5.522s, 2046  6,770,000  6,131,321 
Ser. 04-3, Class A5, 5.318s, 2039  4,690,000  4,081,032 
Ser. 05-6, Class A2, 5.165s, 2047  675,000  620,300 
FRB Ser. 05-1, Class A5, 5.084s, 2042  252,000  232,365 
Ser. 07-5, Class XW, Interest Only (IO), 0.44s, 2051  33,908,872  568,656 
Ser. 07-1, Class XW, IO, 0.291s, 2049  17,057,966  254,864 
Ser. 06-1, Class XC, IO, 0.068s, 2045  40,571,932  212,458 
Banc of America Commercial Mortgage, Inc. 144A     

Ser. 01-PB1, Class K, 6.15s, 2035  715,000  611,597 
Ser. 02-PB2, Class XC, IO, 0.198s, 2035  8,361,646  122,916 
Ser. 04-4, Class XC, IO, 0.17s, 2042  30,102,944  391,437 
Ser. 04-5, Class XC, IO, 0.147s, 2041  48,484,616  464,555 
Ser. 05-1, Class XW, IO, 0.101s, 2042  242,453,325  555,701 
Ser. 06-4, Class XC, IO, 0.088s, 2046  49,714,398  432,635 
Ser. 05-4, Class XC, IO, 0.084s, 2045  81,577,506  460,736 
Ser. 06-5, Class XC, IO, 0.078s, 2016  100,013,689  1,104,720 
Banc of America Funding Corp. FRB Ser. 06-D,     
Class 6A1, 5.991s, 2036  580,252  365,559 
Banc of America Large Loan     
FRB Ser. 04-BBA4, Class H, 5.51s, 2018  142,000  139,681 
FRB Ser. 04-BBA4, Class G, 5.26s, 2018  449,000  441,662 
Banc of America Large Loan 144A     
FRB Ser. 05-MIB1, Class K, 6.56s, 2022  496,000  410,242 
FRB Ser. 05-MIB1, Class J, 5.61s, 2022  1,400,000  1,176,000 
Banc of America Mortgage Securities     
FRB Ser. 03-F, Class 2A1, 4.67s, 2033  331,419  299,934 
Ser. 05-E, Class 2, IO, 0.3s, 2035  29,127,624  96,713 
Ser. 04-D, Class 2A, IO, 0.21s, 2034  10,268,830  9,627 
Banc of America Structured Security Trust 144A Ser.     
02-X1, Class A3, 5.436s, 2033  1,457,223  1,461,243 
Bayview Commercial Asset Trust 144A     
FRB Ser. 05-1A, Class A1, 3.559s, 2035  1,081,672  922,125 
Ser. 06-4A, IO, 2.331s, 2036  2,032,946  198,415 
Ser. 04-2, IO, 2.22s, 2034  4,293,037  150,256 
Ser. 04-3, IO, 2.15s, 2035  3,027,482  105,962 
Ser. 06-2A, IO, 1.798s, 2036  2,621,586  181,938 
Ser. 05-3A, IO, 1.6s, 2035  13,896,606  819,900 
Ser. 05-1A, IO, 1.6s, 2035  4,703,306  188,132 
Ser. 07-5A, IO, 1.55s, 2037  13,166,046  1,600,991 
Ser. 07-2A, IO, 1.3s, 2037  14,873,785  1,316,330 
Ser. 07-1, Class S, IO, 1.211s, 2037  12,802,620  1,005,006 
Bear Stearns Alternate Trust     
FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036  6,834,401  3,998,125 
Ser. 04-9, Class 1A1, 5.903s, 2034  126,004  95,878 
FRB Ser. 06-6, Class 2A1, 5.894s, 2036  90,769  52,543 
FRB Ser. 05-7, Class 23A1, 5.649s, 2035  193,542  115,022 
Bear Stearns Commercial Mortgage Securities, Inc.     
FRB Ser. 00-WF2, Class F, 8.186s, 2032  456,000  395,584 
Ser. 07-PW17, Class A3, 5.736s, 2050  14,895,000  12,544,569 
Ser. 04-PR3I, Class X1, IO, 0.338s, 2041  13,645,845  187,385 
Ser. 05-PWR9, Class X1, IO, 0.112s, 2042  40,553,456  285,902 
Bear Stearns Commercial Mortgage Securities, Inc. 144A     
Ser. 06-PW14, Class XW, IO, 0.689s, 2038  18,088,491  577,927 
Ser. 06-PW14, Class X1, IO, 0.077s, 2038  19,452,558  234,598 
Ser. 07-PW15, Class X1, IO, 0.066s, 2044  64,184,573  519,895 
Ser. 05-PW10, Class X1, IO, 0.056s, 2040  62,976,035  196,485 
Ser. 07-PW16, Class X, IO, 0.021s, 2040  143,472,235  103,300 
Bear Stearns Small Balance Commercial Trust 144A Ser.     
06-1A, Class AIO, IO, 1s, 2034  5,584,200  65,440 
Chase Commercial Mortgage Securities Corp. Ser. 00-3,     
Class A2, 7.319s, 2032  492,771  509,052 
Chase Commercial Mortgage Securities Corp. 144A     
Ser. 98-1, Class F, 6.56s, 2030  4,600,000  4,664,423 
Ser. 98-1, Class G, 6.56s, 2030  1,171,000  1,064,564 
Ser. 98-1, Class H, 6.34s, 2030  1,761,000  1,346,272 
Citigroup Commercial Mortgage Trust     
Ser. 08-C7, Class A3, 6.096s, 2014  190,000  152,730 
Ser. 08-C7, Class A2A, 6.034s, 2049  105,000  90,799 
Citigroup Commercial Mortgage Trust 144A     
Ser. 05-C3, Class XC, IO, 0.115s, 2043  115,077,670  1,011,425 
Ser. 06-C5, Class XC, IO, 0.072s, 2049  122,568,930  1,455,506 
Citigroup Mortgage Loan Trust, Inc.     
FRB Ser. 06-AR5, Class 2A5A, 6.203s, 2036  127,767  77,688 
FRB Ser. 06-AR7, Class 2A2A, 5.652s, 2036  1,038,809  612,898 
IFB Ser. 07-6, Class 2A5, IO, 3.391s, 2037  4,392,377  351,390 
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser.     
06-CD3, Class A4, 5.658s, 2048  759,000  673,467 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A     
Ser. 07-CD4, Class XW, IO, 0.377s, 2049  26,646,891  529,815 
Ser. 06-CD2, Class X, IO, 0.086s, 2046  76,063,532  243,167 
Ser. 07-CD4, Class XC, IO, 0.059s, 2049  89,110,237  703,135 
Commercial Mortgage Acceptance Corp. 144A     
Ser. 98-C1, Class F, 6.23s, 2031  2,013,000  2,041,222 
Ser. 98-C2, Class F, 5.44s, 2030  3,255,000  2,962,298 
Commercial Mortgage Loan Trust Ser. 08-LS1, Class A4B,     
6.02s, 2017  1,806,000  1,538,034 
Commercial Mortgage Pass-Through Certificates 144A     
Ser. 06-CN2A, Class H, 5.57s, 2019  939,000  591,117 
Ser. 06-CN2A, Class J, 5.57s, 2019  751,000  525,861 
FRB Ser. 01-J2A, Class A2F, 4.969s, 2034  1,590,000  1,319,700 
Ser. 03-LB1A, Class X1, IO, 0.454s, 2038  8,271,822  253,788 
Ser. 05-LP5, Class XC, IO, 0.086s, 2043  70,020,264  443,176 
Ser. 06-C8, Class XS, IO, 0.067s, 2046  57,431,264  372,488 
Ser. 05-C6, Class XC, IO, 0.064s, 2044  66,810,452  289,011 
Countrywide Alternative Loan Trust     
Ser. 06-45T1, Class 2A2, 6s, 2037  268,673  159,147 
Ser. 06-J8, Class A4, 6s, 2037  221,012  108,814 
Ser. 07-HY5R, Class 2A1A, 5.544s, 2047  120,146  94,221 
IFB Ser. 04-2CB, Class 1A5, IO, 4.341s, 2034  91,149  5,967 
Ser. 05-24, Class 1AX, IO, 1.222s, 2035  9,342,447  214,584 
Countrywide Home Loans     

FRB Ser. 05-HYB7, Class 6A1, 5.711s, 2035  450,765  302,013 
Ser. 05-9, Class 1X, IO, zero%, 2035  8,128,986  187,348 
Ser. 05-2, Class 2X, IO, 1.16s, 2035  7,989,532  171,026 
Countrywide Home Loans 144A     
IFB Ser. 05-R2, Class 2A3, 8s, 2035  896,871  849,776 
IFB Ser. 05-R1, Class 1AS, IO, 2.82s, 2035  6,563,657  401,696 
IFB Ser. 05-R2, Class 1AS, IO, 2.458s, 2035  6,360,594  349,833 
Credit Suisse Mortgage Capital Certificates     
FRB Ser. 07-C4, Class A2, 5.811s, 2039 (F)  4,505,000  4,025,340 
Ser. 06-C5, Class AX, IO, 0.092s, 2039  36,589,304  321,876 
Credit Suisse Mortgage Capital Certificates 144A     
Ser. 07-C2, Class AX, IO, 0.114s, 2049  121,810,598  647,180 
Ser. 06-C4, Class AX, IO, 0.114s, 2039  76,556,254  597,139 
Ser. 07-C1, Class AX, IO, 0.07s, 2040  80,542,290  377,582 
Ser. 06-C3, Class AX, IO, 0.02s, 2038  102,503,137  51,969 
CRESI Finance Limited Partnership 144A     
FRB Ser. 06-A, Class D, 4.059s, 2017  232,000  191,516 
FRB Ser. 06-A, Class C, 3.859s, 2017  688,000  599,730 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,     
Class B, 7s, 2033  1,984,343  2,005,704 
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D,     
5.612s, 2035  2,903,000  2,496,580 
CS First Boston Mortgage Securities Corp.     
Ser. 97-C2, Class F, 7.46s, 2035  1,239,000  1,277,242 
Ser. 04-C2, Class A2, 5.416s, 2036  5,070,000  4,073,238 
FRB Ser. 04-C3, Class A5, 5.113s, 2036  92,000  75,302 
Ser. 04-C3, Class A3, 4.302s, 2036 (F)  196,000  191,793 
CS First Boston Mortgage Securities Corp. 144A     
FRB Ser. 05-TFLA, Class J, 5.51s, 2020  259,000  220,150 
FRB Ser. 04-TF2A, Class J, 5.51s, 2016  313,000  275,440 
FRB Ser. 05-TF2A, Class J, 5.46s, 2020  407,807  293,621 
FRB Ser. 04-TF2A, Class H, 5.26s, 2019  627,000  570,570 
Ser. 01-CK1, Class AY, IO, 0.781s, 2035  60,254,037  662,794 
Ser. 03-C3, Class AX, IO, 0.524s, 2038  50,973,384  1,763,679 
Ser. 02-CP3, Class AX, IO, 0.427s, 2035  20,511,375  680,978 
Ser. 04-C4, Class AX, IO, 0.242s, 2039  11,481,276  178,143 
Ser. 05-C2, Class AX, IO, 0.136s, 2037  74,854,490  750,940 
DLJ Commercial Mortgage Corp.     
Ser. 00-CF1, Class A1B, 7.62s, 2033  2,119,157  2,119,155 
Ser. 99-CG2, Class B3, 6.1s, 2032  1,752,000  1,755,486 
Ser. 99-CG2, Class B4, 6.1s, 2032  2,785,000  2,611,085 
Ser. 98-CF2, Class B3, 6.04s, 2031  814,188  828,493 
Fannie Mae     
IFB Ser. 06-70, Class SM, 27.126s, 2036  324,158  434,623 
IFB Ser. 07-75, Class JS, 26.29s, 2037  2,072,255  2,776,521 
IFB Ser. 07-80, Class AS, 23.29s, 2037  862,281  1,080,412 
IFB Ser. 07-1, Class NR, 22.734s, 2037  70,677  83,322 
IFB Ser. 07-75, Class CS, 22.689s, 2037  1,397,184  1,811,639 
IFB Ser. 06-62, Class PS, 20.348s, 2036  1,304,001  1,648,266 
IFB Ser. 07-60, Class SB, 20.048s, 2037  741,654  880,588 
IFB Ser. 06-76, Class QB, 20.048s, 2036  1,413,047  1,768,749 
IFB Ser. 06-48, Class TQ, 20.048s, 2036  2,598,756  3,191,499 
IFB Ser. 06-63, Class SP, 19.748s, 2036  1,547,168  1,911,020 
IFB Ser. 07-W7, Class 1A4, 19.628s, 2037  1,426,035  1,368,994 
IFB Ser. 07-81, Class SC, 18.248s, 2037  1,213,887  1,399,618 
IFB Ser. 07-1, Class NK, 17.827s, 2037  3,445,476  4,164,957 
IFB Ser. 06-104, Class GS, 17.725s, 2036  929,065  1,089,999 
IFB Ser. 06-104, Class ES, 17.156s, 2036  1,738,946  2,089,515 
IFB Ser. 05-37, Class SU, 16.165s, 2035  2,093,450  2,447,262 
IFB Ser. 06-49, Class SE, 15.965s, 2036  2,254,159  2,604,635 
IFB Ser. 06-60, Class AK, 15.765s, 2036  1,111,180  1,257,095 
IFB Ser. 06-60, Class TK, 15.565s, 2036  733,402  820,020 
IFB Ser. 06-104, Class CS, 15.036s, 2036  1,931,706  2,068,927 
IFB Ser. 07-30, Class FS, 14.734s, 2037  3,512,203  3,808,847 
IFB Ser. 07-96, Class AS, 13.856s, 2037  1,716,537  1,798,982 
IFB Ser. 05-25, Class PS, 13.822s, 2035  73,330  79,737 
IFB Ser. 06-115, Class ES, 13.525s, 2036  1,434,774  1,587,571 
IFB Ser. 06-8, Class PK, 13.365s, 2036  2,555,211  2,635,731 
IFB Ser. 05-57, Class CD, 12.905s, 2035  1,120,548  1,268,039 
IFB Ser. 05-74, Class CP, 12.801s, 2035  1,313,225  1,383,843 
IFB Ser. 05-115, Class NQ, 12.717s, 2036  732,018  802,285 
IFB Ser. 06-27, Class SP, 12.618s, 2036  1,963,185  2,141,649 
IFB Ser. 06-8, Class HP, 12.618s, 2036  2,103,936  2,282,994 
IFB Ser. 06-8, Class WK, 12.618s, 2036  3,362,907  3,611,335 
IFB Ser. 05-99, Class SA, 12.618s, 2035  1,540,338  1,657,773 
IFB Ser. 05-45, Class DA, 12.471s, 2035  2,510,007  2,656,515 
IFB Ser. 05-74, Class DM, 12.435s, 2035  3,043,929  3,276,369 
IFB Ser. 05-45, Class DC, 12.361s, 2035  1,957,778  2,108,547 
IFB Ser. 06-60, Class CS, 12.141s, 2036  729,215  727,473 
IFB Ser. 05-57, Class DC, 11.184s, 2034  1,828,784  1,953,774 
IFB Ser. 05-74, Class SK, 11.168s, 2035  2,420,481  2,481,022 
IFB Ser. 05-74, Class CS, 11.058s, 2035  1,497,656  1,569,905 
IFB Ser. 05-114, Class SP, 10.618s, 2036  914,555  912,658 
IFB Ser. 05-45, Class PC, 10.474s, 2034  971,417  1,030,816 
IFB Ser. 05-95, Class OP, 10.29s, 2035  968,967  1,044,553 
IFB Ser. 05-95, Class CP, 10.196s, 2035  224,549  242,427 
IFB Ser. 05-106, Class JC, 10.019s, 2035  658,153  617,993 
IFB Ser. 05-83, Class QP, 8.921s, 2034  531,440  541,653 
IFB Ser. 05-72, Class SB, 8.728s, 2035  1,513,852  1,444,997 
Ser. 01-T10, Class A2, 7 1/2s, 2041  1,675  1,716 
Ser. 01-T1, Class A1, 7 1/2s, 2040  574,617  593,113 
Ser. 386, Class 26, IO, 7 1/2s, 2038  83,905  18,325 
Ser. 383, Class 88, IO, 7 1/2s, 2037  89,116  19,054 

Ser. 383, Class 89, IO, 7 1/2s, 2037  69,371  12,462 
Ser. 383, Class 87, IO, 7 1/2s, 2037  111,057  24,081 
Ser. 386, Class 24, IO, 7s, 2038  86,396  19,155 
Ser. 386, Class 25, IO, 7s, 2038  85,630  15,975 
Ser. 386, Class 22, IO, 7s, 2038  98,170  22,263 
Ser. 386, Class 21, IO, 7s, 2037  111,060  24,117 
Ser. 386, Class 23, IO, 7s, 2037  109,165  24,566 
Ser. 383, Class 84, IO, 7s, 2037  102,037  25,306 
Ser. 383, Class 85, IO, 7s, 2037  84,111  20,496 
Ser. 383, Class 79, IO, 7s, 2037  103,469  23,958 
Ser. 383, Class 80, IO, 7s, 2037  225,791  43,171 
Ser. 383, Class 81, IO, 7s, 2037  124,163  28,474 
Ser. 383, Class 82, IO, 7s, 2037  123,902  28,089 
Ser. 383, Class 83, IO, 7s, 2037  104,239  25,721 
Ser. 386, Class 14, IO, 6 1/2s, 2038  1,307,701  233,817 
Ser. 386, Class 19, IO, 6 1/2s, 2038  106,231  23,574 
Ser. 386, Class 17, IO, 6 1/2s, 2037  162,735  29,097 
Ser. 386, Class 16, IO, 6 1/2s, 2037  112,258  29,455 
Ser. 383, Class 60, IO, 6 1/2s, 2037  515,887  105,138 
Ser. 383, Class 62, IO, 6 1/2s, 2037  143,953  37,521 
Ser. 383, Class 69, IO, 6 1/2s, 2037  88,169  14,487 
Ser. 383, Class 63, IO, 6 1/2s, 2037  112,063  26,730 
Ser. 383, Class 64, IO, 6 1/2s, 2037  207,318  41,712 
Ser. 383, Class 67, IO, 6 1/2s, 2037  110,258  28,753 
Ser. 383, Class 58, IO, 6 1/2s, 2037  239,700  45,255 
Ser. 383, Class 59, IO, 6 1/2s, 2037  151,374  35,007 
Ser. 383, Class 61, IO, 6 1/2s, 2037  120,428  28,868 
Ser. 383, Class 65, IO, 6 1/2s, 2037  143,878  38,467 
Ser. 383, Class 66, IO, 6 1/2s, 2037  146,362  39,202 
Ser. 383, Class 72, IO, 6 1/2s, 2037  657,288  127,777 
Ser. 383, Class 77, IO, 6 1/2s, 2037  87,559  21,334 
Ser. 383, Class 78, IO, 6 1/2s, 2037  88,960  14,270 
Ser. 381, Class 14, IO, 6 1/2s, 2037  1,873,177  327,806 
Ser. 381, Class 16, IO, 6 1/2s, 2037  366,049  58,296 
Ser. 381, Class 15, IO, 6 1/2s, 2037  795,445  139,203 
Ser. 383, Class 73, IO, 6 1/2s, 2037  197,007  37,668 
Ser. 383, Class 76, IO, 6 1/2s, 2037  119,702  32,239 
Ser. 383, Class 70, IO, 6 1/2s, 2037  304,512  58,223 
Ser. 383, Class 74, IO, 6 1/2s, 2037  162,658  31,100 
Ser. 383, Class 71, IO, 6 1/2s, 2036  129,185  30,088 
Ser. 383, Class 75, IO, 6 1/2s, 2036  103,733  25,216 
Ser. 371, Class 2, IO, 6 1/2s, 2036  1,054,549  246,975 
Ser. 389, Class 6, IO, 6s, 2038  101,504  18,656 
Ser. 08-76, Class JI, IO, 6s, 2038  1,095,632  223,290 
Ser. 386, Class 10, IO, 6s, 2038  92,650  22,811 
Ser. 383, Class 41, IO, 6s, 2038  962,036  183,941 
Ser. 383, Class 42, IO, 6s, 2038  718,556  137,891 
Ser. 383, Class 43, IO, 6s, 2038  572,436  109,450 
Ser. 383, Class 44, IO, 6s, 2038  522,592  101,906 
Ser. 383, Class 45, IO, 6s, 2038  402,767  78,540 
Ser. 383, Class 46, IO, 6s, 2038  349,862  68,223 
Ser. 383, Class 47, IO, 6s, 2038  309,968  59,669 
Ser. 383, Class 48, IO, 6s, 2038  277,673  55,201 
Ser. 383, Class 52, IO, 6s, 2038  112,774  25,925 
Ser. 386, Class 9, IO, 6s, 2038  502,282  89,808 
Ser. 383, Class 28, IO, 6s, 2038  1,151,846  231,751 
Ser. 383, Class 29, IO, 6s, 2038  1,463,443  294,445 
Ser. 383, Class 30, IO, 6s, 2038  782,352  155,532 
Ser. 383, Class 31, IO, 6s, 2038  700,438  139,247 
Ser. 383, Class 32, IO, 6s, 2038  476,423  94,713 
Ser. 383, Class 33, IO, 6s, 2038  406,845  80,352 
Ser. 383, Class 37, IO, 6s, 2038  158,691  38,876 
Ser. 386, Class 7, IO, 6s, 2038  616,081  119,396 
Ser. 383, Class 34, IO, 6s, 2037  164,662  32,521 
Ser. 383, Class 35, IO, 6s, 2037  135,796  32,854 
Ser. 383, Class 36, IO, 6s, 2037  107,128  25,809 
Ser. 383, Class 38, IO, 6s, 2037  86,911  20,559 
Ser. 383, Class 50, IO, 6s, 2037  189,285  36,191 
Ser. 386, Class 6, IO, 6s, 2037  295,423  55,392 
Ser. 383, Class 49, IO, 6s, 2037  142,732  34,311 
Ser. 383, Class 51, IO, 6s, 2037  147,005  32,784 
Ser. 383, Class 57, IO, 6s, 2037  89,826  16,498 
Ser. 383, Class 98, IO, 6s, 2022  154,577  29,108 
Ser. 383, Class 99, IO, 6s, 2022  74,413  13,531 
Ser. 383, Class 18, IO, 5 1/2s, 2038  552,423  110,485 
Ser. 383, Class 19, IO, 5 1/2s, 2038  504,436  100,887 
Ser. 383, Class 25, IO, 5 1/2s, 2038  87,653  20,495 
Ser. 386, Class 4, IO, 5 1/2s, 2037  125,108  30,888 
Ser. 386, Class 5, IO, 5 1/2s, 2037  92,696  19,505 
Ser. 383, Class 15, IO, 5 1/2s, 2037  89,524  20,989 
Ser. 383, Class 4, IO, 5 1/2s, 2037  862,216  171,409 
Ser. 383, Class 5, IO, 5 1/2s, 2037  490,249  97,462 
Ser. 383, Class 6, IO, 5 1/2s, 2037  439,819  87,436 
Ser. 383, Class 7, IO, 5 1/2s, 2037  433,637  86,207 
Ser. 383, Class 8, IO, 5 1/2s, 2037  176,393  35,614 
Ser. 383, Class 9, IO, 5 1/2s, 2037  167,946  33,908 
Ser. 383, Class 20, IO, 5 1/2s, 2037  312,014  63,963 
Ser. 383, Class 21, IO, 5 1/2s, 2037  295,507  60,579 
Ser. 383, Class 22, IO, 5 1/2s, 2037  200,034  41,007 
Ser. 383, Class 23, IO, 5 1/2s, 2037  180,613  37,026 
Ser. 383, Class 24, IO, 5 1/2s, 2037  126,301  30,377 
Ser. 383, Class 26, IO, 5 1/2s, 2037  93,228  23,960 
Ser. 379, Class 2, IO, 5 1/2s, 2037  156,978  37,235 

Ser. 383, Class 95, IO, 5 1/2s, 2022  245,465  35,740 
Ser. 383, Class 97, IO, 5 1/2s, 2022  103,221  15,778 
Ser. 383, Class 94, IO, 5 1/2s, 2022  123,620  23,968 
Ser. 383, Class 96, IO, 5 1/2s, 2022  134,398  24,759 
Ser. 383, Class 2, IO, 5s, 2037  94,483  20,507 
Ser. 377, Class 2, IO, 5s, 2036  320,569  76,392 
Ser. 383, Class 92, IO, 5s, 2022  107,242  17,738 
IFB Ser. 07-W6, Class 6A2, IO, 4.541s, 2037  1,756,164  165,782 
IFB Ser. 06-90, Class SE, IO, 4.541s, 2036  1,887,709  219,342 
IFB Ser. 04-51, Class XP, IO, 4.441s, 2034  121,213  15,573 
IFB Ser. 03-66, Class SA, IO, 4.391s, 2033  2,601,665  276,835 
IFB Ser. 04-17, Class ST, IO, 4.341s, 2034  135,634  22,030 
IFB Ser. 07-W6, Class 5A2, IO, 4.031s, 2037  2,667,162  229,909 
IFB Ser. 07-W4, Class 4A2, IO, 4.021s, 2037  11,864,248  1,022,698 
IFB Ser. 07-W2, Class 3A2, IO, 4.021s, 2037  3,451,320  299,920 
IFB Ser. 06-115, Class BI, IO, 4.001s, 2036  3,136,065  236,334 
IFB Ser. 05-113, Class AI, IO, 3.971s, 2036  597,822  56,765 
IFB Ser. 05-113, Class DI, IO, 3.971s, 2036  18,879,429  1,773,722 
IFB Ser. 05-52, Class DC, IO, 3.941s, 2035  1,719,116  230,156 
IFB Ser. 06-60, Class SI, IO, 3.891s, 2036  3,422,541  346,361 
IFB Ser. 06-60, Class UI, IO, 3.891s, 2036  1,383,563  161,588 
IFB Ser. 04-24, Class CS, IO, 3.891s, 2034  3,660,582  448,784 
IFB Ser. 04-12, Class WS, IO, 3.891s, 2033  103,106  12,052 
IFB Ser. 07-W7, Class 3A2, IO, 3.871s, 2037  4,405,461  425,703 
IFB Ser. 03-122, Class SA, IO, 3.841s, 2028  4,496,569  345,179 
IFB Ser. 03-122, Class SJ, IO, 3.841s, 2028  4,642,212  347,232 
IFB Ser. 06-60, Class DI, IO, 3.811s, 2035  1,699,272  128,465 
IFB Ser. 04-60, Class SW, IO, 3.791s, 2034  6,740,560  644,398 
IFB Ser. 05-65, Class KI, IO, 3.741s, 2035  12,539,191  947,963 
IFB Ser. 08-10, Class LI, IO, 3.721s, 2038  357,846  34,890 
IFB Ser. 08-01, Class GI, IO, 3.701s, 2037  13,722,417  1,337,936 
IFB Ser. 05-42, Class SA, IO, 3.541s, 2035  198,699  15,504 
IFB Ser. 07-32, Class JS, IO, 3.531s, 2037  599,708  64,867 
IFB Ser. 07-39, Class LI, IO, 3.511s, 2037  193,150  18,361 
IFB Ser. 07-23, Class SI, IO, 3.511s, 2037  2,759,689  218,608 
IFB Ser. 07-54, Class CI, IO, 3.501s, 2037  2,226,707  196,687 
IFB Ser. 07-39, Class PI, IO, 3.501s, 2037  2,134,667  176,578 
IFB Ser. 07-30, Class WI, IO, 3.501s, 2037  18,185,775  1,549,464 
IFB Ser. 07-28, Class SE, IO, 3.491s, 2037  2,345,714  207,120 
IFB Ser. 06-128, Class SH, IO, 3.491s, 2037  2,621,985  214,181 
IFB Ser. 06-56, Class SM, IO, 3.491s, 2036  6,497,790  544,677 
IFB Ser. 05-73, Class SI, IO, 3.491s, 2035  1,496,213  112,393 
IFB Ser. 05-12, Class SC, IO, 3.491s, 2035  2,176,477  217,385 
IFB Ser. 05-17, Class ES, IO, 3.491s, 2035  2,913,971  263,999 
IFB Ser. 05-17, Class SY, IO, 3.491s, 2035  1,348,911  126,525 
IFB Ser. 05-45, Class PL, IO, 3.491s, 2034  202,194  17,697 
IFB Ser. 07-W5, Class 2A2, IO, 3.481s, 2037  1,121,069  98,094 
IFB Ser. 07-30, Class IE, IO, 3.481s, 2037  6,534,195  680,791 
IFB Ser. 06-123, Class CI, IO, 3.481s, 2037  5,282,781  459,111 
IFB Ser. 06-123, Class UI, IO, 3.481s, 2037  2,352,718  202,804 
IFB Ser. 05-82, Class SY, IO, 3.471s, 2035  5,787,126  414,358 
IFB Ser. 05-45, Class EW, IO, 3.461s, 2035  2,595,401  227,718 
IFB Ser. 05-45, Class SR, IO, 3.461s, 2035  7,913,295  685,299 
IFB Ser. 07-15, Class BI, IO, 3.441s, 2037  3,792,752  314,415 
IFB Ser. 06-126, Class CS, IO, 3.441s, 2037  1,489,824  123,135 
IFB Ser. 06-16, Class SM, IO, 3.441s, 2036  2,001,769  181,947 
IFB Ser. 05-95, Class CI, IO, 3.441s, 2035  3,455,143  325,823 
IFB Ser. 05-84, Class SG, IO, 3.441s, 2035  5,654,643  523,054 
IFB Ser. 05-57, Class NI, IO, 3.441s, 2035  1,199,596  110,656 
IFB Ser. 05-54, Class SA, IO, 3.441s, 2035  5,616,354  489,662 
IFB Ser. 05-23, Class SG, IO, 3.441s, 2035  4,369,910  417,473 
IFB Ser. 05-29, Class SX, IO, 3.441s, 2035  72,719  6,924 
IFB Ser. 05-17, Class SA, IO, 3.441s, 2035  3,840,849  340,818 
IFB Ser. 05-17, Class SE, IO, 3.441s, 2035  4,183,005  354,147 
IFB Ser. 05-57, Class DI, IO, 3.441s, 2035  8,921,542  719,076 
IFB Ser. 05-7, Class SC, IO, 3.441s, 2035  235,148  19,019 
IFB Ser. 05-83, Class QI, IO, 3.431s, 2035  935,790  101,280 
IFB Ser. 06-128, Class GS, IO, 3.421s, 2037  2,494,152  215,078 
IFB Ser. 06-114, Class IS, IO, 3.391s, 2036  2,687,078  218,411 
IFB Ser. 06-116, Class ES, IO, 3.391s, 2036  1,596,021  130,954 
IFB Ser. 06-116, Class LS, IO, 3.391s, 2036  203,899  18,989 
IFB Ser. 06-115, Class GI, IO, 3.381s, 2036  2,552,263  251,846 
IFB Ser. 06-115, Class IE, IO, 3.381s, 2036  2,056,290  191,032 
IFB Ser. 06-117, Class SA, IO, 3.381s, 2036  3,059,048  244,182 
IFB Ser. 06-121, Class SD, IO, 3.381s, 2036  5,031,348  408,545 
IFB Ser. 06-109, Class SG, IO, 3.371s, 2036  3,602,615  301,899 
IFB Ser. 06-104, Class IM, IO, 3.361s, 2036  796,652  66,579 
IFB Ser. 06-104, Class SY, IO, 3.361s, 2036  1,671,433  135,257 
IFB Ser. 06-109, Class SH, IO, 3.361s, 2036  2,726,734  258,530 
IFB Ser. 06-111, Class SA, IO, 3.361s, 2036  725,925  62,586 
Ser. 06-104, Class SG, IO, 3.341s, 2036  3,248,167  255,462 
IFB Ser. 07-W6, Class 4A2, IO, 3.341s, 2037  10,878,965  951,909 
IFB Ser. 06-128, Class SC, IO, 3.341s, 2037  8,525,459  685,984 
IFB Ser. 06-43, Class SI, IO, 3.341s, 2036  4,030,686  324,893 
IFB Ser. 06-44, Class IS, IO, 3.341s, 2036  3,730,499  350,754 
IFB Ser. 06-8, Class JH, IO, 3.341s, 2036  9,379,151  808,220 
IFB Ser. 05-122, Class SG, IO, 3.341s, 2035  2,029,406  188,343 
IFB Ser. 05-57, Class MS, IO, 3.341s, 2035  173,243  12,228 
IFB Ser. 05-95, Class OI, IO, 3.331s, 2035  536,691  52,401 
IFB Ser. 06-92, Class JI, IO, 3.321s, 2036  1,899,899  153,184 
IFB Ser. 06-92, Class LI, IO, 3.321s, 2036  3,009,887  244,033 
IFB Ser. 06-96, Class ES, IO, 3.321s, 2036  3,306,482  233,793 
IFB Ser. 06-99, Class AS, IO, 3.321s, 2036  2,162,208  185,085 

IFB Ser. 06-85, Class TS, IO, 3.301s, 2036  4,704,838  379,525 
IFB Ser. 06-61, Class SE, IO, 3.291s, 2036  4,364,713  330,946 
IFB Ser. 07-75, Class PI, IO, 3.281s, 2037  3,509,705  283,479 
IFB Ser. 07-76, Class SA, IO, 3.281s, 2037  3,417,205  239,854 
IFB Ser. 07-W7, Class 2A2, IO, 3.271s, 2037  8,638,362  776,942 
IFB Ser. 07-88, Class MI, IO, 3.261s, 2037  1,097,316  71,170 
Ser. 06-94, Class NI, IO, 3.241s, 2036  1,583,868  106,911 
IFB Ser. 07-116, Class IA, IO, 3.241s, 2037  12,513,345  1,063,634 
IFB Ser. 07-103, Class AI, IO, 3.241s, 2037  14,679,344  1,256,552 
IFB Ser. 07-1, Class NI, IO, 3.241s, 2037  8,011,444  655,368 
IFB Ser. 07-15, Class NI, IO, 3.241s, 2022  3,931,427  292,498 
IFB Ser. 08-3, Class SC, IO, 3.191s, 2038  1,852,334  161,645 
IFB Ser. 07-109, Class XI, IO, 3.191s, 2037  2,221,328  149,684 
IFB Ser. 07-109, Class YI, IO, 3.191s, 2037  3,271,193  253,917 
IFB Ser. 07-W8, Class 2A2, IO, 3.191s, 2037  5,827,066  405,803 
IFB Ser. 07-88, Class JI, IO, 3.191s, 2037  4,337,843  367,333 
IFB Ser. 06-79, Class SH, IO, 3.191s, 2036  207,648  16,357 
IFB Ser. 07-54, Class KI, IO, 3.181s, 2037  1,650,288  116,775 
IFB Ser. 07-30, Class JS, IO, 3.181s, 2037  5,419,759  443,878 
IFB Ser. 07-30, Class LI, IO, 3.181s, 2037  8,279,391  697,719 
IFB Ser. 07-W2, Class 1A2, IO, 3.171s, 2037  2,496,055  228,474 
IFB Ser. 07-106, Class SN, IO, 3.151s, 2037  3,466,882  268,389 
IFB Ser. 07-54, Class IA, IO, 3.151s, 2037  2,905,757  230,214 
IFB Ser. 07-54, Class IB, IO, 3.151s, 2037  2,905,757  230,214 
IFB Ser. 07-54, Class IC, IO, 3.151s, 2037  2,905,757  230,214 
IFB Ser. 07-54, Class ID, IO, 3.151s, 2037  2,905,757  230,214 
IFB Ser. 07-54, Class IE, IO, 3.151s, 2037  2,905,757  230,214 
IFB Ser. 07-54, Class IF, IO, 3.151s, 2037  4,323,513  360,247 
IFB Ser. 07-54, Class NI, IO, 3.151s, 2037  2,615,318  199,256 
IFB Ser. 07-54, Class UI, IO, 3.151s, 2037  3,556,955  273,353 
IFB Ser. 07-109, Class AI, IO, 3.141s, 2037  11,510,318  934,638 
IFB Ser. 07-91, Class AS, IO, 3.141s, 2037  2,287,595  179,137 
IFB Ser. 07-91, Class HS, IO, 3.141s, 2037  2,449,952  208,916 
IFB Ser. 07-15, Class CI, IO, 3.121s, 2037  9,858,756  776,505 
IFB Ser. 06-123, Class BI, IO, 3.121s, 2037  11,990,721  931,991 
IFB Ser. 06-115, Class JI, IO, 3.121s, 2036  7,132,459  584,148 
IFB Ser. 07-109, Class PI, IO, 3.091s, 2037  3,600,714  264,390 
IFB Ser. 06-123, Class LI, IO, 3.061s, 2037  4,750,531  378,023 
IFB Ser. 08-1, Class NI, IO, 2.991s, 2037  5,922,131  444,160 
IFB Ser. 07-116, Class BI, IO, 2.991s, 2037  11,479,458  860,959 
IFB Ser. 08-01, Class AI, IO, 2.991s, 2037  16,682,829  1,343,018 
IFB Ser. 08-10, Class GI, IO, 2.971s, 2038  4,288,046  331,382 
IFB Ser. 08-13, Class SA, IO, 2.961s, 2038  399,446  29,736 
IFB Ser. 08-1, Class HI, IO, 2.941s, 2037  7,775,719  610,308 
IFB Ser. 07-39, Class AI, IO, 2.861s, 2037  5,004,134  383,323 
IFB Ser. 07-32, Class SD, IO, 2.851s, 2037  3,441,804  292,822 
IFB Ser. 07-30, Class UI, IO, 2.841s, 2037  2,812,840  238,690 
IFB Ser. 07-32, Class SC, IO, 2.841s, 2037  4,569,727  332,155 
IFB Ser. 07-1, Class CI, IO, 2.841s, 2037  3,288,657  238,904 
IFB Ser. 05-74, Class SE, IO, 2.841s, 2035  11,508,899  808,857 
IFB Ser. 05-92, Class US, IO, 2.841s, 2025  525,570  32,533 
IFB Ser. 05-14, Class SE, IO, 2.791s, 2035  2,232,861  207,177 
IFB Ser. 05-58, Class IK, IO, 2.741s, 2035  4,317,620  376,359 
IFB Ser. 08-1, Class BI, IO, 2.651s, 2038  9,000,060  565,114 
IFB Ser. 07-75, Class ID, IO, 2.611s, 2037  2,823,400  192,663 
Ser. 03-W12, Class 2, IO, 2.22s, 2043  6,730,725  576,054 
Ser. 03-W10, Class 3, IO, 1.937s, 2043  5,181,791  376,596 
Ser. 03-W10, Class 1, IO, 1.917s, 2043  20,662,679  1,625,021 
Ser. 03-W8, Class 12, IO, 1.635s, 2042  21,617,989  1,454,080 
Ser. 03-W17, Class 12, IO, 1.147s, 2033  6,614,046  194,532 
Ser. 03-T2, Class 2, IO, 0.808s, 2042  30,551,506  602,848 
Ser. 03-W3, Class 2IO1, IO, 0.681s, 2042  2,805,418  48,909 
Ser. 03-W6, Class 51, IO, 0.671s, 2042  8,766,869  137,522 
Ser. 06-W3, Class 1AS, IO, 0.662s, 2046  11,510,068  712,473 
Ser. 01-T12, Class IO, 0.565s, 2041  17,929,678  277,759 
Ser. 03-W2, Class 1, IO, 0.465s, 2042  16,083,038  172,425 
Ser. 02-T4, IO, 0.448s, 2041  6,504,115  82,296 
Ser. 03-W3, Class 1, IO, 0.439s, 2042  21,624,960  228,236 
Ser. 02-T1, Class IO, IO, 0.424s, 2031  17,542,778  184,052 
Ser. 03-W6, Class 3, IO, 0.367s, 2042  12,368,531  117,489 
Ser. 03-W6, Class 23, IO, 0.352s, 2042  12,832,874  113,787 
Ser. 03-W4, Class 3A, IO, 0.35s, 2042  11,819,228  98,835 
Ser. 01-79, Class BI, IO, 0.326s, 2045  3,323,562  28,060 
Ser. 08-33, Principal Only (PO), zero %, 2038  811,538  557,932 
Ser. 08-9, PO, zero %, 2038  584,357  409,050 
Ser. 07-89, Class PO, PO, zero %, 2037  491,009  329,668 
Ser. 07-64, Class LO, PO, zero %, 2037  1,402,746  1,030,149 
Ser. 07-47, Class B0, PO, zero %, 2037  141,625  113,383 
Ser. 07-14, Class KO, PO, zero %, 2037  333,107  233,235 
Ser. 06-125, Class MO, PO, zero %, 2037  513,591  351,440 
Ser. 06-125, Class OX, PO, zero %, 2037  134,800  99,251 
Ser. 06-116, Class OD, PO, zero %, 2036  80,517  53,679 
Ser. 06-84, Class OT, PO, zero %, 2036  70,404  55,591 
Ser. 06-56, Class XF, zero %, 2036  218,715  226,808 
Ser. 06-46, Class OC, PO, zero %, 2036  122,477  91,480 
Ser. 06-16, Class OG, PO, zero %, 2036  185,005  120,907 
Ser. 04-61, Class CO, PO, zero %, 2031  2,677,268  1,941,019 
Ser. 07-15, Class IM, IO, zero %, 2009  3,164,678  1,183 
Ser. 07-16, Class TS, IO, zero %, 2009  13,062,312  6,659 
FRB Ser. 07-76, Class SF, zero %, 2037  169,593  164,964 
FRB Ser. 06-115, Class SN, zero %, 2036  1,109,229  945,481 
FRB Ser. 06-104, Class EK, zero %, 2036  253,727  206,190 
FRB Ser. 05-117, Class GF, zero %, 2036  201,545  137,958 

FRB Ser. 05-57, Class UL, zero %, 2035  2,204,442  1,548,102 
FRB Ser. 05-36, Class QA, zero %, 2035  465,890  348,117 
FRB Ser. 05-65, Class CU, zero %, 2034  308,063  340,751 
FRB Ser. 05-81, Class DF, zero %, 2033  242,412  242,735 
FRB Ser. 06-1, Class HF, zero %, 2032  186,401  159,623 
IFB Ser. 06-75, Class FY, zero %, 2036  431,989  341,943 
Federal Home Loan Mortgage Corp. Structured     
Pass-Through Securities     
IFB Ser. T-56, Class 2ASI, IO, 4.841s, 2043  1,715,830  205,900 
Ser. T-56, Class A, IO, 0.524s, 2043  7,726,981  119,178 
Ser. T-56, Class 3, IO, 0.367s, 2043  9,213,572  106,116 
Ser. T-56, Class 1, IO, 0.282s, 2043  11,967,276  103,534 
Ser. T-56, Class 2, IO, 0.022s, 2043  10,846,551  20,569 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2,     
7.77s, 2027  3,883,441  3,106,753 
First Horizon Alternative Mortgage Securities FRB Ser.     
05-AA10, Class 2A1, 5.746s, 2035  1,748,871  1,049,322 
First Union National Bank-Bank of America Commercial     
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.683s, 2033  29,435,295  859,511 
First Union-Lehman Brothers Commercial Mortgage Trust     
II     
Ser. 97-C2, Class F, 7 1/2s, 2029  2,726,000  2,911,832 
Ser. 97-C2, Class G, 7 1/2s, 2029  832,000  648,142 
First Union-Lehman Brothers-Bank of America 144A Ser.     
98-C2, Class G, 7s, 2035  3,410,000  2,390,069 
Freddie Mac     
IFB Ser. 3339, Class WS, 13.247s, 2037  1,318,627  1,699,193 
IFB Ser. 3339, Class JS, 13.016s, 2037  1,140,483  1,397,627 
IFB Ser. 3360, Class SB, 11.94s, 2037  811,074  1,089,628 
IFB Ser. 3202, Class PS, 11.715s, 2036  869,358  1,047,583 
IFB Ser. 3349, Class SA, 11.475s, 2037  4,603,646  5,526,617 
IFB Ser. 3331, Class SE, 11.475s, 2037  1,113,998  1,313,072 
IFB Ser. 3153, Class SX, 10.313s, 2036  766,945  912,578 
IFB Ser. 3202, Class HM, 10.312s, 2036  582,345  674,087 
IFB Ser. 3182, Class PS, 10 1/4s, 2032  1,912,282  2,255,940 
IFB Ser. 3153, Class JS, 10.163s, 2036  75,937  86,354 
IFB Ser. 3081, Class DC, 8.516s, 2035  1,252,236  1,349,583 
IFB Ser. 3114, Class GK, 8.05s, 2036  841,749  875,407 
IFB Ser. 2976, Class KL, 7.562s, 2035  2,350,260  2,446,041 
IFB Ser. 2990, Class DP, 7.453s, 2034  2,001,034  2,110,719 
IFB Ser. 2979, Class AS, 7.452s, 2034  562,906  591,144 
IFB Ser. 3408, Class EK, 7.334s, 2037  3,820,424  3,887,159 
IFB Ser. 3153, Class UT, 7.196s, 2036  472,790  472,891 
IFB Ser. 3149, Class SU, 7.047s, 2036  991,551  949,101 
IFB Ser. 3360, Class SC, 6.681s, 2037  1,875,905  1,901,334 
IFB Ser. 3065, Class DC, 6.098s, 2035  2,066,350  1,998,487 
IFB Ser. 248, IO, 5 1/2s, 2037  434,160  103,591 
IFB Ser. 3012, Class FS, 5.406s, 2035  73,165  78,981 
IFB Ser. 2990, Class LB, 5.22s, 2034  2,456,649  2,266,265 
IFB Ser. 2990, Class WP, 5.192s, 2035  1,362,864  1,400,079 
IFB Ser. 246, Class S54, IO, 4.013s, 2037  285,827  32,156 
IFB Ser. 2927, Class SI, IO, 3.913s, 2035  3,242,413  369,350 
IFB Ser. 2828, Class GI, IO, 2.913s, 2034  3,849,155  491,547 
IFB Ser. 3184, Class SP, IO, 2.763s, 2033  3,472,583  322,718 
IFB Ser. 2869, Class SH, IO, 2.713s, 2034  1,716,731  112,790 
IFB Ser. 2869, Class JS, IO, 2.663s, 2034  8,185,073  668,041 
IFB Ser. 239, IO, 2.613s, 2036  395,824  32,161 
IFB Ser. 2882, Class LS, IO, 2.613s, 2034  1,678,461  158,972 
IFB Ser. 3203, Class SH, IO, 2.553s, 2036  1,977,437  194,837 
IFB Ser. 2815, Class PT, IO, 2.463s, 2032  3,807,926  490,114 
IFB Ser. 2828, Class TI, IO, 2.463s, 2030  1,751,426  212,646 
IFB Ser. 3397, Class GS, IO, 2.413s, 2037  2,122,153  187,085 
IFB Ser. 3297, Class BI, IO, 2.173s, 2037  8,654,647  739,591 
IFB Ser. 3287, Class SD, IO, 2.163s, 2037  3,371,991  284,714 
IFB Ser. 3281, Class BI, IO, 2.163s, 2037  1,661,015  172,644 
IFB Ser. 3281, Class CI, IO, 2.163s, 2037  1,352,126  157,372 
IFB Ser. 3249, Class SI, IO, 2.163s, 2036  1,508,851  173,798 
IFB Ser. 3028, Class ES, IO, 2.163s, 2035  9,760,478  915,230 
IFB Ser. 2990, Class TS, IO, 2.163s, 2035  204,717  13,350 
IFB Ser. 2922, Class SE, IO, 2.163s, 2035  4,520,668  548,759 
IFB Ser. 3045, Class DI, IO, 2.143s, 2035  15,486,973  1,284,846 
IFB Ser. 3236, Class ES, IO, 2.113s, 2036  3,098,730  295,063 
IFB Ser. 3136, Class NS, IO, 2.113s, 2036  5,109,748  424,267 
IFB Ser. 3118, Class SD, IO, 2.113s, 2036  7,261,829  597,399 
IFB Ser. 3107, Class DC, IO, 2.113s, 2035  9,582,863  908,896 
IFB Ser. 2927, Class ES, IO, 2.113s, 2035  2,528,804  155,926 
IFB Ser. 2950, Class SM, IO, 2.113s, 2016  4,931,401  483,171 
IFB Ser. 3256, Class S, IO, 2.103s, 2036  3,775,651  346,982 
IFB Ser. 3031, Class BI, IO, 2.102s, 2035  1,885,827  269,666 
IFB Ser. 3370, Class TS, IO, 2.083s, 2037  219,628  18,780 
IFB Ser. 3244, Class SB, IO, 2.073s, 2036  2,383,231  246,476 
IFB Ser. 3244, Class SG, IO, 2.073s, 2036  2,779,335  228,770 
IFB Ser. 3236, Class IS, IO, 2.063s, 2036  4,315,397  358,609 
IFB Ser. 3033, Class SG, IO, 2.063s, 2035  87,144  9,785 
IFB Ser. 2962, Class BS, IO, 2.063s, 2035  10,788,113  791,847 
IFB Ser. 3114, Class TS, IO, 2.063s, 2030  11,669,794  1,003,719 
IFB Ser. 3128, Class JI, IO, 2.043s, 2036  5,706,947  495,934 
IFB Ser. 2990, Class LI, IO, 2.043s, 2034  3,688,060  424,609 
IFB Ser. 3240, Class S, IO, 2.033s, 2036  8,250,410  679,017 
IFB Ser. 3229, Class BI, IO, 2.033s, 2036  643,520  67,020 
IFB Ser. 3153, Class JI, IO, 2.033s, 2036  4,031,739  272,142 
IFB Ser. 3065, Class DI, IO, 2.033s, 2035  1,431,247  181,134 
IFB Ser. 3145, Class GI, IO, 2.013s, 2036  4,675,304  429,660 

IFB Ser. 3114, Class GI, IO, 2.013s, 2036  2,013,974  169,065 
IFB Ser. 3339, Class JI, IO, 2.003s, 2037  8,645,595  594,817 
IFB Ser. 3218, Class AS, IO, 1.993s, 2036  2,945,055  232,427 
IFB Ser. 3221, Class SI, IO, 1.993s, 2036  3,513,860  276,372 
IFB Ser. 3153, Class UI, IO, 1.983s, 2036  3,483,983  340,113 
IFB Ser. 3202, Class PI, IO, 1.953s, 2036  9,672,793  761,897 
IFB Ser. 3355, Class MI, IO, 1.913s, 2037  2,432,668  191,891 
IFB Ser. 3201, Class SG, IO, 1.913s, 2036  4,408,981  367,848 
IFB Ser. 3203, Class SE, IO, 1.913s, 2036  3,972,386  327,258 
IFB Ser. 3238, Class LI, IO, 1.903s, 2036  158,151  14,094 
IFB Ser. 3171, Class PS, IO, 1.898s, 2036  3,768,423  299,213 
IFB Ser. 3152, Class SY, IO, 1.893s, 2036  4,307,748  371,592 
IFB Ser. 3366, Class SA, IO, 1.863s, 2037  293,406  23,037 
IFB Ser. 3284, Class BI, IO, 1.863s, 2037  2,712,320  190,983 
IFB Ser. 3260, Class SA, IO, 1.863s, 2037  2,643,454  189,359 
IFB Ser. 3199, Class S, IO, 1.863s, 2036  2,310,843  191,623 
IFB Ser. 3284, Class LI, IO, 1.853s, 2037  10,955,834  866,070 
IFB Ser. 3281, Class AI, IO, 1.843s, 2037  9,986,696  829,486 
IFB Ser. 3311, Class EI, IO, 1.823s, 2037  2,963,057  261,443 
IFB Ser. 3311, Class IA, IO, 1.823s, 2037  4,120,160  345,757 
IFB Ser. 3311, Class IB, IO, 1.823s, 2037  4,120,160  345,757 
IFB Ser. 3311, Class IC, IO, 1.823s, 2037  4,120,160  345,757 
IFB Ser. 3311, Class ID, IO, 1.823s, 2037  4,120,160  345,757 
IFB Ser. 3311, Class IE, IO, 1.823s, 2037  5,880,481  493,480 
IFB Ser. 3382, Class SI, IO, 1.813s, 2037  578,836  45,282 
IFB Ser. 3375, Class MS, IO, 1.813s, 2037  329,432  25,494 
IFB Ser. 3240, Class GS, IO, 1.793s, 2036  4,963,735  403,269 
IFB Ser. 3416, Class BI, IO, 1.663s, 2038  618,642  46,865 
IFB Ser. 2967, Class SA, IO, 1.563s, 2035  226,349  15,019 
IFB Ser. 3339, Class TI, IO, 1.553s, 2037  4,352,441  342,712 
IFB Ser. 3284, Class CI, IO, 1.533s, 2037  7,611,324  550,710 
IFB Ser. 3016, Class SQ, IO, 1.523s, 2035  3,696,230  236,647 
IFB Ser. 3397, Class SQ, IO, 1.383s, 2037  5,169,142  348,741 
IFB Ser. 3235, Class SA, IO, 1.363s, 2036  464,998  40,320 
IFB Ser. 3424, Class UI, IO, 1.173s, 2037  217,159  14,146 
Ser. 3403, PO, zero %, 2037  91,393  70,051 
Ser. 3369, Class BO, PO, zero %, 2037  87,049  62,082 
Ser. 3327, Class IF, IO, zero %, 2037  914,930  205,859 
Ser. 3391, PO, zero %, 2037  438,555  305,168 
Ser. 3292, Class DO, PO, zero %, 2037  270,633  202,858 
Ser. 3292, Class OA, PO, zero %, 2037  183,516  120,135 
Ser. 3296, Class OK, PO, zero %, 2037  159,518  120,774 
Ser. 3274, Class MO, PO, zero %, 2037  85,704  62,871 
Ser. 3300, PO, zero %, 2037  1,980,832  1,448,384 
Ser. 3252, Class LO, PO, zero %, 2036  634,975  478,655 
Ser. 3255, Class CO, PO, zero %, 2036  374,911  250,489 
Ser. 3218, Class AO, PO, zero %, 2036  216,940  149,081 
Ser. 3206, Class EO, PO, zero %, 2036  79,401  63,078 
Ser. 3175, Class MO, PO, zero %, 2036  399,725  277,252 
Ser. 3210, PO, zero %, 2036  162,152  114,595 
Ser. 3139, Class CO, PO, zero %, 2036  469,018  354,117 
Ser. 2587, Class CO, PO, zero %, 2032  1,389,869  1,132,627 
FRB Ser. 3349, Class DO, zero %, 2037  222,875  190,287 
FRB Ser. 3326, Class XF, zero %, 2037  1,403,055  1,017,546 
FRB Ser. 3326, Class YF, zero %, 2037  2,860,362  2,536,923 
FRB Ser. 3263, Class TA, zero %, 2037  297,603  243,266 
FRB Ser. 3241, Class FH, zero %, 2036  604,210  484,382 
FRB Ser. 3341, Class FA, zero %, 2036  83,406  78,740 
FRB Ser. 3231, Class XB, zero %, 2036  449,330  405,369 
FRB Ser. 3283, Class HF, zero %, 2036  105,956  107,868 
FRB Ser. 3231, Class X, zero %, 2036  299,615  247,550 
FRB Ser. 3147, Class SF, zero %, 2036  1,353,509  778,570 
FRB Ser. 3130, Class JF, zero %, 2036  54,443  51,170 
FRB Ser. 3117, Class AF, zero %, 2036  185,470  188,896 
FRB Ser. 3326, Class WF, zero %, 2035  2,123,432  1,452,627 
FRB Ser. 3036, Class AS, zero %, 2035  191,217  182,372 
FRB Ser. 3003, Class XF, zero %, 2035  2,052,511  1,467,968 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 05-C2, Class XC, IO, 0.073s, 2043  84,776,437  502,413 
Ser. 07-C1, Class XC, IO, 0.066s, 2019  184,072,183  945,932 
Ser. 05-C3, Class XC, IO, 0.064s, 2045  229,245,473  768,731 
GMAC Commercial Mortgage Securities, Inc.     
Ser. 99-C3, Class F, 7.895s, 2036  592,000  604,592 
Ser. 97-C1, Class X, IO, 1.259s, 2029  3,466,191  138,301 
Ser. 05-C1, Class X1, IO, 0.185s, 2043  91,533,446  830,315 
GMAC Commercial Mortgage Securities, Inc. 144A     
Ser. 99-C3, Class G, 6.974s, 2036  1,614,303  1,538,994 
Ser. 06-C1, Class XC, IO, 0.071s, 2045  127,110,372  480,447 
Government National Mortgage Association     
IFB Ser. 07-38, Class AS, 15.93s, 2037  2,642,957  3,425,325 
IFB Ser. 07-44, Class SP, 14.1s, 2036  1,369,473  1,679,280 
IFB Ser. 06-34, Class SA, 13 7/8s, 2036  315,828  375,682 
IFB Ser. 07-51, Class SP, 13.815s, 2037  881,721  1,057,553 
IFB Ser. 07-35, Class DK, 11.801s, 2035  753,706  878,143 
Ser. 07-17, Class CI, IO, 7 1/2s, 2037  92,949  19,055 
IFB Ser. 05-7, Class JM, 7.31s, 2034  2,264,539  2,324,031 
IFB Ser. 05-66, Class SP, 5.938s, 2035  1,213,937  1,207,365 
IFB Ser. 08-29, Class SA, IO, 3.503s, 2038  387,584  38,453 
IFB Ser. 06-69, Class SI, IO, 3.103s, 2036  186,995  16,262 
IFB Ser. 06-61, Class SM, IO, 3.103s, 2036  126,647  10,670 
IFB Ser. 06-62, Class SI, IO, 3.103s, 2036  3,073,107  264,324 
IFB Ser. 07-1, Class SL, IO, 3.083s, 2037  1,404,398  115,724 
IFB Ser. 07-1, Class SM, IO, 3.073s, 2037  1,404,398  115,452 

IFB Ser. 05-68, Class PU, IO, 3.023s, 2032  158,637  15,076 
IFB Ser. 07-49, Class NY, IO, 2.823s, 2035  11,312,645  1,000,536 
IFB Ser. 04-59, Class SH, IO, 2.781s, 2034  85,352  7,314 
IFB Ser. 04-59, Class SC, IO, 2.731s, 2034  1,818,969  171,163 
IFB Ser. 04-26, Class IS, IO, 2.731s, 2034  70,277  5,559 
IFB Ser. 07-47, Class SA, IO, 2.631s, 2036  85,927  7,938 
IFB Ser. 07-26, Class SG, IO, 2.573s, 2037  4,605,283  426,789 
IFB Ser. 07-9, Class BI, IO, 2.543s, 2037  9,064,297  818,306 
IFB Ser. 07-31, Class CI, IO, 2.533s, 2037  2,423,059  153,127 
IFB Ser. 07-25, Class SA, IO, 2.523s, 2037  3,168,278  243,989 
IFB Ser. 07-25, Class SB, IO, 2.523s, 2037  6,179,012  555,520 
IFB Ser. 07-22, Class S, IO, 2.523s, 2037  2,583,315  243,041 
IFB Ser. 07-11, Class SA, IO, 2.523s, 2037  2,386,249  175,889 
IFB Ser. 07-14, Class SB, IO, 2.523s, 2037  2,562,540  205,449 
IFB Ser. 06-69, Class SA, IO, 2.523s, 2036  359,334  24,385 
IFB Ser. 05-84, Class AS, IO, 2.523s, 2035  176,145  19,108 
IFB Ser. 07-51, Class SJ, IO, 2.473s, 2037  2,964,009  272,003 
IFB Ser. 07-53, Class SY, IO, 2.458s, 2037  149,704  13,922 
IFB Ser. 07-35, Class NY, IO, 2.431s, 2035  128,754  9,810 
IFB Ser. 07-58, Class PS, IO, 2.423s, 2037  5,066,870  443,432 
IFB Ser. 04-88, Class S, IO, 2.423s, 2032  84,957  5,307 
IFB Ser. 07-59, Class PS, IO, 2.393s, 2037  2,301,704  191,990 
IFB Ser. 07-59, Class SP, IO, 2.393s, 2037  4,666,259  395,867 
IFB Ser. 07-68, Class PI, IO, 2.373s, 2037  4,225,082  303,689 
IFB Ser. 06-38, Class SG, IO, 2.373s, 2033  9,315,518  731,237 
IFB Ser. 07-26, Class SD, IO, 2.331s, 2037  4,509,990  355,387 
IFB Ser. 07-26, Class SL, IO, 2.331s, 2037  212,988  20,768 
IFB Ser. 07-53, Class SG, IO, 2.323s, 2037  1,703,877  114,094 
IFB Ser. 08-3, Class SA, IO, 2.273s, 2038  5,481,801  425,633 
IFB Ser. 07-79, Class SY, IO, 2.273s, 2037  9,540,655  649,719 
IFB Ser. 07-64, Class AI, IO, 2.273s, 2037  17,699,229  1,390,529 
IFB Ser. 07-53, Class ES, IO, 2.273s, 2037  2,446,828  148,290 
IFB Ser. 07-10, Class SB, IO, 2.243s, 2037  1,008,404  88,860 
IFB Ser. 08-4, Class SA, IO, 2.239s, 2038  11,019,859  756,723 
IFB Ser. 07-67, Class SI, IO, 2.233s, 2037  7,791,393  528,428 
IFB Ser. 07-9, Class DI, IO, 2.233s, 2037  4,566,412  271,576 
IFB Ser. 04-17, Class QN, IO, 2.231s, 2034  108,346  9,693 
IFB Ser. 07-57, Class QA, IO, 2.223s, 2037  5,877,757  449,701 
IFB Ser. 07-58, Class SA, IO, 2.223s, 2037  7,899,314  539,381 
IFB Ser. 07-58, Class SC, IO, 2.223s, 2037  4,401,683  304,989 
IFB Ser. 07-61, Class SA, IO, 2.223s, 2037  3,140,774  242,412 
IFB Ser. 07-53, Class SC, IO, 2.223s, 2037  2,695,029  183,152 
IFB Ser. 07-27, Class S, IO, 2.223s, 2037  1,490,957  108,488 
IFB Ser. 07-28, Class SG, IO, 2.223s, 2037  1,311,722  95,314 
IFB Ser. 08-34, Class SH, IO, 2.223s, 2037  115,416  8,042 
IFB Ser. 06-26, Class S, IO, 2.223s, 2036  523,008  41,191 
IFB Ser. 06-28, Class GI, IO, 2.223s, 2035  3,868,047  237,799 
IFB Ser. 07-58, Class SD, IO, 2.213s, 2037  4,178,719  290,976 
IFB Ser. 07-59, Class SD, IO, 2.193s, 2037  7,501,748  501,844 
IFB Ser. 07-36, Class SA, IO, 2.193s, 2037  703,872  45,329 
IFB Ser. 07-36, Class SG, IO, 2.193s, 2037  1,073,531  76,489 
IFB Ser. 06-49, Class SA, IO, 2.183s, 2036  427,516  33,611 
IFB Ser. 07-48, Class SB, IO, 2.181s, 2037  3,558,517  256,124 
IFB Ser. 05-92, Class S, IO, 2.123s, 2032  311,664  23,777 
IFB Ser. 07-74, Class SI, IO, 2.101s, 2037  98,046  8,178 
IFB Ser. 07-17, Class AI, IO, 2.081s, 2037  9,932,818  787,216 
IFB Ser. 05-65, Class SI, IO, 2.073s, 2035  4,040,788  328,299 
IFB Ser. 08-2, Class SV, IO, 2.051s, 2038  1,395,391  96,014 
IFB Ser. 08-2, Class SM, IO, 2.031s, 2038  241,346  18,376 
IFB Ser. 07-9, Class AI, IO, 2.031s, 2037  3,803,963  283,353 
IFB Ser. 08-15, Class PI, IO, 2.023s, 2035  133,675  9,547 
IFB Ser. 06-16, Class SX, IO, 2.013s, 2036  183,714  14,899 
IFB Ser. 07-17, Class IB, IO, 1.973s, 2037  2,134,128  158,625 
IFB Ser. 06-10, Class SM, IO, 1.973s, 2036  14,249,417  1,140,437 
IFB Ser. 06-14, Class S, IO, 1.973s, 2036  3,549,586  244,339 
IFB Ser. 05-57, Class PS, IO, 1.973s, 2035  82,352  7,092 
IFB Ser. 06-11, Class ST, IO, 1.963s, 2036  2,223,226  180,554 
IFB Ser. 08-40, Class SA, IO, 1.931s, 2038  645,940  49,454 
IFB Ser. 07-26, Class SW, IO, 1.923s, 2037  35,624,888  2,372,511 
IFB Ser. 07-27, Class SD, IO, 1.923s, 2037  2,281,155  152,625 
IFB Ser. 07-19, Class SJ, IO, 1.923s, 2037  3,883,140  241,997 
IFB Ser. 07-23, Class ST, IO, 1.923s, 2037  4,782,840  287,731 
IFB Ser. 07-8, Class SA, IO, 1.923s, 2037  3,397,110  225,724 
IFB Ser. 07-9, Class CI, IO, 1.923s, 2037  5,932,136  457,440 
IFB Ser. 07-7, Class EI, IO, 1.923s, 2037  4,024,450  250,409 
IFB Ser. 07-7, Class JI, IO, 1.923s, 2037  6,300,918  409,560 
IFB Ser. 07-1, Class S, IO, 1.923s, 2037  5,056,069  316,025 
IFB Ser. 07-3, Class SA, IO, 1.923s, 2037  4,825,826  300,823 
IFB Ser. 05-17, Class S, IO, 1.903s, 2035  93,490  7,924 
IFB Ser. 05-71, Class SA, IO, 1.891s, 2035  228,883  17,783 
IFB Ser. 05-3, Class SN, IO, 1.823s, 2035  267,320  21,939 
IFB Ser. 07-17, Class IC, IO, 1.781s, 2037  5,135,991  372,745 
IFB Ser. 07-25, Class KS, IO, 1.731s, 2037  930,434  83,306 
IFB Ser. 07-21, Class S, IO, 1.731s, 2037  5,244,540  343,790 
IFB Ser. 07-73, Class MI, IO, 1.723s, 2037  8,097,803  451,210 
IFB Ser. 04-41, Class SG, IO, 1.723s, 2034  250,644  11,011 
IFB Ser. 07-31, Class AI, IO, 1.711s, 2037  2,903,583  193,678 
IFB Ser. 07-62, Class S, IO, 1.681s, 2037  112,042  8,064 
IFB Ser. 07-43, Class SC, IO, 1.631s, 2037  3,255,070  205,675 
IFB Ser. 07-67, Class EI, IO, 0.02s, 2037  4,209,866  1,744 
IFB Ser. 07-67, Class GI, IO, 0.02s, 2037  12,326,288  5,101 
Ser. 07-73, Class MO, PO, zero %, 2037  622,908  411,997 
FRB Ser. 07-73, Class KI, IO, zero %, 2037  6,229,079  93,779 

FRB Ser. 07-73, Class KM, zero %, 2037  622,908  457,916 
FRB Ser. 07-49, Class UF, zero %, 2037  208,478  134,958 
FRB Ser. 07-33, Class TB, zero %, 2037  61,830  47,224 
FRB Ser. 07-35, Class UF, zero %, 2037  354,272  236,809 
FRB Ser. 07-22, Class TA, zero %, 2037  235,725  172,661 
FRB Ser. 98-2, Class EA, PO, zero %, 2028  90,590  74,421 
Greenpoint Mortgage Funding Trust Ser. 05-AR1,     
Class X1, IO, 3.271s, 2045  5,242,598  123,201 
Greenwich Capital Commercial Funding Corp. Ser.     
05-GG5, Class XC, IO, 0.062s, 2037  182,939,699  402,467 
Greenwich Capital Commercial Funding Corp. 144A     
Ser. 07-GG9, Class X, IO, 0.323s, 2039  29,423,279  494,311 
Ser. 05-GG3, Class XC, IO, 0.229s, 2042  135,557,957  1,778,520 
GS Mortgage Securities Corp. II     
FRB Ser. 07-GG10, Class A3, 5.799s, 2045  2,285,000  1,823,965 
Ser. 06-GG6, Class A2, 5.506s, 2038  2,998,000  2,782,144 
Ser. 05-GG4, Class A4, 4.761s, 2039  197,000  151,128 
GS Mortgage Securities Corp. II 144A     
Ser. 98-C1, Class F, 6s, 2030  1,286,000  1,090,785 
FRB Ser. 07-EOP, Class J, 4.895s, 2009  428,000  329,560 
Ser. 06-GG8, Class X, IO, 0.671s, 2039  26,345,998  550,631 
Ser. 04-C1, Class X1, IO, 0.312s, 2028  17,107,591  95,803 
Ser. 03-C1, Class X1, IO, 0.24s, 2040  19,319,409  356,258 
Ser. 05-GG4, Class XC, IO, 0.194s, 2039  105,501,144  1,223,813 
Ser. 06-GG6, Class XC, IO, 0.046s, 2038  52,565,558  105,131 
GSMPS Mortgage Loan Trust     
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  225,702  229,631 
Ser. 05-RP3, Class 1A3, 8s, 2035  704,890  703,777 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  639,534  623,482 
GSMPS Mortgage Loan Trust 144A     
Ser. 05-RP2, Class 1A3, 8s, 2035  846,038  852,514 
Ser. 05-RP1, Class 1A3, 8s, 2035  111,221  112,561 
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  940,933  933,544 
IFB Ser. 04-4, Class 1AS, IO, 2.895s, 2034  10,720,258  656,080 
GSR Mortgage Loan Trust Ser. 05-AR2, Class 2A1,     
4.837s, 2035  1,592,346  1,130,566 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,     
2035 (Cayman Islands)  242,459  20,609 
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1,     
6.131s, 2037  7,500,783  5,025,525 
IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,     
3.369s, 2037  4,481,410  3,621,889 
IndyMac Indx Mortgage Loan Trust     
FRB Ser. 06-AR25, Class 5A1, 6.306s, 2036  83,374  50,171 
FRB Ser. 07-AR15, Class 1A1, 6.212s, 2037  276,866  177,194 
FRB Ser. 07-AR9, Class 2A1, 6.039s, 2037  282,471  177,956 
FRB Ser. 05-AR31, Class 3A1, 5.636s, 2036  8,880,397  5,505,846 
FRB Ser. 07-AR11, Class 1A1, 5.628s, 2037  3,327,060  1,829,883 
FRB Ser. 05-AR5, Class 4A1, 5.488s, 2035  233,273  143,650 
JPMorgan Alternative Loan Trust     
FRB Ser. 06-A3, Class 2A1, 6.066s, 2036  112,584  70,362 
FRB Ser. 06-A1, Class 5A1, 5.94s, 2036  196,250  128,544 
FRB Ser. 06-A6, Class 1A1, 3.419s, 2036  131,054  70,747 
JPMorgan Chase Commercial Mortgage Securities Corp.     
Ser. 97-C5, Class F, 7.561s, 2029  911,000  772,710 
FRB Ser. 07-LD12, Class AM, 6.062s, 2051  5,510,000  3,319,574 
FRB Ser. 07-LD12, Class A3, 5.99s, 2051  26,282,000  20,771,768 
Ser. 07-CB20, Class A3, 5.863s, 2051  5,740,000  4,484,474 
FRB Ser. 07-LD11, Class A3, 5.819s, 2049  2,850,000  2,188,800 
Ser. 06-CB15, Class A4, 5.814s, 2043  4,443,000  3,547,850 
Ser. 07-CB20, Class A4, 5.794s, 2051  3,738,000  2,823,056 
FRB Ser. 04-PNC1, Class A4, 5.368s, 2041  75,000  62,543 
Ser. 05-CB12, Class A4, 4.895s, 2037  198,000  153,846 
Ser. 04-C3, Class A5, 4.878s, 2042  189,000  149,159 
Ser. 05-LDP2, Class AM, 4.78s, 2042  1,990,000  1,418,255 
Ser. 06-LDP8, Class X, IO, 0.573s, 2045  35,000,676  912,219 
Ser. 06-CB17, Class X, IO, 0.513s, 2043  42,765,277  922,019 
Ser. 06-LDP9, Class X, IO, 0.455s, 2047  9,803,529  171,562 
Ser. 07-LDPX, Class X, IO, 0.347s, 2049  54,492,374  689,873 
Ser. 06-CB16, Class X1, IO, 0.093s, 2045  39,876,615  435,106 
Ser. 06-LDP7, Class X, IO, 0.009s, 2045  227,622,125  143,402 
JPMorgan Chase Commercial Mortgage Securities Corp.     
144A     
Ser. 03-ML1A, Class X1, IO, 0.578s, 2039  38,237,203  990,344 
Ser. 05-LDP2, Class X1, IO, 0.19s, 2042  165,121,729  1,806,432 
Ser. 05-LDP1, Class X1, IO, 0.153s, 2046 (F)  53,954,537  360,806 
Ser. 05-CB12, Class X1, IO, 0.107s, 2037 (F)  54,153,687  385,837 
Ser. 05-LDP3, Class X1, IO, 0.085s, 2042  81,219,305  393,101 
Ser. 07-CB20, Class X1, IO, 0.074s, 2051  89,012,887  653,355 
Ser. 06-LDP6, Class X1, IO, 0.063s, 2043  68,155,833  223,551 
Ser. 05-LDP5, Class X1, IO, 0.061s, 2044  343,590,238  1,020,463 
LB Commercial Conduit Mortgage Trust 144A     
Ser. 99-C1, Class F, 6.41s, 2031  715,303  612,299 
Ser. 99-C1, Class G, 6.41s, 2031  765,731  419,850 
Ser. 98-C4, Class G, 5.6s, 2035  634,000  592,635 
Ser. 98-C4, Class H, 5.6s, 2035  1,074,000  622,974 
LB-UBS Commercial Mortgage Trust     
Ser. 01-C3, Class A2, 6.365s, 2028  67,000  62,403 
Ser. 07-C6, Class A2, 5.845s, 2012  8,188,000  7,138,674 
Ser. 04-C7, Class A6, 4.786s, 2029  1,733,000  1,415,133 
Ser. 07-C2, Class XW, IO, 0.536s, 2040  11,759,583  297,475 
LB-UBS Commercial Mortgage Trust 144A     
Ser. 06-C7, Class XW, IO, 0.718s, 2038  30,427,697  947,214 

Ser. 03-C5, Class XCL, IO, 0.256s, 2037  16,080,249  310,975 
Ser. 05-C3, Class XCL, IO, 0.209s, 2040  66,211,369  1,029,527 
Ser. 05-C2, Class XCL, IO, 0.167s, 2040  122,432,008  967,727 
Ser. 05-C5, Class XCL, IO, 0.139s, 2020  69,233,500  722,140 
Ser. 05-C7, Class XCL, IO, 0.096s, 2040  82,720,323  525,076 
Ser. 06-C1, Class XCL, IO, 0.086s, 2041  66,429,253  531,461 
Ser. 06-C7, Class XCL, IO, 0.082s, 2038  47,004,775  587,705 
Ser. 07-C2, Class XCL, IO, 0.077s, 2040  101,051,112  935,814 
Lehman Brothers Floating Rate Commercial Mortgage     
Trust 144A     
FRB Ser. 04-LLFA, Class H, 5.51s, 2017  733,000  513,100 
FRB Ser. 05-LLFA, Class J, 5.36s, 2018  423,000  317,250 
Lehman Mortgage Trust     
IFB Ser. 06-7, Class 1A9, 21.368s, 2036  652,007  786,459 
IFB Ser. 07-5, Class 4A3, 20.528s, 2037  1,931,209  1,834,648 
IFB Ser. 06-7, Class 4A2, IO, 4.491s, 2036  3,136,492  263,255 
IFB Ser. 07-5, Class 8A2, IO, 4.461s, 2036  3,124,542  257,838 
Ser. 07-1, Class 3A2, IO, 3.991s, 2037  3,757,462  520,233 
IFB Ser. 06-9, Class 3A2, IO, 3.971s, 2037  2,246,663  211,436 
IFB Ser. 07-4, Class 3A2, IO, 3.941s, 2037  3,015,068  265,391 
IFB Ser. 06-5, Class 2A2, IO, 3.891s, 2036  6,691,480  535,318 
IFB Ser. 07-2, Class 2A13, IO, 3.431s, 2037  5,458,913  436,713 
IFB Ser. 07-4, Class 2A2, IO, 3.411s, 2037  12,478,792  998,303 
IFB Ser. 07-1, Class 2A3, IO, 3.371s, 2037  6,373,286  501,896 
Ser. 06-9, Class 2A3, IO, 3.361s, 2036  7,430,579  551,253 
IFB Ser. 06-9, Class 2A2, IO, 3.361s, 2037  5,514,155  403,159 
IFB Ser. 06-7, Class 2A4, IO, 3.291s, 2036  10,738,119  885,895 
IFB Ser. 06-7, Class 2A5, IO, 3.291s, 2036  10,066,863  790,249 
IFB Ser. 06-6, Class 1A2, IO, 3.241s, 2036  3,962,018  316,961 
IFB Ser. 06-6, Class 1A3, IO, 3.241s, 2036  5,773,270  454,645 
IFB Ser. 07-5, Class 10A2, IO, 3.081s, 2037  6,097,984  472,594 
MASTR Adjustable Rate Mortgages Trust     
Ser. 04-7, Class 2A1, 6.095s, 2034  139,915  89,443 
FRB Ser. 04-13, Class 3A6, 3.788s, 2034  2,253,000  1,838,609 
Ser. 04-03, Class 4AX, IO, 1.417s, 2034  1,875,168  13,479 
Ser. 05-2, Class 7AX, IO, 0.17s, 2035  5,096,765  17,523 
MASTR Alternative Loans Trust Ser. 06-3, Class 1A1,     
6 1/4s, 2036  176,012  115,893 
MASTR Reperforming Loan Trust 144A     
Ser. 05-2, Class 1A3, 7 1/2s, 2035  611,398  648,328 
Ser. 05-1, Class 1A4, 7 1/2s, 2034  1,501,916  1,532,398 
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1,     
3.86s, 2027  4,517,861  3,580,430 
Merrill Lynch Capital Funding Corp. Ser. 06-4,     
Class XC, IO, 0 1/8s, 2049  89,310,195  1,102,065 
Merrill Lynch Floating Trust 144A     
FRB Ser. 06-1, Class TM, 5.06s, 2022  1,019,621  897,266 
Ser. 06-1, Class X1A, IO, 1.515s, 2022  17,876,055  93,671 
Merrill Lynch Mortgage Investors, Inc.     
FRB Ser. 98-C3, Class E, 6.876s, 2030  644,000  646,737 
FRB Ser. 05-A9, Class 3A1, 5.276s, 2035  3,334,531  2,467,553 
Merrill Lynch Mortgage Trust     
FRB Ser. 07-C1, Class A3, 5.829s, 2050  1,576,000  1,319,708 
FRB Ser. 07-C1, Class A4, 5.829s, 2050  1,777,000  1,346,431 
FRB Ser. 04-BPC1, Class A5, 4.855s, 2041  193,000  154,464 
FRB Ser. 05-MCP1, Class A4, 4.747s, 2043  187,000  144,925 
Ser. 05-MCP1, Class XC, IO, 0.123s, 2043  69,662,582  636,135 
Merrill Lynch Mortgage Trust 144A     
Ser. 04-KEY2, Class XC, IO, 0.259s, 2039  15,707,905  241,769 
Ser. 05-LC1, Class X, IO, 0.101s, 2044  36,556,698  196,295 
Merrill Lynch/Countrywide Commercial Mortgage Trust     
FRB Ser. 07-8, Class A3, 5.957s, 2049  4,551,000  3,788,708 
FRB Ser. 07-8, Class A2, 5.92s, 2049 (F)  2,784,000  2,697,046 
Merrill Lynch/Countrywide Commercial Mortgage Trust     
144A     
Ser. 06-3, Class XC, IO, 0.113s, 2046  52,241,425  589,095 
Ser. 06-1, Class X, IO, 0.077s, 2039  29,873,650  83,472 
Ser. 07-7, Class X, IO, 0.019s, 2050  192,095,500  402,183 
Mezz Cap Commercial Mortgage Trust 144A     
Ser. 04-C1, Class X, IO, 7.795s, 2037 (F)  3,065,009  666,452 
Ser. 04-C2, Class X, IO, 6.004s, 2040 (F)  2,422,737  529,970 
Ser. 05-C3, Class X, IO, 5.555s, 2044 (F)  2,848,194  602,667 
Ser. 06-C4, Class X, IO, 5.074s, 2016 (F)  8,524,085  1,614,774 
Morgan Stanley Capital 144A Ser. 05-RR6, Class X, IO,     
1.597s, 2043  9,907,279  297,218 
Morgan Stanley Capital I     
FRB Ser. 08-T29, Class A3, 6.28s, 2043  1,316,000  1,033,192 
FRB Ser. 06-IQ11, Class A4, 5.772s, 2042  4,443,000  3,973,418 
FRB Ser. 07-IQ14, Class AM, 5.691s, 2049  1,732,000  1,088,388 
Ser. 05-HQ6, Class A4A, 4.989s, 2042  3,963,000  3,210,973 
Ser. 04-HQ4, Class A7, 4.97s, 2040  2,047,000  1,677,721 
Morgan Stanley Capital I 144A     
Ser. 04-RR, Class F5, 6s, 2039  1,000,000  450,000 
Ser. 04-RR, Class F6, 6s, 2039  1,700,000  680,000 
Ser. 07-HQ13, Class X1, IO, 0.671s, 2044  59,784,107  1,412,698 
Ser. 05-HQ6, Class X1, IO, 0.116s, 2042  75,505,468  622,716 
Ser. 05-HQ5, Class X1, IO, 0.094s, 2042  21,606,452  122,509 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,     
Class 2A1, 4.973s, 2035  3,722,461  2,233,477 
Mortgage Capital Funding, Inc. FRB Ser. 98-MC2,     
Class E, 7.113s, 2030  1,020,000  918,000 
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,     
7.433s, 2035  371,179  328,051 

Nomura Asset Acceptance Corp. 144A Ser. 04-R2,     
Class PT, 9.087s, 2034  395,053  395,127 
Permanent Financing PLC 144A FRB Ser. 9A, Class 3A,     
2.917s, 2033 (United Kingdom)  3,086,000  2,550,854 
Permanent Master Issuer PLC FRB Ser. 07-1, Class 4A,     
4.833s, 2033 (United Kingdom)  3,745,000  3,329,305 
PNC Mortgage Acceptance Corp. 144A     
Ser. 99-CM1, Class B3, 7.1s, 2032  3,870,000  3,616,902 
Ser. 00-C1, Class J, 6 5/8s, 2010  456,000  254,060 
Ser. 00-C2, Class J, 6.22s, 2033  1,113,000  795,795 
Residential Asset Securitization Trust     
Ser. 07-A5, Class 2A3, 6s, 2037  3,037,844  2,020,166 
IFB Ser. 07-A3, Class 2A2, IO, 3.431s, 2037  12,550,554  909,915 
Residential Funding Mortgage Securities I Ser. 04-S5,     
Class 2A1, 4 1/2s, 2019  2,341,725  2,087,795 
Saco I Trust FRB Ser. 05-10, Class 1A1, 3.519s, 2033  975,767  380,549 
Salomon Brothers Mortgage Securities VII 144A Ser.     
02-KEY2, Class X1, IO, 0.666s, 2036  22,733,729  899,581 
SBA CMBS Trust 144A Ser. 05-1A, Class D, 6.219s, 2035  600,000  438,000 
STRIPS 144A     
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands)  757,000  651,020 
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)  513,000  348,840 
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands)  337,000  235,900 
Structured Adjustable Rate Mortgage Loan Trust     
FRB Ser. 07-8, Class 1A2, 6 1/4s, 2037  9,496,549  5,507,999 
FRB Ser. 06-9, Class 1A1, 5.715s, 2036  92,763  57,875 
FRB Ser. 05-18, Class 6A1, 5.256s, 2035  1,901,767  1,331,237 
Ser. 04-8, Class 1A3, 5.127s, 2034  10,312  7,891 
Ser. 05-9, Class AX, IO, 1.409s, 2035  18,754,329  344,517 
Structured Adjustable Rate Mortgage Loan Trust 144A     
Ser. 04-NP2, Class A, 3.609s, 2034  594,447  445,835 
Structured Asset Securities Corp.     
IFB Ser. 07-4, Class 1A3, IO, 3.01s, 2037  42,726,822  2,777,243 
Ser. 07-4, Class 1A4, IO, 1s, 2037  45,257,844  957,633 
Structured Asset Securities Corp. 144A     
Ser. 07-RF1, Class 1A, IO, 2.577s, 2037  11,759,800  573,878 
Ser. 06-RF4, Class 1A, IO, 0.356s, 2036  6,301,268  549,832 
Wachovia Bank Commercial Mortgage Trust     
FRB Ser. 07-C33, Class A3, 5.903s, 2051  3,570,000  2,770,748 
Ser. 07-C30, Class A3, 5.246s, 2043  5,721,000  4,967,229 
Ser. 04-C15, Class A4, 4.803s, 2041  3,055,000  2,455,756 
Ser. 06-C28, Class XC, IO, 0.38s, 2048  23,327,969  341,988 
Ser. 06-C29, IO, 0 3/8s, 2048  97,704,933  1,541,784 
Ser. 07-C34, IO, 0.356s, 2046  23,995,374  377,447 
Wachovia Bank Commercial Mortgage Trust 144A     
FRB Ser. 05-WL5A, Class L, 7.86s, 2018  771,000  616,800 
Ser. 03-C3, Class IOI, IO, 0.421s, 2035  15,847,778  425,922 
Ser. 07-C31, IO, 0.261s, 2047  91,508,263  987,374 
Ser. 06-C27, Class XC, IO, 0.078s, 2045  45,537,629  250,457 
Ser. 06-C23, Class XC, IO, 0.055s, 2045  89,962,339  365,247 
Ser. 06-C26, Class XC, IO, 0.039s, 2045  34,318,457  65,205 
WAMU Commercial Mortgage Securities Trust 144A     
Ser. 05-C1A, Class G, 5.72s, 2036  222,000  97,258 
Ser. 06-SL1, Class X, IO, 0.936s, 2043  7,528,898  235,655 
Ser. 07-SL2, Class X, IO, 0.851s, 2049  14,896,985  414,136 
WAMU Mortgage Pass-Through Certificates FRB Ser.     
04-AR1, Class A, 4.229s, 2034  348,782  282,514 
Washington Mutual Mortgage Pass-Through Certificates     
Ser. 07-2, Class CX, IO, 7s, 2037  840,618  130,296 
Washington Mutual Multi-Fam., Mtge. 144A Ser. 01-1,     
Class B5, 7.189s, 2031 (Cayman Islands)  1,305,000  1,149,881 
Wells Fargo Mortgage Backed Securities Trust     
Ser. 06-AR10, Class 3A1, 4.871s, 2036  2,186,909  1,770,456 
Ser. 05-AR2, Class 2A1, 4.549s, 2035  1,183,046  870,903 
Ser. 05-AR9, Class 1A2, 4.42s, 2035  1,333,155  559,925 
Ser. 04-R, Class 2A1, 4.366s, 2034  1,143,871  923,095 
Ser. 05-AR12, Class 2A5, 4.345s, 2035  18,969,000  13,767,345 
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035  44,983,000  107,575 
Total collateralized mortgage obligations (cost $651,752,801)    $619,116,300 
 
 
CORPORATE BONDS AND NOTES (14.0%)(a)     
  Principal amount  Value 
 
Basic materials (0.7%)     
ArcelorMittal 144A notes 6 1/8s, 2018 (Luxembourg)  $1,440,000  $992,235 
BHP Billton Finance USA, Ltd. company guaranty unsec.     
notes 5.4s, 2017 (Australia)  485,000  390,196 
BHP Billton Finance USA, Ltd. company guaranty unsec.     
notes 5 1/8s, 2012 (Australia)  245,000  235,831 
Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011     
(Canada)  310,000  266,600 
Dow Chemical Co. (The) Pass Through Trust 144A company     
guaranty 4.027s, 2009  2,825,000  2,866,068 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes     
8 3/8s, 2017  2,290,000  1,791,925 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes     
FRN 7.084s, 2015  120,000  85,602 
Georgia-Pacific Corp. debs. 9 1/2s, 2011  556,000  475,380 
Georgia-Pacific Corp. notes 8 1/8s, 2011  635,000  536,575 
International Paper Co. bonds 7.95s, 2018  770,000  623,626 
International Paper Co. bonds 7.4s, 2014  225,000  189,864 
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014  470,000  389,743 
Monsanto Co. company guaranty sr. unsec. notes 5 7/8s,     

2038    515,000  431,463 
Monsanto Co. sr. unsec. unsub. notes 5 1/8s, 2018    355,000  312,233 
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s,       
2016    1,085,000  947,499 
Packaging Corp. of America unsec. unsub. notes 5 3/4s,       
2013    345,000  299,448 
PPG Industries, Inc. sr. unsec. unsub. notes 6.65s,       
2018    185,000  158,187 
Rhodia SA 144A company guaranty unsec. sr. notes       
8.068s, 2013 (France)  EUR  265,000  218,877 
Sealed Air Corp. 144A notes 5 5/8s, 2013    $210,000  202,481 
Steel Dynamics, Inc. company guaranty sr. unsec.       
unsub. notes 7 3/8s, 2012    700,000  520,625 
Steel Dynamics, Inc. company guaranty sr. unsec.       
unsub. notes 6 3/4s, 2015    1,080,000  707,400 
Westvaco Corp. unsec. notes 7 1/2s, 2027    12,000  9,702 
Xstrata Finance Canada, Ltd. 144A company guaranty       
5.8s, 2016 (Canada)    735,000  562,482 
      13,214,042 
 
Capital goods (0.7%)       
Caterpillar Financial Services Corp. sr. unsec. notes       
4.85s, 2012    820,000  761,737 
Caterpillar Financial Services Corp. sr. unsec. notes       
Ser. MTN, 5.85s, 2017    1,505,000  1,313,699 
Caterpillar Financial Services Corp. sr. unsec. notes       
Ser. MTN, 5.45s, 2018    980,000  806,432 
Eaton Corp. notes 5.6s, 2018    1,220,000  1,085,628 
John Deere Capital Corp. sr. unsec. notes Ser. MTN,       
5.35s, 2018    335,000  285,588 
L-3 Communications Corp. company guaranty Ser. B,       
6 3/8s, 2015    595,000  493,850 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015    435,000  356,700 
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)    767,000  715,439 
Parker Hannifin Corp. sr. unsec. unsub. notes 6 1/4s,       
2038    975,000  811,090 
Parker Hannifin Corp. sr. unsec. unsub. notes 5 1/2s,       
2018    445,000  390,102 
Pitney Bowes, Inc. sr. unsec. notes 5.6s, 2018    125,000  119,894 
Rexam PLC 144A bond 6 3/4s, 2013 (United Kingdom)    4,580,000  4,620,450 
United Technologies Corp. sr. unsec. notes 6 1/8s, 2038    430,000  370,886 
United Technologies Corp. sr. unsec. notes 5 3/8s, 2017    1,310,000  1,183,136 
      13,314,631 
 
Communication services (1.2%)       
ALLTEL Corp. sr. notes 7s, 2012    600,000  540,000 
American Tower Corp. 144A sr. notes 7s, 2017    1,250,000  1,087,500 
Ameritech Capital Funding company guaranty 6 1/4s, 2009    200,000  203,416 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031    1,139,000  1,059,449 
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011    185,000  184,609 
AT&T, Inc. sr. unsec. unsub. bonds 5 1/2s, 2018    245,000  208,164 
AT&T, Inc. sr. unsec. unsub. notes 6.3s, 2038    3,645,000  2,810,240 
AT&T, Inc. sr. unsec. unsub. notes 4.95s, 2013    1,135,000  1,070,346 
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030    1,800,000  1,592,712 
British Telecommunications PLC sr. unsec. notes 5.15s,       
2013 (United Kingdom)    1,875,000  1,622,981 
CenturyTel, Inc. sr. unsec. notes 5 1/2s, 2013    65,000  53,463 
France Telecom notes 8 1/2s, 2031 (France)    180,000  169,607 
Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s,       
2013    600,000  347,772 
Nextel Communications, Inc. sr. notes Ser. F, 5.95s,       
2014    2,655,000  1,433,700 
Qwest Corp. sr. notes FRN 6.069s, 2013    135,000  97,875 
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada)       
(S)    2,055,000  1,835,002 
Southwestern Bell Telephone debs. 7s, 2027    1,075,000  792,423 
Telecom Italia Capital SA company guaranty 7.2s, 2036       
(Luxembourg)    350,000  225,491 
Telecom Italia Capital SA company guaranty 5 1/4s,       
2015 (Luxembourg)    965,000  661,899 
Telecom Italia Capital SA company guaranty 5 1/4s,       
2013 (Luxembourg)    515,000  390,904 
Telecom Italia Capital SA company guaranty 4s, 2010       
(Luxembourg)    60,000  57,425 
Telecom Italia Capital SA company guaranty sr. unsec.       
notes FRN 5.113s, 2011 (Luxembourg)    465,000  368,179 
Telefonica Emisones SAU company guaranty 7.045s, 2036       
(Spain)    690,000  532,489 
Telefonica Emisones SAU company guaranty 6.421s, 2016       
(Spain)    270,000  231,358 
Telefonica Emisones SAU company guaranty 6.221s, 2017       
(Spain)    385,000  324,948 
Telefonica Europe BV company guaranty 8 1/4s, 2030       
(Netherlands)    595,000  531,514 
Telus Corp. notes 8s, 2011 (Canada)    1,055,000  1,036,820 
Verizon Communications, Inc. sr. unsec. unsub. notes       
8.95s, 2039    180,000  174,630 
Verizon Communications, Inc. sr. unsec. unsub. notes       
8 3/4s, 2018    110,000  109,294 
Verizon New England, Inc. sr. notes 6 1/2s, 2011    2,285,000  2,142,368 
Verizon New Jersey, Inc. debs. 8s, 2022    770,000  682,456 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030    980,000  851,763 

Vodafone Group PLC unsec. notes 6.15s, 2037 (United     
Kingdom)  1,550,000  1,160,921 
    24,591,718 
 
Conglomerates (0.1%)     
Honeywell International, Inc. sr. unsec. notes 5.3s,     
2018  455,000  397,867 
Siemens Financieringsmaatschappij 144A notes 5 3/4s,     
2016 (Netherlands)  680,000  610,304 
    1,008,171 
 
Consumer cyclicals (0.6%)     
D.R. Horton, Inc. sr. notes 7 7/8s, 2011  565,000  452,000 
D.R. Horton, Inc. sr. notes 5 7/8s, 2013  660,000  448,800 
DaimlerChrysler NA Holding Corp. company guaranty     
6 1/2s, 2013  565,000  423,514 
DaimlerChrysler NA Holding Corp. company guaranty     
unsec. notes 7.2s, 2009  1,545,000  1,434,173 
DaimlerChrysler NA Holding Corp. company guaranty     
unsec. unsub. notes Ser. MTN, 5 3/4s, 2011  1,730,000  1,385,336 
Federated Department Stores, Inc. company guaranty sr.     
unsec. notes 6 5/8s, 2011  60,000  50,735 
Ford Motor Credit Co., LLC notes 6 3/8s, 2008  980,000  980,000 
Hanson PLC company guaranty 6 1/8s, 2016 (United     
Kingdom)  175,000  96,146 
JC Penney Co., Inc. debs. 7.65s, 2016  110,000  91,815 
JC Penney Co., Inc. notes 6 7/8s, 2015  910,000  744,414 
Marriott International, Inc. sr. unsec. Ser. J,     
5 5/8s, 2013  150,000  115,210 
Mattel, Inc. sr. unsec. notes 5 5/8s, 2013  330,000  257,588 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010  130,000  90,025 
Mohawk Industries, Inc. sr. unsec. notes 6 1/8s, 2016  235,000  206,156 
Omnicom Group, Inc. sr. notes 5.9s, 2016  635,000  501,026 
Starwood Hotels & Resorts Worldwide, Inc. company     
guaranty 7 7/8s, 2012  710,000  619,403 
Starwood Hotels & Resorts Worldwide, Inc. sr. unsec.     
notes 6 1/4s, 2013  1,445,000  1,063,121 
Target Corp. bonds 6 1/2s, 2037  1,705,000  1,227,211 
Vulcan Materials Co. sr. unsec. unsub. notes 5.6s, 2012  875,000  863,645 
    11,050,318 
 
Consumer staples (1.6%)     
Anheuser-Busch Cos., Inc. sr. unsec. notes 5.6s, 2017  215,000  170,850 
Cadbury Schweppes US Finance LLC 144A company guaranty     
sr. unsec. notes 5 1/8s, 2013  230,000  205,556 
Campbell Soup Co. debs. 8 7/8s, 2021  855,000  1,012,273 
Comcast Cable Communications company guaranty sr.     
unsub. notes 8 7/8s, 2017  290,000  283,148 
Comcast Corp. company guaranty sr. unsec. unsub. notes     
6.95s, 2037  225,000  183,463 
Comcast Corp. unsec. bonds 6.4s, 2038  1,260,000  963,700 
ConAgra Foods, Inc. unsec. notes 7 7/8s, 2010  2,750,000  2,736,630 
Cox Communications, Inc. notes 7 1/8s, 2012  745,000  711,542 
Cox Communications, Inc. 144A notes 5 7/8s, 2016 (S)  1,155,000  955,651 
CVS Caremark, Corp. sr. unsec. FRN 6.302s, 2037  2,485,000  1,739,500 
CVS Caremark, Corp. 144A pass-through certificates     
6.117s, 2013  1,923,867  1,933,042 
Delhaize Group sr. unsub. notes 6 1/2s, 2017 (Belgium)     
(S)  565,000  458,707 
Diageo Capital PLC company guaranty 5 3/4s, 2017     
(United Kingdom)  925,000  795,210 
Diageo Capital PLC company guaranty 5.2s, 2013 (United     
Kingdom)  395,000  368,284 
Diageo PLC company guaranty 8s, 2022  760,000  718,965 
Estee Lauder Cos., Inc. (The) sr. unsec. notes 6s, 2037  1,040,000  709,058 
Estee Lauder Cos., Inc. (The) sr. unsec. notes 5.55s,     
2017  280,000  228,677 
H.J. Heinz Co. sr. unsec. notes 5.35s, 2013  455,000  421,566 
Kellogg Co. sr. unsub. 5 1/8s, 2012  165,000  158,276 
Kraft Foods, Inc. notes 6 1/8s, 2018  765,000  640,073 
Kroger Co. company guaranty 6 3/4s, 2012  275,000  268,055 
Kroger Co. company guaranty 6.4s, 2017  995,000  865,728 
McDonald's Corp. sr. unsec. Ser. MTN, 6.3s, 2038  535,000  467,303 
McDonald's Corp. sr. unsec. bond 6.3s, 2037  860,000  754,148 
McDonald's Corp. sr. unsec. bond 5.8s, 2017  435,000  410,397 
Newell Rubbermaid, Inc. sr. unsec. notes 5 1/2s, 2013  160,000  149,399 
News America Holdings, Inc. company guaranty 7 3/4s,     
2024  1,045,000  881,678 
News America Holdings, Inc. debs. 7 3/4s, 2045  1,955,000  1,631,958 
R. R. Donnelley & Sons Co. sr. unsec. notes 5 5/8s,     
2012  165,000  144,194 
Reynolds American, Inc. company guaranty 7 1/4s, 2013  695,000  608,151 
SABMiller PLC 144A notes 6 1/2s, 2018 (United Kingdom)  540,000  466,984 
Sara Lee Corp. sr. unsec. unsub. notes 6 1/4s, 2011  865,000  830,889 
Supervalu, Inc. notes 7 7/8s, 2009  520,000  494,000 
TCI Communications, Inc. company guaranty 7 7/8s, 2026  2,170,000  1,881,206 
TCI Communications, Inc. debs. 9.8s, 2012  1,870,000  1,891,905 
Tesco PLC 144A sr. unsec. unsub. notes 6.15s, 2037     
(United Kingdom) (S)  1,080,000  716,834 
Time Warner Cable, Inc. company guaranty sr. notes     
7.3s, 2038  640,000  529,713 
Time Warner Cable, Inc. company guaranty sr. unsec.     

6 3/4s, 2018  770,000  663,266 
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023  170,000  151,706 
Time Warner, Inc. debs. 9.15s, 2023  340,000  315,618 
Time Warner, Inc. debs. 9 1/8s, 2013  2,435,000  2,338,988 
Viacom, Inc. sr. notes 5 3/4s, 2011  610,000  545,711 
    32,402,002 
 
Energy (0.5%)     
Anadarko Petroleum Corp. sr. notes 5.95s, 2016  575,000  475,664 
Chesapeake Energy Corp. sr. unsec. notes 7 5/8s, 2013  10,000  8,500 
ConocoPhillips comp 5.9s, 2038  45,000  33,682 
ConocoPhillips company guaranty unsec. sr. notes 5.2s,     
2018  20,000  16,527 
El Paso Natural Gas Co. sr. unsec. notes 5.95s, 2017  120,000  92,808 
Enterprise Products Operating LP company guaranty FRB     
8 3/8s, 2066  915,000  679,388 
Enterprise Products Operating LP company guaranty FRB     
7.034s, 2068  55,000  35,475 
Enterprise Products Operating, LLC company guaranty     
sr. notes 6 1/2s, 2019  340,000  275,430 
EOG Resources, Inc. sr. unsec. notes 5 7/8s, 2017  645,000  570,207 
Forest Oil Corp. sr. notes 8s, 2011  610,000  542,900 
Hess Corp. sr. unsec. bonds 7 7/8s, 2029  538,000  458,691 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012  225,000  229,143 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016  650,000  484,250 
Nexen, Inc. unsec. unsub. notes 6.4s, 2037 (Canada)  595,000  405,838 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  805,000  621,863 
Petro-Canada sr. unsec. unsub. notes 6.05s, 2018     
(Canada)  700,000  544,018 
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015  1,330,000  1,220,980 
Sunoco, Inc. notes 4 7/8s, 2014  590,000  461,887 
Tesoro Corp. company guaranty 6 1/2s, 2017  235,000  157,450 
Weatherford International, Inc. company guaranty sr.     
unsec. unsub. bonds 6.8s, 2037  245,000  173,773 
Weatherford International, Inc. company guaranty sr.     
unsec. unsub. bonds 6.35s, 2017  280,000  231,315 
Weatherford International, Ltd. company guaranty     
6 1/2s, 2036  855,000  568,767 
Weatherford International, Ltd. sr. notes 5 1/2s, 2016  455,000  354,264 
XTO Energy, Inc. sr. unsec. notes 6 3/4s, 2037  225,000  166,743 
XTO Energy, Inc. sr. unsec. notes 5 1/2s, 2018  390,000  304,040 
XTO Energy, Inc. sr. unsec. unsub. notes 6 1/2s, 2018  180,000  150,735 
    9,264,338 
 
Financials (4.6%)     
AGFC Capital Trust I company guaranty 6s, 2067  620,000  99,200 
Allstate Life Global Funding Trusts notes Ser. MTN,     
5 3/8s, 2013  1,305,000  1,179,339 
American Express Bank FSB notes Ser. BKN1, 5.55s, 2012  1,160,000  967,354 
American Express Bank FSB sr. unsec. FRN Ser. BKNT,     
4.888s, 2017  545,000  327,000 
American International Group, Inc. jr. sub. bond     
6 1/4s, 2037  2,075,000  259,375 
Ameriprise Financial, Inc. jr. sub. FRN 7.518s, 2066  1,745,000  871,139 
Amvescap PLC company guaranty 5 5/8s, 2012  520,000  501,905 
ANZ National International Ltd. 144A bank guaranty sr.     
unsec. note 6.2s, 2013 (New Zealand)  545,000  491,883 
Bank of America NA sub. notes 5.3s, 2017  1,315,000  1,108,010 
Bank of New York Mellon Corp. (The) sr. unsec. unsub.     
notes Ser. G, 4.95s, 2012  600,000  578,962 
BankAmerica Capital III bank guaranty jr. unsec. FRN     
Ser. *, 5.323s, 2027  4,140,000  3,039,505 
Barclays Bank PLC unsec. FRN 3.313s, 2049 (United     
Kingdom)  2,290,000  961,800 
Barclays Bank PLC 144A sub. bonds FRB 7.7s, 2049     
(United Kingdom)  280,000  174,748 
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,     
2012  1,715,000  1,692,293 
Bear Stearns Cos., Inc. (The) sr. notes 6.4s, 2017  370,000  329,765 
Bear Stearns Cos., Inc. (The) sr. unsec. notes 7 1/4s,     
2018  1,325,000  1,247,366 
Block Financial Corp. notes 5 1/8s, 2014  205,000  174,431 
Bosphorus Financial Services, Ltd. 144A sec. sr. notes     
FRN 4.604s, 2012 (Cayman Islands)  2,080,750  2,012,938 
Capital One Capital III company guaranty 7.686s, 2036  1,280,000  609,969 
Capital One Financial Corp. sr. unsec. unsub. notes     
FRN Ser. MTN, 3.097s, 2009  240,000  226,824 
Chubb Corp. (The) sr. notes 6 1/2s, 2038  765,000  583,303 
CIT Group, Inc. jr. sub. FRN 6.1s, 2067  3,330,000  616,050 
CIT Group, Inc. sr. notes 5.4s, 2013  155,000  81,740 
CIT Group, Inc. sr. notes 5s, 2015  170,000  86,462 
CIT Group, Inc. sr. notes 5s, 2014  110,000  57,250 
Citigroup, Inc. sr. notes 6 1/2s, 2013  1,935,000  1,834,301 
Citigroup, Inc. sr. unsec. bonds 6 7/8s, 2038  681,000  584,120 
Citigroup, Inc. sr. unsec. notes 6 1/8s, 2018  1,690,000  1,447,798 
Citigroup, Inc. sub. notes 5s, 2014  1,295,000  1,023,650 
CNA Financial Corp. unsec. notes 6 1/2s, 2016  1,015,000  758,913 
CNA Financial Corp. unsec. notes 6s, 2011  730,000  676,666 
Credit Suisse Guernsey Ltd. jr. sub. FRN 5.86s, 2049     
(Guernsey)  1,416,000  808,757 
Deutsche Bank AG/London notes 4 7/8s, 2013 (Germany)  575,000  535,831 
Deutsche Bank Capital Funding Trust VII 144A FRB     

5.628s, 2049  1,145,000  688,835 
Developers Diversified Realty Corp. unsec. notes     
5 3/8s, 2012 (R)  385,000  287,813 
Dresdner Funding Trust I 144A bonds 8.151s, 2031  1,250,000  598,230 
Duke Realty LP sr. unsec. notes 6 1/2s, 2018  1,445,000  931,580 
Duke Realty LP sr. unsec. notes 6 1/4s, 2013 (R)  865,000  775,961 
Equity One, Inc. notes 5 3/8s, 2015 (R)  695,000  563,714 
Erac USA Finance Co. 144A company guaranty 6 3/8s, 2017  1,120,000  686,932 
Fleet Capital Trust V bank guaranty FRN 3.876s, 2028  1,010,000  752,719 
Fund American Cos., Inc. notes 5 7/8s, 2013  1,090,000  783,515 
GATX Financial Corp. notes 5.8s, 2016  560,000  428,479 
General Electric Capital Corp. sr. unsec. FRN Ser.     
MTN, 3.003s, 2016  910,000  696,542 
General Electric Capital Corp. sr. unsec. notes     
5 7/8s, 2038  2,890,000  2,061,553 
General Electric Capital Corp. sub. notes FRN 6 3/8s,     
2067  1,420,000  918,208 
Genworth Financial, Inc. sr. unsec. Ser. MTN, 6.515s,     
2018  220,000  106,150 
Genworth Life Institutional Funding Trust notes Ser.     
MTN, 5 7/8s, 2013  1,315,000  906,913 
GMAC, LLC sr. unsec. unsub. notes FRN 4.054s, 2009  1,460,000  1,219,100 
Goldman Sachs Group, Inc. (The) sr. notes 5.45s, 2012  1,210,000  1,064,800 
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037  745,000  486,485 
Hartford Financial Services Group, Inc. (The) jr. sub.     
debs. FRB 8 1/8s, 2068  2,570,000  1,257,325 
HCP, Inc. sr. unsec. Ser. MTN, 6.7s, 2018 (R)  15,000  10,571 
Health Care Property Investors, Inc. sr. unsec. notes     
6s, 2017 (S)  1,180,000  838,116 
Health Care REIT, Inc. sr. notes 6s, 2013 (R)  385,000  335,687 
Highwood Properties, Inc. sr. unsec. bonds 5.85s, 2017     
(R)  1,005,000  645,853 
Hospitality Properties Trust notes 6 3/4s, 2013 (R)  780,000  692,649 
HRPT Properties Trust bonds 5 3/4s, 2014 (R)  530,000  424,905 
HRPT Properties Trust notes 6 1/4s, 2016 (R)  525,000  372,805 
HSBC Bank USA NA sub. notes 7s, 2039  1,710,000  1,507,633 
HSBC Finance Capital Trust IX FRN 5.911s, 2035  3,300,000  1,802,585 
HSBC Holdings PLC sub. notes 6 1/2s, 2037 (United     
Kingdom)  3,555,000  2,803,125 
ILFC E-Capital Trust II 144A FRB 6 1/4s, 2065  2,560,000  889,600 
International Lease Finance Corp. sr. unsec. 6 3/8s,     
2013  210,000  136,500 
International Lease Finance Corp. sr. unsec. Ser. MTN,     
6 5/8s, 2013  75,000  49,125 
iStar Financial, Inc. sr. unsec. notes Ser. B, 4 7/8s,     
2009 (R)  705,000  585,150 
JPMorgan Chase & Co. sr. notes 6s, 2018  1,130,000  1,013,703 
JPMorgan Chase Capital XVIII bonds Ser. R, 6.95s, 2036  1,996,000  1,457,693 
JPMorgan Chase Capital XXV bonds 6.8s, 2037  780,000  561,399 
Liberty Mutual Group 144A company guaranty FRB     
10 3/4s, 2058  2,475,000  1,246,748 
Liberty Mutual Insurance 144A notes 7.697s, 2097  2,160,000  1,258,306 
Lincoln National Corp. jr. unsec. sub. deb. FRB 7s,     
2066  790,000  371,300 
Lincoln National Corp. sr. unsec. notes 6.3s, 2037  480,000  309,279 
Loews Corp. notes 5 1/4s, 2016  510,000  398,412 
Marsh & McLennan Cos., Inc. sr. unsec. notes 6 1/4s,     
2012  1,620,000  1,632,722 
Marsh & McLennan Cos., Inc. sr. unsec. notes 5 3/8s,     
2014  980,000  912,837 
Merrill Lynch & Co., Inc. jr. sub. bonds 7 3/4s, 2038  2,865,000  2,355,606 
Merrill Lynch & Co., Inc. notes FRN Ser. MTN, 3.735s,     
2011  835,000  706,172 
MetLife Capital Trust IV jr. sub. debs. 7 7/8s, 2067  4,200,000  2,352,000 
Monumental Global Funding, Ltd. 144A notes 5 1/2s,     
2013 (Cayman Islands)  1,410,000  1,336,868 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  465,000  472,641 
Nationwide Health Properties, Inc. notes 6 1/2s, 2011     
(R)  650,000  587,176 
Nationwide Health Properties, Inc. unsec. notes     
6 1/4s, 2013 (R)  1,130,000  1,021,476 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  375,000  210,015 
Nuveen Investments, Inc. sr. unsec. notes 5 1/2s, 2015  505,000  80,800 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  1,240,000  1,322,362 
Pacific Life Global Funding 144A notes 5.15s, 2013  1,525,000  1,547,823 
Protective Life Secured Trusts sr. sec. notes 5.45s,     
2012  840,000  750,576 
Prudential Financial, Inc. jr. unsec. sub. notes FRN     
8 7/8s, 2038  65,000  35,701 
Prudential Holdings LLC 144A bonds 8.695s, 2023  1,510,000  1,301,152 
Regency Centers LP sr. unsec. 5 7/8s, 2017  650,000  495,186 
Rouse Co. (The) notes 7.2s, 2012 (R)  645,000  225,750 
Rouse Co., LP (The) / TRC Property Holdings, Inc. 144A     
sr. unsec. unsub. notes 6 3/4s, 2013 (R)  695,000  236,300 
Royal Bank of Scotland Group PLC jr. sub. notes FRN     
Ser. MTN, 7.64s, 2049 (United Kingdom)  700,000  343,000 
Simon Property Group LP sr. unsec. notes 6 1/8s, 2018     
(R')  1,675,000  1,129,512 
Simon Property Group LP unsub. bonds 5 3/4s, 2015 (R)  371,000  275,542 
SLM Corp. notes Ser. MTNA, 4 1/2s, 2010  1,345,000  1,052,652 
Sovereign Bancorp, Inc. sr. notes 4.8s, 2010  730,000  649,396 
State Street Capital Trust IV company guaranty jr.     
unsec. sub. bond FRB 3.819s, 2037  925,000  592,299 

Swiss Re Capital I LP 144A company guaranty FRN     
6.854s, 2049 (United Kingdom)  850,000  416,931 
Travelers Cos., Inc. (The) sr. unsec. notes 6 1/4s,     
2037  730,000  538,327 
Unitrin, Inc. sr. notes 6s, 2017  740,000  616,624 
Wachovia Bank NA sr. unsec. sub. notes 6.6s, 2038  693,000  547,942 
Wachovia Bank NA sub. notes Ser. BKNT, 6s, 2017  2,310,000  1,860,668 
Wells Fargo & Co. sr. notes 4 3/8s, 2013  2,120,000  1,957,298 
Wells Fargo Capital XV jr. sub. unsec. company     
guaranty FRN 9 3/4s, 2049  435,000  426,300 
Westfield Group sr. notes 5.7s, 2016 (Australia)  875,000  649,452 
Westpac Capital Trust III 144A sub. notes FRN 5.819s,     
2049 (Australia)  1,010,000  664,681 
Willis Group North America, Inc. company guaranty     
6.2s, 2017  605,000  440,876 
ZFS Finance USA Trust I 144A bonds FRB 6 1/2s, 2037  2,130,000  1,150,200 
    89,769,508 
 
Health care (0.4%)     
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037  2,535,000  1,800,968 
AmerisourceBergen Corp. company guaranty sr. unsec.     
notes 5 5/8s, 2012  20,000  18,089 
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United     
Kingdom)  1,805,000  1,666,042 
Cardinal Health, Inc. sr. unsec. unsub. notes 5 1/2s,     
2013  330,000  286,911 
Covidien International Finance SA company guaranty sr.     
unsec. unsub. notes 6.55s, 2037 (Luxembourg)  505,000  399,213 
Covidien International Finance SA company guaranty sr.     
unsec. unsub. notes 6s, 2017 (Luxembourg)  585,000  510,108 
GlaxoSmith Kline Capital Inc, company guaranty sr.     
notes 5.65s, 2018  1,840,000  1,630,625 
Hospira, Inc. sr. notes 5.55s, 2012  785,000  712,988 
UnitedHealth Group, Inc. sr. unsec. notes 5.8s, 2036  180,000  109,910 
UnitedHealth Group, Inc. sr. unsec. notes 5 1/2s, 2012  755,000  666,859 
Ventas Realty LP/Capital Corp. sr. notes 6 3/4s, 2017     
(R)  470,000  385,400 
    8,187,113 
 
Technology (0.5%)     
Arrow Electronics, Inc. debs. 7 1/2s, 2027  760,000  595,201 
Avnet, Inc. notes 6s, 2015  765,000  593,590 
Computer Sciences Corp. sr. unsec. unsub. notes 5s,     
2013  65,000  55,370 
Expedia, Inc. sr. unsec. notes company guaranty     
7.456s, 2018  100,000  76,750 
Fiserv, Inc. sr. unsec. unsub. notes company guaranty     
6.8s, 2017  760,000  580,686 
Fiserv, Inc. sr. unsec. unsub. notes company guaranty     
6 1/8s, 2012  760,000  669,250 
IBM Corp. sr. unsec. notes 5.7s, 2017  320,000  293,474 
Lexmark International Inc, sr. unsec. notes 5.9s, 2013  2,200,000  2,176,508 
Motorola, Inc. sr. notes 8s, 2011  205,000  183,826 
Motorola, Inc. sr. unsec. notes 6 5/8s, 2037  1,040,000  608,823 
Motorola, Inc. sr. unsec. notes 6s, 2017  530,000  363,523 
Tyco Electronics Group SA company guaranty 6.55s, 2017     
(Luxembourg)  180,000  149,840 
Tyco Electronics Group SA sr. unsec. notes company     
guaranty 6s, 2012 (Luxembourg)  1,150,000  1,082,150 
Xerox Corp. sr. notes 6.4s, 2016  1,030,000  731,369 
Xerox Corp. sr. unsec. notes 6.35s, 2018  960,000  703,488 
Xerox Corp. sr. unsec. notes 5 1/2s, 2012  665,000  516,835 
    9,380,683 
 
Transportation (0.4%)     
American Airlines, Inc. pass-through certificates Ser.     
01-1, 6.817s, 2011  100,000  66,000 
American Airlines, Inc. pass-through certificates Ser.     
01-2, 7.858s, 2011  525,000  417,375 
Canadian National Railway Co. sr. unsec. unsub. notes     
5.55s, 2018 (Canada)  625,000  543,713 
Continental Airlines, Inc. pass-through certificates     
Ser. 98-3, 6.32s, 2008  2,895,000  2,893,553 
Delta Air Lines, Inc. pass-through certificates     
6.821s, 2022  864,816  562,130 
Northwest Airlines Corp. pass-through certificates     
Ser. 00-1, 7.15s, 2019  1,483,335  1,112,501 
Ryder System, Inc. sr. unsec. unsub. notes Ser. MTN,     
6s, 2013  330,000  272,583 
Southwest Airlines Co. pass-through certificates     
6.15s, 2022 (S)  831,398  666,043 
Southwest Airlines Co. sr. unsec. unsub. notes 6 1/2s,     
2012  55,000  52,561 
Union Pacific Corp. sr. unsec. notes 7 7/8s, 2019  745,000  732,658 
Union Pacific Corp. sr. unsub. notes 5 3/4s, 2017  750,000  635,644 
Union Pacific Corp. 144A pass-through certificates     
5.214s, 2014  590,000  589,794 
United AirLines, Inc. pass-through certificates     
6.636s, 2022  680,293  408,176 
    8,952,731 

Utilities and power (2.7%)     
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  905,000  830,738 
American Water Capital Corp. sr. unsec. bonds 6.593s,     
2037  455,000  301,326 
American Water Capital Corp. sr. unsec. bonds 6.085s,     
2017  510,000  394,218 
Appalachian Power Co. sr. notes 5.8s, 2035  510,000  329,147 
Arizona Public Services Co. notes 6 1/2s, 2012  1,040,000  957,708 
Atmos Energy Corp. sr. unsub. notes 6.35s, 2017  905,000  720,099 
Beaver Valley II Funding debs. 9s, 2017  1,327,000  1,409,659 
Boardwalk Pipelines LP company guaranty 5 7/8s, 2016  1,950,000  1,562,037 
Bruce Mansfield Unit pass-through certificates 6.85s,     
2034  2,390,000  2,344,631 
CenterPoint Energy Houston Electric, LLC general ref.     
mtge. Ser. M2, 5 3/4s, 2014  110,000  91,655 
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011  1,060,000  996,601 
CMS Energy Corp. unsub. notes 6.55s, 2017  50,000  38,375 
Commonwealth Edison Co. 1st mtge. 6.15s, 2017  275,000  230,486 
Commonwealth Edison Co. 1st mtge. 5.9s, 2036  1,145,000  798,275 
Commonwealth Edison Co. 1st mtge. sec. bonds 5 7/8s,     
2033  500,000  352,180 
Commonwealth Edison Co. 1st mtge. sec. bonds 5.8s, 2018  495,000  406,135 
Consolidated Natural Gas Co. sr. notes 5s, 2014  530,000  441,535 
Consumers Energy Co. 1st mtge. sec. bonds 5.65s, 2018  1,805,000  1,403,191 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013  826,000  800,118 
Dominion Resources, Inc. jr. sub. notes FRN 6.3s, 2066  3,085,000  1,604,200 
Dominion Resources, Inc. sr. unsec. unsub. notes Ser.     
07-A, 6s, 2017  10,000  8,311 
Dominion Resources, Inc. sr. unsec. unsub. notes Ser.     
A, 5.6s, 2016  1,050,000  865,584 
Duke Energy Carolinas LLC 1st mtge. sec. bond 6.05s,     
2038 (S)  630,000  471,114 
Duke Energy Corp. sr. unsec. notes 6 1/4s, 2018  1,675,000  1,458,642 
Duke Energy Indiana, Inc. 1st mtge. sec. bond 6.35s,     
2038 (S)  995,000  842,143 
E.ON International Finance BV 144A notes 5.8s, 2018     
(Netherlands)  2,500,000  2,134,235 
Entergy Gulf States, Inc. 1st mtge. 5 1/4s, 2015  985,000  785,072 
FirstEnergy Corp. notes Ser. B, 6.45s, 2011  862,000  811,994 
Florida Power Corp. 1st mtge. 6.35s, 2037  1,040,000  909,657 
Florida Power Corp. 1st mtge. sec. bond 6.4s, 2038  1,810,000  1,592,311 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  515,000  507,463 
Indiantown Cogeneration LP 1st mtge. Ser. A-10, 9.77s,     
2020  775,000  766,142 
Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,     
2016  170,000  141,950 
ITC Holdings Corp. 144A notes 5 7/8s, 2016  1,090,000  960,038 
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018  365,000  319,704 
Kansas Gas & Electric bonds 5.647s, 2021  369,671  306,158 
Kinder Morgan, Inc. notes 6s, 2017  545,000  429,175 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012  558,000  488,250 
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036  2,345,000  1,726,131 
MidAmerican Energy Holdings Co. sr. unsec. bond     
6 1/2s, 2037  380,000  293,469 
National Fuel Gas Co. notes 5 1/4s, 2013  545,000  509,510 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s,     
2015  525,000  454,290 
Northwestern Corp. sec. notes 5 7/8s, 2014  1,090,000  928,914 
Oncor Electric Delivery Co. debs. 7s, 2022  292,000  233,422 
Pacific Gas & Electric Co. sr. unsec. notes 6.35s, 2038  350,000  281,169 
Pacific Gas & Electric Co. sr. unsub. 5.8s, 2037  775,000  563,682 
PacifiCorp Sinking Fund 1st mtge. 6 1/4s, 2037  520,000  423,541 
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016  1,085,000  884,523 
Power Receivable Finance, LLC 144A sr. notes 6.29s,     
2012  710,773  739,793 
PPL Energy Supply LLC bonds Ser. A, 5.7s, 2015  640,000  527,342 
Public Service Co. of Colorado 1st mtge. sec. bond     
6 1/2s, 2038  790,000  682,494 
Public Service Co. of Colorado sr. notes Ser. A,     
6 7/8s, 2009  375,000  376,010 
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s,     
2067  1,185,000  989,475 
Rockies Express Pipeline, LLC 144A sr. notes 7 1/2s,     
2038  3,285,000  2,455,762 
Sierra Pacific Power Co. general ref. mtge. Ser. P,     
6 3/4s, 2037  1,000,000  757,184 
Southern California Edison Co. notes 6.65s, 2029  1,030,000  863,472 
Southern Natural Gas. Co. 144A notes 5.9s, 2017  460,000  355,090 
Spectra Energy Capital, LLC company guaranty sr.     
unsec. unsub. notes 6.2s, 2018  1,080,000  868,512 
Spectra Energy Capital, LLC sr. notes 8s, 2019  780,000  658,638 
Spectra Energy Capital, LLC sr. unsec. unsub. notes     
5.668s, 2014  330,000  291,806 
Teco Finance, Inc. company guaranty sr. unsec. unsub.     
notes 7.2s, 2011  1,070,000  1,056,821 
TEPPCO Partners LP company guaranty FRB 7s, 2067  595,000  409,625 
TransAlta Corp. notes 5 3/4s, 2013 (Canada)  665,000  615,798 
TransAlta Corp. sr. unsec. notes 6.65s, 2018 (Canada)     
(S)  2,175,000  1,885,906 
TransCanada Pipelines, Ltd. jr. sub. FRN 6.35s, 2067     
(Canada)  520,000  360,964 
TransCanada Pipelines, Ltd. sr. unsec. unsub. notes     
6 1/2s, 2018 (Canada)  285,000  239,935 

Union Electric Co. 1st mtge. sr. sec. bond 6.7s, 2019  960,000  824,378 
West Penn Power Co. 1st mtge. 5.95s, 2017  995,000  810,586 
Westar Energy, Inc. 1st mtge. 5.15s, 2017  75,000  62,235 
Westar Energy, Inc. 1st mtge. 5.1s, 2020  800,000  616,480 
    52,557,214 
Total corporate bonds and notes (cost $347,565,571)    $273,692,469 
 
 
ASSET-BACKED SECURITIES (6.7%)(a)     
  Principal amount  Value 
 
Accredited Mortgage Loan Trust     
FRB Ser. 05-1, Class M2, 3.949s, 2035  330,147  $99,044 
FRB Ser. 05-4, Class A2C, 3.469s, 2035  302,000  270,290 
Ace Securities Corp.     
FRB Ser. 06-OP2, Class A2C, 3.409s, 2036  759,000  383,295 
FRB Ser. 06-HE3, Class A2C, 3.409s, 2036  1,021,000  560,357 
Ace Securities Corp. 144A Ser. 03-MH1, Class M2,     
6 1/2s, 2030  467,551  402,093 
Advanta Business Card Master Trust FRB Ser. 04-C1,     
Class C, 5.328s, 2013  210,000  71,990 
Aegis Asset Backed Securities Trust 144A Ser. 04-6N,     
Class Note, 4 3/4s, 2035  59,595  6 
AFC Home Equity Loan Trust Ser. 99-2, Class 1A,     
3.617s, 2029  2,135,059  926,648 
American Express Credit Account Master Trust 144A Ser.     
04-C, Class C, 5.06s, 2012  431,181  407,352 
Ameriquest Mortgage Securities, Inc.     
FRB Ser. 06-R1, Class M10, 5.759s, 2036  902,000  48,077 
FRB Ser. 03-8, Class M2, 5.009s, 2033  473,243  70,986 
AMP CMBS 144A FRB Ser. 06-1A, Class A, 3.569s, 2047     
(Cayman Islands)  1,910,000  738,941 
Arcap REIT, Inc. 144A     
Ser. 03-1A, Class E, 7.11s, 2038  1,283,000  825,721 
Ser. 04-1A, Class E, 6.42s, 2039  1,112,000  631,973 
Argent Securities, Inc.     
FRB Ser. 03-W3, Class M3, 5.529s, 2033  53,237  3,727 
FRB Ser. 06-W4, Class A2C, 3.419s, 2036  1,813,000  997,150 
Asset Backed Funding Certificates     
FRB Ser. 04-OPT2, Class M2, 4.259s, 2033  487,608  170,663 
FRB Ser. 05-WMC1, Class M1, 3.699s, 2035  564,000  400,440 
Asset Backed Funding Corp. NIM Trust 144A FRB Ser.     
05-OPT1, Class B1, 5.759s, 2035  352,541  5,411 
Asset Backed Securities Corp. Home Equity Loan Trust     
FRB Ser. 06-HE2, Class A3, 3.449s, 2036  342,712  255,702 
FRB Ser. 06-HE4, Class A5, 3.419s, 2036  1,328,945  1,016,643 
FRB Ser. 06-HE7, Class A4, 3.399s, 2036  529,000  253,656 
Aviation Capital Group Trust 144A FRB Ser. 03-2A,     
Class G1, 4.978s, 2033  830,173  390,181 
BankAmerica Manufactured Housing Contract Trust Ser.     
97-2, Class M, 6.9s, 2028  732,000  698,264 
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014  420,000  394,997 
Bayview Financial Acquisition Trust     
Ser. 04-B, Class A1, 4.24s, 2039  3,693,677  2,721,778 
FRB Ser. 04-D, Class A, 3.63s, 2044  1,007,147  849,938 
Bayview Financial Acquisition Trust 144A FRN Ser.     
04-B, Class M2, 7.04s, 2039  175,410  120,846 
Bayview Financial Asset Trust 144A     
FRB Ser. 03-SSRA, Class M, 4.609s, 2038  642,267  464,038 
FRB Ser. 03-SSRA, Class A, 3.959s, 2038  541,706  436,048 
FRB Ser. 04-SSRA, Class A1, 3.859s, 2039  717,898  502,529 
Bear Stearns Asset Backed Securities, Inc.     
FRB Ser. 06-EC1, Class M9, 5.259s, 2035  651,735  13,035 
FRB Ser. 06-PC1, Class M9, 5.009s, 2035  414,000  4,140 
FRB Ser. 05-HE1, Class M3, 4.189s, 2035  489,000  122,250 
FRB Ser. 03-3, Class A2, 3.849s, 2043  1,802,359  1,559,455 
FRB Ser. 03-1, Class A1, 3.759s, 2042  426,264  347,356 
FRB Ser. 05-3, Class A1, 3.709s, 2035  365,411  327,443 
Bear Stearns Asset Backed Securities, Inc. 144A FRB     
Ser. 06-HE2, Class M10, 5.509s, 2036  238,719  1,639 
Capital Auto Receivables Asset Trust 144A     
Ser. 06-1, Class D, 7.16s, 2013  500,000  421,738 
Ser. 05-1, Class D, 6 1/2s, 2011  1,442,000  1,273,466 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-OPT1,     
Class M1, 3.679s, 2035  324,987  203,551 
Conseco Finance Securitizations Corp.     
Ser. 02-2, Class A, IO, 8 1/2s, 2033  5,293,772  548,943 
Ser. 00-4, Class A6, 8.31s, 2032  7,634,354  4,432,193 
Ser. 00-5, Class A6, 7.96s, 2032  3,182,539  1,959,998 
Ser. 02-1, Class M1F, 7.954s, 2033  1,004,000  889,421 
Ser. 01-4, Class A4, 7.36s, 2033  4,421,983  3,114,416 
Ser. 00-6, Class A5, 7.27s, 2031  910,968  591,689 
Ser. 01-1, Class A5, 6.99s, 2032  5,974,355  3,756,233 
Ser. 01-3, Class A4, 6.91s, 2033  6,584,411  4,455,987 
Ser. 02-1, Class A, 6.681s, 2033  4,542,625  3,715,649 
Countrywide Asset Backed Certificates     
FRB Ser. 05-BC3, Class M1, 3.779s, 2035  332,000  199,200 
FRB Ser. 04-6, Class 2A5, 3.649s, 2034  888,046  710,437 
FRB Ser. 05-14, Class 3A2, 3.499s, 2036  180,253  156,820 
Credit-Based Asset Servicing and Securitization 144A     
Ser. 06-MH1, Class B1, 6 1/4s, 2036  359,000  216,298 
Ser. 06-MH1, Class M1, 6 1/4s, 2036  485,000  385,575 
Ser. 06-MH1, Class M2, 6 1/4s, 2036  214,000  161,035 
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038     

(Cayman Islands)  1,617,000  808,500 
CS First Boston Mortgage Securities Corp. 144A Ser.     
04-FR1N, Class A, 5s, 2034  152,004  10,640 
DB Master Finance, LLC 144A Ser. 06-1, Class M1,     
8.285s, 2031  373,000  270,332 
Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,     
3.929s, 2035  201,000  10,050 
Fieldstone Mortgage Investment Corp. FRB Ser. 05-1,     
Class M3, 3.799s, 2035  700,000  645,445 
First Franklin Mortgage Loan Asset Backed Certificates     
FRB Ser. 06-FF7, Class 2A3, 3.409s, 2036  1,203,000  692,687 
First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s,     
2023  244,222  227,934 
Fort Point CDO, Ltd. FRB Ser. 03-2A, Class A2, 3.86s,     
2038 (Cayman Islands)  616,000  36,960 
Foxe Basin, Ltd. 144A FRB Ser. 03-1A, Class A1,     
3.319s, 2015 (Cayman Islands)  2,000,000  1,877,800 
Fremont Home Loan Trust     
FRB Ser. 05-E, Class 2A4, 3.589s, 2036  1,688,000  1,164,720 
FRB Ser. 06-2, Class 2A3, 3.429s, 2036  3,141,000  2,135,880 
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 5.259s,     
2037 (Cayman Islands) (F)  308,000  252,656 
GE Corporate Aircraft Financing, LLC 144A     
FRB Ser. 05-1A, Class C, 4.559s, 2019  1,680,000  974,400 
Ser. 04-1A, Class B, 4.057s, 2018  50,089  43,077 
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,     
8.22s, 2012  1,962,000  1,880,916 
GEBL 144A     
Ser. 04-2, Class D, 7.31s, 2032  554,012  127,423 
Ser. 04-2, Class C, 5.41s, 2032  207,586  122,995 
Green Tree Financial Corp.     
Ser. 96-5, Class M1, 8.05s, 2027  512,386  265,332 
Ser. 99-5, Class A5, 7.86s, 2030  14,258,633  8,796,793 
Ser. 97-2, Class A7, 7.62s, 2028  290,127  297,864 
Ser. 97-4, Class A7, 7.36s, 2029  448,006  453,763 
Ser. 95-8, Class B1, 7.3s, 2026  362,579  301,935 
Ser. 96-10, Class M1, 7.24s, 2028  972,000  530,972 
Ser. 97-3, Class A5, 7.14s, 2028  389,274  373,389 
Ser. 98-4, Class A7, 6.87s, 2030  277,839  261,462 
Ser. 97-7, Class A8, 6.86s, 2029  282,324  281,303 
Ser. 99-3, Class A6, 6 1/2s, 2031  31,379  31,371 
Ser. 98-6, Class A7, 6.45s, 2030  314,058  311,735 
Ser. 99-2, Class A7, 6.44s, 2030  1,066,406  677,386 
Ser. 99-1, Class A6, 6.37s, 2025  1,023,000  1,004,864 
Greenpoint Manufactured Housing     
Ser. 00-3, Class IA, 8.45s, 2031  10,316,471  6,476,319 
Ser. 99-5, Class M1A, 8.3s, 2026  488,000  264,520 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011     
(F)  1,156,849  1,058,510 
GSAMP Trust FRB Ser. 06-HE5, Class A2C, 3.409s, 2036  4,677,000  2,938,185 
Guggenheim Structured Real Estate Funding, Ltd. 144A     
FRB Ser. 05-2A, Class D, 4.809s, 2030 (Cayman Islands)  1,141,000  498,389 
FRB Ser. 05-1A, Class D, 4.789s, 2030 (Cayman Islands)  502,743  367,002 
High Income Trust Securities 144A FRB Ser. 03-1A,     
Class A, 3.303s, 2036 (Cayman Islands)  1,397,537  559,015 
Home Equity Asset Trust FRB Ser. 06-1, Class 2A4,     
3.589s, 2036  848,000  496,080 
JPMorgan Mortgage Acquisition Corp.     
FRB Ser. 05-OPT2, Class M11, 5.509s, 2035  645,000  32,250 
FRB Ser. 06-FRE1, Class A4, 3.549s, 2035  716,000  381,270 
Lehman Manufactured Housing Ser. 98-1, Class 1, IO,     
0.807s, 2028  13,352,700  140,978 
Lehman XS Trust     
Ser. 07-6, Class 3A6, 6 1/2s, 2037  11,552,246  7,740,005 
IFB Ser. 07-3, Class 4B, IO, 3.483s, 2037  4,329,885  301,865 
FRB Ser. 07-6, Class 2A1, 3.469s, 2037  8,236,584  4,403,956 
LNR CDO, Ltd. 144A     
FRB Ser. 03-1A, Class EFL, 6.528s, 2036 (Cayman     
Islands)  2,585,000  646,250 
FRB Ser. 02-1A, Class FFL, 6.025s, 2037 (Cayman     
Islands)  5,220,000  2,088,000 
Local Insight Media Finance, LLC Ser. 07-1W, Class A1,     
5.53s, 2012 (F)  5,039,044  3,275,379 
Long Beach Mortgage Loan Trust     
FRB Ser. 05-2, Class M4, 3.879s, 2035 (F)  558,000  151,218 
FRB Ser. 06-4, Class 2A4, 3.519s, 2036  813,000  389,461 
FRB Ser. 06-1, Class 2A3, 3.449s, 2036  1,433,000  802,480 
Madison Avenue Manufactured Housing Contract     
FRB Ser. 02-A, Class B1, 6.509s, 2032  4,059,503  2,041,987 
FRB Ser. 02-A, Class M2, 5.509s, 2032  278,000  131,602 
Ser. 02-A IO, 0.3s, 2032  118,287,997  1,136,275 
Marriott Vacation Club Owner Trust 144A     
Ser. 05-2, Class D, 6.205s, 2027  80,083  78,625 
Ser. 04-2A, Class D, 5.389s, 2026  75,421  73,951 
FRB Ser. 02-1A, Class A1, 4.978s, 2024  625,626  560,170 
Ser. 04-2A, Class C, 4.741s, 2026  69,388  68,485 
MASTR Asset Backed Securities Trust FRB Ser. 06-FRE2,     
Class A4, 3.409s, 2036  424,000  287,252 
Mid-State Trust     
Ser. 11, Class B, 8.221s, 2038  328,299  248,855 
Ser. 10, Class B, 7.54s, 2036  599,219  467,605 
Morgan Stanley ABS Capital I     
FRB Ser. 05-HE2, Class M5, 3.939s, 2035 (F)  349,000  45,386 

FRB Ser. 05-HE1, Class M3, 3.779s, 2034 (F)    349,000  111,729 
FRB Ser. 06-NC4, Class M2, 3.559s, 2036 (F)    489,000  24,682 
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 04-2A,       
Class C1, 5.24s, 2039 (Cayman Islands)    544,000  435,200 
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1,       
3.294s, 2015 (Cayman Islands)    329,733  314,401 
Navistar Financial Corp. Owner Trust       
Ser. 05-A, Class C, 4.84s, 2014    210,960  189,127 
Ser. 04-B, Class C, 3.93s, 2012    117,709  99,058 
New Century Home Equity Loan Trust       
FRB Ser. 03-4, Class M3, 5.309s, 2033 (F)    29,481  885 
Ser. 03-5, Class AI7, 5.15s, 2033    1,544,417  1,351,365 
Novastar Home Equity Loan       
FRB Ser. 06-1, Class A2C, 3.419s, 2036    1,010,000  757,500 
FRB Ser. 06-2, Class A2C, 3.409s, 2036    1,010,000  722,080 
Oakwood Mortgage Investors, Inc.       
Ser. 00-D, Class A3, 6.99s, 2022    51,951  51,945 
Ser. 01-D, Class A3, 5.9s, 2022    147,405  78,735 
Ser. 02-C, Class A1, 5.41s, 2032    3,438,756  2,267,206 
Oakwood Mortgage Investors, Inc. 144A       
Ser. 01-B, Class A4, 7.21s, 2030    493,864  320,863 
Ser. 01-B, Class A3, 6.535s, 2023    142,968  90,141 
Ocean Star PLC 144A FRB Ser. 05-A, Class D, 4.304s,       
2012 (Ireland)    696,000  459,778 
Option One Mortgage Loan Trust FRB Ser. 05-4,       
Class M11, 5.759s, 2035    216,000  5,940 
Origen Manufactured Housing Ser. 04-B, Class A2,       
3.79s, 2017    65,694  63,150 
Park Place Securities, Inc.       
FRB Ser. 05-WCH1, Class M4, 4.089s, 2036 (F)    227,000  11,438 
FRB Ser. 04-WHQ2, Class A3A, 3.609s, 2035    136,168  120,509 
Park Place Securities, Inc. 144A FRB Ser. 04-MHQ1,       
Class M10, 5.759s, 2034 (F)    144,690  3,551 
People's Financial Realty Mortgage Securities Trust       
FRB Ser. 06-1, Class 1A2, 3.389s, 2036    1,587,000  888,720 
Pillar Funding PLC 144A       
FRB Ser. 04-1A, Class C1, 3.816s, 2011 (United Kingdom)    657,000  569,948 
FRB Ser. 04-2A, Class C, 3.699s, 2011 (United Kingdom)    912,000  746,198 
Residential Asset Mortgage Products, Inc.       
FRB Ser. 06-NC3, Class A2, 3.449s, 2036    1,353,718  1,111,687 
FRB Ser. 07-RZ1, Class A2, 3.419s, 2037    1,562,000  1,201,383 
Residential Asset Securities Corp. FRB Ser. 05-EMX1,       
Class M2, 3.989s, 2035 (F)    793,000  253,877 
Residential Asset Securities Corp. 144A       
FRB Ser. 05-KS10, Class B, 6.009s, 2035 (F)    750,936  77 
Ser. 04-NT, Class Note, 4 1/2s, 2034 (In default) (NON)    76,375  1,528 
SAIL Net Interest Margin Notes 144A Ser. 04-4A,       
Class B, 7 1/2s, 2034 (Cayman Islands) (In default)       
(NON)    214,965  -- 
Securitized Asset Backed Receivables, LLC       
FRB Ser. 05-HE1, Class M2, 3.909s, 2035 (F)    349,000  62,938 
FRB Ser. 07-NC2, Class A2B, 3.399s, 2037    1,468,000  807,400 
SG Mortgage Securities Trust       
FRB Ser. 06-OPT2, Class A3D, PO, 3.469s, 2036    1,718,000  652,840 
FRB Ser. 06-FRE1, Class A2B, 3.439s, 2036    807,000  516,480 
Soundview Home Equity Loan Trust       
FRB Ser. 06-OPT3, Class 2A3, 3.429s, 2036    814,000  496,540 
FRB Ser. 06-3, Class A3, 3.419s, 2036    4,702,000  3,799,484 
Soundview Home Equity Loan Trust 144A FRB Ser.       
05-CTX1, Class B1, 5.759s, 2035    466,000  9,320 
South Coast Funding 144A FRB Ser. 3A, Class A2,       
4.003s, 2038 (Cayman Islands)    470,000  2,350 
Structured Asset Investment Loan Trust FRB Ser.       
06-BNC2, Class A6, 3.519s, 2036    814,000  157,822 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,       
4.919s, 2015 (F)    5,185,241  2,419,952 
Structured Asset Securities Corp. 144A Ser. 98-RF3,       
Class A, IO, 6.1s, 2028    2,553,564  234,673 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,       
2038    1,698,000  660,165 
Wells Fargo Home Equity Trust FRB Ser. 07-1, Class A3,       
3.579s, 2037    359,000  183,073 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,       
Class B3, 4.435s, 2044 (United Kingdom)    591,276  468,672 
Total asset-backed securities (cost $202,897,011)      $130,433,070 
 
 
PURCHASED OPTIONS OUTSTANDING (2.2%)(a)       
  Expiration date/  Contract   
  strike price  amount  Value 
 
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  $8,389,511 
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  8,389,511 
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  2,832,608 
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  2,832,608 
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  4,577,311 
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  3,956,099 
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  3,922,009 
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  3,275,376 
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  3,195,034 
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  673,554 
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  663,657 
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  504,669 
Total purchased options outstanding (cost $33,386,248)      $43,211,947 
 
 
SENIOR LOANS (1.1%)(a)(c)       
    Principal amount  Value 
 
Basic materials (0.1%)       
Aleris International, Inc. bank term loan FRN Ser. B,       
6.313s, 2013    $412,848  $264,223 
Georgia-Pacific, LLC bank term loan FRN Ser. B,       
4.689s, 2013    595,437  492,228 
NewPage Holding Corp. bank term loan FRN 7s, 2014    619,320  497,889 
      1,254,340 
 
Capital goods (0.1%)       
Allied Waste Industries, Inc. bank term loan FRN       
6.82s, 2012    463,762  439,994 
Allied Waste Industries, Inc. bank term loan FRN       
5.44s, 2012    648,955  615,696 
Hawker Beechcraft Acquisition Co., LLC bank term loan       
FRN 3.562s, 2014    33,423  21,271 
Hawker Beechcraft Acquisition Co., LLC bank term loan       
FRN Ser. B, 5.762s, 2014    570,635  363,169 
Polypore, Inc. bank term loan FRN Ser. B, 6.03s, 2014    619,296  476,858 
Sequa Corp. bank term loan FRN 6.933s, 2014    857,142  629,999 
Wesco Aircraft Hardware Corp. bank term loan FRN       
5.96s, 2013    624,000  486,720 
      3,033,707 
 
Communication services (0.2%)       
Cricket Communications, Inc. bank term loan FRN Ser.       
B, 7.262s, 2013    619,249  522,380 
Crown Castle International Corp. bank term loan FRN       
5.376s, 2014    309,642  232,851 
Intelsat Corp. bank term loan FRN Ser. B2, 6.65s, 2011    206,399  168,953 
Intelsat Corp. bank term loan FRN Ser. B2-A, 6.65s,       
2013    206,462  169,004 
Intelsat Corp. bank term loan FRN Ser. B2-C, 6.65s,       
2013    206,399  168,953 
Level 3 Communications, Inc. bank term loan FRN 7s,       
2014    624,000  460,980 
MetroPCS Wireless, Inc. bank term loan FRN 5.402s, 2013    619,261  509,497 
PAETEC Holding Corp. bank term loan FRN Ser. B1,       
6.204s, 2013    606,936  388,439 
Time Warner Telecom, Inc. bank term loan FRN Ser. B,       
5.71s, 2013    619,273  501,611 
West Corp. bank term loan FRN 5.512s, 2013    620,848  394,239 
      3,516,907 
 
Consumer cyclicals (0.2%)       
Allison Transmission bank term loan FRN Ser. B,       
5.669s, 2014    609,219  412,311 
Aramark Corp. bank term loan FRN 3.762s, 2014    37,275  31,040 
Aramark Corp. bank term loan FRN Ser. B, 5.637s, 2014    586,725  488,596 
Dana Corp. bank term loan FRN 7.279s, 2015    619,320  412,880 
Goodman Global Holdings, Inc. bank term loan FRN Ser.       
B, 7.708s, 2011    490,220  393,402 
Goodyear Tire & Rubber Co. (The) bank term loan FRN       
4.78s, 2010    624,000  436,800 
Harrah's Operating Co., Inc. bank term loan FRN Ser.       

B2, 6.536s, 2015    620,880  423,492 
Lear Corp bank term loan FRN 5.748s, 2013    622,111  397,529 
National Bedding Co. bank term loan FRN 5.353s, 2011    287,803  187,072 
Navistar Financial Corp. bank term loan FRN 5.695s,       
2012    166,400  113,984 
Navistar International Corp. bank term loan FRN       
6.191s, 2012    457,600  313,456 
Yankee Candle Co., Inc. bank term loan FRN 5.762s, 2014    370,000  246,050 
      3,856,612 
 
Consumer staples (0.3%)       
Affinion Group, Inc. bank term loan FRN Ser. B,       
5.345s, 2013    624,000  486,720 
Cablevision Systems Corp. bank term loan FRN 4.569s,       
2013    619,237  532,986 
Charter Communications, Inc. bank term loan FRN 4.8s,       
2014    619,320  461,780 
Cinemark USA, Inc. bank term loan FRN 4.641s, 2013    621,685  470,150 
DirecTV Holdings, LLC bank term loan FRN 5.601s, 2013    1,346,625  1,220,379 
Idearc, Inc. bank term loan FRN Ser. B, 5.767s, 2014    619,273  261,127 
Pinnacle Foods Holding Corp. bank term loan FRN Ser.       
B, 6.763s, 2014    619,296  442,178 
Spectrum Brands, Inc. bank term loan FRN 3.57s, 2013    39,838  26,841 
Spectrum Brands, Inc. bank term loan FRN Ser. B1,       
7.274s, 2013    579,741  390,600 
Ticketmaster bank term loan FRN Ser. B, 6.64s, 2014    450,000  369,000 
Univision Communications, Inc. bank term loan FRN Ser.       
B, 5.061s, 2014    624,000  334,464 
VNU Group BV bank term loan FRN Ser. B, 4.803s, 2013       
(Netherlands)    619,264  446,179 
      5,442,404 
 
Financials (--%)       
Lender Processing Services, Inc. bank term loan FRN       
Ser. B, 6.204s, 2014    837,900  762,489 
 
Health care (0.1%)       
Health Management Associates, Inc. bank term loan FRN       
5.512s, 2014    591,393  411,757 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term       
loan FRN 7.62s, 2014    39,891  31,713 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term       
loan FRN Ser. B, 5.704s, 2014    431,235  342,832 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term       
loan FRN Ser. DD, 5.704s, 2014    149,217  118,627 
Sun Healthcare Group, Inc. bank term loan FRN 2.701s,       
2014    104,035  72,825 
Sun Healthcare Group, Inc. bank term loan FRN Ser. B,       
5.235s, 2014    312,102  218,472 
Sun Healthcare Group, Inc. bank term loan FRN Ser. DD,       
5.422s, 2014    62,980  44,086 
      1,240,312 
 
Technology (0.1%)       
First Data Corp. bank term loan FRN Ser. B1, 6.053s,       
2014    617,323  450,878 
Freescale Semiconductor, Inc. bank term loan FRN Ser.       
B, 5.47s, 2013    409,871  275,297 
SunGard Data Systems, Inc. bank term loan FRN 4.553s,       
2014    619,273  472,195 
Travelport bank term loan FRN Ser. B, 6.012s, 2013    249,280  150,280 
Travelport bank term loan FRN Ser. DD, 5.954s, 2013    371,895  217,559 
      1,566,209 
 
Transportation (--%)       
Ceva Group PLC bank term loan FRN 9.458s, 2015       
(Netherlands) (F)    165,000  63,443 
 
Utilities and power (--%)       
Energy Future Holdings Corp. bank term loan FRN Ser.       
B2, 6.659s, 2014    619,308  482,802 
NRG Energy, Inc. bank term loan FRN 5.412s, 2014    197,099  170,381 
NRG Energy, Inc. bank term loan FRN 5.262s, 2014    401,187  346,804 
      999,987 
Total senior loans (cost $26,535,704)      $21,736,410 
 
 
CONVERTIBLE PREFERRED STOCKS (0.3%)(a)       
    Shares  Value 
 
Citigroup, Inc. Ser. T, $3.25 cv. pfd.    103,890  $3,098,000 
Freeport-McMoRan Copper & Gold, Inc. $6.75 cv. pfd.    75,800  3,639,310 
 
Total convertible preferred stocks (cost $11,156,004)      $6,737,310 
 
 
MUNICIPAL BONDS AND NOTES (0.1%)(a)       
  Rating(RAT)  Principal amount  Value 
 
Chicago, Transit Auth. Transfer Tax Receipts Rev.       
Bonds, Ser. B, 6.899s, 12/1/40  Aa3  $945,000  $854,771 
MI Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A,       
7.309s, 6/1/34  Baa3  980,000  782,706 

Tobacco Settlement Fin. Auth. of WVA Rev. Bonds, Ser.       
A, 7.467s, 6/1/47  Baa3  1,440,000  937,454 
Total municipal bonds and notes (cost $3,364,896)      $2,574,931 
 
 
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  $1,254,023 
 
 
SHORT-TERM INVESTMENTS (6.7%)(a)       
    Principal   
    amount/shares  Value 
 
Short-term investments held as collateral for loaned       
securities with yields ranging from 0.13% to 2.68% and       
due dates ranging from November 3, 2008 to       
November 10, 2008 (d)    $75,527,177  $75,509,515 
U.S. Treasury Bills for effective yields ranging from       
0.0995% to 0.2295%, maturity date December 4, 2008       
(SEG)    20,620,000  20,617,926 
U.S. Treasury Bills for an effective yield of 0.2195%,       
maturity date November 13, 2008 (SEG)    2,300,000  2,299,832 
Federated Prime Obligations Fund    32,230,481  32,230,481 
Total short-term investments (cost $130,657,754)      $130,657,754 
 
 
TOTAL INVESTMENTS       
Total investments (cost $4,415,892,060) (b)      $3,896,087,810 

FORWARD CURRENCY CONTRACTS TO SELL at 10/31/08 (Unaudited)

    Aggregate  Delivery  Unrealized 
  Value  face value  date  appreciation 
Euro  $316,992  $358,590  12/17/08  $41,598 
Total        $41,598 

FUTURES CONTRACTS OUTSTANDING at 10/31/08 (Unaudited)

        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Euro-Dollar 90 day (Long)  1722  $420,835,275  Dec-08  $2,747,281 
Euro-Dollar 90 day (Short)  483  117,827,850  Jun-09  (387,264) 
Euro-Dollar 90 day (Short)  1442  351,072,925  Sep-09  (1,337,160) 
Euro-Dollar 90 day (Short)  1347  327,186,300  Dec-09  (1,211,214) 
Euro-Dollar 90 day (Short)  81  19,654,650  Mar-10  (149,733) 
S&P 500 Index E-Mini (Long)  4435  214,487,688  Dec-08  (64,596,706) 
U.S. Treasury Bond 20 yr (Long)  168  19,005,000  Dec-08  (483,493) 
U.S. Treasury Note 2 yr (Short)  3154  677,567,906  Dec-08  (7,625,000) 
U.S. Treasury Note 5 yr (Long)  128  14,497,000  Dec-08  76,859 
U.S. Treasury Note 5 yr (Short)  2636  298,547,594  Dec-08  (4,242,298) 
U.S. Treasury Note 10 yr (Short)  118  13,343,219  Dec-08  371,097 
Total        $(76,837,631) 

WRITTEN OPTIONS OUTSTANDING at 10/31/08 (premiums received $31,903,709) (Unaudited)

  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on       
December 19, 2018.  $92,650,000  Dec-08/5.00  $4,482,407 
 
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  603,152 
 
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  7,178,597 
 
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  4,614,106 
 
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  4,165,383 
 
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  3,714,572 
 
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  2,713,126 
 
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  2,393,429 
 
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  1,590,415 
 
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  944,385 
Total      $32,399,572 

TBA SALE COMMITMENTS OUTSTANDING at 10/31/08 (proceeds receivable $816,849,258) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 6s, November 1, 2038  $71,000,000  11-13-08  $70,944,535 
FNMA, 5 1/2s, November 1, 2038  622,000,000  11-13-08  607,519,094 
FNMA, 5s, November 1, 2038  138,000,000  11-13-08  130,776,555 
Total      $809,240,184 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/08 (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.    
$34,964,000  $--  5/23/10  3 month USD-LIBOR-BBA  3.155%  $611,033 
14,800,000  --  7/18/13  4.14688%  3 month USD-LIBOR-BBA  (347,413) 
39,950,000  --  8/26/18  3 month USD-LIBOR-BBA  4.54375%  426,390 
437,762,000  --  9/10/10  3 month USD-LIBOR-BBA  3.22969%  4,608,131 
1,007,000  --  9/18/38  4.36125%  3 month USD-LIBOR-BBA  16,017 
986,640,000  --  9/18/10  3 month USD-LIBOR-BBA  2.86667%  3,175,660 
46,930,000  146,490  10/1/18  3 month USD-LIBOR-BBA  4.30%  (467,820) 
170,477,000  960,746  10/14/18  3 month USD-LIBOR-BBA  4.30%  (1,800,034) 
200,780,000  501,348  10/14/38  4.25%  3 month USD-LIBOR-BBA  8,485,978 
84,099,000  31,743  10/20/18  3 month USD-LIBOR-BBA  4.60%  762,120 
311,159,000  (282,859)  10/20/10  3.00%  3 month USD-LIBOR-BBA  (282,997) 
35,934,000  --  5/8/28  4.95%  3 month USD-LIBOR-BBA  (2,839,163) 
Bear Stearns Bank plc    
63,600,000  --  4/24/12  5.027%  3 month USD-LIBOR-BBA  (3,396,910) 
Citibank, N.A.    
65,000,000  --  7/21/18  4.80625%  3 month USD-LIBOR-BBA  (2,471,984) 
92,192,000  --  8/26/10  3 month USD-LIBOR-BBA  3.34125%  1,181,156 
65,205,000  --  9/8/18  3 month USD-LIBOR-BBA  4.3152%  (563,343) 
99,810,000  --  9/10/10  3 month USD-LIBOR-BBA  3.1825%  959,146 
82,939,000  --  9/16/10  3.175%  3 month USD-LIBOR-BBA  (780,208) 
3,692,000  --  9/16/18  3 month USD-LIBOR-BBA  4.355%  (21,111) 
317,224,000  --  9/17/13  3 month USD-LIBOR-BBA  3.4975%  (4,312,848) 
189,783,000  --  9/18/38  4.45155%  3 month USD-LIBOR-BBA  178,071 
480,165,000  --  9/18/10  3 month USD-LIBOR-BBA  2.92486%  2,087,837 
10,114,000  --  10/26/12  4.6275%  3 month USD-LIBOR-BBA  (397,007) 
90,203,000  --  11/9/17  5.0825%  3 month USD-LIBOR-BBA  (6,222,165) 
41,870,000  --  11/23/17  4.885%  3 month USD-LIBOR-BBA  (2,197,707) 
9,733,000  --  12/24/27  4.9425%  3 month USD-LIBOR-BBA  (705,651) 
Credit Suisse International    
6,183,900  --  9/16/10  3.143%  3 month USD-LIBOR-BBA  (54,338) 
135,640,000  --  9/18/38  4.41338%  3 month USD-LIBOR-BBA  983,916 
197,328,000  --  9/18/10  3 month USD-LIBOR-BBA  2.91916%  836,939 
88,743,000  --  9/23/10  3 month USD-LIBOR-BBA  3.32%  983,889 
144,979,000  --  10/9/10  3 month USD-LIBOR-BBA  2.81%  (184,526) 
160,142,000  (112,348)  10/31/13  3 month USD-LIBOR-BBA  3.80%  (647,133) 
84,619,000  80,443  10/31/18  4.35%  3 month USD-LIBOR-BBA  863,522 
118,329,000  --  9/23/38  4.7375%  3 month USD-LIBOR-BBA  (5,364,232) 
Deutsche Bank AG    
8,000,000  --  7/10/13  3 month USD-LIBOR-BBA  4.149%  191,026 
82,582,000  --  9/24/10  3 month USD-LIBOR-BBA  3.395%  1,035,922 
49,357,000  --  10/17/18  4.585%  3 month USD-LIBOR-BBA  (364,118) 
661,444,000  --  10/24/10  3 month USD-LIBOR-BBA  2.604%  (2,474,205) 
11,100,000  --  11/7/17  3 month USD-LIBOR-BBA  5.056%  741,635 
Goldman Sachs International      
25,439,000  --  3/11/38  5.029%  3 month USD-LIBOR-BBA  (2,407,862) 
13,650,000  --  4/2/18  4.076%  3 month USD-LIBOR-BBA  391,122 
69,773,000  --  4/8/10  3 month USD-LIBOR-BBA  2.64%  (185,928) 
43,068,000  --  4/23/18  4.43%  3 month USD-LIBOR-BBA  75,353 
59,528,000  --  5/19/18  4.525%  3 month USD-LIBOR-BBA  (1,298,244) 
71,732,000  --  5/30/28  5.014%  3 month USD-LIBOR-BBA  (6,218,913) 
376,000  --  4/11/12  3.1825%  3 month USD-LIBOR-BBA  4,027 
43,090,000  (47,116)  10/24/13  3.50%  3 month USD-LIBOR-BBA  691,291 
161,722,000  --  11/20/08  5.16%  3 month USD-LIBOR-BBA  (2,994,867) 
158,394,000  --  11/21/08  5.0925%  3 month USD-LIBOR-BBA  (2,878,151) 
159,007,000  74,929  10/24/10  3 month USD-LIBOR-BBA  2.60%  (660,376) 
166,245,000  --  10/30/18  3 month USD-LIBOR-BBA  4.32125%  (1,958,776) 
134,046,000  --  10/30/18  3 month USD-LIBOR-BBA  4.33%  (1,484,187) 
4,968,000  --  5/3/16  5.565%  3 month USD-LIBOR-BBA  (513,202) 
205,784,000  --  1/16/18  5.790%  3 month USD-LIBOR-BBA  (24,035,057) 
JPMorgan Chase Bank, N.A.    
5,125,000  --  2/15/13  3 month USD-LIBOR-BBA  3.585%  (4,396) 
57,486,000  --  8/15/11  5.412%  3 month USD-LIBOR-BBA  (3,871,060) 
306,762,000  --  3/5/18  4.325%  3 month USD-LIBOR-BBA  1,541,279 
63,909,000  --  3/7/18  4.45%  3 month USD-LIBOR-BBA  (297,745) 
50,608,000  --  3/12/18  3 month USD-LIBOR-BBA  4.4525%  239,825 
15,899,000  --  3/11/38  5.0025%  3 month USD-LIBOR-BBA  (1,435,609) 
113,217,000  --  3/11/38  5.03%  3 month USD-LIBOR-BBA  (10,734,530) 
230,165,000  --  3/15/10  3 month USD-LIBOR-BBA  2.5%  (199,229) 
111,087,000  --  3/20/13  3 month USD-LIBOR-BBA  3.145%  (2,416,435) 
157,185,000  --  3/20/13  3 month USD-LIBOR-BBA  3.13%  (3,517,626) 
55,034,000  --  3/25/10  3 month USD-LIBOR-BBA  2.325%  (249,054) 
92,513,000  --  3/26/10  3 month USD-LIBOR-BBA  2.33375%  (469,719) 
154,761,000  --  4/8/13  3 month USD-LIBOR-BBA  3.58406%  (1,041,569) 
58,275,000  --  5/23/10  3 month USD-LIBOR-BBA  3.16%  1,023,775 
60,000,000  --  6/13/13  4.47%  3 month USD-LIBOR-BBA  (2,671,498) 
35,000,000  --  6/27/18  3 month USD-LIBOR-BBA  4.8305%  1,496,030 

103,000,000  --  7/10/13  3 month USD-LIBOR-BBA  4.176%  2,587,513 
134,430,000  --  7/16/10  3 month USD-LIBOR-BBA  3.384%  2,321,606 
59,604,000  --  7/22/10  3 month USD-LIBOR-BBA  3.565%  1,320,009 
220,611,000  --  7/28/10  3 month USD-LIBOR-BBA  3.5141%  4,938,906 
161,308,000  --  11/20/08  5.165%  3 month USD-LIBOR-BBA  (2,990,807) 
36,282,000  --  11/20/26  3 month USD-LIBOR-BBA  5.266%  4,153,660 
37,105,000  --  1/19/09  5.24%  3 month USD-LIBOR-BBA  (531,519) 
65,346,000  --  1/31/17  3 month USD-LIBOR-BBA  5.415%  5,696,486 
89,553,000  --  3/8/17  3 month USD-LIBOR-BBA  5.28%  6,206,098 
58,390,000  --  10/23/13  3 month USD-LIBOR-BBA  3.535%  (941,999) 
481,000  (2,284)  11/4/13  3 month USD-LIBOR-BBA  3.85%  -- 
24,473,000  73,803  11/4/18  4.45%  3 month USD-LIBOR-BBA  -- 
2,085,000  9,901  11/4/13  3.85%  3 month USD-LIBOR-BBA  -- 
108,912,400  --  9/21/09  3 month USD-LIBOR-BBA  4.6125%  2,185,562 
30,314,000  --  9/21/17  5.15%  3 month USD-LIBOR-BBA  (1,754,861) 
1,775,000  --  10/30/12  4.68375%  3 month USD-LIBOR-BBA  (73,676) 
6,980,000  --  11/7/17  3 month USD-LIBOR-BBA  5.05771%  467,326 
87,779,000  --  11/9/09  4.3975%  3 month USD-LIBOR-BBA  (2,979,817) 
9,733,000  --  12/24/27  4.9675%  3 month USD-LIBOR-BBA  (737,753) 
81,200,000  --  8/4/16  3 month USD-LIBOR-BBA  5.5195%  7,093,486 
72,119,000  --  1/18/18  4.27625%  3 month USD-LIBOR-BBA  216,069 
167,546,000  --  1/31/18  3 month USD-LIBOR-BBA  4.25%  (506,315) 
Merrill Lynch Capital Services, Inc.    
10,114,000  --  10/26/12  4.6165%  3 month USD-LIBOR-BBA  (392,848) 
223,165,000  --  5/19/10  3.2925%  3 month USD-LIBOR-BBA  (4,448,283) 
74,426,000  --  7/22/10  3 month USD-LIBOR-BBA  3.5375%  1,608,398 
UBS AG           
1,793,207,000  --  10/29/10  2.75%  3 month USD-LIBOR-BBA  1,613,015 
300,359,000  --  10/29/20  3 month USD-LIBOR-BBA  4.18142%  (9,224,022) 
 
Total          $(58,021,622) 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/08 (Unaudited)

      Fixed payments  Total return   
Swap counterparty /  Termination  received (paid) by  received by  Unrealized 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Goldman Sachs International         
        Ford Credit Auto Owner Trust   
  $ 3,843,000  9/15/11  678 bp (1 month USD-LIBOR-BBA)  Series 2005-B Class D  (381,013) 
  18,240,000  (F)  11/28/08  Banc of America Securities AAA 10  The spread return of Banc of  (1,774,278) 
      year Index multiplied by the modified  America Securities CMBS AAA   
      duration factor plus 20 bp  10 year Index   
 
Total       $(2,155,291) 

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.

CREDIT DEFAULT CONTRACTS OUTSTANDING at 10/31/08 (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 CMBX BBB Index  $3,986  $5,796,783  (F)  10/12/52  (134 bp)  $3,386,203 
Financial Security             
Assurance Holdings,             
Ltd, 6.4%, 12/15/66  --  330,000    12/20/12  95 bp  (109,509) 
International Lease             
Finance Corp., 4.15%,             
1/20/15  (7,500)  75,000    12/20/13  (500 bp)  26 
Marsh & Mclennan Co.             
Inc., 5 3/8%, 7/15/14  --  1,620,000    3/20/12  (95 bp)  (20,065) 
Mattel, Inc., 7 1/4%,             
7/9/12  --  330,000    3/20/13  (157.2 bp)  (1,817) 
Meadwestvaco Corp.,             
6.85%, 4/1/12  --  155,000    3/20/18  (177 bp)  3,133 
MetLife Inc., 5%,             
6/15/15  --  1,240,000    12/20/13  (384 bp)  41,833 
Motorola, Inc., 6.5%,             
9/1/25  --  205,000    11/20/11  (240 bp)  4,926 
Ryder System Inc.,             
6.95%, 12/1/25  --  330,000    3/20/13  (135 bp)  16,107 
Sealed Air Corp.,             
5 5/8%, 7/15/13  --  210,000    9/20/13  (169 bp)  5,515 
Spectra Energy Capital,             
6 1/4%, 2/15/13  --  330,000    9/20/14  (115 bp)  10,257 
Bear Stearns International, Ltd.      
GATX Corp., 8.875%,             
6/1/09  --  560,000    3/20/16  (100 bp)  53,087 
Citibank, N.A.      
Arrow Electronic Inc.,             
6 7/8%, 6/1/18  --  730,000    3/20/13  (43 bp)  23,271 
Conagra Foods Inc., 7%,             
10/1/28  --  3,025,000    9/20/10  (27 bp)  5,566 
DJ ABX HE PEN AAA             
Series 6 Version 1 Index  493,295  2,587,217    5/25/46  11 bp  27,636 
DJ ABX HE AAA Series 6             
Version 1 Index  303,541  2,797,853    7/25/45  18 bp  (11,147) 
DJ ABX HE AAA Series 6             
Version 1 Index  308,288  2,787,696    7/25/45  18 bp  (3,083) 
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  454,588  2,761,189    5/25/46  11 bp  (47,557) 
DJ CDX NA HY Series 9             
Index, 35-100% tranche  --  129,967,213  (F)  12/20/12  112 bp  (10,463,083) 
Donnelley (R.R.) &             
Sons, 4.95%, 4/1/14  --  165,000    3/20/12  (102 bp)  6,362 
International Lease             
Finance Corp., 4.15%,             
1/20/15  --  210,000    6/20/13  (222.5 bp)  40,173 
Lexmark International,             
Inc., 5.9%, 6/1/13  --  80,000    6/20/13  108.5 bp  7,037 
Macy's Retail Holdings,             
Inc., 6 5/8%, 4/1/11  --  60,000    6/20/11  (162 bp)  5,137 
Marsh & Mclennan Co.             
Inc., 5 3/8%, 7/15/14  --  980,000    9/20/14  (105 bp)  (17,970) 
Mohawk Industries,             
Inc., 7.2%, 4/15/12  --  235,000    3/20/16  (140 bp)  25,447 
Motorola, Inc., 6.5%,             
9/1/25  --  820,000    3/20/13  (79 bp)  83,133 
Newell Rubbermaid,             
Inc., 6.35%, 7/15/28  --  160,000    6/20/13  (85 bp)  4,438 
Qwest Capital Funding,             
7 3/4%, 2/15/31  --  135,000    6/20/13  (263 bp)  10,873 
Rexam PLC, 4 3/8%,             
3/15/13  --  2,800,000    6/20/13  (145 bp)  203,025 
Sara Lee Corp., 6 1/8%,             
11/1/32  --  865,000    9/20/11  (43 bp)  4,093 
Lighthouse             
International Co., SA,             
8%, 4/30/14  --  55,000    3/20/13  815 bp  (8,522) 
Telecom Italia SPA.             
5 3/8%, 1/29/19  --  445,000    9/20/11  (218 bp)  20,259 
Credit Suisse International        
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  856,494  4,373,895    5/25/46  11 bp  69,260 
DJ ABX NA HE AAA Index  27,584  222,474    7/25/45  18 bp  2,562 
DJ ABX NA HE AAA Index  25,286  222,474    7/25/45  18 bp  263 
DJ ABX HE AAA Series 7             
Version 2 Index  1,736,595  3,129,000    1/25/38  76 bp  (86,048) 
DJ CDX NA HY Series 10             
Index  177,450  1,690,000    6/20/13  500 bp  (81,586) 
DJ CDX NA HY Series 10             
Index  1,232,500  11,600,000    6/20/13  500 bp  (545,156) 
DJ CDX NA HY Series 10             
Index  (6,375)  60,000    6/20/13  (500 bp)  2,820 
DJ CDX NA IG Series 11             

Index  (7,017,094)  228,156,750    12/20/13  (150 bp)  (2,490,844) 
DJ CDX NA IG Series 11             
Index  (31,689)  1,340,000    12/20/13  (150 bp)  (3,989) 
DJ CMB NA CMBX AAA Index  6,576,591  39,512,000    12/13/49  8 bp  1,059,555 
DJ CMB NA CMBX AAA Index  9,333,754  59,581,000    2/17/51  35 bp  1,747,068 
DJ CMB NA CMBX AAA Index  (18,205)  219,000  (F)  12/13/49  (8 bp)  12,816 
DJ CMB NA CMBX AAA Index  (89,033)  1,185,000    2/17/51  (35 bp)  61,531 
DJ CMB NA CMBX AAA Index  (4,460,462)  39,129,000    2/17/51  (35 bp)  529,173 
DJ CMB NA CMBX AAA Index  (301,736)  3,842,000    2/17/51  (35 bp)  188,187 
DJ CMB NA CMBX AAA Index  (143,274)  1,921,000    2/17/51  (35 bp)  101,687 
DJ CMB NA CMBX AAA Index  (1,578,928)  11,282,000    2/17/51  (35 bp)  (140,275) 
DJ CMB NA CMBX AJ Index  (1,174,174)  3,652,000  (F)  2/17/51  (96 bp)  259,767 
General Electric             
Capital Corp., 5 5/8%,             
9/15/17  --  410,000    12/20/13  530 bp  (1,549) 
Liberty Mutual             
Insurance, 7 7/8%,             
10/15/26  --  2,755,000    12/20/13  (210 bp)  59,627 
Southwest Airlines,             
5 1/4%, 10/1/14  --  55,000    3/20/12  (190 bp)  -- 
Sprint Capital Corp,             
8 3/8%, 3/15/12  --  2,655,000    6/20/12  (59 bp)  420,059 
Xerox Corp., 6 7/8%,             
8/15/11  --  665,000    6/20/12  (86.5 bp)  74,147 
Deutsche Bank AG      
Cadbury Schweppes US             
Finance LLC, 5 1/8%,             
10/1/13  --  230,000    12/20/13  (86 bp)  (1,555) 
CNA Financial Corp.,             
5.85%, 12/15/14  --  285,000    9/20/16  (155 bp)  32,997 
DJ ABX CMBX AAA Index  154,944  2,570,000    2/17/51  35 bp  (160,764) 
DJ ABX HE A Series 7             
Version 2 Index  2,846,480  3,128,000    1/25/38  369 bp  (10,694) 
DJ ABX HE AAA Series 6             
Version 1 Index  284,446  2,696,772    7/25/45  18 bp  (18,873) 
DJ CDX NA IG Series 11             
Index  740,271  46,150,000    12/20/13  150 bp  (196,203) 
DJ iTraxx Europe Series             
8 Version 1  (6,235)  65,000    12/20/12  (375 bp)  5,566 
DJ iTraxx Europe Series             
9 Version 1  15,712  230,000    6/20/13  (650 bp)  29,593 
Expedia, Inc., 7.456%,             
8/15/18  --  60,000    12/20/13  (310 bp)  3,758 
France Telecom, 7.25%,             
1/28/13  --  1,870,000    6/20/16  70 bp  (52,046) 
General Electric             
Capital Corp., 6%,             
6/15/12  --  1,745,000    9/20/13  109 bp  (269,358) 
Genworth Financial             
Inc., 5 3/4%, 6/15/14  --  210,000    6/20/18  (143 bp)  68,503 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  --  15,000    6/20/09  400 bp  (559) 
Grohe Holding GmBh,             
8 5/8%, 10/1/14  --  55,000    6/20/09  400 bp  (2,050) 
Hanson PLC., 7 7/8%,             
9/27/10  --  50,000    9/20/16  (255 bp)  9,478 
iStar Financial, Inc.,             
6%, 12/15/10  39,150  580,000    3/20/09  500 bp  (33,202) 
MetLife Inc., 5%,             
6/15/15  --  1,235,000    12/20/13  (405 bp)  31,863 
Nortel Networks Ltd,             
6 7/8%, 9/1/23  3,600  45,000  (F)  12/20/09  500 bp  (2,741) 
Pacific Gas & Electric,             
4.8%, 3/1/14  --  35,000    12/20/13  112 bp  (2,316) 
Packaging Corporation             
of America, 5 3/4%,             
8/1/13  --  345,000    9/20/13  (129 bp)  3,573 
Pitney Bowes, Inc.,             
4 5/8%, 10/1/12  --  125,000    3/20/18  (95 bp)  2,085 
PPG Industries, Inc.,             
7.05%, 8/15/09  --  185,000    3/20/18  (154 bp)  1,578 
Prudential Financial             
Inc., 4 1/2%, 7/15/13  --  210,000    12/20/13  (388 bp)  21,676 
Reynolds American,             
Inc., 7 5/8%, 6/1/16  --  695,000    6/20/13  (105 bp)  31,990 
Tyco Electronics Group,             
6.55%, 10/1/17  --  180,000    12/20/17  (125.5 bp)  6,046 
Goldman Sachs International      
Any one of the             
underlying securities             
in the basket of BB             
CMBS securities  --  8,582,000    (a)  2.461%  (2,002,214) 
CVS Caremark Corp.,             
4 7/8%, 9/15/14  --  15,000    9/20/13  (59 bp)  278 
CVS Caremark Corp.,             
4 7/8%, 9/15/14  --  20,000    9/20/11  (50 bp)  175 
DJ ABX HE A Index  1,048,040  1,564,000    1/25/38  369 bp  (386,128) 
DJ ABX HE AAA Index  367,573  1,564,000    1/25/38  76 bp  (543,292) 

DJ CDX NA CMBX AAA Index  65,836  1,800,000    3/15/49  7 bp  (105,914) 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --  8,420,000    12/20/10  108.65 bp  (658,215) 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --  31,320,000    12/20/10  249 bp  (1,499,706) 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --  17,980,000    12/20/10  305 bp  (643,524) 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --  3,930,000    12/20/10  435 bp  (30,366) 
DJ CDX NA HY Series 9             
Index 35-100% tranche  --  8,023,636    12/20/10  153.5 bp  (99,047) 
DJ CDX NA IG Series 10             
Index  728,391  31,688,768    6/20/18  (150 bp)  1,522,617 
DJ CDX NA IG Series 10             
Index  165,918  4,392,000    6/20/18  (150 bp)  275,996 
DJ CDX NA IG Series 10             
Index  1,018,072  98,771,200    6/20/18  (150 bp)  3,493,607 
DJ CDX NA IG Series 11             
Index  5,631,661  267,382,000    12/20/13  150 bp  408,039 
DJ CDX NA IG Series 11             
Index  (4,275,519)  168,780,000    12/20/18  (140 bp)  212,153 
DJ CMB NA CMBX AAA Index  (526,385)  7,131,000    2/17/51  (35 bp)  409,459 
Lighthouse             
International Co, SA,             
8%, 4/30/14  --  45,000    3/20/13  680 bp  (9,134) 
Rhodia SA, Euribor+275,             
10/15/13  --  265,000    9/20/13  (387 bp)  53,959 
Southern California             
Edison Co., 7 5/8%,             
1/15/10  --  60,000    12/20/13  118.1 bp  (4,101) 
Wind Acquisition             
Finance SA, 9 3/4%,             
12/1/15  --  45,000    3/20/13  597 bp  (1,324) 
JPMorgan Chase Bank, N.A.    
AllTel Corp., 7 7/8%,             
7/1/32  --  75,000    9/20/12  (95 bp)  1,339 
Anheuser-Busch Co.,             
Inc. 5 5/8%, 10/1/10  --  215,000    3/20/17  (133 bp)  3,509 
CenturyTel. Inc., 6%,             
4/1/17  --  65,000    6/20/13  (95 bp)  1,664 
Codere Finance             
(Luxembourg) S.A.,             
8.25%, 6/15/15  --  45,000    3/20/13  795 bp  (9,590) 
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  543,147  2,773,711    5/25/46  11 bp  43,921 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --  2,250,000    12/20/10  388.75 bp  (39,849) 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --  8,633,000    12/20/10  105.5 bp  (680,779) 
DJ CDX NA IG Series 11             
Index  (6,799)  310,000    12/20/13  (150 bp)  (727) 
DJ CMB NA CMBX AAA Index  677,817  5,680,000  (F)  2/17/51  35 bp  (53,198) 
DJ CMB NA CMBX AAA Index  2,206,440  17,628,000  (F)  12/13/49  8 bp  (290,504) 
DJ CMB NA CMBX AAA Index  613,473  5,618,000  (F)  2/17/51  35 bp  (109,563) 
DJ CMB NA CMBX AAA Index  (668,539)  8,306,000  (F)  2/17/51  (35 bp)  400,443 
DJ CMB NA CMBX AAA Index  (149,449)  1,919,000  (F)  2/17/51  (35 bp)  97,526 
DJ iTraxx Europe             
Crossover Series 8             
Version 1  (24,051)  180,000    12/20/12  (375 bp)  8,626 
Domtar Corp., 7 1/8%,             
8/15/15  --  310,000    12/20/11  (500 bp)  (7,433) 
Expedia, Inc., 7.456%,             
8/15/18  --  40,000    9/20/13  (300 bp)  2,548 
Freeport-McMoRan Copper             
& Gold, Inc., 8 3/8%,             
4/1/17  --  120,000    6/20/12  (145 bp)  13,701 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  --  100,000    6/20/12  750 bp  (51,357) 
General Growth             
Properties, conv. bond             
3.98%, 4/15/27  --  25,000    9/20/13  775 bp  (12,812) 
GMAC, LLC, 6 7/8%,             
8/28/12  23,000  400,000    3/20/09  500 bp  10,502 
iStar Financial, Inc.,             
6%, 12/15/10  39,200  560,000    3/20/09  500 bp  (30,657) 
Lexmark International,             
Inc., 5.9%, 6/1/13  --  75,000    6/20/13  (113 bp)  6,460 
Lexmark International,             
Inc., 5.9%, 6/1/13  --  1,905,000    6/20/13  (113 bp)  164,086 
Lexmark International,             
Inc., 5.9%, 6/1/13  --  140,000    6/20/13  (113 bp)  12,059 
Nextel Communications,             
7 3/8%, 8/1/15  --  600,000    9/20/13  (540 bp)  78,594 
Merrill Lynch Capital Services, Inc.      
Pacific Gas & Electric             
Co., 4.8%, 3/1/14  --  35,000    12/20/13  113 bp  (2,300) 
Merrill Lynch International      
AllTel Corp., 7 7/8%,             

7/1/32  --  525,000    9/20/12  (97 bp)  8,984 
AmerisourceBergen             
Corp., 5 7/8%, 9/15/15  --  20,000    9/20/12  (65 bp)  193 
Block Financial LLC.             
5 1/8%, 10/30/14  --  195,000    12/20/14  (69 bp)  7,085 
Computer Sciences Corp,             
5%, 2/15/13  --  65,000    3/20/13  (66 bp)  1,245 
KinderMorgan, 6 1/2%,             
9/1/12  --  558,000    9/20/12  (128 bp)  24,590 
MGM Mirage Inc.,             
5 7/8%, 2/27/14  --  130,000    9/20/10  (470 bp)  29,982 
Supervalu, Inc.,             
7 1/2%, 05/15/12  --  520,000    8/1/09  (90 bp)  7,670 
Morgan Stanley Capital Services, Inc.  
DJ ABX CMBX AAA Index  1,520,729  21,365,000    3/15/49  7 bp  (443,483) 
DJ CMB NA CMBX AAA Index  (59,516)  920,000    12/13/49  (8 bp)  65,767 
DJ CMB NA CMBX AAA Index  (856,553)  9,500,000  (F)  2/17/51  (35 bp)  366,097 
DJ CMB NA CMBX AAA Index  122  1,000    2/17/51  35 bp  (1) 
DJ CMB NA CMBX AAA Index  2,004,204  15,056,000    12/13/49  8 bp  (45,973) 
UBS, AG      
Cardinal Health Inc.,             
5.85%, 12/15/17  --  330,000    6/20/13  (49 bp)  2,229 
Hanson PLC., 7 7/8%,             
9/27/10  --  125,000    9/20/16  (250 bp)  22,422 
Starwood Hotels &             
Resorts Worldwide,             
Inc., 7 7/8%, 5/1/12  --  710,000    6/20/12  (195 bp)  64,868 
 
Total            $(5,896,594) 

* 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. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.

Key to holding's currency abbreviations

EUR  Euro 

NOTES

(a) Percentages indicated are based on net assets of $1,957,690,092.

(RAT) The Moody's, Standard & Poor's or Fitch ratings indicated are believed to be the most recent ratings available at October 31, 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 October 31, 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 October 31, 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 $4,447,912,791, resulting in gross unrealized appreciation and depreciation of $124,788,067 and $676,613,048, respectively, or net unrealized depreciation of $551,824,981.

(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 October 31, 2008.

(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 October 31, 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 October 31, 2008, the value of securities loaned amounted to $72,718,049. Certain of these securities were sold prior to period-end. The fund received cash collateral of $75,509,515 which is pooled with collateral of other Putnam funds into 15 issues of short-term investments.

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on the securities valuation inputs.

(R) Real Estate Investment Trust.

(S) Securities on loan, in part or in entirety, at October 31, 2008.

At October 31, 2008, liquid assets totaling $907,169,593 have been designated as collateral for open forward commitments, swap contracts and forward contracts.

Debt obligations are considered secured unless otherwise indicated.

144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

ADR after the name of a foreign holding stands for American Depository Receipts representing ownership of foreign securities on deposit with a custodian bank.

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

The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at October 31, 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 October 31, 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.

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 Tax-exempt bonds and notes are generally valued on the basis of valuations provided by an independent pricing service approved by the Trustees. Such services use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. Certain investments and derivatives are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.

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.

Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.

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.

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 realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform.

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 losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform.

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.

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.

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.

The fund invested 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 were valued at its closing net asset value each business day. Management fees paid by the fund were 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 $26,421 for the period ended October 31, 2008. During the period ended October 31, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $73,164,134 and $120,358,864, respectively.

On September 17, 2008, the Trustees of the Putnam Prime Money Market Fund voted to close that fund effective September 17, 2008. On September 24, 2008, the fund received shares of Federated Prime Obligations Fund, an unaffiliated management investment company registered under the Investment Company Act of 1940, in liquidation of its shares of Putnam Prime Money Market Fund.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. While the adoption of SFAS 157 does not have a material effect on the fund’s net asset value, it does require additional disclosures about fair value measurements. The Standard establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

Level 2 – Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 – Valuations based on inputs that are unobservable and significant to the fair value measurement.

The following is a summary of the inputs used to value the fund’s net assets as of October 31, 2008:

Valuation Inputs  Investments in Securities  Other Financial Instruments* 
Level 1  $ 1,011,811,556  $ (76,837,631) 
Level 2  2,865,465,848  (58,918,698) 
Level 3  18,810,406  -- 
Total  $ 3,896,087,810  $ (135,756,329) 

* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/(depreciation) on the instrument.

The following is a reconciliation of Level 3 assets as of October 31, 2008:

  Investment in Securities  Other Financial Instruments* 
Balance as of July 31, 2008  $ 1,678,803  $ -- 
 
Accrued discounts/premiums  --  -- 
 
Realized Gain / Loss  --  -- 
 
Change in net unrealized appreciation (depreciation)  --  -- 
 
Net Purchases / Sales  --  -- 
 
Net Transfers in and/or out of Level 3  17,131,603  -- 
 
Balance as of October 31, 2008  $ 18,810,406  $ -- 

* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/ (depreciation) on the instrument.

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: December 29, 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: December 29, 2008

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: December 29, 2008