N-Q/A 1 pvt1.htm PUTNAM VARIABLE TRUST PVT_NQ-A.htm
Item 1. Schedule of Investments:       
 
 
 
Putnam VT American Government       
 
Income Fund       
 
The fund's portfolio       
 
9/30/05 (Unaudited)       
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (57.5%)(a)       
 
    Principal amount  Value 
 
 
U.S. Government Guaranteed Mortgage Obligations (2.6%)       
Government National Mortgage Association Adjustable Rate Mortgages 4 1/2s,       
August 20, 2034    $4,222,033  $4,201,957 
Government National Mortgage Association Pass-Through Certificates       
7 1/2s, with due dates from June 15, 2030 to March 15, 2032    79,955  85,330 
7s, September 15, 2031    59,817  63,839 
6 1/2s, with due dates from April 15, 2028 to October 15, 2032    403,212  420,537 
6s, April 15, 2028    200,975  207,350 
      4,979,013 
 
U.S. Government Agency Mortgage Obligations (54.9%)       
Federal Home Loan Mortgage Corporation Pass-Through Certificates       
7 1/2s, with due dates from January 1, 2030 to July 1, 2031    505,899  536,882 
7 1/2s, with due dates from October 1, 2014 to October 1, 2015    82,115  86,342 
7s, with due dates from November 1, 2026 to July 1, 2032    3,386,811  3,545,042 
6 1/2s, with due dates from May 1, 2031 to October 1, 2034    8,396,601  8,643,165 
5 1/2s, December 1, 2033    739,713  740,580 
5 1/2s, October 1, 2018    626,655  636,643 
5s, with due dates from May 1, 2018 to November 1, 2018    7,092,615  7,087,351 
Federal National Mortgage Association Pass-Through Certificates       
7 1/2s, with due dates from August 1, 2029 to June 1, 2032    807,580  856,280 
7s, September 1, 2031    1,295,531  1,357,170 
7s, TBA, October 1, 2035    5,900,000  6,175,641 
6 1/2s, with due dates from August 1, 2032 to December 1, 2034    9,427,780  9,707,187 
5 1/2s, with due dates from November 1, 2016 to March 1, 2020    2,672,402  2,714,655 
5 1/2s, TBA, October 1, 2035    56,746,000  56,728,267 
5s, with due dates from April 1, 2019 to May 1, 2020    153,209  152,948 
4 1/2s, with due dates from January 1, 2020 to June 1, 2020    7,091,057  6,945,139 
4s, with due dates from May 1, 2019 to September 1, 2020    541,818  521,174 
      106,434,466 
Total U.S. government and agency mortgage obligations (cost      $111,413,479 
$112,384,233)       
 
U.S. GOVERNMENT AGENCY OBLIGATIONS (6.3%)(a)       
 
    Principal amount  Value 
 
Fannie Mae 4 1/4s, August 15, 2010    $1,700,000  $1,684,020 
Federal Farm Credit Bank 5 3/4s, January 18, 2011    10,000,000  10,512,296 
 
Total U.S. government agency obligations (cost $11,556,846)      $12,196,316 
 
U.S. TREASURY OBLIGATIONS (12.6%)(a)       
 
    Principal amount  Value 
 
U.S. Treasury Bonds       
8s, November 15, 2021    $4,260,000  $5,899,435 
6 1/4s, May 15, 2030    11,505,000  14,289,569 
U.S. Treasury Notes 4 1/4s, August 15, 2013    4,307,000  4,291,522 
 
Total U.S. treasury obligations (cost $22,462,743)      $24,480,526 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (25.8%)(a)       
 
    Principal amount  Value 
 
Fannie Mae       
IFB Ser. 03-130, Class SJ, 12.68s, 2034    $90,880  $99,575 
IFB Ser. 05-74, Class CP, 10.707s, 2035    364,521  398,011 
IFB Ser. 05-74, Class DM, 10.34s, 2035    423,160  455,302 
IFB Ser. 05-74, Class CS, 9.488s, 2035    416,029  443,462 
Ser. 03-W6, Class PT1, 9.37s, 2042    519,218  559,018 
Ser. 00-42, Class B2, 8s, 2030    10,887  11,747 
Ser. 00-17, Class PA, 8s, 2030    53,648  57,733 
Ser. 00-18, Class PA, 8s, 2030    50,367  54,189 

Ser. 00-19, Class PA, 8s, 2030  53,326  57,397 
Ser. 00-20, Class PA, 8s, 2030  30,280  32,638 
Ser. 00-21, Class PA, 8s, 2030  88,727  95,575 
Ser. 00-22, Class PA, 8s, 2030  64,242  69,127 
Ser. 97-37, Class PB, 8s, 2027  149,620  162,047 
Ser. 97-13, Class TA, 8s, 2027  21,630  23,423 
Ser. 97-21, Class PA, 8s, 2027  89,249  96,545 
Ser. 97-22, Class PA, 8s, 2027  168,892  182,877 
Ser. 97-16, Class PE, 8s, 2027  58,287  63,098 
Ser. 97-25, Class PB, 8s, 2027  55,522  60,071 
Ser. 95-12, Class PD, 8s, 2025  34,948  37,789 
Ser. 95-5, Class A, 8s, 2025  41,440  44,909 
Ser. 95-5, Class TA, 8s, 2025  10,016  10,885 
Ser. 95-6, Class A, 8s, 2025  28,480  30,854 
Ser. 95-7, Class A, 8s, 2025  35,762  38,781 
Ser. 94-106, Class PA, 8s, 2024  54,587  59,211 
Ser. 94-95, Class A, 8s, 2024  83,189  90,287 
Ser. 05-W3, Class 1A, 7 1/2s, 2045  776,091  826,155 
Ser. 04-W8, Class 3A, 7 1/2s, 2044  1,151,652  1,222,658 
Ser. 04-T3, Class 1A4, 7 1/2s, 2044  287,921  305,438 
Ser. 04-W9, Class 2A3, 7 1/2s, 2044  854,760  906,186 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  136,624  144,907 
Ser. 03-W4, Class 4A, 7 1/2s, 2042  206,786  218,324 
Ser. 02-T18, Class A4, 7 1/2s, 2042  175,270  185,520 
Ser. 03-W3, Class 1A3, 7 1/2s, 2042  1,049,516  1,110,747 
Ser. 02-T16, Class A3, 7 1/2s, 2042  647,432  685,042 
Ser. 03-W2, Class 1A3, 7 1/2s, 2042  994,005  1,052,399 
Ser. 02-W4, Class A5, 7 1/2s, 2042  1,075,987  1,137,594 
Ser. 02-W1, Class 2A, 7 1/2s, 2042  26,451  27,826 
Ser. 02-14, Class A2, 7 1/2s, 2042  94,552  99,914 
Ser. 01-T10, Class A2, 7 1/2s, 2041  645,919  681,293 
Ser. 02-T4, Class A3, 7 1/2s, 2041  193,254  203,841 
Ser. 02-T6, Class A2, 7 1/2s, 2041  419,140  441,716 
Ser. 01-T12, Class A2, 7 1/2s, 2041  266,765  281,495 
Ser. 01-T8, Class A1, 7 1/2s, 2041  166,280  175,129 
Ser. 01-T7, Class A1, 7 1/2s, 2041  431,584  454,027 
Ser. 01-T3, Class A1, 7 1/2s, 2040  1,161  1,223 
Ser. 99-T2, Class A1, 7 1/2s, 2039  99,437  105,237 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032  364,621  385,116 
Ser. 02-T1, Class A3, 7 1/2s, 2031  741,722  783,121 
Ser. 00-T6, Class A1, 7 1/2s, 2030  354,487  372,921 
Ser. 02-W7, Class A5, 7 1/2s, 2029  91,530  96,814 
Ser. 02-W3, Class A5, 7 1/2s, 2028  380,297  401,861 
IFB Ser. 05-66, Class PS, 7.3s, 2035  259,786  250,875 
IFB Ser. 05-57, Class MN, 7.148s, 2035  304,986  308,024 
Ser. 02-26, Class A1, 7s, 2048  456,441  476,750 
Ser. 04-W12, Class 1A3, 7s, 2044  270,754  283,837 
Ser. 04-T3, Class 1A3, 7s, 2044  559,560  586,316 
Ser. 04-T2, Class 1A3, 7s, 2043  180,045  188,662 
Ser. 03-W3, Class 1A2, 7s, 2042  181,505  189,768 
Ser. 02-T16, Class A2, 7s, 2042  1,254,759  1,311,510 
Ser. 02-T19, Class A2, 7s, 2042  908,352  950,059 
Ser. 02-14, Class A1, 7s, 2042  686,570  716,850 
Ser. 01-T10, Class A1, 7s, 2041  355,222  370,399 
Ser. 02-T4, Class A2, 7s, 2041  827,077  862,606 
Ser. 01-W3, Class A, 7s, 2041  159,894  166,675 
Ser. 05-45, Class OX, Interest Only (IO), 7s, 2035  822,616  149,690 
Ser. 04-W1, Class 2A2, 7s, 2033  1,336,455  1,399,950 
Ser. 03-W8, Class 2A, 7s, 2042  1,795,968  1,879,279 
Ser. 318, Class 2, IO, 6s, 2032  99,403  19,887 
Ser. 350, Class 2, IO, 5 1/2s, 2034  3,846,292  818,400 
Ser. 338, Class 2, IO, 5 1/2s, 2033  355,891  76,773 
Ser. 333, Class 2, IO, 5 1/2s, 2033  2,024,477  437,206 
Ser. 329, Class 2, IO, 5 1/2s, 2033  8,470,257  1,798,404 
Ser. 03-45, Class PI, IO, 5 1/2s, 2029  346,359  34,852 
Ser. 343, Class 25, IO, 4 1/2s, 2018  580,657  87,040 
IFB Ser. 03-66, Class SA, IO, 3.82s, 2033  484,288  37,230 
IFB Ser. 04-51, Class S0, IO, 3.22s, 2034  123,414  7,133 
IFB Ser. 05-65, Class KI, IO, 3.17s, 2035  8,445,314  525,214 
IFB Ser. 05-89, Class S, IO, 3.06s, 2035  3,375,000  180,352 
IFB Ser. 05-87, Class SG, IO, 3.03s, 2035  1,127,000  66,563 
IFB Ser. 05-92, Class SC, IO, 2.99s, 2035  1,127,000  72,551 
IFB Ser. 05-83, Class SL, IO, 2.95s, 2035  2,360,000  135,869 
IFB Ser. 05-72, Class WS, IO, 2.92s, 2035  322,990  25,387 
IFB Ser. 05-82, Class SW, IO, 2.9s, 2035  1,890,930  99,569 
IFB Ser. 05-82, Class SY, IO, 2.9s, 2035  2,406,115  126,697 
IFB Ser. 05-45, Class EW, IO, 2.89s, 2035  6,054,865  341,354 
IFB Ser. 05-47, Class SW, IO, 2.89s, 2035  1,256,410  65,569 
IFB Ser. 04-72, Class BS, IO, 2.67s, 2034  323,027  15,247 
IFB Ser. 03-124, Class ST, IO, 2.67s, 2034  355,495  16,886 
IFB Ser. 05-67, Class BS, IO, 2.32s, 2035  601,807  26,141 
IFB Ser. 05-87, Class SE, IO, 2.3s, 2035  4,520,000  189,275 
IFB Ser. 05-74, Class SE, IO, 2.27s, 2035  2,865,978  109,712 
IFB Ser. 05-82, Class SI, IO, 2.27s, 2035  2,011,007  79,183 

IFB Ser. 05-74, Class NI, IO, 2 1/4s, 2035  1,868,612  100,512 
Ser. 03-W10, Class 1A, IO, 1.382s, 2043  13,086,528  216,746 
Ser. 03-W10, Class 3A, IO, 1.365s, 2043  15,794,181  276,398 
Ser. 03-T2, Class 2, IO, 0.905s, 2042  7,905,835  149,930 
Ser. 03-W6, Class 51, IO, 0.683s, 2042  2,346,991  41,571 
Ser. 05-65, Class KO, Principal Only (PO), zero %, 2035  253,341  216,470 
Ser. 354, Class 1, PO, zero %, 2034  121,978  95,378 
Ser. 352, Class 1, PO, zero %, 2034  1,530,742  1,198,319 
Ser. 353, Class 1, PO, zero %, 2034  394,652  296,605 
Ser. 02-82, Class TO, PO, zero %, 2032  286,000  229,515 
FRB Ser. 05-79, Class FE, zero %, 2035  142,410  148,935 
FRB Ser. 05-45, Class FG, zero %, 2035  127,780  134,412 
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities Ser.     
212, IO, 6s, 2031  498,196  92,932 
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities     
Ser. T-59, Class 1A3, 7 1/2s, 2043  1,134,263  1,205,037 
Ser. T-58, Class 4A, 7 1/2s, 2043  1,812,464  1,915,104 
Ser. T-42, Class A5, 7 1/2s, 2042  258,198  272,684 
Ser. T-41, Class 3A, 7 1/2s, 2032  70,170  73,965 
Ser. T-60, Class 1A2, 7s, 2044  348,861  365,201 
Ser. T-59, Class 1A2, 7s, 2043  761,855  798,810 
Ser. T-55, Class 1A2, 7s, 2043  458,887  478,646 
Freddie Mac     
IFB Ser. 3012, Class GP, 7.96s, 2035  204,149  205,986 
IFB Ser. 3031, Class BS, 7 3/4s, 2027  357,000  348,653 
Ser. 2229, Class PD, 7 1/2s, 2030  60,721  64,839 
Ser. 2224, Class PD, 7 1/2s, 2030  62,074  66,284 
Ser. 2217, Class PD, 7 1/2s, 2030  63,314  67,608 
Ser. 2187, Class PH, 7 1/2s, 2029  141,569  151,169 
Ser. 1989, Class C, 7 1/2s, 2027  20,746  22,153 
Ser. 1990, Class D, 7 1/2s, 2027  57,670  61,580 
Ser. 1969, Class PF, 7 1/2s, 2027  49,812  53,190 
Ser. 1975, Class E, 7 1/2s, 2027  13,196  14,091 
Ser. 1943, Class M, 7 1/2s, 2027  30,962  33,062 
Ser. 1932, Class E, 7 1/2s, 2027  43,039  45,958 
Ser. 1938, Class E, 7 1/2s, 2027  18,018  19,240 
Ser. 1941, Class E, 7 1/2s, 2027  14,599  15,589 
Ser. 1924, Class H, 7 1/2s, 2027  47,488  50,708 
Ser. 1928, Class D, 7 1/2s, 2027  18,422  19,671 
Ser. 1915, Class C, 7 1/2s, 2026  41,873  44,712 
Ser. 1923, Class D, 7 1/2s, 2026  49,667  53,035 
Ser. 1904, Class D, 7 1/2s, 2026  54,826  58,544 
Ser. 1905, Class H, 7 1/2s, 2026  47,968  51,221 
Ser. 1890, Class H, 7 1/2s, 2026  45,991  49,110 
Ser. 1895, Class C, 7 1/2s, 2026  24,201  25,842 
Ser. 2256, Class UA, 7s, 2030  18,502  19,505 
Ser. 2208, Class PG, 7s, 2030  161,826  170,600 
Ser. 2211, Class PG, 7s, 2030  91,350  96,303 
Ser. 2198, Class PH, 7s, 2029  133,691  140,940 
Ser. 2054, Class H, 7s, 2028  338,222  356,560 
Ser. 2031, Class PG, 7s, 2028  36,855  38,853 
Ser. 2020, Class E, 7s, 2028  186,746  196,871 
Ser. 1998, Class PL, 7s, 2027  79,342  83,644 
Ser. 1999, Class PG, 7s, 2027  130,320  137,386 
Ser. 2004, Class BA, 7s, 2027  76,521  80,670 
Ser. 2005, Class C, 7s, 2027  60,177  63,439 
Ser. 2005, Class CE, 7s, 2027  67,303  70,952 
Ser. 2006, Class H, 7s, 2027  192,522  202,960 
Ser. 2006, Class T, 7s, 2027  123,092  129,766 
Ser. 1987, Class AP, 7s, 2027  39,940  42,105 
Ser. 1987, Class PT, 7s, 2027  64,031  67,503 
Ser. 1978, Class PG, 7s, 2027  114,840  121,067 
Ser. 1973, Class PJ, 7s, 2027  137,329  144,775 
Ser. 1725, Class D, 7s, 2024  26,354  27,783 
Ser. 2008, Class G, 7s, 2023  9,947  10,487 
Ser. 1750, Class C, 7s, 2023  58,848  62,039 
Ser. 1530, Class I, 7s, 2023  62,866  66,274 
Ser. 224, IO, 6s, 2033  293,886  59,226 
Ser. 226, IO, 5 1/2s, 2034  687,990  150,621 
Ser. 223, IO, 5 1/2s, 2032  370,192  76,117 
Ser. 3045, Class DI, IO, 5s, 2035  7,390,300  385,685 
IFB Ser. 3031, Class BI, IO, 3.1s, 2035  249,000  20,687 
IFB Ser. 3033, Class SF, IO, 3.097s, 2012  385,000  25,506 
IFB Ser. 2981, Class AS, IO, 2.952s, 2035  805,670  42,298 
IFB Ser. 2981, Class BS, IO, 2.952s, 2035  443,908  23,039 
IFB Ser. 2981, Class CS, IO, 2.952s, 2035  544,676  28,595 
IFB Ser. 3012, Class UI, IO, 2.652s, 2035  497,265  26,936 
IFB Ser. 2937, Class SY, IO, 2.332s, 2035  283,990  10,650 
IFB Ser. 3012, Class IG, IO, 2.312s, 2035  1,808,924  91,210 
IFB Ser. 2957, Class SW, IO, 2.232s, 2035  1,674,815  60,189 
Ser. 3045, Class DO, PO, zero %, 2035  565,100  449,608 
FRB Ser. 3046, Class UF, zero %, 2035  147,000  146,213 
FRB Ser. 3024, Class CW, zero %, 2035  92,098  91,727 
FRB Ser. 3022, Class TC, zero %, 2035  92,579  100,984 

FRB Ser. 2958, Class FL, zero %, 2035  186,471  180,397 
FRN Ser. 3030, Class CF, zero %, 2035  134,000  140,533 
Government National Mortgage Association     
IFB Ser. 05-68, Class SP, 8.255s, 2035  1,996,000  1,900,756 
IFB Ser. 05-68, Class DP, 7.34s, 2035  961,000  953,687 
IFB Ser. 05-7, Class NP, 6.16s, 2033  104,401  101,773 
IFB Ser. 05-68, Class SI, IO, 2.66s, 2035  4,167,000  246,964 
IFB Ser. 05-65, Class SI, IO, 2.554s, 2035  1,873,803  93,539 
IFB Ser. 05-51, Class SJ, IO, 2.404s, 2035  1,268,643  66,207 
IFB Ser. 05-68, Class S, IO, 2.404s, 2029  2,514,000  132,049 
IFB Ser. 05-60, Class SJ, IO, 2.052s, 2034  2,008,000  83,458 
GSMPS Mortgage Loan Trust     
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  164,079  177,327 
Ser. 05-RP3, Class 1A3, 8s, 2035  489,015  522,855 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  403,347  425,940 
 
Total collateralized mortgage obligations (cost $51,007,046)    $49,999,472 
 
ASSET-BACKED SECURITIES (2.5%)(a)     
 
  Principal amount  Value 
 
Banc of America Mortgage Securities     
Ser. 04-D, Class 2A, IO, 0.721s, 2034  $1,616,928  $11,116 
Ser. 05-E, Class 2, IO, 0.306s, 2035  3,343,000  26,117 
Master Adjustable Rate Mortgages Trust     
Ser. 04-03, Class 4AX, IO, 1.417s, 2034  414,441  9,843 
Ser. 05-2, Class 7AX, IO, 0.168s, 2035  1,058,341  3,307 
Morgan Stanley Mortgage Loan Trust     
Ser. 05-3AR, Class 2A2, 5.29s, 2035  1,218,589  1,222,349 
Ser. 05-5AR, Class 2A1, 5.475s, 2035  894,980  900,538 
Wells Fargo Mortgage Backed Securities Trust     
Ser. 05-AR9, Class 1A2, 4.354s, 2035  517,657  509,624 
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035  4,729,000  83,496 
Ser. 05-AR12, Class 2A5, 4.322s, 2035  2,092,000  2,043,307 
 
Total asset-backed securities (cost $4,858,853)    $4,809,697 
 
SHORT-TERM INVESTMENTS (29.2%)(a)     
 
  Principal amount  Value 
 
 
Interest in $475,000,000 joint tri-party repurchase agreement dated September     
30, 2005, with Bank of America Securities LLC, due October 3, 2005, with     
respect to various U.S. Government obligations -- maturity value of     
$46,415,003 for an effective yield of 3.88% (collateralized by Freddie Mac and     
Fannie Mae with yields ranging from 3.78% to 6.00% and a due dates ranging     
from July 1, 2025 to September 1, 2035, valued at $484,500,000)  $46,400,000  $46,400,000 
U.S. Treasury Bills zero %, November 3, 2005 (SEG)  117,000  116,670 
U.S. Treasury Bills zero %, November 30, 2005 (SEG)  11,000  10,968 
Federal Home Loan Bank, zero %, October 12, 2005  10,000,000  9,988,167 
 
Total short-term investments (cost $56,515,805)    $56,515,805 
 
TOTAL INVESTMENTS     
 
Total investments (cost $258,785,526) (b)    $259,415,295 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)       
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Euro 90 day (Long)  6  $1,434,225  Dec-05  $(10,553) 
Euro 90 day (Long)  2  477,250  Mar-05  (2,108) 
U.S. Treasury Bond (Long)  75  8,580,469  Dec-05  (137,401) 
U.S. Treasury Note 5 yr (Short)  846  90,403,031  Dec-05  727,112 
U.S. Treasury Note 10 yr (Long)  496  54,521,250  Dec-05  (611,608) 
U.S. Treasury Note 2 yr (Short)  48  9,882,750  Dec-05  34,200 
Total        $(358) 

TBA SALE COMMITMENTS OUTSTANDING at 9/30/05 (proceeds receivable $18,419,184) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FHLMC, 6 1/2s, October 1, 2035  $8,040,000  10/13/05  $8,262,984 
FNMA, 5 1/2s, October 1, 2035  4,200,000  10/13/05  4,198,688 
FNMA, 4 1/2s, October 1, 2020  6,000,000  10/18/05  5,873,906 
Total      $18,335,578 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date  (depreciation) 
Agreement with Bank of America, N.A. dated August 9, 2005 to pay       
semi-annually the notional amount multiplied by 4.892% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  $26,000,000  8/11/15  $(262,742) 
 
Agreement with Bank of America, N.A. dated March 25, 2004 to pay       
semi-annually the notional amount multiplied by 3.075% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  7,000,000  3/30/09  344,119 
 
Agreement with Bank of America, N.A. dated December 2, 2003 to pay       
semi-annually the notional amount multiplied by 2.444% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  4,779,000  12/5/05  (13,046) 
 
Agreement with Bank of America, N.A. dated December 12, 2003 to       
pay semi-annually the notional amount multiplied by 2.1125% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  879,000  12/16/05  (670) 
 
Agreement with Bank of America, N.A. dated August 30, 2005 to pay       
semi-annually the notional amount multiplied by 4.53125% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.  160,000  9/1/15  (3,092) 
 
Agreement with Credit Suisse First Boston International dated July 7,       
2004 to receive semi-annually the notional amount multiplied by       
2.931% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  2,529,200  7/9/06  (32,234) 
 
Agreement with JPMorgan Chase Bank, N.A. dated July 29, 2005 to       
pay semi-annually the notional amount multiplied by 4.6757% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  996,000  8/2/15  (7,956) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
February 2, 2005 to receive semi-annually the notional amount       
multiplied by 4.089% and pay quarterly the notional amount multiplied       
by the three month USD-LIBOR-BBA.  36,700,000  2/4/10  (764,816) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 9, 2003 to receive semi-annually the notional amount       
multiplied by 4.641% and pay quarterly the notional amount multiplied       
by the three month USD-LIBOR-BBA.  19,434,000  12/15/13  108,014 
 
Agreement with Lehman Brothers Special Financing, Inc. dated June       
27, 2005 to pay semi-annually the notional amount multiplied by       
3.9334% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  12,900,000  6/29/07  4,446 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 5, 2003 to receive semi-annually the notional amount       
multiplied by 2.23762% and pay quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  8,109,000  12/9/05  12,772 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 12, 2003 to pay semi-annually the notional amount       
multiplied by 4.579% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  2,731,000  12/16/13  (3,485) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated June       
27, 2005 to pay semi-annually the notional amount multiplied by       
4.3059% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,300,000  6/29/15  59,146 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 11, 2003 to pay semi-annually the notional amount       
multiplied by 4.710% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  1,581,000  12/15/13  (16,532) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 11, 2003 to pay semi-annually the notional amount       
multiplied by 2.235% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  378,000  12/15/05  (522) 
Total      $(576,598) 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
 
  Notional  Termination  Unrealized 
  amount  date  depreciation 
 
Agreement with Lehman Brothers Finance, S.A. dated       
September 20, 2005 to receive/(pay) semiannually the       
notional amount multiplied by the return of the Lehman       
Brothers US Hybrid ARM Index and pay semiannually the       
notional amount multiplied by the six month USD-LIBOR-BBA       
adjusted by a specified spread.  $49,433,000  2/21/06  $(172,209) 

WRITTEN OPTIONS OUTSTANDING at 9/30/05 (premiums received $566,976) (Unaudited)       
  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a       
fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017.  $7,330,000  Jul 17 / $4.55  $373,830 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a       
fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017.  7,330,000  Jul 17 / $4.55  175,920 
 
      $549,750 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $193,790,310. 
 
(b)  The aggregate identified cost on a tax basis is $259,092,295, resulting in gross unrealized appreciation and depreciation 
  of $2,443,242 and $2,120,242, respectively, or net unrealized appreciation of $323,000. 
 
(SEG)  This security was pledged and segregated with the custodian to cover margin requirements for futures contracts at 
  September 30, 2005. 
 
  At September 30, 2005, liquid assets totaling $95,322,818 have been designated as collateral for open forward 
  commitments and open swap contracts. 
 
  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 
  September 30, 2005. 
 
  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 September 30, 2005. 
 
  Security valuation Investments, including mortgage backed securities, are valued at fair value on the basis of 
  valuations provided by an independent pricing service, approved by the Trustees. Such service providers 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. Restricted securities are valued at fair value 
  following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the 
  Trustees. Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which 
  approximates fair value. 
 
 
  Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the 
  underlying securities, the market value of which at the time of purchase is required to be an amount at least equal to the 
  resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the 
  counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management 
  is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, 
  including accrued interest. 
 
 
  Stripped mortgage-backed securities The fund may invest in stripped mortgage-backed securities which represent a 
  participation in mortgage loans and may be structured in classes with rights to receive different portions of the interest 
  and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If 
  the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully 
  its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are 
  greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is 
  highly sensitive to changes in interest rates. 
 
 
  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. The fund may also write options on securities it owns or in 
  which it may invest, or swaps, to increase its current returns. 
 
  The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the 
  change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying 
  instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to 
  perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, 
  the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was 
  opened and the value at the time it was closed. Realized gains and losses on purchased options are included in 
  realized gains and losses on investment securities. If a written call option is exercised, the premium originally received 
  is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is 
  recorded as a reduction to cost of investments. 
 
 
  Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. 
  The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures 
  contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last 
  sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. 
  Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts 
  outstanding at period end, if any, are listed after the fund’s portfolio. 
 
 
  Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange 
  a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total 
  return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, 
  the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to- 
  market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. 
  Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk 
  due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the 
  possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to 
  perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Total return swap contracts    
                  outstanding at period end, if any, are listed after the fund’s portfolio.
 
 
  Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between 
  two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest 
  rates. Interest rate swap contracts are marked-to-market daily based upon quotations from market makers and the 
  change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or 
  loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or 
  if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement 
  of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. 

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

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

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

Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

Putnam VT Capital Appreciation Fund       
 
The fund's portfolio       
 
9/30/05 (Unaudited)       
COMMON STOCKS (99.7%)(a)       
 
    Shares  Value 
 
 
Aerospace and Defense (0.0%)       
AAR Corp. (NON)    734  $12,610 
Triumph Group, Inc. (NON)    261  9,701 
      22,311 
 
Airlines (0.8%)       
Alaska Air Group, Inc. (NON)    1,547  44,956 
ExpressJet Holdings, Inc. (NON) (S)    7,455  66,871 
JetBlue Airways Corp. (NON) (S)    17,180  302,368 
World Air Holdings, Inc. (NON)    647  6,858 
      421,053 
 
Automotive (0.8%)       
BorgWarner, Inc.    3,260  184,060 
TBC Corp. (NON)    314  10,830 
Tenneco Automotive, Inc. (NON)    13,372  234,144 
      429,034 
 
Banking (6.9%)       
Anchor BanCorp Wisconsin, Inc.    671  19,781 
Bank of America Corp.    17,480  735,908 
Center Financial Corp.    176  4,136 
City Holding Co.    438  15,663 
Commerce Bancorp, Inc. (S)    46,080  1,414,195 
First Regional Bancorp (NON)    46  3,624 
FirstFed Financial Corp. (NON)    4,851  261,032 
Independent Bank Corp. - Michigan    542  15,734 
Lakeland Financial Corp.    100  4,135 
Provident Financial Hldgs.    153  4,292 
R&G Financial Corp. Class B (Puerto Rico)    5,552  76,340 
Republic Bancorp, Inc. Class A    143  2,992 
Southwest Bancorp, Inc.    304  6,679 
Taylor Capital Group, Inc.    89  3,366 
U.S. Bancorp    31,020  871,042 
Westcorp    900  53,010 
      3,491,929 
 
Biotechnology (0.3%)       
Albany Molecular Research, Inc. (NON)    2,249  27,393 
Arqule, Inc. (NON)    841  6,585 
Connetics Corp. (NON)    800  13,528 
Diversa Corp. (NON)    1,353  7,834 
Regeneron Pharmaceuticals, Inc. (NON)    3,377  32,048 
Savient Pharmaceuticals, Inc. (NON)    4,700  17,719 
Telik, Inc. (NON) (S)    1,330  21,759 
      126,866 
 
Building Materials (1.6%)       
Masco Corp.    24,140  740,615 
Tyler Technologies, Inc. (NON)    2,193  18,158 
Universal Forest Products, Inc.    573  32,844 
      791,617 
 
Chemicals (0.4%)       
Andersons, Inc. (The)    92  2,694 
Georgia Gulf Corp.    8,854  213,204 
      215,898 
 
Commercial and Consumer Services (6.3%)       
Administaff, Inc.    5,278  209,748 
Catalina Marketing Corp.    6,235  141,784 
CCC Information Services Group (NON)    299  7,813 
Consolidated Graphics, Inc. (NON)    904  38,917 
eBay, Inc. (NON)    28,160  1,160,192 
Google, Inc. Class A (NON)    1,360  430,386 
HUB Group, Inc. Class A (NON)    757  27,789 

John H. Harland Co.  2,694  119,614 
NCO Group, Inc. (NON)  378  7,809 
Sabre Holdings Corp.  13,215  268,000 
Spherion Corp. (NON)  1,000  7,600 
Startek, Inc.  1,401  18,493 
TeleTech Holdings, Inc. (NON)  2,851  28,567 
Unifirst Corp.  773  27,109 
Yahoo!, Inc. (NON)  20,120  680,861 
    3,174,682 
 
Communications Equipment (1.9%)     
Cisco Systems, Inc. (NON)  51,880  930,208 
Redback Networks, Inc. (NON)  2,285  22,667 
    952,875 
 
Computers (5.6%)     
Apple Computer, Inc. (NON)  17,010  911,906 
Brocade Communications Systems, Inc. (NON)  54,811  223,629 
Catapult Communications Corp. (NON)  855  15,681 
Checkpoint Systems, Inc. (NON)  1,290  30,599 
Dell, Inc. (NON)  38,580  1,319,436 
Emulex Corp. (NON)  16,597  335,425 
Magma Design Automation, Inc. (NON)  378  3,069 
Netgear, Inc. (NON)  212  5,101 
    2,844,846 
 
Conglomerates (1.7%)     
Tyco International, Ltd.  31,120  866,692 
 
Construction (0.0%)     
Huttig Building Products, Inc. (NON)  689  6,235 
 
Consumer Cyclicals (0.0%)     
Hooker Furniture Corp.  815  13,545 
 
Consumer Finance (6.4%)     
Accredited Home Lenders Holding Co. (NON) (S)  2,912  102,386 
Asta Funding, Inc.  431  13,085 
Capital One Financial Corp.  15,167  1,206,080 
CompuCredit Corp. (NON) (S)  3,230  143,477 
Countrywide Financial Corp.  52,715  1,738,541 
Doral Financial Corp. (Puerto Rico) (S)  2,885  37,707 
World Acceptance Corp. (NON)  861  21,878 
    3,263,154 
 
Consumer Goods (1.8%)     
Avon Products, Inc.  22,980  620,460 
Blyth Industries, Inc.  1,650  36,779 
Darling International, Inc. (NON)  1,549  5,468 
Yankee Candle Co., Inc. (The)  10,065  246,593 
    909,300 
 
Consumer Services (0.3%)     
Alderwoods Group, Inc. (Canada) (NON)  2,261  37,035 
Geo Group, Inc. (The) (NON)  712  18,868 
Labor Ready, Inc. (NON)  3,903  100,112 
    156,015 
 
Electric Utilities (1.1%)     
Alliant Energy Corp.  219  6,379 
Black Hills Corp.  1,580  68,525 
CMS Energy Corp. (NON)  29,791  490,062 
Puget Energy, Inc.  161  3,780 
    568,746 
 
Electronics (0.3%)     
Agilysys, Inc.  521  8,774 
FEI Co. (NON)  217  4,177 
IXYS Corp. (NON)  1,793  18,934 
Methode Electronics, Inc. Class A  1,427  16,439 
Omnivision Technologies, Inc. (NON) (S)  2,232  28,168 
Stoneridge, Inc. (NON)  865  7,110 
TriQuint Semiconductor, Inc. (NON)  8,800  30,976 
TTM Technologies, Inc. (NON)  2,713  19,398 

    133,976 
 
Energy (0.3%)     
Atwood Oceanics, Inc. (NON)  219  18,442 
Parker Drilling Co. (NON)  13,210  122,457 
    140,899 
 
Engineering & Construction (0.0%)     
Noble International, Ltd.  462  11,162 
 
Financial (4.4%)     
Asset Acceptance Capital Corp. (NON)  622  18,641 
CNA Surety Corp. (NON)  689  9,798 
Fannie Mae  16,810  753,424 
New Century Financial Corp. (R)  1,550  56,219 
PMI Group, Inc. (The)  14,800  590,076 
Radian Group, Inc.  4,337  230,295 
S&P 500 Index Depositary Receipts (SPDR Trust Series 1) (S)  4,651  572,259 
Student Loan Corp.  5  1,184 
    2,231,896 
 
Forest Products and Packaging (0.6%)     
Albany International Corp.  4,264  157,214 
CSS Industries, Inc.  285  9,268 
Graphic Packaging Corp. (NON)  1,002  2,806 
Grief, Inc. Class A  921  55,352 
Louisiana-Pacific Corp.  3,680  101,899 
    326,539 
 
Gaming & Lottery (0.0%)     
Dover Downs Gaming & Entertainment, Inc.  720  9,792 
 
Health Care Services (3.8%)     
American Dental Partners, Inc. (NON)  177  6,004 
Cerner Corp. (NON) (S)  3,958  344,069 
Genesis HealthCare Corp. (NON)  1,920  77,414 
Manor Care, Inc.  11,168  428,963 
OCA, Inc. (NON)  400  600 
Odyssey Healthcare, Inc. (NON)  1,077  18,277 
UnitedHealth Group, Inc.  18,760  1,054,312 
    1,929,639 
 
Homebuilding (1.8%)     
NVR, Inc. (NON)  1,040  920,348 
 
Household Furniture and Appliances (0.0%)     
Select Comfort Corp. (NON)  433  8,651 
 
Insurance (8.0%)     
Affirmative Insurance Holdings, Inc.  427  6,217 
American Equity Investment Life Holding Co.  5,066  57,499 
American International Group, Inc.  31,190  1,932,532 
American Physicians Capital, Inc. (NON)  498  24,467 
AmerUs Group Co. (S)  8,027  460,509 
Commerce Group, Inc.  1,199  69,566 
Delphi Financial Group Class A  1,130  52,884 
Direct General Corp.  631  12,450 
Everest Re Group, Ltd. (Barbados)  6,930  678,447 
FPIC Insurance Group, Inc. (NON)  101  3,635 
HCC Insurance Holdings, Inc.  9,987  284,929 
Infinity Property & Casualty Corp.  892  31,300 
IPC Holdings, Ltd. (Bermuda)  37  1,208 
Midland Co. (The)  267  9,620 
National Interstate Corp.  231  3,996 
Presidential Life Corp.  777  13,986 
Stancorp Financial Group  740  62,308 
Triad Guaranty, Inc. (NON)  300  11,766 
United Fire & Casualty Co.  859  38,749 
W.R. Berkley Corp.  6,312  249,198 
Zenith National Insurance Corp.  710  44,510 
    4,049,776 
 
Investment Banking/Brokerage (0.9%)     
Affiliated Managers Group (NON)  5,049  365,649 
Calamos Asset Management, Inc. Class A  611  15,079 
IndyMac Bancorp, Inc.  1,540  60,953 

    441,681 
 
Leisure (1.9%)     
Artic Cat, Inc.  1,163  23,888 
Harley-Davidson, Inc. (S)  19,550  947,002 
Marine Products Corp.  332  3,662 
    974,552 
 
Lodging/Tourism (1.7%)     
MTR Gaming Group, Inc. (NON)  1,294  10,365 
Royal Caribbean Cruises, Ltd.  19,260  832,032 
    842,397 
 
Machinery (1.2%)     
Applied Industrial Technologies, Inc.  864  31,000 
Cascade Corp.  740  36,038 
Terex Corp. (NON)  10,898  538,688 
    605,726 
 
Manufacturing (0.1%)     
Blount International, Inc. (NON)  695  12,260 
Titan International, Inc.  899  12,343 
    24,603 
 
Medical Technology (0.9%)     
Alliance Imaging, Inc. (NON)  824  7,045 
American Medical Systems Holdings, Inc. (NON)  5,880  118,482 
Analogic Corp.  784  39,521 
Candela Corp. (NON)  367  3,604 
Cantel Medical Corp. (NON)  278  5,849 
Charles River Laboratories International, Inc. (NON)  60  2,617 
Epix Pharmaceuticals, Inc. (NON)  1,560  12,012 
Medical Action Industries, Inc. (NON)  212  3,638 
Mentor Corp.  602  33,116 
Respironics, Inc. (NON)  5,040  212,587 
    438,471 
 
Metal Fabricators (0.1%)     
Brush Engineered Materials, Inc. (NON)  1,625  25,805 
Mueller Industries, Inc.  500  13,885 
    39,690 
 
Metals (2.8%)     
A.M. Castle & Co. (NON)  1,056  18,480 
AK Steel Holding Corp. (NON)  26,673  228,588 
Encore Wire Corp. (NON)  1,526  24,813 
NS Group, Inc. (NON)  112  4,396 
Reliance Steel & Aluminum Co.  5,572  294,926 
Shiloh Industries, Inc. (NON)  288  3,856 
Steel Dynamics, Inc.  13,300  451,668 
United States Steel Corp.  9,810  415,454 
    1,442,181 
 
Miscellaneous (0.9%)     
iShares Russell 2000 Index Fund (S)  6,900  458,091 
 
Natural Gas Utilities (0.2%)     
Energen Corp.  75  3,245 
Transmontaigne, Inc. (NON)  2,541  20,303 
WGL Holdings, Inc.  2,430  78,076 
    101,624 
 
Office Equipment & Supplies (0.1%)     
Kimball International, Inc. Class B  611  7,387 
Steelcase, Inc.  2,641  38,189 
Systemax, Inc. (NON)  944  6,646 
    52,222 
 
Oil & Gas (8.0%)     
Amerada Hess Corp.  9,490  1,304,875 
Cabot Oil & Gas Corp. Class A  199  10,051 
Callon Petroleum Co. (NON)  1,115  23,337 

Chevron Corp.  5,440  352,131 
Giant Industries, Inc. (NON)  4,580  268,113 
Harvest Natural Resources, Inc. (NON)  670  7,189 
Occidental Petroleum Corp.  20,188  1,724,661 
Petroleum Development Corp. (NON)  882  33,816 
Vintage Petroleum, Inc.  7,341  335,190 
    4,059,363 
 
Pharmaceuticals (2.9%)     
Enzon, Inc. (NON)  1,486  9,852 
King Pharmaceuticals, Inc. (NON)  4,692  72,163 
Pfizer, Inc.  47,394  1,183,428 
Watson Pharmaceuticals, Inc. (NON)  5,230  191,470 
    1,456,913 
 
Power Producers (1.0%)     
AES Corp. (The) (NON)  31,900  524,117 
 
Publishing (0.1%)     
Hollinger International, Inc.  2,979  29,194 
 
Railroads (0.0%)     
Rail America, Inc. (NON)  730  8,687 
 
Real Estate (2.8%)     
Boykin Lodging Co. (R) (NON)  1,150  14,283 
Capital Automotive (R)  5,650  218,712 
CBL & Associates Properties (R)  4,688  192,161 
Cedar Shopping Centers, Inc. (R)  400  5,788 
Equity Inns, Inc. (R)  7,645  103,208 
Hospitality Properties Trust (R)  1,289  55,247 
Innkeepers USA Trust (R)  1,000  15,450 
LTC Properties, Inc. (R)  1,491  31,609 
Mills Corp. (R)  2,290  126,133 
National Health Investors, Inc. (R)  5,258  145,173 
Nationwide Health Properties, Inc. (R)  3,585  83,531 
Newcastle Investment Corp. (R)  1,468  40,957 
Novastar Financial, Inc. (R) (S)  780  25,732 
Omega Healthcare Investors, Inc. (R)  3,207  44,641 
RAIT Investment Trust (R)  3,899  111,122 
Redwood Trust, Inc. (R) (S)  4,436  215,634 
    1,429,381 
 
Restaurants (0.2%)     
Denny's Corp. (NON)  3,975  16,496 
Domino's Pizza, Inc.  3,366  78,495 
Luby's, Inc. (NON)  1,156  15,097 
    110,088 
 
Retail (6.3%)     
Best Buy Co., Inc.  13,485  587,002 
Blair Corp.  83  3,062 
Borders Group, Inc.  3,820  84,689 
Buckle, Inc. (The)  862  29,282 
Cato Corp. (The) Class A  3,079  61,364 
CSK Auto Corp. (NON)  1,065  15,847 
Home Depot, Inc. (The)  21,440  817,722 
Ingles Markets, Inc. Class A  337  5,325 
Nash Finch Co. (S)  3,130  132,055 
Nu Skin Enterprises, Inc. Class A  4,227  80,524 
Payless ShoeSource, Inc. (NON)  5,464  95,074 
Rent-A-Center, Inc. (NON)  11,463  221,351 
ShopKo Stores, Inc. (NON)  1,740  44,405 
Supervalu, Inc.  12,172  378,793 
Timberland Co. (The) Class A (NON)  10,905  368,371 
Too, Inc. (NON)  8,671  237,846 
Trans World Entertainment Corp. (NON)  1,387  10,943 
    3,173,655 
 
Schools (1.4%)     
Apollo Group, Inc. Class A (NON) (S)  9,740  646,639 
Education Management Corp. (NON)  2,030  65,447 
    712,086 
 
Semiconductor (0.2%)     
ADE Corp. (NON)  736  16,545 

Advanced Energy Industries, Inc. (NON)  683  7,349 
Sigmatel, Inc. (NON)  3,254  65,861 
    89,755 
 
Shipping (0.1%)     
ABX Air, Inc. (NON)  1,699  13,932 
Arkansas Best Corp.  1,117  38,950 
Maritrans, Inc.  619  19,808 
    72,690 
 
Software (5.5%)     
Adobe Systems, Inc.  17,800  531,330 
Ansoft Corp. (NON)  382  11,116 
Atari, Inc. (NON)  3,400  4,896 
Blackboard, Inc. (NON)  890  22,259 
BMC Software, Inc. (NON)  29,088  613,757 
Citrix Systems, Inc. (NON)  16,956  426,274 
EPIQ Systems, Inc. (NON)  1,103  24,067 
Hyperion Solutions Corp. (NON)  3,690  179,519 
Mantech International Corp. Class A (NON)  410  10,828 
Oracle Corp. (NON)  73,290  908,063 
SonicWall, Inc. (NON)  2,716  17,247 
SPSS, Inc. (NON)  788  18,912 
    2,768,268 
 
Staffing (0.1%)     
AMN Healthcare Services, Inc. (NON)  1,783  27,583 
 
Technology Services (0.6%)     
Acxiom Corp.  7,396  138,453 
MTS Systems Corp.  479  18,092 
Transaction Systems Architects, Inc. (NON)  2,040  56,814 
United Online, Inc.  7,306  101,188 
    314,547 
 
Telecommunications (1.3%)     
Commonwealth Telephone Enterprises, Inc.  785  29,595 
Earthlink, Inc. (NON)  42,347  453,113 
Intrado, Inc. (NON)  1,100  19,833 
Premiere Global Services, Inc. (NON)  17,625  144,173 
Talk America Holdings, Inc. (NON)  2,113  19,926 
    666,640 
 
Textiles (0.6%)     
Stride Rite Corp.  801  10,269 
Tommy Hilfiger Corp. (Hong Kong) (NON)  5,380  93,343 
Wolverine World Wide, Inc.  10,279  216,373 
    319,985 
 
Tobacco (1.7%)     
Altria Group, Inc.  11,980  883,046 
 
Toys (0.3%)     
Hasbro, Inc.  7,109  139,692 
Jakks Pacific, Inc. (NON) (S)  715  11,600 
    151,292 
 
Trucks & Parts (0.7%)     
Autoliv, Inc. (Sweden)  8,691  378,059 
 
Total common stocks (cost $46,964,840)    $50,614,063 
 
SHORT-TERM INVESTMENTS (6.6%)(a) (cost $0)     
  Principal amount  Value 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.77% to 4.09% and due dates ranging from October 3, 2005     
to November 1, 2005 (d)  $3,355,683  $3,352,022 
 
TOTAL INVESTMENTS     
 
Total investments (cost $50,316,862) (b)    $53,966,085 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
 
  Notional   Termination Unrealized 
  amount  date  (depreciation) 
Agreement with Citigroup Global Markets Limited dated February 28,       
2005 to receive monthly the notional amount multiplied by the total       
rate of return of the Commerce Bancorp Inc. NJ and pay semi-annually       
the notional amount multiplied by the six month USD-LIBOR-BBA plus       
25 basis points.  $26,960  2/28/06  $(2,417) 
Total      $(2,417) 

  NOTES
 
(a)      Percentages indicated are based on net assets of $50,783,072.
 
(b)      The aggregate identified cost on a tax basis is $51,055,820, resulting in gross unrealized appreciation and depreciation of $2,242,125 and $668,140, respectively, or net unrealized appreciation of $2,910,265.
 

(NON) Non-income-producing security.

(S)      Securities on loan, in part or in entirety, at September 30, 2005.
 
(R)      Real Estate Investment Trust.
 
(d)      The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of operations. At September 30, 2005, the value of securities loaned amounted to $3,258,184. The fund received cash collateral of $3,352,022 which is pooled with collateral of other Putnam funds into 20 issues of high-grade, short-term investments.
 
  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $8,376 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $10,466,592 and $10,873,348, respectively.
 
  At September 30, 2005, liquid assets totaling $26,960 have been designated as collateral for open swap contracts.
 
  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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.
 
  Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform.
 
  Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.
 
  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
 
Putnam VT Capital Opportunities Fund       
 
The fund's portfolio       
 
9/30/05 (Unaudited)       
COMMON STOCKS (99.5%)(a)       
 
    Shares  Value 
 
 
Aerospace and Defense (0.1%)       
AAR Corp. (NON)    1,081  $18,572 
Triumph Group, Inc. (NON)    350  13,010 
      31,582 
 
Airlines (0.6%)       
Alaska Air Group, Inc. (NON)    2,278  66,199 
ExpressJet Holdings, Inc. (NON)    12,031  107,918 
World Air Holdings, Inc. (NON)    953  10,102 
      184,219 
 
Automotive (2.4%)       
BorgWarner, Inc.    5,170  291,898 
TBC Corp. (NON)    463  15,969 
Tenneco Automotive, Inc. (NON)    23,853  417,666 
      725,533 
 
Banking (2.5%)       
Anchor BanCorp Wisconsin, Inc.    989  29,156 
Center Financial Corp.    259  6,087 
City Holding Co.    644  23,029 
First Regional Bancorp (NON)    68  5,358 
FirstFed Financial Corp. (NON)    8,115  436,668 
Independent Bank Corp. - Michigan    799  23,204 
Lakeland Financial Corp.    100  4,135 
Provident Financial Hldgs.    225  6,311 
R&G Financial Corp. Class B (Puerto Rico)    9,301  127,889 
Republic Bancorp, Inc. Class A    210  4,393 
Southwest Bancorp, Inc.    449  9,865 
Taylor Capital Group, Inc.    131  4,954 
Westcorp    1,500  88,350 
      769,399 
 
Biotechnology (0.6%)       
Albany Molecular Research, Inc. (NON)    3,558  43,336 
Arqule, Inc. (NON)    1,239  9,701 
Connetics Corp. (NON)    1,109  18,753 
Diversa Corp. (NON)    1,993  11,539 
Regeneron Pharmaceuticals, Inc. (NON)    4,975  47,213 
Savient Pharmaceuticals, Inc. (NON)    6,700  25,259 
Telik, Inc. (NON)    1,927  31,526 
      187,327 
 
Building Materials (0.2%)       
Tyler Technologies, Inc. (NON)    2,200  18,216 
Universal Forest Products, Inc.    844  48,378 
      66,594 
 
Chemicals (1.2%)       
Andersons, Inc. (The)    135  3,953 
Georgia Gulf Corp.    14,661  353,037 
      356,990 
 
Commercial and Consumer Services (4.9%)       
Administaff, Inc.    9,568  380,232 
Catalina Marketing Corp.    10,446  237,542 
CCC Information Services Group (NON)    441  11,523 
Consolidated Graphics, Inc. (NON)    1,332  57,343 
HUB Group, Inc. Class A (NON)    1,115  40,932 
John H. Harland Co.    4,440  197,136 
NCO Group, Inc. (NON)    557  11,508 
Sabre Holdings Corp.    21,953  445,207 
Spherion Corp. (NON)    1,300  9,880 
Startek, Inc.    1,100  14,520 
TeleTech Holdings, Inc. (NON)    4,200  42,084 
Unifirst Corp.    1,139  39,945 
      1,487,852 
 
Communications Equipment (0.1%)       
Redback Networks, Inc. (NON)    3,366  33,391 

Computers (3.3%)

Brocade Communications Systems, Inc. (NON)  88,838  362,459 
Catapult Communications Corp. (NON)  1,259  23,090 
Checkpoint Systems, Inc. (NON)  1,745  41,391 
Emulex Corp. (NON)  27,507  555,916 
Magma Design Automation, Inc. (NON)  557  4,523 
Netgear, Inc. (NON)  312  7,507 
    994,886 
 
Construction (--%)     
Huttig Building Products, Inc. (NON)  1,015  9,186 
 
Consumer Cyclicals (--%)     
Hooker Furniture Corp.  100  1,662 
 
Consumer Finance (1.7%)     
Accredited Home Lenders Holding Co. (NON)  4,879  171,546 
Asta Funding, Inc.  634  19,248 
CompuCredit Corp. (NON)  5,355  237,869 
Doral Financial Corp. (Puerto Rico)  4,184  54,685 
World Acceptance Corp. (NON)  1,269  32,245 
    515,593 
 
Consumer Goods (1.6%)     
Blyth Industries, Inc.  2,391  53,295 
Darling International, Inc. (NON)  2,281  8,052 
Yankee Candle Co., Inc. (The)  16,811  411,870 
    473,217 
 
Consumer Services (0.8%)     
Alderwoods Group, Inc. (Canada) (NON)  3,330  54,545 
Geo Group, Inc. (The) (NON)  1,049  27,799 
Labor Ready, Inc. (NON)  6,540  167,751 
    250,095 
 
Electric Utilities (3.2%)     
Alliant Energy Corp.  322  9,380 
Black Hills Corp.  2,519  109,249 
CMS Energy Corp. (NON)  51,009  839,098 
Puget Energy, Inc.  238  5,588 
    963,315 
 
Electronics (0.7%)     
Agilysys, Inc.  768  12,933 
FEI Co. (NON)  319  6,141 
IXYS Corp. (NON)  2,641  27,889 
Methode Electronics, Inc. Class A  2,102  24,215 
Omnivision Technologies, Inc. (NON)  3,288  41,495 
Stoneridge, Inc. (NON)  1,274  10,472 
TriQuint Semiconductor, Inc. (NON)  12,900  45,408 
TTM Technologies, Inc. (NON)  3,997  28,579 
    197,132 
 
Energy (0.8%)     
Atwood Oceanics, Inc. (NON)  322  27,116 
Parker Drilling Co. (NON)  21,771  201,817 
    228,933 
 
Engineering & Construction (0.1%)     
Noble International, Ltd.  681  16,453 
 
Financial (1.6%)     
Asset Acceptance Capital Corp. (NON)  916  27,453 
CNA Surety Corp. (NON)  1,015  14,433 
New Century Financial Corp. (R)  2,499  90,639 
Radian Group, Inc.  6,826  362,461 
Student Loan Corp.  7  1,658 
    496,644 
 
Forest Products and Packaging (1.8%)     
Albany International Corp.  7,145  263,436 
CSS Industries, Inc.  419  13,626 
Graphic Packaging Corp. (NON)  1,476  4,133 
Grief, Inc. Class A  1,487  89,369 
Louisiana-Pacific Corp.  6,109  169,158 
    539,722 
 
Gaming & Lottery (0.1%)     
Dover Downs Gaming & Entertainment, Inc.  1,061  14,430 

Health Care Services (4.8%)     
American Dental Partners, Inc. (NON)  261  8,853 
Cerner Corp. (NON)  6,799  591,037 
Genesis HealthCare Corp. (NON)  3,113  125,516 
Manor Care, Inc.  18,257  701,251 
OCA, Inc. (NON)  600  900 
Odyssey Healthcare, Inc. (NON)  1,586  26,914 
    1,454,471 
 
Household Furniture and Appliances (--%)     
Select Comfort Corp. (NON)  638  12,747 
 
Insurance (7.4%)     
Affirmative Insurance Holdings, Inc.  629  9,158 
American Equity Investment Life Holding Co.  6,810  77,294 
American Physicians Capital, Inc. (NON)  734  36,061 
AmerUs Group Co.  13,155  754,702 
Commerce Group, Inc.  1,767  102,521 
Delphi Financial Group Class A  1,565  73,242 
Direct General Corp.  930  18,349 
FPIC Insurance Group, Inc. (NON)  149  5,363 
HCC Insurance Holdings, Inc.  17,193  490,516 
Infinity Property & Casualty Corp.  1,315  46,143 
IPC Holdings, Ltd. (Bermuda)  55  1,796 
Midland Co. (The)  393  14,160 
National Interstate Corp.  341  5,899 
Presidential Life Corp.  200  3,600 
Stancorp Financial Group  1,224  103,061 
Triad Guaranty, Inc. (NON)  443  17,374 
United Fire & Casualty Co.  800  36,088 
W.R. Berkley Corp.  9,710  383,351 
Zenith National Insurance Corp.  1,023  64,132 
    2,242,810 
 
Investment Banking/Brokerage (2.3%)     
Affiliated Managers Group (NON)  8,206  594,279 
Calamos Asset Management, Inc. Class A  900  22,212 
IndyMac Bancorp, Inc.  2,325  92,024 
    708,515 
 
Leisure (0.1%)     
Artic Cat, Inc.  1,713  35,185 
Marine Products Corp.  489  5,394 
    40,579 
 
Lodging/Tourism (--%)     
MTR Gaming Group, Inc. (NON)  1,906  15,267 
 
Machinery (3.4%)     
Applied Industrial Technologies, Inc.  1,273  45,675 
Cascade Corp.  1,090  53,083 
Terex Corp. (NON)  18,591  918,953 
    1,017,711 
 
Manufacturing (0.1%)     
Blount International, Inc. (NON)  1,024  18,063 
Titan International, Inc.  1,324  18,179 
    36,242 
 
Medical Technology (2.3%)     
Alliance Imaging, Inc. (NON)  1,214  10,380 
American Medical Systems Holdings, Inc. (NON)  9,742  196,301 
Analogic Corp.  1,155  58,224 
Candela Corp. (NON)  541  5,313 
Cantel Medical Corp. (NON)  409  8,605 
Charles River Laboratories International, Inc. (NON)  88  3,839 
Epix Pharmaceuticals, Inc. (NON)  2,271  17,487 
Medical Action Industries, Inc. (NON)  312  5,354 
Mentor Corp.  956  52,590 
Respironics, Inc. (NON)  8,352  352,287 
    710,380 
 
Metal Fabricators (0.2%)     
Brush Engineered Materials, Inc. (NON)  2,394  38,017 
Mueller Industries, Inc.  607  16,856 
    54,873 
 
Metals (5.5%)     
A.M. Castle & Co. (NON)  1,556  27,230 
AK Steel Holding Corp. (NON)  43,551  373,232 

Encore Wire Corp. (NON)  2,248  36,552 
NS Group, Inc. (NON)  165  6,476 
Reliance Steel & Aluminum Co.  8,700  460,491 
Shiloh Industries, Inc. (NON)  424  5,677 
Steel Dynamics, Inc.  22,486  763,625 
    1,673,283 
 
Natural Gas Utilities (0.6%)     
Energen Corp.  111  4,802 
Transmontaigne, Inc. (NON)  3,743  29,907 
WGL Holdings, Inc.  4,169  133,950 
    168,659 
 
Office Equipment & Supplies (0.3%)     
Kimball International, Inc. Class B  900  10,881 
Steelcase, Inc.  3,890  56,249 
Systemax, Inc. (NON)  1,390  9,786 
    76,916 
 
Oil & Gas (3.8%)     
Cabot Oil & Gas Corp. Class A  294  14,850 
Callon Petroleum Co. (NON)  1,643  34,388 
Giant Industries, Inc. (NON)  7,439  435,479 
Harvest Natural Resources, Inc. (NON)  987  10,591 
Petroleum Development Corp. (NON)  1,299  49,804 
Vintage Petroleum, Inc.  13,230  604,082 
    1,149,194 
 
Other (3.4%)     
iShares Russell 2000 Index Fund  12,557  833,659 
S&P 500 Index Depositary Receipts (SPDR Trust Series 1)  1,670  205,477 
    1,039,136 
 
Pharmaceuticals (1.5%)     
Enzon, Inc. (NON)  2,188  14,506 
King Pharmaceuticals, Inc. (NON)  7,448  114,550 
Watson Pharmaceuticals, Inc. (NON)  8,619  315,542 
    444,598 
 
Publishing (0.1%)     
Hollinger International, Inc.  4,388  43,002 
 
Railroads (--%)     
Rail America, Inc. (NON)  1,075  12,793 
 
Real Estate (7.4%)     
Boykin Lodging Co. (R) (NON)  1,694  21,039 
Capital Automotive (R)  9,213  356,635 
CBL & Associates Properties (R)  7,727  316,730 
Cedar Shopping Centers, Inc. (R)  500  7,235 
Equity Inns, Inc. (R)  12,601  170,114 
Hospitality Properties Trust (R)  2,046  87,692 
Innkeepers USA Trust (R)  1,400  21,630 
LTC Properties, Inc. (R)  2,197  46,576 
Mills Corp. (R)  3,723  205,063 
National Health Investors, Inc. (R)  8,042  222,040 
Nationwide Health Properties, Inc. (R)  5,907  137,633 
Newcastle Investment Corp. (R)  2,163  60,348 
Novastar Financial, Inc. (R)  1,097  36,190 
Omega Healthcare Investors, Inc. (R)  4,724  65,758 
RAIT Investment Trust (R)  5,963  169,946 
Redwood Trust, Inc. (R)  6,861  333,513 
    2,258,142 
 
Restaurants (0.6%)     
Denny's Corp. (NON)  5,856  24,302 
Domino's Pizza, Inc.  5,344  124,622 
Luby's, Inc. (NON)  1,703  22,241 
    171,165 
 
Retail (9.5%)     
Blair Corp.  123  4,537 
Borders Group, Inc.  6,463  143,285 
Buckle, Inc. (The)  1,363  46,301 
Cato Corp. (The) Class A  3,500  69,755 
CSK Auto Corp. (NON)  1,569  23,347 
Ingles Markets, Inc. Class A  496  7,837 
Nash Finch Co.  5,309  223,987 
Nu Skin Enterprises, Inc. Class A  6,610  125,921 
Payless ShoeSource, Inc. (NON)  9,073  157,870 
Rent-A-Center, Inc. (NON)  19,262  371,949 

ShopKo Stores, Inc. (NON)  2,555  65,204 
Supervalu, Inc.  20,953  652,057 
Timberland Co. (The) Class A (NON)  17,809  601,588 
Too, Inc. (NON)  14,269  391,399 
Trans World Entertainment Corp. (NON)  2,044  16,127 
    2,901,164 
 
Schools (0.3%)     
Education Management Corp. (NON)  3,167  102,104 
 
Semiconductor (0.5%)     
ADE Corp. (NON)  1,085  24,391 
Advanced Energy Industries, Inc. (NON)  1,006  10,825 
Sigmatel, Inc. (NON)  5,165  104,540 
    139,756 
 
Shipping (0.3%)     
ABX Air, Inc. (NON)  2,503  20,525 
Arkansas Best Corp.  1,646  57,396 
Maritrans, Inc.  911  29,152 
    107,073 
 
Software (7.1%)     
Ansoft Corp. (NON)  563  16,383 
Atari, Inc. (NON)  5,200  7,488 
Blackboard, Inc. (NON)  1,310  32,763 
BMC Software, Inc. (NON)  48,074  1,014,351 
Citrix Systems, Inc. (NON)  27,648  695,071 
EPIQ Systems, Inc. (NON)  1,625  35,458 
Hyperion Solutions Corp. (NON)  6,082  295,889 
Mantech International Corp. Class A (NON)  604  15,952 
SonicWall, Inc. (NON)  4,000  25,400 
SPSS, Inc. (NON)  1,161  27,864 
    2,166,619 
 
Staffing (0.1%)     
AMN Healthcare Services, Inc. (NON)  2,627  40,640 
 
Technology Services (1.6%)     
Acxiom Corp.  12,143  227,317 
MTS Systems Corp.  705  26,628 
Transaction Systems Architects, Inc. (NON)  2,822  78,593 
United Online, Inc.  11,032  152,793 
    485,331 
 
Telecommunications (3.6%)     
Commonwealth Telephone Enterprises, Inc.  1,134  42,752 
Earthlink, Inc. (NON)  71,138  761,177 
Intrado, Inc. (NON)  1,621  29,227 
Premiere Global Services, Inc. (NON)  28,464  232,836 
Talk America Holdings, Inc. (NON)  3,113  29,356 
    1,095,348 
 
Textiles (1.6%)     
Stride Rite Corp.  1,179  15,115 
Tommy Hilfiger Corp. (Hong Kong) (NON)  8,833  153,253 
Wolverine World Wide, Inc.  15,876  334,190 
    502,558 
 
Toys (0.8%)     
Hasbro, Inc.  11,614  228,215 
Jakks Pacific, Inc. (NON)  1,053  17,090 
    245,305 
 
Trucks & Parts (2.0%)     
Autoliv, Inc. (Sweden)  14,172  616,482 
 
Total common stocks (cost $27,563,486)    $30,277,018 
 
SHORT-TERM INVESTMENTS (0.3%)(a) (cost $95,352)     
  Shares  Value 
Putnam Prime Money Market Fund (e)  95,352  $95,352 

TOTAL INVESTMENTS   
Total investments (cost $27,658,838)(b)                      $30,372,370

  NOTES
 
(a)      Percentages indicated are based on net assets of $30,415,184.
 
(b)      The aggregate identified cost on a tax basis is $27,703,456, resulting in gross unrealized appreciation and depreciation of $4,240,627 and $1,571,713, respectively, or net unrealized appreciation of $2,668,914.
 

(NON) Non-income-producing security.

(R)      Real Estate Investment Trust.

(e)      Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $5,567 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $8,594,389 and $8,887,111, respectively.
 
  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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.
 
  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
 
Putnam VT Discovery Growth Fund       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (99.9%)(a)       
 
    Shares  Value 
 
Aerospace and Defense (2.4%)       
DRS Technologies, Inc.    5,800  $286,288 
L-3 Communications Holdings, Inc.    4,050  320,234 
Lockheed Martin Corp.    2,550  155,652 
United Technologies Corp.    4,200  217,728 
      979,902 
 
Airlines (0.9%)       
SkyWest, Inc.    11,200  300,384 
Southwest Airlines Co.    5,950  88,358 
      388,742 
 
Automotive (0.5%)       
Oshkosh Truck Corp.    4,900  211,484 
 
Banking (3.2%)       
Commerce Bancorp, Inc.    17,674  542,415 
Compass Bancshares, Inc.    38  1,742 
Corus Bankshares, Inc.    3,400  186,422 
Texas Regional Bancshares, Inc.    4,300  123,797 
U.S. Bancorp    10,500  294,840 
Westcorp    2,800  164,920 
      1,314,136 
 
Beverage (0.5%)       
Coca-Cola Co. (The)    5,000  215,950 
 
Biotechnology (2.6%)       
Amgen, Inc. (NON)    3,400  270,878 
Amylin Pharmaceuticals, Inc. (NON)    6,300  219,177 
Celgene Corp. (NON)    1,474  80,068 
Invitrogen Corp. (NON)    2,800  210,644 
MedImmune, Inc. (NON)    9,100  306,215 
      1,086,982 
 
Building Materials (1.1%)       
Building Material Holding Corp.    2,400  223,656 
Masco Corp.    5,050  154,934 
Sherwin Williams Co.    1,900  83,733 
      462,323 
 
Coal (1.5%)       
CONSOL Energy, Inc.    3,500  266,945 
Peabody Energy Corp.    4,200  354,270 
      621,215 
 
Commercial and Consumer Services (3.6%)       
ARAMARK Corp. Class B    5,500  146,905 
Arbitron, Inc.    1,600  63,744 
Cendant Corp.    7,050  145,512 
Consolidated Graphics, Inc. (NON)    3,000  129,150 
eBay, Inc. (NON)    6,550  269,860 
Global Cash Access, Inc. (NON)    1,750  24,675 
Google, Inc. Class A (NON)    250  79,115 
John H. Harland Co.    3,100  137,640 
Walter Industries, Inc.    2,800  136,976 
West Corp. (NON)    4,600  171,994 
Yahoo!, Inc. (NON)    6,100  206,424 
      1,511,995 
 
Communications Equipment (1.6%)       
Cisco Systems, Inc. (NON)    20,700  371,151 
Comtech Telecommunications Corp. (NON)    7,000  290,290 
      661,441 

Computers (4.6%)     
Apple Computer, Inc. (NON)  4,200  225,162 
Dell, Inc. (NON)  11,530  394,326 
EMC Corp. (NON)  19,850  256,859 
Emulex Corp. (NON)  13,400  270,814 
Intergraph Corp. (NON)  4,900  219,079 
Logitech International SA ADR (Switzerland) (NON)  4,700  191,525 
NCR Corp. (NON)  6,950  221,775 
VeriFone Holdings, Inc. (NON)  5,500  110,605 
    1,890,145 
 
Conglomerates (0.4%)     
Tyco International, Ltd.  5,900  164,315 
 
Consumer Finance (3.2%)     
Capital One Financial Corp.  3,400  270,368 
Countrywide Financial Corp.  9,600  316,608 
MBNA Corp.  20,600  507,584 
Providian Financial Corp. (NON)  12,300  217,464 
    1,312,024 
 
Consumer Goods (1.1%)     
Avon Products, Inc.  2,900  78,300 
Chattem, Inc. (NON)  4,300  152,650 
Tupperware Corp.  10,600  241,468 
    472,418 
 
Consumer Services (2.0%)     
Alliance Data Systems Corp. (NON)  3,600  140,940 
Interline Brands, Inc. (NON)  6,500  136,565 
Labor Ready, Inc. (NON)  16,300  418,095 
Talx Corp.  4,400  144,276 
    839,876 
 
Electrical Equipment (0.9%)     
WESCO International, Inc. (NON)  10,600  359,022 
 
Electronics (4.0%)     
Amphenol Corp. Class A  3,500  141,190 
Arrow Electronics, Inc. (NON)  7,100  222,656 
Atmel Corp. (NON)  53,600  110,416 
Avnet, Inc. (NON)  9,200  224,940 
Freescale Semiconductor, Inc. Class A (NON)  12,700  297,307 
Freescale Semiconductor, Inc. Class B (NON)  3,200  75,456 
Intel Corp.  10,050  247,733 
MEMC Electronic Materials, Inc. (NON)  10,600  241,574 
Texas Instruments, Inc.  3,150  106,785 
    1,668,057 
 
Energy (3.1%)     
CAL Dive International, Inc. (NON)  3,300  209,253 
Cooper Cameron Corp. (NON)  3,800  280,934 
Pride International, Inc. (NON)  11,500  327,865 
Unit Corp. (NON)  4,200  232,176 
Veritas DGC, Inc. (NON)  6,400  234,368 
    1,284,596 
 
Entertainment (--%)     
Speedway Motorsports, Inc.  100  3,633 
 
Financial (1.1%)     
Asset Acceptance Capital Corp. (NON)  9,200  275,724 
Fannie Mae  4,300  192,726 
    468,450 
 
Forest Products and Packaging (0.5%)     
Crown Holdings, Inc. (NON)  13,700  218,378 
 
Gaming & Lottery (1.4%)     
Ameristar Casinos, Inc.  13,700  285,508 
GTECH Holdings Corp.  9,400  301,364 
    586,872 

Health Care Services (6.8%)     
Cardinal Health, Inc.  3,050  193,492 
Cerner Corp. (NON)  3,700  321,641 
Coventry Health Care, Inc. (NON)  2,000  172,040 
Express Scripts, Inc. (NON)  2,200  136,840 
HCA, Inc.  2,800  134,176 
Humana, Inc. (NON)  1,100  52,668 
LifePoint Hospitals, Inc. (NON)  4,400  192,412 
Lincare Holdings, Inc. (NON)  7,500  307,875 
Medco Health Solutions, Inc. (NON)  1,950  106,919 
Pediatrix Medical Group, Inc. (NON)  4,200  322,644 
Sierra Health Services, Inc. (NON)  5,700  392,559 
Steris Corp.  7,400  176,046 
United Surgical Partners International, Inc. (NON)  1,100  43,021 
UnitedHealth Group, Inc.  5,100  286,620 
    2,838,953 
 
Homebuilding (1.8%)     
Desarrolladora Homex SA de CV ADR (Mexico) (NON)  4,400  135,124 
Lennar Corp.  2,848  170,196 
NVR, Inc. (NON)  500  442,475 
    747,795 
 
Household Furniture and Appliances (0.4%)     
Conn's, Inc. (NON)  5,900  163,548 
 
Insurance (2.8%)     
ACE, Ltd. (Bermuda)  2,750  129,443 
American International Group, Inc.  8,300  514,259 
Everest Re Group, Ltd. (Barbados)  1,650  161,535 
Safety Insurance Group, Inc.  3,000  106,770 
W.R. Berkley Corp.  6,100  240,828 
    1,152,835 
 
Investment Banking/Brokerage (2.1%)     
Bear Stearns Cos., Inc. (The)  850  93,288 
Calamos Asset Management, Inc. Class A  6,300  155,484 
Goldman Sachs Group, Inc. (The)  1,200  145,896 
Lehman Brothers Holdings, Inc.  1,450  168,896 
Nuveen Investments, Inc. Class A  7,300  287,547 
    851,111 
 
Leisure (0.6%)     
Brunswick Corp.  4,100  154,693 
Harley-Davidson, Inc.  1,950  94,458 
    249,151 
 
Lodging/Tourism (0.7%)     
Choice Hotels International, Inc.  2,800  180,992 
Royal Caribbean Cruises, Ltd.  2,600  112,320 
    293,312 
 
Machinery (2.4%)     
Cummins, Inc.  4,630  407,394 
JLG Industries, Inc.  6,900  252,471 
Parker-Hannifin Corp.  1,350  86,819 
Timken Co.  8,500  251,855 
    998,539 
 
Manufacturing (0.1%)     
Ingersoll-Rand Co., Ltd. Class A (Bermuda)  1,400  53,522 
 
Medical Technology (6.3%)     
American Medical Systems Holdings, Inc. (NON)  7,900  159,185 
Bausch & Lomb, Inc.  4,000  322,720 
Baxter International, Inc.  2,850  113,630 
Becton, Dickinson and Co.  2,350  123,211 
Dade Behring Holdings, Inc.  7,600  278,616 
Diagnostic Products Corp.  2,500  131,825 
DJ Orthopedics, Inc. (NON)  9,900  286,506 
Kinetic Concepts, Inc. (NON)  2,300  130,640 
Mentor Corp.  3,700  203,537 
Respironics, Inc. (NON)  4,100  172,938 
St. Jude Medical, Inc. (NON)  2,100  98,280 

Sybron Dental Specialties, Inc. (NON)  6,000  249,480 
Symmetry Medical, Inc. (NON)  5,200  123,240 
Varian Medical Systems, Inc. (NON)  5,400  213,354 
    2,607,162 
 
Metal Fabricators (0.5%)     
Mueller Industries, Inc.  7,900  219,383 
 
Metals (1.5%)     
Freeport-McMoRan Copper & Gold, Inc. Class B  7,300  354,707 
Steel Dynamics, Inc.  8,100  275,076 
    629,783 
 
Office Equipment & Supplies (0.3%)     
Reynolds and Reynolds Co. (The) Class A  5,200  142,532 
 
Oil & Gas (5.9%)     
Amerada Hess Corp.  1,200  165,000 
Bronco Drilling Co., Inc. (NON)  730  20,112 
Devon Energy Corp.  2,200  151,008 
Exxon Mobil Corp.  9,450  600,453 
Giant Industries, Inc. (NON)  3,700  216,598 
Marathon Oil Corp.  2,600  179,218 
Newfield Exploration Co. (NON)  4,500  220,950 
Noble Energy, Inc.  8,000  375,200 
Occidental Petroleum Corp.  1,700  145,231 
Universal Compression Holdings, Inc. (NON)  3,500  139,195 
Valero Energy Corp.  2,100  237,426 
    2,450,391 
 
Pharmaceuticals (5.0%)     
Barr Pharmaceuticals, Inc. (NON)  4,800  263,616 
Cephalon, Inc. (NON)  4,900  227,458 
Endo Pharmaceuticals Holdings, Inc. (NON)  6,200  165,354 
Hospira, Inc. (NON)  7,600  311,372 
Johnson & Johnson  7,100  449,288 
Perrigo Co.  6,400  91,584 
Pfizer, Inc.  11,400  284,658 
Salix Pharmaceuticals, Ltd. (NON)  3,500  74,375 
Teva Pharmaceutical Industries, Ltd. ADR (Israel)  3,000  100,260 
Valeant Pharmaceuticals International  5,300  106,424 
    2,074,389 
 
Power Producers (0.2%)     
AES Corp. (The) (NON)  4,800  78,864 
 
Publishing (0.9%)     
McGraw-Hill Companies, Inc. (The)  2,200  105,688 
R. H. Donnelley Corp. (NON)  3,100  196,106 
R. R. Donnelley & Sons Co.  2,250  83,408 
    385,202 
 
Railroads (--%)     
Norfolk Southern Corp.  350  14,196 
 
Real Estate (0.3%)     
CB Richard Ellis Group, Inc. Class A (NON)  2,800  137,760 
 
Restaurants (1.8%)     
Domino's Pizza, Inc.  8,800  205,216 
McDonald's Corp.  4,500  150,705 
Red Robin Gourmet Burgers, Inc. (NON)  5,200  238,368 
Yum! Brands, Inc.  3,400  164,594 
    758,883 
 
Retail (6.4%)     
Abercrombie & Fitch Co. Class A  1,900  94,715 
Advance Auto Parts, Inc. (NON)  7,050  272,694 
Aeropostale, Inc. (NON)  8,600  182,750 
American Eagle Outfitters, Inc.  4,400  103,532 
Best Buy Co., Inc.  3,950  171,944 
Coach, Inc. (NON)  2,950  92,512 
Great Atlantic & Pacific Tea Co. (NON)  8,200  232,552 
Home Depot, Inc. (The)  5,700  217,398 
Lowe's Cos., Inc.  2,930  188,692 

Michaels Stores, Inc.  9,200  304,152 
New York & Company, Inc. (NON)  8,700  142,680 
Office Depot, Inc. (NON)  2,100  62,370 
Pacific Sunwear of California, Inc. (NON)  6,100  130,784 
Staples, Inc.  11,100  236,652 
Stein Mart, Inc.  8,200  166,460 
Whole Foods Market, Inc.  550  73,948 
    2,673,835 
 
Schools (0.8%)     
Apollo Group, Inc. Class A (NON)  1,150  76,349 
Career Education Corp. (NON)  7,300  259,588 
    335,937 
 
Semiconductor (1.7%)     
Applied Materials, Inc.  7,250  122,960 
Brooks Automation, Inc. (NON)  11,300  150,629 
Lam Research Corp. (NON)  10,300  313,841 
Novellus Systems, Inc. (NON)  4,100  102,828 
    690,258 
 
Shipping (0.4%)     
J. B. Hunt Transport Services, Inc.  8,600  163,486 
 
Software (4.3%)     
Adobe Systems, Inc.  4,400  131,340 
Amdocs, Ltd. (Guernsey) (NON)  5,900  163,607 
Blackboard, Inc. (NON)  8,800  220,088 
Cadence Design Systems, Inc. (NON)  10,100  163,216 
Citrix Systems, Inc. (NON)  2,550  64,107 
Epicor Software Corp. (NON)  10,200  132,600 
FileNET Corp. (NON)  4,400  122,760 
MarketSoft Software Corp. (acquired 8/12/04, cost $46) (Private) (RES)(NON)(F)  804  1 
McAfee, Inc. (NON)  2,250  70,695 
Mercury Interactive Corp. (NON)  1,800  71,280 
Oracle Corp. (NON)  13,250  164,168 
Parametric Technology Corp. (NON)  25,100  174,947 
Progress Software Corp. (NON)  6,800  216,036 
Symantec Corp. (NON)  4,150  94,039 
    1,788,884 
 
Specialty Printing (0.1%)     
VistaPrint, Ltd. (Bermuda) (NON)  3,200  48,800 
 
Technology Services (3.1%)     
Anteon International Corp. (NON)  4,500  192,420 
Fair Isaac Corp.  7,900  353,920 
Fiserv, Inc. (NON)  6,650  305,036 
Global Payments, Inc.  3,400  264,248 
Transaction Systems Architects, Inc. (NON)  5,500  153,175 
    1,268,799 
 
Telecommunications (0.7%)     
Premiere Global Services, Inc. (NON)  16,100  131,698 
Sprint Nextel Corp.  5,800  137,924 
    269,622 
 
Textiles (0.6%)     
K-Swiss, Inc. Class A  3,800  112,366 
Phillips-Van Heusen Corp.  4,300  133,386 
    245,752 
 
Tobacco (0.9%)     
Altria Group, Inc.  4,900  361,179 
 
Transportation (0.3%)     
Hornbeck Offshore Services, Inc. (NON)  3,700  135,531 
 
Total common stocks (cost $36,506,609)    $41,551,350 
 
CONVERTIBLE PREFERRED STOCKS (0.1%)(a)     
 
  Shares  Value 

MarketSoft Software Corp. Ser. D, zero % cv. pfd. (acquired various     
dates from 12/07/00 to 08/12/04, cost $154,454) (Private)     
(RES)(NON)(F)  25,369  $21,208 
Totality Corp. Ser. D, $0.346 cum. cv. pfd. (acquired 07/27/00, cost     
$46,832) (Private) (RES)(NON)(F)  16,600  1,660 
Total convertible preferred stocks (cost $201,286)    $22,868 
 
SHORT-TERM INVESTMENTS (0.9%)(a) (cost $386,459)     
 
  Shares  Value 
Putnam Prime Money Market Fund (e)  386,459  $386,459 
TOTAL INVESTMENTS     
Total investments (cost $37,094,354) (b)    $41,960,677 
 

WRITTEN OPTIONS OUTSTANDING at 9/30/05 (premiums received $4,600) (Unaudited)       
  Contract  Expiration date/   
  amount  strike price  Value 
Comtech Telecommunications Corp. (Call)  $3,325  Oct-05/40.89  $6,323 
Comtech Telecommunications Corp. (Call)  2,061  Oct-05/40.46  4,449 
Comtech Telecommunications Corp. (Call)  614  Oct-05/41.45  948 
Pride International, Inc. (Call)  2,863  Oct-05/28.43  1,614 
Total      $13,334 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $41,603,858. 
 
(b)  The aggregate identified cost on a tax basis is $37,494,224, resulting in gross unrealized appreciation and 
  depreciation of $5,676,052 and $1,209,599, respectively, or net unrealized appreciation of $4,466,453. 
 
(NON)  Non-income-producing security. 
 
(RES)  Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at 
  September 30, 2005 was $22,869 or less than 0.1% of net assets. 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime 
  Money Market Fund, an open-end management investment company managed by Putnam Investment 
  Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, 
  LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative 
  fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime 
  Money Market Fund. Income distributions earned by the fund totaled $17,779 for the period ended September 30, 
  2005. During the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam 
  Prime Money Market Fund aggregated $11,201,360 and $12,392,124, respectively. 
 
(F)  Security is valued at fair value following procedures approved by the Trustees. 
 
 

At September 30, 2005, liquid assets totaling $139,935 have been designated as collateral for open forward 

  commitments and written options. 
 
  ADR after the name of a foreign holding stands for American Depository Receipts, representing ownership of 
  foreign securities on deposit with a custodian bank. 
 
  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. Many 
  securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and 
  therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that 
  occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the 
  fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities 
  markets. The number of days on which fair value prices will be used will depend on market activity and it is 
  possible that fair value prices will be used by the fund to a significant extent. 
 
Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current
exchange rate.
 
Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which 
  approximates fair value. 
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by 
  the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. 
 
  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. The fund may also write options on swaps or securities 
  it owns or in which it may invest, to increase its current returns. 
 
  The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the 
  change in value of the hedged instruments. In addition, losses may arise from changes in the value of the 
  underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the 
  contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. 
  When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of 
  the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on 
  purchased options are included in realized gains and losses on investment securities. If a written call option is 
  exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is 
  exercised, the premium originally received is recorded as a reduction to cost of investments. 
 
  Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they 
  trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of 
  the futures contract. Such receipts or payments are known as “variation margin.” Exchange traded options are 
  valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask 
  price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures 
  and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio. 
 
  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 

Putnam VT Diversified Income Fund         
 
The fund's portfolio         
 
9/30/05 (Unaudited)       
CORPORATE BONDS AND NOTES (23.4%)(a)         
 
    Principal amount  Value 
 
Basic Materials (1.8%)         
 
ALROSA Finance SA 144A company guaranty 8 7/8s, 2014 (Luxembourg)      $700,000  $829,467 
Chaparral Steel Co. 144A sr. unsecd. notes 10s, 2013      366,000  386,130 
Codelco, Inc. 144A bonds 5 5/8s, 2035 (Chile)      370,000  362,717 
Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014 (Germany)  EUR    201,000  266,536 
Compass Minerals International, Inc. sr. disc. notes stepped-coupon Ser.         
B, zero % (12s, 6/1/08), 2013 (STP)    $  240,000  200,400 
Compass Minerals International, Inc. sr. notes stepped-coupon zero % (12         
3/4s, 12/15/07), 2012 (STP)      650,000  572,000 
Crystal US Holdings, LLC sr. disc. notes stepped-coupon Ser. A, zero %         
(10s, 10/1/09), 2014 (STP)      269,000  190,990 
Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10         
1/8s, 2008      441,000  476,280 
Georgia-Pacific Corp. bonds 7 3/4s, 2029      70,000  75,075 
Georgia-Pacific Corp. debs. 7.7s, 2015      840,000  927,150 
Georgia-Pacific Corp. sr. notes 8s, 2024      265,000  292,163 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada)      580,000  645,250 
Huntsman, LLC company guaranty 11 5/8s, 2010      214,000  244,495 
Innophos, Inc. 144A sr. sub. notes 8 7/8s, 2014      189,000  193,253 
International Steel Group, Inc. sr. notes 6 1/2s, 2014      110,000  108,900 
Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012      155,000  145,700 
Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013      30,000  27,000 
JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland) (PIK)  EUR    356,820  376,378 
MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)    $  200,000  201,000 
Nalco Co. sr. sub. notes 9s, 2013  EUR    60,000  78,261 
Nalco Co. sr. sub. notes 8 7/8s, 2013    $  835,000  856,919 
Novelis, Inc. 144A sr. notes 7 1/4s, 2015      620,000  585,900 
PQ Corp. 144A company guaranty 7 1/2s, 2013      74,000  71,780 
Rockwood Specialties Group, Inc. company guaranty 7 5/8s, 2014  EUR    250,000  311,471 
Steel Dynamics, Inc. company guaranty 9 1/2s, 2009    $  640,000  678,400 
Sterling Chemicals, Inc. sec. notes 10s, 2007 (PIK)      132,968  131,638 
Stone Container Corp. sr. notes 8 3/8s, 2012      310,000  294,500 
Stone Container Finance company guaranty 7 3/8s, 2014 (Canada)      120,000  106,800 
Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013      122,000  126,880 
United States Steel, LLC sr. notes 10 3/4s, 2008      240,000  270,000 
WHX Corp. sr. notes 10 1/2s, 2005 (In default) (NON) (F) (DEF)      165,000  17 
        10,033,450 
 
Capital Goods (1.5%)         
 
Allied Waste North America, Inc. company guaranty Ser. B, 8 1/2s, 2008      558,000  581,715 
BE Aerospace, Inc. sr. sub. notes Ser. B, 8 7/8s, 2011      70,000  73,500 
Blount, Inc. sr. sub. notes 8 7/8s, 2012      443,000  471,795 
Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008      362,000  359,285 
Crown Euro Holdings SA sec. sr. notes 10 7/8s, 2013 (France)      1,165,000  1,351,400 
Decrane Aircraft Holdings Co. company guaranty zero %, 2008 (acquired         
7/23/04, cost $533,000) (RES)      1,625,000  780,000 
Invensys, PLC notes 9 7/8s, 2011 (United Kingdom)      23,000  22,856 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015      603,000  583,403 
Legrand SA debs. 8 1/2s, 2025 (France)      858,000  1,029,600 
Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012      52,000  58,110 
Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011  EUR    145,000  192,452 
Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013    $  185,000  191,475 
Milacron Escrow Corp. sec. notes 11 1/2s, 2011      195,000  191,100 
Mueller Group, Inc. sr. sub. notes 10s, 2012      215,000  227,900 
Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012      306,000  330,480 
Owens-Illinois, Inc. debs. 7.8s, 2018      192,000  192,960 
Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom)      314,000  275,535 
Terex Corp. company guaranty 9 1/4s, 2011      160,000  172,000 
Terex Corp. company guaranty Ser. B, 10 3/8s, 2011      595,000  635,163 
        7,720,729 
 
Communication Services (1.7%)         
Alamosa Delaware, Inc. company guaranty 12s, 2009      227,000  251,403 
Alamosa Delaware, Inc. company guaranty 11s, 2010      301,000  339,378 
American Cellular Corp. company guaranty 9 1/2s, 2009      170,000  185,300 
Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default)         
(NON)      471,416  15,321 
Cincinnati Bell Telephone Co. company guaranty 6.3s, 2028      120,000  111,300 
Cincinnati Bell, Inc. company guaranty 7s, 2015      442,000  426,530 
Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014      28,000  27,580 
Cincinnati Bell, Inc. sr. sub. notes 7 1/4s, 2023      335,000  316,575 
Citizens Communications Co. sr. notes 6 1/4s, 2013      1,298,000  1,246,080 
Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)      165,000  170,775 
Globix Corp. company guaranty 11s, 2008 (PIK)      207,880  195,927 
 
Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United Kingdom)      269,000  277,070 

Page 1

Inmarsat Finance PLC company guaranty stepped-coupon zero % (10     
3/8s, 10/15/08), 2012 (United Kingdom) (STP)  585,000  479,700 
iPCS, Inc. sr. notes 11 1/2s, 2012  245,000  282,975 
IWO Holdings, Inc. sec. FRN 7.349s, 2012  63,000  65,520 
Nextel Communications, Inc. sr. notes Ser. F, 5.95s, 2014  1,440,000  1,474,080 
Qwest Communications International, Inc. company guaranty 8s, 2014  328,000  311,600 
Qwest Corp. notes 8 7/8s, 2012  947,000  1,034,598 
Qwest Corp. 144A sr. notes 7 5/8s, 2015  309,000  315,566 
Qwest Services Corp. sec. notes 14s, 2014  295,000  357,688 
Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada)  126,000  152,145 
Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010  170,000  171,700 
SBA Communications Corp. sr. notes 8 1/2s, 2012  176,000  191,400 
SBA Telecommunications, Inc./SBA Communications Corp. sr. disc. notes     
stepped-coupon zero % (9 3/4s, 12/15/07), 2011 (STP)  207,000  187,853 
U S West, Inc. debs. 7 1/4s, 2025  148,000  138,010 
    8,726,074 
 
Consumer Cyclicals (4.7%)     
ArvinMeritor, Inc. notes 8 3/4s, 2012  220,000  215,600 
Ashtead Holdings PLC 144A sr. notes 8 5/8s, 2015 (United Kingdom)  155,000  162,944 
Autonation, Inc. company guaranty 9s, 2008  785,000  847,800 
Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012  540,000  581,850 
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012  130,000  136,663 
Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014  121,000  121,454 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)  246,256  261,339 
Coinmach Corp. sr. notes 9s, 2010  757,000  772,140 
D.R. Horton, Inc. sr. notes 7 7/8s, 2011  560,000  613,200 
Dana Corp. notes 10 1/8s, 2010  140,000  143,500 
Dana Corp. notes 9s, 2011  450,000  463,500 
Dana Corp. notes 7s, 2029  85,000  64,729 
Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8 1/2s,     
2010  38,000  40,185 
Dex Media, Inc. notes 8s, 2013  175,000  179,813 
Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012  402,000  357,780 
FelCor Lodging LP company guaranty 9s, 2008 (R)  427,000  464,363 
General Motors Acceptance Corp. FRN 4.559s, 2007  265,000  257,692 
General Motors Acceptance Corp. FRN Ser. MTN, 4.67s, 2007  530,000  518,877 
Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011  670,000  648,225 
HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 (R)  63,000  63,788 
Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)  615,000  623,456 
JC Penney Co., Inc. debs. 7.95s, 2017  428,000  496,480 
JC Penney Co., Inc. debs. 7 1/8s, 2023  375,000  412,500 
JC Penney Co., Inc. notes 8s, 2010  20,000  21,850 
Jostens IH Corp. company guaranty 7 5/8s, 2012  543,000  548,430 
KB Home company guaranty 5 7/8s, 2015  177,000  167,500 
KB Home sr. notes 5 3/4s, 2014  253,000  239,711 
Levi Strauss & Co. sr. notes 12 1/4s, 2012  275,000  303,875 
Levi Strauss & Co. sr. notes 9 3/4s, 2015  502,000  512,040 
MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R)  491,000  520,460 
Meritage Homes Corp. company guaranty 6 1/4s, 2015  180,000  164,700 
Meritor Automotive, Inc. notes 6.8s, 2009  340,000  324,700 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010  395,000  429,563 
MGM Mirage, Inc. company guaranty 6s, 2009  881,000  869,988 
Mirage Resorts, Inc. debs. 7 1/4s, 2017  139,000  142,475 
Movie Gallery, Inc. sr. unsecd. notes 11s, 2012  362,000  320,370 
Owens Corning notes 7 1/2s, 2005 (In default) (DEF) (NON)  404,000  323,200 
Oxford Industries, Inc. sr. notes 8 7/8s, 2011  390,000  405,600 
Park Place Entertainment Corp. sr. notes 7 1/2s, 2009  750,000  810,000 
Park Place Entertainment Corp. sr. notes 7s, 2013  415,000  450,096 
Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008  185,000  202,344 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012  191,000  191,000 
PRIMEDIA, Inc. sr. notes 8s, 2013  521,000  524,908 
R.H. Donnelley Corp. sr. notes 6 7/8s, 2013  255,000  241,613 
R.H. Donnelley Finance Corp. I 144A sr. sub. notes 10 7/8s, 2012  390,000  437,775 
Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011  300,000  304,500 
Resorts International Hotel and Casino, Inc. company guaranty 11 1/2s,     
2009  345,000  386,400 
Russell Corp. company guaranty 9 1/4s, 2010  345,000  351,038 
Scientific Games Corp. company guaranty 6 1/4s, 2012  499,000  496,505 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014  560,000  562,800 
Standard Pacific Corp. sr. notes 7 3/4s, 2013  335,000  337,513 
Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 7/8s,     
2012  455,000  495,950 
Starwood Hotels & Resorts Worldwide, Inc. debs. 7 3/8s, 2015  425,000  461,125 
Station Casinos, Inc. sr. notes 6s, 2012  430,000  429,463 
Station Casinos, Inc. sr. sub. notes 6 7/8s, 2016  420,000  425,775 
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014  327,000  329,453 
Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013  331,000  369,893 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s, 2014  504,000  463,680 
Toys R Us, Inc. notes 7 5/8s, 2011  267,000  242,970 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015  87,000  83,955 
United Auto Group, Inc. company guaranty 9 5/8s, 2012  455,000  473,200 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009  669,000  658,965 
Vertis, Inc. 144A sub. notes 13 1/2s, 2009  620,000  527,000 
WCI Communities, Inc. company guaranty 10 5/8s, 2011  135,000  144,113 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st mtge. 6 5/8s,     
2014  428,000  409,275 
    24,553,649 

Page 2

Consumer Staples (3.0%)     
Affinity Group, Inc. sr. sub. notes 9s, 2012  445,000  445,000 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014  379,000  333,520 
Archibald Candy Corp. company guaranty 10s, 2007 (In default) (NON)     
(F)  89,453  19,053 
Brand Services, Inc. company guaranty 12s, 2012  490,000  516,338 
CCH I Holdings LLC 144A company guaranty stepped-coupon zero % (12     
1/8s, 1/15/07), 2015 (STP)  88,000  55,880 
CCH I Holdings LLC 144A company guaranty stepped-coupon zero % (11     
3/4s, 5/15/06), 2014 (STP)  66,000  47,190 
CCH I LLC 144A secd. notes 11s, 2015  633,000  617,175 
Charter Communications Holdings, LLC/Capital Corp. sr. notes 11 1/8s,     
2011  535,000  411,950 
Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2011  504,000  370,440 
Church & Dwight Co., Inc. company guaranty 6s, 2012  349,000  340,275 
Cinemark USA, Inc. sr. sub. notes 9s, 2013  235,000  242,638 
Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 3/15/07),     
2014 (STP)  805,000  563,500 
Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012  380,000  400,900 
CSC Holdings, Inc. debs. 7 5/8s, 2018  197,000  184,195 
CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011  300,000  294,750 
CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012  854,000  807,030 
Dean Foods Co. sr. notes 6 5/8s, 2009  718,000  739,540 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012  470,000  505,250 
Del Monte Corp. 144A sr. sub. notes 6 3/4s, 2015  250,000  251,250 
DirecTV Holdings, LLC 144A sr. notes 6 3/8s, 2015  775,000  769,188 
Diva Systems Corp. sr. disc. notes Ser. B, 12 5/8s, 2008 (In default)     
(NON)  1,656,000  8,280 
Echostar DBS Corp. company guaranty 6 5/8s, 2014  1,637,000  1,620,630 
Granite Broadcasting Corp. sec. notes 9 3/4s, 2010  412,000  376,980 
Interpublic Group of Companies, Inc. notes 6 1/4s, 2014  215,000  193,500 
Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada)  290,000  295,075 
Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada)  350,000  348,250 
Kabel Deutscheland GmbH 144A company guaranty 10 5/8s, 2014     
(Germany)  350,000  386,750 
Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013  563,000  532,035 
Playtex Products, Inc. company guaranty 9 3/8s, 2011  206,000  215,013 
Playtex Products, Inc. sec. notes 8s, 2011  630,000  659,925 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012  369,000  378,225 
Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012  366,000  390,248 
Remington Arms Co., Inc. company guaranty 10 1/2s, 2011  625,000  593,750 
Sbarro, Inc. company guaranty 11s, 2009  552,000  549,240 
Scotts Co. (The) sr. sub. notes 6 5/8s, 2013  215,000  221,450 
Six Flags, Inc. sr. notes 9 5/8s, 2014  275,000  270,875 
Young Broadcasting, Inc. company guaranty 10s, 2011  318,000  300,510 
Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014  300,000  266,250 
    15,522,048 
 
Energy (3.9%)     
Arch Western Finance, LLC sr. notes 6 3/4s, 2013  1,110,000  1,132,200 
Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012 (Cayman     
Islands)  408,000  442,680 
CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada)  355,000  363,875 
CHC Helicopter Corp. 144A sr. sub. notes 7 3/8s, 2014 (Canada)  265,000  271,625 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  903,000  961,695 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  420,000  423,150 
Dresser, Inc. company guaranty 9 3/8s, 2011  636,000  674,160 
Exco Resources, Inc. company guaranty 7 1/4s, 2011  595,000  615,825 
Forest Oil Corp. sr. notes 8s, 2011  465,000  513,825 
Forest Oil Corp. sr. notes 8s, 2008  185,000  196,563 
Gazprom OAO 144A notes 9 5/8s, 2013 (Germany)  240,000  297,900 
Grant Prideco Escrow, Inc. 144A sr. unsecd. notes 6 1/8s, 2015  153,000  154,530 
Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada)  456,000  450,300 
Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014  395,000  392,038 
Key Energy Services, Inc. sr. notes 6 3/8s, 2013  381,000  379,095 
Massey Energy Co. sr. notes 6 5/8s, 2010  639,000  651,780 
Nak Naftogaz Ukrainy bonds 8 1/8s, 2009 (Ukraine)  700,000  738,150 
Newfield Exploration Co. sr. notes 7 5/8s, 2011  620,000  677,350 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014  294,000  305,760 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  555,000  546,675 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011  435,001  454,330 
Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7 1/8s,     
2014  290,000  300,875 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  620,000  615,350 
Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)  616,000  668,576 
Pemex Project Funding Master Trust company guaranty 8 5/8s, 2022  405,000  495,113 
Pemex Project Funding Master Trust company guaranty Ser. REGS, 9     
1/2s, 2027  1,000,000  1,320,000 
Pemex Project Funding Master Trust 144A notes 5 3/4s, 2015  1,490,000  1,475,100 
Petroleum Geo-Services notes 10s, 2010 (Norway)  465,000  520,800 
Petronas Capital, Ltd. company guaranty 7 7/8s, 2022 (Malaysia)  510,000  634,950 
Plains Exploration & Production Co. sr. notes 7 1/8s, 2014  553,000  582,033 
Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012  481,000  519,480 
Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011  595,000  624,750 
Pride International, Inc. sr. notes 7 3/8s, 2014  675,000  733,219 
Seabulk International, Inc. company guaranty 9 1/2s, 2013  510,000  573,750 
Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s, 2013  571,000  465,365 
Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012  310,000  331,700 

Page 3

Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011  125,000  130,313 
    20,634,880 
 
Financial (1.4%)     
Bosphorus Financial Services, Ltd. 144A sec. FRN 5.59s, 2012 (Cayman     
Islands)  1,423,000  1,380,475 
China Development Bank notes 4 3/4s, 2014 (China)  170,000  165,768 
Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)  280,000  287,700 
Finova Group, Inc. notes 7 1/2s, 2009  379,900  148,161 
UBS Luxembourg SA (Sberbank RF) sub. notes FRN 6.23s, 2015     
(Luxembourg)  1,690,000  1,725,913 
VTB Capital SA bonds 6 1/4s, 2035 (Luxembourg)  1,585,000  1,650,381 
VTB Capital SA sr. notes 6 1/4s, 2035 (Luxembourg)  400,000  416,500 
VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)  1,200,000  1,317,000 
Western Financial Bank sub. debs. 9 5/8s, 2012  490,000  563,500 
    7,655,398 
 
Health Care (2.1%)     
Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012  155,000  155,388 
Coventry Health Care, Inc. sr. notes 5 7/8s, 2012  245,000  248,675 
DaVita, Inc. company guaranty 7 1/4s, 2015  265,000  268,644 
DaVita, Inc. company guaranty 6 5/8s, 2013  135,000  136,688 
Extendicare Health Services, Inc. sr. sub. notes 6 7/8s, 2014  253,000  249,205 
HCA, Inc. debs. 7.19s, 2015  235,000  242,848 
HCA, Inc. notes 8.36s, 2024  210,000  225,305 
HCA, Inc. notes 6 3/8s, 2015  164,000  162,254 
HCA, Inc. notes 6 1/4s, 2013  420,000  415,145 
HCA, Inc. notes 5 3/4s, 2014  202,000  192,541 
Healthsouth Corp. notes 7 5/8s, 2012  850,000  792,625 
MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012  515,000  544,613 
MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s,     
8/15/08), 2012 (STP)  675,000  428,625 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013  630,000  620,550 
PacifiCare Health Systems, Inc. company guaranty 10 3/4s, 2009  668,000  723,110 
Service Corp. International debs. 7 7/8s, 2013  63,000  66,780 
Service Corp. International notes Ser. *, 7.7s, 2009  230,000  241,500 
Service Corp. International 144A sr. notes 7s, 2017  127,000  128,270 
Service Corp. International 144A sr. notes 6 3/4s, 2016  406,000  408,030 
Stewart Enterprises, Inc. 144A sr. notes 6 1/4s, 2013  542,000  514,900 
Tenet Healthcare Corp. notes 7 3/8s, 2013  325,000  307,938 
Tenet Healthcare Corp. sr. notes 9 7/8s, 2014  995,000  1,039,775 
Triad Hospitals, Inc. sr. notes 7s, 2012  655,000  673,013 
Triad Hospitals, Inc. sr. sub. notes 7s, 2013  160,000  162,000 
Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011 (Canada)  465,000  476,625 
US Oncology, Inc. company guaranty 9s, 2012  350,000  378,000 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014  433,000  461,145 
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R)  260,000  295,100 
Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R)  135,000  135,675 
Ventas Realty LP/Capital Corp. 144A sr. notes 6 3/4s, 2010 (R)  153,000  155,295 
    10,850,262 
Technology (0.7%)     
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012  391,000  400,775 
Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014  934,000  994,710 
Iron Mountain, Inc. company guaranty 8 5/8s, 2013  160,000  168,000 
Iron Mountain, Inc. company guaranty 6 5/8s, 2016  140,000  131,600 
New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 (Cayman     
Islands)  11,000  7,645 
SCG Holding Corp. 144A notes zero %, 2011  275,000  462,000 
SunGard Data Systems, Inc. 144A sr. unsecd. notes 9 1/8s, 2013  256,000  265,280 
Xerox Corp. notes Ser. MTN, 7.2s, 2016  132,000  143,880 
Xerox Corp. sr. notes 7 5/8s, 2013  813,000  863,813 
    3,437,703 
 
Transportation (0.2%)     
American Airlines, Inc. pass-through certificates Ser. 01-1, 6.817s, 2011  396,000  363,330 
Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008  595,000  458,150 
    821,480 
 
Utilities & Power (2.4%)     
AES Corp. (The) sr. notes 8 7/8s, 2011  48,000  52,080 
AES Corp. (The) sr. notes 8 3/4s, 2008  28,000  29,610 
AES Corp. (The) 144A sec. notes 9s, 2015  436,000  479,600 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013  350,000  383,250 
Allegheny Energy Supply 144A bonds 8 1/4s, 2012  343,000  385,875 
ANR Pipeline Co. debs. 9 5/8s, 2021  206,000  253,800 
CMS Energy Corp. sr. notes 7 3/4s, 2010  155,000  166,625 
Colorado Interstate Gas Co. 144A sr. notes 5.95s, 2015  368,000  356,937 
DPL, Inc. sr. notes 6 7/8s, 2011  457,000  492,418 
Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013  650,000  724,750 
El Paso Natural Gas Co. debs. 8 5/8s, 2022  160,000  182,978 
El Paso Production Holding Co. company guaranty 7 3/4s, 2013  742,000  775,390 
Ferrellgas Partners LP/Ferrellgas Partners Finance sr. notes 6 3/4s, 2014  395,000  377,225 
Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034  469,000  522,349 

Page 4

Mission Energy Holding Co. sec. notes 13 1/2s, 2008      614,000  722,985 
Monongahela Power Co. 1st mtge. 6.7s, 2014      320,000  352,800 
National Power Corp. 144A foreign government guaranty FRN 8.073s,         
2011 (Philippines)      490,000  497,350 
Northwestern Corp. sec. notes 5 7/8s, 2014      247,000  249,529 
NRG Energy, Inc. company guaranty 8s, 2013      707,000  752,955 
Orion Power Holdings, Inc. sr. notes 12s, 2010      550,000  662,750 
PSEG Energy Holdings, Inc. notes 7 3/4s, 2007      515,000  526,588 
SEMCO Energy, Inc. sr. notes 7 3/4s, 2013      434,000  454,780 
Teco Energy, Inc. notes 7.2s, 2011      150,000  159,000 
Teco Energy, Inc. notes 7s, 2012      255,000  269,025 
Teco Energy, Inc. 144A sr. notes 6 3/4s, 2015      24,000  25,140 
Tennessee Gas Pipeline Co. debs. 7s, 2028      65,000  64,492 
Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017      127,000  136,868 
Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes 6 7/8s,         
2014      452,000  459,910 
Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026      350,000  381,063 
Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011 (Canada)      466,000  490,465 
Utilicorp United, Inc. sr. notes 9.95s, 2011      298,000  334,505 
Williams Cos., Inc. (The) notes 8 3/4s, 2032      120,000  141,600 
Williams Cos., Inc. (The) notes 7 5/8s, 2019      455,000  492,538 
Williams Cos., Inc. 144A notes 6 3/8s, 2010      128,000  129,280 
York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default)         
(NON) (F)      179,268  14,951 
        12,501,461 
 
Total corporate bonds and notes (cost $120,876,614)        $122,457,134 
U.S. GOVERNMENT AGENCY MORTGAGE OBLIGATIONS (9.2%)(a)         
      Principal amount   Value 
 
Federal Home Loan Mortgage Corporation Pass-Through Certificates         
6 1/2s, with due dates from April 1, 2024 to November 1, 2034      $ 6,149,641   $ 6,334,402 
Federal National Mortgage Association Pass-Through Certificates         
7 1/2s, September 1, 2022      11,325  12,011 
7s, June 1, 2032      1,342  1,406 
6 1/2s, with due dates from June 1, 2032 to December 1, 2034      2,698,009  2,778,683 
5 1/2s, with due dates from April 1, 2034 to September 1, 2034      8,552,886  8,557,137 
5 1/2s, TBA, October 1, 2035      15,800,000  15,795,063 
5s, with due dates from June 1, 2018 to February 1, 2020      1,044,798  1,043,272 
4 1/2s, with due dates from September 1, 2020 to May 1, 2034      13,898,700  13,537,716 
 
Total U.S. government agency mortgage obligations (cost        $48,059,690 
$48,261,523)         
 
U.S. TREASURY OBLIGATIONS (14.6%)(a)         
      Principal amount  Value 
U.S. Treasury Bonds         
6 1/4s, May 15, 2030      $ 17,389,000   $ 21,597,681 
6 1/4s, August 15, 2023      8,570,000  10,250,524 
U.S. Treasury Notes         
4 1/4s, August 15, 2013      16,078,000  16,020,219 
3 1/4s, August 15, 2008      12,217,000  11,909,667 
U.S. Treasury Strip zero %, November 15, 2024      40,835,000  16,762,441 
 
Total U.S. treasury obligations (cost $71,786,507)        $ 76,540,532 
FOREIGN GOVERNMENT BONDS AND NOTES (14.2%)(a)         
    Principal amount  Value 
Brazil (Federal Republic of) bonds 12 1/2s, 2016    $  1,427,000   $ 616,423 
Brazil (Federal Republic of) bonds 10 1/2s, 2014      2,945,000  3,563,450 
Brazil (Federal Republic of) bonds 8 7/8s, 2019      1,890,000  2,050,650 
Brazil (Federal Republic of) notes 11s, 2012      2,005,000  2,451,113 
Brazil (Federal Republic of) notes 8 3/4s, 2025      1,397,000  1,473,835 
Bulgaria (Republic of) 144A bonds 8 1/4s, 2015      713,000  881,625 
Canada (Government of) bonds 5 1/2s, 2010  CAD    1,800,000  1,676,515 
Canada (Government of) bonds Ser. WL43, 5 3/4s, 2029  CAD    585,000  616,562 
Colombia (Republic of) bonds 10 3/8s, 2033    $  300,000  390,750 
Colombia (Republic of) notes 10s, 2012      1,460,000  1,759,300 
France (Government of) bonds 5 3/4s, 2032  EUR    2,945,000  4,853,120 
France (Government of) bonds 5 1/2s, 2010  EUR    2,955,000  4,025,345 
France (Government of) bonds 4s, 2009  EUR    920,000  1,168,395 
France (Government of) bonds Ser. OATe, 3s, 2012  EUR    3,226,350  4,470,825 
Germany (Federal Republic of) bonds Ser. 97, 6s, 2007  EUR    4,710,000  6,024,257 
Indonesia (Republic of) FRN 3.813s, 2006    $  155,000  153,450 
Indonesia (Republic of) 144A notes 7 1/4s, 2015      1,310,000  1,306,725 
Ireland (Republic of) bonds 5s, 2013  EUR    5,700,000  7,806,541 
Japan (Government of) bonds Ser. 5, 0.8s, 2015  JPY    250,000,000  2,200,185 
Peru (Republic of) bonds 7.35s, 2025    $  190,000  201,400 
Philippines (Republic of) bonds 9 1/2s, 2024      2,520,000  2,721,600 
Philippines (Republic of) notes 8s, 2016      590,000  581,150 
Russia (Federation of) unsub. stepped-coupon 5s (7 1/2s, 3/31/07), 2030         
(STP)      607,000  697,443 
Russia (Federation of) 144A unsub. stepped-coupon 5s (7 1/2s, 3/31/07),         
2030 (STP)      3,164,575  3,636,097 
Russia (Ministry of Finance) debs. Ser. V, 3s, 2008      1,375,000  1,308,038 

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South Africa (Republic of) notes 7 3/8s, 2012      995,000  1,124,350 
South Africa (Republic of) notes 6 1/2s, 2014      1,030,000  1,130,425 
Spain (Kingome of) bonds 5s, 2012  EUR    1,800,000  2,447,647 
Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014  SEK    26,845,000  4,454,075 
United Mexican States bonds Ser. MTN, 8.3s, 2031    $  3,770,000  4,703,075 
United Mexican States notes 6 5/8s, 2015      1,730,000  1,881,375 
Venezuela (Republic of) bonds 9 1/4s, 2027      1,079,000  1,277,536 
Venezuela (Republic of) notes 10 3/4s, 2013      165,000  205,013 
Venezuela (Republic of) unsub. bonds 5 3/8s, 2010      625,000  608,750 
 
Total foreign government bonds and notes (cost $68,708,570)        $ 74,467,040 
 
ASSET-BACKED SECURITIES (10.1%)(a)         
 
      Principal amount  Value 
ABSC NIMS Trust 144A Ser. 03-HE5, Class A, 7s, 2033      $ 69,125   $ 69,125 
Aegis Asset Backed Securities Trust 144A         
Ser. 04-1N, Class Note, 5s, 2034      12,638  12,638 
Ser. 04-2N, Class N1, 4 1/2s, 2034      55,533  55,420 
Ser. 04-4N, Class Note, 5s, 2034      60,827  60,599 
Americredit Automobile Receivables Trust 144A Ser. 05-1, Class E, 5.82s,         
2012      490,000  488,329 
Ameriquest Finance NIM Trust 144A Ser. 04-RN9, Class N2, 10s, 2034         
(Cayman Islands)      235,000  216,200 
AQ Finance NIM Trust 144A Ser. 03-N9A, Class Note, 7.385s, 2033         
(Cayman Islands)      1,599  1,599 
Arcap REIT, Inc. 144A         
Ser. 03-1A, Class E, 7.11s, 2038      326,000  338,989 
Ser. 04-1A, Class E, 6.42s, 2039      175,000  177,270 
Asset Backed Funding Corp. NIM Trust 144A         
Ser. 04-0PT1, Class N2, 6.9s, 2033 (Cayman Islands)      127,000  126,999 
Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)      59,863  59,752 
Ser. 04-FF1, Class N1, 5s, 2034 (Cayman Islands)      71,471  71,484 
Ser. 04-FF1, Class N2, 5s, 2034 (Cayman Islands)      30,000  27,651 
Ser. 04-HE1, Class N2, 8s, 2034      197,000  192,672 
Aviation Capital Group Trust 144A FRN Ser. 03-2A, Class G1, 4.496s,         
2033      248,085  248,453 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4, 4.798s, 2011      270,000  275,094 
Bayview Financial Asset Trust Ser. 03-X, Class A, IO, 0.62s, 2006      10,040,557  170,019 
Bear Stearns Asset Backed Securities NIM Trust 144A         
Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)      92,455  91,979 
Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)      119,397  119,397 
Ser. 04-HE7N, Class A1, 5 1/4s, 2034      83,650  83,650 
Bear Stearns Asset Backed Securities, Inc. Ser. 04-FR3, Class M6, 7.08s,         
2034      223,000  228,428 
Bombardier Capital Mortgage Securitization Corp.         
Ser. 00-A, Class A2, 7.575s, 2030      127,381  90,465 
Ser. 00-A, Class A4, 8.29s, 2030      467,794  342,952 
Ser. 99-B, Class A3, 7.18s, 2015      888,832  583,852 
Ser. 99-B, Class A4, 7.3s, 2016      608,885  439,313 
FRB Ser. 00-A, Class A1, 3.928s, 2030      135,646  70,536 
CARSSX Finance, Ltd. 144A         
FRB Ser. 04-AA, Class B3, 7.118s, 2011 (Cayman Islands)      113,787  114,547 
FRB Ser. 04-AA, Class B4, 9.268s, 2011 (Cayman Islands)      234,326  237,554 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C, 4.848s, 2010      110,000  112,188 
CHEC NIM Ltd., 144A         
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)      85,110  85,105 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)      73,000  72,583 
Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands)      45,000  38,700 
Conseco Finance Securitizations Corp.         
Ser. 00-2, Class A4, 8.48s, 2030      160,276  159,640 
Ser. 00-4, Class A4, 7.73s, 2031      977,648  938,835 
Ser. 00-4, Class A5, 7.97s, 2032      187,000  156,801 
Ser. 00-4, Class A6, 8.31s, 2032      2,644,000  2,274,633 
Ser. 00-6, Class A5, 7.27s, 2032      78,000  73,195 
Ser. 00-6, Class M2, 8.2s, 2032      304,200  12,168 
Ser. 01-1, Class A5, 6.99s, 2032      97,000  90,408 
Ser. 01-3, Class A3, 5.79s, 2033      9,380  9,534 
Ser. 01-3, Class A4, 6.91s, 2033      2,422,000  2,364,817 
Ser. 01-3, Class M2, 7.44s, 2033      168,194  21,024 
Ser. 01-4, Class A4, 7.36s, 2033      209,000  209,424 
Ser. 01-4, Class B1, 9.4s, 2033      332,273  44,857 
Ser. 02-1, Class A, 6.681s, 2033      1,585,189  1,626,739 
FRB Ser. 01-4, Class M1, 5.483s, 2033      241,000  93,990 
Consumer Credit Reference IDX Securities 144A FRB Ser. 02-1A, Class         
A, 5.924s, 2007      697,000  707,176 
Countrywide Asset Backed Certificates 144A         
Ser. 04-6N, Class N1, 6 1/4s, 2035      455,719  456,147 
Ser. 04-BC1N, Class Note, 5 1/2s, 2035      63,552  63,493 
Countrywide Home Loans Ser. 05-2, Class 2X, IO, 0.886s, 2035      7,459,016  181,814 
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)      361,000  361,397 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E, 7.672s, 2039      1,380,000  1,416,010 
First Consumers Master Trust FRB Ser. 01-A, Class A, 4.078s, 2008      149,843  149,093 
First Franklin Mortgage Loan NIM Trust 144A Ser. 04-FF10, Class N1,         
4.45s, 2034 (Cayman Islands)      107,865  107,717 
Fremont NIM Trust 144A         
Ser. 04-3, Class A, 4 1/2s, 2034      91,269  90,813 
Ser. 04-3, Class B, 7 1/2s, 2034      40,041  35,116 
Ser. 04-A, Class Note, 4 3/4s, 2034      16,597  16,551 
Granite Mortgages PLC         

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FRB Ser. 02-1, Class 1C, 4.92s, 2042 (United Kingdom)      280,000  282,761 
FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)  EUR    1,225,000  1,592,218 
FRB Ser. 03-2, Class 3C, 6.19s, 2043 (United Kingdom)  GBP    920,000  1,683,696 
Green Tree Financial Corp.         
Ser. 94-4, Class B2, 8.6s, 2019    $  300,871  226,244 
Ser. 94-6, Class B2, 9s, 2020      691,199  584,483 
Ser. 95-4, Class B1, 7.3s, 2025      289,077  284,922 
Ser. 95-8, Class B1, 7.3s, 2026      285,417  222,221 
Ser. 95-F, Class B2, 7.1s, 2021      87,324  87,487 
Ser. 96-8, Class M1, 7.85s, 2027      304,000  263,103 
Ser. 99-3, Class A5, 6.16s, 2031      57,594  57,954 
Ser. 99-5, Class A5, 7.86s, 2030      3,480,000  3,091,498 
Greenpoint Manufactured Housing         
Ser. 00-3, Class IA, 8.45s, 2031      2,276,481  2,186,549 
Ser. 99-5, Class A4, 7.59s, 2028      94,294  97,296 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011      607,269  601,902 
GSAMP Trust 144A         
Ser. 04-FM1N, Class Note, 5 1/4s, 2033      10,132  10,132 
Ser. 04-HE1N, Class N1, 5s, 2034      47,638  47,628 
Ser. 04-NIM1, Class N1, 5 1/2s, 2034      401,113  401,032 
Ser. 04-NIM1, Class N2, zero %, 2034      404,000  297,627 
Ser. 04-NIM2, Class N, 4 7/8s, 2034      501,915  499,907 
Ser. 04-SE2N, Class Note, 5 1/2s, 2034      25,389  25,364 
Guggenheim Structured Real Estate Funding, Ltd. FRB Ser. 05-1A, Class         
E, 5.63s, 2030 (Cayman Islands)      281,000  280,607 
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A,         
Class E, 5.83s, 2030      289,000  289,000 
Holmes Financing PLC         
FRB Ser. 4, Class 3C, 4.899s, 2040 (United Kingdom)      170,000  170,976 
FRB Ser. 8, Class 2C, 4.319s, 2040 (United Kingdom)      192,000  192,780 
Home Equity Asset Trust 144A         
Ser. 02-5N, Class A, 8s, 2033      22,380  22,380 
Ser. 04-5N, Class A, 5 1/4s, 2034      115,339  114,762 
Ser. 05-6N, Class A, 5 1/4s, 2035      184,618  183,925 
LNR CDO, Ltd. 144A         
FRB Ser. 02-1A, Class FFL, 6.58s, 2037 (Cayman Islands)      1,135,000  1,136,362 
FRB Ser. 03-1A, Class EFL, 6.83s, 2036 (Cayman Islands)      660,000  705,078 
Long Beach Asset Holdings Corp. NIM Trust 144A         
Ser. 04-2, Class N1, 4.94s, 2034      28,391  28,391 
Ser. 04-5, Class Note, 5s, 2034      81,609  81,601 
 
Long Beach Mortgage Loan Trust Ser. 04-3, Class S1, IO, 4 1/2s, 2006      1,011,795  37,285 
Lothian Mortgages PLC 144A FRB Ser. 3A, Class D, 5.436s, 2039 (United         
Kingdom)  GBP    700,000  1,238,230 
Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class         
B1, 7.08s, 2032    $  925,076  462,538 
Master Asset Backed Securities NIM Trust 144A         
Ser. 04-CI5, Class N2, 9s, 2034      111,000  110,661 
Ser. 04-HE1A, Class Note, 5.191s, 2034      67,007  67,208 
MBNA Credit Card Master Note Trust FRB Ser. 03-C5, Class C5, 4.948s,         
2010      110,000  111,925 
 
Merrill Lynch Mortgage Investors, Inc. Ser. 03-WM3N, Class N1, 8s, 2034      5,228  5,210 
Merrill Lynch Mortgage Investors, Inc. 144A         
Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)      42,656  42,669 
Ser. 04-HE1N, Class N1, 5s, 2006      39,027  38,893 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038      129,807  131,636 
 
Morgan Stanley ABS Capital I FRB Ser. 04-HE8, Class B3, 7.03\s, 2034      181,000  185,254 
Morgan Stanley Auto Loan Trust 144A Ser. 04-HB2, Class E, 5s, 2012      134,000  130,790 
Morgan Stanley Dean Witter Capital I         
FRB Ser. 01-NC3, Class B1, 6.28s, 2031      65,402  65,402 
FRB Ser. 01-NC4, Class B1, 6.33s, 2032      74,363  74,462 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR, Class 2A1, 5.475s,         
2035      1,947,954  1,960,053 
Navistar Financial Corp. Owner Trust         
Ser. 04-B, Class C, 3.93s, 2012      99,097  97,747 
Ser. 05-A, Class C, 4.84s, 2014      215,000  213,613 
New Century Mortgage Corp. NIM Trust 144A Ser. 03-B, Class Note, 6         
1/2s, 2033      6,173  6,177 
Oakwood Mortgage Investors, Inc.         
Ser. 00-A, Class A2, 7.765s, 2017      157,543  131,895 
Ser. 00-D, Class A4, 7.4s, 2030      709,000  495,014 
Ser. 01-C, Class A2, 5.92s, 2017      1,037,175  594,722 
Ser. 01-C, Class A4, 7.405s, 2030      512,550  330,188 
Ser. 01-D, Class A4, 6.93s, 2031      476,690  363,692 
Ser. 01-E, Class A2, 5.05s, 2019      909,019  708,109 
Ser. 02-A, Class A2, 5.01s, 2020      156,583  126,190 
Ser. 02-B, Class A4, 7.09s, 2032      344,000  310,785 
Ser. 02-C, Class A1, 5.41s, 2032      1,426,984  1,245,811 
Ser. 99-B, Class A4, 6.99s, 2026      1,068,034  944,014 
Ser. 99-D, Class A1, 7.84s, 2029      979,658  892,287 
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030      218,173  201,262 
Ocean Star PLC 144A         
FRB Ser. 04-A, Class E, 10.28s, 2018 (Ireland)      377,000  377,000 
FRB Ser. 05-A, Class D, zero %, 2012 (Ireland)      175,000  175,000 
Park Place Securities NIM Trust 144A Ser. 04-WCW2, Class D, 7.387s,         
2034 (Cayman Islands)      56,000  56,213 
People's Choice Net Interest Margin Note 144A Ser. 04-2, Class B, 5s,         
2034      80,000  72,480 

Page 7

Permanent Financing PLC         
FRB Ser. 1, Class 3C, 5.034s, 2042 (United Kingdom)      170,000  170,466 
FRB Ser. 3, Class 3C, 4.984s, 2042 (United Kingdom)      280,000  284,637 
FRB Ser. 6, Class 3C, 5.273s, 2042 (United Kingdom)  GBP    686,000  1,213,465 
Providian Gateway Master Trust Ser. 02, Class B, PO, zero %, 2006    $ 1,078,000  1,062,496 
Residential Asset Securities Corp. 144A Ser. 04-N10B, Class A1, 5s, 2034      187,054  186,324 
Residential Mortgage Securities 144A FRB Ser. 20A, Class B1A, 5.322s,         
2038 (United Kingdom)      100,000  175,634 
Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026      92,693  93,924 
SAIL Net Interest Margin Notes 144A         
Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands)      57,552  52,890 
Ser. 03-13A, Class A, 6 3/4s, 2033 (Cayman Islands)      2,895  2,895 
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)      21,730  21,708 
Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands)      3,922  3,616 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)      28,340  25,024 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)      4,306  4,306 
Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)      32,449  27,971 
Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)      7,925  4,430 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)      14,109  8,507 
Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)      63,462  42,710 
Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)      248,304  247,311 
Ser. 04-2A, Class A, 5 1/2s, 2034 (Cayman Islands)      117,003  113,610 
Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands)      109,978  109,978 
Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands)      84,794  84,709 
Ser. 04-7A, Class B, 6 3/4s, 2034 (Cayman Islands)      39,961  39,162 
Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)      79,907  79,907 
Ser. 04-8A, Class B, 6 3/4s, 2034 (Cayman Islands)      128,684  118,389 
Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)      95,146  94,927 
Sasco Net Interest Margin Trust 144A         
Ser. 03-BC1, Class B, zero %, 2033 (Cayman Islands)      233,686  105,159 
Ser. 05-WF1A, Class A, 4 3/4s, 2035      280,987  280,144 
Sharps SP I, LLC Net Interest Margin Trust 144A         
Ser. 03-0P1N, Class NA, 4.45s, 2033      8,714  8,714 
Ser. 04-FM1N, Class N, 6.16s, 2033      2,700  2,711 
Ser. 04-HE2N, Class NA, 5.43s, 2034      37,954  37,859 
Ser. 04-HS1N, Class Note, 5.92s, 2034      9,727  9,727 
South Coast Funding 144A FRB Ser. 3A, Class A2, 4.96s, 2038 (Cayman         
Islands)      120,000  120,048 
Structured Asset Investment Loan Trust Ser. 03-BC1A, Class A, 7 3/4s,         
2033 (Cayman Islands)      27,706  27,706 
Structured Asset Receivables Trust 144A FRB Ser. 05-1, 4.334s, 2015      1,351,213  1,331,789 
TIAA Real Estate CD0, Ltd. Ser. 03-1A, Class E, 8s, 2038 (Cayman         
Islands)      395,000  378,216 
TIAA Real Estate CD0, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037         
(Cayman Islands)      351,000  331,224 
Wells Fargo Home Equity Trust 144A         
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)      301,899  301,519 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)      168,000  162,960 
Wells Fargo Mortgage Backed Securities Trust Ser. 05-AR13, Class 1A4,         
IO, 0.742s, 2035      13,053,681  101,982 
Whole Auto Loan Trust 144A         
Ser. 03-1, Class D, 6s, 2010      187,502  187,473 
Ser. 04-1, Class D, 5.6s, 2011      280,667  279,352 
 
Total asset-backed securities (cost $53,706,210)        $ 52,654,814 
 
SENIOR LOANS (10.0%)(a)(c)         
 
      Principal amount   Value 
 
 
Basic Materials (0.9%)         
Graphic Packaging Corp. bank term loan FRN Ser. C, 6.035s, 2010      $ 136,882   $ 138,833 
Hercules, Inc. bank term loan FRN Ser. B, 5.306s, 2010      172,375  174,013 
Huntsman International Corp. bank term loan FRN Ser. B, 5.522s, 2012      1,021,777  1,029,258 
Innophos, Inc. bank term loan FRN 6.109s, 2010      199,474  201,635 
Koch Cellulose, LLC bank term loan FRN 5.193s, 2011      24,376  24,661 
Koch Cellulose, LLC bank term loan FRN Ser. B, 5.24s, 2011      124,989  126,447 
Nalco Co. bank term loan FRN Ser. B, 5.813s, 2010      214,449  217,666 
Novelis, Inc. bank term loan FRN 5.46s, 2012      285,281  288,401 
Novelis, Inc. bank term loan FRN Ser. B, 5.46s, 2012      495,488  500,908 
Rockwood Specialties Group, Inc. bank term loan FRN Ser. D, 5.93s,         
2012      1,741,250  1,767,369 
        4,469,191 
 
Capital Goods (1.0%)         
Allied Waste Industries, Inc. bank term loan FRN Ser. A, 5.894s, 2012      270,270  272,222 
Allied Waste Industries, Inc. bank term loan FRN Ser. B, 5.851s, 2012      708,091  713,079 
Amsted Industries, Inc. bank term loan FRN 6.14s, 2010      180,144  182,921 
Flowserve Corp. bank term loan FRN 5.63s, 2012      300,000  304,050 
Graham Packaging Co., Inc. bank term loan FRN Ser. B, 6.149s, 2011      299,246  302,940 
Hexcel Corp. bank term loan FRN Ser. B, 5.363s, 2012      1,442,222  1,456,644 
Invensys, PLC bank term loan FRN Ser. B-1, 6.881s, 2009 (United         
Kingdom)      81,873  82,487 
Mueller Group, Inc. bank term loan FRN 6.372s, 2011      391,632  393,591 
Mueller Group, Inc. bank term loan Ser. B, FRN 5.766s, 2012      600,000  604,200 
Solo Cup Co. bank term loan FRN 5.679s, 2011      123,125  123,340 
Terex Corp. bank term loan FRN 5.68s, 2009      100,000  101,063 

Page 8

Terex Corp. bank term loan FRN Ser. C, 6.18s, 2009  550,000  556,188 
Transdigm, Inc. bank term loan FRN Ser. C, 5.8s, 2010  347,355  351,986 
    5,444,711 
 
Communication Services (0.9%)     
Centennial Cellular Operating Co., LLC bank term loan FRN Ser. B,     
5.695s, 2011  349,114  352,169 
Consolidated Communications Holdings bank term loan FRN Ser. D,     
5.926s, 2011  107,615  108,691 
Intelsat Bermuda, Ltd. bank term loan FRN Ser. B, 5 1/4s, 2011     
(Bermuda)  448,869  452,610 
Madison River Capital, LLC. bank term loan FRN Ser. B, 6.22s, 2012  850,000  862,750 
PanAmSat Corp. bank term loan FRN Ser. B1, 6.107s, 2010  69,473  70,360 
Qwest Communications International, Inc. bank term loan FRN Ser. A,     
8.53s, 2007  65,000  67,031 
SBA Communications Corp. bank term loan FRN Ser. D, 6.002s, 2008  1,316,690  1,324,920 
Syniverse Holdings, Inc. bank term loan FRN Ser. B, 5.713s, 2012  298,706  300,946 
Valor Telecommunications Enterprises LLC/Finance Corp. bank term loan     
FRN Ser. B, 5.552s, 2012  1,066,667  1,079,047 
    4,618,524 
 
Consumer Cyclicals (2.0%)     
Adams Outdoor Advertising, LP bank term loan FRN 5.641s, 2012  1,080,680  1,095,089 
Ashtead Group PLC bank term loan FRN Ser. B, 6.063s, 2009 (United     
Kingdom)  200,000  202,667 
Boise Cascade Corp. bank term loan FRN Ser. D, 5.314s, 2011  199,499  202,391 
Boyd Gaming Corp. bank term loan FRN Ser. B, 4.935s, 2010  498,737  503,725 
Coinmach Service Corp. bank term loan FRN Ser. B, 6.746s, 2009  117,594  119,064 
Dex Media West, LLC/Dex Media Finance Co. bank term loan FRN Ser. B,     
5.471s, 2010  150,407  151,118 
Goodyear Tire & Rubber Co. (The) bank term loan FRN 6.32s, 2010  175,000  177,078 
Hayes Lemmerz International, Inc. bank term loan FRN 7.007s, 2009  118,166  117,955 
IESI Corp. bank term loan FRN Ser. B, 5.659s, 2011  525,000  532,219 
Jostens IH Corp. bank term loan FRN Ser. C, 5.938s, 2010  1,083,505  1,099,487 
Journal Register Co. bank term loan FRN Ser. B, 5.129s, 2012  400,000  402,875 
Landsource, Inc. bank term loan FRN Ser. B, 6 1/4s, 2010  50,000  50,313 
Masonite International Corp. bank term loan FRN 5.656s, 2013 (Canada)  373,931  374,909 
Masonite International Corp. bank term loan FRN Ser. B, 5.656s, 2013     
(Canada)  374,569  375,548 
Movie Gallery, Inc. bank term loan FRN Ser. B, 6.49s, 2011  299,250  297,155 
Penn National Gaming, Inc. bank term loan FRN Ser. B, 5.12s, 2012  150,000  151,711 
PRIMEDIA, Inc. bank term loan FRN 5.766s, 2013  150,000  151,313 
PRIMEDIA, Inc. bank term loan FRN Ser. B, 6 5/8s, 2009  109,007  108,871 
R.H. Donnelley Finance Corp. bank term loan FRN Ser. D, 5.493s, 2011  213,661  215,058 
Raycom Media, Inc. bank term loan FRN Ser. B, 5 1/2s, 2012  1,500,000  1,505,625 
Resorts International Hotel and Casino, Inc. bank term loan FRN Ser. B,     
6.2s, 2012  391,732  394,181 
Sealy Mattress Co. bank term loan FRN Ser. D, 5.572s, 2012  213,670  215,873 
Trump Hotel & Casino Resort, Inc. bank term loan FRN Ser. B, 6.139s,     
2012  124,688  125,831 
Trump Hotel & Casino Resort, Inc. bank term loan FRN Ser. DD, 5.62s,     
2012 (U)  125,000  126,146 
TRW Automotive, Inc. bank term loan FRN Ser. B, 5 1/4s, 2010  422,278  426,413 
Venetian Casino Resort, LLC bank term loan FRN Ser. B, 5.24s, 2011  854,986  861,666 
Venetian Casino Resort, LLC bank term loan FRN Ser. DD, 5.462s, 2011  176,286  177,663 
William Carter Holdings Co. (The) bank term loan FRN Ser. B, 5.706s,     
2012  100,000  101,438 
    10,263,382 
 
Consumer Staples (2.1%)     
AMF Bowling Worldwide bank term loan FRN Ser. B, 6.741s, 2009  87,072  87,725 
BLB (Wembley) bank term loan FRN 6.079s, 2011 (United Kingdom)  100,000  101,438 
Century Cable Holdings bank term loan FRN 8 3/4s, 2009  900,000  892,607 
Charter Communications PLC bank term loan FRN Ser. B, 6.93s, 2011     
(United Kingdom)  643,063  645,689 
Cinemark, Inc. bank term loan FRN Ser. C, 5.436s, 2011  200,000  202,100 
Constellation Brands, Inc. bank term loan FRN Ser. B, 5.299s, 2011  967,258  979,711 
DirecTV Holdings, LLC bank term loan FRN Ser. B, 5.338s, 2013  433,333  438,028 
Dole Food Co., Inc. bank term loan FRN Ser. B, 5.496s, 2012  124,388  125,671 
Gray Television, Inc. bank term loan FRN Ser. B, 5.01s, 2012  200,000  200,875 
Insight Midwest LP/Insight Capital, Inc. bank term loan FRN 5 5/8s, 2009  68,775  69,746 
Jack-in-the-Box, Inc. bank term loan FRN 5.446s, 2008  149,242  150,548 
Jean Coutu Group, Inc. bank term loan FRN Ser. B, 5.938s, 2011  398,992  405,102 
Loews Cineplex Entertainment Corp. bank term loan FRN Ser. B, 5.88s,     
2011  250,000  250,860 
Mediacom Communications Corp. bank term loan FRN Ser. B, 6s, 2012  992,500  1,007,542 
MGM Studios, Inc. bank term loan FRN Ser. B, 5.74s, 2011  700,000  708,114 
Olympus Cable Holdings, LLC bank term loan FRN Ser. B, 8 3/4s, 2010  440,000  436,779 
Regal Cinemas, Inc. bank term loan FRN Ser. B, 5.49s, 2010  992,443  1,001,902 
Six Flags, Inc. bank term loan FRN Ser. B, 6.364s, 2009  332,565  335,593 
Spanish Broadcasting Systems, Inc. bank term loan FRN 5.49s, 2012  345,000  349,959 
Spectrum Brandd, Inc. bank term loan FRN Ser. B, 5.675s, 2013  1,095,498  1,107,365 

Page 9

Sun Media Corp. bank term loan FRN Ser. B, 5.68s, 2009 (Canada)  151,603  153,309 
Universal City Development bank term loan FRN Ser. B, 5.687s, 2011  496,250  502,246 
Warner Music Group bank term loan FRN Ser. B, 5.7s, 2011  296,251  299,399 
Young Broadcasting, Inc. bank term loan FRN Ser. B, 5.766s, 2012  648,375  652,157 
    11,104,465 
 
Energy (0.2%)     
Dresser, Inc. bank term loan FRN 6.91s, 2010  150,000  152,250 
Kerr-McGee Corp. bank term loan FRN Ser. B, 6.311s, 2011  250,000  251,000 
 
Key Energy Services, Inc. bank term loan FRN Ser. B, 6.266s, 2012 (U)  850,000  862,750 
    1,266,000 
 
Financial (0.6%)     
CCM Merger, Inc. bank term loan FRN Ser. B, 5.933s, 2012  598,500  599,996 
Fidelity National Information Solutions bank term loan FRN Ser. B, 5.478s,     
2013  982,635  985,793 
General Growth Properties, Inc. bank term loan FRN Ser. A, 5.95s, 2007     
(R)  623,370  626,331 
General Growth Properties, Inc. bank term loan FRN Ser. B, 5.67s, 2008     
(R)  696,684  705,044 
Hilb, Rogal & Hamilton Co. bank term loan FRN Ser. B, 5 3/4s, 2011  215,758  217,646 
    3,134,810 
 
Health Care (0.9%)     
Alderwoods Group, Inc. bank term loan FRN 5.748s, 2009  551,490  558,728 
Beverly Enterprises, Inc. bank term loan FRN 6.241s, 2008  122,500  122,653 
Community Health Systems, Inc. bank term loan FRN Ser. B, 5.61s, 2011  248,246  251,401 
Concentra bank term loan FRN 6.03s, 2009  180,777  181,681 
DaVita, Inc. bank term loan FRN Ser. B, 5.37s, 2012  700,000  709,820 
Express Scripts, Inc. bank term loan FRN Ser. B, 5.241s, 2010  370,181  372,032 
Fisher Scientific International, Inc. bank term loan FRN Ser. B, 4.99s, 2011  98,750  99,429 
Hanger Orthopedic Group, Inc. bank term loan FRN 7 3/4s, 2009  96,261  99,593 
Kinetic Concepts, Inc. bank term loan FRN Ser. B, 5.24s, 2011  69,346  70,155 
LifePoint, Inc. bank term loan FRN Ser. B, 5.435s, 2012  668,671  674,880 
Mylan Laboratories, Inc. bank term loan FRN Ser. D, 7 1/4s, 2010  250,000  253,229 
Veterinary Centers of America bank term loan FRN Ser. B, 5.188s, 2011  242,382  244,805 
Warner Chilcott Corp. bank term loan FRN Ser. B, 6.411s, 2012  543,181  546,673 
Warner Chilcott Corp. bank term loan FRN 5.901s, 2012 (U)  22,082  22,176 
Warner Chilcott Corp. bank term loan FRN Ser. C, 6.359s, 2012  218,875  220,282 
Warner Chilcott Corp. bank term loan FRN Ser. D, 6.359s, 2012  101,114  101,764 
Warner Chilcott Corp. bank term loan FRN 5.314s, 2012 (U)  110,410  110,879 
    4,640,180 
 
Technology (0.8%)     
AMI Semiconductor, Inc. bank term loan FRN 5.2s, 2012  699,125  701,455 
Iron Mountain, Inc. bank term loan FRN 5.531s, 2011  1,488,750  1,499,916 
SunGard Data Systems, Inc. bank term loan FRN Ser. B, 6.28s, 2013  1,250,000  1,263,779 
UGS Corp. bank term loan FRN Ser. C, 5.67s, 2012  377,379  382,568 
Xerox Corp. bank term loan FRN 5.43s, 2008  150,000  151,125 
    3,998,843 
 
Transportation (0.1%)     
Rail America, Inc. bank term loan FRN Ser. B, 5 7/8s, 2011  50,000  50,833 
Travelcenters of America bank term loan FRN Ser. B, 5.518s, 2011  400,000  404,000 
    454,833 
 
Utilities & Power (0.6%)     
Allegheny Energy, Inc. bank term loan FRN Ser. C, 5.769s, 2011  243,450  246,797 
El Paso Corp. bank term loan FRN 3.24s, 2009  159,000  160,590 
El Paso Corp. bank term loan FRN Ser. B, 6.438s, 2009  763,569  772,053 
NRG Energy, Inc. bank term loan FRN 3.49s, 2011  744,797  751,004 
NRG Energy, Inc. bank term loan FRN Ser. B, 5.255s, 2011  952,809  960,748 
Williams Cos., Inc. (The) bank term loan FRN Ser. C, 6.025s, 2007  97,759  98,736 
    2,989,928 
 
Total senior loans (cost $52,189,308)    $ 52,384,867 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (10.0%)(a)     
 
  Principal amount  Value 
Banc of America Commercial Mortgage, Inc. 144A     
Ser. 01-1, Class J, 6 1/8s, 2036   $ 125,000   $ 122,415 
Ser. 01-1, Class K, 6 1/8s, 2036  282,000  213,408 
Banc of America Large Loan 144A     
FRB Ser. 02-FL2A, Class L1, 6.89s, 2014  111,000  111,014 
FRB Ser. 05-BOCA, Class M, 5.868s, 2016  205,000  205,421 
FRB Ser. 05-ESHA, Class K, 5.68s, 2020  531,000  531,000 
FRB Ser. 05-BOCA, Class L, 5.468s, 2016  193,000  193,455 
FRB Ser. 05-BOCA, Class K, 5.118s, 2016  200,000  200,410 

Page 10

Bear Stearns Commercial Mortgage Securitization Corp. Ser. 00-WF2,         
Class F, 8.455s, 2032      189,000  219,311 
Broadgate Financing PLC sec. FRB Ser. D, 5.507s, 2023 (United         
Kingdom)  GBP    351,450  620,312 
Commercial Mortgage Pass-Through Certificates 144A FRB Ser. 01-         
FL5A, Class G, 4.366s, 2013    $ 800,000  796,000 
CS First Boston Mortgage Securities Corp. 144A         
FRB Ser. 03-TF2A, Class L, 7.768s, 2014      292,000  290,654 
Ser. 1998-C2, Class F, 6 3/4s, 2030      500,000  539,941 
Ser. 98-C1, Class F, 6s, 2040      758,000  617,171 
FRB Ser. 05-TFLA, Class L, 5.618s, 2020      534,000  533,997 
FRB Ser. 00-FL1A, Class D, 5.518s, 2009      160,026  159,226 
Ser. 02-CP5, Class M, 5 1/4s, 2035      275,000  212,905 
FRB Ser. 05-TFLA, Class K, 5.068s, 2020      142,000  141,999 
Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1, Class X, Interest         
Only (IO), 1.056s, 2031      17,932,112  373,352 
DLJ Commercial Mortgage Corp.         
Ser. 98-CF2, Class B4, 6.04s, 2031      226,150  224,228 
Ser. 98-CF2, Class B5, 5.95s, 2031      723,280  529,441 
DLJ Mortgage Acceptance Corp. 144A         
Ser. 97-CF1, Class B2, 8.16s, 2030      212,000  148,400 
Ser. 97-CF1, Class B1, 7.91s, 2030      206,000  213,539 
European Loan Conduit FRB Ser. 6X, Class E, 6.379s, 2010 (United         
Kingdom)  GBP    286,216  510,642 
European Loan Conduit 144A FRB Ser. 6A, Class F, 6.879s, 2010 (United         
Kingdom)  GBP    105,650  188,884 
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 5.469s,         
2014 (United Kingdom)    $ 275,000  486,448 
Fannie Mae         
IFB Ser. 98-51, Class SG, IO, 23.76s, 2022      76,149  38,452 
IFB Ser. 05-74, Class CP, 10.707s, 2035      491,311  536,450 
IFB Ser. 02-36, Class SJ, 10.55s, 2029      195,928  201,209 
Ser. 92-15, Class L, IO, 10.376s, 2022      393  4,372 
IFB Ser. 05-74, Class CS, 9.488s, 2035      560,649  597,617 
Ser. 00-42, Class B2, 8s, 2030      29,014  31,307 
Ser. 00-17, Class PA, 8s, 2030      142,881  153,762 
Ser. 00-18, Class PA, 8s, 2030      134,159  144,339 
Ser. 00-19, Class PA, 8s, 2030      142,037  152,879 
Ser. 00-20, Class PA, 8s, 2030      80,707  86,991 
Ser. 00-21, Class PA, 8s, 2030      236,239  254,473 
Ser. 00-22, Class PA, 8s, 2030      171,116  184,126 
Ser. 97-37, Class PB, 8s, 2027      398,404  431,493 
Ser. 97-13, Class TA, 8s, 2027      57,663  62,442 
Ser. 97-21, Class PA, 8s, 2027      237,645  257,072 
Ser. 97-22, Class PA, 8s, 2027      449,774  487,018 
Ser. 97-16, Class PE, 8s, 2027      155,305  168,121 
Ser. 97-25, Class PB, 8s, 2027      147,867  159,982 
Ser. 95-12, Class PD, 8s, 2025      92,901  100,455 
Ser. 95-5, Class A, 8s, 2025      110,316  119,550 
Ser. 95-5, Class TA, 8s, 2025      26,669  28,985 
Ser. 95-6, Class A, 8s, 2025      75,833  82,154 
Ser. 95-7, Class A, 8s, 2025      95,279  103,321 
Ser. 94-106, Class PA, 8s, 2024      145,372  157,687 
Ser. 94-95, Class A, 8s, 2024      221,517  240,417 
Ser. 04-W8, Class 3A, 7 1/2s, 2044      417,284  443,012 
Ser. 04-W2, Class 5A, 7 1/2s, 2044      1,494,013  1,586,036 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043      349,907  371,118 
Ser. 03-W4, Class 4A, 7 1/2s, 2042      114,927  121,339 
Ser. 03-W3, Class 1A3, 7 1/2s, 2042      279,090  295,372 
Ser. 02-T19, Class A3, 7 1/2s, 2042      236,157  249,934 
Ser. 03-W2, Class 1A3, 7 1/2s, 2042      3,416  3,617 
Ser. 02-W1, Class 2A, 7 1/2s, 2042      471,757  496,279 
Ser. 02-14, Class A2, 7 1/2s, 2042      2,043  2,159 
Ser. 01-T10, Class A2, 7 1/2s, 2041      329,233  347,263 
Ser. 02-T4, Class A3, 7 1/2s, 2041      1,127  1,189 
Ser. 01-T8, Class A1, 7 1/2s, 2041      2,310  2,433 
Ser. 01-T7, Class A1, 7 1/2s, 2041      1,283,292  1,350,027 
Ser. 01-T3, Class A1, 7 1/2s, 2040      195,301  205,631 
Ser. 01-T1, Class A1, 7 1/2s, 2040      607,124  640,650 
Ser. 99-T2, Class A1, 7 1/2s, 2039      251,655  266,334 
Ser. 00-T6, Class A1, 7 1/2s, 2030      122,037  128,383 
Ser. 02-W7, Class A5, 7 1/2s, 2029      192,946  204,086 
Ser. 01-T4, Class A1, 7 1/2s, 2028      582,617  618,978 
Ser. 02-W3, Class A5, 7 1/2s, 2028      721  762 
IFB Ser. 05-66, Class PS, 7.3s, 2035      346,050  334,181 
Ser. 01-T10, Class A1, 7s, 2041      1,136,102  1,184,642 
Ser. 03-58, Class ID, IO, 6s, 2033      602,028  115,890 
Ser. 03-26, Class IG, IO, 6s, 2033      515,032  100,522 
Ser. 322, Class 2, IO, 6s, 2032      487,349  97,655 
Ser. 318, Class 2, IO, 6s, 2032      640,514  128,146 
Ser. 350, Class 2, IO, 5 1/2s, 2034      1,013,803  215,713 
Ser. 338, Class 2, IO, 5 1/2s, 2033      3,576,604  771,548 
Ser. 333, Class 2, IO, 5 1/2s, 2033      1,029,044  222,232 
Ser. 329, Class 2, IO, 5 1/2s, 2033      2,652,058  563,085 
Ser. 03-37, Class IC, IO, 5 1/2s, 2027      1,657,864  158,015 
Ser. 03-6, Class IB, IO, 5 1/2s, 2022      30,830  85 
Ser. 03-118, Class S, IO, 4.27s, 2033      897,686  97,343 
IFB Ser. 02-36, Class QH, IO, 4.22s, 2029      424,506  9,371 
IFB Ser. 03-66, Class SA, IO, 3.82s, 2033      1,289,983  99,167 
IFB Ser. 04-51, Class S0, IO, 3.22s, 2034      329,273  19,032 
IFB Ser. 05-87, Class SG, IO, 3.03s, 2035      3,034,000  179,196 

Page 11

IFB Ser. 05-92, Class SC, IO, 2.99s, 2035  3,034,000  195,314 
IFB Ser. 05-83, Class SL, IO, 2.95s, 2035  6,288,000  362,010 
IFB Ser. 05-72, Class WS, IO, 2.92s, 2035  860,977  67,673 
IFB Ser. 05-67, Class BS, IO, 2.32s, 2035  1,604,819  69,709 
IFB Ser. 05-87, Class SE, IO, 2.3s, 2035  12,040,000  504,175 
IFB Ser. 05-74, Class SE, IO, 2.27s, 2035  1,956,682  74,904 
Ser. 03-W10, Class 1A, IO, 1.382s, 2043  5,000,765  82,825 
Ser. 03-W10, Class 3A, IO, 1.365s, 2043  6,035,406  105,620 
Ser. 03-W17, Class 12, IO, 1.155s, 2033  3,130,268  94,361 
Ser. 00-T6, IO, 0.762s, 2030  5,410,445  77,775 
Ser. 02-T18, IO, 0.522s, 2042  8,776,589  106,625 
Ser. 99-51, Class N, Principal Only (PO), zero %, 2029  96,926  80,574 
Ser. 99-52, Class MO, PO, zero %, 2026  25,411  24,497 
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities     
Ser. T-59, Class 1A3, 7 1/2s, 2043  480,186  510,149 
Ser. T-58, Class 4A, 7 1/2s, 2043  4,728  4,995 
Ser. T-41, Class 3A, 7 1/2s, 2032  1,141,774  1,203,517 
Ser. T-60, Class 1A2, 7s, 2044  2,153,837  2,254,721 
Ser. T-57, Class 1AX, IO, 0.451s, 2043  2,634,725  25,557 
FFCA Secured Lending Corp. Ser. 00-1, Class X, IO, 1.486s, 2020  8,292,073  517,319 
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s,     
2035  351,000  225,134 
Freddie Mac     
IFB Ser. 2763, Class SC, 13.527s, 2032  357,811  393,460 
Ser. 2229, Class PD, 7 1/2s, 2030  161,781  172,752 
Ser. 2224, Class PD, 7 1/2s, 2030  165,666  176,900 
Ser. 2217, Class PD, 7 1/2s, 2030  168,474  179,898 
Ser. 2187, Class PH, 7 1/2s, 2029  376,757  402,305 
Ser. 1989, Class C, 7 1/2s, 2027  55,235  58,980 
Ser. 1990, Class D, 7 1/2s, 2027  153,662  164,083 
Ser. 1969, Class PF, 7 1/2s, 2027  133,010  142,030 
Ser. 1975, Class E, 7 1/2s, 2027  35,154  37,538 
Ser. 1943, Class M, 7 1/2s, 2027  82,444  88,035 
Ser. 1932, Class E, 7 1/2s, 2027  114,537  122,304 
Ser. 1938, Class E, 7 1/2s, 2027  47,850  51,095 
Ser. 1941, Class E, 7 1/2s, 2027  38,812  41,444 
Ser. 1924, Class H, 7 1/2s, 2027  126,450  135,024 
Ser. 1928, Class D, 7 1/2s, 2027  49,044  52,370 
Ser. 1915, Class C, 7 1/2s, 2026  111,432  118,988 
Ser. 1923, Class D, 7 1/2s, 2026  132,474  141,458 
Ser. 1904, Class D, 7 1/2s, 2026  145,947  155,844 
Ser. 1905, Class H, 7 1/2s, 2026  127,627  136,282 
Ser. 1890, Class H, 7 1/2s, 2026  122,423  130,725 
Ser. 1895, Class C, 7 1/2s, 2026  64,536  68,912 
Ser. 2256, Class UA, 7s, 2030  45,199  47,649 
Ser. 2208, Class PG, 7s, 2030  395,785  417,244 
Ser. 2211, Class PG, 7s, 2030  223,257  235,362 
Ser. 2198, Class PH, 7s, 2029  327,313  345,059 
Ser. 2054, Class H, 7s, 2028  827,776  872,657 
Ser. 2031, Class PG, 7s, 2028  90,197  95,088 
Ser. 2020, Class E, 7s, 2028  456,554  481,308 
Ser. 1998, Class PL, 7s, 2027  194,535  205,083 
Ser. 1999, Class PG, 7s, 2027  318,782  336,066 
Ser. 2004, Class BA, 7s, 2027  187,443  197,606 
Ser. 2005, Class C, 7s, 2027  147,432  155,426 
Ser. 2005, Class CE, 7s, 2027  164,694  173,623 
Ser. 2006, Class H, 7s, 2027  471,252  496,802 
Ser. 2006, Class T, 7s, 2027  301,242  317,575 
Ser. 1987, Class AP, 7s, 2027  97,691  102,988 
Ser. 1987, Class PT, 7s, 2027  156,766  165,266 
Ser. 1978, Class PG, 7s, 2027  281,161  296,405 
Ser. 1973, Class PJ, 7s, 2027  335,937  354,151 
Ser. 1725, Class D, 7s, 2024  64,499  67,996 
Ser. 2008, Class G, 7s, 2023  24,352  25,672 
Ser. 1750, Class C, 7s, 2023  144,753  152,601 
Ser. 1530, Class I, 7s, 2023  153,856  162,198 
Ser. 216, IO, 6s, 2031  1,859,571  362,743 
Ser. 226, IO, 5 1/2s, 2034  819,662  179,448 
Ser. 2515, Class IG, IO, 5 1/2s, 2032  1,209,000  268,900 
Ser. 2626, Class IK, IO, 5 1/2s, 2030  578,501  100,213 
Ser. 2590, Class IH, IO, 5 1/2s, 2028  622,000  108,850 
Ser. 2833, Class IK, IO, 5 1/2s, 2023  428,832  53,571 
Ser. 3045, Class DI, IO, 5s, 2035  5,412,600  282,473 
IFB Ser. 3031, Class BI, IO, 3.1s, 2035  663,000  55,083 
IFB Ser. 3033, Class SF, IO, 3.097s, 2012  1,025,000  67,906 
IFB Ser. 2937, Class SY, IO, 2.332s, 2035  755,549  28,333 
Ser. 3045, Class DO, PO, zero %, 2035  413,900  329,309 
Ser. 215, PO, zero %, 2031  203,098  178,854 
Ser. 2235, PO, zero %, 2030  202,991  169,370 
FRB Ser. 3022, Class TC, zero %, 2035  178,678  194,899 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 00-1, Class F, 7.789s, 2033  134,000  143,044 
Ser. 00-1, Class G, 6.131s, 2033  468,000  437,596 
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G,     
6.974s, 2036  418,345  337,269 
Government National Mortgage Association     
IFB Ser. 05-68, Class SI, IO, 2.66s, 2035  5,551,000  328,989 
IFB Ser. 05-51, Class SJ, IO, 2.404s, 2035  1,689,543  88,173 
IFB Ser. 05-68, Class S, IO, 2.404s, 2029  3,350,000  175,960 
Ser. 99-31, Class MP, PO, zero %, 2029  349,738  298,985 

Page 12

Ser. 98-2, Class EA, PO, zero %, 2028      93,104  75,938 
GS Mortgage Securities Corp. II 144A FRB Ser. 03-FL6A, Class L, 7.018s,         
2015      178,000  179,001 
IStar Asset Receivables Trust 144A FRB Ser. 03-1A         
Class F, 4.741s, 2022      149,724  149,814 
Class E, 4.691s, 2022      190,558  190,672 
LB Commercial Conduit Mortgage Trust 144A         
Ser. 99-C1, Class G, 6.41s, 2031      199,915  190,433 
Ser. 98-C4, Class J, 5.6s, 2035      379,000  345,480 
Lehman Brothers Floating Rate Commercial Mortgage Trust 144A FRB         
Ser. 03-LLFA, Class L, 7 1/2s, 2014      567,000  561,139 
Mach One Commercial Mortgage Trust 144A         
Ser. 04-1A, Class J, 5.45s, 2040      463,000  385,303 
Ser. 04-1A, Class K, 5.45s, 2040      167,000  135,798 
Ser. 04-1A, Class L, 5.45s, 2040      76,000  55,572 
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.114s,         
2028      4,813,996  201,962 
Morgan Stanley Capital I 144A Ser. 04-RR, Class F7, 6s, 2039      1,380,000  984,513 
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.461s, 2012      2,564,938  43,757 
Permanent Financing PLC FRB Ser. 8, Class 2C, 4.234s, 2042 (United         
Kingdom)      433,000  432,803 
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2010      157,000  150,512 
QFA Royalties, LLC 144A Ser. 05-1, 7.3s, 2025      524,939  518,880 
Quick Star PLC FRB Class 1-D, 5.56s, 2011 (United Kingdom)  GBP    346,729  613,329 
STRIPS 144A         
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)      133,000  109,902 
Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)      158,000  118,765 
Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)      143,000  118,165 
Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)      137,000  102,980 
Titan Europe PLC 144A         
FRB Ser. 05-CT1A, Class D, 5.639s, 2014 (United Kingdom)  GBP    310,000  548,359 
FRB Ser. 04-2A, Class D, 3.019s, 2014 (Ireland)  EUR    306,000  368,883 
FRB Ser. 04-2A, Class C, 2.619s, 2014 (Ireland)  EUR    383,000  461,707 
URSUS EPC 144A FRB Ser. 1-A, Class D, 4.416s, 2012 (Ireland)  GBP    333,000  587,939 
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A,         
Class L, 7.068s, 2018    $ 363,000  361,594 
 
Total collateralized mortgage obligations (cost $53,524,907)        $ 52,243,546 
 
BRADY BONDS (0.3%)(a)         
 
      Principal amount Value 
Brazil (Federal Republic of) FRB Ser. 18 YR, 2.188s, 2012      $ 1,239,428   $ 1,220,836 
Brazil (Federal Republic of) FRB Ser. RG, 4.313s, 2012      403,535  397,482 
Peru (Republic of) FRB Ser. 20 YR, 5s, 2017      192,700  188,846 
 
Total brady bonds (cost $1,526,705)        $ 1,807,164 
PREFERRED STOCKS (0.3%)(a)         
      Shares  Value 
Doane Pet Care Co. $7.125 pfd.      6,336   $ 595,584 
Dobson Communications Corp. 13.00% pfd.      4  5,600 
First Republic Capital Corp. 144A 10.50% pfd.      310  341,000 
Paxson Communications Corp. 14.25% cum. pfd. (PIK)      34  231,200 
Rural Cellular Corp. Ser. B, 11.375% cum. pfd.      325  404,625 
 
Total preferred stocks (cost $1,079,999)        $ 1,578,009 
CONVERTIBLE PREFERRED STOCKS (0.2%)(a)         
      Shares  Value 
Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.      2,026   $ 89,651 
Paxson Communications Corp. 144A 9.75% cv. pfd. (PIK)      58  232,000 
Williams Cos., Inc. (The) 144A $2.75 cv. pfd.      5,850  679,331 
 
Total convertible preferred stocks (cost $894,606)        $ 1,000,982 
COMMON STOCKS (0.2%)(a)         
      Shares  Value 
AMRESCO Creditor Trust (acquired 6/17/99, cost $45,106) (F)(RES)         
(NON)      640,000   $ 640 
Birch Telecom, Inc. (F) (NON)      800  1 
Comdisco Holding Co., Inc.      413  7,124 
Contifinancial Corp. Liquidating Trust Units      2,443,632  24,436 
Covad Communications Group, Inc. (NON) (S)      13,547  14,360 
Crown Castle International Corp. (NON)      420  10,345 
Dobson Communications Corp. (NON)      1,519  11,666 
Genesis HealthCare Corp. (NON)      832  33,546 
iPCS, Inc. (NON)      287  11,939 
Knology, Inc. (NON)      182  479 
Knology, Inc. (Rights) (F) (NON)      182  26 
Northwestern Corp.      4,563  137,757 
Sterling Chemicals, Inc. (NON)      139  3,336 

Page 13

Sun Healthcare Group, Inc. (NON)        722  5,314 
USA Mobility, Inc. (NON)        16  432 
VFB LLC (acquired various dates from 6/22/99 to 12/8/03, cost $535,954)           
(RES) (NON)        815,601  167,198 
Washington Group International, Inc. (NON)        4,568  246,170 
WHX Corp. (NON)        16,354  179,894 
 
Total common stocks (cost $4,276,678)          $ 854,663 
 
UNITS (0.1%)(a)           
 
        Units  Value 
Morrison Knudsen Corp.        790,000   $ 53,325 
XCL Equity Units (F)        842  573,991 
 
Total units (cost $1,736,787)          $ 627,316 
CONVERTIBLE BONDS AND NOTES (0.1%)(a)           
 
          Principal amount  Value 
Cybernet Internet Services International, Inc. 144A cv. sr. disc. notes 13s,           
2009 (Canada) (In default) (NON)       $ 1,940,000   $ 19 
Lear Corp. cv. company guaranty zero %, 2022        202,000  90,648 
Manor Care, Inc. 144A cv. sr. notes 2 1/8s, 2035        65,000  66,544 
WCI Communities, Inc. cv. sr. sub. notes 4s, 2023        215,000  251,550 
 
Total convertible bonds and notes (cost $2,019,293)          $ 408,761 
WARRANTS (--%)(a) (NON)           
  Expiration date  Strike price    Warrants  Value 
Dayton Superior Corp. 144A  6/15/09  $0.01    890   $ 1 
MDP Acquisitions PLC 144A  10/1/13  EUR 0.001    422  11,816 
Mikohn Gaming Corp. 144A  8/15/08  $7.70    350  7,784 
TravelCenters of America, Inc.  5/1/09  0.001    330  413 
Ubiquitel, Inc. 144A  4/15/10  22.74    1,420  1 
Washington Group International, Inc. Ser. A  1/25/06  28.50    2,819  70,665 
Washington Group International, Inc. Ser. B  1/25/06  31.74    3,224  70,374 
Washington Group International, Inc. Ser. C  1/25/06  33.51    1,740  34,901 
 
Total warrants (cost $151,058)          $ 195,955 
 
EQUITY VALUE CERTIFICATES (--%)(a) (COST $49,666)           
 

 

Maturity
date 

  Certificates Value 
ONO Finance PLC 144A (United Kingdom)  3/16/11     360   $ 4 
 
SHORT-TERM INVESTMENTS (9.6%)(a)           
 
      Principal   
        amount/shares  Value 
 
Putnam Prime Money Market Fund (e)        49,851,277  $49,851,277 
Short-term investments held as collateral for loaned securities with yields           
ranging from 3.77% to 4.09% and due dates ranging from October 3, 2005           
to November 1, 2005 (d)      $ 15,257  15,240 
U. S. Treasury Bill 3.10%, November 3, 2005 (SEG)        428,000  426,790 
 
Total short-term investments (cost $50,293,307)          $ 50,293,307 
 
TOTAL INVESTMENTS           
 
Total investments (cost $531,081,738)(b)          $ 535,573,784 

Page 14

Putnam VT Diversified Income Fund
FORWARD CURRENCY CONTRACTS TO SELL at 9/30/05 (aggregate face value $86,976,669) (Unaudited)

          Unrealized 
        Aggregate  Delivery  appreciation/ 
  Value      face value  date  (depreciation) 
Australian Dollar  $ 4,302,967  $ 4,237,946  10/19/05   $ (65,021) 
British Pound  7,585,329    7,777,541  12/21/05  192,212 
Canadian Dollar  7,866,649    7,621,696  10/19/05  (244,953) 
Euro  39,970,843    40,595,625  12/21/05  624,782 
Japanese Yen  6,657,257    6,733,658  11/16/05  76,401 
Norwegian Krone  1,305,347    1,358,766  12/21/05  53,419 
Singapore Dollar  1,335,791    1,369,269  11/16/05  33,478 
Swedish Krona  11,348,932    11,690,587  12/21/05  341,655 
Swiss Franc  5,475,724    5,591,581  12/21/05  115,857 
Total          $ 1,127,830 

Page 1

 

Putnam VT Diversified Income Fund
FORWARD CURRENCY CONTRACTS TO BUY at 9/30/05 (aggregate face value $64,990,399) (Unaudited)

            Unrealized 
      Aggregate  Delivery    appreciation/ 
  Value    face value  date    (depreciation) 
Australian Dollar  $ 15,793,930  $ 15,575,780  10/19/05  $ 218,150 
British Pound  12,773,726    13,200,361  12/21/05    (426,635) 
Canadian Dollar  2,558,298    2,526,277  10/19/05    32,021 
Danish Krone  1,021,232    1,054,288  12/21/05    (33,056) 
Japanese Yen  16,595,463    17,038,785  11/16/05    (443,322) 
Korean Won  1,338,635    1,373,916  11/16/05    (35,281) 
Norwegian Krone  9,602,147    9,969,343  12/21/05    (367,196) 
Polish Zloty  414,175    425,449  12/21/05    (11,274) 
Swedish Krona  2,478,383    2,461,137  12/21/05    17,246 
Swiss Franc  1,305,594    1,365,063  12/21/05    (59,469) 
Total          $ (1,108,816) 

Page 1

Putnam VT Diversified Income Fund             
FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)             
            Unrealized 
  Number of      Expiration    appreciation/ 
  contracts    Value  date    (depreciation) 
Euro-Bobl 5 yr (Long)  70  $ 9,619,894  Dec-05  $ (71,934) 
Euro-Bund 10 yr (Short)  68    10,044,278  Dec-05    52,937 
Japanese Government Bond 10 yr - TSE (Short)  2    2,429,403  Dec-05    33,702 
U.K. Gilt 10 yr (Long)  16    3,190,530  Dec-05    (19,283) 
U.S. Treasury Bond 20 yr (Short)  431    49,309,094  Dec-05    678,738 
U.S. Treasury Note 10 yr (Long)  81    8,903,672  Dec-05    (96,457) 
U.S. Treasury Note 5 yr (Long)  650    69,458,594  Dec-05    (442,662) 
U.S. Treasury Note 2 yr (Short)  70    14,412,344  Dec-05    33,696 
Total          $ 168,737 

 

Putnam VT Diversified Income Fund
TBA SALE COMMITMENTS OUTSTANDING at 9/30/05 (proceeds receivable $10,901,029) (Unaudited)

  Principal    Settlement      
Agency  amount   date      Value 
FHLMC, 6 1/2s, October 1, 2035  $ 5,890,000    10/13/05  $ 6,053,356 
FNMA, 5 1/2s, October 1, 2035  4,800,000    10/13/05    4,798,500 
Total      $ 10,851,856 

Putnam VT Diversified Income Fund       
 
 
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date   (depreciation) 
Agreement with Bank of America, N.A. dated August 30, 2005 to       
receive semi-annually the notional amount multiplied by 4.53125% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.   $ 400,000  9/1/15   $  (7,729) 

Agreement with Bank of America, N.A. dated December 2, 2003 to pay  		     
semi-annually the notional amount multiplied by 2.444% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  5,369,000  12/5/05  (14,656) 

Agreement with Bank of America, N.A. dated January 22, 2004 to pay  		     
semi-annually the notional amount multiplied by 1.97375% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  5,900,000  1/26/06  59,793 

Agreement with Bank of America, N.A. dated January 22, 2004 to pay  		     
semi-annually the notional amount multiplied by 4.35% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  1,800,000  1/27/14  45,976 

Agreement with Bank of America, N.A. dated March 25, 2004 to pay  		     
semi-annually the notional amount multiplied by 3.075% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  13,700,000  3/30/09  673,491 

Agreement with Citibank N.A. dated July 12, 2005 to pay  		     
annually the notional amount multiplied by 2.7515% and       
receive semi-annually the notional amount multiplied by the       
six month EURIBOR-T248.  EUR 4,300,000  7/14/10  5,048 

Agreement with Citibank N.A. dated July 12, 2005 to receive  		     
annually the notional amount multiplied by 3.4% and pay       
semi-annually the notional amount multiplied by the six       
month NOKDOM-NIBR.  NOK 35,500,000  7/14/10  (31,360) 

Agreement with Citibank N.A. dated July 20, 2005 to pay  		     
annually the notional amount multiplied by 2.825% and       
receive semi-annually the notional amount multiplied by the       
six month EURIBOR-T248.  EUR 1,700,000  7/22/10  (4,475) 

Agreement with Citibank, N.A. dated July 20, 2005 to receive annually  		     
the notional amount multiplied by 3.52% and pay semi-annually the       
notional amount multiplied by the six month NOKDOM-NIBR.  NOK 14,000,000  7/22/10  (1,992) 

Agreement with Credit Suisse First Boston dated May 18,  		     
2005 to pay semi-annually the notional amount multiplied by       
4.6325% and receive quarterly the notional amount       
multiplied by the three month GBP-LIBOR-BBA.  GBP 18,000,000  5/18/07  (462,625) 

Agreement with Credit Suisse First Boston International dated July 7,  		     
2004 to pay semi-annually the notional amount multiplied by 4.945%       
and receive quarterly the notional amount multiplied by the three       
month USD-LIBOR.  $ 4,835,700  7/9/14  (79,661) 

Agreement with Credit Suisse First Boston International dated July 7,  		     
2004 to receive semi-annually the notional amount multiplied by       
2.931% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  4,287,700  7/9/06  (54,646) 

Agreement with JPMorgan Chase Bank, N.A. dated May 6, 2005 to       
pay semi-annually the notional amount multiplied by 4.062% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  20,000,000  5/10/07  (62,139) 

Agreement with JPMorgan Chase Bank, N.A. dated May 6, 2005 to  		     
pay semi-annually the notional amount multiplied by 5.062% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  5,000,000  5/10/35  (98,120) 

Agreement with JPMorgan Chase Bank, N.A. dated May 6, 2005 to  		     
receive semi-annually the notional amount multiplied by 4.687% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  11,000,000  5/10/15  71,413 

Agreement with Lehman Brothers Special Financing, Inc. dated  		     
December 9, 2003 to receive semi-annually the notional amount       
multiplied by 4.641% and pay quarterly the notional amount multiplied       
by the three month USD-LIBOR-BBA.  7,839,000  12/15/13  43,569 

Agreement with Lehman Brothers Special Financing, Inc. dated  		     
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 1.955% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  5,900,000  1/26/06  59,873 

Agreement with Lehman Brothers Special Financing, Inc. dated  		     
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 4.3375% and receive quarterly the notional amount multiplied by       
the three month USD-LIBOR-BBA.  1,800,000  1/26/14  47,317 

Agreement with Lehman Brothers Special Financing, Inc.  		     
dated September 21, 2005 to pay semi-annually the notional       
amount multiplied by the six month JPY-LIBOR-BBA and       
receive semi-annually the notional amount multiplied by       
0.2725%.  JPY 6,100,000,000  9/26/07  (36,340) 

Agreement with Lehman Brothers Special Financing, Inc.  		     
dated September 21, 2005 to receive semi-annually the       
notional amount multiplied by the six month JPY-LIBOR-BBA       
and pay semi-annually the notional amount multiplied by       
1.05625%.  JPY 1,500,000,000  9/26/12  108,121 
 

Agreement with Lehman Brothers Special Financing, Inc.  		     
dated September 28, 2005 to pay annually the notional       
amount multiplied by 3.2385% and receive semi-annually the       
notional amount multiplied by the six month EURIBOR.  EUR 20,000,000  9/30/15  54,430 

Agreement with Lehman Brothers Special Financing, Inc.  		     
dated September 28, 2005 to receive annually the notional       
amount multiplied by 2.47% and pay semi-annually the       
notional amount multiplied by the six month EURIBOR.  EUR 39,000,000  9/28/07  (53,066) 

Agreement with Lehman Brothers Special Financing, Inc.  		     
dated September 28, 2005 to receive annually the notional       
amount multiplied by 3.734% and pay semi-annually the       
notional amount multiplied by the six month EURIBOR.  EUR 7,100,000  9/30/35  (4,144) 

Agreement with Merrill Lynch Capital Services Inc. dated July  		     
22, 2005 to pay annually the notional amount multiplied by       
2.801% and receive semi-annually the notional amount       
multiplied by the six month EURIBOR.  EUR 2,700,000  7/26/10  (3,313) 

Agreement with Merrill Lynch Capital Services Inc. dated July  		     
22, 2005 to receive annually the notional amount multiplied       
by 3.54% and pay semi-annually the notional amount       
multiplied by the six month NIBOR.  NOK 20,900,000  7/26/10  (875) 

Agreement with Merrill Lynch Capital Services, Inc. dated         
February 16, 2005 to receive semi-annually the notional         
amount multiplied by the six month EURIBOR and pay         
annually the notional amount multiplied by 2.5645%.  EUR 36,100,000  2/19/07    (674,988) 

Agreement with Merrill Lynch Capital Services, Inc. dated June 9, 2005  		       
to pay semi-annually the notional amount multiplied by the six month         
JPY-LIBOR-BBA and receive semi-annually the notional amount         
multiplied by 1.7275%.  JPY 1,100,000,000  6/14/20    (239,836) 

Agreement with Merrill Lynch Capital Services, Inc. dated October 27,  		       
2000 to receive semi-annually the notional amount multiplied by 6.74%         
and pay quarterly the notional amount multiplied by the three month         
USD-LIBOR. 

 

$5,600,000 

10/31/05    136,613 
 
Agreement with UBS AG dated April 4, 2005 to pay quarterly the         
notional amount multiplied by 2.61% and receive semi-annually the         
notional amount multiplied by the six month EUR-EURIBOR-Telerate.  EUR 59,000,000  4/6/07    (301,124) 
 
Total      $ (825,445) 

Putnam VT Diversified Income Fund       
 
 
CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)       
      Unrealized 
  Notional    appreciation/ 
  amount    (depreciation) 
 
Agreement with Bank of America, N.A. effective April 14, 2005, maturing on June 20, 2010, to       
receive/(pay) a premium based on the difference between the original spread on issue and the       
market spread on day of execution and receive quarterly 360 basis points times the notional       
amount. Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund       
makes a payment of the proportional notional amount times the difference between the par value       
and the then-market value of the reference entity within the DJ HY CDX 3 Index.  $ 1,386,000  $  (6,271) 
 
 
Agreement with Bank of America, N.A. on April 13, 2005, maturing on June 20, 2010, to       
receive/(pay) a premium based on the difference between the original spread on issue and the       
market spread on day of execution and receive quarterly 360 basis points times the notional       
amount. Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund       
makes a payment of the proportional notional amount times the difference between the par value       
and the then-market value of the reference entity within the DJ HY CDX 3 Index.  693,000    12,622 
 
 
Agreement with Bank of America, N.A. on August 16, 2005, maturing on June 20, 2010, to       
receive/(pay) a premium based on the difference between the original spread on issue and the       
market spread on day of execution and pay quarterly 360 basis points times the notional amount.       
Upon a credit default event of a reference entity within the CDX HY Series 4 Index, the fund       
receives a payment of the proportional notional amount times the difference between the par       
value and the then-market value of the reference entity within the CDX HY Series 4 Index.  3,762,000    (6,615) 
 
 
Agreement with Bank of America, N.A. on August 17, 2005, maturing on June 20, 2010, to       
receive/(pay) a premium based on the difference between the original spread on issue and the       
market spread on day of execution and pay quarterly 360 basis points times the notional amount.       
Upon a credit default event of a reference entity within the CDX HY Series 4 Index, the fund       
receives a payment of the proportional notional amount times the difference between the par       
value and the then-market value of the reference entity within the CDX HY Series 4 Index.  1,881,000    (5,604) 
 
 
Agreement with Bank of America, N.A. on September 13, 2005, maturing on June       
20, 2010, to receive/(pay) a premium based on the difference between the original       
spread on issue and the market spread on day of execution and pay quarterly 90       
basis points times the notional amount. Upon a credit default event of a reference       
entity within the DJ CDX IG HVOL Series 4 Index, the fund receives a payment of the       
proportional notional amount times the difference between the par value and the       
then-market value of the reference entity within the DJ CDX IG HVOL Series 4 Index.  2,552,000    10,616 
 
 
Agreement with Bank of America, N.A. on September 8, 2005, maturing on June 20,       
2010, to receive/(pay) a premium based on the difference between the original       
spread on issue and the market spread on day of execution and pay quarterly 360       
basis points times the notional amount. Upon a credit default event of a reference       
entity within the CDX HY Series 4 Index, the fund receives a payment of the       
proportional notional amount times the difference between the par value and the       
then-market value of the reference entity within the CDX HY Series 4 Index.  767,250    (912) 
 
Agreement with Citigroup Financial Products, Inc. effective August 19, 2005, maturing on June       
20, 2012, to receive/(pay) a premium based on the difference between the original spread on       
issue and the market spread on day of execution and pay quarterly 55 basis points times the       
notional amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4       
Index, the fund receives a payment of the proportional notional amount times the difference       
between the par value and the then-market value of the reference entity within the DJ IG CDX       
Series 4 Index.  1,687,000    183 

Agreement with Citigroup Financial Products, Inc. effective June 10, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 360 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ HY CDX 5     
year Series 4 Index.  1,819,620  (31,612) 
 
 
Agreement with Citigroup Financial Products, Inc. on April 15, 2005, maturing on     
June 20, 2010, to receive quarterly 180 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-     
35% tranche, the fund makes a payment of the proportional notional amount times     
the difference between the par value and the then-market value of the reference     
entity within the DJ HY CDX 4 Index 25-35% tranche.  1,800,000  91,980 
 
 
Agreement with Citigroup Financial Products, Inc. on April 28, 2005, maturing on     
June 20, 2010, to receive quarterly 201 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-     
35% tranche, the fund makes a payment of the proportional notional amount times     
the difference between the par value and the then-market value of the reference     
entity within the DJ HY CDX 4 Index 25-35% tranche.  1,800,000  108,716 
 
 
Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing on     
June 20, 2012, to receive quarterly 62 basis points times the notional amount. Upon     
a credit default event of a reference entity within the DJ IG CDX Series 4 Index,7-     
10% tranche, the fund makes a payment of the proportional notional amount times     
the difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX Series 4 Index, 7-10% tranche.  1,687,000  18,511 
 
 
Agreement with Citigroup Financial Products, Inc. on June 10, 2005, maturing on     
June 20, 2010, to pay quarterly 677.5 basis points times the notional amount. Upon     
a credit default event of a reference entity within the DJ IG CDX 5 year Series 4     
Index 3-7% tranche, the fund receives a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.  1,838,000  (24,662) 
 
 
Agreement with Citigroup Financial Products, Inc. on June 14, 2005, maturing on     
June 20, 2015, to receive quarterly 619 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series     
4 Index 3-7% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.  1,106,000  (59,017) 
 
 
Agreement with Deutsche Bank AG effective August 8, 2005, maturing on June 20, 2010, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and to pay quarterly 40 basis points times the notional     
amount. Upon a credit default event of any reference entity within the DJ IG CDX Series 4 Index,     
the fund receives a payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  1,688,000  (1,550) 
 
 
Agreement with Deutsche Bank AG on April 15, 2005, maturing on June 20, 2010, to     
receive quarterly 183 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund     
make a payment of the proportional notional amount times the difference between     
the par value and the then-market value of the reference entity within the DJ HY     
CDX 4 Index 25-35% tranche.  1,800,000  93,599 

Agreement with Deutsche Bank AG on August 8, 2005, maturing on June 20, 2010,     
to receive quarterly 44 basis points times the notional amount. Upon a credit     
default event of a reference entity within the DJ IG CDX 4 Index 7-10% tranche, the     
fund makes a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
DJ IG CDX 4 Index 7-10% tranche.  1,688,000  11,618 
 
 
Agreement with Deutsche Bank AG on July 14, 2005, maturing on June 20, 2012, to     
receive quarterly 35.5 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index, 10-15% tranche,     
the fund makes a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
DJ IG CDX Series 4 Index, 10-15% tranche.  839,000  7,516 
 
 
Agreement with Deutsche Bank AG on September 8, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original     
spread on issue and the market spread on day of execution and pay quarterly 500     
basis points times the notional amount. Upon a credit default event of a reference     
entity within the DJ CDX HY Series 4 Index HB, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ CDX HY Series 4 Index HB.  750,133  4,239 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on April 13, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 360 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund     
receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ HY CDX 3 Index.  693,000  9,705 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 18, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 40 basis points times the notional     
amount. Upon a credit default event of a reference entity within the CDX IG Series 4 Index, the     
fund receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the CDX IG Series 4 Index.  1,108,900  206 
 
 
Agreement with Goldman Sachs Capital Markets, L.P.on August 19, 2005, maturing on June 20,     
2012, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 55 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4 Index,     
the fund receives a payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  801,250  3,143 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on May 20, 2005, maturing on     
June 20, 2010, to receive quarterly 500 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series     
4 Index 0-3% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche.  661,000  33,993 
 
Agreement with Goldman Sachs Capital Markets, L.P. on May 20, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 90 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX 5     
year Series 4 Index.  3,305,000  (52,847) 

Agreement with Goldman Sachs Capital Markets, L.P. on April 1, 2005, maturing on     
December 20, 2009, to pay quarterly 138 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ HY CDX 3 Index 25-     
35% tranche, the fund receives a payment of the proportional notional amount times     
the difference between the par value and the then-market value of the reference     
entity within the DJ HY CDX 3 Index 25-35% tranche.  711,000  30,823 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 12, 2005, maturing     
on June 20, 2015, to receive quarterly 600 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX Series 4     
Index,3-7% tranche, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index,3-7% tranche.  1,903,000  (144,563) 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 18, 2005, maturing     
on June 20, 2010, to receive quarterly 38.5 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX Series 4     
Index,7-10% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index,7-10% tranche.  853,000  4,179 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 19, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 360 basis points times the notional     
amount. Upon a credit default event of a reference entity within the CDX HY Series 4 Index, the     
fund receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the CDX HY Series 4 Index.  1,881,000  12,662 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 19, 2005, maturing     
on June 20, 2012, to receive quarterly 37.5 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX Series 4 Index     
10-15% tranche, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index 10-15% tranche.  1,602,500  14,382 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on June 22, 2005, maturing on     
June 20, 2015, to receive quarterly 656 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series     
4 Index 3-7% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.  1,847,000  (72,543) 
 
Agreement with Goldman Sachs International on September 2, 2004, terminating on the date on     
which the notional amount is reduced to zero or the date on which the assets securing the     
reference obligation are liquidated, the fund receives a payment of the outstanding notional     
amount times 2.55625% and the fund pays in the event of a credit default in one of the underlying     
securities in the basket of BB CMBS securities.  3,016,000  71,289 
 
Agreement with JPMorgan Chase Bank, N.A. on June 22, 2005, maturing on June 20, 2010, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and receive pay 360 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the     
fund makes a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4     
Index.  1,828,530  (21,303) 

Agreement with JPMorgan Chase Bank, N.A.on June 23, 2005, maturing on June 20, 2010, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and pay quarterly 360 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the     
fund receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4     
Index.  1,831,500  (27,843) 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on April 14, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 360 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund     
receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ HY CDX 3 Index.  792,000  18,709 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on August 24, 2005,     
maturing on June 20, 2012, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
to receive quarterly 45 basis points times the notional amount. Upon a credit default     
event of any reference entity within the DJ iTraxx Index, the fund makes a payment     
of the proportional notional amount times the difference between the par value and     
the then-market value of the reference entity within the DJ iTraxx Index.  EUR 1,716,000  (1,226) 
 
Agreement with Lehman Brothers Special Financing, Inc. on August 5, 2005, maturing on June     
20, 2012, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and to pay quarterly 40 basis points times the     
notional amount. Upon a credit default event of any reference entity within the DJ IG CDX Series     
4 Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX     
Series 4 Index.  $ 1,688,000  (1,060) 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 27, 2005, maturing     
on June 20, 2012, to receive/(pay) a premium based on the difference between the     
original spread on issue and the market spread on day of execution and to receive     
quarterly 19 basis points times the notional amount. Upon a credit default event of     
any reference entity within the DJ iTraxx Index, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ iTraxx Index.  EUR 1,385,250  (1,997) 
 
Agreement with Lehman Brothers Special Financing, Inc. on June 14, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 360 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ HY CDX 5     
year Series 4 Index.  $ 1,094,940  (12,645) 
 
Agreement with Lehman Brothers Special Financing, Inc. on June 17, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 360 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ HY CDX 5     
year Series 4 Index.  1,819,620  (18,910) 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on April 18, 2005, maturing     
on June 20, 2010, to pay quarterly 194 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-     
35% tranche, the fund receives a payment of the proportional notional amount times     
the difference between the par value and the then-market value of the reference     
entity within the DJ HY CDX 4 Index 25-35% tranche.  400,000  23,177 

Agreement with Lehman Brothers Special Financing, Inc. on August 10, 2005, maturing on June     
20, 2010, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and to pay quarterly 360 basis points times the     
notional amount. Upon a credit default event of any reference entity within the CDX HY Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the CDX HY     
Series 4 Index.  3,762,000  24,217 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on August 24, 2005,     
maturing on June 20, 2012, to receive quarterly 46.375 basis points times the     
notional amount. Upon a credit default event of any reference entity within the DJ     
iTraxx Index, 6-9% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ iTraxx Index, 6-9% tranche.  EUR 1,716,000  10,169 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on August 5, 2005,     
maturing on June 20, 2010, to receive quarterly 43 basis points times the notional     
amount. Upon a credit default event of any reference entity within the DJ IG CDX     
Series 4 Index, 7-10% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index,7-10% tranche.  $ 1,688,000  10,021 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 14, 2005, maturing     
on June 20, 2012, to receive quarterly 36 basis points times the notional amount.     
Upon a credit default event of any reference entity within the DJ IG CDX Series 4     
Index,10-15% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index,10-15% tranche.  772,000  4,257 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 27, 2005, maturing     
on June 20, 2012, to receive quarterly 19 basis points times the notional amount.     
Upon a credit default event of any reference entity within the DJ iTraxx Index, S3     
tranche, the fund makes a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity     
within the DJ iTraxx Index, S3 tranche.  EUR 1,847,000  8,375 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 29, 2005, maturing     
on June 20, 2012, to receive quarterly 33.75 basis points times the notional amount.     
Upon a credit default event of any reference entity within the DJ IG CDX Series 4     
Index, 10-15% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index,10-15% tranche.  $ 1,685,000  9,851 
 
Agreement with Lehman Brothers Special Financing, Inc. on March 24,2005,     
maturing on December 20, 2009, to pay quarterly 116 basis points times the     
notional amount. Upon a credit default event of any reference entity within the DJ     
IG CDX Series 3 Index, 25-35% tranche, that the counterparties agree advances     
within the 25-35 Loss Basket of the Index, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 3 Index, 25-     
35% tranche.  711,000  21,904 

Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005,     
maturing on June 20, 2015, to receive quarterly 59 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX 4     
Index,10-15% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 4 Index,10-15% tranche.  862,000  (2,149) 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005,     
maturing on June 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 65 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX 4 Index, the fund receives a payment of     
the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX 4 Index.  862,000  3,155 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005,     
maturing on December 20, 2015, to receive quarterly 57.5 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG     
CDX 5 Index 10-15% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX 5 Index 10-15% tranche.  861,000  (142) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005,     
maturing on December 20, 2015, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 70 basis points times the notional amount. Upon a     
credit default event of a reference entity within the DJ IG CDX 5 Index, the fund     
receives a payment of the proportional notional amount times the difference between     
the par value and the then-market value of the reference entity within the DJ IG CDX     
5 Index.  861,000  (1,171) 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 29, 2005,     
maturing on June 20, 2010, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 90 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ CDX IG HVOL Series 4 Index, the fund receives a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ CDX IG HVOL     
Series 4 Index.  3,598,000  (3,989) 
Agreement with Lehman Brothers Special Financing, Inc. on September 8, 2005,     
maturing on June 20, 2010, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
to pay quarterly 360 basis points times the notional amount. Upon a credit default     
event of any reference entity within the DJ HY CDX Series 4 Index, the fund receives     
a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ HY CDX Series     
4 Index.  1,883,970  (4,337) 
 
 
Agreement with Merrill Lynch International on April 14, 2005, maturing on June 20, 2010, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and receives quarterly 360 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund     
makes a payment of the proportional notional amount times the difference between the par value     
and the then-market value of the reference entity within the DJ HY CDX 3 Index.  891,000  (2,371) 

Agreement with Morgan Stanley Capital Services, Inc. on May 24, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 90 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX 5     
year Series 4 Index.  17,100,000  (241,141) 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on May 24, 2005, maturing on     
June 20, 2010, to receive quarterly 500 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series     
4 Index 0-3% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche.  3,420,000  171,009 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 13, 2005,     
maturing on June 20, 2012, to receive quarterly 275 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index 3-7% tranche.  1,276,000  (27,654) 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive quarterly 48 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 4 Index 7-10% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index 7-10% tranche.  1,724,000  5,786 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 55 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX Series 4 Index, the fund receives a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ IG CDX Series     
4 Index.  1,724,000  2,602 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 29, 2005,     
maturing on June 20, 2012, to receive quarterly 318 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index 3-7% tranche.  1,199,000  1,449 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005,     
maturing on June 20, 2015, to receive quarterly 70.5 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 4 Index 10-15% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index 10-15% tranche.  853,000  6,410 

Agreement with Deutsche Bank AG effective July 14, 2005, maturing on June 20,     
2012, to receive/(pay) a premium based on the difference between the original     
spread on issue and the market spread on day of execution and pay quarterly 55     
basis points times the notional amount. Upon a credit default event of a reference     
entity within the DJ IG CDX Series 4 Index, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index.  1,259,000  (3,578) 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005,     
maturing on June 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 65 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX Series 4 Index, the fund receives a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ IG CDX Series     
4 Index.  853,000  1,044 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 8, 2005,     
maturing on June 20, 2012, to receive quarterly 285 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index 3-7% tranche.  1,939,000  (30,300) 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 8, 2005,     
maturing on June 20, 2015, to receive quarterly 479 basis points times the notional     
amount. Upon a credit default event of any reference entity within the iTraxx Eur 3     
Index,3-6% tranche. the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the iTraxx EUR 3 Index, 3-6% tranche.  EUR 775,000  34,370 
Total    $88,475 

  NOTES 
(a)  Percentages indicated are based on net assets of $523,367,233. 
 
(b)  The aggregate identified cost on a tax basis is $532,332,004, resulting in gross unrealized appreciation and depreciation of 
  $19,381,445 and $16,139,665, respectively, or net unrealized appreciation of $3,241,780. 
 
(c)  Senior loans are exempt from registration under the Security 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 rate shown for 
  senior loans are the current interest rates at September 30, 2005. 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 
  to the risk that the borrower under the loan may default on its obligations. 
 
(DEF)  Security is in default of principal and interest. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(STP)  The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin 
  accruing interest at this rate. 
 
(RES)  Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at September 
  30, 2005 was $947,838 or 0.2% of net assets. 
 
(PIK)  Income may be received in cash or additional securities at the discretion of the issuer. 
 
(SEG)  (This security was pledged and segregated with the custodian to cover margin requirements for futures contracts at 
  September 30, 2005. 
 
(R)  Real Estate Investment Trust. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are 
  collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market 
  value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next 
  business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect 
  to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of 
  operations. At September 30, 2005, the value of securities loaned amounted to $13,167. The fund received cash collateral 
  of $15,240 which is pooled with collateral of other Putnam funds into 20 issues of high-grade, short-term investments. 
 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money 
  Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam 
  Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the 
  fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market 
  Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the 
  fund totaled $1,606,526 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of 
  purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $278,787,817 and 
  $290,658,291, respectively. 
 
(F)  Security is valued at fair value following procedures approved by the Trustees. 
 
(U)  A portion of the position represents unfunded loan commitments, which could be extended at the option of the borrower, 
  pursuant to the loan agreements. The total market value of the unfunded loan commitments at September 30, 2005 was 
  0.2% of net assets. 

At September 30, 2005, liquid assets totaling $70,912,751 have been designated as collateral for open forward commitments, open swap contracts and future contracts.

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

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

The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at September 30, 2005.

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 September 30, 2005.

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

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.

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

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

Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. [cont] The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

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 market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

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

Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

Putnam VT Equity Income Fund       
The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (94.1%)(a)       
    Shares  Value 
 
Aerospace and Defense (2.6%)       
Boeing Co. (The)    21,115  $1,434,764 
Lockheed Martin Corp.    53,812  3,284,684 
Northrop Grumman Corp.    3,000  163,050 
      4,882,498 
 
Banking (10.2%)       
Bank of America Corp.    210,970  8,881,837 
Bank of New York Co., Inc. (The)    2,194  64,526 
PNC Financial Services Group    17,580  1,019,992 
State Street Corp.    11,630  568,940 
U.S. Bancorp    203,119  5,703,582 
Wachovia Corp.    48,976  2,330,768 
Wells Fargo & Co.    4,075  238,673 
      18,808,318 
 
Beverage (0.7%)       
Coca-Cola Enterprises, Inc.    61,460  1,198,470 
 
Building Materials (2.2%)       
Masco Corp.    110,671  3,395,386 
Sherwin Williams Co.    17,051  751,438 
      4,146,824 
 
Cable Television (0.9%)       
Comcast Corp. Class A (NON)    55,830  1,640,285 
 
Chemicals (1.0%)       
Dow Chemical Co. (The)    17,541  730,933 
Huntsman Corp. (NON)    16,190  316,515 
PPG Industries, Inc.    13,229  783,025 
      1,830,473 
 
Commercial and Consumer Services (0.8%)       
Cendant Corp.    68,370  1,411,157 
 
Computers (3.1%)       
Hewlett-Packard Co.    138,679  4,049,427 
IBM Corp.    20,700  1,660,554 
      5,709,981 
 
Conglomerates (4.4%)       
General Electric Co.    55,871  1,881,177 
Honeywell International, Inc.    50,946  1,910,475 
Tyco International, Ltd.    156,550  4,359,918 
      8,151,570 
 
Consumer Finance (1.7%)       
Capital One Financial Corp.    22,691  1,804,388 
Countrywide Financial Corp.    20,600  679,388 
Providian Financial Corp. (NON)    37,270  658,934 
      3,142,710 
 
Consumer Goods (1.2%)       
Colgate-Palmolive Co.    2,121  111,968 
Procter & Gamble Co. (The)    35,236  2,095,133 
      2,207,101 
 
Consumer Services (-%)       
Service Corporation International    8,407  69,694 
 
Containers (0.1%)       
Owens-Illinois, Inc. (NON)    12,390  255,482 

Electric Utilities (5.0%)     
Dominion Resources, Inc.  18,680  1,609,095 
DPL, Inc.  21,310  592,418 
DTE Energy Co.  1,551  71,129 
Entergy Corp.  22,738  1,689,888 
Exelon Corp.  32,128  1,716,920 
PG&E Corp.  51,880  2,036,290 
PPL Corp.  3,701  119,653 
Progress Energy, Inc.  1,638  73,301 
Public Service Enterprise Group, Inc.  11,120  715,683 
Westar Energy, Inc.  4,968  119,878 
Wisconsin Energy Corp.  12,860  513,371 
    9,257,626 
 
Electronics (1.4%)     
Avnet, Inc. (NON)  19,920  487,044 
Intel Corp.  56,346  1,388,929 
Motorola, Inc.  30,570  675,291 
    2,551,264 
 
Energy (0.1%)     
Weatherford International, Ltd. (NON)  3,640  249,922 
 
Financial (7.6%)     
Citigroup, Inc.  176,215  8,021,307 
Fannie Mae  46,140  2,067,995 
Freddie Mac  50,843  2,870,596 
JPMorgan Chase & Co.  5,694  193,197 
PMI Group, Inc. (The)  20,260  807,766 
    13,960,861 
 
Food (0.7%)     
General Mills, Inc.  25,418  1,225,148 
 
Forest Products and Packaging (0.3%)     
Weyerhaeuser Co.  7,240  497,750 
 
Health Care Services (1.7%)     
Cardinal Health, Inc.  21,760  1,380,454 
CIGNA Corp.  15,020  1,770,257 
    3,150,711 
 
Homebuilding (0.4%)     
Lennar Corp.  13,625  814,230 
 
Household Furniture and Appliances (0.9%)     
Whirlpool Corp.  22,626  1,714,372 
 
Insurance (6.8%)     
ACE, Ltd. (Bermuda)  71,854  3,382,168 
American International Group, Inc.  47,440  2,939,382 
Axis Capital Holdings, Ltd. (Bermuda)  55,560  1,584,016 
Chubb Corp. (The)  12,570  1,125,644 
Endurance Specialty Holdings, Ltd. (Bermuda)  25,466  868,645 
MetLife, Inc.  11,303  563,228 
St. Paul Travelers Cos., Inc. (The)  19,123  858,049 
XL Capital, Ltd. Class A (Bermuda)  18,489  1,257,807 
    12,578,939 
 
Investment Banking/Brokerage (3.7%)     
Goldman Sachs Group, Inc. (The)  14,750  1,793,305 
Lehman Brothers Holdings, Inc.  22,980  2,676,710 
Merrill Lynch & Co., Inc.  1,186  72,761 
Morgan Stanley  41,166  2,220,494 
    6,763,270 
 
Machinery (0.6%)     
Parker-Hannifin Corp.  17,244  1,108,962 
 
Manufacturing (1.1%)     
Ingersoll-Rand Co., Ltd. Class A (Bermuda)  51,300  1,961,199 

Media (1.1%)     
Time Warner, Inc.  55,720  1,009,089 
Walt Disney Co. (The)  43,040  1,038,555 
    2,047,644 
 
Medical Technology (0.5%)     
Baxter International, Inc.  4,420  176,225 
PerkinElmer, Inc.  36,400  741,468 
    917,693 
 
Metals (0.7%)     
Alcoa, Inc.  52,965  1,293,405 
Freeport-McMoRan Copper & Gold, Inc. Class B  1,201  58,357 
    1,351,762 
 
Natural Gas Utilities (0.1%)     
Sempra Energy  2,207  103,861 
 
Oil & Gas (14.5%)     
Amerada Hess Corp.  13,720  1,886,500 
Burlington Resources, Inc.  10,610  862,805 
Chevron Corp.  132,129  8,552,710 
EOG Resources, Inc.  5,060  378,994 
Exxon Mobil Corp.  146,780  9,326,401 
Marathon Oil Corp.  41,380  2,852,323 
Occidental Petroleum Corp.  14,318  1,223,187 
Valero Energy Corp.  14,480  1,637,109 
    26,720,029 
 
Pharmaceuticals (5.5%)     
Abbott Laboratories  17,978  762,267 
Bristol-Myers Squibb Co.  9,530  229,292 
Johnson & Johnson  24,375  1,542,450 
Pfizer, Inc.  231,310  5,775,811 
Wyeth  38,197  1,767,375 
    10,077,195 
 
Publishing (0.1%)     
R. R. Donnelley & Sons Co.  5,850  216,860 
 
Railroads (1.8%)     
Norfolk Southern Corp.  79,804  3,236,850 
 
Regional Bells (1.0%)     
Verizon Communications, Inc.  55,950  1,829,006 
 
Restaurants (1.5%)     
McDonald's Corp.  83,738  2,804,386 
 
Retail (2.9%)     
AutoZone, Inc. (NON)  10,720  892,440 
Office Depot, Inc. (NON)  73,457  2,181,673 
Rite Aid Corp. (NON)  81,540  316,375 
Sears Holdings Corp. (NON)  3,631  451,769 
Supervalu, Inc.  45,093  1,403,294 
    5,245,551 
 
Software (1.5%)     
Microsoft Corp.  34,505  887,814 
Oracle Corp. (NON)  145,470  1,802,373 
    2,690,187 
 
Telecommunications (1.1%)     
Sprint Nextel Corp.  81,203  1,931,007 
 
Tobacco (1.9%)     
Altria Group, Inc.  47,660  3,513,019 
 
Toys (0.3%)     
Mattel, Inc.  37,190  620,329 

Trucks & Parts (0.4%)     
Autoliv, Inc. (Sweden)  17,590  765,160 
 
Total common stocks (cost $157,467,043)    $173,359,356 
 
CONVERTIBLE PREFERRED STOCKS (3.8%)(a)     
  Shares  Value 
Amerada Hess Corp. $3.50 cv. pfd.  7,880  931,810 
Chubb Corp. (The) $1.75 cv. pfd.  4,570  149,668 
Conseco, Inc. $1.38 cum. cv. pfd.  6,280  167,205 
Fortis Insurance NV 144A 7.75% cv. pfd. (Netherlands)  110  122,788 
Freeport-McMoRan Copper & Gold, Inc. zero % cv. pfd.  25  27,613 
Freeport-McMoRan Copper & Gold, Inc. 144A 5.50% cv. pfd.  43  47,494 
Genworth Financial, Inc. 4.58% cv. pfd. (NON)  7,340  $233,045 
Hartford Financial Services Group, Inc. (The) $3.50 cv. pfd.  6,322  443,330 
Hartford Financial Services Group, Inc. (The) $3.00 cv. pfd.  7,060  489,788 
Huntsman Corp. $2.50 cv. pfd.  22,155  966,512 
Lehman Brothers Holdings, Inc. $1.563 cv. pfd.  12,765  333,486 
MetLife, Inc. Ser. B, $1.594 cv. pfd.  2,700  75,600 
PMI Group, Inc. (The) $1.469 cv. pfd.  6,200  151,125 
State Street Corp. 6.75% cv. pfd.  780  167,283 
UnumProvident Corp. $2.063 cv. pfd.  1,900  74,813 
Xerox Corp. 6.25% cv. pfd.  20,800  2,420,600 
XL Capital, Ltd. $1.625 cv. pfd. (Cayman Islands)  5,150  117,317 
 
Total convertible preferred stocks (cost $6,625,553)    $6,919,477 
 
UNITS (0.4%)(a)     
  Units  Value 
Hercules, Inc. units  246  $189,420 
ONEOK, Inc. units  11,500  477,250 
 
Total units (cost $591,468)    $666,670 
 
CONVERTIBLE BONDS AND NOTES (0.05%)(a) (cost $94,702)     
  Principal amount  Value 
Tyco International Group SA cv. company guaranty Ser. A, 2 3/4s, 2018 (Luxembourg)  75,000  92,156 
 
 
SHORT-TERM INVESTMENTS (1.7%)(a) (cost $3,166,477)     
  Shares  Value 
Putnam Prime Money Market Fund (e)  3,166,477  $3,166,477 
 
TOTAL INVESTMENTS     
 
Total investments (167,945,243) (b)    $184,204,136 

  NOTES
 
(a)      Percentages indicated are based on net assets of $184,315,820.
 
(b)      The aggregate identified cost on a tax basis is $168,190,081, resulting in gross unrealized appreciation and depreciation of $21,935,432 and $5,921,377, respectively, or net unrealized appreciation of $16,014,055.
 

(NON) Non-income-producing security.

(e)      Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly- owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $74,979 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $45,946,508 and $47,454,548, respectively.
 
  144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
 
  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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value. Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.    
 
  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
 
Putnam VT The George Putnam Fund       
of Boston       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (60.3%)(a)       
 
    Shares  Value 
Banking (1.6%)       
PNC Financial Services Group    23,900  $1,386,678 
State Street Corp.    15,800  772,936 
U.S. Bancorp    328,100  9,213,048 
 
      11,372,662 
Basic Materials (1.4%)       
Alcoa, Inc.    61,900  1,511,598 
Crown Holdings, Inc. (NON)    9,900  157,806 
Dow Chemical Co. (The)    43,000  1,791,810 
Huntsman Corp. (NON)    22,500  439,875 
PPG Industries, Inc.    33,100  1,959,189 
United States Steel Corp.    29,400  1,245,090 
Weyerhaeuser Co.    42,300  2,908,125 
 
      10,013,493 
Capital Goods (2.6%)       
Autoliv, Inc. (Sweden)    16,100  700,350 
Ball Corp.    2,600  95,524 
Boeing Co. (The)    48,450  3,292,178 
Cummins, Inc.    3,000  263,970 
Ingersoll-Rand Co., Ltd. Class A (Bermuda)    101,640  3,885,697 
Lockheed Martin Corp.    112,200  6,848,688 
Owens-Illinois, Inc. (NON)    17,400  358,788 
Parker-Hannifin Corp.    49,600  3,189,776 
 
      18,634,971 
Communication Services (1.5%)       
Sprint Corp. (FON Group)    222,997  5,302,869 
Verizon Communications, Inc.    156,540  5,117,293 
 
      10,420,162 
Conglomerates (1.8%)       
General Electric Co.    74,500  2,508,415 
Honeywell International, Inc.    61,210  2,295,375 
Tyco International, Ltd.    283,400  7,892,690 
 
      12,696,480 
Consumer Cyclicals (5.7%)       
AutoZone, Inc. (NON) (S)    14,400  1,198,800 
Best Buy Co., Inc.    28,800  1,253,664 
Brunswick Corp.    65,300  2,463,769 
Cendant Corp.    216,900  4,476,816 
Lennar Corp. (S)    35,900  2,145,384 
Lowe's Cos., Inc.    26,400  1,700,160 
Masco Corp.    218,000  6,688,240 
Mattel, Inc. (S)    51,400  857,352 
McGraw-Hill Companies, Inc. (The)    27,900  1,340,316 
NVR, Inc. (NON)    838  741,588 
R. R. Donnelley & Sons Co. (S)    45,700  1,694,099 
Royal Caribbean Cruises, Ltd.    29,800  1,287,360 
Sears Holdings Corp. (NON)    5,035  626,455 
Sherwin Williams Co.    47,400  2,088,918 
Viacom, Inc. Class B    15,200  501,752 
Vulcan Materials Co.    18,700  1,387,727 
Walt Disney Co. (The)    93,450  2,254,949 
Whirlpool Corp.    41,800  3,167,186 
 
      40,371,115 
Consumer Finance (1.2%)       
Capital One Financial Corp.    52,430  4,169,234 
Countrywide Financial Corp.    101,000  3,330,980 
Providian Financial Corp. (NON)    50,700  896,376 
 
      8,396,590 
Consumer Staples (5.6%)       
Altria Group, Inc.    158,980  11,718,416 
Archer Daniels Midland Co.    17,800  438,948 
Coca-Cola Co. (The)    28,700  1,239,553 
Coca-Cola Enterprises, Inc.    83,970  1,637,415 
Comcast Corp. Class A (NON) (S)    122,200  3,590,236 
Estee Lauder Cos., Inc. (The) Class A    36,800  1,281,744 
General Mills, Inc.    62,100  2,993,220 
Loews Corp. - Carolina Group    11,200  443,856 
McDonald's Corp.    164,500  5,509,105 
Pilgrim's Pride Corp.    17,400  633,360 
Procter & Gamble Co. (The) (S)    61,500  3,656,790 
Rite Aid Corp. (NON)    419,300  1,626,884 
Supervalu, Inc.    104,500  3,252,040 
Time Warner, Inc.    75,900  1,374,549 
 
      39,396,116 
Energy (8.9%)       
Amerada Hess Corp.    36,800  5,060,000 
Burlington Resources, Inc.    35,300  2,870,596 

Chevron Corp.  256,392  16,596,254 
Cooper Cameron Corp. (NON)  12,300  909,339 
Devon Energy Corp.  15,500  1,063,920 
EOG Resources, Inc.  7,000  524,300 
ExxonMobil Corp.  357,400  22,709,196 
Marathon Oil Corp.  88,400  6,093,412 
Occidental Petroleum Corp.  17,200  1,469,396 
Pride International, Inc. (NON)  32,900  937,979 
Sunoco, Inc.  20,200  1,579,640 
Valero Energy Corp.  18,900  2,136,834 
Weatherford International, Ltd. (NON)  5,000  343,300 
 
    62,294,166 
Financial (8.8%)     
Bank of America Corp. (S) (SEG)  387,630  16,319,223 
Citigroup, Inc.(SEG)  383,100  17,438,712 
Fannie Mae  82,610  3,702,580 
Freddie Mac  121,390  6,853,679 
Goldman Sachs Group, Inc. (The)  20,100  2,443,758 
Hartford Financial Services Group, Inc. (The)  30,700  2,369,119 
Lehman Brothers Holdings, Inc.  55,100  6,418,048 
MetLife, Inc.  59,600  2,969,868 
PMI Group, Inc. (The)  27,600  1,100,412 
Wachovia Corp.  51,700  2,460,403 
 
    62,075,802 
 
Health Care (6.6%)     
Abbott Laboratories  19,900  843,760 
AmerisourceBergen Corp.  25,300  1,955,690 
Barr Pharmaceuticals, Inc. (NON)  17,200  944,624 
Baxter International, Inc.  6,000  239,220 
Becton, Dickinson and Co.  37,100  1,945,153 
Boston Scientific Corp. (NON)  107,500  2,512,275 
Cardinal Health, Inc.  75,500  4,789,720 
CIGNA Corp.  38,470  4,534,074 
Eli Lilly Co.  12,200  652,944 
HCA, Inc.  38,800  1,859,296 
Johnson & Johnson  108,980  6,896,254 
PerkinElmer, Inc.  39,100  796,467 
Pfizer, Inc.  537,600  13,423,872 
Watson Pharmaceuticals, Inc. (NON)  21,700  794,437 
Wyeth  84,200  3,895,934 
 
    46,083,720 
 
Insurance (3.8%)     
ACE, Ltd. (Bermuda)  152,750  7,189,943 
American International Group, Inc.  64,600  4,002,616 
Axis Capital Holdings, Ltd. (Bermuda)  56,623  1,614,322 
Chubb Corp. (The)  45,400  4,065,570 
Endurance Specialty Holdings, Ltd. (Bermuda)  29,500  1,006,245 
Everest Re Group, Ltd. (Barbados)  15,300  1,497,870 
St. Paul Travelers Cos., Inc. (The)  24,500  1,099,315 
W.R. Berkley Corp.  68,200  2,692,536 
XL Capital, Ltd. Class A (Bermuda)  48,250  3,282,448 
 
    26,450,865 
 
Investment Banking/Brokerage (0.6%)     
Merrill Lynch & Co., Inc.  31,400  1,926,390 
Morgan Stanley  48,900  2,637,666 
 
    4,564,056 
 
Technology (6.2%)     
Avnet, Inc. (NON)  27,400  669,930 
Cisco Systems, Inc. (NON)  148,900  2,669,777 
Dell, Inc. (NON)  69,800  2,387,160 
Fiserv, Inc. (NON)  24,700  1,132,989 
Hewlett-Packard Co.  299,300  8,739,560 
IBM Corp.  85,200  6,834,744 
Intel Corp.  284,100  7,003,065 
Microsoft Corp.  158,700  4,083,351 
Motorola, Inc.  165,100  3,647,059 
Oracle Corp. (NON)  338,200  4,190,298 
Xerox Corp. (NON) (S)  146,400  1,998,360 
 
    43,356,293 
 
Transportation (0.9%)     
Norfolk Southern Corp.  127,500  5,171,400 
Yellow Roadway Corp. (NON)  27,200  1,126,624 
 
    6,298,024 
 
Utilities & Power (3.1%)     
Alliant Energy Corp.  27,800  809,814 
American Electric Power Co., Inc.  18,300  726,510 
Constellation Energy Group, Inc.  21,900  1,349,040 
Dominion Resources, Inc.  25,490  2,195,709 
DPL, Inc.  29,500  820,100 
Entergy Corp.  29,720  2,208,790 
Exelon Corp.  74,260  3,968,454 
PG&E Corp. (S)  140,640  5,520,120 
Public Service Enterprise Group, Inc.  15,500  997,580 
Sempra Energy  47,200  2,221,232 
Wisconsin Energy Corp.  17,700  706,584 
 
    21,523,933 
 
Total common stocks (cost $349,339,980)    $423,948,448 
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS  (11.6%)(a)     
     

  Principal amount  Value 
 
U.S. Government Guaranteed Mortgage Obligations (--%)     
 
Government National Mortgage Association Pass-Through Certificates 7s,     
June 15, 2031  $15,174  $16,194 
 
U.S. Government Agency Mortgage Obligations (11.6%)     
Federal Home Loan Mortgage Corporation Pass-Through Certificates     
6 1/2s, with due dates from April 1, 2029 to October 1, 2034  7,151,915  7,367,198 
5 1/2s, June 1, 2035  288,040  288,243 
5 1/2s, with due dates from November 1, 2018 to April 1, 2020  273,456  277,896 
Federal National Mortgage Association Pass-Through Certificates     
9s, with due dates from January 1, 2027 to July 1, 2032  31,671  34,837 
8s, with due dates from October 1, 2025 to July 1, 2033  40,648  43,587 
7 1/2s, with due dates from September 1, 2022 to July 1, 2033  268,126  285,171 
7s, with due dates from April 1, 2033 to December 1, 2033  513,489  537,919 
7s, with due dates from June 1, 2007 to November 1, 2014  154,763  161,560 
7s, TBA, October 1, 2035  2,000,000  2,093,438 
6 1/2s, with due dates from August 1, 2032 to January 1, 2035  7,923,834  8,159,192 
6 1/2s, February 1, 2016  22,474  23,288 
6s, with due dates from December 1, 2031 to March 1, 2035  159,407  162,275 
6s, with due dates from April 1, 2016 to November 1, 2016  8,879  9,136 
5 1/2s, with due dates from September 1, 2019 to September 1, 2034  24,255,836  24,134,127 
5 1/2s, TBA, October 1, 2035  21,750,000  21,743,203 
5s, with due dates from May 1, 2018 to April 1, 2020  371,326  370,725 
4 1/2s, with due dates from December 1, 2019 to October 1, 2020  14,477,160  14,178,324 
4s, with due dates from May 1, 2019 to October 1, 2020  1,926,415  1,853,229 
 
    81,723,348 
 
Total U.S. government and agency mortgage obligations (cost $82,002,402)    $81,739,542 
 
U.S. TREASURY OBLIGATIONS (2.1%)(a)     
 
  Principal amount  Value 
U.S. Treasury Bonds 6 1/4s, May 15, 2030  $6,755,000  $8,389,921 
U.S. Treasury Notes     
4 1/4s, August 15, 2013  2,145,000  2,137,291 
3 1/4s, August 15, 2008  4,217,000  4,110,916 
Total U.S. treasury obligations (cost $14,150,585)    $14,638,128 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (11.2%)(a)     
  
  Principal amount  Value 
Amresco Commercial Mortgage Funding I 144A Ser. 97-C1, Class H, 7s, 2029  $108,000  $109,817 
Asset Securitization Corp. Ser. 96-MD6, Class A7, 8.291s, 2029  250,000  268,553 
 
Banc of America Commercial Mortgage, Inc. Ser. 01-1, Class G, 7.324s, 2036  160,000  174,884 
Banc of America Commercial Mortgage, Inc. 144A     
Ser. 01-PB1, Class K, 6.15s, 2035  100,000  102,759 
Ser. 05-4, Class XC, IO, 3.84s, 2045  11,271,000  84,533 
Ser. 05-1, Class XW, IO, 0.161s, 2042  46,925,048  265,127 
Banc of America Large Loan FRB Ser. 04-BBA4, Class G, 4.468s, 2018  30,000  30,164 
Banc of America Large Loan 144A     
FRB Ser. 02-FL2A, Class L1, 6.689s, 2014  135,000  135,017 
FRB Ser. 05-ESHA, Class K, 5.68s, 2020  279,000  279,000 
FRB Ser. 05-BOCA, Class L, 5.468s, 2016  154,000  154,363 
FRB Ser. 05-ESHA, Class G, 4.76s, 2020  112,000  112,000 
Ser. 03-BBA2, Class X1A, IO, 0.646s, 2015  6,842,000  18,316 
Banc of America Structured Security Trust 144A Ser. 02-X1, Class A3, 5.436s,     
2033  260,000  263,665 
Bayview Commercial Asset Trust 144A     
FRB Ser. 05-1A, Class A1, 4.13s, 2035  275,755  275,424 
Ser. 05-1A, IO, 0.775s, 2035  1,145,797  91,127 
Ser. 04-3, IO, 0.775s, 2035  922,652  70,460 
Ser. 04-2, IO, 0.72s, 2034  2,148,673  170,467 
Bear Stearns Commercial Mortgage Securities, Inc. Ser. 05-PWR9, Class X1,     
IO, 4.6s, 2042  7,050,000  69,674 
Bear Stearns Commercial Mortgage Securitization Corp. Ser. 00-WF2, Class     
F, 8.455s, 2032  151,000  175,217 
Chase Commercial Mortgage Securities Corp. Ser. 00-3, Class A2, 7.319s,     
2032  73,000  80,007 
Chase Commercial Mortgage Securities Corp. 144A     
Ser. 98-1, Class F, 6.56s, 2030  580,000  612,074 
Ser. 98-1, Class G, 6.56s, 2030  148,000  156,818 
Ser. 98-1, Class H, 6.34s, 2030  227,000  196,440 
Citigroup Commercial Mortgage Trust 144A Ser. 05-C3, Class XC, IO, 0.061s,     
2043  15,828,174  167,556 
 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1, Class A3, 6.57s, 2030  490,500  501,470 
Commercial Mortgage Acceptance Corp. 144A     
Ser. 98-C1, Class F, 6.23s, 2031  260,000  271,228 
Ser. 98-C2, Class F, 5.44s, 2030  91,000  91,022 
Commercial Mortgage Pass-Through Certificates 144A     
FRB Ser. 01-J2A, Class A2F, 4.272s, 2034  211,000  213,701 
Ser. 05-C6, Class XC, IO, 3.98s, 2044  12,451,000  84,667 
Ser. 05-LP5, Class XC, IO, 0.047s, 2043  11,242,084  119,166 
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D, 5.612s, 2035  385,000  378,518 
 
CS First Boston Mortgage Securities Corp. Ser. 97-C2, Class F, 7.46s, 2035  216,000  230,804 
CS First Boston Mortgage Securities Corp. 144A     
FRB Ser. 03-TF2A, Class L, 7.768s, 2014  137,000  136,368 
FRB Ser. 00-FL1A, Class D, 5.518s, 2009  112,018  111,458 
FRB Ser. 05-TFLA, Class J, 4.718s, 2020  50,000  50,000 
FRB Ser. 04-TF2A, Class J, 4.718s, 2016  108,000  108,000 
FRB Ser. 05-TF2A, Class J, 4.668s, 2020  277,000  277,000 
FRB Ser. 05-TFLA, Class H, 4.518s, 2020  50,000  50,000 
FRB Ser. 04-TF2A, Class H, 4.468s, 2019  81,000  81,000 
Ser. 01-CK1, Class AY, IO, 0.905s, 2035  9,013,000  310,190 
Ser. 03-C3, Class AX, IO, 0.37s, 2038  4,652,705  198,205 
Ser. 05-C2, Class AX, IO, 0.076s, 2037  9,314,191  146,587 

DLJ Commercial Mortgage Corp.     
Ser. 00-CF1, Class A1B, 7.62s, 2033  292,000  323,067 
Ser. 99-CG2, Class B4, 6.1s, 2032  370,000  376,704 
 
DLJ Commercial Mortgage Corp. 144A Ser. 99-CG2, Class B3, 6.1s, 2032  207,000  211,231 
 
DLJ Mortgage Acceptance Corp. 144A Ser. 97-CF1, Class A3, 7.76s, 2030  120,000  124,110 
Fannie Mae     
IFB Ser. 05-37, Class SU, 13.88s, 2035  478,850  554,426 
IFB Ser. 04-10, Class QC, 13.28s, 2031  290,037  319,648 
IFB Ser. 05-57, Class CD, 10.763s, 2035  227,576  246,423 
IFB Ser. 05-74, Class CP, 10.707s, 2035  260,514  284,448 
IFB Ser. 02-36, Class SJ, 10.55s, 2029  24,096  24,746 
IFB Ser. 05-45, Class DA, 10.377s, 2035  464,666  502,992 
IFB Ser. 05-74, Class DM, 10.34s, 2035  591,632  636,570 
IFB Ser. 05-45, Class DC, 10.267s, 2035  387,222  417,462 
Ser. 04-T3, Class PT1, 9.879s, 2044  207,234  226,048 
IFB Ser. 05-74, Class SK, 9.598s, 2035  481,405  516,409 
Ser. 02-T12, Class A4, 9 1/2s, 2042  45,410  48,776 
Ser. 02-T4, Class A4, 9 1/2s, 2041  393,768  422,302 
Ser. 02-T6, Class A3, 9 1/2s, 2041  95,176  101,895 
IFB Ser. 05-74, Class CS, 9.488s, 2035  296,173  315,702 
Ser. 03-W6, Class PT1, 9.37s, 2042  109,508  117,902 
IFB Ser. 05-57, Class DC, 9.328s, 2034  413,705  441,767 
IFB Ser. 04-79, Class SA, 9.295s, 2032  655,955  675,694 
IFB Ser. 05-45, Class PC, 8.76s, 2034  212,252  223,940 
IFB Ser. 03-87, Class SP, 8.168s, 2032  303,963  294,132 
Ser. 00-42, Class B2, 8s, 2030  15,432  16,651 
Ser. 00-17, Class PA, 8s, 2030  76,043  81,833 
Ser. 00-18, Class PA, 8s, 2030  71,419  76,838 
Ser. 00-19, Class PA, 8s, 2030  75,587  81,356 
Ser. 00-20, Class PA, 8s, 2030  42,963  46,308 
Ser. 00-21, Class PA, 8s, 2030  125,742  135,447 
Ser. 00-22, Class PA, 8s, 2030  91,093  98,019 
Ser. 97-37, Class PB, 8s, 2027  212,035  229,645 
Ser. 97-13, Class TA, 8s, 2027  30,664  33,206 
Ser. 97-21, Class PA, 8s, 2027  126,518  136,860 
Ser. 97-22, Class PA, 8s, 2027  239,346  259,165 
Ser. 97-16, Class PE, 8s, 2027  82,654  89,475 
Ser. 97-25, Class PB, 8s, 2027  78,713  85,162 
Ser. 95-12, Class PD, 8s, 2025  49,348  53,361 
Ser. 95-5, Class A, 8s, 2025  58,721  63,637 
Ser. 95-5, Class TA, 8s, 2025  14,189  15,421 
Ser. 95-6, Class A, 8s, 2025  40,354  43,718 
Ser. 95-7, Class A, 8s, 2025  50,716  54,997 
Ser. 94-106, Class PA, 8s, 2024  77,364  83,918 
Ser. 94-95, Class A, 8s, 2024  117,901  127,960 
IFB Ser. 05-73, Class SA, 7.592s, 2035  264,857  262,912 
Ser. 02-26, Class A2, 7 1/2s, 2048  311,462  329,317 
Ser. 05-W3, Class 1A, 7 1/2s, 2045  905,440  963,848 
Ser. 05-W1, Class 1A4, 7 1/2s, 2044  539,637  572,467 
Ser. 04-W12, Class 1A4, 7 1/2s, 2044  127,363  135,122 
Ser. 04-W14, Class 2A, 7 1/2s, 2044  60,562  64,218 
Ser. 04-W8, Class 3A, 7 1/2s, 2044  598,569  635,474 
Ser. 04-W11, Class 1A4, 7 1/2s, 2044  260,753  276,714 
Ser. 04-W2, Class 5A, 7 1/2s, 2044  1,135,924  1,205,891 
Ser. 04-W9, Class 2A3, 7 1/2s, 2044  415,139  440,116 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  186,081  197,361 
Ser. 03-W1, Class 2A, 7 1/2s, 2042  123,361  130,117 
Ser. 03-W4, Class 4A, 7 1/2s, 2042  60,965  64,366 
Ser. 02-T18, Class A4, 7 1/2s, 2042  166,900  176,660 
Ser. 03-W3, Class 1A3, 7 1/2s, 2042  579,285  613,082 
Ser. 02-T16, Class A3, 7 1/2s, 2042  744,306  787,543 
Ser. 03-W2, Class 1A3, 7 1/2s, 2042  513,647  543,822 
Ser. 02-W6, Class 2A, 7 1/2s, 2042  434,640  459,282 
Ser. 02-T12, Class A3, 7 1/2s, 2042  216,719  228,980 
Ser. 02-W4, Class A5, 7 1/2s, 2042  838,620  886,636 
Ser. 02-W1, Class 2A, 7 1/2s, 2042  502,387  528,502 
Ser. 02-14, Class A2, 7 1/2s, 2042  91,759  96,962 
Ser. 01-T10, Class A2, 7 1/2s, 2041  280,550  295,915 
Ser. 02-T4, Class A3, 7 1/2s, 2041  126,102  133,011 
Ser. 02-T6, Class A2, 7 1/2s, 2041  830,528  875,263 
Ser. 01-T12, Class A2, 7 1/2s, 2041  319,790  337,448 
Ser. 01-T8, Class A1, 7 1/2s, 2041  791,942  834,088 
Ser. 01-T7, Class A1, 7 1/2s, 2041  847,148  891,202 
Ser. 01-T3, Class A1, 7 1/2s, 2040  55,502  58,437 
Ser. 01-T1, Class A1, 7 1/2s, 2040  134,618  142,052 
Ser. 99-T2, Class A1, 7 1/2s, 2039  29,183  30,885 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032  211,813  223,719 
Ser. 02-T1, Class A3, 7 1/2s, 2031  186,549  196,961 
Ser. 00-T6, Class A1, 7 1/2s, 2030  223,510  235,133 
Ser. 02-W7, Class A5, 7 1/2s, 2029  102,373  108,283 
Ser. 01-T4, Class A1, 7 1/2s, 2028  608,554  646,534 
Ser. 02-W3, Class A5, 7 1/2s, 2028  134,387  142,007 
Ser. 02-26, Class A1, 7s, 2048  259,559  271,108 
Ser. 04-T3, Class 1A3, 7s, 2044  357,627  374,727 
Ser. 03-W3, Class 1A2, 7s, 2042  128,433  134,280 
Ser. 02-T16, Class A2, 7s, 2042  261,968  273,816 
Ser. 02-14, Class A1, 7s, 2042  102,636  107,163 
Ser. 02-T4, Class A2, 7s, 2041  52,228  54,472 
Ser. 01-W3, Class A, 7s, 2041  100,716  104,987 
Ser. 05-45, Class OX, IO, 7s, 2035  339,628  61,801 
Ser. 04-W1, Class 2A2, 7s, 2033  1,200,334  1,257,362 
Ser. 03-14, Class AI, IO, 7s, 2033  151,237  28,698 
IFB Ser. 02-97, Class TW, IO, 6 1/2s, 2031  217,585  37,001 
Ser. 318, Class 2, IO, 6s, 2032  89,970  18,000 
Ser. 03-31, Class IM, IO, 5 3/4s, 2032  722,350  88,488 
Ser. 350, Class 2, IO, 5 1/2s, 2034  3,667,590  780,377 
Ser. 338, Class 2, IO, 5 1/2s, 2033  634,743  136,927 
Ser. 333, Class 2, IO, 5 1/2s, 2033  6,705,540  1,448,127 
Ser. 331, Class 1, IO, 5 1/2s, 2033  811,721  157,011 
Ser. 329, Class 2, IO, 5 1/2s, 2033  7,813,809  1,659,027 
Ser. 03-26, Class OI, IO, 5 1/2s, 2032  903,534  136,428 
Ser. 03-45, Class PI, IO, 5 1/2s, 2029  483,636  48,666 
Ser. 03-8, Class IP, IO, 5 1/2s, 2028  385,962  22,372 
Ser. 03-14, Class XI, IO, 5 1/4s, 2033  428,500  60,809 

Ser. 03-14, Class TI, IO, 5s, 2033  399,349  52,788 
Ser. 03-24, Class UI, IO, 5s, 2031  348,438  50,532 
Ser. 343, Class 25, IO, 4 1/2s, 2018  745,732  111,785 
IFB Ser. 02-89, Class S, IO, 4.37s, 2033  655,233  58,578 
IFB Ser. 02-36, Class QH, IO, 4.22s, 2029  52,209  1,153 
IFB Ser. 03-66, Class SA, IO, 3.82s, 2033  688,160  52,902 
IFB Ser. 97-44, Class SN, IO, 3.8s, 2023  220,447  20,303 
IFB Ser. 02-92, Class SB, IO, 3.52s, 2030  232,626  15,637 
IFB Ser. 05-52, Class DC, IO, 3.37s, 2035  507,511  44,820 
IFB Ser. 04-24, Class CS, IO, 3.32s, 2034  795,361  73,322 
IFB Ser. 03-122, Class SA, IO, 3.27s, 2028  1,149,491  68,498 
IFB Ser. 03-122, Class SJ, IO, 3.27s, 2028  1,224,806  73,569 
IFB Ser. 04-64, Class SW, IO, 3.22s, 2034  1,963,237  119,635 
IFB Ser. 04-65, Class ST, IO, 3.22s, 2034  990,796  60,339 
IFB Ser. 04-51, Class S0, IO, 3.22s, 2034  175,511  10,145 
IFB Ser. 04-60, Class SW, IO, 3.22s, 2034  1,495,091  125,214 
IFB Ser. 05-65, Class KI, IO, 3.17s, 2035  3,452,573  214,716 
IFB Ser. 05-89, Class S, IO, 3.06s, 2035  2,389,000  127,662 
IFB Ser. 05-87, Class SG, IO, 3.03s, 2035  1,606,000  94,854 
IFB Ser. 05-92, Class SC, IO, 2.99s, 2035  1,606,000  103,386 
IFB Ser. 05-42, Class PQ, IO, 2.97s, 2035  287,969  23,176 
IFB Ser. 05-42, Class SA, IO, 2.97s, 2035  1,269,895  88,903 
IFB Ser. 05-83, Class SL, IO, 2.95s, 2035  3,354,000  193,095 
IFB Ser. 05-73, Class SI, IO, 2.92s, 2035  305,905  21,509 
IFB Ser. 05-29, Class SD, IO, 2.92s, 2035  770,774  53,232 
IFB Ser. 05-17, Class ES, IO, 2.92s, 2035  583,339  52,501 
IFB Ser. 05-17, Class SY, IO, 2.92s, 2035  273,383  23,793 
IFB Ser. 05-62, Class FS, IO, 2.92s, 2034  732,950  51,192 
IFB Ser. 05-82, Class SW, IO, 2.9s, 2035  1,320,102  69,512 
IFB Ser. 05-82, Class SY, IO, 2.9s, 2035  1,679,868  88,456 
IFB Ser. 05-45, Class EW, IO, 2.89s, 2035  2,499,034  140,888 
IFB Ser. 05-45, Class SR, IO, 2.89s, 2035  2,265,706  125,456 
IFB Ser. 05-54, Class SA, IO, 2.87s, 2035  1,587,449  84,294 
IFB Ser. 05-23, Class SG, IO, 2.87s, 2035  954,184  70,669 
IFB Ser. 05-29, Class SX, IO, 2.87s, 2035  1,188,983  78,956 
IFB Ser. 05-57, Class CI, IO, 2.87s, 2035  857,801  55,518 
IFB Ser. 05-17, Class SA, IO, 2.87s, 2035  867,322  67,488 
IFB Ser. 05-17, Class SE, IO, 2.87s, 2035  932,184  70,496 
IFB Ser. 05-57, Class DI, IO, 2.87s, 2035  1,953,533  137,812 
IFB Ser. 05-73, Class SD, IO, 2.85s, 2035  754,222  53,149 
IFB Ser. 04-38, Class SI, IO, 2.74s, 2033  1,540,818  80,431 
IFB Ser. 04-72, Class SB, IO, 2.67s, 2034  733,094  34,162 
IFB Ser. 05-67, Class BS, IO, 2.32s, 2035  855,593  37,165 
IFB Ser. 05-87, Class SE, IO, 2.3s, 2035  6,422,000  268,921 
IFB Ser. 05-74, Class SE, IO, 2.27s, 2035  2,909,531  111,380 
IFB Ser. 05-82, Class SI, IO, 2.27s, 2035  2,808,690  110,592 
Ser. 03-W12, Class 2, IO, 2.223s, 2043  1,710,505  86,349 
IFB Ser. 05-58, Class IK, IO, 2.17s, 2035  602,653  29,944 
Ser. 03-W10, Class 1, IO, 1.968s, 2043  5,848,692  250,397 
Ser. 03-W10, Class 3, IO, 1.935s, 2043  1,074,698  46,010 
Ser. 03-W8, Class 12, IO, 1.638s, 2042  4,100,771  159,550 
Ser. 03-W3, Class 2IO2, IO, 1.456s, 2042  111,245  611 
Ser. 03-W6, Class 11, IO, 1.286s, 2042  1,421,344  9,160 
Ser. 03-W17, Class 12, IO, 1.155s, 2033  1,516,324  45,709 
Ser. 03-T2, Class 2, IO, 0.905s, 2042  6,075,420  115,217 
Ser. 03-W6, Class 51, IO, 0.683s, 2042  1,782,234  31,568 
Ser. 03-W3, Class 2IO1, IO, 0.677s, 2042  545,401  8,824 
Ser. 01-T12, Class IO, 0.572s, 2041  3,077,027  38,063 
Ser. 03-W2, Class 1, IO, 0.469s, 2042  3,301,187  32,461 
Ser. 03-W3, Class 1, IO, 0.435s, 2042  6,342,392  61,458 
Ser. 02-T1, Class IO, IO, 0.426s, 2031  2,411,552  22,743 
Ser. 03-W6, Class 3, IO, 0.365s, 2042  2,486,003  20,811 
Ser. 03-W6, Class 23, IO, 0.351s, 2042  2,623,064  21,467 
Ser. 03-W8, Class 11, IO, 0.315s, 2042  1,810,547  328 
Ser. 03-W4, Class 3A, IO, 0.291s, 2042  2,445,570  20,635 
Ser. 03-W6, Class 21, IO, 0.026s, 2042  1,308,411  30 
Ser. 05-65, Class KO, PO, zero %, 2035  103,349  88,307 
Ser. 354, Class 1, PO, zero %, 2034  2,748,780  2,149,336 
Ser. 352, Class 1, PO, zero %, 2034  191,240  149,710 
Ser. 353, Class 1, PO, zero %, 2034  3,019,845  2,269,599 
FRB Ser. 05-65, Class ER, zero %, 2035  518,104  531,271 
FRB Ser. 05-57, Class UL, zero %, 2035  565,633  576,072 
FRB Ser. 05-36, Class QA, zero %, 2035  106,259  108,073 
FRB Ser. 05-65, Class CU, zero %, 2034  96,739  118,210 
FRB Ser. 05-81, Class DF, zero %, 2033  89,936  93,365 
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities     
Ser. T-42, Class A6, 9 1/2s, 2042  48,538  52,119 
Ser. T-60, Class 1A3, 7 1/2s, 2044  916,685  971,994 
Ser. T-59, Class 1A3, 7 1/2s, 2043  440,408  467,888 
Ser. T-58, Class 4A, 7 1/2s, 2043  248,138  262,190 
Ser. T-57, Class 1A3, 7 1/2s, 2043  713,329  756,530 
Ser. T-51, Class 2A, 7 1/2s, 2042  340,876  359,227 
Ser. T-42, Class A5, 7 1/2s, 2042  137,706  145,431 
Ser. T-41, Class 3A, 7 1/2s, 2032  607,031  639,857 
Ser. T-60, Class 1A2, 7s, 2044  911,285  953,969 
Ser. T-41, Class 2A, 7s, 2032  50,008  52,079 
Ser. T-56, Class A, IO, 0.834s, 2043  2,601,094  30,888 
Ser. T-56, Class 3, IO, 0.353s, 2043  1,895,126  18,359 
Ser. T-56, Class 1, IO, 0.285s, 2043  2,286,238  16,432 
Ser. T-56, Class 2, IO, 0.043s, 2043  2,156,383  5,391 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s, 2027  769,112  853,954 
First Union National Bank-Bank of America Commercial Mortgage 144A Ser.     
01-C1, Class 3, IO, 1.964s, 2033  4,014,985  289,509 
First Union-Lehman Brothers Commercial Mortgage Trust II     
Ser. 97-C2, Class F, 7 1/2s, 2029  346,000  398,113 
Ser. 97-C1, Class A3, 7.38s, 2029  333,611  339,139 
First Union-Lehman Brothers-Bank of America 144A Ser. 98-C2, Class G, 7s,     
2035  443,000  492,655 
Freddie Mac     
IFB Ser. 2763, Class SC, 13.527s, 2032  593,518  652,650 
IFB Ser. 2990, Class SL, 10.677s, 2034  367,689  395,660 
IFB Ser. 2976, Class LC, 10.604s, 2035  174,243  187,154 
IFB Ser. 2976, Class KL, 10.567s, 2035  409,859  437,917 
IFB Ser. 2990, Class DP, 10.457s, 2034  364,011  382,536 
IFB Ser. 2990, Class LB, 9.048s, 2034  437,065  423,337 
IFB Ser. 2967, Class DS, 8.796s, 2035  102,153  100,761 

Ser. 2229, Class PD, 7 1/2s, 2030  85,986  91,817 
Ser. 2224, Class PD, 7 1/2s, 2030  88,274  94,260 
Ser. 2217, Class PD, 7 1/2s, 2030  89,513  95,583 
Ser. 2187, Class PH, 7 1/2s, 2029  200,556  214,157 
Ser. 1989, Class C, 7 1/2s, 2027  29,335  31,324 
Ser. 1990, Class D, 7 1/2s, 2027  81,699  87,239 
Ser. 1969, Class PF, 7 1/2s, 2027  70,479  75,259 
Ser. 1975, Class E, 7 1/2s, 2027  18,713  19,982 
Ser. 1943, Class M, 7 1/2s, 2027  43,855  46,829 
Ser. 1932, Class E, 7 1/2s, 2027  60,958  65,091 
Ser. 1938, Class E, 7 1/2s, 2027  25,416  27,140 
Ser. 1941, Class E, 7 1/2s, 2027  20,652  22,053 
Ser. 1924, Class H, 7 1/2s, 2027  67,182  71,738 
Ser. 1928, Class D, 7 1/2s, 2027  26,108  27,878 
Ser. 1915, Class C, 7 1/2s, 2026  59,228  63,245 
Ser. 1923, Class D, 7 1/2s, 2026  70,435  75,211 
Ser. 1904, Class D, 7 1/2s, 2026  77,644  82,910 
Ser. 1905, Class H, 7 1/2s, 2026  67,821  72,420 
Ser. 1890, Class H, 7 1/2s, 2026  65,017  69,426 
Ser. 1895, Class C, 7 1/2s, 2026  34,267  36,591 
IFB Ser. 2990, Class WP, 7.306s, 2035  289,390  287,449 
Ser. 2256, Class UA, 7s, 2030  26,200  27,621 
Ser. 2208, Class PG, 7s, 2030  229,213  241,641 
Ser. 2211, Class PG, 7s, 2030  129,151  136,153 
Ser. 2198, Class PH, 7s, 2029  189,588  199,867 
Ser. 2054, Class H, 7s, 2028  478,804  504,764 
Ser. 2031, Class PG, 7s, 2028  52,373  55,212 
Ser. 2020, Class E, 7s, 2028  264,080  278,398 
Ser. 1998, Class PL, 7s, 2027  112,842  118,960 
Ser. 1999, Class PG, 7s, 2027  184,453  194,453 
Ser. 2004, Class BA, 7s, 2027  108,405  114,282 
Ser. 2005, Class C, 7s, 2027  85,356  89,984 
Ser. 2005, Class CE, 7s, 2027  95,332  100,501 
Ser. 2006, Class H, 7s, 2027  272,637  287,420 
Ser. 2006, Class T, 7s, 2027  174,248  183,695 
Ser. 1987, Class AP, 7s, 2027  56,132  59,175 
Ser. 1987, Class PT, 7s, 2027  91,079  96,017 
Ser. 1978, Class PG, 7s, 2027  162,801  171,627 
Ser. 1973, Class PJ, 7s, 2027  194,209  204,738 
Ser. 1725, Class D, 7s, 2024  37,277  39,299 
Ser. 2008, Class G, 7s, 2023  14,081  14,845 
Ser. 1750, Class C, 7s, 2023  83,876  88,423 
Ser. 1530, Class I, 7s, 2023  89,336  94,179 
Ser. 2778, Class TI, IO, 6s, 2033  801,118  127,802 
Ser. 224, IO, 6s, 2033  265,995  53,605 
Ser. 216, IO, 6s, 2031  186,971  36,472 
Ser. 226, IO, 5 1/2s, 2034  1,575,665  344,958 
Ser. 223, IO, 5 1/2s, 2032  752,685  154,764 
Ser. 2581, Class IH, IO, 5 1/2s, 2031  281,442  70,509 
Ser. 2664, Class UD, IO, 5 1/2s, 2028  141,686  24,972 
Ser. 3045, Class DI, IO, 5s, 2035  6,294,800  328,513 
IFB Ser. 2927, Class SI, IO, 4.732s, 2035  718,494  93,249 
IFB Ser. 2538, Class SH, IO, 3.782s, 2032  130,148  9,275 
IFB Ser. 2828, Class GI, IO, 3.732s, 2034  774,918  90,192 
IFB Ser. 2802, Class SM, IO, 3.582s, 2032  277,710  18,835 
IFB Ser. 2869, Class SH, IO, 3.532s, 2034  424,655  31,645 
IFB Ser. 2869, Class JS, IO, 3.482s, 2034  2,010,995  147,109 
IFB Ser. 2882, Class SL, IO, 3.432s, 2034  407,465  36,787 
IFB Ser. 2682, Class TQ, IO, 3.282s, 2033  369,235  22,265 
IFB Ser. 2815, Class PT, IO, 3.282s, 2032  750,254  61,402 
IFB Ser. 3031, Class BI, IO, 3.1s, 2035  354,000  29,411 
IFB Ser. 3033, Class SF, IO, 3.097s, 2012  547,000  36,239 
IFB Ser. 2922, Class SE, IO, 2.982s, 2035  1,239,006  66,163 
IFB Ser. 2981, Class AS, IO, 2.952s, 2035  1,125,531  59,090 
IFB Ser. 2981, Class BS, IO, 2.952s, 2035  619,940  32,175 
IFB Ser. 2924, Class SA, IO, 2.932s, 2035  1,774,684  90,331 
IFB Ser. 2927, Class ES, IO, 2.932s, 2035  579,822  38,880 
IFB Ser. 2950, Class SM, IO, 2.932s, 2016  793,064  57,745 
IFB Ser. 2986, Class WS, IO, 2.882s, 2035  476,788  18,923 
IFB Ser. 2962, Class BS, IO, 2.882s, 2035  2,303,699  142,509 
IFB Ser. 2990, Class LI, IO, 2.862s, 2034  670,106  47,824 
IFB Ser. 2988, Class AS, IO, 2.432s, 2035  248,974  9,464 
IFB Ser. 2937, Class SY, IO, 2.332s, 2035  403,010  15,113 
IFB Ser. 2957, Class SW, IO, 2.232s, 2035  2,339,119  84,062 
Ser. 3045, Class DO, PO, zero %, 2035  481,400  383,014 
FRB Ser. 3022, Class TC, zero %, 2035  94,431  103,003 
FRB Ser. 3003, Class XF, zero %, 2035  436,004  450,514 
FRB Ser. 2992, Class WM, zero %, 2035  177,390  193,799 
FRB Ser. 2958, Class FL, zero %, 2035  260,230  251,755 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 05-C3, Class XC, IO, 3.87s, 2045  31,242,000  168,707 
Ser. 05-C2, Class XC, IO, 0.053s, 2043  6,750,577  58,243 
General Growth Properties-Mall Properties Trust FRB Ser. 01-C1A, Class D3,     
6.018s, 2014  161,836  161,987 
GMAC Commercial Mortgage Securities, Inc.     
Ser. 05-C1, Class X1, IO, 9.6s, 2043  12,420,000  227,286 
Ser. 99-C3, Class F, 8.032s, 2036  131,000  138,637 
Ser. 03-C2, Class A2, 5.45s, 2040  828,000  852,826 
Ser. 04-C2, Class A4, 5.301s, 2038  171,000  173,909 
GMAC Commercial Mortgage Securities, Inc. 144A     
Ser. 99-C3, Class G, 6.974s, 2036  201,000  162,046 
FRB Ser. 02-FL1A, Class D, 6.49s, 2014  48,308  48,308 
Government National Mortgage Association     
IFB Ser. 05-7, Class JM, 8.383s, 2034  481,232  498,216 
Ser. 05-13, Class PI, IO, 5 1/2s, 2033  570,398  91,299 
Ser. 05-13, Class MI, IO, 5 1/2s, 2032  515,688  76,632 
IFB Ser. 04-86, Class SW, IO, 2.954s, 2034  916,167  55,933 
IFB Ser. 05-68, Class SI, IO, 2.66s, 2035  2,961,000  175,488 
IFB Ser. 05-51, Class SJ, IO, 2.404s, 2035  901,222  47,033 
IFB Ser. 05-28, Class SA, IO, 2.404s, 2035  2,325,754  97,754 
IFB Ser. 05-68, Class S, IO, 2.404s, 2029  1,787,000  93,863 
IFB Ser. 04-11, Class SA, IO, 1.704s, 2034  883,591  29,448 
GS Mortgage Securities Corp. II 144A     
FRB Ser. 03-FL6A, Class L, 7.018s, 2015  75,000  75,422 
Ser. 05-GG4, Class XC, IO, 0.113s, 2039  14,374,999  285,142 
GSMPS Mortgage Loan Trust     

Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  77,722  83,997 
Ser. 05-RP3, Class 1A3, 8s, 2035  230,870  246,846 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  189,982  200,624 
JP Morgan Chase Commercial Mortgage Securities Corp. 144A     
Ser. 04-FL1A, Class X1A, IO, 1.05s, 2019  4,093,488  27,672 
Ser. 05-CB12, Class X1, IO, 0.059s, 2037  7,615,728  83,164 
JPMorgan Chase Commercial Mortgage Securities Corp. 144A     
Ser. 05-LDP2, Class X1, IO, 0.051s, 2042  20,889,168  328,169 
Ser. 05-LDP4, Class X1, IO, 0.042s, 2042  15,110,000  141,689 
Ser. 05-LDP3, Class X1, IO, 0.04s, 2042  11,146,000  84,933 
Ser. 05-LDP1, Class X1, IO, 0.037s, 2046  5,122,193  48,438 
LB Commercial Conduit Mortgage Trust 144A     
Ser. 99-C1, Class F, 6.41s, 2031  90,000  92,826 
Ser. 99-C1, Class G, 6.41s, 2031  97,000  92,399 
Ser. 98-C4, Class G, 5.6s, 2035  84,000  82,064 
Ser. 98-C4, Class H, 5.6s, 2035  143,000  134,928 
LB-UBS Commercial Mortgage Trust 144A     
Ser. 05-C3, Class XCL, IO, 0.163s, 2040  7,846,077  171,428 
Ser. 05-C2, Class XCL, IO, 0.11s, 2040  28,286,437  316,228 
Ser. 05-C5, Class XCL, IO, 0.094s, 2020  9,492,132  139,860 
Lehman Brothers Floating Rate Commercial Mortgage Trust 144A     
FRB Ser. 03-LLFA, Class L, 7 1/2s, 2014  220,000  217,726 
FRB Ser. 04-LLFA, Class H, 4.718s, 2017  137,000  137,521 
FRB Ser. 05-LLFA, 4.568s, 2018  57,000  57,000 
 
Merrill Lynch Mortgage Investors, Inc.     
Ser. 98-C3, Class E, 7.135s, 2030  82,000  89,360 
Ser. 96-C2, Class A3, 6.96s, 2028  10,617  10,711 
Merrill Lynch Mortgage Trust Ser. 05-MCP1, Class XC, IO, 4.92s, 2043  9,574,128  129,563 
Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C2, Class X, IO, 6.408s,     
2040  326,744  122,120 
Morgan Stanley Capital 144A     
Ser. 05-RR6, Class X, IO, 1.7s, 2043  1,435,000  110,959 
Ser. 05-HQ6, Class X1, IO, 0.054s, 2042  12,164,000  123,541 
Morgan Stanley Capital I 144A     
Ser. 96-C1, Class E, 7.313s, 2028  130,000  130,706 
Ser. 98-HF1, Class F, 7.18s, 2030  74,000  77,232 
Ser. 04-RR, Class F5, 6s, 2039  220,000  189,006 
Ser. 04-RR, Class F6, 6s, 2039  230,000  190,336 
Ser. 05-HQ5, Class X1, IO, 4.7s, 2042  14,712,779  122,415 
 
Morgan Stanley Dean Witter Capital I Ser. 00-LIF2, Class A1, 6.96s, 2033  86,415  89,605 
Mortgage Capital Funding, Inc. FRB Ser. 98-MC2, Class E, 7.26s, 2030  124,000  130,673 
Permanent Financing PLC FRB Ser. 8, Class 2C, 3.818s, 2042 (United     
Kingdom)  319,000  318,855 
PNC Mortgage Acceptance Corp. 144A     
Ser. 99-CM1, Class B3, 7.1s, 2032  490,000  517,489 
Ser. 00-C1, Class J, 6 5/8s, 2010  146,000  139,966 
Ser. 00-C2, Class J, 6.22s, 2033  127,000  128,868 
Pure Mortgages 144A     
FRB Ser. 04-1A, Class F, 7.36s, 2034 (Ireland)  343,000  343,643 
Ser. 04-1A, Class E, 5.11s, 2034 (Ireland)  135,000  135,253 
Salomon Brothers Mortgage Securities VII 144A     
Ser. 96-C1, Class E, 8.301s, 2028  126,837  126,540 
Ser. 03-CDCA, Class X3CD, IO, 1.06s, 2015  932,588  22,683 
STRIPS 144A     
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands)  100,000  86,680 
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)  62,000  51,232 
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands)  41,000  35,539 
Wachovia Bank Commercial Mortgage Trust Ser. 05-C17, Class A4, 5.083s,     
2042  943,000  950,004 
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A, Class     
L, 7.068s, 2018  100,000  99,613 
Washington Mutual Asset Securities Corp. 144A Ser. 05-C1A, Class G, 5.72s,     
2036  30,000  29,636 
 
 
Total collateralized mortgage obligations (cost $80,612,437)    $78,526,938 
ASSET-BACKED SECURITIES (8.4%)(a)     
  Principal amount  Value 
Aames Mortgage Investment Trust FRN Ser. 04-1, Class 2A1, 3.981s, 2034  $272,774  $273,149 
Aames Mortgage Trust Ser. 03-1, Class A, IO, 6s, 2005  466,000  1,937 
Aames Mortgage Trust 144A Ser. 03-1N, Class A, 7 1/2s, 2033  9,456  9,417 
ABSC NIMS Trust 144A Ser. 05-HE2, Class A1, 4 1/2s, 2035 (Cayman     
Islands)  304,926  302,639 
Ace Securities Corp. Ser. 03-FM1, Class A, IO, 3 1/2s, 2005  644,000  4,077 
 
Advanta Business Card Master Trust FRN Ser. 04-C1, Class C, 4.846s, 2013  217,000  219,834 
Advanta Mortgage Loan Trust Ser. 00-1, Class A4, 8.61s, 2028  29,711  29,943 
Aegis Asset Backed Securities Trust 144A     
Ser. 04-2N, Class N1, 4 1/2s, 2034  26,179  26,126 
Ser. 04-4N, Class Note, 5s, 2034  49,241  49,057 
Ser. 04-5N, Class Note, 5s, 2034  46,022  45,979 
Ser. 04-6N, Class Note, 4 3/4s, 2035  69,433  69,053 
AFC Home Equity Loan Trust Ser. 99-2, Class 1A, 4.051s, 2029  407,032  408,990 
American Express Credit Account Master Trust 144A Ser. 04-C, Class C,     
4.268s, 2012  981,352  981,505 
American Home Mortgage Investment Trust     
FRN Ser. 04-3, Class 2A, 3.59s, 2034  257,436  253,343 
FRN Ser. 04-3, Class 3A, 3.71s, 2034  269,696  265,768 
Americredit Automobile Receivables Trust 144A Ser. 05-1, Class E, 5.82s,     
2012  200,000  199,318 
Ameriquest Finance NIM Trust 144A     
Ser. 04-IAN, Class 1A, 5.437s, 2034 (Cayman Islands)  17,064  17,064 
Ser. 04-RN9, Class N1, 4.8s, 2034 (Cayman Islands)  73,934  73,934 
Ameriquest Mortgage Securities, Inc.     
Ser. 03-12, Class S, IO, 5s, 2006  405,467  10,897 
Ser. 03-6, Class S, IO, 5s, 2033  352,243  1,266 
Ser. 03-8, Class S, IO, 5s, 2006  252,595  5,368 
AQ Finance NIM Trust 144A Ser. 03-N9A, Class Note, 7.385s, 2033 (Cayman     
Islands)  676  676 
Arcap REIT, Inc. 144A Ser. 04-1A, Class E, 6.42s, 2039  137,110  138,888 

Argent NIM Trust 144A Ser. 04-WN9, Class A, 5.19s, 2034 (Cayman Islands)  26,782  26,770 
Asset Backed Funding Corp. NIM Trust 144A     
Ser. 03-WMC1, Class Note, 6.9s, 2033  3,329  3,337 
Ser. 04-0PT1, Class N1, 4.55s, 2033 (Cayman Islands)  16,921  16,890 
Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)  60,939  60,826 
Ser. 04-AHL1, Class Note, 5.6s, 2033  52,745  52,823 
Ser. 04-FF1, Class N1, 5s, 2034 (Cayman Islands)  55,333  55,342 
Asset Backed Securities Corp. Home Equity Loan Trust     
Ser. 03-HE5, Class A, IO, 4s, 2033  537,802  6,717 
FRB Ser. 04-HE9, Class A2, 4.011s, 2034  115,689  115,877 
FRB Ser. 05-HE1, Class A3, 3.931s, 2035  163,284  163,284 
FRN Ser. 04-HE1, Class A3, 4.168s, 2034  19,431  19,444 
Aviation Capital Group Trust 144A FRN Ser. 03-2A, Class G1, 4.496s, 2033  103,652  103,806 
Banc of America Funding Corp. 144A Ser. 04-NIM1, Class Note, 6s, 2034  18,243  18,243 
Banc of America Mortgage Securities     
Ser. 04-D, Class 2A, IO, 0.721s, 2034  2,258,043  15,524 
Ser. 05-E, Class 2, IO, 0.306s, 2035  4,669,000  36,477 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4, 4.798s, 2011  130,000  132,453 
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014  114,000  114,000 
Bayview Financial Acquisition Trust     
Ser. 03-DA, Class A, IO, 4s, 2006  761,055  8,964 
Ser. 03-E, Class A, IO, 4s, 2006  627,630  6,921 
Ser. 04-A, Class A, IO, 3.938s, 2006  2,388,023  68,332 
Ser. 04-B, Class A1, 4.338s, 2039  683,452  683,450 
Ser. 04-D, Class A, IO, 3 1/2s, 2007  2,375,573  93,793 
Ser. 05-B, Class A, IO, 2.422s, 2039  5,471,147  197,181 
FRB Ser. 04-D, Class A, 4.228s, 2044  460,687  461,184 
FRN Ser. 03-F, Class A, 4.338s, 2043  313,845  314,631 
FRN Ser. 03-G, Class A1, 4.438s, 2039  569,000  569,957 
Bayview Financial Acquisition Trust 144A Ser. 03-CA, Class A, IO, 4s, 2005  1,978,800  6,140 
Bayview Financial Asset Trust Ser. 03-X, Class A, IO, 0.62s, 2006  2,790,787  47,257 
Bayview Financial Asset Trust 144A     
Ser. 03-Z, Class AIO1, IO, 0.282s, 2005  5,877,732  4,881 
FRN Ser. 03-SSRA, Class A, 4.341s, 2038  129,871  130,637 
FRN Ser. 03-SSRA, Class M, 4.991s, 2038  129,871  131,286 
FRN Ser. 04-SSRA, Class A1, 4.241s, 2039  265,633  266,775 
Bear Stearns Adjustable Rate Mortgage Trust Ser. 04-1, Class 11A1, 3.677s,     
2034  699,920  693,795 
Bear Stearns Alternate Trust     
Ser. 04-11, Class 2A2, 4.953s, 2034  435,881  435,386 
Ser. 04-12, Class 2A2, 5.063s, 2035  1,009,552  1,009,649 
Ser. 04-9, Class 1A1, 5.038s, 2034  129,191  129,164 
Ser. 05-2, Class 2A2A, 4.688s, 2035  198,447  197,908 
Ser. 05-5, Class 21A1, 4.695s, 2035  666,732  663,190 
Bear Stearns Asset Backed Securities NIM Trust 144A     
Ser. 04-FR1, Class A1, 5s, 2034 (Cayman Islands)  57,999  57,999 
Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)  82,549  82,124 
Ser. 04-HE10, Class A2, 5s, 2034 (Cayman Islands)  50,000  49,875 
Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)  71,907  71,907 
Ser. 04-HE7N, Class A1, 5 1/4s, 2034  40,776  40,776 
Ser. 04-HE8N, Class A1, 5s, 2034  18,474  18,457 
Bear Stearns Asset Backed Securities, Inc.     
Ser. 03-AC4, Class A, IO, 5s, 2006  715,200  11,556 
FRB Ser. 05-3, Class A1, 4.154s, 2035  401,403  401,278 
FRN Ser. 03-1, Class A1, 4.141s, 2042  109,072  109,072 
FRN Ser. 03-3, Class A2, 4.231s, 2043  238,000  238,967 
Capital One Multi-Asset Execution Trust FRB Ser. 02-C1, Class C1, 6.518s,     
2010  60,000  62,700 
CARMAX Auto Owner Trust Ser. 04-2, Class D, 3.67s, 2011  53,768  53,107 
CARSSX Finance, Ltd. 144A     
FRB Ser. 04-AA, Class B3, 7.118s, 2011 (Cayman Islands)  56,893  57,273 
FRB Ser. 04-AA, Class B4, 9.268s, 2011 (Cayman Islands)  139,304  141,223 
CDO Repackaging Trust Series 144A FRN Ser. 03-2, Class A, 7.541s, 2008  315,000  340,988 
Centex Home Equity     
Ser. 03-B, Class A, IO, 4.576s, 2006  541,838  12,596 
Ser. 04-C, Class A, IO, 3 1/2s, 2006  1,235,000  21,642 
Chase Funding Net Interest Margin 144A Ser. 04-OPT1, Class Note, 4.458s,     
2034  75,924  75,545 
CHEC NIM Ltd., 144A     
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)  41,339  41,337 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  54,000  53,692 
Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands)  22,000  18,920 
 
Citibank Credit Card Issuance Trust FRN Ser. 01-C1, Class C1, 4.679s, 2010  130,000  132,194 
Conseco Finance Securitizations Corp.     
Ser. 00-4, Class A6, 8.31s, 2032  1,096,000  942,889 
Ser. 00-5, Class A4, 7.47s, 2032  334,586  340,168 
Ser. 00-5, Class A6, 7.96s, 2032  217,000  187,614 
Ser. 01-1, Class A4, 6.21s, 2032  590,845  598,517 
Ser. 01-1, Class A5, 6.99s, 2032  1,123,000  1,046,682 
Ser. 01-3, Class A4, 6.91s, 2033  727,000  709,836 
Ser. 01-4, Class A4, 7.36s, 2033  781,000  782,584 
Ser. 01-4, Class B1, 9.4s, 2033  109,300  14,756 
Ser. 02-1, Class A, 6.681s, 2033  975,707  1,001,282 
Ser. 02-1, Class M2, 9.546s, 2033  370,000  185,000 
Ser. 02-2, Class A, IO, 8 1/2s, 2033  686,440  173,406 
Consumer Credit Reference IDX Securities 144A FRN Ser. 02-1A, Class A,     
5.924s, 2007  383,000  388,592 
Countrywide Alternative Loan Trust     
Ser. 04-15, Class 1A1, 4.963s, 2034  127,752  127,912 
Ser. 05-24, Class 1AX, IO, 1.195s, 2035  5,139,638  139,734 
Ser. 05-24, Class IIAX, IO, 1.445s, 2035  3,182,182  115,354 
Countrywide Asset Backed Certificates 144A     
Ser. 04-11N, Class N, 5 1/4s, 2036  33,669  33,574 
Ser. 04-14N, 5s, 2036  65,819  65,510 
Ser. 04-1NIM, Class Note, 6s, 2034  126,017  125,891 
Ser. 04-6N, Class N1, 6 1/4s, 2035  212,409  212,608 
Ser. 04-BC1N, Class Note, 5 1/2s, 2035  41,857  41,818 
Countrywide Home Loans     
144A Ser. 05-R2, Class 2A3, 8s, 2035  246,305  263,162 
Ser. 05-2, Class 2X, IO, 0.886s, 2035  4,034,342  98,337 
Ser. 05-9, Class 1X, IO, 0.975s, 2035  3,378,942  87,641 
Countrywide Partnership Trust 144A Ser. 04-EC1N, Class N, 5s, 2035  34,836  34,706 

Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038 (Cayman Islands)  188,000  194,467 
CS First Boston Mortgage Securities Corp. 144A Ser. 04-FR1N, Class A, 5s,     
2034  77,483  77,289 
Fieldstone Mortgage Investment Corp. FRN Ser. 05-1, Class M3, 4.181s,     
2035  93,000  93,037 
Finance America NIM Trust 144A Ser. 04-1, Class A, 5 1/4s, 2034  45,547  45,547 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class D, 7.672s, 2039  590,000  595,808 
First Consumers Master Trust FRB Ser. 01-A, Class A, 4.078s, 2008  79,342  78,945 
First Franklin Mortgage Loan NIM Trust 144A     
Ser. 04-FF10, Class N1, 4.45s, 2034 (Cayman Islands)  42,141  42,083 
Ser. 04-FF7A, Class A, 5s, 2034  49,194  49,096 
First Horizon Mortgage Pass-Through Trust Ser. 05-AR2, Class 1A1, 4.843s,     
2035  421,013  420,038 
First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s, 2023  63,336  63,376 
Ford Credit Auto Owner Trust Ser. 04-A, Class C, 4.19s, 2009  270,000  265,823 
Fremont NIM Trust 144A     
Ser. 04-3, Class A, 4 1/2s, 2034  66,119  65,789 
Ser. 04-3, Class B, 7 1/2s, 2034  32,190  28,230 
Ser. 04-A, Class Note, 4 3/4s, 2034  7,742  7,720 
Ser. 04-B, Class Note, 4.703s, 2034  5,917  5,931 
Ser. 04-D, Class N1, 4 1/2s, 2034 (Cayman Islands)  76,235  76,052 
G-Force CDO, Ltd. 144A Ser. 03-1A, Class E, 6.58s, 2038 (Cayman Islands)  111,000  113,428 
GE Capital Credit Card Master Note Trust FRB Ser. 04-2, Class C, 4.248s,     
2010  241,480  241,891 
GE Corporate Aircraft Financing, LLC 144A     
Ser. 04-1A, Class B, 4.491s, 2018  72,925  72,882 
FRB Ser. 05-1A, Class C, 5.119s, 2019  169,000  169,000 
GEBL 144A     
Ser. 04-2, Class C, 4.618s, 2032  130,325  130,976 
Ser. 04-2, Class D, 6.518s, 2032  130,325  130,324 
GMAC Mortgage Corp. Loan Trust     
Ser. 04-HE5, Class A, IO, 6s, 2007  976,650  62,994 
Ser. 05-AR1, Class 1A2, 4.422s, 2035  327,033  324,172 
Goldentree Loan Opportunities II, Ltd. 144A FRN Ser. 2A, Class 4, 6.979s,     
2015 (Cayman Islands)  50,000  50,705 
Granite Mortgages PLC     
FRB Ser. 02-1, Class 1C, 4.92s, 2042 (United Kingdom)  160,000  161,578 
FRB Ser. 02-2, Class 1C, 4.87s, 2043 (United Kingdom)  130,000  131,696 
FRB Ser. 04-2, Class 1C, 4.59s, 2044 (United Kingdom)  110,760  110,916 
FRN Ser. 01-1, Class 1C, 5.02s, 2041 (United Kingdom)  291,630  295,321 
FRN Ser. 04-1, Class 1C, 4.79s, 2044 (United Kingdom)  194,000  194,667 
Green Tree Financial Corp.     
Ser. 97-4, Class A7, 7.36s, 2029  229,033  241,573 
Ser. 97-6, Class A8, 7.07s, 2029  58,084  60,251 
Ser. 97-6, Class A9, 7.55s, 2029  110,617  116,881 
Ser. 97-7, Class A8, 6.86s, 2029  176,025  182,581 
Ser. 99-3, Class A5, 6.16s, 2031  23,738  23,886 
Ser. 99-3, Class A6, 6 1/2s, 2031  147,000  148,657 
Ser. 99-5, Class A5, 7.86s, 2030  1,480,000  1,314,775 
Greenpoint Manufactured Housing Ser. 00-3, Class IA, 8.45s, 2031  540,770  519,407 
Greenpoint Mortgage Funding Trust Ser. 05-AR1, Class X1, IO, 1.472s, 2045  2,694,352  74,516 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011  286,293  283,763 
GSAMP Trust 144A     
Ser. 04-FM1N, Class Note, 5 1/4s, 2033  8,751  8,751 
Ser. 04-HE1N, Class N1, 5s, 2034  22,418  22,413 
Ser. 04-NIM1, Class N1, 5 1/2s, 2034  192,070  192,032 
Ser. 04-NIM1, Class N2, zero %, 2034  197,000  145,130 
Ser. 04-NIM2, Class N, 4 7/8s, 2034  242,563  241,592 
Ser. 04-SE2N, Class Note, 5 1/2s, 2034  11,819  11,807 
Ser. 05-NC1, Class N, 5s, 2035  100,395  100,174 
GSMPS Mortgage Loan Trust 144A     
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  277,272  293,014 
Ser. 05-RP2, Class 1A3, 8s, 2035  232,484  248,753 
Guggenheim Structured Real Estate Funding, Ltd. FRB Ser. 05-1A, Class D,     
5.171s, 2030 (Cayman Islands)  291,000  290,736 
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A,     
Class D, 5.38s, 2030  250,000  250,000 
High Income Trust Securities 144A FRB Ser. 03-1A, Class A, 4.07s, 2036     
(Cayman Islands)  451,171  442,147 
Holmes Financing PLC     
FRB Ser. 1, Class 2C, 4.749s, 2040 (United Kingdom)  1,390,000  1,392,780 
FRB Ser. 4, Class 3C, 4.899s, 2040 (United Kingdom)  110,000  110,632 
FRB Ser. 8, Class 2C, 4.319s, 2040 (United Kingdom)  92,000  92,374 
Home Equity Asset Trust 144A     
Ser. 03-6N, Class A, 6 1/2s, 2034  1,794  1,789 
Ser. 04-3N, Class A, 5s, 2034  26,450  26,318 
Ser. 04-4N, Class A, 5s, 2034  66,992  66,573 
Ser. 04-5N, Class A, 5 1/4s, 2034  138,815  138,121 
Ser. 04-7N, Class A, 4 1/2s, 2035  318,700  315,911 
Ser. 05-6N, Class A, 5 1/4s, 2035  371,882  370,487 
Hyundai Auto Receivables Trust Ser. 04-A, Class D, 4.1s, 2011  54,000  53,175 
LNR CDO, Ltd. 144A     
FRB Ser. 02-1A, Class FFL, 6.58s, 2037 (Cayman Islands)  460,000  460,552 
FRB Ser. 03-1A, Class EFL, 6.83s, 2036 (Cayman Islands)  270,000  288,441 
Long Beach Asset Holdings Corp. NIM Trust 144A     
Ser. 04-2, Class N1, 4.94s, 2034  13,181  13,181 
Ser. 04-5, Class Note, 5s, 2034  73,746  73,739 
Ser. 05-1, Class N1, 4.115s, 2035  254,408  254,408 
Long Beach Mortgage Loan Trust     
Ser. 04-3, Class S1, IO, 4 1/2s, 2006  2,549,530  93,950 
Ser. 04-3, Class S2, IO, 4 1/2s, 2006  1,274,878  46,979 
Madison Avenue Manufactured Housing Contract     
Ser. 02-A IO, 0.3s, 2032  15,363,158  163,234 
FRB Ser. 02-A, Class B1, 6.891s, 2032  338,443  169,222 
Marriott Vacation Club Owner Trust 144A FRB Ser. 02-1A, Class A1, 4.496s,     
2024  199,585  202,037 
Master Asset Backed Securities NIM Trust 144A     
Ser. 04-CI3, Class N1, 4.45s, 2034  4,534  4,534 
Ser. 04-CI5, Class N1, 4.946s, 2034  56,582  56,585 
Ser. 04-HE1A, Class Note, 5.191s, 2034  33,349  33,449 
Master Reperforming Loan Trust 144A Ser. 05-1, Class 1A4, 7 1/2s, 2034  294,797  310,827 
Mastr Reperforming Loan Trust 144A Ser. 05-2, Class 1A3, 7 1/2s, 2035  180,638  191,133 
Mastr Adjustable Rate Mortgages Trust     
Ser. 04-03, Class 4AX, IO, 1.417s, 2034  579,505  13,763 

Ser. 05-2, Class 7AX, IO, 0.168s, 2035  1,478,467  4,620 
Merit Securities Corp. FRB Ser. 11PA, Class 3A1, 4.289s, 2027  607,829  583,515 
Merrill Lynch Mortgage Investors, Inc.     
Ser. 04-OP1N, Class N1, 4 3/4s, 2035 (Cayman Islands)  28,734  28,635 
Ser. 04-WMC3, Class B3, 5s, 2035  55,000  53,169 
Merrill Lynch Mortgage Investors, Inc. 144A     
Ser. 03-WM1N, Class N1, 7s, 2033  22,670  22,727 
Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)  13,882  13,887 
Ser. 04-HE1N, Class N1, 5s, 2006  15,332  15,279 
Ser. 04-HE2N, Class N1, 5s, 2035 (Cayman Islands)  57,578  57,344 
Ser. 04-WM1N, Class N1, 4 1/2s, 2034  9,991  10,001 
Ser. 04-WM2N, Class N1, 4 1/2s, 2005  19,984  19,909 
Ser. 04-WM3N, Class N1, 4 1/2s, 2005  40,049  39,912 
Ser. 05-WM1N, Class N1, 5s, 2035  152,155  152,227 
Metris Master Trust FRN Ser. 04-2, Class C, 5.146s, 2010  136,000  137,190 
Metris Master Trust 144A FRN Ser. 00-3, Class C, 5.176s, 2009  323,000  323,050 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038  64,904  65,818 
MMCA Automobile Trust Ser. 02-1, Class B, 5.37s, 2010  370,353  368,946 
Morgan Stanley ABS Capital I FRB Ser. 04-WMC3, Class A2PT, 3.931s, 2035  297,043  297,134 
Morgan Stanley Auto Loan Trust Ser. 04-HB2, Class D, 3.82s, 2012  12,793  12,759 
Morgan Stanley Auto Loan Trust 144A     
Ser. 04-HB1, Class D, 5 1/2s, 2011  108,000  107,810 
Ser. 04-HB2, Class E, 5s, 2012  65,000  63,443 
Morgan Stanley Dean Witter Capital I     
FRB Ser. 01-NC3, Class B1, 6.091s, 2031  40,549  40,549 
FRB Ser. 01-NC4, Class B1, 6.141s, 2032  31,005  31,046 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR, Class 2A1, 5.475s, 2035  1,292,421  1,300,448 
Morgan Stanley Mortgage Loan Trust Ser. 05-3AR, Class 2A2, 5.29s, 2035  674,410  676,491 
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1, 4.28s, 2015 (Cayman     
Islands)  138,000  138,428 
Navistar Financial Corp. Owner Trust     
Ser. 04-B, Class C, 3.93s, 2012  51,350  50,651 
Ser. 05-A, Class C, 4.84s, 2014  116,000  115,252 
New Century Home Equity Loan Trust Ser. 03-5, Class AI7, 5.15s, 2033  187,000  182,914 
New Century Mortgage Corp. NIM Trust 144A Ser. 03-B, Class Note, 6 1/2s,     
2033  3,256  3,258 
Newcastle CDO, Ltd. 144A FRB Ser. 3A, Class 4FL, 6.84s, 2038 (Cayman     
Islands)  67,000  68,508 
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT, 9.184s, 2035  90,211  96,666 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2, Class PT, 9.231s, 2034  88,644  95,043 
Novastar NIM Trust 144A Ser. 04-N2, Class Note, 4.458s, 2034  51,158  51,158 
Oakwood Mortgage Investors, Inc.     
Ser. 00-A, Class A3, 7.945s, 2022  261,826  221,942 
Ser. 02-C, Class A1, 5.41s, 2032  644,484  562,659 
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030  105,357  97,191 
Ocean Star PLC 144A     
FRB Ser. 04, Class D, 6.08s, 2018 (Ireland)  79,000  79,000 
FRB Ser. 05-A, Class D, zero %, 2012 (Ireland)  92,000  92,000 
Option One Mortgage Securities Corp. NIM Trust 144A Ser. 04-2A, Class N1,     
4.213s, 2034 (Cayman Islands)  102,455  102,455 
Origen Manufactured Housing Ser. 04-B, Class A2, 3.79s, 2017  55,000  53,694 
Park Place Securities NIM Trust 144A     
Ser. 04-MCWN1, Class A, 4.458s, 2034  19,146  19,146 
Ser. 04-WCW2, Class D, 7.387s, 2034 (Cayman Islands)  95,000  95,361 
Ser. 04-WHQ2, Class A, 4s, 2035  111,759  110,781 
People's Choice Net Interest Margin Note 144A     
Ser. 04-2, Class A, 5s, 2034  119,312  119,580 
Ser. 04-2, Class B, 5s, 2034  50,000  45,300 
Permanent Financing PLC     
FRB Ser. 1, Class 3C, 4.579s, 2042 (United Kingdom)  110,000  110,302 
FRB Ser. 3, Class 3C, 4.529s, 2042 (United Kingdom)  160,000  162,650 
Pillar Funding PLC 144A     
FRB Ser. 04-1A, Class C1, 4.87s, 2011 (United Kingdom)  275,000  278,281 
FRB Ser. 04-2A, Class C, 4.29s, 2011 (United Kingdom)  109,000  109,865 
Providian Gateway Master Trust 144A     
Ser. 04-DA, Class D, 4.4s, 2011  120,000  116,963 
FRB Ser. 04-AA, Class D, 5.618s, 2011  147,000  149,699 
FRB Ser. 04-BA, Class D, 5.168s, 2010  270,000  271,571 
FRB Ser. 04-EA, Class D, 4.698s, 2011  100,000  100,816 
Renaissance Home Equity Loan Trust     
Ser. 03-2, Class A, IO, 3s, 2005  154,052  747 
Ser. 03-4, Class S, IO, 3s, 2006  181,996  1,379 
Renaissance NIM Trust 144A     
Ser. 04-A, Class Note, 4.45s, 2034  23,038  23,011 
Ser. 05-1, Class N, 4.7s, 2035  84,930  84,930 
Residential Accredit Loans, Inc.     
Ser. 04-QA5, Class A2, 4.99s, 2034  99,258  99,191 
Ser. 04-QA6, Class NB1, 4.969s, 2034  615,335  614,626 
Residential Asset Mortgage Products, Inc.     
Ser. 03-RZ3, Class A, IO, 4 1/2s, 2005  800,409  7,904 
Ser. 04-RZ2, Class A, IO, 3 1/2s, 2006  785,033  13,355 
Residential Asset Securities Corp. Ser. 03-KS4, Class AI, IO, 3 1/2s, 2005  57,828  160 
Residential Asset Securities Corp. 144A     
Ser. 04-N10B, Class A1, 5s, 2034  118,163  117,701 
Ser. 04-NT, Class Note, 5s, 2034  102,734  101,964 
Ser. 04-NT12, Class Note, 4.7s, 2035  46,820  46,820 
Residential Asset Securities Corp. NIM Trust 144A Ser. 05-NTR1, Class Note,     
4 1/4s, 2035  267,788  267,118 
SAIL Net Interest Margin Notes 144A     
Ser. 03-13A, Class A, 6 3/4s, 2033 (Cayman Islands)  5,151  5,151 
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)  1,139  1,138 
Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands)  4,683  4,318 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)  1,809  1,597 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)  2,045  2,045 
Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)  5,736  4,944 
Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)  6,638  3,711 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)  12,541  7,562 
Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)  14,720  9,907 
Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)  275,303  274,202 
Ser. 04-11A, Class A2, 4 3/4s, 2035 (Cayman Islands)  240,648  239,685 
Ser. 04-2A, Class A, 5 1/2s, 2034 (Cayman Islands)  80,644  78,305 

Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands)  91,922  91,922 
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands)  60,000  55,440 
Ser. 04-5A, Class A, 4 1/2s, 2034 (Cayman Islands)  28,754  28,726 
Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands)  41,204  41,163 
Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)  62,150  62,150 
Ser. 04-8A, Class B, 6 3/4s, 2034 (Cayman Islands)  63,186  58,131 
Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)  204,283  203,814 
Ser. 04-BN2A, Class A, 5s, 2034 (Cayman Islands)  35,598  35,455 
Ser. 04-BNCA, Class A, 5s, 2034 (Cayman Islands)  19,180  19,180 
Ser. 05-1A, Class A, 4 1/4s, 2035  235,847  234,196 
Ser. 05-2A, Class A, 4 3/4s, 2035 (Cayman Islands)  105,181  104,760 
Sasco Net Interest Margin Trust 144A     
Ser. 05-NC1A, Class A, 4 3/4s, 2035  253,172  252,236 
Ser. 05-WF1A, Class A, 4 3/4s, 2035  246,775  246,035 
Sharps SP I, LLC Net Interest Margin Trust 144A     
Ser. 03-0P1N, Class NA, 4.45s, 2033  18,551  18,551 
Ser. 03-HE1N, Class N, 6.9s, 2033  10,808  10,835 
Ser. 04-4N, Class Note, 6.65s, 2034  16,331  16,331 
Ser. 04-HE1N, Class Note, 4.94s, 2034  30,428  30,428 
Ser. 04-HE2N, Class NA, 5.43s, 2034  18,638  18,591 
Ser. 04-HE4N, Class NA, 3 3/4s, 2034  230,231  229,080 
Ser. 04-HS1N, Class Note, 5.92s, 2034  13,518  13,518 
Ser. 04-RM2N, Class NA, 4s, 2035  114,309  113,881 
Structured Adjustable Rate Mortgage Loan Trust     
Ser. 04-10, Class 1A1, 4.919s, 2034  219,038  219,443 
Ser. 04-12, Class 1A2, 5.011s, 2034  289,543  290,236 
Ser. 04-14, Class 1A, 5.108s, 2034  407,040  408,326 
Ser. 04-16, Class 1A2, 5.018s, 2034  451,963  452,903 
Ser. 04-18, Class 1A1, 5.047s, 2034  410,637  411,474 
Ser. 04-20, Class 1A2, 5.08s, 2035  775,654  777,171 
Ser. 04-4, Class 1A1, 4.771s, 2034  69,080  69,188 
Ser. 04-6, Class 1A, 4.38s, 2034  900,353  897,368 
Ser. 04-8, Class 1A3, 4.697s, 2034  35,138  35,096 
Ser. 05-1, Class 1A1, 5.146s, 2035  1,277,866  1,281,731 
Ser. 05-9, Class AX, IO, 0.927s, 2035  7,078,257  210,932 
Structured Adjustable Rate Mortgage Loan Trust 144A Ser. 04-NP2, Class A,     
4.18s, 2034  271,392  271,419 
Structured Asset Receivables Trust 144A FRB Ser. 05-1, 4.334s, 2015  719,516  709,173 
Structured Asset Securities Corp.     
Ser. 03-26A, Class 2A, 4.548s, 2033  245,322  246,301 
Ser. 03-40A, Class 1A, 4.9s, 2034  134,330  135,139 
Ser. 04-8, Class 1A1, 4.697s, 2034  172,374  172,318 
IFB Ser. 05-10, Class 3A3, 9.787s, 2034  468,776  462,295 
IFB Ser. 05-6, Class 5A8, 6.618s, 2035  678,795  630,868 
Structured Asset Securities Corp. 144A     
FRB Ser. 03-NP2, Class A2, 4.38s, 2032  101,825  101,825 
FRN Ser. 03-NP3, Class A1, 4.33s, 2033  21,455  21,457 
Terwin Mortgage Trust FRB Ser. 04-5HE, Class A1B, 4.061s, 2035  339,338  339,829 
 
TIAA Real Estate CD0, Ltd. Ser. 03-1A, Class E, 8s, 2038 (Cayman Islands)  184,000  176,182 
Wells Fargo Home Equity Trust 144A     
Ser. 04-1N, Class A, 5s, 2034  29,598  29,598 
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)  122,796  122,642 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  109,000  105,730 
Wells Fargo Mortgage Backed Securities Trust     
Ser. 05-AR9, Class 1A2, 4.354s, 2035  270,043  265,853 
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035  6,075,000  107,262 
Ser. 05-AR12, Class 2A5, 4.322s, 2035  2,803,000  2,737,758 
WFS Financial Owner Trust     
Ser. 04-1, Class D, 3.17s, 2011  42,525  41,927 
Ser. 04-3, Class D, 4.07s, 2012  95,568  94,439 
Ser. 04-4, Class D, 3.58s, 2012  42,256  41,663 
Ser. 05-1, Class D, 4 1/4s, 2012  159,196  157,499 
Whole Auto Loan Trust Ser. 03-1, Class C, 3.13s, 2010  26,663  26,440 
Whole Auto Loan Trust 144A     
Ser. 03-1, Class D, 6s, 2010  87,663  87,650 
Ser. 04-1, Class D, 5.6s, 2011  136,564  135,923 
 
Total asset-backed securities (cost $60,316,116)    $59,016,132 
 
CORPORATE BONDS AND NOTES (5.1%)(a)     
  Principal amount  Value 
 
Basic Materials (0.2%)     
Alcan, Inc. notes 5s, 2015 (Canada)  $70,000  $68,839 
Dow Chemical Co. (The) debs. 8.55s, 2009  120,000  136,536 
Dow Chemical Co. (The) notes 6s, 2012  65,000  68,833 
Dow Chemical Co. (The) Pass Through Trust 144A company guaranty 4.027s,     
2009  200,000  192,492 
Georgia-Pacific Corp. sr. notes 8s, 2014  90,000  98,550 
ICI Wilmington, Inc. company guaranty 5 5/8s, 2013  160,000  161,496 
International Paper Co. notes 6 3/4s, 2011  95,000  101,818 
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014  60,000  60,210 
Newmont Mining Corp. notes 5 7/8s, 2035  90,000  88,208 
Potash Corp. of Saskatchewan notes 7 3/4s, 2011 (Canada)  65,000  73,948 
Praxair, Inc. notes 6 3/8s, 2012  50,000  54,375 
Teck Cominco Ltd. notes 6 1/8s, 2035 (Canada)  90,000  87,984 
Teck Cominco Ltd. notes 5 3/8s, 2015 (Canada)  15,000  14,916 
Weyerhaeuser Co. debs. 7.95s, 2025  150,000  176,205 
Weyerhaeuser Co. debs. 7 3/8s, 2032  120,000  135,746 
Weyerhaeuser Co. notes 6 3/4s, 2012  30,000  32,417 
 
    1,552,573 
 
Capital Goods (0.2%)     
Boeing Capital Corp. sr. notes 6.1s, 2011  25,000  26,553 
Boeing Co. (The) debs. 6 7/8s, 2043  85,000  101,678 
Bunge Ltd. Finance Corp. notes 5.35s, 2014  125,000  125,618 
L-3 Communications Corp. 144A sr. sub. notes 6 3/8s, 2015  80,000  80,600 
Lockheed Martin Corp. bonds 8 1/2s, 2029  155,000  213,847 
Raytheon Co. debs. 7s, 2028  75,000  87,875 
Raytheon Co. debs. 6 3/4s, 2018  75,000  84,575 
Raytheon Co. debs. 6s, 2010  70,000  73,102 
Raytheon Co. notes 8.3s, 2010  130,000  147,498 

Raytheon Co. notes 4.85s, 2011  100,000  99,278 
Sealed Air Corp. 144A notes 5 5/8s, 2013  75,000  75,206 
 
    1,115,830 
 
Communication Services (0.5%)     
Ameritech Capital Funding company guaranty 6 1/4s, 2009  65,000  67,667 
AT&T Corp. sr. notes 9 3/4s, 2031  90,000  113,963 
AT&T Wireless Services, Inc. notes 8 1/8s, 2012  50,000  58,634 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031  265,000  357,696 
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011  150,000  170,775 
Bellsouth Capital Funding notes 7 3/4s, 2010  40,000  44,567 
Citizens Communications Co. sr. notes 6 1/4s, 2013  90,000  86,400 
Deutsche Telekom International Finance BV company guaranty 8 3/4s, 2030     
(Germany)  130,000  167,832 
 
Deutsche Telekom International Finance BV notes 5 1/4s, 2013 (Germany)  200,000  201,920 
France Telecom notes 8 1/2s, 2031 (France)  50,000  67,008 
France Telecom notes 7 3/4s, 2011 (France)  160,000  181,675 
Sprint Capital Corp. company guaranty 7 5/8s, 2011  150,000  167,851 
Sprint Capital Corp. company guaranty 6.9s, 2019  175,000  195,920 
Sprint Capital Corp. company guaranty 6 7/8s, 2028  530,000  585,478 
Sprint Capital Corp. notes 8 3/8s, 2012  45,000  52,958 
Telecom Italia Capital notes 5 1/4s, 2015 (Luxembourg)  135,000  133,061 
Telecom Italia Capital SA company guaranty 6 3/8s, 2033 (Luxembourg)  65,000  66,860 
Telecom Italia Capital SA company guaranty 5 1/4s, 2013 (Luxembourg)  155,000  153,901 
 
Telecom Italia Capital SA 144A company guaranty 4s, 2010 (Luxembourg)  165,000  158,854 
Telefonica Europe BV company guaranty 8 1/4s, 2030 (Netherlands)  80,000  106,727 
Verizon Global Funding Corp. notes 7 3/4s, 2030  50,000  60,914 
Verizon New Jersey, Inc. debs. 8s, 2022  60,000  69,949 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030  405,000  496,092 
Verizon Virginia Inc. debs. Ser. A, 4 5/8s, 2013  50,000  47,567 
 
    3,814,269 
 
Conglomerates (--%)     
Tyco International Group SA company guaranty 7s, 2028 (Luxembourg)  110,000  127,141 
Tyco International Group SA company guaranty 6 3/4s, 2011 (Luxembourg)  150,000  162,016 
 
    289,157 
 
Consumer Cyclicals (0.5%)     
Cendant Corp. notes 6 1/4s, 2010  270,000  278,951 
Cendant Corp. sr. notes 7 3/8s, 2013  160,000  174,591 
D.R. Horton, Inc. company guaranty 8s, 2009  35,000  37,533 
D.R. Horton, Inc. sr. notes 5 7/8s, 2013  150,000  146,564 
DaimlerChrysler NA Holding Corp. company guaranty 7.2s, 2009  420,000  448,072 
DaimlerChrysler NA Holding Corp. company guaranty 6 1/2s, 2013  230,000  243,522 
Ford Motor Credit Corp. notes 7 7/8s, 2010  170,000  165,429 
Ford Motor Credit Corp. notes 7 3/4s, 2007  455,000  460,511 
Ford Motor Credit Corp. notes 7 3/8s, 2009  35,000  33,808 
General Motors Acceptance Corp. FRN 4.559s, 2007  255,000  247,968 
General Motors Acceptance Corp. FRN Ser. MTN, 4.67s, 2007  235,000  230,068 
General Motors Acceptance Corp. FRN Ser. MTN, 4.509s, 2007  155,000  152,334 
GTECH Holdings Corp. notes 4 3/4s, 2010  90,000  82,245 
Harrah's Operating Co., Inc. 144A bonds 5 3/4s, 2017  110,000  107,670 
Hilton Hotels Corp. notes 8 1/4s, 2011  180,000  204,028 
JC Penney Co., Inc. debs. 7 1/8s, 2023  105,000  115,500 
May Department Stores Co. (The) notes 5 3/4s, 2014  50,000  50,752 
Park Place Entertainment Corp. sr. notes 7s, 2013  145,000  157,262 
 
    3,336,808 
 
Consumer Staples (0.6%)     
Archer Daniels Midland Co. notes 5 3/8s, 2035  175,000  169,559 
Chancellor Media Corp. company guaranty 8s, 2008  95,000  102,293 
Comcast Corp. company guaranty 4.95s, 2016  260,000  248,979 
Cox Communications, Inc. notes 7 3/4s, 2010  105,000  116,190 
Cox Communications, Inc. notes 6 3/4s, 2011  110,000  117,410 
Cox Enterprises, Inc. 144A notes 7 7/8s, 2010  125,000  138,263 
CVS Corp. 144A pass-through certificates 6.117s, 2013  103,019  107,756 
Delhaize America, Inc. company guaranty 8 1/8s, 2011  210,000  227,601 
Diageo PLC company guaranty 8s, 2022  230,000  292,930 
Jones Intercable, Inc. sr. notes 7 5/8s, 2008  340,000  361,031 
Kraft Foods, Inc. notes 6 1/4s, 2012  240,000  256,273 
Kraft Foods, Inc. notes 5 5/8s, 2011  145,000  149,817 
Kroger Co. company guaranty 6 3/4s, 2012  60,000  64,434 
Miller Brewing Co. 144A notes 5 1/2s, 2013  145,000  146,947 
News America, Inc. debs. 7 1/4s, 2018  195,000  221,324 
Supervalu, Inc. notes 7 7/8s, 2009  100,000  108,644 
TCI Communications, Inc. debs. 8 3/4s, 2015  95,000  117,959 
TCI Communications, Inc. debs. 7 7/8s, 2013  210,000  242,803 
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023  110,000  133,429 
Time Warner, Inc. company guaranty 6.95s, 2028  5,000  5,418 
Time Warner, Inc. debs. 9.15s, 2023  110,000  142,075 
Time Warner, Inc. debs. 9 1/8s, 2013  440,000  537,261 
Turner Broadcasting System, Inc. sr. notes 8 3/8s, 2013  85,000  100,176 
 
    4,108,572 
 
Energy (0.1%)     
Amerada Hess Corp. bonds 7 7/8s, 2029  100,000  122,651 
Buckeye Partners LP notes 5.3s, 2014  75,000  74,733 
Enbridge Energy Partners LP sr. notes 5.35s, 2014  70,000  69,603 
Forest Oil Corp. sr. notes 8s, 2011  80,000  88,400 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012  145,000  146,612 
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015  15,000  16,050 
Sunoco, Inc. notes 4 7/8s, 2014  75,000  73,366 
Valero Energy Corp. sr. unsecd. notes 7 1/2s, 2032  100,000  120,701 
 
    712,116 

Financial (2.2%)

Allfirst Financial Inc. sub. notes 7.2s, 2007  105,000  109,169 
American General Corp. notes 7 1/2s, 2010  225,000  249,140 
Associates First Capital Corp. debs. 6.95s, 2018  85,000  99,236 
AXA Financial, Inc. sr. notes 7 3/4s, 2010  130,000  145,412 
Bank of America Corp. notes 4 3/4s, 2015  50,000  48,902 
Bank of America Corp. sub. notes 7.4s, 2011  500,000  558,382 
Bank of New York Co., Inc. (The) sr. sub. notes FRN 3.4s, 2013  40,000  38,692 
Bank One Corp. sub. debs. 7 5/8s, 2026  55,000  67,402 
Bank One Corp. sub. notes 5 1/4s, 2013  40,000  40,329 
Bank United Corp. notes Ser. A, 8s, 2009  530,000  581,956 
Barclays Bank PLC FRB 6.278s, 2049 (United Kingdom)  150,000  147,750 
Block Financial Corp. notes 5 1/8s, 2014  100,000  97,034 
Bosphorus Financial Services, Ltd. 144A sec. FRN 5.59s, 2012 (Cayman     
Islands)  399,000  387,076 
Capital One Bank notes 6 1/2s, 2013  90,000  96,545 
CenterPoint Properties Trust notes Ser. MTN, 4 3/4s, 2010 (R)  70,000  68,536 
CIT Group, Inc. sr. notes 7 3/4s, 2012 (S)  250,000  286,699 
CIT Group, Inc. sr. notes 5s, 2015  95,000  93,595 
CIT Group, Inc. sr. notes 5s, 2014  225,000  222,650 
Citigroup, Inc. sub. notes 6s, 2033  875,000  912,757 
Citigroup, Inc. sub. notes 5s, 2014  79,000  78,573 
Colonial Properties Trust notes 6 1/4s, 2014 (R)  80,000  82,806 
Countrywide Capital III company guaranty Ser. B, 8.05s, 2027  110,000  132,588 
Credit Suisse First Boston USA, Inc. notes 4 7/8s, 2015  105,000  102,956 
Developers Diversified Realty Corp. notes 4 5/8s, 2010 (R)  60,000  58,452 
Equity One, Inc. company guaranty 3 7/8s, 2009 (R)  225,000  214,763 
ERP Operating LP notes 6.584s, 2015  80,000  87,489 
Executive Risk Capital Trust company guaranty Ser. B, 8.675s, 2027  165,000  178,912 
Fleet Capital Trust V bank guaranty FRN 4.886s, 2028  135,000  135,138 
Franchise Finance Corp. of America sr. notes 8 3/4s, 2010 (R)  270,000  316,972 
Fund American Cos. Inc. notes 5 7/8s, 2013  185,000  184,170 
General Electric Capital Corp. notes Ser. A, 6s, 2012  75,000  79,832 
General Electric Capital Corp. notes Ser. MTNA, 6 1/8s, 2011  60,000  63,635 
Goldman Sachs Group, Inc. (The) notes 5 1/8s, 2015  235,000  234,273 
Goldman Sachs Group, Inc. (The) notes 4 3/4s, 2013  195,000  191,041 
Greenpoint Capital Trust I company guaranty 9.1s, 2027  75,000  82,114 
Hartford Financial Services Group, Inc. (The) sr. notes 7.9s, 2010  130,000  145,977 
Heritage Property Investment Trust company guaranty 5 1/8s, 2014 (R)  105,000  102,635 
Hospitality Properties Trust notes 6 3/4s, 2013 (R)  180,000  192,804 
Household Finance Corp. notes 8s, 2010  245,000  276,453 
Household Finance Corp. notes 7s, 2012  170,000  188,136 
HRPT Properties Trust bonds 5 3/4s, 2014 (R)  55,000  55,989 
HRPT Properties Trust notes 6 1/4s, 2016 (R)  80,000  83,974 
HSBC Capital Funding LP 144A bank guaranty FRB 9.547s, 2049 (Jersey)  240,000  284,660 
HSBC Capital Funding LP 144A bank guaranty FRB 4.61s, 2013 (Jersey)  340,000  325,256 
HSBC Finance Corp. notes 5 1/4s, 2015  200,000  200,936 
International Lease Finance Corp. FRN Ser. MTNP, 3.999s, 2010  290,000  291,106 
International Lease Finance Corp. notes 4 3/4s, 2012  80,000  78,519 
International Lease Finance Corp. unsecd. notes 4 7/8s, 2010  145,000  144,290 
iStar Financial, Inc. sr. notes 8 3/4s, 2008 (R)  25,000  27,383 
iStar Financial, Inc. sr. notes 6s, 2010 (R)  160,000  164,315 
John Hancock Global Funding II 144A notes 7.9s, 2010  85,000  96,536 
JPMorgan Chase & Co. sub. notes 5 1/8s, 2014  535,000  533,654 
JPMorgan Chase Capital XV notes 5 7/8s, 2035  185,000  181,089 
Kimco Realty Corp. notes Ser. MTNC, 5.19s, 2013 (R)  65,000  64,915 
Lehman Bros E-Capital Trust I 144A FRN 4.59s, 2065  140,000  140,286 
Lehman Brothers Holdings, Inc. notes 6 5/8s, 2012  10,000  10,878 
Lehman Brothers Holdings, Inc. notes Ser. G, 4.8s, 2014  140,000  137,536 
Liberty Mutual Insurance 144A notes 7.697s, 2097  550,000  559,197 
Loews Corp. notes 5 1/4s, 2016  70,000  68,134 
MetLife, Inc. notes 5.7s, 2035  105,000  104,379 
MetLife, Inc. notes 5s, 2015  185,000  182,614 
Morgan Stanley Dean Witter & Co. sr. notes 6 3/4s, 2011  105,000  114,223 
National City Bank bonds 4 5/8s, 2013  185,000  181,373 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  50,000  50,947 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  60,000  75,170 
NB Capital Trust IV company guaranty 8 1/4s, 2027  395,000  427,033 
Nuveen Investments, Inc. sr. notes 5 1/2s, 2015  70,000  69,154 
Nuveen Investments, Inc. sr. notes 5s, 2010  70,000  69,304 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  85,000  95,584 
PNC Bank NA notes 4 7/8s, 2017  140,000  136,542 
Principal Life Global Funding I 144A sec. notes 5 1/4s, 2013  155,000  158,041 
Protective Life Corp. notes 4.3s, 2013  90,000  85,952 
Prudential Holdings LLC 144A bonds 8.695s, 2023  170,000  217,321 
Prudential Insurance Co. 144A notes 8.3s, 2025  235,000  303,853 
Rabobank Capital Funding Trust 144A sub. notes FRN 5.254s, 2049  145,000  144,466 
Rouse Co. (The) notes 7.2s, 2012 (R)  140,000  147,809 
Royal Bank of Scotland Group PLC bonds Ser. 1, 9.118s, 2049 (United     
Kingdom)  255,000  296,465 
Royal Bank of Scotland Group PLC FRB 7.648s, 2049 (United Kingdom)  50,000  60,783 
Simon Property Group LP notes 5 5/8s, 2014 (R)  85,000  87,041 
Sovereign Bancorp, Inc. 144A sr. notes 4.8s, 2010  100,000  99,289 
State Street Capital Trust II notes FRN 4.29s, 2008  115,000  115,085 
Sun Life Canada Capital Trust 144A company guaranty 8.526s, 2049  245,000  266,531 
Suncorp-Metway, Ltd. 144A notes FRN 3 1/2s, 2013 (Australia)  135,000  131,000 
Transamerica Capital III company guaranty 7 5/8s, 2037  145,000  169,761 
UBS AG/Jersey Branch FRN 4.065s, 2008 (Jersey)  310,000  322,013 
UBS Preferred Funding Trust I company guaranty 8.622s, 2049  160,000  185,354 
Wachovia Corp. sub. notes 5 1/4s, 2014  205,000  207,875 
Westpac Capital Trust III 144A sub. notes FRN 5.819s, 2049 (Australia)  140,000  144,312 
 
    15,478,908 
 
Health Care (0.1%)     
American Home Products Corp. notes 6.95s, 2011  295,000  324,053 
Bayer Corp. 144A FRB 6.2s, 2008  85,000  87,486 
HCA, Inc. sr. notes 6.95s, 2012  60,000  61,718 
Hospira, Inc. notes 5.9s, 2014  60,000  62,477 
WellPoint, Inc. notes 5s, 2014  70,000  69,638 
WellPoint, Inc. notes 4 1/4s, 2009  70,000  68,471 
Wyeth notes 5 1/2s, 2013  60,000  61,534 
 
    735,377 

Technology (--%)

Avnet, Inc. notes 6s, 2015    105,000  103,070 
Computer Associates International, Inc. 144A sr. notes 5 5/8s, 2014    130,000  129,027 
Motorola, Inc. notes 7 5/8s, 2010    7,000  8,085 
Motorola, Inc. notes 4.608s, 2007    95,000  94,890 
 
      335,072 
 
Transportation (0.1%)       
Continental Airlines, Inc. pass-through certificates Ser. 97-4A, 6.9s, 2018    4,015  3,935 
 
Continental Airlines, Inc. pass-through certificates Ser. 98-1A, 6.648s, 2017    86,230  83,428 
Continental Airlines, Inc. pass-through certificates Ser. 98-2, 6.32s, 2008    180,000  179,047 
CSX Corp. notes 6 3/4s, 2011    115,000  124,609 
Norfolk Southern Corp. sr. notes 6 3/4s, 2011    150,000  163,449 
 
      554,468 
 
Utilities & Power (0.6%)       
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013    135,000  137,805 
Appalachian Power Co. sr. notes 5.8s, 2035    55,000  54,244 
Atmos Energy Corp. notes 4.95s, 2014    110,000  107,356 
Beaver Valley II Funding debs. 9s, 2017    110,000  130,662 
Boardwalk Pipelines LLC notes 5 1/2s, 2017    45,000  44,705 
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011    140,000  157,240 
 
Cleveland Electric Illuminating Co. (The) 144A sr. notes Ser. D, 7.88s, 2017    70,000  85,752 
Consolidated Natural Gas Co. sr. notes 5s, 2014    70,000  68,996 
Consumers Energy Co. 1st mtge. 5.65s, 2020    130,000  131,827 
Consumers Energy Co. 1st mtge. 5s, 2012    165,000  164,156 
Consumers Energy Co. 1st mtge. Ser. B, 5 3/8s, 2013    55,000  55,599 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013    105,000  105,663 
Entergy Gulf States, Inc. 1st mtge. 3.6s, 2008    75,000  72,014 
FirstEnergy Corp. notes Ser. B, 6.45s, 2011    15,000  15,971 
FirstEnergy Corp. notes Ser. C, 7 3/8s, 2031    108,000  126,670 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013    60,000  63,653 
Ipalco Enterprises, Inc. sec. notes 8 3/8s, 2008    70,000  74,200 
Kansas Gas & Electric 144A bonds 5.647s, 2021    40,000  39,586 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012    105,000  112,967 
MidAmerican Energy Holdings Co. sr. notes 5 7/8s, 2012    180,000  187,813 
Monongahela Power Co. 1st mtge. 5s, 2006    235,000  235,481 
National Fuel Gas Co. notes 5 1/4s, 2013    55,000  55,148 
Nevada Power Co. 2nd mtge. 9s, 2013    49,000  54,421 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s, 2015    80,000  78,852 
NiSource Finance Corp. company guaranty 5.45s, 2020    175,000  171,183 
NiSource Finance Corp. company guaranty 5 1/4s, 2017    20,000  19,549 
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033    20,000  23,609 
Oncor Electric Delivery Co. sec. notes 6 3/8s, 2015    20,000  21,591 
Oncor Electric Delivery Co. sec. notes 6 3/8s, 2012    245,000  262,557 
Pacific Gas & Electric Co. 1st mtge. 4.8s, 2014    65,000  63,643 
PacifiCorp Sinking Fund 1st mtge. 5.45s, 2013    110,000  113,369 
Pepco Holdings, Inc. notes 5 1/2s, 2007    100,000  101,252 
Potomac Edison Co. 144A 1st mtge. 5.35s, 2014    40,000  40,434 
Power Receivable Finance, LLC 144A sr. notes 6.29s, 2012 (S)    143,187  146,529 
PP&L Capital Funding, Inc. company guaranty Ser. D, 8 3/8s, 2007    75,000  79,310 
Public Service Co. of Colorado sr. notes Ser. A, 6 7/8s, 2009    60,000  64,155 
Public Service Co. of New Mexico sr. notes 4.4s, 2008    60,000  59,134 
Public Service Electric & Gas Co. 1st mtge. 6 3/8s, 2008    120,000  124,432 
Southern California Edison Co. 1st mtge. 5s, 2016    55,000  54,743 
Southern California Edison Co. 1st mtge. 5s, 2014    125,000  125,091 
Tampa Electric Co. notes 6 7/8s, 2012    70,000  77,265 
Westar Energy, Inc. 1st mtge. 5.1s, 2020    110,000  106,900 
 
      4,015,527 
 
Total corporate bonds and notes (cost $35,673,728)      $36,048,677 
CONVERTIBLE PREFERRED STOCKS (0.6%)(a)       
    Shares  Value 
Hartford Financial Services Group, Inc. (The) $3.50 cv. pfd.    6,280  $440,385 
Hartford Financial Services Group, Inc. (The) $3.00 cv. pfd.    9,659  670,093 
Huntsman Corp. $2.50 cv. pfd. (S)    15,200  663,100 
Xerox Corp. 6.25% cv. pfd.    21,500  2,502,063 
 
Total convertible preferred stocks (cost $3,815,354)      $4,275,641 
 
MUNICIPAL BONDS AND NOTES (--%)(a)       
 
  Rating (RAT)  Principal amount  Value 
NJ State Tpk. Auth. Rev. Bonds, Ser. B, AMBAC       
4.252s, 1/1/16  Aaa  $115,000  $110,093 
4.252s, 1/1/16 (Pre-refunded)  Aaa  5,000  4,768 
 
Total municipal bonds and notes (cost $119,981)      $114,861 
 
UNITS (--%)(a) (cost $78,332)       
 
    Units  Value 
Cendant Corp. unit 4.89s, 2006    130,000  $64,877 
 
 
 
 
SHORT-TERM INVESTMENTS (7.9%)(a)       
 
    Principal amount  Value 
 
Putnam Prime Money Market Fund (e)    $39,663,661  $39,663,661 
 
 
Short-term investments held as collateral for loaned securities with yields ranging from 3.77% to 4.09%     
and due dates ranging from October 3, 2005 to November 1, 2005 (d)    16,128,993  16,111,395 
 
Total short-term investments (cost $55,775,056)      $55,775,056 

TOTAL INVESTMENTS   
Total investments (cost $681,883,971)(b)  $754,148,300 

FORWARD CURRENCY CONTRACTS TO BUY at 9/30/05 (Unaudited)   
      Unrealized 
    Aggregate Delivery  appreciation/ 
  Value  face value date  (depreciation) 
 
Euro  $222,722  $231,696 12/21/05  $(8,974) 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value date  (depreciation) 
U.S. Treasury Note 5 yr (Long)  299  $36,439,047  Dec-05  $(229,739) 
U.S. Treasury Note 5 yr (Short)  215  22,974,766  Dec-05  116,933 
U.S. Treasury Note 10 yr (Short)  167  18,356,953  Dec-05  194,921 
U.S. Treasury Bond (Long)  113  12,584,688  Dec-05  (224,748) 
U.S. Treasury Note 2 yr (Short)  58  11,941,656  Dec-05  39,939 
Euro 90 day (Long)  4  956,150  Mar-06  (7,091) 
Euro 90 day (Long)  2  477,250  Mar-06  (2,108) 
Total        $(111,893) 

TBA SALE COMMITMENTS OUTSTANDING at 9/30/05 (proceeds receivable $10,380,469) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FHLMC, 6 1/2s, October 1, 2035  $6,850,000  10/13/05  $7,039,981 
FNMA, 5 1/2s, October 1, 2035  3,300,000  10/13/05  3,298,969 
Total      $10,338,950 

WRITTEN OPTIONS OUTSTANDING at 9/30/05 (premiums received $945,218) (Unaudited)   
  Contract    Expiration date/   
  amount   strike price  Value 
 
Option on an interest rate swap with JPMorgan Chase Bank,       
N.A. for the right to pay a fixed rate of 4.55% versus the       
three month LIBOR maturing on July 3, 2017  $12,220,000  July-17/$4.55  $293,280 
 
Option on an interest rate swap with JPMorgan Chase Bank,       
N.A. for the right to receive a fixed rate of 4.55% versus the       
three month LIBOR maturing on July 3, 2017  12,220,000  July-17/$4.55  623,220 
Total      $916,500 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)       
      Unrealized 
  Notional  Termination   appreciation/ 
  amount   date  (depreciation) 
Agreement with Bank of America, N.A. dated December 2, 2003 to       
receive semi-annually the notional amount multiplied by 2.444% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  $3,306,000  12/5/05  $9,028 
Agreement with Bank of America, N.A. dated December 12, 2003 to       
pay semi-annually the notional amount multiplied by 2.1125% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  154,000  12/16/05  (117) 
Agreement with Bank of America, N.A. dated January 26, 2004 to       
receive semi-annually the notional amount multiplied by 5.2125% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  4,247,000  1/28/24  137,062 
Agreement with Bank of America, N.A. dated March 25, 2004 to pay       
semi-annually the notional amount multiplied by 3.075% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  3,900,000  3/30/09  191,724 
Agreement with JPMorgan Chase Bank, N.A. dated March 3, 2005 to       
receive semi-annually the notional amount multiplied by 4.798% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  12,000,000  3/7/15  40,284 
Agreement with Bank of America, N.A. dated December 20, 2004 to       
pay semi-annually the notional amount multiplied by 3.965% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  13,480,000  12/22/09  207,988 
Agreement with Bank of America, N.A. dated January 12, 2005 to       
receive semi-annually the notional amount multiplied by 4.106% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  14,400,000  1/14/10  (282,017) 
Agreement with Bank of America, N.A. dated March 31, 2005 to pay       
semi-annually the notional amount multiplied by 4.6375% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  13,300,000  4/6/10  (183,961) 
Agreement with Credit Suisse First Boston International dated       
November 15, 2004 to pay semi-annually the notional amount       
multiplied by 3.947% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR.  10,700,000  11/17/09  164,591 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 5, 2003 to receive semi-annually the notional amount       
multiplied by 2.23762% and pay quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  6,401,000  12/9/05  10,081 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 9, 2003 to receive semi-annually the notional amount       
multiplied by 4.641% and pay quarterly the notional amount multiplied       
by the three month USD-LIBOR-BBA.  12,979,000  12/15/13  72,137 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 11, 2003 to pay semi-annually the notional amount       
multiplied by 2.235% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  302,000  12/15/05  (417) 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 11, 2003 to pay semi-annually the notional amount       
multiplied by 4.710% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  1,264,000  12/15/13  (13,217) 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 12, 2003 to pay semi-annually the notional amount       
multiplied by 4.579% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  479,000  12/16/13  (611) 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.009% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  7,474,000  1/23/06  72,884 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.008% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  7,474,000  1/23/06  72,884 
Agreement with Bank of America, N.A. dated June 15, 2005 to pay       
semi-annually the notional amount multiplied by 4.555% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  2,740,000  6/17/15  14,095 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.466% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  990,000  6/23/15  12,666 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.45% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  410,000  6/23/15  5,771 
Agreement with Bank of America, N.A. dated June 22, 2005 to pay       
semi-annually the notional amount multiplied by 4.39% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  500,000  6/24/15  9,320 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
13, 2005 to pay semi-annually the notional amount multiplied by 4.38%       
and receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA.  8,900,000  7/15/10  87,065 

Agreement with Credit Suisse First Boston International dated July 7,       
2004 to receive semi-annually the notional amount multiplied by       
2.931% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  2,901,900  7/9/06  (36,984) 
Agreement with Credit Suisse First Boston International dated October       
5, 2004 to receive semi-annually the notional amount multiplied by       
4.624% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  1,590,000  10/7/14  6,093 
Agreement with JPMorgan Chase Bank, N.A. dated June 14, 2005 to       
pay semi-annually the notional amount multiplied by 4.538% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  2,380,000  6/16/15  15,537 
Agreement with JPMorgan Chase Bank, N.A. dated June 22, 2005 to       
receive semi-annually the notional amount multiplied by 4.387% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  590,000  6/24/15  10,931 
Agreement with JPMorgan Chase Bank, N.A. dated June 27, 2005 to       
receive semi-annually the notional amount multiplied by 4.296% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  8,280,000  6/29/15  (217,423) 
Agreement with JPMorgan Chase Bank, N.A. dated July 29, 2005 to       
pay semi-annually the notional amount multiplied by 4.6757% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  1,659,000  8/2/15  (13,253) 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.408% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,471,000  1/23/14  52,673 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.419% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,471,000  1/23/14  50,942 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 1.999% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  7,659,000  1/26/06  76,211 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 2.007% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  4,015,000  1/26/06  39,812 
Agreement with JPMorgan Chase Bank, N.A. dated August 31, 2005       
to receive semi-annually the notional amount multiplied by 4.4505%       
and pay quarterly the notional amount multiplied by the three month       
USD-LIBOR-BBA.  12,000,000  9/2/15  (306,045) 
Agreement with Bank of America, N.A. dated August 30, 2005 to       
receive semi-annually the notional amount multiplied by 4.53125% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.  5,000,000  9/1/15  (96,614) 
Total      $209,120 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
      Unrealized 
  Notional Termination  appreciation/ 
  amount date  (depreciation) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated       
September 8, 2005 to receive at maturity the notional amount       
multiplied by the nominal spread appreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor and an accrual of 30 basis points plus the       
beginning of the period nominal spread of the Lehman Brothers AAA       
8.5+ Commercial Mortgage Backed Securities Index and pay at       
maturity the notional amount multiplied by the nominal spread       
depreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor.  $16,035,000  4/2/06  $(6,366) 
 
Agreement with Citibank, NA. dated September 8, 2005 to receive at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 27 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and pay at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  65,690  4/2/06  (8,238) 
 
 
Agreement with Deutsche Bank AG dated September 8, 2005 to       
receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 25 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  18,650  3/2/06  (2,335) 
 
Agreement with Citibank, N.A. dated July 7, 2005 to receive at maturity       
the notional amount multiplied by the nominal spread appreciation of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index adjusted by a modified duration factor and an accrual       
of 50 basis points plus the beginning of the period nominal spread of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index and pay at maturity the notional amount multiplied by       
the nominal spread depreciation of the Lehman Brothers AAA 8.5+       
Commercial Mortgage Backed Securities Index adjusted by a modified       
duration factor.  40,000  1/1/06  (5,876) 
 
Agreement with Citigroup Financial Products, Inc. dated April 22, 2005       
to receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 40 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  32,540  11/1/05  2,275 
 
Agreement with Citigroup Financial Products, Inc. dated May 5, 2005       
to receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 35 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  31,660  11/1/05  48 
 
Agreement with Deutsche Bank AG dated August 3, 2005 to receive at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 15 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and pay at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  40,000  1/1/06  16,260 

Agreement with Deutsche Bank AG dated May 3, 2005 to pay at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 35 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and receive at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  16,270  11/1/05  26 
 
Agreement with Lehman Brothers Finance, S.A. dated August 31,       
2005 to receive/(pay) semi-annually the notional amount multiplied by       
the return of the Lehman Brothers US ABS Floating Rate Index HEL       
Aggregate Component and pay semi-annually the notional amount       
multiplied by the six month USD-LIBOR-BBA adjusted by a specified       
spread.  198,000  2/21/06  (2,676) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated July 7,       
2005 to pay monthly the notional amount multiplied by the spread       
depreciation of the Lehman Brothers 8.5+ AAA Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and       
receive monthly the notional amount multiplied by the appreciation of       
the Lehman Brothers 8.5+ AAA Commercial Mortgage Backed       
Securities Index plus 27.2 basis points.  4,625,000  12/1/05  (3,066) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated August 3,       
2005 to pay at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 20 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and receive at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  4,625,000  12/1/05  (18,093) 
Total      $(28,041) 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
    Unrealized 
  Notional   appreciation/ 
  amount  (depreciation)  
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005,     
maturing on June 20, 2015, to receive quarterly 70.5 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX Series     
4 Index 10-15% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index 10-15% tranche.  $453,000  $3,404 
 
Agreement with Deutsche Bank AG on September 9, 2004, maturing on September     
20, 2014, to receive a quarterly payment of 0.58% times the notional amount. Upon     
a credit default event of any CVS senior note, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the then-     
market value of any CVS senior note.  90,000  (312) 
 
Agreement with Deutsche Bank AG effective August 8, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread     
on issue and the market spread on day of execution and to pay quarterly 40 basis     
points times the notional amount. Upon a credit default event of any reference entity     
within the DJ IG CDX Series 4 Index, the fund receives a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index.  897,000  (824) 
 
Agreement with Goldman Sachs Capital Markets, L.P. effective August 18, 2005,     
maturing on June 20, 2010, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 40 basis points times the notional amount. Upon a credit default event     
of a reference entity within the CDX IG Series 4 Index, the fund receives a payment of     
the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the CDX IG Series 4 Index.  575,900  107 
 
Agreement with Lehman Brothers Special Financing, Inc. effective August 5, 2005,     
maturing on June 20, 2010, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
to pay quarterly 40 basis points times the notional amount. Upon a credit default     
event of any reference entity within the DJ IG CDX Series 4 Index, the fund receives a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ IG CDX Series 4     
Index.  897,000  (564) 
 
Agreement with Citigroup Financial Products, Inc. effective August 19, 2005, maturing     
on June 20, 2012, to receive/(pay) a premium based on the difference between the     
original spread on issue and the market spread on day of execution and pay quarterly     
55 basis points times the notional amount. Upon a credit default event of a reference     
entity within the DJ IG CDX Series 4 Index, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the then-     
market value of the reference entity within the DJ IG CDX Series 4 Index.  898,000  98 
 
Agreement with Deutsche Bank AG effective July 14, 2005, maturing on June 20,     
2012, to receive/(pay) a premium based on the difference between the original spread     
on issue and the market spread on day of execution and pay quarterly 55 basis points     
times the notional amount. Upon a credit default event of a reference entity within the     
DJ IG CDX Series 4 Index, the fund receives a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index.  674,000  (1,916) 
 
Agreement with Goldman Sachs Capital Markets, L.P. effective August 19, 2005,     
maturing on June 20, 2012, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 55 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX Series 4 Index, the fund receives a payment     
of the proportional notional amount times the difference between the par value and     
the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  426,500  (1,221) 
 
Agreement with Goldman Sachs International effective September 2, 2004,     
terminating on the date on which the notional amount is reduced to zero or the date     
on which the assets securing the reference obligation are liquidated, the fund receives     
a payment of the outstanding notional amount times 2.55625% and the fund pays in     
the event of a credit default in one of the underlying securities in the basket of BB     
CMBS securities.  1,087,000  25,693 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 29, 2005,     
maturing on June 20, 2012, to receive quarterly 318 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX Series     
4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX Series 4 Index 3-7% tranche.  323,000  391 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 13, 2005,     
maturing on June 20, 2012, to receive quarterly 275 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX Series     
4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX Series 4 Index 3-7% tranche.  339,000  (7,347) 
 
Agreement with Goldman Sachs Capital Markets, L.P.effective August 18, 2005,     
maturing on June 20, 2010, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
receive quarterly 38.5 basis points times the notional amount. Upon a credit default     
event of a reference entity within the CDX IG Series 4 Index, the fund makes a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the CDX IG Series 4     
Index.  443,000  2,171 
 
Agreement with Deutsche Bank AG effective August 8, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread     
on issue and the market spread on day of execution and to receive quarterly 44 basis     
points times the notional amount. Upon a credit default event of any reference entity     
within the DJ IG CDX Series 4 Index, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index.  897,000  6,174 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 29, 2005, maturing     
on June 20, 2012, to receive quarterly 33.75 basis points times the notional amount.     
Upon a credit default event of any reference entity within the DJ IG CDX Series 4     
Index, 10-15% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index,10-15% tranche.  897,000  5,243 

Agreement with Deutsche Bank AG on July 14, 2005, maturing on June 20, 2012, to     
receive quarterly 35.5 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index, 10-15% tranche, the     
fund makes a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ     
IG CDX Series 4 Index, 10-15% tranche.  449,000  4,023 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 14, 2005, maturing     
on June 20, 2012, to receive quarterly 36 basis points times the notional amount.     
Upon a credit default event of any reference entity within the DJ IG CDX Series 4     
Index,10-15% tranche, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX Series 4 Index,10-15% tranche.  413,000  2,277 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 19, 2005, maturing     
on June 20, 2012, to receive quarterly 37.5 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX Series 4 Index     
10-15% tranche, the fund makes a payment of the proportional notional amount times     
the difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX Series 4 Index 10-15% tranche.  853,000  7,656 
 
Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing on     
June 20, 2012, to receive quarterly 62 basis points times the notional amount. Upon a     
credit default event of a reference entity within the DJ IG CDX Series 4 Index 7-10%     
tranche, the fund makes a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity     
within the DJ IG CDX Series 4 Index 7-10% tranche.  898,000  9,853 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005,     
maturing on December 20, 2015, to receive quarterly 57.5 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG     
CDX 5 Index 10-15% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 5 Index 10-15% tranche.  456,000  (75) 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005,     
maturing on June 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 65 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX Series 4 Index, the fund receives a payment     
of the proportional notional amount times the difference between the par value and     
the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  453,000  554 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 55 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX Series 4 Index, the fund receives a payment     
of the proportional notional amount times the difference between the par value and     
the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  912,000  1,377 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive quarterly 48 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX Series     
4 Index 7-10% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index 7-10% tranche.  912,000  3,061 
 
Agreement with Bank of America, N.A. on September 13, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original spread     
on issue and the market spread on day of execution and pay quarterly 90 basis points     
times the notional amount. Upon a credit default event of a reference entity within the     
DJ CDX IG HVOL Series 4 Index, the fund receives a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ CDX IG HVOL Series 4 Index.  678,000  2,821 
 
Agreement with Bank of America, N.A. on July 26, 2005, maturing on September 20, 2012, to     
receive quarterly 64 basis points times the notional amount. Upon a credit default event of Waste     
Management, 7.375%, 8/1/2010, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of Waste Management,     
7.375%, 8/1/2010.  160,000  873 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005,     
maturing on June 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 65 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX 4 Index, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the then-     
market value of the reference entity within the DJ IG CDX 4 Index.  456,000  1,669 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005,     
maturing on June 20, 2015, to receive quarterly 59 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX 4     
Index,10-15% tranche, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX 4 Index,10-15% tranche.  456,000  (1,137) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005,     
maturing on December 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 70 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX 5 Index, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the then-     
market value of the reference entity within the DJ IG CDX 5 Index.  456,000  (620) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 29, 2005,     
maturing on June 20, 2010, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 90 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ CDX IG HVOL Series 4 Index, the fund receives a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ CDX IG HVOL     
Series 4 Index.  968,000  (1,073) 
 
Agreement with Deutsche Bank AG effective July 22, 2005, maturing on September 20, 2010, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and receive quarterly 41 basis points times the notional amount.     
Upon a credit default event of France Telecomm, 7.75%, 3/1/2011, the fund makes a payment of     
the proportional notional amount times the difference between the par value and the then-market     
value of France Telecomm, 7.75%, 3/1/2011.  255,000  608 

Agreement with Goldman Sachs Capital Markets, L.P. on August 4, 2005, maturing on September     
20, 2010, to receive quarterly 49 basis points times the notional amount. Upon a credit default     
event of Goodyear 7 5/8s, 12/15/12, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of Goodyear 7 5/8s,     
12/15/12.  125,000  259 
 
Agreement with Lehman Brothers Special Financing, Inc. on August 5, 2005, maturing on June 20,     
2010, to receive quarterly 43 basis points times the notional amount. Upon a credit default event of     
any reference entity within the DJ IG CDX Series 4 Index, 7-10% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index,7-10% tranche.  897,000  5,207 
 
Agreement with Bank of America, N.A. on November 24, 2004, maturing on April 15,     
2010, to receive a premium equal to 2.58% times the notional amount. Upon a credit     
default event of any News Corp. senior note or bond, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the then-     
market value of the defaulted News Corp. senior note or bond.  85,000  (4,185) 
Total    $64,245 

NOTES

(a) Percentages indicated are based on net assets of $703,178,111.

(b) The aggregate identified cost on a tax basis is $693,191,662, resulting in gross unrealized appreciation and depreciation of $77,395,251 and $16,438,613, respectively, or net unrealized appreciation of $60,956,638.

(d) The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of operations. At September 30, 2005, the value of securities loaned amounted to $15,468,704. Certain of these securities were sold prior to period-end. The fund received cash collateral of $16,111,395, which is pooled with collateral of other Putnam funds into 20 issues of high-grade, short-term investments.

(e) Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $1,088,942 for the period ended September 30, 2005. During the period ended September, 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $209,242,606 and $238,857,939, respectively.

(NON) Non-income-producing security.

(S) Securities on loan, in part or in entirety, at September 30, 2005.

(SEG) A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts at September 30, 2005.

(R) Real Estate Investment Trust.

At September 30, 2005, liquid assets totaling $82,370,227 have been designated as collateral for open forward commitments, open swap contracts, forward contracts and written options.

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

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

The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at September 30, 2005.

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 September 30,2005.

Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange.

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

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.

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

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

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

The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform.

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

Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. Interest rate swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

Putnam VT Global Asset       
Allocation Fund       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (66.1%)(a)       
 
    Shares  Value 
 
Banking (4.0%)       
Allied Irish Banks PLC (Ireland)    14,029  $299,342 
Anchor BanCorp Wisconsin, Inc.    3,400  100,232 
Australia & New Zealand Banking Group, Ltd. (Australia)    18,715  342,889 
Bank of Fukuoka, Ltd. (The) (Japan)    44,000  317,614 
Bank of Ireland (Ireland)    5,373  84,851 
Bank of Yokohama, Ltd. (The) (Japan) (NON)    39,000  297,697 
Barclays PLC (United Kingdom)    103,490  1,048,922 
Bayerische Hypo-Und Vereinsbank AG (Germany) (NON)    3,100  87,447 
BNP Paribas SA (France)    13,404  1,022,027 
Chiba Bank, Ltd. (The) (Japan)    35,000  285,078 
City Holding Co.    5,250  187,740 
Colonial Bancgroup, Inc.    17,450  390,880 
Comerica, Inc.    8,600  506,540 
Corus Bankshares, Inc.    2,300  126,109 
DBS Group Holdings, Ltd. (Singapore)    63,000  589,343 
Depfa Bank PLC (Ireland)    4,089  65,954 
First Financial Bankshares, Inc.    2,600  90,558 
FirstFed Financial Corp. (NON)    7,740  416,489 
Flagstar Bancorp, Inc.    12,600  202,860 
Gunma Bank, Ltd. (The) (Japan)    7,000  44,970 
HBOS PLC (United Kingdom)    53,571  808,791 
ICAP PLC (United Kingdom)    10,464  67,746 
KBC Groupe SA (Belgium)    8,449  686,487 
KeyCorp    17,400  561,150 
Mizuho Financial Group, Inc. (Japan)    84  535,192 
Nara Bancorp, Inc.    8,700  130,065 
Nordea AB (Sweden)    75,500  757,218 
PFF Bancorp, Inc.    3,000  90,780 
R&G Financial Corp. Class B (Puerto Rico)    9,960  136,950 
Republic Bancorp, Inc.    10,210  144,369 
Republic Bancorp, Inc. Class A    2,115  44,246 
Resona Holdings, Inc. (Japan) (NON)    41  106,010 
Southwest Bancorp, Inc.    2,500  54,925 
Sumitomo Mitsui Financial Group, Inc. (Japan)    8  75,538 
Taylor Capital Group, Inc.    2,997  113,347 
U.S. Bancorp    19,068  535,429 
UnionBanCal Corp.    16,790  1,170,599 
Washington Mutual, Inc.    3,800  149,036 
Wells Fargo & Co.    16,645  974,898 
West Coast Bancorp    3,100  77,500 
Westcorp    13,800  812,820 
Westpac Banking Corp. (Australia)    49,678  800,200 
Wilshire Bancorp, Inc.    11,500  175,950 
Zions Bancorp.    4,600  327,566 
 
      15,844,354 
Basic Materials (3.4%)       
AK Steel Holding Corp. (NON)    14,200  121,694 
Albany International Corp.    2,900  106,923 
Arcelor (Luxembourg)    32,193  755,217 
BASF AG (Germany)    5,300  399,961 
BlueScope Steel, Ltd. (Australia)    5,991  43,723 
Brady Corp. Class A    7,100  219,674 
Carpenter Technology Corp.    5,650  331,147 
Clariant AG (Switzerland) (NON)    12,562  181,281 
Commercial Metals Co.    9,500  320,530 
Dow Chemical Co. (The)    23,900  995,913 
DSM NV (Netherlands)    5,480  215,955 
Eastman Chemical Co.    10,721  503,565 
Fletcher Building, Ltd. (New Zealand)    30,700  168,547 
Grief, Inc. Class A    5,200  312,520 
H.B. Fuller Co.    3,200  99,456 
Italcementi SpA (Italy)    5,250  82,402 
James Hardie Industries NV (Netherlands)    13,248  90,516 
JFE Holdings, Inc. (Japan)    4,400  143,276 
Kobe Steel, Ltd. (Japan)    191,000  581,495 
Linde AG (Germany)    1,800  133,275 
Louisiana-Pacific Corp.    18,900  523,341 
MacDermid, Inc.    2,300  60,398 
MeadWestvaco Corp.    8,200  226,484 
Metal Management, Inc.    8,700  220,545 
Monsanto Co.    6,500  407,875 
NOK Corp. (Japan)    4,000  119,308 
NS Group, Inc. (NON)    13,300  522,025 
Nucor Corp.    8,200  483,718 
OM Group, Inc. (NON)    3,900  78,507 
Phelps Dodge Corp.    5,700  740,601 
PPG Industries, Inc.    8,411  497,847 
Quanex Corp.    3,000  198,660 
Rautaruukki OYJ (Finland)    9,000  202,777 
Rayonier, Inc. (R)    6,800  391,816 
Rinker Group, Ltd. (Australia)    24,958  315,898 
Shin-Etsu Chemical Co. (Japan)    9,600  419,343 
Silgan Holdings, Inc.    9,600  319,296 
Southern Peru Copper Corp. (United States)    3,100  173,476 
Steel Dynamics, Inc.    1,700  57,732 
Sterling Chemicals, Inc. (NON)    34  816 
Sun Hydraulics Corp. (S)    7,100  172,530 
Terra Industries, Inc. (NON)    26,100  173,565 
United States Steel Corp.    11,685  494,860 
Vinci SA (France)    5,124  442,581 
Voest-Alpine AG (Austria)    6,433  567,510 
 
      13,618,579 
Capital Goods (4.3%)       
ABB, Ltd. (Switzerland) (NON)    11,023  80,904 

Actividades de Construccion y Servicios SA (Spain)  12,472  364,599 
Applied Industrial Technologies, Inc.  12,100  434,148 
Autogrill SpA (Italy)  19,700  278,806 
Autoliv, Inc. (Sweden)  5,800  252,300 
BAE Systems PLC (United Kingdom)  31,815  193,313 
Balfour Beatty PLC (United Kingdom)  9,153  53,025 
Blount International, Inc. (NON)  3,900  68,796 
Boeing Co. (The)  14,200  964,890 
Bouygues SA (France)  5,508  256,765 
Canon, Inc. (Japan)  10,100  546,355 
Clean Harbors, Inc (NON) (S)  11,400  387,030 
Commercial Vehicle Group, Inc. (NON)  2,600  54,444 
Cookson Group PLC (United Kingdom) (NON)  161,366  941,953 
Cummins, Inc.  8,500  747,915 
Daito Trust Construction Co., Ltd. (Japan)  2,700  118,417 
DRS Technologies, Inc.  2,600  128,336 
Eagle Materials, Inc. (S)  3,350  406,590 
Eaton Corp.  6,200  394,010 
Emerson Electric Co.  8,700  624,660 
EnPro Industries, Inc. (NON)  10,800  363,852 
European Aeronautic Defense and Space Co. (Netherlands)  6,459  229,697 
Flowserve Corp. (NON)  2,900  105,415 
Franklin Electric Co., Inc.  2,700  111,753 
Fujikura, Ltd. (Japan)  9,000  55,277 
Global Imaging Systems, Inc. (NON)  2,700  91,935 
Heico Corp.  3,800  88,160 
IMI PLC (United Kingdom)  20,305  154,086 
Innovative Solutions & Support, Inc. (NON) (S)  20,150  312,930 
Invensys, PLC (United Kingdom) (NON)  139,026  35,659 
Kaman Corp.  3,400  69,530 
Kennametal, Inc.  5,000  245,200 
Leighton Holdings, Ltd. (Australia)  16,294  177,253 
Lockheed Martin Corp.  6,800  415,072 
LSI Industries, Inc.  3,700  70,300 
MAN AG (Germany)  3,400  174,810 
Moog, Inc. (NON)  6,750  199,260 
Mueller Industries, Inc.  23,950  665,092 
NACCO Industries, Inc. Class A  520  59,514 
Nordson Corp.  7,800  296,634 
Oce NV (Netherlands)  10,516  165,182 
Okumura Corp. (Japan)  17,000  104,262 
Perini Corp. (NON)  24,900  453,180 
Precision Castparts Corp.  8,000  424,800 
Rieter Holding AG (Switzerland)  913  268,290 
Rockwell Automation, Inc.  13,800  730,020 
Rofin-Sinar Technologies, Inc. (NON)  3,000  113,970 
Schindler Holding AG (Switzerland)  627  244,690 
Siemens AG (Germany)  23  1,779 
Skanska AB Class B (Sweden)  19,400  287,461 
Standard Register Co. (The)  2,700  40,365 
Teledyne Technologies, Inc. (NON)  5,800  199,926 
Terex Corp. (NON)  16,450  813,124 
Thomas & Betts Corp. (NON)  7,800  268,398 
Titan International, Inc. (S)  6,500  89,245 
Tomkins PLC (United Kingdom)  33,553  171,527 
United Industrial Corp.  7,000  250,250 
URS Corp. (NON)  3,150  127,229 
USEC, Inc.  22,500  251,100 
Wartsila OYJ Class B (Finland)  5,500  175,702 
Waste Connections, Inc. (NON)  3,000  105,240 
WESCO International, Inc. (NON)  13,800  467,406 
Woodward Governor Co.  1,400  119,070 
 
    17,090,901 
 
Communication Services (2.3%)     
AT&T Corp.  45,400  898,920 
BellSouth Corp. (S)  17,304  455,094
Birch Telecom, Inc. (F) (NON)  137  1
Brightpoint, Inc. (NON)  4,500  86,130 
Centennial Communications Corp. (NON)  7,000  104,860 
CenturyTel, Inc.  9,000  314,820 
Commonwealth Telephone Enterprises, Inc.  10,650  401,505 
Deutsche Telekom AG (Germany)  2,500  45,628 
Deutsche Telekom AG ADR (Germany)  11,343  206,896 
Earthlink, Inc. (NON)  24,964  267,115 
Eircom Group PLC (Ireland)  29,858  70,548 
France Telecom SA (France)  7,217  207,758 
Koninklijke (Royal) KPN NV (Netherlands)  17,334  155,885 
Mobistar SA (Belgium)  1,702  140,340 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  34  167,420 
NTL, Inc. (NON)  4,900  327,320 
NTT DoCoMo, Inc. (Japan) (S)  199  354,730 
Premiere Global Services, Inc. (NON)  47,000  384,460 
Shenandoah Telecom Co.  1,550  63,845 
SmarTone Telecommunications Holdings, Ltd. (Hong Kong)  32,500  33,725 
Sprint Nextel Corp.  33,960  807,569 
Swisscom AG (Switzerland)  3  985 
Talk America Holdings, Inc. (NON)  13,600  128,248 
TDC A/S (Denmark)  2,200  118,731 
Telecom Italia SpA (Italy)  24  78 
Telefonica SA (Spain)  15,061  247,285 
Telekom Austria AG (Austria)  3,127  62,387 
Ubiquitel, Inc. (NON)  17,600  153,824 
USA Mobility, Inc. (NON)  30  809 
Verizon Communications, Inc.  42,673  1,394,980 
Vodafone Group PLC (United Kingdom)  563,253  1,469,599 
 
    9,071,495 
 
Conglomerates (1.6%)     
3M Co.  11,455  840,339 
AMETEK, Inc.  2,200  94,534 
Ansell, Ltd. (Australia)  15,023  129,365 
General Electric Co. (SEG)  64,845  2,183,331 
Harsco Corp.  5,600  367,192 
Itochu Corp. (Japan)  95,000  654,739 
Marubeni Corp. (Japan)  39,000  181,716 
Mitsui & Co., Ltd. (Japan)  60,000  752,383 
Swire Pacific, Ltd. (Hong Kong)  61,500  566,442 
Vivendi Universal SA (France)  17,315  566,917 

    6,336,958 
 
Consumer Cyclicals (7.3%)     
4Kids Entertainment, Inc. (NON)  8,000  139,120 
Adidas-Salomon AG (Germany)  600  104,886 
Administaff, Inc.  3,900  154,986 
Aegis Group PLC (United Kingdom)  139,783  346,167 
Aeropostale, Inc. (NON)  10,900  231,625 
Aisin Seiki Co., Ltd. (Japan)  8,800  250,053 
Amadeus Global Travel Distribution SA Class A (Spain) (NON)  40,403  357,988 
American Axle & Manufacturing Holdings, Inc.  1,800  41,544 
American Eagle Outfitters, Inc.  23,800  560,014 
Ameristar Casinos, Inc.  22,800  475,152 
Assa Abloy AB Class B (Sweden)  200  2,834 
Autobacs Seven Co., Ltd. (Japan)  2,900  113,369 
Barnes & Noble, Inc.  12,300  463,710 
Bebe Stores, Inc.  14,150  247,625 
Berkely Group Holdings PLC (United Kingdom) (NON)  24,222  372,334 
BJ's Wholesale Club, Inc. (NON)  11,200  311,360 
Black & Decker Manufacturing Co.  3,400  279,106 
Bluegreen Corp. (NON)  12,000  211,800 
Borders Group, Inc.  2,500  55,425 
BPB PLC (United Kingdom)  7,718  100,481 
British Sky Broadcasting PLC (United Kingdom)  26,789  265,604 
Buckle, Inc. (The)  5,800  197,026 
Casey's General Stores, Inc.  5,100  118,320 
Catalina Marketing Corp.  4,400  100,056 
Cato Corp. (The) Class A  6,275  125,061 
Charming Shoppes (NON)  10,900  116,303 
Chico's FAS, Inc. (NON)  19,000  699,200 
Childrens Place Retail Stores, Inc. (The) (NON)  5,000  178,200 
Choice Hotels International, Inc.  3,550  229,472 
Claire's Stores, Inc.  7,500  180,975 
CNS, Inc.  3,200  83,424 
Consolidated Graphics, Inc. (NON)  1,550  66,728 
Continental AG (Germany)  4,100  337,477 
Davis Service Group PLC (United Kingdom)  20,227  171,205 
Dex Media, Inc.  22,700  630,833 
Dillards, Inc. Class A (S)  24,300  507,384 
Discovery Holding Co. Class A (NON)  11,300  163,172 
Dreamworks Animation SKG, Inc. Class A (NON)  15,400  425,964 
EMAP PLC (United Kingdom)  13,335  194,132 
Federated Department Stores, Inc.  6,800  454,716 
Genesco, Inc. (NON)  13,300  495,292 
Genlyte Group, Inc. (The) (NON)  4,200  201,936 
Google, Inc. Class A (NON)  1,400  443,044 
GTECH Holdings Corp.  9,800  314,188 
GUS PLC (United Kingdom)  18,589  280,977 
Honda Motor Co., Ltd. (Japan)  2,700  152,965 
HUB Group, Inc. Class A (NON)  5,300  194,563 
Inchcape PLC (United Kingdom)  14,591  564,981 
Industria de Diseno Textil (Inditex) SA (Spain)  8,928  262,825 
Jakks Pacific, Inc. (NON) (S)  9,600  155,808 
John H. Harland Co.  18,000  799,200 
K-Swiss, Inc. Class A  9,900  292,743 
Kenneth Cole Productions, Inc. Class A  2,200  60,038 
Kuoni Reisen Holding AG (Switzerland) (NON)  475  191,268 
Laidlaw International, Inc.  18,400  444,728 
Lennar Corp.  3,600  215,136 
Marvel Entertainment, Inc. (NON) (S)  9,900  176,913 
Matsushita Electric Industrial Co. (Japan)  28,000  475,150 
McGraw-Hill Companies, Inc. (The)  16,700  802,268 
Mediaset SpA (Italy)  42,485  504,218 
Men's Wearhouse, Inc. (The) (NON)  2,090  55,803 
Metro AG (Germany)  2,400  118,650 
Multimedia Games, Inc. (NON) (S)  26,600  258,286 
Next PLC (United Kingdom)  11,166  274,941 
Nordstrom, Inc.  30,500  1,046,760 
Nu Skin Enterprises, Inc. Class A  15,400  293,370 
NVR, Inc. (NON)  511  452,209 
Pantry, Inc. (The) (NON)  10,800  403,596 
Payless ShoeSource, Inc. (NON)  20,400  354,960 
Penn National Gaming, Inc. (NON)  1,900  59,109 
Phillips-Van Heusen Corp.  4,400  136,488 
Pixar, Inc. (NON)  7,900  351,629 
Puma AG Rudolf Dassier Sport (Germany)  100  27,131 
R. H. Donnelley Corp. (NON)  3,700  234,062 
Reader's Digest Association, Inc. (The) Class A  9,200  146,924 
Rent-A-Center, Inc. (NON)  6,700  129,377 
Robert Half International, Inc.  7,500  266,925 
S.A. D'Ieteren NV (Belgium)  197  47,140 
ShopKo Stores, Inc. (NON)  6,500  165,880 
Singapore Press Holdings, Ltd. (Singapore)  12,000  32,824 
Skechers U.S.A., Inc. Class A (NON)  12,000  196,440 
Societe Television Francaise I (France)  1,054  28,042 
Sony Corp. (Japan)  4,600  151,412 
Sotheby's Holdings, Inc. Class A (NON)  3,800  63,536 
Stanley Works (The)  3,400  158,712 
Stein Mart, Inc.  21,300  432,390 
Stride Rite Corp.  10,500  134,610 
Sykes Enterprises, Inc. (NON)  12,200  145,180 
TeleTech Holdings, Inc. (NON)  26,000  260,520 
Timberland Co. (The) Class A (NON)  18,000  608,040 
Toll Brothers, Inc. (NON)  4,800  214,416 
Too, Inc. (NON)  2,800  76,804 
Toro Co. (The)  8,200  301,432 
Toyota Motor Corp. (Japan)  6,100  279,915 
Trans World Entertainment Corp. (NON)  4,900  38,661 
Unifirst Corp.  3,700  129,759 
United Business Media PLC (United Kingdom)  8,261  80,882 
Universal Forest Products, Inc.  1,400  80,248 
USG Corp. (NON)  7,567  520,004 
Vail Resorts, Inc. (NON)  4,800  138,000 
Ventiv Health, Inc. (NON)  6,900  180,849 
Viacom, Inc. Class B  4,800  158,448 
Volkswagon AG (Germany)  1,700  105,132 
Volvo AB Class A (Sweden)  10,700  452,797 
VS Holdings, Inc. (NON)  4,041  4 
Wal-Mart Stores, Inc.  18,625  816,148 

Walt Disney Co. (The)  19,908  480,380 
Walter Industries, Inc. (S)  5,500  269,060 
Wilsons The Leather Experts (NON)  9,100  55,510 
Wolverine World Wide, Inc.  11,250  236,813 
Yamaha Motor Co., Ltd. (Japan)  33,400  691,167 
 
    29,434,447 
 
Consumer Finance (0.5%)     
Accredited Home Lenders Holding Co. (NON) (S)  6,500  228,540 
Asta Funding, Inc.  5,700  173,052 
CompuCredit Corp. (NON) (S)  3,450  153,249 
Countrywide Financial Corp.  7,284  240,226 
MBNA Corp.  11,395  280,773 
Metris Cos., Inc. (NON)  12,400  181,412 
Nelnet, Inc. Class A (NON)  8,000  304,080 
Portfolio Recovery Associates, Inc. (NON)  2,800  120,904 
Provident Financial PLC (United Kingdom)  16,530  183,334 
World Acceptance Corp. (NON)  9,650  245,207 
 
    2,110,777 
 
Consumer Staples (6.1%)     
Aderans Co., Ltd. (Japan)  8,700  237,999 
Albertson's, Inc.  16,500  423,225 
Altria Group, Inc.  20,854  1,537,148 
American Greetings Corp. Class A  5,600  153,440 
AMN Healthcare Services, Inc. (NON)  6,700  103,649 
Archer Daniels Midland Co.  23,645  583,086 
Axfood AB (Sweden)  4,800  119,265 
BAT Industries PLC (United Kingdom)  29,953  631,038 
Carrefour Supermarche SA (France)  3,991  184,171 
CEC Entertainment, Inc. (NON)  12,150  385,884 
Chattem, Inc. (NON)  2,600  92,300 
Chiquita Brands International, Inc.  14,500  405,275 
CKE Restaurants, Inc.  31,700  417,806 
Clorox Co.  18,500  1,027,490 
Colruyt SA (Belgium) (S)  2,873  374,740 
Costco Wholesale Corp.  4,500  193,905 
Darden Restaurants, Inc.  12,200  370,514 
Domino's Pizza, Inc.  6,000  139,920 
Energizer Holdings, Inc. (NON)  2,525  143,168 
Flowers Foods, Inc.  6,650  181,412 
Fyffes PLC (Ireland)  58,362  178,703 
General Mills, Inc.  12,800  616,960 
Getty Images, Inc. (NON)  7,500  645,300 
Heidrick & Struggles International, Inc. (NON)  3,800  123,044 
Heineken NV (Netherlands)  7,747  249,445 
Imperial Tobacco Group PLC (United Kingdom)  5,798  166,559 
Interstate Bakeries Corp. (NON)  6,400  62,080 
Jack in the Box, Inc. (NON)  10,550  315,551 
Japan Tobacco, Inc. (Japan)  50  789,799 
Kellogg Co.  26,100  1,203,993 
Kimberly-Clark Corp.  8,900  529,817 
Koninklijke Ahold NV (Netherlands) (NON)  9,258  70,200 
Korn/Ferry International (NON)  10,100  165,539 
Labor Ready, Inc. (NON)  24,500  628,425 
Lancaster Colony Corp.  1,550  66,650 
Lance, Inc.  4,900  85,554 
Lone Star Steakhouse & Saloon, Inc.  3,100  80,600 
Longs Drug Stores, Inc. (S)  4,400  188,716 
Luby's, Inc. (NON)  6,400  83,584 
McDonald's Corp.  20,700  693,243 
Nash Finch Co. (S)  8,900  375,491 
Nestle SA (Switzerland)  1,205  354,329 
Papa John's International, Inc. (NON)  1,800  90,216 
Pepsi Bottling Group, Inc. (The)  21,500  613,825 
PepsiAmericas, Inc.  11,500  261,395 
Pilgrim's Pride Corp. (S)  8,200  298,480 
Playtex Products, Inc. (NON)  22,100  243,100 
Procter & Gamble Co. (The)  15,740  935,900 
Safeway, Inc.  18,800  481,280 
Scotts Co. (The) Class A  900  79,137 
Seaboard Corp.  225  308,925 
Smart & Final, Inc. (NON)  7,900  102,226 
Snow Brand Milk Products Co., Ltd. (Japan) (NON)  15,000  67,376 
Supervalu, Inc.  8,269  257,331 
Time Warner, Inc.  95,190  1,723,891 
Toyo Suisan Kaisha, Ltd. (Japan)  30,000  513,060 
Tupperware Corp.  7,600  173,128 
Unilever NV (Netherlands)  782  55,761 
UST, Inc.  7,400  309,764 
Valueclick, Inc. (NON)  8,800  150,392 
Weight Watchers International, Inc. (NON)  9,900  510,642 
Weiss Markets, Inc.  1,100  44,011 
Whole Foods Market, Inc.  4,900  658,805 
Woolworths, Ltd. (Australia)  54,645  693,737 
Yum! Brands, Inc.  8,880  429,881 
 
    24,381,280 
 
Energy (6.0%)     
BP PLC (United Kingdom)  95,134  1,133,383 
Burlington Resources, Inc.  10,900  886,388 
CAL Dive International, Inc. (NON)  2,300  145,843 
Chevron Corp.  35,424  2,292,996 
ConocoPhillips  13,100  915,821 
Core Laboratories NV (Netherlands) (NON)  3,300  106,458 
ENI SpA (Italy)  38,425  1,145,063 
Exxon Mobil Corp.  74,240  4,717,210 
Forest Oil Corp. (NON)  1,600  83,360 
Frontier Oil Corp.  23,600  1,046,660 
Giant Industries, Inc. (NON)  10,000  585,400 
Grey Wolf, Inc. (NON)  40,600  342,258 
Harvest Natural Resources, Inc. (NON)  12,500  134,125 
Helmerich & Payne, Inc.  2,900  175,131 
Holly Corp.  6,600  422,268 
Houston Exploration Co. (NON)  2,600  174,850 
KCS Energy, Inc. (NON)  5,400  148,662 
Marathon Oil Corp.  9,410  648,631 
Norsk Hydro ASA (Norway)  3,750  421,471 

Occidental Petroleum Corp.  2,800  239,204 
Oil States International, Inc. (NON)  6,000  217,860 
Petroleum Development Corp. (NON)  7,900  302,886 
Questar Corp.  6,000  528,720 
Remington Oil & Gas Corp. (NON)  3,500  145,250 
Repsol YPF, SA (Spain)  6,201  201,534 
Royal Dutch Shell PLC Class A (Netherlands)  20,023  663,063 
Royal Dutch Shell PLC Class B (Netherlands)  40,245  1,393,888 
Statoil ASA (Norway)  30,333  755,790 
Sunoco, Inc.  15,160  1,185,512 
Tesoro Petroleum Corp.  10,400  699,296 
Total SA (France)  3,046  833,900 
Valero Energy Corp.  5,777  653,148 
Veritas DGC, Inc. (NON) (S)  16,300  596,906 
Vintage Petroleum, Inc.  2,450  111,867 
 
    24,054,802 
 
Financial (3.3%)     
Advanta Corp. Class B  3,300  93,159 
AMRESCO Creditor Trust (acquired various dates from 1/24/00     
to 1/26/00, cost $3,094) (F)(RES)(R)(NON)  33,000  33 
Asset Acceptance Capital Corp. (NON)  3,300  98,901 
Bank of America Corp. (SEG)  40,688  1,712,965 
Citigroup, Inc. (SEG)  57,549  2,619,630 
Contifinancial Corp. Liquidating Trust Units  238,820  2,388 
Deutsche Boerse AG (Germany)  561  53,690 
First American Corp.  24,130  1,102,017 
Freddie Mac  2,400  135,504 
Hitachi Capital Corp. (Japan)  5,900  124,175 
HRPT Properties Trust (R)  27,100  336,311 
JPMorgan Chase & Co.  22,131  750,905 
Lehman Brothers Holdings, Inc.  5,900  687,232 
Loews Corp.  9,200  850,172 
London Stock Exchange PLC (United Kingdom)  25,020  252,270 
Man Group PLC (United Kingdom)  25,542  748,201 
MGIC Investment Corp.  3,900  250,380 
Mitsubishi Tokyo Finance Group, Inc. (Japan)  54  710,025 
Nasdaq Stock Market, Inc. (The) (NON)  2,900  73,515 
Nationwide Financial Services, Inc. Class A  4,300  172,215 
New Century Financial Corp. (R)  3,700  134,199 
Nuveen Investments, Inc. Class A  10,400  409,656 
Orix Corp. (Japan)  1,500  271,355 
Royal Bank of Scotland Group PLC (United Kingdom)  22,749  647,473 
Sampo OYJ Class A (Finland)  8,000  127,301 
Student Loan Corp.  305  72,248 
Tower, Ltd. (New Zealand) (NON) (S)  50,736  81,243 
Wachovia Corp.  9,000  428,310 
WFS Financial, Inc. (NON)  2,300  154,537 
 
    13,100,010 
 
Health Care (8.1%)     
Abbott Laboratories  19,066  808,398 
Aetna, Inc.  5,300  456,542 
Albany Molecular Research, Inc. (NON)  7,939  96,697 
Alfresa Holdings Corp. (Japan)  800  37,275 
Allergan, Inc.  4,800  439,776 
Alpharma, Inc. Class A  4,800  119,376 
Amedisys, Inc. (NON)  3,500  136,500 
American Medical Systems Holdings, Inc. (NON)  6,500  130,975 
Amgen, Inc. (NON)  11,800  940,106 
Analogic Corp.  1,400  70,574 
Applera Corp.- Celera Genomics Group (NON)  25,800  312,954 
Applera Corp.- Applied Biosystems Group  15,500  360,220 
Apria Healthcare Group, Inc. (NON)  2,000  63,820 
Astellas Pharma, Inc. (Japan)  7,800  293,911 
AstraZeneca PLC (United Kingdom)  24,176  1,126,856 
Bausch & Lomb, Inc.  6,300  508,284 
Bayer AG (Germany)  3,300  121,652 
Becton, Dickinson and Co.  19,900  1,043,357 
Biosite, Inc. (NON)  1,100  68,046 
Bristol-Myers Squibb Co.  65,685  1,580,381 
Caremark Rx, Inc. (NON)  4,678  233,573 
Celesio AG (Germany)  362  31,713 
Cephalon, Inc. (NON)  2,500  116,050 
Cerner Corp. (NON)  1,800  156,474 
Chugai Pharmaceutical Co., Ltd. (Japan)  27,100  517,751 
CIGNA Corp.  2,686  316,572 
Conmed Corp. (NON)  2,750  76,670 
Connetics Corp. (NON)  4,700  79,477 
Coventry Health Care, Inc. (NON)  11,342  975,639 
Dade Behring Holdings, Inc.  9,540  349,736 
DJ Orthopedics, Inc. (NON)  12,200  353,068 
Eli Lilly Co.  3,700  198,024 
Enzon, Inc. (NON)  6,400  42,432 
First Horizon Pharmaceutical Corp. (NON)  7,900  156,973 
Foxhollow Technologies, Inc. (NON) (S)  2,000  95,220 
Genentech, Inc. (NON)  4,400  370,524 
Genesis HealthCare Corp. (NON)  23,497  947,399 
Gilead Sciences, Inc. (NON)  16,900  824,044 
GlaxoSmithKline PLC (United Kingdom)  33,034  842,616 
Haemonetics Corp. (NON)  10,900  518,077 
Humana, Inc. (NON)  17,000  813,960 
Intuitive Surgical, Inc. (NON)  1,100  80,619 
Invitrogen Corp. (NON)  4,100  308,443 
Johnson & Johnson (SEG)  51,837  3,280,245 
Kindred Healthcare, Inc. (NON)  11,900  354,620 
Kinetic Concepts, Inc. (NON)  5,100  289,680 
Kos Pharmaceuticals, Inc. (NON)  3,300  220,869 
LCA-Vision, Inc.  3,600  133,632 
LifeCell Corp. (NON)  6,100  131,943 
Lincare Holdings, Inc. (NON)  5,600  229,880 
Magellan Health Services, Inc. (NON)  2,600  91,390 
MEDICEO Holdings Co., Ltd. (Japan)  8,500  135,766 
Medicines Co. (NON)  3,600  82,836 
Medivir AB Class B (Sweden) (NON)  50  383 
Mentor Corp.  5,900  324,559 
Merck & Co., Inc.  33,550  912,896 
OraSure Technologies, Inc. (NON)  11,100  104,673 
Owens & Minor, Inc.  9,200  270,020 

Parexel International Corp. (NON)  5,300  106,477 
Pediatrix Medical Group, Inc. (NON)  1,690  129,826 
Per-Se Technologies, Inc. (NON)  4,800  99,168 
PerkinElmer, Inc.  16,400  334,068 
Perrigo Co.  5,300  75,843 
Pfizer, Inc.  32,584  813,622 
Pharmion Corp. (NON)  1,700  37,077 
PRA International (NON)  3,700  112,147 
Regeneron Pharmaceuticals, Inc. (NON)  5,800  55,042 
Respironics, Inc. (NON)  3,700  156,066 
Roche Holding AG (Switzerland)  6,122  854,012 
Schering AG (Germany)  1,900  120,775 
Schering-Plough Corp.  7,900  166,295 
Serologicals Corp. (NON)  3,200  72,192 
Sierra Health Services, Inc. (NON) (S)  17,710  1,219,688 
Sybron Dental Specialties, Inc. (NON)  5,300  220,374 
Taisho Pharmaceutical Co., Ltd. (Japan)  18,000  324,832 
Techne Corp. (NON)  1,900  108,262 
Third Wave Technologies, Inc. (NON)  8,160  40,392 
United Therapeutics Corp. (NON)  1,500  104,700 
UnitedHealth Group, Inc.  28,208  1,585,290 
Universal Health Services, Inc. Class B  5,900  281,017 
Vertex Pharmaceuticals, Inc. (NON)  5,400  120,690 
ViaCell, Inc. (NON)  22,200  128,760 
Vital Signs, Inc.  3,850  177,447 
WellPoint, Inc. (NON)  5,740  435,207 
Wyeth  15,900  735,693 
 
    32,299,108 
 
Insurance (2.5%)     
Aegon NV (Netherlands)  13,749  204,694 
Alleghany Corp. (NON)  1,300  397,800 
Allianz AG (Germany)  2,000  270,996 
Allstate Corp.  7,290  403,064 
American Equity Investment Life Holding Co.  13,900  157,765 
American Financial Group, Inc.  14,200  481,806 
AmerUs Group Co.  3,300  189,321 
Commerce Group, Inc.  6,300  365,526 
Corporacion Mapfre SA (Spain)  24,551  422,634 
Direct General Corp.  11,100  219,003 
FBL Financial Group, Inc. Class A  1,560  46,722 
FPIC Insurance Group, Inc. (NON)  6,301  226,773 
Fremont General Corp.  13,300  290,339 
HCC Insurance Holdings, Inc.  3,441  98,172 
ING Groep NV (Netherlands)  25,933  774,678 
Insurance Australia Group, Ltd. (Australia)  133,344  555,800 
Landamerica Financial Group, Inc.  8,700  562,455 
 
Muenchener Rueckversicherungs-Gesellschaft AG (Germany)  1,000  114,523 
Odyssey Re Holdings Corp. (S)  6,700  171,118 
Ohio Casualty Corp.  2,100  56,952 
Philadelphia Consolidated Holding Corp. (NON)  2,000  169,800 
QBE Insurance Group, Ltd. (Australia)  33,969  484,409 
Safety Insurance Group, Inc.  4,500  160,155 
Selective Insurance Group  1,300  63,570 
Stancorp Financial Group  800  67,360 
Stewart Information Services  2,860  146,432 
Swiss Re (Switzerland)  2,904  191,512 
UICI  12,300  442,800 
United Fire & Casualty Co.  2,650  119,542 
W.R. Berkley Corp.  9,890  390,457 
Zenith National Insurance Corp.  17,360  1,088,298 
Zurich Financial Services AG (Switzerland) (NON)  4,354  744,865 
 
    10,079,341 
 
Investment Banking/Brokerage (1.3%)     
A.G. Edwards, Inc.  8,900  389,909 
Affiliated Managers Group (NON)  7,400  535,908 
Ameritrade Holding Corp. Class A (NON)  15,800  339,384 
Calamos Asset Management, Inc. Class A  9,500  234,460 
Credit Suisse Group (Switzerland)  15,944  708,815 
Deutsche Bank AG (Germany)  2,075  194,985 
Eaton Vance Corp.  20,200  501,364 
Harris & Harris Group, Inc. (NON) (S)  6,800  75,480 
IndyMac Bancorp, Inc.  14,972  592,592 
Investment Technology Group, Inc. (NON)  5,800  171,680 
Lazard, Ltd. Class A (Bermuda)  4,100  103,730 
Lend Lease Corp., Ltd. (Australia)  16,822  179,787 
Macquarie Bank, Ltd. (Australia)  1,165  67,013 
Morgan Stanley  5,800  312,852 
Raymond James Financial, Inc.  20,700  664,884 
Schroders PLC (United Kingdom)  15,058  246,118 
 
    5,318,961 
 
Other (1.7%)     
iShares MSCI Emerging Markets Index Fund (S)  51,810  4,397,633 
iShares MSCI Hong Kong Index Fund  3,100  42,098 
iShares MSCI Malaysia Index Fund  1,100  8,052 
iShares MSCI Singapore Index Fund  1,500  11,970 
iShares MSCI South Korea Index Fund  900  35,505 
iShares MSCI Taiwan Index Fund  2,400  28,104 
iShares Russell 1000 Growth Index Fund (S)  40,500  2,018,115 
iShares Russell 2000 Value Index Fund  2,164  142,673 
    6,684,150 
 
Real Estate (1.2%)     
American Home Mortgage Investment Corp. (R)  9,400  284,820 
Arbor Realty Trust, Inc (R)  2,500  70,250 
Boston Properties, Inc. (R)  3,300  233,970 
Boykin Lodging Co. (R) (NON)  4,500  55,890 
Brookfield Homes Corp.  3,300  183,249 
Capital Trust, Inc. Class A (R)  1,600  51,456 
CBL & Associates Properties (R)  11,400  467,286 
Cousins Properties, Inc. (R)  11,800  356,596 
Entertainment Properties Trust (R)  1,100  49,093 
Innkeepers USA Trust (R)  6,100  94,245 
Jones Lang LaSalle, Inc.  5,500  253,330 

Lexington Corporate Properties Trust (R)  5,900  138,945 
LTC Properties, Inc. (R)  13,400  284,080 
Metrovacesa SA (Spain)  1,864  137,632 
Mills Corp. (R)  1,600  88,128 
National Health Investors, Inc. (R)  5,000  138,050 
Newcastle Investment Corp. (R)  1,750  48,825 
Omega Healthcare Investors, Inc. (R)  4,300  59,856 
RAIT Investment Trust (R)  11,500  327,750 
Redwood Trust, Inc. (R)  2,250  109,373 
Saxon Capital, Inc. (R)  13,000  154,050 
SL Green Realty Corp. (R)  1,750  119,315 
St. Joe Co. (The)  5,200  324,740 
Tarragon Corp. (R) (NON) (S)  11,657  216,354 
Trizec Properties, Inc. (R)  4,000  92,240 
Vornado Realty Trust (R)  4,400  381,128 
 
    4,720,651 
 
Technology (8.8%)     
Advantest Corp. (Japan)  2,000  155,312 
Agere Systems, Inc. (NON)  37,990  395,476 
Agilysys, Inc.  19,550  329,222 
Alcatel SA (France) (NON)  5,358  71,566 
ALPS Electric Co., Ltd. (Japan)  7,000  113,846 
Anixter International, Inc. (NON)  3,000  120,990 
ANSYS, Inc. (NON)  3,700  142,413 
Apple Computer, Inc. (NON)  20,300  1,088,283 
Artesyn Technologies, Inc. (NON)  16,200  150,660 
Atmel Corp. (NON)  85,900  176,954 
Autodesk, Inc.  16,300  756,972 
Avnet, Inc. (NON)  4,200  102,690 
Axcelis Technologies, Inc. (NON)  6,800  35,496 
BEA Systems, Inc. (NON)  36,500  327,770 
Blackboard, Inc. (NON)  4,607  115,221 
Brocade Communications Systems, Inc. (NON)  71,400  291,312 
Brooks Automation, Inc. (NON)  10,100  134,633 
Catapult Communications Corp. (NON)  5,200  95,368 
Cisco Systems, Inc. (NON)  84,410  1,513,471 
Citrix Systems, Inc. (NON)  7,700  193,578 
Coherent, Inc. (NON)  2,600  76,128 
CommScope, Inc. (NON)  5,100  88,434 
Comtech Telecommunications Corp. (NON)  12,100  501,787 
Covansys Corp. (NON)  3,879  61,909 
CSG Systems International, Inc. (NON)  4,600  99,866 
Cymer, Inc. (NON)  2,600  81,432 
Dell, Inc. (NON)  31,100  1,063,620 
DiamondCluster International, Inc. Class A (NON)  10,700  81,106 
Digi International, Inc. (NON)  12,900  138,417 
Diodes, Inc. (NON)  2,500  90,650 
Dun & Bradstreet Corp. (The) (NON)  2,500  164,675 
Emulex Corp. (NON)  19,900  402,179 
Enterasys Networks, Inc. (NON)  56  75 
EPIQ Systems, Inc. (NON)  2,900  63,278 
F5 Networks, Inc. (NON)  7,500  326,025 
FEI Co. (NON)  6,900  132,825 
Freescale Semiconductor, Inc. Class B (NON)  26,852  633,170 
Harris Corp.  5,600  234,080 
Hewlett-Packard Co.  22,800  665,760 
Hutchinson Technology, Inc. (NON)  6,200  161,944 
Hyperion Solutions Corp. (NON)  7,900  384,335 
IBM Corp.  15,950  1,279,509 
Imation Corp.  4,500  192,915 
Infineon Technologies AG (Germany) (NON)  5,300  52,199 
Infospace, Inc. (NON)  8,600  205,282 
Integrated Device Technology, Inc. (NON)  21,600  231,984 
Intel Corp. (SEG)  118,583  2,923,071 
Intergraph Corp. (NON)  5,800  259,318 
Internet Security Systems, Inc. (NON) (S)  5,600  134,456 
Intervideo, Inc. (NON)  8,200  82,246 
IXYS Corp. (NON)  5,700  60,192 
j2 Global Communications, Inc. (NON) (S)  11,900  480,998 
Jupitermedia Corp. (NON)  4,000  70,840 
Komag, Inc. (NON) (S)  7,700  246,092 
KONAMI Corp. (Japan)  3,000  67,640 
Kulicke & Soffa Industries, Inc. (NON)  17,000  123,250 
Lam Research Corp. (NON)  6,100  185,867 
Linear Technology Corp.  7,565  284,368 
LSI Logic Corp. (NON)  51,500  507,275 
McAfee, Inc. (NON)  16,500  518,430 
Micrel, Inc. (NON) (S)  26,542  298,067 
Microsoft Corp. (SEG)  133,481  3,434,466 
MicroStrategy, Inc. (NON)  2,900  203,841 
Mitsubishi Electric Corp. (Japan)  27,000  173,217 
Motorola, Inc.  19,910  439,812 
MTS Systems Corp.  12,670  478,546 
NCR Corp. (NON)  16,300  520,133 
NEC Corp. (Japan)  57,000  309,345 
NEC Electronics Corp. (Japan)  4,100  136,763 
Netgear, Inc. (NON) (S)  11,500  276,690 
Nice Systems, Ltd. ADR (Israel) (NON)  3,900  176,202 
Nokia OYJ (Finland)  55,398  930,945 
NTT Data Corp. (Japan)  120  463,819 
Omnivision Technologies, Inc. (NON) (S)  12,900  162,798 
Omron Corp. (Japan)  9,000  219,599 
ON Semiconductor Corp. (NON)  22,600  116,842 
Oracle Corp. (NON)  53,125  658,219 
Palm, Inc. (NON)  1,400  39,662 
Parametric Technology Corp. (NON)  15,500  108,035 
Park Electrochemical Corp.  2,700  71,955 
Perlos OYJ (Finland)  20  171 
Photronics, Inc. (NON)  21,700  420,980 
Plexus Corp. (NON)  4,400  75,196 
Portalplayer, Inc. (NON)  2,600  71,318 
Progress Software Corp. (NON)  3,100  98,487 
QLogic Corp. (NON)  15,900  543,780 
Qualcomm, Inc.  17,850  798,788 
RadiSys Corp. (NON)  8,600  166,840 
Sharp Corp. (Japan)  5,000  72,538 
Solectron Corp. (NON)  108,900  425,799 
SonicWall, Inc. (NON)  16,800  106,680 
Standard Microsystems Corp. (NON)  3,000  89,730 

Support.com, Inc. (NON)    13,500  68,040 
Symantec Corp. (NON)    11,450  259,457 
Synopsys, Inc. (NON)    4,600  86,940 
Telefonaktiebolaget LM Ericsson AB Class B (Sweden)    60,424  221,293 
Texas Instruments, Inc.    16,800  569,520 
The9, Ltd. ADR (China) (NON)    2,500  47,225 
Toshiba Corp. (Japan)    81,000  357,395 
Transaction Systems Architects, Inc. (NON)    6,000  167,100 
Trizetto Group (NON)    17,000  240,040 
Uniden (Japan)    4,000  58,666 
Veeco Instruments, Inc. (NON)    10,300  165,212 
VeriSign, Inc. (NON)    13,200  282,084 
WebEx Communications, Inc. (NON)    5,128  125,687 
Websense, Inc. (NON)    7,900  404,559 
Western Digital Corp. (NON)    46,113  596,241 
 
      35,407,582 
 
Transportation (1.2%)       
Alaska Air Group, Inc. (NON)    6,600  191,796 
AP Moller - Maersk A/S (Denmark)    70  717,102 
Arriva PLC (United Kingdom)    38,240  397,401 
British Airways PLC (United Kingdom) (NON)    10,663  55,218 
Burlington Northern Santa Fe Corp.    9,200  550,160 
CNF Transportation, Inc.    7,400  388,500 
Deutsche Lufthansa AG (Germany)    6,800  90,499 
DSV, De Sammensluttede Vognmaend A/S (Denmark)    1,975  210,622 
ExpressJet Holdings, Inc. (NON)    36,250  325,163 
FedEx Corp.    5,900  514,067 
General Maritime Corp. (S)    2,594  95,485 
National Express Group PLC (United Kingdom)    11,132  165,408 
Neptune Orient Lines, Ltd. (Singapore)    115,000  209,710 
Norfolk Southern Corp.    13,200  535,392 
Orient Overseas International, Ltd. (Hong Kong)    36,000  134,579 
Overseas Shipholding Group    2,600  151,658 
Singapore Airlines, Ltd. (Singapore)    19,000  130,491 
World Air Holdings, Inc. (NON)    6,500  68,900 
 
      4,932,151 
 
Utilities & Power (2.5%)       
American Electric Power Co., Inc.    8,400  333,480 
Centrica PLC (United Kingdom)    48,054  209,107 
E.On AG (Germany)    7,200  664,857 
Edison International    13,355  631,424 
Electric Power Development Co. (Japan)    3,900  130,436 
Energen Corp.    20,500  886,830 
Energias de Portugal (EDP) SA (Portugal)    42,341  118,418 
Equitable Resources, Inc.    8,600  335,916 
MDU Resources Group, Inc.    6,600  235,290 
National Fuel Gas Co.    10,900  372,780 
National Grid PLC (United Kingdom)    14,612  137,378 
ONEOK, Inc.    14,200  483,084 
Ormat Technologies, Inc.    2,900  64,177 
Osaka Gas Co., Ltd. (Japan)    196,000  686,657 
PG&E Corp.    22,800  894,900 
RWE AG (Germany)    3,695  244,988 
Sempra Energy    14,800  696,488 
Sierra Pacific Resources (NON)    48,600  721,710 
Suez SA (France)    24,222  702,251 
Transmontaigne, Inc. (NON)    14,300  114,257 
TXU Corp.    3,100  349,928 
UGI Corp.    6,800  191,420 
UniSource Energy Corp.    7,100  236,004 
Veolia Environnement (France)    7,638  323,279 
Westar Energy, Inc.    6,100  147,193 
 
      9,912,252 
Total common stocks (cost $231,569,920)      $264,397,799 
 
CORPORATE BONDS AND NOTES (8.0%)(a)       
 
    Principal amount  Value 
 
Basic Materials (0.5%)       
Abitibi-Consolidated, Inc. bonds 8.55s, 2010 (Canada)    $35,000  $35,613 
Alcan, Inc. notes 5s, 2015 (Canada)    25,000  24,585 
BCP Crystal US Holdings Corp. sr. sub. notes 9 5/8s, 2014    90,000  100,125 
Chaparral Steel Co. 144A sr. unsecd. notes 10s, 2013    40,000  42,200 
Chevron Phillips Chemical Co., LLC notes 5 3/8s, 2007    165,000  166,792 
Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014       
(Germany)  EUR  15,000  19,891 
Compass Minerals Group, Inc. company guaranty 10s, 2011    $35,000  37,800 
Compass Minerals International, Inc. sr. notes stepped-coupon       
zero % (12 3/4s, 12/15/07), 2012 (STP)    50,000  44,000 
Dow Chemical Co. (The) debs. 8.55s, 2009    75,000  85,335 
Dow Chemical Co. (The) notes 6s, 2012    10,000  10,590 
Dow Chemical Co. (The) Pass Through Trust 144A company       
guaranty 4.027s, 2009    55,000  52,935 
Equistar Chemicals LP/Equistar Funding Corp. company       
guaranty 10 1/8s, 2008    97,000  104,760 
Georgia-Pacific Corp. bonds 7 3/4s, 2029    55,000  58,988 
Georgia-Pacific Corp. company guaranty 8 7/8s, 2010    50,000  55,750 
Georgia-Pacific Corp. sr. notes 8s, 2014    35,000  38,325 
Huntsman International, LLC company guaranty 10 1/8s, 2009    35,000  35,875 
Huntsman, LLC company guaranty 11 5/8s, 2010    46,000  52,555 
ICI Wilmington, Inc. company guaranty 5 5/8s, 2013    60,000  60,561 
Innophos, Inc. 144A sr. sub. notes 8 7/8s, 2014    55,000  56,238 
International Paper Co. notes 6 3/4s, 2011    30,000  32,153 
Ispat Inland ULC sec. notes 9 3/4s, 2014    65,000  75,400 
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014    20,000  20,070 
Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007    120,000  126,000 
MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)    90,000  90,450 
Nalco Co. sr. sub. notes 8 7/8s, 2013    60,000  61,575 
Newmont Mining Corp. notes 5 7/8s, 2035    30,000  29,403 
Norske Skog Canada, Ltd. company guaranty Ser. D, 8 5/8s,       
2011 (Canada)    50,000  50,250 
Novelis, Inc. 144A sr. notes 7 1/4s, 2015    70,000  66,150 

Potash Corp. of Saskatchewan notes 7 3/4s, 2011 (Canada)    25,000  28,442 
Praxair, Inc. notes 6 3/8s, 2012    20,000  21,750 
 
Rockwood Specialties Group, Inc. 144A sub. notes 7 1/2s, 2014    55,000  53,350 
Steel Dynamics, Inc. company guaranty 9 1/2s, 2009    65,000  68,900 
Stone Container Corp. sr. notes 9 3/4s, 2011    110,000  111,100 
Teck Cominco Ltd. notes 6 1/8s, 2035 (Canada)    30,000  29,328 
Teck Cominco Ltd. notes 5 3/8s, 2015 (Canada)    5,000  4,972 
Tembec Industries, Inc. company guaranty 8 1/2s, 2011       
(Canada)    8,000  5,220 
Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013    15,000  15,600 
Ucar Finance, Inc. company guaranty 10 1/4s, 2012    55,000  58,988 
United States Steel Corp. sr. notes 9 3/4s, 2010    25,000  27,438 
Weyerhaeuser Co. debs. 7.95s, 2025    50,000  58,735 
Weyerhaeuser Co. debs. 7 3/8s, 2032    35,000  39,593 
Weyerhaeuser Co. notes 6 3/4s, 2012    15,000  16,208 
 
      2,173,993 
 
Capital Goods (0.4%)       
Allied Waste North America, Inc. company guaranty Ser. B, 8       
1/2s, 2008    115,000  119,888 
Argo-Tech Corp. sr. notes 9 1/4s, 2011    35,000  37,100 
Blount, Inc. sr. sub. notes 8 7/8s, 2012    35,000  37,275 
Boeing Capital Corp. sr. notes 6.1s, 2011    5,000  5,311 
Boeing Co. (The) debs. 6 7/8s, 2043    35,000  41,867 
Bunge Ltd. Finance Corp. notes 5.35s, 2014    45,000  45,223 
Case New Holland, Inc. company guaranty 9 1/4s, 2011    50,000  52,875 
Crown Euro Holdings SA sec. notes 9 1/2s, 2011 (France)    125,000  136,875 
Earle M. Jorgensen Co. sec. notes 9 3/4s, 2012    35,000  37,625 
Goodman Global Holding Co., Inc. 144A sr. sub. notes 7 7/8s,       
2012    30,000  27,150 
Invensys, PLC notes 9 7/8s, 2011 (United Kingdom)    65,000  64,594 
L-3 Communications Corp. company guaranty 7 5/8s, 2012    116,000  121,800 
L-3 Communications Corp. 144A sr. sub. notes 6 3/8s, 2015    75,000  75,563 
Legrand SA debs. 8 1/2s, 2025 (France)    35,000  42,000 
Lockheed Martin Corp. bonds 8 1/2s, 2029    60,000  82,779 
Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012    38,000  42,465 
Milacron Escrow Corp. sec. notes 11 1/2s, 2011    20,000  19,600 
Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012    100,000  108,000 
Polypore, Inc. notes 8 3/4s, 2012  EUR  50,000  55,453 
Raytheon Co. debs. 7s, 2028    $30,000  35,150 
Raytheon Co. debs. 6 3/4s, 2018    35,000  39,468 
Raytheon Co. notes 8.3s, 2010    50,000  56,730 
Raytheon Co. notes 4.85s, 2011    40,000  39,711 
Sealed Air Corp. 144A notes 5 5/8s, 2013    45,000  45,124 
Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008    75,000  78,375 
Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom)    5,000  4,388 
Solo Cup Co. sr. sub. notes 8 1/2s, 2014    50,000  44,250 
TD Funding Corp. company guaranty 8 3/8s, 2011    30,000  31,425 
Tekni-Plex, Inc. 144A sec. notes 10 7/8s, 2012    10,000  10,700 
Terex Corp. company guaranty 7 3/8s, 2014    68,000  68,680 
 
      1,607,444 
Communication Services (0.8%)       
Alamosa Delaware, Inc. company guaranty 12s, 2009    47,000  52,053 
Alamosa Delaware, Inc. company guaranty 11s, 2010    22,000  24,805 
American Cellular Corp. sr. notes Ser. B, 10s, 2011    70,000  76,300 
American Towers, Inc. company guaranty 7 1/4s, 2011    55,000  58,438 
Ameritech Capital Funding company guaranty 6 1/4s, 2009    95,000  98,897 
AT&T Corp. sr. notes 9 3/4s, 2031    150,000  189,938 
AT&T Wireless Services, Inc. notes 8 1/8s, 2012    10,000  11,727 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031    110,000  148,478 
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011    35,000  39,847 
Bellsouth Capital Funding notes 7 3/4s, 2010    15,000  16,713 
Centennial Cellular Operating Co., LLC company guaranty 10       
1/8s, 2013    30,000  33,750 
Centennial Cellular Operating Co., LLC sr. sub. notes 10 3/4s,       
2008    22,000  22,605 
Cincinnati Bell, Inc. company guaranty 7 1/4s, 2013    95,000  100,938 
Citizens Communications Co. notes 9 1/4s, 2011    105,000  115,238 
Citizens Communications Co. sr. notes 6 1/4s, 2013    35,000  33,600 
Deutsche Telekom International Finance BV company guaranty       
8 3/4s, 2030 (Germany)    65,000  83,916 
Dobson Communications Corp. sr. notes 8 7/8s, 2013    75,000  75,375 
France Telecom notes 7 3/4s, 2011 (France)    75,000  85,160 
Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United       
Kingdom)    49,000  50,470 
Intelsat Bermuda, Ltd. 144A sr. notes 8 5/8s, 2015 (Bermuda)    60,000  61,200 
iPCS, Inc. sr. notes 11 1/2s, 2012    45,000  51,975 
Level 3 Financing, Inc. company guaranty 10 3/4s, 2011    35,000  29,269 
Nextel Communications, Inc. sr. notes Ser. F, 5.95s, 2014    155,000  158,668 
Nextel Partners, Inc. sr. notes 12 1/2s, 2009    96,000  103,200 
PanAmSat Corp. company guaranty 9s, 2014    50,000  52,750 
Qwest Corp. notes 8 7/8s, 2012    150,000  163,875 
Qwest Corp. 144A sr. notes 7 5/8s, 2015    35,000  35,744 
Rogers Wireless Communications, Inc. sec. notes 9 5/8s, 2011       
(Canada)    70,000  80,500 
Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010    70,000  70,700 
SBA Communications Corp. sr. notes 8 1/2s, 2012    20,000  21,750 
SBA Telecommunications, Inc./SBA Communications Corp. sr.       
disc. notes stepped-coupon zero % (9 3/4s, 12/15/07), 2011       
(STP)    39,000  35,393 
Sprint Capital Corp. company guaranty 7 5/8s, 2011    35,000  39,165 
Sprint Capital Corp. company guaranty 6.9s, 2019    60,000  67,173 
Sprint Capital Corp. company guaranty 6 7/8s, 2028    210,000  231,982 
Sprint Capital Corp. notes 8 3/8s, 2012    10,000  11,768 
Syniverse Technologies, Inc. 144A sr. sub. notes 7 3/4s, 2013    20,000  20,150 
Telecom Italia Capital notes 5 1/4s, 2015 (Luxembourg)    50,000  49,282 
Telecom Italia Capital SA company guaranty 6 3/8s, 2033       
(Luxembourg)    20,000  20,572 
Telecom Italia Capital SA company guaranty 5 1/4s, 2013       
(Luxembourg)    55,000  54,610 
Telecom Italia Capital SA 144A company guaranty 4s, 2010       
(Luxembourg)    55,000  52,951 
Telefonica Europe BV company guaranty 8 1/4s, 2030       
(Netherlands)    25,000  33,352 
U S West, Inc. debs. 7 1/4s, 2025    25,000  23,313 
UbiquiTel Operating Co. sr. notes 9 7/8s, 2011    55,000  61,050 

Verizon New England, Inc. sr. notes 6 1/2s, 2011  20,000  21,285 
Verizon New Jersey, Inc. debs. 8s, 2022  45,000  52,462 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030  90,000  110,243 
 
    3,032,630 
Conglomerates (--%)     
Tyco International Group SA company guaranty 7s, 2028     
(Luxembourg)  50,000  57,791 
Tyco International Group SA company guaranty 6 3/4s, 2011     
(Luxembourg)  40,000  43,204 
 
    100,995 
Consumer Cyclicals (1.3%)     
Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009  20,000  21,375 
ArvinMeritor, Inc. notes 8 3/4s, 2012  45,000  44,100 
Associated Materials, Inc. company guaranty 9 3/4s, 2012  20,000  19,350 
Autonation, Inc. company guaranty 9s, 2008  62,000  66,960 
Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011  37,000  38,943 
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012  75,000  78,844 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)  81,690  86,694 
Cendant Corp. notes 6 1/4s, 2010  115,000  118,812 
Cendant Corp. sr. notes 7 3/8s, 2013  35,000  38,192 
Coinmach Corp. sr. notes 9s, 2010  57,000  58,140 
Corrections Corporation of America sr. notes 7 1/2s, 2011  75,000  77,344 
D.R. Horton, Inc. company guaranty 8s, 2009  10,000  10,724 
D.R. Horton, Inc. sr. notes 5 7/8s, 2013  165,000  161,220 
DaimlerChrysler NA Holding Corp. company guaranty 8s, 2010  160,000  177,168 
DaimlerChrysler NA Holding Corp. company guaranty 7.2s,     
2009  55,000  58,676 
DaimlerChrysler NA Holding Corp. company guaranty 6 1/2s,     
2013  5,000  5,294 
Dana Corp. notes 9s, 2011  55,000  56,650 
Dana Corp. notes 6 1/2s, 2009  15,000  13,690 
Delco Remy International, Inc. company guaranty 11s, 2009  55,000  36,025 
Delphi Corp. notes 6.55s, 2006  35,000  25,725 
Delphi Corp. notes 6 1/2s, 2013  40,000  26,800 
Dex Media, Inc. notes 8s, 2013  110,000  113,025 
Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012  8,000  7,120 
Ford Motor Co. notes 7.45s, 2031  75,000  58,500 
Ford Motor Credit Corp. bonds 7 3/8s, 2011  80,000  76,520 
Ford Motor Credit Corp. notes 7 7/8s, 2010  300,000  291,933 
Ford Motor Credit Corp. notes 7 3/4s, 2007  105,000  106,272 
Ford Motor Credit Corp. notes 7 3/8s, 2009  10,000  9,659 
General Motors Acceptance Corp. bonds 8s, 2031  155,000  135,341 
General Motors Acceptance Corp. FRN 5.09s, 2007  85,000  82,656 
General Motors Acceptance Corp. FRN Ser. MTN, 4.67s, 2007  85,000  83,216 
General Motors Acceptance Corp. FRN Ser. MTN, 5.04s, 2007  55,000  54,054 
General Motors Acceptance Corp. notes 6 7/8s, 2011  125,000  113,702 
Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011  68,000  65,790 
Goodyear Tire & Rubber Co. (The) 144A sr. notes 9s, 2015  40,000  39,400 
GSC Holdings Corp. 144A company guaranty 8s, 2012  40,000  39,800 
GTECH Holdings Corp. notes 4 3/4s, 2010  35,000  31,984 
Harrah's Operating Co., Inc. 144A bonds 5 3/4s, 2017  30,000  29,365 
Hilton Hotels Corp. notes 8 1/4s, 2011  65,000  73,677 
Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)  100,000  101,375 
Houghton Mifflin Co. sr. sub. notes 9 7/8s, 2013  85,000  90,100 
JC Penney Co., Inc. debs. 7 1/8s, 2023  35,000  38,500 
JC Penney Co., Inc. notes 9s, 2012  20,000  23,450 
JC Penney Co., Inc. notes 8s, 2010  75,000  81,938 
Jostens IH Corp. company guaranty 7 5/8s, 2012  60,000  60,600 
K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014  60,000  57,738 
KB Home company guaranty 5 7/8s, 2015  20,000  18,927 
KB Home sr. notes 5 3/4s, 2014  20,000  18,949 
Lamar Media Corp. company guaranty 7 1/4s, 2013  55,000  57,475 
Levi Strauss & Co. sr. notes 12 1/4s, 2012  65,000  71,825 
Levi Strauss & Co. sr. notes 9 3/4s, 2015  15,000  15,300 
May Department Stores Co. (The) notes 5 3/4s, 2014  15,000  15,226 
MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R)  65,000  68,900 
Meritage Homes Corp. company guaranty 6 1/4s, 2015  60,000  54,900 
MGM Mirage, Inc. sr. notes 6 3/4s, 2012  95,000  96,544 
Mohegan Tribal Gaming Authority sr. sub. notes 6 3/8s, 2009  30,000  30,000 
Movie Gallery, Inc. sr. unsecd. notes 11s, 2012  40,000  35,400 
Neiman-Marcus Group, Inc. 144A sr. notes 9s, 2015  70,000  70,175 
Owens Corning notes 7 1/2s, 2006 (In default) (NON)  45,000  36,000 
Park Place Entertainment Corp. sr. notes 7s, 2013  55,000  59,651 
Park Place Entertainment Corp. sr. sub. notes 9 3/8s, 2007  90,000  94,950 
Penn National Gaming, Inc. sr. sub. notes 8 7/8s, 2010  55,000  58,025 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012  50,000  50,000 
PRIMEDIA, Inc. company guaranty 8 7/8s, 2011  60,000  62,850 
PRIMEDIA, Inc. sr. notes 8s, 2013  15,000  15,113 
R.H. Donnelley Finance Corp. I 144A company guaranty 8 7/8s,     
2010  100,000  107,250 
Samsonite Corp. sr. sub. notes 8 7/8s, 2011  45,000  47,813 
Scientific Games Corp. company guaranty 6 1/4s, 2012  50,000  49,750 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014  60,000  60,300 
Standard Pacific Corp. sr. notes 7s, 2015  80,000  76,400 
Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7     
7/8s, 2012  90,000  98,100 
Station Casinos, Inc. sr. notes 6s, 2012  90,000  89,888 
Technical Olympic USA, Inc. company guaranty 10 3/8s, 2012  35,000  36,838 
Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013  85,000  94,988 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s,     
2014  60,000  55,200 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015  90,000  86,850 
TRW Automotive Inc. sr. notes 9 3/8s, 2013  36,000  39,060 
TRW Automotive Inc. sr. sub. notes 11s, 2013  5,000  5,638 
United Auto Group, Inc. company guaranty 9 5/8s, 2012  55,000  57,200 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009  75,000  73,875 
WCI Communities, Inc. company guaranty 10 5/8s, 2011  70,000  74,725 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st mtge.     
6 5/8s, 2014  85,000  81,281 

5,151,807


                                                                                                                                                                                                                                                                                                        

Consumer Staples (0.9%)     
Adelphia Communications Corp. sr. notes 10 7/8s, 2010 (In     
default) (NON)  55,000  40,975 
Affinity Group, Inc. sr. sub. notes 9s, 2012  55,000  55,000 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014  80,000  70,400 
Archer Daniels Midland Co. notes 5 3/8s, 2035  60,000  58,134 
CCH I LLC 144A secd. notes 11s, 2015  99,000  96,525 
Charter Communications Holdings, LLC/Capital Corp. sr. notes     
11 1/8s, 2011  85,000  65,450 
Church & Dwight Co., Inc. company guaranty 6s, 2012  40,000  39,000 
Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s,     
3/15/07), 2014 (STP)  115,000  80,500 
Clear Channel Communications, Inc. sr. notes 5 3/4s, 2013  25,000  24,737 
Comcast Corp. company guaranty 5 1/2s, 2011  130,000  132,478 
Comcast Corp. company guaranty 4.95s, 2016  95,000  90,973 
Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008  65,000  68,250 
Cox Communications, Inc. notes 7 3/4s, 2010  45,000  49,796 
Cox Communications, Inc. notes 6 3/4s, 2011  35,000  37,358 
Cox Enterprises, Inc. 144A notes 7 7/8s, 2010  35,000  38,714 
CSC Holdings, Inc. debs. Ser. B, 8 1/8s, 2009  125,000  125,938 
CVS Corp. 144A pass-through certificates 6.117s, 2013  44,791  46,851 
Dean Foods Co. sr. notes 8.15s, 2007  55,000  57,338 
Del Monte Corp. 144A sr. sub. notes 6 3/4s, 2015  70,000  70,350 
Delhaize America, Inc. company guaranty 8 1/8s, 2011  145,000  157,153 
Diageo PLC company guaranty 8s, 2022  40,000  50,944 
DirecTV Holdings, LLC 144A sr. notes 6 3/8s, 2015  85,000  84,363 
Dole Food Co. sr. notes 8 5/8s, 2009  42,000  43,890 
Echostar DBS Corp. sr. notes 6 3/8s, 2011  135,000  133,819 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014  35,000  35,613 
Granite Broadcasting Corp. sec. notes 9 3/4s, 2010  65,000  59,475 
Insight Midwest LP/Insight Capital, Inc. sr. notes 10 1/2s, 2010  50,000  52,500 
Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada)  60,000  59,700 
Jones Intercable, Inc. sr. notes 7 5/8s, 2008  25,000  26,546 
Kraft Foods, Inc. notes 5 5/8s, 2011  225,000  232,474 
Liberty Media Corp. debs. 8 1/4s, 2030  50,000  47,880 
LIN Television Corp. 144A sr. sub. notes 6 1/2s, 2013  10,000  9,500 
Miller Brewing Co. 144A notes 5 1/2s, 2013  60,000  60,805 
News America Holdings, Inc. debs. 7 3/4s, 2045  10,000  11,742 
News America, Inc. debs. 7 1/4s, 2018  55,000  62,425 
Paxson Communications Corp. company guaranty zero %, 2009  55,000  53,350 
Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013  65,000  61,425 
Playtex Products, Inc. company guaranty 9 3/8s, 2011  75,000  78,281 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012  45,000  46,125 
Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada)  60,000  65,625 
Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012  70,000  74,638 
Remington Arms Co., Inc. company guaranty 10 1/2s, 2011  70,000  66,500 
Rite Aid Corp. sr. notes 9 1/4s, 2013  80,000  76,400 
Sbarro, Inc. company guaranty 11s, 2009  55,000  54,725 
Sinclair Broadcast Group, Inc. company guaranty 8 3/4s, 2011  85,000  89,250 
Sirius Satellite Radio, Inc. 144A sr. notes 9 5/8s, 2013  40,000  38,400 
Six Flags, Inc. sr. notes 8 7/8s, 2010  35,000  34,650 
Supervalu, Inc. notes 7 7/8s, 2009  35,000  38,025 
TCI Communications, Inc. debs. 9.8s, 2012  20,000  24,597 
TCI Communications, Inc. debs. 8 3/4s, 2015  35,000  43,459 
TCI Communications, Inc. debs. 7 7/8s, 2013  15,000  17,343 
Time Warner, Inc. debs. 9.15s, 2023  50,000  64,580 
Time Warner, Inc. debs. 9 1/8s, 2013  190,000  231,999 
Turner Broadcasting System, Inc. sr. notes 8 3/8s, 2013  15,000  17,678 
United Rentals (North America), Inc. company guaranty 6 1/2s,     
2012  30,000  28,950 
United Rentals NA, Inc. sr. sub. notes 7 3/4s, 2013  8,000  7,720 
Universal City Florida Holding Co. sr. notes 8 3/8s, 2010  60,000  62,250 
Young Broadcasting, Inc. company guaranty 10s, 2011  55,000  51,975 
 
    3,705,541 
Energy (0.4%)     
Amerada Hess Corp. bonds 7 7/8s, 2029  35,000  42,928 
Arch Western Finance, LLC sr. notes 6 3/4s, 2013  115,000  117,300 
Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012     
(Cayman Islands)  35,000  37,975 
Buckeye Partners LP notes 5.3s, 2014  30,000  29,893 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  110,000  117,150 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  40,000  40,300 
Dresser, Inc. company guaranty 9 3/8s, 2011  55,000  58,300 
Enbridge Energy Partners LP sr. notes 5.35s, 2014  25,000  24,858 
Encore Acquisition Co. 144A sr. sub. notes 6s, 2015  89,000  86,775 
Forest Oil Corp. company guaranty 7 3/4s, 2014  35,000  37,188 
Forest Oil Corp. sr. notes 8s, 2011  60,000  66,300 
Grant Prideco Escrow, Inc. 144A sr. unsecd. notes 6 1/8s, 2015  15,000  15,150 
Hanover Compressor Co. sr. notes 9s, 2014  65,000  72,231 
Inergy LP/Inergy Finance Corp. 144A sr. notes 6 7/8s, 2014  60,000  57,300 
Kerr-McGee Corp. sec. notes 6.95s, 2024  50,000  51,810 
Key Energy Services, Inc. sr. notes 6 3/8s, 2013  50,000  49,750 
Massey Energy Co. sr. notes 6 5/8s, 2010  60,000  61,200 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012  50,000  50,556 
Newfield Exploration Co. sr. notes 7 5/8s, 2011  63,000  68,828 
Occidental Petroleum Corp. debs. 10 1/8s, 2009  85,000  102,089 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  50,000  49,250 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  90,000  89,325 
Petroleum Geo-Services notes 10s, 2010 (Norway)  70,000  78,400 
Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012  90,000  97,200 
Pogo Producing Co. 144A sr. sub. notes 6 7/8s, 2017  40,000  40,550 
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015  5,000  5,350 
Pride International, Inc. sr. notes 7 3/8s, 2014  60,000  65,175 
Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s,     
2013  45,000  36,675 
Sunoco, Inc. notes 4 7/8s, 2014  30,000  29,346 
Valero Energy Corp. sr. unsecd. notes 7 1/2s, 2032  35,000  42,245 
Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012  65,000  69,550 
Whiting Petroleum Corp. 144A sr. sub. notes 7s, 2014  30,000  30,375 

1,821,322


 

Financial (2.0%)     
Allfirst Financial Inc. sub. notes 7.2s, 2007  45,000  46,787 
American General Corp. notes 7 1/2s, 2010  80,000  88,583 
Associates First Capital Corp. debs. 6.95s, 2018  30,000  35,025 
AXA Financial, Inc. sr. notes 7 3/4s, 2010  60,000  67,113 
Bank of America Corp. notes 4 3/4s, 2015  20,000  19,561 
Bank of America Corp. sub. notes 7.4s, 2011  330,000  368,532 
Bank of New York Co., Inc. (The) sr. sub. notes FRN 3.4s, 2013  25,000  24,182 
Bank One Corp. sub. debs. 7 5/8s, 2026  20,000  24,510 
Bank One Corp. sub. notes 5 1/4s, 2013  10,000  10,082 
Barclays Bank PLC FRB 6.278s, 2049 (United Kingdom)  50,000  49,250 
Block Financial Corp. notes 5 1/8s, 2014  35,000  33,962 
Bosphorus Financial Services, Ltd. 144A sec. FRN 5.59s, 2012     
(Cayman Islands)  100,000  97,012 
Capital One Bank notes 6 1/2s, 2013  30,000  32,182 
CenterPoint Properties Trust notes Ser. MTN, 4 3/4s, 2010 (R)  30,000  29,373 
CIT Group, Inc. sr. notes 5s, 2015  10,000  9,852 
CIT Group, Inc. sr. notes 5s, 2014  200,000  197,911 
Citigroup, Inc. sub. notes 6s, 2033  300,000  312,945 
Citigroup, Inc. sub. notes 5s, 2014  20,000  19,892 
Colonial Properties Trust notes 6 1/4s, 2014 (R)  30,000  31,052 
Countrywide Capital III company guaranty Ser. B, 8.05s, 2027  45,000  54,241 
Credit Suisse First Boston USA, Inc. notes 4 7/8s, 2015  40,000  39,221 
Developers Diversified Realty Corp. notes 4 5/8s, 2010 (R)  25,000  24,355 
E*Trade Finance Corp. sr. notes 8s, 2011  55,000  56,788 
Equity One, Inc. company guaranty 3 7/8s, 2009 (R)  90,000  85,905 
ERP Operating LP notes 6.584s, 2015  30,000  32,809 
Executive Risk Capital Trust company guaranty Ser. B, 8.675s,     
2027  90,000  97,588 
Finova Group, Inc. notes 7 1/2s, 2009  72,500  28,275 
Fleet Capital Trust V bank guaranty FRN 4.886s, 2028  50,000  50,051 
Fund American Cos. Inc. notes 5 7/8s, 2013  65,000  64,708 
General Electric Capital Corp. notes Ser. A, 6s, 2012  225,000  239,496 
Goldman Sachs Group, Inc. (The) notes 5 1/8s, 2015  80,000  79,752 
Goldman Sachs Group, Inc. (The) notes 4 3/4s, 2013  75,000  73,477 
Greenpoint Capital Trust I company guaranty 9.1s, 2027  30,000  32,845 
Hartford Financial Services Group, Inc. (The) sr. notes 7.9s,     
2010  65,000  72,989 
Heritage Property Investment Trust company guaranty 5 1/8s,     
2014 (R)  35,000  34,212 
Hospitality Properties Trust notes 6 3/4s, 2013 (R)  85,000  91,046 
Household Finance Corp. notes 8s, 2010  30,000  33,851 
Household Finance Corp. notes 7s, 2012  150,000  166,002 
HRPT Properties Trust bonds 5 3/4s, 2014 (R)  25,000  25,449 
HRPT Properties Trust notes 6 1/4s, 2016 (R)  25,000  26,242 
HSBC Capital Funding LP 144A bank guaranty FRB 9.547s,     
2049 (Jersey)  105,000  124,539 
HSBC Capital Funding LP 144A bank guaranty FRB 4.61s, 2013     
(Jersey)  80,000  76,531 
HSBC Finance Corp. notes 5 1/4s, 2015  45,000  45,211 
International Lease Finance Corp. FRN Ser. MTNP, 4.54s, 2010  110,000  110,420 
International Lease Finance Corp. notes 4 3/4s, 2012  20,000  19,630 
International Lease Finance Corp. unsecd. notes 4 7/8s, 2010  45,000  44,780 
iStar Financial, Inc. sr. notes 6s, 2010 (R)  65,000  66,753 
John Hancock Global Funding II 144A notes 7.9s, 2010  25,000  28,393 
JP Morgan & Co. Inc sub. notes 6 1/4s, 2005  1,919,000  1,926,632 
JPMorgan Chase & Co. sub. notes 6 5/8s, 2012  90,000  97,772 
JPMorgan Chase & Co. sub. notes 5 1/8s, 2014  25,000  24,937 
JPMorgan Chase Capital XV notes 5 7/8s, 2035  130,000  127,251 
Kimco Realty Corp. notes Ser. MTNC, 5.19s, 2013 (R)  25,000  24,967 
Lehman Brothers E-Capital Trust I 144A FRN 4.59s, 2065  50,000  50,102 
Lehman Brothers Holdings, Inc. notes Ser. G, 4.8s, 2014  50,000  49,120 
Liberty Mutual Group 144A notes 6 1/2s, 2035  75,000  69,557 
Liberty Mutual Insurance 144A notes 7.697s, 2097  100,000  101,672 
Loews Corp. notes 5 1/4s, 2016  25,000  24,333 
MetLife, Inc. notes 5.7s, 2035  35,000  34,793 
MetLife, Inc. notes 5s, 2015  65,000  64,162 
Morgan Stanley Dean Witter & Co. sr. notes 6 3/4s, 2011  40,000  43,514 
National City Bank sub. notes Ser. BKNT, 6 1/4s, 2011  60,000  63,879 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  25,000  25,474 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  45,000  56,377 
Nuveen Investments, Inc. sr. notes 5 1/2s, 2015  25,000  24,698 
Nuveen Investments, Inc. sr. notes 5s, 2010  25,000  24,751 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  30,000  33,735 
PNC Bank NA notes 4 7/8s, 2017  50,000  48,765 
Principal Life Global Funding I 144A sec. notes 5 1/4s, 2013  85,000  86,668 
Protective Life Corp. notes 4.3s, 2013  40,000  38,201 
Prudential Insurance Co. 144A notes 8.3s, 2025  110,000  142,229 
Rabobank Capital Funding Trust 144A sub. notes FRN 5.254s,     
2049  100,000  99,632 
Rouse Co. (The) notes 7.2s, 2012 (R)  50,000  52,789 
Royal Bank of Scotland Group PLC bonds Ser. 1, 9.118s, 2049     
(United Kingdom)  105,000  122,074 
Simon Property Group LP notes 5 5/8s, 2014 (R)  35,000  35,840 
Sovereign Bancorp, Inc. 144A sr. notes 4.8s, 2010  35,000  34,751 
State Street Capital Trust II notes FRN 4.29s, 2008  85,000  85,063 
Suncorp-Metway, Ltd. 144A notes FRN 3 1/2s, 2013 (Australia)  60,000  58,222 
Transamerica Capital III company guaranty 7 5/8s, 2037  50,000  58,538 
UBS AG/Jersey Branch FRN 6.89s, 2008 (Jersey)  135,000  140,231 
UBS Preferred Funding Trust I company guaranty 8.622s, 2049  60,000  69,508 
Wachovia Corp. sub. notes 5 1/4s, 2014  70,000  70,982 
Washington Mutual Capital Trust I sr. notes 5s, 2012  240,000  238,700 
Western Financial Bank sub. debs. 9 5/8s, 2012  55,000  63,250 
Westpac Capital Trust III 144A sub. notes FRN 5.819s, 2049     
(Australia)  60,000  61,848 
 
    7,798,382 
Health Care (0.4%)     
Alderwoods Group, Inc. company guaranty 7 3/4s, 2012  55,000  57,750 
American Home Products Corp. notes 6.95s, 2011  120,000  131,818 
Bayer Corp. 144A FRB 6.2s, 2008  45,000  46,316 
Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012  60,000  60,150 
DaVita, Inc. company guaranty 6 5/8s, 2013  105,000  106,313 

Elan Finance PLC/Elan Finance Corp. 144A sr. notes 7 3/4s,     
2011 (Ireland)  40,000  35,200 
HCA, Inc. sr. notes 7 7/8s, 2011  132,000  141,481 
HCA, Inc. sr. notes 6.95s, 2012  25,000  25,716 
Healthsouth Corp. notes 7 5/8s, 2012  49,000  45,693 
Hospira, Inc. notes 5.9s, 2014  20,000  20,826 
MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12     
1/4s, 8/15/08), 2012 (STP)  75,000  47,625 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013  70,000  68,950 
PacifiCare Health Systems, Inc. company guaranty 10 3/4s,     
2009  78,000  84,435 
Psychiatric Solutions, Inc. 144A sr. sub. notes 7 3/4s, 2015  40,000  41,300 
Service Corp. International notes 6s, 2005  7,000  7,000 
Service Corp. International 144A sr. notes 6 3/4s, 2016  80,000  80,400 
Stewart Enterprises, Inc. 144A sr. notes 6 1/4s, 2013  60,000  57,000 
Tenet Healthcare Corp. sr. notes 6 1/2s, 2012  70,000  65,275 
Tenet Healthcare Corp. 144A sr. notes 9 1/4s, 2015  55,000  55,550 
Triad Hospitals, Inc. sr. sub. notes 7s, 2013  100,000  101,250 
US Oncology, Inc. company guaranty 9s, 2012  35,000  37,800 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014  35,000  37,275 
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R)  50,000  56,750 
WellPoint, Inc. notes 5s, 2014  25,000  24,871 
WellPoint, Inc. notes 4 1/4s, 2009  25,000  24,454 
 
    1,461,198 
Other (0.2%)     
Lehman Brothers HY 144A sec. FRN Ser. 05-1, 7.651s, 2015     
TRAINS (Targeted Return Index)  631,707  643,552 
Technology (0.2%)     
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012  90,000  92,250 
Amkor Technologies, Inc. sr. notes 7 3/4s, 2013  53,000  45,315 
Avnet, Inc. notes 6s, 2015  35,000  34,357 
Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada)  20,000  20,400 
Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada)  40,000  39,900 
Computer Associates International, Inc. 144A sr. notes 5 5/8s,     
2014  85,000  84,364 
Electronic Data Systems Corp. sec. sr. notes Ser. B, 6 1/2s,     
2013  75,000  76,828 
Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014  75,000  79,875 
Iron Mountain, Inc. sr. sub. notes 8 1/4s, 2011  80,000  81,600 
Lucent Technologies, Inc. debs. 6.45s, 2029  55,000  48,125 
Motorola, Inc. notes 7 5/8s, 2010  3,000  3,418 
Motorola, Inc. notes 4.608s, 2007  40,000  39,954 
Seagate Technology Hdd Holdings company guaranty 8s, 2009     
(Cayman Islands)  65,000  69,306 
SunGard Data Systems, Inc. 144A sr. sub. notes 10 1/4s, 2015  40,000  40,500 
SunGard Data Systems, Inc. 144A sr. unsecd. notes 9 1/8s,     
2013  24,000  24,870 
UGS Corp. company guaranty 10s, 2012  50,000  54,750 
Unisys Corp. sr. notes 8s, 2012  20,000  19,650 
Xerox Corp. sr. notes 6 7/8s, 2011  110,000  114,950 
 
    970,412 
Transportation (0.1%)     
Continental Airlines, Inc. pass-through certificates Ser. 97-4A,     
6.9s, 2018  16,059  15,738 
Continental Airlines, Inc. pass-through certificates Ser. 98-1A,     
6.648s, 2017  86,230  83,428 
CSX Corp. notes 6 3/4s, 2011  45,000  48,760 
Kansas City Southern Railway Co. company guaranty 9 1/2s,     
2008  55,000  60,225 
Norfolk Southern Corp. sr. notes 6 3/4s, 2011  30,000  32,690 
United AirLines, Inc. debs. 9 1/8s, 2012 (In default) (NON)  190,000  28,025 
 
    268,866 
 
Utilities & Power (0.8%)     
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  40,000  40,831 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013  115,000  125,925 
Allegheny Energy Supply 144A bonds 8 1/4s, 2012  70,000  78,750 
Appalachian Power Co. sr. notes 5.8s, 2035  25,000  24,656 
Atmos Energy Corp. notes 4.95s, 2014  40,000  39,039 
Beaver Valley II Funding debs. 9s, 2017  40,000  47,514 
Boardwalk Pipelines LLC notes 5 1/2s, 2017  15,000  14,902 
Calpine Corp. 144A sec. notes 8 1/2s, 2010  150,000  107,250 
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011  50,000  56,157 
Cleveland Electric Illuminating Co. (The) 144A sr. notes Ser. D,     
7.88s, 2017  25,000  30,626 
CMS Energy Corp. sr. notes 7 1/2s, 2009  100,000  104,750 
Colorado Interstate Gas Co. 144A sr. notes 5.95s, 2015  10,000  9,699 
Consolidated Natural Gas Co. sr. notes 5s, 2014  45,000  44,354 
Consumers Energy Co. 1st mtge. 5.65s, 2020  35,000  35,492 
Consumers Energy Co. 1st mtge. 5s, 2012  55,000  54,719 
Consumers Energy Co. 1st mtge. Ser. B, 5 3/8s, 2013  30,000  30,327 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013  40,000  40,252 
DPL, Inc. sr. notes 6 7/8s, 2011  54,000  58,185 
Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013  70,000  78,050 
Dynegy-Roseton Danskamme company guaranty Ser. B, 7.67s,     
2016  40,000  39,650 
El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031  135,000  135,338 
Entergy Gulf States, Inc. 1st mtge. 3.6s, 2008  25,000  24,005 
Ferrellgas Partners LP/Ferrellgas Partners Finance sr. notes 6     
3/4s, 2014  65,000  62,075 
FirstEnergy Corp. notes Ser. B, 6.45s, 2011  5,000  5,324 
FirstEnergy Corp. notes Ser. C, 7 3/8s, 2031  35,000  41,050 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  25,000  26,522 
Ipalco Enterprises, Inc. sec. notes 8 3/8s, 2008  20,000  21,200 
Kansas Gas & Electric 144A bonds 5.647s, 2021  15,000  14,845 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012  35,000  37,656 
MidAmerican Energy Holdings Co. sr. notes 5 7/8s, 2012  60,000  62,604 
Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034  120,000  133,650 
Monongahela Power Co. 1st mtge. 5s, 2006  80,000  80,164 
National Fuel Gas Co. notes 5 1/4s, 2013  30,000  30,081 
Nevada Power Co. 2nd mtge. 9s, 2013  49,000  54,421 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s, 2015  25,000  24,641 
NiSource Finance Corp. company guaranty 5.45s, 2020  60,000  58,691 
NiSource Finance Corp. company guaranty 5 1/4s, 2017  5,000  4,887 

NRG Energy, Inc. company guaranty 8s, 2013  91,537  97,486 
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033  45,000  53,121 
Oncor Electric Delivery Co. sec. notes 6 3/8s, 2012  60,000  64,300 
Pacific Gas & Electric Co. 1st mtge. 4.8s, 2014  30,000  29,374 
PacifiCorp Sinking Fund 1st mtge. 5.45s, 2013  45,000  46,378 
Pepco Holdings, Inc. notes 5 1/2s, 2007  40,000  40,501 
Power Receivable Finance, LLC 144A sr. notes 6.29s, 2012  89,492  91,581 
PP&L Capital Funding, Inc. company guaranty Ser. D, 8 3/8s,     
2007  30,000  31,724 
PSEG Energy Holdings, Inc. sr. notes 8 1/2s, 2011  45,000  48,488 
Public Service Co. of Colorado sr. notes Ser. A, 6 7/8s, 2009  45,000  48,116 
Public Service Co. of New Mexico sr. notes 4.4s, 2008  25,000  24,639 
Public Service Electric & Gas Co. 1st mtge. FRN 6 3/8s, 2008  40,000  41,477 
Sierra Pacific Resources sr. notes 8 5/8s, 2014  35,000  38,579 
Southern California Edison Co. 1st mtge. 5s, 2016  35,000  34,836 
Southern California Edison Co. 1st mtge. 5s, 2014  25,000  25,018 
Tampa Electric Co. notes 6 7/8s, 2012  30,000  33,114 
Teco Energy, Inc. notes 7.2s, 2011  85,000  90,100 
Teco Energy, Inc. 144A sr. notes 6 3/4s, 2015  5,000  5,238 
Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017  10,000  10,777 
Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes     
6 7/8s, 2014  90,000  91,575 
Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011     
(Canada)  95,000  99,988 
Westar Energy, Inc. 1st mtge. 5.1s, 2020  35,000  34,014 
Williams Cos, Inc. 144A notes 6 3/8s, 2010  10,000  10,100 
Williams Cos., Inc. (The) notes 7 5/8s, 2019  110,000  119,075 
York Power Funding 144A notes 12s, 2007 (Cayman Islands)     
(In default) (NON) (F)  30,121  2,512 
 
    3,090,393 
Total corporate bonds and notes (cost $31,831,155)    $31,826,535 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (7.1%)(a)     
 
  Principal amount  Value 
 
Amresco Commercial Mortgage Funding I 144A Ser. 97-C1,     
Class H, 7s, 2029  $51,000  $51,858 
Asset Securitization Corp.     
Ser. 96-MD6, Class A7, 8.291s, 2029  61,000  65,527 
Ser. 96-D3, Class A1C, 7.4s, 2026  443,099  454,826 
Banc of America Commercial Mortgage, Inc. 144A Ser. 05-4,     
Class XC, Interest Only (IO), 3.84s, 2045  3,865,000  28,988 
Banc of America Large Loan 144A     
FRB Ser. 02-FL2A, Class L1, 6.89s, 2014  103,000  103,013 
FRB Ser. 05-ESHA, Class K, 5.68s, 2020  100,000  100,000 
FRB Ser. 05-BOCA, Class L, 5.468s, 2016  100,000  100,235 
FRB Ser. 05-ESHA, Class G, 4.76s, 2020  100,000  100,000 
Ser. 03-BBA2, Class X1A, IO, 0.646s, 2015  2,679,394  7,173 
Banc of America Structured Security Trust 144A Ser. 02-X1,     
Class A3, 5.436s, 2033  129,000  130,819 
Bayview Commercial Asset Trust 144A     
FRB Ser. 05-1A, Class A1, 4.13s, 2035  95,088  94,974 
Ser. 05-1A, IO, 0.775s, 2035  399,337  31,760 
Ser. 04-3, IO, 0.775s, 2035  339,574  25,932 
Ser. 04-2, IO, 0.72s, 2034  589,531  46,771 
Chase Commercial Mortgage Securities Corp. Ser. 00-3, Class     
A2, 7.319s, 2032  27,000  29,591 
Chase Commercial Mortgage Securities Corp. 144A     
Ser. 98-1, Class F, 6.56s, 2030  222,000  234,277 
Ser. 98-1, Class G, 6.56s, 2030  56,000  59,336 
Ser. 98-1, Class H, 6.34s, 2030  85,000  73,557 
Citigroup Commercial Mortgage Trust 144A Ser. 05-C3, Class     
XC, IO, 0.061s, 2043  5,450,418  57,698 
Commercial Mortgage Acceptance Corp.     
Ser. 97-ML1, Class A3, 6.57s, 2030  186,000  190,160 
Ser. 97-ML1, Class A2, 6.53s, 2030  50,098  50,474 
Ser. 97-ML1, IO, 0.918s, 2017  2,710,730  50,403 
Commercial Mortgage Acceptance Corp. 144A     
Ser. 98-C1, Class F, 6.23s, 2031  98,000  102,232 
Ser. 98-C2, Class F, 5.44s, 2030  34,000  34,008 
Commercial Mortgage Pass-Through Certificates 144A     
FRB Ser. 01-J2A, Class A2F, 4.272s, 2034  74,000  74,947 
Ser. 05-C6, Class XC, IO, 3.98s, 2044  5,691,000  38,699 
Ser. 05-LP5, Class XC, IO, 0.047s, 2043  2,916,757  30,918 
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D, 5.612s,     
2035  133,000  130,761 
CS First Boston Mortgage Securities Corp. Ser. 97-C2, Class F,     
7.46s, 2035  59,000  63,044 
CS First Boston Mortgage Securities Corp. 144A     
FRB Ser. 03-TF2A, Class L, 7.768s, 2014  55,000  54,746 
FRB Ser. 00-FL1A, Class D, 5.518s, 2009  38,267  38,076 
FRB Ser. 04-TF2A, Class J, 4.718s, 2016  50,000  50,000 
FRB Ser. 05-TF2A, Class J, 4.668s, 2020  95,000  95,000 
FRB Ser. 04-TF2A, Class H, 4.468s, 2019  50,000  50,000 
Ser. 01-CK1, Class AY, IO, 0.905s, 2035  3,159,000  108,720 
Ser. 03-C3, Class AX, IO, 0.37s, 2038  1,595,464  67,967 
Ser. 05-C2, Class AX, IO, 0.076s, 2037  3,851,876  60,621 
Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1, Class     
X, IO, 1.056s, 2031  2,594,969  54,028 
DLJ Commercial Mortgage Corp.     
Ser. 00-CF1, Class A1B, 7.62s, 2033  107,000  118,384 
Ser. 99-CG2, Class B4, 6.1s, 2032  130,000  132,356 
DLJ Commercial Mortgage Corp. 144A Ser. 99-CG2, Class B3,     
6.1s, 2032  100,000  102,044 
Fannie Mae     
IFB Ser. 05-37, Class SU, 13.88s, 2035  191,540  221,771 
IFB Ser. 04-10, Class QC, 13.28s, 2031  118,062  130,116 
IFB Ser. 05-57, Class CD, 10.763s, 2035  98,946  107,140 
IFB Ser. 05-74, Class CP, 10.707s, 2035  99,055  108,155 
IFB Ser. 02-36, Class SJ, 10.55s, 2029  5,172  5,311 
IFB Ser. 05-45, Class DA, 10.377s, 2035  232,333  251,496 
IFB Ser. 05-74, Class DM, 10.34s, 2035  203,157  218,588 
IFB Ser. 05-45, Class DC, 10.267s, 2035  96,805  104,365 
Ser. 04-T3, Class PT1, 9.879s, 2044  78,649  85,789 
IFB Ser. 05-74, Class SK, 9.598s, 2035  165,421  177,449 
Ser. 02-T12, Class A4, 9 1/2s, 2042  16,807  18,054 
Ser. 02-T4, Class A4, 9 1/2s, 2041  65,412  70,152 
Ser. 02-T6, Class A3, 9 1/2s, 2041  35,065  37,540 

IFB Ser. 05-74, Class CS, 9.488s, 2035  101,036  107,698 
Ser. 03-W6, Class PT1, 9.37s, 2042  51,715  55,679 
IFB Ser. 05-57, Class DC, 9.328s, 2034  137,902  147,256 
IFB Ser. 04-79, Class SA, 9.295s, 2032  226,541  233,358 
IFB Ser. 05-45, Class PC, 8.76s, 2034  105,641  111,459 
IFB Ser. 03-87, Class SP, 8.168s, 2032  101,616  98,329 
Ser. 00-42, Class B2, 8s, 2030  5,285  5,702 
Ser. 00-17, Class PA, 8s, 2030  26,086  28,072 
Ser. 00-18, Class PA, 8s, 2030  24,468  26,325 
Ser. 00-19, Class PA, 8s, 2030  25,915  27,894 
Ser. 00-20, Class PA, 8s, 2030  14,746  15,894 
Ser. 00-21, Class PA, 8s, 2030  43,093  46,419 
Ser. 00-22, Class PA, 8s, 2030  31,208  33,581 
Ser. 97-37, Class PB, 8s, 2027  72,696  78,733 
Ser. 97-13, Class TA, 8s, 2027  10,531  11,404 
Ser. 97-21, Class PA, 8s, 2027  43,380  46,926 
Ser. 97-22, Class PA, 8s, 2027  82,086  88,884 
Ser. 97-16, Class PE, 8s, 2027  28,342  30,681 
Ser. 97-25, Class PB, 8s, 2027  27,004  29,216 
Ser. 95-12, Class PD, 8s, 2025  16,859  18,230 
Ser. 95-5, Class A, 8s, 2025  20,132  21,817 
Ser. 95-5, Class TA, 8s, 2025  4,869  5,292 
Ser. 95-6, Class A, 8s, 2025  13,854  15,008 
Ser. 95-7, Class A, 8s, 2025  17,378  18,845 
Ser. 94-106, Class PA, 8s, 2024  26,519  28,766 
Ser. 94-95, Class A, 8s, 2024  40,410  43,858 
IFB Ser. 05-73, Class SA, 7.592s, 2035  97,733  97,015 
Ser. 02-26, Class A2, 7 1/2s, 2048  113,809  120,334 
Ser. 05-W3, Class 1A, 7 1/2s, 2045  444,453  473,124 
Ser. 05-W1, Class 1A4, 7 1/2s, 2044  188,538  200,008 
Ser. 04-W12, Class 1A4, 7 1/2s, 2044  47,663  50,567 
Ser. 04-W14, Class 2A, 7 1/2s, 2044  22,177  23,516 
Ser. 04-W8, Class 3A, 7 1/2s, 2044  210,950  223,956 
Ser. 04-W11, Class 1A4, 7 1/2s, 2044  65,188  69,178 
Ser. 04-W2, Class 5A, 7 1/2s, 2044  298,210  316,578 
Ser. 04-T3, Class 1A4, 7 1/2s, 2044  5,621  5,963 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  64,294  68,191 
Ser. 03-W4, Class 4A, 7 1/2s, 2042  21,008  22,180 
Ser. 02-T18, Class A4, 7 1/2s, 2042  83,450  88,330 
Ser. 03-W3, Class 1A3, 7 1/2s, 2042  86,880  91,949 
Ser. 02-T16, Class A3, 7 1/2s, 2042  313,043  331,228 
Ser. 03-W2, Class 1A3, 7 1/2s, 2042  176,494  186,863 
Ser. 02-W6, Class 2A, 7 1/2s, 2042  144,543  152,738 
Ser. 02-T12, Class A3, 7 1/2s, 2042  41,087  43,411 
Ser. 02-W4, Class A5, 7 1/2s, 2042  222,105  234,822 
Ser. 02-W1, Class 2A, 7 1/2s, 2042  250,246  263,254 
Ser. 02-14, Class A2, 7 1/2s, 2042  221,530  234,092 
Ser. 02-T4, Class A3, 7 1/2s, 2041  165,324  174,382 
Ser. 02-T6, Class A2, 7 1/2s, 2041  440,658  464,394 
Ser. 01-T12, Class A2, 7 1/2s, 2041  54,952  57,987 
Ser. 01-T8, Class A1, 7 1/2s, 2041  497,113  523,568 
Ser. 01-T7, Class A1, 7 1/2s, 2041  96,611  101,635 
Ser. 01-T3, Class A1, 7 1/2s, 2040  12,076  12,714 
Ser. 01-T1, Class A1, 7 1/2s, 2040  24,432  25,781 
Ser. 99-T2, Class A1, 7 1/2s, 2039  7,386  7,817 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032  73,227  77,343 
Ser. 02-T1, Class A3, 7 1/2s, 2031  70,769  74,719 
Ser. 02-W7, Class A5, 7 1/2s, 2029  35,719  37,781 
Ser. 01-T4, Class A1, 7 1/2s, 2028  18,841  20,017 
Ser. 02-W3, Class A5, 7 1/2s, 2028  255,544  270,034 
Ser. 02-26, Class A1, 7s, 2048  88,880  92,835 
Ser. 04-T3, Class 1A3, 7s, 2044  87,797  91,995 
Ser. 03-W3, Class 1A2, 7s, 2042  88,934  92,983 
Ser. 02-T16, Class A2, 7s, 2042  89,674  93,729 
Ser. 02-14, Class A1, 7s, 2042  35,224  36,778 
Ser. 02-T4, Class A2, 7s, 2041  26,784  27,934 
Ser. 01-W3, Class A, 7s, 2041  34,426  35,885 
Ser. 05-45, Class OX, IO, 7s, 2035  166,400  30,280 
Ser. 04-W1, Class 2A2, 7s, 2033  413,203  432,835 
Ser. 03-14, Class AI, IO, 7s, 2033  52,370  9,938 
IFB Ser. 02-97, Class TW, IO, 6 1/2s, 2031  76,191  12,957 
Ser. 318, Class 2, IO, 6s, 2032  31,136  6,229 
Ser. 03-31, Class IM, IO, 5 3/4s, 2032  294,709  36,102 
Ser. 350, Class 2, IO, 5 1/2s, 2034  1,283,163  273,027 
Ser. 338, Class 2, IO, 5 1/2s, 2033  1,323,999  285,614 
Ser. 333, Class 2, IO, 5 1/2s, 2033  2,321,784  501,412 
Ser. 331, Class 1, IO, 5 1/2s, 2033  300,112  58,051 
Ser. 329, Class 2, IO, 5 1/2s, 2033  2,733,584  580,394 
Ser. 03-26, Class OI, IO, 5 1/2s, 2032  316,385  47,772 
Ser. 03-45, Class PI, IO, 5 1/2s, 2029  166,316  16,736 
Ser. 03-14, Class XI, IO, 5 1/4s, 2033  148,382  21,057 
Ser. 03-14, Class TI, IO, 5s, 2033  138,288  18,280 
Ser. 03-24, Class UI, IO, 5s, 2031  138,317  20,059 
Ser. 343, Class 25, IO, 4 1/2s, 2018  249,302  37,370 
IFB Ser. 02-89, Class S, IO, 4.37s, 2033  226,833  20,279 
IFB Ser. 02-36, Class QH, IO, 4.22s, 2029  11,206  247 
IFB Ser. 03-66, Class SA, IO, 3.82s, 2033  236,158  18,155 
IFB Ser. 97-44, Class SN, IO, 3.8s, 2023  76,048  7,004 
IFB Ser. 02-92, Class SB, IO, 3.52s, 2030  80,504  5,411 
IFB Ser. 05-52, Class DC, IO, 3.37s, 2035  175,390  15,489 
IFB Ser. 04-24, Class CS, IO, 3.32s, 2034  275,048  25,356 
IFB Ser. 03-122, Class SA, IO, 3.27s, 2028  402,960  24,012 
IFB Ser. 03-122, Class SJ, IO, 3.27s, 2028  428,883  25,761 
IFB Ser. 04-64, Class SW, IO, 3.22s, 2034  680,136  41,446 
IFB Ser. 04-65, Class ST, IO, 3.22s, 2034  343,367  20,911 
IFB Ser. 04-51, Class S0, IO, 3.22s, 2034  60,190  3,479 
IFB Ser. 04-60, Class SW, IO, 3.22s, 2034  517,723  43,359 
IFB Ser. 05-65, Class KI, IO, 3.17s, 2035  1,709,367  106,306 
IFB Ser. 05-89, Class S, IO, 3.06s, 2035  819,000  43,765 
IFB Ser. 05-87, Class SG, IO, 3.03s, 2035  550,000  32,484 
IFB Ser. 05-92, Class SC, IO, 2.99s, 2035  550,000  35,406 
IFB Ser. 05-42, Class PQ, IO, 2.97s, 2035  99,829  8,034 
IFB Ser. 05-42, Class SA, IO, 2.97s, 2035  439,507  30,769 
IFB Ser. 05-83, Class SL, IO, 2.95s, 2035  1,150,000  66,207 
IFB Ser. 05-73, Class SI, IO, 2.92s, 2035  104,574  7,353 
IFB Ser. 05-29, Class SD, IO, 2.92s, 2035  270,092  18,653 
IFB Ser. 05-17, Class ES, IO, 2.92s, 2035  204,264  18,384 
IFB Ser. 05-17, Class SY, IO, 2.92s, 2035  96,697  8,416 
IFB Ser. 05-62, Class FS, IO, 2.92s, 2034  253,524  17,707 
IFB Ser. 05-82, Class SW, IO, 2.9s, 2035  453,785  23,895 
IFB Ser. 05-82, Class SY, IO, 2.9s, 2035  577,544  30,411 

IFB Ser. 05-45, Class EW, IO, 2.89s, 2035  1,222,106  68,898 
IFB Ser. 05-45, Class SR, IO, 2.89s, 2035  784,573  43,443 
IFB Ser. 05-54, Class SA, IO, 2.87s, 2035  548,579  29,130 
IFB Ser. 05-23, Class SG, IO, 2.87s, 2035  334,053  24,741 
IFB Ser. 05-29, Class SX, IO, 2.87s, 2035  416,338  27,647 
IFB Ser. 05-57, Class CI, IO, 2.87s, 2035  295,465  19,123 
IFB Ser. 05-17, Class SA, IO, 2.87s, 2035  303,704  23,632 
IFB Ser. 05-17, Class SE, IO, 2.87s, 2035  326,417  24,685 
IFB Ser. 05-57, Class DI, IO, 2.87s, 2035  677,356  47,784 
IFB Ser. 05-73, Class SD, IO, 2.85s, 2035  258,868  18,242 
IFB Ser. 04-38, Class SI, IO, 2.74s, 2033  533,538  27,851 
IFB Ser. 04-72, Class SB, IO, 2.67s, 2034  254,048  11,839 
IFB Ser. 05-67, Class BS, IO, 2.32s, 2035  293,906  12,767 
IFB Ser. 05-87, Class SE, IO, 2.3s, 2035  2,202,000  92,209 
IFB Ser. 05-74, Class SE, IO, 2.27s, 2035  1,675,997  64,159 
IFB Ser. 05-82, Class SI, IO, 2.27s, 2035  964,707  37,985 
Ser. 03-W12, Class 2, IO, 2.223s, 2043  869,022  43,869 
IFB Ser. 05-58, Class IK, IO, 2.17s, 2035  207,944  10,332 
Ser. 03-W10, Class 1, IO, 1.968s, 2043  1,854,236  79,384 
Ser. 03-W10, Class 3, IO, 1.935s, 2043  524,705  22,464 
Ser. 03-W8, Class 12, IO, 1.638s, 2042  1,815,238  70,626 
Ser. 03-W17, Class 12, IO, 1.155s, 2033  616,828  18,594 
Ser. 03-T2, Class 2, IO, 0.905s, 2042  2,531,425  48,007 
Ser. 03-W6, Class 51, IO, 0.683s, 2042  601,727  10,658 
Ser. 01-T12, Class IO, 0.572s, 2041  580,618  7,182 
Ser. 03-W2, Class 1, IO, 0.469s, 2042  4,621,662  45,446 
Ser. 01-50, Class B1, IO, 0.465s, 2041  939,948  8,366 
Ser. 02-T4, IO, 0.453s, 2041  3,049,841  28,298 
Ser. 02-T1, Class IO, IO, 0.426s, 2031  566,004  5,338 
Ser. 03-W6, Class 3, IO, 0.365s, 2042  839,055  7,024 
Ser. 03-W6, Class 23, IO, 0.351s, 2042  885,440  7,246 
Ser. 01-79, Class BI, IO, 0.34s, 2045  2,194,270  15,923 
Ser. 03-W8, Class 11, IO, 0.315s, 2042  798,838  145 
Ser. 354, Class 1, Principal Only (PO), zero %, 2034  1,001,857  783,376 
Ser. 352, Class 1, PO, zero %, 2034  95,003  74,372 
Ser. 353, Class 1, PO, zero %, 2034  1,058,048  795,188 
FRB Ser. 05-65, Class ER, zero %, 2035  177,915  182,436 
FRB Ser. 05-57, Class UL, zero %, 2035  195,760  199,373 
FRB Ser. 05-65, Class CU, zero %, 2034  96,739  118,210 
Federal Home Loan Mortgage Corp. Structured Pass-Through     
Securities     
Ser. T-42, Class A6, 9 1/2s, 2042  17,913  19,235 
Ser. T-60, Class 1A3, 7 1/2s, 2044  337,496  357,859 
Ser. T-59, Class 1A3, 7 1/2s, 2043  176,163  187,155 
Ser. T-58, Class 4A, 7 1/2s, 2043  59,267  62,623 
Ser. T-57, Class 1A3, 7 1/2s, 2043  238,450  252,891 
Ser. T-51, Class 2A, 7 1/2s, 2042  126,697  133,518 
Ser. T-42, Class A5, 7 1/2s, 2042  41,885  44,235 
Ser. T-41, Class 3A, 7 1/2s, 2032  208,695  219,981 
Ser. T-60, Class 1A2, 7s, 2044  312,458  327,093 
Ser. T-56, Class A, IO, 0.834s, 2043  704,108  8,361 
Ser. T-56, Class 3, IO, 0.353s, 2043  754,682  7,311 
Ser. T-56, Class 1, IO, 0.285s, 2043  910,331  6,543 
Ser. T-56, Class 2, IO, 0.043s, 2043  858,823  2,147 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s,     
2027  198,908  220,850 
First Union National Bank-Bank of America Commercial     
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.964s, 2033  1,565,757  112,902 
First Union-Lehman Brothers Commercial Mortgage Trust II Ser.     
97-C2, Class F, 7 1/2s, 2029  131,000  150,731 
First Union-Lehman Brothers-Bank of America 144A Ser. 98-C2,     
Class G, 7s, 2035  165,000  183,495 
Freddie Mac     
IFB Ser. 2763, Class SC, 13.527s, 2032  235,707  259,191 
IFB Ser. 2990, Class SL, 10.677s, 2034  126,858  136,508 
IFB Ser. 2976, Class LC, 10.604s, 2035  99,001  106,338 
IFB Ser. 2976, Class KL, 10.567s, 2035  141,570  151,261 
IFB Ser. 2990, Class DP, 10.457s, 2034  125,623  132,016 
IFB Ser. 2990, Class LB, 7.315s, 2034  150,644  145,912 
Ser. 2229, Class PD, 7 1/2s, 2030  29,511  31,512 
Ser. 2224, Class PD, 7 1/2s, 2030  30,231  32,281 
Ser. 2217, Class PD, 7 1/2s, 2030  30,565  32,638 
Ser. 2187, Class PH, 7 1/2s, 2029  68,882  73,553 
Ser. 1989, Class C, 7 1/2s, 2027  10,043  10,724 
Ser. 1990, Class D, 7 1/2s, 2027  27,972  29,869 
Ser. 1969, Class PF, 7 1/2s, 2027  24,376  26,029 
Ser. 1975, Class E, 7 1/2s, 2027  6,382  6,815 
Ser. 1943, Class M, 7 1/2s, 2027  15,072  16,095 
Ser. 1932, Class E, 7 1/2s, 2027  20,905  22,322 
Ser. 1938, Class E, 7 1/2s, 2027  8,711  9,302 
Ser. 1941, Class E, 7 1/2s, 2027  7,121  7,604 
Ser. 1924, Class H, 7 1/2s, 2027  23,008  24,568 
Ser. 1928, Class D, 7 1/2s, 2027  8,906  9,510 
Ser. 1915, Class C, 7 1/2s, 2026  20,248  21,621 
Ser. 1923, Class D, 7 1/2s, 2026  24,126  25,762 
Ser. 1904, Class D, 7 1/2s, 2026  26,647  28,454 
Ser. 1905, Class H, 7 1/2s, 2026  23,306  24,886 
Ser. 1890, Class H, 7 1/2s, 2026  22,334  23,849 
Ser. 1895, Class C, 7 1/2s, 2026  11,779  12,578 
IFB Ser. 2990, Class WP, 7.306s, 2035  99,756  99,086 
Ser. 2256, Class UA, 7s, 2030  8,940  9,425 
Ser. 2208, Class PG, 7s, 2030  78,303  82,548 
Ser. 2211, Class PG, 7s, 2030  44,100  46,491 
Ser. 2198, Class PH, 7s, 2029  65,117  68,647 
Ser. 2054, Class H, 7s, 2028  164,149  173,049 
Ser. 2031, Class PG, 7s, 2028  17,942  18,915 
Ser. 2020, Class E, 7s, 2028  90,509  95,416 
Ser. 1998, Class PL, 7s, 2027  38,790  40,893 
Ser. 1999, Class PG, 7s, 2027  63,155  66,579 
Ser. 2004, Class BA, 7s, 2027  37,254  39,274 
Ser. 2005, Class C, 7s, 2027  29,296  30,885 
Ser. 2005, Class CE, 7s, 2027  32,622  34,391 
Ser. 2006, Class H, 7s, 2027  93,367  98,429 
Ser. 2006, Class T, 7s, 2027  59,700  62,937 
Ser. 1987, Class AP, 7s, 2027  19,430  20,484 
Ser. 1987, Class PT, 7s, 2027  30,912  32,588 
Ser. 1978, Class PG, 7s, 2027  55,880  58,910 
Ser. 1973, Class PJ, 7s, 2027  66,622  70,234 
Ser. 1725, Class D, 7s, 2024  12,830  13,526 
Ser. 2008, Class G, 7s, 2023  4,845  5,107 
Ser. 1750, Class C, 7s, 2023  28,409  29,950 
Ser. 1530, Class I, 7s, 2023  30,330  31,974 

Ser. 2778, Class TI, IO, 6s, 2033  277,310  44,239 
Ser. 224, IO, 6s, 2033  92,054  18,551 
Ser. 226, IO, 5 1/2s, 2034  552,586  120,977 
Ser. 223, IO, 5 1/2s, 2032  263,198  54,118 
Ser. 2581, Class IH, IO, 5 1/2s, 2031  100,000  25,053 
Ser. 3045, Class DI, IO, 5s, 2035  2,018,400  105,336 
IFB Ser. 2927, Class SI, IO, 4.732s, 2035  251,426  32,631 
IFB Ser. 2538, Class SH, IO, 3.782s, 2032  45,042  3,210 
IFB Ser. 2828, Class GI, IO, 3.732s, 2034  259,058  30,151 
IFB Ser. 2802, Class SM, IO, 3.582s, 2032  96,152  6,521 
IFB Ser. 2869, Class SH, IO, 3.532s, 2034  148,699  11,081 
IFB Ser. 2869, Class JS, IO, 3.482s, 2034  672,285  49,179 
IFB Ser. 2882, Class SL, IO, 3.432s, 2034  136,217  12,298 
IFB Ser. 2682, Class TQ, IO, 3.282s, 2033  127,798  7,706 
IFB Ser. 2815, Class PT, IO, 3.282s, 2032  262,712  21,501 
IFB Ser. 3031, Class BI, IO, 3.1s, 2035  121,000  10,053 
IFB Ser. 3033, Class SF, IO, 3.097s, 2012  188,000  12,455 
IFB Ser. 2922, Class SE, IO, 2.982s, 2035  428,973  22,907 
IFB Ser. 2981, Class AS, IO, 2.952s, 2035  386,928  20,314 
IFB Ser. 2981, Class BS, IO, 2.952s, 2035  213,450  11,078 
IFB Ser. 2924, Class SA, IO, 2.932s, 2035  614,725  31,289 
IFB Ser. 2927, Class ES, IO, 2.932s, 2035  202,842  13,602 
IFB Ser. 2950, Class SM, IO, 2.932s, 2016  277,703  20,220 
IFB Ser. 2986, Class WS, IO, 2.882s, 2035  164,312  6,521 
IFB Ser. 2962, Class BS, IO, 2.882s, 2035  798,319  49,385 
IFB Ser. 2990, Class LI, IO, 2.862s, 2034  230,803  16,472 
IFB Ser. 2988, Class AS, IO, 2.432s, 2035  90,536  3,441 
IFB Ser. 2937, Class SY, IO, 2.332s, 2035  138,605  5,198 
IFB Ser. 2957, Class SW, IO, 2.232s, 2035  803,269  28,867 
Ser. 3045, Class DO, PO, zero %, 2035  154,300  122,765 
FRB Ser. 3003, Class XF, zero %, 2035  116,137  120,002 
FRB Ser. 2958, Class FL, zero %, 2035  89,506  86,591 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 05-C3, Class XC, IO, 3.87s, 2045  10,707,000  57,818 
Ser. 05-C2, Class XC, IO, 0.053s, 2043  4,662,111  40,224 
General Growth Properties-Mall Properties Trust FRB Ser. 01-     
C1A, Class D3, 6.018s, 2014  34,209  34,241 
GMAC Commercial Mortgage Securities, Inc.     
Ser. 05-C1, Class X1, IO, 9.6s, 2043  4,829,000  88,371 
Ser. 99-C3, Class F, 8.032s, 2036  44,000  46,565 
Ser. 03-C2, Class A2, 5.45s, 2040  277,000  285,305 
Ser. 04-C2, Class A4, 5.301s, 2038  64,000  65,089 
GMAC Commercial Mortgage Securities, Inc. 144A     
Ser. 99-C3, Class G, 6.974s, 2036  77,845  62,759 
FRB Ser. 02-FL1A, Class D, 6.49s, 2014  18,116  18,116 
Government National Mortgage Association     
IFB Ser. 05-7, Class JM, 8.383s, 2034  166,140  172,003 
Ser. 05-13, Class PI, IO, 5 1/2s, 2033  199,733  31,970 
Ser. 05-13, Class MI, IO, 5 1/2s, 2032  178,706  26,556 
IFB Ser. 04-86, Class SW, IO, 2.954s, 2034  344,697  21,044 
IFB Ser. 05-68, Class SI, IO, 2.66s, 2035  1,016,000  60,215 
IFB Ser. 05-51, Class SJ, IO, 2.404s, 2035  308,990  16,125 
IFB Ser. 05-28, Class SA, IO, 2.404s, 2035  814,395  34,230 
IFB Ser. 05-68, Class S, IO, 2.404s, 2029  613,000  32,198 
IFB Ser. 04-11, Class SA, IO, 1.704s, 2034  306,290  10,208 
GS Mortgage Securities Corp. II 144A     
FRB Ser. 03-FL6A, Class L, 7.018s, 2015  26,000  26,146 
Ser. 05-GG4, Class XC, IO, 0.113s, 2039  4,954,079  98,269 
GSMPS Mortgage Loan Trust     
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  29,745  32,147 
Ser. 05-RP3, Class 1A3, 8s, 2035  87,672  93,739 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  72,096  76,134 
JPMorgan Chase Commercial Mortgage Securities Corp. 144A     
Ser. 05-CB12, Class X1, IO, 0.059s, 2037  3,488,585  38,095 
JPMorgan Chase Commercial Mortgage Securities Corp. 144A     
Ser. 05-LDP2, Class X1, IO, 0.051s, 2042  7,204,091  113,176 
Ser. 05-LDP4, Class X1, IO, 0.042s, 2042  5,174,000  48,518 
Ser. 05-LDP3, Class X1, IO, 0.04s, 2042  6,366,000  48,509 
Ser. 05-LDP1, Class X1, IO, 0.037s, 2046  1,789,478  16,922 
LB Commercial Conduit Mortgage Trust 144A     
Ser. 99-C1, Class F, 6.41s, 2031  35,110  36,212 
Ser. 99-C1, Class G, 6.41s, 2031  37,135  35,374 
Ser. 98-C4, Class H, 5.6s, 2035  50,000  47,178 
LB-UBS Commercial Mortgage Trust 144A     
Ser. 05-C3, Class XCL, IO, 0.163s, 2040  2,709,882  59,208 
Ser. 05-C2, Class XCL, IO, 0.11s, 2040  2,669,662  29,845 
Ser. 05-C5, Class XCL, IO, 0.094s, 2020  3,250,018  47,887 
Lehman Brothers Floating Rate Commercial Mortgage Trust     
144A     
FRB Ser. 03-LLFA, Class L, 7 1/2s, 2014  83,000  82,142 
FRB Ser. 04-LLFA, Class H, 4.718s, 2017  52,000  52,198 
FRB Ser. 05-LLFA, 4.568s, 2018  20,000  20,000 
Merrill Lynch Mortgage Investors, Inc. Ser. 98-C3, Class E,     
7.135s, 2030  31,000  33,783 
Merrill Lynch Mortgage Trust Ser. 05-MCP1, Class XC, IO,     
4.92s, 2043  3,307,208  44,755 
Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C2, Class     
X, IO, 6.408s, 2040  121,904  45,562 
Morgan Stanley Capital 144A     
Ser. 05-RR6, Class X, IO, 1.7s, 2043  1,000,000  77,323 
Ser. 05-HQ6, Class X1, IO, 0.054s, 2042  4,171,000  42,362 
Morgan Stanley Capital I 144A     
Ser. 98-HF1, Class F, 7.18s, 2030  28,000  29,223 
Ser. 04-RR, Class F5, 6s, 2039  100,000  85,912 
Ser. 04-RR, Class F6, 6s, 2039  100,000  82,755 
Ser. 05-HQ5, Class X1, IO, 4.7s, 2042  3,439,429  28,617 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR, Class 2A1,     
5.475s, 2035  398,423  400,897 
Mortgage Capital Funding, Inc. FRB Ser. 98-MC2, Class E,     
7.26s, 2030  49,000  51,637 
Nomura Asset Securities Corp. Ser. 96-MD5, Class A1C, 7.12s,     
2039  265,000  268,000 
PNC Mortgage Acceptance Corp. 144A     
Ser. 99-CM1, Class B3, 7.1s, 2032  187,000  197,491 
Ser. 00-C2, Class J, 6.22s, 2033  49,000  49,721 
Pure Mortgages 144A     
FRB Ser. 04-1A, Class F, 7.36s, 2034 (Ireland)  151,000  151,283 
Ser. 04-1A, Class E, 5.11s, 2034 (Ireland)  101,000  101,189 
Salomon Brothers Mortgage Securities VII 144A Ser. 03-CDCA,     
Class X3CD, IO, 1.06s, 2015  355,526  8,647 

Wachovia Bank Commercial Mortgage Trust Ser. 05-C17, Class     
A4, 5.083s, 2042  327,000  329,429 
Wachovia Bank Commercial Mortgage Trust 144A Ser. 05-C18,     
Class XC, IO, 0.055s, 2042  3,852,968  40,234 
Washington Mutual Asset Securities Corp. 144A Ser. 05-C1A,     
Class G, 5.72s, 2036  10,000  9,879 
Total collateralized mortgage obligations (cost $29,357,716)    $28,500,600 
 
U.S. GOVERNMENT AND AGENCY MORTGAGE     
OBLIGATIONS (7.1%)(a)     
 
  Principal amount  Value 
 
U.S. Government Agency Mortgage Obligations (7.1%)     
Federal Home Loan Mortgage Corporation Pass-Through     
Certificates     
6 1/2s, with due dates from June 1, 2031 to October 1,     
2034  $2,293,241  $2,360,124 
6s, April 1, 2032  3,370  3,430 
5 1/2s, June 1, 2035  96,013  96,081 
5 1/2s, with due dates from October 1, 2019 to April 1,     
2020  690,560  701,630 
Federal National Mortgage Association Pass-Through     
Certificates     
7 1/2s, July 1, 2007  23,061  23,381 
7s, with due dates from February 1, 2024 to October 1,     
2028  308,870  325,537 
6 1/2s, with due dates from October 1, 2032 to November     
1, 2034  1,103,098  1,135,644 
6s, with due dates from August 1, 2034 to March 1, 2035  50,403  51,273 
5 1/2s, with due dates from September 1, 2034 to July 1,     
2035  7,830,400  7,833,863 
5 1/2s, with due dates from February 1, 2018 to January 1,     
2020  550,454  559,074 
5 1/2s, TBA, October 1, 2035  10,270,000  10,266,791 
5s, September 1, 2035  1,995  1,953 
5s, April 1, 2019  292,423  291,932 
4 1/2s, with due dates from December 1, 2019 to July 1,     
2020  3,802,982  3,724,791 
4s, with due dates from June 1, 2019 to September 1,     
2020  1,146,400  1,102,958 
 
    28,478,462 
 
Total U.S. government and agency mortgage obligations     
(cost $28,690,235)    $28,478,462 
 
U.S. TREASURY OBLIGATIONS (0.0%)(a) (cost $20,107)     
 
  Principal amount  Value 
 
U.S. Treasury Notes 4 1/4s, November 15, 2013  $20,000  $19,913 
ASSET-BACKED SECURITIES (5.0%)(a)     
 
  Principal amount  Value 
 
Aames Mortgage Investment Trust FRN Ser. 04-1, Class 2A1,     
4.17s, 2034  $101,928  $102,068 
Aames Mortgage Trust Ser. 03-1, Class A, IO, 6s, 2005  184,500  767 
Aames Mortgage Trust 144A Ser. 03-1N, Class A, 7 1/2s, 2033  3,883  3,867 
ABSC NIMS Trust 144A Ser. 05-HE2, Class A1, 4 1/2s, 2035     
(Cayman Islands)  106,589  105,790 
Ace Securities Corp. Ser. 03-FM1, Class A, IO, 3 1/2s, 2005  285,000  1,804 
Aegis Asset Backed Securities Trust 144A     
Ser. 04-2N, Class N1, 4 1/2s, 2034  10,275  10,254 
Ser. 04-4N, Class Note, 5s, 2034  21,724  21,643 
Ser. 04-5N, Class Note, 5s, 2034  17,311  17,295 
Ser. 04-6N, Class Note, 4 3/4s, 2035  26,300  26,157 
AFC Home Equity Loan Trust Ser. 99-2, Class 1A, 4.051s, 2029  218,978  220,031 
American Express Credit Account Master Trust 144A Ser. 04-C,     
Class C, 4.268s, 2012  249,000  249,039 
American Home Mortgage Investment Trust     
FRN Ser. 04-3, Class 2A, 3.59s, 2034  114,008  112,195 
FRN Ser. 04-3, Class 3A, 3.71s, 2034  98,320  96,888 
Americredit Automobile Receivables Trust 144A Ser. 05-1,     
Class E, 5.82s, 2012  100,000  99,659 
Ameriquest Finance NIM Trust 144A     
Ser. 04-IAN, Class 1A, 5.437s, 2034 (Cayman Islands)  16,133  16,133 
Ser. 04-RN9, Class N1, 4.8s, 2034 (Cayman Islands)  28,017  28,017 
Ameriquest Mortgage Securities, Inc.     
Ser. 03-12, Class S, IO, 5s, 2006  158,210  4,252 
Ser. 03-8, Class S, IO, 5s, 2006  189,984  4,037 
Argent NIM Trust 144A Ser. 04-WN9, Class A, 5.19s, 2034     
(Cayman Islands)  10,125  10,120 
Asset Backed Funding Corp. NIM Trust 144A     
Ser. 03-WMC1, Class Note, 6.9s, 2033  1,244  1,247 
Ser. 04-0PT1, Class N1, 4.55s, 2033 (Cayman Islands)  6,690  6,677 
Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)  21,866  21,826 
Ser. 04-AHL1, Class Note, 5.6s, 2033  22,875  22,909 
Ser. 04-FF1, Class N1, 5s, 2034 (Cayman Islands)  15,882  15,885 
Asset Backed Securities Corp. Home Equity Loan Trust     
FRB Ser. 04-HE9, Class A2, 4.2s, 2034  43,231  43,301 
FRB Ser. 05-HE1, Class A3, 4.12s, 2035  54,177  54,177 
FRN Ser. 04-HE1, Class A3, 4.168s, 2034  7,327  7,331 
Banc of America Funding Corp. 144A Ser. 04-NIM1, Class Note,     
6s, 2034  10,024  10,024 
Banc of America Mortgage Securities     
Ser. 04-D, Class 2A, IO, 0.721s, 2034  775,466  5,331 
Ser. 05-E, Class 2, IO, 0.306s, 2035  1,604,000  12,531 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4, 4.798s,     
2011  60,000  61,132 
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014  39,000  39,000 
Bayview Financial Acquisition Trust     
Ser. 04-B, Class A1, 4.338s, 2039  268,751  268,750 
Ser. 04-D, Class A, IO, 3 1/2s, 2007  934,815  36,909 
Ser. 05-B, Class A, IO, 2.422s, 2039  841,121  30,314 
FRB Ser. 04-D, Class A, 4.228s, 2044  171,990  172,176 
FRN Ser. 03-F, Class A, 4.338s, 2043  122,026  122,332 
FRN Ser. 03-G, Class A1, 4.438s, 2039  250,000  250,421 

Bayview Financial Asset Trust Ser. 03-X, Class A, IO, 0.62s,     
2006  947,623  16,046 
Bayview Financial Asset Trust 144A     
Ser. 03-Z, Class AIO1, IO, 0.282s, 2005  2,234,904  1,856 
FRN Ser. 03-SSRA, Class A, 4.53s, 2038  54,462  54,783 
FRN Ser. 03-SSRA, Class M, 5.18s, 2038  54,462  55,056 
FRN Ser. 04-SSRA, Class A1, 4.43s, 2039  73,098  73,412 
Bear Stearns Adjustable Rate Mortgage Trust Ser. 04-1, Class     
11A1, 3.677s, 2034  229,945  227,933 
Bear Stearns Alternate Trust     
Ser. 04-11, Class 2A2, 4.953s, 2034  168,872  168,680 
Ser. 04-12, Class 2A2, 5.063s, 2035  372,399  372,435 
Ser. 04-9, Class 1A1, 5.038s, 2034  49,975  49,965 
Ser. 05-2, Class 2A2A, 4.688s, 2035  69,516  69,327 
Ser. 05-5, Class 21A1, 4.695s, 2035  230,544  229,319 
Bear Stearns Asset Backed Securities NIM Trust 144A     
Ser. 04-FR1, Class A1, 5s, 2034 (Cayman Islands)  21,090  21,090 
Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)  24,352  24,227 
Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)  16,635  16,635 
Ser. 04-HE7N, Class A1, 5 1/4s, 2034  15,591  15,591 
Ser. 04-HE8N, Class A1, 5s, 2034  17,106  17,090 
Bear Stearns Asset Backed Securities, Inc.     
Ser. 03-AC3, Class A, IO, 5s, 2005  454,800  3,629 
Ser. 03-AC4, Class A, IO, 5s, 2006  305,400  4,935 
FRB Ser. 05-3, Class A1, 4.28s, 2035  183,146  183,089 
FRN Ser. 03-1, Class A1, 4.33s, 2042  112,865  112,864 
FRN Ser. 03-3, Class A2, 4.42s, 2043  88,000  88,358 
Capital One Multi-Asset Execution Trust FRB Ser. 02-C1, Class     
C1, 6.518s, 2010  13,000  13,585 
CARMAX Auto Owner Trust Ser. 04-2, Class D, 3.67s, 2011  20,327  20,077 
CARSSX Finance, Ltd. 144A FRB Ser. 04-AA, Class B4,     
9.268s, 2011 (Cayman Islands)  46,127  46,763 
CDO Repackaging Trust Series 144A FRN Ser. 03-2, Class A,     
8.006s, 2008  140,000  151,550 
Centex Home Equity Ser. 03-A, Class A, IO, 4.437s, 2006  1,277,672  16,110 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,     
4.848s, 2010  100,000  101,989 
Chase Funding Net Interest Margin 144A Ser. 04-OPT1, Class     
Note, 4.458s, 2034  20,488  20,385 
CHEC NIM Ltd., 144A     
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)  15,502  15,501 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  20,000  19,886 
Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands)  8,000  6,880 
Citibank Credit Card Issuance Trust FRN Ser. 01-C1, Class C1,     
4.679s, 2010  60,000  61,013 
CNL Funding Ser. 99-1, Class A2, 7.645s, 2014  100,000  105,400 
Conseco Finance Securitizations Corp.     
Ser. 00-4, Class A6, 8.31s, 2032  324,000  278,737 
Ser. 00-5, Class A4, 7.47s, 2032  124,830  126,913 
Ser. 01-1, Class A, IO, 2 1/2s, 2032  785,633  21,377 
Ser. 01-1, Class A4, 6.21s, 2032  222,424  225,312 
Ser. 01-1, Class A5, 6.99s, 2032  720,000  671,069 
Ser. 01-3, Class A, IO, 2 1/2s, 2033  1,698,675  60,614 
Ser. 01-3, Class A3, 5.79s, 2033  105,744  107,479 
Ser. 01-3, Class A4, 6.91s, 2033  85,000  82,993 
Ser. 01-4, Class A, IO, 2 1/2s, 2033  594,284  21,136 
Ser. 01-4, Class A4, 7.36s, 2033  291,000  291,590 
Ser. 02-1, Class A, 6.681s, 2033  240,126  246,420 
Ser. 02-2, Class A, IO, 8 1/2s, 2033  138,641  35,023 
Countrywide Alternative Loan Trust     
Ser. 04-15, Class 1A1, 4.963s, 2034  43,690  43,745 
Ser. 05-24, Class 1AX, IO, 1.195s, 2035  2,225,488  60,505 
Ser. 05-24, Class IIAX, IO, 1.445s, 2035  1,111,314  40,285 
Countrywide Asset Backed Certificates 144A     
Ser. 04-11N, Class N, 5 1/4s, 2036  12,728  12,693 
Ser. 04-14N, 5s, 2036  26,975  26,848 
Ser. 04-1NIM, Class Note, 6s, 2034  43,808  43,764 
Ser. 04-6N, Class N1, 6 1/4s, 2035  80,630  80,706 
Ser. 04-BC1N, Class Note, 5 1/2s, 2035  16,436  16,421 
Countrywide Home Loans     
Ser. 05-2, Class 2X, IO, 0.886s, 2035  1,367,214  33,326 
Ser. 05-9, Class 1X, IO, 0.975s, 2035  1,179,658  30,597 
Fieldstone Mortgage Investment Corp. FRN Ser. 05-1, Class     
M3, 4.37s, 2035  32,000  32,013 
Finance America NIM Trust 144A Ser. 04-1, Class A, 5 1/4s,     
2034  30,365  30,365 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class D,     
7.672s, 2039  215,000  217,116 
First Consumers Master Trust FRB Ser. 01-A, Class A, 4.078s,     
2008  26,522  26,389 
First Franklin Mortgage Loan Asset Backed Certificates Ser. 03-     
FFC, Class S, IO, 6s, 2005  392,000  7,546 
First Franklin Mortgage Loan NIM Trust 144A Ser. 04-FF10,     
Class N1, 4.45s, 2034 (Cayman Islands)  15,851  15,829 
First Horizon Mortgage Pass-Through Trust Ser. 05-AR2, Class     
1A1, 4.843s, 2035  137,011  136,693 
Ford Credit Auto Owner Trust Ser. 04-A, Class C, 4.19s, 2009  100,000  98,453 
Fremont NIM Trust 144A     
Ser. 04-3, Class A, 4 1/2s, 2034  24,744  24,620 
Ser. 04-3, Class B, 7 1/2s, 2034  19,628  17,214 
Ser. 04-A, Class Note, 4 3/4s, 2034  3,147  3,138 
Ser. 04-B, Class Note, 4.703s, 2034  2,276  2,281 
Ser. 04-D, Class N1, 4 1/2s, 2034 (Cayman Islands)  28,022  27,954 
GE Capital Credit Card Master Note Trust FRB Ser. 04-2, Class     
C, 4.248s, 2010  100,000  100,170 
GE Corporate Aircraft Financing, LLC 144A Ser. 04-1A, Class B,     
4.491s, 2018  72,925  72,882 
GEBL 144A     
Ser. 04-2, Class C, 4.618s, 2032  96,537  97,019 
Ser. 04-2, Class D, 6.518s, 2032  96,537  96,536 
GMAC Mortgage Corp. Loan Trust     
Ser. 04-HE5, Class A, IO, 6s, 2007  850,000  54,825 
Ser. 05-AR1, Class 1A2, 4.422s, 2035  114,244  113,244 
Goldentree Loan Opportunities II, Ltd. 144A FRN Ser. 2A, Class     
4, 6.979s, 2015 (Cayman Islands)  20,000  20,282 
Granite Mortgages PLC     
FRB Ser. 02-2, Class 1C, 4.87s, 2043 (United Kingdom)  50,000  50,652 
FRB Ser. 04-2, Class 1C, 4.59s, 2044 (United Kingdom)  64,023  64,113 
FRN Ser. 03-3, Class 1C, 5.07s, 2044 (United Kingdom)  70,000  71,536 
FRN Ser. 04-1, Class 1C, 4.79s, 2044 (United Kingdom)  80,000  80,275 
Green Tree Financial Corp.     
Ser. 97-4, Class A7, 7.36s, 2029  92,690  97,764 

Ser. 97-6, Class A8, 7.07s, 2029  22,002  22,822 
Ser. 97-6, Class A9, 7.55s, 2029  42,034  44,415 
Ser. 97-7, Class A8, 6.86s, 2029  71,237  73,891 
Ser. 99-3, Class A6, 6 1/2s, 2031  55,000  55,620 
Ser. 99-5, Class A5, 7.86s, 2030  330,000  293,159 
Greenpoint Manufactured Housing     
Ser. 00-3, Class IA, 8.45s, 2031  202,518  194,517 
Ser. 99-5, Class A4, 7.59s, 2028  166,400  171,699 
Greenpoint Mortgage Funding Trust Ser. 05-AR1, Class X1, IO,     
1.472s, 2045  933,995  25,831 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011  115,400  114,380 
GSAMP Trust 144A     
Ser. 04-HE1N, Class N1, 5s, 2034  14,011  14,008 
Ser. 04-NIM1, Class N1, 5 1/2s, 2034  72,981  72,966 
Ser. 04-NIM1, Class N2, zero %, 2034  75,000  55,253 
Ser. 04-NIM2, Class N, 4 7/8s, 2034  89,249  88,892 
Ser. 04-SE2N, Class Note, 5 1/2s, 2034  4,553  4,548 
Ser. 05-NC1, Class N, 5s, 2035  34,893  34,817 
GSMPS Mortgage Loan Trust 144A     
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  95,611  101,039 
Ser. 05-RP2, Class 1A3, 8s, 2035  81,142  86,820 
High Income Trust Securities 144A FRB Ser. 03-1A, Class A,     
4.07s, 2036 (Cayman Islands)  173,469  169,999 
Holmes Financing PLC     
FRB Ser. 4, Class 3C, 4.899s, 2040 (United Kingdom)  40,000  40,230 
FRB Ser. 8, Class 2C, 4.319s, 2040 (United Kingdom)  36,000  36,146 
Home Equity Asset Trust 144A     
Ser. 03-6N, Class A, 6 1/2s, 2034  2,667  2,660 
Ser. 04-3N, Class A, 5s, 2034  10,113  10,063 
Ser. 04-4N, Class A, 5s, 2034  23,898  23,748 
Ser. 04-5N, Class A, 5 1/4s, 2034  51,545  51,288 
Ser. 04-7N, Class A, 4 1/2s, 2035  111,676  110,698 
Hyundai Auto Receivables Trust Ser. 04-A, Class D, 4.1s, 2011  21,000  20,679 
LNR CDO, Ltd. 144A FRB Ser. 03-1A, Class EFL, 6.83s, 2036     
(Cayman Islands)  120,000  128,196 
Long Beach Asset Holdings Corp. NIM Trust 144A     
Ser. 04-2, Class N1, 4.94s, 2034  5,070  5,070 
Ser. 04-5, Class Note, 5s, 2034  27,926  27,923 
Ser. 05-1, Class N1, 4.115s, 2035  84,973  84,973 
Long Beach Mortgage Loan Trust     
Ser. 04-3, Class S1, IO, 4 1/2s, 2006  990,369  36,495 
Ser. 04-3, Class S2, IO, 4 1/2s, 2006  495,228  18,249 
Marriott Vacation Club Owner Trust 144A     
Ser. 04-1A, Class C, 5.265s, 2026  31,282  31,212 
FRB Ser. 02-1A, Class A1, 4.496s, 2024  39,398  39,882 
Master Asset Backed Securities NIM Trust 144A     
Ser. 04-CI3, Class N1, 4.45s, 2034  1,700  1,700 
Ser. 04-CI5, Class N1, 4.946s, 2034  16,396  16,397 
Ser. 04-HE1A, Class Note, 5.191s, 2034  15,439  15,486 
Master Reperforming Loan Trust 144A Ser. 05-1, Class 1A4, 7     
1/2s, 2034  102,797  108,386 
Master Adjustable Rate Mortgages Trust     
Ser. 04-03, Class 4AX, IO, 1.417s, 2034  198,908  4,724 
Ser. 05-2, Class 7AX, IO, 0.168s, 2035  507,928  1,587 
MBNA Credit Card Master Note Trust FRB Ser. 03-C5, Class     
C5, 4.948s, 2010  100,000  101,750 
Merit Securities Corp. FRB Ser. 11PA, Class 3A1, 4.458s, 2027  119,984  115,184 
Merrill Lynch Mortgage Investors, Inc. Ser. 04-OP1N, Class N1,     
4 3/4s, 2035 (Cayman Islands)  10,642  10,606 
Merrill Lynch Mortgage Investors, Inc. 144A     
Ser. 03-WM1N, Class N1, 7s, 2033  8,442  8,463 
Ser. 04-HE2N, Class N1, 5s, 2035 (Cayman Islands)  21,325  21,239 
Ser. 04-WM1N, Class N1, 4 1/2s, 2034  6,289  6,295 
Ser. 04-WM2N, Class N1, 4 1/2s, 2005  4,239  4,223 
Ser. 04-WM3N, Class N1, 4 1/2s, 2005  14,833  14,782 
Ser. 05-WM1N, Class N1, 5s, 2035  53,201  53,226 
Metris Master Trust FRN Ser. 04-2, Class C, 5.146s, 2010  51,000  51,446 
Metris Master Trust 144A FRN Ser. 00-3, Class C, 5.176s, 2009  101,000  101,016 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038  50,153  50,859 
MMCA Automobile Trust Ser. 02-1, Class B, 5.37s, 2010  139,771  139,240 
Morgan Stanley ABS Capital I FRB Ser. 04-WMC3, Class A2PT,     
4.12s, 2035  109,506  109,539 
Morgan Stanley Auto Loan Trust Ser. 04-HB2, Class D, 3.82s,     
2012  7,581  7,561 
Morgan Stanley Auto Loan Trust 144A     
Ser. 04-HB1, Class D, 5 1/2s, 2011  53,000  52,907 
Ser. 04-HB2, Class E, 5s, 2012  25,000  24,401 
Morgan Stanley Dean Witter Capital I FRB Ser. 01-NC4, Class     
B1, 6.33s, 2032  6,056  6,064 
Morgan Stanley Mortgage Loan Trust Ser. 05-3AR, Class 2A2,     
5.29s, 2035  167,440  167,956 
Navistar Financial Corp. Owner Trust     
Ser. 04-B, Class C, 3.93s, 2012  17,117  16,884 
Ser. 05-A, Class C, 4.84s, 2014  40,000  39,742 
New Century Home Equity Loan Trust Ser. 03-5, Class AI7,     
5.15s, 2033  69,000  67,492 
New Century Mortgage Corp. NIM Trust 144A Ser. 03-B, Class     
Note, 6 1/2s, 2033  2,058  2,059 
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT, 9.184s,     
2035  42,600  45,648 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2, Class PT,     
9.231s, 2034  33,980  36,433 
Novastar NIM Trust 144A Ser. 04-N2, Class Note, 4.458s, 2034  19,608  19,608 
Oakwood Mortgage Investors, Inc.     
Ser. 00-A, Class A3, 7.945s, 2022  97,391  82,555 
Ser. 01-E, Class A, IO, 6s, 2009  184,390  29,513 
Ser. 02-C, Class A1, 5.41s, 2032  263,265  229,841 
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4,     
7.21s, 2030  93,236  86,009 
Ocean Star PLC 144A     
FRB Ser. 04, Class D, 6.08s, 2018 (Ireland)  30,000  30,000 
FRB Ser. 05-A, Class D, zero %, 2012 (Ireland)  32,000  32,000 
Option One Mortgage Securities Corp. NIM Trust 144A Ser. 04-     
2A, Class N1, 4.213s, 2034 (Cayman Islands)  34,060  34,060 
Origen Manufactured Housing Ser. 04-B, Class A2, 3.79s, 2017  31,000  30,264 
Park Place Securities NIM Trust 144A     
Ser. 04-MCWN1, Class A, 4.458s, 2034  7,364  7,364 
Ser. 04-WCW2, Class D, 7.387s, 2034 (Cayman Islands)  52,000  52,198 

Ser. 04-WHQ2, Class A, 4s, 2035  41,864  41,498 
People's Choice Net Interest Margin Note 144A Ser. 04-2, Class     
A, 5s, 2034  45,438  45,540 
Permanent Financing PLC     
FRB Ser. 1, Class 3C, 5.034s, 2042 (United Kingdom)  40,000  40,110 
FRB Ser. 3, Class 3C, 4.984s, 2042 (United Kingdom)  60,000  60,994 
FRB Ser. 4, Class 3C, 4.634s, 2042 (United Kingdom)  110,000  110,829 
FRB Ser. 5, Class 2C, 4.484s, 2042 (United Kingdom)  104,000  104,488 
Pillar Funding PLC 144A     
FRB Ser. 04-1A, Class C1, 4.87s, 2011 (United Kingdom)  116,000  117,384 
FRB Ser. 04-2A, Class C, 4 3/4s, 2011 (United Kingdom)  100,000  100,794 
Providian Gateway Master Trust 144A     
Ser. 04-DA, Class D, 4.4s, 2011  45,000  43,861 
FRB Ser. 04-AA, Class D, 5.618s, 2011  100,000  101,836 
FRB Ser. 04-BA, Class D, 5.168s, 2010  100,000  100,582 
Renaissance Home Equity Loan Trust Ser. 03-2, Class A, IO,     
3s, 2005  56,716  275 
Renaissance NIM Trust 144A     
Ser. 04-A, Class Note, 4.45s, 2034  9,168  9,157 
Ser. 05-1, Class N, 4.7s, 2035  31,224  31,224 
Residential Accredit Loans, Inc.     
Ser. 04-QA5, Class A2, 4.99s, 2034  43,957  43,927 
Ser. 04-QA6, Class NB1, 4.969s, 2034  215,843  215,594 
Residential Asset Mortgage Products, Inc. Ser. 02-SL1, Class     
AI3, 7s, 2032  141,466  141,268 
Residential Asset Securities Corp. Ser. 03-KS4, Class AI, IO, 3     
1/2s, 2005  21,293  59 
Residential Asset Securities Corp. 144A     
Ser. 04-N10B, Class A1, 5s, 2034  44,474  44,301 
Ser. 04-NT, Class Note, 5s, 2034  42,452  42,134 
Ser. 04-NT12, Class Note, 4.7s, 2035  23,647  23,647 
Residential Asset Securities Corp. NIM Trust 144A Ser. 05-     
NTR1, Class Note, 4 1/4s, 2035  92,822  92,590 
SAIL Net Interest Margin Notes 144A     
Ser. 03-12A, Class A, 7.35s, 2033 (Cayman Islands)  5,560  5,560 
Ser. 03-13A, Class A, 6 3/4s, 2033 (Cayman Islands)  3,042  3,042 
Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands)  1,189  1,096 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)  1,675  1,479 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)  1,120  1,120 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)  4,703  2,836 
Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)  52,671  52,460 
Ser. 04-11A, Class A2, 4 3/4s, 2035 (Cayman Islands)  79,877  79,557 
Ser. 04-2A, Class A, 5 1/2s, 2034 (Cayman Islands)  26,415  25,649 
Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands)  37,754  37,754 
Ser. 04-5A, Class A, 4 1/2s, 2034 (Cayman Islands)  10,594  10,583 
Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands)  13,446  13,432 
Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)  26,636  26,636 
Ser. 04-8A, Class B, 6 3/4s, 2034 (Cayman Islands)  23,887  21,976 
Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)  75,207  75,034 
Ser. 04-BN2A, Class A, 5s, 2034 (Cayman Islands)  22,249  22,160 
Ser. 04-BNCA, Class A, 5s, 2034 (Cayman Islands)  12,313  12,313 
Ser. 05-1A, Class A, 4 1/4s, 2035  82,850  82,270 
Ser. 05-2A, Class A, 4 3/4s, 2035 (Cayman Islands)  91,278  90,913 
Sasco Net Interest Margin Trust 144A     
Ser. 05-NC1A, Class A, 4 3/4s, 2035  88,471  88,144 
Ser. 05-WF1A, Class A, 4 3/4s, 2035  80,202  79,961 
Sharps SP I, LLC Net Interest Margin Trust 144A     
Ser. 03-0P1N, Class NA, 4.45s, 2033  7,460  7,460 
Ser. 04-4N, Class Note, 6.65s, 2034  9,958  9,958 
Ser. 04-HE1N, Class Note, 4.94s, 2034  9,879  9,879 
Ser. 04-HE2N, Class NA, 5.43s, 2034  8,472  8,451 
Ser. 04-HE4N, Class NA, 3 3/4s, 2034  80,324  79,923 
Ser. 04-HS1N, Class Note, 5.92s, 2034  8,243  8,243 
Ser. 04-RM2N, Class NA, 4s, 2035  40,057  39,907 
Structured Adjustable Rate Mortgage Loan Trust     
Ser. 04-10, Class 1A1, 4.919s, 2034  87,222  87,383 
Ser. 04-12, Class 1A2, 5.011s, 2034  116,612  116,891 
Ser. 04-14, Class 1A, 5.108s, 2034  205,248  205,896 
Ser. 04-16, Class 1A2, 5.018s, 2034  174,572  174,935 
Ser. 04-18, Class 1A1, 5.047s, 2034  145,660  145,957 
Ser. 04-20, Class 1A2, 5.08s, 2035  285,638  286,196 
Ser. 04-6, Class 1A, 4.38s, 2034  349,479  348,320 
Ser. 04-8, Class 1A3, 4.697s, 2034  20,552  20,528 
Ser. 05-1, Class 1A1, 5.146s, 2035  434,541  435,855 
Ser. 05-9, Class AX, IO, 0.927s, 2035  2,473,130  73,699 
Structured Adjustable Rate Mortgage Loan Trust 144A Ser. 04-     
NP2, Class A, 4.18s, 2034  139,318  139,332 
Structured Asset Investment Loan Trust Ser. 03-BC1A, Class A,     
7 3/4s, 2033 (Cayman Islands)  4,326  4,326 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,3.65s,     
2015  249,485  245,899 
Structured Asset Securities Corp.     
Ser. 03-26A, Class 2A, 4.548s, 2033  95,595  95,976 
Ser. 04-8, Class 1A1, 4.697s, 2034  72,927  72,904 
IFB Ser. 05-10, Class 3A3, 9.268s, 2034  161,941  159,702 
IFB Ser. 05-6, Class 5A8, 6.24s, 2035  256,149  238,063 
Structured Asset Securities Corp. 144A FRN Ser. 03-NP3, Class     
A1, 4.33s, 2033  14,227  14,229 
Terwin Mortgage Trust FRB Ser. 04-5HE, Class A1B, 4 1/4s,     
2035  133,496  133,689 
TIAA Real Estate CDO, Ltd. 144A FRB Ser. 02-1A, Class III,     
7.6s, 2037 (Cayman Islands)  100,000  105,886 
Wells Fargo Home Equity Trust 144A     
Ser. 04-1N, Class A, 5s, 2034  22,768  22,768 
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)  59,002  58,928 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  41,000  39,770 
Wells Fargo Mortgage Backed Securities Trust Ser. 05-AR12,     
Class 2A5, 4.322s, 2035  965,000  942,539 
WFS Financial Owner Trust     
Ser. 04-1, Class D, 3.17s, 2011  16,076  15,850 
Ser. 04-4, Class D, 3.58s, 2012  24,258  23,918 
Ser. 05-1, Class D, 4 1/4s, 2012  17,988  17,796 
Whole Auto Loan Trust Ser. 03-1, Class C, 3.13s, 2010  10,113  10,029 
Whole Auto Loan Trust 144A     
Ser. 03-1, Class D, 6s, 2010  32,630  32,625 
Ser. 04-1, Class D, 5.6s, 2011  85,457  85,056 
Total asset-backed securities (cost $20,224,789)    $19,907,938 
 
MUNICIPAL BONDS AND NOTES (--%)(a) (cost $50,000)     
 

  Rating       
  (RAT)    Principal amount  Value 
NJ State Tpk. Auth. Rev. Bonds, Ser. B, AMBAC, 4.252s, 1/1/16  Aaa    $50,000  $47,867 
 
UNITS (--%)(a) (cost $24,102)         
      Units  Value 
Cendant Corp. unit 4.89s, 2006      40,000  $19,962 
 
WARRANTS (-%)(a) (cost $2,571)         
  Expiration   Strike      
  date  price  Warrants  Value 
Pliant Corp. 144A  6/01/10  $0.01  70  $1 
 
SHORT-TERM INVESTMENTS (10.9%)(a)         
      Principal amount  Value 
Putnam Prime Money Market Fund (e)      $33,573,143  $33,573,144 
Short-term investments held as collateral for loaned securities         
with yields ranging from 3.2% to 4.09% and due dates ranging         
from October 3, 2005 to November 1, 2005 (d)      10,058,573  10,047,948 
Total short-term investments (cost $43,621,092)        $43,621,092 
TOTAL INVESTMENTS         
Total investments (cost $385,391,687) (b)        $416,820,169 

FORWARD CURRENCY CONTRACTS TO BUY at 9/30/05 (aggregate face value $40,820,286) (Unaudited)   
        Unrealized 
    Aggregate   Delivery  appreciation/ 
  Value  face value  date   (depreciation) 
Australian Dollar  $9,842,471  $9,741,145  10/19/05  $101,326 
British Pound  9,710,390  10,034,739  12/21/05  (324,349) 
Canadian Dollar  3,673,233  3,608,114  10/19/05  65,119 
Euro  2,126,575  2,212,261  12/21/05  (85,686) 
Hong Kong Dollar  296,682  296,325  11/16/05  357 
Japanese Yen  4,990,560  5,136,525  11/16/05  (145,965) 
New Zealand Dollar  53,995  52,338  10/19/05  1,657 
Norwegian Krone  7,150,006  7,422,844  12/21/05  (272,838) 
Singapore Dollar  250,279  256,223  11/16/05  (5,944) 
South Korean Won  999,546  1,025,946  11/16/05  (26,400) 
Swiss Franc  988,788  1,033,826  12/21/2005  (45,038) 
Total        $(737,761) 

FORWARD CURRENCY CONTRACTS TO SELL at 9/30/05 (aggregate face value $66,976,286) (Unaudited)

        Unrealized 
    Aggregate Delivery  appreciation/ 
  Value  face value date  (depreciation) 
Australian Dollar  $3,177,596  $3,108,363  10/19/2005  $(69,233) 
British Pound  8,353,970  8,648,131  12/21/2005  294,161 
Canadian Dollar  6,754,207  6,529,901  10/19/2005  (224,306) 
Danish Krone  570,203  588,660  12/21/2005  18,457 
Euro  23,767,990  24,208,894  12/21/2005  440,904 
Japanese Yen  10,663,557  10,823,814  11/16/2005  160,257 
Norwegian Krone  1,487,912  1,547,677  12/21/2005  59,765 
Singapore Dollar  1,005,209  1,030,416  11/16/2005  25,207 
Swedish Krona    5,026,851 5,171,618  12/21/2005  144,767 
Swiss Franc    5,185,564 5,318,812  12/21/2005  133,248 
Total        $983,227 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)         
        Unrealized 
  Number of    Expiration   appreciation/  
  contracts  Value  date  (depreciation) 
Canadian Government Bond 10 yr (Long)  6  $594,932  Dec-05  $(5,764) 
Dow Jones Euro Stoxx 50 Index (Short)  426  17,645,344  Dec-05  (530,240) 
Euro 90 day (Long)  2  478,075  Dec-05  (3,546) 
Euro 90 day (Long)  1  238,625  Mar-05  (1,054) 
Euro-Bobl 5 yr (Long)  22  3,023,395  Dec-05  (22,608) 
Euro-Bund 10 yr (Long)  45  6,646,949  Dec-05  (38,106) 
FTSE 100 Index (Short)  164  15,910,515  Dec-05  (360,234) 
Japanese Government Bond 10 yr (Long)  5  6,073,509  Dec-05  (84,294) 
Russell 2000 Index Mini (Long)  4  268,840  Dec-05  (3,048) 
Russell 2000 Index Mini (Short)  595  100,344,526  Dec-05  370,685 
S&P 500 Index (Long)  1  308,575  Dec-05  71 
S&P 500 Index Mini (Long)  1626  100,344,526  Dec-05  (543,394) 
S&P 500 Index Mini (Short)  70  4,319,875  Dec-05  26,460 
U.K. Gilt 10 yr (Long)  7  1,395,857  Dec-05  (8,436) 
U.S. Treasury Bond (Long)  64  7,322,000  Dec-05  (166,416) 
U.S. Treasury Note 2 yr (Short)  25  5,147,266  Dec-05  16,657 
U.S. Treasury Note 5 yr (Long)  51  5,449,828  Dec-05  (36,617) 
U.S. Treasury Note 10 yr (Long)  10  1,099,219  Dec-05  (6,122) 
Total        $(1,396,006) 

TBA SALE COMMITMENTS OUTSTANDING at 9/30/05 (proceeds receivable $3,374,336) (Unaudited)     
  Principal    Settlement   
Agency  amount   date  Value 
FHLMC, 6 1/2s, October 1, 2035    $2,200,000   10/13/05  $2,261,016 
FNMA, 5 1/2s, October 1, 2035    1,100,000   10/13/05  1,099,656 
Total      $3,360,672 

WRITTEN OPTIONS OUTSTANDING at 9/30/05 (premiums received $326,418)       
  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a       
fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017.  $4,220,000  Jul 07 / $4.55  $101,280 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a       
fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017.  4,220,000  Jul 07 / $4.55  215,220 
 
      $316,500 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
      Unrealized 
  Notional  Termination   appreciation/ 
  amount  date   (depreciation) 
Agreement with Bank of America, N.A. dated March 31, 2005 to pay       
semi-annually the notional amount multiplied by 4.6375% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  $4,700,000  4/6/10  $(65,009) 
 
Agreement with Bank of America, N.A. dated January 26, 2004 to       
receive semi-annually the notional amount multiplied by 5.2125% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  4,509,000  1/28/24  145,517 
 
Agreement with Bank of America, N.A. dated December 20, 2004 to       
pay semi-annually the notional amount multiplied by 3.965% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  4,370,000  12/22/09  67,426 
 
Agreement with Bank of America, N.A. dated January 12, 2005 to       
receive semi-annually the notional amount multiplied by 4.106% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  3,500,000  1/14/10  (68,545) 
 
Agreement with Bank of America, N.A. dated March 25, 2004 to pay       
semi-annually the notional amount multiplied by 3.075% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  1,500,000  3/30/09  73,740 
 
Agreement with Bank of America, N.A. dated June 15, 2005 to pay       
semi-annually the notional amount multiplied by 4.555% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  940,000  6/17/15  7,690 
 
Agreement with Bank of America, N.A. dated August 30, 2005 to       
receive semi-annually the notional amount multiplied by 4.53125% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.  600,000  9/1/15  (11,594) 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.466% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  340,000  6/23/15  5,109 
 
Agreement with Bank of America, N.A. dated December 2, 2003 to       
receive semi-annually the notional amount multiplied by 2.444% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  289,000  12/5/05  788 
 
Agreement with Bank of America, N.A. dated June 22, 2005 to pay       
semi-annually the notional amount multiplied by 4.39% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  170,000  6/24/15  3,169 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.45% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  140,000  6/23/15  1,970 
 
Agreement with Bank of America, N.A. dated December 12, 2003 to       
pay semi-annually the notional amount multiplied by 2.1125% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  77,000  12/16/05  (59) 
 
Agreement with Credit Suisse First Boston International dated       
November 15, 2004 to pay semi-annually the notional amount       
multiplied by 3.947% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR.  6,200,000  11/17/09  95,372 
 
Agreement with Credit Suisse First Boston International dated March       
5, 2004 to receive semi-annually the notional amount multiplied by       
3.195% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  3,140,000  3/9/09  (140,040) 
 
Agreement with Credit Suisse First Boston International dated October       
5, 2004 to receive semi-annually the notional amount multiplied by       
4.624% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  2,750,000  10/7/14  10,539 
 
Agreement with Credit Suisse First Boston International dated July 7,       
2004 to receive semi-annually the notional amount multiplied by       
2.931% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  1,110,200  7/9/06  (14,149) 
 
Agreement with JPMorgan Chase Bank, N.A. dated March 3, 2005 to       
receive semi-annually the notional amount multiplied by 4.798% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  3,900,000  3/7/15  13,092 

Agreement with JPMorgan Chase Bank, N.A. dated June 27, 2005 to       
receive semi-annually the notional amount multiplied by 4.296% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  2,860,000  6/29/15  (75,100) 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 31, 2005       
to receive semi-annually the notional amount multiplied by 4.4505%       
and pay quarterly the notional amount multiplied by the three month       
USD-LIBOR-BBA.  1,400,000  9/2/15  (35,705) 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 14, 2005 to       
pay semi-annually the notional amount multiplied by 4.538% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  820,000  6/16/15  5,353 
 
Agreement with JPMorgan Chase Bank, N.A. dated July 29, 2005 to       
pay semi-annually the notional amount multiplied by 4.6757% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  574,000  8/2/15  (4,586) 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 22, 2005 to       
receive semi-annually the notional amount multiplied by 4.387% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  200,000  6/24/15  4,120 
 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
13, 2005 to pay semi-annually the notional amount multiplied by 4.38%       
and receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA.  3,400,000  7/15/10  33,260 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 1.999% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,949,000  1/26/06  29,344 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.009% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,877,000  1/23/06  28,056 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.008% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,877,000  1/23/06  28,056 
 
Agreement with Lehman Brothers Special Financing, Inc. dated June       
14, 2005 to pay semi-annually the notional amount multiplied by       
4.0525% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,800,000  6/16/07  6,566 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 5, 2003 to receive semi-annually the notional amount       
multiplied by 2.23762% and pay quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  2,465,000  12/9/05  3,883 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 2.007% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  1,546,000  1/26/06  15,330 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.408% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  951,000  1/23/14  20,272 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.419% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  951,000  1/23/14  19,606 
 
Agreement with Lehman Brothers Special Financing, Inc. dated June       
14, 2005 to pay semi-annually the notional amount multiplied by       
4.5475% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  800,000  6/16/15  (4,803) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 11, 2003 to pay semi-annually the notional amount       
multiplied by 4.710% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  482,000  12/15/13  (5,041) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 12, 2003 to pay semi-annually the notional amount       
multiplied by 4.579% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  240,000  12/16/13  (306) 

Agreement with Lehman Brothers Special Financing, Inc. dated       
December 9, 2003 to pay semi-annually the notional amount multiplied       
by 4.64101% and receive quarterly the notional amount multiplied by       
the three month USD-LIBOR-BBA.  137,000  12/11/13  (761) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 11, 2003 to pay semi-annually the notional amount       
multiplied by 2.235% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  115,000  12/15/05  (159) 
Total      $192,401 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
      Unrealized 
  Notional   Termination appreciation/ 
  amount  date  (depreciation) 
 
Agreement with JPMorgan Chase Bank, N.A. dated September 19,       
2005 to pay quarterly the notional amount multiplied by the return of       
the Russell 2000 Total Return Index and receive quarterly the notional       
amount multiplied by the three month USD-LIBOR adjusted by a       
specified spread.  $3,033,389  9/20/06  $(6,150) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated       
September 8, 2005 to receive at maturity the notional amount       
multiplied by the nominal spread appreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor and an accrual of 30 basis points plus the       
beginning of the period nominal spread of the Lehman Brothers AAA       
8.5+ Commercial Mortgage Backed Securities Index and pay at       
maturity the notional amount multiplied by the nominal spread       
depreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor.  5,497,000  4/1/06  (2,182) 
 
 
Agreement with Citibank, NA. dated September 8, 2005 to receive at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 27 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and pay at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  2,252,000  4/1/06  (2,824) 
 
 
Agreement with Lehman Brothers Finance, S.A. dated August 31,       
2005 to receive/(pay) semi-annually the notional amount multiplied by       
the return of the Lehman Brothers US ABS Floating Rate Index HEL       
Aggregate Component and pay semi-annually the notional amount       
multiplied by the six month USD-LIBOR-BBA adjusted by a specified       
spread.  6,800,000  3/1/06  (893) 
 
 
Agreement with Deutsche Bank AG dated September 8, 2005 to       
receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 25 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  639,000  3/1/06  (800) 
 
Agreement with Bank of America, N.A. dated May 18, 2005 to       
receive/(pay) semi-annually the notional amount multiplied by the       
positive (negative) change in the S&P 500 Index six month forward       
variance.  587,421  5/19/06  (142,700) 
 
 
Agreement with Citibank, N.A. dated July 7, 2005 to receive at maturity       
the notional amount multiplied by the nominal spread appreciation of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index adjusted by a modified duration factor and an accrual       
of 50 basis points plus the beginning of the period nominal spread of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index and pay at maturity the notional amount multiplied by       
the nominal spread depreciation of the Lehman Brothers AAA 8.5+       
Commercial Mortgage Backed Securities Index adjusted by a modified       
duration factor.  1,300,000  1/1/06  (1,910) 
 
 
Agreement with Citigroup Financial Products, Inc. dated April 22, 2005       
to receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 40 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  1,127,000  11/1/05  788 

Agreement with Citigroup Financial Products, Inc. dated May 5, 2005       
to receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 35 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  1,096,000  11/1/05  17 
 
Agreement with Deutsche Bank AG dated July 21, 2005 to       
receive/(pay) semi-annually the notional amount multiplied by the       
positive (negative) change in the S&P 500 Index six month forward       
variance.  503,025  7/21/06  7,884 
 
Agreement with Deutsche Bank AG dated February 16, 2005 to       
receive/(pay) semi-annually the notional amount multiplied by the       
positive (negative) change in the S&P 500 Index 6 month forward       
variance.  975,958  2/16/06  (95,015) 
 
 
Agreement with Deutsche Bank AG dated May 16, 2005 to       
receive/(pay) at maturity the notional amount multiplied by the positive       
(negative) change in the S&P 500 Index six month forward variance.  1,494,803  11/17/06  693,024 
 
 
Agreement with Deutsche Bank AG dated August 3, 2005 to receive at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 15 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and pay at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  1,300,000  1/1/06  5,284 
 
 
Agreement with Deutsche Bank AG dated May 3, 2005 to pay at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 35 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and receive at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  563,500  11/1/05  9 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated May 16,       
2005 to receive/(pay) semi-annually the notional amount multiplied by       
the positive (negative) change in the S&P 500 Index six month forward       
variance.  618,330  2/16/06  (159,132) 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated August 3,       
2005 to pay at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 20 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and receive at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  1,450,000  12/1/05  (5,672) 
 
Agreement with JPMorgan Chase Bank, N.A dated April 5, 2005 to       
receive/(pay) quarterly the notional amount multiplied by Russell 2000       
Total Return Index and receive quarterly the notional amount multiplied       
by the three month USD-LIBOR.  26,317,431  4/5/06  (1,065,149) 
 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 17, 2005       
to receive/(pay) quarterly the notional amount multiplied by the return       
of the Russell 1000 Total Return Growth Index and pay quarterly the       
notional amount multiplied by the three month USD-LIBOR adjusted by       
a specified spread.  5,881,246  2/21/06  15,188 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated July 7,       
2005 to pay monthly the notional amount multiplied by the spread       
depreciation of the Lehman Brothers 8.5+ AAA Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and       
receive monthly the notional amount multiplied by the appreciation of       
the Lehman Brothers 8.5+ AAA Commercial Mortgage Backed       
Securities Index plus 27.2 basis points.  1,450,000  12/1/05  (961) 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 17, 2005       
to receive quarterly the notional amount multiplied by the return       
of the S&P US 500 TR Index and pay quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  5,881,124  2/21/06  (32,147) 

Agreement with Lehman Brothers Special Financing, Inc. dated       
January 25, 2005 to receive/(pay) monthly the notional amount       
multiplied by the return of the Lehman Brothers U.S. High Yield Index       
and receive monthly the notional amount multiplied by the one month       
USD-LIBOR-BBA minus 40 basis points.  1,999,885  2/1/06  5,460 
      $(787,881) 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
    Unrealized 
  Notional  appreciation/ 
  amount  (depreciation)  
 
Agreement with Bank of America, N.A. on July 26, 2005, maturing on September 20, 2012, to     
receive quarterly 64 basis points times the notional amount. Upon a credit default event of Waste     
Management, 7.375%, 8/1/2010, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of Waste Management,     
7.375%, 8/1/2010.  $55,000  $301 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005, maturing on June     
20, 2015, to receive quarterly 70.5 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index 10-15% tranche, the fund makes     
a payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index 10-15% tranche.  155,000  1,165 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005, maturing on June     
20, 2015, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 65 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX     
Series 4 Index.  155,000  189 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 13, 2005, maturing on June     
20, 2012, to receive quarterly 275 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index 3-7% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index 3-7% tranche.  116,000  (2,514) 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005, maturing on June     
20, 2012, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 55 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX     
Series 4 Index.  313,000  472 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005, maturing on June     
20, 2012, to receive quarterly 48 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index 7-10% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index 7-10% tranche.  313,000  1,051 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 29, 2005, maturing on June     
20, 2012, to receive quarterly 318 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index 3-7% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index 3-7% tranche.  110,000  133 
 
 
Agreement with Bank of America, N.A. on September 13, 2005, maturing on June 20, 2010, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and pay quarterly 90 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ CDX IG HVOL Series 4 Index, the     
fund receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ CDX IG HVOL Series 4     
Index.  232,000  965 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005, maturing on     
June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 65 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG CDX 4 Index,     
the fund receives a payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX 4 Index.  157,000  575 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005, maturing on     
June 20, 2015, to receive quarterly 59 basis points times the notional amount. Upon a credit     
default event of a reference entity within the DJ IG CDX 4 Index,10-15% tranche, the fund makes     
a payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX 4 Index,10-15% tranche.  157,000  (392) 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005, maturing on     
December 20, 2015, to receive/(pay) a premium based on the difference between the original     
spread on issue and the market spread on day of execution and pay quarterly 70 basis points     
times the notional amount. Upon a credit default event of a reference entity within the DJ IG CDX     
5 Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX 5     
Index.  156,000  (212) 

Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005, maturing on     
December 20, 2015, to receive quarterly 57.5 basis points times the notional amount. Upon a     
credit default event of a reference entity within the DJ IG CDX 5 Index 10-15% tranche, the fund     
makes a payment of the proportional notional amount times the difference between the par value     
and the then-market value of the reference entity within the DJ IG CDX 5 Index 10-15% tranche.  156,000  (26) 
 
 
Agreement with Deutsche Bank AG on September 9, 2004, maturing on September 20, 2014, to     
receive a quarterly payment of 0.58% times the notional amount. Upon a credit default event of     
any CVS senior note, the fund makes a payment of the proportional notional amount times the     
difference between the par value and the then-market value of any CVS senior note.  30,000  (104) 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 29, 2005, maturing on     
June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 90 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ CDX IG HVOL     
Series 4 Index, the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity within the DJ     
CDX IG HVOL Series 4 Index.  331,000  (367) 
 
 
Agreement with JPMorgan Chase Bank, N.A. on September 1, 2005, maturing on September 20,     
2010, to pay quarterly 460 basis points times the notional amount. Upon a credit default event of     
General Motors Acceptance Corp., the fund receives a payment of the proportional notional     
amount times the difference between the par value and the then market value of General Motors     
Acceptance Corp.  40,000  (760) 
 
 
Agreement with Bank of America, N.A. effective November 24, 2004, maturing on April 15, 2010,     
to receive a premium equal to 2.58316% times the notional amount. Upon a credit default event     
of any News Corp. senior note or bond, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the defaulted     
News Corp. senior note or bond.  30,000  72 
 
 
Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing on June 20,     
2012, to receive quarterly 62 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX Series 4 Index,7-10% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index, 7-10% tranche.  308,000  3,379 
 
 
Agreement with Citigroup Financial Products, Inc. effective August 19, 2005, maturing on June 20,     
2012, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 55 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4 Index,     
the fund receives a payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  308,000  33 
 
 
Agreement with Deutsche Bank AG on August 8, 2005, maturing on June 20, 2010, to receive     
quarterly 44 basis points times the notional amount. Upon a credit default event of a reference     
entity within the DJ IG CDX 4 Index 7-10% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 4 Index 7-10% tranche.  308,000  2,121 
 
 
Agreement with Deutsche Bank AG effective August 8, 2005, maturing on June 20, 2010, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and to pay quarterly 40 basis points times the notional amount.     
Upon a credit default event of any reference entity within the DJ IG CDX Series 4 Index, the fund     
receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  308,000  (283) 
 
 
Agreement with Deutsche Bank AG effective July 14, 2005, maturing on June 20, 2012, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and pay quarterly 55 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX Series 4 Index, the fund     
receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  232,000  (639) 
 
 
 
Agreement with Deutsche Bank AG on July 14, 2005, maturing on June 20, 2012, to receive     
quarterly 35.5 basis points times the notional amount. Upon a credit default event of a reference     
entity within the DJ IG CDX Series 4 Index, 10-15% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index, 10-15% tranche.  155,000  1,389 
 
 
Agreement with Deutsche Bank AG effective July 22, 2005, maturing on September 20, 2010, to     
receive quarterly 41 basis points times the notional amount. Upon a credit default event of France     
Telecomm, 7.75%, 3/1/2011, the fund makes a payment of the proportional notional amount times     
the difference between the par value and the then-market value of France Telecomm, 7.75%,     
3/1/2011.  95,000  227 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 19, 2005, maturing on June 20,     
2012, to receive quarterly 37.5 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index 10-15% tranche, the fund makes     
a payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index 10-15% tranche.  292,500  2,626 

Agreement with Goldman Sachs Capital Markets, L.P. effective August 18, 2005, maturing on     
June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 40 basis points times the     
notional amount. Upon a credit default event of a reference entity within the CDX IG Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the CDX IG Series     
4 Index.  197,600  37 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 18, 2005, maturing on June 20,     
2010, to receive quarterly 38.5 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index,7-10% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index,7-10% tranche.  152,000  745 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. effective August 19, 2005, maturing on     
June 20, 2012, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 55 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX     
Series 4 Index.  146,250  (419) 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 04, 2005, maturing on     
September 20, 2010, to receive quarterly 49 basis points times the notional amount. Upon a     
credit default event of Goodyear 7 5/8s, 12/15/12, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market value of     
Goodyear 7 5/8s, 12/15/12.  45,000  93 
 
 
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the     
date on which the notional amount is reduced to zero or the date on which the assets securing the     
reference obligation are liquidated, the fund receives a payment of the outstanding notional     
amount times 2.461% and the fund pays in the event of a credit default in one of the underlying     
securities in the basket of BB CMBS securities.  414,000  9,786 
 
 
Agreement with JPMorgan Chase Bank, N.A. effective April 25, 2005, maturing on June 20, 2010,     
to receive a quarterly payment of 3.70% times the notional amount. Upon a credit default event of     
Felcor Lodging L.P., 8 1/2, 2011, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of Felcor Lodging L.P., 8     
1/2, 2011.  35,000  1,047 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on August 5, 2005, maturing on June     
20, 2010, to receive quarterly 43 basis points times the notional amount. Upon a credit default     
event of any reference entity within the DJ IG CDX Series 4 Index, 7-10% tranche, the fund makes     
a payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index,7-10% tranche.  308,000  1,828 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 29, 2005, maturing on June 20,     
2012, to receive quarterly 33.75 basis points times the notional amount. Upon a credit default     
event of any reference entity within the DJ IG CDX Series 4 Index, 10-15% tranche, the fund     
makes a payment of the proportional notional amount times the difference between the par value     
and the then-market value of the reference entity within the DJ IG CDX Series 4 Index,10-15%     
tranche.  308,000  1,801 
 
 
Agreement with Lehman Brothers Special Financing, Inc. effective August 5, 2005, maturing on     
June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and to pay quarterly 40 basis points times the     
notional amount. Upon a credit default event of any reference entity within the DJ IG CDX Series     
4 Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX     
Series 4 Index.  308,000  (205) 
 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 14, 2005, maturing on June 20,     
2012, to receive quarterly 36 basis points times the notional amount. Upon a credit default event     
of any reference entity within the DJ IG CDX Series 4 Index,10-15% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index,10-15% tranche.  142,000  784 
Total    $24,898 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $400,165,079. 
 
(RAT)  The Moody's or Standard & Poor's ratings indicated are believed to be the most recent ratings available at September 30, 
  2005 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 September 30, 2005. Securities rated by Putnam are indicated by 
  "/P". Security ratings are defined in the Statement of Additional Information. 
 
(b)  The aggregate identified cost on a tax basis is $390,545,174, resulting in gross unrealized appreciation and depreciation of 
  $36,322,657 and $10,047,662, respectively, or net unrealized depreciation of $26,274,995. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(STP)  The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin 
  accruing interest income at this rate. 
 
(RES)  Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at September 
  30, 2005 was $33 or less than 0.1% of net assets. 
 
(SEG)  A portion of these securities were pledged and segregated with the custodian to cover margin requirements for futures 
  contract at September 30, 2005. 
 
(R)  Real Estate Investment Trust. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are 
  collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market 
  value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next 
  business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect 
  to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of 
  operations. At September 30, 2005, the value of securities loaned amounted to $9,763,818. The fund received cash 
  collateral of $10,047,948 which is pooled with collateral of other Putnam funds into 22 issues of high-grade, short-term 
  investments. 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money 
  Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam 
  Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the 
  fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market 
  Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the 
  fund totaled $816,284 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of 
  purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $207,838,534 and 
  $227,649,157, respectively. 
 
(F)  Security is valued at fair value following procedures approved by the Trustees. 
 
  At September 30, 2005, liquid assets totaling $108,254,821 have been designated as collateral for open forward 
  commitments, swap contracts, forward contracts, written options and futures contracts. 
 
  144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. 
  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. 
 
  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 September 
  30, 2005. 
 
  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 September 30, 2005. 
 
  DIVERSIFICATION BY COUNTRY 

Distribution of investments by country of issue at September 30, 2005: (as a percentage of Portfolio Value)   
 
Australia  0.9% 
France  1.2 
Germany  0.9 
Italy  0.5 
Japan  3.7 
Netherlands  1.1 
Spain  0.5 
Sweden  0.5 
Switzerland  0.9 
United Kingdom  3.9 
United States  82.6 
Other  3.3 
 
Total  100.0% 

Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange.  Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.

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

Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform.

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

Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. Interest rate swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

Putnam VT Global Equity Fund       
The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (97.8%)(a)       
 
    Shares  Value 
 
Aerospace and Defense (1.9%)       
L-3 Communications Holdings, Inc.    85,771  $6,781,913 
Lockheed Martin Corp.    84,700  5,170,088 
      11,952,001 
Airlines (0.5%)       
British Airways PLC (United Kingdom) (NON)    641,902  3,324,060 
Automotive (1.0%)       
Renault SA (France)    64,447  6,122,040 
Banking (8.2%)       
Barclays PLC (United Kingdom)    674,105  6,832,591 
Commerce Bancorp, Inc. (S)    206,900  6,349,761 
Credit Agricole SA (France)    227,227  6,683,700 
Depfa Bank PLC (Ireland)    415,361  6,699,603 
KBC Groupe SA (Belgium)    70,572  5,734,024 
Royal Bank of Scotland Group PLC (United Kingdom)    437,631  12,455,679 
U.S. Bancorp    238,380  6,693,710 
      51,449,068 
Basic Materials (0.6%)       
Xstrata PLC (Switzerland)    151,742  3,943,037 
Beverage (0.7%)       
InBev NV (Belgium)    110,072  4,366,887 
Biotechnology (2.0%)       
Amgen, Inc. (NON)    160,200  12,763,134 
Broadcasting (1.5%)       
Gestevision Telecinco SA (Spain)    157,539  3,304,491 
Mediaset SpA (Italy)    538,840  6,395,033 
      9,699,524 

Chemicals (1.1%)     
BASF AG (Germany)  89,630  6,763,865 
Coal (0.6%)     
China Shenhua Energy Co., Ltd. (China)  3,415,000  4,005,994 
Commercial and Consumer Services (0.4%)     
TUI AG (Germany) (S)  127,592  2,725,551 
Communications Equipment (2.7%)     
Cisco Systems, Inc. (NON)  663,700  11,900,141 
Nokia OYJ (Finland)  299,130  5,026,781 
    16,926,922 
Computers (0.7%)     
Dell, Inc. (NON)  121,882  4,168,364 
Conglomerates (4.1%)     
Mitsui & Co., Ltd. (Japan)  982,000  12,313,996 
Tyco International, Ltd.  302,412  8,422,174 
Vivendi Universal SA (France)  149,637  4,899,322 
    25,635,492 
Consumer Finance (4.1%)     
Countrywide Financial Corp.  389,900  12,858,902 
MBNA Corp.  347,700  8,567,328 
Providian Financial Corp. (NON)  258,000  4,561,440 
    25,987,670 
Consumer Goods (1.1%)     
Reckitt Benckiser PLC (United Kingdom)  224,656  6,862,994 
Electric Utilities (2.1%)     
Iberdrola SA (Spain)  182,168  5,105,782 
PG&E Corp.  202,600  7,952,050 
    13,057,832 
 
Electronics (4.3%)     
Freescale Semiconductor, Inc. Class B (NON)  162,700  3,836,466 
Intel Corp.  267,600  6,596,340 
Samsung Electronics Co., Ltd. (South Korea)  15,470  8,738,098 
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)  4,675,000  7,517,801 

    26,688,705 
Energy (2.0%)     
Pride International, Inc. (NON)  318,600  9,083,286 
TonenGeneral Sekiyu KK (Japan)  303,000  3,529,474 
    12,612,760 
Engineering & Construction (0.6%)     
Daito Trust Construction Co., Ltd. (Japan)  79,800  3,499,876 
Financial (1.7%)     
Citigroup, Inc.  84,472  3,845,165 
Fannie Mae  157,700  7,068,114 
    10,913,279 
Food (0.6%)     
Groupe Danone (France)  37,358  4,037,394 
Gaming & Lottery (0.6%)     
Greek Organization of Football Prognostics (OPAP) SA (Greece)  128,290  3,996,249 
Health Care Services (1.6%)     
Cardinal Health, Inc.  91,500  5,804,760 
HCA, Inc. (S)  83,476  4,000,170 
    9,804,930 
Homebuilding (1.0%)     
NVR, Inc. (NON)  6,924  6,127,394 
Household Furniture and Appliances (0.5%)     
Whirlpool Corp.  40,000  3,030,800 
Insurance (3.6%)     
ACE, Ltd. (Bermuda)  134,150  6,314,441 
American International Group, Inc.  136,300  8,445,148 
Zurich Financial Services AG (Switzerland)  45,103  7,716,046 
    22,475,635 
Investment Banking/Brokerage (1.8%)     
Bear Stearns Cos., Inc. (The)  33,800  3,709,550 
Lehman Brothers Holdings, Inc.  66,500  7,745,920 
    11,455,470 

Lodging/Tourism (0.4%)     
Royal Caribbean Cruises, Ltd.  64,900  2,803,680 
 
Machinery (1.2%)     
Fanuc, Ltd. (Japan)  65,800  5,330,427 
SMC Corp. (Japan)  14,500  1,933,419 
    7,263,846 
 
Manufacturing (1.7%)     
SKF AB Class B (Sweden)  562,640  7,354,010 
ThyssenKrupp AG (Germany)  162,300  3,404,356 
    10,758,366 
 
Medical Technology (1.5%)     
Becton, Dickinson and Co.  57,800  3,030,454 
Nobel Biocare Holding AG (Switzerland)  16,385  3,877,279 
Straumann Holding AG (Switzerland)  10,015  2,694,314 
    9,602,047 
 
Metals (0.5%)     
Arcelor (Luxembourg)  139,089  3,262,893 
 
Office Equipment & Supplies (1.1%)     
Canon, Inc. (Japan)  126,500  6,842,967 
 
Oil & Gas (11.4%)     
Burlington Resources, Inc.  53,600  4,358,752 
Canadian Natural Resources, Ltd. (Canada)  186,160  8,423,166 
Chevron Corp.  81,100  5,249,603 
Exxon Mobil Corp.  334,843  21,275,924 
Marathon Oil Corp.  127,800  8,809,254 
Nippon Mining Holdings, Inc. (Japan)  714,500  5,674,638 
Petroleo Brasileiro SA ADR (Brazil) (S)  93,800  6,705,762 
Valero Energy Corp.  94,700  10,706,782 
    71,203,881 
 
Pharmaceuticals (7.6%)     
Astellas Pharma, Inc. (Japan)  113,500  4,276,783 
Daiichi Sankyo Co., Ltd. (Japan) (NON)  154,000  3,159,636 
GlaxoSmithKline PLC (United Kingdom)  233,954  5,967,591 
Johnson & Johnson  280,700  17,762,696 
Pfizer, Inc.  120,700  3,013,879 
Roche Holding AG (Switzerland)  74,505  10,393,358 

Takeda Pharmaceutical Co., Ltd. (Japan)  48,200  2,875,327 
    47,449,270 
 
Photography/Imaging (0.6%)     
Xerox Corp. (NON) (S)  262,581  3,584,231 
 
Power Producers (0.4%)     
AES Corp. (The) (NON) (S)  172,300  2,830,889 
 
Real Estate (0.3%)     
Friedman, Billings, Ramsey Group, Inc. Class A (R) (S)  158,200  1,612,058 
 
Restaurants (0.8%)     
McDonald's Corp.  147,300  4,933,077 
 
Retail (3.6%)     
Abercrombie & Fitch Co. Class A  42,700  2,128,595 
AutoZone, Inc. (NON)  36,490  3,037,793 
Dixons Group PLC (United Kingdom)  1,333,030  3,548,785 
Hennes & Mauritz AB Class B (Sweden)  110,950  3,970,038 
Lowe's Cos., Inc.  83,831  5,398,716 
Michaels Stores, Inc.  134,900  4,459,794 
    22,543,721 
 
Schools (0.5%)     
Apollo Group, Inc. Class A (NON) (S)  44,100  2,927,799 
 
Semiconductor (0.6%)     
Lam Research Corp.  127,500  3,884,925 
 
Shipping (0.2%)     
Orient Overseas International, Ltd. (Hong Kong)  293,000  1,095,327 
 
Software (2.3%)     
Adobe Systems, Inc.  93,300  2,785,005 
Microsoft Corp. (SEG)  242,200  6,231,806 
Oracle Corp. (NON)  437,900  5,425,581 
    14,442,392 
 
Telecommunications (4.3%)     
France Telecom SA (France)  150,109  4,321,239 
NII Holdings, Inc. (NON) (S)  52,500  4,433,625 
Sprint Nextel Corp.  302,000  7,181,560 
Vodafone Group PLC (United Kingdom)  4,284,446  11,178,666 

    27,115,090 
 
Telephone (2.3%)     
China Netcom Group Corp. (Hong Kong), Ltd. (Hong Kong)  1,927,800  3,317,580 
Koninklijke (Royal) KPN NV (Netherlands)  586,798  5,277,092 
Koninklijke (Royal) KPN NV 144A (Netherlands)  207,051  1,862,016 
TDC A/S (Denmark)  67,680  3,652,585 
    14,109,273 
 
Tobacco (3.5%)     
Altria Group, Inc.  183,221  13,505,220 
Japan Tobacco, Inc. (Japan)  546  8,624,603 
    22,129,823 
 
Toys (0.7%)     
Sankyo Co., Ltd. (Japan)  79,400  4,190,011 
Water Utilities (0.7%)     
Veolia Environnement (France)  100,002  4,232,595 
Total common stocks (cost $535,999,274)    $613,215,088 
 
SHORT-TERM INVESTMENTS (4.6%)(a)     
 
  Principal amount/shares  Value 
Putnam Prime Money Market Fund (e)  13,441,384  $13,441,384 

Short-term investments held as collateral for loaned securities with yields
ranging from 3.20% to 4.09% and due dates ranging from October 3, 2005 		   
to November 1, 2005 (d)  $15,544,428  15,529,650 
Total short-term investments (cost $28,971,034)    $28,971,034 
 
TOTAL INVESTMENTS     
 
Total investments (cost $564,970,308) (b)    $642,186,122 
 

FORWARD CURRENCY CONTRACTS TO BUY at 9/30/05 (aggregate face value $102,463,016) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value date    (depreciation) 
Australian Dollar  $30,309,995  $29,663,165  10/19/05  $646,830 
British Pound  29,129,766    30,237,321  12/21/05  (1,107,555) 
Canadian Dollar  16,968,343  16,337,186  10/19/05  631,157 
Euro  6,161,301  6,298,038  12/21/05  (136,737) 
Japanese Yen  1,716,013  1,748,318  11/16/05  (32,305) 
Norwegian Krone  11,421,437  11,861,408  12/21/05  (439,971) 
Swedish Krona  1,553,107  1,561,010  12/21/05  (7,903) 
Swiss Franc  4,582,432  4,756,570  12/21/05  (174,138) 
Total        $(620,622) 

FORWARD CURRENCY CONTRACTS TO SELL at 9/30/05 (aggregate face value $82,132,770) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $149,893  $149,694  10/19/05  $(199) 
British Pound  8,305  8,290  12/21/05  (15) 
Canadian Dollar  6,584,009  6,360,348  10/19/05  (223,661) 
Euro  41,149,300  41,728,249  12/21/05  578,949 
Japanese Yen  8,847,476  9,011,424  11/16/05  163,948 
Mexican Peso  2,874,264  2,840,045  10/19/05  (34,219) 
Norwegian Krone  3,069,703  3,195,325  12/21/05  125,622 
Swedish Krona  4,765,629  4,911,674  12/21/05  146,045 
Swiss Franc  13,548,883  13,927,721  12/21/05  378,838 
Total        $1,135,308 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)         
 
  Number of    Expiration  Unrealized 
  contracts  Value date  appreciation 
Dow Jones Euro Stoxx 50 (Long)  40  $1,656,840  Dec-05  $47,618 
New Financial Times Stock Exchange 100 Index (Long)  13  1,261,199  Dec-05  27,899 
S&P 500 Index (Long)  21  6,480,075  Dec-05  78,122 
Tokyo Price Index (Long)  11  1,367,234  Dec-05  123,332 
Total        $276,971 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $626,995,005. 
 
(b)  The aggregate identified cost on a tax basis is $571,376,899, resulting in gross unrealized appreciation and depreciation of 
  $84,819,312 and $14,010,089, respectively, or net unrealized appreciation of $70,809,223. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(SEG)  A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures 
  contracts at September 30, 2005. 
 
(R)  Real Estate Investment Trust. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are 
  collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The 
  market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the 
  next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with 
  respect to the investment of the cash collateral. Income from securities lending is included in investment income on the 
  statement of operations. At September 30, 2005, the value of securities loaned amounted to $15,034,623. The fund 
  received cash collateral of $15,529,650 which is pooled with collateral of other Putnam funds into 22 issues of high-grade, 
  short-term investments. 
 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money 
  Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC 
  ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees 
  paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime 
  Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income 
  distributions earned by the fund totaled $266,745 for the period ended September 30, 2005. During the period ended 
  September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated 
  $149,186,904 and $159,947,839, respectively. 
 
 
  At September 30, 2005, liquid assets totaling $33,268,105 have been designated as collateral for open forward contracts 
  and future contracts. 
 
  144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 
  1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. 
 
 
  ADR after the name of a foreign holding stands for American Depository Receipts representing ownership of foreign 
  securities on deposit with a custodian bank. 

DIVERSIFICATION BY COUNTRY   
 
Distribution of investments by country of issue at September 30, 2005: (as a percentage of Portfolio Value)   
 
Belgium  1.6% 
Bermuda  1.0 
Brazil  1.1 
Canada  1.3 
China  0.7 
Denmark  0.6 
Finland  0.8 
France  4.8 
Germany  2.1 
Greece  0.7 
Hong Kong  0.7 
Ireland  1.1 
Italy  1.0 
Japan  9.9 
Luxembourg  0.5 
Netherlands  1.1 
South Korea  1.4 
Spain  1.3 
Sweden  1.8 
Switzerland  4.6 
Taiwan  1.2 
United Kingdom  8.0 
United States  52.7 
Total  100.0% 

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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.

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

Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

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

Putnam VT Growth and Income Fund       
The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (99.2%)(a)       
    Shares  Value 
 
Aerospace and Defense (3.2%)       
Boeing Co. (The)    636,500  $43,250,175 
Lockheed Martin Corp.    1,338,800  81,720,352 
United Technologies Corp.    487,000  25,246,080 
      150,216,607 
 
Airlines (0.2%)       
Southwest Airlines Co.    575,900  8,552,115 
 
Automotive (0.1%)       
Lear Corp. (S)    162,100  5,506,537 
 
Banking (6.8%)       
Bank of America Corp.    3,895,200  163,987,920 
Commerce Bancorp, Inc. (S)    166,800  5,119,092 
State Street Corp.    99,300  4,857,756 
U.S. Bancorp    3,262,500  91,611,000 
Wells Fargo & Co.    858,400  50,276,488 
      315,852,256 
 
Beverage (1.6%)       
Coca-Cola Co. (The)    1,290,500  55,736,695 
Coca-Cola Enterprises, Inc.    928,300  18,101,850 
PepsiCo, Inc.    34,300  1,945,153 
      75,783,698 
 
Building Materials (1.7%)       
Masco Corp.    2,031,200  62,317,216 
Sherwin Williams Co.    405,000  17,848,350 
      80,165,566 
 
Cable Television (0.3%)       
Comcast Corp. Class A (NON) (S)    517,000  15,189,460 
 
Chemicals (2.2%)       
Dow Chemical Co. (The) (S)    762,900  31,790,043 
E.I. du Pont de Nemours & Co.    736,500  28,848,705 
Hercules, Inc. (NON)    328,640  4,015,981 
Huntsman Corp. (NON) (S)    730,000  14,271,500 
PPG Industries, Inc. (S)    386,000  22,847,340 
      101,773,569 
 
Commercial and Consumer Services (1.0%)       
Cendant Corp.    2,265,400  46,757,856 
 
Communications Equipment (0.9%)       
Cisco Systems, Inc. (NON)    2,280,200  40,883,986 
 
Computers (2.4%)       
Hewlett-Packard Co.    3,334,210  97,358,932 
Sun Microsystems, Inc. (NON)    4,001,200  15,684,704 
      113,043,636 
 
Conglomerates (4.7%)       
General Electric Co.    3,677,000  123,804,590 
Tyco International, Ltd.    3,453,400  96,177,190 
      219,981,780 
 
Consumer Finance (2.9%)       
Capital One Financial Corp.    702,200  55,838,944 
Countrywide Financial Corp.    1,884,000  62,134,320 
Providian Financial Corp. (NON)    1,092,400  19,313,632 
137,286,896

                                                                                                     

Consumer Goods (3.1%)     
Avon Products, Inc.  1,168,000  31,536,000 
Estee Lauder Cos., Inc. (The) Class A  500,000  17,415,000 
Procter & Gamble Co. (The) (S)  1,571,000  93,411,660 
    142,362,660 
 
Consumer Services (0.1%)     
Service Corporation International  385,100  3,192,479 
 
Containers (0.1%)     
Owens-Illinois, Inc. (NON)  210,260  4,335,561 
 
Electric Utilities (3.7%)     
Dominion Resources, Inc. (S)  267,300  23,025,222 
Entergy Corp. (S)  353,800  26,294,416 
Exelon Corp.  683,600  36,531,584 
FPL Group, Inc.  309,600  14,736,960 
Great Plains Energy, Inc. (S)  108,400  3,242,244 
PG&E Corp.  1,528,700  60,001,475 
Sierra Pacific Resources (NON)  582,000  8,642,700 
    172,474,601 
 
Electronics (1.9%)     
Intel Corp.  1,590,200  39,198,430 
Motorola, Inc. (S)  2,139,600  47,263,764 
    86,462,194 
 
Energy (0.6%)     
Pride International, Inc. (NON)  479,000  13,656,290 
Weatherford International, Ltd. (NON)  193,000  13,251,380 
    26,907,670 
 
Financial (6.6%)     
Citigroup, Inc.  3,884,100  176,804,232 
Fannie Mae  1,049,100  47,020,662 
Freddie Mac  878,500  49,600,110 
MGIC Investment Corp.  160,300  10,291,260 
PMI Group, Inc. (The)  258,000  10,286,460 
Radian Group, Inc. (S)  210,000  11,151,000 
    305,153,724 
 
Food (0.6%)     
General Mills, Inc.  135,800  6,545,560 
Tyson Foods, Inc. Class A (S)  1,096,200  19,786,410 
    26,331,970 
 
Forest Products and Packaging (1.0%)     
Smurfit-Stone Container Corp. (NON) (S)  344,100  3,564,876 
Weyerhaeuser Co.  604,600  41,566,250 
    45,131,126 
 
Gaming & Lottery (--%)     
GTECH Holdings Corp.  36,100  1,157,366 
 
Health Care Services (4.4%)     
AmerisourceBergen Corp.  330,100  25,516,730 
Cardinal Health, Inc.  793,500  50,339,640 
CIGNA Corp.  331,700  39,094,162 
Express Scripts, Inc. (NON) (S)  372,200  23,150,840 
HCA, Inc.  584,800  28,023,616 
Humana, Inc. (NON)  485,000  23,221,800 
McKesson Corp.  345,100  16,374,995 
    205,721,783 
 
Homebuilding (0.6%)     
Lennar Corp.  490,200  29,294,352 
 
Household Furniture and Appliances (0.9%)     
Whirlpool Corp.  537,400  40,718,798 

Insurance (8.0%)

ACE, Ltd. (Bermuda)  1,669,900  78,602,193 
American International Group, Inc.  1,964,800  121,739,008 
Chubb Corp. (The)  560,000  50,148,000 
Genworth Financial, Inc. Class A  169,020  5,449,205 
Hartford Financial Services Group, Inc. (The)  493,200  38,060,244 
MetLife, Inc. (S)  962,200  47,946,426 
St. Paul Travelers Cos., Inc. (The)  155,900  6,995,233 
XL Capital, Ltd. Class A (Bermuda)  355,500  24,184,665 
    373,124,974 
 
Investment Banking/Brokerage (2.6%)     
Goldman Sachs Group, Inc. (The)  329,000  39,999,820 
Lehman Brothers Holdings, Inc.  217,100  25,287,808 
Merrill Lynch & Co., Inc. (S)  105,700  6,484,695 
Morgan Stanley (S)  921,900  49,727,286 
    121,499,609 
 
Leisure (0.9%)     
Brunswick Corp.  1,087,000  41,012,510 
 
Lodging/Tourism (0.5%)     
Royal Caribbean Cruises, Ltd.  538,800  23,276,160 
 
Machinery (0.5%)     
Cummins, Inc. (S)  16,600  1,460,634 
Parker-Hannifin Corp. (S)  348,500  22,412,035 
    23,872,669 
 
Manufacturing (0.7%)     
Ingersoll-Rand Co., Ltd. Class A (Bermuda)  800,200  30,591,646 
 
Media (1.0%)     
Time Warner, Inc.  145,200  2,629,572 
Walt Disney Co. (The)  1,776,700  42,871,771 
    45,501,343 
 
Medical Technology (0.7%)     
Becton, Dickinson and Co.  661,000  34,656,230 
 
Metals (1.2%)     
Alcoa, Inc.  1,722,100  42,053,682 
United States Steel Corp.  343,200  14,534,520 
    56,588,202 
 
Natural Gas Utilities (0.4%)     
Sempra Energy  329,900  15,525,094 
Southern Union Co. (NON)  197,875  5,099,239 
    20,624,333 
 
Oil & Gas (11.4%)     
Amerada Hess Corp. (S)  406,200  55,852,500 
Apache Corp.  323,000  24,296,060 
Burlington Resources, Inc.  365,100  29,689,932 
Chevron Corp.  2,001,600  129,563,568 
ConocoPhillips  182,600  12,765,566 
Devon Energy Corp.  567,300  38,939,472 
Exxon Mobil Corp.  2,775,390  176,348,281 
Marathon Oil Corp.  788,200  54,330,626 
Valero Energy Corp.  60,500  6,840,130 
    528,626,135 
 
Pharmaceuticals (6.7%)     
Abbott Laboratories  561,000  23,786,400 
Johnson & Johnson  1,617,700  102,368,056 
Pfizer, Inc.  5,804,800  144,945,856 
Wyeth  898,600  41,578,222 
    312,678,534 
 
Photography/Imaging (1.1%)     
Xerox Corp. (NON)  3,798,700  51,852,255 

Publishing (0.4%)

R. R. Donnelley & Sons Co. (S)  521,400  19,328,298 
 
Railroads (1.1%)     
Canadian National Railway Co. (Canada)  172,500  12,245,775 
Norfolk Southern Corp.  927,800  37,631,568 
    49,877,343 
 
Regional Bells (0.7%)     
SBC Communications, Inc. (S)  93,900  2,250,783 
Verizon Communications, Inc.  999,200  32,663,848 
    34,914,631 
 
Restaurants (1.5%)     
McDonald's Corp.  2,023,700  67,773,713 
 
Retail (4.1%)     
AutoZone, Inc. (NON) (S)  66,100  5,502,823 
Best Buy Co., Inc.  739,150  32,175,200 
Home Depot, Inc. (The)  1,830,900  69,830,526 
Limited Brands, Inc.  148,500  3,033,855 
Office Depot, Inc. (NON)  1,095,700  32,542,290 
Rite Aid Corp. (NON)  4,986,700  19,348,396 
Supervalu, Inc.  859,800  26,756,977 
    189,190,067 
 
Software (1.1%)     
Oracle Corp. (NON)  4,079,000  50,538,810 
 
Telecommunications (0.5%)     
Sprint Nextel Corp. (S)  1,055,800  25,106,924 
 
Tobacco (2.5%)     
Altria Group, Inc.  1,607,000  118,451,970 
 
Total common stocks (cost $3,574,074,777)    $4,619,324,602 
 
SHORT-TERM INVESTMENTS (1.9%)(a)     
  Principal amount/shares  Value 
Putnam Prime Money Market Fund (e)  23,790,315  $23,790,315 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.77% to 4.09% and due dates ranging from October 3, 2005     
to November 1, 2005 (d)  $66,027,393  65,955,353 
 
Total short-term investments (cost $89,745,668)    $89,745,668 
 
TOTAL INVESTMENTS     
 
Total investments (cost $3,663,820,445) (b)    $4,709,070,270 

WRITTEN OPTIONS OUTSTANDING at 9/30/05 (premiums received $59,975) (Unaudited)   
  Contract   Expiration date/  
  amount   strike price  Value 
Lennar Corp. (Put)  $35,065 Oct 05/$54.71  $21,463 

  NOTES
 
(a)      Percentages indicated are based on net assets of $4,655,866,444.
 
(b)      The aggregate identified cost on a tax basis is $3,799,440,775, resulting in gross unrealized appreciation and depreciation of $1,030,304,427 and $120,674,932, respectively, or net unrealized appreciation of $909,629,495.
 

(NON) Non-income-producing security.

(S)      Securities on loan, in part or in entirety, at September 30, 2005.

(d)      The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of operations. At September 30, 2005, the value of securities loaned amounted to $64,008,561. The fund received cash collateral of $65,955,353 which is pooled with collateral of other Putnam funds into 20 issues of high-grade, short-term investments.  
 
(e)      Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $261,162 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $533,960,899 and $537,721,891, respectively.
 
  At September 30, 2005, liquid assets totaling $1,918,406 have been designated as collateral for open written options.
 
  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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.
 
  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. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.
 
  The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to cost of investments.
 
  Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
 
  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
 
Putnam VT Growth Opportunities Fund       
The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (100.0%)(a)       
    Shares  Value 
 
Aerospace and Defense (3.7%)       
L-3 Communications Holdings, Inc.    7,900  $624,653 
Lockheed Martin Corp.    10,400  634,816 
United Technologies Corp.    17,000  881,280 
      2,140,749 
 
Airlines (0.6%)       
Southwest Airlines Co.    24,000  356,400 
 
Banking (3.5%)       
Commerce Bancorp, Inc.    27,900  856,251 
U.S. Bancorp    42,400  1,190,592 
      2,046,843 
 
Beverage (1.5%)       
Coca-Cola Co. (The)    20,000  863,800 
 
Biotechnology (1.9%)       
Amgen, Inc. (NON)    13,800  1,099,446 
 
Building Materials (1.6%)       
Masco Corp.    20,400  625,872 
Sherwin Williams Co.    7,500  330,525 
      956,397 
 
Commercial and Consumer Services (4.8%)       
Cendant Corp.    28,500  588,240 
eBay, Inc. (NON)    25,900  1,067,080 
Google, Inc. Class A (NON)    1,000  316,460 
Yahoo!, Inc. (NON)    24,500  829,080 
      2,800,860 
 
Communications Equipment (2.6%)       
Cisco Systems, Inc. (NON)    82,900  1,486,397 
 
Computers (6.6%)       
Apple Computer, Inc. (NON)    16,900  906,009 
Dell, Inc. (NON)    46,100  1,576,620 
EMC Corp. (NON)    79,500  1,028,730 
NCR Corp. (NON)    9,800  312,718 
      3,824,077 
 
Conglomerates (1.1%)       
Tyco International, Ltd.    23,800  662,830 
 
Consumer Finance (7.5%)       
Capital One Financial Corp.    13,500  1,073,520 
Countrywide Financial Corp.    38,500  1,269,730 
MBNA Corp.    82,400  2,030,336 
      4,373,586 
 
Consumer Goods (0.5%)       
Avon Products, Inc.    11,500  310,500 
 
Electronics (3.0%)       
Freescale Semiconductor, Inc. Class B (NON)    12,995  306,422 
Intel Corp.    40,200  990,930 
Texas Instruments, Inc.    12,700  430,530 
      1,727,882 
 
Financial (1.3%)       
Fannie Mae    17,200  770,904 

Health Care Services (6.3%)     
Cardinal Health, Inc.  12,300  780,312 
Express Scripts, Inc. (NON)  8,900  553,580 
HCA, Inc.  11,400  546,288 
Humana, Inc. (NON)  4,400  210,672 
Medco Health Solutions, Inc. (NON)  7,900  433,157 
UnitedHealth Group, Inc.  20,400  1,146,480 
    3,670,489 
 
Homebuilding (1.2%)     
NVR, Inc. (NON)  775  685,836 
 
Insurance (5.5%)     
ACE, Ltd. (Bermuda)  11,100  522,477 
American International Group, Inc.  33,200  2,057,072 
Everest Re Group, Ltd. (Barbados)  6,600  646,140 
    3,225,689 
 
Investment Banking/Brokerage (2.8%)     
Bear Stearns Cos., Inc. (The)  3,400  373,150 
Goldman Sachs Group, Inc. (The)  4,900  595,742 
Lehman Brothers Holdings, Inc.  5,800  675,584 
    1,644,476 
 
Leisure (0.7%)     
Harley-Davidson, Inc.  7,800  377,832 
 
Lodging/Tourism (0.8%)     
Royal Caribbean Cruises, Ltd.  10,500  453,600 
 
Machinery (1.0%)     
Cummins, Inc.  2,900  255,171 
Parker-Hannifin Corp.  5,400  347,274 
    602,445 
 
Manufacturing (0.4%)     
Ingersoll-Rand Co., Ltd. Class A (Bermuda)  5,700  217,911 
 
Medical Technology (2.3%)     
Baxter International, Inc.  11,500  458,505 
Becton, Dickinson and Co.  9,500  498,085 
St. Jude Medical, Inc. (NON)  8,300  388,440 
    1,345,030 
 
Oil & Gas (10.3%)     
Amerada Hess Corp.  4,900  673,750 
Devon Energy Corp.  8,800  604,032 
Exxon Mobil Corp.  37,900  2,408,166 
Marathon Oil Corp.  10,300  709,979 
Occidental Petroleum Corp.  7,200  615,096 
Valero Energy Corp.  8,500  961,010 
    5,972,033 
 
Pharmaceuticals (5.8%)     
Johnson & Johnson  28,500  1,803,480 
Pfizer, Inc.  45,600  1,138,632 
Teva Pharmaceutical Industries, Ltd. ADR (Israel)  12,200  407,724 
    3,349,836 
 
Power Producers (0.5%)     
AES Corp. (The) (NON)  19,100  313,813 
 
Publishing (1.3%)     
McGraw-Hill Companies, Inc. (The)  9,000  432,360 
R. R. Donnelley & Sons Co.  9,000  333,630 
    765,990 
 
Railroads (0.1%)     
Norfolk Southern Corp.  1,600  64,896 

Restaurants (2.2%)

McDonald's Corp.  18,200  609,518 
Yum! Brands, Inc.  13,700  663,217 
    1,272,735 
 
Retail (8.4%)     
Abercrombie & Fitch Co. Class A  7,600  378,860 
Best Buy Co., Inc.  15,250  663,833 
Coach, Inc. (NON)  11,200  351,232 
Home Depot, Inc. (The)  22,200  846,708 
Lowe's Cos., Inc.  11,300  727,720 
Michaels Stores, Inc.  13,900  459,534 
Office Depot, Inc. (NON)  8,500  252,450 
Staples, Inc.  43,400  925,288 
Whole Foods Market, Inc.  2,000  268,900 
    4,874,525 
 
Schools (0.5%)     
Apollo Group, Inc. Class A (NON)  4,700  312,033 
 
Semiconductor (0.9%)     
Applied Materials, Inc.  29,300  496,928 
 
Software (4.2%)     
Adobe Systems, Inc.  17,800  531,330 
Citrix Systems, Inc. (NON)  10,400  261,456 
McAfee, Inc. (NON)  9,200  289,064 
Mercury Interactive Corp. (NON)  7,300  289,080 
Oracle Corp. (NON)  53,700  665,343 
Symantec Corp. (NON)  16,800  380,688 
    2,416,961 
 
Technology Services (1.1%)     
Fair Isaac Corp.  6,600  295,680 
Fiserv, Inc. (NON)  7,800  357,786 
    653,466 
 
Telecommunications (1.0%)     
Sprint Nextel Corp.  23,482  558,402 
 
Tobacco (2.5%)     
Altria Group, Inc.  19,700  1,452,087 
TOTAL INVESTMENTS     
 
Total investments (cost $52,196,835) (b)    $58,147,684 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $58,152,480. 
 
(b)  The aggregate identified cost on a tax basis is $54,322,273, resulting in gross unrealized appreciation and depreciation of 
  $5,573,362 and $1,747,951, respectively, or net unrealized appreciation of $3,825,411. 
 
(NON)  Non-income-producing security. 
 
  ADR after the name of a foreign holding stands for American Depository Receipts, representing ownership of foreign 
  securities on deposit with a custodian bank. 
 
  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. Many securities markets and exchanges 
  outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in 
  such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New 
  York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple 
  factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will 
  depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. 

                        Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

                        Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.

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

                        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

Putnam VT Health Sciences Fund       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (99.6%)(a)       
 
    Shares  Value 
 
 
Biotechnology (18.7%)       
Amgen, Inc. (NON) (S)    329,000  $26,211,430 
Amylin Pharmaceuticals, Inc. (NON) (S)    75,500  2,626,645 
Basilea Pharmaceutical 144A (Switzerland) (NON) 5,000  539,219
Biogen Idec, Inc. (NON)    152,200  6,008,856 
Chiron Corp. (NON)    30,600  1,334,772 
Genentech, Inc. (NON)    199,500  16,799,895 
Genzyme Corp. (NON)    66,400  4,756,896 
Idenix Pharmaceuticals, Inc. (NON) (S)    22,600  567,260 
MedImmune, Inc. (NON)    117,800  3,963,970 
Neurocrine Biosciences, Inc. (NON)    26,000  1,278,940 
Nexia Biotechnologies, Inc. (Canada)    1,100  147 
Nexia Biotechnologies, Inc. 144A (Canada) (NON)    23,800  3,179 
      64,091,209 
 
Health Care Services (18.2%)       
AmerisourceBergen Corp. (S)    88,000  6,802,400 
Cardinal Health, Inc.    246,100  15,612,584 
Caremark Rx, Inc. (NON) 22,200 1,108,446
CIGNA Corp.    37,200  4,384,392 
Community Health Systems, Inc. (NON) (S)    28,600  1,109,966 
Coventry Health Care, Inc. (NON)    35,100  3,019,302 
HCA, Inc. (S)    170,200  8,155,984 
Health Management Associates, Inc. Class A (S)    168,900  3,964,083 
Medco Health Solutions, Inc. (NON)    39,900  2,187,717 
Omnicare, Inc.    35,200  1,979,296 
Quest Diagnostics, Inc.    42,600  2,153,004 
Triad Hospitals, Inc. (NON)    74,600  3,377,142 
WellPoint, Inc. (NON)    113,000  8,567,660 
      62,421,976
 
Medical Technology (16.3%)       
Baxter International, Inc.    145,800  5,813,046 
Beckman Coulter, Inc. (S)    24,200  1,306,316 
Becton, Dickinson and Co.    78,800  4,131,484 
Boston Scientific Corp. (NON)    164,400  3,842,028 
C.R. Bard, Inc.    35,300  2,330,859 
Charles River Laboratories International, Inc. (NON)    51,700  2,255,154 
Edwards Lifesciences Corp. (NON)    24,400  1,083,604 
Medtronic, Inc.    265,600  14,241,472 
Nobel Biocare Holding AG (Switzerland)    12,500  2,957,949 
Nobel Biocare Holding AG (Switzerland)    250  58,462 
PerkinElmer, Inc.    72,500  1,476,825 
Respironics, Inc. (NON)    23,200  978,576 
St. Jude Medical, Inc. (NON)    221,900  10,384,920 
Synthes, Inc. (Switzerland)    42,600  5,003,988 
      55,864,683 
 
Other (0.3%)       
Health Care Select Sector SPDR Fund    32,800  1,028,280 
 
 
 
Pharmaceuticals (46.1%)       
Abbott Laboratories    245,000  10,388,000 
Astellas Pharma, Inc. (Japan)    129,000  4,860,837 
Aurobindo Pharma, Ltd. (India)    60,529  490,197 
Barr Pharmaceuticals, Inc. (NON)    83,400  4,580,328 
Cephalon, Inc. (NON) (S)    26,000  1,206,920 
Daiichi Sankyo Co., Ltd. (Japan)    233,000  4,780,489 
Eli Lilly Co.    234,300  12,539,736 
GlaxoSmithKline PLC ADR (United Kingdom) (S)    204,200  10,471,375 
Johnson & Johnson    443,400  28,058,351 
Matrix Laboratories, Ltd. (India)    101,800  426,754 
Mylan Laboratories, Inc.    192,100  3,699,846 
Novartis AG (Switzerland)    391,900  19,961,390 
Par Pharmaceutical Cos., Inc. (NON) (S)    44,200  1,176,604 
Pfizer, Inc.    519,000  12,959,430 
Roche Holding AG (Switzerland)    122,512  17,090,277 
Teva Pharmaceutical Industries, Ltd. ADR (Israel) (S)    116,300  3,886,746 
Wyeth    469,500  21,723,765 

    158,301,045 
Total common stocks (cost $269,753,784)    $341,707,193 

 

SHORT-TERM INVESTMENTS (7.5%)(a) 

   
  Principal amount  Value 
Putnam Prime Money Market Fund (e)  $6,420,346  $6,420,346 
Short-term investments held as collateral for loaned securities     
with yields ranging from 3.77% to 4.09% and due dates     
ranging from October 3, 2005 to November 1, 2005 (d)  $19,213,288  19,192,325 
Total short-term investments (cost $25,612,671)    $25,612,671 
 
TOTAL INVESTMENTS     


Total investments (cost $295,366,455)(b) 

  $367,319,864 

FORWARD CURRENCY CONTRACTS TO BUY at 9/30/05 (aggregate face value $34,003,654) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $908,436  $879,819  10/19/05  $28,617 
British Pound  11,984,922  12,459,656  12/21/05  (474,734) 
Canadian Dollar  710,298  676,783  10/19/05  33,515 
Danish Krone  1,618,467  1,670,854  12/21/05  (52,387) 
Euro  12,887,156  13,406,412  12/21/05  (519,256) 
Japanese Yen  4,836,449  4,910,130  11/16/05  (73,681) 
Total        $(1,057,926) 

FORWARD CURRENCY CONTRACTS TO SELL at 9/30/05 (aggregate face value $26,636,891) (Unaudited)

    Aggregate  Delivery  Unrealized 
  Value  face value  date  appreciation 
Swiss Franc  $22,603,482  $23,555,797  12/21/05  $952,315 
Japanese Yen  3,031,061  3,081,094  11/16/05  50,033 
Total        $1,002,348 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $343,036,717. 
 
(b)  The aggregate identified cost on a tax basis is $2,301,112,650, resulting in gross unrealized appreciation and 
  depreciation of $71,654,834 and $5,447,620, respectively, or net unrealized appreciation of $66,207,214. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are 
  collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The 
  market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the 
  next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with 
  respect to the investment of the cash collateral. Income from securities lending is included in investment income on the 
  statement of operations. At September 30, 2005, the value of securities loaned amounted to $18,607,412. The fund 
  received cash collateral of $19,192,325 which is pooled with collateral of other Putnam funds into 20 issues of high- 
  grade, short-term investments. 
 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money 
  Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC 
  ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees 
  paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime 
  Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income 
  distributions earned by the fund totaled $198,277 for the period ended September 30, 2005. During the period ended 
  September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund 
  aggregated $62,849,927 and $65,356,026, respectively. 
 
 
  144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 
  1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. 
 
 
  ADR after the name of a foreign holding stands for American Depository Receipts, representing ownership of foreign 
  securities on deposit with a custodian bank. 

DIVERSIFICATION BY COUNTRY   
 
Distribution of investments by country of issue at September 30, 2005: (as a percentage of Portfolio Value)   
 
Other  0.3% 
Israel  1.1 
Japan  2.8 
Switzerland  13.3 
United Kingdom  3.1 
United States  79.4 
 
Total  100.0% 

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. Many securities markets and 
exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for 
securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the 
close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into 
account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value 
prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a 
significant extent. 
 
 
Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two 
parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in 
value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an 
increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash 
reserves and short term investments). The U.S. dollar value of forward currency contracts is determined using current 
forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with 
changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded 
as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the 
difference between the value of the contract at the time it was opened and the value at the time it was closed.
The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts 
are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed 
amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if 
any, are listed after the fund’s portfolio. 
 
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 

Putnam VT High Yield Fund       
 
The fund's portfolio       
 
9/30/05 (Unaudited)       
CORPORATE BONDS AND NOTES (88.8%)(a)       
 
    Principal amount  Value 
 
 
Advertising and Marketing Services (0.2%)       
Lamar Media Corp. company guaranty 7 1/4s, 2013    $1,035,000  $1,081,575 
 
Automotive (4.2%)       
Affinia Group, Inc. 144A sr. sub. notes 9s, 2014    555,000  432,900 
ArvinMeritor, Inc. notes 8 3/4s, 2012    535,000  524,300 
Dana Corp. notes 10 1/8s, 2010    315,000  322,875 
Dana Corp. notes 9s, 2011    1,925,000  1,982,750 
Dana Corp. notes 7s, 2029    170,000  129,458 
Delco Remy International, Inc. company guaranty 11s, 2009    400,000  262,000 
Delphi Corp. notes 6.55s, 2006    1,090,000  801,150 
Delphi Corp. notes 6 1/2s, 2013    1,185,000  793,950 
Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012    942,000  838,380 
Ford Motor Co. notes 7.45s, 2031    2,330,000  1,817,400 
Ford Motor Credit Corp. bonds 7 3/8s, 2011    2,510,000  2,400,830 
Ford Motor Credit Corp. notes 7 7/8s, 2010    3,795,000  3,692,952 
General Motors Acceptance Corp. bonds 8s, 2031    4,950,000  4,322,187 
Meritor Automotive, Inc. notes 6.8s, 2009    770,000  735,350 
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014    985,000  992,388 
Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013    2,425,000  2,709,938 
TRW Automotive Inc. sr. sub. notes 11s, 2013    2,030,000  2,288,825 
      25,047,633 
 
Basic Materials (9.1%)       
AK Steel Corp. company guaranty 7 3/4s, 2012    650,000  599,625 
ALROSA Finance SA 144A company guaranty 8 7/8s, 2014       
(Luxembourg)    1,190,000  1,410,150 
BCP Crystal US Holdings Corp. sr. sub. notes 9 5/8s, 2014    1,025,000  1,140,313 
Century Aluminum Co. company guaranty 7 1/2s, 2014    625,000  643,750 
Chaparral Steel Co. 144A sr. unsecd. notes 10s, 2013    1,930,000  2,036,150 
Chesapeake Corp. sr. sub. notes 7s, 2014  EUR  430,000  528,214 
Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014       
(Germany)  EUR  525,000  696,176 
Compass Minerals Group, Inc. company guaranty 10s, 2011    $655,000  707,400 
Compass Minerals International, Inc. sr. disc. notes stepped-       
coupon Ser. B, zero % (12s, 6/1/08), 2013 (STP)    535,000  446,725 
Compass Minerals International, Inc. sr. notes stepped-coupon       
zero % (12 3/4s, 12/15/07), 2012 (STP)    2,275,000  2,002,000 
Crystal US Holdings, LLC sr. disc. notes stepped-coupon Ser. A,       
zero % (10s, 10/1/09), 2014 (STP)    790,000  560,900 
Equistar Chemicals LP/Equistar Funding Corp. company       
guaranty 10 1/8s, 2008    3,230,000  3,488,400 
Georgia-Pacific Corp. bonds 7 3/4s, 2029    625,000  670,313 
Georgia-Pacific Corp. company guaranty 8 7/8s, 2010    535,000  596,525 
Georgia-Pacific Corp. debs. 7.7s, 2015    875,000  965,781 
Georgia-Pacific Corp. sr. notes 8s, 2024    1,155,000  1,273,388 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada)    1,470,000  1,635,375 
Hercules, Inc. company guaranty 6 3/4s, 2029    1,480,000  1,450,400 
Huntsman Advanced Materials, LLC sec. FRN 11.82s, 2008    95,000  99,275 
Huntsman Advanced Materials, LLC sec. notes 11s, 2010    55,000  61,600 
 
Huntsman International, LLC company guaranty 10 1/8s, 2009    1,465,000  1,501,625 
Huntsman, LLC company guaranty 11 5/8s, 2010    519,000  592,958 
Huntsman, LLC company guaranty 11 1/2s, 2012    408,000  466,140 
Innophos, Inc. 144A sr. sub. notes 8 7/8s, 2014    1,620,000  1,656,450 
ISP Chemco, Inc. company guaranty Ser. B, 10 1/4s, 2011    1,550,000  1,670,125 
Ispat Inland ULC sec. notes 9 3/4s, 2014 (Canada)    630,000  730,800 
Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012    725,000  681,500 
Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013    75,000  67,500 
JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland) (PIK)  EUR  1,041,434  1,098,518 
Lyondell Chemical Co. bonds 11 1/8s, 2012    $140,000  156,100 
Lyondell Chemical Co. company guaranty 9 1/2s, 2008    1,085,000  1,136,538 
Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007    1,950,000  2,047,500 
MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)    1,960,000  1,969,800 
MDP Acquisitions PLC sr. notes Ser. EUR, 10 1/8s, 2012       
(Ireland)  EUR  70,000  90,419 
Millennium America, Inc. company guaranty 9 1/4s, 2008    $1,840,000  1,978,000 
Nalco Co. sr. notes 7 3/4s, 2011  EUR  140,000  180,753 
Nalco Co. sr. sub. notes 9s, 2013  EUR  675,000  880,437 
Nalco Co. sr. sub. notes 8 7/8s, 2013    $1,920,000  1,970,400 
Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015 (Luxembourg)    1,175,000  1,148,563 
Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015 (Luxembourg)  EUR  270,000  335,656 
Norske Skog Canada, Ltd. sr. notes 7 3/8s, 2014 (Canada)    780,000  741,000 

Novelis, Inc. 144A sr. notes 7 1/4s, 2015 (Canada)    2,990,000  2,825,550 
PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada)    477,515  501,391 
PQ Corp. 144A company guaranty 7 1/2s, 2013    445,000  431,650 
Rockwood Specialties Group, Inc. company guaranty 7 5/8s,       
2014  EUR  800,000  996,707 
 
Rockwood Specialties Group, Inc. 144A sub. notes 7 1/2s, 2014    $300,000  291,000 
SGL Carbon Luxembourg SA 144A sr. notes 8 1/2s, 2012       
(Luxembourg)  EUR  520,000  685,471 
Steel Dynamics, Inc. company guaranty 9 1/2s, 2009    $1,125,000  1,192,500 
Sterling Chemicals, Inc. sec. notes 10s, 2007 (PIK)    289,803  286,905 
Stone Container Corp. sr. notes 9 3/4s, 2011    570,000  575,700 
Stone Container Corp. sr. notes 8 3/8s, 2012    1,255,000  1,192,250 
Stone Container Finance company guaranty 7 3/8s, 2014       
(Canada)    325,000  289,250 
Tembec Industries, Inc. company guaranty 8 1/2s, 2011       
(Canada)    162,000  105,705 
Tembec Industries, Inc. company guaranty 7 3/4s, 2012       
(Canada)    445,000  282,575 
Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013    425,000  442,000 
Ucar Finance, Inc. company guaranty 10 1/4s, 2012    910,000  975,975 
United States Steel Corp. sr. notes 9 3/4s, 2010    286,000  313,885 
United States Steel, LLC sr. notes 10 3/4s, 2008    654,000  735,750 
Wheeling-Pittsburgh Steel Corp. sr. notes 6s, 2010 (PIK)    92,426  73,941 
Wheeling-Pittsburgh Steel Corp. sr. notes 5s, 2011 (PIK)    179,183  143,346 
WHX Corp. sr. notes 10 1/2s, 2005 (In default) (F) (DEF)    370,000  37 
      54,454,830 
 
Beverage (0.1%)       
Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008    685,000  719,250 
Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012    70,000  73,850 
      793,100 
 
Broadcasting (3.2%)       
British Sky Broadcasting PLC company guaranty 8.2s, 2009       
(United Kingdom)    770,000  854,503 
DirecTV Holdings, LLC sr. notes 8 3/8s, 2013    974,000  1,062,878 
DirecTV Holdings, LLC 144A sr. notes 6 3/8s, 2015    2,690,000  2,669,825 
Diva Systems Corp. sr. disc. notes Ser. B, 12 5/8s, 2008 (In       
default)    6,832,000  34,160 
Echostar DBS Corp. company guaranty 6 5/8s, 2014    1,630,000  1,613,700 
Echostar DBS Corp. sr. notes 6 3/8s, 2011    2,660,000  2,636,725 
Emmis Communications Corp. sr. notes FRN 9.745s, 2012    880,000  886,600 
Granite Broadcasting Corp. sec. notes 9 3/4s, 2010    2,510,000  2,296,650 
Gray Television, Inc. company guaranty 9 1/4s, 2011    595,000  641,113 
LIN Television Corp. 144A sr. sub. notes 6 1/2s, 2013    250,000  237,500 
Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012    2,565,000  2,734,931 
Sinclair Broadcast Group, Inc. company guaranty 8 3/4s, 2011    690,000  724,500 
Sirius Satellite Radio, Inc. 144A sr. notes 9 5/8s, 2013    1,265,000  1,214,400 
Young Broadcasting, Inc. company guaranty 10s, 2011    1,242,000  1,173,690 
Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014    735,000  652,313 
      19,433,488 
 
Building Materials (0.6%)       
Associated Materials, Inc. company guaranty 9 3/4s, 2012    625,000  604,688 
Building Materials Corp. company guaranty 8s, 2008    640,000  649,600 
Owens Corning bonds 7 1/2s, 2018 (In default)    525,000  418,688 
Owens Corning notes 7 1/2s, 2006 (In default)    1,245,000  996,000 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s,       
2014    1,370,000  1,260,400 
      3,929,376 
 
Cable Television (2.8%)       
Adelphia Communications Corp. sr. notes 10 7/8s, 2010 (In       
default)    290,000  216,050 
Adelphia Communications Corp. sr. notes 10 1/4s, 2006 (In       
default)    130,000  96,200 
Adelphia Communications Corp. sr. notes 9 3/8s, 2009 (In       
default)    80,000  61,200 
Adelphia Communications Corp. sr. notes 7 7/8s, 2009 (In       
default)    140,000  101,500 
Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 (In       
default)    755,000  562,475 
 
Atlantic Broadband Finance, LLC company guaranty 9 3/8s, 2014    865,000  817,425 
Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012    1,065,000  1,033,050 
CCH I Holdings LLC 144A company guaranty stepped-coupon       
zero %, 2015 (STP)    95,000  60,325 
CCH I Holdings LLC 144A company guaranty stepped-coupon       
zero %, 2014 (STP)    180,000  128,700 
CCH I LLC 144A secd. notes 11s, 2015    4,383,000  4,273,425 

Charter Communications Holdings, LLC/Capital Corp. sr. notes       
11 1/8s, 2011    1,475,000  1,135,750 
Charter Communications Holdings, LLC/Capital Corp. sr. notes       
10s, 2011    2,040,000  1,499,400 
CSC Holdings, Inc. debs. 7 5/8s, 2018    450,000  420,750 
CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011    810,000  795,825 
CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012    1,495,000  1,412,775 
Kabel Deutscheland GmbH 144A company guaranty 10 5/8s,       
2014 (Germany)    1,420,000  1,569,100 
Quebecor Media, Inc. sr. disc. notes stepped-coupon zero % (13       
3/4s, 7/15/06), 2011 (Canada) (STP)    380,000  387,600 
Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada)    1,630,000  1,782,813 
Videotron Ltee company guaranty 6 7/8s, 2014 (Canada)    265,000  271,956 
 
      16,626,319 
 
Capital Goods (7.2%)       
AEP Industries, Inc. sr. unsub. 7 7/8s, 2013    610,000  605,425 
Allied Waste North America, Inc. company guaranty Ser. B, 8       
1/2s, 2008    2,240,000  2,335,200 
Amsted Industries, Inc. 144A sr. notes 10 1/4s, 2011    1,490,000  1,624,100 
Argo-Tech Corp. sr. notes 9 1/4s, 2011    1,160,000  1,229,600 
BE Aerospace, Inc. sr. notes 8 1/2s, 2010    415,000  452,350 
BE Aerospace, Inc. sr. sub. notes Ser. B, 8 7/8s, 2011    170,000  178,500 
Blount, Inc. sr. sub. notes 8 7/8s, 2012    1,585,000  1,688,025 
Browning-Ferris Industries, Inc. debs. 7.4s, 2035    770,000  673,750 
Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008    950,000  942,875 
Crown Euro Holdings SA company guaranty 6 1/4s, 2011       
(France)  EUR  250,000  321,416 
Crown Euro Holdings SA sec. notes 9 1/2s, 2011 (France)    $1,865,000  2,042,175 
Crown Euro Holdings SA sec. sr. notes 10 7/8s, 2013 (France)    1,710,000  1,983,600 
Decrane Aircraft Holdings Co. company guaranty zero %, 2008       
(acquired 7/23/04, cost $1,400,750) (RES)    4,270,000  2,049,600 
Earle M. Jorgensen Co. sec. notes 9 3/4s, 2012    1,795,000  1,929,625 
Goodman Global Holding Co., Inc. 144A sr. notes 6.41s, 2012    285,000  278,588 
Goodman Global Holding Co., Inc. 144A sr. sub. notes 7 7/8s,       
2012    1,075,000  972,875 
Hexcel Corp. sr. sub. notes 6 3/4s, 2015    395,000  391,050 
Invensys, PLC notes 9 7/8s, 2011 (United Kingdom)    1,205,000  1,197,469 
L-3 Communications Corp. company guaranty 7 5/8s, 2012    640,000  672,000 
L-3 Communications Corp. company guaranty 6 1/8s, 2013    1,500,000  1,492,500 
L-3 Communications Corp. 144A sr. sub. notes 6 3/8s, 2015    1,510,000  1,521,325 
Legrand SA debs. 8 1/2s, 2025 (France)    2,580,000  3,096,000 
Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012    357,000  398,948 
Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011  EUR  315,000  418,085 
Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013    $415,000  429,525 
Milacron Escrow Corp. sec. notes 11 1/2s, 2011    730,000  715,400 
Mueller Group, Inc. sr. sub. notes 10s, 2012    510,000  540,600 
Mueller Holdings, Inc. disc. notes stepped-coupon zero % (14       
3/4s, 4/15/09), 2014 (STP)    1,025,000  748,250 
Owens-Brockway Glass company guaranty 8 7/8s, 2009    75,000  78,938 
Owens-Brockway Glass company guaranty 8 1/4s, 2013    1,035,000  1,076,400 
Owens-Brockway Glass company guaranty 7 3/4s, 2011    525,000  546,000 
Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012    1,125,000  1,215,000 
Owens-Illinois, Inc. debs. 7.8s, 2018    925,000  929,625 
Polypore, Inc. notes 8 3/4s, 2012  EUR  335,000  371,535 
Polypore, Inc. sr. sub. notes 8 3/4s, 2012    $595,000  523,600 
Ray Acquisition sr. notes 9 3/8s, 2015 (France)  EUR  835,000  1,053,902 
Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008    $795,000  830,775 
Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom)    845,000  741,488 
Solo Cup Co. sr. sub. notes 8 1/2s, 2014    1,455,000  1,287,675 
TD Funding Corp. company guaranty 8 3/8s, 2011    900,000  942,750 
Tekni-Plex, Inc. 144A sec. notes 10 7/8s, 2012    510,000  545,700 
Terex Corp. company guaranty 9 1/4s, 2011    360,000  387,000 
Terex Corp. company guaranty 7 3/8s, 2014    162,000  163,620 
Terex Corp. company guaranty Ser. B, 10 3/8s, 2011    1,285,000  1,371,738 
 
      42,994,602 
 
Commercial and Consumer Services (0.6%)       
Ashtead Holdings PLC 144A sr. notes 8 5/8s, 2015 (United       
Kingdom)    525,000  551,906 
Coinmach Corp. sr. notes 9s, 2010    1,690,000  1,723,800 
Muzak LLC/Muzak Finance Corp sr. notes 10s, 2009    1,335,000  1,114,725 
 
      3,390,431 
 
Communication Services (8.5%)       
Alamosa Delaware, Inc. company guaranty 12s, 2009    511,000  565,933 
Alamosa Delaware, Inc. company guaranty 11s, 2010    687,000  774,593 
Alamosa Delaware, Inc. sr. notes 8 1/2s, 2012    685,000  731,238 
American Cellular Corp. company guaranty 9 1/2s, 2009    385,000  419,650 
American Cellular Corp. sr. notes Ser. B, 10s, 2011    865,000  942,850 
American Tower Corp. sr. notes 7 1/2s, 2012    735,000  779,100 
American Towers, Inc. company guaranty 7 1/4s, 2011    2,430,000  2,581,875 

Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In     
default)  1,039,038  33,769 
AT&T Corp. sr. notes 9 3/4s, 2031  3,575,000  4,526,844 
Centennial Cellular Operating Co., LLC company guaranty 10     
1/8s, 2013  715,000  804,375 
Cincinnati Bell Telephone Co. company guaranty 6.3s, 2028  290,000  268,975 
Cincinnati Bell, Inc. company guaranty 7s, 2015  520,000  501,800 
Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014  845,000  832,325 
Cincinnati Bell, Inc. sr. sub. notes 7 1/4s, 2023  785,000  741,825 
Citizens Communications Co. notes 9 1/4s, 2011  1,840,000  2,019,400 
Citizens Communications Co. sr. notes 6 1/4s, 2013  1,595,000  1,531,200 
Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)  815,000  843,525 
Dobson Cellular Systems sec. notes 9 7/8s, 2012  575,000  629,625 
 
Dobson Communications Corp. 144A sr. notes FRN 8.1s, 2012  530,000  522,713 
Eircom Funding company guaranty Ser. US$, 8 1/4s, 2013     
(Ireland)  505,000  547,925 
Globix Corp. company guaranty 11s, 2008 (PIK)  249,138  234,813 
Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United     
Kingdom)  1,168,000  1,203,040 
Inmarsat Finance PLC company guaranty stepped-coupon zero     
% (10 3/8s, 10/15/08), 2012 (United Kingdom) (STP)  1,765,000  1,447,300 
Intelsat Bermuda, Ltd. 144A sr. notes 8 5/8s, 2015 (Bermuda)  1,565,000  1,596,300 
Intelsat Bermuda, Ltd. 144A sr. notes 8 1/4s, 2013 (Bermuda)  745,000  749,656 
iPCS, Inc. sr. notes 11 1/2s, 2012  580,000  669,900 
IWO Holdings, Inc. sec. FRN 7.349s, 2012  195,000  202,800 
Level 3 Financing, Inc. company guaranty 10 3/4s, 2011  1,210,000  1,011,863 
Madison River Capital Corp. sr. notes 13 1/4s, 2010  659,000  701,835 
Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s, 2013  440,000  467,039 
Nextel Communications, Inc. sr. notes Ser. F, 5.95s, 2014  4,095,000  4,191,916 
Nextel Partners, Inc. sr. notes 12 1/2s, 2009  72,000  77,400 
Nextel Partners, Inc. sr. notes 8 1/8s, 2011  2,340,000  2,527,200 
Qwest Communications International, Inc. company guaranty 8s,     
2014  1,785,000  1,695,750 
Qwest Corp. notes 8 7/8s, 2012  3,515,000  3,840,138 
Qwest Corp. 144A sr. notes 7 5/8s, 2015  1,075,000  1,097,844 
Qwest Services Corp. sec. notes 14s, 2014  720,000  873,000 
Qwest Services Corp. sec. notes 13 1/2s, 2010  1,085,000  1,242,325 
Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada)  745,000  899,588 
Rogers Wireless Communications, Inc. sec. notes 7 1/2s, 2015     
(Canada)  630,000  665,438 
Rogers Wireless Communications, Inc. sr. sub. notes 8s, 2012     
(Canada)  790,000  834,438 
Rural Cellular Corp. sr. notes 9 7/8s, 2010  405,000  425,250 
Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010  590,000  595,900 
SBA Communications Corp. sr. notes 8 1/2s, 2012  550,000  598,125 
SBA Telecommunications, Inc./SBA Communications Corp. sr.     
disc. notes stepped-coupon zero % (9 3/4s, 12/15/07), 2011     
(STP)  1,092,000  990,990 
Syniverse Technologies, Inc. 144A sr. sub. notes 7 3/4s, 2013  565,000  569,238 
U S West, Inc. debs. 7 1/4s, 2025  555,000  517,538 
Valor Telecommunications Enterprises LLC/Finance Corp.     
company guaranty 7 3/4s, 2015  570,000  552,900 
    51,079,064 
 
Consumer (0.8%)     
Jostens IH Corp. company guaranty 7 5/8s, 2012  2,560,000  2,585,600 
Samsonite Corp. sr. sub. notes 8 7/8s, 2011  2,180,000  2,316,250 
    4,901,850 
 
Consumer Goods (1.7%)     
Church & Dwight Co., Inc. company guaranty 6s, 2012  1,035,000  1,009,125 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014  665,000  676,638 
Playtex Products, Inc. company guaranty 9 3/8s, 2011  1,805,000  1,883,969 
Playtex Products, Inc. sec. notes 8s, 2011  1,520,000  1,592,200 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012  1,408,000  1,443,200 
Remington Arms Co., Inc. company guaranty 10 1/2s, 2011  1,395,000  1,325,250 
Scotts Co. (The) sr. sub. notes 6 5/8s, 2013  480,000  494,400 
Spectrum Brands, Inc. company guaranty 7 3/8s, 2015  1,875,000  1,687,500 
    10,112,282 
 
Consumer Services (0.3%)     
Brand Services, Inc. company guaranty 12s, 2012  1,165,000  1,227,619 
United Rentals (North America), Inc. company guaranty 6 1/2s,     
2012  575,000  554,875 
United Rentals NA, Inc. sr. sub. notes 7 3/4s, 2013  162,000  156,330 
    1,938,824 
 
Energy (8.4%)     
Arch Western Finance, LLC sr. notes 6 3/4s, 2013  2,750,000  2,805,000 

Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012     
(Cayman Islands)  1,205,000  1,307,425 
CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada)  1,090,000  1,117,250 
 
CHC Helicopter Corp. 144A sr. sub. notes 7 3/8s, 2014 (Canada)  830,000  850,750 
Chesapeake Energy Corp. company guaranty 7 3/4s, 2015  514,000  547,410 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2014  500,000  533,750 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  1,395,000  1,485,675 
Chesapeake Energy Corp. sr. notes 7s, 2014  625,000  656,250 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  1,000,000  1,007,500 
Dresser, Inc. company guaranty 9 3/8s, 2011  1,260,000  1,335,600 
Dresser-Rand Group, Inc. 144A sr. sub. notes 7 3/8s, 2014  612,000  634,950 
Encore Acquisition Co. sr. sub. notes 6 1/4s, 2014  495,000  492,525 
Encore Acquisition Co. 144A sr. sub. notes 6s, 2015  1,643,000  1,601,925 
Exco Resources, Inc. company guaranty 7 1/4s, 2011  1,870,000  1,935,450 
Forest Oil Corp. company guaranty 7 3/4s, 2014  650,000  690,625 
Forest Oil Corp. sr. notes 8s, 2011  1,215,000  1,342,575 
Forest Oil Corp. sr. notes 8s, 2008  295,000  313,438 
 
Grant Prideco Escrow, Inc. 144A sr. unsecd. notes 6 1/8s, 2015  515,000  520,150 
Hanover Compressor Co. sr. notes 9s, 2014  730,000  811,213 
Hanover Compressor Co. sr. notes 8 5/8s, 2010  495,000  533,363 
Hanover Compressor Co. sub. notes zero %, 2007  1,080,000  972,000 
Hanover Equipment Trust sec. notes Ser. B, 8 3/4s, 2011  350,000  371,875 
Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada)  1,350,000  1,333,125 
 
Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014  555,000  550,838 
Inergy LP/Inergy Finance Corp. 144A sr. notes 6 7/8s, 2014  1,495,000  1,427,725 
KCS Energy, Inc. sr. notes 7 1/8s, 2012  715,000  732,875 
Key Energy Services, Inc. sr. notes 6 3/8s, 2013  1,200,000  1,194,000 
Massey Energy Co. sr. notes 6 5/8s, 2010  1,810,000  1,846,200 
Newfield Exploration Co. sr. notes 7 5/8s, 2011  1,380,000  1,507,650 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014  1,620,000  1,684,800 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  1,235,000  1,216,475 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011  985,814  1,029,619 
Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7     
1/8s, 2014  755,000  783,313 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  1,490,000  1,478,825 
Petroleum Geo-Services notes 10s, 2010 (Norway)  1,130,000  1,265,600 
Pemex Project Funding Master Trust company guaranty 8 5/8s,     
2022  320,000  391,200 
Plains Exploration & Production Co. sr. notes 7 1/8s, 2014  1,535,000  1,615,588 
 
Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012  1,605,000  1,733,400 
Pogo Producing Co. 144A sr. sub. notes 6 7/8s, 2017  1,260,000  1,277,325 
Pride International, Inc. sr. notes 7 3/8s, 2014  1,865,000  2,025,856 
Seabulk International, Inc. company guaranty 9 1/2s, 2013  1,140,000  1,282,500 
Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s,     
2013  1,425,000  1,161,375 
Stone Energy Corp. sr. sub. notes 6 3/4s, 2014  790,000  776,175 
Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012  660,000  706,200 
Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011  285,000  297,113 
Whiting Petroleum Corp. 144A sr. sub. notes 7s, 2014  1,005,000  1,017,563 
    50,202,039 
 
Entertainment (1.3%)     
AMC Entertainment, Inc. sr. sub. notes 9 7/8s, 2012  550,000  529,375 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014  1,566,000  1,378,080 
Cinemark USA, Inc. sr. sub. notes 9s, 2013  1,205,000  1,244,163 
Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s,     
3/15/07), 2014 (STP)  2,915,000  2,040,500 
Marquee Holdings, Inc. sr. disc. notes stepped-coupon zero %,     
2014 (STP)  525,000  315,000 
Six Flags, Inc. sr. notes 8 7/8s, 2010  895,000  886,050 
Universal City Florida Holding Co. sr. notes 8 3/8s, 2010  550,000  570,625 
Universal City Florida Holding Co. sr. notes FRN 8.443s, 2010  780,000  809,250 
    7,773,043 
 
Financial (1.1%)     
Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)  575,000  590,813 
E*Trade Finance Corp. sr. notes 8s, 2011  1,875,000  1,935,938 
Finova Group, Inc. notes 7 1/2s, 2009  1,903,560  742,388 
UBS AG/Jersey Branch sr. notes Ser. EMTN, 9.14s, 2008     
(Jersey)  935,000  972,400 
VTB Capital SA bonds 6 1/4s, 2035 (Luxembourg)  630,000  655,988 
Western Financial Bank sub. debs. 9 5/8s, 2012  1,320,000  1,518,000 
    6,415,527 
 
Food (1.0%)     
Archibald Candy Corp. company guaranty 10s, 2007 (In default)     
(F) (PIK)  198,474  42,275 
Dean Foods Co. sr. notes 6 5/8s, 2009  1,410,000  1,452,300 

Del Monte Corp. sr. sub. notes 8 5/8s, 2012    1,030,000  1,107,250 
Del Monte Corp. 144A sr. sub. notes 6 3/4s, 2015    775,000  778,875 
Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013    2,015,000  1,904,175 
United Biscuits Finance company guaranty 10 5/8s, 2011 (United       
Kingdom)  EUR  490,000  634,997 
      5,919,872 
 
Gaming & Lottery (3.3%)       
Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009    $665,000  710,719 
Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012    1,020,000  1,099,050 
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012    300,000  315,375 
Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014    595,000  597,231 
Harrah's Operating Co., Inc. company guaranty 8s, 2011    515,000  575,824 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010    1,065,000  1,158,188 
MGM Mirage, Inc. company guaranty 6s, 2009    1,735,000  1,713,313 
Mirage Resorts, Inc. debs. 7 1/4s, 2017    410,000  420,250 
Park Place Entertainment Corp. sr. notes 7 1/2s, 2009    1,805,000  1,949,400 
Park Place Entertainment Corp. sr. notes 7s, 2013    920,000  997,803 
Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008    770,000  842,188 
Penn National Gaming, Inc. sr. sub. notes 8 7/8s, 2010    1,825,000  1,925,375 
Penn National Gaming, Inc. sr. sub. notes 6 3/4s, 2015    490,000  480,200 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012    1,765,000  1,765,000 
Resorts International Hotel and Casino, Inc. company guaranty       
11 1/2s, 2009    1,125,000  1,260,000 
Scientific Games Corp. company guaranty 6 1/4s, 2012    1,390,000  1,383,050 
Station Casinos, Inc. sr. notes 6s, 2012    480,000  479,400 
Station Casinos, Inc. sr. sub. notes 6 7/8s, 2016    995,000  1,008,681 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st mtge.       
6 5/8s, 2014    1,340,000  1,281,375 
      19,962,422 
 
Health Care (6.3%)       
Alderwoods Group, Inc. company guaranty 7 3/4s, 2012    1,055,000  1,107,750 
Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012    1,285,000  1,288,213 
Coventry Health Care, Inc. sr. notes 5 7/8s, 2012    775,000  786,625 
DaVita, Inc. company guaranty 7 1/4s, 2015    830,000  841,413 
DaVita, Inc. company guaranty 6 5/8s, 2013    415,000  420,188 
Elan Finance PLC/Elan Finance Corp. 144A sr. notes 7 3/4s,       
2011 (Ireland)    715,000  629,200 
 
Extendicare Health Services, Inc. company guaranty 9 1/2s, 2010    645,000  686,925 
Extendicare Health Services, Inc. sr. sub. notes 6 7/8s, 2014    600,000  591,000 
HCA, Inc. debs. 7.19s, 2015    1,465,000  1,513,924 
HCA, Inc. notes 8.36s, 2024    670,000  718,830 
HCA, Inc. notes 7s, 2007    175,000  178,854 
HCA, Inc. notes 6 3/8s, 2015    520,000  514,463 
HCA, Inc. notes 5 3/4s, 2014    555,000  529,010 
HCA, Inc. sr. notes 7 7/8s, 2011    225,000  241,162 
Healthsouth Corp. notes 7 5/8s, 2012    2,505,000  2,335,913 
MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012    630,000  666,225 
MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12       
1/4s, 8/15/08), 2012 (STP)    1,810,000  1,149,350 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013    1,305,000  1,285,425 
 
PacifiCare Health Systems, Inc. company guaranty 10 3/4s, 2009    1,438,000  1,556,635 
Psychiatric Solutions, Inc. 144A sr. sub. notes 7 3/4s, 2015    1,265,000  1,306,113 
Service Corp. International debs. 7 7/8s, 2013    688,000  729,280 
Service Corp. International notes 6 1/2s, 2008    210,000  213,150 
Service Corp. International notes 6s, 2005    149,000  149,000 
Service Corp. International notes Ser. *, 7.7s, 2009    480,000  504,000 
Service Corp. International 144A sr. notes 7s, 2017    450,000  454,500 
Service Corp. International 144A sr. notes 6 3/4s, 2016    1,495,000  1,502,475 
Stewart Enterprises, Inc. 144A sr. notes 6 1/4s, 2013    1,830,000  1,738,500 
Tenet Healthcare Corp. notes 7 3/8s, 2013    725,000  686,938 
Tenet Healthcare Corp. sr. notes 9 7/8s, 2014    2,590,000  2,706,550 
Tenet Healthcare Corp. sr. notes 6 1/2s, 2012    845,000  787,963 
Triad Hospitals, Inc. sr. notes 7s, 2012    1,405,000  1,443,638 
Triad Hospitals, Inc. sr. sub. notes 7s, 2013    2,495,000  2,526,188 
Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011       
(Canada)    1,585,000  1,624,625 
US Oncology, Inc. company guaranty 9s, 2012    1,115,000  1,204,200 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014    1,320,000  1,405,800 
 
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R)    545,000  618,575 
Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R)    395,000  396,975 
 
Ventas Realty LP/Capital Corp. 144A sr. notes 6 3/4s, 2010 (R)    520,000  527,800 
      37,567,375 
 
Homebuilding (2.5%)       
Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011    740,000  778,850 
D.R. Horton, Inc. company guaranty 8s, 2009    230,000  246,646 

D.R. Horton, Inc. sr. notes 7 7/8s, 2011  350,000  383,250 
D.R. Horton, Inc. sr. notes 6 7/8s, 2013  525,000  553,875 
D.R. Horton, Inc. sr. notes 5 7/8s, 2013  1,520,000  1,485,181 
 
K. Hovnanian Enterprises, Inc. company guaranty 8 7/8s, 2012  1,120,000  1,181,600 
 
K. Hovnanian Enterprises, Inc. company guaranty 6 3/8s, 2014  750,000  713,251 
K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014  545,000  524,455 
KB Home company guaranty 5 7/8s, 2015  810,000  766,526 
KB Home sr. notes 5 3/4s, 2014  795,000  753,241 
Meritage Homes Corp. company guaranty 6 1/4s, 2015  570,000  521,550 
Meritage Homes Corp. sr. notes 7s, 2014  375,000  360,938 
Schuler Homes, Inc. company guaranty 10 1/2s, 2011  725,000  783,000 
Standard Pacific Corp. sr. notes 7 3/4s, 2013  1,605,000  1,617,038 
Standard Pacific Corp. sr. notes 7s, 2015  625,000  596,875 
Standard Pacific Corp. sr. notes 6 7/8s, 2011  100,000  97,750 
Technical Olympic USA, Inc. company guaranty 10 3/8s, 2012  875,000  920,938 
Technical Olympic USA, Inc. company guaranty 9s, 2010  195,000  201,825 
Technical Olympic USA, Inc. sr. sub. notes 7 1/2s, 2015  785,000  710,425 
WCI Communities, Inc. company guaranty 10 5/8s, 2011  475,000  507,063 
WCI Communities, Inc. company guaranty 9 1/8s, 2012  1,335,000  1,381,725 
    15,086,002 
 
Household Furniture and Appliances (0.4%)     
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014  2,130,000  2,140,650 
 
Lodging/Tourism (1.8%)     
FelCor Lodging LP company guaranty 9s, 2008 (R)  505,000  549,188 
 
HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 (R)  323,000  327,038 
Host Marriott LP company guaranty Ser. G, 9 1/4s, 2007 (R)  510,000  543,150 
Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)  1,640,000  1,662,550 
MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R)  1,190,000  1,261,400 
MeriStar Hospitality Corp. company guaranty 9s, 2008 (R)  735,000  765,319 
Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7     
7/8s, 2012  560,000  610,400 
Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7     
3/8s, 2007  705,000  727,031 
Starwood Hotels & Resorts Worldwide, Inc. debs. 7 3/8s, 2015  1,010,000  1,095,850 
Starwood Hotels & Resorts Worldwide, Inc. notes 6 3/4s, 2005  1,195,000  1,196,494 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015  2,420,000  2,335,300 
    11,073,720 
 
Media (0.5%)     
Affinity Group, Inc. sr. sub. notes 9s, 2012  1,370,000  1,370,000 
Interpublic Group of Companies, Inc. notes 6 1/4s, 2014  690,000  621,000 
Warner Music Group sr. sub. notes 7 3/8s, 2014  1,000,000  1,002,500 
    2,993,500 
 
Other (1.0%)     
Lehman Brothers HY 144A sec. FRN Ser. 2005*1, 7.651s, 2015     
(TRAINS (Targeted Return Index)  5,685,366  5,791,966 
 
Publishing (4.0%)     
 
American Media, Inc. company guaranty Ser. B, 10 1/4s, 2009  1,475,000  1,438,125 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)  4,120,304  4,372,673 
Cenveo Corp, sr. sub. notes 7 7/8s, 2013  790,000  762,350 
Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8     
1/2s, 2010  1,865,000  1,972,238 
Dex Media, Inc. disc. notes stepped-coupon zero % (9s,     
11/15/08), 2013 (STP)  965,000  759,938 
Dex Media, Inc. notes 8s, 2013  1,660,000  1,705,650 
Houghton Mifflin Co. sr. sub. notes 9 7/8s, 2013  1,645,000  1,743,700 
Mail-Well I Corp. company guaranty 9 5/8s, 2012  610,000  649,650 
PRIMEDIA, Inc. company guaranty 8 7/8s, 2011  1,495,000  1,566,013 
PRIMEDIA, Inc. sr. notes 8s, 2013  1,475,000  1,486,063 
R.H. Donnelley Corp. sr. notes 6 7/8s, 2013  790,000  748,525 
R.H. Donnelley Finance Corp. I 144A company guaranty 8 7/8s,     
2010  1,745,000  1,871,513 
R.H. Donnelley Finance Corp. I 144A sr. sub. notes 10 7/8s,     
2012  870,000  976,575 
R.H. Donnelley, Inc. company guaranty 8 7/8s, 2010  240,000  257,400 
Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011  815,000  827,225 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009  2,005,000  1,974,925 
Vertis, Inc. 144A sub. notes 13 1/2s, 2009  1,400,000  1,190,000 
    24,302,563 
 
Restaurants (0.4%)     
Domino's, Inc. sr. sub. notes 8 1/4s, 2011  1,006,000  1,056,300 

Sbarro, Inc. company guaranty 11s, 2009  1,631,000  1,622,845 
    2,679,145 
 
Retail (3.0%)     
Asbury Automotive Group, Inc. sr. sub. notes 8s, 2014  885,000  840,750 
Autonation, Inc. company guaranty 9s, 2008  1,710,000  1,846,800 
Bear Creek Corp. 144A sr. notes 9s, 2013  575,000  595,125 
GSC Holdings Corp. 144A company guaranty 8s, 2012  1,260,000  1,253,700 
JC Penney Co., Inc. debs. 7.95s, 2017  1,980,000  2,296,800 
JC Penney Co., Inc. debs. 7 1/8s, 2023  1,055,000  1,160,500 
JC Penney Co., Inc. notes 9s, 2012  200,000  234,500 
JC Penney Co., Inc. notes 8s, 2010  50,000  54,625 
Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada)  790,000  803,825 
Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada)  950,000  945,250 
Movie Gallery, Inc. sr. unsecd. notes 11s, 2012  1,245,000  1,101,825 
Neiman-Marcus Group, Inc. 144A sr. notes 9s, 2015  2,185,000  2,190,463 
Rite Aid Corp. company guaranty 9 1/2s, 2011  1,025,000  1,086,500 
Rite Aid Corp. company guaranty 7 1/2s, 2015  785,000  749,675 
Rite Aid Corp. debs. 6 7/8s, 2013  70,000  59,325 
Rite Aid Corp. sr. notes 9 1/4s, 2013  810,000  773,550 
Toys R Us, Inc. notes 7 5/8s, 2011  840,000  764,400 
United Auto Group, Inc. company guaranty 9 5/8s, 2012  1,170,000  1,216,800 
    17,974,413 
 
Technology (3.8%)     
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012  1,995,000  2,044,875 
Amkor Technologies, Inc. sr. notes 7 3/4s, 2013  842,000  719,910 
Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada)  555,000  566,100 
Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada)  1,265,000  1,261,838 
Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014  1,570,000  1,672,050 
Iron Mountain, Inc. company guaranty 8 5/8s, 2013  620,000  651,000 
Iron Mountain, Inc. company guaranty 6 5/8s, 2016  1,815,000  1,706,100 
Lucent Technologies, Inc. debs. 6 1/2s, 2028  130,000  112,450 
Lucent Technologies, Inc. debs. 6.45s, 2029  1,330,000  1,163,750 
New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011     
(Cayman Islands)  690,000  479,550 
SCG Holding Corp. 144A notes zero %, 2011  660,000  1,108,800 
Seagate Technology Hdd Holdings company guaranty 8s, 2009     
(Cayman Islands)  580,000  618,425 
 
SunGard Data Systems, Inc. 144A sr. sub. notes 10 1/4s, 2015  1,256,000  1,271,700 
 
SunGard Data Systems, Inc. 144A sr. unsecd. notes 9 1/8s, 2013  1,456,000  1,508,780 
UGS Corp. company guaranty 10s, 2012  1,325,000  1,450,875 
Unisys Corp. sr. notes 8s, 2012  625,000  614,063 
Xerox Capital Trust I company guaranty 8s, 2027  895,000  928,563 
Xerox Corp. notes Ser. MTN, 7.2s, 2016  910,000  991,900 
Xerox Corp. sr. notes 7 5/8s, 2013  1,710,000  1,816,875 
Xerox Corp. sr. notes 6 7/8s, 2011  1,870,000  1,954,150 
 
    22,641,754 
 
Textiles (1.0%)     
Levi Strauss & Co. sr. notes 12 1/4s, 2012  1,705,000  1,884,025 
Levi Strauss & Co. sr. notes 9 3/4s, 2015  1,805,000  1,841,100 
Oxford Industries, Inc. sr. notes 8 7/8s, 2011  860,000  894,400 
Russell Corp. company guaranty 9 1/4s, 2010  1,110,000  1,129,425 
    5,748,950 
 
Tire & Rubber (0.7%)     
Cooper-Standard Automotive, Inc. company guaranty 8 3/8s,     
2014  470,000  394,800 
 
Cooper-Standard Automotive, Inc. company guaranty 7s, 2012  155,000  141,825 
Goodyear Tire & Rubber Co. (The) notes 8 1/2s, 2007  370,000  381,100 
Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011  1,820,000  1,760,850 
Goodyear Tire & Rubber Co. (The) notes 6 3/8s, 2008  405,000  400,950 
Goodyear Tire & Rubber Co. (The) 144A sr. notes 9s, 2015  1,265,000  1,246,025 
    4,325,550 
 
Transportation (0.9%)     
American Airlines, Inc. pass-through certificates Ser. 01-1,     
6.817s, 2011  225,000  206,438 
 
Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008  1,785,000  1,374,450 
Kansas City Southern Railway Co. company guaranty 9 1/2s,     
2008  2,130,000  2,332,350 
Kansas City Southern Railway Co. company guaranty 7 1/2s,     
2009  340,000  356,150 
Navistar International Corp. company guaranty 6 1/4s, 2012  815,000  774,250 

Navistar International Corp. company guaranty Ser. B, 9 3/8s,     
2006  255,000  260,738 
    5,304,376 
 
Utilities & Power (8.1%)     
AES Corp. (The) sr. notes 8 7/8s, 2011  162,000  175,770 
AES Corp. (The) sr. notes 8 3/4s, 2008  32,000  33,840 
AES Corp. (The) 144A sec. notes 9s, 2015  1,455,000  1,600,500 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013  1,490,000  1,631,550 
Allegheny Energy Supply 144A bonds 8 1/4s, 2012  995,000  1,119,375 
ANR Pipeline Co. debs. 9 5/8s, 2021  590,000  726,904 
CMS Energy Corp. sr. notes 8.9s, 2008  1,500,000  1,621,875 
CMS Energy Corp. sr. notes 8 1/2s, 2011  430,000  478,375 
CMS Energy Corp. sr. notes 7 3/4s, 2010  345,000  370,875 
Colorado Interstate Gas Co. 144A sr. notes 5.95s, 2015  1,350,000  1,309,415 
DPL, Inc. sr. notes 6 7/8s, 2011  1,371,000  1,477,253 
Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013  2,215,000  2,469,725 
Dynegy-Roseton Danskamme company guaranty Ser. A, 7.27s,     
2010  810,000  803,925 
Dynegy-Roseton Danskamme company guaranty Ser. B, 7.67s,     
2016  1,130,000  1,120,113 
Edison Mission Energy sr. notes 10s, 2008  500,000  553,750 
Edison Mission Energy sr. notes 9 7/8s, 2011  25,000  29,625 
El Paso CGP Co. notes 7 3/4s, 2010  415,000  423,300 
El Paso Corp. sr. notes 8.05s, 2030  1,280,000  1,299,200 
El Paso Corp. sr. notes 7 3/8s, 2012  735,000  738,675 
El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031  890,000  892,225 
El Paso Natural Gas Co. debs. 8 5/8s, 2022  360,000  411,701 
 
El Paso Production Holding Co. company guaranty 7 3/4s, 2013  2,580,000  2,696,100 
Ferrellgas Partners LP/Ferrellgas Partners Finance sr. notes 6     
3/4s, 2014  1,240,000  1,184,200 
Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034  2,440,000  2,717,540 
Mission Energy Holding Co. sec. notes 13 1/2s, 2008  1,485,000  1,748,578 
Monongahela Power Co. 1st mtge. 6.7s, 2014  740,000  815,850 
National Power Corp. 144A foreign government guaranty FRN     
8.073s, 2011 (Philippines)  580,000  588,700 
Nevada Power Co. 2nd mtge. 9s, 2013  594,000  659,712 
Northwestern Corp. sec. notes 5 7/8s, 2014  740,000  747,575 
NRG Energy, Inc. company guaranty 8s, 2013  2,720,195  2,897,000 
Orion Power Holdings, Inc. sr. notes 12s, 2010  1,240,000  1,494,200 
PSEG Energy Holdings, Inc. notes 7 3/4s, 2007  1,115,000  1,140,088 
SEMCO Energy, Inc. sr. notes 7 3/4s, 2013  995,000  1,042,641 
Sierra Pacific Power Co. general ref. mtge. 6 1/4s, 2012  290,000  295,075 
Sierra Pacific Resources sr. notes 8 5/8s, 2014  1,790,000  1,973,028 
Teco Energy, Inc. notes 7.2s, 2011  335,000  355,100 
Teco Energy, Inc. notes 7s, 2012  525,000  553,875 
Teco Energy, Inc. 144A sr. notes 6 3/4s, 2015  85,000  89,038 
Tennessee Gas Pipeline Co. debs. 7s, 2028  140,000  138,905 
Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017  500,000  538,851 
Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes     
6 7/8s, 2014  1,415,000  1,439,753 
Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026  1,250,000  1,360,928 
Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011     
(Canada)  1,550,000  1,631,375 
Utilicorp United, Inc. sr. notes 9.95s, 2011  755,000  847,488 
Williams Cos, Inc. 144A notes 6 3/8s, 2010  435,000  439,350 
Williams Cos., Inc. (The) notes 8 3/4s, 2032  270,000  318,600 
Williams Cos., Inc. (The) notes 7 3/4s, 2031  695,000  752,338 
Williams Cos., Inc. (The) notes 7 5/8s, 2019  1,000,000  1,082,500 
York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In     
default) (F)  663,765  55,358 
    48,891,717 
 
Total corporate bonds and notes (cost $524,776,502)    $532,577,958 
 
SENIOR LOANS (2.5%)(a)(c)     
 
  Principal amount  Value 
 
 
Basic Materials (0.1%)     
Graphic Packaging Corp. bank term loan FRN Ser. C, 6.035s,     
2010  $136,882  $138,833 
Hercules, Inc. bank term loan FRN Ser. B, 5.306s, 2010  344,750  348,025 
Nalco Co. bank term loan FRN Ser. B, 5.813s, 2010  114,449  116,166 
 
St. Mary's Cement Corp. bank term loan FRN Ser. B, 5.49s, 2009  98,500  99,916 
    702,940 

Beverage (0.2%)

Constellation Brands, Inc. bank term loan FRN Ser. B, 5.299s,     
2011  782,778  792,856 
 
Capital Goods (0.1%)     
AGCO Corp. bank term loan FRN 5.42s, 2008  136,600  138,393 
Amsted Industries, Inc. bank term loan FRN 6.14s, 2010  180,144  182,921 
Invensys, PLC bank term loan FRN Ser. B-1, 6.881s, 2009     
(United Kingdom)  81,873  82,487 
Mueller Group, Inc. bank term loan FRN 6.372s, 2011  117,620  118,208 
Solo Cup Co. bank term loan FRN 5.679s, 2011  123,125  123,340 
Transdigm, Inc. bank term loan FRN Ser. C, 5.8s, 2010  49,127  49,782 
    695,131 
 
Communication Services (0.2%)     
Alaska Communications Systems Group, Inc. bank term loan     
FRN Ser. B, 5.49s, 2012  1,000,000  1,013,542 
Consolidated Communications Holdings bank term loan FRN Ser.     
D, 5.926s, 2011  98,750  99,738 
PanAmSat Corp. bank term loan FRN Ser. B1, 6.107s, 2010  69,473  70,360 
Qwest Communications International, Inc. bank term loan FRN     
Ser. A, 8.53s, 2007  58,500  60,328 
SBA Communications Corp. bank term loan FRN Ser. D, 6.002s,     
2008  99,000  99,619 
    1,343,587 
 
Consumer Cyclicals (0.4%)     
Federal Mogul Corp. bank term loan FRN Ser. A, 5.93s, 2006  555,000  519,203 
Federal Mogul Corp. bank term loan FRN Ser. B, 6.18s, 2006  1,285,000  1,204,045 
Hayes Lemmerz International, Inc. bank term loan FRN 7.007s,     
2009  106,350  106,160 
Landsource, Inc. bank term loan FRN Ser. B, 6 1/4s, 2010  100,000  100,625 
 
TRW Automotive, Inc. bank term loan FRN Ser. B, 5 1/4s, 2010  74,903  75,636 
    2,005,669 
 
Consumer Staples (0.5%)     
Affinity Group Holdings bank term loan FRN Ser. B1, 6.784s,     
2009  25,599  25,823 
 
Affinity Group Holdings bank term loan FRN Ser. B2, 6.67s, 2009  63,999  64,559 
AMF Bowling Worldwide bank term loan FRN Ser. B, 6.741s,     
2009  87,072  87,725 
Century Cable Holdings bank term loan FRN 8 3/4s, 2009  1,090,000  1,081,047 
Charter Communications PLC bank term loan FRN Ser. B, 6.93s,     
2011 (United Kingdom)  197,255  198,060 
Dole Food Co., Inc. bank term loan FRN Ser. B, 5.496s, 2012  22,996  23,233 
Mediacom Communications Corp. bank term loan FRN Ser. B,     
6s, 2012  992,500  1,007,542 
Olympus Cable Holdings, LLC bank term loan FRN Ser. B, 8     
3/4s, 2010  640,000  635,315 
    3,123,304 
 
Energy (-%)     
Dresser, Inc. bank term loan FRN 6.91s, 2010  150,000  152,250 
 
Entertainment (-%)     
Six Flags, Inc. bank term loan FRN Ser. B, 6.364s, 2009  44,706  45,113 
 
Financial (0.2%)     
General Growth Properties, Inc. bank term loan FRN Ser. B,     
5.67s, 2008 (R)  993,591  1,007,206 
 
Food (-%)     
 
Pinnacle Foods Holding Corp. bank term loan FRN 6.758s, 2010  166,390  168,210 
 
Health Care (0.1%)     
Beverly Enterprises, Inc. bank term loan FRN 6.241s, 2008  122,500  122,653 
Community Health Systems, Inc. bank term loan FRN Ser. B,     
5.61s, 2011  99,000  100,258 
Concentra bank term loan FRN 6.03s, 2009  180,777  181,681 
Fisher Scientific International, Inc. bank term loan FRN Ser. B,     
4.99s, 2011  98,750  99,429 
 
Hanger Orthopedic Group, Inc. bank term loan FRN 7 3/4s, 2009  98,000  99,593 
 
Kinetic Concepts, Inc. bank term loan FRN Ser. B, 5.24s, 2011  69,346  70,155 
    673,769 

Household Furniture and Appliances (-%)     
Sealy Mattress Co. bank term loan FRN Ser. D, 5.572s, 2012  73,483  74,241 
 
Media (0.1%)     
Warner Music Group bank term loan FRN Ser. B, 5.7s, 2011  393,676  397,858 
 
Publishing (-%)     
Dex Media West, LLC/Dex Media Finance Co. bank term loan     
FRN Ser. B, 5.471s, 2010  150,407  151,118 
 
Tire & Rubber (-%)     
Goodyear Tire & Rubber Co. (The) bank term loan FRN 6.32s,     
2010  250,000  252,969 
 
Utilities & Power (0.4%)     
El Paso Corp. bank term loan FRN 3.24s, 2009  500,000  505,000 
El Paso Corp. bank term loan FRN Ser. B, 6.438s, 2009  826,560  835,744 
NRG Energy, Inc. bank term loan FRN 3.49s, 2011  437,500  441,146 
NRG Energy, Inc. bank term loan FRN Ser. B, 5.255s, 2011  559,688  564,351 
Williams Cos., Inc. (The) bank term loan FRN Ser. C, 6.025s,     
2007  87,983  88,863 
 
    2,435,104 
 
Senior loans (0.2%)     
Express Scripts, Inc. bank term loan FRN Ser. B, 5.241s, 2010  1,181,008  1,186,913 
 
Total senior loans (cost $15,066,995)    $15,208,238 
 
CONVERTIBLE PREFERRED STOCKS (1.5%)(a)     
 
  Shares  Value 
 
New Genworth Finance, Inc.$5.60 cv. pfd,  46,330  $1,470,978 
Crown Castle International Corp. $3.125 cum. cv. pfd.  17,095  884,666 
Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.  5,913  261,650 
Freeport-McMoRan Copper & Gold, Inc. zero % cv. pfd.  267  294,902 
Huntsman Corp. $2.50 cv. pfd. (S)  13,800  602,025 
MetLife, Inc. Ser. B, $1.594 cv. pfd.  75,800  2,122,400 
Northrop Grumman Corp. Ser. B, $7.00 cum. cv. pfd.  10,250  1,235,125 
Paxson Communications Corp. 144A 9.75% cv. pfd. (PIK)  196  784,000 
Williams Cos., Inc. (The) 144A $2.75 cv. pfd.  13,000  1,509,625 
 
Total convertible preferred stocks (cost $8,787,040)    $9,165,371 
 
ASSET-BACKED SECURITIES (0.8%)(a)     
 
  Principal amount  Value 
 
CDO Repackaging Trust Series 144A Ser. 03-3, Class A, 9.49s,     
2008  $880,000  $924,000 
Denali Capital CLO III Ltd. FRN Ser. B-2L, 11.63s, 2015     
(Cayman Islands)  370,000  385,725 
Goldentree Loan Opportunities II, Ltd. 144A FRN Ser. 2A, Class     
5A, 12.479s, 2015 (Cayman Islands)  880,000  906,400 
Octagon Investment Parties VI, Ltd. FRN Ser. 03-6A, Class B2L,     
11.82s, 2016 (Cayman Islands)  345,000  362,897 
Providian Gateway Master Trust Ser. 02, Class B, PO, zero %,     
2006  1,375,000  1,355,225 
Verdi Synthetic CLO 144A Ser. 1A, Class E2, 11.15s, 2010  625,000  626,123 
 
Total asset-backed securities (cost $4,212,864)    $4,560,370 
 
COMMON STOCKS (0.7%)(a)     
 
  Shares  Value 
 
AMRESCO Creditor Trust (acquired 5/18/00, cost $217,950)     
(F)(RES) (R) (NON)  1,922,000  $1,922 
Birch Telecom, Inc. (F) (NON)  3,240  3 
Comdisco Holding Co., Inc.  896  15,456 
Compass Minerals International, Inc. (S)  1,101  25,323 
Contifinancial Corp. Liquidating Trust Units  5,126,274  51,263 
Covad Communications Group, Inc. (NON) (S)  29,846  31,637 
Crown Castle International Corp. (NON)  2,626  64,678 
Decrane Aircraft Holdings, Inc. (F) (NON)  11,167  11 
Dobson Communications Corp. (NON)  3,545  27,226 
Genesis HealthCare Corp. (NON)  3,109  125,355 
iPCS, Inc. (NON)  28,193  1,172,829 
Knology, Inc. (NON)  431  1,134 
Knology, Inc. (Rights) (F) (NON)  431  62 
Northwestern Corp. (S)  10,753  324,633 

Regal Entertainment Group 144A (F)      44,910  899,996 
Sterling Chemicals, Inc. (NON)      691  16,584 
Sun Healthcare Group, Inc. (NON)      3,215  23,662 
USA Mobility, Inc. (NON)      410  11,062 
VFB LLC (acquired various dates from 1/21/00 to 12/08/03, cost         
$1,601,579) (RES) (NON)      2,812,235  576,508 
VS Holdings, Inc. (NON)      84,875  85 
Washington Group International, Inc. (NON) (S)      9,947  536,044 
WHX Corp. (NON)      36,673  403,403 
 
Total common stocks (cost $15,839,539)        $4,308,876 
 
PREFERRED STOCKS (0.7%)(a)         
 
      Shares  Value 
 
Decrane Aircraft Holdings, Inc. $16.00 pfd. (PIK)      8,000  $56,000 
Doane Pet Care Co. $7.125 pfd.      14,720  1,383,680 
Dobson Communications Corp. 13.00% pfd.      9  12,600 
First Republic Capital Corp. 144A 10.50% pfd.      1,010  1,111,000 
Paxson Communications Corp. 14.25% cum. pfd. (PIK)      132  897,600 
Rural Cellular Corp. Ser. B, 11.375% cum. pfd.      453  563,985 
 
Total preferred stocks (cost $2,965,131)        $4,024,865 
 
CONVERTIBLE BONDS AND NOTES (0.6%)(a)         
 
      Principal amount  Value 
 
Cybernet Internet Services International, Inc. 144A cv. sr. disc.         
notes 13s, 2009 (Canada) (In default)      $5,150,000  $52 
Fairchild Semiconductor International, Inc. cv. company guaranty         
5s, 2008      680,000  669,800 
L-3 Communications Corp. 144A cv. bonds 3s, 2035      1,155,000  1,182,431 
Lear Corp. cv. company guaranty zero %, 2022      640,000  287,200 
Manor Care, Inc. 144A cv. sr. notes 2 1/8s, 2035      215,000  220,106 
Titan International, Inc. cv. sr. notes 5 1/4s, 2009      530,000  632,025 
WCI Communities, Inc. cv. sr. sub. notes 4s, 2023      515,000  602,550 
 
Total convertible bonds and notes (cost $7,857,359)        $3,594,164 
 
FOREIGN GOVERNMENT BONDS AND NOTES (0.4%)(a)         
 
      Principal amount  Value 
 
Brazil (Federal Republic of) bonds 10 1/2s, 2014      $1,655,000  $2,002,550 
Philippines (Republic of) bonds 9 1/2s, 2024      570,000  615,600 
 
Total foreign government bonds and notes (cost $2,463,033)        $2,618,150 
 
UNITS (0.3%)(a)         
 
      Units  Value 
 
Morrison Knudsen Corp. zero %, 2032      1,720,000  $116,100 
XCL Equity Units zero % (F)      2,670  1,819,900 
 
Total units (cost $5,631,014)        $1,936,000 
 
WARRANTS (0.1%)(a)         
 
  Expiration  Strike  Warrants  Value 
  date  price     
Dayton Superior Corp. 144A  6/15/09  .01  1,950  $1 
Decrane Aircraft Holdings Co. Class B  6/30/00  116.00  1  1 
    EUR     
MDP Acquisitions PLC 144A  10/01/13  .001  432  12,096 
Mikohn Gaming Corp. 144A  8/15/08  7.70  720  16,013 
Pliant Corp. 144A  6/01/10  .01  850  9 
TravelCenters of America, Inc. 144A  5/01/09  .001  1,140  1,425 
Ubiquitel, Inc. 144A  4/15/10  22.74  3,450  1 
Washington Group International, Inc. Ser. A  1/25/06  28.50  6,139  153,894 
Washington Group International, Inc. Ser. B  1/25/06  31.74  7,016  153,147 
Washington Group International, Inc. Ser. C  1/25/06  33.51  3,792  76,061 
 
Total warrants (cost $302,099)        $412,648 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (0.0%)(a)         
(cost $139,446)         
      Principal amount  Value 
 
Mach One Commercial Mortgage Trust 144A Ser. 04-1A, Class J,         
5.45s, 2040      $155,000  $128,989 

SHORT-TERM INVESTMENTS (0.6%)(a)     
  Principal/amount  Value 
  Share  
Nordea Bank (Sweden) for an effective yield of 3.035%, December 30, 2005  $1,000,000  $999,626 
Short-term investments held as collateral for loaned securities with yields ranging from     
3.77% to 4.09% and due dates ranging from October 3, 2005 to November 1, 2005 (d)  1,424,915  1,423,360 
Putnam Prime Money Market Fund (e)  $940,009  $940,009 
Total short-term investments (cost $3,362,995)    $3,362,995 
TOTAL INVESTMENTS     
Total investments (cost $591,404,017)(b)    $581,898,624 

FORWARD CURRENCY CONTRACTS TO SELL at 9/30/05 (Unaudited)

    Aggregate  Delivery  Unrealized 
  Value  face value  date  appreciation 
Euro  $8,761,101  $9,114,108  12/21/05  $353,007 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
  Notional  Termination  Unrealized 
  amount  date  appreciation/ 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
October 9, 2003 to receive/(pay) semi-annually the notional amount       
multiplied by the total rate of return of the Lehman Brothers U.S. High       
Yield Index and pay semi-annually the notional amount multiplied by       
the six month USD-LIBOR adjusted by a specified spread.  $8,537,552  5/1/06  $1,346,073 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
    Unrealized 
  Notional  appreciation/ 
  amount  (depreciation) 
 
Agreement with Goldman Sachs Capital Markets, L.P. effective May 20, 2005, maturing on June     
20, 2010, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 90 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG CDX 5 year     
Series 4 Index, the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity within the DJ     
IG CDX 5 year Series 4 Index.  $11,430,000  $125,695 
 
 
Agreement with Goldman Sachs Capital Markets, L.P. effective May 20, 2005,     
maturing on June 20, 2010, to receive quarterly 500 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX 5     
year Series 4 Index 0-3% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX 5 year Series 4 Index 0-3%     
tranche.  2,286,000  (1,041,044) 
 
 
Agreement with Goldman Sachs International on September 2, 2004, terminating on the date on     
which the notional amount is reduced to zero or the date on which the assets securing the     
reference obligation are liquidated, the fund receives a payment of the outstanding notional     
amount times 2.55625% and the fund pays in the event of a credit default in one of the underlying     
securities in the basket of BB CMBS securities.  833,000  19,689 
 
 
Agreement with JPMorgan Chase Bank, N.A. effective April 25, 2005, maturing on June 20, 2010,     
to receive a quarterly payment of 3.70% times the notional amount. Upon a credit default event of     
Felcor Lodging L.P., 8 1/2, 2011, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of Felcor Lodging L.P., 8     
1/2, 2011.  650,000  19,433 
 
 
Agreement with Morgan Stanley Capital Services, Inc. effective May 24, 2005, maturing on June     
20, 2010, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 90 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG CDX 5 year     
Series 4 Index, the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity within the DJ     
IG CDX 5 year Series 4 Index.  2,265,000  25,535 
 
 
Agreement with Morgan Stanley Capital Services, Inc. on May 24, 2005, maturing on June 20,     
2010, to receive quarterly 500 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 0-3%     
tranche.  453,000  (207,445) 
 
 
Agreement with JPMorgan Chase Bank, N.A. on September 1, 2005, maturing on September 20,     
2010, to pay quarterly 460 basis points times the notional amount. Upon a credit default event of     
General Motors Acceptance Corp., the fund receives a payment of the proportional notional     
amount times the difference between the par value and the then market value of General Motors     
Acceptance Corp.  1,285,000  (24,402) 
 
Total    $(1,082,539) 

  NOTES
 
(a)      Percentages indicated are based on net assets of $864,360,713.
 
(b)      The aggregate identified cost on a tax basis is $596,734,234, resulting in gross unrealized appreciation and depreciation of $23,978,519 and $38,814,129, respectively, or net unrealized depreciation of $14,835,610.
 
(c)      Senior loans are exempt from registration under the Security 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 rate shown for senior loans are the current interest rates at September 30, 2005. 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.
 
(d)      The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of operations. At September 30,2005, the value of securities loaned amounted to $1,338,078. The fund received cash collateral of $1,423,360 which is pooled with collateral of other Putnam funds into 20 issues of high-grade, short-term investments.
 
(e)      Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $398,517 for the period ended September 30,2005. During the period ended September 30,2005x, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $142,191,187 and $152,937,268, respectively.
 

(S) Securities on loan, in part or in entirety, at September 30, 2005.

(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at September 30,2005 was $2,628,130 or 0.4% of net assets.

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

          At September 30, 2005, liquid assets totaling $14,044,552 have been designated as collateral for open swap contracts.

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

Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange.

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

At September 30, 2005, fair value pricing was used for certain foreign securities in the portfolio.

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.

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

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

The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

Putnam VT Income Fund       
 
The fund's portfolio       
9/30/05 (Unaudited)     

 

COLLATERALIZED MORTGAGE OBLIGATIONS (29.8%)(a) 

     
    Principal amount  Value 
 
Amresco Commercial Mortgage Funding I 144A Ser. 97-C1, Class H, 7s,       
2029    $373,000  $379,274 
Asset Securitization Corp. Ser. 96-MD6, Class A7, 8.291s, 2029    761,000  817,474 
Banc of America Commercial Mortgage, Inc. 144A       
Ser. 01-PB1, Class K, 6.15s, 2035    289,000  296,973 
Ser. 05-4, Class XC, Interest Only (IO), 3.84s, 2045    34,298,000  257,235 
Ser. 05-1, Class XW, IO, 0.161s, 2042    54,445,586  307,618 
Banc of America Large Loan       
FRB Ser. 04-BBA4, Class H, 4.718s, 2018    63,000  63,448 
FRB Ser. 04-BBA4, Class G, 4.468s, 2018    101,000  101,553 
Banc of America Large Loan 144A       
FRB Ser. 02-FL2A, Class L1, 6.689s, 2014    188,000  188,023 
FRN Ser. 02-FL2A, Class K1, 6.189s, 2014    100,000  100,230 
FRB Ser. 05-BOCA, Class M, 5.868s, 2016    410,000  410,841 
FRB Ser. 05-ESHA, Class K, 5.68s, 2020    681,000  681,000 
FRB Ser. 05-BOCA, Class L, 5.468s, 2016    272,000  272,641 
FRB Ser. 05-BOCA, Class K, 5.118s, 2016    200,000  200,410 
FRB Ser. 05-BOCA, Class H, 4.718s, 2016    100,000  100,620 
FRB Ser. 05-ESHA, Class G, 4.76s, 2020    341,000  341,000 
Ser. 03-BBA2, Class X1A, IO, 0.646s, 2015    26,334,329  70,497 
Banc of America Structured Security Trust 144A Ser. 02-X1, Class A3,       
5.436s, 2033    905,000  917,759 
Bayview Commercial Asset Trust 144A       
FRB Ser. 05-1A, Class A1, 4.13s, 2035    865,301  864,263 
Ser. 05-1A, IO, 0.775s, 2035    3,496,373  278,071 
Ser. 04-3, IO, 0.775s, 2035    3,129,408  238,984 
Ser. 04-2, IO, 0.72s, 2034    5,347,307  424,234 
Bear Stearns Commercial Mortgage Securities, Inc. Ser. 05-PWR9, Class       
X1, IO, 4.6s, 2042    25,742,000  254,403 
Bear Stearns Commercial Mortgage Securitization Corp. Ser. 00-WF2,       
Class F, 8.455s, 2032    412,000  478,075 
Chase Commercial Mortgage Securities Corp. Ser. 00-3, Class A2,       
7.319s, 2032    247,000  270,707 
Chase Commercial Mortgage Securities Corp. 144A       
Ser. 98-1, Class F, 6.56s, 2030    2,005,365  2,116,263 
Ser. 98-1, Class G, 6.56s, 2030    515,745  546,473 
Ser. 98-1, Class H, 6.34s, 2030    779,000  674,125 
Citigroup Commercial Mortgage Trust 144A Ser. 05-C3, Class XC, IO,       
0.061s, 2043    47,914,766  507,223 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1, Class A3, 6.57s,       
2030    2,261,000  2,311,566 
Commercial Mortgage Acceptance Corp. 144A       
Ser. 98-C1, Class F, 6.23s, 2031    895,470  934,142 
Ser. 98-C2, Class F, 5.44s, 2030    313,470  313,547 
Commercial Mortgage Pass-Through Certificates 144A       
FRB Ser. 01-J2A, Class A2F, 4.272s, 2034    653,000  661,358 
Ser. 05-C6, Class XC, IO, 3.98s, 2044    25,138,000  170,938 
Ser. 05-LP5, Class XC, IO, 0.047s, 2043    25,687,213  272,284 
Criimi Mae Commercial Mortgage Trust Ser. 98-C1, Class A2, 7s, 2033    115,000  118,809 
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D, 5.612s, 2035    1,172,000  1,152,268 
CS First Boston Mortgage Securities Corp. Ser. 97-C2, Class F, 7.46s,       
2035    371,000  396,428 
CS First Boston Mortgage Securities Corp. 144A       
FRB Ser. 03-TF2A, Class L, 7.768s, 2014    499,000  496,699 
FRB Ser. 00-FL1A, Class D, 5.518s, 2009    256,738  255,454 
FRB Ser. 05-TFLA, Class J, 4.718s, 2020    130,000  130,000 
FRB Ser. 04-TF2A, Class J, 4.718s, 2016    278,000  277,999 
FRB Ser. 05-TFLA, Class H, 4.518s, 2020    130,000  130,000 
FRB Ser. 04-TF2A, Class H, 4.468s, 2019    278,000  277,999 
Ser. 01-CK1, Class AY, IO, 0.905s, 2035    27,836,000  958,000 
Ser. 03-C3, Class AX, IO, 0.37s, 2038    12,057,220  513,638 
Ser. 05-C2, Class AX, IO, 0.076s, 2037    28,310,987  445,558 
DLJ Commercial Mortgage Corp.       
Ser. 00-CF1, Class A1B, 7.62s, 2033    989,000  1,094,225 
Ser. 99-CG2, Class B4, 6.1s, 2032    1,144,000  1,164,729 
Ser. 98-CF2, Class B3, 6.04s, 2031    195,455  199,736 
DLJ Commercial Mortgage Corp. 144A Ser. 99-CG2, Class B3, 6.1s, 2032    854,000  871,454 
DLJ Mortgage Acceptance Corp. 144A Ser. 97-CF1, Class A3, 7.76s,       
2030    450,000  465,414 
Fannie Mae       
IFB Ser. 05-37, Class SU, 13.88s, 2035    1,532,320  1,774,165 
IFB Ser. 04-10, Class QC, 13.28s, 2031    1,066,655  1,175,554 
IFB Ser. 05-57, Class CD, 10.763s, 2035    682,727  739,269 
IFB Ser. 05-74, Class CP, 10.707s, 2035    793,427  866,324 
IFB Ser. 02-36, Class SJ, 10.55s, 2029    259,548  266,545 

IFB Ser. 05-45, Class DA, 10.377s, 2035  1,509,197  1,633,677 
Ser. 92-15, Class L, IO, 10.376s, 2022  186  2,073 
IFB Ser. 05-74, Class DM, 10.34s, 2035  1,784,805  1,920,373 
IFB Ser. 05-45, Class DC, 10.267s, 2035  1,064,860  1,148,020 
Ser. 04-T3, Class PT1, 9.879s, 2044  562,402  613,462 
IFB Ser. 05-74, Class SK, 9.598s, 2035  1,452,141  1,557,729 
Ser. 02-T12, Class A4, 9 1/2s, 2042  154,216  165,650 
Ser. 02-T4, Class A4, 9 1/2s, 2041  255,417  273,926 
Ser. 02-T6, Class A3, 9 1/2s, 2041  323,229  346,049 
IFB Ser. 05-74, Class CS, 9.488s, 2035  904,369  964,001 
Ser. 03-W6, Class PT1, 9.37s, 2042  332,089  357,545 
IFB Ser. 05-57, Class DC, 9.328s, 2034  1,241,115  1,325,302 
IFB Ser. 04-79, Class SA, 9.295s, 2032  1,986,463  2,046,238 
IFB Ser. 05-45, Class PC, 8.76s, 2034  636,755  671,821 
IFB Ser. 03-87, Class SP, 8.168s, 2032  941,113  910,674 
Ser. 00-42, Class B2, 8s, 2030  46,824  50,524 
Ser. 00-17, Class PA, 8s, 2030  230,687  248,254 
Ser. 00-18, Class PA, 8s, 2030  216,565  232,998 
Ser. 00-19, Class PA, 8s, 2030  229,293  246,796 
Ser. 00-20, Class PA, 8s, 2030  130,224  140,363 
Ser. 00-21, Class PA, 8s, 2030  381,360  410,796 
Ser. 00-22, Class PA, 8s, 2030  276,223  297,225 
Ser. 97-37, Class PB, 8s, 2027  643,177  696,596 
Ser. 97-13, Class TA, 8s, 2027  93,077  100,791 
Ser. 97-21, Class PA, 8s, 2027  383,702  415,070 
Ser. 97-22, Class PA, 8s, 2027  726,157  786,288 
Ser. 97-16, Class PE, 8s, 2027  250,719  271,410 
Ser. 97-25, Class PB, 8s, 2027  238,750  258,311 
Ser. 95-12, Class PD, 8s, 2025  149,977  162,171 
Ser. 95-5, Class A, 8s, 2025  178,123  193,033 
Ser. 95-5, Class TA, 8s, 2025  43,063  46,803 
Ser. 95-6, Class A, 8s, 2025  122,463  132,670 
Ser. 95-7, Class A, 8s, 2025  153,826  166,810 
Ser. 94-106, Class PA, 8s, 2024  234,673  254,553 
Ser. 94-95, Class A, 8s, 2024  357,662  388,178 
IFB Ser. 05-73, Class SA, 7.592s, 2035  802,389  796,496 
Ser. 02-26, Class A2, 7 1/2s, 2048  1,023,196  1,081,853 
Ser. 05-W3, Class 1A, 7 1/2s, 2045  2,039,427  2,170,987 
Ser. 05-W1, Class 1A4, 7 1/2s, 2044  1,658,294  1,759,180 
Ser. 04-W12, Class 1A4, 7 1/2s, 2044  438,347  465,050 
Ser. 04-W14, Class 2A, 7 1/2s, 2044  206,421  218,884 
Ser. 04-W8, Class 3A, 7 1/2s, 2044  1,930,847  2,049,893 
Ser. 04-W11, Class 1A4, 7 1/2s, 2044  1,004,868  1,066,378 
Ser. 04-W2, Class 5A, 7 1/2s, 2044  2,635,865  2,798,221 
Ser. 04-W9, Class 2A3, 7 1/2s, 2044  1,608,996  1,705,799 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  566,280  600,608 
Ser. 03-W1, Class 2A, 7 1/2s, 2042  299,493  315,894 
Ser. 03-W4, Class 4A, 7 1/2s, 2042  185,778  196,144 
Ser. 02-T18, Class A4, 7 1/2s, 2042  413,926  438,132 
Ser. 03-W3, Class 1A3, 7 1/2s, 2042  1,130,355  1,196,303 
Ser. 02-T16, Class A3, 7 1/2s, 2042  1,884,272  1,993,732 
Ser. 03-W2, Class 1A3, 7 1/2s, 2042  537,215  568,774 
Ser. 02-W6, Class 2A, 7 1/2s, 2042  1,341,656  1,417,721 
Ser. 02-T12, Class A3, 7 1/2s, 2042  311,914  329,560 
Ser. 02-W4, Class A5, 7 1/2s, 2042  4,058,324  4,290,688 
Ser. 02-W1, Class 2A, 7 1/2s, 2042  1,511,111  1,589,660 
Ser. 02-14, Class A2, 7 1/2s, 2042  632,934  668,824 
Ser. 01-T10, Class A2, 7 1/2s, 2041  1,235,627  1,303,296 
Ser. 02-T4, Class A3, 7 1/2s, 2041  235,670  248,582 
Ser. 02-T6, Class A2, 7 1/2s, 2041  3,695,007  3,894,033 
Ser. 01-T12, Class A2, 7 1/2s, 2041  1,218,632  1,285,925 
Ser. 01-T8, Class A1, 7 1/2s, 2041  892,935  940,455 
Ser. 01-T7, Class A1, 7 1/2s, 2041  2,540,300  2,672,403 
Ser. 01-T3, Class A1, 7 1/2s, 2040  197,856  208,320 
Ser. 01-T1, Class A1, 7 1/2s, 2040  450,274  475,138 
Ser. 99-T2, Class A1, 7 1/2s, 2039  110,786  117,248 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032  643,912  680,105 
Ser. 02-T1, Class A3, 7 1/2s, 2031  506,571  534,845 
Ser. 00-T6, Class A1, 7 1/2s, 2030  995,961  1,047,754 
Ser. 01-T5, Class A3, 7 1/2s, 2030  24,819  26,121 
Ser. 02-W7, Class A5, 7 1/2s, 2029  312,221  330,248 
Ser. 01-T4, Class A1, 7 1/2s, 2028  2,910,801  3,092,462 
Ser. 02-W3, Class A5, 7 1/2s, 2028  865,761  914,853 
Ser. 02-26, Class A1, 7s, 2048  788,945  824,049 
Ser. 04-T3, Class 1A3, 7s, 2044  774,370  811,397 
Ser. 03-W3, Class 1A2, 7s, 2042  390,253  408,019 
Ser. 02-T16, Class A2, 7s, 2042  795,643  831,629 
Ser. 02-14, Class A1, 7s, 2042  468,847  489,525 
Ser. 02-T4, Class A2, 7s, 2041  238,106  248,335 
Ser. 01-W3, Class A, 7s, 2041  305,562  318,520 
Ser. 05-45, Class OX, IO, 7s, 2035  1,318,404  239,908 
Ser. 04-W1, Class 2A2, 7s, 2033  2,543,245  2,664,075 
Ser. 03-14, Class AI, IO, 7s, 2033  459,791  87,250 
IFB Ser. 02-97, Class TW, IO, 6 1/2s, 2031  669,613  113,871 

Ser. 03-22, IO, 6s, 2033  7,768,117  1,506,472 
Ser. 318, Class 2, IO, 6s, 2032  274,277  54,874 
Ser. 03-31, Class IM, IO, 5 3/4s, 2032  2,658,232  325,633 
Ser. 350, Class 2, IO, 5 1/2s, 2034  11,263,456  2,396,598 
Ser. 338, Class 2, IO, 5 1/2s, 2033  9,191,649  1,982,831 
Ser. 333, Class 2, IO, 5 1/2s, 2033  22,388,663  4,835,052 
Ser. 331, Class 1, IO, 5 1/2s, 2033  2,759,276  533,727 
Ser. 329, Class 2, IO, 5 1/2s, 2033  26,584,344  5,644,384 
Ser. 03-26, Class OI, IO, 5 1/2s, 2032  2,780,601  419,853 
Ser. 03-45, Class PI, IO, 5 1/2s, 2029  1,460,939  147,007 
Ser. 03-8, Class IP, IO, 5 1/2s, 2028  1,543,847  89,488 
Ser. 03-14, Class XI, IO, 5 1/4s, 2033  1,302,730  184,871 
Ser. 03-14, Class TI, IO, 5s, 2033  1,214,106  160,488 
Ser. 03-24, Class UI, IO, 5s, 2031  1,266,015  183,603 
Ser. 343, Class 25, IO, 4 1/2s, 2018  2,308,891  346,102 
IFB Ser. 02-89, Class S, IO, 4.37s, 2033  1,991,942  178,080 
IFB Ser. 02-36, Class QH, IO, 4.22s, 2029  562,353  12,415 
IFB Ser. 03-66, Class SA, IO, 3.82s, 2033  2,091,325  160,771 
IFB Ser. 97-44, Class SN, IO, 3.8s, 2023  667,000  61,431 
IFB Ser. 02-92, Class SB, IO, 3.52s, 2030  707,300  47,544 
IFB Ser. 05-52, Class DC, IO, 3.37s, 2035  1,543,059  136,271 
IFB Ser. 04-24, Class CS, IO, 3.32s, 2034  2,407,107  221,905 
IFB Ser. 03-122, Class SA, IO, 3.27s, 2028  3,547,375  211,387 
IFB Ser. 03-122, Class SJ, IO, 3.27s, 2028  3,769,305  226,405 
IFB Ser. 04-64, Class SW, IO, 3.22s, 2034  5,969,184  363,747 
IFB Ser. 04-65, Class ST, IO, 3.22s, 2034  3,012,784  183,479 
IFB Ser. 04-51, Class S0, IO, 3.22s, 2034  534,120  30,872 
IFB Ser. 04-60, Class SW, IO, 3.22s, 2034  4,545,393  380,677 
IFB Ser. 05-65, Class KI, IO, 3.17s, 2035  13,599,023  845,723 
IFB Ser. 05-89, Class S, IO, 3.06s, 2035  7,250,000  387,422 
IFB Ser. 05-87, Class SG, IO, 3.03s, 2035  4,899,000  289,347 
IFB Ser. 05-92, Class SC, IO, 2.99s, 2035  4,899,000  315,373 
IFB Ser. 05-42, Class PQ, IO, 2.97s, 2035  876,384  70,533 
IFB Ser. 05-42, Class SA, IO, 2.97s, 2035  3,859,247  270,179 
IFB Ser. 05-83, Class SL, IO, 2.95s, 2035  10,192,000  586,769 
IFB Ser. 05-73, Class SI, IO, 2.92s, 2035  922,600  64,870 
IFB Ser. 05-29, Class SD, IO, 2.92s, 2035  2,372,955  163,882 
IFB Ser. 05-17, Class ES, IO, 2.92s, 2035  1,795,212  161,569 
IFB Ser. 05-17, Class SY, IO, 2.92s, 2035  841,328  73,222 
IFB Ser. 05-62, Class FS, IO, 2.92s, 2034  2,219,567  155,023 
IFB Ser. 05-82, Class SW, IO, 2.9s, 2035  3,987,167  209,949 
IFB Ser. 05-82, Class SY, IO, 2.9s, 2035  5,074,140  267,185 
IFB Ser. 05-45, Class EW, IO, 2.89s, 2035  9,705,159  547,146 
IFB Ser. 05-45, Class SR, IO, 2.89s, 2035  6,888,221  381,413 
IFB Ser. 05-54, Class SA, IO, 2.87s, 2035  4,806,063  255,202 
IFB Ser. 05-23, Class SG, IO, 2.87s, 2035  2,937,181  217,535 
IFB Ser. 05-29, Class SX, IO, 2.87s, 2035  3,659,060  242,985 
IFB Ser. 05-57, Class CI, IO, 2.87s, 2035  2,621,057  169,639 
IFB Ser. 05-17, Class SA, IO, 2.87s, 2035  2,669,156  207,694 
IFB Ser. 05-17, Class SE, IO, 2.87s, 2035  2,868,769  216,951 
IFB Ser. 05-57, Class DI, IO, 2.87s, 2035  5,929,316  418,285 
IFB Ser. 05-73, Class SD, IO, 2.85s, 2035  2,276,290  160,407 
IFB Ser. 04-38, Class SI, IO, 2.74s, 2033  4,684,828  244,548 
IFB Ser. 04-72, Class SB, IO, 2.67s, 2034  2,228,903  103,867 
IFB Ser. 05-67, Class BS, IO, 2.32s, 2035  2,601,300  112,994 
IFB Ser. 05-87, Class SE, IO, 2.3s, 2035  19,518,000  817,316 
IFB Ser. 05-74, Class SE, IO, 2.27s, 2035  6,845,012  262,034 
IFB Ser. 05-82, Class SI, IO, 2.27s, 2035  8,481,744  333,969 
Ser. 03-W12, Class 2, IO, 2.223s, 2043  4,576,245  231,015 
IFB Ser. 05-58, Class IK, IO, 2.17s, 2035  1,824,324  90,646 
Ser. 03-W10, Class 1, IO, 1.968s, 2043  10,692,271  457,763 
Ser. 03-W10, Class 3, IO, 1.935s, 2043  4,390,212  187,956 
Ser. 03-W8, Class 12, IO, 1.638s, 2042  19,608,386  762,910 
Ser. 03-W3, Class 2IO2, IO, 1.456s, 2042  956,805  5,254 
Ser. 03-W6, Class 11, IO, 1.286s, 2042  6,279,854  40,471 
Ser. 03-W17, Class 12, IO, 1.155s, 2033  5,562,716  167,686 
Ser. 03-T2, Class 2, IO, 0.905s, 2042  29,948,706  567,962 
Ser. 03-W6, Class 51, IO, 0.683s, 2042  8,209,581  145,412 
Ser. 03-W3, Class 2IO1, IO, 0.677s, 2042  2,697,875  43,649 
Ser. 01-T12, Class IO, 0.572s, 2041  16,150,953  199,788 
Ser. 03-W2, Class 1, IO, 0.469s, 2042  16,332,191  160,598 
Ser. 03-W3, Class 1, IO, 0.435s, 2042  28,374,352  274,950 
Ser. 02-T1, Class IO, IO, 0.426s, 2031  12,167,743  114,754 
Ser. 03-W6, Class 3, IO, 0.365s, 2042  11,451,694  95,864 
Ser. 03-W6, Class 23, IO, 0.351s, 2042  12,081,892  98,875 
Ser. 03-W8, Class 11, IO, 0.315s, 2042  8,638,436  1,564 
Ser. 03-W4, Class 3A, IO, 0.291s, 2042  11,869,018  100,145 
Ser. 03-W6, Class 21, IO, 0.026s, 2042  5,780,969  132 
Ser. 05-65, Class KO, Principal Only (PO), zero %, 2035  407,907  348,540 
Ser. 354, Class 1, PO, zero %, 2034  8,465,809  6,619,618 
Ser. 353, Class 1, PO, zero %, 2034  9,306,820  6,994,646 
Ser. 05-38, PO, zero %, 2031  176,000  131,560 
FRB Ser. 05-65, Class ER, zero %, 2035  1,565,065  1,604,839 
FRB Ser. 05-57, Class UL, zero %, 2035  1,712,897  1,744,511 

FRB Ser. 05-36, Class QA, zero %, 2035  321,022  326,502 
FRB Ser. 05-65, Class CU, zero %, 2034  237,010  289,615 
FRB Ser. 05-81, Class DF, zero %, 2033  268,910  279,162 
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities     
Ser. T-42, Class A6, 9 1/2s, 2042  164,681  176,834 
Ser. T-60, Class 1A3, 7 1/2s, 2044  3,113,224  3,301,062 
Ser. T-59, Class 1A3, 7 1/2s, 2043  2,036,673  2,163,754 
Ser. T-58, Class 4A, 7 1/2s, 2043  746,999  789,302 
Ser. T-57, Class 1A3, 7 1/2s, 2043  2,208,692  2,342,456 
Ser. T-51, Class 2A, 7 1/2s, 2042  932,801  983,017 
Ser. T-42, Class A5, 7 1/2s, 2042  624,839  659,895 
Ser. T-41, Class 3A, 7 1/2s, 2032  1,842,566  1,942,206 
Ser. T-60, Class 1A2, 7s, 2044  2,764,191  2,893,665 
Ser. T-41, Class 2A, 7s, 2032  120,853  125,857 
Ser. T-56, Class A, IO, 0.834s, 2043  8,104,233  96,238 
Ser. T-56, Class 3, IO, 0.353s, 2043  8,746,418  84,731 
Ser. T-56, Class 1, IO, 0.285s, 2043  10,550,664  75,833 
Ser. T-56, Class 2, IO, 0.043s, 2043  9,952,340  24,881 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s, 2027  4,316,659  4,792,838 
First Union National Bank-Bank of America Commercial Mortgage 144A     
Ser. 01-C1, Class 3, IO, 1.964s, 2033  14,389,217  1,037,563 
First Union-Lehman Brothers Commercial Mortgage Trust II     
Ser. 97-C2, Class F, 7 1/2s, 2029  1,196,000  1,376,138 
Ser. 97-C1, Class A3, 7.38s, 2029  1,655,700  1,683,137 
First Union-Lehman Brothers-Bank of America 144A Ser. 98-C2, Class G,     
7s, 2035  1,515,000  1,684,814 
Freddie Mac     
IFB Ser. 2763, Class SC, 13.527s, 2032  2,156,914  2,371,807 
IFB Ser. 2990, Class SL, 10.677s, 2034  1,112,979  1,197,645 
IFB Ser. 2976, Class LC, 10.604s, 2035  528,668  567,844 
IFB Ser. 2976, Class KL, 10.567s, 2035  1,246,406  1,331,734 
IFB Ser. 2990, Class DP, 10.457s, 2034  1,101,926  1,158,002 
IFB Ser. 2990, Class LB, 7.31s, 2034  1,325,069  1,283,449 
IFB Ser. 2967, Class DS, 8.796s, 2035  308,369  304,166 
Ser. 2229, Class PD, 7 1/2s, 2030  261,355  279,078 
Ser. 2224, Class PD, 7 1/2s, 2030  267,645  285,794 
Ser. 2217, Class PD, 7 1/2s, 2030  271,814  290,247 
Ser. 2187, Class PH, 7 1/2s, 2029  608,519  649,784 
Ser. 1989, Class C, 7 1/2s, 2027  89,195  95,243 
Ser. 1990, Class D, 7 1/2s, 2027  247,930  264,743 
Ser. 1969, Class PF, 7 1/2s, 2027  214,088  228,606 
Ser. 1975, Class E, 7 1/2s, 2027  56,787  60,638 
Ser. 1943, Class M, 7 1/2s, 2027  133,109  142,136 
Ser. 1932, Class E, 7 1/2s, 2027  184,805  197,337 
Ser. 1938, Class E, 7 1/2s, 2027  77,204  82,439 
Ser. 1941, Class E, 7 1/2s, 2027  62,669  66,919 
Ser. 1924, Class H, 7 1/2s, 2027  204,123  217,965 
Ser. 1928, Class D, 7 1/2s, 2027  79,178  84,547 
Ser. 1915, Class C, 7 1/2s, 2026  179,888  192,087 
Ser. 1923, Class D, 7 1/2s, 2026  213,780  228,276 
Ser. 1904, Class D, 7 1/2s, 2026  235,690  251,672 
Ser. 1905, Class H, 7 1/2s, 2026  206,053  220,026 
Ser. 1890, Class H, 7 1/2s, 2026  197,532  210,927 
Ser. 1895, Class C, 7 1/2s, 2026  104,157  111,220 
IFB Ser. 2990, Class WP, 7.306s, 2035  877,059  871,175 
Ser. 2256, Class UA, 7s, 2030  79,470  83,779 
Ser. 2208, Class PG, 7s, 2030  695,233  732,928 
Ser. 2211, Class PG, 7s, 2030  392,177  413,440 
Ser. 2198, Class PH, 7s, 2029  575,102  606,283 
Ser. 2054, Class H, 7s, 2028  1,453,777  1,532,599 
Ser. 2031, Class PG, 7s, 2028  158,573  167,170 
Ser. 2020, Class E, 7s, 2028  801,977  845,459 
Ser. 1998, Class PL, 7s, 2027  341,465  359,979 
Ser. 1999, Class PG, 7s, 2027  559,874  590,229 
Ser. 2004, Class BA, 7s, 2027  329,242  347,093 
Ser. 2005, Class C, 7s, 2027  258,917  272,956 
Ser. 2005, Class CE, 7s, 2027  289,164  304,842 
Ser. 2006, Class H, 7s, 2027  827,508  872,375 
Ser. 2006, Class T, 7s, 2027  529,073  557,758 
Ser. 1987, Class AP, 7s, 2027  171,094  180,370 
Ser. 1987, Class PT, 7s, 2027  275,997  290,961 
Ser. 1978, Class PG, 7s, 2027  494,122  520,913 
Ser. 1973, Class PJ, 7s, 2027  589,854  621,835 
Ser. 1725, Class D, 7s, 2024  113,393  119,541 
Ser. 2008, Class G, 7s, 2023  42,761  45,080 
Ser. 1750, Class C, 7s, 2023  254,332  268,122 
Ser. 1530, Class I, 7s, 2023  270,764  285,445 
Ser. 2778, Class TI, IO, 6s, 2033  2,434,165  388,322 
Ser. 224, IO, 6s, 2033  810,898  163,418 
Ser. 226, IO, 5 1/2s, 2034  5,808,826  1,271,719 
Ser. 223, IO, 5 1/2s, 2032  2,323,297  477,707 
Ser. 2581, Class IH, IO, 5 1/2s, 2031  858,611  215,104 
Ser. 2600, Class CI, IO, 5 1/2s, 2029  273,610  63,529 

Ser. 2664, Class UD, IO, 5 1/2s, 2028  436,035  76,852 
Ser. 2553, Class IJ, IO, 5 1/2s, 2020  375,238  1,478 
Ser. 3045, Class DI, IO, 5s, 2035  18,026,500  940,767 
IFB Ser. 2927, Class SI, IO, 4.732s, 2035  2,211,983  287,080 
IFB Ser. 2538, Class SH, IO, 3.782s, 2032  395,795  28,205 
IFB Ser. 2828, Class GI, IO, 3.732s, 2034  2,399,254  279,245 
IFB Ser. 2802, Class SM, IO, 3.582s, 2032  843,311  57,194 
IFB Ser. 2869, Class SH, IO, 3.532s, 2034  1,306,861  97,386 
IFB Ser. 2869, Class JS, IO, 3.482s, 2034  6,226,321  455,469 
IFB Ser. 2882, Class SL, IO, 3.432s, 2034  1,261,570  113,898 
IFB Ser. 2682, Class TQ, IO, 3.282s, 2033  1,122,927  67,713 
IFB Ser. 2815, Class PT, IO, 3.282s, 2032  2,308,885  188,964 
IFB Ser. 3031, Class BI, IO, 3.1s, 2035  1,075,000  89,312 
IFB Ser. 3033, Class SF, IO, 3.097s, 2012  1,662,000  110,108 
IFB Ser. 2922, Class SE, IO, 2.982s, 2035  3,765,681  201,087 
IFB Ser. 2981, Class AS, IO, 2.952s, 2035  3,399,807  178,490 
IFB Ser. 2981, Class BS, IO, 2.952s, 2035  1,872,577  97,187 
IFB Ser. 2924, Class SA, IO, 2.932s, 2035  5,395,833  274,648 
IFB Ser. 2927, Class ES, IO, 2.932s, 2035  1,785,392  119,720 
IFB Ser. 2950, Class SM, IO, 2.932s, 2016  2,440,632  177,709 
IFB Ser. 2986, Class WS, IO, 2.882s, 2035  1,439,863  57,145 
IFB Ser. 2962, Class BS, IO, 2.882s, 2035  7,028,035  434,762 
IFB Ser. 2990, Class LI, IO, 2.862s, 2034  2,033,591  145,134 
IFB Ser. 2988, Class AS, IO, 2.432s, 2035  752,354  28,597 
IFB Ser. 2937, Class SY, IO, 2.332s, 2035  1,224,849  45,932 
IFB Ser. 2957, Class SW, IO, 2.232s, 2035  7,062,339  253,803 
Ser. 3045, Class DO, PO, zero %, 2035  1,378,500  1,096,769 
FRB Ser. 3022, Class TC, zero %, 2035  288,847  315,069 
FRB Ser. 3003, Class XF, zero %, 2035  1,314,901  1,358,661 
FRB Ser. 2992, Class WM, zero %, 2035  536,091  585,679 
FRB Ser. 2958, Class FL, zero %, 2035  786,492  760,876 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 05-C3, Class XC, IO, 3.87s, 2045  94,836,000  512,114 
Ser. 05-C2, Class XC, IO, 0.053s, 2043  36,423,365  314,254 
General Growth Properties-Mall Properties Trust FRB Ser. 01-C1A, Class     
D3, 6.018s, 2014  746,023  746,723 
GMAC Commercial Mortgage Securities, Inc.     
Ser. 05-C1, Class X1, IO, 9.6s, 2043  42,309,000  774,255 
Ser. 99-C3, Class F, 8.032s, 2036  162,000  171,444 
Ser. 03-C2, Class A2, 5.45s, 2040  2,566,000  2,642,936 
Ser. 04-C2, Class A4, 5.301s, 2038  763,000  775,982 
GMAC Commercial Mortgage Securities, Inc. 144A     
Ser. 99-C3, Class G, 6.974s, 2036  706,723  569,759 
FRB Ser. 02-FL1A, Class D, 6.49s, 2014  166,059  166,059 
Government National Mortgage Association     
IFB Ser. 05-7, Class JM, 8.42s, 2034  1,456,110  1,507,500 
Ser. 05-13, Class PI, IO, 5 1/2s, 2033  1,755,384  280,970 
Ser. 05-13, Class MI, IO, 5 1/2s, 2032  1,573,242  233,785 
IFB Ser. 04-86, Class SW, IO, 2.954s, 2034  3,147,624  192,167 
IFB Ser. 05-68, Class SI, IO, 2.66s, 2035  8,998,000  533,281 
IFB Ser. 05-51, Class SJ, IO, 2.404s, 2035  2,738,327  142,906 
IFB Ser. 05-28, Class SA, IO, 2.404s, 2035  7,157,442  300,837 
IFB Ser. 05-68, Class S, IO, 2.404s, 2029  5,430,000  285,213 
IFB Ser. 04-11, Class SA, IO, 1.704s, 2034  2,686,053  89,520 
Ser. 98-2, Class EA, PO, zero %, 2028  440,261  359,088 
GS Mortgage Securities Corp. II 144A     
FRB Ser. 03-FL6A, Class L, 7.018s, 2015  272,000  273,530 
Ser. 05-GG4, Class XC, IO, 0.113s, 2039  43,555,441  863,963 
GSMPS Mortgage Loan Trust     
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  260,032  281,027 
Ser. 05-RP3, Class 1A3, 8s, 2035  777,358  831,151 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  641,068  676,978 
JPMorgan Chase Commercial Mortgage Securities Corp. 144A     
Ser. 04-FL1A, Class X1A, IO, 1.05s, 2019  9,494,817  64,185 
Ser. 05-CB12, Class X1, IO, 0.059s, 2037  23,012,069  251,292 
Ser. 05-LDP2, Class X1, IO, 0.051s, 2042  63,272,757  994,015 
Ser. 05-LDP4, Class X1, IO, 0.042s, 2042  45,997,000  431,323 
Ser. 05-LDP3, Class X1, IO, 0.04s, 2042  56,392,000  429,707 
Ser. 05-LDP1, Class X1, IO, 0.037s, 2046  15,687,588  148,349 
LB Commercial Conduit Mortgage Trust 144A     
Ser. 99-C1, Class F, 6.41s, 2031  314,997  324,888 
Ser. 99-C1, Class G, 6.41s, 2031  337,198  321,204 
Ser. 98-C4, Class G, 5.6s, 2035  260,000  254,008 
Ser. 98-C4, Class H, 5.6s, 2035  441,000  416,108 
LB-UBS Commercial Mortgage Trust 144A     
Ser. 05-C3, Class XCL, IO, 0.163s, 2040  27,696,912  605,146 
Ser. 05-C2, Class XCL, IO, 0.11s, 2040  62,703,615  700,994 
Ser. 05-C5, Class XCL, IO, 0.094s, 2020  28,834,289  424,852 
Lehman Brothers Floating Rate Commercial Mortgage Trust 144A     
FRB Ser. 03-LLFA, Class L, 7 1/2s, 2014  757,000  749,175 
FRB Ser. 04-LLFA, Class H, 4.718s, 2017  377,000  378,433 
FRB Ser. 05-LLFA, 4.568s, 2018  173,000  173,000 
Merrill Lynch Mortgage Investors, Inc.     
Ser. 98-C3, Class E, 7.135s, 2030  283,000  308,402 

Ser. 96-C2, Class A3, 6.96s, 2028  50,052  50,497 
Merrill Lynch Mortgage Trust Ser. 05-MCP1, Class XC, IO, 4.92s, 2043  28,970,025  392,040 
Mezz Cap Commercial Mortgage Trust 144A     
Ser. 04-C1, Class X, IO, 7.853s, 2037  1,427,888  589,004 
Ser. 04-C2, Class X, IO, 6.408s, 2040  1,121,120  419,019 
Morgan Stanley Capital 144A     
Ser. 05-RR6, Class X, IO, 1.7s, 2043  5,473,000  423,189 
Ser. 05-HQ6, Class X1, IO, 0.054s, 2042  31,523,000  320,155 
Morgan Stanley Capital I 144A     
Ser. 96-C1, Class E, 7.313s, 2028  467,000  469,537 
Ser. 98-HF1, Class F, 7.18s, 2030  256,000  267,181 
Ser. 04-RR, Class F5, 6s, 2039  790,000  678,703 
Ser. 04-RR, Class F6, 6s, 2039  820,000  678,589 
Ser. 05-HQ5, Class X1, IO, 4.7s, 2042  21,482,970  178,745 
Morgan Stanley Dean Witter Capital I Ser. 00-LIF2, Class A1, 6.96s, 2033  398,354  413,055 
Mortgage Capital Funding, Inc. FRB Ser. 98-MC2, Class E, 7.1s, 2030  470,000  495,292 
Permanent Financing PLC FRB Ser. 8, Class 2C, 4.23s, 2042 (United     
Kingdom)  1,147,000  1,146,477 
PNC Mortgage Acceptance Corp. 144A     
Ser. 99-CM1, Class B3, 7.1s, 2032  1,699,000  1,794,314 
Ser. 00-C1, Class J, 6 5/8s, 2010  206,000  197,487 
Ser. 00-C2, Class J, 6.22s, 2033  439,000  445,458 
Pure Mortgages 144A     
FRB Ser. 04-1A, Class F, 7.36s, 2034 (Ireland)  1,175,000  1,177,203 
Ser. 04-1A, Class E, 5.11s, 2034 (Ireland)  463,000  463,868 
QFA Royalties, LLC 144A Ser. 05-1, 7.3s, 2025  854,901  845,033 
Salomon Brothers Mortgage Securities VII 144A     
Ser. 96-C1, Class E, 8.301s, 2028  445,741  444,697 
Ser. 03-CDCA, Class X3CD, IO, 1.06s, 2015  3,518,713  85,586 
Starwood Asset Receivables Trust 144A     
FRB Ser. 03-1A, Class F, 4.691s, 2022  376,579  376,805 
FRB Ser. 03-1A, Class E, 4.741s, 2022  299,448  299,628 
STRIPS 144A     
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands)  336,000  291,244 
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)  228,000  188,403 
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands)  150,000  130,020 
Wachovia Bank Commercial Mortgage Trust Ser. 05-C17, Class A4,     
5.083s, 2042  2,878,000  2,899,377 
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A,     
Class L, 7.068s, 2018  313,000  311,787 
Washington Mutual Asset Securities Corp. 144A Ser. 05-C1A, Class G,     
5.72s, 2036  73,000  72,113 
 
Total collateralized mortgage obligations (cost $258,482,671)    $252,270,882 
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS     
(26.5%)(a)     
  Principal amount  Value 
 
 
U.S. Government Guaranteed Mortgage Obligations (--%)     
Government National Mortgage Association Pass-Through Certificates     
7s, with due dates from April 15, 2031 to October 15, 2031  $144,747  $154,478 
 
     
 
U.S. Government Agency Mortgage Obligations (26.5%)     
Federal Home Loan Mortgage Corporation Pass-Through Certificates     
7 1/2s, with due dates from October 1, 2029 to December 1, 2029  399,029  423,922 
6 1/2s, with due dates from May 1, 2029 to April 1, 2035  20,481,020  21,080,410 
5 1/2s, June 1, 2035  864,122  864,730 
5 1/2s, May 1, 2016  772,101  784,889 
Federal National Mortgage Association Pass-Through Certificates     
9s, with due dates from January 1, 2027 to July 1, 2032  139,874  153,859 
8s, with due dates from March 1, 2033 to July 1, 2033  76,118  81,435 
7 1/2s, with due dates from June 1, 2032 to July 1, 2033  510,900  541,012 
7s, with due dates from May 1, 2032 to April 1, 2033  1,947,065  2,039,702 
7s, with due dates from February 1, 2007 to December 1, 2014  403,481  419,795 
6 1/2s, with due dates from February 1, 2033 to March 1, 2035  10,850,281  11,170,878 
6s, with due dates from November 1, 2034 to June 1, 2035  507,397  516,566 
6s, with due dates from April 1, 2009 to October 1, 2017  282,937  291,118 
5 1/2s, with due dates from February 1, 2033 to February 1, 2035  60,411,800  60,440,385 
5 1/2s, with due dates from December 1, 2011 to September 1, 2019  248,210  252,106 
5 1/2s, TBA, October 1, 2035  69,640,000  69,618,238 
5s, with due dates from March 1, 2035 to August 1, 2035  894,746  875,908 
5s, with due dates from May 1, 2018 to January 1, 2020  859,087  857,606 
4 1/2s, with due dates from April 1, 2019 to October 1, 2020  50,384,144  49,345,760 
4s, with due dates from June 1, 2019 to September 1, 2020  4,109,322  3,952,845 
 
    223,711,164 
 
Total U.S. government and agency mortgage obligations (cost    $223,865,642 
$225,227,751)     

U.S. TREASURY OBLIGATIONS (0.2%)(a)     
 
  Principal amount  Value 
U.S. Treasury Notes     
4 1/4s, November 15, 2013  $715,000  $711,872 
3 1/4s, August 15, 2008  1,335,000  1,301,416 
 
Total U.S. treasury obligations (cost $2,082,180)    $2,013,288 
 
ASSET-BACKED SECURITIES (23.7%)(a)     
  Principal amount  Value 
 
Aames Mortgage Investment Trust FRN Ser. 04-1, Class 2A1, 4.17s,     
2034  $935,309  $936,593 
Aames Mortgage Trust Ser. 03-1, Class A, IO, 6s, 2005  1,810,000  7,523 
Aames Mortgage Trust 144A Ser. 03-1N, Class A, 7 1/2s, 2033  45,883  45,690 
ABSC NIMS Trust 144A Ser. 05-HE2, Class A1, 4 1/2s, 2035 (Cayman     
Islands)  936,366  929,343 
Ace Securities Corp. Ser. 03-FM1, Class A, IO, 3 1/2s, 2005  3,083,000  19,515 
Advanta Business Card Master Trust FRN Ser. 04-C1, Class C, 4.846s,     
2013  373,000  377,871 
Advanta Mortgage Loan Trust Ser. 00-1, Class A4, 8.61s, 2028  238,949  240,816 
Aegis Asset Backed Securities Trust 144A     
Ser. 04-1N, Class Note, 5s, 2034  29,098  29,098 
Ser. 04-2N, Class N1, 4 1/2s, 2034  94,038  93,847 
Ser. 04-4N, Class Note, 5s, 2034  170,534  169,895 
Ser. 04-5N, Class Note, 5s, 2034  157,488  157,340 
Ser. 04-6N, Class Note, 4 3/4s, 2035  236,177  234,886 
AFC Home Equity Loan Trust Ser. 99-2, Class 1A, 4.051s, 2029  2,001,991  2,011,618 
American Express Credit Account Master Trust 144A Ser. 04-C, Class C,     
4.268s, 2012  3,332,201  3,332,721 
American Home Mortgage Investment Trust     
FRN Ser. 04-3, Class 2A, 3.59s, 2034  1,050,341  1,033,639 
FRN Ser. 04-3, Class 3A, 3.71s, 2034  1,123,848  1,107,481 
Americredit Automobile Receivables Trust 144A Ser. 05-1, Class E, 5.82s,     
2012  350,000  348,807 
Ameriquest Finance NIM Trust 144A     
Ser. 04-IAN, Class 1A, 5.437s, 2034 (Cayman Islands)  58,638  58,638 
Ser. 04-RN9, Class N1, 4.8s, 2034 (Cayman Islands)  255,657  255,657 
Ameriquest Mortgage Securities, Inc.     
Ser. 03-12, Class S, IO, 5s, 2006  1,555,732  41,810 
Ser. 03-6, Class S, IO, 5s, 2033  1,701,746  6,116 
Ser. 03-8, Class S, IO, 5s, 2006  1,169,729  24,857 
AQ Finance NIM Trust 144A Ser. 03-N9A, Class Note, 7.385s, 2033     
(Cayman Islands)  3,505  3,505 
Arcap REIT, Inc. 144A     
Ser. 03-1A, Class E, 7.11s, 2038  622,000  646,783 
Ser. 04-1A, Class E, 6.42s, 2039  495,418  501,843 
Argent NIM Trust 144A Ser. 04-WN9, Class A, 5.19s, 2034 (Cayman     
Islands)  92,431  92,388 
Asset Backed Funding Corp. NIM Trust 144A     
Ser. 03-WMC1, Class Note, 6.9s, 2033  11,422  11,451 
Ser. 04-0PT1, Class N1, 4.55s, 2033 (Cayman Islands)  61,466  61,352 
Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)  133,706  133,458 
Ser. 04-AHL1, Class Note, 5.6s, 2033  191,318  191,602 
Ser. 04-FF1, Class N1, 5s, 2034 (Cayman Islands)  216,719  216,758 
Ser. 04-FF1, Class N2, 5s, 2034 (Cayman Islands)  25,000  23,042 
Asset Backed Securities Corp. Home Equity Loan Trust     
Ser. 03-HE5, Class A, IO, 4s, 2033  2,491,877  31,121 
FRB Ser. 04-HE9, Class A2, 4.2s, 2034  395,171  395,811 
FRB Ser. 05-HE1, Class A3, 4.12s, 2035  504,148  504,148 
FRN Ser. 04-HE1, Class A3, 4.168s, 2034  73,106  73,153 
Aviation Capital Group Trust 144A FRN Ser. 03-2A, Class G1, 4.496s,     
2033  474,081  474,784 
Banc of America Funding Corp. 144A Ser. 04-NIM1, Class Note, 6s, 2034  61,746  61,746 
Banc of America Mortgage Securities     
Ser. 04-D, Class 2A, IO, 0.721s, 2034  6,818,127  46,875 
Ser. 05-E, Class 2, IO, 0.306s, 2035  14,097,000  110,133 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4, 4.798s, 2011  470,000  478,868 
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014  173,000  173,000 
Bayview Financial Acquisition Trust     
Ser. 03-DA, Class A, IO, 4s, 2006  3,546,983  41,778 
Ser. 03-E, Class A, IO, 4s, 2006  2,471,246  27,251 
Ser. 04-B, Class A1, 4.338s, 2039  2,465,539  2,465,533 
Ser. 04-D, Class A, IO, 3 1/2s, 2007  8,578,230  338,688 
Ser. 05-B, Class A, IO, 2.422s, 2039  7,431,191  267,821 
FRB Ser. 04-D, Class A, 4.228s, 2044  1,578,621  1,580,325 
FRN Ser. 03-F, Class A, 4.338s, 2043  1,201,796  1,204,808 
FRN Ser. 03-G, Class A1, 4.438s, 2039  2,147,000  2,150,611 
Bayview Financial Acquisition Trust 144A Ser. 03-CA, Class A, IO, 4s,     
2005  721,600  2,239 
Bayview Financial Asset Trust Ser. 03-X, Class A, IO, 0.62s, 2006  14,119,636  239,091 

Bayview Financial Asset Trust 144A     
Ser. 03-Z, Class AIO1, IO, 0.282s, 2005  22,136,521  18,384 
FRN Ser. 03-SSRA, Class A, 4.53s, 2038  768,751  773,287 
FRN Ser. 03-SSRA, Class M, 5.18s, 2038  775,036  783,483 
FRN Ser. 04-SSRA, Class A1, 4.43s, 2039  670,935  673,820 
Bear Stearns Adjustable Rate Mortgage Trust Ser. 04-1, Class 11A1,     
3.677s, 2034  1,708,451  1,693,499 
Bear Stearns Alternate Trust     
Ser. 04-11, Class 2A2, 4.953s, 2034  1,275,780  1,274,332 
Ser. 04-12, Class 2A2, 5.063s, 2035  3,601,074  3,601,421 
Ser. 04-9, Class 1A1, 5.038s, 2034  451,370  451,276 
Ser. 05-2, Class 2A2A, 4.688s, 2035  609,600  607,944 
Ser. 05-5, Class 21A1, 4.695s, 2035  2,029,705  2,018,923 
Bear Stearns Asset Backed Securities NIM Trust 144A     
Ser. 04-FR1, Class A1, 5s, 2034 (Cayman Islands)  200,359  200,359 
Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)  113,093  112,510 
Ser. 04-HE10, Class A2, 5s, 2034 (Cayman Islands)  128,000  127,680 
Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)  200,695  200,695 
Ser. 04-HE7N, Class A1, 5 1/4s, 2034  141,215  141,215 
Ser. 04-HE8N, Class A1, 5s, 2034  63,976  63,916 
Bear Stearns Asset Backed Securities, Inc.     
Ser. 03-AC4, Class A, IO, 5s, 2006  3,258,600  52,652 
FRB Ser. 05-3, Class A1, 4.28s, 2035  783,828  783,583 
FRN Ser. 03-3, Class A2, 4.42s, 2043  943,000  946,831 
Capital Auto Receivables Asset Trust Ser. 05-1, Class D, 6 1/2s, 2011  582,000  571,451 
Capital One Multi-Asset Execution Trust FRB Ser. 02-C1, Class C1,     
6.518s, 2010  278,000  290,510 
CARMAX Auto Owner Trust Ser. 04-2, Class D, 3.67s, 2011  185,565  183,285 
CARSSX Finance, Ltd. 144A     
FRB Ser. 04-AA, Class B3, 7.118s, 2011 (Cayman Islands)  159,302  160,366 
FRB Ser. 04-AA, Class B4, 9.268s, 2011 (Cayman Islands)  489,870  496,619 
CDO Repackaging Trust Series 144A FRN Ser. 03-2, Class A, 8.01s,     
2008  1,505,000  1,629,163 
Centex Home Equity Ser. 04-C, Class A, IO, 3 1/2s, 2006  4,381,400  76,777 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C, 4.848s, 2010  860,000  877,105 
Chase Funding Net Interest Margin 144A Ser. 04-OPT1, Class Note,     
4.458s, 2034  223,756  222,637 
CHEC NIM Ltd., 144A     
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)  142,559  142,551 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  187,000  185,932 
Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands)  75,000  64,500 
Citibank Credit Card Issuance Trust FRN Ser. 01-C1, Class C1, 4.679s,     
2010  470,000  477,931 
Conseco Finance Securitizations Corp.     
Ser. 00-4, Class A6, 8.31s, 2032  3,120,000  2,684,136 
Ser. 00-5, Class A4, 7.47s, 2032  1,146,665  1,165,795 
Ser. 00-5, Class A6, 7.96s, 2032  1,638,000  1,416,180 
Ser. 01-1, Class A4, 6.21s, 2032  2,033,662  2,060,071 
Ser. 01-1, Class A5, 6.99s, 2032  3,013,000  2,808,239 
Ser. 01-3, Class A4, 6.91s, 2033  2,596,000  2,534,708 
Ser. 01-4, Class A4, 7.36s, 2033  2,675,000  2,680,425 
Ser. 01-4, Class B1, 9.4s, 2033  579,292  78,204 
Ser. 02-1, Class A, 6.681s, 2033  3,982,423  4,086,809 
Ser. 02-1, Class M2, 9.546s, 2033  1,750,000  875,000 
Ser. 02-2, Class A, IO, 8 1/2s, 2033  3,100,816  783,316 
Consumer Credit Reference IDX Securities 144A FRN Ser. 02-1A, Class     
A, 5.924s, 2007  1,226,000  1,243,900 
Countrywide Alternative Loan Trust     
Ser. 04-15, Class 1A1, 4.963s, 2034  387,680  388,164 
Ser. 05-24, Class 1AX, IO, 1.195s, 2035  11,737,289  319,108 
Ser. 05-24, Class IIAX, IO, 1.445s, 2035  9,737,690  352,991 
Countrywide Asset Backed Certificates 144A     
Ser. 04-11N, Class N, 5 1/4s, 2036  115,377  115,052 
Ser. 04-14N, 5s, 2036  224,431  223,379 
Ser. 04-1NIM, Class Note, 6s, 2034  360,307  359,947 
Ser. 04-6N, Class N1, 6 1/4s, 2035  734,905  735,594 
Ser. 04-BC1N, Class Note, 5 1/2s, 2035  150,553  150,412 
Countrywide Home Loans     
Ser. 05-2, Class 2X, IO, 0.886s, 2035  11,981,405  292,047 
Ser. 05-9, Class 1X, IO, 0.975s, 2035  10,340,750  268,213 
Countrywide Home Loans 144A Ser. 05-R2, Class 2A3, 8s, 2035  746,296  797,371 
Countrywide Partnership Trust 144A Ser. 04-EC1N, Class N, 5s, 2035  119,561  119,113 
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038 (Cayman Islands)  716,000  740,630 
CS First Boston Mortgage Securities Corp. 144A Ser. 04-FR1N, Class A,     
5s, 2034  354,613  353,727 
Fieldstone Mortgage Investment Corp. FRN Ser. 05-1, Class M3, 4.37s,     
2035  286,000  286,114 
Finance America NIM Trust 144A Ser. 04-1, Class A, 5 1/4s, 2034  142,714  142,714 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class D, 7.672s, 2039  2,160,000  2,181,263 
First Consumers Master Trust FRB Ser. 01-A, Class A, 4.078s, 2008  245,579  244,351 
First Franklin Mortgage Loan NIM Trust 144A     
Ser. 04-FF10, Class N1, 4.45s, 2034 (Cayman Islands)  144,980  144,780 
Ser. 04-FF7A, Class A, 5s, 2034  170,217  169,877 
First Horizon Mortgage Pass-Through Trust Ser. 05-AR2, Class 1A1,     
4.843s, 2035  1,131,473  1,128,851 

First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s, 2023  332,148  332,356 
Ford Credit Auto Owner Trust Ser. 04-A, Class C, 4.19s, 2009  480,000  472,575 
Fremont NIM Trust 144A     
Ser. 04-3, Class A, 4 1/2s, 2034  303,013  301,498 
Ser. 04-3, Class B, 7 1/2s, 2034  109,916  96,396 
Ser. 04-A, Class Note, 4 3/4s, 2034  28,321  28,242 
Ser. 04-B, Class Note, 4.703s, 2034  21,846  21,900 
Ser. 04-D, Class N1, 4 1/2s, 2034 (Cayman Islands)  258,788  258,167 
Ser. 04-D, Class N2, 7 1/2s, 2034 (Cayman Islands)  38,968  38,804 
G-Force CDO, Ltd. 144A Ser. 03-1A, Class E, 6.58s, 2038 (Cayman     
Islands)  418,000  427,144 
GE Capital Credit Card Master Note Trust FRB Ser. 04-2, Class C,     
4.248s, 2010  836,610  838,033 
GE Corporate Aircraft Financing, LLC 144A     
Ser. 04-1A, Class B, 4.491s, 2018  170,645  170,543 
FRB Ser. 05-1A, Class C, 5.119s, 2019  513,000  513,000 
GEBL 144A     
Ser. 04-2, Class C, 4.618s, 2032  266,441  267,774 
Ser. 04-2, Class D, 6.518s, 2032  356,221  356,218 
GMAC Mortgage Corp. Loan Trust     
Ser. 04-HE5, Class A, IO, 6s, 2007  3,349,000  216,011 
Ser. 05-AR1, Class 1A2, 4.422s, 2035  1,008,135  999,314 
Goldentree Loan Opportunities II, Ltd. 144A FRN Ser. 2A, Class 4,     
6.979s, 2015 (Cayman Islands)  230,000  233,243 
Granite Mortgages PLC     
FRB Ser. 02-1, Class 1C, 4.92s, 2042 (United Kingdom)  580,000  585,720 
FRB Ser. 02-2, Class 1C, 4.87s, 2043 (United Kingdom)  290,000  293,784 
FRN Ser. 01-1, Class 1C, 5.02s, 2041 (United Kingdom)  1,406,408  1,424,208 
FRN Ser. 04-1, Class 1C, 4.79s, 2044 (United Kingdom)  719,000  721,472 
Green Tree Financial Corp.     
Ser. 97-4, Class A7, 7.36s, 2029  345,045  363,936 
Ser. 97-6, Class A8, 7.07s, 2029  201,974  209,509 
Ser. 97-6, Class A9, 7.55s, 2029  381,628  403,241 
Ser. 97-7, Class A8, 6.86s, 2029  265,186  275,064 
Ser. 99-3, Class A5, 6.16s, 2031  110,908  111,601 
Ser. 99-3, Class A6, 6 1/2s, 2031  505,000  510,694 
Ser. 99-5, Class A5, 7.86s, 2030  6,610,000  5,872,070 
Greenpoint Manufactured Housing Ser. 00-3, Class IA, 8.45s, 2031  1,856,918  1,783,561 
Greenpoint Mortgage Funding Trust Ser. 05-AR1, Class X1, IO, 1.472s,     
2045  8,187,579  226,438 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011  1,045,538  1,036,296 
GSAMP Trust 144A     
Ser. 04-FM1N, Class Note, 5 1/4s, 2033  29,015  29,015 
Ser. 04-HE1N, Class N1, 5s, 2034  131,704  131,678 
Ser. 04-NIM1, Class N1, 5 1/2s, 2034  664,750  664,617 
Ser. 04-NIM1, Class N2, zero %, 2034  681,000  501,693 
Ser. 04-NIM2, Class N, 4 7/8s, 2034  824,448  821,150 
Ser. 04-SE2N, Class Note, 5 1/2s, 2034  41,148  41,107 
Ser. 05-NC1, Class N, 5s, 2035  308,531  307,852 
GSMPS Mortgage Loan Trust 144A     
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  845,724  893,740 
Ser. 05-RP2, Class 1A3, 8s, 2035  709,305  758,940 
Guggenheim Structured Real Estate Funding, Ltd. FRB Ser. 05-1A, Class     
D, 5.36s, 2030 (Cayman Islands)  797,000  796,276 
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A,     
Class D, 5.38s, 2030 (Cayman Islands)  400,000  400,000 
High Income Trust Securities 144A FRB Ser. 03-1A, Class A, 4.23s, 2036     
(Cayman Islands)  1,495,787  1,465,871 
Holmes Financing PLC     
FRB Ser. 1, Class 2C, 4.749s, 2040 (United Kingdom)  6,735,000  6,748,470 
FRB Ser. 4, Class 3C, 4.899s, 2040 (United Kingdom)  380,000  382,182 
FRB Ser. 8, Class 2C, 4.319s, 2040 (United Kingdom)  332,000  333,349 
Home Equity Asset Trust 144A     
Ser. 03-6N, Class A, 6 1/2s, 2034  1,747  1,742 
Ser. 04-3N, Class A, 5s, 2034  73,710  73,342 
Ser. 04-4N, Class A, 5s, 2034  190,398  189,208 
Ser. 04-5N, Class A, 5 1/4s, 2034  475,136  472,760 
Ser. 04-7N, Class A, 4 1/2s, 2035  979,610  971,038 
Ser. 05-6N, Class A, 5 1/4s, 2035  242,187  241,278 
Hyundai Auto Receivables Trust Ser. 04-A, Class D, 4.1s, 2011  188,000  185,129 
LNR CDO, Ltd. 144A     
FRB Ser. 02-1A, Class FFL, 6.58s, 2037 (Cayman Islands)  2,075,000  2,077,490 
FRB Ser. 03-1A, Class EFL, 6.83s, 2036 (Cayman Islands)  1,280,000  1,367,424 
Long Beach Asset Holdings Corp. NIM Trust 144A     
Ser. 04-2, Class N1, 4.94s, 2034  48,670  48,670 
Ser. 04-5, Class Note, 5s, 2034  250,791  250,766 
Ser. 05-1, Class N1, 4.115s, 2035  787,284  787,284 
Long Beach Mortgage Loan Trust     
Ser. 04-3, Class S1, IO, 4 1/2s, 2006  9,060,534  333,881 
Ser. 04-3, Class S2, IO, 4 1/2s, 2006  4,530,670  166,955 
Madison Avenue Manufactured Housing Contract     
Ser. 02-A IO, 0.3s, 2032  73,830,311  784,447 
FRB Ser. 02-A, Class B1, 7.08s, 2032  1,626,445  813,223 
Marriott Vacation Club Owner Trust 144A     
Ser. 04-2A, Class C, 4.741s, 2026  72,939  70,725 

Ser. 04-2A, Class D, 5.389s, 2026  73,602  71,411 
FRB Ser. 02-1A, Class A1, 4.496s, 2024  896,618  907,635 
Master Asset Backed Securities NIM Trust 144A     
Ser. 04-CI3, Class N1, 4.45s, 2034  13,602  13,602 
Ser. 04-CI5, Class N1, 4.946s, 2034  104,966  104,972 
Ser. 04-CI5, Class N2, 9s, 2034  187,000  186,430 
Ser. 04-HE1A, Class Note, 5.191s, 2034  114,561  114,904 
Master Reperforming Loan Trust 144A     
Ser. 05-1, Class 1A4, 7 1/2s, 2034  899,683  948,603 
Ser. 05-2, Class 1A3, 7 1/2s, 2035  546,744  578,510 
Master Adjustable Rate Mortgages Trust     
Ser. 04-03, Class 4AX, IO, 1.417s, 2034  1,749,202  41,544 
Ser. 05-2, Class 7AX, IO, 0.168s, 2035  4,464,669  13,952 
MBNA Credit Card Master Note Trust FRB Ser. 03-C5, Class C5, 4.948s,     
2010  860,000  875,054 
Merit Securities Corp. FRB Ser. 11PA, Class 3A1, 4.46s, 2027  2,538,113  2,436,588 
Merrill Lynch Mortgage Investors, Inc.     
Ser. 03-WM3N, Class N1, 8s, 2034  5,263  5,245 
Ser. 04-OP1N, Class N1, 4 3/4s, 2035 (Cayman Islands)  98,618  98,279 
Merrill Lynch Mortgage Investors, Inc. 144A     
Ser. 03-WM1N, Class N1, 7s, 2033  77,745  77,939 
Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)  47,957  47,972 
Ser. 04-HE1N, Class N1, 5s, 2006  66,067  65,840 
Ser. 04-HE2N, Class N1, 5s, 2035 (Cayman Islands)  197,045  196,245 
Ser. 04-WM1N, Class N1, 4 1/2s, 2034  36,543  36,577 
Ser. 04-WM2N, Class N1, 4 1/2s, 2005  40,463  40,312 
Ser. 04-WM3N, Class N1, 4 1/2s, 2005  140,914  140,429 
Ser. 05-WM1N, Class N1, 5s, 2035  464,446  464,664 
Metris Master Trust FRN Ser. 04-2, Class C, 5.146s, 2010  467,000  471,086 
Metris Master Trust 144A     
FRB Ser. 01-2, Class C, 5.696s, 2009  928,000  930,274 
FRB Ser. 04-2, Class D, 7.07s, 2010  500,000  505,000 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038  273,627  277,483 
MMCA Automobile Trust Ser. 02-1, Class B, 5.37s, 2010  1,277,679  1,272,824 
Morgan Stanley ABS Capital I FRB Ser. 04-WMC3, Class A2PT, 4.12s,     
2035  1,009,813  1,010,124 
Morgan Stanley Auto Loan Trust Ser. 04-HB2, Class D, 3.82s, 2012  44,538  44,421 
Morgan Stanley Auto Loan Trust 144A     
Ser. 04-HB1, Class D, 5 1/2s, 2011  483,000  482,148 
Ser. 04-HB2, Class E, 5s, 2012  226,000  220,586 
Morgan Stanley Dean Witter Capital I     
FRB Ser. 01-NC3, Class B1, 6.28s, 2031  115,855  115,855 
FRB Ser. 01-NC4, Class B1, 6.33s, 2032  140,248  140,434 
Morgan Stanley Mortgage Loan Trust     
Ser. 05-3AR, Class 2A2, 5.29s, 2035  2,518,107  2,525,878 
Ser. 05-5AR, Class 2A1, 5.475s, 2035  3,915,535  3,939,855 
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1, 4.28s, 2015     
(Cayman Islands)  520,000  521,612 
Navistar Financial Corp. Owner Trust     
Ser. 04-B, Class C, 3.93s, 2012  236,031  232,815 
Ser. 05-A, Class C, 4.84s, 2014  262,000  260,310 
New Century Home Equity Loan Trust Ser. 03-5, Class AI7, 5.15s, 2033  736,000  719,917 
New Century Mortgage Corp. NIM Trust 144A Ser. 03-B, Class Note, 6     
1/2s, 2033  10,873  10,879 
Newcastle CDO, Ltd. 144A FRB Ser. 3A, Class 4FL, 7.03s, 2038     
(Cayman Islands)  299,000  305,728 
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT, 9.184s, 2035  309,891  332,067 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2, Class PT, 9.231s,     
2034  309,516  331,859 
Novastar NIM Trust 144A Ser. 04-N2, Class Note, 4.458s, 2034  107,091  107,091 
Oakwood Mortgage Investors, Inc.     
Ser. 00-A, Class A3, 7.945s, 2022  897,690  760,944 
Ser. 02-C, Class A1, 5.41s, 2032  2,371,213  2,070,159 
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030  268,520  247,707 
Ocean Star PLC 144A     
FRB Ser. 04, Class D, 6.08s, 2018 (Ireland)  273,000  273,000 
FRB Ser. 05-A, Class D, 5.796s, 2012 (Ireland)  300,000  300,000 
Option One Mortgage Securities Corp. NIM Trust 144A Ser. 04-2A, Class     
N1, 4.213s, 2034 (Cayman Islands)  316,703  316,703 
Origen Manufactured Housing Ser. 04-B, Class A2, 3.79s, 2017  189,000  184,511 
Park Place Securities NIM Trust 144A     
Ser. 04-MCWN1, Class A, 4.458s, 2034  66,568  66,568 
Ser. 04-WCW2, Class D, 7.387s, 2034 (Cayman Islands)  330,000  331,254 
Ser. 04-WHQ2, Class A, 4s, 2035  382,965  379,614 
People's Choice Net Interest Margin Note 144A     
Ser. 04-2, Class A, 5s, 2034  413,340  414,269 
Ser. 04-2, Class B, 5s, 2034  140,000  126,840 
Permanent Financing PLC FRB Ser. 3, Class 3C, 4.98s, 2042 (United     
Kingdom)  580,000  589,606 
Providian Gateway Master Trust 144A     
Ser. 04-DA, Class D, 4.4s, 2011  415,000  404,495 
FRB Ser. 04-AA, Class D, 5.618s, 2011  535,000  544,823 
FRB Ser. 04-BA, Class D, 5.168s, 2010  920,000  925,353 

FRB Ser. 04-EA, Class D, 4.698s, 2011  267,000  269,178 
Renaissance Home Equity Loan Trust Ser. 03-2, Class A, IO, 3s, 2005  522,960  2,536 
Renaissance NIM Trust 144A     
Ser. 04-A, Class Note, 4.45s, 2034  23,979  23,950 
Ser. 05-1, Class N, 4.7s, 2035  259,787  259,787 
Residential Accredit Loans, Inc.     
Ser. 04-QA5, Class A2, 4.99s, 2034  396,322  396,055 
Ser. 04-QA6, Class NB1, 4.969s, 2034  1,894,296  1,892,111 
Residential Asset Mortgage Products, Inc. Ser. 04-RZ2, Class A, IO, 3     
1/2s, 2006  1,735,067  29,516 
Residential Asset Securities Corp. Ser. 03-KS4, Class AI, IO, 3 1/2s, 2005  196,457  544 
Residential Asset Securities Corp. 144A     
Ser. 04-N10B, Class A1, 5s, 2034  406,810  405,221 
Ser. 04-NT, Class Note, 5s, 2034  390,561  387,632 
Ser. 04-NT12, Class Note, 4.7s, 2035  150,393  150,393 
Residential Asset Securities Corp. NIM Trust 144A Ser. 05-NTR1, Class     
Note, 4 1/4s, 2035  817,327  815,284 
Residential Funding Mortgage Securities II     
Ser. 03-HS2, Class AI, IO, 5 1/2s, 2005  982,726  8,626 
Ser. 03-HS3, Class AI, IO, 5s, 2006  1,547,772  22,551 
SAIL Net Interest Margin Notes 144A     
Ser. 03-12A, Class A, 7.35s, 2033 (Cayman Islands)  36,527  36,527 
Ser. 03-13A, Class A, 6 3/4s, 2033 (Cayman Islands)  14,326  14,326 
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)  10,706  10,695 
Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands)  19,492  17,972 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)  10,217  9,022 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)  9,344  9,344 
Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)  26,242  22,621 
Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)  29,601  16,547 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)  44,416  26,783 
Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)  72,099  48,522 
Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)  731,191  728,266 
Ser. 04-11A, Class A2, 4 3/4s, 2035 (Cayman Islands)  743,311  740,338 
Ser. 04-2A, Class A, 5 1/2s, 2034 (Cayman Islands)  284,040  275,802 
Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands)  329,935  329,935 
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands)  160,000  147,840 
Ser. 04-5A, Class A, 4 1/2s, 2034 (Cayman Islands)  84,750  84,665 
Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands)  143,347  143,204 
Ser. 04-7A, Class B, 6 3/4s, 2034 (Cayman Islands)  55,946  54,827 
Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)  161,818  161,818 
Ser. 04-8A, Class B, 6 3/4s, 2034 (Cayman Islands)  225,005  207,004 
Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)  661,823  660,300 
Ser. 04-BN2A, Class A, 5s, 2034 (Cayman Islands)  120,143  119,662 
Ser. 04-BNCA, Class A, 5s, 2034 (Cayman Islands)  44,516  44,516 
Ser. 05-1A, Class A, 4 1/4s, 2035 (Cayman Islands)  725,215  720,139 
Ser. 05-2A, Class A, 4 3/4s, 2035 (Cayman Islands)  106,994  106,566 
Sasco Net Interest Margin Trust 144A     
Ser. 05-NC1A, Class A, 4 3/4s, 2035  773,428  770,566 
Ser. 05-WF1A, Class A, 4 3/4s, 2035  151,430  150,976 
Sharps SP I, LLC Net Interest Margin Trust 144A     
Ser. 03-0P1N, Class NA, 4.45s, 2033  67,470  67,470 
Ser. 03-HE1N, Class N, 6.9s, 2033  22,248  22,303 
Ser. 04-4N, Class Note, 6.65s, 2034  75,280  75,280 
Ser. 04-HE1N, Class Note, 4.94s, 2034  90,494  90,494 
Ser. 04-HE2N, Class NA, 5.43s, 2034  64,047  63,887 
Ser. 04-HE4N, Class NA, 3 3/4s, 2034  707,973  704,433 
Ser. 04-HS1N, Class Note, 5.92s, 2034  65,778  65,778 
Ser. 04-RM2N, Class NA, 4s, 2035  351,721  350,402 
South Coast Funding 144A FRB Ser. 3A, Class A2, 4.96s, 2038 (Cayman     
Islands)  235,000  235,094 
Structured Adjustable Rate Mortgage Loan Trust     
Ser. 04-10, Class 1A1, 4.919s, 2034  771,225  772,650 
Ser. 04-12, Class 1A2, 5.011s, 2034  1,071,376  1,073,940 
Ser. 04-14, Class 1A, 5.108s, 2034  1,367,627  1,371,946 
Ser. 04-16, Class 1A2, 5.018s, 2034  1,509,748  1,512,890 
Ser. 04-18, Class 1A1, 5.047s, 2034  986,303  988,313 
Ser. 04-20, Class 1A2, 5.08s, 2035  2,634,762  2,639,914 
Ser. 04-4, Class 1A1, 4.771s, 2034  235,384  235,752 
Ser. 04-6, Class 1A, 4.38s, 2034  3,210,470  3,199,824 
Ser. 04-8, Class 1A3, 4.697s, 2034  61,657  61,584 
Ser. 05-1, Class 1A1, 5.146s, 2035  3,966,536  3,978,532 
Ser. 05-9, Class AX, IO, 0.927s, 2035  21,662,132  645,532 
Structured Adjustable Rate Mortgage Loan Trust 144A Ser. 04-NP2,     
Class A, 4.18s, 2034  1,095,042  1,095,151 
Structured Asset Investment Loan Trust Ser. 03-BC1A, Class A, 7 3/4s,     
2033 (Cayman Islands)  18,471  18,471 
Structured Asset Receivables Trust 144A FRB Ser. 05-1, 4.13s, 2015  2,174,514  2,143,256 
Structured Asset Securities Corp.     
Ser. 03-26A, Class 2A, 4.548s, 2033  879,360  882,866 
Ser. 03-40A, Class 1A, 4.9s, 2034  544,580  547,861 
Ser. 04-8, Class 1A1, 4.697s, 2034  616,567  616,369 
IFB Ser. 05-10, Class 3A3, 9.27s, 2034  1,423,374  1,403,695 
IFB Ser. 05-6, Class 5A8, 6.24s, 2035  1,868,180  1,736,275 
Structured Asset Securities Corp. 144A     

FRB Ser. 03-NP2, Class A2, 4.38s, 2032  389,646  389,646 
FRN Ser. 03-NP3, Class A1, 4.33s, 2033  82,063  82,072 
Terwin Mortgage Trust FRB Ser. 04-5HE, Class A1B, 4.25s, 2035  1,219,549  1,221,313 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 (Cayman     
Islands)  718,000  687,491 
Wells Fargo Home Equity Trust 144A     
Ser. 04-1N, Class A, 5s, 2034  129,775  129,775 
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)  424,396  423,861 
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  378,000  366,660 
Wells Fargo Mortgage Backed Securities Trust     
Ser. 05-AR9, Class 1A2, 4.354s, 2035  899,843  885,881 
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035  18,344,000  323,886 
Ser. 05-AR12, Class 2A5, 4.322s, 2035  8,480,000  8,282,620 
WFS Financial Owner Trust     
Ser. 04-1, Class D, 3.17s, 2011  146,243  144,187 
Ser. 04-3, Class D, 4.07s, 2012  312,377  308,688 
Ser. 04-4, Class D, 3.58s, 2012  146,330  144,278 
Ser. 05-1, Class D, 4 1/4s, 2012  246,439  243,812 
Whole Auto Loan Trust Ser. 03-1, Class C, 3.13s, 2010  105,272  104,391 
Whole Auto Loan Trust 144A     
Ser. 03-1, Class D, 6s, 2010  346,757  346,703 
Ser. 04-1, Class D, 5.6s, 2011  586,469  583,720 
Total asset-backed securities (cost $204,930,842)    $200,100,871 
 
CORPORATE BONDS AND NOTES (13.9%)(a)     
  Principal amount  Value 
 
 
Basic Materials (0.6%)     
Alcan, Inc. notes 5s, 2015 (Canada)  $215,000  $211,433 
Dow Chemical Co. (The) debs. 8.55s, 2009  550,000  625,789 
Dow Chemical Co. (The) notes 6s, 2012  65,000  68,833 
Dow Chemical Co. (The) Pass Through Trust 144A company guaranty     
4.027s, 2009  695,000  668,910 
Georgia-Pacific Corp. sr. notes 8s, 2014  330,000  361,350 
ICI Wilmington, Inc. company guaranty 5 5/8s, 2013  530,000  534,957 
International Paper Co. notes 6 3/4s, 2011  285,000  305,453 
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014  190,000  190,667 
Newmont Mining Corp. notes 5 7/8s, 2035  275,000  269,525 
Potash Corp. of Saskatchewan notes 7 3/4s, 2011 (Canada)  225,000  255,974 
Praxair, Inc. notes 6 3/8s, 2012  230,000  250,123 
Teck Cominco Ltd. notes 6 1/8s, 2035 (Canada)  265,000  259,064 
Teck Cominco Ltd. notes 5 3/8s, 2015 (Canada)  50,000  49,721 
Weyerhaeuser Co. debs. 7.95s, 2025  485,000  569,728 
Weyerhaeuser Co. debs. 7 3/8s, 2032  390,000  441,175 
Weyerhaeuser Co. notes 6 3/4s, 2012  25,000  27,014 
    5,089,716 
 
Capital Goods (0.5%)     
Boeing Capital Corp. sr. notes 6.1s, 2011  65,000  69,037 
Boeing Co. (The) debs. 6 7/8s, 2043  305,000  364,843 
Bunge Ltd. Finance Corp. notes 5.35s, 2014  380,000  381,879 
L-3 Communications Corp. 144A sr. sub. notes 6 3/8s, 2015  240,000  241,800 
Lockheed Martin Corp. bonds 8 1/2s, 2029  560,000  772,608 
Raytheon Co. debs. 7s, 2028  280,000  328,068 
Raytheon Co. debs. 6 3/4s, 2018  35,000  39,468 
Raytheon Co. debs. 6s, 2010  286,000  298,674 
Raytheon Co. notes 8.3s, 2010  410,000  465,187 
Raytheon Co. notes 4.85s, 2011  370,000  367,330 
Sealed Air Corp. 144A notes 5 5/8s, 2013  435,000  436,195 
    3,765,089 
 
Communication Services (1.3%)     
Ameritech Capital Funding company guaranty 6 1/4s, 2009  325,000  338,333 
AT&T Corp. sr. notes 9 3/4s, 2031  270,000  341,888 
AT&T Wireless Services, Inc. notes 8 1/8s, 2012  265,000  310,759 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031  965,000  1,302,555 
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011  140,000  159,390 
Bellsouth Capital Funding notes 7 3/4s, 2010  120,000  133,701 
Citizens Communications Co. sr. notes 6 1/4s, 2013  305,000  292,800 
Deutsche Telekom International Finance BV notes 5 1/4s, 2013     
(Germany)  790,000  797,584 
France Telecom notes 8 1/2s, 2031 (France)  85,000  113,913 
France Telecom notes 7 3/4s, 2011 (France)  570,000  647,217 
Sprint Capital Corp. company guaranty 7 5/8s, 2011  665,000  744,138 
Sprint Capital Corp. company guaranty 6.9s, 2019  520,000  582,163 
Sprint Capital Corp. company guaranty 6 7/8s, 2028  1,565,000  1,728,818 
Telecom Italia Capital notes 5 1/4s, 2015 (Luxembourg)  425,000  418,896 
Telecom Italia Capital SA company guaranty 6 3/8s, 2033 (Luxembourg)  55,000  56,574 

Telecom Italia Capital SA company guaranty 5 1/4s, 2013 (Luxembourg)    550,000  546,101 
Telecom Italia Capital SA 144A company guaranty 4s, 2010       
(Luxembourg)    560,000  539,140 
Telefonica Europe BV company guaranty 8 1/4s, 2030 (Netherlands)    240,000  320,180 
Verizon Global Funding Corp. notes 7 3/4s, 2030    135,000  164,468 
Verizon New England, Inc. sr. notes 6 1/2s, 2011    975,000  1,037,632 
Verizon New Jersey, Inc. debs. 8s, 2022    40,000  46,633 
Verizon Virginia Inc. debs. Ser. A, 4 5/8s, 2013    850,000  808,631 
      11,431,514 
 
Conglomerates (0.1%)       
Tyco International Group SA company guaranty 7s, 2028 (Luxembourg)    350,000  404,539 
    440,000  475,247 
      879,786 
 
Consumer Cyclicals (1.2%)       
Cendant Corp. notes 6 1/4s, 2010    1,015,000  1,048,648 
Cendant Corp. sr. notes 7 3/8s, 2013    325,000  354,637 
D.R. Horton, Inc. company guaranty 8s, 2009    225,000  241,284 
D.R. Horton, Inc. sr. notes 5 7/8s, 2013    375,000  366,410 
DaimlerChrysler NA Holding Corp. company guaranty 7.2s, 2009    1,575,000  1,680,270 
DaimlerChrysler NA Holding Corp. company guaranty 6 1/2s, 2013    410,000  434,104 
Ford Motor Credit Corp. notes 7 3/4s, 2007    145,000  146,756 
Ford Motor Credit Corp. notes 7 3/8s, 2009    1,865,000  1,801,491 
General Motors Acceptance Corp. FRN 4.559s, 2007    720,000  700,145 
General Motors Acceptance Corp. FRN Ser. MTN, 4.67s, 2007    760,000  744,051 
General Motors Acceptance Corp. FRN Ser. MTN, 4.509s, 2007    475,000  466,831 
GTECH Holdings Corp. notes 4 3/4s, 2010    275,000  251,305 
Harrah's Operating Co., Inc. 144A bonds 5 3/4s, 2017    285,000  278,964 
Hilton Hotels Corp. notes 8 1/4s, 2011    605,000  685,760 
JC Penney Co., Inc. debs. 7 1/8s, 2023    330,000  363,000 
May Department Stores Co. (The) notes 5 3/4s, 2014    145,000  147,181 
Park Place Entertainment Corp. sr. notes 7s, 2013    490,000  531,438 
      10,242,275 
 
Consumer Staples (1.4%)       
Archer Daniels Midland Co. notes 5 3/8s, 2035    535,000  518,365 
Chancellor Media Corp. company guaranty 8s, 2008    135,000  145,364 
Clear Channel Communications, Inc. sr. notes 5 3/4s, 2013    65,000  64,317 
Comcast Corp. company guaranty 4.95s, 2016    280,000  268,131 
Cox Communications, Inc. notes 7 3/4s, 2010    145,000  160,452 
Cox Communications, Inc. notes 6 3/4s, 2011    390,000  416,272 
Cox Enterprises, Inc. 144A notes 7 7/8s, 2010    495,000  547,521 
CVS Corp. 144A pass-through certificates 6.117s, 2013    506,139  529,411 
Delhaize America, Inc. company guaranty 8 1/8s, 2011    645,000  699,059 
Jones Intercable, Inc. sr. notes 7 5/8s, 2008    1,475,000  1,566,238 
Kraft Foods, Inc. notes 6 1/4s, 2012    590,000  630,006 
Kraft Foods, Inc. notes 5 5/8s, 2011    575,000  594,100 
Kroger Co. company guaranty 6 3/4s, 2012    20,000  21,478 
Miller Brewing Co. 144A notes 5 1/2s, 2013    665,000  673,927 
News America Holdings, Inc. debs. 7 3/4s, 2045    345,000  405,089 
News America, Inc. debs. 7 1/4s, 2018    215,000  244,024 
Supervalu, Inc. notes 7 7/8s, 2009    305,000  331,365 
TCI Communications, Inc. debs. 8 3/4s, 2015    580,000  720,172 
TCI Communications, Inc. debs. 7 7/8s, 2013    345,000  398,891 
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023    320,000  388,156 
Time Warner, Inc. company guaranty 6.95s, 2028    150,000  162,535 
Time Warner, Inc. debs. 9.15s, 2023    370,000  477,889 
Time Warner, Inc. debs. 9 1/8s, 2013    1,220,000  1,489,677 
Turner Broadcasting System, Inc. sr. notes 8 3/8s, 2013    220,000  259,279 
      11,711,718 
 
Energy (0.3%)       
Amerada Hess Corp. bonds 7 7/8s, 2029    305,000  374,085 
Buckeye Partners LP notes 5.3s, 2014    250,000  249,110 
Enbridge Energy Partners LP sr. notes 5.35s, 2014    245,000  243,610 
Forest Oil Corp. sr. notes 8s, 2011    250,000  276,250 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012    435,000  439,836 
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015    50,000  53,500 
Sunoco, Inc. notes 4 7/8s, 2014    260,000  254,335 
Valero Energy Corp. sr. unsecd. notes 7 1/2s, 2032    305,000  368,138 
      2,258,864 
 
Financial (6.1%)       
Allfirst Financial Inc. sub. notes 7.2s, 2007    505,000  525,052 
Associates First Capital Corp. debs. 6.95s, 2018    2,015,000  2,352,482 
AXA Financial, Inc. sr. notes 7 3/4s, 2010    625,000  699,095 

Bank of America Corp. notes 4 3/4s, 2015  155,000  151,597 
Bank of America Corp. sub. notes 7.4s, 2011  650,000  725,896 
Bank of New York Co., Inc. (The) sr. sub. notes FRN 3.4s, 2013  210,000  203,131 
Bank One Corp. sub. debs. 7 5/8s, 2026  570,000  698,527 
Bank One Corp. sub. notes 5 1/4s, 2013  100,000  100,821 
Bank United Corp. notes Ser. A, 8s, 2009  1,610,000  1,767,830 
Barclays Bank PLC FRB 6.278s, 2049 (United Kingdom)  460,000  453,100 
Block Financial Corp. notes 5 1/8s, 2014  335,000  325,065 
Bosphorus Financial Services, Ltd. 144A sec. FRN 5.59s, 2012 (Cayman     
Islands)  1,218,000  1,181,601 
Capital One Bank notes 6 1/2s, 2013  270,000  289,636 
CenterPoint Properties Trust notes Ser. MTN, 4 3/4s, 2010 (R)  320,000  313,308 
CIT Group, Inc. sr. notes 7 3/4s, 2012  210,000  240,827 
CIT Group, Inc. sr. notes 5s, 2015  160,000  157,634 
CIT Group, Inc. sr. notes 5s, 2014  1,435,000  1,420,010 
Citigroup, Inc. sub. notes 6s, 2033  130,000  135,610 
Citigroup, Inc. sub. notes 5s, 2014  1,316,000  1,308,895 
Colonial Properties Trust notes 6 1/4s, 2014 (R)  295,000  305,346 
Countrywide Capital III company guaranty Ser. B, 8.05s, 2027  495,000  596,648 
Credit Suisse First Boston USA, Inc. notes 4 7/8s, 2015  350,000  343,186 
Developers Diversified Realty Corp. notes 4 5/8s, 2010 (R)  205,000  199,711 
Equity One, Inc. company guaranty 3 7/8s, 2009 (R)  815,000  777,921 
ERP Operating LP notes 6.584s, 2015  245,000  267,936 
Executive Risk Capital Trust company guaranty Ser. B, 8.675s, 2027  805,000  872,872 
Fleet Capital Trust V bank guaranty FRN 4.886s, 2028  470,000  470,480 
Franchise Finance Corp. of America sr. notes 8 3/4s, 2010 (R)  840,000  986,136 
Fund American Cos. Inc. notes 5 7/8s, 2013  650,000  647,083 
General Electric Capital Corp. notes Ser. A, 6s, 2012  350,000  372,549 
General Electric Capital Corp. notes Ser. MTNA, 6 1/8s, 2011  190,000  201,510 
Goldman Sachs Group, Inc. (The) notes 5 1/8s, 2015  755,000  752,663 
Goldman Sachs Group, Inc. (The) notes 4 3/4s, 2013  690,000  675,992 
Greenpoint Capital Trust I company guaranty 9.1s, 2027  265,000  290,135 
Hartford Financial Services Group, Inc. (The) sr. notes 7.9s, 2010  525,000  589,523 
Heritage Property Investment Trust company guaranty 5 1/8s, 2014 (R)  325,000  317,681 
Hospitality Properties Trust notes 6 3/4s, 2013 (R)  805,000  862,260 
Household Finance Corp. notes 8s, 2010  45,000  50,777 
Household Finance Corp. notes 7s, 2012  330,000  365,205 
HRPT Properties Trust bonds 5 3/4s, 2014 (R)  220,000  223,955 
HRPT Properties Trust notes 6 1/4s, 2016 (R)  245,000  257,172 
HSBC Capital Funding LP 144A bank guaranty FRB 9.547s, 2049     
(Jersey)  1,150,000  1,363,997 
HSBC Capital Funding LP 144A bank guaranty FRB 4.61s, 2013 (Jersey)  1,015,000  970,985 
HSBC Finance Corp. notes 5 1/4s, 2015  1,135,000  1,140,310 
International Lease Finance Corp. FRN Ser. MTNP, 3.999s, 2010  850,000  853,243 
International Lease Finance Corp. notes 4 3/4s, 2012  1,075,000  1,055,094 
International Lease Finance Corp. unsecd. notes 4 7/8s, 2010  415,000  412,969 
iStar Financial, Inc. sr. notes 8 3/4s, 2008 (R)  85,000  93,102 
iStar Financial, Inc. sr. notes 6s, 2010 (R)  480,000  492,944 
John Hancock Global Funding II 144A notes 7.9s, 2010  375,000  425,895 
JPMorgan Chase & Co. sub. notes 5 1/8s, 2014  1,195,000  1,191,995 
JPMorgan Chase Capital XV notes 5 7/8s, 2035  515,000  504,111 
Kimco Realty Corp. notes Ser. MTNC, 5.19s, 2013 (R)  230,000  229,699 
Lehman Brothers Holdings, Inc. notes 6 5/8s, 2012  30,000  32,634 
Lehman Brothers Holdings, Inc. notes Ser. G, 4.8s, 2014  425,000  417,519 
Liberty Mutual Insurance 144A notes 7.697s, 2097  1,860,000  1,888,022 
Loews Corp. notes 5 1/4s, 2016  210,000  204,401 
MetLife, Inc. notes 5.7s, 2035  265,000  263,432 
MetLife, Inc. notes 5s, 2015  610,000  602,131 
Morgan Stanley Dean Witter & Co. sr. notes 6 3/4s, 2011  360,000  391,622 
National City Bank bonds 4 5/8s, 2013  635,000  622,549 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  235,000  239,453 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  205,000  256,830 
NB Capital Trust IV company guaranty 8 1/4s, 2027  2,110,000  2,281,115 
Nuveen Investments, Inc. sr. notes 5 1/2s, 2015  205,000  202,522 
Nuveen Investments, Inc. sr. notes 5s, 2010  205,000  202,960 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  305,000  342,977 
PNC Bank NA notes 4 7/8s, 2017  420,000  409,626 
Principal Life Global Funding I 144A sec. notes 5 1/4s, 2013  760,000  774,910 
Protective Life Corp. notes 4.3s, 2013  435,000  415,435 
Prudential Holdings LLC 144A bonds 8.695s, 2023  515,000  658,355 
Prudential Insurance Co. 144A notes 8.3s, 2025  390,000  504,267 
Rabobank Capital Funding Trust 144A sub. notes FRN 5.254s, 2049  455,000  453,324 
Rouse Co. (The) notes 7.2s, 2012 (R)  430,000  453,985 
Royal Bank of Scotland Group PLC bonds Ser. 1, 9.118s, 2049 (United     
Kingdom)  820,000  953,338 
Royal Bank of Scotland Group PLC FRB 7.648s, 2049 (United Kingdom)  110,000  133,724 
Simon Property Group LP notes 5 5/8s, 2014 (R)  295,000  302,084 
Sovereign Bancorp, Inc. 144A sr. notes 4.8s, 2010  295,000  292,903 
State Street Capital Trust II notes FRN 4.29s, 2008  565,000  565,416 
Sun Life Canada Capital Trust 144A company guaranty 8.526s, 2049  940,000  1,022,608 
Suncorp-Metway, Ltd. 144A notes FRN 3 1/2s, 2013 (Australia)  635,000  616,187 
Transamerica Capital III company guaranty 7 5/8s, 2037  450,000  526,844 
UBS AG/Jersey Branch FRN 6.89s, 2008 (Jersey)  1,485,000  1,542,544 

UBS Preferred Funding Trust I company guaranty 8.622s, 2049  595,000  689,286 
Wachovia Bank NA sub. notes 4 7/8s, 2015  810,000  798,715 
Westpac Capital Trust III 144A sub. notes FRN 5.819s, 2049 (Australia)  645,000  664,866 
    51,937,786 
 
Health Care (0.3%)     
American Home Products Corp. notes 6.95s, 2011  1,065,000  1,169,885 
Bayer Corp. 144A FRB 6.2s, 2008  430,000  442,578 
HCA, Inc. sr. notes 6.95s, 2012  205,000  210,870 
Hospira, Inc. notes 5.9s, 2014  175,000  182,224 
WellPoint, Inc. notes 5s, 2014  230,000  228,811 
WellPoint, Inc. notes 4 1/4s, 2009  230,000  224,975 
    2,459,343 
 
Technology (0.2%)     
Avnet, Inc. notes 6s, 2015  310,000  304,303 
Computer Associates International, Inc. 144A sr. notes 5 5/8s, 2014  400,000  397,006 
Motorola, Inc. notes 7 5/8s, 2010  195,000  225,217 
Motorola, Inc. notes 4.608s, 2007  330,000  329,618 
    1,256,144 
 
Transportation (0.4%)     
Continental Airlines, Inc. pass-through certificates Ser. 98-2, 6.32s, 2008  1,860,000  1,850,147 
CSX Corp. notes 6 3/4s, 2011  420,000  455,094 
Norfolk Southern Corp. sr. notes 6 3/4s, 2011  380,000  414,071 
Union Pacific Corp. 144A pass-through certificates 5.214s, 2014  295,000  297,186 
    3,016,498 
 
Utilities & Power (1.5%)     
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  330,000  336,857 
Appalachian Power Co. sr. notes 5.8s, 2035  255,000  251,494 
Atmos Energy Corp. notes 4.95s, 2014  380,000  370,867 
Beaver Valley II Funding debs. 9s, 2017  415,000  492,954 
Boardwalk Pipelines LLC notes 5 1/2s, 2017  145,000  144,048 
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011  515,000  578,420 
Cleveland Electric Illuminating Co. (The) 144A sr. notes Ser. D, 7.88s,     
2017  225,000  275,632 
Consumers Energy Co. 1st mtge. 5.65s, 2020  190,000  192,670 
Consumers Energy Co. 1st mtge. 5s, 2012  495,000  492,468 
Consumers Energy Co. 1st mtge. Ser. B, 5 3/8s, 2013  370,000  374,030 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013  350,000  352,209 
Entergy Gulf States, Inc. 1st mtge. 3.6s, 2008  230,000  220,844 
FirstEnergy Corp. notes Ser. B, 6.45s, 2011  40,000  42,591 
FirstEnergy Corp. notes Ser. C, 7 3/8s, 2031  286,000  335,440 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  230,000  244,004 
Ipalco Enterprises, Inc. sec. notes 8 3/8s, 2008  160,000  169,600 
Kansas Gas & Electric 144A bonds 5.647s, 2021  120,000  118,757 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012  320,000  344,281 
MidAmerican Energy Holdings Co. sr. notes 5 7/8s, 2012  540,000  563,440 
Monongahela Power Co. 1st mtge. 5s, 2006  905,000  906,852 
National Fuel Gas Co. notes 5 1/4s, 2013  270,000  270,725 
Nevada Power Co. 2nd mtge. 9s, 2013  224,000  248,780 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s, 2015  160,000  157,705 
NiSource Finance Corp. company guaranty 5.45s, 2020  535,000  523,332 
NiSource Finance Corp. company guaranty 5 1/4s, 2017  60,000  58,646 
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033  375,000  442,674 
Oncor Electric Delivery Co. sec. notes 6 3/8s, 2012  600,000  642,998 
Pacific Gas & Electric Co. 1st mtge. 4.8s, 2014  245,000  239,885 
PacifiCorp Sinking Fund 1st mtge. 5.45s, 2013  485,000  499,855 
Pepco Holdings, Inc. notes 5 1/2s, 2007  365,000  369,571 
Power Receivable Finance, LLC 144A sr. notes 6.29s, 2012  568,274  581,538 
PP&L Capital Funding, Inc. company guaranty Ser. D, 8 3/8s, 2007  270,000  285,515 
Public Service Co. of Colorado sr. notes Ser. A, 6 7/8s, 2009  390,000  417,008 
Public Service Co. of New Mexico sr. notes 4.4s, 2008  270,000  266,102 
Public Service Electric & Gas Co. 1st mtge. 6 3/8s, 2008  375,000  388,849 
Southern California Edison Co. 1st mtge. 5s, 2016  140,000  139,345 
Southern California Edison Co. 1st mtge. 5s, 2014  435,000  435,318 
Tampa Electric Co. notes 6 7/8s, 2012  275,000  303,543 
Westar Energy, Inc. 1st mtge. 5.1s, 2020  330,000  320,701 
York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (F)  80,689   6,729 
    13,406,277 
 
Total corporate bonds and notes (cost $116,189,042)    $117,455,010 
 
MUNICIPAL BONDS AND NOTES (0.1%)(a)     

  Rating (RAT)  Principal amount  Value 
NJ State Tpk. Auth. Rev. Bonds, Ser. B, AMBAC       
4.252s, 1/1/16  Aaa  $530,000  $507,385 
4.252s, 1/1/16 (Prerefunded)  Aaa  25,000  23,842 
Total municipal bonds and notes (cost $554,944)      $531,227 
UNITS (--%)(a) (cost $198,844)       
    Units  Value 
Cendant Corp. unit 4.89s, 2006    3,300  $164,689 
COMMON STOCKS (--%)(a) (cost $--)       
    Shares  Value 
Birch Telecom, Inc. (F) (NON)    273  $-- 
SHORT-TERM INVESTMENTS (13.6%)(a)       
    Principal amount  Value 
Putnam Prime Money Market Fund (e)    $114,049,600  $114,049,600 
U.S. Treasury Bills zero%, November 3, 2005 (SEG)    1,255,000  1,251,451 
Total short-term investments (cost $115,301,051)      $115,301,051 

TOTAL INVESTMENTS  		     

Total investments (cost $922,967,325) (b)  		    $911,702,660 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)       
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Euro 90 day (Short)  47  $11,208,913  Jun-06  $45,199 
Euro 90 day (Short)  47  11,207,738  Sep-06  42,711 
Euro 90 day (Short)  28  6,681,500  Mar-06  29,021 
Euro 90 day (Short)  23  5,497,863  Dec-05  21,763 
U.S. Treasury Bond (Long)  1,038  118,753,688  Dec-05  (2,439,445) 
U.S. Treasury Note 2 yr (Short)  213  43,854,703  Dec-05  135,816 
U.S. Treasury Note 5 yr (Long)  666  71,168,344  Dec-05  (513,061) 
U.S. Treasury Note 10 yr (Short)  557  61,226,484  Dec-05  601,002 
Total        $(2,076,994) 

TBA SALE COMMITMENTS OUTSTANDING at 9/30/05 (proceeds receivable $28,880,389) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FHLMC, 6 1/2s, October 1, 2035  $19,620,000  10/13/05  $20,164,150 
FNMA, 5 1/2s, October 1, 2035  7,900,000  10/13/05  7,897,531 
FNMA, 5s, July 1, 2035  700,000  7/14/05  689,609 
Total      $28,751,290 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date  (depreciation) 
Agreement with Bank of America, N.A. dated March 31, 2005 to pay     
semi-annually the notional amount multiplied by 4.6375% and receive     
quarterly the notional amount multiplied by the three month USD-     
LIBOR.  $39,200,000  4/6/10  $(542,203) 
 
Agreement with Bank of America, N.A. dated January 12, 2005 to     
receive semi-annually the notional amount multiplied by 4.106% and     
pay quarterly the notional amount multiplied by the three month USD-     
LIBOR.  35,700,000  1/14/10  (699,168) 
 
Agreement with Bank of America, N.A. dated December 20, 2004 to     
pay semi-annually the notional amount multiplied by 3.965% and     
receive quarterly the notional amount multiplied by the three month     
USD-LIBOR.  29,313,000  12/22/09  452,280 
 
Agreement with Bank of America, N.A. dated March 25, 2004 to pay     
semi-annually the notional amount multiplied by 3.075% and receive     
quarterly the notional amount multiplied by the three month USD-     
LIBOR.  24,800,000  3/30/09  1,219,164 
 
Agreement with Bank of America, N.A. dated January 26, 2004 to     
receive semi-annually the notional amount multiplied by 5.2125% and     
pay quarterly the notional amount multiplied by the three month USD-     
LIBOR.  23,974,000  1/28/24  773,705 
 
Agreement with Bank of America, N.A. dated May 18, 2005 to receive     
semi-annually the notional amount multiplied by 4.528% and pay     
quarterly the notional amount multiplied by the three month USD-      
LIBOR.  22,000,000  5/20/15  (144,939) 
 
Agreement with Bank of America, N.A. dated June 15, 2005 to pay     
semi-annually the notional amount multiplied by 4.555% and receive     
quarterly the notional amount multiplied by the three month USD-     
LIBOR.  8,300,000  6/17/15  42,693 
 
Agreement with Bank of America, N.A. dated August 30, 2005 to pay     
semi-annually the notional amount multiplied by 4.53125% and receive     
quarterly the notional amount multiplied by the three month USD-     
LIBOR-BBA.  7,000,000  9/1/15  (135,260) 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay     
semi-annually the notional amount multiplied by 4.466% and receive     
quarterly the notional amount multiplied by the three month USD-     
LIBOR.  3,000,000  6/23/15  38,383 
 
Agreement with Bank of America, N.A. dated June 22, 2005 to pay     
semi-annually the notional amount multiplied by 4.39% and receive     
quarterly the notional amount multiplied by the three month USD-     
LIBOR.  1,500,000  6/24/15  27,958 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay     
semi-annually the notional amount multiplied by 4.45% and receive     
quarterly the notional amount multiplied by the three month USD-     
LIBOR.  1,240,000  6/23/15  17,453 
 
Agreement with Credit Suisse First Boston International dated May 13,     
2004 to receive semi-annually the notional amount multiplied by     
4.505% and pay quarterly the notional amount multiplied by the three     
month USD-LIBOR.  28,000,000  5/17/09  237,966 
 
Agreement with Credit Suisse First Boston International dated July 7,     
2004 to receive semi-annually the notional amount multiplied by     
2.931% and pay quarterly the notional amount multiplied by the three     
month USD-LIBOR.  11,098,100  7/9/06  (141,442) 
 
Agreement with Credit Suisse First Boston International dated October     
5, 2004 to receive semi-annually the notional amount multiplied by     
4.624% and pay quarterly the notional amount multiplied by the three     
month USD-LIBOR.  10,570,000  10/7/14  40,507 
 
Agreement with JPMorgan Chase Bank, N.A. dated March 3, 2005 to     
receive semi-annually the notional amount multiplied by 4.798% and     
pay quarterly the notional amount multiplied by the three month USD-     
LIBOR.  35,700,000  3/7/15  119,844 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 27, 2005 to     
receive semi-annually the notional amount multiplied by 4.296% and     
pay quarterly the notional amount multiplied by the three month USD-     
LIBOR.  25,100,000  6/29/15  (659,096) 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 31, 2005     
to receive semi-annually the notional amount multiplied by 4.4505%     
and pay quarterly the notional amount multiplied by the three month     
USD-LIBOR-BBA.  16,700,000  9/2/15  (425,912) 

Agreement with JPMorgan Chase Bank, N.A. dated June 14, 2005 to       
pay semi-annually the notional amount multiplied by 4.538% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  7,220,000  6/16/15  47,132 
 
Agreement with JPMorgan Chase Bank, N.A. dated July 29, 2005 to       
pay semi-annually the notional amount multiplied by 4.6757% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  5,862,000  8/2/15  (46,828) 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 22, 2005 to       
receive semi-annually the notional amount multiplied by 4.387% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  1,800,000  6/24/15  33,349 
 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
13, 2005 to pay semi-annually the notional amount multiplied by 4.38%       
and receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA.  38,000,000  7/15/10  371,736 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 9, 2003 to pay semi-annually the notional amount multiplied       
by 4.64101% and receive quarterly the notional amount multiplied by       
the three month USD-LIBOR-BBA.  33,131,000  12/11/13  (184,144) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated June       
14, 2005 to pay semi-annually the notional amount multiplied by       
4.0525% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  12,200,000  6/16/07  28,606 
 
Agreement with Lehman Brothers Special Financing, Inc. dated June       
14, 2005 to pay semi-annually the notional amount multiplied by       
4.5475% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  3,400,000  6/16/15  (20,410) 
Total      $451,374 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date  (depreciation) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated       
September 8, 2005 to receive at maturity the notional       
amount multiplied by the nominal spread appreciation of the       
Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index adjusted by a modified duration factor and       
an accrual of 30 basis points plus the beginning of the period       
nominal spread of the Lehman Brothers AAA 8.5+       
Commercial Mortgage Backed Securities Index and pay at       
maturity the notional amount multiplied by the nominal       
spread depreciation of the Lehman Brothers AAA 8.5+       
Commercial Mortgage Backed Securities Index adjusted by a       
modified duration factor.  $48,715,000  4/1/06  $(19,340) 
 
Agreement with Citibank, NA. dated September 8, 2005 to       
receive at maturity the notional amount multiplied by the       
nominal spread appreciation of the Lehman Brothers AAA       
8.5+ Commercial Mortgage Backed Securities Index adjusted       
by a modified duration factor and an accrual of 27 basis       
points plus the beginning of the period nominal spread of the       
Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index and pay at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities       
Index adjusted by a modified duration factor.  19,958,000  4/1/06  (25,030) 
 
Agreement with Lehman Brothers Finance, S.A. dated August       
31, 2005 to receive/(pay) semi-annually the notional amount       
multiplied by the return of the Lehman Brothers US ABS       
Floating Rate Index HEL Aggregate Component and pay semi-       
annually the notional amount multiplied by the six month       
USD-LIBOR-BBA adjusted by a specified spread.  60,000,000  3/1/06  187,618 

Agreement with Deutsche Bank AG dated September 8, 2005       
to receive at maturity the notional amount multiplied by the       
nominal spread appreciation of the Lehman Brothers AAA       
8.5+ Commercial Mortgage Backed Securities Index adjusted       
by a modified duration factor and an accrual of 25 basis       
points plus the beginning of the period nominal spread of the       
Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index and pay at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities       
Index adjusted by a modified duration factor.  5,666,000  3/1/06  (7,094) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated July 7,       
2005 to pay monthly the notional amount multiplied by the spread       
depreciation of the Lehman Brothers 8.5+ AAA Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and       
receive monthly the notional amount multiplied by the appreciation of       
the Lehman Brothers 8.5+ AAA Commercial Mortgage Backed       
Securities Index plus 27.2 basis points.  3,275,000  12/1/05  (2,171) 
 
Agreement with Citibank, N.A. dated July 7, 2005 to receive at maturity       
the notional amount multiplied by the nominal spread appreciation of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index adjusted by a modified duration factor and an accrual       
of 50 basis points plus the beginning of the period nominal spread of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index and pay at maturity the notional amount multiplied by       
the nominal spread depreciation of the Lehman Brothers AAA 8.5+       
Commercial Mortgage Backed Securities Index adjusted by a modified       
duration factor.  2,860,000  1/1/06  (4,202) 
 
Agreement with Citigroup Financial Products, Inc. dated April 22, 2005       
to receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 40 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  9,927,000  11/1/05  6,941 

Agreement with Citigroup Financial Products, Inc. dated May 5, 2005       
to receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 35 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  9,660,000  11/1/05  145 
 
Agreement with Deutsche Bank AG dated August 3, 2005 to receive at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 15 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and pay at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  2,860,000  1/1/06  11,626 
 
Agreement with Deutsche Bank AG dated May 3, 2005 to pay at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 35 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and receive at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  4,963,500  11/1/05  (195,671) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated August 3,       
2005 to pay at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 20 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and receive at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  3,275,000  12/1/05  (12,812) 
Total      $(59,990) 

WRITTEN OPTIONS OUTSTANDING at 9/30/05 (premiums received $3,339,972)       
  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a       
fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017.  $43,180,000  Jul-17 / $4.55  $(2,202,180) 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a       
fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017.  43,180,000  Jul-17 / $4.55  (1,036,320) 
 
Total      $(3,238,500) 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
    Unrealized 
  Notional  appreciation/ 
  amount  (depreciation) 
 
Agreement with Bank of America, N.A. on July 26, 2005, maturing on September 20, 2012, to     
receive quarterly 64 basis points times the notional amount. Upon a credit default event of Waste     
Management, 7.375%, 8/1/2010, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of Waste Management,     
7.375%, 8/1/2010.  $490,000  $2,676 
 
Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing on June 20,     
2012, to receive quarterly 62 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX Series 4 Index,7-10% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index, 7-10% tranche.  2,726,000  29,910 
 
Agreement with Citigroup Financial Products, Inc. effective August 19, 2005, maturing on June 20,     
2012, to receive/(pay) a premium based on the difference between the original spread on issue     
and the market spread on day of execution and pay quarterly 55 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4 Index,     
the fund receives a payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  2,726,000  296 
 
Agreement with Deutsche Bank AG on August 8, 2005, maturing on June 20, 2010, to receive     
quarterly 44 basis points times the notional amount. Upon a credit default event of a reference     
entity within the DJ IG CDX 4 Index 7-10% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 4 Index 7-10% tranche.  2,716,000  1,018,694 
 
Agreement with Deutsche Bank AG effective August 8, 2005, maturing on June 20, 2010, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and to pay quarterly 40 basis points times the notional amount.     
Upon a credit default event of any reference entity within the DJ IG CDX Series 4 Index, the fund     
receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  2,716,000  (2,496) 
 
Agreement with Deutsche Bank AG effective July 14, 2005, maturing on June 20, 2012, to     
receive/(pay) a premium based on the difference between the original spread on issue and the     
market spread on day of execution and pay quarterly 55 basis points times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX Series 4 Index, the fund     
receives a payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ IG CDX Series 4 Index.  2,036,000  (5,787) 
 
Agreement with Deutsche Bank AG on July 14, 2005, maturing on June 20, 2012, to receive     
quarterly 35.5 basis points times the notional amount. Upon a credit default event of a reference     
entity within the DJ IG CDX Series 4 Index, 10-15% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index, 10-15% tranche.  1,358,000  12,165 
 
Agreement with Deutsche Bank AG effective July 22, 2005, maturing on September 20, 2010, to     
receive quarterly 41 basis points times the notional amount. Upon a credit default event of France     
Telecomm, 7.75%, 3/1/2011, the fund makes a payment of the proportional notional amount times     
the difference between the par value and the then-market value of France Telecomm, 7.75%,     
3/1/2011.  765,000  1,825 
 
Agreement with Bank of America, N.A. effective November 24, 2004, maturing on April 15, 2010,     
to receive a premium equal to 2.58316% times the notional amount. Upon a credit default event     
of any News Corp. senior note or bond, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the defaulted     
News Corp. senior note or bond.  300,000  (14,769) 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 19, 2005, maturing on June 20,     
2012, to receive quarterly 37.5 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index 10-15% tranche, the fund makes     
a payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index 10-15% tranche.  2,590,000  23,245 
 
Agreement with Goldman Sachs Capital Markets, L.P. effective August 18, 2005, maturing on     
June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 40 basis points times the     
notional amount. Upon a credit default event of a reference entity within the CDX IG Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the CDX IG Series     
4 Index.  1,787,500  332 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 18, 2005, maturing on June 20,     
2010, to receive quarterly 38.5 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index,7-10% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index,7-10% tranche.  1,375,000  6,738 

Agreement with Goldman Sachs Capital Markets, L.P. effective August 19, 2005, maturing on     
June 20, 2012, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 55 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4     
Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX     
Series 4 Index.  1,295,000  687 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 04, 2005, maturing on     
September 20, 2010, to receive quarterly 49 basis points times the notional amount. Upon a     
credit default event of Goodyear 7 5/8s, 12/15/12, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market value of     
Goodyear 7 5/8s, 12/15/12.  380,000  786 
 
Agreement with Goldman Sachs International on September 2, 2004, terminating on the date on     
which the notional amount is reduced to zero or the date on which the assets securing the     
reference obligation are liquidated, the fund receives a payment of the outstanding notional     
amount times 2.55625% and the fund pays in the event of a credit default in one of the underlying     
securities in the basket of BB CMBS securities.  3,768,000  89,064 
 
Agreement with Lehman Brothers Special Financing, Inc. on August 5, 2005, maturing on June     
20, 2010, to receive quarterly 43 basis points times the notional amount. Upon a credit default     
event of any reference entity within the DJ IG CDX Series 4 Index, 7-10% tranche, the fund makes     
a payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index,7-10% tranche.  2,716,000  16,123 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 29, 2005, maturing on June 20,     
2012, to receive quarterly 33.75 basis points times the notional amount. Upon a credit default     
event of any reference entity within the DJ IG CDX Series 4 Index, 10-15% tranche, the fund     
makes a payment of the proportional notional amount times the difference between the par value     
and the then-market value of the reference entity within the DJ IG CDX Series 4 Index,10-15%     
tranche.  2,715,000  15,872 
 
Agreement with Lehman Brothers Special Financing, Inc. effective August 5, 2005, maturing on     
June 20, 2012, to receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and to pay quarterly 40 basis points times the     
notional amount. Upon a credit default event of any reference entity within the DJ IG CDX Series     
4 Index, the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the DJ IG CDX     
Series 4 Index.  2,716,000  (1,706) 
 
Agreement with Lehman Brothers Special Financing, Inc. on July 14, 2005, maturing on June 20,     
2012, to receive quarterly 36 basis points times the notional amount. Upon a credit default event     
of any reference entity within the DJ IG CDX Series 4 Index,10-15% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index,10-15% tranche.  1,249,000  6,888 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005, maturing on June     
20, 2015, to receive quarterly 70.5 basis points times the notional amount. Upon a credit default     
event of a reference entity within the DJ IG CDX Series 4 Index 10-15% tranche, the fund makes     
a payment of the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index 10-15% tranche.  1,377,000  10,348 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005,     
maturing on June 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 65 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX Series 4 Index, the fund receives a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ IG CDX Series     
4 Index.  1,377,000  1,686 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 13, 2005,     
maturing on June 20, 2012, to receive quarterly 275 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index 3-7% tranche.  1,031,000  (22,344) 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 55 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX Series 4 Index, the fund receives a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ IG CDX Series     
4 Index.  2,776,000  4,190 

Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive quarterly 48 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 4 Index 7-10% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index 7-10% tranche.  2,776,000  9,317 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 29, 2005,     
maturing on June 20, 2012, to receive quarterly 318 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index 3-7% tranche.  984,000  1,190 
 
Agreement with Bank of America, N.A. on September 13, 2005, maturing on June 20,     
2010, to receive/(pay) a premium based on the difference between the original     
spread on issue and the market spread on day of execution and pay quarterly 90     
basis points times the notional amount. Upon a credit default event of a reference     
entity within the DJ CDX IG HVOL Series 4 Index, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ CDX IG HVOL Series 4 Index.  2,062,000  8,577 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005,     
maturing on June 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 65 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX 4 Index, the fund receives a payment of     
the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX 4 Index.  1,388,000  5,080 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005,     
maturing on June 20, 2015, to receive quarterly 59 basis points times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX 4     
Index,10-15% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 4 Index,10-15% tranche.  1,388,000  (3,460) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005,     
maturing on December 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 70 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ IG CDX 5 Index, the fund receives a payment of     
the proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX 5 Index.  1,388,000  (1,888) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005,     
maturing on December 20, 2015, to receive quarterly 57.5 basis points times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG     
CDX 5 Index 10-15% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 5 Index 10-15% tranche.  1,388,000  (228) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 29, 2005,     
maturing on June 20, 2010, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution and     
pay quarterly 90 basis points times the notional amount. Upon a credit default event     
of a reference entity within the DJ CDX IG HVOL Series 4 Index, the fund receives a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ CDX IG HVOL     
Series 4 Index.  2,951,000  (3,272) 
 
Agreement with Deutsche Bank AG on September 9, 2004, maturing on September     
20, 2014, to receive a quarterly payment of 0.58% times the notional amount. Upon     
a credit default event of any CVS senior note, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of any CVS senior note.  140,000  (485) 
Total    $1,209,254 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $845,179,530. 
 
(RAT)  The Moody's or Standard & Poor's ratings indicated are believed to be the most recent ratings available at September 30, 2005 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 September 30, 2005. Securities rated by Putnam are 
  indicated by "/P". Security ratings are defined in the Statement of Additional Information. 
 
(b)  The aggregate identified cost on a tax basis is $923,022,239, resulting in gross unrealized appreciation and depreciation of $5,008,989 and $16,328,568, 
  respectively, or net unrealized depreciation of $11,319,579. 
 
(NON)  Non-income-producing security. 
 
(R)  Real Estate Investment Trust. 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end 
  management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned 
  subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam 
  Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled 
  $2,990,228 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of purchases and cost of sales of investments in 
  Putnam Prime Money Market Fund aggregated $489,472,106 and $557,697,438, respectively. 
 
(F)  Security is valued at fair value following procedures approved by the Trustees. 
 
  At September 30, 2005, liquid assets totaling $280,481,666 have been designated as collateral for open forward commitments, swap contracts, written options 
  and future contracts. 
 
  144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in 
  transactions exempt from registration, normally to qualified institutional buyers. 
 
  TBA after the name of a security represents to be announced securities. 
 
  The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at September 30, 2005. 
 
  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 September 30, 2005. 
 
  Security valuation Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the 
  basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. Such services or dealers determine valuations for normal 
  institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally 
  recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock 
  Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before 
  the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including 
  movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair 
  value prices will be used by the fund to a significant extent. 
 
  At September 30, 2005, fair value pricing was used for certain foreign securities in the portfolio. 
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value. 
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and 
  procedures are reviewed periodically by the Trustees. 
 
  Stripped mortgage-backed securities The fund may invest in stripped mortgage-backed securities which represent a participation in mortgage 
  loans and may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive 
  all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated 
  prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities 
  increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of 
  these securities is highly sensitive to changes in interest rates. 
 
  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. The fund may also write options on securities it owns or in which it may invest, or swaps, to increase its 
  current returns. 
 
  The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. 
  In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the 
  counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, 
  the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was 
  closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, 
  the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as 
  a reduction to cost of investments. 
 
  Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to 
  exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” 
  Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written 
  options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, 
  are listed after the fund’s portfolio. 
 
  Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic 
  payment, both based on a notional principal amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short 
  of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to- 
  market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are 
  recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the 
  price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation 
  to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Total return swap contracts outstanding at period end, if any,
  are listed after the fund’s portfolio.

Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based 
on a notional principal amount, to manage the fund’s exposure to interest rates. Interest rate swap contracts are marked-to-market daily based upon quotations 
from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The 
fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to 
perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, 
are listed after the fund’s portfolio. 
 
Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a 
counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional 
amount, at par, of the underlying index or security as a result of a related credit event. An upfront payment received by the fund, as the protection seller, is 
recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. 
Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon 
quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or 
termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing
the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of
the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had 
purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts 
recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio. 
 
TBA purchase commitments The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date 
beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the 
commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in 
an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the 
securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value 
of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets.
Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” 
above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. 
 
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options 
contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so. 
 
TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under 
delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale 
commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are 
held as “cover” for the transaction. 
 
Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security 
valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale 
commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the 
commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered 
into. TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio. 
 
Dollar rolls To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the 
current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and 
subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the 
difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash 
proceeds that are received from the initial sale. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or 
the counterparty fails to perform under the terms of the agreement. 
 
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange 
Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com 

Putnam VT International Equity Fund       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (98.2%)(a)       
 
    Shares  Value 
 
Australia (1.3%)       
Australian Stock Exchange, Ltd.    17,893  $370,446 
Macquarie Bank, Ltd.    130,248  7,492,150 
Macquarie Infrastructure Group    437,349  1,338,828 
Macquerie Infrastructure Group 144A    445,100  1,362,555 
QBE Insurance Group, Ltd.    35,432  505,271 
Westpac Banking Corp.    61,319  987,711 
Woolworths, Ltd.    42,098  534,449 
      12,591,410 
Belgium (2.4%)       
InBev NV    245,337  9,733,256 
KBC Groupe SA    137,913  11,205,528 
Mobistar SA    19,497  1,607,649 
Solvay SA    4,293  500,702 
Umicore NV/SA    4,825  527,851 
      23,574,986 
Bermuda (0.6%)       
ACE, Ltd.    123,607  5,818,181 
Brazil (1.6%)       
Petroleo Brasileiro SA ADR    141,390  10,107,971 
Unibanco-Uniao de Bancos Brasileiros SA GDR    97,560  5,131,656 
      15,239,627 
Canada (1.0%)       
Canadian National Railway Co.    43,909  3,122,031 
Canadian Natural Resources, Ltd.    149,402  6,759,980 
      9,882,011 
China (1.2%)       
China Life Insurance Co., Ltd.    6,713,000  5,192,137 
China Shenhua Energy Co., Ltd.    1,139,500  1,336,700 
China Shenhua Energy Co., Ltd. Class H (NON)    4,341,000  5,092,246 
      11,621,083 
Denmark (1.0%)       
TDC A/S    177,749  9,592,840 
Finland (0.9%)       
Nokia OYJ    521,863  8,769,736 
Orion-Yhtymae OYJ Class B    21,700  485,256 
      9,254,992 
France (13.0%)       
Air Liquide    2,680  494,303 
Axa SA    19,865  546,955 
BNP Paribas SA    238,538  18,188,016 
Business Objects SA    13,584  467,521 
Credit Agricole SA    574,152  16,888,222 
France Telecom SA    476,899  13,728,654 
France Telecom SA 144A    71,800  2,066,931 
Groupe Danone    5,726  618,826 
Renault SA    173,435  16,475,180 
Sanofi-Synthelabo SA    5,269  436,685 
Schneider Electric SA    7,404  586,407 
Societes Des Autoroutes Paris-Rhin-Rhone    7,452  502,620 
Total SA    92,512  25,326,922 
Veolia Environnement    282,615  11,961,710 
Vivendi Universal SA    480,250  15,724,048 
Vivendi Universal SA 144A    61,521  2,014,282 
      126,027,282 

Germany (4.3%)

Allianz AG  35,370  4,792,571 
BASF AG  251,962  19,014,136 
Deutsche Bank AG  7,500  704,765 
Deutsche Post AG  18,800  441,483 
E.On AG  5,400  498,643 
Henkel KGaA (Preferred)  13,700  1,249,717 
Hypo Real Estate Holding  90,022  4,579,608 
Schering AG  109,668  6,971,158 
Schwarz Pharma AG  39,331  2,429,943 
Siemens AG  17,751  1,372,735 
    42,054,759 
Greece (0.4%)     
Hellenic Telecommunication Organization (OTE) SA  118,880  2,384,676 
National Bank of Greece SA  35,723  1,434,034 
    3,818,710 
Hong Kong (0.7%)     
Cheung Kong Holdings, Ltd.  43,000  485,569 
China Netcom Group Corp. (Hong Kong), Ltd.  1,746,000  3,004,718 
Esprit Holdings, Ltd.  64,000  478,505 
Hong Kong Exchanges and Clearing, Ltd.  628,500  2,151,038 
Swire Pacific, Ltd.  82,500  759,861 
    6,879,691 
India (0.7%)     
National Thermal Power Corp., Ltd.  2,723,187  6,569,363 
Ireland (0.4%)     
Allied Irish Banks PLC  21,272  453,888 
Bank of Ireland PLC  72,318  1,146,408 
CRH PLC  57,047  1,550,767 
Iaws Group PLC  28,184  409,409 
    3,560,472 
Italy (1.3%)     
Mediaset SpA  1,041,472  12,360,343 
Japan (23.4%)     
Acom Co., Ltd.  99,140  7,208,909 
Aeon Co., Ltd.  296,500  5,965,584 
Astellas Pharma, Inc.  390,800  14,725,697 
Canon, Inc.  18,300  989,931 
Credit Saison Co., Ltd.  117,000  5,141,723 
Dai Nippon Printing Co., Ltd.  551,000  8,898,076 
Daiichi Sankyo Co., Ltd.  334,300  6,858,873 
Daito Trust Construction Co., Ltd.  159,400  6,990,981 
Dowa Mining Co., Ltd.  64,000  537,663 
East Japan Railway Co.  1,705  9,749,735 
Fanuc, Ltd.  102,800  8,327,780 
Fuji Television Network, Inc.  215  481,910 
Japan Tobacco, Inc.  1,082  17,091,246 
Jupiter Telecommunications Co., Ltd.  5,338  4,621,054 
Konica Corp.  690,000  6,283,798 
Lawson, Inc.  135,100  5,102,612 
Matsushita Electric Industrial Co.  366,000  6,210,890 
Mitsubishi Corp.  45,300  895,447 
Mitsubishi Tokyo Finance Group, Inc.  562  7,389,516 
Mitsui & Co., Ltd.  1,014,000  12,715,267 
Mizuho Financial Group, Inc.  2,005  12,774,532 
Nintendo Co., Ltd.  68,300  7,979,986 
Nippon Mining Holdings, Inc.  676,000  5,368,867 
Nissan Motor Co., Ltd.  480,000  5,489,587 
Nomura Research Institute, Ltd.  35,200  4,069,185 
Nomura Securities Co., Ltd.  48,100  747,477 
NSK, Ltd.  822,000  4,540,875 
NTT DoCoMo, Inc.  296  527,639 
Omron Corp.  258,400  6,304,942 
Ono Pharmaceutical Co., Ltd.  104,000  4,854,924 
Orix Corp.  4,400  795,976 
Sankyo Co., Ltd.  9,500  501,324 
SMC Corp.  5,298  706,431 
Takefuji Corp.  10,310  805,184 
Tokyo Electric Power Co.  21,859  553,612 
Tokyo Electron, Ltd.  117,400  6,247,106 
TonenGeneral Sekiyu KK  324,000  3,774,091 
Toyota Motor Corp.  509,600  23,384,398 

225,612,828


 

Mexico (0.4%)     
Telefonos de Mexico SA de CV (Telmex) ADR Ser. L(S)  195,028  4,148,246 
Netherlands (6.2%)     
ABN AMRO Holdings NV  24,806  595,979 
European Aeronautic Defense and Space Co.  157,755  5,610,123 
ING Groep NV  22,292  665,913 
Koninklijke (Royal) KPN NV  1,742,443  15,669,842 
Koninklijke (Royal) KPN NV 144A  137,484  1,236,398 
Royal Dutch Shell PLC Class A  618,496  20,481,548 
Royal Dutch Shell PLC Class B  267,992  9,281,920 
SBM Offshore NV  21,185  1,772,373 
TNT NV  162,734  4,054,955 
    59,369,051 
New Zealand (0.1%)     
Telecom Corp. of New Zealand, Ltd. (S)  162,087  676,399 
 
Norway (1.5%)     
DnB Holdings ASA  45,529  471,221 
Norsk Hydro ASA  110,431  12,411,592 
Smedvig ASA Class A (S)  65,146  1,603,228 
    14,486,041 
Singapore (2.1%)     
DBS Group Holdings, Ltd.  940,366  8,796,793 
Flextronics International, Ltd.  364,438  4,683,028 
Singapore Airlines, Ltd.  844,000  5,796,566 
Singapore Exchange, Ltd.  410,000  611,723 
    19,888,110 
South Korea (1.2%)     
Kookmin Bank  56,220  3,321,354 
LG Electronics, Inc.  7,200  483,458 
Samsung Electronics Co., Ltd.  14,257  8,052,945 
    11,857,757 
 
Spain (2.6%)     
Gestevision Telecinco SA  44,100  925,028 
Iberdrola SA  642,200  17,999,501 
Repsol YPF, SA  179,122  5,821,515 
    24,746,044 
Sweden (2.3%)     
Assa Abloy AB Class B  125,879  1,783,773 
Hennes & Mauritz AB Class B  220,630  7,894,633 
Nordea AB  692,889  6,949,245 
SKF AB Class B  344,492  4,502,697 
Telefonaktiebolaget LM Ericsson AB Class B  293,924  1,076,450 
    22,206,798 
Switzerland (8.8%)     
Credit Suisse Group  349,583  15,541,241 
Nestle SA  1,655  486,651 
Novartis AG  182,100  9,275,246 
Roche Holding AG  167,775  23,404,411 
Swatch Group AG (The)  26,923  764,514 
Swatch Group AG (The) Class B  40,189  5,559,546 
Swiss Re  226,531  14,939,200 
Zurich Financial Services AG  86,703  14,832,812 
    84,803,621 
Taiwan (1.4%)     
Chinatrust Financial Holding Co.  3,550,496  3,063,635 
Taiwan Semiconductor Manufacturing Co., Ltd.  1,506,355  2,422,348 
United Microelectronics Corp.  11,707,241  7,523,434 
    13,009,417 
United Kingdom (15.4%)     
AstraZeneca PLC (London Exchange)  13,120  611,530 
Barclays PLC  1,971,910  19,986,879 
BHP Billiton PLC  253,566  4,108,561 
Enterprise Inns PLC  239,597  3,570,710 

GlaxoSmithKline PLC  533,850  13,617,199 
HSBC Holdings PLC (London Exchange)  75,733  1,228,451 
Imperial Tobacco Group PLC  22,530  647,218 
Lloyds TSB Group PLC  72,141  595,940 
Punch Taverns PLC  541,412  7,661,629 
Reckitt Benckiser PLC  554,566  16,941,383 
Rio Tinto PLC  304,391  12,480,975 
Royal Bank of Scotland Group PLC  567,709  16,157,907 
Royal Bank of Scotland Group PLC 144A  127,930  3,641,093 
Scottish and Southern Energy PLC  24,821  451,791 
Tesco PLC  2,057,177  11,262,521 
Vodafone Group PLC  13,706,082  35,760,916 
    148,724,703 
 
United States (2.0%)     
 
iShares Russell 1000 Growth Index Fund  337,500  19,608,750 
 
Total common stocks (cost $790,572,313)    $947,983,515 
SHORT-TERM INVESTMENTS (2.4%)(a)     
 
  Principal amount/share  Value 
 
Putnam Prime Money Market Fund (e)  18,001,284  $18,001,284 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.20% to 3.80% and due date October 3, 2005 (d)  $4,719,466  4,717,050 
 
Total short-term investments (cost $22,718,334)    $22,718,334 
TOTAL INVESTMENTS     
  
Total investments (cost $813,290,647) (b)    $970,701,849 

FORWARD CURRENCY CONTRACTS TO BUY at 9/30/05 (aggregate face value $208,449,195) (Unaudited)   
        Unrealized 
    Aggregate Delivery    appreciation/ 
  Value    face value date  (depreciation) 
Australian Dollar  $59,193,301  $57,902,138  10/19/05  $1,291,163 
British Pound  83,389,080  86,787,982  12/21/05  (3,398,902) 
Euro  34,666,262  35,949,684  12/21/05  (1,283,422) 
Japanese Yen  7,392,943  7,721,294  11/16/05  (328,351) 
Norwegian Krone  16,910,773  17,552,100  12/21/05  (641,327) 
Swedish Krona  2,379,088  2,391,193  12/21/05  (12,105) 
Swiss Franc  143,633  144,804  12/21/05  (1,171) 
Total        $(4,374,115) 

FORWARD CURRENCY CONTRACTS TO SELL at 9/30/05 (aggregate face value $132,860,144) (Unaudited)

        Unrealized 
    Aggregate Delivery  appreciation/ 
    Value   face value  date   (depreciation) 
Australian Dollar    $2,865,590  $2,849,394  10/19/2005  $(16,196) 
British Pound    12,546  13,039  12/21/2005  493 
Canadian Dollar    9,749,999  9,289,945  10/19/2005  (460,054) 
Euro    31,047,512  31,192,185  12/21/2005  144,673 
Japanese Yen    36,372,965  36,929,983  11/16/2005  557,018 
Norwegian Krone    4,596,280  4,784,375  12/21/2005  188,095 
Swedish Krona    15,062,333  15,523,922  12/21/2005  461,589 
Swiss Franc    30,960,780   32,277,301  12/21/2005  1,316,521 
Total        $2,192,139 

  NOTES     
 
(a)  Percentages indicated are based on net assets of $965,618,177.   
 
(b)  The aggregate identified cost on a tax basis is $824,913,722, resulting in gross unrealized   
  appreciation and depreciation of $152,929,579 and $7,141,452, respectively, or net unrealized   
  appreciation of $145,788,127.   
 
(NON)  Non-income-producing security.   
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005.   
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn   
  additional income. The loans are collateralized by cash and/or securities in an amount at least   
  equal to the market value of the securities loaned. The market value of securities loaned is   
  determined daily and any additional required collateral is allocated to the fund on the next   
  business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear   
  the risk of loss with respect to the investment of the cash collateral. Income from securities   
  lending is included in investment income on the statement of operations. At September 30,   
  2005, the value of securities loaned amounted to $4,463,025. One of the securities was sold   
  prior to period end and is included in the receivable for securities sold. The fund received cash   
  collateral of $4,717,050 which is pooled with collateral of other Putnam funds into 22 issues of   
  high-grade, short-term investments.   
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests   
  in Putnam Prime Money Market Fund, an open-end management investment company managed   
  by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an   
  indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are   
  reduced by an amount equal to the management and administrative fees paid by Putnam Prime   
  Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market   
  Fund. Income distributions earned by the fund totaled $410,012 for the period ended September   
  30, 2005. During the period ended September 30, 2005, cost of purchases and cost of sales of   
  investments in Putnam Prime Money Market Fund aggregated $242,233,661 and $243,188,307,   
  respectively.     
 
  144A after the name of a security represents those exempt from registration under Rule 144A of   
  the Securities Act of 1933. These securities may be resold in transactions exempt from   
  registration, normally to qualified institutional buyers.   
 
  ADR or GDR after the name of a foreign holding stands for American Depository Receipts or   
  Global Depository Receipts, respectively, representing ownership of foreign securities on deposit   
  with a custodian bank.   
 
  The fund had the following industry group concentration greater than 10% at September 30,   
  2005 (as a percentage of net assets):   
 
  Banking   14.2%   
 
  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. Many securities markets and exchanges outside   
  the U.S. close prior to the close of the New York Stock Exchange and therefore the closing   
  prices for securities in such markets or on such exchanges may not fully reflect events that occur   
  after such close but before the close of the New York Stock Exchange. Accordingly, on certain   
  days, the fund will fair value foreign securities taking into account multiple factors, including   
  movements in the U.S. securities markets. The number of days on which fair value prices will be   
  used will depend on market activity and it is possible that fair value prices will be used by the   
  fund to a significant extent.   
 
  Forward currency contracts The fund may buy and sell forward currency contracts, which are   
  agreements between two parties to buy and sell currencies at a set price on a future date.   
  These contracts are used to protect against a decline in value relative to the U.S. dollar of the   
  currencies in which its portfolio securities are denominated or quoted (or an increase in the value   
  of a currency in which securities a fund intends to buy are denominated, when a fund holds cash   
  reserves and short term investments). The U.S. dollar value of forward currency contracts is   
  determined using current forward currency exchange rates supplied by a quotation service. The   
  market value of the contract will fluctuate with changes in currency exchange rates. The contract   
  is marked to market daily and the change in market value is recorded as an unrealized gain or   
  loss. When the contract is closed, the fund records a realized gain or loss equal to the difference   
  between the value of the contract at the time it was opened and the value at the time it was   
  closed.     
 
  The fund could be exposed to risk if the value of the currency changes unfavorably, if the   
  counterparties to the contracts are unable to meet the terms of their contracts or if the fund is   
  unable to enter into a closing position. Risks may exceed amounts recognized on the statement   
  of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed   
  after the fund’s portfolio.   
 
  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   

Putnam VT International Growth and Income Fund

The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (99.3%)(a)       
    Shares  Value 
 
Aerospace and Defense (0.6%)       
European Aeronautic Defense and Space Co. (Netherlands)    62,235  $2,213,217 
 
Automotive (4.2%)       
Nissan Motor Co., Ltd. (Japan)    232,000  2,653,300 
Peugeot SA (France)    34,468  2,347,641 
Renault SA (France)    47,723  4,533,370 
Toyota Motor Corp. (Japan)    121,600  5,579,951 
      15,114,262 
 
Banking (24.6%)       
ABN AMRO Holdings NV (Netherlands)    206,090  4,951,439 
Allied Irish Banks PLC (Ireland)    176,129  3,758,126 
Banco Itau SA ADR (Brazil)    21,500  2,551,190 
Bank of Ireland PLC (Ireland)    166,399  2,637,811 
Barclays PLC (United Kingdom)    770,676  7,811,415 
BNP Paribas SA (France)    106,952  8,154,863 
Credit Agricole SA (France)    191,861  5,643,438 
Danske Bank A/S (Denmark)    139,500  4,282,737 
Depfa Bank PLC (Ireland)    130,941  2,112,025 
Foreningssparbanken AB (Sweden)    110,800  2,688,520 
Hachijuni Bank, Ltd. (The) (Japan)    278,000  2,122,044 
HBOS PLC (United Kingdom)    153,939  2,324,104 
HSBC Holdings PLC (London Exchange) (United Kingdom)    657,008  10,657,204 
Industrial Bank Of Korea (South Korea)    255,580  3,240,784 
KBC Groupe SA (Belgium)    42,462  3,450,067 
Mizuho Financial Group, Inc. (Japan)    400  2,548,535 
Nordea AB (Sweden)    359,000  3,600,546 
Royal Bank of Scotland Group PLC (United Kingdom)    296,938  8,451,331 
Societe Generale (France)    32,499  3,719,908 
Unibanco-Uniao de Bancos Brasileiros SA GDR (Brazil)    44,200  2,324,920 
United Overseas Bank, Ltd. (Singapore)    209,000  1,744,760 
      88,775,767 
 
Basic Materials (1.0%)       
Xstrata PLC (Switzerland)    143,769  3,735,858 
 
Broadcasting (0.8%)       
Mediaset SpA (Italy)    255,100  3,027,564 
 
Building Materials (0.6%)       
Adelaide Brighton, Ltd. (Australia)    1,260,952  2,214,005 
 
Chemicals (3.6%)       
Asahi Chemical Industry Co., Ltd. (Japan)    614,000  3,359,336 
BASF AG (Germany)    68,200  5,146,665 
Braskem SA Class A (Preference) (Brazil)    247,300  2,559,850 
Mitsui Chemicals, Inc. (Japan)    296,000  1,750,088 
      12,815,939 
 
Communications Equipment (1.5%)       
Nokia OYJ (Finland)    211,950  3,561,750 
Telefonaktiebolaget LM Ericsson AB Class B (Sweden)    480,453  1,759,582 
      5,321,332 
 
Conglomerates (1.6%)       
Vivendi Universal SA (France)    181,963  5,957,720 
 
Consumer Finance (0.4%)       
Acom Co., Ltd. (Japan)    21,600  1,570,632 
 
Electric Utilities (3.2%)       
E.On AG (Germany)    85,702  7,913,834 
Iberdrola SA (Spain)    127,502  3,573,610 
      11,487,444 

Electrical Equipment (1.2%)     
Brother Industries, Ltd. (Japan)  235,000  2,061,331 
Schneider Electric SA (France)  26,833  2,125,210 
    4,186,541 
 
Electronics (4.8%)     
Koninklijke (Royal) Philips Electronics NV (Netherlands)  176,612  4,707,346 
Omron Corp. (Japan)  129,500  3,159,791 
Reunert, Ltd. (South Africa)  214,522  1,428,413 
Samsung Electronics Co., Ltd. (South Korea)  6,350  3,586,744 
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)  1,148,899  1,847,528 
Toshiba Corp. (Japan)  561,000  2,475,291 
    17,205,113 
 
Energy (0.6%)     
TonenGeneral Sekiyu KK (Japan)  185,000  2,154,959 
 
Engineering & Construction (2.4%)     
Bouygues SA (France)  42,989  2,004,005 
Daito Trust Construction Co., Ltd. (Japan)  67,300  2,951,650 
Skanska AB Class B (Sweden)  256,000  3,793,304 
    8,748,959 
 
Financial (0.9%)     
Sanyo Shinpan Finance Co., Ltd. (Japan)  39,200  3,189,411 
 
Food (0.9%)     
Toyo Suisan Kaisha, Ltd. (Japan)  192,000  3,283,586 
 
Insurance (6.4%)     
AGF (Assurances Generales de France) (France)  23,328  2,238,504 
Axa SA (France)  172,053  4,737,242 
ING Groep NV (Netherlands)  206,598  6,171,555 
Swiss Re (Switzerland)  66,129  4,361,056 
Zurich Financial Services AG (Switzerland) (NON)  32,780  5,607,875 
    23,116,232 
 
Investment Banking/Brokerage (3.4%)     
Credit Suisse Group (Switzerland)  190,683  8,477,101 
Deutsche Bank AG (Germany)  39,000  3,664,780 
    12,141,881 
 
Leisure (1.0%)     
Yamaha Motor Co., Ltd. (Japan)  176,000  3,642,076 
 
Lodging/Tourism (0.7%)     
Hilton Group PLC (United Kingdom)  429,414  2,388,912 
 
Manufacturing (1.9%)     
Hyundai Heavy Industries (South Korea)  31,430  2,342,909 
NSK, Ltd. (Japan)  338,000  1,867,173 
SKF AB Class B (Sweden)  205,600  2,687,303 
    6,897,385 
 
Metals (1.8%)     
BHP Billiton PLC (United Kingdom)  133,650  2,165,548 
JFE Holdings, Inc. (Japan)  103,200  3,360,466 
Zinifex, Ltd. (Australia)  298,800  1,040,154 
    6,566,168 
 
Miscellaneous (0.3%)     
iShares MSCI EAFE Index Fund  18,743  1,088,968 
 
Natural Gas Utilities (0.6%)     
Tokyo Gas Co., Ltd. (Japan)  504,000  2,050,335 
 
Oil & Gas (8.4%)     
BP PLC (United Kingdom)  468,712  5,584,020 
ENI SpA (Italy)  112,250  3,345,046 
Norsk Hydro ASA (Norway)  33,609  3,777,392 
Petroleo Brasileiro SA ADR (Brazil)  50,800  3,631,692 

Repsol YPF, SA (Spain)  128,060  4,161,986 
Royal Dutch Shell PLC Class B (Netherlands)  176,739  6,121,366 
Total SA (France)  7,487  2,049,709 
Vostok Nafta Investment, Ltd. (Sweden) (NON)  43,600  1,740,660 
    30,411,871 
 
Pharmaceuticals (5.2%)     
Astellas Pharma, Inc. (Japan)  57,700  2,174,188 
Daiichi Sankyo Co., Ltd. (Japan)  150,800  3,093,982 
Orion-Yhtymae OYJ Class B (Finland)  88,600  1,981,275 
Roche Holding AG (Switzerland)  14,843  2,070,581 
Santen Pharmaceutical Co., Ltd. (Japan)  98,500  2,555,507 
Schering AG (Germany)  49,500  3,146,518 
Tanabe Seiyaku Co., Ltd. (Japan)  177,000  1,791,555 
Terumo Corp. (Japan)  58,500  1,884,266 
    18,697,872 
 
Publishing (1.3%)     
Dai Nippon Printing Co., Ltd. (Japan)  288,000  4,650,900 
 
Retail (2.6%)     
Adidas-Salomon AG (Germany)  15,600  2,727,029 
Dixons Group PLC (United Kingdom)  798,757  2,126,446 
GUS PLC (United Kingdom)  143,397  2,167,482 
Onward Kashiyama Co., Ltd. (Japan)  138,000  2,192,023 
    9,212,980 
 
Shipping (0.4%)     
ComfortDelgro Corp., Ltd. (Singapore)  1,822,000  1,618,117 
 
Technology Services (0.8%)     
Canon Sales Co., Inc. (Japan)  141,000  2,899,135 
 
Telecommunications (5.3%)     
Deutsche Telekom AG (Germany)  177,800  3,245,076 
Hellenic Telecommunication Organization (OTE) SA (Greece)  149,720  3,003,311 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  428  2,107,519 
NTT DoCoMo, Inc. (Japan)  1,086  1,935,863 
Tele2 AB Class B (Sweden)  146,925  1,502,087 
Vodafone Group PLC (United Kingdom)  2,783,154  7,261,604 
    19,055,460 
 
Telephone (3.0%)     
Koninklijke (Royal) KPN NV (Netherlands)  266,848  2,399,770 
Koninklijke (Royal) KPN NV 144A (Netherlands)  144,275  1,297,469 
TDC A/S (Denmark)  79,100  4,268,905 
Tele Norte Leste Participacoes SA ADR (Brazil)  164,670  2,721,995 
    10,688,139 
 
Tobacco (1.6%)     
Japan Tobacco, Inc. (Japan)  356  5,623,367 
 
Toys (0.9%)     
Sankyo Co., Ltd. (Japan)  58,500  3,087,098 
 
Transportation Services (0.8%)     
TNT NV (Netherlands)  114,219  2,846,073 
 
Total common stocks (cost $300,945,165)    $357,685,278 
 
SHORT-TERM INVESTMENTS (0.7%)(a)     
  Shares  Value 
Putnam Prime Money Market Fund (e)  1,555,984  $1,555,984 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.77% to 4.09% and due dates ranging from October 3, 2005     
to November 1, 2005 (d)  1,125,779  1,125,480 
 
Total short-term investments (cost $2,681,464)    $2,681,464 
 
TOTAL INVESTMENTS     
 
Total investments (cost $303,626,629) (b)    $360,366,742 

  NOTES
 
(a)      Percentages indicated are based on net assets of $360,074,864.
 
(b)      The aggregate identified cost on a tax basis is $304,552,076, resulting in gross unrealized appreciation and depreciation of $59,741,770 and $3,927,104, respectively, or net unrealized appreciation of $55,814,666.
 

(NON) Non-income-producing security.

(d)      The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of operations. At September 30, 2005, the value of securities loaned amounted to $1,069,533. This security was sold prior to period end and is included in the receivable for securities sold. The fund received cash collateral of $1,125,480 which is pooled with collateral of other Putnam funds into 20 issues of high-grade, short-term investments.
 
(e)      Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly- owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $60,246 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $58,061,167 and $61,103,136, respectively.
 
  At September 30, 2005, liquid assets totaling $1,362,631 have been designated as collateral for open forward commitments.
 
  144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
 
  ADR or GDR after the name of a foreign holding stands for American Depository Receipts or Global Depository Receipts, respectively, representing ownership of foreign securities on deposit with a custodian bank.
 
  DIVERSIFICATION BY COUNTRY
 
Distribution of investments by country of issue at September 30, 2005: (as a percentage of Portfolio   
Value)   
 
Australia  0.9% 
Belgium  1.0 
Brazil  3.8 
Denmark  2.4 
Finland  1.5 
France  12.1 
Germany  7.2 
Greece  0.8 
Ireland  2.4 
Italy  1.8 
Japan  23.3 
Netherlands  8.5 
Norway  1.1 
Singapore  0.9 
South Korea  2.6 
Spain  2.2 
Sweden  4.9 
Switzerland  6.8 
Taiwan  0.5 
United Kingdom  14.2 
United States  0.7 
Other  0.4 
 
Total  100.0% 
 
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. Many securities markets and exchanges outside the U.S. close prior to the   
close of the New York Stock Exchange and therefore the closing prices for securities in such markets or   
on such exchanges may not fully reflect events that occur after such close but before the close of the   
New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking   
into account multiple factors, including movements in the U.S. securities markets. The number of days   
on which fair value prices will be used will depend on market activity and it is possible that fair value   
prices will be used by the fund to a significant extent.   
 
 
 
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   

Putnam VT International New       
Opportunities Fund       
The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (97.1%)(a)       
    Shares  Value 
 
Aerospace and Defense (0.6%)       
CAE, Inc. (Canada)    44,300  $298,566 
European Aeronautic Defense and Space Co. (Netherlands)    36,003  1,280,348 
      1,578,914 
 
Airlines (0.5%)       
British Airways PLC (United Kingdom) (NON)    229,730  1,189,646 
 
Automotive (2.4%)       
Mazda Motor Corp. (Japan) (S)    311,000  1,366,731 
Renault SA (France)    20,347  1,932,831 
Toyota Motor Corp. (Japan)    62,300  2,858,807 
      6,158,369 
 
Banking (9.4%)       
Anglo Irish Bank Corp. PLC (Ireland)    171,929  2,348,260 
BNP Paribas SA (France)    44,899  3,423,453 
Depfa Bank PLC (Ireland)    61,691  995,051 
DnB Holdings ASA (Norway)    179,090  1,853,564 
Hana Bank (South Korea)    38,570  1,426,460 
ICAP PLC (United Kingdom)    258,016  1,670,440 
KBC Groupe SA (Belgium)    25,400  2,063,768 
Mitsui Trust Holdings, Inc. (Japan)    98,000  1,359,478 
Mizuho Financial Group, Inc. (Japan)    591  3,765,461 
Nordea AB (Sweden)    124,500  1,248,657 
Royal Bank of Scotland Group PLC (United Kingdom)    46,132  1,312,991 
Royal Bank of Scotland Group PLC 144A (United Kingdom)    64,709  1,841,722 
      23,309,305 
 
Basic Materials (1.5%)       
Antofagasta PLC (United Kingdom)    131,061  3,598,061 
 
Beverage (1.5%)       
Coca-Cola Hellenic Bottling Co., SA (Greece)    43,760  1,272,395 
InBev NV (Belgium)    32,300  1,281,438 
ITO EN, Ltd. (Japan)    23,300  1,091,802 
      3,645,635 
 
Broadcasting (1.0%)       
Mediaset SpA (Italy)    112,823  1,339,000 
Modern Times Group AB Class B (Sweden) (NON)    29,950  1,131,754 
      2,470,754 
 
Building Materials (3.1%)       
BPB PLC (United Kingdom)    180,359  2,348,113 
CRH PLC (Ireland)    148,688  4,041,938 
Sika AG (Switzerland) (NON)    1,795  1,373,163 
      7,763,214 
 
Chemicals (1.2%)       
BASF AG (Germany)    38,100  2,875,190 
 
Commercial and Consumer Services (1.6%)       
Kone OYJ Class B (Finland)    21,140  1,439,861 
SGS Societe Generale Surveillance Holding SA (Switzerland)    3,516  2,723,816 
      4,163,677 
 
Communications Equipment (1.6%)       
Nokia OYJ (Finland)    90,808  1,525,998 
Telefonaktiebolaget LM Ericsson AB Class B (Sweden)    675,853  2,475,203 
      4,001,201 

Computers (0.9%)     
Logitech International SA (Switzerland) (NON)  30,038  1,220,024 
Media Tek, Inc. (Taiwan)  114,700  1,083,153 
    2,303,177 
 
Conglomerates (1.5%)     
Vivendi Universal SA (France)  117,593  3,850,157 
 
Construction (0.5%)     
Vinci SA (France)  14,606  1,261,580 
 
Consumer Finance (1.3%)     
Aiful Corp. (Japan)  15,900  1,334,354 
Diamond Lease Co., Ltd. (Japan)  45,000  1,870,367 
    3,204,721 
 
Consumer Goods (1.2%)     
Fancl Corp. (Japan)  20,300  1,006,760 
Henkel KGaA (Preferred) (Germany)  12,700  1,158,496 
Reckitt Benckiser PLC (United Kingdom)  27,958  854,086 
    3,019,342 
 
Consumer Staples (0.5%)     
Orkla ASA (Norway)  33,490  1,276,069 
 
Electric Utilities (1.7%)     
E.On AG (Germany)  13,200  1,218,905 
National Thermal Power Corp., Ltd. (India)  524,953  1,266,386 
National Thermal Power Corp., Ltd. 144A (India)  20,300  48,971 
Scottish and Southern Energy PLC (United Kingdom)  89,089  1,621,596 
    4,155,858 
 
Electrical Equipment (0.9%)     
Siemens AG (Germany)  27,307  2,111,727 
 
Electronics (5.8%)     
ARM Holdings PLC (United Kingdom)  231,500  480,162 
Ibiden Co., Ltd. (Japan)  42,500  1,773,959 
LG Electronics, Inc. (South Korea)  37,400  2,511,297 
Omron Corp. (Japan)  105,400  2,571,753 
Samsung Electronics Co., Ltd. (South Korea)  8,300  4,688,184 
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)  1,482,910  2,384,646 
    14,410,001 
 
Engineering & Construction (0.5%)     
Daito Trust Construction Co., Ltd. (Japan)  28,200  1,240,686 
 
Financial (1.8%)     
Hong Kong Exchanges and Clearing, Ltd. (Hong Kong)  712,000  2,436,816 
Orix Corp. (Japan)  11,300  2,044,211 
    4,481,027 
 
Food (1.9%)     
Nestle SA (Switzerland)  15,781  4,640,390 
 
Health Care Services (0.5%)     
MEDICEO Holdings Co., Ltd. (Japan) (S)  74,500  1,189,949 
 
Homebuilding (0.5%)     
Berkely Group Holdings PLC (United Kingdom) (NON)  77,284  1,187,990 
 
Insurance (0.6%)     
QBE Insurance Group, Ltd. (Australia)  102,271  1,458,416 
 
Investment Banking/Brokerage (4.1%)     
Aeroplan Income Fund (Canada)  62,000  670,602 
Aeroplan Income Fund 144A (Canada)  51,600  558,114 
AWD Holding AG (Germany)  60,946  2,321,665 
Credit Suisse Group (Switzerland)  33,707  1,498,496 
Macquarie Bank, Ltd. (Australia)  63,887  3,674,920 
SembCorp Industries, Ltd. (Singapore)  780,740  1,386,750 

    10,110,547 
 
Machinery (0.6%)     
SMC Corp. (Japan)  2,000  266,678 
Wartsila OYJ Class B (Finland)  38,600  1,233,106 
    1,499,784 
 
Manufacturing (0.4%)     
Wolseley PLC (United Kingdom)  47,425  1,005,842 
 
Medical Technology (0.5%)     
Straumann Holding AG (Switzerland)  4,921  1,323,886 
 
Metals (2.0%)     
Rio Tinto, Ltd. (Australia) (S)  72,544  3,275,179 
Teck Corp. (Canada)  35,200  1,582,074 
    4,857,253 
 
Natural Gas Utilities (0.6%)     
Osaka Gas Co., Ltd. (Japan)  442,000  1,548,482 
 
Oil & Gas (16.0%)     
BP PLC (United Kingdom)  689,969  8,219,974 
Canadian Natural Resources, Ltd. (Canada)  21,629  978,646 
EnCana Corp. (Canada)  25,700  1,490,274 
ENI SpA (Italy)  90,308  2,691,175 
Norsk Hydro ASA (Norway)  22,150  2,489,489 
Petro-Canada (Canada)  29,900  1,253,929 
Royal Dutch Shell PLC Class A (Netherlands)  153,623  5,087,239 
Royal Dutch Shell PLC Class B (Netherlands)  74,840  2,592,088 
Saipem SpA (Italy)  188,250  3,183,903 
Statoil ASA (Norway)  190,300  4,741,597 
Total SA (France)  24,810  6,792,210 
    39,520,524 
 
Pharmaceuticals (11.3%)     
AstraZeneca PLC (London Exchange) (United Kingdom)  51,248  2,388,696 
Daiichi Sankyo Co., Ltd. (Japan) (NON)  130,400  2,675,432 
GlaxoSmithKline PLC (United Kingdom)  310,270  7,914,224 
Novartis AG (Switzerland)  87,387  4,451,049 
Sanofi-Synthelabo SA (France)  37,449  3,103,703 
Taisho Pharmaceutical Co., Ltd. (Japan)  91,000  1,642,208 
Takeda Pharmaceutical Co., Ltd. (Japan)  83,000  4,951,288 
Terumo Corp. (Japan)  25,600  824,568 
    27,951,168 
 
Photography/Imaging (0.5%)     
Konica Corp. (Japan)  131,500  1,197,564 
 
Railroads (0.8%)     
Canadian National Railway Co. (Canada)  29,200  2,076,187 
 
Real Estate (1.3%)     
Leopalace21 Corp. (Japan)  68,800  1,663,537 
Nexity (France)  5,996  303,583 
Nexity 144A (France)  26,710  1,352,354 
    3,319,474 
 
Retail (3.7%)     
Hyundai Department Store Co., Ltd. (South Korea)  18,980  1,278,096 
Inchcape PLC (United Kingdom)  31,629  1,224,714 
Jeronimo Martins, SGPS, SA (Portugal)  121,334  1,755,218 
Lawson, Inc. (Japan)  25,200  951,783 
Onward Kashiyama Co., Ltd. (Japan)  144,000  2,287,328 
Sundrug Co., Ltd. (Japan)  13,800  791,437 
Woolworths, Ltd. (Australia) (S)  61,241  777,475 
    9,066,051 
 
Semiconductor (0.4%)     
Tokyo Electron, Ltd. (Japan)  16,600  883,322 
 
Shipping (1.9%)     
AP Moller - Maersk A/S (Denmark)  239  2,398,187 

Dampskibsselskabet Torm A/S (Denmark)  18,700  1,074,174 
Frontline, Ltd. (Bermuda) (S)  25,972  1,158,860 
    4,631,221 
 
Technology Services (1.6%)     
Indira Sistemas SA Class A (Spain)  83,014  1,826,339 
United Internet AG (Germany)  62,039  2,023,016 
    3,849,355 
 
Telecommunications (3.4%)     
China Mobile (Hong Kong), Ltd. (Hong Kong)  291,000  1,425,459 
Koninklijke (Royal) KPN NV (Netherlands)  326,942  2,940,199 
NTT DoCoMo, Inc. (Japan)  1,050  1,871,691 
Vodafone Group PLC (United Kingdom)  869,185  2,267,814 
    8,505,163 
 
Telephone (0.7%)     
China Netcom Group Corp. (Hong Kong), Ltd. (Hong Kong)  626,500  1,078,153 
Telekom Austria AG (Austria)  34,204  682,405 
    1,760,558 
 
Tobacco (2.8%)     
Japan Tobacco, Inc. (Japan)  439  6,933,653 
 
Total common stocks (cost $196,506,032)    $240,585,090 
 
SHORT-TERM INVESTMENTS (3.1%)(a)     
  Principal  Value 
  amount/Shares   
Putnam Prime Money Market Fund (e)  $413,895  $413,895 
Short-term investments held as collateral for loaned securities with     
yields ranging from 3.2% to 3.8% and a due date of October 3, 2005     
(d)  7,223,126  7,221,205 
 
Total short-term investments (cost $7,637,021)    $7,635,100 
 
TOTAL INVESTMENTS     
 
Total investments (cost $204,143,053) (b)    $248,220,190 

FORWARD CURRENCY CONTRACTS TO BUY at 9/30/05 (aggregate face value $51,678,880) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $15,115,333  $14,950,296  10/19/05  $165,037 
British Pound  16,393,852  16,956,031  12/21/05  (562,179) 
Canadian Dollar  11,329,587  10,965,907  10/19/05  363,680 
Euro  3,832,883  3,869,830  12/21/05  (36,947) 
Japanese Yen  3,811,020  3,906,735  11/16/05  (95,715) 
Swedish Krona  605,674  608,756  12/21/05  (3,082) 
Swiss Franc  403,080  421,325  12/21/05  (18,245) 
Total        $(187,451) 

FORWARD CURRENCY CONTRACTS TO SELL at 9/30/05 (aggregate face value $50,546,619) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $5,817,227  $5,775,467  10/19/05  $(41,760) 
British Pound  34,986  35,285  12/21/05  299 
Canadian Dollar  1,903,785  1,878,423  10/19/05  (25,362) 
Euro  13,903,810  14,214,035  12/21/05  310,225 
Japanese Yen  16,230,212  16,570,152  11/16/05  339,940 
Norwegian Krone  5,108,224  5,202,579  12/21/05  94,355 
Swedish Krona  1,115,111  1,149,284  12/21/05  34,173 
Swiss Franc  5,548,402  5,721,394  12/21/05  172,992 
Total        $884,862 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $247,765,936. 
 
(b)  The aggregate identified cost on a tax basis is $204,651,920, resulting in gross unrealized 
  appreciation and depreciation of $44,641,658 and $1,073,388, respectively, or net unrealized 
  appreciation of $43,568,270. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn 
  additional income. The loans are collateralized by cash and/or securities in an amount at least 
  equal to the market value of the securities loaned. The market value of securities loaned is 
  determined daily and any additional required collateral is allocated to the fund on the next 
  business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear 
  the risk of loss with respect to the investment of the cash collateral. Income from securities 
  lending is included in investment income on the statement of operations. At September 30, 
  2005, the value of securities loaned amounted to $6,002,908. The fund received cash collateral 
  of $7,221,205 which is pooled with collateral of other Putnam funds into 2 issues of high-grade, 
  short-term investments. 
 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests 
  in Putnam Prime Money Market Fund, an open-end management investment company 
  managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's 
  manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the 
  fund are reduced by an amount equal to the management and administrative fees paid by 
  Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime 
  Money Market Fund. Income distributions earned by the fund totaled $47,117 for the period 
  ended September 30, 2005. During the period ended September 30, 2005, cost of purchases 
  and cost of sales of investments in Putnam Prime Money Market Fund aggregated $57,533,605 
  and $61,387,132, respectively. 
 
   At September 30, 2005, liquid assets totaling $6,143,707 have been designated as collateral for open
  forward contracts. 

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

DIVERSIFICATION BY COUNTRY   
 
Distribution of investments by country of issue at September 30, 2005: (as a percentage of   
Portfolio Value)   
 
Australia  3.8% 
Belgium  1.4 
Bermuda  0.5 
Canada  3.7 
Denmark  1.4 
Finland  1.7 
France  9.1 
Germany  4.9 
Greece  0.5 
Hong Kong  2.1 
India  0.6 
Ireland  3.1 
Italy  3.0 
Japan  21.6 
Netherlands  4.9 
Norway  4.3 
Portugal  0.7 
Singapore  0.6 
South Korea  4.1 
Spain  0.8 
Sweden  2.0 
Switzerland  7.1 
Taiwan  1.4 
United Kingdom  16.2 
Other  0.5 
 
Total  100.0% 

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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value. Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.

Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

Putnam VT Investors Fund       
The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (99.7%)(a)       
    Shares  Value 
 
Aerospace and Defense (0.2%)       
L-3 Communications Holdings, Inc.    15,500  $1,225,585 
 
Airlines (1.2%)       
JetBlue Airways Corp. (NON) (S)    153,000  2,692,800 
Southwest Airlines Co.    252,100  3,743,685 
      6,436,485 
 
Banking (9.3%)       
Bank of America Corp.    437,400  18,414,540 
Commerce Bancorp, Inc. (S)    348,300  10,689,327 
U.S. Bancorp    455,200  12,782,016 
Washington Mutual, Inc. (S)    144,400  5,663,368 
      47,549,251 
 
Broadcasting (0.2%)       
XM Satellite Radio Holdings, Inc. Class A (NON)    33,600  1,206,576 
 
Building Materials (1.4%)       
Masco Corp.    180,700  5,543,876 
Sherwin Williams Co.    35,000  1,542,450 
      7,086,326 
 
Commercial and Consumer Services (4.1%)       
Cendant Corp.    208,300  4,299,312 
eBay, Inc. (NON)    154,600  6,369,520 
Google, Inc. Class A (NON)    12,900  4,082,334 
Yahoo!, Inc. (NON)    179,800  6,084,432 
      20,835,598 
 
Communications Equipment (1.9%)       
Cisco Systems, Inc. (NON)    557,200  9,990,596 
 
Computers (7.2%)       
Apple Computer, Inc. (NON)    179,700  9,633,717 
Dell, Inc. (NON)    434,600  14,863,320 
EMC Corp. (NON)    318,700  4,123,978 
Hewlett-Packard Co.    280,700  8,196,440 
      36,817,455 
 
Conglomerates (1.2%)       
Tyco International, Ltd.    224,753  6,259,371 
 
Consumer Finance (5.0%)       
Capital One Financial Corp.    131,100  10,425,072 
Countrywide Financial Corp.    416,500  13,736,170 
MBNA Corp.    59,000  1,453,760 
      25,615,002 
 
Consumer Goods (1.2%)       
Avon Products, Inc.    227,500  6,142,500 
 
Electronics (0.8%)       
Amphenol Corp. Class A    50,000  2,017,000 
Texas Instruments, Inc.    57,000  1,932,300 
      3,949,300 
 
Financial (5.1%)       
Citigroup, Inc.    131,300  5,976,776 
Fannie Mae    192,700  8,636,814 
Freddie Mac    101,300  5,719,398 
PMI Group, Inc. (The) (S)    116,300  4,636,881 
Radian Group, Inc.    19,900  1,056,690 

    26,026,559 
 
Health Care Services (6.3%)     
Aetna, Inc.  54,800  4,720,472 
Cardinal Health, Inc.  56,000  3,552,640 
Express Scripts, Inc. (NON) (S)  48,900  3,041,580 
HCA, Inc. (S)  100,600  4,820,752 
Health Management Associates, Inc. Class A  76,000  1,783,720 
Lincare Holdings, Inc. (NON)  25,300  1,038,565 
Medco Health Solutions, Inc. (NON)  78,800  4,320,604 
Quest Diagnostics, Inc.  11,000  555,940 
UnitedHealth Group, Inc.  150,400  8,452,480 
    32,286,753 
 
Homebuilding (1.4%)     
Lennar Corp.  34,700  2,073,672 
NVR, Inc. (NON)  5,800  5,132,710 
    7,206,382 
 
Household Furniture and Appliances (0.5%)     
Whirlpool Corp.  33,800  2,561,026 
 
Insurance (7.7%)     
ACE, Ltd. (Bermuda)  136,400  6,420,348 
American International Group, Inc.  380,300  23,563,388 
Everest Re Group, Ltd. (Barbados)  98,500  9,643,150 
    39,626,886 
 
Investment Banking/Brokerage (2.2%)     
Bear Stearns Cos., Inc. (The)  61,200  6,716,700 
Lehman Brothers Holdings, Inc.  40,000  4,659,200 
    11,375,900 
 
Leisure (1.1%)     
Harley-Davidson, Inc. (S)  113,000  5,473,720 
 
Lodging/Tourism (1.3%)     
Las Vegas Sands Corp. (NON) (S)  94,700  3,116,577 
Royal Caribbean Cruises, Ltd.  81,800  3,533,760 
    6,650,337 
 
Machinery (1.6%)     
Caterpillar, Inc.  60,200  3,536,750 
Cummins, Inc. (S)  22,100  1,944,579 
Parker-Hannifin Corp.  40,800  2,623,848 
    8,105,177 
 
Medical Technology (0.4%)     
Becton, Dickinson and Co.  38,300  2,008,069 
 
Metals (0.9%)     
BHP Billiton PLC (United Kingdom)  74,285  1,203,649 
United States Steel Corp.  81,200  3,438,820 
    4,642,469 
 
Oil & Gas (10.3%)     
Amerada Hess Corp.  16,600  2,282,500 
Chevron Corp.  116,300  7,528,099 
Devon Energy Corp.  56,500  3,878,160 
Exxon Mobil Corp.  336,400  21,374,856 
Marathon Oil Corp.  76,000  5,238,680 
Occidental Petroleum Corp.  76,000  6,492,680 
Valero Energy Corp.  35,600  4,024,936 
XTO Energy, Inc.  45,200  2,048,464 
    52,868,375 
 
Pharmaceuticals (5.9%)     
Johnson & Johnson  227,200  14,377,216 
Pfizer, Inc.  511,307  12,767,336 
Teva Pharmaceutical Industries, Ltd. ADR (Israel) (S)  90,500  3,024,510 
    30,169,062 

Photography/Imaging (0.7%)     
Xerox Corp. (NON) (S)  245,600  3,352,440 
 
Power Producers (0.6%)     
AES Corp. (The) (NON)  176,700  2,903,181 
 
Publishing (1.3%)     
McGraw-Hill Companies, Inc. (The)  104,100  5,000,964 
R. H. Donnelley Corp. (NON) (S)  22,700  1,436,002 
    6,436,966 
 
Restaurants (1.2%)     
Red Robin Gourmet Burgers, Inc. (NON) (S)  54,600  2,502,864 
Yum! Brands, Inc.  72,700  3,519,407 
    6,022,271 
 
Retail (8.2%)     
Abercrombie & Fitch Co. Class A  41,500  2,068,775 
Autonation, Inc. (NON) (S)  72,800  1,453,816 
Best Buy Co., Inc.  118,300  5,149,599 
Borders Group, Inc.  58,700  1,301,379 
Federated Department Stores, Inc.  34,500  2,307,015 
Home Depot, Inc. (The)  250,100  9,538,814 
Kohl's Corp. (NON)  48,200  2,418,676 
Lowe's Cos., Inc.  81,000  5,216,400 
Michaels Stores, Inc. (S)  72,400  2,393,544 
Office Depot, Inc. (NON)  47,300  1,404,810 
PETsMART, Inc.  52,800  1,149,984 
Sears Holdings Corp. (NON)  20,400  2,538,168 
Staples, Inc.  231,900  4,944,108 
    41,885,088 
 
Schools (0.9%)     
Apollo Group, Inc. Class A (NON) (S)  69,300  4,600,827 
 
Software (4.8%)     
Adobe Systems, Inc.  144,900  4,325,265 
Microsoft Corp.  375,100  9,651,323 
Oracle Corp. (NON)  561,000  6,950,790 
Symantec Corp. (NON) (S)  166,200  3,766,092 
    24,693,470 
 
Technology Services (0.9%)     
Accenture, Ltd. Class A (Bermuda) (NON) (S)  91,100  2,319,406 
Fair Isaac Corp.  49,000  2,195,200 
    4,514,606 
 
Textiles (0.5%)     
NIKE, Inc. Class B  30,500  2,491,240 
 
Tobacco (2.2%)     
Altria Group, Inc.  130,600  9,626,526 
Loews Corp. - Carolina Group  46,000  1,822,980 
    11,449,506 
 
Total common stocks (cost $449,364,487)    $510,464,355 
 
SHORT-TERM INVESTMENTS (8.6%)(a)     
  Principal  Value 
  amount/shares   
Putnam Prime Money Market Fund (e)  1,976,901  $1,976,901 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.77% to 4.09% and due dates ranging from October 3, 2005     
to November 1, 2005 (d)  $42,058,719  42,012,830 
 
Total short-term investments (cost $43,989,731)    $43,989,731 
 
TOTAL INVESTMENTS     
 
Total investments (cost $493,354,218) (b)    $554,454,086 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $512,042,543. 
 
(b)  The aggregate identified cost on a tax basis is $499,260,836, resulting in gross unrealized appreciation and depreciation of 
  $71,886,623 and $16,693,373, respectively, or net unrealized appreciation of $55,193,250. 
 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are 
  collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of 
  securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The 
  risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the 
  cash collateral. Income from securities lending is included in investment income on the statement of operations. At September 30, 
  2005, the value of securities loaned amounted to $39,463,676. Certain of these securities were sold prior to period end. The fund 
  received cash collateral of $42,012,830 which is pooled with collateral of other Putnam funds into 20 issues of high-grade, short- 
  term investments. 
 
 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market 
  Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam 
  Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are 
  reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to 
  assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $34,597 for the 
  period ended September 30, 2005. During the period ended September 30, 2005, cost of purchases and cost of sales of 
  investments in Putnam Prime Money Market Fund aggregated $40,308,112 and $47,868,418, respectively. 
 
 
  ADR after the name of a foreign holding stands for American Depository Receipts, representing ownership of foreign securities on 
  deposit with a custodian bank. 

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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.

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

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

Putnam VT Mid Cap Value Fund       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (98.8%)(a)       
 
    Shares  Value 
 
Advertising and Marketing Services (0.9%)       
Interpublic Group of Cos., Inc. (The) (NON)    56,550  $658,242 
Aerospace and Defense (1.0%)       
L-3 Communications Holdings, Inc.    9,510  751,956 
Banking (8.9%)       
City National Corp.    15,380  1,077,984 
Comerica, Inc.    14,460  851,694 
Compass Bancshares, Inc.    20,960  960,597 
Cullen/Frost Bankers, Inc.    20,390  1,006,043 
Marshall & Ilsley Corp.    15,740  684,847 
Synovus Financial Corp.    24,970  692,168 
Webster Financial Corp.    16,020  720,259 
Zions Bancorp.    12,590  896,534 
      6,890,126 
 
Beverage (1.4%)       
Molson Coors Brewing Co. Class B    18,210  1,165,622 
Building Materials (2.7%)       
Sherwin Williams Co.    25,810  1,137,447 
Vulcan Materials Co.    13,340  989,961 
      2,127,408 
 
Chemicals (3.0%)       
Chemtura Corp.    138,000  1,713,960 
Rohm & Haas Co.    14,530  597,619 
      2,311,579 
Coal (1.1%)       
CONSOL Energy, Inc.    11,070  844,309 
 
Communications Equipment (0.6%)       
Avaya, Inc. (NON)    19,130  197,039 
Lucent Technologies, Inc. (NON)    96,760  314,470 
      511,509 
Computers (1.3%)       
Logitech International SA ADR (Switzerland) (NON)    25,440  1,036,680 
 
Consumer (1.7%)       
Eastman Kodak Co. (SEG)    55,010  1,338,393 
Consumer Finance (1.9%)       
AmeriCredit Corp. (NON)    62,460  1,490,920 
Consumer Goods (1.5%)       
Alberto-Culver Co.    26,660  1,193,035 
 
Containers (1.8%)       
Ball Corp.    15,770  579,390 
Owens-Illinois, Inc. (NON)    41,490  855,524 
      1,434,914 
Distributors (2.0%)       
Hughes Supply, Inc.    46,510  1,516,226 

Electric Utilities (6.4%)     
Ameren Corp.  10,120  541,319 
Edison International  16,670  788,158 
Energy East Corp.  20,800  523,952 
FPL Group, Inc.  24,080  1,146,208 
PPL Corp.  25,310  818,272 
Progress Energy, Inc.  6,980  312,355 
Wisconsin Energy Corp.  21,110  842,711 
    4,972,975 
 
Electronics (6.8%)     
American Power Conversion Corp.  30,990  802,641 
Amphenol Corp. Class A  22,520  908,457 
Avnet, Inc. (NON)  25,160  615,162 
Jabil Circuit, Inc. (NON)  33,300  1,029,636 
MEMC Electronic Materials, Inc. (NON)  63,940  1,457,193 
W.W. Grainger, Inc.  7,730  486,372 
    5,299,461 
 
Energy (2.1%)     
National-Oilwell, Inc. (NON)  25,030  1,646,974 
 
Financial (2.6%)     
CIT Group, Inc.  26,810  1,211,276 
MGIC Investment Corp.  5,620  360,804 
Radian Group, Inc.  7,760  412,056 
    1,984,136 
 
Forest Products and Packaging (0.7%)     
Louisiana-Pacific Corp.  20,600  570,414 
 
Health Care Services (7.2%)     
AmerisourceBergen Corp.  29,290  2,264,117 
Lincare Holdings, Inc. (NON)  24,410  1,002,031 
Omnicare, Inc.  32,410  1,822,414 
Triad Hospitals, Inc. (NON)  10,600  479,862 
    5,568,424 
 
Homebuilding (1.3%)     
Lennar Corp.  11,370  679,471 
Toll Brothers, Inc. (NON)  7,120  318,050 
    997,521 
 
Household Furniture and Appliances (2.1%)     
Whirlpool Corp.  21,330  1,616,174 
 
Insurance (2.7%)     
Everest Re Group, Ltd. (Barbados)  12,010  1,175,779 
Mercury General Corp.  9,873  592,281 
Stancorp Financial Group  4,210  354,482 
    2,122,542 
 
Investment Banking/Brokerage (3.8%)     
Bear Stearns Cos., Inc. (The)  8,430  925,193 
Federated Investors, Inc.  36,090  1,199,271 
Nuveen Investments, Inc. Class A  21,170  833,886 
    2,958,350 
 
Leisure (1.1%)     
Brunswick Corp.  22,100  833,833 
 
Machinery (1.2%)     
Terex Corp. (NON)  19,490  963,391 
 
Medical Technology (2.0%)     
Cytyc Corp. (NON)  34,570  928,205 
Hillenbrand Industries, Inc.  12,500  588,125 
    1,516,330 

Metals (2.4%)     
Phelps Dodge Corp.  8,980  1,166,771 
United States Steel Corp.  15,670  663,625 
    1,830,396 
 
Natural Gas Utilities (0.5%)     
National Fuel Gas Co.  11,190  382,698 
 
Oil & Gas (7.3%)     
Amerada Hess Corp.  5,220  717,750 
EOG Resources, Inc.  18,020  1,349,698 
Marathon Oil Corp.  7,350  506,636 
Newfield Exploration Co. (NON)  26,130  1,282,983 
Questar Corp.  10,890  959,627 
Western Gas Resources, Inc.  16,540  847,344 
    5,664,038 
 
Pharmaceuticals (0.8%)     
Par Pharmaceutical Cos., Inc. (NON)  23,490  625,304 
 
Power Producers (0.5%)     
AES Corp. (The) (NON)  23,990  394,156 
 
Real Estate (3.8%)     
Archstone-Smith Operating Trust (R)  16,580  661,045 
CB Richard Ellis Group, Inc. Class A (NON)  11,890  584,988 
CBL & Associates Properties (R)  15,330  628,377 
General Growth Properties, Inc. (R)  24,490  1,100,336 
    2,974,746 
 
Retail (6.3%)     
Claire's Stores, Inc.  24,200  583,946 
Foot Locker, Inc.  31,100  682,334 
Office Depot, Inc. (NON)  56,260  1,670,922 
Rite Aid Corp. (NON)  290,780  1,128,226 
Ross Stores, Inc.  36,220  858,414 
    4,923,842 
 
Shipping (1.1%)     
CNF Transportation, Inc.  16,180  849,450 
 
Technology Services (1.5%)     
Ingram Micro, Inc. Class A (NON)  60,930  1,129,639 
 
Telecommunications (0.9%)     
Earthlink, Inc. (NON)  61,590  659,013 
 
Toys (1.2%)     
Mattel, Inc.  58,000  967,440 
 
Trucks & Parts (0.8%)     
Autoliv, Inc. (Sweden)  14,420  627,270 
 
Waste Management (1.9%)     
Allied Waste Industries, Inc. (NON)  69,160  584,402 
Republic Services, Inc.  25,170  888,249 
    1,472,651 
 
Total common stocks (cost $66,959,675)    $76,822,087 
 
SHORT-TERM INVESTMENTS (3.0%)(a) (cost $2,321,302)     
 
  Principal amount  Value 
Putnam Prime Money Market Fund (e)  $2,321,302  $2,321,302 
TOTAL INVESTMENTS     
Total investments (cost $69,280,977) (b)    $79,143,389 
 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
S&P 400 Index Mini (Long)  6  $432,420  Dec-05  $588 
S&P 500 Index (Long)  1  308,575  Dec-05  (1,054) 
Total        $(466) 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $77,722,654. 
 
(b)  The aggregate identified cost on a tax basis is $69,475,502, resulting in gross unrealized appreciation and depreciation of 
  $11,861,861 and $2,193,974, respectively, or net unrealized appreciation of $9,667,887. 
 
(NON)  Non-income-producing security. 
 
(SEG)  A portion of this was pledged and segregated with the custodian to cover margin requirements for futures contracts at 
  September 30, 2005. 
 
(R)  Real Estate Investment Trust. 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money 
  Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam 
  Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund 
  are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with 
  respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled 
  $36,129 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of purchases and cost 
  of sales of investments in Putnam Prime Money Market Fund aggregated $27,878,092 and $26,048,835, respectively. 
 
  At September 30, 2005, liquid assets totaling $741,205 have been designated as collateral for open future contracts. 
 
  ADR after the name of a foreign holding stands for American Depository Receipts representing ownership of foreign securities 
  on deposit with a custodian bank. 
 
  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. Many securities markets and exchanges outside the 
  U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or 
  on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock 
  Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including 
  movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market 
  activity and it is possible that fair value prices will be used by the fund to a significant extent. 
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair 
  value. 
 
Other investments, including certain restricted securities, are valued at fair value following procedures approved by the 
  Trustees. Such valuations and procedures are reviewed periodically by the Trustees. 
 
  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. The fund may also write options on swaps or securities it owns or in which it 
  may invest to increase its current returns. 

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

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

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

Putnam VT Money Market Fund           
 
The fund's portfolio             
9/30/05 (Unaudited)             
COMMERCIAL PAPER (65.3%)(a)             
 
    Yield (%)  Maturity date    Principal amount  Value 
 
Commercial Paper - Domestic (39.1%)             
Amstel Funding Corp.    3.866  12/27/05    $3,750,000  $3,715,556 
Amstel Funding Corp.    3.807  11/28/05    3,000,000  2,981,778 
Amstel Funding Corp.    3.776  11/22/05    4,000,000  3,978,391 
Amstel Funding Corp.    3.763  10/17/05    3,231,000  3,225,615 
Atlantic Asset Securitization, LLC    4.121  3/20/06    4,000,000  3,923,689 
Atlantic Asset Securitization, LLC    3.836  12/12/05    1,929,000  1,914,340 
Atlantic Asset Securitization, LLC    3.660  10/3/05    3,000,000  2,999,392 
Bank of America Corp.    3.572  10/18/05    1,800,000  1,796,991 
Barton Capital, LLC    3.619  10/7/05    3,000,000  2,998,200 
Bear Stearns Cos.    3.541  10/13/05    2,000,000  1,997,660 
Bryant Park Funding, LLC    3.746  11/15/05    1,724,000  1,716,005 
Bryant Park Funding, LLC    3.620  10/4/05    5,663,000  5,661,301 
Bryant Park Funding, LLC    3.572  10/18/05    2,000,000  1,996,657 
Bryant Park Funding, LLC    3.562  10/17/05    3,388,000  3,382,685 
CAFCO, LLC    3.602  10/24/05    5,000,000  4,988,596 
CIT Group, Inc.    3.775  10/25/05    4,000,000  3,989,973 
CIT Group, Inc.    3.575  10/21/05    1,500,000  1,497,050 
Citibank Credit Card Issuance Trust (Dakota)    3.906  11/29/05    3,000,000  2,980,923 
Citibank Credit Card Issuance Trust (Dakota)    3.760  11/3/05    5,000,000  4,982,858 
Citibank Credit Card Issuance Trust (Dakota)    3.680  10/5/05    3,000,000  2,998,777 
Citibank Credit Card Issuance Trust (Dakota)    3.592  10/20/05    2,000,000  1,996,242 
Citigroup Funding, Inc.    3.714  11/8/05    2,000,000  1,992,210 
Countrywide Financial Corp.    3.844  11/1/05    2,000,000  1,993,404 
Countrywide Financial Corp.    3.743  10/31/05    5,000,000  4,984,500 
CRC Funding, LLC    3.819  11/9/05    2,500,000  2,489,708 
Curzon Funding, LLC    3.674  10/20/05    3,300,000  3,293,643 
Curzon Funding, LLC    3.633  10/27/05    2,000,000  1,994,800 
Curzon Funding, LLC    3.511  10/3/05    5,000,000  4,999,033 
Jupiter Securitization Corp.    3.811  11/4/05    4,750,000  4,732,975 
Klio II Funding Corp.    3.802  10/24/05    5,000,000  4,987,893 
Master Funding, LLC Ser. B    3.802  10/21/05    7,500,000  7,484,208 
Master Funding, LLC Ser. B    3.714  11/2/05    2,000,000  1,993,458 
Master Funding, LLC Ser. B    3.693  10/18/05    5,000,000  4,991,335 
Morgan Stanley Dean Witter & Co.    3.910  10/3/05    7,000,000  6,998,480 
NATC California, LLC (Chase Manhattan Bank (USA) (Letter of credit (LOC)))  3.582  10/19/05    3,000,000  2,994,675 
Old Line Funding Corp.    3.626  10/6/05    3,539,000  3,537,226 
Park Granada, LLC    3.926  11/28/05    5,000,000  4,968,583 
Park Granada, LLC    3.744  11/1/05    2,500,000  2,491,992 
Thunder Bay Funding, Inc.    3.918  12/22/05    5,000,000  4,955,811 
Thunder Bay Funding, Inc.    3.532  10/13/05    1,417,000  1,415,347 
Windmill Funding Corp.    3.676  10/26/05    3,590,000  3,580,900 
Yorktown Capital, LLC    4.000  12/29/05    5,052,000  5,002,541 
            147,605,401 
 
Commercial Paper - Foreign (26.2%)           
ANZ (Delaware), Inc. (Australia)    3.642  10/28/05    5,000,000  4,986,463 
Atlantis One Funding Corp. (Netherlands)    4.136  3/31/06    1,083,000  1,060,948 
Atlantis One Funding Corp. (Netherlands)    3.714  11/7/05    3,475,000  3,461,857 
Atlantis One Funding Corp. (Netherlands)    3.594  10/24/05    2,950,000  2,943,290 
Banco Continental de Panama, S.A. (Calyon (LOC))  (France)  3.677  3/3/06    2,000,000  1,969,570 
Banco Continental de Panama, S.A. (Calyon (LOC))  (France)  3.499  11/29/05    2,000,000  1,988,725 
Barclays U.S. Funding Corp. (United Kingdom)    3.808  11/28/05    3,000,000  2,981,778 
Barclays U.S. Funding Corp. (United Kingdom)    3.756  11/17/05    3,000,000  2,985,430 
BNP Paribas Finance, Inc. (France)    3.919  12/22/05    1,500,000  1,486,743 
Danske Corp. (Denmark)    3.943  12/15/05    3,300,000  3,273,119 
Danske Corp. (Denmark)    3.721  11/4/05    3,800,000  3,786,757 
Danske Corp. (Denmark)    3.687  10/17/05    1,600,000  1,597,390 
Danske Corp. (Denmark)    3.502  12/12/05    2,500,000  2,482,800 
Dexia Delaware, LLC (Belgium)    3.537  10/14/05    2,000,000  1,997,469 
Fortis Funding, LLC (Belgium)    3.910  10/3/05    12,000,000  11,997,393 
Greenwich Capital Holdings, Inc. FRN (United Kingdom)  3.749  12/19/05    5,000,000  5,000,000 
HBOS Treasury Services PLC (United Kingdom)    3.848  11/30/05    7,800,000  7,750,340 
HBOS Treasury Services PLC (United Kingdom)    3.617  10/5/05    2,000,000  1,999,200 
ING America Insurance Holdings (Netherlands)    3.764  11/14/05    5,000,000  4,977,206 
ING America Insurance Holdings (Netherlands)    3.719  11/22/05    3,000,000  2,984,010 
Nordea North America, Inc. (Sweden)    3.868  11/29/05    1,700,000  1,689,301 
Nordea North America, Inc. (Sweden)    3.792  11/21/05    1,500,000  1,492,010 
Nordea North America, Inc. (Sweden)    3.728  11/1/05    3,300,000  3,289,486 
Nordea North America, Inc. (Sweden)    3.696  10/21/05    2,600,000  2,594,684 
Santander Central Hispano Finance (Delaware), Inc. (Spain)  4.000  12/30/05    3,000,000  2,970,300 
Societe Generale (France)    3.792  12/23/05    1,900,000  1,883,573 
Spintab AB (Sweden)    3.633  10/28/05    3,000,000  2,991,900 
Tulip Funding Corp. (Netherlands)    3.720  10/31/05    1,987,000  1,980,873 
Tulip Funding Corp. (Netherlands)    3.613  10/24/05    4,000,000  3,990,851 
Westpac Trust Securities NZ, Ltd. (Australia)    3.860  12/22/05    2,750,000  2,726,072 
Westpac Trust Securities NZ, Ltd. (Australia)    3.678  10/24/05    1,638,000  1,634,170 

        98,953,708 
 
Total commercial paper (cost $246,559,109)        $246,559,109 
 
 
 
CERTIFICATES OF DEPOSIT (18.6%)(a)         
  
  Yield (%)  Maturity date  Principal amount  Value 
 
Certificate of Deposit - Domestic (5.2%)         
Citibank, N.A. Ser. CD  3.780  11/23/05  $4,000,000  $4,000,000 
Citibank, N.A. Ser. CD  3.725  11/10/05  3,800,000  3,800,000 
SunTrust Bank FRN, Ser. CD  3.775  9/26/06  4,000,000  3,999,681 
SunTrust Bank FRN, Ser. CD  3.730  5/12/06  3,750,000  3,750,000 
SunTrust Bank Ser. CD  3.330  10/12/05  4,250,000  4,250,009 
        19,799,690 
 
Certificate of Deposit - Foreign (13.4%)         
Barclays Bank PLC Ser. ECD (United Kingdom)  3.515  10/11/05  4,000,000  4,000,006 
BNP Paribas FRN, Ser. YCD (France)  3.727  6/19/06  3,000,000  2,999,324 
BNP Paribas Ser. YCD (France)  3.585  12/27/05  4,000,000  3,999,060 
Calyon Ser. YCD (France)  3.400  11/10/05  3,000,000  3,000,016 
Credit Suisse New York Ser. YCD (Switzerland)  2.445  10/7/05  5,000,000  4,998,910 
Deutsche Bank AG Ser. ECD (Germany)  3.880  12/21/05  5,000,000  4,999,531 
Dexia Credit Local FRN, Ser. YCD (Belgium)  3.800  10/3/06  3,000,000  2,999,403 
Fortis Bank NY Ser. YCD (Belgium)  3.950  4/21/06  3,000,000  3,000,000 
HSBC Bank USA Ser. CD (United Kingdom)  3.725  11/10/05  4,000,000  4,000,022 
Societe Generale Ser. ECD (France)  3.900  4/18/06  5,640,000  5,639,767 
Svenska Handelsbanken FRN (Sweden)  3.736  9/20/06  3,750,000  3,749,278 
Svenska Handelsbanken FRN, Ser. YCD1 (Sweden)  3.623  4/3/06  5,000,000  4,998,495 
Swedbank FRN, Ser. YCD (Sweden)  3.726  3/20/06  2,000,000  1,999,298 
        50,383,110 
 
Total Certificates of deposit (cost $70,182,800)        $70,182,800 
CORPORATE BONDS AND NOTES (12.3%)(a)         
  Yield (%)  Maturity date  Principal amount  Value 
 
Bank of New York Co., Inc. (The) sr. notes FRN, Ser. XMTN  3.668  11/9/06  $2,000,000  $2,000,000 
Citigroup, Inc. sr. notes FRN, Ser. MTN  4.010  3/29/06  4,700,000  4,701,055 
Lehman Brothers Holdings, Inc. FRN, Ser. G  4.140  2/13/06  2,000,000  2,003,244 
Lehman Brothers Holdings, Inc. FRN, Ser. G  3.589  6/2/06  8,000,000  8,005,061 
Merrill Lynch & Co., Inc. FRN, Ser. C  3.748  10/13/06  1,500,000  1,500,000 
Morgan Stanley Dean Witter & Co. sr. notes FRN  4.250  3/27/06  6,895,000  6,905,029 
National City Bank FRN, Ser. BKNT  3.830  7/26/06  8,000,000  8,002,483 
National City Bank FRN, Ser. BKNT  3.830  6/2/06  4,750,000  4,749,525 
Nordea Bank AB 144A FRN (Sweden)  3.708  10/11/06  2,000,000  2,000,000 
U. S. Bank N.A. FRN, Ser. BKNT  3.761  12/5/05  2,750,000  2,750,193 
Wal-Mart Stores, Inc. FRN  3.734  3/16/06  2,200,000  2,199,006 
Wells Fargo & Co. FRN  3.924  6/12/06  1,470,000  1,470,000 
 
Total corporate bonds and notes (cost $46,285,596)        $46,285,596 
 
ASSET BACKED SECURITIES (1.0%) (a) (cost $3,854,947)         
  Yield (%)  Maturity date  Principal amount  Value 
 
TIAA Real Estate CDO, Ltd. 144A FRN, Ser. 03-1A, Class A1MM (Cayman Islands)  3.868  12/28/18  $3,854,947  $3,854,947 
 
PROMISSORY NOTES (1.0%) (a) (cost $3,800,000)         
  Yield (%)  Maturity date  Principal amount  Value 
 
Goldman Sachs Group, Inc. (The) FRN (acquired 6/22/05, cost $3,800,000) (RES)  3.850  1/19/06  $3,800,000  $3,800,000 
 
U.S. GOVERNMENT AGENCY OBLIGATIONS (1.0%) (a) (cost $1,748,257)         
  Yield (%)  Maturity date  Principal amount  Value 
 
Fannie Mae FRN  3.569  9/7/06  $1,750,000  $1,748,257 
Federal Farm Credit Bank FRB  3.706  7/20/06  2,000,000  1,999,248 
 
Total U.S. government agency obligations (cost $3,747,505)        $3,747,505 
SHORT-TERM INVESTMENTS (1.5%)(a) (cost $5,470,000)         
      Principal amount  Value 
 
Interest in $336,000,000 joint tri-party repurchase agreement dated September 30, 2005 with         
UBS Securities, LLC due October 3, 2005 with respect to various U.S. Government obligations --         
maturity value of $5,471,801 for an effective yield of 3.95% (collateralized by Freddie Mac and         
Fannie Mae with yields ranging from 3.50% to 11.00% and due dates ranging from August 1,         
2006 to October 1, 2035, valued at $342,724,967)      $5,470,000  $5,470,000 
 
TOTAL INVESTMENTS         
 

Total investments (cost $379,899,957) (b)

$379,899,957

  NOTES 
 
(a)  Percentages indicated are based on net assets of $377,209,300. 
 
(b)  The aggregate identified cost on a financial reporting and tax basis is the same. 
 
(RES)  Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at September 30, 2005 
  was $3,800,000 or 1.0% of net assets. 
 
  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, 
  an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the 
  fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount 
  equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the 
  fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $3,819 for the period ended September 30, 
  2005. During the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money 
  Market Fund aggregated $25,721,000 and $25,721,000, respectively. 
 
  144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These 
  securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. 
 
  The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at September 30, 2005. 

DIVERSIFICATION BY COUNTRY   
 
Distribution of investments by country of issue at September 30, 2005: (as a percentage of Portfolio Value)   
 
Australia  2.5% 
Belgium  5.3 
Cayman Islands  1.0 
Denmark  2.9 
France  6.0 
Germany  1.3 
Netherlands  5.6 
Spain  0.8 
Sweden  6.5 
Switzerland  1.3 
United Kingdom  7.6 
United States  59.2 
Total  100.0% 

Security valuation The valuation of the fund’s portfolio instruments is determined by means of the amortized cost method (which approximates market value) as set forth in Rule 2a-7 under the Investment Company Act of 1940. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity.

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

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

Putnam VT New Opportunities Fund       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (99.3%)(a)       
 
    Shares  Value 
 
Aerospace and Defense (3.0%)       
Boeing Co. (The)    294,400  $20,004,480 
L-3 Communications Holdings, Inc.    88,400  6,989,788 
Lockheed Martin Corp.    142,100  8,673,784 
Raytheon Co.    146,500  5,569,930 
Rockwell Collins, Inc.    104,600  5,054,272 
      46,292,254 
 
Automotive (0.4%)       
Oshkosh Truck Corp.    147,600  6,370,416 
 
Banking (1.4%)       
Commerce Bancorp, Inc.    40,400  1,239,876 
TCF Financial Corp.    140,700  3,763,725 
UnionBanCal Corp.    82,700  5,765,844 
Westcorp    51,800  3,051,020 
Zions Bancorp    111,400  7,932,794 
      21,753,259 
 
Beverage (0.2%)       
Pepsi Bottling Group, Inc. (The)    127,400  3,637,270 
 
Biotechnology (3.1%)       
Affymetrix, Inc. (NON)    88,500  4,091,355 
Amgen, Inc. (NON)    211,700  16,866,139 
Celgene Corp. (NON)    113,100  6,143,592 
Connetics Corp. (NON)    78,100  1,320,671 
Genzyme Corp. (NON)    221,700  15,882,588 
Invitrogen Corp. (NON)    45,800  3,445,534 
      47,749,879 
 
Broadcasting (0.7%)       
XM Satellite Radio Holdings, Inc. Class A (NON)    319,900  11,487,609 
 
Coal (0.5%)       
CONSOL Energy, Inc.    100,800  7,688,016 
 
Commercial and Consumer Services (3.2%)       
Administaff, Inc.    155,600  6,183,544 
Corporate Executive Board Co. (The)    190,900  14,886,382 
Google, Inc. Class A (NON)    63,400  20,063,564 
IAC/InterActiveCorp. (NON)    289,400  7,336,290 
      48,469,780 
 
Communications Equipment (4.3%)       
Cisco Systems, Inc. (NON)    1,979,300  35,488,849 
Comtech Telecommunications Corp. (NON)    74,200  3,077,074 
F5 Networks, Inc. (NON)    89,400  3,886,218 
Harris Corp.    171,200  7,156,160 
Nokia OYJ ADR (Finland)    190,800  3,226,428 
Scientific-Atlanta, Inc.    341,500  12,809,665 
      65,644,394 
 
Computers (5.0%)       
Anixter International, Inc. (NON)    134,500  5,424,385 
Apple Computer, Inc. (NON)    470,400  25,218,144 
Dell, Inc. (NON)    427,800  14,630,760 
EMC Corp. (NON)    286,500  3,707,310 
Hewlett-Packard Co.    119,800  3,498,160 
Intergraph Corp. (NON)    131,500  5,879,365 
Micros Systems, Inc. (NON)    141,400  6,186,250 
NCR Corp. (NON)    111,000  3,542,010 
Network Appliance, Inc. (NON)    106,800  2,535,432 
Western Digital Corp. (NON)    375,800  4,859,094 
      75,480,910 

Conglomerates (0.3%)     
Danaher Corp.  92,300  4,968,509 
 
Consumer Cyclicals (1.9%)     
Black & Decker Manufacturing Co.  297,800  24,446,402 
Harman International Industries, Inc.  51,200  5,236,224 
    29,682,626 
 
Consumer Finance (1.8%)     
Capital One Financial Corp.  149,000  11,848,480 
CompuCredit Corp. (NON)  22,500  999,450 
Countrywide Financial Corp.  181,100  5,972,678 
Providian Financial Corp. (NON)  514,800  9,101,664 
    27,922,272 
 
Consumer Goods (3.7%)     
Energizer Holdings, Inc. (NON)  157,100  8,907,570 
Newell Rubbermaid, Inc.  105,800  2,396,370 
Procter & Gamble Co. (The)  707,200  42,050,112 
Weight Watchers International, Inc. (NON)  75,800  3,909,764 
    57,263,816 
 
Consumer Services (2.3%)     
Alliance Data Systems Corp. (NON)  404,500  15,836,175 
Getty Images, Inc. (NON)  123,200  10,600,128 
Labor Ready, Inc. (NON)  166,100  4,260,465 
Valueclick, Inc. (NON)  275,500  4,708,295 
WebMD Health Corp. Class A (NON)  6,820  168,106 
    35,573,169 
 
Electrical Equipment (0.4%)     
WESCO International, Inc. (NON)  176,600  5,981,442 
 
Electronics (5.1%)     
Amphenol Corp. Class A  68,900  2,779,426 
Arrow Electronics, Inc. (NON)  100,800  3,161,088 
Avnet, Inc. (NON)  244,600  5,980,470 
Freescale Semiconductor, Inc. Class A (NON)  239,500  5,606,695 
Intel Corp.  1,587,500  39,131,875 
Microchip Technology, Inc.  134,400  4,048,128 
Motorola, Inc.  342,100  7,556,989 
National Semiconductor Corp.  108,500  2,853,550 
Texas Instruments, Inc.  174,300  5,908,770 
    77,026,991 
 
Energy (2.7%)     
CAL Dive International, Inc. (NON)  96,600  6,125,406 
Cooper Cameron Corp. (NON)  269,100  19,894,563 
Pride International, Inc. (NON)  225,400  6,426,154 
Superior Energy Services (NON)  158,900  3,669,001 
Unit Corp. (NON)  86,100  4,759,608 
    40,874,732 
 
Entertainment (0.3%)     
Dreamworks Animation SKG, Inc. Class A (NON)  55,200  1,526,832 
Pixar, Inc. (NON)  53,700  2,390,187 
    3,917,019 
 
Environmental (0.0%)     
Clean Harbors, Inc (NON)  4,100  139,195 
 
Financial (1.7%)     
American Express Co.  102,500  5,887,600 
Chicago Mercantile Exchange Holdings, Inc. (The)  12,100  4,081,330 
Moody's Corp.  313,600  16,018,688 
    25,987,618 
 
Food (0.4%)     
Archer Daniels Midland Co.  223,700  5,516,442 
 
Forest Products and Packaging (0.2%)     
Crown Holdings, Inc. (NON)  196,600  3,133,804 

Gaming & Lottery (0.6%)     
Ameristar Casinos, Inc.  187,400  3,905,416 
GTECH Holdings Corp.  179,400  5,751,564 
    9,656,980 
 
Health Care Services (5.8%)     
AmerisourceBergen Corp.  72,800  5,627,440 
Coventry Health Care, Inc. (NON)  72,800  6,262,256 
Express Scripts, Inc. (NON)  113,700  7,072,140 
Lincare Holdings, Inc. (NON)  144,800  5,944,040 
McKesson Corp.  248,900  11,810,305 
UnitedHealth Group, Inc.  562,800  31,629,360 
WellPoint, Inc. (NON)  257,500  19,523,650 
    87,869,191 
 
Homebuilding (2.8%)     
KB Home  55,700  4,077,240 
NVR, Inc. (NON)  25,100  22,212,245 
Toll Brothers, Inc. (NON)  248,200  11,087,094 
William Lyon Homes, Inc. (NON)  38,500  5,975,200 
    43,351,779 
 
Insurance (1.8%)     
Everest Re Group, Ltd. (Barbados)  98,800  9,672,520 
Selective Insurance Group  76,400  3,735,960 
W.R. Berkley Corp.  266,250  10,511,550 
Zenith National Insurance Corp.  59,600  3,736,324 
    27,656,354 
 
Investment Banking/Brokerage (2.5%)     
Bear Stearns Cos., Inc. (The)  121,800  13,367,550 
Calamos Asset Management, Inc. Class A  91,000  2,245,880 
Eaton Vance Corp.  79,500  1,973,190 
Goldman Sachs Group, Inc. (The)  64,300  7,817,594 
Lazard, Ltd. Class A (Bermuda)  168,600  4,265,580 
Lehman Brothers Holdings, Inc.  68,200  7,943,936 
    37,613,730 
 
Leisure (0.5%)     
Brunswick Corp.  76,600  2,890,118 
Polaris Industries, Inc.  87,500  4,335,625 
    7,225,743 
 
Lodging/Tourism (0.2%)     
Choice Hotels International, Inc.  46,300  2,992,832 
 
Machinery (0.9%)     
Cummins, Inc.  75,700  6,660,843 
Terex Corp. (NON)  50,900  2,515,987 
Timken Co.  171,000  5,066,730 
    14,243,560 
 
Manufacturing (0.3%)     
Mettler-Toledo International, Inc. (Switzerland) (NON)  101,700  5,184,666 
 
Medical Technology (8.1%)     
Bausch & Lomb, Inc.  77,500  6,252,700 
Becton, Dickinson and Co.  152,400  7,990,332 
C.R. Bard, Inc.  200,500  13,239,015 
Charles River Laboratories International, Inc. (NON)  114,900  5,011,938 
Dade Behring Holdings, Inc.  167,000  6,122,220 
Haemonetics Corp. (NON)  117,400  5,580,022 
Kinetic Concepts, Inc. (NON)  208,500  11,842,800 
Medtronic, Inc.  204,100  10,943,842 
Respironics, Inc. (NON)  386,934  16,320,876 
St. Jude Medical, Inc. (NON)  456,900  21,382,920 
Sybron Dental Specialties, Inc. (NON)  74,900  3,114,342 
Varian Medical Systems, Inc. (NON)  335,500  13,255,605 
Waters Corp. (NON)  74,500  3,099,200 
    124,155,812 
 
Metals (2.0%)     
AK Steel Holding Corp. (NON)  420,400  3,602,828 

Century Aluminum Co. (NON)  99,400  2,234,512 
Phelps Dodge Corp.  156,500  20,334,045 
Steel Dynamics, Inc.  105,800  3,592,968 
    29,764,353 
 
Oil & Gas (4.9%)     
Amerada Hess Corp.  52,500  7,218,750 
Burlington Resources, Inc.  223,100  18,142,492 
ExxonMobil Corp.  220,400  14,004,216 
Frontier Oil Corp.  48,000  2,128,800 
Noble Energy, Inc.  125,200  5,871,880 
Southwestern Energy Co. (NON)  59,500  4,367,300 
Sunoco, Inc.  92,700  7,249,140 
Tesoro Petroleum Corp.  104,700  7,040,028 
Valero Energy Corp.  70,700  7,993,342 
    74,015,948 
 
Pharmaceuticals (5.7%)     
Allergan, Inc.  122,400  11,214,288 
Barr Pharmaceuticals, Inc. (NON)  253,200  13,905,744 
Caremark Rx, Inc. (NON)  188,000  9,386,840 
Cephalon, Inc. (NON)  179,300  8,323,106 
Johnson & Johnson  601,100  38,037,608 
Medicis Pharmaceutical Corp. Class A  40,100  1,305,656 
Mylan Laboratories, Inc.  224,100  4,316,166 
    86,489,408 
 
Publishing (0.5%)     
McGraw-Hill Companies, Inc. (The)  163,800  7,868,952 
 
Railroads (0.6%)     
Canadian National Railway Co. (Canada)  118,400  8,405,216 
 
Restaurants (0.3%)     
Darden Restaurants, Inc.  160,000  4,859,200 
 
Retail (7.7%)     
Advance Auto Parts, Inc. (NON)  177,600  6,869,568 
American Eagle Outfitters, Inc.  726,700  17,099,251 
Barnes & Noble, Inc.  121,800  4,591,860 
Best Buy Co., Inc.  373,750  16,269,338 
Coach, Inc. (NON)  68,200  2,138,752 
Coldwater Creek, Inc. (NON)  202,500  5,107,050 
Home Depot, Inc. (The)  789,800  30,122,972 
Michaels Stores, Inc.  338,500  11,190,810 
Pantry, Inc. (The) (NON)  131,200  4,902,944 
Staples, Inc.  901,800  19,226,376 
    117,518,921 
 
Schools (0.5%)     
Apollo Group, Inc. Class A (NON)  29,300  1,945,227 
Career Education Corp. (NON)  139,349  4,955,250 
    6,900,477 
 
Semiconductor (0.6%)     
Lam Research Corp. (NON)  157,600  4,802,072 
Photronics, Inc. (NON)  186,300  3,614,220 
    8,416,292 
 
Software (7.4%)     
Adobe Systems, Inc.  629,900  18,802,515 
Amdocs, Ltd. (Guernsey) (NON)  181,600  5,035,768 
Autodesk, Inc.  132,000  6,130,080 
BMC Software, Inc. (NON)  248,800  5,249,680 
Citrix Systems, Inc. (NON)  560,300  14,085,942 
Cognos, Inc. (Canada) (NON)  84,500  3,289,585 
McAfee, Inc. (NON)  299,300  9,404,006 
Microsoft Corp. (SEG)  1,124,600  28,935,958 
MicroStrategy, Inc. (NON)  59,800  4,203,342 
Symantec Corp. (NON)  775,900  17,581,894 
    112,718,770 
 
Technology Services (1.2%)     
Accenture, Ltd. Class A (Bermuda) (NON)  229,000  5,830,340 
Automatic Data Processing, Inc.  57,100  2,457,584 

Equifax, Inc.  30,800  1,076,152 
Global Payments, Inc.  82,500  6,411,901 
Ingram Micro, Inc. Class A (NON)  164,600  3,051,684 
    18,827,661 
Telecommunications (0.4%)     
Earthlink, Inc. (NON)  567,922  6,076,765 
Textiles (1.4%)     
NIKE, Inc. Class B  257,600  21,040,768 
Total common stocks (cost $1,311,741,830)    $1,515,414,800 
 
SHORT-TERM INVESTMENTS (0.7%)(a) (cost $10,929,033)     
 
  Shares  Value 
Putnam Prime Money Market Fund (e)  $10,929,033  $10,929,033 
TOTAL INVESTMENTS     
 
Total investments (cost $1,322,670,863) (b)    $1,526,343,833 
 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)         
 
  Number of    Expiration  Unrealized 
  contracts  Value  date  appreciation 
NASDAQ 100 Index Mini (Long)  40  $1,291,200  Dec-05  $25,120 
Russell 2000 Index Mini (Long)  10  672,100  Dec-05  9,280 
S&P 500 Index (Long)  12  3,702,900  Dec-05  39,855 
Total        $74,255 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $1,526,234,968. 
 
(b)  The aggregate identified cost on a tax basis is $1,335,171,291, resulting in gross unrealized appreciation and depreciation 
  of $224,982,030 and $33,809,488, respectively, or net unrealized appreciation of $191,172,542. 
 
(NON)  Non-income-producing security. 
 
(SEG)  A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts 
  at September 30, 2005. 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money 
  Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC 
  ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees 
  paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime 
  Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income 
  distributions earned by the fund totaled $530,209 for the period ended September 30, 2005. During the period ended 
  September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated 
  $283,421,862 and $308,451,174, respectively. 
 
  At September 30, 2005, liquid assets totaling $5,785,550 have been designated as collateral for open forward 
  commitments and future contracts. 
 
  ADR after the name of a foreign holding stands for American Depository Receipts, respectively, representing ownership of 
  foreign securities on deposit with a custodian bank. 
 
  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. Many securities markets and 
  exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for 
  securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the 
  close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into 
  account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value 
  prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a 
  significant extent. 
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates 
  fair value. 
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by the 
  Trustees. Such valuations and procedures are reviewed periodically by the Trustees. 
 
  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. The fund may also write options on swaps or securities it owns or in 
  which it may invest to increase its current returns. 
 
  The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change 
  in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if 
  there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may 
  exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a 
  realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at 
  the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on 
  investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to 
  sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to cost of 
  investments. 
 
  Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The 
  fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. 
  Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last sale price, or if 
  no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded 
  over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period 
  end, if any, are listed after the fund’s portfolio. 
 
  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 

Putnam VT New Value Fund       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (99.5%)(a)       
 
    Shares  Value 
 
Aerospace and Defense (4.2%)       
Boeing Co. (The)    149,100  $10,131,345 
Lockheed Martin Corp.    292,400  17,848,096 
      27,979,441 
 
Airlines (1.3%)       
Southwest Airlines Co.    583,300  8,662,005 
 
Automotive (0.8%)       
Lear Corp. (S)    162,100  5,506,537 
 
Banking (8.5%)       
Bank of America Corp.    629,700  26,510,370 
Commerce Bancorp, Inc. (S)    200,800  6,162,552 
State Street Corp.    100,700  4,926,244 
U.S. Bancorp    668,600  18,774,288 
      56,373,454 
 
Building Materials (1.9%)       
Masco Corp.    410,900  12,606,412 
 
Chemicals (2.3%)       
Dow Chemical Co. (The)    191,500  7,979,805 
Hercules, Inc. (NON)    334,300  4,085,146 
Huntsman Corp. (NON)    152,900  2,989,195 
      15,054,146 
 
Computers (2.6%)       
Hewlett-Packard Co.    596,100  17,406,120 
 
Conglomerates (3.2%)       
Tyco International, Ltd.    763,700  21,269,045 
 
Consumer Finance (2.2%)       
Capital One Financial Corp.    103,600  8,238,272 
Countrywide Financial Corp.    192,500  6,348,650 
      14,586,922 
 
Consumer Services (0.5%)       
Service Corporation International    390,300  3,235,587 
 
Containers (0.6%)       
Owens-Illinois, Inc. (NON)    211,400  4,359,068 
 
Electric Utilities (4.4%)       
Great Plains Energy, Inc.    107,400  3,212,334 
PG&E Corp.    442,570  17,370,873 
Sierra Pacific Resources (NON)    587,300  8,721,405 
      29,304,612 
 
Electronics (2.4%)       
Intel Corp.    469,500  11,573,175 
Motorola, Inc.    215,500  4,760,395 
      16,333,570 
 
Financial (5.9%)       
Citigroup, Inc.    582,500  26,515,400 
Freddie Mac    226,200  12,771,252 
      39,286,652 
 
Food (1.0%)       
General Mills, Inc.    137,600  6,632,320 

Forest Products and Packaging (1.6%)     
Smurfit-Stone Container Corp. (NON)  346,900  3,593,884 
Weyerhaeuser Co.  101,800  6,998,750 
    10,592,634 
 
Gaming & Lottery (0.2%)     
GTECH Holdings Corp.  36,270  1,162,816 
 
Health Care Services (4.3%)     
Cardinal Health, Inc.  159,400  10,112,336 
CIGNA Corp.  85,800  10,112,388 
HCA, Inc.  173,100  8,294,952 
    28,519,676 
 
Homebuilding (0.8%)     
Lennar Corp.  85,700  5,121,432 
 
Household Furniture and Appliances (0.7%)     
Whirlpool Corp.  66,300  5,023,551 
 
Insurance (10.7%)     
ACE, Ltd. (Bermuda)  293,400  13,810,338 
American International Group, Inc.  273,700  16,958,452 
Chubb Corp. (The) (S)  150,800  13,504,140 
Genworth Financial, Inc. Class A  169,810  5,474,674 
MetLife, Inc.  150,000  7,474,500 
St. Paul Travelers Cos., Inc. (The)  156,800  7,035,616 
XL Capital, Ltd. Class A (Bermuda)  97,700  6,646,531 
    70,904,251 
 
Investment Banking/Brokerage (1.0%)     
Merrill Lynch & Co., Inc.  106,700  6,546,045 
 
Leisure (0.9%)     
Brunswick Corp.  164,600  6,210,358 
 
Manufacturing (1.0%)     
Ingersoll-Rand Co., Ltd. Class A (Bermuda)  180,600  6,904,338 
 
Media (1.2%)     
Walt Disney Co. (The)  334,500  8,071,485 
 
Metals (1.8%)     
Alcoa, Inc.  495,700  12,104,994 
 
Natural Gas Utilities (0.8%)     
Southern Union Co. (NON)  199,055  5,129,647 
 
Oil & Gas (13.1%)     
Amerada Hess Corp.  59,000  8,112,500 
Chevron Corp.  336,500  21,781,645 
ConocoPhillips  184,800  12,919,368 
Exxon Mobil Corp.  450,500  28,624,770 
Marathon Oil Corp.  125,500  8,650,715 
Valero Energy Corp.  61,000  6,896,660 
    86,985,658 
 
Pharmaceuticals (3.5%)     
Pfizer, Inc.  930,000  23,222,100 
 
Photography/Imaging (1.6%)     
Xerox Corp. (NON)  759,500  10,367,175 
 
Publishing (0.8%)     
R. R. Donnelley & Sons Co.  145,900  5,408,513 
 
Railroads (1.6%)     
Norfolk Southern Corp.  259,200  10,513,152 
 
Restaurants (2.5%)     
McDonald's Corp.  498,900  16,708,161 

Retail (5.3%)     
Home Depot, Inc. (The)  337,600  12,876,064 
Limited Brands, Inc.  150,200  3,068,586 
Office Depot, Inc. (NON)  293,100  8,705,070 
Rite Aid Corp. (NON)  942,300  3,656,124 
Supervalu, Inc.  216,200  6,728,144 
    35,033,988 
 
Software (1.2%)     
Oracle Corp. (NON)  637,900  7,903,581 
 
Tobacco (3.1%)     
Altria Group, Inc.  280,300  20,660,913 
 
Total common stocks (cost $537,219,832)    $661,690,359 
  
SHORT-TERM INVESTMENTS (2.2%)(a)     
 
  Principal   
  amount/shares  Value 
 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.77% to 4.09% and due dates ranging from October 3, 2005     
to November 1, 2005. (d)  $11,621,413  $11,608,733 
Putnam Prime Money Market Fund (e)  2,734,595  2,734,595 
 
Total Short-Term investments (cost $14,343,328)    $14,343,328 
TOTAL INVESTMENTS     
Total investments (cost $551,563,160) (b)    $676,033,687 
 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $664,836,018. 
 
(b)  The aggregate identified cost on a tax basis is $557,455,921, resulting in gross unrealized appreciation and depreciation of 
  $133,052,450 and $14,474,684, respectively, or net unrealized appreciation of $118,577,766. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized 
  by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned 
  is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default 
  will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from 
  securities lending is included in investment income on the statement of operations. At September 30, 2005, the value of securities 
  loaned amounted to $11,311,214. The fund received cash collateral of $11,608,733 which is pooled with collateral of other Putnam 
  funds into 20 issues of high-grade, short-term investments. 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, 
  an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's 
  manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to 
  the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in 
  Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $138,312 for the period ended September 30, 2005. 
  During the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund 
  aggregated $108,076,933 and $113,351,338, respectively. 
 
  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. Many securities markets and exchanges outside the U.S. close prior to 
  the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not 
  fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the 
  fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The 
  number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used 
  by the fund to a significant extent. 
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value. 
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such 
  valuations and procedures are reviewed periodically by the Trustees. 
 
  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 

Putnam VT OTC & Emerging Growth Fund     
The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (98.9%)(a)       
    Shares  Value 
 
Aerospace and Defense (1.7%)       
DRS Technologies, Inc.    19,000  $937,840 
L-3 Communications Holdings, Inc.    7,100  561,397 
      1,499,237 
 
Airlines (1.1%)       
SkyWest, Inc.    36,700  984,294 
 
Automotive (0.8%)       
Oshkosh Truck Corp.    16,200  699,192 
 
Banking (2.8%)       
Commerce Bancorp, Inc.    32,983  1,012,248 
Compass Bancshares, Inc.    7  321 
Corus Bankshares, Inc.    11,200  614,096 
Texas Regional Bancshares, Inc.    13,900  400,181 
Westcorp    8,600  506,540 
      2,533,386 
 
Biotechnology (3.0%)       
Amylin Pharmaceuticals, Inc. (NON)    20,900  727,111 
Celgene Corp. (NON)    4,575  248,514 
Invitrogen Corp. (NON)    9,100  684,593 
MedImmune, Inc. (NON)    30,000  1,009,500 
      2,669,718 
 
Building Materials (0.8%)       
Building Material Holding Corp.    7,900  736,201 
 
Coal (2.2%)       
CONSOL Energy, Inc.    11,700  892,359 
Peabody Energy Corp.    13,000  1,096,550 
      1,988,909 
 
Commercial and Consumer Services (2.8%)       
ARAMARK Corp. Class B    18,200  486,122 
Arbitron, Inc.    5,000  199,200 
Consolidated Graphics, Inc. (NON)    6,200  266,910 
Global Cash Access, Inc. (NON)    5,800  81,780 
John H. Harland Co.    10,500  466,200 
Walter Industries, Inc.    9,400  459,848 
West Corp. (NON)    15,200  568,328 
      2,528,388 
 
Communications Equipment (1.0%)       
Comtech Telecommunications Corp. (NON)    20,700  858,429 
Comverse Technology, Inc. (NON)    13  342 
      858,771 
 
Computers (3.4%)       
Emulex Corp. (NON)    44,300  895,303 
Intergraph Corp. (NON)    16,100  719,831 
Logitech International SA ADR (Switzerland) (NON)    14,800  603,100 
NCR Corp. (NON)    14,600  465,886 
VeriFone Holdings, Inc. (NON)    18,290  367,812 
      3,051,932 
 
Conglomerates (0.2%)       
VistaPrint, Ltd. (Bermuda) (NON)    10,500  160,125 
 
Consumer Finance (0.8%)       
Providian Financial Corp. (NON)    39,700  701,896 
 
Consumer Goods (1.4%)       

Chattem, Inc. (NON)  13,300  472,150 
Tupperware Corp.  35,200  801,856 
    1,274,006 
 
Consumer Services (2.9%)     
Alliance Data Systems Corp. (NON)  11,800  461,970 
Interline Brands, Inc. (NON)  11,800  247,918 
Labor Ready, Inc. (NON)  53,800  1,379,970 
Talx Corp.  14,300  468,897 
    2,558,755 
 
Electrical Equipment (1.3%)     
WESCO International, Inc. (NON)  34,900  1,182,063 
 
Electronics (4.6%)     
Amphenol Corp. Class A  11,500  463,910 
Arrow Electronics, Inc. (NON)  23,900  749,504 
Atmel Corp. (NON)  177,700  366,062 
Avnet, Inc. (NON)  30,100  735,945 
Freescale Semiconductor, Inc. Class A (NON)  42,000  983,220 
MEMC Electronic Materials, Inc. (NON)  34,300  781,697 
    4,080,338 
 
Energy (4.8%)     
CAL Dive International, Inc. (NON)  10,800  684,828 
Cooper Cameron Corp. (NON)  12,600  931,518 
Pride International, Inc. (NON)  38,400  1,094,784 
Unit Corp. (NON)  14,100  779,448 
Veritas DGC, Inc. (NON)  21,300  780,006 
    4,270,584 
 
Entertainment (--%)     
Speedway Motorsports, Inc.  100  3,633 
 
Financial (1.0%)     
Asset Acceptance Capital Corp. (NON)  28,700  860,139 
 
Forest Products and Packaging (0.8%)     
Crown Holdings, Inc. (NON)  44,800  714,112 
 
Gaming & Lottery (2.1%)     
Ameristar Casinos, Inc.  44,700  931,548 
GTECH Holdings Corp.  30,900  990,654 
    1,922,202 
 
Health Care Services (7.2%)     
Cerner Corp. (NON)  12,200  1,060,546 
Coventry Health Care, Inc. (NON)  6,700  576,334 
LifePoint Hospitals, Inc. (NON)  14,663  641,213 
Lincare Holdings, Inc. (NON)  24,600  1,009,830 
Pediatrix Medical Group, Inc. (NON)  13,800  1,060,116 
Sierra Health Services, Inc. (NON)  18,800  1,294,756 
Steris Corp.  24,200  575,718 
United Surgical Partners International, Inc. (NON)  4,200  164,262 
    6,382,775 
 
Homebuilding (2.1%)     
Desarrolladora Homex SA de CV ADR (Mexico) (NON)  14,600  448,366 
Lennar Corp.  9,726  581,226 
NVR, Inc. (NON)  900  796,455 
    1,826,047 
 
Household Furniture and Appliances (0.6%)     
Conn's, Inc. (NON)  18,200  504,504 
 
Insurance (1.3%)     
AmerUs Group Co.  100  5,737 
Safety Insurance Group, Inc.  10,000  355,900 
W.R. Berkley Corp.  20,600  813,288 
    1,174,925 
 
Investment Banking/Brokerage (1.6%)     
Calamos Asset Management, Inc. Class A  20,000  493,600 

Nuveen Investments, Inc. Class A  24,054  947,487 
    1,441,087 
 
Leisure (0.6%)     
Brunswick Corp.  13,300  501,809 
 
Lodging/Tourism (0.7%)     
Choice Hotels International, Inc.  9,100  588,224 
 
Machinery (3.1%)     
Cummins, Inc.  12,900  1,135,071 
JLG Industries, Inc.  22,700  830,593 
Timken Co.  28,300  838,529 
    2,804,193 
 
Medical Technology (8.4%)     
American Medical Systems Holdings, Inc. (NON)  25,800  519,870 
Bausch & Lomb, Inc.  13,000  1,048,840 
Dade Behring Holdings, Inc.  25,200  923,832 
Diagnostic Products Corp.  8,300  437,659 
DJ Orthopedics, Inc. (NON)  33,200  960,808 
Kinetic Concepts, Inc. (NON)  7,615  432,532 
Mentor Corp.  12,300  676,623 
Respironics, Inc. (NON)  13,500  569,430 
Sybron Dental Specialties, Inc. (NON)  19,700  819,126 
Symmetry Medical, Inc. (NON)  17,400  412,380 
Varian Medical Systems, Inc. (NON)  16,900  667,719 
    7,468,819 
 
Metal Fabricators (0.8%)     
Mueller Industries, Inc.  25,900  719,243 
 
Metals (2.3%)     
Freeport-McMoRan Copper & Gold, Inc. Class B  23,400  1,137,006 
Steel Dynamics, Inc.  26,952  915,290 
    2,052,296 
 
Office Equipment & Supplies (0.5%)     
Reynolds and Reynolds Co. (The) Class A  17,200  471,452 
 
Oil & Gas (3.5%)     
Bronco Drilling Co., Inc. (NON)  2,230  61,437 
Giant Industries, Inc. (NON)  11,400  667,356 
Newfield Exploration Co. (NON)  14,600  716,860 
Noble Energy, Inc.  26,600  1,247,540 
Universal Compression Holdings, Inc. (NON)  11,500  457,355 
    3,150,548 
 
Pharmaceuticals (4.5%)     
Barr Pharmaceuticals, Inc. (NON)  15,600  856,752 
Cephalon, Inc. (NON)  16,400  761,288 
Endo Pharmaceuticals Holdings, Inc. (NON)  19,900  530,733 
Hospira, Inc. (NON)  24,500  1,003,765 
Perrigo Co.  21,100  301,941 
Salix Pharmaceuticals, Ltd. (NON)  10,800  229,500 
Valeant Pharmaceuticals International  17,700  355,416 
    4,039,395 
 
Publishing (0.7%)     
R. H. Donnelley Corp. (NON)  10,400  657,904 
 
Real Estate (0.5%)     
CB Richard Ellis Group, Inc. Class A (NON)  9,100  447,720 
 
Restaurants (1.6%)     
Domino's Pizza, Inc.  28,400  662,288 
Red Robin Gourmet Burgers, Inc. (NON)  17,400  797,616 
    1,459,904 
 
Retail (5.3%)     
Advance Auto Parts, Inc. (NON)  23,250  899,310 
Aeropostale, Inc. (NON)  28,500  605,625 
American Eagle Outfitters, Inc.  14,600  343,538 

Great Atlantic & Pacific Tea Co. (NON)  27,200  771,392 
Michaels Stores, Inc.  18,500  611,610 
New York & Company, Inc. (NON)  28,900  473,960 
Pacific Sunwear of California, Inc. (NON)  20,200  433,088 
Stein Mart, Inc.  27,100  550,130 
    4,688,653 
 
Schools (1.0%)     
Career Education Corp. (NON)  24,300  864,108 
 
Semiconductor (2.1%)     
Brooks Automation, Inc. (NON)  37,300  497,209 
Lam Research Corp. (NON)  33,800  1,029,886 
Novellus Systems, Inc. (NON)  13,600  341,088 
    1,868,183 
 
Shipping (0.6%)     
J. B. Hunt Transport Services, Inc.  28,500  541,785 
 
Software (4.4%)     
Amdocs, Ltd. (Guernsey) (NON)  19,495  540,596 
Blackboard, Inc. (NON)  29,000  725,290 
Cadence Design Systems, Inc. (NON)  33,400  539,744 
Epicor Software Corp. (NON)  34,200  444,600 
FileNET Corp. (NON)  14,700  410,130 
Parametric Technology Corp. (NON)  82,300  573,631 
Progress Software Corp. (NON)  22,500  714,825 
    3,948,816 
 
Technology Services (4.1%)     
Anteon International Corp. (NON)  15,000  641,400 
Fair Isaac Corp.  20,800  931,840 
Fiserv, Inc. (NON)  15,700  720,158 
Global Payments, Inc.  11,200  870,464 
Transaction Systems Architects, Inc. (NON)  18,500  515,225 
    3,679,087 
 
Telecommunications (0.5%)     
Premiere Global Services, Inc. (NON)  49,200  402,456 
 
Textiles (0.9%)     
K-Swiss, Inc. Class A  11,900  351,883 
Phillips-Van Heusen Corp.  13,500  418,770 
    770,653 
 
Transportation (0.5%)     
Hornbeck Offshore Services, Inc. (NON)  12,300  450,549 
 
Total common stocks (cost $77,284,951)    $88,183,016 
 
SHORT-TERM INVESTMENTS (2.3%)(a) (cost $2,059,572)     
  Shares  Value 
Putnam Prime Money Market Fund (e)  2,059,572  $2,059,572 

TOTAL INVESTMENTS   
Total investments (cost $79,344,523)(b)                     $90,242,588  

WRITTEN OPTIONS OUTSTANDING at 9/30/05 (premiums received $13,983) (Unaudited)     
  Contract  Expiration date/   
  amount  strike price  Value 
Comtech Telecommunications Corp. (Call)  $10,072  Oct.05/40.89  $19,154 
Comtech Telecommunications Corp. (Call)  6,239  Oct.05/40.46  13,469 
Comtech Telecommunications Corp. (Call)  1,889  Oct.05/41.45  2,917 
Pride International, Inc. (Call)  8,787  Oct.05/28.43  4,953 
Total      $40,493 

  NOTES
 
(a)      Percentages indicated are based on net assets of $89,190,006.
 
(b)      The aggregate identified cost on a tax basis is $79,503,461, resulting in gross unrealized appreciation and depreciation of $12,950,969 and $2,211,842, respectively, or net unrealized appreciation of $10,739,127.
 
(e)      Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $52,381 for the period ended September 30, 2005. During the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $30,319,529 and $31,990,558, respectively.
 
  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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.
 
  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. The fund may also write options on securities it owns or in which it may invest, or swaps, to increase its current returns.
 
  The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to cost of investments.
 
  Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
 
  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
 
Putnam VT Research Fund       
The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (98.7%)(a)       
    Shares  Value 
 
Aerospace and Defense (0.9%)       
Boeing Co. (The)    28,100  $1,909,395 
 
Airlines (0.7%)       
Southwest Airlines Co.    101,800  1,511,730 
 
Banking (5.5%)       
Bank of America Corp.    116,600  4,908,860 
Commerce Bancorp, Inc.    112,500  3,452,625 
U.S. Bancorp    107,400  3,015,792 
      11,377,277 
 
Biotechnology (2.4%)       
Amgen, Inc. (NON)    36,000  2,868,120 
Biogen Idec, Inc. (NON)    25,000  987,000 
MedImmune, Inc. (NON)    35,700  1,201,305 
      5,056,425 
 
Building Materials (0.6%)       
Masco Corp.    43,300  1,328,444 
 
Cable Television (2.0%)       
Comcast Corp. Class A (NON) (S)    141,600  4,160,208 
 
Chemicals (0.8%)       
E.I. du Pont de Nemours & Co.    9,020  353,902 
PPG Industries, Inc.    23,300  1,379,127 
      1,733,029 
 
Commercial and Consumer Services (3.2%)       
Cendant Corp.    139,900  2,887,536 
eBay, Inc. (NON)    50,200  2,068,240 
Yahoo!, Inc. (NON)    49,200  1,664,928 
      6,620,704 
 
Communications Equipment (3.0%)       
Cisco Systems, Inc. (NON)    227,800  4,084,454 
Qualcomm, Inc.    46,600  2,085,350 
      6,169,804 
 
Computers (3.7%)       
Dell, Inc. (NON)    95,700  3,272,940 
EMC Corp. (NON)    165,800  2,145,452 
Lexmark International, Inc. Class A (NON)    24,600  1,501,830 
NCR Corp. (NON)    24,600  784,986 
      7,705,208 
 
Conglomerates (1.9%)       
Tyco International, Ltd.    143,300  3,990,905 
 
Consumer Finance (5.3%)       
Capital One Financial Corp.    32,800  2,608,256 
Countrywide Financial Corp.    100,100  3,301,298 
MBNA Corp.    98,200  2,419,648 
Providian Financial Corp. (NON)    147,600  2,609,568 
      10,938,770 
 
Consumer Goods (1.2%)       
Avon Products, Inc.    93,700  2,529,900 
 
Containers (0.5%)       
Owens-Illinois, Inc. (NON)    51,200  1,055,744 

Electric Utilities (3.3%)     
Entergy Corp.  19,600  1,456,672 
Exelon Corp.  50,000  2,672,000 
PG&E Corp.  44,700  1,754,475 
Wisconsin Energy Corp.  21,700  866,264 
    6,749,411 
 
Electronics (2.0%)     
Flextronics International, Ltd. (Singapore) (NON)  81,400  1,045,990 
Freescale Semiconductor, Inc. Class A (NON)  44,400  1,039,404 
Intel Corp.  85,500  2,107,575 
    4,192,969 
 
Energy (0.8%)     
Pride International, Inc. (NON)  60,300  1,719,153 
 
Financial (2.6%)     
Fannie Mae  52,600  2,357,532 
Freddie Mac  29,900  1,688,154 
PMI Group, Inc. (The)  32,500  1,295,775 
    5,341,461 
 
Forest Products and Packaging (0.5%)     
Smurfit-Stone Container Corp. (NON)  101,400  1,050,504 
 
Health Care Services (2.6%)     
Cardinal Health, Inc.  50,300  3,191,032 
HCA, Inc.  28,600  1,370,512 
Health Management Associates, Inc. Class A  31,800  746,346 
    5,307,890 
 
Homebuilding (0.9%)     
NVR, Inc. (NON)  2,000  1,769,900 
 
Household Furniture and Appliances (0.6%)     
Whirlpool Corp.  16,900  1,280,513 
 
Insurance (5.1%)     
ACE, Ltd. (Bermuda)  34,600  1,628,622 
American International Group, Inc.  100,900  6,251,808 
Everest Re Group, Ltd. (Barbados)  23,200  2,271,280 
RenaissanceRe Holdings, Ltd. (Bermuda)  10,106  441,935 
    10,593,645 
 
Investment Banking/Brokerage (1.3%)     
Bear Stearns Cos., Inc. (The)  19,100  2,096,225 
Lehman Brothers Holdings, Inc.  5,500  640,640 
    2,736,865 
 
Leisure (0.4%)     
Brunswick Corp.  23,500  886,655 
 
Lodging/Tourism (1.5%)     
Las Vegas Sands Corp. (NON)  29,400  967,554 
Royal Caribbean Cruises, Ltd.  47,500  2,052,000 
    3,019,554 
 
Machinery (1.8%)     
Caterpillar, Inc.  38,600  2,267,750 
Parker-Hannifin Corp.  21,600  1,389,096 
    3,656,846 
 
Manufacturing (0.4%)     
Ingersoll-Rand Co., Ltd. Class A (Bermuda)  21,900  837,237 
 
Media (1.0%)     
Walt Disney Co. (The)  85,300  2,058,289 
 
Medical Technology (2.2%)     
Becton, Dickinson and Co.  23,700  1,242,591 

Boston Scientific Corp. (NON)  23,800  556,206 
PerkinElmer, Inc.  49,500  1,008,315 
St. Jude Medical, Inc. (NON)  36,100  1,689,480 
    4,496,592 
 
Metals (0.5%)     
United States Steel Corp.  26,700  1,130,745 
 
Oil & Gas (9.9%)     
Amerada Hess Corp.  19,600  2,695,000 
Burlington Resources, Inc.  35,900  2,919,388 
Chevron Corp.  105,300  6,816,069 
Marathon Oil Corp.  42,800  2,950,204 
Occidental Petroleum Corp.  36,300  3,101,109 
XTO Energy, Inc.  44,600  2,021,272 
    20,503,042 
 
Pharmaceuticals (6.1%)     
Barr Pharmaceuticals, Inc. (NON)  8,200  450,344 
Caremark Rx, Inc. (NON)  16,100  803,873 
Eli Lilly Co.  23,900  1,279,128 
Johnson & Johnson  85,800  5,429,424 
Mylan Laboratories, Inc.  35,200  677,952 
Pfizer, Inc.  79,600  1,987,612 
Wyeth  44,700  2,068,269 
    12,696,602 
 
Publishing (1.4%)     
McGraw-Hill Companies, Inc. (The)  45,900  2,205,036 
R. R. Donnelley & Sons Co.  19,400  719,158 
    2,924,194 
 
Railroads (0.6%)     
Norfolk Southern Corp.  31,000  1,257,360 
 
Restaurants (2.2%)     
McDonald's Corp.  72,600  2,431,374 
Outback Steakhouse, Inc.  26,500  969,900 
Yum! Brands, Inc.  23,600  1,142,476 
    4,543,750 
 
Retail (5.7%)     
Abercrombie & Fitch Co. Class A  21,500  1,071,775 
AutoZone, Inc. (NON)  16,100  1,340,325 
Kohl's Corp. (NON)  40,000  2,007,200 
Lowe's Cos., Inc.  36,800  2,369,920 
Michaels Stores, Inc.  51,300  1,695,978 
Staples, Inc.  95,150  2,028,598 
Supervalu, Inc.  40,100  1,247,912 
    11,761,708 
 
Schools (0.8%)     
Apollo Group, Inc. Class A (NON)  26,400  1,752,696 
 
Semiconductor (1.0%)     
Applied Materials, Inc.  87,400  1,482,304 
Lam Research Corp. (NON)  21,900  667,293 
    2,149,597 
 
Software (3.5%)     
Adobe Systems, Inc.  55,500  1,656,675 
Microsoft Corp. (SEG)  96,400  2,480,372 
Oracle Corp. (NON)  246,900  3,059,091 
    7,196,138 
 
Technology Services (1.9%)     
Accenture, Ltd. Class A (Bermuda) (NON)  27,700  705,242 
Automatic Data Processing, Inc.  45,200  1,945,408 
Fiserv, Inc. (NON)  29,400  1,348,578 
    3,999,228 

Telecommunications (2.0%)

American Tower Corp. Class A (NON)  39,700  990,515 
Sprint Nextel Corp.  129,362  3,076,228 
    4,066,743 
 
Tobacco (2.6%)     
Altria Group, Inc.  71,700  5,285,007 
Transportation Services (1.5%)     
United Parcel Service, Inc. Class B  45,900  3,173,067 
Waste Management (0.3%)     
Waste Management, Inc.  21,900  626,559 
Total common stocks (cost $194,559,627)    $ 204,851,463 
 
SHORT-TERM INVESTMENTS (1.9%) (a)     
  Principal amount/shares  Value 
Putnam Prime Money Market Fund (e)  $1,095,475  $1,095,475 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.77% to 4.09% and due dates ranging from October 3,     
2005 to November 1, 2005 (d)  2,763,015  2,760,000 
     
Total short-term investments (cost $3,855,475)  $3,855,475 

TOTAL INVESTMENTS  		   

Total investments (cost $198,415,102) (b)  		  $208,706,938 

FORWARD CURRENCY CONTRACTS TO BUY at 9/30/05 (aggregate face value $44,371) (Unaudited)

    Aggregate  Delivery  Unrealized 
  Value  face value  date  appreciation 
Canadian Dollar  $46,560  $44,371  10/19/05  $2,189 

FORWARD CURRENCY CONTRACTS TO SELL at 9/30/05 (aggregate face value $44,363) (Unaudited)

    Aggregate  Delivery  Unrealized 
  Value  face value  date  depreciation 
Canadian Dollar  $46,560  $44,363  10/19/05  $(2,197) 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)       
 
  Number of    Expiration  Unrealized 
  contracts  Value  date  depreciation 
S&P 500 Index (Long)  9  $2,777,175  Dec-05  $(8,724) 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $207,562,713. 
 
(b)  The aggregate identified cost on a tax basis is $199,438,756, resulting in gross unrealized appreciation and depreciation of $17,707,282 
  and $8,439,100, respectively, or net unrealized appreciation of $9,268,182. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(SEG)  A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts at September 
  30, 2005. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by 
  cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is 
  determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be 
  borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities 
  lending is included in investment income on the statement of operations. At September 30, 2005, the value of securities loaned amounted 
  to $2,694,680. The fund received cash collateral of $2,760,000 which is pooled with collateral of other Putnam funds into 20 issues of high- 
  grade, short-term investments. 
 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an 
  open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's 
  manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the 
  management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam 
  Prime Money Market Fund. Income distributions earned by the fund totaled $20,436 for the period ended September 30, 2005. During the 
  period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated 
  $39,891,637, and $40,032,769, respectively. 
 
 
  At September 30, 2005, liquid assets totaling $2,777,150 have been designated as collateral for open future contracts. 
 
  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. Many securities markets and exchanges outside the U.S. close prior to the close 
  of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect 
  events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair 
  value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on 
  which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a 
  significant extent. 
 
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Short-term investments having 
  remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value. Other investments, including certain 
  restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed 
  periodically by the Trustees. 
 
 
 
  Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy 
  and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar 
  of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a 
  fund intends to buy are denominated, when a fund holds cash reserves and short term investments). The U.S. dollar value of forward 
  currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the 
  contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is 
  recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference 
  between the value of the contract at the time it was opened and the value at the time it was closed. [cont] 
 
  The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet 
  the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement 
  of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio. 
 
 
  Futures and options contracts Each fund may use futures and options contracts to hedge against changes in the values of securities the 
  fund owns or expects to purchase. Each fund may also write options on swaps or securities it owns or in which it may invest to increase its 
  current returns. 
 
  The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the 
  hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary 
  market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement 
  of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of 
  the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are 
  included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is 
  recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to 
  cost of investments. 
 
 
  Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the 
  broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments 
  are known as “variation margin.” Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for 
  purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. 
  Futures and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio. 
 
 
  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 

Putnam VT Small Cap Value Fund       
The fund's portfolio       
9/30/05 (Unaudited)       
COMMON STOCKS (98.1%)(a)       
    Shares  Value 
 
Advertising and Marketing Services (0.3%)       
Valassis Communications, Inc. (NON)    66,400  $2,588,272 
 
Aerospace and Defense (2.3%)       
AAR Corp. (NON)    585,550  10,059,749 
Heico Corp. (S)    116,400  2,700,480 
Heico Corp. Class A    31,200  555,360 
Herley Industries, Inc. (NON)    122,900  2,289,627 
Innovative Solutions & Support, Inc. (NON) (S)    50,400  782,712 
Teledyne Technologies, Inc. (NON)    75,900  2,616,273 
      19,004,201 
 
Airlines (1.0%)       
Airtran Holdings, Inc. (NON) (S)    153,100  1,938,246 
SkyWest, Inc.    246,000  6,597,720 
      8,535,966 
 
Automotive (1.1%)       
Aaron Rents, Inc. (S)    65,200  1,378,980 
American Axle & Manufacturing Holdings, Inc.    232,700  5,370,716 
CLARCOR, Inc.    69,000  1,981,680 
      8,731,376 
 
Banking (10.1%)       
AMCORE Financial, Inc.    145,300  4,534,813 
BankAtlantic Bancorp, Inc. Class A    554,200  9,415,858 
Brookline Bancorp, Inc.    427,600  6,764,632 
Colonial Bancgroup, Inc.    236,300  5,293,120 
East West Bancorp, Inc.    66,800  2,273,872 
First Community Bancorp    50,300  2,405,849 
First Niagara Financial Group, Inc.    157,800  2,278,632 
Flagstar Bancorp, Inc.    301,600  4,855,760 
Greater Bay Bancorp    155,850  3,840,144 
Irwin Financial Corp. (S)    257,800  5,256,542 
Netbank, Inc.    597,800  4,967,718 
NewAlliance Bancshares, Inc.    144,900  2,121,336 
PFF Bancorp, Inc.    151,400  4,581,364 
Provident Bankshares Corp.    142,900  4,970,062 
Republic Bancorp, Inc.    478,400  6,764,576 
Sovereign Bancorp, Inc.    53,400  1,176,936 
Sterling Bancshares, Inc.    257,700  3,790,767 
Webster Financial Corp.    91,900  4,131,824 
Westcorp    55,100  3,245,390 
Wintrust Financial Corp.    37,300  1,874,698 
      84,543,893 
 
Basic Materials (0.8%)       
Ameron International Corp.    108,500  5,034,400 
Chaparral Steel Co. (NON)    69,300  1,747,746 
      6,782,146 
 
Broadcasting (0.5%)       
Sinclair Broadcast Group, Inc. Class A    434,200  3,851,354 
 
Building Materials (2.1%)       
Apogee Enterprises, Inc.    489,500  8,370,450 
Interface, Inc. Class A (NON)    307,000  2,535,820 
Lennox International, Inc.    250,500  6,866,205 
      17,772,475 
 
Capital Goods (0.3%)       
Bandag, Inc.    53,000  2,271,580 
 
Chemicals (4.0%)       
A. Schulman, Inc.    110,390  1,981,501 
Airgas, Inc.    130,600  3,869,678 

Chemtura Corp.  486,697  6,044,777 
Delta & Pine Land Co.  166,600  4,399,906 
Omnova Solutions, Inc. (NON)  1,371,800  5,994,766 
PolyOne Corp. (NON)  1,096,800  6,646,608 
RPM, Inc.  143,100  2,633,040 
Tredegar Corp.  138,800  1,805,788 
    33,376,064 
 
Commercial and Consumer Services (3.8%)     
4Kids Entertainment, Inc. (NON) (S)  103,500  1,799,865 
Banta Corp.  152,200  7,745,458 
Brink's Co. (The)  113,900  4,676,734 
Catalina Marketing Corp.  76,500  1,739,610 
ePlus, Inc. (NON)  142,000  1,853,100 
MPS Group, Inc. (NON)  220,900  2,606,620 
Paxar Corp. (NON)  57,300  965,505 
RemedyTemp, Inc. Class A (NON)  129,700  1,079,104 
TeleTech Holdings, Inc. (NON)  291,500  2,920,830 
Walter Industries, Inc. (S)  127,600  6,242,192 
    31,629,018 
 
Communications Equipment (1.9%)     
Arris Group, Inc. (NON)  205,600  2,438,416 
Belden CDT, Inc.  214,800  4,173,564 
Inter-Tel, Inc. (S)  253,700  5,327,700 
Radyne Comstream Corp. (NON)  198,000  2,100,780 
Redback Networks, Inc. (NON)  187,400  1,859,008 
    15,899,468 
 
Computers (1.0%)     
Brocade Communications Systems, Inc. (NON)  491,100  2,003,688 
Intergraph Corp. (NON) (S)  57,100  2,552,941 
Netgear, Inc. (NON) (S)  88,200  2,122,092 
Xyratex Ltd. (Bermuda) (NON)  118,700  1,746,077 
    8,424,798 
 
Conglomerates (1.4%)     
AMETEK, Inc.  114,000  4,898,580 
Crane Co. (Australia)  221,800  6,596,332 
    11,494,912 
 
Consumer Finance (0.3%)     
AmeriCredit Corp. (NON) (S)  116,600  2,783,242 
 
Consumer Goods (2.6%)     
American Greetings Corp. Class A  191,100  5,236,140 
Blyth Industries, Inc.  192,600  4,293,054 
Elizabeth Arden, Inc. (NON)  143,300  3,092,414 
Lancaster Colony Corp.  105,600  4,540,800 
Prestige Brands Holdings, Inc. (NON)  175,100  2,157,232 
Spectrum Brands, Inc. (NON)  85,700  2,018,235 
    21,337,875 
 
Consumer Services (0.4%)     
Stewart Enterprises, Inc. Class A  547,500  3,629,925 
 
Distributors (1.1%)     
Hughes Supply, Inc.  274,100  8,935,660 
 
Electric Utilities (1.3%)     
Sierra Pacific Resources (NON)  396,450  5,887,283 
Westar Energy, Inc.  207,600  5,009,388 
    10,896,671 
 
Electrical Equipment (1.8%)     
LaBarge, Inc. (NON)  11,600  149,505 
Lincoln Electric Holdings, Inc.  76,000  2,994,400 
Rofin-Sinar Technologies, Inc. (NON)  68,480  2,601,555 
Smith (A.O.) Corp.  70,200  2,000,700 
Watsco, Inc.  77,700  4,126,647 
WESCO International, Inc. (NON)  95,300  3,227,811 
    15,100,618 

Electronics (4.4%)

Agilysys, Inc.  163,800  2,758,392 
Avnet, Inc. (NON)  260,100  6,359,445 
Diodes, Inc. (NON)  36,300  1,316,238 
Dionex Corp. (NON)  26,900  1,459,325 
General Cable Corp. (NON) (S)  392,900  6,600,720 
Methode Electronics, Inc. Class A  123,800  1,426,176 
Monolithic System Technology, Inc. (NON)  413,800  2,263,486 
Park Electrochemical Corp.  156,000  4,157,400 
Standard Microsystems Corp. (NON)  75,800  2,267,178 
TTM Technologies, Inc. (NON)  289,800  2,072,070 
X-Rite, Inc.  518,700  6,431,880 
    37,112,310 
 
Energy (1.5%)     
GulfMark Offshore, Inc. (NON)  123,800  3,995,026 
Hydril Co. (NON)  17,200  1,180,608 
Pride International, Inc. (NON)  60,500  1,724,855 
Tidewater, Inc.  122,000  5,937,740 
    12,838,229 
 
Engineering & Construction (0.4%)     
EMCOR Group, Inc. (NON)  58,900  3,492,770 
 
Financial (0.8%)     
Advanta Corp. Class B  241,300  6,811,899 
 
Food (2.3%)     
Chiquita Brands International, Inc.  118,400  3,309,280 
Flowers Foods, Inc.  156,750  4,276,140 
Ralcorp Holdings, Inc.  99,300  4,162,656 
Sanderson Farms, Inc. (S)  161,200  5,990,192 
TreeHouse Foods, Inc. (NON)  65,200  1,752,576 
    19,490,844 
 
Forest Products and Packaging (0.3%)     
Albany International Corp.  70,000  2,580,900 
 
Health Care Services (2.3%)     
AMERIGROUP Corp. (NON)  63,200  1,208,384 
Hooper Holmes, Inc.  1,350,400  5,307,072 
Pediatrix Medical Group, Inc. (NON)  25,300  1,943,546 
PSS World Medical, Inc. (NON)  193,400  2,579,956 
Sierra Health Services, Inc. (NON) (S)  33,500  2,307,145 
Sunrise Assisted Living, Inc. (NON) (S)  87,500  5,839,750 
    19,185,853 
 
Homebuilding (2.1%)     
Champion Enterprises, Inc. (NON)  318,700  4,710,386 
Fleetwood Enterprises, Inc. (NON) (S)  374,500  4,606,350 
Levitt Corp. Class A  243,600  5,588,184 
Meritage Homes Corp. (NON)  29,600  2,269,136 
    17,174,056 
 
Household Furniture and Appliances (0.2%)     
Furniture Brands International, Inc. (S)  95,700  1,725,471 
 
Insurance (10.3%)     
American Equity Investment Life Holding Co. (S)  655,800  7,443,330 
AmerUs Group Co. (S)  120,400  6,907,348 
Bristol West Holdings, Inc.  173,800  3,171,850 
Ceres Group, Inc. (NON)  458,800  2,583,044 
Commerce Group, Inc.  86,500  5,018,730 
FBL Financial Group, Inc. Class A  93,600  2,803,320 
Fremont General Corp. (S)  255,700  5,581,931 
Hub International, Ltd. (Canada)  95,100  2,156,868 
Infinity Property & Casualty Corp.  180,700  6,340,763 
Landamerica Financial Group, Inc.  92,300  5,967,195 
Navigators Group, Inc. (NON)  44,100  1,645,812 
Ohio Casualty Corp.  107,900  2,926,248 
Philadelphia Consolidated Holding Corp. (NON)  69,800  5,926,020 
Presidential Life Corp.  356,968  6,425,424 
Stancorp Financial Group  74,400  6,264,480 
State Auto Financial Corp.  128,400  4,062,576 
Stewart Information Services  126,200  6,461,440 
Zenith National Insurance Corp.  65,900  4,131,271 
    85,817,650 

Investment Banking/Brokerage (0.7%)     
MCG Capital Corp.  359,600  6,066,452 
 
Leisure (0.5%)     
Artic Cat, Inc.  213,200  4,379,128 
 
Machinery (1.9%)     
Gardner Denver, Inc. (NON)  110,400  4,923,840 
Milacron, Inc. (NON) (S)  954,800  1,699,544 
MSC Industrial Direct Co., Inc. Class A  69,300  2,298,681 
Regal-Beloit Corp.  62,400  2,024,256 
Stewart & Stevenson Services, Inc.  196,500  4,686,525 
    15,632,846 
 
Manufacturing (1.8%)     
Acuity Brands, Inc.  193,400  5,738,178 
Blount International, Inc. (NON)  141,600  2,497,824 
Griffon Corp. (NON)  86,700  2,132,820 
Kaman Corp.  182,300  3,728,035 
Tennant Co.  25,600  1,049,088 
    15,145,945 
 
Media (0.5%)     
Journal Communications, Inc. Class A  304,600  4,538,540 
 
Medical Technology (2.3%)     
Conmed Corp. (NON)  66,400  1,851,232 
Datascope Corp.  161,200  5,000,424 
Edwards Lifesciences Corp. (NON)  63,300  2,811,153 
Hanger Orthopedic Group, Inc. (NON)  149,800  1,153,460 
Serologicals Corp. (NON)  115,700  2,610,192 
Vital Signs, Inc.  131,800  6,074,662 
    19,501,123 
 
Metal Fabricators (1.0%)     
Mueller Industries, Inc.  159,200  4,420,984 
USEC, Inc.  338,500  3,777,660 
    8,198,644 
 
Metals (2.0%)     
Earle M. Jorgensen Co. (NON)  192,100  1,830,713 
Quanex Corp. (S)  98,100  6,496,182 
Reliance Steel & Aluminum Co.  51,100  2,704,723 
Steel Dynamics, Inc. (S)  70,200  2,383,992 
Texas Industries, Inc.  46,800  2,545,920 
United States Steel Corp.  22,400  948,640 
    16,910,170 
 
Oil & Gas (3.6%)     
Energy Partners, Ltd. (NON)  137,500  4,292,750 
Range Resources Corp.  157,100  6,065,631 
Remington Oil & Gas Corp. (NON)  50,800  2,108,200 
St. Mary Land & Exploration Co.  169,600  6,207,360 
Universal Compression Holdings, Inc. (NON)  64,000  2,545,280 
Vintage Petroleum, Inc.  146,700  6,698,322 
Warren Resources, Inc. (NON) (S)  132,600  2,221,050 
    30,138,593 
 
Pharmaceuticals (1.6%)     
Alpharma, Inc. Class A  213,600  5,312,232 
First Horizon Pharmaceutical Corp. (NON) (S)  105,000  2,086,350 
Owens & Minor, Inc.  166,500  4,886,775 
Par Pharmaceutical Cos., Inc. (NON) (S)  35,500  945,010 
    13,230,367 
 
Photography/Imaging (1.0%)     
Ikon Office Solutions, Inc.  487,600  4,866,248 
Imation Corp.  76,500  3,279,555 
    8,145,803 
 
Publishing (0.4%)     
Playboy Enterprises, Inc. Class B (NON)  254,700  3,591,270 

Railroads (0.1%)     
Rail America, Inc. (Private) (NON)  46,900  558,110 
 
Real Estate (2.9%)     
Anworth Mortgage Asset Corp. (R)  118,400  979,168 
Arbor Realty Trust, Inc (R)  28,900  812,090 
Entertainment Properties Trust (R)  160,200  7,149,743 
Friedman, Billings, Ramsey Group, Inc. Class A (R) (S)  112,100  1,142,299 
Getty Realty Corp. (R)  209,500  6,029,410 
Lexington Corporate Properties Trust (R)  190,900  4,495,695 
Mills Corp. (R) (S)  51,200  2,820,096 
National Health Investors, Inc. (R)  26,700  737,187 
    24,165,688 
 
Restaurants (0.8%)     
CBRL Group, Inc.  36,000  1,211,760 
Landry's Restaurants, Inc.  183,800  5,385,340 
    6,597,100 
 
Retail (6.2%)     
Coldwater Creek, Inc. (NON)  100,400  2,532,088 
Cost Plus, Inc. (NON)  46,100  836,715 
CSK Auto Corp. (NON)  188,900  2,810,832 
Finlay Enterprises, Inc. (NON)  98,100  887,805 
Handleman Co.  335,500  4,237,365 
Haverty Furniture Cos., Inc.  408,700  4,998,401 
Movie Gallery, Inc. (S)  296,300  3,078,557 
Nash Finch Co. (S)  135,700  5,725,183 
Nautilus Group, Inc. (S)  195,300  4,310,271 
New York & Company, Inc. (NON)  58,200  954,480 
Nu Skin Enterprises, Inc. Class A  138,400  2,636,520 
Ruddick Corp.  234,800  5,412,140 
School Specialty, Inc. (NON)  74,300  3,624,354 
Sonic Automotive, Inc.  122,200  2,715,284 
Sports Authority, Inc. (The) (NON) (S)  85,400  2,514,176 
Stage Stores, Inc.  80,900  2,173,783 
Too, Inc. (NON)  91,900  2,520,817 
    51,968,771 
 
Semiconductor (1.3%)     
Applied Films Corp. (NON)  12,800  268,800 
Cohu, Inc.  262,900  6,217,585 
Helix Technology Corp.  294,200  4,339,450 
    10,825,835 
 
Shipping (0.9%)     
EGL, Inc. (NON)  201,700  5,476,155 
Tsakos Energy Navigation, Ltd. (Norway)  59,400  2,139,588 
    7,615,743 
 
Software (0.6%)     
Hyperion Solutions Corp. (NON)  40,600  1,975,190 
SSA Global Technologies, Inc. (NON)  8,200  144,320 
Support.com, Inc. (NON)  295,800  1,490,832 
Verity, Inc. (NON)  148,200  1,573,884 
    5,184,226 
 
Staffing (0.1%)     
Kforce, Inc. (NON)  102,820  1,059,046 
 
Technology Services (1.8%)     
Acxiom Corp.  104,400  1,954,368 
Digitas, Inc. (NON)  247,200  2,808,192 
MTS Systems Corp.  152,400  5,756,148 
Neoware Systems, Inc. (NON)  251,200  4,205,088 
    14,723,796 
 
Telecommunications (0.8%)     
Brightpoint, Inc. (NON)  55,650  1,065,141 
Earthlink, Inc. (NON)  353,700  3,784,590 
Equinix, Inc. (NON)  31,100  1,295,315 
Primus Telecommunications GP (NON) (S)  323,000  329,460 
    6,474,506 

Textiles (0.6%)     
Wolverine World Wide, Inc.  230,950  4,861,498 
Tire & Rubber (0.8%)     
Cooper Tire & Rubber (S)  424,300  6,479,061 
Transportation Services (0.5%)     
Landstar Systems, Inc.  96,300  3,854,889 
Waste Management (0.7%)     
URS Corp. (NON)  136,400  5,509,196 
Total common stocks (cost $586,943,856)    $819,175,842 
SHORT-TERM INVESTMENTS (8.9%)(a)     
  Principal amount/shares  Value 
Putnam Prime Money Market Fund (e)  $16,759,447  $16,759,447 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.77% to 4.09% and due dates ranging from October 3, 2005     
to November 1, 2005 (d)  57,225,049  57,162,613 
Total short-term investments (cost $73,922,060)    $73,922,060 
TOTAL INVESTMENTS     
Total investments (cost $660,865,916) (b)    $893,097,902 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $834,711,964. 
 
(b)  The aggregate identified cost on a tax basis is $667,955,805, resulting in gross unrealized appreciation and 
  depreciation of $262,025,242 and $36,883,145, respectively, or net unrealized appreciation of $225,142,097. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(R)  Real Estate Investment Trust. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans 
  are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. 
  The market value of securities loaned is determined daily and any additional required collateral is allocated to the 
  fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the 
  risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in 
  investment income on the statement of operations. At September 30, 2005, the value of securities loaned amounted 
  to $55,226,961. The fund received cash collateral of $57,162,613 which is pooled with collateral of other Putnam 
  funds into 20 issues of high-grade, short-term investments. 
 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime 
  Money Market Fund, an open-end management investment company managed by Putnam Investment Management, 
  LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. 
  Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid 
  by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market 
  Fund. Income distributions earned by the fund totaled $274,410 for the period ended September 30, 2005. During 
  the period ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money 
  Market Fund aggregated $122,537,111 and $128,907,914, respectively. 
 
 
  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. Many securities 
  markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the 
  closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such 
  close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value 
  foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The 
  number of days on which fair value prices will be used will depend on market activity and it is possible that fair value 
  prices will be used by the fund to a significant extent. 
 
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which 
  approximates fair value. 
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by 
  the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. 
 
  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 

Putnam VT Utilities Growth and Income       
 
Fund       
The fund's portfolio       
 
9/30/05 (Unaudited)       
COMMON STOCKS (89.5%)(a)       
 
    Shares  Value 
 
 
Cable Television (0.6%)       
Comcast Corp. Class A (Special) (NON)    32,400  $932,472 
Jupiter Telecommunications Co., Ltd. (Japan) (NON)    970  839,719 
Jupiter Telecommunications Co., Ltd. 144A (Japan) (NON)    462  399,949 
Rogers Communications Class B (Canada)    9,500  374,662 
 
      2,546,802 
 
Communications Equipment (--%)       
Okinawa Cellular Telephone Co. (Japan)    149  291,899 
 
Electric Utilities (49.8%)       
Alliant Energy Corp.    153,269  4,464,726 
Ameren Corp. (S)    45,809  2,450,323 
American Electric Power Co., Inc. (S)    70,542  2,800,517 
Consolidated Edison, Inc. (S)    74,143  3,599,643 
Constellation Energy Group, Inc.    138,146  8,509,794 
Dominion Resources, Inc.    259,259  22,332,570 
DPL, Inc.    132,325  3,678,635 
DTE Energy Co. (S)    108,198  4,961,960 
Edison International    312,287  14,764,929 
Energy East Corp.    76,019  1,914,919 
Entergy Corp.    250,531  18,619,464 
Exelon Corp.    417,787  22,326,537 
FirstEnergy Corp.    149,252  7,779,014 
FPL Group, Inc. (S)    329,815  15,699,194 
Great Plains Energy, Inc. (S)    95,924  2,869,087 
Iberdrola SA (Spain)    94,009  2,634,873 
Northeast Utilities    165,982  3,311,341 
PG&E Corp. (SEG)    553,695  21,732,529 
PPL Corp. (S)    247,072  7,987,838 
Progress Energy, Inc. (S)    132,302  5,920,515 
Public Service Enterprise Group, Inc.    116,615  7,505,341 
Sierra Pacific Resources (NON)    453,782  6,738,663 
Southern Co. (The) (S)    150,888  5,395,755 
TXU Corp. (S)    34,407  3,883,862 
Wisconsin Energy Corp.    151,193  6,035,625 
XCEL Energy, Inc. (S)    72,663  1,424,921 
 
      209,342,575 
 
Natural Gas Utilities (5.6%)       
Equitable Resources, Inc. (S)    130,819  5,109,790 
MDU Resources Group, Inc. (S)    135,275  4,822,554 
NiSource, Inc.    40,422  980,234 
Sempra Energy    175,609  8,264,160 
Williams Cos., Inc. (The) (S)    173,937  4,357,122 
 
      23,533,860 
 
Oil & Gas (1.1%)       
Enbridge, Inc. (Canada) (S)    50,591  1,614,865 
Questar Corp. (S)    32,858  2,895,447 
 
      4,510,312 
 
Power Producers (1.9%)       
AES Corp. (The) (NON)    481,954  7,918,504 
 
Publishing (0.1%)       
Yellow Pages (Singapore), Ltd. (Singapore)    663,000  482,824 
 
Regional Bells (5.5%)       
BellSouth Corp. (S)    134,665  3,541,690 
SBC Communications, Inc. (S)    290,091  6,953,481 
Telus Corp. (Canada)    107,013  4,367,031 
Verizon Communications, Inc.    252,463  8,253,015 
 
      23,115,217 
 
Telecommunications (20.3%)       
ALLTEL Corp.    13,736  894,351 
American Tower Corp. Class A (NON)    105,319  2,627,709 

BCE, Inc. (Canada)  24,039  659,866 
CenturyTel, Inc. (S)  45,517  1,592,185 
Chunghwa Telecom Co., Ltd. ADR (Taiwan)  28,300  523,833 
Digi.com Berhad (Malaysia) (NON)  433,000  666,419 
Fastweb (Italy) (NON)  32,518  1,461,393 
France Telecom SA (France)  181,673  5,229,882 
France Telecom SA 144A (France)  28,449  818,971 
Hellenic Telecommunication Organization (OTE) SA (Greece) (NON)  235,786  4,729,754 
Hellenic Telecommunication Organization (OTE) SA 144A (Greece) (NON)  62,600  1,255,726 
Mobistar SA (Belgium)  43,729  3,605,727 
Nextel Partners, Inc. Class A (NON)  19,500  489,450 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  444  2,186,304 
NTT DoCoMo, Inc. (Japan)  2,668  4,755,877 
PanAmSat Holding Corp.  85,857  2,077,739 
Partner Communications Co., Ltd. (Israel)  85,018  723,171 
Singapore Telecommunications, Ltd. (Singapore)  670,000  964,800 
Sprint Nextel Corp. (S)  477,749  11,360,871 
StarHub, Ltd. (Singapore)  1,202,000  1,437,561 
Telecom Corp. of New Zealand, Ltd. (New Zealand)  539,067  2,249,561 
Telefonica SA (Spain)  541,839  8,896,406 
Telenor ASA (Norway)  403,944  3,623,344 
Vodafone Group PLC (United Kingdom)  8,690,207  22,673,858 
 
    85,504,758 
 
Telephone (3.1%)     
Belgacom SA (Belgium)  32,820  1,116,115 
China Netcom Group Corp. (Hong Kong), Ltd. (Hong Kong)  1,210,500  2,083,168 
Koninklijke (Royal) KPN NV (Netherlands)  531,681  4,781,423 
Koninklijke (Royal) KPN NV 144A (Netherlands)  55,000  494,617 
PT Telekomunikasi (Indonesia)  607,500  316,160 
TDC A/S (Denmark)  66,405  3,583,776 
Telekom Malaysia Berhad (Malaysia)  296,000  816,877 
 
    13,192,136 
 
Water Utilities (1.5%)     
Aqua America, Inc. (S)  67,946  2,583,307 
Southwest Water Co. (S)  67,428  977,706 
Veolia Environnement (France)  61,487  2,602,444 
 
    6,163,457 
 
Total common stocks (cost $242,361,170)    $376,602,344 
 
CORPORATE BONDS AND NOTES (6.2%)(a)     
 
  Principal amount  Value 
 
 
Electric Utilities (2.3%)     
AEP Texas Central Co. sr. notes Ser. D, 5 1/2s, 2013  $565,000  $578,061 
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  145,000  148,013 
Appalachian Power Co. sr. notes Ser. K, 5s, 2017  75,000  72,879 
CenterPoint Energy Houston Electric, LLC general ref. mtge. Ser. M2, 5 3/4s, 2014  25,000  25,866 
Cleveland Electric Illuminating Co. (The) sec. notes Ser. D, 7.43s, 2009  60,000  65,553 
Connecticut Light & Power Co. 1st mtge. Ser. D, 7 7/8s, 2024  270,000  348,033 
Consumers Energy Co. 1st mtge. Ser. B, 5 3/8s, 2013  430,000  434,684 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013  35,000  35,221 
DPL, Inc. sr. notes 6 7/8s, 2011  144,000  155,160 
Duquesne Light Co. 1st mtge. Ser. O, 6.7s, 2012  180,000  195,527 
Entergy Arkansas, Inc. 1st mtge. 5.4s, 2018  340,000  322,837 
FirstEnergy Corp. notes Ser. B, 6.45s, 2011  680,000  724,040 
FirstEnergy Corp. notes Ser. C, 7 3/8s, 2031  57,000  66,853 
Florida Power Corp. 1st mtge. 5.9s, 2033  325,000  336,283 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  110,000  116,697 
IPALCO Enterprises, Inc. sr. sec. notes 8 3/8s, 2008  30,000  31,800 
Kansas Gas & Electric 144A bonds 5.647s, 2021  300,000  296,892 
MidAmerican Energy Holdings unsec. sr. notes 5 7/8s, 2012  315,000  328,670 
Monongahela Power Co. 1st mtge. 5s, 2006  230,000  230,471 
Nevada Power Co. 2nd mtge. 9s, 2013  31,000  34,429 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s, 2015  250,000  246,414 
Niagara Mohawk Power Corp. sr. notes Ser. G, 7 3/4s, 2008  480,000  519,280 
Nisource Finance Corp. unsec. sr. notes company guaranty 5 1/4s, 2017  40,000  39,097 
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033  310,000  365,944 
Oncor Electric Delivery Co. sec. notes 6 3/8s, 2015  320,000  345,459 
Oncor Electric Delivery Co. sec. notes 6 3/8s, 2012  230,000  246,482 
Pacific Gas & Electric Co. 1st mtge. 4.8s, 2014  615,000  602,160 
PacifiCorp Sinking Fund 1st mtge. 5.45s, 2013  45,000  46,378 
Pepco Holdings, Inc. notes 5 1/2s, 2007  340,000  344,258 
Power Receivable Finance, LLC 144A sr. notes 6.29s, 2012  178,984  183,161 
PP&L Capital Funding, Inc. company guaranty Ser. D, 8 3/8s, 2007  10,000  10,575 
Public Service Co. of Colorado sr. notes Ser. A, 6 7/8s, 2009  175,000  187,119 
Public Service Co. of New Mexico sr. notes 4.4s, 2008  35,000  34,495 
Public Service Electric & Gas Co. 1st mtge. 6 3/8s, 2008  320,000  331,818 
Public Service Electric & Gas Co. sec. notes 5s, 2014  285,000  284,014 

Southern California Edison Co. 1st mtge. 5s, 2016      75,000  74,649 
Southern California Edison Co. 1st mtge. 5s, 2014      150,000  150,110 
Southern Power Co. sr. notes Ser. D, 4 7/8s, 2015      225,000  219,467 
Tampa Electric Co. notes 6 7/8s, 2012      175,000  193,164 
TransAlta Corp. notes 6 3/4s, 2012 (Canada)      605,000  653,343 
Wisconsin Electric Power notes 4 1/2s, 2013      120,000  116,916 
 
        9,742,272 
 
Natural Gas Utilities (0.4%)         
Atmos Energy Corp. notes 4.95s, 2014      50,000  48,798 
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011      80,000  89,852 
Consolidated Natural Gas Co. sr. notes 5s, 2014      1,075,000  1,059,575 
National Fuel Gas Co. notes 5 1/4s, 2013      170,000  170,456 
Texas Eastern Transmission LP sr. notes 7s, 2032      170,000  199,358 
 
        1,568,039 
 
Oil & Gas (0.1%)         
Amerada Hess Corp. bonds 7 7/8s, 2029      160,000  196,241 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012      40,000  40,445 
Valero Energy Corp. sr. unsecd. notes 7 1/2s, 2032      60,000  72,421 
 
        309,107 
 
Power Producers (0.2%)         
Mission Energy Holding Co. sec. notes 13 1/2s, 2008      625,000  735,938 
 
Regional Bells (0.8%)         
Ameritech Capital Funding company guaranty 6 1/4s, 2009      465,000  484,076 
Bellsouth Capital Funding notes 7 3/4s, 2010      240,000  267,401 
BellSouth Corp. bonds 5.2s, 2014      740,000  742,707 
Michigan Bell Telephone Co. debs. 7.85s, 2022      15,000  17,736 
Telus Corp. notes 8s, 2011 (Canada)      430,000  491,938 
Verizon Global Funding Corp. notes 7 3/4s, 2030      120,000  146,193 
Verizon New England, Inc. sr. notes 6 1/2s, 2011      1,340,000  1,426,079 
Verizon New Jersey, Inc. debs. 8s, 2022      20,000  23,316 
 
        3,599,446 
 
Telecommunications (2.2%)         
AT&T Wireless Services, Inc. notes 8 1/8s, 2012      355,000  416,300 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031      150,000  202,470 
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011      1,250,000  1,423,121 
British Telecommunications PLC notes 8 3/8s, 2010 (United Kingdom)      430,000  496,776 
Deutsche Telekom International Finance BV company guaranty 8 3/4s, 2030 (Germany)      1,255,000  1,620,229 
Deutsche Telekom International Finance BV notes 5 1/4s, 2013 (Germany)      100,000  100,960 
France Telecom notes 8 1/2s, 2031 (France)      335,000  448,952 
France Telecom notes 7 3/4s, 2011 (France)      470,000  533,670 
Sprint Capital Corp. company guaranty 7 5/8s, 2011      1,280,000  1,432,326 
Sprint Capital Corp. company guaranty 6.9s, 2019      40,000  44,782 
Sprint Capital Corp. company guaranty 6 7/8s, 2028      995,000  1,099,153 
Telecom Italia Capital SA company guaranty 6 3/8s, 2033 (Luxembourg)      600,000  617,168 
Telecom Italia Capital SA company guaranty 5 1/4s, 2013 (Luxembourg)      90,000  89,362 
Telecom Italia Capital SA notes 5 1/4s, 2015 (Luxembourg)      580,000  571,670 
Telecom Italia Capital SA 144A company guaranty 4s, 2010 (Luxembourg)      145,000  139,599 
 
        9,236,538 
 
Telephone (0.2%)         
Telefonica Europe BV company guaranty 8 1/4s, 2030 (Netherlands)      300,000  400,225 
Telefonica Europe BV company guaranty 7 3/4s, 2010 (Netherlands)      615,000  693,298 
 
        1,093,523 
 
Total corporate bonds and notes (cost $25,392,795)        $26,284,863 
 
WARRANTS (0.3%)(a)(NON)         
         
  Strike price  Expiration Warrants  Value 
    date     
Hanaro Telecom, Inc. 144A Structured Exercise Call Warrants (issued by UBS AG) (South         
Korea)  $0.0001  9/5/06  236,043  $622,419 
KT Corp. 144A Structured Exercise Call Warrants (issued by UBS AG) (South Korea)  0.0001  1/13/06  17,076  722,572 
 
Total warrants (cost $1,244,930)         
        $1,344,991 
 
SHORT-TERM INVESTMENTS (10.9%)(a)         
 
      Principal  Value 
      amount/shares   
Putnam Prime Money Market Fund (e)      $16,264,224  $16,264,224 
 
Short-term investments held as collateral for loaned securities with yields ranging from         
3.77% to 4.09% and due dates ranging from October 3, 2005 to November 1, 2005 (d)      29,608,378  29,576,073 

Total short-term investments (cost $45,840,297)    $45,840,297  
TOTAL INVESTMENTS   
Total investments (cost $314,839,192) (b)    $450,072,495 

FORWARD CURRENCY CONTRACTS TO BUY at 9/30/05 (aggregate face value $5,420,355) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $135,781  $131,504  10/19/05  $4,277 
British Pound  1,811,918  1,861,936  12/21/05  (50,018) 
Hong Kong Dollar  923,012  921,855  11/16/05  1,157 
Mexican Peso  229,851  227,115  10/19/05  2,736 
Swedish Krona  1,207,368  1,244,368  12/21/05  (37,000) 
Swiss Franc  989,882  1,033,577  12/21/05  (43,695) 
Total        $(122,543) 

FORWARD CURRENCY CONTRACTS TO SELL at 9/30/05 (aggregate face value $23,117,188) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Canadian Dollar  $4,618,144  $4,441,932  10/19/05  $(176,212) 
Danish Krone  2,685,470  2,772,395  12/21/05  86,925 
Euro  10,901,174  11,333,521  12/21/05  432,347 
Japanese Yen  32,619  33,158  11/16/05  539 
New Zealand Dollar  1,461,904  1,417,018  10/19/05  (44,886) 
Norwegian Krone  2,016,080  2,094,038  12/21/05  77,958 
Singapore Dollar  1,001,769  1,025,126  11/16/05  23,357 
Total        $400,028 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
U.S. Treasury Bond 20 yr (Long)  95  $10,868,594  Dec-05  $(212,310) 
U.S. Treasury Note 10 yr (Short)  142  15,608,906  Dec-05  148,479 
U.S. Treasury Note 5 yr (Long)  134  14,319,156  Dec-05  (82,202) 
U.S. Treasury Note 2 yr (Short)  6  1,235,344  Dec-05  2,888 
Total        $(143,145) 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)     
 
  Notional  Unrealized 
  amount  appreciation 
 
 
Agreement with Deutsche Bank AG effective July 22, 2005, maturing on September 20, 2010, to     
receive quarterly 41 basis points times the notional amount. Upon a credit default event of France     
Telecomm, 7.75%, 3/1/2011, the fund makes a payment of the proportional notional amount times     
the difference between the par value and the then-market value of France Telecomm, 7.75%,     
3/1/2011.  $495,000  $1,119 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $420,748,426. 
 
(b)  The aggregate identified cost on a tax basis is $317,725,837, resulting in gross unrealized appreciation and depreciation of $133,985,109 and 
  $1,638,451, respectively, or net unrealized appreciation of $132,346,658. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(SEG)  A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts at September 30, 
  2005. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by 
  cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is 
  determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be 
  borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities 
  lending is included in investment income on the statement of operations. At September 30, 2005, the value of securities loaned amounted to 
  $28,745,401. The fund received cash collateral of $29,576,073 which is pooled with collateral of other Putnam funds into 20 issues of high- 
  grade, short-term investments. 
 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an 
  open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's 
  manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the 
  management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime 
  Money Market Fund. Income distributions earned by the fund totaled $233,190 for the period ended September 30, 2005. During the period 
  ended September 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated 
  $144,302,960 and $134,474,656, respectively. 
 
 
  At September 30, 2005, liquid assets totaling $10,187,011 have been designated as collateral for open warrants, swap contracts and future 
  contracts. 
 
  144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities 
  may be resold in transactions exempt from registration, normally to qualified institutional buyers. 
 
  ADR after the name of a foreign holding stands for American Depository Receipts representing ownership of foreign securities on deposit with 
  a custodian bank. 

DIVERSIFICATION BY COUNTRY   
 
Distribution of investments by country of issue at September 30, 2005: (as a percentage of Portfolio Value)   
 
Belgium  1.1% 
Canada  1.9 
Denmark  0.9 
France  2.3 
Greece  1.4 
Hong Kong  0.5 
Japan  2.0 
Netherlands  1.5 
New Zealand  0.5 
Norway  0.9 
Singapore  0.7 
Spain  2.7 
United Kingdom  5.5 
United States  75.9 
Other  2.2 
Total  100.0% 

Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.

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

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

The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

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

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

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

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

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

Putnam VT Vista Fund       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (98.6%)(a)       
 
    Shares  Value 
 
Aerospace and Defense (1.9%)       
L-3 Communications Holdings, Inc.    85,500  $6,760,485 
Precision Castparts Corp. (S)    48,800  2,591,280 
      9,351,765 
 
Biotechnology (2.3%)       
Celgene Corp. (NON) (S)    35,300  1,917,496 
Genzyme Corp. (NON) (S)    132,800  9,513,792 
      11,431,288 
 
Broadcasting (1.0%)       
XM Satellite Radio Holdings, Inc. Class A (NON) (S)    142,600  5,120,766 
 
Building Materials (3.2%)       
Building Material Holding Corp. (S)    32,100  2,991,399 
USG Corp. (NON) (S)    73,500  5,050,920 
Vulcan Materials Co. (S)    102,240  7,587,230 
      15,629,549 
 
Commercial and Consumer Services (2.7%)       
Corporate Executive Board Co. (The)    61,400  4,787,972 
IAC/InterActiveCorp. (NON) (S)    170,600  4,324,710 
Monster Worldwide, Inc. (NON)    16,400  492,820 
Robert Half International, Inc. (S)    58,200  2,071,338 
West Corp. (NON) (S)    36,500  1,364,735 
      13,041,575 
 
Communications Equipment (2.1%)       
Harris Corp.    66,700  2,788,060 
Scientific-Atlanta, Inc.    197,700  7,415,727 
      10,203,787 
 
Computers (3.1%)       
Apple Computer, Inc. (NON)    114,300  6,127,623 
Emulex Corp. (NON) (S)    51,000  1,030,710 
Logitech International SA ADR (Switzerland) (NON)    50,990  2,077,843 
NAVTEQ Corp. (NON) (S)    14,900  744,255 
Network Appliance, Inc. (NON)    127,900  3,036,346 
Take-Two Interactive Software, Inc. (NON)    101,400  2,239,926 
      15,256,703 
 
Conglomerates (0.3%)       
AMETEK, Inc.    36,300  1,559,811 
 
Consumer Cyclicals (2.0%)       
Black & Decker Manufacturing Co. (S)    103,600  8,504,524 
Harman International Industries, Inc.    11,500  1,176,105 
      9,680,629 
 
Consumer Finance (2.3%)       
Capital One Financial Corp. (S)    14,700  1,168,944 
Nelnet, Inc. Class A (NON)    183,000  6,955,830 
Providian Financial Corp. (NON)    186,500  3,297,320 
      11,422,094 
 
Consumer Goods (1.1%)       
Scotts Miracle-Gro Co. (The) Class A (S)    16,600  1,459,638 
Yankee Candle Co., Inc. (The)    164,800  4,037,600 
      5,497,238 
 
Consumer Services (2.3%)       
Alliance Data Systems Corp. (NON) (S)    69,800  2,732,670 
Getty Images, Inc. (NON) (S)    57,700  4,964,508 

Labor Ready, Inc. (NON)  135,700  3,480,705 
WebMD Health Corp. Class A (NON)  3,170  78,137 
    11,256,020 
 
Electronics (6.9%)     
Altera Corp. (NON)  203,300  3,885,063 
Amphenol Corp. Class A  85,700  3,457,138 
Broadcom Corp. Class A (NON)  201,100  9,433,601 
Linear Technology Corp.  73,700  2,770,383 
National Semiconductor Corp. (S)  368,800  9,699,440 
SanDisk Corp. (NON) (S)  53,400  2,576,550 
Silicon Laboratories, Inc. (NON) (S)  59,900  1,820,361 
    33,642,536 
 
Energy (1.7%)     
BJ Services Co.  236,700  8,518,833 
 
Entertainment (1.1%)     
Dreamworks Animation SKG, Inc. Class A (NON)  44,400  1,228,104 
Pixar, Inc. (NON) (S)  90,300  4,019,253 
    5,247,357 
 
Financial (1.7%)     
First American Corp. (S)  50,800  2,320,036 
Moody's Corp. (S)  118,500  6,052,980 
    8,373,016 
 
Forest Products and Packaging (0.5%)     
Louisiana-Pacific Corp.  96,400  2,669,316 
 
Gaming & Lottery (1.2%)     
GTECH Holdings Corp.  177,300  5,684,238 
 
Health Care Services (5.0%)     
Coventry Health Care, Inc. (NON)  33,520  2,883,390 
Express Scripts, Inc. (NON)  42,900  2,668,380 
Kindred Healthcare, Inc. (NON) (S)  63,600  1,895,280 
Laboratory Corp. of America Holdings (NON)  125,500  6,113,105 
McKesson Corp. (S)  113,300  5,376,085 
Quest Diagnostics, Inc.  25,800  1,303,932 
Sierra Health Services, Inc. (NON) (S)  61,400  4,228,618 
    24,468,790 
 
Homebuilding (2.8%)     
NVR, Inc. (NON)  8,800  7,787,560 
Toll Brothers, Inc. (NON) (S)  132,700  5,927,709 
    13,715,269 
 
Insurance (1.5%)     
Everest Re Group, Ltd. (Barbados)  20,900  2,046,110 
W.R. Berkley Corp.  132,150  5,217,282 
    7,263,392 
 
Investment Banking/Brokerage (1.6%)     
Bear Stearns Cos., Inc. (The)  73,500  8,066,625 
 
Machinery (2.5%)     
Cummins, Inc. (S)  43,490  3,826,685 
JLG Industries, Inc.  150,700  5,514,113 
Terex Corp. (NON)  62,100  3,069,603 
    12,410,401 
 
Manufacturing (1.5%)     
Graco, Inc.  89,540  3,069,431 
IDEX Corp.  105,200  4,476,260 
    7,545,691 
 
Medical Technology (7.7%)     
C.R. Bard, Inc.  108,700  7,177,461 
Charles River Laboratories International, Inc. (NON)  29,900  1,304,238 
Dade Behring Holdings, Inc.  97,000  3,556,020 
Edwards Lifesciences Corp. (NON)  156,800  6,963,488 

Kinetic Concepts, Inc. (NON)  34,700  1,970,960 
Respironics, Inc. (NON)  142,100  5,993,778 
St. Jude Medical, Inc. (NON)  85,800  4,015,440 
Varian Medical Systems, Inc. (NON)  170,600  6,740,406 
    37,721,791 
 
Metals (1.5%)     
Phelps Dodge Corp.  56,500  7,341,045 
 
Oil & Gas (8.5%)     
Amerada Hess Corp.  25,700  3,533,750 
Burlington Resources, Inc. (S)  135,500  11,018,860 
Frontier Oil Corp.  126,200  5,596,970 
Newfield Exploration Co. (NON)  187,900  9,225,890 
Sunoco, Inc.  147,000  11,495,401 
Valero Energy Corp.  6,322  714,765 
 
    41,585,636 
 
Pharmaceuticals (2.9%)     
Allergan, Inc. (S)  66,600  6,101,892 
Barr Pharmaceuticals, Inc. (NON)  69,500  3,816,940 
Kos Pharmaceuticals, Inc. (NON)  66,011  4,418,116 
 
    14,336,948 
 
Publishing (0.9%)     
Marvel Entertainment, Inc. (NON) (S)  256,800  4,589,016 
 
Restaurants (0.4%)     
Darden Restaurants, Inc. (S)  71,500  2,171,455 
 
Retail (9.1%)     
Abercrombie & Fitch Co. Class A  22,700  1,131,595 
American Eagle Outfitters, Inc.  261,500  6,153,095 
Claire's Stores, Inc.  345,900  8,346,567 
Coach, Inc. (NON)  150,300  4,713,408 
Michaels Stores, Inc.  222,000  7,339,320 
Staples, Inc.  428,900  9,144,148 
Timberland Co. (The) Class A (NON)  129,400  4,371,132 
Toro Co. (The)  34,800  1,279,248 
Whole Foods Market, Inc.  16,100  2,164,645 
    44,643,158 
 
Schools (1.0%)     
Apollo Group, Inc. Class A (NON)  16,800  1,115,352 
Career Education Corp. (NON) (S)  19,600  696,976 
Strayer Education, Inc. (S)  32,380  3,060,558 
    4,872,886 
 
Semiconductor (0.8%)     
Lam Research Corp. (NON)  128,100  3,903,207 
 
Shipping (2.5%)     
CNF Transportation, Inc.  126,000  6,615,000 
Overseas Shipholding Group (S)  96,600  5,634,678 
    12,249,678 
 
Software (6.1%)     
Adobe Systems, Inc.  203,000  6,059,550 
BMC Software, Inc. (NON) (SEG)  188,400  3,975,240 
Citrix Systems, Inc. (NON) (S)  230,600  5,797,284 
Hyperion Solutions Corp. (NON)  26,200  1,274,630 
McAfee, Inc. (NON)  235,700  7,405,694 
Mercury Interactive Corp. (NON) (S)  37,800  1,496,880 
Websense, Inc. (NON) (S)  73,200  3,748,572 
    29,757,850 
 
Technology Services (3.7%)     
Acxiom Corp.  40,800  763,776 
Equifax, Inc. (S)  172,600  6,030,644 
Fair Isaac Corp.  202,100  9,054,080 
Unova, Inc. (NON)  7,300  251,777 
VeriSign, Inc. (NON)  88,000  1,880,560 
    17,980,837 

Textiles (0.3%)     
VF Corp.  25,700  1,489,829 
Tobacco (0.9%)     
UST, Inc.  100,700  4,215,302 
Total common stocks (cost $386,242,781)    $483,915,327 
 
SHORT-TERM INVESTMENTS (13.0%)(a)     
 
  Principal amount/shares  Value 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.77% to 4.09% and due dates ranging from October 3, 2005     
to November 1, 2005 (d)  $57,004,003  $56,941,808 
Putnam Prime Money Market Fund (e)  6,973,874  6,973,874 
Total short-term investments (cost $63,915,682)    $63,915,682 
 
TOTAL INVESTMENTS     
 
Total investments (cost $450,158,463)(b)    $547,831,009 
 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)         
 
  Number of    Expiration  Unrealized 
  contracts  Value  date  appreciation 
Russell 2000 Index Mini (Long)  59  $3,965,390  Dec-05  $62,648 
S&P 500 Index (Long)  5  1,542,875  Dec-05  17,285 
Total        $79,933 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $490,983,960. 
 
(b)  The aggregate identified cost on a tax basis is $451,310,574, resulting in gross unrealized appreciation and depreciation of $103,513,963 and 
  $6,993,528, respectively, or net unrealized appreciation of $96,520,435. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(SEG)  A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts at September 30, 2005. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash 
  and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily 
  and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s 
  agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in 
  investment income on the statement of operations. At September 30, 2005, the value of securities loaned amounted to $55,509,214. The fund 
  received cash collateral of $56,941,808 which is pooled with collateral of other Putnam funds into 20 issues of high-grade, short-term investments. 
 
(e)  Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end 
  management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect 
  wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and 
  administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. 
  Income distributions earned by the fund totaled $8,268 for the period ended September 30, 2005. During the period ended September 30, 2005, 
  cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $66,391,369 and $68,216,864, respectively. 
 
  At September 30, 2005, liquid assets totaling $5,566,318 have been designated as collateral for open forward commitments and futures contracts. 
 
  ADR after the name of a foreign holding stands for American Depository Receipts, representing ownership of foreign securities on deposit with a 
  custodian bank. 
 
  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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York 
  Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after 
  such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into 
  account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will 
  depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. 
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value. 
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations 
  and procedures are reviewed periodically by the Trustees. 
 
  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. The fund may also write options on swaps or securities it owns or in which it may invest, or swaps, to increase its current 
  returns. 
 
  The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged 
  instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the 
  contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and 
  liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it 
  was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on 
  investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written 
  put option is exercised, the premium originally received is recorded as a reduction to cost of investments. 
 
  Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree 
  to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation 
  margin.” Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last 
  ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts 
  outstanding at period end, if any, are listed after the fund’s portfolio. 
 
  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 

Putnam VT Voyager Fund       
The fund's portfolio       
9/30/05 (Unaudited)     
COMMON STOCKS (99.1%)(a)       
 
    Shares  Value 
 
Aerospace and Defense (3.4%)       
L-3 Communications Holdings, Inc.    285,200  $22,550,764 
Lockheed Martin Corp.    318,500  19,441,240 
United Technologies Corp.    715,900  37,112,256 
      79,104,260 
 
Airlines (0.7%)       
Southwest Airlines Co.    1,122,600  16,670,610 
 
Banking (1.7%)       
Commerce Bancorp, Inc. (S)    1,277,065  39,193,125 
 
Beverage (1.3%)       
Coca-Cola Co. (The)    705,300  30,461,907 
 
Biotechnology (4.5%)       
Amgen, Inc. (NON)    727,800  57,983,826 
Biogen Idec, Inc. (NON)    259,100  10,229,268 
Genentech, Inc. (NON)    290,800  24,488,268 
MedImmune, Inc. (NON)    397,300  13,369,145 
      106,070,507 
 
Building Materials (0.9%)       
Masco Corp.    680,400  20,874,672 
 
Commercial and Consumer Services (6.2%)       
Cendant Corp. (S)    736,700  15,205,488 
eBay, Inc. (NON)    1,210,000  49,852,000 
Google, Inc. Class A (NON)    78,600  24,873,756 
Paychex, Inc.    338,500  12,551,580 
Yahoo!, Inc. (NON) (S)    1,226,000  41,487,840 
      143,970,664 
 
Communications Equipment (4.4%)       
Cisco Systems, Inc. (NON)    4,272,400  76,604,132 
Corning, Inc. (NON)    553,200  10,693,356 
Qualcomm, Inc.    369,900  16,553,025 
      103,850,513 
 
Computers (7.3%)       
Apple Computer, Inc. (NON)    862,400  46,233,264 
Dell, Inc. (NON)    2,278,300  77,917,860 
EMC Corp. (NON)    3,568,800  46,180,272 
      170,331,396 
 
Conglomerates (0.7%)       
Tyco International, Ltd.    572,200  15,935,770 
 
Consumer Finance (3.8%)       
Capital One Financial Corp. (S)    512,600  40,761,952 
Countrywide Financial Corp.    1,480,800  48,836,784 
      89,598,736 
 
Consumer Goods (0.7%)       
Avon Products, Inc.    618,900  16,710,300 
 
Electronics (5.0%)       
Amphenol Corp. Class A    261,300  10,540,842 
Freescale Semiconductor, Inc. Class B (NON)    570,200  13,445,316 
Intel Corp.    1,770,000  43,630,500 
Microchip Technology, Inc.    634,990  19,125,899 
Texas Instruments, Inc.    871,500  29,543,850 
      116,286,407 

Financial (1.4%)     
American Express Co.  567,500  32,597,200 
Moody's Corp.  15,100  771,308 
    33,368,508 
 
Food (1.3%)     
Hershey Foods Corp.  236,200  13,300,422 
Wrigley (Wm.) Jr. Co.  232,600  16,719,288 
    30,019,710 
 
Health Care Services (8.1%)     
AmerisourceBergen Corp.  134,400  10,389,120 
Cardinal Health, Inc.  451,500  28,643,160 
Express Scripts, Inc. (NON)  359,800  22,379,560 
HCA, Inc.  433,400  20,768,528 
Health Management Associates, Inc. Class A  439,300  10,310,371 
Medco Health Solutions, Inc. (NON)  300,100  16,454,483 
UnitedHealth Group, Inc.  1,069,300  60,094,660 
WellPoint, Inc. (NON)  268,900  20,387,998 
    189,427,880 
 
Homebuilding (1.6%)     
Lennar Corp.  193,100  11,539,656 
NVR, Inc. (NON) (S)  28,300  25,044,085 
    36,583,741 
 
Insurance (3.5%)     
American International Group, Inc.  1,090,700  67,579,772 
Everest Re Group, Ltd. (Barbados)  138,000  13,510,200 
    81,089,972 
 
Investment Banking/Brokerage (1.5%)     
Bear Stearns Cos., Inc. (The)  249,700  27,404,575 
Lehman Brothers Holdings, Inc.  75,400  8,782,592 
    36,187,167 
 
Leisure (0.6%)     
Harley-Davidson, Inc. (S)  305,700  14,808,108 
 
Lodging/Tourism (1.4%)     
Las Vegas Sands Corp. (NON)  384,900  12,667,059 
Royal Caribbean Cruises, Ltd.  459,400  19,846,080 
    32,513,139 
 
Machinery (0.6%)     
Parker-Hannifin Corp.  203,900  13,112,809 
 
Medical Technology (2.4%)     
Becton, Dickinson and Co.  373,500  19,582,605 
Edwards Lifesciences Corp. (NON) (S)  211,500  9,392,715 
Nobel Biocare Holding AG (Switzerland)  36,368  8,605,974 
PerkinElmer, Inc.  28,700  584,619 
St. Jude Medical, Inc. (NON)  389,300  18,219,240 
    56,385,153 
 
Oil & Gas (5.3%)     
Amerada Hess Corp.  152,900  21,023,750 
Apache Corp.  266,500  20,046,130 
Burlington Resources, Inc.  73,400  5,968,888 
Canadian Natural Resources, Ltd. (Canada)  332,700  15,034,713 
Exxon Mobil Corp.  155,900  9,905,886 
Marathon Oil Corp.  355,300  24,490,829 
Valero Energy Corp.  233,200  26,365,592 
    122,835,788 
 
Pharmaceuticals (5.0%)     
Barr Pharmaceuticals, Inc. (NON)  182,200  10,006,424 
Johnson & Johnson  1,405,900  88,965,352 
Teva Pharmaceutical Industries, Ltd. ADR (Israel) (S)  556,000  18,581,520 
    117,553,296 

Power Producers (0.5%)     
AES Corp. (The) (NON)  734,100  12,061,263 
 
Publishing (0.8%)     
McGraw-Hill Companies, Inc. (The) (S)  386,400  18,562,656 
 
Railroads (0.1%)     
Norfolk Southern Corp.  49,100  1,991,496 
 
Restaurants (2.1%)     
Starbucks Corp. (NON) (S)  486,000  24,348,600 
Yum! Brands, Inc.  504,700  24,432,527 
    48,781,127 
 
Retail (10.7%)     
Abercrombie & Fitch Co. Class A  328,800  16,390,680 
Best Buy Co., Inc.  695,400  30,270,762 
Coach, Inc. (NON)  489,600  15,353,856 
Home Depot, Inc. (The)  1,429,400  54,517,316 
Kohl's Corp. (NON)  377,400  18,937,932 
Lowe's Cos., Inc.  651,800  41,975,920 
Michaels Stores, Inc.  563,800  18,639,228 
Staples, Inc.  1,803,000  38,439,960 
Whole Foods Market, Inc.  118,900  15,986,105 
    250,511,759 
 
Schools (0.7%)     
Apollo Group, Inc. Class A (NON)  244,400  16,225,716 
 
Semiconductor (1.3%)     
Applied Materials, Inc.  1,247,600  21,159,296 
Lam Research Corp. (NON)  287,900  8,772,313 
    29,931,609 
 
Software (5.9%)     
Adobe Systems, Inc.  906,700  27,064,995 
Autodesk, Inc.  261,700  12,153,348 
Citrix Systems, Inc. (NON)  354,500  8,912,130 
McAfee, Inc. (NON) (S)  503,100  15,807,402 
Mercury Interactive Corp. (NON)  243,800  9,654,480 
Microsoft Corp. (SEG)  593,500  15,270,755 
Oracle Corp. (NON)  2,781,000  34,456,590 
Symantec Corp. (NON)  598,700  13,566,542 
    136,886,242 
 
Technology Services (1.2%)     
Fair Isaac Corp.  161,700  7,244,160 
Fiserv, Inc. (NON) (S)  284,700  13,059,189 
VeriSign, Inc. (NON)  369,100  7,887,667 
    28,191,016 
 
Telecommunications (0.6%)     
Sprint Corp. (FON Group)  549,800  13,074,244 
 
Tobacco (1.9%)     
Altria Group, Inc.  615,900  45,397,989 
 
Total common stocks (cost $1,927,146,163)    $2,314,559,255 
  
SHORT-TERM INVESTMENTS (1.5%)(a) (cost $34,350,925)     
 
  Principal amount  Value 
Short-term investments held as collateral for loaned securities with yields     
ranging from 3.77% to 4.09% and due dates ranging from October 3, 2005     
2005 to November 1, 2005 (d)  $34,388,445  $34,350,925 

TOTAL INVESTMENTS   
 
Total investments (cost $1,961,497,088) (b)                      $2,348,910,180  
 

FUTURES CONTRACTS OUTSTANDING at 9/30/05 (Unaudited)         
 
  Number of    Expiration  Unrealized 
  contracts  Value  date  appreciation 
NASDAQ 100 Index Mini (Long)  150  $4,842,000  Dec-05  $40,625 
S&P 500 Index (Long)  57  17,588,775  Dec-05  42,742 
Total        $83,367 

  NOTES 
 
(a)  Percentages indicated are based on net assets of $2,336,450,077. 
 
(b)  The aggregate identified cost on a tax basis is $2,070,565,380, resulting in gross unrealized appreciation and 
  depreciation of $326,665,556 and $48,320,756, respectively, or net unrealized appreciation of $278,344,800. 
 
(NON)  Non-income-producing security. 
 
(S)  Securities on loan, in part or in entirety, at September 30, 2005. 
 
(SEG)  A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures 
  contracts at September 30, 2005. 
 
(d)  The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans 
  are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The 
  market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on 
  the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss 
  with respect to the investment of the cash collateral. Income from securities lending is included in investment income on 
  the statement of operations. At September 30, 2005, the value of securities loaned amounted to $33,286,878. The 
  fund received cash collateral of $34,350,925 which is pooled with collateral of other Putnam funds into 20 issues of high- 
  grade, short-term investments. 
 
  At September 30, 2005, liquid assets totaling $22,428,825 have been designated as collateral for open future contracts. 
 
  ADR after the name of a foreign holding stands for American Depository Receipts, representing ownership of foreign 
  securities on deposit with a custodian bank. 
 
  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. Many securities markets and 
  exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for 
  securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the 
  close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking 
  into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair 
  value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to 
  a significant extent. 
 
  Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 
 
  Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which 
  approximates fair value. 
 
  Other investments, including certain restricted securities, are valued at fair value following procedures approved by the 
  Trustees. Such valuations and procedures are reviewed periodically by the Trustees. 
 
  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. The fund may also write options on swaps or securities it 
  owns or in which it may invest to increase its current returns. 
 
  The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the 
  change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying 
  instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to 
  perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, 
  the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was 
  opened and the value at the time it was closed. Realized gains and losses on purchased options are included in 
  realized gains and losses on investment securities. If a written call option is exercised, the premium originally received 
  is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is 
  recorded as a reduction to cost of investments. 
 
  Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. 
  The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures 
  contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last 
  sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. 
  Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts 
  outstanding at period end, if any, are listed after the fund’s portfolio. 
 
  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:

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 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.

NAME OF REGISTRANT

By (Signature and Title):

/s/ Michael T. Healy
Michael T. Healy
Principal Accounting Officer

Date: December 16, 2005

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 16, 2005

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer

Date: December 16, 2005