-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, F04GokUq0dn7M+5Hemdova6lAsA3S787fSp7NQWlsMPqNSYIVMo43bNXXyqv/dAC a5jijtS4ya6blD4q4hN4Hw== 0000928816-09-001343.txt : 20091230 0000928816-09-001343.hdr.sgml : 20091230 20091230110045 ACCESSION NUMBER: 0000928816-09-001343 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20091031 FILED AS OF DATE: 20091230 DATE AS OF CHANGE: 20091230 EFFECTIVENESS DATE: 20091230 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GEORGE PUTNAM FUND OF BOSTON CENTRAL INDEX KEY: 0000081259 IRS NUMBER: 046013677 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-00058 FILM NUMBER: 091265280 BUSINESS ADDRESS: STREET 1: ONE POST OFFICE SQ STREET 2: MAILSTOP A 14 CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8002252581 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM EQUITY INCOME FUND/NEW DATE OF NAME CHANGE: 19940302 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM GEORGE FUND OF BOSTON DATE OF NAME CHANGE: 19920703 0000081259 S000005597 GEORGE PUTNAM FUND OF BOSTON C000015264 Class A Shares PGEOX C000015265 Class B Shares PGEBX C000015266 Class C Shares PGPCX C000015267 Class M Shares PGEMX C000015268 Class R Shares PGPRX C000015269 Class Y Shares PGEYX N-Q 1 a_georgefund.htm THE GEORGE PUTNAM FUND OF BOSTON a_georgefund.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, 2010   
 
Date of reporting period: October 31, 2009   

Item 1. Schedule of Investments:


The George Putnam Fund of Boston

The fund's portfolio
10/31/09 (Unaudited)

COMMON STOCKS (54.7%)(a)    
  Shares Value
 
Banking (5.3%)    
Bank of America Corp. 731,200 $10,660,896
Bank of New York Mellon Corp. (The) 365,600 9,746,896
JPMorgan Chase & Co. 698,100 29,159,637
PNC Financial Services Group, Inc. 134,900 6,602,006
SunTrust Banks, Inc. 77,900 1,488,669
U.S. Bancorp 90,000 2,089,800
Wells Fargo & Co. 641,400 17,651,328
    77,399,232
 
Basic materials (1.8%)    
Alcoa, Inc. 343,900 4,271,238
Dow Chemical Co. (The) 170,000 3,991,600
E.I. du Pont de Nemours & Co. 163,100 5,189,842
Nucor Corp. 157,200 6,264,420
PPG Industries, Inc. 87,200 4,920,696
Weyerhaeuser Co. 50,100 1,820,634
    26,458,430
 
Capital goods (3.2%)    
Avery Dennison Corp. 57,400 2,046,310
Boeing Co. (The) 49,300 2,356,540
Caterpillar, Inc. 52,300 2,879,638
Deere (John) & Co. 57,400 2,614,570
Emerson Electric Co. 64,300 2,427,325
Lockheed Martin Corp. 183,300 12,609,207
Northrop Grumman Corp. 46,300 2,321,019
Parker-Hannifin Corp. 88,700 4,697,552
Raytheon Co. 116,700 5,284,176
United Technologies Corp. 138,600 8,516,970
    45,753,307
 
Communication services (3.6%)    
AT&T, Inc. 817,082 20,974,495
Comcast Corp. Class A 318,900 4,624,050
DIRECTV Group, Inc. (The) (NON) 148,200 3,897,660
DISH Network Corp. Class A (NON) 71,600 1,245,840
Telefonica SA ADR (Spain) 21,000 1,762,530
Time Warner Cable, Inc. 104,800 4,133,312
Verizon Communications, Inc. 366,500 10,844,735
Vodafone Group PLC ADR (United Kingdom) 190,500 4,227,195
    51,709,817
 
 
Conglomerates (1.2%)    
3M Co. 51,200 3,766,784
General Electric Co. 684,200 9,756,692
Honeywell International, Inc. 118,800 4,263,732
    17,787,208
 
Consumer cyclicals (3.8%)    
D.R. Horton, Inc. 101,700 1,114,632
Gap, Inc. (The) 112,700 2,405,018
Home Depot, Inc. (The) 292,200 7,331,298
Lowe's Cos., Inc. 251,300 4,917,941
Marriott International, Inc. Class A 75,662 1,896,090
Staples, Inc. 149,900 3,252,830
Target Corp. 93,600 4,533,048
Time Warner, Inc. 168,600 5,078,232
TJX Cos., Inc. (The) 217,400 8,119,890
Viacom, Inc. Class B (NON) 227,200 6,268,448
Wal-Mart Stores, Inc. 62,400 3,100,032
Walt Disney Co. (The) 195,200 5,342,624
Whirlpool Corp. 19,100 1,367,369
    54,727,452
 
 
Consumer staples (5.6%)    
Campbell Soup Co. 125,700 3,990,975
Clorox Co. 139,600 8,268,508
Coca-Cola Co. (The) 18,400 980,904
CVS Caremark Corp. 253,500 8,948,550
General Mills, Inc. 60,100 3,961,792
Kellogg Co. 109,200 5,628,168
Kimberly-Clark Corp. 145,100 8,874,316
Kraft Foods, Inc. Class A 174,762 4,809,450
Kroger Co. 225,800 5,222,754
Lorillard, Inc. 52,600 4,088,072
Newell Rubbermaid, Inc. 210,400 3,052,904
Philip Morris International, Inc. 345,000 16,339,200
Procter & Gamble Co. (The) 92,300 5,353,400
SYSCO Corp. 66,300 1,753,635
    81,272,628


Energy (9.2%)    
Anadarko Petroleum Corp. 85,000 5,179,050
Chevron Corp. 433,600 33,187,744
ConocoPhillips 123,600 6,202,248
Devon Energy Corp. 50,200 3,248,442
EOG Resources, Inc. 21,700 1,772,022
Exxon Mobil Corp. 440,900 31,599,303
Halliburton Co. 103,300 3,017,393
Marathon Oil Corp. 287,600 9,194,572
Newfield Exploration Co. (NON) 90,300 3,704,106
Noble Corp. 84,800 3,454,752
Occidental Petroleum Corp. 154,500 11,723,460
Total SA ADR (France) 219,600 13,191,372
Valero Energy Corp. 188,100 3,404,610
Weatherford International, Ltd. (Switzerland) (NON) 117,500 2,059,775
Williams Cos., Inc. (The) 185,700 3,500,445
    134,439,294
 
Financials (4.0%)    
Chubb Corp. (The) 203,300 9,864,116
Goldman Sachs Group, Inc. (The) 96,310 16,389,073
MetLife, Inc. 254,600 8,664,038
Morgan Stanley 372,840 11,975,621
Travelers Cos., Inc. (The) 240,200 11,959,558
    58,852,406
 
Health care (6.8%)    
Abbott Laboratories 94,600 4,783,922
Aetna, Inc. 182,100 4,740,063
Amgen, Inc. (NON) 24,100 1,294,893
Baxter International, Inc. 65,100 3,519,306
Boston Scientific Corp. (NON) 452,600 3,675,112
Bristol-Myers Squibb Co. 140,700 3,067,260
Covidien PLC (Ireland) 179,212 7,548,409
Genzyme Corp. (NON) 19,300 976,580
Hospira, Inc. (NON) 99,200 4,428,288
Johnson & Johnson 250,100 14,768,405
McKesson Corp. 90,400 5,309,192
Medtronic, Inc. 134,800 4,812,360
Merck & Co., Inc. 289,400 8,951,142
Pfizer, Inc. 1,569,458 26,727,870
WellPoint, Inc. (NON) 86,000 4,021,360
    98,624,162
 
Insurance (1.6%)    
ACE, Ltd. 158,600 8,145,696
Allstate Corp. (The) 115,000 3,400,550
Everest Re Group, Ltd. 45,600 3,989,544
Marsh & McLennan Cos., Inc. 195,000 4,574,700
RenaissanceRe Holdings, Ltd. 71,600 3,759,000
    23,869,490
 
Real estate (0.5%)    
Digital Realty Trust, Inc. (R) 29,200 1,317,796
Equity Residential Properties Trust (R) 125,648 3,628,714
Simon Property Group, Inc. (R) 41,406 2,811,053
    7,757,563
 
Technology (4.5%)    
Applied Materials, Inc. 161,100 1,965,420
Atmel Corp. (NON) 1,092,600 4,064,472
Cisco Systems, Inc. (NON) 239,100 5,463,435
Electronic Arts, Inc. (NON) 103,100 1,880,544
EMC Corp. (NON) 429,300 7,070,571
IBM Corp. 52,400 6,319,964
Intel Corp. 270,000 5,159,700
KLA-Tencor Corp. 102,000 3,316,020
Microsoft Corp. 329,800 9,145,354
Motorola, Inc. 551,300 4,724,641
Nokia OYJ ADR (Finland) 144,200 1,818,362
Oracle Corp. 106,400 2,245,040
Symantec Corp. (NON) 109,300 1,921,494
Texas Instruments, Inc. 167,900 3,937,255
Thermo Electron Corp. (NON) 29,200 1,314,000
Yahoo!, Inc. (NON) 297,200 4,725,480
    65,071,752
 
Transportation (0.4%)    
Burlington Northern Santa Fe Corp. 63,500 4,782,820
United Parcel Service, Inc. Class B 24,300 1,304,424
    6,087,244
 
Utilities and power (3.2%)    
American Electric Power Co., Inc. 145,000 4,381,900
Dominion Resources, Inc. 55,900 1,905,631
Duke Energy Corp. 148,900 2,355,598
Edison International 255,200 8,120,464
El Paso Corp. 251,300 2,465,253
Entergy Corp. 119,000 9,129,680
Exelon Corp. 61,400 2,883,344


FPL Group, Inc. 42,400 2,081,840
Great Plains Energy, Inc. 34,000 588,200
PG&E Corp. 233,050 9,529,415
Wisconsin Energy Corp. 72,200 3,152,974
    46,594,299
Total common stocks (cost $725,554,439)   $796,404,284
 
 
CORPORATE BONDS AND NOTES (11.6%)(a)    
  Principal amount Value
 
Basic materials (0.7%)    
Allegheny Technologies, Inc. sr. unsec. unsub. notes    
9 3/8s, 2019 $30,000 $34,121
ArcelorMittal sr. unsec. unsub. 9.85s, 2019    
(Luxembourg) 360,000 422,032
Bemis Co., Inc. sr. unsec. unsub. notes 6.8s, 2019 100,000 112,091
Dow Chemical Co. (The) notes 9.4s, 2039 250,000 307,525
Dow Chemical Co. (The) sr. unsec. notes 7.6s, 2014 894,000 993,287
Dow Chemical Co. (The) sr. unsec. unsub. notes 5.9s,    
2015 1,760,000 1,820,715
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes    
8 3/8s, 2017 1,450,000 1,544,250
Holcim, Ltd. 144 company guaranty 6s, 2019    
(Switzerland) 275,000 283,580
International Paper Co. sr. unsec. notes 9 3/8s, 2019 943,000 1,136,315
International Paper Co. sr. unsec. unsub. notes    
7 1/2s, 2021 95,000 104,034
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s,    
2016 208,000 223,921
Rio Tinto Finance USA LTD company guaranty sr. unsec.    
notes 9s, 2019 (Australia) 450,000 559,881
Sealed Air Corp. 144A notes 5 5/8s, 2013 210,000 210,420
Teck Resources, Ltd. sr. notes 10 3/4s, 2019 (Canada) 35,000 40,775
Teck Resources, Ltd. sr. notes 10 1/4s, 2016 (Canada) 51,000 58,778
Teck Resources, Ltd. sr. notes 9 3/4s, 2014 (Canada) 43,000 48,268
Vale Overseas, Ltd. company guaranty unsec. unsub.    
notes 5 5/8s, 2019 1,909,000 1,905,373
Westvaco Corp. unsec. notes 7 1/2s, 2027 11,000 10,098
Xstrata Finance Canada, Ltd. 144A company guaranty    
5.8s, 2016 (Canada) 735,000 729,055
    10,544,519
 
Capital goods (0.2%)    
Allied Waste North America, Inc. sec. notes 6 1/2s,    
2010 145,000 150,075
Allied Waste North America, Inc. sec. notes Ser. B,    
5 3/4s, 2011 90,000 94,547
Allied Waste North America, Inc. sr. unsec. notes    
6 3/8s, 2011 235,000 248,098
Ball Corp. company guaranty sr. unsec. notes 7 1/8s,    
2016 1,000 1,023
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 767,000 811,762
Parker Hannifin Corp. sr. unsec. unsub. notes Ser.    
MTN, 6 1/4s, 2038 975,000 1,063,261
Republic Services, Inc. 144A sr. unsec. notes 5 1/2s,    
2019 240,000 247,503
United Technologies Corp. sr. unsec. notes 6 1/8s, 2038 430,000 477,879
    3,094,148
 
Communication services (1.2%)    
American Tower Corp. 144A notes 4 5/8s, 2015 555,000 562,640
American Tower Corp. 144A sr. unsec. notes 7 1/4s, 2019 800,000 878,000
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031 285,000 375,800
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011 185,000 200,407
AT&T, Inc. sr. unsec. unsub. bonds 5 1/2s, 2018 245,000 257,187
AT&T, Inc. sr. unsec. unsub. notes 6.3s, 2038 2,369,000 2,476,729
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030 450,000 522,702
Comcast Cable Communications company guaranty sr.    
unsub. notes 8 7/8s, 2017 290,000 354,988
Comcast Corp. company guaranty sr. unsec. unsub. notes    
6.95s, 2037 225,000 245,422
Cox Communications, Inc. notes 7 1/8s, 2012 745,000 836,026
Cox Communications, Inc. 144A notes 5 7/8s, 2016 289,000 302,255
France Telecom notes 8 1/2s, 2031 (France) 180,000 246,273
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada) 122,000 134,930
TCI Communications, Inc. company guaranty 7 7/8s, 2026 1,085,000 1,223,942
TCI Communications, Inc. debs. 9.8s, 2012 467,000 534,924
Telecom Italia Capital SA company guaranty 5 1/4s,    
2015 (Italy) 400,000 414,577
Telecom Italia Capital SA company guaranty 5 1/4s,    
2013 (Italy) 515,000 541,890
Telecom Italia Capital SA company guaranty 4s, 2010    
(Italy) 60,000 60,347
Telefonica Emisones SAU company guaranty 6.221s, 2017    
(Spain) 385,000 426,416
Telefonica Europe BV company guaranty 8 1/4s, 2030    
(Spain) 595,000 762,663
Time Warner Cable, Inc. company guaranty sr. notes    
7.3s, 2038 640,000 721,177
Time Warner Cable, Inc. company guaranty sr. unsec.    
notes 7 1/2s, 2014 150,000 172,740
Time Warner Cable, Inc. company guaranty sr. unsec.    
unsub. notes 6 3/4s, 2039 355,000 375,987
Verizon Communications, Inc. sr. unsec. unsub. notes    
8 3/4s, 2018 110,000 138,270


Verizon New England, Inc. sr. notes 6 1/2s, 2011 742,000 800,623
Verizon New Jersey, Inc. debs. 8s, 2022 770,000 877,274
Verizon Pennsylvania, Inc. debs. 8.35s, 2030 980,000 1,114,502
Verizon Wireless, Inc. 144A notes 5.55s, 2014 2,170,000 2,364,447
    17,923,138
 
Conglomerates (0.1%)    
Siemens Financieringsmaatschappij 144A notes 5 3/4s,    
2016 (Netherlands) 680,000 739,039
    739,039
 
 
Consumer cyclicals (0.6%)    
Corrections Corporation of America company guaranty    
sr. notes 7 3/4s, 2017 279,000 287,719
DaimlerChrysler NA Holding Corp. company guaranty    
6 1/2s, 2013 (Germany) 565,000 615,117
DaimlerChrysler NA Holding Corp. company guaranty sr.    
unsec. unsub. notes 5 7/8s, 2011 (Germany) 312,000 325,447
DaimlerChrysler NA Holding Corp. company guaranty    
unsec. unsub. notes Ser. MTN, 5 3/4s, 2011 (Germany) 630,000 665,996
DIRECTV Holdings, LLC 144A company guaranty sr. unsec.    
unsub. notes 5 7/8s, 2019 780,000 801,949
Macy's Retail Holdings, Inc. company guaranty sr.    
unsec. notes 6 5/8s, 2011 265,000 268,975
News America Holdings, Inc. company guaranty 7 3/4s,    
2024 1,045,000 1,094,817
News America Holdings, Inc. debs. 7 3/4s, 2045 609,000 693,887
Omnicom Group, Inc. sr. notes 5.9s, 2016 635,000 661,294
Target Corp. bonds 6 1/2s, 2037 405,000 447,628
Time Warner Entertainment Co., LP debs. Ser. *,    
8 3/8s, 2023 170,000 200,815
Time Warner, Inc. debs. 9.15s, 2023 340,000 406,905
Time Warner, Inc. debs. 9 1/8s, 2013 592,000 689,134
Viacom, Inc. company guaranty 5 5/8s, 2012 158,000 164,057
Viacom, Inc. company guaranty sr. unsec. notes 8 5/8s,    
2012 32,000 34,856
Viacom, Inc. unsec. sr. company guaranty 7 7/8s, 2030 490,000 487,185
Whirlpool Corp. sr. unsec. notes 8.6s, 2014 110,000 125,570
    7,971,351
 
 
Consumer staples (0.9%)    
Altria Group, Inc. company guaranty sr. unsec. notes    
9 1/4s, 2019 220,000 266,729
Altria Group, Inc. company guaranty sr. unsec. unsub.    
notes 8 1/2s, 2013 275,000 319,756
Anheuser-Busch InBev Worldwide, Inc. 144A company    
guaranty sr. notes 8.2s, 2039 165,000 208,184
Anheuser-Busch InBev Worldwide, Inc. 144A company    
guaranty sr. unsec. unsub. notes 7 3/4s, 2019 1,570,000 1,829,543
Campbell Soup Co. debs. 8 7/8s, 2021 855,000 1,156,365
CVS Caremark Corp. sr. unsec. FRN 6.302s, 2037 1,243,000 1,068,980
CVS Caremark Corp. 144A pass-through certificates    
6.117s, 2013 473,114 502,443
Delhaize Group sr. unsub. notes 6 1/2s, 2017 (Belgium) 565,000 618,551
Diageo Capital PLC company guaranty 5.2s, 2013 (United    
Kingdom) 395,000 423,552
Diageo PLC company guaranty 8s, 2022 (Canada) 820,000 998,216
General Mills, Inc. sr. unsec. notes 5.65s, 2019 130,000 140,574
HJ Heinz Finance Co. 144A company guaranty 7 1/8s, 2039 360,000 414,154
Kraft Foods, Inc. notes 6 1/8s, 2018 765,000 807,549
Kroger Co. company guaranty 6 3/4s, 2012 275,000 301,432
Kroger Co. company guaranty 6.4s, 2017 500,000 553,409
McDonald's Corp. sr. unsec. Ser. MTN, 6.3s, 2038 535,000 610,020
McDonald's Corp. sr. unsec. notes 5.7s, 2039 600,000 628,985
SABMiller PLC 144A notes 6 1/2s, 2018 (United Kingdom) 540,000 600,944
Tesco PLC 144A sr. unsec. unsub. notes 6.15s, 2037    
(United Kingdom) 640,000 686,061
Tyson Foods, Inc. sr. unsec. notes 8 1/4s, 2011 285,000 300,675
WPP Finance UK company guaranty sr. unsec. notes 8s,    
2014 (United Kingdom) 325,000 360,560
    12,796,682
 
Energy (0.5%)    
Amerada Hess Corp. unsub. notes 6.65s, 2011 185,000 199,194
Chesapeake Energy Corp. sr. unsec. notes 7 5/8s, 2013 10,000 10,300
ConocoPhillips company guaranty sr. unsec. bond 5.9s,    
2038 45,000 47,016
ConocoPhillips company guaranty sr. unsec. notes 5.2s,    
2018 20,000 21,209
ConocoPhillips notes 6 1/2s, 2039 265,000 296,609
Devon Energy Corp. sr. notes 6.3s, 2019 265,000 293,423
EnCana Corp. sr. unsec. notes 6 1/2s, 2019 (Canada) 175,000 194,397
EOG Resources, Inc. sr. unsec. notes 5 5/8s, 2019 205,000 223,740
Forest Oil Corp. sr. notes 8s, 2011 610,000 626,775
Halliburton Co. sr. unsec. notes 7.45s, 2039 235,000 292,302
Husky Energy, Inc. sr. notes 5.9s, 2014 (Canada) 165,000 178,750
Kerr-McGee Corp. sec. notes 6.95s, 2024 190,000 201,123
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012 225,000 237,412
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016 650,000 638,625
Nexen, Inc. sr. unsec. unsub. notes 7 1/2s, 2039    
(Canada) 325,000 361,281
Peabody Energy Corp. sr. notes 5 7/8s, 2016 805,000 782,863
Petro-Canada sr. unsec. unsub. notes 6.05s, 2018    
(Canada) 200,000 212,978
Ras Laffan Liquefied Natural Gas Co., Ltd. 144A    


company guaranty sr. notes 5 1/2s, 2014 (Qatar) 675,000 720,318
Weatherford International, Inc. company guaranty sr.    
unsec. unsub. bonds 6.8s, 2037 245,000 254,030
Weatherford International, Inc. company guaranty sr.    
unsec. unsub. bonds 6.35s, 2017 280,000 297,889
Weatherford International, Ltd. sr. notes 5 1/2s, 2016    
(Switzerland) 455,000 466,500
Williams Cos., Inc. (The) sr. unsec. notes 8 3/4s, 2020 325,000 372,513
XTO Energy, Inc. sr. unsec. notes 6 3/4s, 2037 225,000 248,161
XTO Energy, Inc. sr. unsec. unsub. notes 6 1/2s, 2018 180,000 200,395
    7,377,803
 
 
Financials (4.1%)    
AGFC Capital Trust I 144A company guaranty 6s, 2067 620,000 248,000
Allstate Life Global Funding Trusts notes Ser. MTN,    
5 3/8s, 2013 326,000 350,014
American Express Bank FSB notes Ser. BKN1, 5.55s, 2012 1,160,000 1,238,294
American Express Bank FSB sr. unsec. FRN Ser. BKNT,    
0.542s, 2017 545,000 469,689
American Express Travel Related Services Co., Inc. sr.    
unsec. unsub. notes FRN Ser. EMTN, 0.444s, 2011 385,000 369,309
Bank of America NA sub. notes Ser. BKNT, 5.3s, 2017 315,000 307,703
Bank One Corp. unsec. unsub. notes 5.9s, 2011 1,000,000 1,075,119
BankAmerica Capital III bank guaranty jr. unsec. FRN    
Ser. *, 0.854s, 2027 2,245,000 1,419,213
Barclays Bank PLC sr. unsec. unsub. notes 5s, 2016 270,000 276,987
Barclays Bank PLC 144A sub. notes 10.179s, 2021 804,000 1,057,129
Barclays Bank PLC 144A unsec. sub. notes 6.05s, 2017 465,000 473,747
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,    
2012 550,000 617,244
Bear Stearns Cos., Inc. (The) sr. notes 6.4s, 2017 500,000 545,454
Bear Stearns Cos., Inc. (The) sr. unsec. notes 7 1/4s,    
2018 331,000 378,603
Bosphorus Financial Services, Ltd. 144A sr. notes FRN    
2.24s, 2012 1,486,250 1,413,083
Capital One Bank USA NA sub. notes 8.8s, 2019 385,000 455,697
Capital One Capital III company guaranty 7.686s, 2036 320,000 275,200
Chubb Corp. (The) sr. notes 6 1/2s, 2038 765,000 881,809
Citigroup, Inc. sr. unsec. sub. FRN 0.579s, 2016 123,000 102,496
Citigroup, Inc. sr. unsec. unsub. notes 6 1/8s, 2017 700,000 714,374
Citigroup, Inc. sr. unsec. unsub. notes 5 1/4s, 2012 1,270,000 1,322,376
Citigroup, Inc. sr. unsec. unsub. notes FRN 0.604s,    
2010 905,000 901,896
Citigroup, Inc. sub. notes 5s, 2014 1,369,000 1,349,833
Citigroup, Inc. unsec. sub. notes 6 5/8s, 2032 31,000 29,347
CNA Financial Corp. unsec. notes 6s, 2011 730,000 746,204
Commonwealth Bank of Australia 144A sr. unsec. notes    
3 3/4s, 2014 (Australia) 1,220,000 1,226,181
Credit Suisse Guernsey Ltd. jr. sub. FRN 5.86s, 2049    
(United Kingdom) 354,000 292,050
Credit Suisse USA, Inc. sr. unsec. notes 5.3s, 2019 475,000 491,261
Deutsche Bank AG/London sr. unsec. notes 3 7/8s, 2014    
(United Kingdom) 635,000 646,908
Deutsche Bank Capital Funding Trust VII 144A FRB    
5.628s, 2049 285,000 216,600
Dresdner Funding Trust I 144A bonds 8.151s, 2031 450,000 327,938
Duke Realty LP sr. unsec. notes 6 1/2s, 2018 361,000 348,153
Duke Realty LP sr. unsec. notes 6 1/4s, 2013 35,000 35,510
Federal Realty Investment Trust sr. unsec. unsub.    
notes 5.95s, 2014 (R) 650,000 653,691
Fleet Capital Trust V bank guaranty FRN 1.292s, 2028 187,000 105,393
Fund American Cos., Inc. notes 5 7/8s, 2013 347,000 332,288
GATX Financial Corp. notes 5.8s, 2016 560,000 500,616
General Electric Capital Corp. sr. unsec. FRN Ser.    
MTN, 0.474s, 2016 455,000 406,202
General Electric Capital Corp. sr. unsec. FRN Ser.    
MTN, 0.411s, 2012 1,720,000 1,645,639
General Electric Capital Corp. sr. unsec. notes Ser.    
MTN, 6 7/8s, 2039 1,589,000 1,712,652
General Electric Capital Corp. sub. notes FRN 6 3/8s,    
2067 355,000 307,963
Goldman Sachs Group, Inc. (The) sr. notes 7 1/2s, 2019 760,000 888,902
Goldman Sachs Group, Inc. (The) sr. notes 5.45s, 2012 302,000 325,549
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037 745,000 785,278
HCP, Inc. sr. unsec. Ser. MTN, 6.7s, 2018 (R) 15,000 14,904
Health Care Property Investors, Inc. sr. unsec. notes    
6s, 2017 295,000 284,969
Health Care REIT, Inc. sr. notes 6s, 2013 (R) 385,000 382,863
Highwood Properties, Inc. sr. unsec. bonds 5.85s, 2017    
(R) 1,005,000 906,283
HSBC Finance Capital Trust IX FRN 5.911s, 2035 2,000,000 1,580,000
HSBC Holdings PLC sub. notes 6 1/2s, 2037 (United    
Kingdom) 905,000 991,937
JPMorgan Chase Bank NA sub. notes Ser. BKNT, 6s, 2017 1,000,000 1,065,132
JPMorgan Chase Capital XVIII bonds Ser. R, 6.95s, 2036 499,000 487,910
JPMorgan Chase Capital XXV bonds Ser. Y, 6.8s, 2037 780,000 766,919
Liberty Mutual Group 144A company guaranty jr. sub.    
notes FRB 10 3/4s, 2058 1,289,000 1,381,490
Liberty Mutual Insurance 144A notes 7.697s, 2097 1,060,000 882,965
Massachusetts Mutual Life Insurance Co. 144A notes    
8 7/8s, 2039 495,000 602,982
Merrill Lynch & Co., Inc. jr. sub. bonds 7 3/4s, 2038 1,565,000 1,761,749
Merrill Lynch & Co., Inc. notes FRN Ser. MTN, 0.482s,    
2011 835,000 820,515
MetLife Capital Trust IV 144A jr. sub. debs. 7 7/8s,    
2067 1,300,000 1,257,750
MetLife, Inc. jr. unsec. sub. notes 6.4s, 2036 590,000 511,088
Morgan Stanley sr. unsec. notes FRN Ser. MTN, 0.335s,    


2010 1,000,000 999,625
Nationwide Financial Services, Inc. notes 5 5/8s, 2015 465,000 437,970
Nationwide Health Properties, Inc. notes 6 1/2s, 2011    
(R) 680,000 708,541
Nationwide Health Properties, Inc. unsec. notes    
6 1/4s, 2013 (R) 382,000 391,649
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031 415,000 389,456
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033 370,000 290,588
Progressive Corp. (The) jr. unsec. sub. unsec. deb.    
FRN 6.7s, 2037 2,520,000 2,207,386
Prudential Financial, Inc. sr. notes 7 3/8s, 2019 600,000 670,365
Prudential Financial, Inc. sr. notes 6.2s, 2015 190,000 202,616
Prudential Holdings LLC sr. notes FRN Ser. FSA,    
1.167s, 2017 210,000 167,855
Royal Bank of Scotland Group PLC sr. unsec. unsub.    
notes 6.4s, 2019 (United Kingdom) 355,000 362,004
Santander Issuances S.A. Unipersonal 144A bank    
guaranty sub. FRN 6 1/2s, 2019 (Spain) 500,000 528,749
Simon Property Group LP sr. unsec. notes 6 3/4s,    
2014 (R) 1,581,000 1,716,084
Simon Property Group LP unsub. bonds 5 3/4s, 2015 (R) 371,000 382,711
SLM Corp. notes Ser. MTNA, 4 1/2s, 2010 381,000 375,684
State Street Capital Trust IV company guaranty jr.    
unsec. sub. bond FRB 1.299s, 2037 925,000 620,149
Travelers Cos., Inc. (The) sr. unsec. notes 5.9s, 2019 130,000 143,648
Wachovia Bank NA sr. unsec. sub. notes Ser. BKNT,    
6.6s, 2038 693,000 754,715
Wachovia Bank NA sub. notes Ser. BKNT, 6s, 2017 1,060,000 1,120,613
Wachovia Corp. sr. unsec. notes 5 3/4s, 2017 145,000 151,213
Wachovia Corp. sr. unsec. notes Ser. MTN, 5 1/2s, 2013 1,140,000 1,221,211
WEA Finance LLC /WT Finance Aust. Pty. Ltd. 144A    
company guaranty sr. unsec. notes 7 1/2s, 2014 895,000 974,850
WEA Finance LLC/ WT Finance Aust. Pty. Ltd. 144A    
company guaranty sr. unsec. notes 6 3/4s, 2019 900,000 916,568
Wells Fargo Bank NA unsec. sub. notes FRN 0.65s, 2016 710,000 613,987
Wells Fargo Capital XV jr. sub. unsec. company    
guaranty FRN 9 3/4s, 2049 435,000 469,800
Westpac Capital Trust III 144A unsec. sub. notes FRN    
5.819s, 2049 (Australia) 1,010,000 889,113
ZFS Finance USA Trust I 144A bonds FRB 6 1/2s, 2037 159,000 130,778
    59,804,978
 
 
Government (0.6%)    
European Investment Bank sr. unsec. unsub. notes    
4 7/8s, 2036 (Supra-Nation) 4,000,000 3,937,080
International Bank for Reconstruction & Development    
unsec. unsub. bonds 7 5/8s, 2023 (Supra-Nation) 4,000,000 5,302,580
    9,239,660
 
Health care (0.4%)    
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037 95,000 99,895
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United    
Kingdom) 451,000 505,654
Eli Lilly & Co. sr. unsec. unsub. notes 5.95s, 2037 50,000 55,181
Express Scripts, Inc. sr. unsec. notes 7 1/4s, 2019 110,000 128,116
Express Scripts, Inc. sr. unsec. notes 6 1/4s, 2014 275,000 303,292
GlaxoSmith Kline Capital, Inc. company guaranty sr.    
notes 5.65s, 2018 460,000 506,362
Hospira, Inc. sr. notes 6.05s, 2017 25,000 26,342
Hospira, Inc. sr. notes 5.55s, 2012 440,000 472,192
Merck & Co., Inc. sr. unsec. unsub. notes 5.85s, 2039 128,000 139,388
Novartis Securities Investment, Ltd. company guaranty    
sr. unsec. notes 5 1/8s, 2019 187,000 198,765
Pfizer, Inc. sr. unsec. notes 7.2s, 2039 464,000 583,031
Pfizer, Inc. sr. unsec. notes 6.2s, 2019 146,000 165,814
Roche Holdings, Inc. 144A company guaranty sr. unsec.    
notes 7s, 2039 150,000 183,981
UnitedHealth Group, Inc. sr. unsec. notes 5.8s, 2036 180,000 168,419
UnitedHealth Group, Inc. sr. unsec. notes 5 1/2s, 2012 755,000 801,798
Ventas Realty LP/Capital Corp. sr. notes 6 3/4s, 2017    
(R) 470,000 451,200
Watson Pharmaceuticals, Inc. sr. unsec. notes 6 1/8s,    
2019 310,000 320,454
WellPoint, Inc. notes 7s, 2019 155,000 175,391
    5,285,275
 
Technology (0.2%)    
Dell, Inc. sr. unsec. notes 5 7/8s, 2019 715,000 769,601
Fiserv, Inc. sr. unsec. unsub. notes company guaranty    
6.8s, 2017 760,000 850,208
IBM Corp. sr. unsec. notes 5.7s, 2017 320,000 354,683
Nokia Corp. sr. unsec. notes 6 5/8s, 2039 (Finland) 110,000 121,251
Nokia Corp. sr. unsec. notes 5 3/8s, 2019 (Finland) 1,060,000 1,094,693
    3,190,436
 
Transportation (0.3%)    
American Airlines, Inc. pass-through certificates Ser.    
01-1, 6.817s, 2011 100,000 95,250
Burlington Northern Santa Fe Corp. sr. unsec. notes    
7s, 2014 275,000 314,517
Burlington Northern Santa Fe Corp. sr. unsec. notes    
4.7s, 2019 425,000 426,850
Continental Airlines, Inc. pass-through certificates    
Ser. 97-4A, 6.9s, 2018 44,514 42,733
Continental Airlines, Inc. pass-through certificates    


Ser. 98-1A, 6.648s, 2017 20,880 19,836
Delta Air Lines, Inc. pass-through certificates Ser.    
71-A, 6.821s, 2022 87,535 82,721
Northwest Airlines Corp. pass-through certificates    
Ser. 00-1, 7.15s, 2019 1,442,275 1,254,779
Southwest Airlines Co. pass-through certificates Ser.    
07-1, 6.15s, 2022 803,989 809,459
Union Pacific Corp. sr. unsub. notes 5 3/4s, 2017 750,000 802,476
Union Pacific Corp. 144A pass-through certificates    
5.214s, 2014 590,000 627,270
    4,475,891
 
 
Utilities and power (1.8%)    
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013 500,000 529,670
Appalachian Power Co. sr. notes Ser. L, 5.8s, 2035 510,000 494,299
Atmos Energy Corp. sr. unsub. notes 6.35s, 2017 905,000 981,996
Beaver Valley II Funding debs. 9s, 2017 392,000 430,996
Boardwalk Pipelines LP company guaranty 5 7/8s, 2016 975,000 989,030
Bruce Mansfield Unit pass-through certificates 6.85s,    
2034 1,184,167 1,126,407
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011 45,000 48,015
Commonwealth Edison Co. 1st mtge. 6.15s, 2017 275,000 302,957
Commonwealth Edison Co. 1st mtge. sec. bonds 5 7/8s,    
2033 500,000 518,629
Commonwealth Edison Co. 1st mtge. sec. bonds 5.8s, 2018 495,000 534,327
Consolidated Natural Gas Co. sr. notes Ser. A, 5s, 2014 530,000 561,876
Dominion Resources, Inc. jr. sub. notes FRN Ser. 06-B,    
6.3s, 2066 1,851,000 1,601,115
Dominion Resources, Inc. sr. unsec. unsub. notes Ser.    
07-A, 6s, 2017 10,000 10,870
Duke Energy Corp. sr. unsec. notes 6 1/4s, 2018 419,000 456,982
El Paso Natural Gas Co. sr. unsec. notes 5.95s, 2017 120,000 122,583
El Paso Natural Gas Co. sr. unsec. unsub. bonds Ser.    
*, 8 3/8s, 2032 490,000 582,515
Electricite de France 144A notes 6.95s, 2039 (France) 655,000 793,781
Enel Finance Intl. SA 144A company guaranty sr. unsec.    
notes 5 1/8s, 2019 (Luxembourg) 360,000 363,672
Entergy Gulf States, Inc. 1st mtge. 5 1/4s, 2015 985,000 982,998
FirstEnergy Corp. notes Ser. B, 6.45s, 2011 9,000 9,727
Illinois Power Co. 1st mtge. sr. bond 9 3/4s, 2018 725,000 907,102
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013 545,000 588,406
ITC Holdings Corp. 144A notes 5 7/8s, 2016 272,000 276,343
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018 365,000 376,258
Kansas Gas & Electric bonds 5.647s, 2021 349,857 354,083
National Fuel Gas Co. notes 5 1/4s, 2013 30,000 30,654
Nevada Power Co. mtge. sec. notes 7 1/8s, 2019 295,000 334,452
NiSource Finance Corp. company guaranty sr. unsec.    
unsub. notes 7 7/8s, 2010 2,440,000 2,570,530
Northwestern Corp. sec. notes 5 7/8s, 2014 342,000 360,642
Pacific Gas & Electric Co. sr. unsec. notes 6.35s, 2038 350,000 398,780
Pacific Gas & Electric Co. sr. unsub. 5.8s, 2037 105,000 111,203
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016 331,000 343,578
Power Receivable Finance, LLC 144A sr. notes 6.29s,    
2012 542,377 553,116
PPL Energy Supply LLC bonds Ser. A, 5.7s, 2015 50,000 52,332
Public Service Co. of Colorado 1st mtge. sec. bonds    
5 1/8s, 2019 175,000 186,341
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s,    
2067 356,000 311,472
Southern Natural Gas Co. 144A notes 5.9s, 2017 460,000 473,187
Spectra Energy Capital, LLC company guaranty sr.    
unsec. unsub. notes 6.2s, 2018 1,080,000 1,164,295
Spectra Energy Capital, LLC sr. notes 8s, 2019 820,000 965,035
Teco Energy, Inc. sr. notes FRN 2.281s, 2010 550,000 548,625
Teco Finance, Inc. company guaranty sr. unsec. unsub.    
notes Ser. *, 7.2s, 2011 1,140,000 1,197,706
Texas-New Mexico Power Co. 144A 1st mtge. sec. 9 1/2s,    
2019 830,000 1,014,704
TransAlta Corp. sr. unsec. notes 5 3/4s, 2013 (Canada) 665,000 688,568
TransCanada Pipelines, Ltd. jr. sub. FRN 6.35s, 2067    
(Canada) 520,000 484,013
Union Electric Co. 1st mtge. sr. sec. bond 6.7s, 2019 960,000 1,087,565
    26,821,435
Total corporate bonds and notes (cost $163,209,987)   $169,264,355
 
 
MORTGAGE-BACKED SECURITIES (5.8%)(a)    
  Principal amount Value
Asset Securitization Corp. Ser. 96-MD6, Class A7,    
8.335s, 2029 $1,251,749 $1,377,881
Banc of America Commercial Mortgage, Inc. 144A Ser.    
05-1, Class XW, IO, 0.101s, 2042 236,535,188 307,496
Banc of America Large Loan    
FRB Ser. 04-BBA4, Class H, 1.195s, 2018 142,000 85,200
FRB Ser. 04-BBA4, Class G, 0.945s, 2018 449,000 291,850
Banc of America Large Loan 144A    
FRB Ser. 05-MIB1, Class K, 2.245s, 2022 496,000 262,068
FRB Ser. 05-MIB1, Class J, 1.295s, 2022 1,400,000 560,000
Banc of America Structured Security Trust 144A Ser.    
02-X1, Class A3, 5.436s, 2033 151,096 151,019
Bayview Commercial Asset Trust 144A    
Ser. 07-5A, IO, 3.047s, 2037 8,980,227 690,579
Ser. 04-2, IO, 2.97s, 2034 3,603,759 127,213
Ser. 05-3A, IO, 2.15s, 2035 12,660,441 591,243
Ser. 05-1A, IO, 2.15s, 2035 4,139,256 166,812
Ser. 04-3, IO, 2.15s, 2035 2,700,087 98,013
Ser. 06-2A, IO, 1.798s, 2036 2,423,707 133,304


FRB Ser. 05-1A, Class A1, 0.544s, 2035 955,706 611,652
Bear Stearns Commercial Mortgage Securities, Inc.    
FRB Ser. 00-WF2, Class F, 8.176s, 2032 456,000 281,345
Ser. 05-PWR9, Class X1, IO, 0.198s, 2042 40,016,944 289,323
Ser. 04-PR3I, Class X1, IO, 0.181s, 2041 11,733,185 163,091
Bear Stearns Commercial Mortgage Securities, Inc. 144A    
Ser. 06-PW14, Class X1, IO, 0.11s, 2038 19,261,673 269,663
Ser. 07-PW15, Class X1, IO, 0.089s, 2044 (F) 63,804,521 641,434
Ser. 05-PW10, Class X1, IO, 0.057s, 2040 62,223,671 100,180
Bear Stearns Small Balance Commercial Trust 144A Ser.    
06-1A, Class AIO, IO, 1s, 2034 3,722,800 24,198
Chase Commercial Mortgage Securities Corp. Ser. 00-3,    
Class A2, 7.319s, 2032 472,964 487,533
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A    
Ser. 07-CD4, Class XW, IO, 0 3/8s, 2049 26,573,994 316,231
Ser. 07-CD4, Class XC, IO, 0.087s, 2049 88,866,460 391,012
Ser. 06-CD2, Class X, IO, 0.086s, 2046 75,564,134 237,181
Commercial Mortgage Pass-Through Certificates 144A    
Ser. 06-CN2A, Class H, 5.57s, 2019 939,000 347,430
Ser. 06-CN2A, Class J, 5.57s, 2019 751,000 225,300
FRB Ser. 01-J2A, Class A2F, 0.745s, 2034 1,590,000 1,362,628
Ser. 03-LB1A, Class X1, IO, 0.494s, 2038 8,090,033 302,171
Ser. 05-LP5, Class XC, IO, 0.139s, 2043 57,869,612 438,504
Ser. 06-C8, Class XS, IO, 0.085s, 2046 56,842,282 507,238
Ser. 05-C6, Class XC, IO, 0.064s, 2044 66,145,542 309,650
Countrywide Home Loans 144A    
IFB Ser. 05-R2, Class 2A3, 8s, 2035 776,740 735,961
IFB Ser. 05-R1, Class 1AS, IO, 5.642s, 2035 5,765,614 594,435
IFB Ser. 05-R2, Class 1AS, IO, 5.301s, 2035 5,537,288 550,406
Credit Suisse Mortgage Capital Certificates Ser.    
06-C5, Class AX, IO, 0.118s, 2039 36,434,945 521,493
Credit Suisse Mortgage Capital Certificates 144A    
Ser. 07-C2, Class AX, IO, 0.113s, 2049 121,579,953 820,908
Ser. 07-C1, Class AX, IO, 0.086s, 2040 80,157,077 637,249
CRESI Finance Limited Partnership 144A    
FRB Ser. 06-A, Class D, 1.044s, 2017 232,000 104,400
FRB Ser. 06-A, Class C, 0.844s, 2017 688,000 378,400
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,    
Class B, 7s, 2033 1,093,693 1,028,071
CS First Boston Mortgage Securities Corp. 144A    
FRB Ser. 05-TFLA, Class J, 1.195s, 2020 (F) 259,000 176,119
FRB Ser. 04-TF2A, Class J, 1.195s, 2016 (F) 313,000 234,739
FRB Ser. 05-TF2A, Class J, 1.145s, 2020 229,339 194,938
FRB Ser. 04-TF2A, Class H, 0.945s, 2019 (F) 627,000 532,929
DLJ Commercial Mortgage Corp. Ser. 00-CF1, Class A1B,    
7.62s, 2033 1,238,508 1,261,068
Fannie Mae    
IFB Ser. 04-12, Class WS, IO, 6.906s, 2033 90,041 10,967
IFB Ser. 05-65, Class KI, IO, 6.756s, 2035 10,655,501 1,489,118
IFB Ser. 05-12, Class SC, IO, 6.506s, 2035 1,819,697 223,950
IFB Ser. 05-82, Class SY, IO, 6.486s, 2035 4,988,296 626,031
IFB Ser. 05-45, Class SR, IO, 6.476s, 2035 6,833,812 914,678
IFB Ser. 05-54, Class SA, IO, 6.456s, 2035 4,772,862 647,243
Ser. 06-W3, Class 1AS, IO, 5.744s, 2046 9,916,139 1,022,354
Ser. 03-W12, Class 2, IO, 2.217s, 2043 5,910,709 395,032
Ser. 03-W10, Class 3, IO, 1.9s, 2043 4,544,078 282,157
Ser. 03-W10, Class 1, IO, 1.856s, 2043 18,364,388 1,157,059
Ser. 03-W8, Class 12, IO, 1.637s, 2042 19,024,785 1,067,930
Ser. 03-W17, Class 12, IO, 1.142s, 2033 5,912,952 218,659
Ser. 03-T2, Class 2, IO, 0.809s, 2042 27,373,094 738,433
Ser. 03-W3, Class 2IO1, IO, 0.675s, 2042 2,512,031 55,771
Ser. 03-W6, Class 51, IO, 0.67s, 2042 7,830,422 179,651
Ser. 01-T12, Class IO, 0.565s, 2041 16,307,371 345,477
Ser. 03-W2, Class 1, IO, 0.466s, 2042 14,309,190 205,254
Ser. 02-T4, IO, 0.449s, 2041 5,804,860 44,905
Ser. 03-W3, Class 1, IO, 0.443s, 2042 19,116,662 271,694
Ser. 02-T1, Class IO, IO, 0.423s, 2031 15,580,296 212,665
Ser. 03-W6, Class 3, IO, 0.368s, 2042 10,858,301 132,239
Ser. 03-W6, Class 23, IO, 0.352s, 2042 11,592,140 135,565
Ser. 01-79, Class BI, IO, 0.324s, 2045 2,786,982 37,025
Ser. 03-W4, Class 3A, IO, 0.22s, 2042 10,577,439 146,704
Federal Home Loan Mortgage Corp. Structured    
Pass-Through Securities    
Ser. T-56, Class A, IO, 0.524s, 2043 6,810,033 86,579
Ser. T-56, Class 1, IO, 0.244s, 2043 10,539,465 62,987
Ser. T-56, Class 3, IO, 0.119s, 2043 7,986,148 56,742
Ser. T-56, Class 2, IO, 0.051s, 2043 9,732,842 50
First Union National Bank-Bank of America Commercial    
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.68s, 2033 27,644,454 387,022
First Union-Lehman Brothers Commercial Mortgage Trust    
II Ser. 97-C2, Class G, 7 1/2s, 2029 832,000 723,840
Freddie Mac    
IFB Ser. 2922, Class SE, IO, 6.505s, 2035 3,723,521 488,348
IFB Ser. 3118, Class SD, IO, 6.455s, 2036 6,288,694 772,846
IFB Ser. 3033, Class SG, IO, 6.405s, 2035 70,757 8,311
IFB Ser. 3114, Class TS, IO, 6.405s, 2030 9,816,516 1,277,222
IFB Ser. 3510, Class IB, IO, 6.355s, 2036 3,044,907 500,902
IFB Ser. 3510, Class IA, IO, 6.255s, 2037 5,588,730 673,443
IFB Ser. 3510, Class DI, IO, 6.235s, 2035 4,949,629 647,414
GE Capital Commercial Mortgage Corp. 144A    
Ser. 07-C1, Class XC, IO, 0.088s, 2019 182,902,885 932,805
Ser. 05-C3, Class XC, IO, 0.082s, 2045 227,593,940 786,628
GMAC Commercial Mortgage Securities, Inc. Ser. 05-C1,    
Class X1, IO, 0.216s, 2043 76,416,087 733,423
GMAC Commercial Mortgage Securities, Inc. 144A    
Ser. 99-C3, Class G, 6.974s, 2036 1,371,379 1,055,962
Ser. 06-C1, Class XC, IO, 0.07s, 2045 126,026,564 591,354
Government National Mortgage Association    
IFB Ser. 06-34, Class SA, 38.07s, 2036 210,489 307,218


IFB Ser. 04-59, Class SH, IO, 7.005s, 2034 70,950 9,795
IFB Ser. 06-16, Class GS, IO, 6.745s, 2036 617,478 71,758
IFB Ser. 04-5, Class PS, IO, 6.705s, 2033 395,000 66,731
IFB Ser. 07-35, Class NY, IO, 6.655s, 2035 108,743 9,496
IFB Ser. 07-35, Class TY, IO, 6.655s, 2035 2,923,371 197,666
IFB Ser. 07-26, Class SL, IO, 6.555s, 2037 177,955 25,096
IFB Ser. 07-58, Class PS, IO, 6.455s, 2037 4,123,298 402,764
IFB Ser. 04-17, Class QN, IO, 6.455s, 2034 93,275 10,637
IFB Ser. 07-59, Class SP, IO, 6.425s, 2037 3,814,324 340,612
IFB Ser. 07-68, Class PI, IO, 6.405s, 2037 3,264,126 293,094
IFB Ser. 06-29, Class SN, IO, 6.405s, 2036 593,217 61,744
IFB Ser. 07-9, Class AI, IO, 6.255s, 2037 3,073,121 338,996
IFB Ser. 08-34, Class SH, IO, 6.255s, 2037 86,508 7,480
IFB Ser. 06-28, Class GI, IO, 6.255s, 2035 3,041,053 211,820
IFB Ser. 05-92, Class S, IO, 6.155s, 2032 223,362 19,355
IFB Ser. 05-65, Class SI, IO, 6.105s, 2035 3,092,975 334,016
IFB Ser. 07-17, Class IC, IO, 6.005s, 2037 4,293,649 530,266
IFB Ser. 07-21, Class S, IO, 5.955s, 2037 4,031,742 390,724
IFB Ser. 07-62, Class S, IO, 5.905s, 2037 79,609 7,764
IFB Ser. 06-16, Class SJ, IO, 5.855s, 2036 1,470,515 138,251
IFB Ser. 04-87, Class SD, IO, 5.855s, 2034 1,373,559 159,689
Ser. 07-73, Class MO, PO, zero %, 2037 370,142 310,936
FRB Ser. 07-73, Class KI, IO, zero %, 2037 3,701,415 66,829
FRB Ser. 98-2, Class EA, PO, zero %, 2028 77,987 64,813
GS Mortgage Securities Corp. II 144A    
Ser. 98-C1, Class F, 6s, 2030 1,269,631 1,197,262
FRB Ser. 07-EOP, Class J, 1.092s, 2020 428,000 346,018
GSMPS Mortgage Loan Trust    
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035 200,128 180,741
Ser. 05-RP3, Class 1A3, 8s, 2035 630,265 568,814
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035 535,092 477,236
GSMPS Mortgage Loan Trust 144A    
Ser. 05-RP2, Class 1A3, 8s, 2035 764,861 714,906
Ser. 05-RP1, Class 1A3, 8s, 2035 99,955 91,427
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035 849,809 800,414
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,    
2035 (In default) (F)(NON) 242,459 48
JPMorgan Chase Commercial Mortgage Securities Corp.    
Ser. 05-LDP2, Class AM, 4.78s, 2042 1,990,000 1,659,497
Ser. 07-LDPX, Class X, IO, 0.346s, 2049 54,393,167 890,552
JPMorgan Chase Commercial Mortgage Securities Corp.    
144A    
Ser. 05-CB12, Class X1, IO, 0.115s, 2037 53,603,118 449,092
Ser. 06-LDP6, Class X1, IO, 0.064s, 2043 67,605,966 286,169
LB Commercial Conduit Mortgage Trust 144A    
Ser. 99-C1, Class F, 6.41s, 2031 715,303 501,249
Ser. 99-C1, Class G, 6.41s, 2031 765,731 432,236
Ser. 98-C4, Class G, 5.6s, 2035 634,000 605,470
Ser. 98-C4, Class H, 5.6s, 2035 (F) 1,074,000 698,333
Lehman Brothers Floating Rate Commercial Mortgage    
Trust 144A    
FRB Ser. 04-LLFA, Class H, 1.195s, 2017 733,000 520,188
FRB Ser. 05-LLFA, Class J, 1.045s, 2018 423,000 210,698
MASTR Reperforming Loan Trust 144A    
Ser. 05-2, Class 1A3, 7 1/2s, 2035 566,287 533,372
Ser. 05-1, Class 1A4, 7 1/2s, 2034 1,356,647 1,277,791
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1,    
0.864s, 2027 3,915,016 2,774,349
Merrill Lynch Floating Trust 144A FRB Ser. 06-1,    
Class TM, 0.745s, 2022 1,019,621 774,912
Merrill Lynch Mortgage Investors, Inc.    
FRB Ser. 98-C3, Class E, 6.819s, 2030 644,000 501,481
FRB Ser. 05-A9, Class 3A1, 5.256s, 2035 2,914,825 2,370,523
Merrill Lynch Mortgage Trust Ser. 05-MCP1, Class XC,    
IO, 0.212s, 2043 68,870,584 792,012
Merrill Lynch Mortgage Trust 144A Ser. 04-KEY2,    
Class XC, IO, 0.429s, 2039 14,310,243 316,256
Mezz Cap Commercial Mortgage Trust 144A    
Ser. 04-C1, Class X, IO, 8.006s, 2037 2,936,462 633,689
Ser. 04-C2, Class X, IO, 6.004s, 2040 2,389,660 435,396
Ser. 05-C3, Class X, IO, 5.555s, 2044 2,816,912 557,185
Ser. 06-C4, Class X, IO, 5.454s, 2016 8,352,195 1,980,305
Morgan Stanley Capital 144A Ser. 05-RR6, Class X, IO,    
1.521s, 2043 9,297,432 259,398
Morgan Stanley Capital I 144A    
Ser. 04-RR, Class F5, 6s, 2039 1,000,000 80,000
Ser. 04-RR, Class F6, 6s, 2039 1,700,000 119,000
Ser. 05-HQ5, Class X1, IO, 0.143s, 2042 21,262,363 105,461
Mortgage Capital Funding, Inc. FRB Ser. 98-MC2,    
Class E, 7.092s, 2030 1,020,000 734,400
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,    
5.71s, 2035 381,535 345,539
Nomura Asset Acceptance Corp. 144A Ser. 04-R2,    
Class PT, 9.087s, 2034 306,216 288,692
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,    
Class J, 6 5/8s, 2010 456,000 332,133
Salomon Brothers Mortgage Securities VII 144A Ser.    
02-KEY2, Class X1, IO, 1.974s, 2036 21,345,037 723,597
STRIPS 144A    
Ser. 03-1A, Class L, 5s, 2018 757,000 552,610
Ser. 03-1A, Class M, 5s, 2018 513,000 282,150
Ser. 04-1A, Class L, 5s, 2018 337,000 188,720
Structured Adjustable Rate Mortgage Loan Trust 144A    
Ser. 04-NP2, Class A, 0.594s, 2034 467,948 374,358
Structured Asset Securities Corp.    
IFB Ser. 07-4, Class 1A3, IO, 6.006s, 2037 37,650,568 4,047,436
Ser. 07-4, Class 1A4, IO, 1s, 2037 39,880,887 1,186,002
Structured Asset Securities Corp. 144A    
Ser. 07-RF1, Class 1A, IO, 5.455s, 2037 10,521,449 1,012,163


Ser. 06-RF4, Class 1A, IO, 5.319s, 2036 5,728,843 607,325
Wachovia Bank Commercial Mortgage Trust Ser. 06-C29,    
IO, 0 3/8s, 2048 97,602,921 1,734,277
Wachovia Bank Commercial Mortgage Trust 144A    
FRB Ser. 05-WL5A, Class L, 3.545s, 2018 771,000 231,300
Ser. 06-C27, Class XC, IO, 0.122s, 2045 45,272,662 327,351
Ser. 06-C23, Class XC, IO, 0.058s, 2045 89,277,275 392,803
Ser. 06-C26, Class XC, IO, 0.041s, 2045 34,101,271 86,538
WAMU Commercial Mortgage Securities Trust 144A    
Ser. 05-C1A, Class G, 5.72s, 2036 222,000 62,005
Ser. 06-SL1, Class X, IO, 0.934s, 2043 7,340,609 259,197
Ser. 07-SL2, Class X, IO, 0.85s, 2049 14,569,340 431,544
Washington Mutual Multi-Fam., Mtge. 144A Ser. 01-1,    
Class B5, 7.177s, 2031 1,305,000 861,300
Total mortgage-backed securities (cost $64,936,127)   $83,846,467
 
 
ASSET-BACKED SECURITIES (2.4%)(a)    
  Principal amount Value
Accredited Mortgage Loan Trust    
FRB Ser. 05-1, Class M2, 0.934s, 2035 $161,723 $66,060
FRB Ser. 05-4, Class A2C, 0.454s, 2035 218,164 204,188
Aegis Asset Backed Securities Trust 144A Ser. 04-6N,    
Class Note, 4 3/4s, 2035 (In default) (F)(NON) 59,595 6
AFC Home Equity Loan Trust Ser. 99-2, Class 1A,    
0.654s, 2029 1,832,196 804,596
Ameriquest Mortgage Securities, Inc.    
FRB Ser. 06-R1, Class M10, 2.744s, 2036 170,804 307
FRB Ser. 03-8, Class M2, 1.994s, 2033 436,439 109,996
Arcap REIT, Inc. 144A    
Ser. 03-1A, Class E, 7.11s, 2038 1,283,000 230,940
Ser. 04-1A, Class E, 6.42s, 2039 1,112,000 200,160
Argent Securities, Inc. FRB Ser. 03-W3, Class M3,    
2.514s, 2033 53,237 14,762
Asset Backed Funding Certificates    
FRB Ser. 04-OPT2, Class M2, 1.244s, 2033 329,696 230,851
FRB Ser. 05-WMC1, Class M1, 0.684s, 2035 564,000 423,000
Asset Backed Securities Corp. Home Equity Loan Trust    
FRB Ser. 06-HE7, Class A4, 0.384s, 2036 529,000 165,499
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014 420,000 420,709
Bayview Financial Acquisition Trust    
Ser. 04-B, Class A1, 1.246s, 2039 3,394,362 1,357,745
FRB Ser. 04-D, Class A, 0.829s, 2044 791,414 684,641
Bayview Financial Acquisition Trust 144A FRN Ser.    
04-B, Class M2, 4.044s, 2039 162,064 81,259
Bayview Financial Asset Trust 144A    
FRB Ser. 03-SSRA, Class M, 1.594s, 2038 495,930 297,552
FRB Ser. 03-SSRA, Class A, 0.944s, 2038 407,449 293,364
FRB Ser. 04-SSRA, Class A1, 0.844s, 2039 613,703 448,003
Bear Stearns Asset Backed Securities, Inc.    
FRB Ser. 05-HE1, Class M3, 1.174s, 2035 489,000 97,448
FRB Ser. 03-1, Class A1, 0.744s, 2042 320,876 233,052
Capital Auto Receivables Asset Trust 144A    
Ser. 06-1, Class D, 7.16s, 2013 500,000 500,465
Ser. 05-1, Class D, 6 1/2s, 2011 1,442,000 1,445,735
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-OPT1,    
Class M1, 0.664s, 2035 324,987 242,319
Conseco Finance Securitizations Corp.    
Ser. 02-2, Class A, IO, 8 1/2s, 2033 4,628,326 254,558
Ser. 02-1, Class A, 6.681s, 2033 3,552,428 3,402,583
Countrywide Asset Backed Certificates    
FRB Ser. 05-BC3, Class M1, 0.764s, 2035 332,000 235,464
FRB Ser. 05-14, Class 3A2, 0.484s, 2036 140,261 116,557
Credit-Based Asset Servicing and Securitization 144A    
Ser. 06-MH1, Class B1, 6 1/4s, 2036 359,000 265,514
Ser. 06-MH1, Class M1, 6 1/4s, 2036 (F) 485,000 485,100
Ser. 06-MH1, Class M2, 6 1/4s, 2036 214,000 185,538
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038 1,617,000 452,760
CS First Boston Mortgage Securities Corp. 144A Ser.    
04-FR1N, Class A, 5s, 2034 (In default) (F)(NON) 152,004 --
Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,    
0.914s, 2035 160,810 15,346
Fieldstone Mortgage Investment Corp. FRB Ser. 05-1,    
Class M3, 1.054s, 2035 468,256 434,218
First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s,    
2023 194,241 175,347
Fort Point CDO, Ltd. FRB Ser. 03-2A, Class A2, 1.398s,    
2038 616,000 12,320
Foxe Basin, Ltd. 144A FRB Ser. 03-1A, Class A1,    
0.799s, 2015 1,373,023 1,227,208
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 2.244s,    
2037 308,000 36,960
GE Corporate Aircraft Financing, LLC 144A    
FRB Ser. 05-1A, Class C, 1.544s, 2019 1,680,000 1,008,000
Ser. 04-1A, Class B, 1.094s, 2018 37,420 31,433
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,    
8.22s, 2012 1,962,000 1,963,766
GEBL 144A    
Ser. 04-2, Class D, 2.995s, 2032 506,899 22,810
Ser. 04-2, Class C, 1.095s, 2032 189,933 20,893
Green Tree Financial Corp. Ser. 95-8, Class B1, 7.3s,    
2026 362,579 285,030
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011 8,405 8,323
Guggenheim Structured Real Estate Funding, Ltd. 144A    
FRB Ser. 05-2A, Class D, 1.794s, 2030 1,148,142 114,814
FRB Ser. 05-1A, Class D, 1.774s, 2030 502,743 60,329
High Income Trust Securities 144A FRB Ser. 03-1A,    
Class A, 0.964s, 2036 1,284,978 706,738


JPMorgan Mortgage Acquisition Corp.    
FRB Ser. 05-OPT2, Class M11, 2.494s, 2035 153,921 1,385
FRB Ser. 06-FRE1, Class A4, 0.534s, 2035 716,000 372,825
Lehman Manufactured Housing Ser. 98-1, Class 1, IO,    
0.807s, 2028 10,646,960 155,435
LNR CDO, Ltd. 144A    
FRB Ser. 03-1A, Class EFL, 3.244s, 2036 2,585,000 180,950
FRB Ser. 02-1A, Class FFL, 2.994s, 2037 5,220,000 783,000
Local Insight Media Finance, LLC Ser. 07-1W, Class A1,    
5.53s, 2012 (F) 4,942,257 2,372,283
Long Beach Mortgage Loan Trust FRB Ser. 05-2,    
Class M4, 0.864s, 2035 558,000 243,114
Madison Avenue Manufactured Housing Contract    
FRB Ser. 02-A, Class B1, 3.494s, 2032 4,059,503 3,342,014
FRB Ser. 02-A, Class M2, 2.494s, 2032 278,000 220,244
Ser. 02-A IO, 0.3s, 2032 105,814,483 1,372,202
Marriott Vacation Club Owner Trust 144A    
Ser. 05-2, Class D, 6.205s, 2027 72,134 37,112
Ser. 04-2A, Class D, 5.389s, 2026 58,163 29,433
Ser. 04-2A, Class C, 4.741s, 2026 53,510 32,464
FRB Ser. 02-1A, Class A1, 0.945s, 2024 390,304 352,503
MASTR Asset Backed Securities Trust FRB Ser. 06-FRE2,    
Class A4, 0.394s, 2036 424,000 185,931
Mid-State Trust    
Ser. 11, Class B, 8.221s, 2038 310,821 288,347
Ser. 10, Class B, 7.54s, 2036 553,309 497,595
Morgan Stanley ABS Capital I    
FRB Ser. 05-HE2, Class M5, 0.924s, 2035 305,395 184,459
FRB Ser. 05-HE1, Class M3, 0.764s, 2034 349,000 243,630
FRB Ser. 06-NC4, Class M2, 0.544s, 2036 489,000 1,644
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 04-2A,    
Class C1, 2.244s, 2039 544,000 108,800
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1,    
0.93s, 2015 208,740 194,963
Navistar Financial Corp. Owner Trust Ser. 05-A,    
Class C, 4.84s, 2014 91,125 86,834
New Century Home Equity Loan Trust FRB Ser. 03-4,    
Class M3, 3.319s, 2033 26,611 11,665
Oakwood Mortgage Investors, Inc. Ser. 02-C, Class A1,    
5.41s, 2032 3,103,589 2,281,138
Oakwood Mortgage Investors, Inc. 144A    
Ser. 01-B, Class A4, 7.21s, 2030 430,046 382,354
Ser. 01-B, Class A3, 6.535s, 2023 124,494 106,250
Park Place Securities, Inc. FRB Ser. 05-WCH1,    
Class M4, 1.074s, 2036 227,000 48,328
Residential Asset Securities Corp. FRB Ser. 05-EMX1,    
Class M2, 0.974s, 2035 694,301 471,763
SAIL Net Interest Margin Notes 144A Ser. 04-4A,    
Class B, 7 1/2s, 2034 (In default) (F)(NON) 214,965 2
Securitized Asset Backed Receivables, LLC FRB Ser.    
05-HE1, Class M2, 0.894s, 2035 349,000 1,649
South Coast Funding 144A FRB Ser. 3A, Class A2,    
1.664s, 2038 470,000 4,700
Structured Asset Securities Corp. 144A Ser. 98-RF3,    
Class A, IO, 6.1s, 2028 2,105,394 236,857
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,    
2038 1,698,000 101,880
Wells Fargo Home Equity Trust FRB Ser. 07-1, Class A3,    
0.564s, 2037 359,000 116,628
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,    
Class B3, 1.182s, 2044 (United Kingdom) 591,276 70,953
Total asset-backed securities (cost $61,262,741)   $35,195,600
 
 
INVESTMENT COMPANIES (1.7%)(a)    
  Shares Value
Financial Select Sector SPDR Fund 900,400 $12,623,608
Utilities Select Sector SPDR Fund 410,800 11,662,612
Total investment companies (cost $20,439,061)   $24,286,220
 
 
CONVERTIBLE PREFERRED STOCKS (0.2%)(a)    
  Shares Value
Freeport-McMoRan Copper & Gold, Inc. $6.75 cv. pfd. 27,978 $2,986,652
Total convertible preferred stocks (cost $2,146,882)   $2,986,652
 
 
MUNICIPAL BONDS AND NOTES (0.2%)(a)    
  Principal amount Value
CA State G.O. Bonds (Build America Bonds), 7 1/2s,    
4/1/34 $215,000 $221,841
MI Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A,    
7.309s, 6/1/34 1,035,000 788,153
North TX, Thruway Auth. Rev. Bonds (Build America    
Bonds), 6.718s, 1/1/49 350,000 381,672
Tobacco Settlement Fin. Auth. of WVA Rev. Bonds,    
Ser. A, 7.467s, 6/1/47 1,405,000 1,067,617
Total municipal bonds and notes (cost $2,982,695)   $2,459,283
 
 
SENIOR LOANS (0.1%)(a)(c)    
  Principal amount Value
Level 3 Communications, Inc. bank term loan FRN 2.53s,    
2014 $624,000 $541,807
MetroPCS Wireless, Inc. bank term loan FRN 2.661s, 2013 245,177 229,892
Sun Healthcare Group, Inc. bank term loan FRN 0.183s,    
2014 104,035 97,728


Sun Healthcare Group, Inc. bank term loan FRN Ser. B,    
2.522s, 2014 356,071 334,484
TW Telecom, Inc. bank term loan FRN Ser. B, 2.013s,    
2013 306,485 293,460
Total senior loans (cost $1,501,624)   $1,497,371
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (5.1%)(a)    
  Principal amount Value
 
U.S. Government Agency Mortgage Obligations (5.1%)    
Federal Home Loan Mortgage Corporation Pass-Through    
Certificates 6s, March 1, 2035 $17,999 $19,327
Federal National Mortgage Association Pass-Through    
Certificates    
6s, TBA, November 1, 2039 13,000,000 13,810,469
5 1/2s, with due dates from July 1, 2033 to    
November 1, 2038 17,802,400 18,795,975
5s, with due dates from August 1, 2033 to    
January 1, 2039 11,374,686 11,821,199
5s, TBA, November 1, 2039 29,000,000 30,062,577
    74,509,547
Total U.S. government and agency mortgage obligations (cost $73,898,608)   $74,509,547
 
U.S. GOVERNMENT AGENCY OBLIGATIONS (6.0%)(a)    
  Principal amount Value
Fannie Mae    
7 1/4s, May 15, 2030 $14,280,000 $19,059,680
2 3/4s, March 13, 2014 37,490,000 38,103,145
Freddie Mac 3 3/4s, March 27, 2019 5,200,000 5,203,250
General Electric Capital Corp. FDIC guaranteed notes    
1 5/8s, 2011 6,750,000 6,822,988
Goldman Sachs Group, Inc (The) FDIC guaranteed notes    
1 5/8s, 2011 6,750,000 6,832,296
JPMorgan Chase & Co. FDIC guaranteed 2 5/8s, 2010 6,750,000 6,887,525
Morgan Stanley FDIC guaranteed notes 2s, 2011 2,500,000 2,548,925
Wells Fargo & Co. FDIC guaranteed notes 3s, 2011 1,100,000 1,141,978
Wells Fargo & Co. FDIC guaranteed notes 2 1/8s, 2012 1,400,000 1,425,308
Total U.S. government agency obligations (cost $87,035,829)   $88,025,095
 
U.S. TREASURY OBLIGATIONS (6.8%)(a)    
  Principal amount Value
U.S. Treasury Bonds 7 5/8s, February 15, 2025 $6,740,000 $9,471,806
U.S. Treasury Notes    
5s, February 15, 2011 22,220,000 23,500,254
2 3/4s, October 31, 2013 11,420,000 11,792,042
1 3/4s, January 31, 2014 22,600,000 22,358,110
1 1/8s, June 30, 2011 31,640,000 31,873,592
Total U.S. treasury obligations (cost $98,482,422)   $98,995,804
 
SHORT-TERM INVESTMENTS (16.1%)(a)    
  Principal amount/shares Value
Putnam Money Market Liquidity Fund (e) 143,216,074 $143,216,074
U.S. Treasury Bills for an effective yield of 0.70%,    
December 17, 2009 $64,150,000 64,092,867
U.S. Treasury Bills with effective yields ranging from    
0.33% to 0.66%, November 19, 2009 27,520,000 27,513,022
Total short-term investments (cost $234,821,963)   $234,821,963
 
 
TOTAL INVESTMENTS    
Total investments (cost $1,536,272,378) (b)   $1,612,292,641


Key to holding's abbreviations

ADR American Depository Receipts
EMTN Euro Medium Term Notes
FDIC Guaranteed Federal Deposit Insurance Corp. Guaranteed
FRB Floating Rate Bonds
FRN Floating Rate Notes
G.O. Bonds General Obligation Bonds
IFB Inverse Floating Rate Bonds
IO Interest Only
MTN Medium Term Notes
MTNA Medium Term Notes Class A
PO Principal Only
TBA To Be Announced Commitments
 
 
 
NOTES

(a) Percentages indicated are based on net assets of $1,455,268,381.

(b) The aggregate identified cost on a tax basis is $1,566,189,925, resulting in gross unrealized appreciation and depreciation of $151,138,442 and $105,035,726, respectively, or net unrealized appreciation of $46,102,716.

(NON) Non-income-producing security.

(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, 2009. 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. W hen 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.

(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $97,496 for the period ended October 31, 2009. During the period ended October 31, 2009, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $116,864,532 and $166,353,823, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures ("ASC 820") disclosures based on the securities valuation inputs.

(R) Real Estate Investment Trust.

At October 31, 2009, liquid assets totaling $43,785,000 have been designated as collateral for open forward commitments.

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 represents ownership of foreign securities on deposit with a custodian bank.

The rates shown on FRB and FRN are the current interest rates at October 31, 2009.

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

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, 2009.

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 on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (“Putnam Management”), the fund’s manager, an indirect wholly-owned subsidiary of Putnam


Investments, LLC. [cont.]

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 (which considers such factors as security prices, yields, maturities and ratings) . 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 wi ll be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale 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, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. 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 in a current sale and d oes 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.

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

On September 15, 2008, the fund terminated its outstanding derivatives contracts with Lehman Brothers Special Financing, Inc. (“LBSF”) in connection with the bankruptcy filing of LBSF’s parent company, Lehman Brothers Holdings, Inc. On September 26, 2008, the fund entered into receivable purchase agreements (“Agreements”) with other registered investment companies (each a “Seller”) managed by Putnam Management. Under the Agreements, the Seller sold to the fund the right to receive, in the aggregate, $4,129,699 in net payments from LBSF in connection with certain terminated derivatives transactions (the “Receivable”), in each case in exchange for an initial payment plus (or minus) additional amounts based on the fund’s ultimate realized gain (or loss) with respect to the Receivable. The Receivable will be offset against the fund’s net payable to LBSF of $112,241,035. Future payments under the Agreem ents are valued at fair value following procedures approved by the Trustees. All remaining payments under the Agreements will be recorded as realized gain or loss. The fund’s net payable to LBSF was calculated in accordance with the fund’s master contract with LBSF. The fund has accrued interest on the net payable. Putnam Management currently is in discussions with LBSF regarding resolution of amounts payable to LBSF. Amounts recorded are estimates and final payments may differ from these estimates by a material amount.


In September 2006, Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures ("ASC 820") was issued. ASC 820 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 ASC 820 does not have a material effect on the fund’s net asset value, it does require additional disclosures about fair value measurements. ASC 820 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, 2009:

    Valuation inputs  
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $-- $32,823,317 $2,372,283
Common stocks:      
Basic materials  26,458,430 -- --
Capital goods  45,753,307 -- --
Communication services  51,709,817 -- --
Conglomerates  17,787,208 -- --
Consumer cyclicals  54,727,452 -- --
Consumer staples  81,272,628 -- --
Energy  134,439,294 -- --
Financials  167,878,691 -- --
Health care  98,624,162 -- --
Technology  65,071,752 -- --
Transportation  6,087,244 -- --
Utilities and power  46,594,299 -- --
Total common stocks 796,404,284 -- --
Convertible preferred stocks -- 2,986,652 --
Corporate bonds and notes -- 169,264,355 --
Investment Companies 24,286,220 -- --
Mortgage-backed securities -- 83,205,033 641,434
Municipal bonds and notes -- 2,459,283 --
Senior loans -- 1,497,371 --
Short-term investments 143,216,074 91,605,889  
 
 
 
U.S. Government Agency Obligations -- 88,025,095 --
U.S. Government and Agency Mortgage Obligations -- 74,509,547 --
U.S. Treasury Obligations -- 98,995,804 --
Totals by level $963,906,578 $645,372,346 $3,013,717
 
 
 
 
  Level 1 Level 2 Level 3
Other financial instruments: $-- $-- $(949,269)

Other financial instruments include receivable purchase agreements.

The following is a reconciliation of Level 3 assets as of October 31, 2009:

Investments in securities:       Change in net   Net  
  Balance as of Accrued   unrealized Net transfers in Balance as of
  July discounts/ Realized appreciation/ purchases/ and/or out October
  31, 2009 premiums gain/(loss) (depreciation) † sales of Level 3 31, 2009
Asset-backed securities $2,149,882 $-- $721 $253,942 $(32,262) $-- $2,372,283
Mortgage-backed securities $755,631 -- -- -- -- (114,197) $641,434
Totals: $2,905,513 $-- $721 $253,942 $(32,262) $(114,197) $3,013,717
 
 
 
† Includes $222,401 related to Level 3 securities still held at period end.  
 
 
 
        Change in net   Net  
  Balance as of Accrued   unrealized Net transfers in Balance as of
  July discounts/ Realized appreciation/ purchases/ and/or out October
  31, 2009 †† premiums gain/(loss) (depreciation) † sales of Level 3 31, 2009 ††
Other financial instruments: $(1,064,282) $-- $-- $115,013 $-- $-- $(949,269)

† Includes $115,013 related to Level 3 securities still held at period end.

†† Includes amount payable under receivable purchase agreement.

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


Item 2. Controls and Procedures:

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

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

Item 3. Exhibits:

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

SIGNATURES

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

The George Putnam Fund of Boston

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: December 30, 2009

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 30, 2009

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: December 30, 2009

 EX-99.CERT 2 b_georgefundcert.htm EX-99.CERT b_georgefundcert.htm

Certifications

I, Charles E. Porter, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

/s/ Charles E. Porter
_____________________________
Date: December 29, 2009
Charles E. Porter
Principal Executive Officer


Certifications

I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

/s/ Steven D. Krichmar
_______________________________
Date: December 29, 2009
Steven D. Krichmar
Principal Financial Officer


Attachment A 
NQ 
Period (s) ended October 31, 2009 

Putnam AMT- Free Municipal Fund
Putnam Tax-Free High Yield Fund
The George Putnam Fund of Boston
Putnam Voyager Fund
Putnam Research Fund
Putnam Vista Fund
Putnam Premier Income Trust
Putnam Investors Fund
Putnam Growth Opportunities Fund

Putnam RetirementReady 2050 Fund
Putnam RetirementReady 2045 Fund
Putnam RetirementReady 2040 Fund
Putnam RetirementReady 2035 Fund
Putnam RetirementReady 2030 Fund
Putnam RetirementReady 2025 Fund
Putnam RetirementReady 2020 Fund
Putnam RetirementReady 2015 Fund
Putnam RetirementReady 2010 Fund
Putnam RetirementReady Maturity Fund

 -----END PRIVACY-ENHANCED MESSAGE-----