The George
Putnam
Fund of
Boston
Item 1. Report to Stockholders:
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The following is a copy of the report transmitted to stockholders pursuant
to Rule 30e-1 under the Investment Company Act of 1940:
SEMIANNUAL REPORT ON PERFORMANCE AND OUTLOOK
1-31-04
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From the Trustees
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Dear Fellow Shareholder:
In recent months we have communicated with you about Putnam's commitment to
establishing high fiduciary standards within the investment management
industry. The firm's efforts took a step forward in January with a series
of initiatives that were outlined in a letter to shareholders from Putnam
President and CEO Ed Haldeman. Among other things, Putnam is placing
voluntary limits on fund expenses and reducing sales loads. In addition,
beginning this spring, shareholder communications will provide enhanced
disclosure, including a comparison of fund costs with industry averages and
a gauge of each fund's relative risk. They will also disclose the number of
shares held by Putnam employees and discuss how the portfolio management
team is compensated. Another new measure, taking effect April 19, 2004,
will impose a 2% fee on shares that are sold within 5 days of purchase.
This redemption fee demonstrates Putnam's commitment to preventing
short-term trading in its funds, which can be detrimental to shareholders.
These changes serve to advance shareholder interests and provide a
framework to help you make financial decisions. We encourage you to review
the new disclosure as it is implemented and discuss it with your financial
advisor. While we are pleased with this progress, the Trustees and Putnam
are continuing to explore other measures that may provide greater
transparency and enhanced protection for long-term shareholders.
The fund's solid return for the semiannual period reflects improving market
conditions that lifted valuations for many of the fund's holdings. Several
stocks that had been purchased earlier for their potential in a recovering
economy proved their worth. In the following pages, your fund's managers
discuss fund performance, market trends, investment strategies, and
individual holdings that contributed to returns. They also discuss their
expectations for the months ahead.
Respectfully yours,
/S/ JOHN A. HILL /S/ GEORGE PUTNAM, III
John A. Hill George Putnam, III
Chairman of the Trustees President of the Funds
March 17, 2004
Report from Fund Management
Fund highlights
* The George Putnam Fund of Boston's class A shares returned 10.50% at
net asset value (NAV), and 4.14% at public offering price (POP) for the
semiannual period ended January 31, 2004.
* The fund underperformed the S&P 500/Barra Value Index, which is an
all-equity benchmark, because it had less exposure to strong-performing
equity securities, particularly cyclical stocks. The index returned
16.85%.
* For the same reason, the fund underperformed its Putnam benchmark, the
George Putnam Blended Index, which is represented by 60% S&P 500/Barra
Value Index and 40% Lehman Aggregate Bond Index. The George Putnam
Blended Index returned 11.86%. The fund also underperformed the average
return for the Lipper Balanced Funds category, which was 11.01%.
* The fund outperformed the Lehman Aggregate Bond Index, which is an
all-bond benchmark. The fund was helped by a small exposure to
high-yield bonds, which had strong returns. The index returned 4.49%.
* See the Performance Summary beginning on page 7 for complete fund
performance, comparative performance, and Lipper data.
Performance commentary
We are pleased to report that your fund achieved a solid return during
the semiannual period. However, it underperformed the S&P 500/Barra
Value Index, primarily because of our relative underweighting to
cyclical, or economically sensitive stocks. We had underestimated the
strength of gross domestic product (GDP) growth in the third quarter,
which continued to buoy cyclical stocks through the end of the fiscal
year. We believe this underweighting explains why the fund also lagged
its Putnam blended benchmark and Lipper category average, which had more
exposure to such stocks. The fund outperformed the Lehman Aggregate Bond
Index, due to strong returns from a small, well-diversified position in
high-yield bonds. Returns were also helped by effective asset allocation
decisions.
FUND PROFILE
The George Putnam Fund of Boston seeks to provide a balanced investment
composed of a well-diversified portfolio of stocks and bonds that produce
both capital growth and current income. The fund targets attractively priced
stocks of large, established, dividend-paying companies that are poised to
experience positive change and improved financial performance. The bond
portion is a diversified mix of investment-grade securities. The fund may be
appropriate for investors seeking current income and long-term growth from a
balanced investment.
Market overview
A combination of favorable tax law changes, deficit spending, and continued
low interest rates resulted in greater liquidity in the economy and set the
stage for strong economic growth in the latter half of 2003 and into 2004.
Despite rising personal debt, a jobless recovery, and nearly stagnant wages,
record levels of mortgage refinancing activity helped many consumers feel
flush with cash. Corporate capital spending increased, inventories declined,
and productivity accelerated. The Federal Reserve Board (Fed) held interest
rates steady throughout the period, despite the robust pickup in economic
growth. After the January meeting of the Federal Open Market Committee, Fed
chairman Alan Greenspan stated that the Fed could "be patient" before raising
interest rates. For many Fed watchers, that slight change in language seemed
to indicate that a rate increase could come sooner than many had anticipated.
While the economy expanded at a faster-than-expected rate and equities
rallied, it was the lower-quality, riskier securities that advanced most
strongly. Stocks outperformed bonds. Small-capitalization stocks outpaced
large caps by a significant margin, and cyclical stocks continued to take the
lead. Likewise, lower-quality bonds outperformed Treasuries. For the
six-month period, value stocks outpaced growth stocks only slightly. Despite
tax law reform that reduced the federal tax rate on dividends, investors
seemed not to be drawn to dividend-paying stocks. Overall, the market
environment was not ideally suited to your fund's investment criteria.
Nevertheless, the fund's relatively conservative approach, which emphasizes
high-quality, large-cap value stocks and a diverse selection of bonds,
produced what we consider solid results. We remain focused on improving
performance versus the benchmark.
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MARKET SECTOR PERFORMANCE 6 MONTHS ENDED 1/31/04
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Equities
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S&P 500/Barra Value Index (large-company value stocks) 16.85%
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Russell 2000 Growth Index (small-company growth stocks) 21.81%
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Russell 2000 Value Index (small-company value stocks) 23.53%
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Russell 1000 Index (large-company stocks) 15.52%
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Bonds
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Lehman Aggregate Bond Index (broad bond market) 4.49%
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JP Morgan Chase Global High Yield Index (global high-yield
corporate bonds) 11.92%
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Lehman Government Bond Index (U.S. Treasury and agency
securities) 3.88%
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These indexes provide an overview of performance in different market
sectors for the six months ended 1/31/04.
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Strategy overview
The fund adhered to its time-honored strategy of seeking attractively
priced, large-cap value stocks and balancing the portfolio with a diverse
selection of bonds. Within these parameters, we sought higher returns by
adjusting the fund's asset allocation, sector weightings, and exposures to
individual securities. With regard to the fund's equity portion, the fund
had modest underweight or overweight positions in specific sectors,
relative to the benchmark. In general, we believed that economically
sensitive stocks were overvalued and so the portfolio was underweighted in
consumer cyclicals, while our allocations to basic materials and technology
were about neutral in comparison to the benchmark. In retrospect, these
weightings held back performance somewhat, as the best-performing sectors
of the market over the period were technology, consumer cyclicals, and
basic materials.
With regard to overall asset allocation, our decisions proved effective.
Just prior to the beginning of the fiscal period, the bond market slumped.
Valuations became so attractive that we reallocated assets from equities to
bonds; we decreased the stock weighting by one or two percentage points to
about 58% and increased the bond weighting to about 42%. Stocks began to
outperform, and by virtue of their appreciation brought the portfolio
allocation back to about 60% stocks, 40% bonds. Along the way, bonds
bounced back and the fund benefited from having purchased them cheaply.
[GRAPHIC OMITTED: horizontal bar chart PORTFOLIO COMPOSITION COMPARED]
PORTFOLIO COMPOSITION COMPARED
as of 7/31/03 as of 1/31/04
Common stocks 61.9% 60.9%
U.S. government
and agency securities 16.1% 24.3%
Other 9.6% 15.0%
Corporate bonds
and notes 10.7% 10.2%
Collateralized
mortgage obligations 7.3% 5.0%
Asset-backed
securities 3.8% 4.8%
Convertible
securities 1.0% 1.1%
Footnote reads:
This chart shows how the fund's weightings have changed over the last
six months. Weightings are shown as a percentage of net assets. Holdings
will vary over time.
How fund holdings affected performance
Strong performances by Altria Group, Edison International, Pacific Gas and
Electric (PG&E), and Tyco International contributed significantly to the
fund's returns. For much of 2003, Altria Group (formerly Philip Morris) was
under pressure as a series of unfavorable legal judgments seemed to
threaten the company's long-term prospects. We had confidence in the
company's ability to endure, and we built a large position as the stock
price fell precipitously. In late summer and fall of 2003, some important
legal issues were decided in favor of the tobacco company, whose future
grew brighter as a result. The stock price rose dramatically and
contributed to a higher net asset value for the fund. Edison International
and Pacific Gas and Electric also strengthened substantially, thanks to
more stable natural gas prices and a clearer regulatory situation. Both are
making steady progress in their recovery from California's 2001 energy
crisis, and earnings have improved markedly. Edison International, the
state's second-largest utility company, recently resumed payment of
dividends on both its preferred and common shares. The market seems to
share our positive view, and the stock price has continued to climb.
Tyco International had especially strong performance over the second half
of calendar 2003. Over a year has passed since new top management was
installed, and we believe this conglomerate has, for the most part, moved
beyond the accounting, balance sheet, and liquidity issues that had caused
its stock price to drop so drastically in 2001 and 2002. While in our
opinion the company's operations have not yet fully benefited from the
cyclical economic recovery, they have stabilized, and the stock price has
appreciated accordingly. We believe the stock remains undervalued and still
has attractive upside potential. The fund continues to own shares of these
four companies. Other positive contributors included the fund's positions
in Viacom and Xerox, and overweights to Merck and Ace Limited. By the end
of the period, the fund had sold its position in Merck.
[GRAPHIC OMITTED: TOP HOLDINGS]
TOP HOLDINGS
1 Citigroup, Inc.
Financial
2 Exxon Mobil Corp.
Oil and gas
3 Altria Group, Inc.
Tobacco
4 Hewlett-Packard Co.
Computers
5 JPMorgan Chase & Co.
Investment banking and brokerage
6 Pfizer, Inc.
Pharmaceuticals
7 U.S. Bancorp
Banking
8 Bank of America Corp.
Banking
9 Verizon Communications, Inc.
Regional Bells
10 Freddie Mac
Financial
Footnote reads:
These holdings represent 16.9% of the fund's net assets as of 1/31/04.
The fund's holdings will change over time.
Relative performance was hurt by the fund's underweight to
communications equipment companies. In particular, not owning Lucent was
a notable detractor. The fund's position in Lockheed Martin also
dampened returns.
To participate in the very strong rally in lower-quality securities, we
established a small position in high-yield bonds. To help manage risk,
the high-yield position represented only about 2% of the portfolio and
it was invested in bonds from as many as 75 different issuers. This
strategy paid off nicely, for as of the end of January, almost the
entire position had been sold at a profit. The bond portfolio also
benefited from its emphasis on corporate bonds and mortgage-backed
securities and its underweight position in Treasuries.
Please note that all holdings discussed in this report are subject to
review in accordance with the fund's investment strategy and may vary
in the future.
The fund's management teams
The fund is managed by the Putnam Large-Cap Value, Core Fixed-Income,
and Global Asset Allocation teams. The members of the Large-Cap Value
Team are Jeanne Mockard (Portfolio Leader), Mike Abata, Bartlett Geer,
David King, Deborah Kuenstner, Cole Lannum, Christopher Miller, and Hugh
Mullin. The members of the Core Fixed-Income Team are Kevin Cronin
(Portfolio Member), Carl Bell, Rob Bloemker, Andrea Burke, Steve Horner,
D. William Kohli, Michael Salm, John VanTassel, and David Waldman. The
members of the Global Asset Allocation Team are Jeff Knight (Portfolio
Member), Robert Kea, Robert Schoen, and Graham Spiers.
OF SPECIAL INTEREST
Putnam introduces a new redemption fee to protect long-term investors in
the funds. For shares purchased on or after April 19, 2004, a 2%
redemption fee will be applied to shares exchanged or sold within 5
calendar days of purchase. The fee applies to all Putnam funds except
money market funds, variable annuity funds, and closed-end funds.
Beginning on April 19, 2004, the 1% redemption fee currently applicable
to international, global, and taxable high-yield funds will be imposed
on shares that are exchanged or redeemed within 6 to 90 days of
purchase. Please see your fund's prospectus for additional information
or talk to your financial advisor.
The George Putnam Fund of Boston reduced its dividend as of February 4,
2004. The quarterly per share dividend for class A shares was reduced
from $0.088 to $0.078, a change of $0.01. Dividends for other share
classes were reduced accordingly. Since January 2001, the Federal
Reserve Board has aggressively cut short-term interest rates at an
unprecedented pace in order to prevent the U.S. economy from slipping
into a recession. Moreover, the yield on the 10-year Treasury note has
declined nearly 41% since early 2000, from 6.82% on January 31, 2000, to
4.06% on February 2, 2004. More dramatically, the yield on the 2-year
Treasury note has declined over 74% since early 2000, from 6.58% on
January 31, 2000, to 1.71% on February 12, 2004. The fund's dividend
reduction reflects the market trend of lower yields.
The outlook for your fund
The following commentary reflects anticipated developments that could
affect your fund over the next six months, as well as your management
teams' plans for responding to them.
In the months ahead, we anticipate that GDP growth will be modest and equity
returns will be consistent with long-term averages. After a long and powerful
run-up in stock prices, we believe the upside potential for many equities may
be diminished. However, our challenge going forward will be to ascertain
whether stock valuations have truly gotten ahead of the economy and are now
overpriced, or whether continued high rates of GDP growth can support higher
valuations. Election years have historically been good years for the economy.
We believe that the Fed will be patient and will hold off raising short-term
interest rates, at least until after the presidential election, and probably
not before the first quarter of 2005. When it does initiate a rate increase,
we believe it will be done gradually and with great care so as not to disrupt
the economy.
Meanwhile, we continue to see reasonable opportunities for value
investors. We anticipate that value and growth styles will remain
competitive in the near term. We see hopeful signs that large-cap
stocks, which in our opinion now offer the most compelling valuations,
are poised to lead the market in the coming months. Furthermore, in an
environment of moderate economic growth, we think investors may come to
value dividends more highly. Dividend tax reform has helped to spur a
resurgence in dividend payouts. We are seeing strong dividend growth
from large companies. For example, Citigroup increased its dividend by
75%, while Wells Fargo increased its dividend by 50%. These are not
trivial amounts, and your fund would stand to benefit from the trend
toward increasing dividends.
We believe that economic and profit recovery will continue, and that the
companies the fund invests in are likely to reap more benefits from
their intense cost reduction efforts and increased revenues. This may be
particularly true for global companies that are being helped by the
lower value of the U.S. dollar. All in all, our outlook is favorable and
we look forward to helping you pursue your financial goals through
disciplined investing and ongoing risk management.
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The views expressed in this report are exclusively those of Putnam
Management. They are not meant as investment advice.
Performance summary
This section shows your fund's performance during the first half of its
fiscal year, which ended January 31, 2004. In accordance with regulatory
requirements, we also include performance for the most current calendar
quarter-end. Performance should always be considered in light of a fund's
investment strategy. Data represent past performance. Past performance does
not guarantee future results. More recent returns may be less or more than
those shown. Investment return and principal value will fluctuate and you may
have a gain or a loss when you sell your shares. For the most recent
month-end performance, please visit www.putnaminvestments.com.
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TOTAL RETURN FOR PERIODS ENDED 1/31/04
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Class A Class B Class C Class M Class R
(inception dates) (11/5/37) (4/27/92) (7/26/99) (12/1/94) (1/21/03)
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NAV POP NAV CDSC NAV CDSC NAV POP NAV
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6 months 10.50% 4.14% 10.11% 5.11% 10.08% 9.08% 10.26% 6.43% 10.54%
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1 year 20.65 13.71 19.81 14.81 19.74 18.74 20.11 15.93 20.48
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5 years 18.45 11.64 14.16 12.28 14.09 14.09 15.61 11.54 17.09
Annual average 3.44 2.23 2.68 2.34 2.67 2.67 2.94 2.21 3.21
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10 years 135.19 121.64 118.41 118.41 118.08 118.08 123.75 115.96 129.57
Annual average 8.93 8.28 8.13 8.13 8.11 8.11 8.39 8.00 8.67
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Annual average
(life of fund) 9.48 9.39 8.44 8.44 8.66 8.66 8.72 8.66 9.21
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Performance assumes reinvestment of distributions and does not account for
taxes. Returns at public offering price (POP) for class A and M shares
reflect a sales charge of 5.75% and 3.50%, respectively (which for class A
shares does not reflect a reduction in sales charges that went into effect on
January 28, 2004; if this reduction had been in place for all periods
indicated, returns would have been higher). Class B share returns reflect the
applicable contingent deferred sales charge (CDSC), which is 5% in the first
year, declining to 1% in the sixth year, and is eliminated thereafter. Class
C shares reflect a 1% CDSC the first year that is eliminated thereafter.
Class R share returns have no initial sales charge or CDSC. Performance for
class B, C, M and R shares before their inception is derived from the
historical performance of class A shares, adjusted for the applicable sales
charge (or CDSC) and higher operating expenses for such shares.
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TOTAL RETURN FOR PERIODS ENDED 12/31/03 (MOST RECENT CALENDAR QUARTER)
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Class A Class B Class C Class M Class R
(inception dates) (11/5/37) (4/27/92) (7/26/99) (12/1/94) (1/21/03)
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NAV POP NAV CDSC NAV CDSC NAV POP NAV
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6 months 8.38% 2.13% 7.98% 2.98% 7.96% 6.96% 8.12% 4.34% 8.29%
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1 year 17.40 10.67 16.53 11.53 16.56 15.56 16.90 12.82 17.16
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5 years 18.24 11.44 13.90 12.02 13.88 13.88 15.41 11.36 16.80
Annual average 3.41 2.19 2.64 2.30 2.63 2.63 2.91 2.18 3.16
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10 years 138.50 124.71 121.44 121.44 121.15 121.15 127.02 119.08 132.69
Annual average 9.08 8.43 8.27 8.27 8.26 8.26 8.54 8.16 8.81
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Annual average
(life of fund) 9.48 9.38 8.44 8.44 8.65 8.65 8.71 8.65 9.20
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COMPARATIVE INDEX RETURNS FOR PERIODS ENDED 1/31/04
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S&P 500/ Lehman George Lipper
Barra Value Aggregate Putnam Balanced Funds
Index Bond Index Blended Index category average*
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6 months 16.85% 4.49% 11.86% 11.01%
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1 year 37.90 4.85 24.05 22.47
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5 years 9.85 37.93 23.71 12.59
Annual average 1.90 6.64 4.35 2.26
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10 years 165.10 94.70 143.52 117.54
Annual average 10.24 6.89 9.31 7.93
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Annual average
(life of fund) --+ --+ --+ --+
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Index and Lipper results should be compared to fund performance at net
asset value.
* Over the 6-month and 1-, 5-, and 10-year periods ended 1/31/04, there were
551, 540, 363, and 127 funds, respectively, in this Lipper category.
+ The benchmarks were not in existence at the time of the fund's inception.
The S&P 500/Barra Value Index commenced 12/31/74. The Lehman Aggregate Bond
Index commenced 12/31/75. The George Putnam Blended Index commenced 12/31/86.
The Lipper Average commenced 12/31/59.
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PRICE AND DISTRIBUTION INFORMATION 6 MONTHS ENDED 1/31/04
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Class A Class B Class C Class M Class R
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Distributions (number) 2 2 2 2 2
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Income $0.176 $0.114 $0.116 $0.136 $0.152
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Capital gains -- -- -- -- --
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Total $0.176 $0.114 $0.116 $0.136 $0.152
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Share value: NAV POP NAV NAV NAV POP NAV
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7/31/03 $15.72 $16.68 $15.56 $15.63 $15.57 $16.13 $15.70
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1/31/04 17.18 18.13* 17.01 17.08 17.02 17.64 17.19
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Current return
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Current dividend rate 1 2.05% 1.94% 1.32% 1.31% 1.60% 1.54% 1.79%
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Current 30-day
SEC yield 2 1.78 1.69 1.04 1.04 1.29 1.22 1.53
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* Reflects a reduction in sales charge that took effect on January 28,
2004.
1 Most recent distribution, excluding capital gains, annualized and
divided by NAV or POP at end of period.
2 Based only on investment income, calculated using SEC guidelines.
Terms and definitions
Total return shows how the value of the fund's shares changed over time,
assuming you held the shares through the entire period and reinvested
all distributions in the fund.
Net asset value (NAV) is the price, or value, of one share of a mutual
fund, without a sales charge. NAVs fluctuate with market conditions. The
NAV is calculated by dividing the net value of all the fund's assets by
the number of outstanding shares.
Public offering price (POP) is the price of a mutual fund share plus the
maximum sales charge levied at the time of purchase. POP performance
figures shown here assume the 5.75% maximum sales charge for class A
shares (since reduced to 5.25%) and 3.50% for class M shares.
Contingent deferred sales charge (CDSC) is a charge applied at the time
of the redemption of class B or C shares and assumes redemption at the
end of the period. Your fund's class B CDSC declines from a 5% maximum
during the first year to 1% during the sixth year. After the sixth year,
the CDSC no longer applies. The CDSC for class C shares is 1% for one
year after purchase.
Class A shares are generally subject to an initial sales charge and no
sales charge on redemption (except on certain redemptions of shares
bought without an initial sales charge).
Class B shares may be subject to a sales charge upon redemption.
Class C shares are not subject to an initial sales charge and are
subject to a contingent deferred sales charge only if the shares are
redeemed during the first year.
Class M shares have a lower initial sales charge and a higher 12b-1 fee
than class A shares and no sales charge on redemption (except on certain
redemptions of shares bought without an initial sales charge).
Class R shares are not subject to an initial sales charge or CDSC and
are available only to certain defined contribution plans.
Comparative indexes
George Putnam Blended Index is an unmanaged index administered by Putnam
Management, 60% of which is the Standard and Poor's 500/Barra Value
Index and 40% of which is the Lehman Aggregate Bond Index.
JP Morgan Chase Global High Yield Index is an unmanaged index used to
mirror the investable universe of the U.S. dollar global high-yield
corporate debt market of both developed and emerging markets.
Lehman Aggregate Bond Index is an unmanaged index used as a general
measure of U.S. fixed-income securities.
Lehman Government Bond Index is an unmanaged index of U.S. Treasury and
agency securities.
Russell 1000 Index is an unmanaged index of the largest 1,000 companies
in the Russell 3000 Index.
Russell 2000 Growth Index is an unmanaged index of those companies in
the Russell 2000 Index chosen for their growth orientation.
Russell 2000 Value Index is an unmanaged index of those companies in the
Russell 2000 Index chosen for their value orientation.
S&P 500/Barra Value Index is an unmanaged index of
capitalization-weighted stocks chosen for their value orientation.
Indexes assume reinvestment of all distributions and do not account for
fees. Securities and performance of a fund and an index will differ. You
cannot invest directly in an index.
Lipper Inc. is a third-party industry ranking entity that ranks funds
(without sales charges) with similar current investment styles or
objectives as determined by Lipper. Lipper category averages reflect
performance trends for funds within a category and are based on results
at net asset value.
A note about duplicate mailings
In response to investors' requests, the SEC has modified mailing regulations
for proxy statements, semiannual and annual reports, and prospectuses. Putnam
is now able to send a single copy of these materials to customers who share
the same address. This change will automatically apply to all shareholders
except those who notify us. If you would prefer to receive your own copy,
please call Putnam at 1-800-225-1581.
Putnam is committed to managing our mutual funds in the best interests of our
shareholders. Our proxy voting guidelines and policies are available on the
Putnam Individual Investor Web site, www.putnaminvestments.com, by calling
Putnam's Shareholder Services at 1-800-225-1581, or on the SEC's Web site,
www.sec.gov.
A guide to the financial statements
These sections of the report, as well as the accompanying Notes,
constitute the fund's financial statements.
The fund's portfolio lists all the fund's investments and their values
as of the last day of the reporting period. Holdings are organized by
asset type and industry sector, country, or state to show areas of
concentration and diversification.
Statement of assets and liabilities shows how the fund's net assets and
share price are determined. All investment and noninvestment assets are
added together. Any unpaid expenses and other liabilities are subtracted
from this total. The result is divided by the number of shares to
determine the net asset value per share, which is calculated separately
for each class of shares. (For funds with preferred shares, the amount
subtracted from total assets includes the net assets allocated to
remarketed preferred shares.)
Statement of operations shows the fund's net investment gain or loss.
This is done by first adding up all the fund's earnings -- from
dividends and interest income -- and subtracting its operating expenses
to determine net investment income (or loss). Then, any net gain or loss
the fund realized on the sales of its holdings -- as well as any
unrealized gains or losses over the period -- is added to or subtracted
from the net investment result to determine the fund's net gain or loss
for the fiscal period.
Statement of changes in net assets shows how the fund's net assets were
affected by distributions to shareholders and by changes in the number
of the fund's shares. It lists distributions and their sources (net
investment income or realized capital gains) over the current reporting
period and the most recent fiscal year-end. The distributions listed
here may not match the sources listed in the Statement of operations
because the distributions are determined on a tax basis and may be paid
in a different period from the one in which they were earned.
Financial highlights provide an overview of the fund's investment
results, per-share distributions, expense ratios, net investment
income ratios, and portfolio turnover in one summary table, reflecting
the five most recent reporting periods. In a semiannual report, the
highlight table also includes the current reporting period. For open-end
funds, a separate table is provided for each share class.
The fund's portfolio
January 31, 2004 (Unaudited)
Common stocks (60.9%) (a)
Number of shares Value
Aerospace and Defense (1.6%)
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709,400 Boeing Co. (The) $29,617,450
740,500 Lockheed Martin Corp. 36,002,959
249,500 Northrop Grumman Corp. 24,129,145
185,500 Raytheon Co. 5,659,605
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95,409,159
Airlines (0.1%)
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218,500 Southwest Airlines Co. 3,266,575
Automotive (0.3%)
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41,100 BorgWarner, Inc. 3,819,012
230,000 Lear Corp. 15,101,800
--------------
18,920,812
Banking (7.4%)
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1,018,860 Bank of America Corp. 82,996,336
1,529,350 Bank of New York Co., Inc. (The) 48,556,863
164,000 Charter One Financial, Inc. 5,938,440
142,500 Compass Bancshares, Inc. 5,617,350
39,900 M&T Bank Corp. 3,589,803
454,000 State Street Corp. 24,447,900
53,500 SunTrust Banks, Inc. 3,871,260
3,008,660 U.S. Bancorp 85,054,818
1,268,900 Wachovia Corp. 58,673,936
1,222,750 Washington Mutual, Inc. 54,167,825
1,209,130 Wells Fargo & Co. 69,416,153
64,250 Zions Bancorp. 3,767,620
--------------
446,098,304
Beverage (0.4%)
- -------------------------------------------------------------------------------
776,700 Coca-Cola Enterprises, Inc. 17,786,430
150,500 Pepsi Bottling Group, Inc. (The) 3,989,755
--------------
21,776,185
Broadcasting (0.1%)
- -------------------------------------------------------------------------------
96,200 Viacom, Inc. Class B 3,876,860
Building Materials (0.7%)
- -------------------------------------------------------------------------------
1,555,390 Masco Corp. 41,466,697
Cable Television (0.5%)
- -------------------------------------------------------------------------------
2,592,320 Liberty Media Corp. Class A (NON) 30,174,605
Capital Goods (0.1%)
- -------------------------------------------------------------------------------
33,200 Eaton Corp. 3,856,180
Chemicals (1.5%)
- -------------------------------------------------------------------------------
263,100 Avery Dennison Corp. 16,354,296
999,900 Dow Chemical Co. (The) 41,945,805
291,000 Engelhard Corp. 8,255,670
456,150 PPG Industries, Inc. 26,561,615
--------------
93,117,386
Computers (3.2%)
- -------------------------------------------------------------------------------
434,100 Dell, Inc. (NON) 14,529,327
4,294,681 Hewlett-Packard Co. 102,170,461
605,330 IBM Corp. 60,066,896
184,100 Lexmark International, Inc. (NON) 15,260,049
--------------
192,026,733
Conglomerates (2.5%)
- -------------------------------------------------------------------------------
13,877 Berkshire Hathaway, Inc. Class B
(NON) 41,367,337
843,800 General Electric Co. 28,376,994
381,900 Honeywell International, Inc. 13,794,228
2,538,460 Tyco International, Ltd. (Bermuda) 67,903,805
--------------
151,442,364
Consumer Finance (0.5%)
- -------------------------------------------------------------------------------
58,200 Countrywide Financial Corp. 4,862,610
856,700 MBNA Corp. 23,096,632
--------------
27,959,242
Consumer Goods (0.7%)
- -------------------------------------------------------------------------------
57,700 Colgate-Palmolive Co. 2,958,279
100,750 Kimberly-Clark Corp. 5,950,295
215,500 Newell Rubbermaid, Inc. 5,264,665
256,100 Procter & Gamble Co. 25,886,588
--------------
40,059,827
Electric Utilities (2.2%)
- -------------------------------------------------------------------------------
571,600 CenterPoint Energy, Inc. 6,001,800
171,750 Dominion Resources, Inc. 11,019,480
508,892 DPL, Inc. 10,299,974
1,002,200 Edison International 22,048,400
256,200 Entergy Corp. 14,982,576
368,200 Exelon Corp. 24,662,036
109,350 FirstEnergy Corp. 4,102,812
1,096,150 PG&E Corp. (NON) 29,431,628
272,280 Progress Energy, Inc. 12,192,698
--------------
134,741,404
Electrical Equipment (0.1%)
- -------------------------------------------------------------------------------
114,900 Emerson Electric Co. 7,342,110
Electronics (1.1%)
- -------------------------------------------------------------------------------
562,852 Celestica, Inc. (Canada) (NON) 9,652,912
833,230 Intel Corp. 25,496,838
469,000 Micron Technology, Inc. (NON) 7,555,590
988,800 Motorola, Inc. 16,394,304
1,358,289 Solectron Corp. (NON) 9,643,852
--------------
68,743,496
Energy (0.5%)
- -------------------------------------------------------------------------------
425,100 GlobalSantaFe Corp. (Cayman Islands) 11,605,230
625,200 Halliburton Co. 18,849,780
--------------
30,455,010
Financial (5.9%)
- -------------------------------------------------------------------------------
156,550 CIT Group, Inc. 5,936,376
3,428,420 Citigroup, Inc. (SEG) 169,638,222
845,140 Fannie Mae 65,160,294
1,135,140 Freddie Mac 70,855,439
291,700 PMI Group, Inc. (The) 11,265,454
1,865,606 Travelers Property Casualty Corp.
Class B 33,767,469
--------------
356,623,254
Food (0.7%)
- -------------------------------------------------------------------------------
870,800 ConAgra, Inc. 22,588,552
212,100 General Mills, Inc. 9,635,703
328,950 H.J. Heinz Co. 11,638,251
330 PSF Group Holdings, Inc. 144A Class
A (NON) 495,570
--------------
44,358,076
Forest Products and Packaging (0.8%)
- -------------------------------------------------------------------------------
1,162,210 Abitibi-Consolidated, Inc. (Canada) 8,893,707
370,650 Boise Cascade Corp. 12,027,593
146,100 MeadWestvaco Corp. 3,940,317
924,300 Smurfit-Stone Container Corp. (NON) 15,934,932
403,850 Sonoco Products Co. 9,522,783
--------------
50,319,332
Gaming & Lottery (0.2%)
- -------------------------------------------------------------------------------
193,600 Harrah's Entertainment, Inc. 10,260,800
Health Care Services (1.5%)
- -------------------------------------------------------------------------------
257,258 Anthem, Inc. (NON) 21,038,559
393,100 Cardinal Health, Inc. 25,201,641
302,700 CIGNA Corp. 18,773,454
136,400 Express Scripts, Inc. Class A (NON) 9,434,788
454,000 McKesson Corp. 13,338,520
--------------
87,786,962
Household Furniture and Appliances (0.6%)
- -------------------------------------------------------------------------------
451,640 Whirlpool Corp. 34,302,058
Insurance (2.4%)
- -------------------------------------------------------------------------------
1,035,900 ACE, Ltd. (Bermuda) 44,978,778
519,850 American International Group, Inc. 36,103,583
184,200 AON Corp. 4,525,794
94,100 MBIA, Inc. 5,928,300
252,600 Radian Group, Inc. 11,761,056
71,400 Torchmark Corp. 3,387,216
443,725 XL Capital, Ltd. Class A (Bermuda) 35,276,138
--------------
141,960,865
Investment Banking/Brokerage (1.8%)
- -------------------------------------------------------------------------------
2,294,300 JPMorgan Chase & Co. 89,225,327
291,300 Merrill Lynch & Co., Inc. 17,125,527
81,000 Morgan Stanley Dean Witter & Co. 4,715,010
--------------
111,065,864
Lodging/Tourism (0.3%)
- -------------------------------------------------------------------------------
503,900 Hilton Hotels Corp. 8,062,400
217,600 Royal Caribbean Cruises, Ltd. 9,219,712
--------------
17,282,112
Machinery (0.6%)
- -------------------------------------------------------------------------------
542,350 Ingersoll-Rand Co. Class A (Bermuda) 36,082,546
Manufacturing (0.2%)
- -------------------------------------------------------------------------------
221,350 Dover Corp. 9,146,182
Media (1.0%)
- -------------------------------------------------------------------------------
873,900 Time Warner, Inc. (NON) 15,354,423
1,755,200 Walt Disney Co. (The) 42,124,800
--------------
57,479,223
Medical Services (--%)
- -------------------------------------------------------------------------------
374,000 Service Corp. International (NON) 2,569,380
Medical Technology (0.2%)
- -------------------------------------------------------------------------------
126,000 C.R. Bard, Inc. 11,869,200
Metals (0.2%)
- -------------------------------------------------------------------------------
337,600 Alcoa, Inc. 11,539,168
Office Equipment & Supplies (0.1%)
- -------------------------------------------------------------------------------
185,600 Pitney Bowes, Inc. 7,531,648
Oil & Gas (4.9%)
- -------------------------------------------------------------------------------
27,700 Amerada Hess Corp. 1,562,003
205,660 Apache Corp. 7,913,797
302,550 BP PLC ADR (United Kingdom) 14,401,380
136,500 Canadian Natural Resources, Ltd.
(Canada) 6,595,680
736,823 ConocoPhillips 48,541,899
3,428,692 Exxon Mobil Corp. 139,856,347
232,600 Noble Corp. (Cayman Islands) (NON) 8,629,460
123,100 Royal Dutch Petroleum Co. ADR
(Netherlands) 5,834,940
454,700 Total SA Class B ADR (France) 40,150,010
475,100 Unocal Corp. 17,493,182
100,500 Valero Energy Corp. 5,318,460
--------------
296,297,158
Pharmaceuticals (3.5%)
- -------------------------------------------------------------------------------
1,255,100 Abbott Laboratories 54,069,708
197,100 Forest Laboratories, Inc. (NON) 14,681,979
264,500 Johnson & Johnson 14,129,590
1,443,200 King Pharmaceuticals, Inc. (NON) 24,072,576
2,329,223 Pfizer, Inc. 85,319,438
438,100 Wyeth 17,940,195
--------------
210,213,486
Photography/Imaging (0.4%)
- -------------------------------------------------------------------------------
1,762,398 Xerox Corp. (NON) 25,801,507
Publishing (0.1%)
- -------------------------------------------------------------------------------
75,050 Knight-Ridder, Inc. 5,772,846
Railroads (1.3%)
- -------------------------------------------------------------------------------
352,700 Canadian National Railway Co.
(Canada) 21,144,365
919,000 Union Pacific Corp. 59,183,600
--------------
80,327,965
Real Estate (0.2%)
- -------------------------------------------------------------------------------
439,570 Equity Office Properties Trust (R) 13,033,251
Regional Bells (2.7%)
- -------------------------------------------------------------------------------
1,048,750 BellSouth Corp. 30,654,963
1,965,404 SBC Communications, Inc. 50,117,802
2,217,881 Verizon Communications, Inc. 81,751,094
--------------
162,523,859
Restaurants (0.7%)
- -------------------------------------------------------------------------------
1,355,600 Darden Restaurants, Inc. 27,112,000
714,000 McDonald's Corp. 18,378,360
--------------
45,490,360
Retail (2.4%)
- -------------------------------------------------------------------------------
606,600 Home Depot, Inc. (The) 21,516,102
556,450 JC Penney Co., Inc. (Holding Co.) 14,567,861
705,900 Limited Brands 12,847,380
263,400 Lowe's Cos., Inc. 14,105,070
1,949,600 Office Depot, Inc. (NON) 31,096,120
699,850 TJX Cos., Inc. (The) 16,089,552
658,400 Wal-Mart Stores, Inc. 35,454,840
--------------
145,676,925
Software (1.6%)
- -------------------------------------------------------------------------------
1,232,800 Computer Associates International,
Inc. 32,225,392
2,044,100 Microsoft Corp. 56,519,365
797,100 Oracle Corp. (NON) 11,007,951
--------------
99,752,708
Technology Services (0.4%)
- -------------------------------------------------------------------------------
232,900 Automatic Data Processing, Inc. 9,956,475
98,500 First Data Corp. 3,857,260
254,100 Fiserv, Inc. (NON) 9,493,176
--------------
23,306,911
Telecommunications (0.1%)
- -------------------------------------------------------------------------------
230,800 CenturyTel, Inc. 6,093,120
Textiles (0.1%)
- -------------------------------------------------------------------------------
189,900 Liz Claiborne, Inc. 6,792,723
Tobacco (1.9%)
- -------------------------------------------------------------------------------
2,056,848 Altria Group, Inc. 114,340,180
Toys (0.3%)
- -------------------------------------------------------------------------------
1,016,700 Mattel, Inc. 19,225,797
Waste Management (0.3%)
- -------------------------------------------------------------------------------
700,950 Republic Services, Inc. 17,488,703
--------------
Total Common stocks (cost $2,847,303,197) $3,673,047,118
U.S. government and agency obligations (24.3%) (a)
Principal amount Value
U.S. Government and Agency Mortgage Obligations (22.0%)
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation
$484,802 8 3/4s, with due dates from May 1,
2009 to June 1, 2009 $526,263
Federal National Mortgage
Association Pass-Through
Certificates
29,882 11s, with due dates from October 1,
2015 to March 1, 2016 33,639
842,024 9s, with due dates from January 1,
2027 to July 1, 2032 925,118
7,471 8 3/4s, July 1, 2009 8,118
3,379,209 8s, with due dates from August 1,
2026 to July 1, 2033 3,680,178
4,477,679 7 1/2s, with due dates from October
1, 2025 to July 1, 2033 4,789,002
1,465,003 7 1/2s, with due dates from February
1, 2015 to April 1, 2016 1,572,190
2,889,385 7s, with due dates from July 1, 2025
to November 1, 2033 3,065,564
3,483,703 7s, with due dates from November 1,
2007 to January 1, 2015 3,718,977
43,544,153 6 1/2s, with due dates from January
1, 2019 to October 1, 2033 45,701,651
657,371 6 1/2s, with due dates from July 1,
2010 to May 1, 2011 699,492
29,570,000 6 1/2s, TBA, February 1, 2034 31,020,763
468,317 6s, with due dates from December 1,
2013 to May 1, 2017 493,591
618,163,000 5 1/2s, TBA, February 1, 2034 628,980,853
544,976,000 5s, TBA, February 1, 2019 556,897,350
40,629,000 4s, TBA, February 1, 2019 39,867,206
Government National Mortgage
Association Pass-Through
Certificates
990,227 7s, with due dates from August 15,
2029 to October 15, 2031 1,056,480
6,062 5s, July 15, 2033 6,036
--------------
1,323,042,471
U.S. Government and Agency Obligations (2.3%)
- -------------------------------------------------------------------------------
118,135,000 Fannie Mae 7 1/4s, January 15, 2010 139,750,633
U.S. Treasury Obligations (--%)
- -------------------------------------------------------------------------------
1,450,000 U.S. Treasury Bonds 4 1/4s, November 15, 2013 1,463,140
--------------
Total U.S. government and agency
obligations (cost $1,458,295,270) $1,464,256,244
Corporate bonds and notes (10.2%) (a)
Principal amount Value
Aerospace and Defense (0.2%)
- -------------------------------------------------------------------------------
$675,000 BAE Systems Holdings, Inc. 144A
notes 6.4s, 2011 $732,658
285,000 Boeing Capital Corp. sr. notes
4 3/4s, 2008 297,709
785,000 Boeing Co. (The) bonds 6 1/8s, 2033 803,309
2,300,000 Lockheed Martin Corp. bonds 8 1/2s,
2029 3,053,542
1,115,000 Northrop Grumman Corp. company
guaranty 7 1/8s, 2011 1,298,372
2,275,000 Raytheon Co. debs. 6s, 2010 2,464,692
1,145,000 Raytheon Co. notes 8.3s, 2010 1,375,764
830,000 Raytheon Co. notes 4.85s, 2011 846,987
--------------
10,873,033
Airlines (0.1%)
- -------------------------------------------------------------------------------
377,074 Continental Airlines, Inc.
pass-through certificates Ser.
98-1A, 6.648s, 2017 377,074
4,215,000 Continental Airlines, Inc.
pass-through certificates Ser. 98-2,
6.32s, 2008 4,254,119
363,848 US Air, Inc. pass-through
certificates Ser. 93-A2,
9 5/8s, 2004 (In default) (NON) 109,154
--------------
4,740,347
Automotive (0.4%)
- -------------------------------------------------------------------------------
400,000 American Axle & Manufacturing, Inc.
company guaranty 9 3/4s, 2009 421,000
2,525,000 DaimlerChrysler NA Holding Corp.
company guaranty 7.2s, 2009 2,844,731
2,785,000 DaimlerChrysler NA Holding Corp.
company guaranty Ser. D, 3.4s, 2004 2,823,346
2,120,000 Ford Motor Co. debs. 9.98s, 2047 2,670,963
1,410,000 Ford Motor Co. notes 7.45s, 2031 1,431,476
3,835,000 Ford Motor Credit Corp. notes
7 3/8s, 2009 4,216,306
1,295,000 General Motors Acceptance Corp.
bonds 8s, 2031 1,420,103
3,735,000 General Motors Acceptance Corp.
notes Ser. MTN, 5.36s, 2004 3,801,819
1,020,000 Lear Corp. company guaranty Ser. B,
8.11s, 2009 1,188,300
1,540,000 SPX Corp. sr. notes 6 1/4s, 2011 1,586,200
--------------
22,404,244
Banking (1.1%)
- -------------------------------------------------------------------------------
1,055,000 Allfirst Financial, Inc. sub. notes
7.2s, 2007 1,177,776
405,000 Bank of New York Co., Inc. (The) sr.
sub. notes FRN 3.4s, 2013 398,070
1,785,000 Bank One Corp. sub. debs. 8s, 2027 2,285,198
515,000 Bank One Corp. sub. debs. 7 5/8s,
2026 628,234
2,355,000 Bank One Corp. sub. notes 7.6s, 2007 2,678,118
7,190,000 Bank United Corp. notes Ser. A, 8s,
2009 8,554,346
350,000 Bank United Corp. sub. notes 8 7/8s,
2007 414,175
1,930,000 Barclays Bank PLC 144A FRN 6.86s,
2049 (United Kingdom) 2,136,358
545,000 Capital One Bank notes 6 1/2s, 2013 589,505
385,000 Capital One Bank notes Ser. BKNT,
4 7/8s, 2008 401,552
470,000 Capital One Bank sr. notes
Ser. BKNT, 6.7s, 2008 521,845
1,035,000 Countrywide Capital III company
guaranty Ser. B, 8.05s, 2027 1,217,222
1,035,000 Credit Suisse First Boston USA, Inc.
notes 5 1/2s, 2013 1,074,798
1,620,000 First Chicago NBD Corp. sub. notes
6 3/8s, 2009 1,843,929
3,760,000 First Union National Bank sub. notes
7.8s, 2010 4,557,116
935,000 Fleet Capital Trust V bank guaranty
FRN 2.17s, 2028 922,531
410,000 FleetBoston Financial Corp. notes
7 1/4s, 2005 444,922
2,300,000 HSBC Capital Funding LP 144A bank
guaranty FRB 9.547s, 2049 (Jersey) 2,940,651
2,645,000 HSBC Capital Funding LP 144A bank
guaranty FRB 4.61s, 2049 (Jersey) 2,513,816
1,455,000 Merita Bank, Ltd. sub. notes 6 1/2s,
2006 (Finland) 1,568,235
1,095,000 National City Bank bonds 4 5/8s,
2013 1,085,126
5,540,000 NB Capital Trust IV company guaranty
8 1/4s, 2027 6,495,351
815,000 Nordea Bank Finland PLC sub. notes
6 1/2s, 2009 (Finland) 914,547
2,520,000 Peoples Bank - Bridgeport sub. notes
7.2s, 2006 2,744,025
2,345,000 PNC Funding Corp. bonds 5 1/4s, 2015 2,352,928
1,200,000 Popular North America, Inc. sub.
notes 3 7/8s, 2008 1,203,749
80,000 Rabobank Capital Funding II 144A
bonds 5.26s, 2049 80,890
2,745,000 Royal Bank of Scotland Group PLC FRB
7.648s, 2031 (United Kingdom) 3,324,028
2,855,000 Sovereign Bancorp, Inc. sr. notes
10 1/2s, 2006 3,405,321
1,270,000 Suncorp-Metway, Ltd. 144A FRB
3 1/2s, 2013 (Australia) 1,250,252
3,020,000 UBS AG/Jersey Branch FRN 4.17s, 2008
(United Kingdom) 3,050,200
1,345,000 UBS Preferred Funding Trust I FRB
8.622s, 2049 1,663,941
1,010,000 Westpac Capital Trust III 144A sub.
notes FRN 5.819s, 2013 1,056,127
--------------
65,494,882
Beverage (0.1%)
- -------------------------------------------------------------------------------
235,000 Constellation Brands, Inc. company
guaranty 8 1/2s, 2009 244,988
2,000,000 Diageo PLC company guaranty 8s, 2022
(United Kingdom) 2,504,650
1,380,000 Miller Brewing Co. 144A notes
5 1/2s, 2013 1,434,352
2,605,000 PepsiAmericas, Inc. notes Ser. MTN,
3 7/8s, 2007 2,666,240
--------------
6,850,230
Broadcasting (0.2%)
- -------------------------------------------------------------------------------
1,355,000 Chancellor Media Corp. company
guaranty 8s, 2008 1,568,413
740,000 News America Holdings, Inc. company
guaranty 9 1/4s, 2013 957,374
1,930,000 News America Holdings, Inc. debs.
7 3/4s, 2045 2,301,112
1,900,000 News America Holdings, Inc. debs.
7.7s, 2025 2,222,367
75,000 News America, Inc. company guaranty
4 3/4s, 2010 76,909
1,420,000 News America, Inc. sr. notes 6 5/8s,
2008 1,576,007
1,955,000 Viacom, Inc. company guaranty 7.7s,
2010 2,351,949
--------------
11,054,131
Cable Television (0.3%)
- -------------------------------------------------------------------------------
561,000 AT&T Broadband Corp. company
guaranty 8 3/8s, 2013 689,122
2,150,000 Comcast Corp. company guaranty
7.05s, 2033 2,359,081
890,000 Comcast Corp. company guaranty
5.85s, 2010 959,676
1,305,000 Cox Communications, Inc. notes
7 3/4s, 2010 1,554,695
945,000 Cox Enterprises, Inc. 144A notes 8s,
2007 1,081,440
3,070,000 Jones Intercable, Inc. sr. notes
7 5/8s, 2008 3,522,263
1,485,000 Liberty Media Corp. debs. 8 1/2s,
2029 1,795,693
1,330,000 Liberty Media Corp. sr. notes 5.7s,
2013 1,346,500
1,400,000 Rogers Cable Inc. sec. notes 6 1/4s,
2013 (Canada) 1,449,000
3,200,000 TCI Communications, Inc. debs.
7 7/8s, 2013 3,811,030
1,380,000 USA Interactive notes 7s, 2013 1,532,921
--------------
20,101,421
Chemicals (0.2%)
- -------------------------------------------------------------------------------
1,270,000 Avery Dennison Corp. notes 4 7/8s,
2013 1,274,078
1,315,000 Dow Chemical Co. (The) debs. 8.55s,
2009 1,601,571
2,195,000 Dow Chemical Co. (The) notes 5 3/4s,
2009 2,371,168
685,000 Eastman Chemical Co. notes 3 1/4s,
2008 664,496
1,917,000 Hercules, Inc. company guaranty
11 1/8s, 2007 2,319,570
450,000 ICI Wilmington, Inc. company
guaranty 5 5/8s, 2013 462,780
1,150,000 ICI Wilmington, Inc. company
guaranty 4 3/8s, 2008 1,157,455
2,027,000 ISP Chemco, Inc. company guaranty
Ser. B, 10 1/4s, 2011 2,249,970
680,000 Millennium America, Inc. company
guaranty 9 1/4s, 2008 741,200
1,080,000 Millennium America, Inc. company
guaranty 7s, 2006 1,112,400
730,000 Monsanto Co. notes 4s, 2008 733,001
240,000 Monsanto Co. sr. notes 7 3/8s, 2012 277,562
465,000 Praxair, Inc. notes 6 3/8s, 2012 522,766
--------------
15,488,017
Coal (--%)
- -------------------------------------------------------------------------------
1,505,000 Arch Western Finance, LLC 144A sr.
notes 6 3/4s, 2013 1,565,200
Commercial and Consumer Services (--%)
- -------------------------------------------------------------------------------
1,600,000 Deluxe Corp. notes 5s, 2012 1,641,878
Computers (--%)
- -------------------------------------------------------------------------------
695,000 SunGard Data Systems, Inc. 144A
bonds 4 7/8s, 2014 688,236
Conglomerates (0.1%)
- -------------------------------------------------------------------------------
2,280,000 Textron Financial Corp. notes 6s,
2009 2,514,977
1,235,000 Tyco International Group SA company
guaranty 7s, 2028 (Luxembourg) 1,303,618
2,425,000 Tyco International Group SA company
guaranty 6 3/4s, 2011 (Luxembourg) 2,659,568
--------------
6,478,163
Consumer Finance (0.2%)
- -------------------------------------------------------------------------------
720,000 Capital One Financial Corp. notes
7 1/4s, 2006 778,710
2,310,000 Countrywide Home Loans, Inc. company
guaranty Ser. K, 5 5/8s, 2007 2,497,863
4,025,000 Household Finance Corp. notes 7s,
2012 4,633,685
1,820,000 Household Finance Corp. notes
6 3/4s, 2011 2,067,673
2,895,000 Household Finance Corp. sr. unsub.
5 7/8s, 2009 3,162,388
--------------
13,140,319
Consumer Goods (--%)
- -------------------------------------------------------------------------------
1,385,000 Johnson (SC) & Son, Inc. 144A bonds
5 3/4s, 2033 1,358,150
1,550,000 Procter & Gamble Co. bonds 5 1/2s,
2034 1,525,355
--------------
2,883,505
Containers (0.1%)
- -------------------------------------------------------------------------------
1,283,000 Owens-Brockway Glass company
guaranty 8 7/8s, 2009 1,404,885
750,000 Owens-Brockway Glass sr. sec. notes
8 3/4s, 2012 825,000
845,000 Sealed Air Corp. 144A bonds 6 7/8s,
2033 907,286
800,000 Sealed Air Corp. 144A notes 5 5/8s,
2013 828,118
--------------
3,965,289
Electric Utilities (1.4%)
- -------------------------------------------------------------------------------
485,000 AEP Texas Central Co. sr. notes
Ser. D, 5 1/2s, 2013 504,586
2,015,000 Alabama Power Co. sr. notes Ser. S,
5 7/8s, 2022 2,087,118
275,000 American Electric Power Co., Inc.
notes Ser. A, 6 1/8s, 2006 296,469
400,000 American Electric Power Co., Inc.
sr. notes Ser. C, 5 3/8s, 2010 421,309
475,000 Appalachian Power Co. notes 3.6s,
2008 472,109
4,845,000 Arizona Public Services Co. sr.
notes 6 3/4s, 2006 5,331,230
480,000 Carolina Power & Light Co. 1st mtge.
6 1/8s, 2033 493,456
1,760,000 CenterPoint Energy, Inc. sr. notes
Ser. B, 7 1/4s, 2010 1,890,948
1,385,000 Cleveland Electric Illuminating Co.
(The) 144A sr. notes 5.65s, 2013 1,381,179
735,000 Consumers Energy Co. bonds 6 1/4s,
2006 791,852
2,410,000 Consumers Energy Co. 144A 1st. mtge.
5 3/8s, 2013 2,445,605
975,000 Dayton Power & Light Co. (The) 144A
1st mtge. 5 1/8s, 2013 991,972
535,000 DPL, Inc. sr. notes 8 1/4s, 2007 596,525
1,140,000 DPL, Inc. sr. notes 6 7/8s, 2011 1,214,100
1,155,000 Duke Capital Corp. sr. notes Ser. A,
6 1/4s, 2005 1,205,663
3,535,000 Duke Energy Corp. 1st mtge. 5.3s,
2015 3,603,784
1,090,000 Enterprise Capital Trust II company
guaranty FRB Ser. B, 2.383s, 2028 964,798
2,270,000 Exelon Corp. sr. notes 6 3/4s, 2011 2,557,673
1,450,000 Exelon Generation Co., LLC sr. notes
6.95s, 2011 1,654,288
2,475,000 FirstEnergy Corp. notes Ser. C,
7 3/8s, 2031 2,582,920
1,055,000 Florida Power & Light Co. 1st mtge.
5.95s, 2033 1,100,971
490,000 Florida Power & Light Co. 1st mtge.
5 5/8s, 2034 488,546
2,185,000 Monongahela Power Co. 1st mtge. 5s,
2006 2,220,506
2,735,000 National Rural Utilities Cooperative
Finance Corp. coll. trust 6s, 2006 2,946,487
1,065,000 National Rural Utilities Cooperative
Finance Corp. coll. trust 3 7/8s,
2008 1,083,718
1,650,000 National Rural Utilities Cooperative
Finance Corp. coll. trust 3s, 2006 1,674,486
1,040,000 Nevada Power Co. 144A 2nd mtge. 9s,
2013 1,154,400
3,840,000 NiSource Finance Corp. company
guaranty 7 7/8s, 2010 4,604,863
1,840,000 Northern States Power Co. mtge.
Ser. B, 8s, 2012 2,268,939
820,000 Oncor Electric Delivery Co. sec.
notes 7 1/4s, 2033 946,158
1,365,000 Oncor Electric Delivery Co. sec.
notes 6 3/8s, 2012 1,507,840
1,020,000 PacifiCorp Sinking Fund 1st mtge.
5.45s, 2013 1,067,616
470,000 Panhandle Eastern Pipe Line 144A
notes 4.8s, 2008 486,419
1,715,000 Pepco Holdings, Inc. notes 5 1/2s,
2007 1,827,789
585,000 Potomac Edison Co. 1st mtge. 8s,
2024 581,344
1,431,718 Power Receivable Finance LLC 144A
sr. notes 6.29s, 2012 1,515,503
1,850,000 PP&L Capital Funding, Inc. company
guaranty Ser. D, 8 3/8s, 2007 2,106,593
555,000 Progress Energy, Inc. sr. notes
6 3/4s, 2006 601,301
2,060,000 Progress Energy, Inc. sr. notes
6.55s, 2004 2,067,978
165,000 Progress Energy, Inc. sr. notes
6.05s, 2007 178,298
7,810,000 PSI Energy, Inc. 1st mtge. Ser. EEE,
6.65s, 2006 8,512,325
570,000 Public Service Company of New Mexico
sr. notes 4.4s, 2008 580,211
1,465,000 Public Service Electric & Gas Co.
1st mtge. FRN 6 3/8s, 2008 1,617,250
375,000 Public Services Co. of Colorado sr.
notes Ser. A, 6 7/8s, 2009 426,228
510,000 Rochester Gas & Electric notes
6 3/8s, 2033 525,875
875,000 South Carolina Electric & Gas Co.
1st mtge. 5.3s, 2033 823,583
770,000 Southern California Edison Co. 1st
mtge. 6s, 2034 774,783
520,000 Southern California Edison Co. 1st
mtge. 5s, 2014 522,576
1,345,000 Southwestern Public Service Co. 144A
bonds 6s, 2033 1,349,864
660,000 Tampa Electric Co. notes 6 7/8s,
2012 734,628
835,000 TXU Energy Co. sr. notes 7s, 2013 930,997
400,000 TXU Energy Co. sr. notes 6 1/8s,
2008 427,966
1,170,000 Virginia Electric & Power Co. sr.
notes 4 3/4s, 2013 1,163,709
1,373,000 Western Resources, Inc. sr. notes
9 3/4s, 2007 1,596,113
950,000 XCEL Energy, Inc. sr. notes 3.4s,
2008 932,026
--------------
82,835,473
Electronics (0.1%)
- -------------------------------------------------------------------------------
1,710,000 Arrow Electronics, Inc. notes
6 7/8s, 2013 1,830,756
1,520,000 Jabil Circuit, Inc. sr. notes
5 7/8s, 2010 1,613,699
390,000 Motorola, Inc. notes 7 5/8s, 2010 455,689
425,000 Motorola, Inc. notes 6 3/4s, 2006 456,931
--------------
4,357,075
Energy (0.1%)
- -------------------------------------------------------------------------------
548,000 BRL Universal Equipment sec. notes
8 7/8s, 2008 593,210
650,000 Halliburton Co. notes Ser. MTN,
5 5/8s, 2008 690,033
1,300,000 Halliburton Co. 144A notes 5 1/2s,
2010 1,367,125
536,000 Pride Petroleum Services, Inc. sr.
notes 9 3/8s, 2007 552,080
1,180,000 Schlumberger Technology Corp. 144A
notes 6 1/2s, 2012 1,326,427
1,870,000 Transocean Sedco Forex, Inc. notes
6 5/8s, 2011 2,092,365
650,000 Weatherford International, Ltd.
notes 4.95s, 2013 (Bermuda) 645,501
--------------
7,266,741
Financial (1.3%)
- -------------------------------------------------------------------------------
1,310,000 Ace INA Holdings, Inc. company
guaranty 8.3s, 2006 1,479,076
6,320,000 ASIF Global Financing 144A notes
3.85s, 2007 6,436,991
1,525,000 Associates Corp. NA sr. notes Ser.
8, 7 3/8s, 2007 1,730,723
3,165,000 Associates First Capital Corp. debs.
6.95s, 2018 3,679,961
3,770,000 Associates First Capital Corp. sr.
notes 6 1/4s, 2008 4,192,368
4,065,000 Associates First Capital Corp. sub.
debs. 8.15s, 2009 4,878,939
1,250,000 AXA Financial, Inc. sr. notes
7 3/4s, 2010 1,481,865
2,125,000 CIT Group, Inc. sr. notes 5 1/2s,
2007 2,276,810
2,235,000 CIT Group, Inc. sr. notes Ser. MTN,
6 7/8s, 2009 2,526,594
1,555,000 CIT Group, Inc. sr. sub. notes
4 1/8s, 2006 1,609,616
1,925,000 Citigroup, Inc. debs. 6 5/8s, 2028 2,127,196
2,865,000 Citigroup, Inc. sub. notes 7 1/4s,
2010 3,350,615
1,545,000 Executive Risk Capital Trust company
guaranty Class B, 8.675s, 2027 1,777,158
1,300,000 Fund American Cos. Inc. notes
5 7/8s, 2013 1,323,989
1,795,000 General Electric Capital Corp.
company guaranty 7 7/8s, 2006 2,050,398
565,000 General Electric Capital Corp. notes
Ser. A, 6 3/4s, 2032 637,240
830,000 General Electric Capital Corp. notes
Ser. A, 6s, 2012 907,759
1,340,000 General Electric Capital Corp. notes
Ser. MTN, 3 1/4s, 2009 1,311,517
955,000 General Electric Capital Corp. notes
Ser. MTNA, 6 1/8s, 2011 1,056,081
890,000 Hartford Financial Services Group,
Inc. (The) sr. notes 7.9s, 2010 1,062,789
1,685,000 Hartford Life, Inc. sr. notes
7 3/8s, 2031 2,005,930
760,000 Heller Financial, Inc. notes 7 3/8s,
2009 895,009
1,370,000 ING Capital Funding Trust III
company guaranty FRB 8.439s, 2010 1,663,232
1,585,000 International Lease Finance Corp.
notes 4.35s, 2008 1,623,294
1,470,000 John Hancock Financial Services,
Inc. sr. notes 5 5/8s, 2008 1,586,552
765,000 John Hancock Global Funding II 144A
notes 7.9s, 2010 914,245
8,205,000 Liberty Mutual Insurance 144A notes
7.697s, 2097 7,814,811
680,000 Metlife, Inc. sr. notes 6 1/8s, 2011 748,566
465,000 Nationwide Financial Services, Inc.
notes 5 5/8s, 2015 488,111
375,000 Nationwide Mutual Insurance Co. 144A
notes 8 1/4s, 2031 456,634
710,000 OneAmerica Financial Partners, Inc.
144A bonds 7s, 2033 735,314
1,515,000 Principal Life Global Funding I 144A
sec. notes 5 1/4s, 2013 1,547,918
865,000 Protective Life Corp. notes 4.3s,
2013 827,289
210,000 Prudential Financial, Inc. notes
Ser. MTNB, 4 1/2s, 2013 202,383
1,745,000 Prudential Insurance Co. 144A notes
8.3s, 2025 2,160,329
1,585,000 St. Paul Co., Inc. (The) sr. notes
5 3/4s, 2007 1,705,033
935,000 State Street Capital Trust II FRN
1.68s, 2008 941,979
2,115,000 Sun Life Canada Capital Trust 144A
company guaranty 8.526s, 2049 2,506,023
565,000 Travelers Property Casualty Corp.
sr. notes 3 3/4s, 2008 569,841
1,730,000 USF&G Capital I 144A company
guaranty 8 1/2s, 2045 2,089,096
620,000 XL Capital Europe PLC company
guaranty 6 1/2s, 2012 (United
Kingdom) 678,835
--------------
78,058,109
Food (0.4%)
- -------------------------------------------------------------------------------
2,070,000 Cadbury Schweppes US Finance LLC
144A notes 3 7/8s, 2008 2,077,365
3,520,000 Campbell Soup Co. notes 6 3/4s, 2011 4,028,003
1,130,000 ConAgra, Inc. notes 7 7/8s, 2010 1,354,654
2,475,000 ConAgra, Inc. notes 6s, 2006 2,672,374
810,000 Dean Foods Co. sr. notes 8.15s, 2007 882,900
1,375,000 Hormel Foods Corp. notes 6 5/8s,
2011 1,572,952
5,245,000 Kraft Foods, Inc. notes 4 5/8s, 2006 5,497,636
2,560,000 Tyson Foods, Inc. notes 8 1/4s, 2011 2,998,546
810,000 Tyson Foods, Inc. notes 7 1/4s, 2006 887,321
790,000 Tyson Foods, Inc. notes 7s, 2018 853,978
--------------
22,825,729
Forest Products and Packaging (--%)
- -------------------------------------------------------------------------------
465,000 Packaging Corp. of America notes
5 3/4s, 2013 477,108
Gaming & Lottery (0.2%)
- -------------------------------------------------------------------------------
810,000 GTECH Holdings Corp. 144A notes
4 3/4s, 2010 829,022
935,000 International Game Technology sr.
notes 8 3/8s, 2009 1,122,819
1,330,000 International Game Technology sr.
notes 7 7/8s, 2004 1,351,695
600,000 MGM Mirage, Inc. company guaranty
9 3/4s, 2007 690,000
1,605,000 MGM Mirage, Inc. company guaranty
8 3/8s, 2011 1,845,750
1,320,000 Mohegan Tribal Gaming Authority sr.
notes 8 1/8s, 2006 1,412,400
390,000 Mohegan Tribal Gaming Authority sr.
sub. notes 8 3/8s, 2011 429,000
270,000 Mohegan Tribal Gaming Authority sr.
sub. notes 6 3/8s, 2009 281,475
740,000 Park Place Entertainment Corp. sr.
notes 7 1/2s, 2009 823,250
705,000 Park Place Entertainment Corp. sr.
sub. notes 9 3/8s, 2007 798,413
--------------
9,583,824
Health Care (--%)
- -------------------------------------------------------------------------------
265,000 HCA, Inc. sr. notes 7 7/8s, 2011 305,714
495,000 HCA, Inc. sr. notes 6.95s, 2012 541,652
--------------
847,366
Homebuilding (0.2%)
- -------------------------------------------------------------------------------
1,350,000 D.R. Horton, Inc. company guaranty
8s, 2009 1,518,750
490,000 D.R. Horton, Inc. sr. notes 6 7/8s,
2013 525,525
1,725,000 D.R. Horton, Inc. sr. notes 5 7/8s,
2013 1,725,000
2,652,000 K. Hovnanian Enterprises, Inc. sr.
notes 6 1/2s, 2014 2,665,260
20,000 Lennar Corp. company guaranty
Ser. B, 9.95s, 2010 23,025
973,000 Lennar Corp. sr. notes 7 5/8s, 2009 1,124,816
1,990,000 Pulte Homes, Inc. company guaranty
7 7/8s, 2011 2,353,931
--------------
9,936,307
Investment Banking/Brokerage (0.2%)
- -------------------------------------------------------------------------------
2,365,000 Bear Stearns Cos., Inc. (The) notes
7.8s, 2007 2,737,071
1,610,000 Goldman Sachs Group, Inc. (The)
notes 6 1/8s, 2033 1,636,354
770,000 Goldman Sachs Group, Inc. (The)
notes 4 3/4s, 2013 754,731
4,410,000 JPMorgan Chase & Co. notes 5.35s,
2007 4,727,855
500,000 JPMorgan Chase & Co. sr. notes
3 5/8s, 2008 503,532
2,700,000 JPMorgan Chase & Co. sub. notes
5 3/4s, 2013 2,891,795
540,000 Merrill Lynch & Co., Inc. notes
Ser. B, 4 3/4s, 2009 566,549
1,270,000 Morgan Stanley Tracers notes 4 1/4s,
2010 1,276,908
--------------
15,094,795
Lodging/Tourism (0.1%)
- -------------------------------------------------------------------------------
1,995,000 Cendant Corp. notes 6 1/4s, 2010 2,178,125
900,000 Hilton Hotels Corp. notes 8 1/4s,
2011 1,035,000
465,000 Hilton Hotels Corp. notes 7 5/8s,
2012 520,800
621,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 3/8s, 2007 666,023
--------------
4,399,948
Machinery (0.1%)
- -------------------------------------------------------------------------------
1,270,000 John Deere Capital Corp. sr. notes
Ser. D, 3 1/8s, 2005 1,291,759
1,720,000 Kennametal, Inc. sr. notes 7.2s,
2012 1,879,301
--------------
3,171,060
Manufacturing (--%)
- -------------------------------------------------------------------------------
265,000 Bunge Ltd. Finance Corp. company
guaranty 7.8s, 2012 308,280
420,000 Bunge Ltd. Finance Corp. notes
5 7/8s, 2013 428,791
905,000 Bunge Ltd. Finance Corp. 144A notes
4 3/8s, 2008 918,883
--------------
1,655,954
Media (0.2%)
- -------------------------------------------------------------------------------
2,325,000 Time Warner, Inc. bonds 7 5/8s, 2031 2,671,209
2,520,000 Time Warner, Inc. debs. 9.15s, 2023 3,290,493
4,090,000 Time Warner, Inc. debs. 9 1/8s, 2013 5,221,306
915,000 Time Warner, Inc. notes 8.18s, 2007 1,056,734
--------------
12,239,742
Medical Services (--%)
- -------------------------------------------------------------------------------
650,000 AmerisourceBergen Corp. company
guaranty 7 1/4s, 2012 695,500
476,000 AmerisourceBergen Corp. sr. notes
8 1/8s, 2008 533,120
1,608,000 Multicare Companies, Inc. sr. sub.
notes 9s, 2007 (In default) (NON) 2
1,446,000 Service Corp. International notes
6s, 2005 1,485,765
--------------
2,714,387
Metals (0.1%)
- -------------------------------------------------------------------------------
2,750,000 Alcoa, Inc. notes 6 1/2s, 2011 3,111,603
1,205,000 Falconbridge, Ltd. bonds 5 3/8s,
2015 (Canada) 1,206,828
575,000 WMC Finance USA company guaranty
6 1/4s, 2033 (Australia) 595,866
995,000 WMC Finance USA company guaranty
5 1/8s, 2013 (Australia) 1,003,627
--------------
5,917,924
Natural Gas Utilities (0.2%)
- -------------------------------------------------------------------------------
260,000 CenterPoint Energy Resources Corp.
debs. 8.9s, 2006 294,161
1,025,000 CenterPoint Energy Resources Corp.
notes 7 3/4s, 2011 1,148,737
1,835,000 Duke Energy Field Services, LLC
notes 7 7/8s, 2010 2,180,565
910,000 KeySpan Corp. notes 7 5/8s, 2010 1,091,336
1,860,000 Kinder Morgan, Inc. sr. notes
6 1/2s, 2012 2,065,451
545,000 National Fuel Gas Co. notes 5 1/4s,
2013 563,222
1,595,000 Sempra Energy notes 7.95s, 2010 1,898,340
590,000 TransCanada Pipelines, Ltd. notes
4s, 2013 (Canada) 554,887
--------------
9,796,699
Oil & Gas (0.4%)
- -------------------------------------------------------------------------------
565,000 Anadarko Finance Co. company
guaranty Ser. B, 6 3/4s, 2011 647,001
3,130,000 Conoco Funding Co. company guaranty
6.35s, 2011 3,526,136
2,890,000 Louis Dreyfus Natural Gas Corp.
notes 6 7/8s, 2007 3,197,649
1,140,000 MidAmerican Energy Holdings Co. sr.
notes 4 5/8s, 2007 1,180,622
245,000 MidAmerican Energy Holdings Co. sr.
notes 3 1/2s, 2008 241,411
1,780,000 Motiva Enterprises, LLC 144A sr.
notes 5.2s, 2012 1,831,458
370,000 Newfield Exploration Co. sr. notes
7 5/8s, 2011 414,400
1,000,000 Nexen, Inc. notes 7 7/8s, 2032
(Canada) 1,230,075
885,000 Nexen, Inc. notes 5.05s, 2013
(Canada) 885,220
1,910,000 Noble Affiliates, Inc. sr. notes 8s,
2027 2,254,161
1,140,000 Ocean Energy, Inc. company guaranty
7 1/4s, 2011 1,324,967
820,000 Petro-Canada, Ltd. bonds 5.35s, 2033
(Canada) 745,142
1,525,000 Phillips Petroleum Co. notes 8 3/4s,
2010 1,915,960
2,935,000 Union Oil Co. of California company
guaranty 7 1/2s, 2029 3,471,172
599,000 Vintage Petroleum, Inc. sr. notes
8 1/4s, 2012 664,890
733,000 Westport Resources Corp. company
guaranty 8 1/4s, 2011 806,300
--------------
24,336,564
Pharmaceuticals (0.1%)
- -------------------------------------------------------------------------------
2,935,000 American Home Products Corp. notes
6.95s, 2011 3,332,285
845,000 Bayer Corp. 144A FRB 6.2s, 2008 917,155
790,000 Wyeth bonds 6 1/2s, 2034 822,456
--------------
5,071,896
Power Producers (--%)
- -------------------------------------------------------------------------------
717,431 York Power Funding 144A notes 12s,
2007 (Cayman Islands) (In default)
(NON) 502,202
Railroads (0.2%)
- -------------------------------------------------------------------------------
2,180,000 CSX Corp. notes 6 1/4s, 2008 2,402,711
1,040,000 CSX Corp. notes 4 7/8s, 2009 1,076,942
1,075,000 Norfolk Southern Corp. sr. notes
7 1/4s, 2031 1,234,474
2,055,000 Union Pacific Corp. notes 7 3/8s,
2009 2,395,733
940,000 Union Pacific Corp. notes 6.65s,
2011 1,070,971
885,000 Union Pacific Corp. notes 6 5/8s,
2008 983,022
--------------
9,163,853
Real Estate (0.3%)
- -------------------------------------------------------------------------------
3,535,000 Archstone-Smith Operating Trust
notes 5s, 2007 (R) 3,715,747
650,000 CenterPoint Properties Trust notes
Ser. MTN, 4 3/4s, 2010 646,974
1,320,000 Developers Diversified Realty Corp.
notes 4 5/8s, 2010 1,319,312
1,540,000 EOP Operating LP sr. notes 7s, 2011 1,761,830
2,730,000 Franchise Finance Corp. of America
sr. notes 8 3/4s, 2010 (R) 3,454,837
1,690,000 Hospitality Properties Trust notes
6 3/4s, 2013 (R) 1,786,600
530,000 HRPT Properties Trust bonds 5 3/4s,
2014 (R) 536,209
410,000 HRPT Properties Trust sr. notes
6.7s, 2005 (R) 426,211
282,000 iStar Financial, Inc. sr. notes
8 3/4s, 2008 (R) 322,185
1,050,000 iStar Financial, Inc. sr. notes 7s,
2008 (R) 1,134,000
680,000 iStar Financial, Inc. sr. notes 6s,
2010 (R) 702,100
1,375,000 Kimco Realty Corp. notes Ser. MTNC,
5.19s, 2013 1,390,155
445,000 Rouse Co. (The) notes 5 3/8s, 2013 445,947
2,575,000 Tanger Properties, Ltd. company
guaranty 7 7/8s, 2004 2,652,250
1,045,000 Vornado Realty Trust notes 4 3/4s,
2010 1,045,868
--------------
21,340,225
Regional Bells (0.2%)
- -------------------------------------------------------------------------------
200,000 Ameritech Capital Funding company
guaranty 6 1/4s, 2009 220,228
1,020,000 Bellsouth Capital Funding notes
7 3/4s, 2010 1,208,917
440,000 SBC Communications, Inc. notes
5 7/8s, 2012 470,061
595,000 Telus Corp. notes 8s, 2011 (Canada) 701,858
1,515,000 Telus Corp. notes 7 1/2s, 2007
(Canada) 1,696,571
2,705,000 Verizon Global Funding Corp. notes
7 1/4s, 2010 3,118,175
2,045,000 Verizon New England Inc. sr. notes
6 1/2s, 2011 2,274,600
670,000 Verizon Virginia Inc. debs. Ser. A,
4 5/8s, 2013 648,622
--------------
10,339,032
Retail (0.2%)
- -------------------------------------------------------------------------------
2,035,000 Albertsons, Inc. sr. notes 7 1/2s,
2011 2,343,130
1,806,831 CVS Corp. 144A pass-through
certificates 6.117s, 2013 1,991,213
2,020,000 Federated Department Stores, Inc.
sr. notes 8 1/2s, 2010 2,505,438
1,385,000 Fred Meyer, Inc. Holding Co. company
guaranty 7.45s, 2008 1,579,738
1,333,000 JC Penney Co., Inc. notes 7.6s, 2007 1,472,965
1,190,000 RadioShack Corp. notes 7 3/8s, 2011 1,395,907
1,845,000 Sears Roebuck Acceptance FRN
Ser. MTN, 3.18s, 2004 1,846,986
335,000 Sears Roebuck Acceptance FRN
Ser. MTN, 3.07s, 2004 335,093
--------------
13,470,470
Shipping (--%)
- -------------------------------------------------------------------------------
11,184 Aran Shipping & Trading SA notes
8.3s, 2005 (Greece) (In default)
(NON) 1
Software (--%)
- -------------------------------------------------------------------------------
715,000 Computer Associates International,
Inc. sr. notes Ser. B, 6 3/8s, 2005 747,866
Technology Services (0.1%)
- -------------------------------------------------------------------------------
1,410,000 Electronic Data Systems Corp. sec.
sr. notes Ser. B, 6s, 2013 1,416,466
645,000 Fiserv, Inc. notes 4s, 2008 649,932
1,465,000 Science Applications International
Corp. notes 5 1/2s, 2033 1,357,638
--------------
3,424,036
Telecommunications (1.1%)
- -------------------------------------------------------------------------------
1,515,000 AT&T Corp. sr. notes 8 3/4s, 2031 1,771,520
1,705,000 AT&T Corp. sr. notes 8.05s, 2011 1,975,120
715,000 AT&T Wireless Services, Inc. sr.
notes 8 3/4s, 2031 906,080
3,125,000 AT&T Wireless Services, Inc. sr.
notes 7 7/8s, 2011 3,645,369
1,995,000 British Telecommunications PLC bonds
8 7/8s, 2030 (United Kingdom) 2,603,804
5,010,000 British Telecommunications PLC notes
8 3/8s, 2010 (United Kingdom) 6,074,722
4,415,000 Cingular Wireless, LLC sr. notes
5 5/8s, 2006 4,725,909
880,000 Citizens Communications Co. notes
9 1/4s, 2011 1,045,084
2,025,000 Deutsche Telekom International
Finance BV bonds 8 1/2s,
2010 (Netherlands) 2,445,827
3,545,000 Deutsche Telekom International
Finance BV company guaranty
8 3/4s, 2030 (Netherlands) 4,520,832
1,540,000 Deutsche Telekom International
Finance BV notes 5 1/4s,
2013 (Netherlands) 1,556,452
1,450,000 France Telecom notes 10s, 2031
(France) 1,910,281
3,365,000 France Telecom notes 7 3/4s, 2011
(France) 4,050,427
1,085,000 Koninklijke (Royal) KPN NV sr.
unsub. notes 8 3/8s, 2030
(Netherlands) 1,398,441
505,000 Koninklijke (Royal) KPN NV sr.
unsub. notes 8s, 2010 (Netherlands) 605,225
1,515,000 Sprint Capital Corp. company
guaranty 8 3/4s, 2032 1,839,895
2,455,000 Sprint Capital Corp. company
guaranty 7 5/8s, 2011 2,789,965
2,100,000 Sprint Capital Corp. company
guaranty 6 7/8s, 2028 2,107,169
1,355,000 Sprint Capital Corp. company
guaranty 6 1/8s, 2008 1,447,873
2,500,000 Telecom Italia Capital 144A company
guaranty 6 3/8s, 2033 (Luxembourg) 2,493,073
1,165,000 Telecom Italia Capital 144A company
guaranty 5 1/4s, 2013 (Luxembourg) 1,167,891
1,610,000 Telecom Italia Capital 144A company
guaranty 4s, 2008 (Luxembourg) 1,605,553
775,000 United States Cellular Corp. notes
6.7s, 2033 791,618
6,050,000 Verizon Wireless, Inc. notes 5 3/8s,
2006 6,467,762
2,150,000 Vodafone Group PLC notes 7 7/8s,
2030 (United Kingdom) 2,642,986
1,705,000 Vodafone Group PLC notes 7 5/8s,
2005 (United Kingdom) 1,810,204
--------------
64,399,082
Telephone (--%)
- -------------------------------------------------------------------------------
1,655,000 Telefonica Europe BV company
guaranty 7 3/4s, 2010 (Netherlands) 1,960,253
Tobacco (--%)
- -------------------------------------------------------------------------------
790,000 Philip Morris Cos., Inc. debs.
7 3/4s, 2027 870,721
Waste Management (--%)
- -------------------------------------------------------------------------------
2,245,000 Allied Waste North America, Inc. sr.
notes 7 7/8s, 2013 2,447,050
4,000 Browning-Ferris Industries, Inc.
debs. 7.4s, 2035 3,900
--------------
2,450,950
--------------
Total Corporate bonds and notes
(cost $587,732,330) $616,624,287
Collateralized mortgage obligations (5.0%) (a)
Principal amount Value
- -------------------------------------------------------------------------------
Asset Securitization Corp.
$2,000,000 Ser. 97-MD7, Class A1B, 7.41s, 2030 $2,195,304
4,670,500 Ser. 97-D5, Class A1C, 6 3/4s, 2043 5,172,150
129,407,082 Banc of America Large Loan 144A Ser.
03-BBA2, Class X1A, Interest Only
(IO), 0.82s, 2015 1,516,522
Chase Commercial Mortgage Securities Corp.
2,925,614 Ser. 00-1, Class A1, 7.656s, 2032 3,049,610
377,927 Ser. 98-1, Class A1, 6.34s, 2030 384,186
4,937,500 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class A3, 6.57s, 2007 5,394,990
9,485,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2011 10,685,445
3,385,000 Criimi Mae Commercial Mortgage Trust
144A Ser. 98-C1, Class B, 7s, 2033 3,505,243
1,460,143 Entertainment Properties Trust 144A
Ser. 03-EPR, Class A1, 4.239s, 2018 1,461,975
Fannie Mae
3,526,000 Ser. 04-10, Class QC, 28.6s, 2034 4,429,538
2,966,385 Ser. 02-36, Class SJ, 17 3/8s, 2029 3,298,338
1,000 Ser. 92-15, Class L, IO, 10.37s,
2022 12,902
344,095 Ser. 02-T18, Class A4, 7 1/2s, 2042 376,582
2,944,393 Ser. 03-W3, Class 1A3, 7 1/2s, 2042 3,222,382
3,736,418 Ser. 02-T16, Class A3, 7 1/2s, 2042 4,089,185
3,525,256 Ser. 02-T19, Class A3, 7 1/2s, 2042 3,858,086
1,330,182 Ser. 03-W2, Class 1A3, 7 1/2s, 2042 1,455,768
6,524,750 Ser. 02-W4, Class A5, 7 1/2s, 2042 7,140,772
781,800 Ser. 02-W1, Class 2A, 7 1/2s, 2042 855,612
2,109,639 Ser. 02-14, Class A2, 7 1/2s, 2042 2,308,816
6,521,273 Ser. 01-T10, Class A2, 7 1/2s, 2041 7,136,966
1,279,125 Ser. 02-T4, Class A3, 7 1/2s, 2041 1,399,892
4,089,621 Ser. 01-T12, Class A2, 7 1/2s, 2041 4,475,734
4,662,338 Ser. 01-T8, Class A1, 7 1/2s, 2041 5,102,523
8,267,462 Ser. 01-T7, Class A1, 7 1/2s, 2041 9,048,019
448,529 Ser. 01-T3, Class A1, 7 1/2s, 2040 490,876
1,363,642 Ser. 01-T1, Class A1, 7 1/2s, 2040 1,492,388
546,793 Ser. 99-T2, Class A1, 7 1/2s, 2039 598,417
5,227,194 Ser. 00-T6, Class A1, 7 1/2s, 2030 5,720,710
125,178 Ser. 01-T5, Class A3, 7 1/2s, 2030 136,996
11,016,534 Ser. 01-T4, Class A1, 7 1/2s, 2028 12,056,639
1,695,782 Ser. 02-W3, Class A5, 7 1/2s, 2028 1,855,885
6,427,152 Ser. 02-36, Class QH, IO, 6.95s,
2029 410,566
540,378 Ser. 02-27, Class SQ, IO, 6.9s, 2032 11,314
8,747,551 Ser. 03-58, Class ID, IO, 6s, 2033 1,656,567
10,399,080 Ser. 03-63, Class IP, IO, 6s, 2033 2,141,561
30,357,878 Ser. 03-22, IO, 6s, 2033 6,147,470
6,157,479 Ser. 343, Class 14, IO, 5 1/2s, 2033 1,296,919
6,423,418 Ser. 343, Class 15, IO, 5 1/2s, 2033 1,358,954
2,941,378 Ser. 343, Class 17, IO, 5 1/2s, 2033 635,154
19,500,680 Ser. 329, Class 2, IO, 5 1/2s, 2033 4,332,817
48,300 Ser. 03-29, Class IG, IO, 5 1/2s,
2031 14,890
8,487,000 Ser. 03-8, Class IP, IO, 5 1/2s,
2028 864,374
6,932,316 Ser. 03-42, Class JI, IO, 5 1/2s,
2028 571,916
37,958,350 Ser. 03, Class PK, IO, 5 1/2s, 2026 3,143,426
7,261,826 Ser. 03-54, Class IY, IO, 5 1/2s,
2026 1,000,770
386,500 Ser. 03-17, IO, 5 1/2s, 2025 36,234
7,059,851 Ser. 343, Class 29, IO, 5s, 2033 1,090,968
11,778,560 Ser. 343, Class 5, IO, 5s, 2033 2,644,655
13,162,443 Ser. 343, Class 9, IO, 5s, 2033 3,087,004
4,720,609 Ser. 03-16, Class IC, IO, 5s, 2015 871,118
25,176,432 Ser. 03-W12, Class 2, IO, 2.24s,
2043 1,783,626
46,506,984 Ser. 03-W6, Class 11, IO, 2.16s,
2042 1,051,446
9,059,745 Ser. 03-W3, Class 2IO2, IO, 2.16s,
2042 219,111
18,700,987 Ser. 03-W10, Class 3, IO, 2.09s,
2043 1,154,202
74,920,921 Ser. 03-W10, Class 1, IO, 2.08s,
2043 4,495,255
42,482,970 Ser. 03-W6, Class 21, IO, 1.78s,
2042 624,564
4,259,654 Ser. 03-W10, Class 1A1, 1.701s, 2032 4,252,998
80,535,743 Ser. 03-W8, Class 12, IO, 1.65s,
2042 4,084,895
119,854,258Ser. 03-T2, Class 2, IO, 1 1/2s,
2042 3,630,462
61,986,338 Ser. 03-W8, Class 11, IO, 1.19s,
2042 852,903
35,152,856 Ser. 03-49, Class SV, IO, 1s, 2033 1,136,975
32,611,586 Ser. 03-W6, Class 51, IO, 0.67s,
2042 618,663
9,773,873 Ser. 03-W3, Class 2IO1, IO, 0.67s,
2042 206,390
77,334,270 Ser. 01-T12, Class IO, 0.57s, 2041 1,377,517
69,588,265 Ser. 03-W2, Class 1, IO, 0.47s, 2042 1,029,456
26,416,042 Ser. 02-T4, IO, 0.448s, 2041 367,348
87,671,437 Ser. 03-W3, Class 1, IO, 0.44s, 2042 1,190,616
63,884,820 Ser. 02-T1, IO, 0.42s, 2031 858,452
45,575,451 Ser. 03-W4, Class 3A, IO, 0.38s,
2042 662,268
48,281,056 Ser. 03-W6, Class 3, IO, 0.37s, 2042 527,900
49,760,630 Ser. 03-W6, Class 23, IO, 0.35s,
2042 522,539
12,546,863 Ser. 01-79, Class BI, IO, 0.342s,
2045 124,214
Federal Home Loan Mortgage Corp.
Structured Pass-Through Securities
1,729,944 Ser. T-58, Class 4A, 7 1/2s, 2043 1,893,273
1,275,983 Ser. T-42, Class A5, 7 1/2s, 2042 1,396,453
1,676,468 Ser. 212, IO, 6s, 2031 271,640
30,756,117 Ser. T-56, Class A, IO, 1.95s, 2043 879,433
38,710,226 Ser. T-56, Class 3, IO, 0.38s, 2043 502,023
42,758,434 Ser. T-56, Class 1, IO, 0.28s, 2043 374,136
44,267,752 Ser. T-56, Class 2, IO, 0.06s, 2043 138,337
15,802,000 FFCA Secured Lending Corp. 144A Ser.
00-1, Class A2, 7.77s, 2027 17,761,722
1,930,000 First Chicago Lennar Trust 144A Ser.
97-CHL1, Class D, 7.961s, 2039 2,020,771
6,670,000 First Union-Lehman Brothers
Commercial Mortgage Trust II Ser.
97-C1, Class A3, 7.38s, 2029 7,371,391
Freddie Mac
8,442,902 Ser. 2437, Class SB, IO, 6.9s, 2032 865,397
247,751 Ser. 2422, Class IB, IO, 6 1/2s,
2028 1,316
6,651,533 Ser. 2469, Class SH, IO, 6.4s, 2032 615,267
7,242,381 Ser. 2581, Class IE, IO, 5 1/2s,
2025 1,213,099
573,325 Ser. 2626, Class JS, IO, 5 1/2s,
2023 51,241
6,981,900 Ser. 2553, Class IJ, IO, 5 1/2s,
2020 440,732
1,020,751 G-Force FRB Ser. 01-1A, Class A,
1.7s, 2033 (Cayman Islands) 1,020,706
G-Force CDO, Ltd. 144A
715,000 Ser. 02-1A, Class E, 8 1/4s, 2037 727,513
315,000 Ser. 02-1A, Class D, 7.61s, 2037 336,755
4,463,816 General Growth Properties-Mall
Properties Trust FRB Ser.
01-C1A, Class D3, 3.35s, 2014 4,469,396
9,408,000 GMAC Commercial Mortgage Securities,
Inc. Ser. 97-C2, Class A2, 6.55s,
2029 9,603,936
408,231 Government National Mortgage
Association Ser. 98-2, Class
EA, Principal Only (PO), zero %,
2028 358,159
Granite Mortgages PLC
2,970,000 FRN Ser. 01-1, Class 1C, 2.52s, 2041
(United Kingdom) 2,983,922
1,619,000 FRB Ser. 04-1, Class 1C, 2.008s,
2044 1,619,000
565,000 GS Mortgage Securities Corp. II 144A
FRB Ser. 03-FL6A, Class L, 4.35s,
2015 565,177
13,365,000 Holmes Financing PLC FRB Ser. 1,
Class 2C, 2.27s, 2040 (United
Kingdom) 13,314,213
60,644 Housing Securities Inc. Ser. 94-1,
Class AB1, 6 1/2s, 2009 59,781
13,094,564 JP Morgan Commercial Mortgage
Finance Corp. Ser. 00-C9, Class
A1, 7.59s, 2032 13,994,160
1,688,286 Lehman Brothers Floating Rate
Commercial Mortgage Trust 144A
FRB Ser. 03-C4, Class A, 1.71s, 2015 1,688,286
7,557,870 Merit Securities Corp. FRB Ser.
11PA, Class 3A1, 1.761s, 2027 7,215,995
Merrill Lynch Mortgage Investors, Inc.
248,250 Ser. 96-C2, Class A3, 6.96s, 2028 269,662
214,320 Ser. 98-C2, Class A1, 6.22s, 2030 218,070
1,470,151 Morgan Stanley Dean Witter Capital I
Ser. 00-LIF2, Class A1, 6.96s, 2008 1,622,831
Morgan Stanley Dean Witter Capital I
144A
645,206 FRB Ser. 01-XLF, Class D, 2.64s,
2013 645,615
719,091 FRB Ser. 01-XLF, Class E, 2.59s,
2013 719,230
4,432,000 Nomura Asset Securities Corp. Ser.
96-MD5, Class A1B, 7.12s, 2039 4,789,343
Ryland Mortgage Securities Corp.
388,417 Ser. 94-7C, Class B1, 7.359s, 2025 388,417
479,628 Ser. 94-7C, Class B1, 7.359s, 2025 490,092
20,765,000 Salomon Brothers Mortgage Securities
VII 144A Ser. 03-CDCA, Class X3CD,
IO, 1.32s, 2015 526,497
1,767,000 Starwood Asset Receivables Trust FRN
Ser. 02-1A, Class F, 2. 435s, 2020 1,771,418
Starwood Asset Receivables Trust
144A
650,000 FRB Ser. 03-1A, Class F, 2.2s, 2022 651,625
825,000 FRB Ser. 03-1A, Class E, 2.15s, 2022 827,063
Structured Asset Securities Corp.
144A
2,800,000 FRB Ser. 03-NP2, Class A2, 1.65s,
2032 2,796,063
3,020,805 FRN Ser. 03-NP3, Class A1, 1.60s,
2033 3,020,805
1,120,774 TIAA Commercial Real Estate
Securitization Ser. 01-C1A, Class
A1, 5.77s, 2016 (Cayman Islands) 1,179,440
9,115,339 TIAA Real Estate CDO, Ltd. 144A Ser.
99-1, Class A, 7.17s, 2032 (Cayman
Islands) 9,903,162
718,000 Trizechahn Office Properties Trust
144A Ser. 01-TZHA, Class D3, 6.943s,
2013 770,869
--------------
Total Collateralized mortgage
obligations (cost $299,645,796) $300,360,360
Asset-backed securities (4.8%) (a)
Principal amount Value
- -------------------------------------------------------------------------------
$893,000 AABST 144A Ser. 04-1N, 5s, 2034 $893,000
Aames Mortgage Trust
17,187,000 Ser. 03-1, Class A, IO, 6s, 2005 996,202
1,504,000 FRN Ser. 03-1, Class M6, 4.1s, 2033 1,431,268
845,629 ABSC NIMS Trust 144A Ser. 03-HE7,
Class A, 7s, 2033 830,831
6,157,000 Ace Securities Corp. Ser. 03-FM1,
Class A, IO, 5 1/2s, 2005 421,139
3,338,801 Advanta Mortgage Loan Trust Ser.
00-1, Class A4, 8.61s, 2028 3,521,392
7,496,628 AFC Home Equity Loan Trust Ser.
99-2, Class 1A, 1.51s, 2029 7,496,628
Ameriquest Mortgage Securities, Inc.
8,194,000 Ser. 03-12, Class S, IO, 5s, 2006 547,974
13,296,000 Ser. 03-6, Class S, IO, 5s, 2005 674,149
9,090,000 Ser. 03-8, Class S, IO, 5s, 2006 580,851
391,000 FRB Ser. 02-4, Class M4, 4.85s, 2033 364,737
1,575,000 FRB Ser. 03-10, Class MV6, 4.85s,
2033 1,307,250
560,000 FRB Ser. 03-AR3, Class M5, 4.85s,
2033 587,037
496,000 FRB Ser. 03-1, Class M4, 4.18s, 2033 439,067
Amortizing Residential Collateral
Trust
11,830,727 Ser. 01-BC6, Class A, IO, 6s, 2004 341,492
18,147,273 Ser. 02-BC1, Class A, IO, 6s, 2005 343,400
21,121,545 Ser. 02-BC10, Class A, IO, 6s, 2004 684,080
28,595,454 Ser. 02-BC3, Class A, IO, 6s, 2005 963,906
457,752 Ser. 02-BC3N, Class B2, 7s, 2032 453,417
17,384,727 Ser. 02-BC5, Class A, IO, 6s, 2004 502,763
24,897,727 Ser. 02-BC6, Class A, IO, 6s, 2004 525,740
27,681,818 Ser. 02-BC7, Class AIO, IO, 6s, 2004 721,147
19,114,454 Ser. 02-BC9, Class A, IO, 6s, 2004 685,925
1,465,000 FRN Ser. 02-BC1, Class M2, 2.2s,
2032 1,455,672
683,000 FRN Ser. 02-BC5, Class B, 3.35s,
2032 666,992
1,342,000 FRN Ser. 02-BC7, Class B3, 3.1s,
2032 1,212,623
AQ Finance NIM Trust 144A
1,155,158 Ser. 03-N7A, Class NOTE, 9.07s, 2033 1,160,212
546,952 Ser. 03-N9A, Class NOTE, 7.385s,
2033 546,952
Arc Net Interest Margin Trust
483,214 Ser. 02-2, Class A, 7 3/4s, 2032 482,409
113,487 Ser. 02-5A, Class A, 7 3/4s, 2032 112,757
305,575 Arc Net Interest Margin Trust 144A
Ser. 02-1A, Class A, 7 3/4s, 2032 305,522
1,283,000 Arcap REIT, Inc. 144A Ser. 03-1A,
Class E, 6.33s, 2038 1,331,714
466,000 Argent NIM Trust Ser. 03-N8, Class
A, 5.56s, 2034 465,953
836,812 Argent NIM Trust 144A Ser. 03-N6,
Class A, 6.4s, 2034 832,628
Argent Securities, Inc.
35,919,075 Ser. 03-W2, Class A, IO, 1.56s, 2004 218,029
720,000 FRB Ser. 03-W6, Class M3, 4.6s, 2034 577,575
Asset Backed Funding Certificates
24,361 Ser. 02-NC1, Class N1, 8.84s, 2032 24,369
1,457,000 FRB Ser. 02-OPT1, Class M3, 2 1/2s,
2032 1,457,000
18,931 Asset Backed Funding Corp. NIM Trust
Ser. 02-WF1, Class NOTE, 9.32s,
2032 18,931
Asset Backed Funding Corp. NIM Trust
144A
796,173 Ser. 03-OPT1, Class NOTE, 6.9s, 2033 796,173
1,102,362 Ser. 03-WF1, Class N1, 8.35s, 2032 1,102,362
Asset Backed Securities Corp. Home
Equity Loan Trust
41,213,000 Ser. 02-HE1, Class A, IO, 3.6s, 2032 600,269
12,549,485 Ser. 03-HE5, Class A, IO, 4s, 2033 604,879
1,273,000 FRB Ser. 03-HE1, Class M4, 5.6s,
2033 1,295,313
1,032,000 FRB Ser. 04-HE1, Class A3, 1.55s,
2034 1,031,999
1,353,000 FRB Ser. 02-HE2, Class M2, 2.23s,
2032 1,336,142
931,000 FRB Ser. 03-HE3, Class M5, 5.1s,
2033 936,632
1,102,629 Aviation Capital Group Trust 144A
FRB Ser. 03-2A, Class G1, 1.8s,
2033 1,102,629
7,219,000 Bank One Issuance Trust FRN Ser.
02-C1, Class C1, 2.06s, 2009 7,175,855
Bayview Financial Acquisition Trust
2,947,485 Ser. 02-CA, Class A, IO, 5.7s, 2004 87,043
16,146,090 Ser. 03-DA, IO, 4s, 2006 832,533
15,992,000 Ser. 03-E, Class A, IO, 4s, 2006 812,394
68,726,019 Ser. 03-X, Class A, IO, 1.36s, 2006 1,073,844
4,813,000 FRB Ser. 03-G, Class A1, 1.7s, 2039 4,813,000
2,504,276 FRN Ser. 01-DA, Class M3, 2 1/2s,
2031 2,512,101
5,724,115 FRN Ser. 03-F, Class A, 1.60s, 2043 5,726,799
8,477,891 Bayview Financial Acquisition Trust
144A Ser. 03-CA, Class A, IO, 4s,
2005 399,314
200,352,000 Bayview Financial Asset Trust Ser.
03-Z, Class A, IO, 5 1/2s, 2005 1,270,973
Bayview Financial Asset Trust 144A
2,471,324 FRB Ser. 03-SSRA, Class A, 1.8s,
2038 2,469,841
2,930,093 FRB Ser. 03-SSRA, Class M, 2.45s,
2038 2,928,335
Bear Stearns Asset Backed Securities, Inc.
11,341,000 Ser. 03-AC1, Class A, IO, 5s, 2005 703,496
11,241,000 Ser. 03-AC4, Class A, IO, 5s, 2006 918,600
2,229,000 FRB Ser. 03-3, Class A2, 1.69s, 2043 2,229,000
2,446,357 FRN Ser. 03-1, Class A1, 1.6s, 2042 2,446,357
2,715,000 Capital One Master Trust 144A FRN
Ser. 01-5, Class C, 2 1/4s, 2009 2,715,000
Capital One Multi-Asset Execution
Trust
1,300,000 Ser. 04-C1, Class C1, 3.4s, 2009 1,293,500
570,000 FRB Ser. 02-C1, Class C1, 3.85s,
2010 601,083
2,153,000 FRN Ser. 03-C1, Class C1, 3.65s,
2011 2,272,761
3,105,000 CDO Repackaging Trust Series 144A
FRB Ser. 03-2, Class A, 5.29s, 2008 3,182,625
Chase Credit Card Master Trust
4,510,000 FRB Ser. 02-2, Class C, 2s, 2007 4,531,603
1,550,000 FRN Ser. 01-1, Class C, 1.824s, 2007 1,552,422
Chase Funding Net Interest Margin
144A
466,649 Ser. 03-3A, Class NOTE, 6 7/8s, 2036 467,816
1,532,945 Ser. 03-5A, Class NOTE, 5 3/4s, 2034 1,532,026
173,794 Ser. 03-6A, Class NOTE, 5s, 2035 173,585
1,253,163 Ser. 03-C1A, Class NOTE, 6 3/4s,
2036 1,255,544
3,002,000 Citibank Credit Card Issuance Trust
FRN Ser. 01-C1, Class C1, 2.2s,
2010 3,043,747
Conseco Finance Securitizations Corp.
17,670,000 Ser. 00-4, Class A6, 8.31s, 2032 14,391,688
8,310,000 Ser. 01-04, Class A4, 7.36s, 2019 7,743,050
6,235,000 Ser. 01-3, Class A4, 6.91s, 2033 5,653,419
3,810,000 Ser. 01-4, Class B1, 9.4s, 2010 381,000
10,727,794 Ser. 02-1, Class A, 6.681s, 2032 10,915,892
4,582,000 Ser. 02-1, Class M2, 9.546s, 2032 2,291,000
9,932,031 Ser. 02-2, Class A, IO, 8 1/2s, 2010 2,996,957
26,921,696 Conseco Recreational Enthusiast
Consumer Trust Ser. 01-A, Class
AP, IO, 5s, 2025 813,494
3,061,000 Consumer Credit Reference IDX
Securities FRB Ser. 02-1A, Class
A, 3.17s, 2007 3,112,241
517,000 Countrywide Asset Backed
Certificates FRB Ser. 03-BC4, Class
B, 4.6s, 2032 516,354
641,708 Countrywide Asset Backed
Certificates 144A Ser. 03-5NF, Class
NF, 6 3/4s, 2034 642,991
516,000 Countrywide Asset-Backed
Certificates FRB Ser. 03-4, Class B,
4.6s, 2032 508,260
814,679 Credit-Based Asset Servicing and
Securitization 144A Ser.
03-CB2N, Class NOTE, 8.35s, 2033 815,442
1,617,000 Crest, Ltd. 144A Ser. 03-2A, Class
D2, 6.723s, 2038 1,617,000
First Franklin Mortgage Loan Asset
Backed Certificates
6,772,630 Ser. 02-FF3, Class A, IO, 6s, 2004 129,027
31,428,000 Ser. 03-FF3, Class A, IO, 6s, 2005 1,318,340
12,457,636 Ser. 03-FFB, Class A, IO, 6s, 2005 763,819
567,880 First Franklin NIM Trust 144A Ser.
03-FF3A, Class A, 6 3/4s, 2033 565,675
458,445 First Plus 144A Ser. 98-A, Class A,
8 1/2s, 2023 343,833
2,034,509 First Plus Home Loan Trust Ser.
97-3, Class B1, 7.79s, 2023 2,033,402
616,000 Fort Point CDO, Ltd. FRN Ser. 03-2A,
Class A2, 2.215s, 2038 616,000
2,000,000 Foxe Basin, Ltd. FRB Ser. 2003-1A,
Class A1, 1.724s, 2015 2,000,000
939,000 G-Force CDO, Ltd. 144A Ser. 03-1A,
Class E, 6.58s, 2038 947,216
308,000 G-Star, Ltd. 144A FRN Ser. 02-2A,
Class BFL, 3.1s, 2037 306,031
470,000 Goldentree Loan Opportunities II,
Ltd. 144A FRN Ser. 2A, Class
4, 4.37s, 2015 (Cayman Islands) 470,000
Green Tree Financial Corp.
496,331 Ser. 99-3, Class A5, 6.16s, 2031 503,155
16,750,000 Ser. 99-5, Class A5, 7.86s, 2030 14,415,245
848,000 GSAMP Trust FRB Ser. 03-HE1, Class
B2, 5.1s, 2033 760,259
760,348 GSAMP Trust 144A Ser. 03-HE1N, Class
NOTE, 7 1/4s, 2033 760,500
Home Equity Asset Trust
324,632 Ser. 02-1N, Class A, 8s, 2032 323,009
1,160,000 FRB Ser. 03-4, Class B3, 5.60s, 2033 1,190,612
1,515,000 FRN Ser. 02-1, Class M2, 2 1/2s,
2032 1,500,253
Home Equity Asset Trust 144A
760,552 Ser. 03-4N, Class A, 8s, 2033 752,946
1,147,051 Ser. 03-5N, Class A, 7 1/2s, 2034 1,135,581
35,938,014 Lehman Manufactured Housing Ser.
98-1, Class 1, IO, 0.81s, 2028 868,625
5,220,000 LNR CDO, Ltd. FRB Ser. 02-1A, Class
FFL, 3.85s, 2037 (Cayman Islands) 4,955,868
2,585,000 LNR CDO, Ltd. 144A FRB Ser. 03-1A,
Class EFL, 4.1s, 2036 (Cayman
Islands) 2,588,878
872,551 Long Beach Asset Holdings Corp. NIM
Trust 144A Ser. 03-4, Class
N1, 6.535s, 2033 872,278
Long Beach Mortgage Loan Trust
848,000 FRB Ser. 03-3, Class M4, 4.60s, 2033 699,600
1,162,000 FRB Ser. 03-4, Class M6, 5.1s, 2033 990,242
Madison Avenue Manufactured Housing
Contract
237,103,022 Ser. 02-A, 0.3s, 2032 2,704,456
4,059,503 FRB Ser. 02-A, Class B1, 4.35s, 2032 2,638,677
2,877,301 Marriott Vacation Club Owner Trust
144A FRB Ser. 02-1A, Class A1, 1.8s,
2010 2,876,940
456,000 Master Asset Backed Securities Trust
FRB Ser. 03-NC1, Class M6, 5.1s,
2033 456,000
MBNA Credit Card Master Note Trust
1,720,000 Ser. 02-C5, Class C5, 4.05s, 2008 1,757,840
3,412,000 FRB Ser. 01-C1, Class C1, 2.15s,
2008 3,435,202
1,299,000 MBNA Master Credit Card Trust 144A
FRN Ser. 99-C, Class C, 1.9s, 2006 1,299,779
499,144 Merrill Lynch Mortgage Investors,
Inc. Ser. 03-WM3N, Class N1, 8s,
2005 494,453
1,017,609 Merrill Lynch Mortgage Investors,
Inc. 144A Ser. 03-OP1N, Class
N1, 7 1/4s, 2034 1,015,079
Mid-State Trust
1,048,273 Ser. 10, Class B, 7.54s, 2036 754,757
565,763 Ser. 11, Class B, 8.221s, 2038 538,006
3,209,000 MNIMS 144A 4.458s, 2034 3,209,000
1,039,000 Morgan Stanley Capital I FRB Ser.
03-HE1, Class B3, 4.85s, 2033 951,724
Morgan Stanley Dean Witter Capital I
1,470,000 FRN Ser. 01-NC3, Class B1, 3.55s,
2031 1,415,853
1,194,000 FRN Ser. 01-NC4, Class B1, 3.6s,
2032 1,146,164
1,965,000 FRN Ser. 02-AM2, Class B1, 3.35s,
2032 1,833,092
1,207,000 FRN Ser. 02-HE1, Class B1, 2.9s,
2032 1,194,458
1,168,000 Navigator CDO, Ltd. 144A FRB Ser.
03-1A, Class A1, 1.69s, 2015 1,168,000
1,284,655 NC Finance Trust 144A Ser. 03-2,
Class NOTE, 9s, 2033 1,297,903
New Century Home Equity Loan Trust
1,734,000 Ser. 03-5, Class AI7, 5.15s, 2033 1,744,567
1,455,000 FRN Ser. 03-2, Class M4, 4.7s, 2033 1,273,125
New Century Mortgage Corp. NIM Trust
144A
935,888 Ser. 03-5, Class NOTE, 8s, 2033 944,954
757,269 Ser. 03-B, Class NOTE, 6 1/2s, 2033 759,162
624,000 Newcastle CDO, Ltd. 144A FRB Ser.
3A, Class 4FL, 4.341s, 2038 620,880
153,429 NNIMS 144A Ser. 03-N1, 7.385s, 2033 153,429
Option One Mortgage Loan Trust
606,000 FRB Ser. 03-5, Class M6, 4.6s, 2033 558,348
1,538,000 FRB Ser. 03-6, Class M6, 4.6s, 2033 1,384,200
676,000 FRN Ser. 02-6, Class M4, 4.1s, 2032 659,100
Option One Mortgage Securities Corp.
144A
31,313 Ser. 02-1, Class CTFS, 6 3/4s, 2032 31,181
805,723 Ser. 03-5, Class NOTE, 6.9s, 2033 805,723
100,071 Option One Mortgage Securities Corp.
NIM Trust 144A Ser. 2003-2B, Class
N1, 7.63s, 2033 (Cayman Islands) 100,697
Pass-Through Amortizing Credit Card
Trust
1,137,486 Ser. 02-1A, Class A3FL, 4.1s, 2012 1,141,817
1,911,056 Ser. 02-1A, Class A4FL, 6.6s, 2012 1,918,220
62,122,000 Renaissance Home Equity Loan Trust
Ser. 03-4, Class S, IO, 3s, 2006 1,164,788
7,361,129 Residential Asset Securities Corp.
Ser. 02-KS6, Class AIO, IO, 4 1/2s,
2005 233,628
Residential Funding Mortgage
Securities II
24,897,672 Ser. 03-HS1, Class AI, IO, 5 1/2s,
2033 1,287,210
7,581,333 Ser. 03-HS2, Class AI, IO, 5 1/2s,
2005 415,789
8,754,000 Ser. 03-HS3, Class AI, IO, 5s, 2006 471,841
6,449,000 Restructured Asset Securities 144A
FRN Ser. 03-3A, Class A1, 1.776s,
2022 6,376,449
1,190,233 SAIL Net Interest Margin Notes Ser.
03-4, Class A, 7 1/2s, 2033 (Cayman
Islands) 1,188,924
SAIL Net Interest Margin Notes 144A
954,431 Ser. 03-BC2A, Class A, 7 3/4s, 2033 951,657
455,069 Ser. 03-12A, Class A, 7.35s, 2033 454,931
647,032 Ser. 03-6A, Class A, 7s, 2033 642,222
332,536 Ser. 03-7A, Class A, 7s, 2033 330,069
694,005 Ser. 03-8A, Class A, 7s, 2033 690,512
194,891 Ser. 03-9A, Class A, 7s, 2033 193,878
606,615 Ser. 03-13A, Class A, 6 3/4s, 2033 605,837
Sasco Arc Net Interest Margin Notes
144A
405,400 Ser. 03-3, Class A, 7 3/4s, 2033 403,365
148,734 Ser. 03-5, Class A, 7.35s, 2033
(Cayman Islands) 148,690
261,975 Ser. 03-AM1, Class A, 7 3/4s, 2033 260,698
750,275 Saxon Net Interest Margin Trust 144A
Ser. 03-A, Class A, 6.656s, 2033 754,027
769,797 SHARP Ser. 03-NC1N, Class N, 7 1/4s,
2033 770,513
SHARP 144A
644,000 Ser. 03-HE1N, 6.9s, 2033 643,936
391,015 Ser. 03-TC1N, 7 3/4s, 2033 391,015
470,000 South Coast Funding FRB Ser. 3A,
Class A2, 2.37s, 2038 470,000
Structured Asset Investment Loan
Trust
22,498,000 Ser. 03-BC10, Class A, IO, 6s, 2005 978,030
63,685,000 Ser. 03-BC11, Class A, IO, 6s, 2005 3,466,568
12,553,000 Ser. 03-BC12, Class A, IO, 6s, 2005 659,439
38,184,000 Ser. 03-BC13, Class A, IO, 6s, 2005 2,005,899
105,510 Ser. 03-BC1A, Class A, 7 3/4s, 2033 104,997
45,129,361 Ser. 03-BC2, Class A, IO, 6s, 2005 2,036,423
26,693,968 Ser. 03-BC3, Class A, IO, 6s, 2004 901,908
12,082,904 Ser. 03-BC4, Class A, IO, 6s, 2004 388,397
22,050,014 Ser. 03-BC5, Class A, IO, 6s, 2004 708,781
48,537,000 Ser. 03-BC6, Class A, IO, 6s, 2005 2,352,204
10,521,000 Ser. 03-BC8, Class A, IO, 6s, 2005 610,070
12,788,000 Ser. 03-BC9, Class A, IO, 6s, 2005 618,721
46,153,000 Ser. 04-1, Class A, IO, 6s, 2005 3,195,449
1,208,000 FRB Ser. 03-BC4, Class B, 4.6s, 2033 1,215,550
669,000 FRB Ser. 03-BC9, Class B, 4.1s, 2033 669,000
870,000 FRN Ser. 03-BC5, Class B, 4.6s, 2033 878,462
662,000 FRN Ser. 03-BC8, Class B, 4.1s, 2033 662,000
Structured Asset Securities Corp.
15,315,364 Ser. 02-BC1, Class A, IO, 6s, 2004 549,594
8,960,155 Ser. 98-RF3, Class A, IO, 6.1s, 2028 1,519,463
1,343,000 FRN Ser. 02-HF2, Class M3, 3.1s,
2032 1,242,275
1,698,000 TIAA Commercial Real Estate
Securitization 144A Ser. 03-1A,
Class E, 8s, 2038 1,549,956
538,000 Whole Auto Loan Trust Ser. 03-1,
Class C, 3.13s, 2010 535,898
3,342,000 Whole Auto Loan Trust 144A Ser.
03-1, Class D, 6s, 2010 3,329,468
--------------
Total Asset-backed securities
(cost $308,555,627) $289,530,827
Convertible preferred stocks (0.7%) (a)
Number of shares Value
- -------------------------------------------------------------------------------
113,416 Ford Motor Company Capital Trust II
$3.25 cum. cv. pfd. $6,110,287
50,309 Hartford Financial Services Group,
Inc. (The) $3.50 cv. pfd. 3,182,044
113,181 Hartford Financial Services Group,
Inc. (The) zero % cv. pfd. 7,017,222
204,000 Xerox Corp. 6.25% cv. pfd. 27,744,000
--------------
Total Convertible preferred stocks
(cost $34,346,519) $44,053,553
Convertible bonds and notes (0.4%) (a)
Principal amount Value
- -------------------------------------------------------------------------------
$254,300 CenterPoint Energy, Inc. cv. sub
notes FRN 2s, 2029 $8,423,688
5,062,000 Rite Aid Corp. cv. notes 4 3/4s,
2006 5,909,885
9,650,000 Service Corp. International cv. sub.
notes 6 3/4s, 2008 10,783,875
--------------
Total Convertible bonds and notes
(cost $20,822,399) $25,117,448
Municipal bonds and notes (0.1%) (a)
Principal amount Rating (RAT) Value
- -------------------------------------------------------------------------------
$2,765,000 IL State G.O. Bonds (Taxable
Pension), 5.1s, 6/1/33 Aa3 $2,595,727
1,120,000 NJ State Tpk. Auth. Rev. Bonds,
Ser. B, AMBAC, 4.252s, 1/1/16 Aaa 1,074,595
1,320,000 OR State G.O. Bonds (Taxable
Pension), 5.892s, 6/1/27 Aa3 1,388,878
--------------
Total Municipal bonds and notes
(cost $5,205,000) $5,059,200
Expiration
Purchased options outstanding (--%) (a) date/
Contract amount strike price Value
- -------------------------------------------------------------------------------
165,516 BellSouth Corp. (Call) Apr-04/$29.35 $181,174
362,436 SBC Communications, Inc. (Call) Apr-04/$26.74 232,974
134,974 Verizon Communications, Inc. (Call) Apr-04/$36.17 237,473
--------------
Total Purchased options outstanding
(cost $504,946) $651,621
Preferred stocks (--%) (a) (cost $--)
Number of shares Value
- -------------------------------------------------------------------------------
6 PTV, Inc. Ser.A, $5.00 cum. pfd. $21
Short-term investments (14.9%) (a)
Principal amount Value
- -------------------------------------------------------------------------------
$48,009,389 Short-term investments held as
collateral for loaned securities
with yields ranging from 1.00% to
1.05% and a due date of February 2,
2004 (d) $48,006,611
850,058,108 Short-term investments held in
Putnam commingled cash account with
yields ranging from 0.85% to 1.13%
and due dates ranging from February
2, 2004 to March 30, 2004 (d) 850,058,108
--------------
Total Short-term investments
(cost $898,064,719) $898,064,719
- -------------------------------------------------------------------------------
Total Investments
(cost $6,460,475,803) $7,316,765,398
- -------------------------------------------------------------------------------
(a) Percentages indicated are based on net assets of $6,028,800,181.
(RAT) The Moody's or Standard & Poor's ratings indicated are believed to
be the most recent ratings available at January 31, 2004 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 January 31, 2004. Securities rated by Putnam are indicated
by "/P" and are not publicly rated.
(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 January
31, 2004.
(R) Real Estate Investment Trust.
(d) See Note 1 to the financial statements.
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 Depositary
Receipts, representing ownership of foreign securities on deposit with a
custodian bank.
TBA after the name of a security represents to be announced securities
(Note 1).
AMBAC represents AMBAC Indemnity Corporation.
G.O. Bonds represent General Obligation Bonds.
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes
(FRN) are the current interest rates shown at January 31, 2004.
Forward currency contracts to buy at January 31, 2004 (Unaudited)
(aggregate face value $2,456,291)
Aggregate Delivery Unrealized
Value face value date appreciation
- ------------------------------------------------------------------------------------------------------
Euro $2,541,435 $2,456,291 3/17/04 $85,144
- ------------------------------------------------------------------------------------------------------
Futures contracts outstanding at January 31, 2004 (Unaudited)
Unrealized
Aggregate Expiration appreciation/
Value face value date (depreciation)
- ------------------------------------------------------------------------------------------------------
Euro 90 day (Short) $2,893,350 $2,903,296 Dec-05 $9,946
Euro 90 day (Short) 2,902,650 2,909,987 Sep-05 7,337
Euro 90 day (Short) 2,913,450 2,920,274 Jun-05 6,824
Euro 90 day (Short) 2,925,750 2,932,274 Mar-05 6,524
Euro 90 day (Short) 2,938,500 2,944,212 Dec-04 5,712
Euro 90 day (Short) 2,950,500 2,954,724 Sep-04 4,224
Euro 90 day (Short) 2,959,200 2,961,812 Jun-04 2,612
Euro 90 day (Short) 2,964,600 2,965,049 Mar-04 449
Interest Rate Swap
10 yr (Long) 1,000,125 1,009,445 Mar-04 (9,320)
S&P 500 Index (Short) 72,313,600 67,752,512 Mar-04 (4,561,088)
U. S. Long Treasury Bond
20 yr (Long) 106,555,969 104,672,306 Mar-04 1,883,663
U. S. Treasury Note
10 yr (Long) 628,103,438 624,488,275 Mar-04 3,615,163
U. S. Treasury Note
5 yr (Long) 62,454,438 61,817,548 Mar-04 636,890
U. S. Treasury Note
5 yr (Short) 202,639,938 200,229,083 Mar-04 (2,410,855)
- ------------------------------------------------------------------------------------------------------
$(801,919)
- ------------------------------------------------------------------------------------------------------
TBA sale commitments at January 31, 2004 (Unaudited)
(proceeds receivable $441,748,975)
Principal Settlement
Agency amount date Value
- ------------------------------------------------------------------------------------------------------
FNMA, 7s, February 1, 2034 $1,457,000 2/12/04 $1,545,331
FNMA, 6.5s, February 1, 2034 37,574,000 2/12/04 39,417,456
FNMA, 5.5s, February 1, 2034 246,691,000 2/12/04 251,008,092
FNMA, 5s, February 1, 2019 107,583,000 2/18/04 109,936,378
FNMA, 4s, February 1, 2019 40,612,000 2/18/04 39,850,525
- ------------------------------------------------------------------------------------------------------
$441,757,782
- ------------------------------------------------------------------------------------------------------
Total return swap contracts outstanding at January 31, 2004 (Unaudited)
Notional Termination Unrealized
amount date appreciation
- ------------------------------------------------------------------------------------------------------
Agreement with Lehman Brothers Special
Financing, Inc. dated August 28 2003 to
receive/(pay) monthly the notional amount
multiplied by the return of the Lehman Brothers
CMBS Investment Grade Index and pay
monthly the notional amount multiplied by
the USD-LIBOR-BBA adjusted by a
specified spread. $7,643,736 3/1/04 $54,671
- ------------------------------------------------------------------------------------------------------
Interest rate swap contracts outstanding at January 31, 2004 (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. $12,822,000 12/5/05 $115,857
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. 3,280,000 12/16/05 (6,119)
Agreement with Bank of America, N.A. dated
January 14, 2004 to pay semi-annually the
notional amount multiplied by 4.35625% and
receive quarterly the notional amount
multiplied by the three month USD-LIBOR. 158,677,000 1/16/14 1,980,714
Agreement with Bank of America, N.A. dated
January 26, 2004 to pay semi-annually the
notional amount multiplied by 3.505% and
receive quarterly the notional amount
multiplied by the three month USD-LIBOR. 151,627,000 1/28/09 265,705
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. 82,772,000 1/28/24 172,160
Agreement with Lehman Brothers Special
Financing, Inc. dated August 1, 2003 to receive
semi-annually the notional amount multiplied
by 3.93% and pay quarterly the notional
amount multiplied by the three month
USD-LIBOR. 116,700,000 8/5/08 4,534,184
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. 54,516,000 12/9/05 254,160
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. 3,658,000 12/15/13 55,806
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. 2,559,000 12/15/05 (10,993)
Agreement with Lehman Brothers Special
Financing, Inc. dated December 11, 2003 to
pay semi-annually the notional amount
multiplied by 4.71% and receive quarterly the
notional amount multiplied by the three month
USD-LIBOR-BBA. 10,708,000 12/15/13 (222,280)
Agreement with Lehman Brothers Special
Financing, Inc. dated December 12, 2003 to
pay semi-annually the notional amount
multiplied by 4.5792% and receive quarterly
the notional amount multiplied by the three
month USD-LIBOR-BBA. 10,192,000 12/16/13 (99,868)
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. 28,154,000 1/23/06 74,151
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. 28,154,000 1/23/06 74,145
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. 9,307,000 1/23/14 81,906
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. 9,307,000 1/23/14 73,507
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. 28,852,000 1/26/06 83,931
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. 15,124,000 1/26/06 42,467
Agreement with Lehman Brothers Special
Financing, Inc. dated January 22, 2004 to pay
semi-annually the notional amount multiplied
by 4.375% and receive quarterly the notional
amount multiplied by the three month
USD-LIBOR-BBA. 9,540,000 1/26/14 113,326
Agreement with Lehman Brothers Special
Financing, Inc. dated January 22, 2004 to pay
semi-annually the notional amount multiplied
by 4.379% and receive quarterly the notional
amount multiplied by the three month
USD-LIBOR-BBA. 4,886,000 1/26/14 56,572
- ------------------------------------------------------------------------------------------------------
$7,639,331
- ------------------------------------------------------------------------------------------------------
Credit default contracts outstanding at January 31, 2004 (Unaudited)
(premiums paid $2,483,345)
Notional
amount Value
- ------------------------------------------------------------------------------------------------------
Agreements with Goldman Sachs with effective dates ranging
from October 14, 2003 to November 4, 2003, maturing on
June 20, 2008, to pay a premiums ranging from 12.312% to
14.019% times the notional amount. For each credit default
event related to one of the issues within the Tracer HYDI BB 320,
6/20/2008 Bond 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 defaulted issue. $18,975,000 $1,897,690
- ------------------------------------------------------------------------------------------------------
Credit default contracts outstanding at January 31, 2004 (Unaudited)
(premiums received $149,693)
Notional
amount Value
- ------------------------------------------------------------------------------------------------------
Agreement with Merrill Lynch International effective June 26, 2003,
maturing on September 20, 2008, to receive a premium equal to
11.088% times the notional amount. Upon a credit default event of
The Gap, Inc. 5.75% due 3/15/09 the fund makes a payment of the
proportional notional amount times the difference between the par
value and the then-market value of The Gap, Inc. 5.75%, 2009. $1,350,000 $64,949
- ------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
Statement of assets and liabilities
January 31, 2004 (Unaudited)
Assets
- -------------------------------------------------------------------------------
Investments in securities, at value, including $45,999,195
of securities on loan (identified cost $6,460,475,803) (Note
1) $7,316,765,398
- -------------------------------------------------------------------------------
Cash 13,719,406
- -------------------------------------------------------------------------------
Dividends, interest and other receivables 26,439,643
- -------------------------------------------------------------------------------
Receivable for shares of the fund sold 8,309,521
- -------------------------------------------------------------------------------
Receivable for securities sold 506,793,320
- -------------------------------------------------------------------------------
Receivable for open forward currency contracts (Note 1) 85,144
- -------------------------------------------------------------------------------
Receivable for open swap contracts (Note 1) 8,033,262
- -------------------------------------------------------------------------------
Credit default contracts outstanding, at value (Premiums
paid $2,483,345) (Note 1) 1,897,690
- -------------------------------------------------------------------------------
Receivable for variation margin (Note 1) 2,789,547
- -------------------------------------------------------------------------------
Receivable from Manager (Note 7) 169,037
- -------------------------------------------------------------------------------
Total assets 7,885,001,968
Liabilities
- -------------------------------------------------------------------------------
Payable for securities purchased 1,320,017,047
- -------------------------------------------------------------------------------
Payable for shares of the fund repurchased 33,905,986
- -------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 7,327,435
- -------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 1,781,761
- -------------------------------------------------------------------------------
Payable for Trustee compensation and expenses (Note 2) 318,410
- -------------------------------------------------------------------------------
Payable for administrative services (Note 2) 3,035
- -------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 2,018,742
- -------------------------------------------------------------------------------
Payable for open swap contracts (Note 1) 339,260
- -------------------------------------------------------------------------------
Credit default contracts outstanding, at value (Premiums
received $149,693) (Note 1) 64,949
- -------------------------------------------------------------------------------
TBA sale commitments, at value (proceeds receivable
$441,748,975) (Note 1) 441,757,782
- -------------------------------------------------------------------------------
Collateral on securities loaned, at value (Note 1) 48,006,611
- -------------------------------------------------------------------------------
Other accrued expenses 491,732
- -------------------------------------------------------------------------------
Total liabilities 1,856,032,750
- -------------------------------------------------------------------------------
Net assets $6,028,969,218
Represented by
- -------------------------------------------------------------------------------
Paid-in capital (Notes 1, 4 and 7) $5,756,130,897
- -------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 14,136,511
- -------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign
currency transactions (Note 1) (604,055,293)
- -------------------------------------------------------------------------------
Net unrealized appreciation of investments and assets and
liabilities in foreign currencies 862,757,103
- -------------------------------------------------------------------------------
Total -- Representing net assets applicable to capital
shares outstanding $6,028,969,218
- -------------------------------------------------------------------------------
Computation of net asset value and offering price
- -------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($3,504,914,839 divided by 203,962,080 shares) $17.18
- -------------------------------------------------------------------------------
Offering price per class A share (100/94.75 of $17.18)* $18.13
- -------------------------------------------------------------------------------
Net asset value and offering price per class B share
($1,229,969,200 divided by 72,324,137 shares)** $17.01
- -------------------------------------------------------------------------------
Net asset value and offering price per class C share
($78,773,876 divided by 4,612,002 shares)** $17.08
- -------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($229,874,302 divided by 13,507,226 shares) $17.02
- -------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $17.02)* $17.64
- -------------------------------------------------------------------------------
Net asset value, offering price and redemption price per
class R share ($1,166 divided by 68 shares) $17.19
- -------------------------------------------------------------------------------
Net asset value, offering price and redemption price per
class Y share ($985,435,835 divided by 57,197,459 shares) $17.23
- -------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or
more and on group sales, the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
Statement of operations
Six months ended January 31, 2004 (Unaudited)
Investment income:
- -------------------------------------------------------------------------------
Interest $49,324,801
- -------------------------------------------------------------------------------
Dividends (net of foreign tax of $66,527) 42,528,630
- -------------------------------------------------------------------------------
Securities lending 37,117
- -------------------------------------------------------------------------------
Total investment income 91,890,548
Expenses:
- -------------------------------------------------------------------------------
Compensation of Manager (Note 2) 15,016,959
- -------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 7,051,693
- -------------------------------------------------------------------------------
Trustee compensation and expenses (Note 2) 50,337
- -------------------------------------------------------------------------------
Administrative services (Note 2) 19,256
- -------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 4,638,806
- -------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 6,496,479
- -------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 456,965
- -------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 901,989
- -------------------------------------------------------------------------------
Distribution fees -- Class R (Note 2) 3
- -------------------------------------------------------------------------------
Other 759,863
- -------------------------------------------------------------------------------
Non-recurring costs (Note 6) 84,675
- -------------------------------------------------------------------------------
Costs assumed by Manager (Note 6) (84,675)
- -------------------------------------------------------------------------------
Total expenses 35,392,350
- -------------------------------------------------------------------------------
Expense reduction (Note 2) (797,121)
- -------------------------------------------------------------------------------
Net expenses 34,595,229
- -------------------------------------------------------------------------------
Net investment income 57,295,319
- -------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 80,797,675
- -------------------------------------------------------------------------------
Net realized gain on swap contracts (Note 1) 393,773
- -------------------------------------------------------------------------------
Net realized loss on futures contracts (Note 1) (11,400,023)
- -------------------------------------------------------------------------------
Net realized gain on foreign currency transactions (Note 1) 73,871
- -------------------------------------------------------------------------------
Net realized loss on credit default contracts (Note 1) (368,795)
- -------------------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 206,164
- -------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the period 177,090
- -------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures
contracts, swap contracts, written options, credit default
contracts and TBA sale commitments during the period 486,926,375
- -------------------------------------------------------------------------------
Net gain on investments 556,806,130
- -------------------------------------------------------------------------------
Net increase in net assets resulting from operations $614,101,449
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
Statement of changes in net assets
Six months ended Year ended
January 31 July 31
Increase (decrease) in net assets 2004* 2003
- -------------------------------------------------------------------------------
Operations:
- -------------------------------------------------------------------------------
Net investment income $57,295,319 $137,222,025
- -------------------------------------------------------------------------------
Net realized gain (loss) on investments and
foreign currency transactions 69,702,665 (314,771,145)
- -------------------------------------------------------------------------------
Net unrealized appreciation of investments
and assets and liabilities in foreign
currencies 487,103,465 666,689,756
- -------------------------------------------------------------------------------
Net increase in net assets resulting from
operations 614,101,449 489,140,636
- -------------------------------------------------------------------------------
Distributions to shareholders: (Note 1)
- -------------------------------------------------------------------------------
From net investment income
Class A (40,028,157) (107,895,962)
- -------------------------------------------------------------------------------
Class B (9,218,179) (29,270,787)
- -------------------------------------------------------------------------------
Class C (670,850) (1,730,918)
- -------------------------------------------------------------------------------
Class M (2,039,505) (6,195,401)
- -------------------------------------------------------------------------------
Class R (10) (11)
- -------------------------------------------------------------------------------
Class Y (11,431,333) (26,338,433)
- -------------------------------------------------------------------------------
Increase (decrease) from capital share
transactions (Notes 4, 5 and 7) (826,330,409) 919,964,935
- -------------------------------------------------------------------------------
Total increase (decrease) in net assets (275,616,994) 1,237,674,059
Net assets
- -------------------------------------------------------------------------------
Beginning of period 6,304,586,212 5,066,912,153
- -------------------------------------------------------------------------------
End of period (including undistributed net
investment income of $14,136,511 and
$20,229,226, respectively) $6,028,969,218 $6,304,586,212
- -------------------------------------------------------------------------------
* Unaudited
The accompanying notes are an integral part of these financial statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS A
- ---------------------------------------------------------------------------------------------------------------
Six months
ended
January 31
Per-share (Unaudited) Year ended July 31
operating performance 2004 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $15.72 $15.02 $17.24 $15.77 $18.49 $18.82
- ---------------------------------------------------------------------------------------------------------------
Investment operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income (a) .16 .37 .45 .52 .55 .57
- ---------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.48 .81 (2.17) 1.49 (1.44) .90
- ---------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.64 1.18 (1.72) 2.01 (.89) 1.47
- ---------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------
From net
investment income (.18) (.48) (.48) (.53) (.58) (.55)
- ---------------------------------------------------------------------------------------------------------------
From net realized gain
on investments -- -- (.02) (.01) (1.25) (1.25)
- ---------------------------------------------------------------------------------------------------------------
Total distributions (.18) (.48) (.50) (.54) (1.83) (1.80)
- ---------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $17.18 $15.72 $15.02 $17.24 $15.77 $18.49
- ---------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 10.50* 8.06 (10.20) 12.86 (5.09) 8.33
- ---------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $3,504,915 $3,784,601 $2,990,984 $3,176,287 $3,030,281 $3,937,264
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .49* .99 .96 .92 .93 .93
- ---------------------------------------------------------------------------------------------------------------
Ratio of net investment
income to average net
assets (%) .99* 2.50 2.75 3.11 3.32 3.10
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68
- ---------------------------------------------------------------------------------------------------------------
* Not annualized.
(a) Per share net investment income has been determined on the basis of
the weighted average number of shares outstanding during the period.
(b) Total return assumes dividend reinvestment and does not reflect the
effect of sales charges.
(c) Includes amounts paid through brokerage service and expense offset
arrangements (Note 2).
(d) Portfolio turnover excludes certain treasury note transactions
executed in connection with a short-term trading strategy.
(e) Portfolio turnover excludes the impact of assets received from the
acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund
(Note 5).
The accompanying notes are an integral part of these financial
statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS B
- --------------------------------------------------------------------------------------------------------------
Six months
ended
January 31
Per-share (Unaudited) Year ended July 31
operating performance 2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------
C>
Net asset value,
beginning of period $15.56 $14.87 $17.07 $15.62 $18.33 $18.67
- --------------------------------------------------------------------------------------------------------------
Investment operations:
- --------------------------------------------------------------------------------------------------------------
Net investment income (a) .10 .26 .33 .39 .42 .43
- --------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.46 .80 (2.15) 1.48 (1.43) .90
- --------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.56 1.06 (1.82) 1.87 (1.01) 1.33
- --------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------
From net
investment income (.11) (.37) (.36) (.41) (.45) (.42)
- --------------------------------------------------------------------------------------------------------------
From net realized gain
on investments -- -- (.02) (.01) (1.25) (1.25)
- --------------------------------------------------------------------------------------------------------------
Total distributions (.11) (.37) (.38) (.42) (1.70) (1.67)
- --------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $17.01 $15.56 $14.87 $17.07 $15.62 $18.33
- --------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 10.11* 7.25 (10.86) 12.02 (5.82) 7.55
- --------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $1,229,969 $1,308,605 $1,068,667 $1,199,676 $1,175,947 $1,641,515
- --------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .87* 1.74 1.71 1.67 1.68 1.68
- --------------------------------------------------------------------------------------------------------------
Ratio of net investment
income to average net
assets (%) .62* 1.75 2.00 2.36 2.57 2.35
- --------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68
- --------------------------------------------------------------------------------------------------------------
* Not annualized.
(a) Per share net investment income has been determined on the basis of
the weighted average number of shares outstanding during the period.
(b) Total return assumes dividend reinvestment and does not reflect the
effect of sales charges.
(c) Includes amounts paid through brokerage service and expense offset
arrangements (Note 2).
(d) Portfolio turnover excludes certain treasury note transactions
executed in connection with a short-term trading strategy.
(e) Portfolio turnover excludes the impact of assets received from the
acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund
(Note 5).
The accompanying notes are an integral part of these financial
statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS C
- ----------------------------------------------------------------------------------------------------------
For the
Six months period
ended July 26,
January 31 1999+ to
Per-share (Unaudited) Year ended July 31 July 31
operating performance 2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $15.63 $14.94 $17.16 $15.71 $18.49 $18.76
- ----------------------------------------------------------------------------------------------------------
Investment operations:
- ----------------------------------------------------------------------------------------------------------
Net investment income
(loss) (a) .10 .26 .33 .39 .42 -- (f)
- ----------------------------------------------------------------------------------------------------------
Net realized and
unrealized gain (loss)
on investments 1.47 .80 (2.16) 1.49 (1.44) (.27)
- ----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.57 1.06 (1.83) 1.88 (1.02) (.27)
- ----------------------------------------------------------------------------------------------------------
Less distributions:
- ----------------------------------------------------------------------------------------------------------
From net
investment income (.12) (.37) (.37) (.42) (.51) --
- ----------------------------------------------------------------------------------------------------------
From net realized gain
on investments -- -- (.02) (.01) (1.25) --
- ----------------------------------------------------------------------------------------------------------
Total distributions (.12) (.37) (.39) (.43) (1.76) --
- ----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $17.08 $15.63 $14.94 $17.16 $15.71 $18.49
- ----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 10.08* 7.25 (10.88) 12.02 (5.82) (1.44)*
- ----------------------------------------------------------------------------------------------------------
Ratios and supplemental
data
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $78,774 $91,282 $53,186 $37,453 $20,642 $565
- ----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .87* 1.74 1.71 1.67 1.68 .03*
- ----------------------------------------------------------------------------------------------------------
Ratio of net investment
income (loss) to average
net assets (%) .62* 1.73 1.99 2.32 2.60 (.03)*
- ----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68
- ----------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Per share net investment income (loss) has been determined on the
basis of the weighted average number of shares outstanding during the
period.
(b) Total return assumes dividend reinvestment and does not reflect the
effect of sales charges.
(c) Includes amounts paid through brokerage service and expense offset
arrangements (Note 2).
(d) Portfolio turnover excludes certain treasury note transactions
executed in connection with a short-term trading strategy.
(e) Portfolio turnover excludes the impact of assets received from the
acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund
(Note 5).
(f) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of these financial
statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS M
- ------------------------------------------------------------------------------------------------------------
Six months
ended
January 31
Per-share (Unaudited) Year ended July 31
operating performance 2004 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $15.57 $14.87 $17.08 $15.63 $18.33 $18.67
- ------------------------------------------------------------------------------------------------------------
Investment operations:
- ------------------------------------------------------------------------------------------------------------
Net investment
income (a) .12 .30 .37 .43 .46 .47
- ------------------------------------------------------------------------------------------------------------
Net realized and
unrealized gain (loss)
on investments 1.47 .80 (2.16) 1.48 (1.42) .90
- ------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.59 1.10 (1.79) 1.91 (.96) 1.37
- ------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------
From net
investment income (.14) (.40) (.40) (.45) (.49) (.46)
- ------------------------------------------------------------------------------------------------------------
From net realized gain
on investments -- -- (.02) (.01) (1.25) (1.25)
- ------------------------------------------------------------------------------------------------------------
Total distributions (.14) (.40) (.42) (.46) (1.74) (1.71)
- ------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $17.02 $15.57 $14.87 $17.08 $15.63 $18.33
- ------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 10.26* 7.58 (10.69) 12.31 (5.52) 7.80
- ------------------------------------------------------------------------------------------------------------
Ratios and
supplemental data
- ------------------------------------------------------------------------------------------------------------
Net assets, end of
period (in thousands) $229,874 $239,662 $222,176 $252,802 $223,246 $293,336
- ------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net
assets (%)(c) .74* 1.49 1.46 1.42 1.43 1.43
- ------------------------------------------------------------------------------------------------------------
Ratio of net
investment income to
average net assets (%) .74* 2.02 2.25 2.60 2.82 2.61
- ------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68
- ------------------------------------------------------------------------------------------------------------
* Not annualized.
(a) Per share net investment income has been determined on the basis of
the weighted average number of shares outstanding during the period.
(b) Total return assumes dividend reinvestment and does not reflect the
effect of sales charges.
(c) Includes amounts paid through brokerage service and expense offset
arrangements (Note 2).
(d) Portfolio turnover excludes certain treasury note transactions
executed in connection with a short-term trading strategy.
(e) Portfolio turnover excludes the impact of assets received from the
acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund
(Note 5).
The accompanying notes are an integral part of these financial
statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS R
- ---------------------------------------------------------------------------------------------------
For the
Six months period
ended January 21,
January 31 2003+ to
Per-share (Unaudited) July 31
operating performance 2004 2003
- ---------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $15.70 $15.05
- ---------------------------------------------------------------------------------------------------
Investment operations:
- ---------------------------------------------------------------------------------------------------
Net investment income (a) .14 .17
- ---------------------------------------------------------------------------------------------------
Net realized and unrealized
gain on investments 1.50 .65
- ---------------------------------------------------------------------------------------------------
Total from
investment operations 1.64 .82
- ---------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------
From net
investment income (.15) (.17)
- ---------------------------------------------------------------------------------------------------
Total distributions (.15) (.17)
- ---------------------------------------------------------------------------------------------------
Net asset value,
end of period $17.19 $15.70
- ---------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 10.54* 5.52*
- ---------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $1 $1
- ---------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .62* .65*
- ---------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .87* 1.18*
- ---------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.75* 121.38 (d)(e)
- ---------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Per share net investment income has been determined on the basis of
the weighted average number of shares outstanding during the period.
(b) Total return assumes dividend reinvestment and does not reflect the
effect of sales charges.
(c) Includes amounts paid through brokerage service and expense offset
arrangements (Note 2).
(d) Portfolio turnover excludes certain treasury note transactions executed
in connection with a short-term trading strategy.
(e) Portfolio turnover excludes the impact of assets received from the
acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund
(Note 5).
The accompanying notes are an integral part of these financial statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS Y
- -------------------------------------------------------------------------------------------------------------
Six months
ended
January 31
Per-share (Unaudited) Year ended July 31
operating performance 2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $15.76 $15.05 $17.28 $15.80 $18.53 $18.85
- -------------------------------------------------------------------------------------------------------------
Investment operations:
- -------------------------------------------------------------------------------------------------------------
Net investment
income (a) .18 .41 .49 .56 .60 .62
- -------------------------------------------------------------------------------------------------------------
Net realized and
unrealized gain (loss)
on investments 1.49 .82 (2.17) 1.50 (1.46) .91
- -------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.67 1.23 (1.68) 2.06 (.86) 1.53
- -------------------------------------------------------------------------------------------------------------
Less distributions:
- -------------------------------------------------------------------------------------------------------------
From net
investment income (.20) (.52) (.53) (.57) (.62) (.60)
- -------------------------------------------------------------------------------------------------------------
From net realized gain
on investments -- -- (.02) (.01) (1.25) (1.25)
- -------------------------------------------------------------------------------------------------------------
Total distributions (.20) (.52) (.55) (.58) (1.87) (1.85)
- -------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $17.23 $15.76 $15.05 $17.28 $15.80 $18.53
- -------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 10.68* 8.38 (10.01) 13.18 (4.89) 8.63
- -------------------------------------------------------------------------------------------------------------
Ratios and
supplemental data
- -------------------------------------------------------------------------------------------------------------
Net assets, end
of period (in
thousands) $985,436 $880,435 $731,900 $768,075 $621,363 $744,552
- -------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net
assets (%)(c) .37* .74 .71 .67 .68 .68
- -------------------------------------------------------------------------------------------------------------
Ratio of net investment
income to average net
assets (%) 1.12* 2.76 3.00 3.35 3.57 3.33
- -------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.75* 121.38 (d)(e) 131.89 (d) 333.46 140.92 127.68
- -------------------------------------------------------------------------------------------------------------
* Not annualized.
(a) Per share net investment income has been determined on the basis of
the weighted average number of shares outstanding during the period.
(b) Total return assumes dividend reinvestment and does not reflect the
effect of sales charges.
(c) Includes amounts paid through brokerage service and expense offset
arrangements (Note 2).
(d) Portfolio turnover excludes certain treasury note transactions
executed in connection with a short-term trading strategy.
(e) Portfolio turnover excludes the impact of assets received from the
acquisition of Putnam Balanced Fund and Putnam Balanced Retirement Fund
(Note 5).
The accompanying notes are an integral part of these financial
statements.
Notes to financial statements
January 31, 2004 (Unaudited)
Note 1
Significant accounting policies
The George Putnam Fund of Boston ("the fund"), is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. The fund seeks to provide a balanced
investment comprised of a well-diversified portfolio of stocks and
bonds, which will produce both capital growth and current income.
The fund offers class A, class B, class C, class M, class R and class Y
shares. Class A shares are sold with a maximum front-end sales charge of
5.25%. Prior to January 28, 2004, the maximum front-end sales charge for
class A shares was 5.75%. Class B shares, which convert to class A
shares after approximately eight years, do not pay a front-end sales
charge but pay a higher ongoing distribution fee than class A, class M
and class R shares, and are subject to a contingent deferred sales
charge, if those shares are redeemed within six years of purchase. Class
C shares are subject to the same fees and expenses as class B shares,
except that class C shares have a one-year 1.00% contingent deferred
sales charge and do not convert to class A shares. Class M shares are
sold with a maximum front end sales charge of 3.50% and pay an ongoing
distribution fee that is higher than class A and class R shares but
lower than class B and class C shares. Class R shares are sold without a
front-end-sales charge and pay an ongoing distribution fee that is
higher than class A shares, but lower than class B, class C and class M
shares. Class R shares are offered to qualified employee-benefit plans.
Class Y shares, which are sold at net asset value, are generally subject
to the same expenses as class A, class B, class C, class M and class R
shares, but do not bear a distribution fee. Class Y shares are sold to
certain eligible purchasers including certain defined contribution plans
(including corporate IRAs), bank trust departments, trust companies and
certain college savings plans.
Expenses of the fund are borne pro-rata by the holders of each class of
shares, except that each class bears expenses unique to that class
(including the distribution fees applicable to such class). Each class
votes as a class only with respect to its own distribution plan or other
matters on which a class vote is required by law or determined by the
Trustees. Shares of each class would receive their pro-rata share of the
net assets of the fund, if the fund were liquidated. In addition, the
Trustees declare separate dividends on each class of shares.
Effective April 19, 2004, a 2.0% redemption fee may apply to any shares
that are redeemed (either by selling or exchanging into another fund)
within 5 days of purchase.
The following is a summary of significant accounting policies
consistently followed by the fund in the preparation of its financial
statements. The preparation of financial statements is in conformity
with accounting principles generally accepted in the United States of
America and requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities in the financial
statements and the reported amounts of increases and decreases in net
assets from operations during the reporting period. Actual results could
differ from those estimates.
A) 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 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.
Tax-exempt bonds and notes are valued on the basis of valuations
provided by an independent pricing service, approved by the Trustees.
Such services use information with respect to transactions in bonds,
quotations from bond dealers, market transactions in comparable
securities and various relationships between securities in determining
value.
Other investments, including restricted securities, are valued at fair
value following procedures approved by the Trustees. Such valuations and
procedures are reviewed periodically by the Trustees.
B) Joint trading account The fund may transfer uninvested cash balances,
including cash collateral received under security lending arrangements,
into a joint trading account along with the cash of other registered
investment companies and certain other accounts managed by Putnam
Investment Management, LLC ("Putnam Management"), the fund's manager, an
indirect wholly-owned subsidiary of Putnam, LLC. These balances may be
invested in issuers of high-grade short-term investments having
maturities of up to 397 days for collateral received under security
lending arrangements and up to 90 days for other cash investments.
C) Security transactions and related investment income Security
transactions are recorded on the trade date (date the order to buy or
sell is executed). Gains or losses on securities sold are determined on
the identified cost basis.
Interest income is recorded on the accrual basis. Dividend income is
recognized on the ex-dividend date except that certain dividends from
foreign securities are recognized as soon as the fund is informed of the
ex-dividend date. Non-cash dividends, if any, are recorded at the fair
market value of the securities received.
All premiums/discounts are amortized/accreted on a yield-to-maturity
basis.
D) Foreign currency translation The accounting records of the fund are
maintained in U.S. dollars. The market value of foreign securities,
currency holdings, and other assets and liabilities are recorded in the
books and records of the fund after translation to U.S. dollars based on
the exchange rates on that day. The cost of each security is determined
using historical exchange rates. Income and withholding taxes are
translated at prevailing exchange rates when earned or incurred. The
fund does not isolate that portion of realized or unrealized gains or
losses resulting from changes in the foreign exchange rate on
investments from fluctuations arising from changes in the market prices
of the securities. Such gains and losses are included with the net
realized and unrealized gain or loss on investments. Net realized gains
and losses on foreign currency transactions represent net realized
exchange gains or losses on closed forward currency contracts,
disposition of foreign currencies, currency gains and losses realized
between the trade and settlement dates on securities transactions and
the difference between the amount of investment income and foreign
withholding taxes recorded on the fund's books and the U.S. dollar
equivalent amounts actually received or paid. Net unrealized
appreciation and depreciation of assets and liabilities in foreign
currencies arise from changes in the value of open forward currency
contracts and assets and liabilities other than investments at the
period end, resulting from changes in the exchange rate. Investments in
foreign securities involve certain risks, including those related to
economic instability, unfavorable political developments, and currency
fluctuations, not present with domestic investments.
E) 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. Forward currency contracts outstanding at
period end, if any, are listed after the fund's portfolio.
F) 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 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. 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.
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.
G) 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, respectively. 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 gain 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. Total return
swap contracts outstanding at period end, if any, are listed after the
fund's portfolio.
H) 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 gain 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. Interest rate swap contracts outstanding at period end, if any,
are listed after the fund's portfolio.
I) Credit default contracts The fund may enter into credit default
contracts where one party, the protection buyer, makes an upfront
payment to a counter party, the protection seller, in exchange for the
right to receive a contingent payment. The maximum amount of the payment
may equal to the notional amount, at par, of the underlying index or
security as a result of a related credit event. The 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. 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. The risk of loss may exceed the fair value of
these contracts recognized on the Statement of assets and liabilities.
Credit default contracts outstanding at period end, if any, are listed
after the fund's portfolio.
J) 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 the fair value of the underlying
securities, according to the procedures described under "Security
valuation" above.
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.
K) TBA sale commitments The fund may enter into TBA sale commitments to
hedge its portfolio positions or to sell mortgage-backed securities it
owns under delayed delivery arrangements. Proceeds of TBA sale
commitments are not received until the contractual settlement date.
During the time a TBA sale commitment is outstanding, equivalent
deliverable securities, or an offsetting TBA purchase commitment
deliverable on or before the sale commitment date, are held as "cover"
for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the
underlying securities, generally according to the procedures described
under "Security valuation" above. The contract is "marked-to-market"
daily and the change in market value is recorded by the fund as an
unrealized gain or loss. If the TBA sale commitment is closed through
the acquisition of an offsetting 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.
L) Security lending 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 January 31, 2004, the value of
securities loaned amounted to $45,999,195. The fund received cash
collateral of $48,006,611 which is pooled with collateral of other
Putnam funds into 9 issuers of high-grade short-term investments.
M) Line of credit During the period, the fund was entered into a
committed line of credit with certain banks. The line of credit
agreement included restrictions that the fund would maintain an asset
coverage ratio of at least 300% and that borrowings would not exceed
prospectus limitations. For the period ended August 6, 2003, the fund
had no borrowings against the line of credit. Effective August 6, 2003,
the fund will no longer participate in a committed line of credit.
N) Federal taxes It is the policy of the fund to distribute all of its
taxable income within the prescribed time and otherwise comply with the
provisions of the Internal Revenue Code applicable to regulated
investment companies. It is also the intention of the fund to distribute
an amount sufficient to avoid imposition of any excise tax under Section
4982 of the Internal Revenue Code of 1986, as amended. Therefore, no
provision has been made for federal taxes on income, capital gains or
unrealized appreciation on securities held nor for excise tax on income
and capital gains.
At July 31, 2003, the fund had a capital loss carryover of $418,373,972
available to the extent allowed by tax law to offset future net capital
gains, if any. The amount of the carryover and the expiration dates are:
Loss Carryover Expiration
- --------------------------------
$711,962 July 31, 2009
118,009,857 July 31, 2010
299,652,153 July 31, 2011
Pursuant to federal income tax regulations applicable to regulated
investment companies, the fund has elected to defer to its fiscal year
ending July 31, 2004, $133,505,182 of losses recognized during the
period November 1, 2002 to July 31, 2003 a portion which could be
limited by Section 381.
The aggregate identified cost on a tax basis is $6,595,343,380,
resulting in gross unrealized appreciation and depreciation of
$786,329,455 and $64,907,437 respectively, or net unrealized
appreciation of $721,422,018.
O) Distributions to shareholders Distributions to shareholders from net
investment income are recorded by the fund on the ex-dividend date.
Distributions from capital gains, if any, are recorded on the
ex-dividend date and paid at least annually. The amount and character of
income and gains to be distributed are determined in accordance with
income tax regulations, which may differ from generally accepted
accounting principles. Reclassifications are made to the fund's capital
accounts to reflect income and gains available for distribution (or
available capital loss carryovers) under income tax regulations.
Note 2
Management fee, administrative
services and other transactions
Putnam Management is paid for management and investment advisory
services quarterly based on the average net assets of the fund. Such fee
is based on the following annual rates: 0.65% of the first $500 million
of average net assets, 0.55% of the next $500 million, 0.50% of the next
$500 million, 0.45% of the next $5 billion, 0.425% of the next $5
billion, 0.405% of the next $5 billion, 0.39% of the next $5 billion and
0.38% thereafter.
Effective January 28, 2004, Putnam Management has agreed to limit its
compensation (and, to the extent necessary, bear other expenses) through
December 31, 2004, to the extent that the fund's net expenses as a
percentage of average net assets exceed the average expense ratio for
the fund's Lipper peer group of front-end load funds.
The fund reimburses Putnam Management an allocated amount for the
compensation and related expenses of certain officers of the fund and
their staff who provide administrative services to the fund. The
aggregate amount of all such reimbursements is determined annually by
the Trustees.
Custodial functions for the fund's assets are provided by Putnam
Fiduciary Trust Company (PFTC), a subsidiary of Putnam, LLC. Putnam
Investor Services, a division of PFTC, provides investor servicing agent
functions to the fund. During the six months ended January 31, 2004, the
fund paid PFTC $5,811,519 for these services.
The fund has entered into an arrangement with PFTC whereby credits
realized as a result of uninvested cash balances are used to reduce a
portion of the fund's expenses. The fund also reduced expenses through
brokerage service arrangements. For the six months ended January 31,
2004, the fund's expenses were reduced by $797,121 under these
arrangements.
Each independent Trustee of the fund receives an annual Trustee fee, of
which $4,398 has been allocated to the fund, and an additional fee for
each Trustees meeting attended. Trustees receive additional fees for
attendance at certain committee meetings.
The fund has adopted a Trustee Fee Deferral Plan (the "Deferral Plan"),
which allows the Trustees to defer the receipt of all or a portion of
Trustees fees payable on or after July 1, 1995. The deferred fees remain
invested in certain Putnam funds until distribution in accordance with
the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension
plan (the "Pension Plan") covering all Trustees of the fund who have
served as a Trustee for at least five years. Benefits under the Pension
Plan are equal to 50% of the Trustee's average total retainer and
meeting fees for the three years preceding retirement. Pension expense
for the fund is included in Trustee compensation and expenses in the
Statement of operations. Accrued pension liability is included in
Payable for Trustee compensation and expenses in the Statement of assets
and liabilities.
The fund has adopted distribution plans (the "Plans") with respect to
its class A, class B, class C, class M and class R shares pursuant to
Rule 12b-1 under the Investment Company Act of 1940. The purpose of the
Plans is to compensate Putnam Retail Management, a wholly-owned
subsidiary of Putnam, LLC and Putnam Retail Management GP, Inc., for
services provided and expenses incurred by it in distributing shares of
the fund. The Plans provide for payments by the fund to Putnam Retail
Management at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and
1.00% of the average net assets attributable to class A, class B, class
C, class M and class R shares, respectively. The Trustees have approved
payment by the fund at the annual rates of 0.25%, 1.00%, 1.00%, 0.75%
and 0.50% of the average net assets attributable to class A, class B,
class C, class M and class R shares, respectively.
For the six months ended January 31, 2004, Putnam Retail Management,
acting as underwriter, received net commissions of $404,240 and $5,098
from the sale of class A and class M shares, respectively, and received
$2,007,783 and $36,386 in contingent deferred sales charges from
redemptions of class B and class C shares, respectively.
A deferred sales charge of up to 1.00% and 0.65% is assessed on certain
redemptions of class A and class M shares, respectively. For the six
months ended January 31, 2004, Putnam Retail Management, acting as
underwriter, received $210,624 and no monies on class A and class M
redemptions, respectively.
Note 3
Purchases and sales of securities
During the six months ended January 31, 2004, cost of purchases and
proceeds from sales of investment securities other than U.S. government
obligations and short-term investments aggregated $3,569,359,488 and
$4,365,864,710, respectively. Purchases and sales of U.S. government
obligations aggregated $595,333,073 and $841,016,289, respectively.
Written option transactions during the period are summarized as follows:
Contract Premiums
Amounts Received
- ----------------------------------------------------------------
Written options
outstanding at
beginning of period 25,121 $15,324
- ----------------------------------------------------------------
Options opened 833,093 211,039
Options exercised -- --
Options expired (50,242) (32,773)
Options closed (807,972) (193,590)
- ----------------------------------------------------------------
Written options
outstanding at
end of period -- $--
- ----------------------------------------------------------------
Note 4
Capital shares
At January 31, 2004, there was an unlimited number of shares of
beneficial interest authorized. Transactions in capital shares were as
follows:
Six months ended January 31, 2004
- ----------------------------------------------------------------
Class A Shares Amount
- ----------------------------------------------------------------
Shares sold 20,280,072 $330,226,332
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 2,310,684 36,769,424
- ----------------------------------------------------------------
22,590,756 366,995,756
Shares repurchased (59,337,430) (969,569,723)
- ----------------------------------------------------------------
Net decrease (36,746,674) $(602,573,967)
- ----------------------------------------------------------------
Year ended July 31, 2003
- ----------------------------------------------------------------
Class A Shares Amount
- ----------------------------------------------------------------
Shares sold 56,893,872 $849,636,705
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 6,611,050 98,441,412
- ----------------------------------------------------------------
Shares issued in
connection with
the merger
of Putnam
Balanced Fund 5,510,707 78,454,369
- ----------------------------------------------------------------
Shares issued in
connection with
the merger of
Putnam Balanced
Retirement Fund 36,618,830 521,331,845
- ----------------------------------------------------------------
105,634,459 1,547,864,331
Shares repurchased (64,088,705) (949,329,152)
- ----------------------------------------------------------------
Net increase 41,545,754 $598,535,179
- ----------------------------------------------------------------
Six months ended January 31, 2004
- ----------------------------------------------------------------
Class B Shares Amount
- ----------------------------------------------------------------
Shares sold 6,212,207 $100,082,795
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 541,347 8,537,148
- ----------------------------------------------------------------
6,753,554 108,619,943
Shares repurchased (18,532,401) (300,736,830)
- ----------------------------------------------------------------
Net decrease (11,778,847) $(192,116,887)
- ----------------------------------------------------------------
Year ended July 31, 2003
- ----------------------------------------------------------------
Class B Shares Amount
- ----------------------------------------------------------------
Shares sold 16,149,786 $237,706,103
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 1,840,131 27,227,335
- ----------------------------------------------------------------
Shares issued in
connection with
the merger
of Putnam
Balanced Fund 1,154,490 16,293,350
- ----------------------------------------------------------------
Shares issued in
connection with
the merger of
Putnam Balanced
Retirement Fund 14,223,453 200,736,033
- ----------------------------------------------------------------
33,367,860 481,962,821
Shares repurchased (21,153,997) (307,917,883)
- ----------------------------------------------------------------
Net increase 12,213,863 $174,044,938
- ----------------------------------------------------------------
Six months ended January 31, 2004
- ----------------------------------------------------------------
Class C Shares Amount
- ----------------------------------------------------------------
Shares sold 806,217 $12,929,407
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 38,278 606,029
- ----------------------------------------------------------------
844,495 13,535,436
Shares repurchased (2,073,299) (33,938,851)
- ----------------------------------------------------------------
Net decrease (1,228,804) $(20,403,415)
- ----------------------------------------------------------------
Year ended July 31, 2003
- ----------------------------------------------------------------
Class C Shares Amount
- ----------------------------------------------------------------
Shares sold 2,469,236 $36,842,084
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 107,929 1,603,699
- ----------------------------------------------------------------
Shares issued in
connection with
the merger of
Putnam Balanced Fund 206,343 2,926,165
- ----------------------------------------------------------------
Shares issued in
connection with
the merger of
Putnam Balanced
Retirement Fund 1,118,461 15,861,018
- ----------------------------------------------------------------
3,901,969 57,232,966
Shares repurchased (1,621,481) (23,883,301)
- ----------------------------------------------------------------
Net increase 2,280,488 $33,349,665
- ----------------------------------------------------------------
Six months ended January 31, 2004
- ----------------------------------------------------------------
Class M Shares Amount
- ----------------------------------------------------------------
Shares sold 1,041,192 $16,775,672
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 126,656 1,998,349
- ----------------------------------------------------------------
1,167,848 18,774,021
Shares repurchased (3,051,000) (49,647,615)
- ----------------------------------------------------------------
Net decrease (1,883,152) $(30,873,594)
- ----------------------------------------------------------------
Year ended July 31, 2003
- ----------------------------------------------------------------
Class M Shares Amount
- ----------------------------------------------------------------
Shares sold 2,958,968 $43,759,073
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 410,989 6,080,663
- ----------------------------------------------------------------
Shares issued in
connection with
the merger
of Putnam
Balanced Fund 49,611 700,183
- ----------------------------------------------------------------
Shares issued in
connection with
the merger of
Putnam Balanced
Retirement Fund 1,163,340 16,418,669
- ----------------------------------------------------------------
4,582,908 66,958,588
Shares repurchased (4,130,141) (60,618,953)
- ----------------------------------------------------------------
Net increase 452,767 $6,339,635
- ----------------------------------------------------------------
Six months ended January 31, 2004
- ----------------------------------------------------------------
Class R Shares Amount
- ----------------------------------------------------------------
Shares sold -- $--
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 1 10
- ----------------------------------------------------------------
1 10
Shares repurchased -- --
- ----------------------------------------------------------------
Net increase 1 $10
- ----------------------------------------------------------------
For the period January 21, 2003
(commencement of operations)
to July 31, 2003
- ----------------------------------------------------------------
Class R Shares Amount
- ----------------------------------------------------------------
Shares sold 65 $1,000
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 2 11
- ----------------------------------------------------------------
67 1,011
Shares repurchased -- --
- ----------------------------------------------------------------
Net increase 67 $1,011
- ----------------------------------------------------------------
Six months ended January 31, 2004
- ----------------------------------------------------------------
Class Y Shares Amount
- ----------------------------------------------------------------
Shares sold 8,627,067 $139,507,808
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 716,576 11,431,333
- ----------------------------------------------------------------
9,343,643 150,939,141
Shares repurchased (7,998,221) (131,301,697)
- ----------------------------------------------------------------
Net increase 1,345,422 $19,637,444
- ----------------------------------------------------------------
Year ended July 31 2003
- ----------------------------------------------------------------
Class Y Shares Amount
- ----------------------------------------------------------------
Shares sold 13,589,658 $204,021,187
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 1,762,486 26,338,433
- ----------------------------------------------------------------
Shares issued in
connection with
the merger
of Putnam
Balanced Fund 1,599,557 22,813,715
- ----------------------------------------------------------------
Shares issued in
connection with
the merger of
Putnam Balanced
Retirement Fund 295,174 4,209,928
- ----------------------------------------------------------------
17,246,875 257,383,263
Shares repurchased (10,018,455) (149,688,756)
- ----------------------------------------------------------------
Net increase 7,228,420 $107,694,507
- ----------------------------------------------------------------
At January 31, 2004, Putnam, LLC owned 68 class R shares of the fund
(100% of class R shares outstanding), valued at $1,166.
Note 5
Acquisition of Putnam Balanced
Fund and Putnam Balanced Retirement Fund
On September 23, 2002, the fund issued the following shares to acquire
the net assets of Putnam Balanced Fund and Putnam Balanced Retirement
Fund in a tax-free exchange approved by the shareholders.
Shares Shares
Issued Exchanged
- ------------------------------------------------------------
Putnam Balanced Fund
Class A 5,510,707 9,462,721
Class B 1,154,490 1,970,031
Class C 206,343 353,307
Class M 49,611 84,332
Class Y 1,599,557 2,752,898
- ------------------------------------------------------------
Putnam Balanced Retirement Fund
Class A 36,618,830 55,745,386
Class B 14,223,453 21,678,937
Class C 1,118,461 1,705,371
Class M 1,163,340 1,766,568
Class Y 295,174 450,232
- ------------------------------------------------------------
The net assets of the fund, Putnam Balanced Fund and Putnam Balanced
Retirement Fund on September 20, 2002, valuation date, were
$4,894,295,298, $121,187,782 and $758,557,493, respectively. On
September 20, 2002, Putnam Balanced Fund had unrealized depreciation of
$6,934,989 and Putnam Balanced Retirement Fund had unrealized
depreciation of $31,608,849, respectively. The aggregate net assets of
the fund immediately following the acquisition were $5,774,040,573.
Note 6
Regulatory matters and litigation
On November 13, 2003, Putnam Management agreed to entry of an order by
the Securities and Exchange Commission in partial resolution of
administrative and cease-and-desist proceedings initiated by the SEC on
October 28, 2003 in connection with alleged excessive short-term trading
by at least six Putnam Management investment professionals. The SEC's
findings reflect that four of those employees engaged in such trading in
funds over which they had investment decision-making responsibility and
had access to non-public information regarding, among other things,
current portfolio holdings and valuations. The six individuals are no
longer employed by Putnam Management. Under the order, Putnam Management
will make restitution for losses attributable to excessive short-term
trading by Putnam employees, institute new employee trading restrictions
and enhanced employee trading compliance, retain an independent
compliance consultant, and take other remedial actions. Putnam
Management neither admitted nor denied the order's findings, which
included findings that Putnam Management willfully violated provisions
of the federal securities laws. A civil monetary penalty and other
monetary relief, if any, will be determined at a later date. If a
hearing is necessary to determine the amounts of such penalty or other
relief, Putnam Management will be precluded from arguing that it did not
violate the federal securities laws in the manner described in the SEC
order, the findings set forth in the SEC order will be accepted as true
by the hearing officer and additional evidence may be presented. Putnam
Management, and not the investors in any Putnam fund, will bear all
costs, including restitution, civil penalties and associated legal fees.
Administrative proceedings instituted by the Commonwealth of
Massachusetts on October 28, 2003 against Putnam Management in
connection with alleged market timing activities by Putnam employees and
by participants in some Putnam-administered 401(k) plans are pending.
Putnam Management has committed to make complete restitution for any
losses suffered by Putnam shareholders as a result of any improper
market-timing activities by Putnam employees or within
Putnam-administered 401(k) plans.
The SEC's and Commonwealth's allegations and related matters also serve
as the general basis for numerous lawsuits, including purported class
action lawsuits filed against Putnam Management and certain related
parties, including certain Putnam funds. Putnam Management has agreed to
bear any costs incurred by Putnam funds in connection with these
lawsuits. Based on currently available information, Putnam Management
believes that the likelihood that the pending private lawsuits and
purported class action lawsuits will have a material adverse financial
impact on the fund is remote, and the pending actions are not likely to
materially affect its ability to provide investment management services
to its clients, including the Putnam funds.
For the period ended January 31, 2004, Putnam Management has assumed
$84,675 of legal, shareholder servicing and communication, audit, and
Trustee fees incurred by the fund in connection with these matters.
Review of these matters by counsel for Putnam Management and by separate
independent counsel for the Putnam funds and their independent Trustees
is continuing. In addition, Marsh & McLennan Companies, Inc., Putnam
Management's parent company, has engaged counsel to conduct a separate
review of Putnam Management's policies and controls related to
short-term trading. The fund may experience increased redemptions as a
result of these matters, which could result in increased transaction
costs and operating expenses.
Note 7
Other matters
In connection with an ongoing review of compliance procedures and controls,
Putnam Management discovered that in early January 2001, certain Putnam
employees had willfully circumvented controls in connection with the
correction of operational errors with respect to a 401(k) client's
investment in certain Putnam Funds, which led to losses in the fund. Putnam
made restitution of approximately $169,000 to the fund on February 27,
2004. Putnam and the fund's trustees are in the process of finalizing the
restitution amount. Putnam has also made a number of personnel changes,
including senior managers, and has begun to implement changes in
procedures. Putnam has informed the SEC, the Funds' Trustees and
independent auditors.
Services for shareholders
Investor services
Help your investment grow Set up a program for systematic investing with
as little as $25 a month from a Putnam fund or from your own savings or
checking account. (Regular investing does not guarantee a profit or
protect against loss in a declining market.)
Switch funds easily* You can move money from one Putnam fund to another
within the same class of shares without a service charge.
Access your money easily You can have checks sent regularly or redeem
shares any business day at the then-current net asset value, which may
be more or less than the original cost of the shares. Class B and class
C shares carry a sales charge that is applied to certain withdrawals.
How to buy additional shares You may buy shares through your financial
advisor or directly from Putnam. To open an account by mail, send a
check made payable to the name of the fund along with a completed fund
application. To add to an existing account, complete the investment slip
found at the top of your Confirmation of Activity statement and return
it with a check payable to your fund.
For more information
Visit www.putnaminvestments.com A secure section of our Web site
contains complete information on your account, including balances and
transactions, updated daily. You may also conduct transactions, such as
exchanges, additional investments, and address changes. Log on today to
get your password.
Use our toll-free number 1-800-225-1581 Ask a helpful Putnam
representative or your financial advisor for details about any of these
or other services, or see your prospectus.
* This privilege is subject to change or termination. An exchange of
funds may result in a taxable event. Certain funds have imposed a 1%
redemption fee on total assets redeemed or exchanged within 90 days of
purchase. See a prospectus for details. For shares purchased on or after
April 19, 2004, a 2% redemption fee will be applied to shares exchanged
or sold within 5 days of purchase.
The Putnam family of funds
The following is a complete list of Putnam's open-end mutual funds.
Investors should consider the investment objective, risks, charges, and
expenses of a fund before investing. For a prospectus containing this
and other information for any Putnam fund or product, call your
financial advisor at 1-800-225-1581 and ask for a prospectus. Please
read the prospectus carefully before investing.
Growth Funds
Discovery Growth Fund
Growth Opportunities Fund
Health Sciences Trust
International New Opportunities Fund*
New Opportunities Fund
OTC & Emerging Growth Fund
Small Cap Growth Fund
Vista Fund
Voyager Fund
Blend Funds
Capital Appreciation Fund
Capital Opportunities Fund
Europe Equity Fund*
Global Equity Fund*
Global Natural Resources Fund*
International Capital Opportunities Fund*
International Equity Fund*
Investors Fund
Research Fund
Tax Smart Equity Fund
Utilities Growth and Income Fund
Value Funds
Classic Equity Fund
Convertible Income-Growth Trust
Equity Income Fund
The George Putnam Fund of Boston
The Putnam Fund for Growth and Income
International Growth and Income Fund*
Mid Cap Value Fund
New Value Fund
Small Cap Value Fund+
Income Funds
American Government Income Fund
Diversified Income Trust
Global Income Trust*
High Yield Advantage Fund+*
High Yield Trust*
Income Fund
Intermediate U.S. Government
Income Fund
Money Market Fund++
U.S. Government Income Trust
Tax-free Income Funds
Municipal Income Fund
Tax Exempt Income Fund
Tax Exempt Money Market Fund
Tax-Free High Yield Fund
Tax-Free Insured Fund
State tax-free income funds
Arizona, California, Florida, Massachusetts, Michigan, Minnesota, New
Jersey, New York, Ohio and Pennsylvania
Asset Allocation Funds
Putnam Asset Allocation Funds--three investment portfolios that spread
your money across a variety of stocks, bonds, and money market
investments.
The three portfolios:
Asset Allocation: Balanced Portfolio
Asset Allocation: Conservative Portfolio
Asset Allocation: Growth Portfolio
* A 1% redemption fee on total assets redeemed or exchanged within 90
days of purchase may be imposed for all share classes of these funds.
+ Closed to new investors.
++ An investment in a money market fund is not insured or guaranteed by the
Federal Deposit Insurance Corporation or any other government agency.
Although the funds seek to preserve your investment at $1.00 per share,
it is possible to lose money by investing in the fund.
For shares purchased on or after April 19, 2004, a 2% redemption fee
will be applied to shares exchanged or sold within 5 days of purchase.
Check your account balances and the most recent month-end performance at
www.putnaminvestments.com.
Fund information
One of the largest mutual fund families in the United States, Putnam
Investments has a heritage of investment leadership dating back to Judge
Samuel Putnam, whose Prudent Man Rule has defined fiduciary tradition
and practice since 1830. Founded over 65 years ago, Putnam Investments
was built around the concept that a balance between risk and reward is
the hallmark of a well-rounded financial program. We presently manage
over 100 mutual funds in growth, value, blend, fixed income, and
international.
Investment Manager
Putnam Investment
Management, LLC
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Retail Management
One Post Office Square
Boston, MA 02109
Custodian
Putnam Fiduciary Trust Company
Legal Counsel
Ropes & Gray LLP
Trustees
John A. Hill, Chairman
Jameson Adkins Baxter
Charles B. Curtis
Ronald J. Jackson
Paul L. Joskow
Elizabeth T. Kennan
John H. Mullin III
Robert E. Patterson
George Putnam, III
A.J.C. Smith
W. Thomas Stephens
W. Nicholas Thorndike
Officers
George Putnam, III
President
Charles E. Porter
Executive Vice President, Treasurer and Principal Executive Officer
Patricia C. Flaherty
Senior Vice President
Steven D. Krichmar
Vice President and
Principal Financial Officer
Michael T. Healy
Assistant Treasurer and Principal Accounting Officer
Beth S. Mazor
Vice President
Gordon H. Silver
Vice President
Mark C. Trenchard
Vice President and
BSA Compliance Officer
William H. Woolverton
Vice President and
Chief Legal Officer
Judith Cohen
Clerk and Assistant Treasurer
This report is for the information of shareholders of The George Putnam
Fund of Boston. It may also be used as sales literature when preceded or
accompanied by the current prospectus, the most recent copy of Putnam's
Quarterly Performance Summary, and Putnam's Quarterly Ranking Summary.
For more recent performance, please visit www.putnaminvestments.com.
Investors should consider the investment objective, risks, charges, and
expenses of a fund, which are described in its prospectus. For more
information or to request a prospectus, call 1-800-225-1581 toll free.
Please read the prospectus carefully before investing. The fund's
Statement of Additional Information contains additional information
about the fund's Trustees and is available without charge upon request
by calling 1-800-225-1581.
[LOGO OMITTED]
PUTNAM INVESTMENTS
The Putnam Funds
One Post Office Square
Boston, Massachusetts 02109
PRSRT STD
U.S. POSTAGE PAID
PUTNAM
INVESTMENTS
Call 1-800-225-1581 or visit our Web site www.putnaminvestments.com.
SA021-211469 001/880/2NE/242/22E 3/04
Not FDIC Insured May Lose Value No Bank Guarantee
PUTNAM INVESTMENTS [SCALE LOGO OMITTED]
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The George Putnam Fund of Boston
Supplement to Semiannual Report dated 1/31/04
The following information has been prepared to provide class Y
shareholders with a performance overview specific to their holdings.
Class Y shares are offered exclusively to clients that meet the
eligibility requirements specified in the fund's prospectus for such
shares. Performance of class Y shares, which do not incur a front-end
load, a distribution fee, or a contingent deferred sales charge, will
differ from the performance of class A, B, C, M, and R shares, which are
discussed more extensively in the semiannual report.
RESULTS AT A GLANCE
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Total return for periods ended 1/31/04
NAV
6 months 10.68%
1 year 20.97
5 years 19.97
Annual average 3.71
10 years 141.39
Annual average 9.21
Life of fund (since class A inception, 11/5/37)
Annual average 9.53
Share value: NAV
7/31/03 $15.76
1/31/04 $17.23
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Distributions: No. Income Capital gains Total
2 $0.197 -- $0.197
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Please note that past performance is not indicative of future results.
More recent returns may be more or less than those shown. Returns shown
for class Y shares for periods prior to their inception are derived from
the historical performance of class A shares, and are not adjusted to
reflect the initial sales charge currently applicable to class A shares.
These returns have not been adjusted to reflect differences in operating
expenses which, for class Y shares, typically are lower than the
operating expenses applicable to class A shares. All returns assume
reinvestment of distributions at net asset value. Investment return and
principal value will fluctuate so your shares, when redeemed, may be
worth more or less than their original cost. See full report for
information on comparative benchmarks. If you have questions, please
consult your fund prospectus or call Putnam toll free at 1-800-752-9894.
Item 2. Code of Ethics:
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Not applicable
Item 3. Audit Committee Financial Expert:
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Not applicable
Item 4. Principal Accountant Fees and Services:
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Not applicable
Items 5-6. [Reserved]
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Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed End
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Management Investment Companies: Not applicable
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Item 8. [Reserved]
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Item 9. Submission of Matters to a Vote of Security Holders:
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Not applicable
Item 10. Controls and Procedures:
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(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 on Form N-CSR, that the design and
operation of such procedures are generally effective to provide
reasonable assurance that information required to be disclosed by
the investment company in the reports that it files or submits under
the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the
Commission's rules and forms.
Although such officers reached the conclusion expressed in the
preceding paragraph, they are aware of matters that raise concerns
with respect to controls, each of which arose in connection with the
administration of 401(k) plans by Putnam Fiduciary Trust Company.
The first matter, which occurred in early 2001, involved the willful
circumvention of controls by certain Putnam employees in connection
with the correction of operational errors with respect to a 401(k)
client's investment in certain Putnam Funds, which led to losses in
the registrant and four other Putnam Funds. Such officers became
aware of this matter in February 2004. The second matter, which
occurred in 2002, involved the willful circumvention by certain
Putnam employees of policies and procedures in connection with the
payment of Putnam corporate expenses. Such officers did not learn
that this matter involved a Putnam Fund until January 2004. Putnam
made restitution to the registrant of approximately $169,000
on February 27, 2004, representing less than 0.01% of the fund's
net assets and less than $.001 per share outstanding on such date.
Putnam and the registrant's Trustees are continuing to review these
matters to determine if additional restitution is warranted. Putnam
has also made restitution to the other affected Funds, implemented a
number of personnel changes, including senior personnel, begun to
implement changes in procedures to address these items and informed
the SEC, the Funds' Trustees and independent auditors. An internal
investigation and review of procedures and controls are currently
ongoing.
In reaching the conclusion expressed herein, the registrant's
principal executive officer and principal financial officer
considered a number of factors, including the nature of the matters
described above, when the matters occurred, the individuals
involved, personnel changes that have occurred since these matters
occurred, the results to date of the current ongoing investigation
and the overall quality of controls at Putnam at this time.
(b) Changes in internal control over financial reporting:
Not applicable
Item 11. Exhibits:
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(a) Not applicable
(b) 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, and the officer
certifications as required by Section 906 of the Sarbanes-Oxley Act of 2002
are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
an 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
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Michael T. Healy
Principal Accounting Officer
Date: April 15, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934
an 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
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Charles E. Porter
Principal Executive Officer
Date: April 15, 2004
By (Signature and Title): /s/Steven D. Krichmar
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Steven D. Krichmar
Principal Financial Officer
Date: April 15, 2004