N-Q 1 bondindex_final.htm VANGUARD BOND INDEX FUND bondindex_final.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

Investment Company Act file number: 811-4681

Name of Registrant: Vanguard Bond Index Funds

Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482

Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482

Date of fiscal year end: December 31st

Date of reporting period: March 31, 2011

Item 1: Schedule of Investments

 

Vanguard Short-Term Bond Index Fund

Schedule of Investments
As of March 31, 2011

      Face  Market 
    Maturity  Amount  Value 
  Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (70.3%)         
U.S. Government Securities (56.2%)         
United States Treasury Note/Bond  0.875%  4/30/11  114  114 
United States Treasury Note/Bond  0.625%  6/30/12  41,570  41,667 
United States Treasury Note/Bond  4.875%  6/30/12  84,970  89,657 
United States Treasury Note/Bond  1.500%  7/15/12  15,740  15,954 
United States Treasury Note/Bond  0.625%  7/31/12  260,382  260,911 
United States Treasury Note/Bond  4.625%  7/31/12  166,380  175,531 
United States Treasury Note/Bond  1.750%  8/15/12  407,100  414,033 
United States Treasury Note/Bond  4.375%  8/15/12  4,055  4,270 
United States Treasury Note/Bond  0.375%  8/31/12  4,275  4,266 
United States Treasury Note/Bond  4.125%  8/31/12  28,355  29,782 
United States Treasury Note/Bond  1.375%  9/15/12  509,680  515,654 
United States Treasury Note/Bond  0.375%  9/30/12  35,336  35,231 
United States Treasury Note/Bond  1.375%  10/15/12  398,515  403,249 
United States Treasury Note/Bond  3.875%  10/31/12  59,730  62,810 
United States Treasury Note/Bond  1.375%  11/15/12  372,267  376,630 
United States Treasury Note/Bond  4.000%  11/15/12  114,685  120,903 
United States Treasury Note/Bond  0.500%  11/30/12  190,295  189,789 
United States Treasury Note/Bond  3.375%  11/30/12  19,440  20,327 
United States Treasury Note/Bond  1.125%  12/15/12  282,905  284,939 
United States Treasury Note/Bond  0.625%  12/31/12  274,465  274,037 
United States Treasury Note/Bond  3.625%  12/31/12  53,126  55,849 
United States Treasury Note/Bond  1.375%  1/15/13  358,220  362,193 
United States Treasury Note/Bond  0.625%  1/31/13  161,125  160,722 
United States Treasury Note/Bond  2.875%  1/31/13  57,910  60,190 
United States Treasury Note/Bond  1.375%  2/15/13  162,178  164,002 
United States Treasury Note/Bond  3.875%  2/15/13  68,680  72,715 
United States Treasury Note/Bond  0.625%  2/28/13  238,350  237,530 
United States Treasury Note/Bond  2.750%  2/28/13  56,089  58,183 
United States Treasury Note/Bond  1.375%  3/15/13  154,148  155,810 
United States Treasury Note/Bond  0.750%  3/31/13  230,518  230,158 
United States Treasury Note/Bond  1.750%  4/15/13  177,045  180,226 
United States Treasury Note/Bond  1.375%  5/15/13  70,225  70,938 
United States Treasury Note/Bond  3.500%  5/31/13  64,620  68,265 
United States Treasury Note/Bond  1.125%  6/15/13  190,683  191,457 
United States Treasury Note/Bond  3.375%  6/30/13  375  395 
United States Treasury Note/Bond  3.375%  7/31/13  4,205  4,440 
United States Treasury Note/Bond  4.250%  8/15/13  49,640  53,433 
United States Treasury Note/Bond  3.125%  8/31/13  99,925  104,984 
United States Treasury Note/Bond  3.125%  9/30/13  139,545  146,674 
United States Treasury Note/Bond  2.750%  10/31/13  140,015  145,922 
United States Treasury Note/Bond  0.500%  11/15/13  24,902  24,505 
United States Treasury Note/Bond  4.250%  11/15/13  116,043  125,581 
United States Treasury Note/Bond  2.000%  11/30/13  94,070  96,172 
United States Treasury Note/Bond  0.750%  12/15/13  2,415  2,389 
United States Treasury Note/Bond  1.500%  12/31/13  25,865  26,087 
United States Treasury Note/Bond  1.000%  1/15/14  135,050  134,269 
United States Treasury Note/Bond  1.750%  1/31/14  94,645  96,050 
United States Treasury Note/Bond  1.250%  2/15/14  69,495  69,484 
United States Treasury Note/Bond  4.000%  2/15/14  2,805  3,029 

 

 

United States Treasury Note/Bond  1.875%  2/28/14  268,425  273,165 
United States Treasury Note/Bond  1.250%  3/15/14  225  225 
United States Treasury Note/Bond  1.750%  3/31/14  291,695  295,615 
United States Treasury Note/Bond  1.875%  4/30/14  246,125  250,164 
United States Treasury Note/Bond  2.250%  5/31/14  243,510  250,056 
United States Treasury Note/Bond  2.625%  6/30/14  321,055  333,345 
United States Treasury Note/Bond  2.625%  7/31/14  349,460  362,621 
United States Treasury Note/Bond  2.375%  8/31/14  157,011  161,500 
United States Treasury Note/Bond  2.375%  9/30/14  111,675  114,799 
United States Treasury Note/Bond  2.375%  10/31/14  355,785  365,402 
United States Treasury Note/Bond  2.125%  11/30/14  229,550  233,425 
United States Treasury Note/Bond  2.625%  12/31/14  48,675  50,341 
United States Treasury Note/Bond  2.250%  1/31/15  4,020  4,099 
United States Treasury Note/Bond  11.250%  2/15/15  47,092  63,964 
United States Treasury Note/Bond  2.375%  2/28/15  210,482  215,350 
United States Treasury Note/Bond  2.500%  3/31/15  395,038  405,838 
United States Treasury Note/Bond  2.500%  4/30/15  105,192  107,936 
United States Treasury Note/Bond  4.125%  5/15/15  25,900  28,247 
United States Treasury Note/Bond  2.125%  5/31/15  80,975  81,760 
United States Treasury Note/Bond  1.875%  6/30/15  210,803  210,409 
United States Treasury Note/Bond  1.750%  7/31/15  215,235  213,386 
United States Treasury Note/Bond  1.250%  8/31/15  94,883  91,844 
United States Treasury Note/Bond  1.250%  9/30/15  106,114  102,483 
United States Treasury Note/Bond  1.250%  10/31/15  258,700  249,281 
United States Treasury Note/Bond  1.375%  11/30/15  233,650  225,947 
United States Treasury Note/Bond  2.125%  12/31/15  224,550  224,269 
United States Treasury Note/Bond  2.000%  1/31/16  60,900  60,377 
United States Treasury Note/Bond  4.500%  2/15/16  86,813  96,200 
United States Treasury Note/Bond  2.125%  2/29/16  235,940  234,871 
United States Treasury Note/Bond  2.625%  2/29/16  8,150  8,304 
United States Treasury Note/Bond  2.250%  3/31/16  10,000  9,997 
United States Treasury Note/Bond  2.375%  3/31/16  182,027  183,052 
        11,929,678 
Agency Bonds and Notes (14.1%)         
1 Ally Financial Inc.  1.750%  10/30/12  7,300  7,415 
1 Ally Financial Inc.  2.200%  12/19/12  17,275  17,674 
1 Bank of America Corp.  2.100%  4/30/12  27,175  27,673 
1 Bank of America Corp.  3.125%  6/15/12  37,125  38,278 
1 Bank of America Corp.  2.375%  6/22/12  7,675  7,843 
1 Citibank NA  1.875%  5/7/12  18,600  18,875 
1 Citibank NA  1.750%  12/28/12  13,700  13,908 
1 Citigroup Funding Inc.  2.125%  7/12/12  21,425  21,842 
1 Citigroup Funding Inc.  1.875%  10/22/12  8,912  9,064 
1 Citigroup Funding Inc.  2.250%  12/10/12  3,000  3,072 
1 Citigroup Inc.  2.125%  4/30/12  38,525  39,207 
2 Federal Agricultural Mortgage Corp.  1.250%  12/6/13  3,345  3,318 
2 Federal Agricultural Mortgage Corp.  2.125%  9/15/15  1,925  1,906 
2 Federal Farm Credit Bank  2.250%  4/24/12  3,800  3,876 
2 Federal Farm Credit Bank  2.125%  6/18/12  8,700  8,878 
2 Federal Farm Credit Bank  4.500%  10/17/12  24,200  25,618 
2 Federal Farm Credit Bank  1.875%  12/7/12  6,200  6,316 
2 Federal Farm Credit Bank  1.750%  2/21/13  5,700  5,792 
2 Federal Farm Credit Bank  1.375%  6/25/13  10,000  10,076 
2 Federal Farm Credit Bank  3.875%  10/7/13  17,500  18,647 
2 Federal Farm Credit Bank  1.125%  2/27/14  5,250  5,210 
2 Federal Farm Credit Bank  2.625%  4/17/14  5,500  5,690 
2 Federal Farm Credit Bank  3.000%  9/22/14  3,500  3,650 

 

 

2 Federal Farm Credit Bank  1.500%  11/16/15  4,500  4,342 
2 Federal Farm Credit Bank  4.875%  12/16/15  12,450  13,851 
2 Federal Home Loan Banks  1.125%  5/18/12  39,375  39,696 
2 Federal Home Loan Banks  1.375%  6/8/12  5,100  5,157 
2 Federal Home Loan Banks  1.875%  6/20/12  17,500  17,805 
2 Federal Home Loan Banks  0.875%  8/22/12  64,805  65,034 
2 Federal Home Loan Banks  1.750%  8/22/12  8,000  8,125 
2 Federal Home Loan Banks  1.625%  9/26/12  25,770  26,141 
2 Federal Home Loan Banks  4.500%  11/15/12  30,000  31,826 
2 Federal Home Loan Banks  1.625%  11/21/12  50,000  50,729 
2 Federal Home Loan Banks  1.750%  12/14/12  10,600  10,768 
2 Federal Home Loan Banks  1.500%  1/16/13  36,425  36,878 
2 Federal Home Loan Banks  1.625%  3/20/13  21,375  21,686 
2 Federal Home Loan Banks  1.000%  3/27/13  39,525  39,595 
2 Federal Home Loan Banks  1.875%  6/21/13  77,305  78,737 
2 Federal Home Loan Banks  5.125%  8/14/13  17,935  19,628 
2 Federal Home Loan Banks  4.000%  9/6/13  21,850  23,344 
2 Federal Home Loan Banks  5.250%  9/13/13  5,425  5,951 
2 Federal Home Loan Banks  4.500%  9/16/13  1,450  1,567 
2 Federal Home Loan Banks  3.625%  10/18/13  30,600  32,438 
2 Federal Home Loan Banks  4.875%  11/27/13  2,950  3,222 
2 Federal Home Loan Banks  3.125%  12/13/13  17,875  18,707 
2 Federal Home Loan Banks  0.875%  12/27/13  10,000  9,885 
2 Federal Home Loan Banks  2.500%  6/13/14  9,675  9,966 
2 Federal Home Loan Banks  5.500%  8/13/14  18,900  21,297 
2 Federal Home Loan Banks  0.875%  12/12/14  9,600  9,256 
2 Federal Home Loan Banks  2.750%  12/12/14  57,650  59,530 
2 Federal Home Loan Mortgage Corp.  1.750%  6/15/12  42,000  42,664 
2 Federal Home Loan Mortgage Corp.  5.125%  7/15/12  20,600  21,806 
2 Federal Home Loan Mortgage Corp.  5.500%  8/20/12  30,000  32,022 
2 Federal Home Loan Mortgage Corp.  1.000%  8/28/12  6,425  6,462 
2 Federal Home Loan Mortgage Corp.  2.125%  9/21/12  60,210  61,519 
2 Federal Home Loan Mortgage Corp.  4.625%  10/25/12  36,300  38,528 
2 Federal Home Loan Mortgage Corp.  0.375%  11/30/12  14,000  13,916 
2 Federal Home Loan Mortgage Corp.  4.125%  12/21/12  22,850  24,159 
2 Federal Home Loan Mortgage Corp.  0.625%  12/28/12  30,525  30,454 
2 Federal Home Loan Mortgage Corp.  0.750%  12/28/12  62,000  61,937 
2 Federal Home Loan Mortgage Corp.  0.750%  3/28/13  10,000  9,971 
2 Federal Home Loan Mortgage Corp.  1.625%  4/15/13  16,000  16,224 
2 Federal Home Loan Mortgage Corp.  3.500%  5/29/13  40,000  42,133 
2 Federal Home Loan Mortgage Corp.  4.500%  7/15/13  97,665  105,220 
2 Federal Home Loan Mortgage Corp.  4.125%  9/27/13  14,075  15,100 
2 Federal Home Loan Mortgage Corp.  0.875%  10/28/13  8,600  8,524 
2 Federal Home Loan Mortgage Corp.  2.500%  1/7/14  42,510  43,852 
2 Federal Home Loan Mortgage Corp.  4.500%  1/15/14  15,000  16,292 
2 Federal Home Loan Mortgage Corp.  5.000%  1/30/14  9,000  9,898 
2 Federal Home Loan Mortgage Corp.  1.375%  2/25/14  20,000  19,984 
2 Federal Home Loan Mortgage Corp.  2.500%  4/23/14  19,000  19,582 
2 Federal Home Loan Mortgage Corp.  5.000%  7/15/14  9,500  10,526 
2 Federal Home Loan Mortgage Corp.  3.000%  7/28/14  41,950  43,826 
2 Federal Home Loan Mortgage Corp.  2.875%  2/9/15  84,950  88,068 
2 Federal Home Loan Mortgage Corp.  1.750%  9/10/15  17,650  17,318 
2 Federal Home Loan Mortgage Corp.  4.750%  1/19/16  15,000  16,605 
2 Federal National Mortgage Assn.  1.000%  4/4/12  48,850  49,173 
2 Federal National Mortgage Assn.  1.875%  4/20/12  41,425  42,078 
2 Federal National Mortgage Assn.  4.875%  5/18/12  43,415  45,603 
2 Federal National Mortgage Assn.  1.250%  6/22/12  50,510  51,008 
2 Federal National Mortgage Assn.  1.125%  7/30/12  23,750  23,928 

 

 

2  Federal National Mortgage Assn.  5.250%  8/1/12  4,300  4,559 
2  Federal National Mortgage Assn.  4.375%  9/15/12  22,000  23,186 
2  Federal National Mortgage Assn.  0.625%  9/24/12  10,475  10,473 
2  Federal National Mortgage Assn.  4.750%  11/19/12  15,000  15,977 
2  Federal National Mortgage Assn.  0.375%  12/28/12  11,890  11,809 
2  Federal National Mortgage Assn.  3.625%  2/12/13  39,825  41,850 
2  Federal National Mortgage Assn.  4.750%  2/21/13  14,925  15,990 
2  Federal National Mortgage Assn.  0.750%  2/26/13  18,050  18,013 
2  Federal National Mortgage Assn.  4.375%  3/15/13  41,500  44,298 
2  Federal National Mortgage Assn.  4.625%  5/1/13  10,550  11,289 
2  Federal National Mortgage Assn.  1.750%  5/7/13  24,550  24,947 
2  Federal National Mortgage Assn.  1.250%  8/20/13  59,325  59,507 
2  Federal National Mortgage Assn.  1.000%  9/23/13  50,000  49,807 
2  Federal National Mortgage Assn.  4.625%  10/15/13  9,850  10,685 
2  Federal National Mortgage Assn.  0.750%  12/18/13  32,685  32,187 
2  Federal National Mortgage Assn.  5.125%  1/2/14  9,550  10,428 
2  Federal National Mortgage Assn.  2.750%  2/5/14  4,900  5,088 
2  Federal National Mortgage Assn.  1.250%  2/27/14  20,300  20,194 
2  Federal National Mortgage Assn.  2.750%  3/13/14  71,555  74,267 
2  Federal National Mortgage Assn.  4.125%  4/15/14  13,450  14,502 
2  Federal National Mortgage Assn.  2.500%  5/15/14  32,550  33,526 
2  Federal National Mortgage Assn.  3.000%  9/16/14  45,075  47,030 
2  Federal National Mortgage Assn.  4.625%  10/15/14  18,225  20,020 
2  Federal National Mortgage Assn.  2.625%  11/20/14  15,125  15,577 
2  Federal National Mortgage Assn.  5.000%  4/15/15  25,000  27,900 
2  Federal National Mortgage Assn.  2.375%  7/28/15  65,900  66,599 
2  Federal National Mortgage Assn.  4.375%  10/15/15  6,400  6,979 
2  Federal National Mortgage Assn.  1.625%  10/26/15  15,200  14,772 
2  Federal National Mortgage Assn.  5.000%  3/15/16  52,800  59,082 
2  Federal National Mortgage Assn.  2.375%  4/11/16  9,000  8,965 
1  General Electric Capital Corp.  2.200%  6/8/12  21,925  22,358 
1  General Electric Capital Corp.  2.000%  9/28/12  28,000  28,534 
1  General Electric Capital Corp.  2.125%  12/21/12  3,200  3,271 
1  General Electric Capital Corp.  2.625%  12/28/12  28,500  29,376 
1  Goldman Sachs Group Inc.  3.250%  6/15/12  31,500  32,525 
1  John Deere Capital Corp.  2.875%  6/19/12  4,000  4,113 
1  JPMorgan Chase & Co.  2.200%  6/15/12  22,900  23,346 
1  JPMorgan Chase & Co.  2.125%  12/26/12  6,250  6,390 
1  Morgan Stanley  1.950%  6/20/12  18,050  18,362 
1  PNC Funding Corp.  2.300%  6/22/12  8,025  8,195 
  Private Export Funding Corp.  3.050%  10/15/14  900  932 
1  State Street Corp.  2.150%  4/30/12  5,150  5,239 
3  US Central Federal Credit Union  1.900%  10/19/12  6,375  6,478 
1  Wells Fargo & Co.  2.125%  6/15/12  9,475  9,657 
3  Western Corporate Federal Credit Union  1.750%  11/2/12  3,100  3,142 
          2,998,793 
Total U.S. Government and Agency Obligations (Cost $14,801,266)      14,928,471 
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)       
4  BA Covered Bond Issuer  5.500%  6/14/12  6,800  7,102 
4  Cie de Financement Foncier  2.125%  4/22/13  3,600  3,624 
*,5  Countrywide Home Loan Mortgage Pass         
  Through Trust  2.916%  5/25/33  221  177 
4  Nationwide Building Society  5.500%  7/18/12  2,700  2,836 
4  Royal Bank of Canada  3.125%  4/14/15  5,750  5,897 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $19,073)    19,636 

 

 

Corporate Bonds (21.1%)         
Finance (9.8%)         
Banking (7.0%)         
American Express Bank FSB  5.550%  10/17/12  13,150  13,922 
American Express Bank FSB  5.500%  4/16/13  2,000  2,144 
American Express Centurion Bank  5.550%  10/17/12  550  583 
American Express Credit Corp.  5.875%  5/2/13  7,750  8,363 
American Express Credit Corp.  7.300%  8/20/13  5,475  6,121 
American Express Credit Corp.  5.125%  8/25/14  17,000  18,340 
American Express Credit Corp.  2.750%  9/15/15  4,175  4,091 
Banco Bradesco SA  8.750%  10/24/13  1,500  1,706 
Banco Santander Chile  2.875%  11/13/12  850  848 
4 BanColombia SA  4.250%  1/12/16  2,600  2,573 
Bank of America Corp.  5.375%  9/11/12  6,175  6,508 
Bank of America Corp.  4.875%  9/15/12  6,550  6,856 
Bank of America Corp.  4.875%  1/15/13  1,500  1,576 
Bank of America Corp.  4.900%  5/1/13  9,300  9,787 
Bank of America Corp.  7.375%  5/15/14  13,200  14,884 
Bank of America Corp.  5.375%  6/15/14  3,425  3,668 
Bank of America Corp.  5.125%  11/15/14  5,150  5,487 
Bank of America Corp.  4.500%  4/1/15  14,700  15,247 
Bank of America Corp.  3.700%  9/1/15  11,475  11,478 
Bank of America Corp.  3.625%  3/17/16  9,425  9,258 
Bank of Montreal  2.125%  6/28/13  3,875  3,939 
Bank of New York Mellon Corp.  6.375%  4/1/12  1,000  1,055 
Bank of New York Mellon Corp.  4.950%  11/1/12  18,400  19,514 
Bank of New York Mellon Corp.  4.500%  4/1/13  2,200  2,343 
Bank of New York Mellon Corp.  5.125%  8/27/13  2,830  3,071 
Bank of New York Mellon Corp.  4.300%  5/15/14  4,625  4,944 
Bank of New York Mellon Corp.  4.950%  3/15/15  1,700  1,828 
Bank of New York Mellon Corp.  2.500%  1/15/16  3,000  2,974 
Bank of Nova Scotia  2.250%  1/22/13  7,475  7,628 
Bank of Nova Scotia  2.375%  12/17/13  6,500  6,625 
Bank of Nova Scotia  3.400%  1/22/15  5,000  5,158 
Bank of Nova Scotia  2.050%  10/7/15  6,550  6,378 
4 Bank of Tokyo-Mitsubishi UFJ Ltd.  2.450%  9/11/15  2,000  1,925 
Bank One Corp.  4.900%  4/30/15  2,375  2,489 
Barclays Bank plc  5.450%  9/12/12  1,075  1,139 
Barclays Bank plc  2.500%  1/23/13  23,900  24,298 
Barclays Bank plc  5.200%  7/10/14  13,825  14,931 
BB&T Corp.  3.850%  7/27/12  2,825  2,921 
BB&T Corp.  4.750%  10/1/12  1,500  1,571 
BB&T Corp.  3.375%  9/25/13  3,275  3,403 
BB&T Corp.  5.700%  4/30/14  1,700  1,875 
BB&T Corp.  5.200%  12/23/15  5,200  5,541 
BB&T Corp.  3.200%  3/15/16  1,975  1,954 
Bear Stearns Cos. LLC  6.950%  8/10/12  1,600  1,720 
Bear Stearns Cos. LLC  5.700%  11/15/14  2,825  3,107 
BNP Paribas  3.250%  3/11/15  9,075  9,168 
BNP Paribas  3.600%  2/23/16  12,300  12,304 
BNP Paribas / BNP Paribas US Medium-Term         
Note Program LLC  2.125%  12/21/12  6,175  6,255 
BNY Mellon NA  4.750%  12/15/14  1,300  1,407 
Canadian Imperial Bank of Commerce  1.450%  9/13/13  4,550  4,529 
Canadian Imperial Bank of Commerce  2.350%  12/11/15  2,625  2,537 
Capital One Financial Corp.  7.375%  5/23/14  15,725  18,045 
Citigroup Inc.  5.625%  8/27/12  8,500  8,939 

 

 

Citigroup Inc.  5.300%  10/17/12  16,800  17,718 
Citigroup Inc.  5.500%  4/11/13  28,000  29,912 
Citigroup Inc.  6.500%  8/19/13  7,700  8,407 
Citigroup Inc.  6.000%  12/13/13  16,700  18,141 
Citigroup Inc.  5.125%  5/5/14  2,525  2,687 
Citigroup Inc.  6.375%  8/12/14  10,550  11,644 
Citigroup Inc.  5.000%  9/15/14  14,275  14,821 
Citigroup Inc.  5.500%  10/15/14  8,375  9,026 
Citigroup Inc.  6.010%  1/15/15  6,700  7,314 
Citigroup Inc.  4.750%  5/19/15  8,225  8,583 
Citigroup Inc.  4.700%  5/29/15  2,600  2,709 
Citigroup Inc.  4.587%  12/15/15  4,575  4,708 
Citigroup Inc.  5.300%  1/7/16  7,575  8,060 
Comerica Inc.  4.800%  5/1/15  1,500  1,580 
Comerica Inc.  3.000%  9/16/15  1,900  1,886 
Cooperatieve Centrale Raiffeisen-         
Boerenleenbank BA  1.850%  1/10/14  8,150  8,123 
Cooperatieve Centrale Raiffeisen-         
Boerenleenbank BA  2.125%  10/13/15  3,000  2,893 
Countrywide Financial Corp.  5.800%  6/7/12  3,850  4,046 
Credit Suisse  3.450%  7/2/12  21,400  22,009 
Credit Suisse  5.000%  5/15/13  10,800  11,502 
Credit Suisse  2.200%  1/14/14  1,900  1,904 
Credit Suisse  5.500%  5/1/14  16,450  18,006 
Credit Suisse  3.500%  3/23/15  15,450  15,729 
Credit Suisse USA Inc.  5.500%  8/15/13  975  1,058 
Credit Suisse USA Inc.  4.875%  1/15/15  5,755  6,177 
Deutsche Bank AG  5.375%  10/12/12  19,650  20,843 
Deutsche Bank AG  2.375%  1/11/13  6,600  6,700 
Deutsche Bank AG  4.875%  5/20/13  8,550  9,074 
Deutsche Bank AG  3.875%  8/18/14  1,200  1,252 
Deutsche Bank AG  3.450%  3/30/15  10,350  10,573 
Deutsche Bank AG  3.250%  1/11/16  5,725  5,731 
FIA Card Services NA  6.625%  6/15/12  1,000  1,049 
Fifth Third Bancorp  6.250%  5/1/13  5,375  5,822 
Fifth Third Bancorp  3.625%  1/25/16  6,725  6,711 
Fifth Third Bank  4.750%  2/1/15  2,800  2,931 
First Horizon National Corp.  5.375%  12/15/15  2,600  2,714 
First Tennessee Bank NA  5.050%  1/15/15  3,425  3,482 
Golden West Financial Corp.  4.750%  10/1/12  4,425  4,650 
5 Goldman Sachs Capital II  5.793%  12/29/49  6,250  5,375 
Goldman Sachs Group Inc.  3.625%  8/1/12  1,800  1,855 
Goldman Sachs Group Inc.  5.700%  9/1/12  3,250  3,444 
Goldman Sachs Group Inc.  5.450%  11/1/12  8,050  8,553 
Goldman Sachs Group Inc.  4.750%  7/15/13  13,000  13,751 
Goldman Sachs Group Inc.  5.250%  10/15/13  5,125  5,505 
Goldman Sachs Group Inc.  5.150%  1/15/14  3,575  3,834 
Goldman Sachs Group Inc.  6.000%  5/1/14  36,425  39,885 
Goldman Sachs Group Inc.  5.125%  1/15/15  4,400  4,694 
Goldman Sachs Group Inc.  3.700%  8/1/15  14,350  14,445 
Goldman Sachs Group Inc.  5.350%  1/15/16  7,100  7,579 
Goldman Sachs Group Inc.  3.625%  2/7/16  13,525  13,366 
Goldman Sachs Group Inc.  5.750%  10/1/16  4,000  4,327 
HSBC Bank USA NA  4.625%  4/1/14  1,125  1,193 
HSBC Holdings plc  5.250%  12/12/12  6,500  6,865 
4 ICICI Bank Ltd.  6.625%  10/3/12  6,275  6,642 
JPMorgan Chase & Co.  5.375%  10/1/12  48,375  51,246 
JPMorgan Chase & Co.  5.750%  1/2/13  1,900  2,028 

 

 

JPMorgan Chase & Co.  4.750%  5/1/13  5,325  5,656 
JPMorgan Chase & Co.  1.650%  9/30/13  6,350  6,315 
JPMorgan Chase & Co.  4.650%  6/1/14  9,300  9,916 
JPMorgan Chase & Co.  5.125%  9/15/14  5,275  5,640 
JPMorgan Chase & Co.  3.700%  1/20/15  9,725  9,962 
JPMorgan Chase & Co.  4.750%  3/1/15  2,050  2,185 
JPMorgan Chase & Co.  5.250%  5/1/15  3,975  4,246 
JPMorgan Chase & Co.  3.400%  6/24/15  25,725  25,963 
JPMorgan Chase & Co.  5.150%  10/1/15  3,000  3,207 
JPMorgan Chase & Co.  2.600%  1/15/16  7,500  7,201 
JPMorgan Chase & Co.  3.450%  3/1/16  3,000  2,978 
KeyBank NA  5.500%  9/17/12  1,025  1,079 
KeyBank NA  5.800%  7/1/14  3,000  3,269 
KeyBank NA  4.950%  9/15/15  1,000  1,047 
KeyBank NA  5.450%  3/3/16  3,025  3,216 
KeyCorp  6.500%  5/14/13  8,875  9,667 
Lloyds TSB Bank plc  4.875%  1/21/16  14,075  14,438 
M&I Marshall & Ilsley Bank  5.250%  9/4/12  1,850  1,921 
M&T Bank Corp.  5.375%  5/24/12  300  313 
MBNA Corp.  6.125%  3/1/13  675  723 
5 Mellon Capital IV  6.244%  6/29/49  1,750  1,603 
Mellon Funding Corp.  5.000%  12/1/14  4,600  4,999 
Merrill Lynch & Co. Inc.  6.050%  8/15/12  21,275  22,542 
Merrill Lynch & Co. Inc.  5.450%  2/5/13  9,725  10,287 
Merrill Lynch & Co. Inc.  6.150%  4/25/13  6,050  6,514 
Merrill Lynch & Co. Inc.  5.450%  7/15/14  3,950  4,226 
Merrill Lynch & Co. Inc.  5.000%  1/15/15  10,400  10,935 
Morgan Stanley  5.625%  1/9/12  12,125  12,576 
Morgan Stanley  6.600%  4/1/12  2,590  2,736 
Morgan Stanley  5.750%  8/31/12  6,750  7,145 
Morgan Stanley  5.250%  11/2/12  14,175  14,979 
Morgan Stanley  5.300%  3/1/13  8,225  8,740 
Morgan Stanley  2.875%  1/24/14  2,425  2,430 
Morgan Stanley  4.750%  4/1/14  11,650  12,079 
Morgan Stanley  6.000%  5/13/14  13,375  14,517 
Morgan Stanley  4.200%  11/20/14  19,575  20,109 
Morgan Stanley  4.100%  1/26/15  8,075  8,260 
Morgan Stanley  6.000%  4/28/15  5,875  6,368 
Morgan Stanley  4.000%  7/24/15  3,000  3,033 
Morgan Stanley  5.375%  10/15/15  7,050  7,480 
Morgan Stanley  3.450%  11/2/15  6,925  6,783 
National City Bank  4.625%  5/1/13  2,275  2,393 
5 National City Preferred Capital Trust I  12.000%  12/31/49  2,825  3,196 
North Fork Bancorporation Inc.  5.875%  8/15/12  600  628 
Northern Trust Corp.  5.500%  8/15/13  1,875  2,051 
Northern Trust Corp.  4.625%  5/1/14  2,200  2,376 
Paribas  6.950%  7/22/13  775  843 
PNC Funding Corp.  3.625%  2/8/15  15,475  15,918 
Royal Bank of Canada  2.100%  7/29/13  11,800  12,013 
Royal Bank of Canada  2.625%  12/15/15  10,250  10,184 
Royal Bank of Scotland Group plc  5.050%  1/8/15  7,425  7,394 
Royal Bank of Scotland plc  3.400%  8/23/13  2,200  2,248 
Royal Bank of Scotland plc  3.250%  1/11/14  8,000  8,083 
4 Royal Bank of Scotland plc  4.875%  8/25/14  4,000  4,148 
Royal Bank of Scotland plc  4.875%  3/16/15  8,600  8,912 
Royal Bank of Scotland plc  3.950%  9/21/15  6,525  6,506 
SouthTrust Corp.  5.800%  6/15/14  1,350  1,450 
Sovereign Bank  5.125%  3/15/13  1,600  1,645 

 

 

  State Street Corp.  4.300%  5/30/14  1,000  1,070 
  State Street Corp.  2.875%  3/7/16  8,450  8,351 
  Sumitomo Mitsui Banking Corp.  8.000%  6/15/12  3,300  3,538 
  SunTrust Banks Inc.  5.250%  11/5/12  3,550  3,728 
  SunTrust Banks Inc.  3.600%  4/15/16  275  273 
  UBS AG  2.250%  1/28/14  7,975  7,987 
  UBS AG  3.875%  1/15/15  10,400  10,684 
  UFJ Finance Aruba AEC  6.750%  7/15/13  5,550  6,114 
4,5 Unicredit Luxembourg Finance SA  5.584%  1/13/17  500  486 
  US Bancorp  2.000%  6/14/13  10,950  11,092 
  US Bancorp  1.125%  10/30/13  4,850  4,779 
  US Bancorp  4.200%  5/15/14  8,600  9,153 
  US Bancorp  3.150%  3/4/15  4,800  4,902 
  US Bancorp  3.442%  2/1/16  1,825  1,812 
  US Bank NA  6.375%  8/1/11  2,850  2,903 
  US Bank NA  6.300%  2/4/14  1,850  2,055 
  US Bank NA  4.950%  10/30/14  1,350  1,456 
5  US Bank NA  3.778%  4/29/20  1,000  1,016 
  Wachovia Bank NA  4.800%  11/1/14  4,425  4,702 
  Wachovia Bank NA  5.000%  8/15/15  10,000  10,604 
  Wachovia Corp.  5.500%  5/1/13  14,330  15,423 
  Wachovia Corp.  5.250%  8/1/14  4,150  4,451 
  Wells Fargo & Co.  5.250%  10/23/12  13,225  14,033 
  Wells Fargo & Co.  4.375%  1/31/13  16,000  16,835 
  Wells Fargo & Co.  4.950%  10/16/13  4,975  5,307 
  Wells Fargo & Co.  3.750%  10/1/14  6,100  6,380 
  Wells Fargo & Co.  3.625%  4/15/15  7,900  8,140 
  Wells Fargo Bank NA  4.750%  2/9/15  8,150  8,639 
5  Wells Fargo Capital XIII  7.700%  12/29/49  9,825  10,120 
5  Wells Fargo Capital XV  9.750%  12/29/49  10,344  11,301 
  Westpac Banking Corp.  2.250%  11/19/12  22,975  23,340 
  Westpac Banking Corp.  4.200%  2/27/15  5,875  6,125 
  Westpac Banking Corp.  3.000%  8/4/15  10,025  9,967 
  Westpac Banking Corp.  3.000%  12/9/15  5,000  4,952 
 
  Brokerage (0.2%)         
  BlackRock Inc.  2.250%  12/10/12  1,500  1,526 
  BlackRock Inc.  3.500%  12/10/14  5,550  5,803 
  Charles Schwab Corp.  4.950%  6/1/14  5,684  6,192 
  Franklin Resources Inc.  2.000%  5/20/13  2,350  2,377 
  Franklin Resources Inc.  3.125%  5/20/15  1,400  1,438 
  Invesco Ltd.  5.375%  2/27/13  975  1,035 
  Jefferies Group Inc.  3.875%  11/9/15  3,900  3,908 
  Lazard Group LLC  7.125%  5/15/15  1,875  2,055 
  Nomura Holdings Inc.  5.000%  3/4/15  5,350  5,450 
  Nomura Holdings Inc.  4.125%  1/19/16  4,000  3,945 
  TD Ameritrade Holding Corp.  2.950%  12/1/12  1,050  1,071 
  TD Ameritrade Holding Corp.  4.150%  12/1/14  1,775  1,847 
 
  Finance Companies (1.2%)         
  Block Financial LLC  7.875%  1/15/13  2,150  2,316 
^  Block Financial LLC  5.125%  10/30/14  5,000  5,134 
  GATX Corp.  4.750%  10/1/12  800  836 
  GATX Corp.  8.750%  5/15/14  1,000  1,153 
  General Electric Capital Corp.  6.000%  6/15/12  11,650  12,338 
  General Electric Capital Corp.  3.500%  8/13/12  24,475  25,259 
  General Electric Capital Corp.  5.250%  10/19/12  24,450  25,912 
  General Electric Capital Corp.  2.800%  1/8/13  200  205 

 

 

General Electric Capital Corp.  5.450%  1/15/13  6,975  7,448 
General Electric Capital Corp.  4.800%  5/1/13  16,925  17,966 
General Electric Capital Corp.  1.875%  9/16/13  6,475  6,467 
General Electric Capital Corp.  2.100%  1/7/14  1,375  1,375 
General Electric Capital Corp.  5.900%  5/13/14  2,750  3,036 
General Electric Capital Corp.  5.500%  6/4/14  4,525  4,935 
General Electric Capital Corp.  5.650%  6/9/14  4,500  4,898 
General Electric Capital Corp.  3.750%  11/14/14  25,700  26,751 
General Electric Capital Corp.  3.500%  6/29/15  6,000  6,126 
General Electric Capital Corp.  4.375%  9/21/15  2,500  2,633 
General Electric Capital Corp.  2.250%  11/9/15  16,500  15,881 
5 HSBC Finance Capital Trust IX  5.911%  11/30/35  2,925  2,801 
HSBC Finance Corp.  7.000%  5/15/12  5,525  5,874 
HSBC Finance Corp.  5.900%  6/19/12  10,975  11,542 
HSBC Finance Corp.  6.375%  11/27/12  14,525  15,632 
HSBC Finance Corp.  4.750%  7/15/13  4,675  4,991 
HSBC Finance Corp.  5.500%  1/19/16  10,150  11,144 
SLM Corp.  5.400%  10/25/11  3,525  3,596 
SLM Corp.  5.125%  8/27/12  2,500  2,586 
SLM Corp.  5.375%  1/15/13  2,400  2,498 
SLM Corp.  5.000%  10/1/13  4,350  4,485 
SLM Corp.  5.375%  5/15/14  1,850  1,923 
SLM Corp.  5.050%  11/14/14  1,400  1,418 
SLM Corp.  6.250%  1/25/16  10,725  11,210 
 
Insurance (1.0%)         
ACE INA Holdings Inc.  5.875%  6/15/14  2,754  3,059 
ACE INA Holdings Inc.  5.600%  5/15/15  2,050  2,243 
ACE INA Holdings Inc.  2.600%  11/23/15  1,375  1,338 
Aegon NV  4.750%  6/1/13  2,500  2,636 
Allstate Life Global Funding Trusts  5.375%  4/30/13  11,075  11,933 
American International Group Inc.  4.250%  5/15/13  7,250  7,485 
AON Corp.  3.500%  9/30/15  1,750  1,759 
Assurant Inc.  5.625%  2/15/14  3,575  3,774 
Axis Capital Holdings Ltd.  5.750%  12/1/14  1,800  1,931 
Berkshire Hathaway Finance Corp.  4.000%  4/15/12  17,350  17,960 
Berkshire Hathaway Finance Corp.  4.600%  5/15/13  7,325  7,823 
Berkshire Hathaway Finance Corp.  5.000%  8/15/13  4,875  5,268 
Berkshire Hathaway Finance Corp.  4.850%  1/15/15  3,075  3,341 
Berkshire Hathaway Inc.  2.125%  2/11/13  2,200  2,244 
Berkshire Hathaway Inc.  3.200%  2/11/15  15,275  15,689 
Chubb Corp.  5.200%  4/1/13  3,000  3,219 
CNA Financial Corp.  5.850%  12/15/14  1,575  1,688 
Coventry Health Care Inc.  6.300%  8/15/14  4,500  4,775 
Genworth Financial Inc.  5.750%  6/15/14  3,325  3,450 
Jefferson-Pilot Corp.  4.750%  1/30/14  2,400  2,524 
Lincoln National Corp.  5.650%  8/27/12  225  238 
Lincoln National Corp.  4.300%  6/15/15  2,000  2,080 
Loews Corp.  5.250%  3/15/16  1,275  1,362 
Manulife Financial Corp.  3.400%  9/17/15  4,025  4,033 
Marsh & McLennan Cos. Inc.  4.850%  2/15/13  2,000  2,068 
Marsh & McLennan Cos. Inc.  5.375%  7/15/14  1,500  1,613 
MetLife Inc.  5.375%  12/15/12  2,850  3,038 
MetLife Inc.  5.000%  11/24/13  2,050  2,204 
MetLife Inc.  2.375%  2/6/14  4,175  4,174 
MetLife Inc.  5.000%  6/15/15  6,825  7,325 
4 Metropolitan Life Global Funding I  2.875%  9/17/12  2,575  2,629 
OneBeacon US Holdings Inc.  5.875%  5/15/13  1,625  1,739 

 

 

Principal Financial Group Inc.  7.875%  5/15/14  4,600  5,305 
Principal Life Income Funding Trusts  5.300%  12/14/12  1,900  2,024 
Principal Life Income Funding Trusts  5.300%  4/24/13  2,350  2,530 
Protective Life Secured Trusts  5.450%  9/28/12  1,290  1,361 
Prudential Financial Inc.  5.800%  6/15/12  1,700  1,788 
Prudential Financial Inc.  3.625%  9/17/12  4,700  4,856 
Prudential Financial Inc.  5.150%  1/15/13  10,050  10,599 
Prudential Financial Inc.  4.500%  7/15/13  450  473 
Prudential Financial Inc.  4.750%  4/1/14  1,475  1,567 
Prudential Financial Inc.  5.100%  9/20/14  1,325  1,427 
Prudential Financial Inc.  3.875%  1/14/15  2,750  2,833 
Prudential Financial Inc.  6.200%  1/15/15  4,675  5,135 
Prudential Financial Inc.  4.750%  9/17/15  3,100  3,295 
5 Reinsurance Group of America Inc.  6.750%  12/15/65  800  780 
Transatlantic Holdings Inc.  5.750%  12/14/15  3,275  3,427 
Travelers Cos. Inc.  5.375%  6/15/12  700  735 
Travelers Property Casualty Corp.  5.000%  3/15/13  2,500  2,664 
UnitedHealth Group Inc.  5.500%  11/15/12  5,000  5,333 
UnitedHealth Group Inc.  4.875%  2/15/13  1,625  1,724 
UnitedHealth Group Inc.  4.875%  4/1/13  1,625  1,730 
UnitedHealth Group Inc.  5.000%  8/15/14  4,975  5,390 
WellPoint Inc.  6.800%  8/1/12  1,150  1,232 
WellPoint Inc.  6.000%  2/15/14  1,700  1,878 
WellPoint Inc.  5.000%  12/15/14  1,475  1,604 
WellPoint Inc.  5.250%  1/15/16  5,000  5,468 
Willis Group Holdings plc  4.125%  3/15/16  2,525  2,501 
Willis North America Inc.  5.625%  7/15/15  1,900  2,015 
XL Group plc  5.250%  9/15/14  1,400  1,483 
 
Other Finance (0.1%)         
CME Group Inc.  5.400%  8/1/13  4,400  4,795 
CME Group Inc.  5.750%  2/15/14  2,000  2,209 
NASDAQ OMX Group Inc.  4.000%  1/15/15  1,750  1,736 
NYSE Euronext  4.800%  6/28/13  2,700  2,876 
ORIX Corp.  4.710%  4/27/15  750  761 
 
Real Estate Investment Trusts (0.3%)         
Arden Realty LP  5.250%  3/1/15  1,250  1,339 
Brandywine Operating Partnership LP  5.750%  4/1/12  765  789 
Brandywine Operating Partnership LP  5.400%  11/1/14  1,650  1,738 
Digital Realty Trust LP  4.500%  7/15/15  2,975  3,048 
Duke Realty LP  6.250%  5/15/13  1,500  1,618 
Duke Realty LP  7.375%  2/15/15  2,650  2,997 
ERP Operating LP  5.500%  10/1/12  2,000  2,117 
ERP Operating LP  5.200%  4/1/13  1,000  1,065 
ERP Operating LP  5.250%  9/15/14  1,350  1,467 
ERP Operating LP  5.125%  3/15/16  2,000  2,144 
HCP Inc.  5.950%  9/15/11  625  640 
HCP Inc.  6.450%  6/25/12  750  792 
HCP Inc.  5.650%  12/15/13  2,250  2,433 
HCP Inc.  2.700%  2/1/14  975  977 
HCP Inc.  3.750%  2/1/16  4,600  4,615 
Health Care REIT Inc.  6.000%  11/15/13  2,775  3,019 
Health Care REIT Inc.  3.625%  3/15/16  200  198 
Healthcare Realty Trust Inc.  5.125%  4/1/14  1,400  1,477 
Hospitality Properties Trust  7.875%  8/15/14  1,775  1,996 
Kilroy Realty LP  5.000%  11/3/15  1,075  1,085 
Kimco Realty Corp.  5.783%  3/15/16  850  928 

 

 

Liberty Property LP  5.125%  3/2/15  4,500  4,804 
Nationwide Health Properties Inc.  6.250%  2/1/13  1,850  1,975 
ProLogis  7.625%  8/15/14  1,400  1,596 
Senior Housing Properties Trust  4.300%  1/15/16  1,000  983 
Simon Property Group LP  6.750%  5/15/14  6,550  7,348 
Simon Property Group LP  4.200%  2/1/15  6,400  6,738 
Ventas Realty LP / Ventas Capital Corp.  3.125%  11/30/15  1,100  1,066 
        2,070,890 
Industrial (9.8%)         
Basic Industry (0.9%)         
Airgas Inc.  4.500%  9/15/14  1,525  1,592 
Airgas Inc.  3.250%  10/1/15  2,950  2,940 
Alcoa Inc.  5.375%  1/15/13  650  692 
Alcoa Inc.  6.000%  7/15/13  3,725  4,068 
ArcelorMittal  5.375%  6/1/13  8,050  8,543 
ArcelorMittal  9.000%  2/15/15  7,100  8,486 
ArcelorMittal  3.750%  8/5/15  575  579 
ArcelorMittal USA Inc.  6.500%  4/15/14  2,500  2,754 
Barrick Gold Financeco LLC  6.125%  9/15/13  5,450  6,038 
BHP Billiton Finance USA Ltd.  4.800%  4/15/13  3,000  3,212 
BHP Billiton Finance USA Ltd.  5.500%  4/1/14  18,950  20,997 
Celulosa Arauco y Constitucion SA  5.625%  4/20/15  3,475  3,679 
Dow Chemical Co.  4.850%  8/15/12  10,050  10,529 
Dow Chemical Co.  6.000%  10/1/12  3,000  3,205 
Dow Chemical Co.  7.600%  5/15/14  13,975  16,136 
Dow Chemical Co.  5.900%  2/15/15  1,600  1,770 
Dow Chemical Co.  2.500%  2/15/16  2,000  1,921 
Eastman Chemical Co.  3.000%  12/15/15  1,025  1,015 
EI du Pont de Nemours & Co.  5.000%  1/15/13  2,267  2,419 
EI du Pont de Nemours & Co.  5.000%  7/15/13  4,500  4,849 
EI du Pont de Nemours & Co.  1.750%  3/25/14  5,425  5,389 
EI du Pont de Nemours & Co.  4.875%  4/30/14  2,550  2,767 
EI du Pont de Nemours & Co.  2.750%  4/1/16  2,000  1,980 
Freeport-McMoRan Copper & Gold Inc.  8.250%  4/1/15  5,000  5,206 
ICI Wilmington Inc.  5.625%  12/1/13  1,600  1,724 
International Paper Co.  7.400%  6/15/14  3,000  3,413 
Lubrizol Corp.  5.500%  10/1/14  1,850  2,059 
Monsanto Co.  7.375%  8/15/12  1,200  1,301 
Nucor Corp.  5.000%  12/1/12  925  983 
Nucor Corp.  5.000%  6/1/13  1,200  1,289 
Plum Creek Timberlands LP  5.875%  11/15/15  1,650  1,756 
Potash Corp. of Saskatchewan Inc.  3.750%  9/30/15  5,000  5,190 
PPG Industries Inc.  5.750%  3/15/13  1,875  2,023 
Praxair Inc.  6.375%  4/1/12  1,250  1,317 
Praxair Inc.  1.750%  11/15/12  1,150  1,165 
Praxair Inc.  3.950%  6/1/13  825  873 
Praxair Inc.  4.375%  3/31/14  1,125  1,203 
Praxair Inc.  5.250%  11/15/14  2,750  3,047 
Praxair Inc.  4.625%  3/30/15  1,625  1,757 
Rio Tinto Alcan Inc.  4.500%  5/15/13  775  823 
Rio Tinto Alcan Inc.  5.200%  1/15/14  1,500  1,591 
Rio Tinto Finance USA Ltd.  8.950%  5/1/14  17,550  21,076 
Sherwin-Williams Co.  3.125%  12/15/14  1,900  1,964 
Teck Resources Ltd.  9.750%  5/15/14  4,115  4,989 
Vale Canada Ltd.  5.700%  10/15/15  1,125  1,232 
Vale Overseas Ltd.  6.250%  1/11/16  4,525  5,045 
WMC Finance USA Ltd.  5.125%  5/15/13  1,600  1,726 

 

 

Xstrata Canada Corp.  7.350%  6/5/12  1,000  1,065 
Xstrata Canada Corp.  7.250%  7/15/12  1,500  1,602 
Xstrata Canada Corp.  6.000%  10/15/15  1,525  1,670 
 
Capital Goods (0.9%)         
3M Co.  4.500%  11/1/11  3,000  3,073 
3M Co.  4.375%  8/15/13  2,000  2,154 
Bemis Co. Inc.  4.875%  4/1/12  1,600  1,650 
Bemis Co. Inc.  5.650%  8/1/14  2,875  3,112 
Black & Decker Corp.  8.950%  4/15/14  4,000  4,719 
Black & Decker Corp.  4.750%  11/1/14  1,025  1,099 
Boeing Capital Corp.  5.800%  1/15/13  750  811 
Boeing Capital Corp.  3.250%  10/27/14  8,325  8,694 
Boeing Co.  1.875%  11/20/12  2,750  2,794 
Boeing Co.  3.500%  2/15/15  3,325  3,469 
Caterpillar Financial Services Corp.  4.250%  2/8/13  700  739 
Caterpillar Financial Services Corp.  2.000%  4/5/13  800  813 
Caterpillar Financial Services Corp.  6.200%  9/30/13  2,350  2,615 
Caterpillar Financial Services Corp.  6.125%  2/17/14  23,900  26,878 
Caterpillar Financial Services Corp.  2.650%  4/1/16  1,725  1,709 
Cooper US Inc.  5.250%  11/15/12  5,250  5,583 
CRH America Inc.  5.625%  9/30/11  1,633  1,671 
CRH America Inc.  5.300%  10/15/13  2,075  2,208 
Deere & Co.  6.950%  4/25/14  1,325  1,527 
Eaton Corp.  4.900%  5/15/13  3,850  4,125 
Emerson Electric Co.  4.625%  10/15/12  3,200  3,380 
General Dynamics Corp.  4.250%  5/15/13  3,800  4,054 
General Dynamics Corp.  5.250%  2/1/14  4,100  4,519 
General Electric Co.  5.000%  2/1/13  27,500  29,271 
Harsco Corp.  2.700%  10/15/15  3,400  3,343 
Honeywell International Inc.  4.250%  3/1/13  2,050  2,173 
Honeywell International Inc.  3.875%  2/15/14  8,900  9,483 
Illinois Tool Works Inc.  5.150%  4/1/14  4,650  5,117 
Ingersoll-Rand Global Holding Co. Ltd.  6.000%  8/15/13  1,800  1,983 
Ingersoll-Rand Global Holding Co. Ltd.  9.500%  4/15/14  6,700  8,017 
John Deere Capital Corp.  7.000%  3/15/12  13,150  13,949 
John Deere Capital Corp.  5.250%  10/1/12  575  610 
John Deere Capital Corp.  4.950%  12/17/12  2,300  2,450 
John Deere Capital Corp.  1.600%  3/3/14  1,600  1,598 
John Deere Capital Corp.  2.950%  3/9/15  1,025  1,048 
Lockheed Martin Corp.  4.121%  3/14/13  6,500  6,843 
Raytheon Co.  1.625%  10/15/15  2,000  1,906 
Roper Industries Inc.  6.625%  8/15/13  1,650  1,821 
Tyco International Finance SA  4.125%  10/15/14  4,000  4,244 
United Technologies Corp.  6.100%  5/15/12  1,000  1,059 
United Technologies Corp.  4.875%  5/1/15  2,300  2,532 
Waste Management Inc.  5.000%  3/15/14  2,075  2,232 
Waste Management Inc.  6.375%  3/11/15  1,600  1,807 
 
Communication (1.9%)         
Alltel Corp.  7.000%  7/1/12  1,120  1,199 
4 America Movil SAB de CV  5.750%  1/15/15  4,413  4,854 
America Movil SAB de CV  5.750%  1/15/15  1,525  1,677 
American Tower Corp.  4.625%  4/1/15  4,209  4,364 
AT&T Inc.  5.875%  8/15/12  1,825  1,945 
AT&T Inc.  4.950%  1/15/13  8,175  8,703 
AT&T Inc.  6.700%  11/15/13  11,525  12,964 
AT&T Inc.  4.850%  2/15/14  7,925  8,565 

 

 

AT&T Inc.  5.100%  9/15/14  13,800  15,103 
AT&T Inc.  2.500%  8/15/15  7,875  7,797 
BellSouth Corp.  5.200%  9/15/14  200  218 
British Telecommunications plc  5.150%  1/15/13  11,275  11,983 
CBS Corp.  5.625%  8/15/12  115  121 
CBS Corp.  8.200%  5/15/14  3,500  4,096 
Cellco Partnership / Verizon Wireless Capital         
LLC  7.375%  11/15/13  5,675  6,470 
Cellco Partnership / Verizon Wireless Capital         
LLC  5.550%  2/1/14  20,000  21,935 
CenturyLink Inc.  7.875%  8/15/12  3,000  3,228 
CenturyLink Inc.  5.000%  2/15/15  700  736 
Comcast Cable Communications Holdings         
Inc.  8.375%  3/15/13  4,965  5,598 
Comcast Corp.  5.300%  1/15/14  5,000  5,441 
Comcast Corp.  5.850%  11/15/15  10,000  11,108 
Comcast Corp.  5.900%  3/15/16  7,600  8,435 
COX Communications Inc.  7.125%  10/1/12  4,000  4,333 
COX Communications Inc.  4.625%  6/1/13  6,435  6,828 
COX Communications Inc.  5.450%  12/15/14  1,450  1,596 
COX Communications Inc.  5.500%  10/1/15  1,775  1,943 
Deutsche Telekom International Finance BV  5.250%  7/22/13  4,015  4,328 
Deutsche Telekom International Finance BV  5.875%  8/20/13  4,525  4,962 
Deutsche Telekom International Finance BV  4.875%  7/8/14  1,100  1,188 
Deutsche Telekom International Finance BV  5.750%  3/23/16  1,000  1,119 
DIRECTV Holdings LLC  3.500%  3/1/16  3,000  2,996 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.750%  10/1/14  1,875  2,014 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  3.550%  3/15/15  8,400  8,576 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  6.375%  6/15/15  3,500  3,618 
France Telecom SA  4.375%  7/8/14  4,475  4,800 
France Telecom SA  2.125%  9/16/15  600  586 
McGraw-Hill Cos. Inc.  5.375%  11/15/12  2,475  2,600 
4 NBCUniversal Media LLC  2.100%  4/1/14  5,000  4,971 
4 NBCUniversal Media LLC  3.650%  4/30/15  2,000  2,045 
New Cingular Wireless Services Inc.  8.125%  5/1/12  16,575  17,838 
News America Inc.  9.250%  2/1/13  2,825  3,212 
News America Inc.  5.300%  12/15/14  1,450  1,595 
Reed Elsevier Capital Inc.  7.750%  1/15/14  3,900  4,451 
Rogers Communications Inc.  6.375%  3/1/14  3,000  3,359 
Rogers Communications Inc.  5.500%  3/15/14  2,150  2,354 
RR Donnelley & Sons Co.  4.950%  4/1/14  2,550  2,636 
Telecom Italia Capital SA  5.250%  11/15/13  6,675  7,043 
Telecom Italia Capital SA  6.175%  6/18/14  9,950  10,663 
Telecom Italia Capital SA  4.950%  9/30/14  7,514  7,805 
Telecom Italia Capital SA  5.250%  10/1/15  2,000  2,063 
Telefonica Emisiones SAU  5.855%  2/4/13  7,000  7,482 
Telefonica Emisiones SAU  2.582%  4/26/13  2,000  2,017 
Telefonica Emisiones SAU  4.949%  1/15/15  1,550  1,633 
Telefonica Emisiones SAU  3.729%  4/27/15  8,350  8,415 
Telefonica Emisiones SAU  3.992%  2/16/16  2,500  2,504 
Thomson Reuters Corp.  5.950%  7/15/13  3,925  4,311 
Thomson Reuters Corp.  5.700%  10/1/14  8,050  8,962 
Time Warner Cable Inc.  5.400%  7/2/12  9,300  9,767 
Time Warner Cable Inc.  6.200%  7/1/13  7,750  8,519 
Time Warner Cable Inc.  7.500%  4/1/14  7,700  8,832 

 

 

Time Warner Cable Inc.  3.500%  2/1/15  1,125  1,150 
Time Warner Entertainment Co. LP  8.875%  10/1/12  1,000  1,108 
Verizon Communications Inc.  4.350%  2/15/13  6,025  6,354 
Verizon Communications Inc.  5.250%  4/15/13  18,300  19,717 
Verizon Communications Inc.  1.950%  3/28/14  4,675  4,674 
Verizon Communications Inc.  3.000%  4/1/16  2,600  2,581 
Verizon Florida LLC  6.125%  1/15/13  1,500  1,611 
Verizon Global Funding Corp.  6.875%  6/15/12  2,500  2,670 
Verizon Global Funding Corp.  7.375%  9/1/12  4,450  4,837 
Verizon Global Funding Corp.  4.375%  6/1/13  250  266 
Verizon New York Inc.  6.875%  4/1/12  2,000  2,116 
Verizon Virginia Inc.  4.625%  3/15/13  3,600  3,792 
Vodafone Group plc  5.350%  2/27/12  7,025  7,308 
Vodafone Group plc  4.150%  6/10/14  4,025  4,260 
Vodafone Group plc  3.375%  11/24/15  3,550  3,607 
Vodafone Group plc  5.750%  3/15/16  5,250  5,870 
WPP Finance UK  5.875%  6/15/14  3,675  4,041 
WPP Finance UK  8.000%  9/15/14  4,075  4,758 
 
Consumer Cyclical (0.9%)         
AutoZone Inc.  6.500%  1/15/14  5,000  5,590 
Best Buy Co. Inc.  6.750%  7/15/13  3,350  3,667 
CVS Caremark Corp.  4.875%  9/15/14  4,725  5,111 
CVS Caremark Corp.  3.250%  5/18/15  2,950  2,991 
5 CVS Caremark Corp.  6.302%  6/1/37  5,500  5,386 
Daimler Finance North America LLC  5.750%  9/8/11  6,000  6,124 
Daimler Finance North America LLC  6.500%  11/15/13  4,850  5,397 
Darden Restaurants Inc.  5.625%  10/15/12  1,300  1,379 
eBay Inc.  0.875%  10/15/13  1,975  1,952 
eBay Inc.  1.625%  10/15/15  1,975  1,883 
Home Depot Inc.  5.250%  12/16/13  4,625  5,045 
Home Depot Inc.  5.400%  3/1/16  10,575  11,672 
Johnson Controls Inc.  4.875%  9/15/13  1,000  1,076 
Johnson Controls Inc.  5.500%  1/15/16  2,100  2,320 
Lowe's Cos. Inc.  5.600%  9/15/12  3,200  3,413 
Marriott International Inc.  4.625%  6/15/12  1,175  1,219 
Marriott International Inc.  5.625%  2/15/13  1,425  1,522 
McDonald's Corp.  4.300%  3/1/13  2,000  2,116 
Nordstrom Inc.  6.750%  6/1/14  1,150  1,308 
PACCAR Financial Corp.  1.950%  12/17/12  2,150  2,180 
PACCAR Financial Corp.  2.050%  6/17/13  650  658 
PACCAR Inc.  6.875%  2/15/14  4,450  5,064 
Staples Inc.  9.750%  1/15/14  13,325  15,990 
Target Corp.  5.125%  1/15/13  1,075  1,151 
Target Corp.  4.000%  6/15/13  825  874 
Time Warner Inc.  3.150%  7/15/15  3,700  3,738 
Toll Brothers Finance Corp.  6.875%  11/15/12  59  62 
Toll Brothers Finance Corp.  5.950%  9/15/13  45  47 
Toll Brothers Finance Corp.  5.150%  5/15/15  1,900  1,940 
Toyota Motor Credit Corp.  3.200%  6/17/15  11,200  11,351 
Toyota Motor Credit Corp.  2.800%  1/11/16  7,225  7,195 
Turner Broadcasting System Inc.  8.375%  7/1/13  2,385  2,718 
Viacom Inc.  4.375%  9/15/14  600  640 
Viacom Inc.  6.250%  4/30/16  250  284 
Wal-Mart Stores Inc.  4.550%  5/1/13  7,575  8,116 
Wal-Mart Stores Inc.  7.250%  6/1/13  2,300  2,592 
Wal-Mart Stores Inc.  3.200%  5/15/14  7,769  8,137 
Wal-Mart Stores Inc.  2.875%  4/1/15  3,975  4,070 

 

 

Wal-Mart Stores Inc.  2.250%  7/8/15  4,250  4,243 
Wal-Mart Stores Inc.  1.500%  10/25/15  9,975  9,534 
Walgreen Co.  4.875%  8/1/13  8,500  9,190 
Walt Disney Co.  4.700%  12/1/12  7,200  7,635 
Walt Disney Co.  4.500%  12/15/13  325  352 
Walt Disney Co.  6.200%  6/20/14  3,000  3,385 
Western Union Co.  6.500%  2/26/14  3,350  3,714 
Yum! Brands Inc.  7.700%  7/1/12  1,600  1,720 
 
Consumer Noncyclical (2.7%)         
Abbott Laboratories  5.150%  11/30/12  3,325  3,554 
Abbott Laboratories  2.700%  5/27/15  3,900  3,964 
Altria Group Inc.  8.500%  11/10/13  1,100  1,281 
Altria Group Inc.  7.750%  2/6/14  9,500  10,921 
Altria Group Inc.  4.125%  9/11/15  8,925  9,259 
AmerisourceBergen Corp.  5.625%  9/15/12  2,725  2,879 
AmerisourceBergen Corp.  5.875%  9/15/15  1,825  2,024 
Amgen Inc.  4.850%  11/18/14  6,625  7,244 
Anheuser-Busch Cos. Inc.  4.700%  4/15/12  1,500  1,559 
Anheuser-Busch Cos. Inc.  4.375%  1/15/13  1,500  1,577 
Anheuser-Busch InBev Worldwide Inc.  3.000%  10/15/12  12,375  12,700 
Anheuser-Busch InBev Worldwide Inc.  2.500%  3/26/13  8,075  8,229 
Anheuser-Busch InBev Worldwide Inc.  7.200%  1/15/14  2,800  3,178 
Anheuser-Busch InBev Worldwide Inc.  5.375%  11/15/14  2,900  3,180 
Anheuser-Busch InBev Worldwide Inc.  4.125%  1/15/15  7,350  7,747 
AstraZeneca plc  5.400%  9/15/12  11,875  12,632 
Baxter International Inc.  4.000%  3/1/14  1,650  1,750 
Baxter International Inc.  4.625%  3/15/15  2,750  2,982 
Biogen Idec Inc.  6.000%  3/1/13  4,725  5,044 
Bottling Group LLC  4.625%  11/15/12  4,500  4,767 
Bottling Group LLC  5.000%  11/15/13  1,500  1,631 
Bottling Group LLC  6.950%  3/15/14  9,300  10,716 
Bristol-Myers Squibb Co.  5.250%  8/15/13  1,675  1,832 
Brown-Forman Corp.  2.500%  1/15/16  625  616 
Bunge Ltd. Finance Corp.  5.875%  5/15/13  1,600  1,693 
Bunge Ltd. Finance Corp.  5.350%  4/15/14  5,350  5,686 
Bunge Ltd. Finance Corp.  5.100%  7/15/15  1,925  1,993 
Bunge Ltd. Finance Corp.  4.100%  3/15/16  1,375  1,375 
Cardinal Health Inc.  5.650%  6/15/12  32  34 
Cardinal Health Inc.  4.000%  6/15/15  1,875  1,941 
CareFusion Corp.  4.125%  8/1/12  600  620 
CareFusion Corp.  5.125%  8/1/14  5,975  6,434 
Celgene Corp.  2.450%  10/15/15  1,600  1,549 
Church & Dwight Co. Inc.  3.350%  12/15/15  1,225  1,221 
Cia de Bebidas das Americas  8.750%  9/15/13  1,050  1,203 
Clorox Co.  5.450%  10/15/12  1,200  1,273 
Clorox Co.  5.000%  3/1/13  2,000  2,119 
Clorox Co.  5.000%  1/15/15  3,700  3,973 
Coca-Cola Co.  0.750%  11/15/13  2,900  2,856 
Coca-Cola Co.  3.625%  3/15/14  3,075  3,259 
Coca-Cola Co.  1.500%  11/15/15  6,400  6,103 
Coca-Cola Enterprises Inc.  2.125%  9/15/15  3,000  2,913 
Coca-Cola HBC Finance BV  5.125%  9/17/13  1,800  1,919 
Coca-Cola HBC Finance BV  5.500%  9/17/15  2,000  2,166 
Coca-Cola Refreshments USA Inc.  5.000%  8/15/13  2,300  2,486 
Coca-Cola Refreshments USA Inc.  7.375%  3/3/14  5,375  6,226 
Coca-Cola Refreshments USA Inc.  4.250%  3/1/15  1,700  1,822 
Colgate-Palmolive Co.  5.980%  4/25/12  1,250  1,319 

 

 

ConAgra Foods Inc.  5.875%  4/15/14  450  490 
Corn Products International Inc.  3.200%  11/1/15  350  349 
Covidien International Finance SA  5.450%  10/15/12  2,425  2,581 
Covidien International Finance SA  1.875%  6/15/13  4,000  4,038 
Delhaize Group SA  5.875%  2/1/14  400  435 
Diageo Capital plc  5.200%  1/30/13  5,036  5,389 
Diageo Finance BV  5.500%  4/1/13  1,500  1,622 
Diageo Finance BV  5.300%  10/28/15  3,075  3,410 
Dr Pepper Snapple Group Inc.  2.350%  12/21/12  1,600  1,630 
Dr Pepper Snapple Group Inc.  6.120%  5/1/13  325  354 
Dr Pepper Snapple Group Inc.  2.900%  1/15/16  2,300  2,271 
Eli Lilly & Co.  4.200%  3/6/14  2,425  2,597 
Express Scripts Inc.  5.250%  6/15/12  3,950  4,134 
Express Scripts Inc.  6.250%  6/15/14  10,550  11,708 
Fortune Brands Inc.  3.000%  6/1/12  1,725  1,753 
Fortune Brands Inc.  4.875%  12/1/13  1,000  1,055 
Fortune Brands Inc.  6.375%  6/15/14  7,575  8,301 
General Mills Inc.  5.650%  9/10/12  3,050  3,246 
General Mills Inc.  5.250%  8/15/13  3,325  3,602 
General Mills Inc.  5.200%  3/17/15  8,200  8,994 
GlaxoSmithKline Capital Inc.  4.850%  5/15/13  17,450  18,750 
GlaxoSmithKline Capital Inc.  4.375%  4/15/14  5,200  5,600 
Hasbro Inc.  6.125%  5/15/14  3,000  3,277 
HJ Heinz Co.  5.350%  7/15/13  1,300  1,410 
Hospira Inc.  5.900%  6/15/14  675  742 
Johnson & Johnson  5.150%  8/15/12  1,650  1,750 
Kellogg Co.  5.125%  12/3/12  5,000  5,319 
Kellogg Co.  4.250%  3/6/13  4,175  4,401 
Kimberly-Clark Corp.  4.875%  8/15/15  175  191 
Koninklijke Philips Electronics NV  4.625%  3/11/13  1,450  1,531 
Kraft Foods Inc.  2.625%  5/8/13  13,525  13,835 
Kraft Foods Inc.  5.250%  10/1/13  3,200  3,469 
Kraft Foods Inc.  6.750%  2/19/14  7,450  8,390 
Kroger Co.  6.750%  4/15/12  3,050  3,225 
Kroger Co.  6.200%  6/15/12  2,525  2,675 
Kroger Co.  5.500%  2/1/13  1,425  1,525 
Kroger Co.  5.000%  4/15/13  1,550  1,656 
Kroger Co.  7.500%  1/15/14  8,800  10,023 
Laboratory Corp. of America Holdings  5.500%  2/1/13  875  929 
Life Technologies Corp.  4.400%  3/1/15  2,875  3,003 
Life Technologies Corp.  3.500%  1/15/16  725  724 
McKesson Corp.  5.250%  3/1/13  2,025  2,163 
McKesson Corp.  3.250%  3/1/16  2,200  2,218 
Mead Johnson Nutrition Co.  3.500%  11/1/14  5,225  5,389 
Medco Health Solutions Inc.  6.125%  3/15/13  4,125  4,455 
Medco Health Solutions Inc.  7.250%  8/15/13  400  448 
Medco Health Solutions Inc.  2.750%  9/15/15  200  197 
Medtronic Inc.  4.500%  3/15/14  1,975  2,128 
Medtronic Inc.  3.000%  3/15/15  5,000  5,131 
Medtronic Inc.  2.625%  3/15/16  2,500  2,467 
Merck & Co. Inc.  5.125%  11/15/11  1,850  1,905 
Merck & Co. Inc.  5.300%  12/1/13  4,375  4,815 
Merck & Co. Inc.  4.750%  3/1/15  4,875  5,314 
Merck & Co. Inc.  2.250%  1/15/16  6,300  6,181 
Newell Rubbermaid Inc.  5.500%  4/15/13  2,500  2,675 
Novartis Capital Corp.  1.900%  4/24/13  7,650  7,770 
Novartis Capital Corp.  4.125%  2/10/14  7,450  7,949 
Novartis Capital Corp.  2.900%  4/24/15  13,125  13,383 

 

 

PepsiAmericas Inc.  5.750%  7/31/12  800  851 
PepsiAmericas Inc.  4.375%  2/15/14  1,675  1,793 
PepsiAmericas Inc.  4.875%  1/15/15  1,525  1,668 
PepsiCo Inc.  5.150%  5/15/12  3,250  3,408 
PepsiCo Inc.  4.650%  2/15/13  3,025  3,225 
PepsiCo Inc.  3.750%  3/1/14  12,875  13,687 
PepsiCo Inc.  3.100%  1/15/15  2,900  2,997 
Pfizer Inc.  4.450%  3/15/12  13,625  14,139 
Pfizer Inc.  4.500%  2/15/14  925  997 
Pfizer Inc.  5.350%  3/15/15  9,550  10,630 
Philip Morris International Inc.  4.875%  5/16/13  16,925  18,151 
Philip Morris International Inc.  6.875%  3/17/14  3,825  4,386 
Procter & Gamble Co.  1.375%  8/1/12  5,000  5,046 
Procter & Gamble Co.  3.500%  2/15/15  3,525  3,697 
Procter & Gamble Co.  1.800%  11/15/15  5,075  4,931 
Procter & Gamble Co.  4.850%  12/15/15  4,500  4,990 
Quest Diagnostics Inc.  3.200%  4/1/16  2,000  1,988 
Reynolds American Inc.  7.250%  6/1/12  3,850  4,105 
Reynolds American Inc.  7.250%  6/1/13  1,500  1,667 
Safeway Inc.  5.800%  8/15/12  3,050  3,232 
Safeway Inc.  6.250%  3/15/14  6,000  6,589 
Sanofi-Aventis SA  1.625%  3/28/14  1,175  1,170 
Sanofi-Aventis SA  2.625%  3/29/16  5,050  4,983 
St. Jude Medical Inc.  2.200%  9/15/13  3,125  3,164 
St. Jude Medical Inc.  3.750%  7/15/14  2,950  3,095 
Stryker Corp.  3.000%  1/15/15  1,500  1,534 
Sysco Corp.  4.200%  2/12/13  600  632 
Teva Pharmaceutical Finance II BV / Teva         
Pharmaceutical Finance III LLC  3.000%  6/15/15  2,100  2,113 
Teva Pharmaceutical Finance III LLC  1.500%  6/15/12  5,500  5,529 
Thermo Fisher Scientific Inc.  2.150%  12/28/12  1,300  1,322 
Thermo Fisher Scientific Inc.  2.050%  2/21/14  150  151 
Thermo Fisher Scientific Inc.  3.250%  11/20/14  1,275  1,323 
Thermo Fisher Scientific Inc.  3.200%  5/1/15  1,600  1,631 
Thermo Fisher Scientific Inc.  3.200%  3/1/16  3,300  3,334 
Unilever Capital Corp.  3.650%  2/15/14  1,350  1,422 
Watson Pharmaceuticals Inc.  5.000%  8/15/14  4,000  4,289 
Whirlpool Corp.  5.500%  3/1/13  4,225  4,487 
Whirlpool Corp.  8.600%  5/1/14  1,100  1,273 
Wyeth  5.500%  3/15/13  5,900  6,397 
Wyeth  5.500%  2/1/14  2,750  3,040 
 
Energy (1.1%)         
Anadarko Petroleum Corp.  7.625%  3/15/14  5,375  6,130 
Anadarko Petroleum Corp.  5.750%  6/15/14  900  985 
Apache Corp.  6.250%  4/15/12  1,000  1,054 
Apache Corp.  5.250%  4/15/13  1,500  1,616 
Apache Corp.  6.000%  9/15/13  4,675  5,165 
Baker Hughes Inc.  6.500%  11/15/13  3,600  4,043 
BP Capital Markets plc  5.250%  11/7/13  11,350  12,259 
BP Capital Markets plc  3.625%  5/8/14  5,500  5,707 
BP Capital Markets plc  3.875%  3/10/15  10,925  11,352 
BP Capital Markets plc  3.125%  10/1/15  7,525  7,559 
BP Capital Markets plc  3.200%  3/11/16  7,300  7,256 
Canadian Natural Resources Ltd.  5.450%  10/1/12  3,550  3,764 
Canadian Natural Resources Ltd.  5.150%  2/1/13  500  532 
Canadian Natural Resources Ltd.  4.900%  12/1/14  550  595 
Cenovus Energy Inc.  4.500%  9/15/14  5,950  6,372 

 

 

Chevron Corp.  3.950%  3/3/14  9,425  10,079 
ConocoPhillips  4.750%  2/1/14  15,725  17,056 
ConocoPhillips  4.600%  1/15/15  5,300  5,766 
Diamond Offshore Drilling Inc.  5.150%  9/1/14  2,000  2,168 
Encana Corp.  4.750%  10/15/13  1,125  1,209 
EnCana Holdings Finance Corp.  5.800%  5/1/14  3,250  3,587 
Ensco plc  3.250%  3/15/16  4,000  3,969 
EOG Resources Inc.  6.125%  10/1/13  1,200  1,329 
EOG Resources Inc.  2.950%  6/1/15  1,525  1,537 
Husky Energy Inc.  6.250%  6/15/12  1,000  1,058 
Husky Energy Inc.  5.900%  6/15/14  7,100  7,870 
4 Marathon Petroleum Corp.  3.500%  3/1/16  3,550  3,559 
Nexen Inc.  5.050%  11/20/13  5,175  5,718 
Noble Holding International Ltd.  3.450%  8/1/15  5,000  5,086 
Occidental Petroleum Corp.  1.450%  12/13/13  5,750  5,754 
Occidental Petroleum Corp.  2.500%  2/1/16  2,200  2,170 
PC Financial Partnership  5.000%  11/15/14  2,000  2,158 
Petro-Canada  4.000%  7/15/13  3,210  3,366 
Shell International Finance BV  1.875%  3/25/13  7,900  8,034 
Shell International Finance BV  4.000%  3/21/14  21,850  23,259 
Shell International Finance BV  3.100%  6/28/15  1,950  1,995 
Statoil ASA  3.875%  4/15/14  1,150  1,220 
Statoil ASA  2.900%  10/15/14  4,900  5,057 
Sunoco Inc.  4.875%  10/15/14  950  1,006 
Talisman Energy Inc.  5.125%  5/15/15  4,150  4,502 
Total Capital Canada Ltd.  1.625%  1/28/14  2,600  2,601 
Total Capital SA  3.000%  6/24/15  5,125  5,222 
Total Capital SA  3.125%  10/2/15  5,225  5,324 
Total Capital SA  2.300%  3/15/16  5,000  4,858 
Transocean Inc.  5.250%  3/15/13  3,400  3,605 
Valero Energy Corp.  6.875%  4/15/12  3,000  3,175 
Valero Energy Corp.  4.750%  6/15/13  3,000  3,176 
Valero Energy Corp.  4.500%  2/1/15  300  315 
Weatherford International Inc.  5.950%  6/15/12  3,450  3,624 
Weatherford International Ltd.  5.150%  3/15/13  2,534  2,675 
 
Other Industrial (0.0%)         
Connecticut Health & Educational Facilities         
Authority Revenue (Yale University)  2.900%  10/15/14  1,825  1,882 
 
Technology (1.2%)         
Adobe Systems Inc.  3.250%  2/1/15  2,925  2,986 
Agilent Technologies Inc.  4.450%  9/14/12  1,700  1,765 
Agilent Technologies Inc.  5.500%  9/14/15  500  542 
Amphenol Corp.  4.750%  11/15/14  2,775  2,963 
Analog Devices Inc.  5.000%  7/1/14  850  923 
Analog Devices Inc.  3.000%  4/15/16  2,000  1,989 
Arrow Electronics Inc.  6.875%  7/1/13  800  870 
Arrow Electronics Inc.  3.375%  11/1/15  500  493 
4 Broadcom Corp.  1.500%  11/1/13  1,400  1,378 
Cisco Systems Inc.  1.625%  3/14/14  11,600  11,551 
Cisco Systems Inc.  2.900%  11/17/14  8,900  9,187 
Cisco Systems Inc.  5.500%  2/22/16  5,750  6,442 
Computer Sciences Corp.  5.500%  3/15/13  825  879 
Dell Inc.  3.375%  6/15/12  2,900  2,983 
Dell Inc.  4.700%  4/15/13  3,250  3,463 
Dell Inc.  1.400%  9/10/13  1,800  1,788 
Dell Inc.  2.100%  4/1/14  3,200  3,201 

 

 

Dell Inc.  2.300%  9/10/15  2,250  2,197 
Dun & Bradstreet Corp.  6.000%  4/1/13  1,700  1,833 
Dun & Bradstreet Corp.  2.875%  11/15/15  875  856 
Equifax Inc.  4.450%  12/1/14  1,000  1,054 
Fiserv Inc.  6.125%  11/20/12  7,278  7,816 
Hewlett-Packard Co.  6.500%  7/1/12  1,025  1,096 
Hewlett-Packard Co.  4.500%  3/1/13  30,775  32,666 
Hewlett-Packard Co.  1.250%  9/13/13  3,950  3,927 
Hewlett-Packard Co.  6.125%  3/1/14  3,950  4,418 
Hewlett-Packard Co.  4.750%  6/2/14  3,300  3,582 
Hewlett-Packard Co.  2.125%  9/13/15  2,375  2,324 
HP Enterprise Services LLC  6.000%  8/1/13  2,850  3,135 
IBM International Group Capital LLC  5.050%  10/22/12  16,600  17,653 
International Business Machines Corp.  2.100%  5/6/13  15,700  16,001 
International Business Machines Corp.  1.000%  8/5/13  975  967 
International Business Machines Corp.  2.000%  1/5/16  2,500  2,423 
Juniper Networks Inc.  3.100%  3/15/16  500  498 
Lexmark International Inc.  5.900%  6/1/13  1,050  1,119 
Maxim Integrated Products Inc.  3.450%  6/14/13  1,200  1,238 
Microsoft Corp.  0.875%  9/27/13  3,300  3,270 
Microsoft Corp.  2.950%  6/1/14  5,775  5,983 
Microsoft Corp.  1.625%  9/25/15  4,500  4,358 
Microsoft Corp.  2.500%  2/8/16  3,800  3,796 
Motorola Solutions Inc.  5.375%  11/15/12  3,500  3,692 
Oracle Corp.  4.950%  4/15/13  3,400  3,654 
Oracle Corp.  3.750%  7/8/14  11,300  11,986 
Oracle Corp.  5.250%  1/15/16  6,500  7,213 
Pitney Bowes Inc.  4.625%  10/1/12  2,000  2,091 
Pitney Bowes Inc.  4.875%  8/15/14  2,025  2,124 
Pitney Bowes Inc.  4.750%  1/15/16  5,150  5,345 
Symantec Corp.  2.750%  9/15/15  3,375  3,279 
Tyco Electronics Group SA  6.000%  10/1/12  9,750  10,376 
Xerox Corp.  5.500%  5/15/12  11,750  12,305 
Xerox Corp.  8.250%  5/15/14  2,275  2,658 
Xerox Corp.  4.250%  2/15/15  4,100  4,305 
 
Transportation (0.2%)         
Burlington Northern Santa Fe LLC  5.900%  7/1/12  1,050  1,113 
CSX Corp.  5.500%  8/1/13  6,100  6,596 
CSX Corp.  6.250%  4/1/15  4,625  5,234 
JB Hunt Transport Services Inc.  3.375%  9/15/15  3,100  3,056 
Norfolk Southern Corp.  5.257%  9/17/14  1,250  1,373 
Norfolk Southern Corp.  5.750%  1/15/16  3,000  3,351 
Ryder System Inc.  6.000%  3/1/13  1,500  1,616 
Ryder System Inc.  5.850%  3/1/14  2,850  3,118 
Ryder System Inc.  3.150%  3/2/15  1,450  1,453 
Ryder System Inc.  7.200%  9/1/15  1,450  1,672 
Union Pacific Corp.  6.500%  4/15/12  2,375  2,510 
Union Pacific Corp.  5.450%  1/31/13  3,490  3,749 
Union Pacific Corp.  5.375%  5/1/14  1,100  1,201 
United Parcel Service Inc.  3.875%  4/1/14  4,625  4,937 
        2,088,971 
Utilities (1.5%)         
Electric (1.1%)         
4 Allegheny Energy Supply Co. LLC  8.250%  4/15/12  3,500  3,744 
Appalachian Power Co.  5.650%  8/15/12  3,875  4,082 
Arizona Public Service Co.  5.800%  6/30/14  500  548 

 

 

Arizona Public Service Co.  4.650%  5/15/15  1,775  1,861 
Carolina Power & Light Co.  6.500%  7/15/12  1,000  1,068 
Carolina Power & Light Co.  5.125%  9/15/13  3,305  3,582 
Carolina Power & Light Co.  5.250%  12/15/15  3,000  3,326 
CenterPoint Energy Houston Electric LLC  5.700%  3/15/13  700  755 
CenterPoint Energy Houston Electric LLC  5.750%  1/15/14  500  547 
CenterPoint Energy Houston Electric LLC  7.000%  3/1/14  5,225  5,920 
Commonwealth Edison Co.  1.625%  1/15/14  1,625  1,613 
Commonwealth Edison Co.  4.700%  4/15/15  3,045  3,260 
Consolidated Edison Co. of New York Inc.  4.875%  2/1/13  4,000  4,245 
Constellation Energy Group Inc.  4.550%  6/15/15  1,850  1,920 
Consumers Energy Co.  5.375%  4/15/13  750  808 
Dayton Power & Light Co.  5.125%  10/1/13  1,875  2,040 
Dominion Resources Inc.  5.000%  3/15/13  1,500  1,603 
Dominion Resources Inc.  5.150%  7/15/15  1,795  1,956 
Duke Energy Carolinas LLC  5.750%  11/15/13  1,500  1,661 
Duke Energy Corp.  6.300%  2/1/14  14,525  16,144 
Duke Energy Corp.  3.350%  4/1/15  1,100  1,122 
Duke Energy Indiana Inc.  5.000%  9/15/13  1,125  1,214 
Duke Energy Ohio Inc.  5.700%  9/15/12  2,400  2,555 
Enersis SA  7.375%  1/15/14  1,000  1,107 
Entergy Arkansas Inc.  5.400%  8/1/13  1,000  1,080 
Exelon Corp.  4.900%  6/15/15  4,875  5,105 
Exelon Generation Co. LLC  5.350%  1/15/14  4,125  4,412 
FirstEnergy Solutions Corp.  4.800%  2/15/15  4,675  4,909 
Florida Power & Light Co.  4.850%  2/1/13  250  265 
Georgia Power Co.  6.000%  11/1/13  2,000  2,220 
Iberdrola International BV  6.750%  6/15/12  1,750  1,846 
KCP&L Greater Missouri Operations Co.  11.875%  7/1/12  1,400  1,562 
4 Kentucky Utilities Co.  1.625%  11/1/15  2,550  2,432 
4 LG&E and KU Energy LLC  2.125%  11/15/15  3,000  2,844 
4 Louisville Gas & Electric Co.  1.625%  11/15/15  6,500  6,214 
Metropolitan Edison Co.  4.875%  4/1/14  1,000  1,041 
MidAmerican Energy Co.  5.650%  7/15/12  1,150  1,214 
MidAmerican Energy Co.  5.125%  1/15/13  2,000  2,131 
Midamerican Energy Holdings Co.  3.150%  7/15/12  3,000  3,073 
Midamerican Energy Holdings Co.  5.875%  10/1/12  2,000  2,133 
Midamerican Energy Holdings Co.  5.000%  2/15/14  600  640 
National Rural Utilities Cooperative Finance         
Corp.  2.625%  9/16/12  975  998 
National Rural Utilities Cooperative Finance         
Corp.  5.500%  7/1/13  10,250  11,164 
National Rural Utilities Cooperative Finance         
Corp.  3.875%  9/16/15  3,250  3,406 
National Rural Utilities Cooperative Finance         
Corp.  3.050%  3/1/16  1,200  1,208 
Nevada Power Co.  5.875%  1/15/15  1,500  1,665 
NextEra Energy Capital Holdings Inc.  5.350%  6/15/13  2,835  3,025 
NextEra Energy Capital Holdings Inc.  2.550%  11/15/13  3,775  3,839 
NextEra Energy Capital Holdings Inc.  2.600%  9/1/15  1,900  1,872 
NextEra Energy Capital Holdings Inc.  7.875%  12/15/15  3,500  4,138 
Northern States Power Co.  1.950%  8/15/15  2,200  2,153 
NSTAR Electric Co.  4.875%  10/15/12  3,925  4,145 
NSTAR Electric Co.  4.875%  4/15/14  1,500  1,617 
Ohio Power Co.  5.750%  9/1/13  1,575  1,709 
Oncor Electric Delivery Co. LLC  5.950%  9/1/13  4,975  5,421 
Oncor Electric Delivery Co. LLC  6.375%  1/15/15  3,000  3,362 
Pacific Gas & Electric Co.  4.800%  3/1/14  11,000  11,848 

 

 

Pepco Holdings Inc.  2.700%  10/1/15  2,200  2,167 
PPL Energy Supply LLC  6.300%  7/15/13  2,175  2,367 
Progress Energy Inc.  6.850%  4/15/12  775  821 
PSEG Power LLC  6.950%  6/1/12  4,775  5,073 
PSEG Power LLC  2.500%  4/15/13  800  812 
PSEG Power LLC  5.500%  12/1/15  3,000  3,254 
Public Service Co. of Colorado  7.875%  10/1/12  4,625  5,082 
Public Service Co. of Colorado  5.500%  4/1/14  1,000  1,102 
Public Service Electric & Gas Co.  5.375%  9/1/13  2,000  2,179 
Public Service Electric & Gas Co.  2.700%  5/1/15  1,125  1,123 
Sierra Pacific Power Co.  5.450%  9/1/13  3,769  4,085 
Southern California Edison Co.  5.000%  1/15/14  2,000  2,167 
Southern California Edison Co.  4.150%  9/15/14  3,000  3,206 
Southern Co.  5.300%  1/15/12  3,625  3,759 
Southern Co.  4.150%  5/15/14  800  844 
Southern Co.  2.375%  9/15/15  4,810  4,713 
Southern Power Co.  6.250%  7/15/12  1,000  1,058 
Teco Finance Inc.  4.000%  3/15/16  375  380 
TransAlta Corp.  4.750%  1/15/15  2,688  2,843 
Virginia Electric and Power Co.  5.100%  11/30/12  10,525  11,158 
Wisconsin Electric Power Co.  6.000%  4/1/14  1,437  1,609 
 
Natural Gas (0.4%)         
Atmos Energy Corp.  4.950%  10/15/14  4,400  4,663 
DCP Midstream Operating LP  3.250%  10/1/15  1,000  977 
Enbridge Inc.  4.900%  3/1/15  4,950  5,345 
Energy Transfer Partners LP  5.650%  8/1/12  1,470  1,544 
Energy Transfer Partners LP  6.000%  7/1/13  4,500  4,880 
Energy Transfer Partners LP  8.500%  4/15/14  3,000  3,500 
6 Enron Corp.  9.125%  4/1/03  2,000  2 
6 Enron Corp.  7.625%  9/10/04  1,000  1 
Enterprise Products Operating LLC  4.600%  8/1/12  5,150  5,364 
Enterprise Products Operating LLC  5.650%  4/1/13  2,200  2,369 
Enterprise Products Operating LLC  5.900%  4/15/13  1,150  1,245 
Enterprise Products Operating LLC  9.750%  1/31/14  2,000  2,395 
Enterprise Products Operating LLC  5.600%  10/15/14  5,375  5,911 
Enterprise Products Operating LLC  3.200%  2/1/16  3,500  3,475 
6 HNG Internorth  9.625%  3/15/06  1,500  2 
Kinder Morgan Energy Partners LP  5.850%  9/15/12  4,325  4,596 
Kinder Morgan Energy Partners LP  5.000%  12/15/13  1,500  1,619 
Kinder Morgan Energy Partners LP  5.625%  2/15/15  1,300  1,432 
Nisource Finance Corp.  6.150%  3/1/13  1,975  2,138 
Nisource Finance Corp.  10.750%  3/15/16  1,000  1,298 
NuStar Logistics LP  6.050%  3/15/13  2,000  2,139 
Oneok Inc.  5.200%  6/15/15  1,825  1,956 
ONEOK Partners LP  5.900%  4/1/12  3,400  3,567 
ONEOK Partners LP  3.250%  2/1/16  6,500  6,447 
Plains All American Pipeline LP / PAA         
Finance Corp.  4.250%  9/1/12  2,000  2,076 
Sempra Energy  6.000%  2/1/13  2,525  2,703 
Spectra Energy Capital LLC  6.250%  2/15/13  3,725  4,024 
Spectra Energy Capital LLC  5.668%  8/15/14  1,000  1,096 
Texas Gas Transmission LLC  4.600%  6/1/15  325  340 
TransCanada PipeLines Ltd.  4.000%  6/15/13  2,225  2,339 
TransCanada PipeLines Ltd.  3.400%  6/1/15  9,500  9,725 

 

 

Williams Partners LP  3.800%  2/15/15  1,950  2,016 
 
        322,358 
Total Corporate Bonds (Cost $4,331,398)        4,482,219 
Sovereign Bonds (U.S. Dollar-Denominated) (7.1%)         
African Development Bank  1.000%  11/23/11  4,050  4,055 
African Development Bank  1.750%  10/1/12  875  885 
African Development Bank  1.625%  2/11/13  4,300  4,349 
African Development Bank  3.000%  5/27/14  11,575  12,112 
Asian Development Bank  4.500%  9/4/12  5,000  5,237 
Asian Development Bank  1.625%  7/15/13  11,600  11,748 
Asian Development Bank  3.625%  9/5/13  5,850  6,208 
Asian Development Bank  2.750%  5/21/14  14,550  15,042 
Asian Development Bank  2.625%  2/9/15  13,750  14,121 
Asian Development Bank  2.500%  3/15/16  12,350  12,440 
Brazilian Government International Bond  10.250%  6/17/13  4,600  5,483 
Brazilian Government International Bond  10.500%  7/14/14  5,725  7,231 
Brazilian Government International Bond  7.875%  3/7/15  11,325  13,477 
Canada Government International Bond  2.375%  9/10/14  7,725  7,910 
Chile Government International Bond  5.500%  1/15/13  3,550  3,793 
China Development Bank Corp.  4.750%  10/8/14  1,375  1,457 
China Development Bank Corp.  5.000%  10/15/15  3,450  3,690 
Corp. Andina de Fomento  5.200%  5/21/13  5,575  5,934 
Corp. Andina de Fomento  5.125%  5/5/15  4,025  4,236 
Council Of Europe Development Bank  2.750%  2/10/15  3,700  3,792 
Council Of Europe Development Bank  2.625%  2/16/16  4,600  4,632 
Eksportfinans ASA  1.875%  4/2/13  5,350  5,415 
Eksportfinans ASA  3.000%  11/17/14  4,825  4,963 
Eksportfinans ASA  2.000%  9/15/15  4,375  4,268 
European Bank for Reconstruction &         
Development  3.625%  6/17/13  3,000  3,164 
European Bank for Reconstruction &         
Development  5.000%  5/19/14  3,400  3,734 
European Bank for Reconstruction &         
Development  2.750%  4/20/15  6,250  6,367 
European Bank for Reconstruction &         
Development  1.625%  9/3/15  1,750  1,702 
European Bank for Reconstruction &         
Development  2.500%  3/15/16  9,950  9,976 
4 European Investment Bank  1.125%  4/16/12  12,500  12,576 
European Investment Bank  1.750%  9/14/12  15,000  15,239 
European Investment Bank  1.625%  3/15/13  4,000  4,054 
European Investment Bank  3.250%  5/15/13  7,750  8,069 
European Investment Bank  1.875%  6/17/13  14,500  14,722 
European Investment Bank  4.250%  7/15/13  16,950  18,141 
European Investment Bank  1.250%  9/17/13  14,950  14,930 
European Investment Bank  1.250%  2/14/14  51,075  50,709 
European Investment Bank  2.375%  3/14/14  8,175  8,372 
European Investment Bank  3.000%  4/8/14  8,000  8,343 
European Investment Bank  4.625%  5/15/14  4,350  4,743 
European Investment Bank  3.125%  6/4/14  28,950  30,274 
European Investment Bank  2.875%  1/15/15  11,000  11,331 
^ European Investment Bank  2.750%  3/23/15  11,225  11,522 
European Investment Bank  1.625%  9/1/15  14,475  14,203 
European Investment Bank  1.375%  10/20/15  13,500  12,940 
European Investment Bank  2.250%  3/15/16  9,350  9,238 
7 Export Development Canada  4.500%  10/25/12  7,500  7,920 

 

 

  Export Development Canada  3.125%  4/24/14  8,050  8,447 
  Export Development Canada  2.250%  5/28/15  4,725  4,767 
  Export Development Canada  1.250%  10/27/15  3,000  2,861 
  Export-Import Bank of Korea  5.500%  10/17/12  7,850  8,256 
  Export-Import Bank of Korea  8.125%  1/21/14  8,800  10,016 
  Export-Import Bank of Korea  5.875%  1/14/15  5,175  5,604 
  Export-Import Bank of Korea  5.125%  3/16/15  1,700  1,793 
  Export-Import Bank of Korea  4.125%  9/9/15  7,125  7,255 
  Financement-Quebec  5.000%  10/25/12  2,000  2,113 
  Hungary Government International Bond  4.750%  2/3/15  5,350  5,370 
  Hydro Quebec  6.300%  5/11/11  2,500  2,515 
  Hydro Quebec  8.000%  2/1/13  2,000  2,228 
  Inter-American Development Bank  4.750%  10/19/12  15,500  16,426 
  Inter-American Development Bank  1.750%  10/22/12  15,250  15,484 
  Inter-American Development Bank  3.500%  3/15/13  3,000  3,141 
  Inter-American Development Bank  1.625%  7/15/13  10,225  10,303 
  Inter-American Development Bank  3.000%  4/22/14  10,550  11,015 
  Inter-American Development Bank  4.500%  9/15/14  3,000  3,281 
  Inter-American Development Bank  2.250%  7/15/15  1,975  1,976 
  Inter-American Development Bank  4.250%  9/14/15  5,550  6,023 
  International Bank for Reconstruction &         
  Development  2.000%  4/2/12  28,800  29,229 
  International Bank for Reconstruction &         
  Development  0.800%  7/13/12  9,100  9,111 
  International Bank for Reconstruction &         
  Development  3.625%  5/21/13  5,500  5,795 
  International Bank for Reconstruction &         
  Development  1.750%  7/15/13  29,400  29,751 
  International Bank for Reconstruction &         
  Development  3.500%  10/8/13  9,490  10,024 
  International Bank for Reconstruction &         
  Development  2.375%  5/26/15  22,650  22,884 
  International Bank for Reconstruction &         
  Development  2.125%  3/15/16  27,900  27,502 
  International Finance Corp.  5.125%  5/2/11  7,100  7,127 
  International Finance Corp.  3.000%  4/22/14  22,625  23,512 
  International Finance Corp.  2.750%  4/20/15  9,550  9,747 
  Israel Government International Bond  4.625%  6/15/13  2,350  2,475 
  Israel Government International Bond  5.125%  3/1/14  2,000  2,147 
  Japan Bank for International Cooperation  4.375%  11/26/12  2,200  2,321 
  Japan Bank for International Cooperation  4.250%  6/18/13  6,150  6,507 
8  Japan Finance Corp.  1.500%  7/6/12  9,025  9,075 
8  Japan Finance Corp.  2.125%  11/5/12  14,000  14,234 
8  Japan Finance Corp.  2.875%  2/2/15  6,600  6,684 
8  Japan Finance Corp.  1.875%  9/24/15  4,200  4,081 
^,8 Japan Finance Corp.  2.500%  1/21/16  6,200  6,097 
8  Japan Finance Organization for Municipalities  4.625%  4/21/15  5,075  5,479 
  Korea Development Bank  5.300%  1/17/13  4,650  4,912 
  Korea Development Bank  5.750%  9/10/13  5,525  5,938 
  Korea Development Bank  8.000%  1/23/14  5,000  5,680 
  Korea Development Bank  4.375%  8/10/15  5,475  5,604 
  Korea Development Bank  3.250%  3/9/16  1,875  1,831 
9  Kreditanstalt fuer Wiederaufbau  2.250%  4/16/12  6,875  6,990 
9  Kreditanstalt fuer Wiederaufbau  4.750%  5/15/12  24,700  25,795 
9  Kreditanstalt fuer Wiederaufbau  1.250%  6/15/12  8,850  8,908 
9  Kreditanstalt fuer Wiederaufbau  1.875%  1/14/13  26,150  26,521 
9  Kreditanstalt fuer Wiederaufbau  3.250%  3/15/13  40,300  41,949 
9  Kreditanstalt fuer Wiederaufbau  3.500%  5/16/13  12,375  12,989 

 

 

9  Kreditanstalt fuer Wiederaufbau  1.375%  7/15/13  26,825  26,891 
9  Kreditanstalt fuer Wiederaufbau  4.000%  10/15/13  6,125  6,515 
9  Kreditanstalt fuer Wiederaufbau  1.375%  1/13/14  16,775  16,684 
9  Kreditanstalt fuer Wiederaufbau  3.500%  3/10/14  9,425  9,940 
9  Kreditanstalt fuer Wiederaufbau  1.500%  4/4/14  24,900  24,905 
^,9 Kreditanstalt fuer Wiederaufbau  2.750%  10/21/14  20,825  21,425 
9  Kreditanstalt fuer Wiederaufbau  2.625%  3/3/15  10,650  10,862 
9  Kreditanstalt fuer Wiederaufbau  1.250%  10/26/15  10,150  9,664 
9  Kreditanstalt fuer Wiederaufbau  2.625%  2/16/16  11,450  11,550 
9  Kreditanstalt fuer Wiederaufbau  5.125%  3/14/16  10,875  12,098 
9  Landwirtschaftliche Rentenbank  5.250%  7/2/12  9,600  10,105 
  Landwirtschaftliche Rentenbank  1.875%  9/24/12  23,475  23,665 
  Landwirtschaftliche Rentenbank  3.250%  3/15/13  2,100  2,183 
9  Landwirtschaftliche Rentenbank  2.500%  2/15/16  5,150  5,128 
  Mexico Government International Bond  6.375%  1/16/13  5,400  5,875 
  Mexico Government International Bond  5.875%  2/17/14  12,900  14,158 
  Mexico Government International Bond  6.625%  3/3/15  7,900  9,026 
  Nordic Investment Bank  1.625%  1/28/13  6,900  6,974 
  Nordic Investment Bank  2.625%  10/6/14  6,700  6,851 
  Nordic Investment Bank  2.500%  7/15/15  1,325  1,338 
  Nordic Investment Bank  2.250%  3/15/16  4,825  4,762 
10 Oesterreichische Kontrollbank AG  4.750%  11/8/11  3,500  3,582 
10 Oesterreichische Kontrollbank AG  4.750%  10/16/12  7,725  8,172 
10 Oesterreichische Kontrollbank AG  1.750%  3/11/13  7,650  7,744 
  Oesterreichische Kontrollbank AG  4.875%  2/16/16  5,000  5,456 
  Ontario Electricity Financial Corp.  7.450%  3/31/13  1,000  1,116 
  Panama Government International Bond  7.250%  3/15/15  6,000  6,971 
  Petrobras International Finance Co. - Pifco  9.125%  7/2/13  2,500  2,892 
  Petrobras International Finance Co. - Pifco  7.750%  9/15/14  1,625  1,869 
  Petrobras International Finance Co. - Pifco  3.875%  1/27/16  14,450  14,478 
  Petroleos Mexicanos  4.875%  3/15/15  9,250  9,812 
  Poland Government International Bond  6.250%  7/3/12  9,125  9,718 
  Poland Government International Bond  5.250%  1/15/14  3,975  4,248 
  Poland Government International Bond  3.875%  7/16/15  6,500  6,573 
  Province of British Columbia Canada  2.850%  6/15/15  6,075  6,232 
  Province of Manitoba Canada  2.125%  4/22/13  1,950  1,988 
  Province of Manitoba Canada  2.625%  7/15/15  4,525  4,577 
  Province of Nova Scotia Canada  2.375%  7/21/15  3,850  3,832 
  Province of Ontario Canada  1.875%  11/19/12  21,250  21,577 
  Province of Ontario Canada  1.375%  1/27/14  15,425  15,295 
  Province of Ontario Canada  4.100%  6/16/14  39,400  42,132 
  Province of Ontario Canada  2.950%  2/5/15  18,125  18,660 
  Province of Ontario Canada  2.700%  6/16/15  5,750  5,809 
  Province of Ontario Canada  1.875%  9/15/15  900  880 
  Province of Quebec Canada  4.875%  5/5/14  2,100  2,295 
  Province of Quebec Canada  4.600%  5/26/15  4,800  5,215 
  Province of Saskatchewan Canada  7.375%  7/15/13  1,000  1,128 
  Republic of Italy  5.625%  6/15/12  13,350  14,041 
  Republic of Italy  2.125%  10/5/12  23,150  23,382 
  Republic of Italy  2.125%  9/16/13  3,925  3,930 
  Republic of Italy  4.500%  1/21/15  5,650  5,933 
  Republic of Italy  3.125%  1/26/15  16,450  16,532 
  Republic of Italy  4.750%  1/25/16  9,000  9,450 
  Republic of Korea  4.250%  6/1/13  3,225  3,363 
  Republic of Korea  5.750%  4/16/14  6,350  6,909 
  Republic of Korea  4.875%  9/22/14  3,925  4,178 
  South Africa Government International Bond  7.375%  4/25/12  2,500  2,666 
  South Africa Government International Bond  6.500%  6/2/14  3,050  3,402 

 

 

Svensk Exportkredit AB  3.250%  9/16/14  4,850  5,058 
Svensk Exportkredit AB  1.750%  10/20/15  4,400  4,254 
Total Sovereign Bonds (Cost $1,483,940)        1,510,468 
Taxable Municipal Bonds (0.1%)         
California Educational Facilities Authority         
Revenue (Stanford University)  3.625%  5/1/14  1,600  1,690 
California GO  5.250%  4/1/14  1,800  1,899 
California GO  3.950%  11/1/15  3,300  3,297 
California GO  5.650%  4/1/39  2,250  2,359 
Illinois GO  2.766%  1/1/12  5,700  5,729 
Illinois GO  4.071%  1/1/14  5,700  5,732 
Illinois GO  4.511%  3/1/15  550  551 
Loudoun County VA Industrial Development         
Authority Revenue (Howard Hughes         
Medical Institute)  3.450%  9/1/14  1,100  1,155 
Total Taxable Municipal Bonds (Cost $22,032)        22,412 
      Shares   
Temporary Cash Investment (0.7%)         
Money Market Fund (0.7%)         
11,12 Vanguard Market Liquidity Fund         
(Cost $153,055)  0.208%    153,054,681  153,055 
Total Investments (99.4%) (Cost $20,810,764)        21,116,261 
Other Assets and Liabilities-Net (0.6%)12        123,269 
Net Assets (100%)        21,239,530 

* Adjustable-rate-security
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $9,455,000.
1 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee Program.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
3 Guaranteed by the National Credit Union Administration.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, the aggregate value of these securities was $82,479,000, representing 0.4% of net assets.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 Non-income-producing security--security in default.
7 Guaranteed by the Government of Canada.
8 Guaranteed by the Government of Japan.
9 Guaranteed by the Federal Republic of Germany.
10 Guaranteed by the Republic of Austria.
11 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
12 Includes $9,672,000 of collateral received for securities on loan.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

 

Short-Term Bond Index Fund

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the fund's investments as of March 31, 2011, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  14,928,471  — 
Asset-Backed/Commercial Mortgage-Backed Securities  —  19,636  — 
Corporate Bonds  —  4,482,214  5 
Sovereign Bonds  —  1,510,468  — 
Taxable Municipal Bonds  —  22,412  — 
Temporary Cash Investments  153,055  —  — 
Total  153,055  20,963,201  5 

 

There were no changes in investments valued based on Level 3 inputs during the three months ended March 31, 2011.

C. At March 31, 2011, the cost of investment securities for tax purposes was $20,810,764,000. Net unrealized appreciation of investment securities for tax purposes was $305,497,000, consisting of unrealized gains of $362,137,000 on securities that had risen in value since their purchase and $56,640,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Intermediate-Term Bond Index Fund

Schedule of Investments
As of March 31, 2011

      Face  Market 
    Maturity  Amount  Value 
  Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (55.5%)         
U.S. Government Securities (51.3%)         
United States Treasury Note/Bond  1.000%  9/30/11  100  100 
United States Treasury Note/Bond  9.250%  2/15/16  5  7 
United States Treasury Note/Bond  2.250%  3/31/16  68,000  67,979 
United States Treasury Note/Bond  2.375%  3/31/16  25,615  25,759 
United States Treasury Note/Bond  5.125%  5/15/16  9,970  11,346 
United States Treasury Note/Bond  7.250%  5/15/16  59,025  73,274 
United States Treasury Note/Bond  3.250%  5/31/16  118,170  123,599 
United States Treasury Note/Bond  3.250%  6/30/16  164,610  171,966 
United States Treasury Note/Bond  4.875%  8/15/16  2,145  2,418 
United States Treasury Note/Bond  3.000%  9/30/16  102,115  105,051 
United States Treasury Note/Bond  3.125%  10/31/16  170,755  176,518 
United States Treasury Note/Bond  4.625%  11/15/16  22,850  25,438 
United States Treasury Note/Bond  7.500%  11/15/16  106,820  135,177 
United States Treasury Note/Bond  2.750%  11/30/16  112,680  114,107 
United States Treasury Note/Bond  3.250%  12/31/16  155,805  161,721 
United States Treasury Note/Bond  3.125%  1/31/17  124,145  127,928 
United States Treasury Note/Bond  4.625%  2/15/17  58,420  65,020 
United States Treasury Note/Bond  3.000%  2/28/17  94,460  96,512 
United States Treasury Note/Bond  3.250%  3/31/17  97,840  101,264 
United States Treasury Note/Bond  4.500%  5/15/17  109,185  120,718 
United States Treasury Note/Bond  8.750%  5/15/17  98,070  132,348 
United States Treasury Note/Bond  2.750%  5/31/17  34,470  34,610 
United States Treasury Note/Bond  2.500%  6/30/17  10,605  10,479 
United States Treasury Note/Bond  2.375%  7/31/17  4,800  4,699 
United States Treasury Note/Bond  4.750%  8/15/17  135,520  151,740 
United States Treasury Note/Bond  8.875%  8/15/17  71,285  97,282 
United States Treasury Note/Bond  1.875%  8/31/17  21,040  19,926 
United States Treasury Note/Bond  1.875%  9/30/17  43,300  40,912 
United States Treasury Note/Bond  1.875%  10/31/17  47,050  44,381 
United States Treasury Note/Bond  4.250%  11/15/17  43,580  47,455 
United States Treasury Note/Bond  2.625%  1/31/18  2,225  2,191 
United States Treasury Note/Bond  3.500%  2/15/18  104,550  108,715 
United States Treasury Note/Bond  3.875%  5/15/18  159,225  169,102 
United States Treasury Note/Bond  4.000%  8/15/18  221,975  237,200 
United States Treasury Note/Bond  3.750%  11/15/18  280,075  293,947 
United States Treasury Note/Bond  2.750%  2/15/19  237,035  231,258 
United States Treasury Note/Bond  8.875%  2/15/19  51,850  73,319 
United States Treasury Note/Bond  3.125%  5/15/19  412,085  411,442 
United States Treasury Note/Bond  3.625%  8/15/19  415,075  428,499 
United States Treasury Note/Bond  3.375%  11/15/19  410,945  414,927 
United States Treasury Note/Bond  3.625%  2/15/20  308,310  316,258 
United States Treasury Note/Bond  3.500%  5/15/20  293,845  297,380 
United States Treasury Note/Bond  2.625%  8/15/20  234,225  219,403 
United States Treasury Note/Bond  8.750%  8/15/20  2,900  4,173 
United States Treasury Note/Bond  2.625%  11/15/20  76,855  71,620 
United States Treasury Note/Bond  3.625%  2/15/21  329,880  334,159 
        5,903,327 

 

 

Agency Bonds and Notes (4.2%)         
1  Federal Farm Credit Bank  5.125%  8/25/16  13,700  15,398 
1  Federal Farm Credit Bank  4.875%  1/17/17  5,750  6,385 
1  Federal Home Loan Bank of Chicago  5.625%  6/13/16  4,325  4,695 
1  Federal Home Loan Banks  5.375%  5/18/16  15,675  17,867 
1  Federal Home Loan Banks  4.750%  12/16/16  13,270  14,680 
1  Federal Home Loan Banks  4.875%  5/17/17  21,625  24,087 
1  Federal Home Loan Banks  5.000%  11/17/17  11,925  13,358 
1  Federal Home Loan Banks  5.375%  8/15/18  14,025  15,859 
1  Federal Home Loan Banks  5.125%  8/15/19  5,220  5,827 
1  Federal Home Loan Banks  4.125%  3/13/20  8,875  9,134 
1  Federal Home Loan Mortgage Corp.  5.250%  4/18/16  16,500  18,658 
1  Federal Home Loan Mortgage Corp.  5.500%  7/18/16  52,775  60,339 
1  Federal Home Loan Mortgage Corp.  5.000%  2/16/17  7,000  7,826 
1  Federal Home Loan Mortgage Corp.  5.125%  11/17/17  15,600  17,551 
1  Federal Home Loan Mortgage Corp.  4.875%  6/13/18  8,000  8,873 
1  Federal Home Loan Mortgage Corp.  3.750%  3/27/19  27,100  27,860 
1  Federal National Mortgage Assn.  5.250%  9/15/16  20,925  23,675 
1  Federal National Mortgage Assn.  4.875%  12/15/16  38,280  42,575 
1  Federal National Mortgage Assn.  5.000%  2/13/17  44,175  49,356 
1  Federal National Mortgage Assn.  5.000%  5/11/17  14,875  16,632 
1  Federal National Mortgage Assn.  5.375%  6/12/17  15,000  17,067 
1  Federal National Mortgage Assn.  0.000%  10/9/19  15,300  10,305 
1  Financing Corp. Fico  9.400%  2/8/18  1,475  2,007 
1  Financing Corp. Fico  10.350%  8/3/18  2,170  3,137 
1  Financing Corp. Fico  9.650%  11/2/18  10,145  14,355 
1  Financing Corp. Fico  8.600%  9/26/19  1,275  1,724 
  Private Export Funding Corp.  2.250%  12/15/17  3,225  3,029 
  Private Export Funding Corp.  4.375%  3/15/19  3,500  3,721 
1  Tennessee Valley Authority  5.500%  7/18/17  6,200  7,077 
1  Tennessee Valley Authority  6.250%  12/15/17  2,600  3,079 
1  Tennessee Valley Authority  4.500%  4/1/18  5,300  5,727 
1  Tennessee Valley Authority  3.875%  2/15/21  6,100  6,118 
          477,981 
Total U.S. Government and Agency Obligations (Cost $6,253,921)      6,381,308 
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)       
2  Banco Bilbao Vizcaya Argentaria SA  5.750%  7/20/17  225  232 
2  Bank of Scotland plc  5.250%  2/21/17  2,225  2,293 
3  Bear Stearns Commercial Mortgage         
  Securities  5.610%  11/15/33  1,948  1,970 
2,3 Commercial Mortgage Lease-Backed         
  Certificates  6.746%  6/20/31  239  263 
2  Northern Rock Asset Management plc  5.625%  6/22/17  6,325  6,379 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $10,933)    11,137 
Corporate Bonds (37.3%)         
Finance (14.0%)         
  Banking (9.1%)         
  American Express Bank FSB  6.000%  9/13/17  750  832 
  American Express Centurion Bank  5.950%  6/12/17  3,275  3,602 
  American Express Centurion Bank  6.000%  9/13/17  1,075  1,193 
  American Express Co.  5.500%  9/12/16  1,400  1,525 
  American Express Co.  6.150%  8/28/17  6,875  7,674 
  American Express Co.  7.000%  3/19/18  13,300  15,553 
  American Express Co.  8.125%  5/20/19  5,675  7,071 

 

 

3  American Express Co.  6.800%  9/1/66  3,525  3,577 
  Associates Corp. of North America  6.950%  11/1/18  1,150  1,288 
  Bank of America Corp.  6.500%  8/1/16  8,200  9,057 
  Bank of America Corp.  5.750%  8/15/16  3,900  4,103 
  Bank of America Corp.  5.625%  10/14/16  5,575  5,931 
  Bank of America Corp.  5.420%  3/15/17  8,675  8,828 
  Bank of America Corp.  6.000%  9/1/17  3,850  4,104 
  Bank of America Corp.  5.750%  12/1/17  6,325  6,666 
  Bank of America Corp.  5.650%  5/1/18  27,650  28,912 
  Bank of America Corp.  7.625%  6/1/19  6,000  6,910 
  Bank of America Corp.  5.625%  7/1/20  12,000  12,238 
  Bank of America NA  5.300%  3/15/17  15,050  15,464 
  Bank of America NA  6.100%  6/15/17  500  530 
  Bank of New York Mellon Corp.  5.450%  5/15/19  3,760  4,118 
  Bank of New York Mellon Corp.  4.600%  1/15/20  3,675  3,807 
  Bank of New York Mellon Corp.  4.150%  2/1/21  2,000  1,978 
  Barclays Bank plc  5.000%  9/22/16  10,300  10,919 
  Barclays Bank plc  6.750%  5/22/19  7,500  8,464 
  Barclays Bank plc  5.125%  1/8/20  12,925  13,066 
  BB&T Corp.  3.950%  4/29/16  5,500  5,647 
  BB&T Corp.  6.850%  4/30/19  1,475  1,709 
  Bear Stearns Cos. LLC  5.550%  1/22/17  12,725  13,484 
  Bear Stearns Cos. LLC  6.400%  10/2/17  20,900  23,297 
  Bear Stearns Cos. LLC  7.250%  2/1/18  3,350  3,901 
  BNP Paribas  5.000%  1/15/21  10,200  10,279 
  Branch Banking & Trust Co.  5.625%  9/15/16  50  55 
  Capital One Bank USA NA  8.800%  7/15/19  4,025  5,027 
  Capital One Financial Corp.  6.150%  9/1/16  3,075  3,343 
  Capital One Financial Corp.  6.750%  9/15/17  8,850  10,149 
2,3 Citicorp Lease Pass-Through Trust 1999-1  8.040%  12/15/19  2,100  2,403 
  Citigroup Inc.  5.500%  2/15/17  10,250  10,611 
  Citigroup Inc.  6.000%  8/15/17  12,675  13,721 
  Citigroup Inc.  6.125%  11/21/17  10,675  11,619 
  Citigroup Inc.  6.125%  5/15/18  17,100  18,624 
  Citigroup Inc.  8.500%  5/22/19  8,650  10,607 
  Citigroup Inc.  5.375%  8/9/20  8,375  8,595 
  Comerica Bank  5.750%  11/21/16  3,225  3,535 
  Comerica Bank  5.200%  8/22/17  3,025  3,196 
  Compass Bank  6.400%  10/1/17  1,800  1,888 
  Cooperatieve Centrale Raiffeisen-         
  Boerenleenbank BA  4.500%  1/11/21  6,175  6,239 
  Countrywide Financial Corp.  6.250%  5/15/16  3,775  4,025 
  Credit Suisse  6.000%  2/15/18  14,175  15,041 
  Credit Suisse  5.300%  8/13/19  4,775  4,991 
  Credit Suisse  4.375%  8/5/20  10,750  10,473 
  Credit Suisse AG  5.400%  1/14/20  6,475  6,525 
3  Credit Suisse AG  5.860%  5/29/49  6,200  5,983 
  Deutsche Bank AG  6.000%  9/1/17  13,000  14,426 
  Discover Bank  8.700%  11/18/19  2,350  2,804 
  Discover Bank  7.000%  4/15/20  2,400  2,639 
  Fifth Third Bancorp  5.450%  1/15/17  3,050  3,186 
  Fifth Third Bancorp  4.500%  6/1/18  1,550  1,502 
3  Fifth Third Capital Trust IV  6.500%  4/15/37  5,750  5,577 
  First Niagara Financial Group Inc.  6.750%  3/19/20  1,275  1,371 
  Goldman Sachs Group Inc.  5.750%  10/1/16  2,750  2,975 

 

 

Goldman Sachs Group Inc.  5.625%  1/15/17  11,925  12,518 
Goldman Sachs Group Inc.  6.250%  9/1/17  14,825  16,209 
Goldman Sachs Group Inc.  5.950%  1/18/18  15,375  16,426 
Goldman Sachs Group Inc.  6.150%  4/1/18  15,175  16,390 
Goldman Sachs Group Inc.  7.500%  2/15/19  5,875  6,804 
Goldman Sachs Group Inc.  5.375%  3/15/20  15,925  16,180 
Goldman Sachs Group Inc.  6.000%  6/15/20  9,500  10,015 
2 HBOS plc  6.750%  5/21/18  925  891 
HSBC Bank USA NA  4.875%  8/24/20  2,275  2,204 
HSBC Holdings plc  5.100%  4/5/21  9,425  9,448 
HSBC USA Inc.  5.000%  9/27/20  6,500  6,338 
Huntington BancShares Inc.  7.000%  12/15/20  1,175  1,290 
JPMorgan Chase & Co.  6.125%  6/27/17  3,900  4,258 
JPMorgan Chase & Co.  6.000%  1/15/18  23,675  25,933 
JPMorgan Chase & Co.  6.300%  4/23/19  18,525  20,403 
JPMorgan Chase & Co.  4.400%  7/22/20  9,225  8,884 
JPMorgan Chase & Co.  4.250%  10/15/20  14,000  13,285 
JPMorgan Chase Bank NA  5.875%  6/13/16  6,400  7,013 
JPMorgan Chase Bank NA  6.000%  10/1/17  6,525  7,135 
KeyCorp  5.100%  3/24/21  2,300  2,284 
Lloyds TSB Bank plc  6.375%  1/21/21  11,550  11,980 
M&I Marshall & Ilsley Bank  4.850%  6/16/15  700  725 
M&I Marshall & Ilsley Bank  5.000%  1/17/17  1,950  2,002 
Manufacturers & Traders Trust Co.  6.625%  12/4/17  5,425  6,108 
3 Manufacturers & Traders Trust Co.  5.585%  12/28/20  2,400  2,324 
Merrill Lynch & Co. Inc.  6.050%  5/16/16  7,200  7,582 
Merrill Lynch & Co. Inc.  5.700%  5/2/17  7,075  7,286 
Merrill Lynch & Co. Inc.  6.400%  8/28/17  9,750  10,619 
Merrill Lynch & Co. Inc.  6.875%  4/25/18  31,850  35,426 
Merrill Lynch & Co. Inc.  6.500%  7/15/18  4,125  4,454 
Morgan Stanley  5.750%  10/18/16  1,400  1,493 
Morgan Stanley  5.450%  1/9/17  7,325  7,677 
Morgan Stanley  5.550%  4/27/17  18,325  19,293 
Morgan Stanley  6.250%  8/28/17  12,000  12,902 
Morgan Stanley  5.950%  12/28/17  15,225  16,245 
Morgan Stanley  6.625%  4/1/18  13,325  14,648 
Morgan Stanley  7.300%  5/13/19  12,675  14,195 
Morgan Stanley  5.625%  9/23/19  13,200  13,383 
Morgan Stanley  5.500%  1/26/20  5,350  5,361 
Morgan Stanley  5.500%  7/24/20  2,125  2,114 
Morgan Stanley  5.750%  1/25/21  12,750  12,741 
National City Bank  5.800%  6/7/17  4,000  4,339 
National City Corp.  6.875%  5/15/19  1,700  1,932 
Northern Trust Co.  6.500%  8/15/18  1,275  1,468 
Northern Trust Corp.  3.450%  11/4/20  950  901 
PNC Bank NA  4.875%  9/21/17  2,950  3,087 
PNC Bank NA  6.000%  12/7/17  1,125  1,231 
PNC Funding Corp.  5.625%  2/1/17  7,625  8,224 
PNC Funding Corp.  6.700%  6/10/19  2,575  2,984 
PNC Funding Corp.  5.125%  2/8/20  5,975  6,272 
PNC Funding Corp.  4.375%  8/11/20  1,200  1,186 
Royal Bank of Scotland Group plc  4.700%  7/3/18  800  684 
Royal Bank of Scotland Group plc  6.400%  10/21/19  12,850  13,173 
Royal Bank Of Scotland NV  4.650%  6/4/18  1,925  1,827 
Royal Bank of Scotland plc  5.625%  8/24/20  925  922 

 

 

  Royal Bank of Scotland plc  6.125%  1/11/21  5,150  5,277 
  Sovereign Bank  8.750%  5/30/18  2,825  3,189 
2,3 Standard Chartered plc  6.409%  12/31/49  1,500  1,421 
  State Street Bank and Trust Co.  5.250%  10/15/18  1,000  1,075 
  State Street Corp.  4.956%  3/15/18  4,175  4,287 
  SunTrust Bank  7.250%  3/15/18  3,550  4,032 
  SunTrust Banks Inc.  3.600%  4/15/16  1,275  1,265 
  SunTrust Banks Inc.  6.000%  9/11/17  1,925  2,101 
  UBS AG  5.875%  7/15/16  4,300  4,601 
  UBS AG  5.875%  12/20/17  13,475  14,689 
  UBS AG  5.750%  4/25/18  15,475  16,663 
  UBS AG  4.875%  8/4/20  8,375  8,410 
  Union Bank NA  5.950%  5/11/16  4,100  4,371 
  Wachovia Bank NA  6.000%  11/15/17  5,275  5,827 
  Wachovia Corp.  5.625%  10/15/16  4,000  4,321 
  Wachovia Corp.  5.750%  6/15/17  7,200  7,921 
  Wachovia Corp.  5.750%  2/1/18  10,450  11,507 
  Wells Fargo & Co.  3.676%  6/15/16  8,525  8,599 
  Wells Fargo & Co.  5.625%  12/11/17  16,075  17,462 
  Wells Fargo & Co.  4.600%  4/1/21  5,475  5,398 
  Wells Fargo Bank NA  5.750%  5/16/16  4,825  5,267 
  Westpac Banking Corp.  4.875%  11/19/19  11,275  11,591 
 
  Brokerage (0.3%)         
  Ameriprise Financial Inc.  7.300%  6/28/19  600  714 
  Ameriprise Financial Inc.  5.300%  3/15/20  2,250  2,378 
3  Ameriprise Financial Inc.  7.518%  6/1/66  3,050  3,201 
  BlackRock Inc.  6.250%  9/15/17  2,950  3,364 
  BlackRock Inc.  5.000%  12/10/19  3,900  4,076 
  Charles Schwab Corp.  4.450%  7/22/20  4,050  4,072 
  Franklin Resources Inc.  4.625%  5/20/20  2,250  2,308 
  Jefferies Group Inc.  8.500%  7/15/19  1,325  1,555 
  Lazard Group LLC  6.850%  6/15/17  5,525  5,882 
  Nomura Holdings Inc.  6.700%  3/4/20  5,100  5,445 
  TD Ameritrade Holding Corp.  5.600%  12/1/19  2,225  2,360 
 
  Finance Companies (1.2%)         
  Discover Financial Services  6.450%  6/12/17  3,500  3,792 
3  GE Capital Trust I  6.375%  11/15/67  425  436 
  General Electric Capital Corp.  5.400%  2/15/17  12,600  13,624 
  General Electric Capital Corp.  5.625%  9/15/17  2,450  2,654 
  General Electric Capital Corp.  5.625%  5/1/18  35,375  38,299 
  General Electric Capital Corp.  6.000%  8/7/19  6,925  7,565 
  General Electric Capital Corp.  5.500%  1/8/20  4,475  4,723 
  General Electric Capital Corp.  5.550%  5/4/20  3,025  3,163 
  General Electric Capital Corp.  4.375%  9/16/20  8,425  8,144 
  General Electric Capital Corp.  4.625%  1/7/21  1,800  1,773 
  General Electric Capital Corp.  5.300%  2/11/21  7,150  7,249 
3  General Electric Capital Corp.  6.375%  11/15/67  14,525  14,888 
2  HSBC Finance Corp.  6.676%  1/15/21  15,409  15,973 
  SLM Corp.  8.450%  6/15/18  11,375  12,775 
  SLM Corp.  8.000%  3/25/20  5,250  5,696 
 
  Insurance (2.3%)         
  ACE INA Holdings Inc.  5.700%  2/15/17  2,400  2,615 

 

 

ACE INA Holdings Inc.  5.800%  3/15/18  1,850  2,024 
ACE INA Holdings Inc.  5.900%  6/15/19  1,925  2,119 
Aetna Inc.  6.000%  6/15/16  5,250  5,902 
Aetna Inc.  6.500%  9/15/18  1,450  1,659 
Aflac Inc.  8.500%  5/15/19  3,400  4,105 
Alleghany Corp.  5.625%  9/15/20  1,450  1,451 
Allied World Assurance Co. Holdings Ltd.  7.500%  8/1/16  4,575  5,071 
Allstate Corp.  6.750%  5/15/18  1,000  1,147 
3 Allstate Corp.  6.125%  5/15/37  2,575  2,601 
Alterra Finance LLC  6.250%  9/30/20  1,565  1,574 
American Financial Group Inc.  9.875%  6/15/19  2,625  3,215 
American International Group Inc.  5.600%  10/18/16  875  908 
American International Group Inc.  5.450%  5/18/17  6,425  6,568 
American International Group Inc.  5.850%  1/16/18  13,125  13,668 
American International Group Inc.  8.250%  8/15/18  8,620  10,073 
American International Group Inc.  6.400%  12/15/20  8,990  9,578 
AON Corp.  5.000%  9/30/20  1,100  1,107 
Aspen Insurance Holdings Ltd.  6.000%  12/15/20  1,075  1,077 
Axis Specialty Finance LLC  5.875%  6/1/20  4,975  4,994 
Berkshire Hathaway Finance Corp.  5.400%  5/15/18  5,400  5,945 
Berkshire Hathaway Finance Corp.  4.250%  1/15/21  2,575  2,571 
Chubb Corp.  5.750%  5/15/18  3,500  3,883 
3 Chubb Corp.  6.375%  3/29/67  3,975  4,178 
CIGNA Corp.  5.125%  6/15/20  1,400  1,458 
CIGNA Corp.  4.375%  12/15/20  650  633 
CIGNA Corp.  4.500%  3/15/21  3,700  3,633 
CNA Financial Corp.  6.500%  8/15/16  3,400  3,706 
CNA Financial Corp.  7.350%  11/15/19  875  987 
CNA Financial Corp.  5.875%  8/15/20  1,800  1,846 
Coventry Health Care Inc.  5.950%  3/15/17  3,000  3,110 
Genworth Financial Inc.  8.625%  12/15/16  3,500  3,894 
Genworth Financial Inc.  7.700%  6/15/20  1,000  1,021 
Genworth Financial Inc.  7.200%  2/15/21  575  568 
Hartford Financial Services Group Inc.  5.500%  10/15/16  4,525  4,737 
Hartford Financial Services Group Inc.  5.375%  3/15/17  2,200  2,291 
Hartford Financial Services Group Inc.  6.000%  1/15/19  875  918 
Hartford Financial Services Group Inc.  5.500%  3/30/20  600  610 
HCC Insurance Holdings Inc.  6.300%  11/15/19  1,600  1,719 
Humana Inc.  6.450%  6/1/16  400  442 
Humana Inc.  7.200%  6/15/18  5,150  5,808 
Humana Inc.  6.300%  8/1/18  750  806 
Lincoln National Corp.  8.750%  7/1/19  2,325  2,931 
3 Lincoln National Corp.  7.000%  5/17/66  8,075  7,998 
Manulife Financial Corp.  4.900%  9/17/20  2,550  2,490 
Markel Corp.  7.125%  9/30/19  1,575  1,756 
Marsh & McLennan Cos. Inc.  9.250%  4/15/19  1,350  1,708 
MetLife Inc.  6.750%  6/1/16  6,150  7,078 
MetLife Inc.  6.817%  8/15/18  5,500  6,339 
MetLife Inc.  7.717%  2/15/19  3,750  4,541 
MetLife Inc.  4.750%  2/8/21  2,500  2,488 
PartnerRe Finance B LLC  5.500%  6/1/20  4,700  4,683 
Principal Financial Group Inc.  8.875%  5/15/19  1,750  2,206 
3 Progressive Corp.  6.700%  6/15/37  4,650  4,906 
Protective Life Corp.  7.375%  10/15/19  1,600  1,783 
Prudential Financial Inc.  6.100%  6/15/17  500  551 

 

 

Prudential Financial Inc.  6.000%  12/1/17  5,650  6,210 
Prudential Financial Inc.  7.375%  6/15/19  7,675  8,978 
Prudential Financial Inc.  5.375%  6/21/20  2,300  2,385 
3 Reinsurance Group of America Inc.  6.750%  12/15/65  4,400  4,292 
Swiss Re Solutions Holding Corp.  6.450%  3/1/19  400  429 
Torchmark Corp.  6.375%  6/15/16  1,750  1,876 
Travelers Cos. Inc.  6.250%  6/20/16  2,025  2,286 
Travelers Cos. Inc.  5.750%  12/15/17  3,550  3,906 
Travelers Cos. Inc.  5.800%  5/15/18  1,975  2,165 
Travelers Cos. Inc.  5.900%  6/2/19  3,075  3,384 
UnitedHealth Group Inc.  6.000%  6/15/17  2,775  3,100 
UnitedHealth Group Inc.  6.000%  2/15/18  7,350  8,192 
Unum Group  7.125%  9/30/16  1,800  2,020 
Unum Group  5.625%  9/15/20  1,650  1,675 
WellPoint Inc.  5.250%  1/15/16  5,900  6,453 
WellPoint Inc.  5.875%  6/15/17  4,600  5,154 
WellPoint Inc.  4.350%  8/15/20  2,000  1,988 
Willis Group Holdings plc  5.750%  3/15/21  1,750  1,729 
Willis North America Inc.  6.200%  3/28/17  1,625  1,722 
Willis North America Inc.  7.000%  9/29/19  3,250  3,538 
WR Berkley Corp.  5.375%  9/15/20  2,250  2,268 
 
Other Finance (0.1%)         
Brookfield Asset Management Inc.  7.125%  6/15/12  1,000  1,051 
NASDAQ OMX Group Inc.  5.550%  1/15/20  2,700  2,620 
XTRA Finance Corp.  5.150%  4/1/17  1,600  1,728 
 
Real Estate Investment Trusts (1.0%)         
AMB Property LP  4.500%  8/15/17  1,200  1,192 
AMB Property LP  6.625%  12/1/19  2,225  2,465 
AvalonBay Communities Inc.  5.750%  9/15/16  1,750  1,946 
Boston Properties LP  5.875%  10/15/19  875  949 
Boston Properties LP  5.625%  11/15/20  4,775  5,095 
Brandywine Operating Partnership LP  5.700%  5/1/17  3,025  3,123 
Camden Property Trust  5.700%  5/15/17  1,800  1,970 
CommonWealth REIT  6.250%  8/15/16  5,150  5,536 
CommonWealth REIT  6.250%  6/15/17  3,200  3,434 
Digital Realty Trust LP  5.250%  3/15/21  3,250  3,193 
Duke Realty LP  5.950%  2/15/17  4,975  5,370 
Duke Realty LP  8.250%  8/15/19  1,125  1,348 
Duke Realty LP  6.750%  3/15/20  350  390 
ERP Operating LP  5.375%  8/1/16  475  516 
ERP Operating LP  5.750%  6/15/17  1,675  1,852 
HCP Inc.  6.300%  9/15/16  275  302 
HCP Inc.  6.000%  1/30/17  3,750  4,041 
HCP Inc.  6.700%  1/30/18  4,500  5,009 
HCP Inc.  5.375%  2/1/21  7,625  7,698 
Health Care REIT Inc.  6.200%  6/1/16  925  1,012 
Health Care REIT Inc.  4.700%  9/15/17  1,850  1,853 
Health Care REIT Inc.  6.125%  4/15/20  2,250  2,387 
Health Care REIT Inc.  4.950%  1/15/21  1,200  1,153 
Healthcare Realty Trust Inc.  6.500%  1/17/17  1,200  1,316 
Hospitality Properties Trust  5.625%  3/15/17  3,150  3,263 
Kimco Realty Corp.  6.875%  10/1/19  1,575  1,808 
Liberty Property LP  5.500%  12/15/16  113  121 

 

 

Liberty Property LP  4.750%  10/1/20  2,410  2,369 
Mack-Cali Realty LP  7.750%  8/15/19  975  1,162 
National Retail Properties Inc.  6.875%  10/15/17  3,000  3,263 
ProLogis  7.375%  10/30/19  2,600  2,945 
ProLogis  6.875%  3/15/20  5,300  5,790 
Realty Income Corp.  5.950%  9/15/16  1,000  1,094 
Realty Income Corp.  6.750%  8/15/19  3,150  3,574 
Realty Income Corp.  5.750%  1/15/21  1,000  1,050 
Regency Centers LP  5.875%  6/15/17  3,000  3,266 
Simon Property Group LP  6.100%  5/1/16  1,800  2,014 
Simon Property Group LP  5.250%  12/1/16  8,675  9,391 
Simon Property Group LP  6.125%  5/30/18  3,225  3,605 
Simon Property Group LP  5.650%  2/1/20  7,100  7,625 
        1,605,253 
Industrial (19.1%)         
Basic Industry (2.2%)         
Agrium Inc.  6.750%  1/15/19  1,750  2,015 
Albemarle Corp.  4.500%  12/15/20  1,050  1,029 
Alcoa Inc.  5.550%  2/1/17  4,850  5,115 
Alcoa Inc.  6.750%  7/15/18  9,800  10,823 
Allegheny Technologies Inc.  5.950%  1/15/21  2,735  2,863 
AngloGold Ashanti Holdings plc  5.375%  4/15/20  2,600  2,629 
ArcelorMittal  6.125%  6/1/18  6,925  7,406 
ArcelorMittal  9.850%  6/1/19  7,250  9,180 
ArcelorMittal  5.250%  8/5/20  325  317 
ArcelorMittal  5.500%  3/1/21  3,975  3,904 
Barrick Gold Corp.  6.950%  4/1/19  5,100  6,086 
Barrick North America Finance LLC  6.800%  9/15/18  2,150  2,542 
BHP Billiton Finance USA Ltd.  5.400%  3/29/17  2,300  2,567 
BHP Billiton Finance USA Ltd.  6.500%  4/1/19  9,150  10,812 
Celulosa Arauco y Constitucion SA  7.250%  7/29/19  2,000  2,304 
2 Celulosa Arauco y Constitucion SA  5.000%  1/21/21  1,525  1,496 
Cliffs Natural Resources Inc.  5.900%  3/15/20  1,525  1,621 
Cliffs Natural Resources Inc.  4.875%  4/1/21  3,900  3,841 
Commercial Metals Co.  6.500%  7/15/17  1,650  1,689 
Commercial Metals Co.  7.350%  8/15/18  2,175  2,273 
Cytec Industries Inc.  8.950%  7/1/17  1,750  2,130 
Dow Chemical Co.  4.250%  11/15/20  19,475  18,616 
Eastman Chemical Co.  5.500%  11/15/19  650  681 
Eastman Chemical Co.  4.500%  1/15/21  1,000  971 
EI du Pont de Nemours & Co.  5.250%  12/15/16  5,925  6,610 
EI du Pont de Nemours & Co.  6.000%  7/15/18  5,975  6,784 
EI du Pont de Nemours & Co.  4.625%  1/15/20  4,450  4,591 
EI du Pont de Nemours & Co.  4.250%  4/1/21  350  346 
Freeport-McMoRan Copper & Gold Inc.  8.375%  4/1/17  13,800  15,180 
International Paper Co.  5.250%  4/1/16  2,950  3,162 
International Paper Co.  7.950%  6/15/18  7,200  8,639 
International Paper Co.  9.375%  5/15/19  3,775  4,856 
International Paper Co.  7.500%  8/15/21  2,000  2,337 
Lubrizol Corp.  8.875%  2/1/19  850  1,092 
Monsanto Co.  5.125%  4/15/18  925  999 
2 Mosaic Co.  7.625%  12/1/16  4,000  4,320 
Newmont Mining Corp.  5.125%  10/1/19  4,025  4,304 
Nucor Corp.  5.750%  12/1/17  825  933 
Nucor Corp.  5.850%  6/1/18  3,275  3,712 

 

 

Plum Creek Timberlands LP  4.700%  3/15/21  950  908 
Potash Corp. of Saskatchewan Inc.  3.250%  12/1/17  7,175  6,990 
PPG Industries Inc.  6.650%  3/15/18  3,425  3,978 
PPG Industries Inc.  3.600%  11/15/20  3,500  3,291 
Praxair Inc.  5.375%  11/1/16  700  781 
Praxair Inc.  5.200%  3/15/17  1,500  1,655 
Praxair Inc.  4.500%  8/15/19  2,450  2,551 
Reliance Steel & Aluminum Co.  6.200%  11/15/16  650  702 
Rio Tinto Finance USA Ltd.  6.500%  7/15/18  15,650  17,983 
Rio Tinto Finance USA Ltd.  9.000%  5/1/19  3,125  4,095 
Rohm and Haas Co.  6.000%  9/15/17  5,825  6,421 
Sigma-Aldrich Corp.  3.375%  11/1/20  550  512 
Southern Copper Corp.  5.375%  4/16/20  1,725  1,763 
Teck Resources Ltd.  10.250%  5/15/16  3,250  3,908 
Teck Resources Ltd.  10.750%  5/15/19  7,250  9,298 
Vale Overseas Ltd.  6.250%  1/23/17  2,750  3,079 
Vale Overseas Ltd.  5.625%  9/15/19  4,350  4,554 
Vale Overseas Ltd.  4.625%  9/15/20  6,550  6,364 
Valspar Corp.  7.250%  6/15/19  1,275  1,450 
 
Capital Goods (2.1%)         
Acuity Brands Lighting Inc.  6.000%  12/15/19  1,675  1,744 
Allied Waste North America Inc.  7.125%  5/15/16  4,200  4,389 
Allied Waste North America Inc.  6.875%  6/1/17  5,000  5,450 
Bemis Co. Inc.  6.800%  8/1/19  2,300  2,609 
Black & Decker Corp.  5.750%  11/15/16  1,925  2,124 
Boeing Co.  6.000%  3/15/19  6,975  8,014 
Boeing Co.  4.875%  2/15/20  850  906 
Caterpillar Financial Services Corp.  5.450%  4/15/18  7,550  8,377 
Caterpillar Financial Services Corp.  7.050%  10/1/18  3,500  4,231 
Caterpillar Financial Services Corp.  7.150%  2/15/19  6,550  7,970 
Cooper US Inc.  3.875%  12/15/20  1,000  970 
CRH America Inc.  6.000%  9/30/16  8,375  9,033 
CRH America Inc.  8.125%  7/15/18  4,425  5,166 
Danaher Corp.  5.625%  1/15/18  1,200  1,331 
Danaher Corp.  5.400%  3/1/19  1,300  1,426 
Deere & Co.  4.375%  10/16/19  700  728 
Dover Corp.  5.450%  3/15/18  900  993 
Eaton Corp.  5.600%  5/15/18  3,825  4,213 
Embraer Overseas Ltd.  6.375%  1/24/17  1,550  1,677 
Embraer Overseas Ltd.  6.375%  1/15/20  800  856 
Emerson Electric Co.  5.125%  12/1/16  375  416 
Emerson Electric Co.  5.375%  10/15/17  5,000  5,521 
Emerson Electric Co.  5.250%  10/15/18  850  932 
Emerson Electric Co.  4.875%  10/15/19  1,450  1,544 
General Electric Co.  5.250%  12/6/17  17,975  19,527 
Goodrich Corp.  6.125%  3/1/19  3,472  3,871 
Goodrich Corp.  4.875%  3/1/20  2,000  2,076 
Goodrich Corp.  3.600%  2/1/21  1,050  982 
Harsco Corp.  5.750%  5/15/18  4,550  4,960 
Honeywell International Inc.  5.300%  3/15/17  1,000  1,113 
Honeywell International Inc.  5.300%  3/1/18  4,025  4,456 
Honeywell International Inc.  5.000%  2/15/19  3,250  3,509 
Illinois Tool Works Inc.  6.250%  4/1/19  5,900  6,845 
Ingersoll-Rand Global Holding Co. Ltd.  6.875%  8/15/18  6,100  7,053 

 

 

John Deere Capital Corp.  5.500%  4/13/17  2,300  2,571 
John Deere Capital Corp.  5.750%  9/10/18  7,800  8,793 
Joy Global Inc.  6.000%  11/15/16  1,275  1,388 
L-3 Communications Corp.  5.200%  10/15/19  4,075  4,240 
L-3 Communications Corp.  4.750%  7/15/20  2,700  2,686 
L-3 Communications Corp.  4.950%  2/15/21  7,075  7,092 
Lafarge SA  6.500%  7/15/16  6,500  6,893 
Lockheed Martin Corp.  7.650%  5/1/16  2,000  2,422 
Lockheed Martin Corp.  4.250%  11/15/19  2,450  2,464 
Martin Marietta Materials Inc.  6.600%  4/15/18  2,050  2,237 
Northrop Grumman Corp.  3.500%  3/15/21  2,000  1,849 
Owens Corning  6.500%  12/1/16  4,850  5,261 
Parker Hannifin Corp.  5.500%  5/15/18  2,000  2,222 
Raytheon Co.  6.400%  12/15/18  500  581 
Raytheon Co.  4.400%  2/15/20  1,225  1,241 
Raytheon Co.  3.125%  10/15/20  4,800  4,378 
Republic Services Inc.  5.500%  9/15/19  1,825  1,956 
Republic Services Inc.  5.000%  3/1/20  4,025  4,166 
Republic Services Inc.  5.250%  11/15/21  875  913 
Rockwell Collins Inc.  5.250%  7/15/19  650  700 
Roper Industries Inc.  6.250%  9/1/19  2,900  3,190 
2,3 Systems 2001 AT LLC  7.156%  12/15/11  86  88 
Textron Inc.  5.600%  12/1/17  2,700  2,790 
Tyco International Finance SA  3.750%  1/15/18  2,175  2,175 
Tyco International Finance SA  8.500%  1/15/19  3,650  4,679 
Tyco International Ltd. / Tyco International         
Finance SA  7.000%  12/15/19  850  1,023 
United Technologies Corp.  5.375%  12/15/17  3,850  4,308 
United Technologies Corp.  6.125%  2/1/19  8,000  9,278 
United Technologies Corp.  4.500%  4/15/20  2,350  2,444 
Waste Management Inc.  6.375%  11/15/12  1,000  1,081 
Waste Management Inc.  7.375%  3/11/19  1,450  1,740 
Waste Management Inc.  4.750%  6/30/20  4,350  4,415 
Waste Management Inc.  4.600%  3/1/21  1,400  1,390 
 
Communication (3.3%)         
America Movil SAB de CV  5.000%  10/16/19  5,800  5,991 
America Movil SAB de CV  5.000%  3/30/20  7,000  7,252 
American Tower Corp.  4.500%  1/15/18  5,000  4,894 
American Tower Corp.  5.050%  9/1/20  5,000  4,840 
AT&T Inc.  5.625%  6/15/16  2,975  3,314 
AT&T Inc.  5.500%  2/1/18  12,350  13,485 
AT&T Inc.  5.600%  5/15/18  4,450  4,873 
AT&T Inc.  5.800%  2/15/19  11,175  12,394 
BellSouth Corp.  5.200%  12/15/16  1,025  1,122 
British Telecommunications plc  5.950%  1/15/18  4,575  5,043 
CBS Corp.  8.875%  5/15/19  6,350  7,970 
CBS Corp.  5.750%  4/15/20  220  233 
Cellco Partnership / Verizon Wireless Capital         
LLC  8.500%  11/15/18  10,950  14,040 
CenturyLink Inc.  6.000%  4/1/17  2,475  2,637 
CenturyLink Inc.  6.150%  9/15/19  500  522 
Comcast Cable Communications LLC  8.875%  5/1/17  1,700  2,125 
Comcast Corp.  4.950%  6/15/16  2,175  2,318 
Comcast Corp.  6.500%  1/15/17  1,575  1,794 

 

 

Comcast Corp.  6.300%  11/15/17  7,125  8,036 
Comcast Corp.  5.875%  2/15/18  5,375  5,924 
Comcast Corp.  5.700%  5/15/18  3,600  3,925 
Comcast Corp.  5.700%  7/1/19  1,075  1,165 
Deutsche Telekom International Finance BV  6.750%  8/20/18  4,250  5,014 
Deutsche Telekom International Finance BV  6.000%  7/8/19  4,125  4,663 
DIRECTV Holdings LLC  5.200%  3/15/20  8,000  8,219 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  7.625%  5/15/16  5,325  5,864 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  5.875%  10/1/19  4,150  4,489 
Discovery Communications LLC  5.050%  6/1/20  6,300  6,539 
Embarq Corp.  7.082%  6/1/16  9,275  10,537 
France Telecom SA  5.375%  7/8/19  5,200  5,726 
GTE Corp.  6.840%  4/15/18  1,000  1,155 
McGraw-Hill Cos. Inc.  5.900%  11/15/17  2,950  3,211 
2 NBCUniversal Media LLC  2.875%  4/1/16  2,100  2,035 
2 NBCUniversal Media LLC  5.150%  4/30/20  11,125  11,434 
News America Inc.  6.900%  3/1/19  10,800  12,611 
2 News America Inc.  4.500%  2/15/21  2,500  2,457 
Omnicom Group Inc.  5.900%  4/15/16  5,490  6,121 
Omnicom Group Inc.  4.450%  8/15/20  3,000  2,939 
Qwest Corp.  8.375%  5/1/16  3,500  4,165 
Qwest Corp.  6.500%  6/1/17  4,000  4,415 
Reed Elsevier Capital Inc.  8.625%  1/15/19  4,100  5,178 
Rogers Communications Inc.  6.800%  8/15/18  4,465  5,194 
RR Donnelley & Sons Co.  6.125%  1/15/17  2,650  2,744 
RR Donnelley & Sons Co.  11.250%  2/1/19  2,400  3,011 
RR Donnelley & Sons Co.  7.625%  6/15/20  2,350  2,469 
Telecom Italia Capital SA  6.999%  6/4/18  2,625  2,844 
Telecom Italia Capital SA  7.175%  6/18/19  7,500  8,181 
Telefonica Emisiones SAU  6.421%  6/20/16  12,975  14,359 
Telefonica Emisiones SAU  5.877%  7/15/19  1,900  1,996 
Telefonica Emisiones SAU  5.134%  4/27/20  2,600  2,577 
Telefonica Emisiones SAU  5.462%  2/16/21  5,500  5,560 
Thomson Reuters Corp.  6.500%  7/15/18  3,950  4,563 
Thomson Reuters Corp.  4.700%  10/15/19  1,000  1,043 
Time Warner Cable Inc.  5.850%  5/1/17  15,625  17,061 
Time Warner Cable Inc.  6.750%  7/1/18  11,900  13,507 
Time Warner Cable Inc.  8.750%  2/14/19  1,575  1,967 
Time Warner Cable Inc.  8.250%  4/1/19  5,475  6,672 
Time Warner Cable Inc.  5.000%  2/1/20  6,125  6,182 
Verizon Communications Inc.  3.000%  4/1/16  5,300  5,260 
Verizon Communications Inc.  5.500%  2/15/18  10,725  11,682 
Verizon Communications Inc.  6.100%  4/15/18  2,250  2,521 
Verizon Communications Inc.  8.750%  11/1/18  11,075  14,158 
Verizon Communications Inc.  6.350%  4/1/19  7,500  8,531 
Verizon Communications Inc.  4.600%  4/1/21  3,075  3,054 
2 Virgin Media Secured Finance plc  5.250%  1/15/21  3,000  3,016 
Vodafone Group plc  5.625%  2/27/17  7,150  7,900 
Vodafone Group plc  4.625%  7/15/18  1,000  1,037 
Vodafone Group plc  5.450%  6/10/19  2,400  2,618 
Washington Post Co.  7.250%  2/1/19  1,075  1,221 

 

 

Consumer Cyclical (1.7%)         
BorgWarner Inc.  4.625%  9/15/20  950  946 
Costco Wholesale Corp.  5.500%  3/15/17  4,675  5,320 
CVS Caremark Corp.  5.750%  6/1/17  13,600  14,947 
CVS Caremark Corp.  6.600%  3/15/19  3,900  4,456 
Darden Restaurants Inc.  6.200%  10/15/17  4,025  4,463 
eBay Inc.  3.250%  10/15/20  2,175  1,974 
Expedia Inc.  5.950%  8/15/20  4,275  4,315 
Family Dollar Stores Inc.  5.000%  2/1/21  1,450  1,418 
Home Depot Inc.  3.950%  9/15/20  400  388 
International Game Technology  7.500%  6/15/19  2,100  2,379 
International Game Technology  5.500%  6/15/20  650  663 
Johnson Controls Inc.  5.000%  3/30/20  2,850  2,985 
Johnson Controls Inc.  4.250%  3/1/21  650  640 
Kohl's Corp.  6.250%  12/15/17  4,000  4,574 
Lowe's Cos. Inc.  5.400%  10/15/16  4,525  5,084 
Lowe's Cos. Inc.  6.100%  9/15/17  600  683 
Lowe's Cos. Inc.  4.625%  4/15/20  2,450  2,554 
Marriott International Inc.  6.200%  6/15/16  2,600  2,886 
Marriott International Inc.  6.375%  6/15/17  2,450  2,742 
McDonald's Corp.  5.300%  3/15/17  750  836 
McDonald's Corp.  5.800%  10/15/17  3,950  4,512 
McDonald's Corp.  5.350%  3/1/18  4,775  5,316 
McDonald's Corp.  5.000%  2/1/19  725  786 
Nordstrom Inc.  6.250%  1/15/18  2,700  3,089 
Nordstrom Inc.  4.750%  5/1/20  4,150  4,274 
O'Reilly Automotive Inc.  4.875%  1/14/21  1,825  1,798 
Target Corp.  5.875%  7/15/16  5,375  6,154 
Target Corp.  6.000%  1/15/18  5,375  6,155 
Target Corp.  3.875%  7/15/20  4,800  4,692 
Time Warner Inc.  5.875%  11/15/16  9,600  10,689 
Time Warner Inc.  4.875%  3/15/20  5,400  5,489 
Time Warner Inc.  4.700%  1/15/21  3,000  2,975 
Time Warner Inc.  4.750%  3/29/21  5,575  5,510 
TJX Cos. Inc.  6.950%  4/15/19  4,325  5,155 
Toll Brothers Finance Corp.  6.750%  11/1/19  1,425  1,467 
Toyota Motor Credit Corp.  4.500%  6/17/20  3,300  3,332 
Toyota Motor Credit Corp.  4.250%  1/11/21  1,475  1,461 
VF Corp.  5.950%  11/1/17  1,125  1,282 
Viacom Inc.  3.500%  4/1/17  5,350  5,258 
Viacom Inc.  6.125%  10/5/17  50  56 
Viacom Inc.  5.625%  9/15/19  7,175  7,832 
Wal-Mart Stores Inc.  5.375%  4/5/17  2,575  2,886 
Wal-Mart Stores Inc.  5.800%  2/15/18  6,525  7,421 
Wal-Mart Stores Inc.  3.625%  7/8/20  4,800  4,637 
Wal-Mart Stores Inc.  3.250%  10/25/20  10,900  10,158 
Walgreen Co.  5.250%  1/15/19  5,550  6,084 
Walt Disney Co.  5.625%  9/15/16  3,500  3,982 
Walt Disney Co.  5.875%  12/15/17  2,600  2,968 
Western Union Co.  5.930%  10/1/16  3,800  4,203 
Yum! Brands Inc.  6.250%  3/15/18  7,125  7,997 
 
Consumer Noncyclical (4.9%)         
Abbott Laboratories  5.875%  5/15/16  12,900  14,709 
Abbott Laboratories  5.600%  11/30/17  5,000  5,630 

 

 

Abbott Laboratories  5.125%  4/1/19  5,200  5,608 
Abbott Laboratories  4.125%  5/27/20  4,225  4,227 
Allergan Inc./United States  5.750%  4/1/16  3,010  3,387 
Allergan Inc./United States  3.375%  9/15/20  3,000  2,798 
Altria Group Inc.  9.700%  11/10/18  20,300  26,586 
Altria Group Inc.  9.250%  8/6/19  3,800  4,929 
Amgen Inc.  5.850%  6/1/17  8,675  9,850 
Amgen Inc.  5.700%  2/1/19  3,025  3,361 
Amgen Inc.  3.450%  10/1/20  4,925  4,598 
Anheuser-Busch Cos. Inc.  5.600%  3/1/17  4,100  4,511 
Anheuser-Busch Cos. Inc.  5.500%  1/15/18  3,900  4,264 
Anheuser-Busch InBev Worldwide Inc.  7.750%  1/15/19  6,075  7,435 
Anheuser-Busch InBev Worldwide Inc.  6.875%  11/15/19  6,325  7,432 
Anheuser-Busch InBev Worldwide Inc.  5.375%  1/15/20  10,900  11,643 
Anheuser-Busch InBev Worldwide Inc.  5.000%  4/15/20  2,800  2,914 
Anheuser-Busch InBev Worldwide Inc.  4.375%  2/15/21  1,175  1,165 
Archer-Daniels-Midland Co.  8.375%  4/15/17  1,375  1,701 
Archer-Daniels-Midland Co.  5.450%  3/15/18  2,050  2,275 
Archer-Daniels-Midland Co.  4.700%  3/1/21  3,125  3,153 
AstraZeneca plc  5.900%  9/15/17  7,625  8,711 
Avon Products Inc.  6.500%  3/1/19  2,000  2,284 
Baxter International Inc.  5.900%  9/1/16  2,600  2,984 
Baxter International Inc.  5.375%  6/1/18  3,500  3,866 
Baxter International Inc.  4.250%  3/15/20  3,000  3,045 
Becton Dickinson and Co.  5.000%  5/15/19  2,975  3,197 
Becton Dickinson and Co.  3.250%  11/12/20  1,500  1,392 
Biogen Idec Inc.  6.875%  3/1/18  1,950  2,210 
Bottling Group LLC  5.500%  4/1/16  425  478 
Bottling Group LLC  5.125%  1/15/19  6,400  6,958 
Bristol-Myers Squibb Co.  5.450%  5/1/18  1,425  1,582 
Bunge Ltd. Finance Corp.  8.500%  6/15/19  7,375  8,781 
Campbell Soup Co.  3.050%  7/15/17  1,850  1,849 
Campbell Soup Co.  4.250%  4/15/21  950  945 
Cardinal Health Inc.  4.625%  12/15/20  3,125  3,097 
CareFusion Corp.  6.375%  8/1/19  2,750  3,062 
Celgene Corp.  3.950%  10/15/20  925  870 
Clorox Co.  5.950%  10/15/17  4,000  4,439 
Coca-Cola Co.  5.350%  11/15/17  4,925  5,550 
Coca-Cola Co.  4.875%  3/15/19  2,400  2,581 
Coca-Cola Co.  3.150%  11/15/20  6,500  6,034 
Coca-Cola Enterprises Inc.  3.500%  9/15/20  1,600  1,505 
Coca-Cola Femsa SAB de CV  4.625%  2/15/20  2,000  2,049 
ConAgra Foods Inc.  5.819%  6/15/17  1,500  1,625 
ConAgra Foods Inc.  7.000%  4/15/19  500  565 
Corn Products International Inc.  4.625%  11/1/20  650  639 
Covidien International Finance SA  6.000%  10/15/17  7,925  9,011 
CR Bard Inc.  4.400%  1/15/21  2,000  2,029 
Delhaize Group SA  6.500%  6/15/17  2,800  3,125 
Diageo Capital plc  5.500%  9/30/16  4,500  5,000 
Diageo Capital plc  5.750%  10/23/17  4,800  5,370 
Diageo Capital plc  4.828%  7/15/20  975  1,005 
Dr Pepper Snapple Group Inc.  6.820%  5/1/18  4,250  4,991 
Eli Lilly & Co.  5.200%  3/15/17  4,925  5,434 
Express Scripts Inc.  7.250%  6/15/19  2,050  2,445 
General Mills Inc.  5.700%  2/15/17  5,750  6,449 

 

 

General Mills Inc.  5.650%  2/15/19  5,775  6,376 
Gilead Sciences Inc.  4.500%  4/1/21  2,050  2,015 
GlaxoSmithKline Capital Inc.  5.650%  5/15/18  11,550  12,955 
Hasbro Inc.  6.300%  9/15/17  2,175  2,386 
Hershey Co.  5.450%  9/1/16  2,100  2,341 
Hospira Inc.  6.050%  3/30/17  2,000  2,214 
Johnson & Johnson  5.550%  8/15/17  550  632 
Johnson & Johnson  5.150%  7/15/18  7,325  8,176 
Johnson & Johnson  2.950%  9/1/20  2,000  1,874 
Kellogg Co.  4.150%  11/15/19  4,350  4,375 
Kellogg Co.  4.000%  12/15/20  4,275  4,174 
Kimberly-Clark Corp.  6.125%  8/1/17  7,000  8,119 
Kimberly-Clark Corp.  6.250%  7/15/18  675  783 
Kimberly-Clark Corp.  3.625%  8/1/20  1,000  983 
Koninklijke Philips Electronics NV  5.750%  3/11/18  8,800  9,827 
Kraft Foods Inc.  6.500%  8/11/17  13,450  15,308 
Kraft Foods Inc.  6.125%  2/1/18  5,150  5,759 
Kraft Foods Inc.  6.125%  8/23/18  700  780 
Kraft Foods Inc.  5.375%  2/10/20  20,100  21,163 
Kroger Co.  6.400%  8/15/17  2,350  2,689 
Kroger Co.  6.150%  1/15/20  4,669  5,266 
Laboratory Corp. of America Holdings  4.625%  11/15/20  3,000  2,990 
Life Technologies Corp.  6.000%  3/1/20  3,150  3,388 
Life Technologies Corp.  5.000%  1/15/21  3,875  3,875 
Lorillard Tobacco Co.  8.125%  6/23/19  3,200  3,710 
Lorillard Tobacco Co.  6.875%  5/1/20  5,050  5,429 
McKesson Corp.  5.700%  3/1/17  1,000  1,109 
McKesson Corp.  7.500%  2/15/19  1,825  2,198 
McKesson Corp.  4.750%  3/1/21  1,125  1,137 
Mead Johnson Nutrition Co.  4.900%  11/1/19  2,475  2,559 
Medco Health Solutions Inc.  7.125%  3/15/18  9,800  11,435 
Medtronic Inc.  5.600%  3/15/19  1,525  1,693 
Medtronic Inc.  4.450%  3/15/20  4,075  4,169 
Merck & Co. Inc.  6.000%  9/15/17  1,925  2,222 
Merck & Co. Inc.  5.000%  6/30/19  5,525  5,982 
Merck & Co. Inc.  3.875%  1/15/21  6,500  6,322 
Novant Health Inc.  5.850%  11/1/19  1,300  1,388 
Novartis Capital Corp.  4.400%  4/24/20  1,800  1,852 
Novartis Securities Investment Ltd.  5.125%  2/10/19  13,625  14,678 
PepsiAmericas Inc.  5.000%  5/15/17  750  819 
PepsiCo Inc.  5.000%  6/1/18  9,200  10,013 
PepsiCo Inc.  7.900%  11/1/18  8,700  10,996 
PepsiCo Inc.  4.500%  1/15/20  1,900  1,971 
Pfizer Inc.  6.200%  3/15/19  15,600  17,883 
Philip Morris International Inc.  5.650%  5/16/18  16,375  18,206 
Procter & Gamble Co.  4.700%  2/15/19  6,350  6,861 
Quest Diagnostics Inc.  6.400%  7/1/17  1,325  1,495 
Quest Diagnostics Inc.  4.750%  1/30/20  1,100  1,104 
Quest Diagnostics Inc.  4.700%  4/1/21  1,000  984 
Reynolds American Inc.  7.625%  6/1/16  1,000  1,184 
Reynolds American Inc.  6.750%  6/15/17  6,500  7,410 
Safeway Inc.  6.350%  8/15/17  3,400  3,786 
Safeway Inc.  5.000%  8/15/19  2,750  2,807 
Sanofi-Aventis SA  4.000%  3/29/21  6,600  6,483 
Sara Lee Corp.  4.100%  9/15/20  325  310 

 

 

St. Jude Medical Inc.  4.875%  7/15/19  2,757  2,882 
Stryker Corp.  4.375%  1/15/20  1,950  1,992 
Sysco Corp.  5.250%  2/12/18  2,500  2,733 
Thermo Fisher Scientific Inc.  4.700%  5/1/20  650  672 
Thermo Fisher Scientific Inc.  4.500%  3/1/21  1,850  1,877 
Unilever Capital Corp.  4.800%  2/15/19  2,475  2,630 
Unilever Capital Corp.  4.250%  2/10/21  3,000  3,036 
UST LLC  5.750%  3/1/18  975  1,037 
Wyeth  5.450%  4/1/17  1,725  1,933 
Zimmer Holdings Inc.  4.625%  11/30/19  3,175  3,284 
 
Energy (2.5%)         
Anadarko Petroleum Corp.  5.950%  9/15/16  12,000  13,029 
Anadarko Petroleum Corp.  6.375%  9/15/17  6,400  7,037 
Anadarko Petroleum Corp.  6.950%  6/15/19  2,700  3,022 
Apache Corp.  5.625%  1/15/17  625  701 
Apache Corp.  6.900%  9/15/18  2,800  3,344 
Apache Corp.  3.625%  2/1/21  1,900  1,795 
Baker Hughes Inc.  7.500%  11/15/18  3,000  3,746 
BJ Services Co.  6.000%  6/1/18  1,225  1,397 
BP Capital Markets plc  4.750%  3/10/19  3,975  4,116 
BP Capital Markets plc  4.500%  10/1/20  5,780  5,719 
BP Capital Markets plc  4.742%  3/11/21  7,400  7,414 
Cameron International Corp.  6.375%  7/15/18  1,600  1,793 
Canadian Natural Resources Ltd.  6.000%  8/15/16  4,000  4,499 
Canadian Natural Resources Ltd.  5.700%  5/15/17  2,825  3,156 
Cenovus Energy Inc.  5.700%  10/15/19  5,300  5,857 
Chevron Corp.  4.950%  3/3/19  6,300  6,932 
ConocoPhillips  5.750%  2/1/19  10,875  12,268 
ConocoPhillips Canada Funding Co. I  5.625%  10/15/16  9,825  11,077 
Devon Energy Corp.  6.300%  1/15/19  2,875  3,351 
Diamond Offshore Drilling Inc.  5.875%  5/1/19  1,050  1,149 
Encana Corp.  5.900%  12/1/17  4,225  4,724 
Ensco plc  4.700%  3/15/21  5,150  5,094 
EOG Resources Inc.  5.875%  9/15/17  2,300  2,574 
EOG Resources Inc.  6.875%  10/1/18  4,525  5,315 
EOG Resources Inc.  4.400%  6/1/20  1,200  1,198 
EOG Resources Inc.  4.100%  2/1/21  2,700  2,607 
Halliburton Co.  6.150%  9/15/19  4,300  4,918 
Hess Corp.  8.125%  2/15/19  3,925  4,906 
Husky Energy Inc.  6.150%  6/15/19  510  556 
Husky Energy Inc.  7.250%  12/15/19  3,895  4,606 
Marathon Oil Corp.  6.000%  10/1/17  8,775  9,864 
Marathon Oil Corp.  5.900%  3/15/18  137  154 
Nabors Industries Inc.  6.150%  2/15/18  5,475  5,997 
Nabors Industries Inc.  9.250%  1/15/19  4,800  6,031 
Nabors Industries Inc.  5.000%  9/15/20  1,450  1,432 
Nexen Inc.  6.200%  7/30/19  2,000  2,206 
Noble Energy Inc.  8.250%  3/1/19  4,000  5,019 
Noble Holding International Ltd.  4.900%  8/1/20  1,900  1,933 
Noble Holding International Ltd.  4.625%  3/1/21  1,800  1,787 
Occidental Petroleum Corp.  4.125%  6/1/16  2,000  2,109 
Occidental Petroleum Corp.  4.100%  2/1/21  4,000  3,952 
Petro-Canada  6.050%  5/15/18  7,350  8,265 
Rowan Cos. Inc.  7.875%  8/1/19  2,150  2,539 

 

 

Shell International Finance BV  5.200%  3/22/17  2,775  3,081 
Shell International Finance BV  4.300%  9/22/19  11,800  12,122 
Shell International Finance BV  4.375%  3/25/20  2,375  2,445 
Statoil ASA  3.125%  8/17/17  3,800  3,746 
Statoil ASA  5.250%  4/15/19  7,825  8,497 
Suncor Energy Inc.  6.100%  6/1/18  3,575  4,034 
Sunoco Inc.  5.750%  1/15/17  2,075  2,203 
Talisman Energy Inc.  7.750%  6/1/19  3,875  4,721 
Total Capital SA  4.450%  6/24/20  4,750  4,833 
Total Capital SA  4.125%  1/28/21  6,000  5,946 
Transocean Inc.  4.950%  11/15/15  225  237 
Transocean Inc.  6.000%  3/15/18  4,750  5,113 
Transocean Inc.  6.500%  11/15/20  2,500  2,746 
Valero Energy Corp.  6.125%  6/15/17  6,000  6,599 
Valero Energy Corp.  9.375%  3/15/19  4,000  5,085 
Valero Energy Corp.  6.125%  2/1/20  3,700  4,000 
Weatherford International Inc.  6.350%  6/15/17  2,035  2,245 
Weatherford International Ltd.  6.000%  3/15/18  2,575  2,792 
Weatherford International Ltd.  9.625%  3/1/19  7,550  9,598 
Weatherford International Ltd.  5.125%  9/15/20  900  890 
XTO Energy Inc.  6.250%  8/1/17  3,125  3,695 
XTO Energy Inc.  5.500%  6/15/18  2,875  3,254 
 
Other Industrial (0.0%)         
Cintas Corp. No 2  6.125%  12/1/17  1,300  1,480 
Cornell University  5.450%  2/1/19  1,350  1,503 
 
Technology (1.5%)         
Adobe Systems Inc.  4.750%  2/1/20  4,175  4,220 
Agilent Technologies Inc.  6.500%  11/1/17  4,025  4,485 
Agilent Technologies Inc.  5.000%  7/15/20  3,000  3,051 
Avnet Inc.  6.625%  9/15/16  3,000  3,279 
BMC Software Inc.  7.250%  6/1/18  1,550  1,761 
CA Inc.  5.375%  12/1/19  3,450  3,555 
Cisco Systems Inc.  3.150%  3/14/17  3,400  3,376 
Cisco Systems Inc.  4.950%  2/15/19  8,892  9,495 
Cisco Systems Inc.  4.450%  1/15/20  10,200  10,424 
Computer Sciences Corp.  6.500%  3/15/18  3,900  4,228 
Corning Inc.  6.625%  5/15/19  950  1,092 
Corning Inc.  4.250%  8/15/20  1,447  1,428 
Dell Inc.  5.650%  4/15/18  2,500  2,744 
Dell Inc.  5.875%  6/15/19  3,675  4,034 
Equifax Inc.  6.300%  7/1/17  1,300  1,407 
Fiserv Inc.  6.800%  11/20/17  3,150  3,509 
Harris Corp.  5.950%  12/1/17  775  856 
Harris Corp.  6.375%  6/15/19  1,425  1,618 
Harris Corp.  4.400%  12/15/20  1,800  1,783 
Hewlett-Packard Co.  5.400%  3/1/17  2,750  3,052 
Hewlett-Packard Co.  5.500%  3/1/18  2,125  2,360 
Hewlett-Packard Co.  3.750%  12/1/20  4,800  4,597 
International Business Machines Corp.  5.700%  9/14/17  25,225  28,520 
Intuit Inc.  5.750%  3/15/17  1,025  1,121 
Juniper Networks Inc.  4.600%  3/15/21  725  719 
Lexmark International Inc.  6.650%  6/1/18  2,975  3,213 
Microsoft Corp.  4.200%  6/1/19  7,375  7,633 

 

 

Motorola Solutions Inc.  6.000%  11/15/17  3,725  4,054 
Nokia Oyj  5.375%  5/15/19  4,825  4,906 
Oracle Corp.  5.750%  4/15/18  6,600  7,384 
Oracle Corp.  5.000%  7/8/19  5,750  6,135 
2 Oracle Corp.  3.875%  7/15/20  8,440  8,263 
Pitney Bowes Inc.  5.750%  9/15/17  1,900  2,037 
Pitney Bowes Inc.  4.750%  5/15/18  1,625  1,628 
2 SAIC Inc.  4.450%  12/1/20  1,200  1,201 
Symantec Corp.  4.200%  9/15/20  1,800  1,688 
Tyco Electronics Group SA  6.550%  10/1/17  1,250  1,427 
Xerox Corp.  6.750%  2/1/17  1,650  1,889 
Xerox Corp.  6.350%  5/15/18  8,575  9,659 
Xerox Corp.  5.625%  12/15/19  2,775  2,977 
 
Transportation (0.9%)         
3 American Airlines 2011-1 Class A Pass         
Through Trust  5.250%  1/31/21  650  634 
3 American Airlines Pass Through Trust 2009-         
1A  10.375%  7/2/19  1,175  1,384 
Burlington Northern Santa Fe LLC  5.650%  5/1/17  4,150  4,621 
Burlington Northern Santa Fe LLC  5.750%  3/15/18  5,400  6,031 
Canadian National Railway Co.  5.800%  6/1/16  1,950  2,202 
Canadian National Railway Co.  5.850%  11/15/17  500  561 
Canadian National Railway Co.  5.550%  5/15/18  900  999 
Canadian National Railway Co.  5.550%  3/1/19  2,000  2,227 
Canadian Pacific Railway Co.  7.250%  5/15/19  1,500  1,767 
Con-way Inc.  7.250%  1/15/18  3,400  3,685 
3 Continental Airlines 1997-4 Class A Pass         
Through Trust  6.900%  1/2/18  1,329  1,395 
3 Continental Airlines 1998-1 Class A Pass         
Through Trust  6.648%  9/15/17  1,346  1,403 
3 Continental Airlines 2009-1 Pass Through         
Trust  9.000%  7/8/16  376  437 
3 Continental Airlines 2009-2 Class A Pass         
Through Trust  7.250%  11/10/19  4,376  4,759 
3 Continental Airlines 2010-1 Class A Pass         
Through Trust  4.750%  1/12/21  2,500  2,431 
CSX Corp.  5.600%  5/1/17  3,850  4,231 
CSX Corp.  7.900%  5/1/17  282  342 
CSX Corp.  6.250%  3/15/18  5,025  5,708 
CSX Corp.  7.375%  2/1/19  725  871 
CSX Corp.  6.220%  4/30/40  393  417 
3 Delta Air Lines 2009-1 Class A Pass Through         
Trust  7.750%  12/17/19  2,148  2,357 
3 Delta Air Lines 2010-1 Class A Pass Through         
Trust  6.200%  7/2/18  2,866  2,981 
3 Delta Air Lines 2010-2 Class A Pass Through         
Trust  4.950%  5/23/19  3,425  3,429 
FedEx Corp.  8.000%  1/15/19  1,515  1,863 
Norfolk Southern Corp.  7.700%  5/15/17  2,400  2,929 
Norfolk Southern Corp.  5.750%  4/1/18  2,375  2,662 
Norfolk Southern Corp.  5.900%  6/15/19  6,900  7,809 
Norfolk Southern Railway Co.  9.750%  6/15/20  411  563 
Ryder System Inc.  5.850%  11/1/16  1,000  1,098 
Southwest Airlines Co.  5.750%  12/15/16  1,300  1,402 

 

 

Southwest Airlines Co.  5.125%  3/1/17  650  672 
Union Pacific Corp.  5.650%  5/1/17  3,300  3,681 
Union Pacific Corp.  5.750%  11/15/17  4,675  5,240 
Union Pacific Corp.  5.700%  8/15/18  3,825  4,275 
United Parcel Service Inc.  5.500%  1/15/18  3,100  3,471 
United Parcel Service Inc.  5.125%  4/1/19  2,200  2,436 
United Parcel Service Inc.  3.125%  1/15/21  5,950  5,505 
United Parcel Service of America Inc.  8.375%  4/1/20  500  654 
        2,198,237 
Utilities (4.2%)         
Electric (2.6%)         
Alabama Power Co.  5.500%  10/15/17  2,100  2,348 
Ameren Energy Generating Co.  7.000%  4/15/18  1,175  1,198 
Ameren Illinois Co.  6.125%  11/15/17  3,100  3,419 
Ameren Illinois Co.  6.250%  4/1/18  2,000  2,189 
Ameren Illinois Co.  9.750%  11/15/18  3,300  4,260 
American Water Capital Corp.  6.085%  10/15/17  3,025  3,386 
Appalachian Power Co.  7.950%  1/15/20  675  837 
Appalachian Power Co.  4.600%  3/30/21  550  541 
Baltimore Gas & Electric Co.  5.900%  10/1/16  2,250  2,521 
CenterPoint Energy Inc.  6.500%  5/1/18  4,500  5,026 
Cleveland Electric Illuminating Co.  7.880%  11/1/17  250  299 
Commonwealth Edison Co.  5.950%  8/15/16  1,975  2,237 
Commonwealth Edison Co.  6.150%  9/15/17  4,250  4,746 
Commonwealth Edison Co.  5.800%  3/15/18  2,550  2,815 
Commonwealth Edison Co.  4.000%  8/1/20  2,000  1,932 
Connecticut Light & Power Co.  5.650%  5/1/18  3,000  3,328 
Consolidated Edison Co. of New York Inc.  5.500%  9/15/16  3,350  3,753 
Consolidated Edison Co. of New York Inc.  5.850%  4/1/18  5,000  5,647 
Consolidated Edison Co. of New York Inc.  7.125%  12/1/18  2,000  2,416 
Consolidated Edison Co. of New York Inc.  6.650%  4/1/19  1,200  1,414 
Consumers Energy Co.  5.500%  8/15/16  3,850  4,288 
Consumers Energy Co.  6.125%  3/15/19  300  340 
Consumers Energy Co.  6.700%  9/15/19  2,900  3,407 
Consumers Energy Co.  5.650%  4/15/20  1,075  1,190 
Detroit Edison Co.  3.450%  10/1/20  2,500  2,364 
Dominion Resources Inc.  6.000%  11/30/17  8,750  9,783 
Dominion Resources Inc.  8.875%  1/15/19  5,375  6,875 
Dominion Resources Inc.  5.200%  8/15/19  1,000  1,061 
Dominion Resources Inc.  4.450%  3/15/21  200  198 
3 Dominion Resources Inc.  7.500%  6/30/66  1,300  1,360 
Duke Energy Carolinas LLC  5.100%  4/15/18  6,750  7,374 
Duke Energy Carolinas LLC  4.300%  6/15/20  1,050  1,064 
Duke Energy Corp.  5.050%  9/15/19  5,700  5,915 
Duke Energy Indiana Inc.  6.050%  6/15/16  1,500  1,683 
Duke Energy Indiana Inc.  3.750%  7/15/20  1,450  1,398 
Entergy Gulf States Louisiana LLC  6.000%  5/1/18  2,600  2,829 
Entergy Louisiana LLC  6.500%  9/1/18  3,075  3,496 
Exelon Generation Co. LLC  6.200%  10/1/17  3,500  3,878 
Exelon Generation Co. LLC  4.000%  10/1/20  2,475  2,265 
Florida Power & Light Co.  5.550%  11/1/17  1,950  2,200 
Florida Power Corp.  5.650%  6/15/18  2,100  2,338 
Georgia Power Co.  5.700%  6/1/17  3,000  3,369 
Indiana Michigan Power Co.  7.000%  3/15/19  2,497  2,923 
3 Integrys Energy Group Inc.  6.110%  12/1/66  1,500  1,468 

 

 

Jersey Central Power & Light Co.  5.625%  5/1/16  5,675  6,261 
Jersey Central Power & Light Co.  5.650%  6/1/17  5,475  5,975 
2 Kentucky Utilities Co.  3.250%  11/1/20  2,300  2,128 
2 LG&E and KU Energy LLC  3.750%  11/15/20  2,025  1,862 
Metropolitan Edison Co.  7.700%  1/15/19  2,000  2,366 
MidAmerican Energy Co.  5.950%  7/15/17  925  1,046 
MidAmerican Energy Co.  5.300%  3/15/18  400  439 
Midamerican Energy Holdings Co.  5.750%  4/1/18  4,350  4,844 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  4/10/17  250  275 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  2/1/18  9,625  10,560 
National Rural Utilities Cooperative Finance         
Corp.  10.375%  11/1/18  2,525  3,445 
Nevada Power Co.  6.500%  5/15/18  3,377  3,853 
Nevada Power Co.  6.500%  8/1/18  3,575  4,089 
NextEra Energy Capital Holdings Inc.  6.000%  3/1/19  4,500  4,936 
3 NextEra Energy Capital Holdings Inc.  6.350%  10/1/66  1,825  1,807 
3 NextEra Energy Capital Holdings Inc.  6.650%  6/15/67  1,700  1,704 
3 NextEra Energy Capital Holdings Inc.  7.300%  9/1/67  1,000  1,045 
Northern States Power Co.  5.250%  3/1/18  5,350  5,828 
NSTAR  4.500%  11/15/19  2,500  2,554 
NSTAR Electric Co.  5.625%  11/15/17  975  1,097 
Ohio Edison Co.  6.400%  7/15/16  1,200  1,343 
Ohio Power Co.  6.000%  6/1/16  2,425  2,720 
Oncor Electric Delivery Co. LLC  6.800%  9/1/18  2,500  2,847 
Pacific Gas & Electric Co.  5.625%  11/30/17  4,900  5,422 
Pacific Gas & Electric Co.  8.250%  10/15/18  1,325  1,691 
Pacific Gas & Electric Co.  3.500%  10/1/20  5,525  5,099 
PacifiCorp  5.650%  7/15/18  2,575  2,895 
PacifiCorp  5.500%  1/15/19  2,740  3,036 
Peco Energy Co.  5.350%  3/1/18  2,475  2,711 
Pennsylvania Electric Co.  6.050%  9/1/17  800  868 
PPL Energy Supply LLC  6.200%  5/15/16  3,575  3,926 
PPL Energy Supply LLC  6.500%  5/1/18  750  837 
Progress Energy Carolina  5.300%  1/15/19  9,725  10,631 
PSEG Power LLC  5.125%  4/15/20  3,562  3,618 
Public Service Co. of Colorado  5.125%  6/1/19  2,300  2,484 
Public Service Co. of Colorado  3.200%  11/15/20  1,800  1,668 
Public Service Co. of Oklahoma  5.150%  12/1/19  650  685 
Public Service Co. of Oklahoma  4.400%  2/1/21  2,500  2,477 
Public Service Electric & Gas Co.  3.500%  8/15/20  2,000  1,899 
Sierra Pacific Power Co.  6.000%  5/15/16  2,525  2,829 
South Carolina Electric & Gas Co.  6.500%  11/1/18  2,400  2,811 
Southern California Edison Co.  5.500%  8/15/18  3,000  3,360 
Southwestern Electric Power Co.  5.550%  1/15/17  3,500  3,715 
Southwestern Electric Power Co.  6.450%  1/15/19  2,075  2,314 
Tampa Electric Co.  6.100%  5/15/18  2,150  2,410 
Teco Finance Inc.  5.150%  3/15/20  1,350  1,409 
TransAlta Corp.  6.750%  7/15/12  125  132 
TransAlta Corp.  6.650%  5/15/18  2,975  3,319 
UIL Holdings Corp.  4.625%  10/1/20  1,850  1,755 
Union Electric Co.  6.700%  2/1/19  4,000  4,603 
United Utilities plc  5.375%  2/1/19  1,000  1,016 
Westar Energy Inc.  8.625%  12/1/18  2,000  2,550 

 

 

Wisconsin Electric Power Co.  4.250%  12/15/19  1,525  1,568 
3 Wisconsin Energy Corp.  6.250%  5/15/67  5,275  5,301 
Wisconsin Power & Light Co.  5.000%  7/15/19  2,275  2,439 
Xcel Energy Inc.  4.700%  5/15/20  2,000  2,051 
 
Natural Gas (1.6%)         
AGL Capital Corp.  5.250%  8/15/19  2,300  2,418 
Atmos Energy Corp.  8.500%  3/15/19  2,510  3,133 
Boardwalk Pipelines LP  5.500%  2/1/17  3,725  3,966 
Buckeye Partners LP  6.050%  1/15/18  4,550  4,986 
CenterPoint Energy Resources Corp.  6.150%  5/1/16  1,350  1,497 
CenterPoint Energy Resources Corp.  6.000%  5/15/18  5,000  5,552 
El Paso Natural Gas Co.  5.950%  4/15/17  1,700  1,862 
Enbridge Energy Partners LP  6.500%  4/15/18  3,075  3,502 
Enbridge Energy Partners LP  9.875%  3/1/19  1,700  2,227 
Enbridge Energy Partners LP  5.200%  3/15/20  4,875  5,055 
Enbridge Inc.  5.600%  4/1/17  3,550  3,945 
Energy Transfer Partners LP  6.125%  2/15/17  4,850  5,377 
Energy Transfer Partners LP  9.000%  4/15/19  3,500  4,406 
Enterprise Products Operating LLC  6.300%  9/15/17  2,525  2,838 
Enterprise Products Operating LLC  6.650%  4/15/18  550  626 
Enterprise Products Operating LLC  6.500%  1/31/19  3,050  3,422 
Enterprise Products Operating LLC  5.250%  1/31/20  5,000  5,160 
Enterprise Products Operating LLC  5.200%  9/1/20  6,500  6,685 
EQT Corp.  6.500%  4/1/18  3,800  4,114 
EQT Corp.  8.125%  6/1/19  1,725  2,047 
Kinder Morgan Energy Partners LP  6.000%  2/1/17  1,000  1,108 
Kinder Morgan Energy Partners LP  5.950%  2/15/18  250  276 
Kinder Morgan Energy Partners LP  6.850%  2/15/20  8,925  10,192 
Magellan Midstream Partners LP  5.650%  10/15/16  650  712 
Magellan Midstream Partners LP  6.550%  7/15/19  3,475  3,940 
National Grid plc  6.300%  8/1/16  6,200  7,029 
Nisource Finance Corp.  5.250%  9/15/17  500  529 
Nisource Finance Corp.  6.400%  3/15/18  8,850  9,900 
Nisource Finance Corp.  6.800%  1/15/19  850  971 
NuStar Logistics LP  7.650%  4/15/18  2,900  3,383 
ONEOK Partners LP  6.150%  10/1/16  3,125  3,513 
ONEOK Partners LP  8.625%  3/1/19  5,000  6,284 
Panhandle Eastern Pipeline Co. LP  6.200%  11/1/17  2,000  2,219 
Panhandle Eastern Pipeline Co. LP  7.000%  6/15/18  2,525  2,816 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.125%  1/15/17  2,500  2,759 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.500%  5/1/18  2,675  2,987 
Plains All American Pipeline LP / PAA         
Finance Corp.  8.750%  5/1/19  200  249 
Plains All American Pipeline LP / PAA         
Finance Corp.  5.750%  1/15/20  600  639 
Plains All American Pipeline LP / PAA         
Finance Corp.  5.000%  2/1/21  2,575  2,571 
Sempra Energy  6.150%  6/15/18  2,800  3,143 
Sempra Energy  9.800%  2/15/19  4,370  5,800 
2 Southern Natural Gas Co.  5.900%  4/1/17  3,525  3,886 
Spectra Energy Capital LLC  6.200%  4/15/18  1,700  1,881 
Spectra Energy Capital LLC  8.000%  10/1/19  425  517 

 

 

TransCanada PipeLines Ltd.  6.500%  8/15/18  6,100  7,098 
TransCanada PipeLines Ltd.  7.125%  1/15/19  1,050  1,270 
TransCanada PipeLines Ltd.  3.800%  10/1/20  2,675  2,568 
3 TransCanada PipeLines Ltd.  6.350%  5/15/67  6,475  6,484 
Transcontinental Gas Pipe Line Co. LLC  6.050%  6/15/18  2,500  2,816 
Williams Partners LP  5.250%  3/15/20  8,325  8,688 
Williams Partners LP / Williams Partners         
Finance Corp.  7.250%  2/1/17  5,400  6,327 
 
Other Utility (0.0%)         
Veolia Environnement SA  6.000%  6/1/18  3,500  3,893 
 
        483,197 
Total Corporate Bonds (Cost $3,973,997)        4,286,687 
Sovereign Bonds (U.S. Dollar-Denominated) (5.8%)         
Asian Development Bank  5.500%  6/27/16  6,900  7,867 
Asian Development Bank  5.250%  6/12/17  2,300  2,600 
Asian Development Bank  5.593%  7/16/18  1,975  2,221 
Brazilian Government International Bond  6.000%  1/17/17  28,575  32,033 
3 Brazilian Government International Bond  8.000%  1/15/18  11,900  13,982 
Brazilian Government International Bond  5.875%  1/15/19  5,450  6,022 
Chile Government International Bond  3.875%  8/5/20  3,800  3,701 
Corp Andina de Fomento  8.125%  6/4/19  5,600  6,710 
Corp. Andina de Fomento  5.750%  1/12/17  5,025  5,374 
Development Bank of Japan  5.125%  2/1/17  3,700  4,091 
Eksportfinans ASA  5.500%  5/25/16  3,125  3,501 
Eksportfinans ASA  5.500%  6/26/17  6,100  6,767 
European Investment Bank  2.500%  5/16/16  12,900  12,874 
European Investment Bank  5.125%  9/13/16  11,550  12,925 
European Investment Bank  4.875%  1/17/17  14,975  16,555 
European Investment Bank  5.125%  5/30/17  16,550  18,482 
European Investment Bank  2.875%  9/15/20  8,550  7,922 
European Investment Bank  4.000%  2/16/21  10,450  10,561 
Export-Import Bank of Korea  5.125%  6/29/20  4,400  4,434 
Hungary Government International Bond  6.250%  1/29/20  5,000  5,068 
Hungary Government International Bond  6.375%  3/29/21  4,575  4,581 
Hydro Quebec  7.500%  4/1/16  2,500  3,025 
Inter-American Development Bank  5.125%  9/13/16  6,700  7,530 
Inter-American Development Bank  2.375%  8/15/17  7,800  7,558 
Inter-American Development Bank  3.875%  9/17/19  5,025  5,175 
Inter-American Development Bank  3.875%  2/14/20  5,475  5,618 
International Bank for Reconstruction &         
Development  5.000%  4/1/16  9,375  10,453 
International Finance Corp.  2.125%  11/17/17  8,600  8,086 
Israel Government International Bond  5.500%  11/9/16  4,025  4,396 
Israel Government International Bond  5.125%  3/26/19  8,900  9,291 
Japan Finance Organization for Municipalities  5.000%  5/16/17  3,800  4,150 
Japan Finance Organization for Municipalities  4.000%  1/13/21  4,500  4,404 
Korea Development Bank  4.000%  9/9/16  7,500  7,583 
Korea Finance Corp.  3.250%  9/20/16  4,200  4,047 
4 Kreditanstalt fuer Wiederaufbau  4.875%  1/17/17  3,000  3,317 
Kreditanstalt fuer Wiederaufbau  4.375%  3/15/18  19,700  21,158 
Kreditanstalt fuer Wiederaufbau  4.500%  7/16/18  12,875  13,868 
4 Kreditanstalt fuer Wiederaufbau  4.875%  6/17/19  13,450  14,719 
4 Kreditanstalt fuer Wiederaufbau  4.000%  1/27/20  10,375  10,671 

 

 

4 Kreditanstalt fuer Wiederaufbau  2.750%  9/8/20  19,550  17,909 
4 Landwirtschaftliche Rentenbank  5.125%  2/1/17  8,775  9,729 
Landwirtschaftliche Rentenbank  2.375%  9/13/17  4,000  3,811 
Mexico Government International Bond  11.375%  9/15/16  1,725  2,415 
Mexico Government International Bond  5.625%  1/15/17  24,200  26,636 
Mexico Government International Bond  5.950%  3/19/19  11,200  12,432 
Mexico Government International Bond  5.125%  1/15/20  17,000  17,727 
Nordic Investment Bank  5.000%  2/1/17  7,650  8,479 
North American Development Bank  4.375%  2/11/20  1,200  1,219 
5 Oesterreichische Kontrollbank AG  5.000%  4/25/17  6,425  7,096 
Panama Government International Bond  5.200%  1/30/20  3,450  3,658 
Pemex Project Funding Master Trust  5.750%  3/1/18  14,400  15,224 
Peruvian Government International Bond  7.125%  3/30/19  8,400  9,891 
Petrobras International Finance Co. - Pifco  6.125%  10/6/16  4,475  4,970 
Petrobras International Finance Co. - Pifco  5.875%  3/1/18  8,175  8,646 
Petrobras International Finance Co. - Pifco  8.375%  12/10/18  1,500  1,815 
Petrobras International Finance Co. - Pifco  7.875%  3/15/19  11,950  14,027 
Petrobras International Finance Co. - Pifco  5.750%  1/20/20  10,875  11,254 
Petrobras International Finance Co. - Pifco  5.375%  1/27/21  7,550  7,577 
Petroleos Mexicanos  8.000%  5/3/19  5,075  6,086 
Petroleos Mexicanos  6.000%  3/5/20  5,825  6,207 
Petroleos Mexicanos  5.500%  1/21/21  4,525  4,581 
Poland Government International Bond  6.375%  7/15/19  17,050  18,990 
Province of Manitoba Canada  4.900%  12/6/16  5,500  6,037 
Province of Manitoba Canada  9.250%  4/1/20  1,500  2,042 
Province of Ontario Canada  3.150%  12/15/17  1,150  1,130 
Province of Ontario Canada  4.000%  10/7/19  16,400  16,555 
Province of Ontario Canada  4.400%  4/14/20  10,950  11,264 
Province of Quebec Canada  5.125%  11/14/16  8,975  9,942 
Province of Quebec Canada  4.625%  5/14/18  4,500  4,816 
Province of Quebec Canada  3.500%  7/29/20  8,100  7,788 
Republic of Italy  5.250%  9/20/16  19,200  20,256 
Republic of Italy  5.375%  6/12/17  425  452 
Republic of Korea  7.125%  4/16/19  6,550  7,689 
South Africa Government International Bond  6.875%  5/27/19  9,150  10,596 
South Africa Government International Bond  5.500%  3/9/20  7,875  8,328 
Svensk Exportkredit AB  5.125%  3/1/17  6,250  6,904 
Total Sovereign Bonds (Cost $632,355)        667,498 
Taxable Municipal Bonds (0.4%)         
California Educational Facilities Authority         
Revenue (Stanford University)  3.625%  5/1/14  2,500  2,640 
California Educational Facilities Authority         
Revenue (Stanford University)  4.250%  5/1/16  800  859 
California Educational Facilities Authority         
Revenue (Stanford University)  4.750%  5/1/19  1,800  1,928 
California GO  5.950%  4/1/16  2,800  2,986 
California GO  6.200%  3/1/19  500  531 
California GO  6.200%  10/1/19  3,925  4,175 
Illinois GO  5.365%  3/1/17  14,200  14,130 
Kentucky Asset/Liability Commission General         
Fund Revenue  3.165%  4/1/18  1,250  1,213 
Loudoun County VA Industrial Development         
Authority Revenue (Howard Hughes         
Medical Institute)  3.450%  9/1/14  2,750  2,888 

 

 

Maryland Health & Higher Educational         
Facilities Authority Revenue (Johns         
Hopkins University)  5.250%  7/1/19  1,200  1,316 
Massachusetts GO  4.200%  12/1/21  3,375  3,349 
New Hampshire Health & Educational         
Facilities Authority Revenue (Dartmouth         
College)  4.750%  6/1/19  1,000  1,065 
Private Colleges & University Authority of         
Georgia Revenue (Emory University)  5.625%  9/1/19  1,000  1,110 
6 Wisconsin GO  4.800%  5/1/13  1,350  1,432 
Total Taxable Municipal Bonds (Cost $38,790)        39,622 
      Shares   
Temporary Cash Investment (0.4%)         
Money Market Fund (0.4%)         
7 Vanguard Market Liquidity Fund         
(Cost $46,694)  0.208%    46,693,551  46,694 
 
Total Investments (99.5%) (Cost $10,956,690)        11,432,946 
Other Assets and Liabilities-Net (0.5%)        61,516 
Net Assets (100%)        11,494,462 

1 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, the aggregate value of these securities was $72,041,000, representing 0.6% of net assets.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Guaranteed by the Federal Republic of Germany.
5 Guaranteed by the Republic of Austria.
6 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

Intermediate-Term Bond Index Fund

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the fund's investments as of March 31, 2011, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  6,381,308  — 
Asset-Backed/Commercial Mortgage-Backed Securities  —  11,137  — 
Corporate Bonds  —  4,286,687  — 
Sovereign Bonds  —  667,498  — 
Taxable Municipal Bonds  —  39,622  — 
Temporary Cash Investments  46,694  —  — 
Total  46,694  11,386,252  — 

 

C. At March 31, 2011, the cost of investment securities for tax purposes was $10,956,690,000. Net unrealized appreciation of investment securities for tax purposes was $476,256,000, consisting of unrealized gains of $524,708,000 on securities that had risen in value since their purchase and $48,452,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Long-Term Bond Index Fund

Schedule of Investments
As of March 31, 2011

        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (43.1%)         
U.S. Government Securities (39.8%)         
  United States Treasury Note/Bond  1.000%  9/30/11  1,595  1,601 
  United States Treasury Note/Bond  2.375%  10/31/14  1,595  1,638 
  United States Treasury Note/Bond  3.625%  2/15/21  15,500  15,701 
  United States Treasury Note/Bond  8.125%  5/15/21  520  728 
  United States Treasury Note/Bond  8.000%  11/15/21  54,925  76,612 
  United States Treasury Note/Bond  7.250%  8/15/22  280  373 
  United States Treasury Note/Bond  7.125%  2/15/23  66,840  88,552 
  United States Treasury Note/Bond  6.250%  8/15/23  65,015  80,660 
  United States Treasury Note/Bond  7.500%  11/15/24  22,090  30,453 
  United States Treasury Note/Bond  7.625%  2/15/25  2,665  3,718 
  United States Treasury Note/Bond  6.875%  8/15/25  75,785  99,669 
  United States Treasury Note/Bond  6.000%  2/15/26  9,375  11,404 
  United States Treasury Note/Bond  6.500%  11/15/26  670  856 
  United States Treasury Note/Bond  6.625%  2/15/27  5  6 
  United States Treasury Note/Bond  6.375%  8/15/27  8,270  10,462 
  United States Treasury Note/Bond  6.125%  11/15/27  1,222  1,509 
  United States Treasury Note/Bond  5.500%  8/15/28  52,780  61,068 
  United States Treasury Note/Bond  5.250%  11/15/28  44,910  50,510 
  United States Treasury Note/Bond  5.250%  2/15/29  1,100  1,238 
  United States Treasury Note/Bond  6.125%  8/15/29  48,665  60,352 
  United States Treasury Note/Bond  6.250%  5/15/30  13,085  16,481 
  United States Treasury Note/Bond  5.375%  2/15/31  18,955  21,659 
  United States Treasury Note/Bond  4.500%  2/15/36  100  101 
  United States Treasury Note/Bond  4.750%  2/15/37  30,055  31,426 
  United States Treasury Note/Bond  5.000%  5/15/37  24,145  26,209 
  United States Treasury Note/Bond  4.375%  2/15/38  40,998  40,299 
  United States Treasury Note/Bond  4.500%  5/15/38  52,435  52,558 
  United States Treasury Note/Bond  3.500%  2/15/39  76,923  64,435 
  United States Treasury Note/Bond  4.250%  5/15/39  114,828  110,055 
  United States Treasury Note/Bond  4.500%  8/15/39  125,951  125,833 
  United States Treasury Note/Bond  4.375%  11/15/39  146,760  143,458 
  United States Treasury Note/Bond  4.625%  2/15/40  63,921  65,130 
  United States Treasury Note/Bond  4.375%  5/15/40  82,128  80,229 
  United States Treasury Note/Bond  3.875%  8/15/40  54,870  49,057 
  United States Treasury Note/Bond  4.250%  11/15/40  138,210  132,033 
  United States Treasury Note/Bond  4.750%  2/15/41  3,325  3,453 
          1,559,526 
Agency Bonds and Notes (3.3%)         
1  Federal Home Loan Banks  5.625%  6/11/21  3,000  3,419 
1  Federal Home Loan Banks  5.625%  3/14/36  1,000  1,103 
1  Federal Home Loan Banks  5.500%  7/15/36  5,195  5,681 
1  Federal Home Loan Mortgage Corp.  6.750%  9/15/29  7,700  9,729 
1  Federal Home Loan Mortgage Corp.  6.750%  3/15/31  12,515  15,940 
1  Federal Home Loan Mortgage Corp.  6.250%  7/15/32  4,525  5,494 
1  Federal National Mortgage Assn.  6.250%  5/15/29  8,720  10,496 
1  Federal National Mortgage Assn.  7.125%  1/15/30  9,075  11,945 
1  Federal National Mortgage Assn.  7.250%  5/15/30  6,635  8,852 
1  Federal National Mortgage Assn.  6.625%  11/15/30  3,300  4,146 

 

 

1  Federal National Mortgage Assn.  5.625%  7/15/37  7,325  8,159 
1  Federal National Mortgage Assn.  6.210%  8/6/38  1,000  1,204 
  Israel Government AID Bond  5.500%  9/18/23  1,975  2,221 
  Israel Government AID Bond  5.500%  12/4/23  5,325  5,992 
  Israel Government AID Bond  5.500%  4/26/24  2,900  3,265 
  Private Export Funding Corp.  4.300%  12/15/21  1,475  1,508 
  Resolution Funding Corp.  8.625%  1/15/21  850  1,198 
1  Tennessee Valley Authority  6.750%  11/1/25  5,750  7,180 
1  Tennessee Valley Authority  7.125%  5/1/30  1,250  1,636 
1  Tennessee Valley Authority  4.650%  6/15/35  4,825  4,679 
1  Tennessee Valley Authority  5.880%  4/1/36  1,000  1,143 
1  Tennessee Valley Authority  5.980%  4/1/36  1,000  1,153 
1  Tennessee Valley Authority  6.150%  1/15/38  2,450  2,899 
1  Tennessee Valley Authority  5.500%  6/15/38  1,175  1,276 
1  Tennessee Valley Authority  5.250%  9/15/39  3,375  3,532 
1  Tennessee Valley Authority  4.875%  1/15/48  2,500  2,430 
1  Tennessee Valley Authority  5.375%  4/1/56  1,850  1,959 
1  Tennessee Valley Authority  4.625%  9/15/60  1,700  1,565 
          129,804 
Total U.S. Government and Agency Obligations (Cost $1,706,907)      1,689,330 
Asset-Backed/Commercial Mortgage-Backed Security (0.1%)       
2  PSE&G Transition Funding LLC (Cost $2,500)  6.890%  12/15/17  2,500  2,944 
 
Corporate Bonds (43.8%)         
Finance (9.8%)         
  Banking (5.5%)         
2  Abbey National Capital Trust I  8.963%  12/29/49  2,300  2,509 
  American Express Co.  8.150%  3/19/38  1,950  2,609 
  BAC Capital Trust XI  6.625%  5/23/36  4,000  3,904 
  Bank of America Corp.  6.800%  3/15/28  375  387 
  Bank of America Corp.  6.500%  9/15/37  1,600  1,589 
  Bank of America NA  6.000%  10/15/36  3,875  3,740 
  Bank One Corp.  7.750%  7/15/25  2,000  2,345 
  Bank One Corp.  7.625%  10/15/26  4,350  5,153 
  BB&T Capital Trust II  6.750%  6/7/36  3,325  3,335 
2  BB&T Capital Trust IV  6.820%  6/12/57  650  639 
  Capital One Capital III  7.686%  8/15/36  1,700  1,747 
  Capital One Capital IV  6.745%  2/17/37  1,100  1,104 
  Capital One Capital V  10.250%  8/15/39  2,350  2,544 
  Capital One Capital VI  8.875%  5/15/40  2,775  2,921 
2,3 Citicorp Lease Pass-Through Trust 1999-1  8.040%  12/15/19  450  515 
  Citigroup Inc.  6.625%  6/15/32  2,750  2,794 
  Citigroup Inc.  5.875%  2/22/33  1,825  1,708 
  Citigroup Inc.  6.000%  10/31/33  2,625  2,475 
  Citigroup Inc.  5.850%  12/11/34  2,300  2,258 
  Citigroup Inc.  6.125%  8/25/36  4,225  4,001 
  Citigroup Inc.  5.875%  5/29/37  1,100  1,074 
  Citigroup Inc.  6.875%  3/5/38  8,325  9,073 
  Citigroup Inc.  8.125%  7/15/39  5,275  6,625 
  Compass Bank  5.900%  4/1/26  1,075  1,031 
3  Corestates Capital I  8.000%  12/15/26  2,300  2,354 
  Credit Suisse USA Inc.  7.125%  7/15/32  2,600  3,087 
  Fifth Third Bancorp  8.250%  3/1/38  3,425  4,061 
  First Union Institutional Capital I  8.040%  12/1/26  500  512 
  FleetBoston Financial Corp.  6.875%  1/15/28  400  420 

 

 

FleetBoston Financial Corp.  6.700%  7/15/28  1,200  1,234 
Goldman Sachs Capital I  6.345%  2/15/34  7,350  7,109 
Goldman Sachs Group Inc.  5.750%  10/1/16  75  81 
Goldman Sachs Group Inc.  5.950%  1/15/27  4,050  3,966 
Goldman Sachs Group Inc.  6.125%  2/15/33  6,150  6,209 
Goldman Sachs Group Inc.  6.450%  5/1/36  875  848 
Goldman Sachs Group Inc.  6.750%  10/1/37  13,100  13,213 
Goldman Sachs Group Inc.  6.250%  2/1/41  5,735  5,700 
HSBC Bank USA NA  5.875%  11/1/34  4,100  4,013 
HSBC Bank USA NA  5.625%  8/15/35  3,800  3,607 
HSBC Bank USA NA  7.000%  1/15/39  400  447 
HSBC Holdings plc  7.625%  5/17/32  1,050  1,120 
HSBC Holdings plc  7.350%  11/27/32  200  210 
HSBC Holdings plc  6.500%  5/2/36  3,425  3,487 
HSBC Holdings plc  6.500%  9/15/37  5,425  5,462 
HSBC Holdings plc  6.800%  6/1/38  3,840  4,023 
JP Morgan Chase Capital XVII  5.850%  8/1/35  425  410 
JP Morgan Chase Capital XVIII  6.950%  8/17/36  1,000  1,015 
JP Morgan Chase Capital XX  6.550%  9/29/36  3,375  3,406 
2 JP Morgan Chase Capital XXII  6.450%  1/15/87  3,075  3,065 
JP Morgan Chase Capital XXV  6.800%  10/1/37  2,950  2,963 
JPMorgan Chase & Co.  6.400%  5/15/38  6,625  7,324 
JPMorgan Chase & Co.  5.500%  10/15/40  2,550  2,486 
JPMorgan Chase Capital XXVII  7.000%  11/1/39  1,725  1,774 
KeyBank NA  6.950%  2/1/28  143  149 
Merrill Lynch & Co. Inc.  6.220%  9/15/26  4,775  4,735 
Merrill Lynch & Co. Inc.  6.110%  1/29/37  3,500  3,270 
Merrill Lynch & Co. Inc.  7.750%  5/14/38  4,600  5,215 
Morgan Stanley  6.250%  8/9/26  3,250  3,429 
Morgan Stanley  7.250%  4/1/32  1,550  1,807 
NB Capital Trust II  7.830%  12/15/26  4,000  4,085 
Santander UK plc  7.950%  10/26/29  725  774 
2 SunTrust Capital VIII  6.100%  12/1/66  2,504  2,432 
UBS AG  7.000%  10/15/15  1,000  1,116 
UBS AG  7.375%  6/15/17  550  615 
UBS AG  7.750%  9/1/26  1,000  1,127 
USB Capital XIII Trust  6.625%  12/15/39  1,025  1,065 
Wachovia Bank NA  5.850%  2/1/37  3,175  3,241 
Wachovia Bank NA  6.600%  1/15/38  4,650  5,223 
Wachovia Corp.  6.605%  10/1/25  725  762 
Wachovia Corp.  7.500%  4/15/35  150  176 
Wachovia Corp.  5.500%  8/1/35  4,000  3,837 
Wachovia Corp.  6.550%  10/15/35  125  132 
Wells Fargo & Co.  4.600%  4/1/21  5,350  5,275 
Wells Fargo & Co.  5.375%  2/7/35  2,450  2,489 
Wells Fargo Bank NA  5.950%  8/26/36  2,175  2,237 
Wells Fargo Capital X  5.950%  12/15/36  2,525  2,481 
 
Brokerage (0.1%)         
Jefferies Group Inc.  6.875%  4/15/21  600  638 
Jefferies Group Inc.  6.450%  6/8/27  1,500  1,486 
Jefferies Group Inc.  6.250%  1/15/36  1,400  1,288 
 
Finance Companies (1.2%)         
General Electric Capital Corp.  6.750%  3/15/32  18,375  20,063 
General Electric Capital Corp.  6.150%  8/7/37  5,600  5,691 
General Electric Capital Corp.  5.875%  1/14/38  12,425  12,267 
General Electric Capital Corp.  6.875%  1/10/39  6,250  6,961 

 

 

SLM Corp.  5.625%  8/1/33  1,950  1,646 
 
Insurance (2.8%)         
ACE Capital Trust II  9.700%  4/1/30  850  1,055 
ACE INA Holdings Inc.  6.700%  5/15/36  1,000  1,129 
Aetna Inc.  3.950%  9/1/20  1,775  1,712 
Aetna Inc.  6.625%  6/15/36  2,850  3,157 
Aetna Inc.  6.750%  12/15/37  700  787 
Aflac Inc.  6.900%  12/17/39  575  603 
Aflac Inc.  6.450%  8/15/40  1,450  1,445 
Allstate Corp.  6.125%  12/15/32  1,250  1,304 
Allstate Corp.  5.350%  6/1/33  1,950  1,847 
Allstate Corp.  5.550%  5/9/35  1,700  1,650 
Allstate Corp.  6.900%  5/15/38  300  341 
2 Allstate Corp.  6.500%  5/15/57  1,500  1,514 
American International Group Inc.  6.250%  5/1/36  2,150  2,127 
American International Group Inc.  6.250%  3/15/37  2,565  2,341 
2 American International Group Inc.  8.175%  5/15/58  9,000  9,675 
AON Corp.  8.205%  1/1/27  1,175  1,306 
AON Corp.  6.250%  9/30/40  1,525  1,572 
Arch Capital Group Ltd.  7.350%  5/1/34  625  647 
Assurant Inc.  6.750%  2/15/34  1,200  1,175 
AXA SA  8.600%  12/15/30  3,700  4,338 
Berkshire Hathaway Finance Corp.  5.750%  1/15/40  1,775  1,858 
Chubb Corp.  6.000%  5/11/37  2,075  2,181 
Chubb Corp.  6.500%  5/15/38  1,375  1,531 
CIGNA Corp.  7.875%  5/15/27  500  578 
CIGNA Corp.  6.150%  11/15/36  525  533 
CIGNA Corp.  5.875%  3/15/41  1,650  1,620 
Cincinnati Financial Corp.  6.920%  5/15/28  1,000  1,056 
Cincinnati Financial Corp.  6.125%  11/1/34  850  819 
CNA Financial Corp.  5.750%  8/15/21  1,025  1,048 
Endurance Specialty Holdings Ltd.  7.000%  7/15/34  1,425  1,397 
Genworth Financial Inc.  7.625%  9/24/21  750  753 
Genworth Financial Inc.  6.500%  6/15/34  825  738 
Hartford Financial Services Group Inc.  5.950%  10/15/36  450  423 
Hartford Financial Services Group Inc.  6.625%  3/30/40  500  506 
Hartford Financial Services Group Inc.  6.100%  10/1/41  500  475 
Humana Inc.  8.150%  6/15/38  250  286 
Lincoln National Corp.  6.150%  4/7/36  1,475  1,518 
Lincoln National Corp.  7.000%  6/15/40  2,100  2,379 
Loews Corp.  6.000%  2/1/35  800  802 
MetLife Inc.  6.500%  12/15/32  750  822 
MetLife Inc.  6.375%  6/15/34  1,150  1,245 
MetLife Inc.  5.700%  6/15/35  475  470 
MetLife Inc.  5.875%  2/6/41  4,475  4,506 
2 MetLife Inc.  6.400%  12/15/66  4,115  3,922 
2 MetLife Inc.  10.750%  8/1/69  700  968 
2 Nationwide Financial Services  6.750%  5/15/67  1,000  927 
Principal Financial Group Inc.  6.050%  10/15/36  1,700  1,750 
Progressive Corp.  6.625%  3/1/29  1,625  1,787 
Protective Life Corp.  8.450%  10/15/39  600  669 
Prudential Financial Inc.  5.750%  7/15/33  800  783 
Prudential Financial Inc.  5.400%  6/13/35  1,000  933 
Prudential Financial Inc.  5.900%  3/17/36  1,500  1,495 
Prudential Financial Inc.  5.700%  12/14/36  3,325  3,227 
Prudential Financial Inc.  6.625%  12/1/37  125  135 
Prudential Financial Inc.  6.625%  6/21/40  700  762 

 

 

Prudential Financial Inc.  6.200%  11/15/40  1,025  1,057 
Swiss Re Solutions Holding Corp.  7.000%  2/15/26  1,850  1,969 
Swiss Re Solutions Holding Corp.  7.750%  6/15/30  400  456 
Transatlantic Holdings Inc.  8.000%  11/30/39  800  835 
Travelers Cos. Inc.  6.750%  6/20/36  1,000  1,121 
Travelers Cos. Inc.  6.250%  6/15/37  1,825  1,954 
Travelers Cos. Inc.  5.350%  11/1/40  1,775  1,681 
Travelers Property Casualty Corp.  6.375%  3/15/33  1,500  1,619 
UnitedHealth Group Inc.  5.800%  3/15/36  1,300  1,287 
UnitedHealth Group Inc.  6.500%  6/15/37  700  753 
UnitedHealth Group Inc.  6.625%  11/15/37  575  624 
UnitedHealth Group Inc.  6.875%  2/15/38  5,975  6,698 
UnitedHealth Group Inc.  5.950%  2/15/41  750  746 
Validus Holdings Ltd.  8.875%  1/26/40  590  620 
WellPoint Inc.  5.950%  12/15/34  1,300  1,329 
WellPoint Inc.  5.850%  1/15/36  2,475  2,483 
WellPoint Inc.  5.800%  8/15/40  1,900  1,867 
XL Group plc  6.375%  11/15/24  1,150  1,199 
XL Group plc  6.250%  5/15/27  125  124 
 
Real Estate Investment Trusts (0.2%)         
Boston Properties LP  4.125%  5/15/21  1,950  1,843 
HCP Inc.  6.750%  2/1/41  775  802 
Health Care REIT Inc.  5.250%  1/15/22  1,400  1,366 
Health Care REIT Inc.  6.500%  3/15/41  900  870 
Simon Property Group LP  6.750%  2/1/40  2,500  2,844 
        386,172 
Industrial (26.9%)         
Basic Industry (2.1%)         
Agrium Inc.  6.125%  1/15/41  2,000  2,067 
Alcoa Inc.  5.870%  2/23/22  1,250  1,275 
Alcoa Inc.  5.900%  2/1/27  3,525  3,445 
Alcoa Inc.  6.750%  1/15/28  850  887 
AngloGold Ashanti Holdings plc  6.500%  4/15/40  550  548 
ArcelorMittal  7.000%  10/15/39  3,900  3,888 
ArcelorMittal  6.750%  3/1/41  2,200  2,141 
Barrick North America Finance LLC  7.500%  9/15/38  1,225  1,502 
Barrick PD Australia Finance Pty Ltd.  5.950%  10/15/39  1,750  1,802 
BHP Billiton Finance USA Ltd.  6.420%  3/1/26  500  564 
Cliffs Natural Resources Inc.  6.250%  10/1/40  1,150  1,137 
Dow Chemical Co.  7.375%  11/1/29  3,300  3,947 
Dow Chemical Co.  9.400%  5/15/39  2,850  4,240 
EI du Pont de Nemours & Co.  6.500%  1/15/28  1,175  1,341 
EI du Pont de Nemours & Co.  4.900%  1/15/41  925  855 
International Paper Co.  7.500%  8/15/21  2,800  3,272 
International Paper Co.  8.700%  6/15/38  800  1,029 
International Paper Co.  7.300%  11/15/39  2,350  2,617 
Lubrizol Corp.  6.500%  10/1/34  350  378 
Monsanto Co.  5.500%  8/15/25  1,350  1,416 
Monsanto Co.  5.875%  4/15/38  650  707 
Newmont Mining Corp.  5.875%  4/1/35  1,250  1,263 
Newmont Mining Corp.  6.250%  10/1/39  3,150  3,321 
Nucor Corp.  4.125%  9/15/22  2,000  1,922 
Nucor Corp.  6.400%  12/1/37  575  652 
Placer Dome Inc.  6.450%  10/15/35  700  747 
Potash Corp. of Saskatchewan Inc.  5.875%  12/1/36  1,465  1,500 
Potash Corp. of Saskatchewan Inc.  5.625%  12/1/40  800  800 

 

 

PPG Industries Inc.  7.700%  3/15/38  650  809 
PPG Industries Inc.  5.500%  11/15/40  800  777 
Reliance Steel & Aluminum Co.  6.850%  11/15/36  350  342 
Rio Tinto Alcan Inc.  5.750%  6/1/35  1,250  1,246 
Rio Tinto Finance USA Ltd.  7.125%  7/15/28  4,725  5,677 
Rio Tinto Finance USA Ltd.  5.200%  11/2/40  775  728 
Southern Copper Corp.  7.500%  7/27/35  3,500  3,766 
Southern Copper Corp.  6.750%  4/16/40  1,750  1,774 
Teck Resources Ltd.  6.125%  10/1/35  1,500  1,541 
Teck Resources Ltd.  6.000%  8/15/40  1,525  1,526 
Vale Canada Ltd.  7.200%  9/15/32  1,050  1,131 
Vale Overseas Ltd.  8.250%  1/17/34  1,225  1,484 
Vale Overseas Ltd.  6.875%  11/21/36  5,625  5,985 
Vale Overseas Ltd.  6.875%  11/10/39  4,825  5,148 
 
Capital Goods (1.9%)         
3M Co.  6.375%  2/15/28  500  568 
3M Co.  5.700%  3/15/37  1,550  1,682 
Boeing Co.  8.750%  8/15/21  300  403 
Boeing Co.  8.750%  9/15/31  850  1,145 
Boeing Co.  6.125%  2/15/33  925  1,040 
Boeing Co.  6.625%  2/15/38  1,050  1,227 
Boeing Co.  6.875%  3/15/39  250  302 
Boeing Co.  5.875%  2/15/40  1,625  1,731 
Caterpillar Inc.  6.625%  7/15/28  1,575  1,884 
Caterpillar Inc.  7.300%  5/1/31  1,200  1,534 
Caterpillar Inc.  6.050%  8/15/36  2,225  2,491 
Caterpillar Inc.  6.950%  5/1/42  1,425  1,725 
Deere & Co.  5.375%  10/16/29  1,225  1,291 
Deere & Co.  8.100%  5/15/30  1,000  1,337 
Deere & Co.  7.125%  3/3/31  200  250 
Dover Corp.  5.375%  10/15/35  350  350 
Dover Corp.  6.600%  3/15/38  800  939 
Dover Corp.  5.375%  3/1/41  1,900  1,900 
Emerson Electric Co.  6.000%  8/15/32  400  438 
Emerson Electric Co.  6.125%  4/15/39  825  928 
Emerson Electric Co.  5.250%  11/15/39  575  574 
Goodrich Corp.  6.800%  7/1/36  1,000  1,156 
Honeywell International Inc.  5.700%  3/15/36  775  826 
Honeywell International Inc.  5.700%  3/15/37  1,425  1,516 
Honeywell International Inc.  5.375%  3/1/41  2,525  2,543 
Lafarge SA  7.125%  7/15/36  2,225  2,161 
Lockheed Martin Corp.  6.150%  9/1/36  4,825  5,234 
Lockheed Martin Corp.  5.500%  11/15/39  1,200  1,190 
3 Lockheed Martin Corp.  5.720%  6/1/40  189  193 
Northrop Grumman Corp.  5.050%  11/15/40  1,950  1,813 
Northrop Grumman Systems Corp.  7.750%  2/15/31  1,115  1,432 
Owens Corning  7.000%  12/1/36  2,800  2,808 
Parker Hannifin Corp.  3.500%  9/15/22  100  93 
Parker Hannifin Corp.  6.250%  5/15/38  1,225  1,383 
Raytheon Co.  7.200%  8/15/27  400  494 
Raytheon Co.  4.875%  10/15/40  1,300  1,178 
Republic Services Inc.  5.250%  11/15/21  1,525  1,592 
Republic Services Inc.  6.086%  3/15/35  225  231 
Republic Services Inc.  6.200%  3/1/40  3,375  3,546 
Rockwell Automation Inc.  6.700%  1/15/28  300  341 
Rockwell Automation Inc.  6.250%  12/1/37  1,100  1,197 
Sonoco Products Co.  5.750%  11/1/40  425  418 

 

 

Stanley Black & Decker Inc.  5.200%  9/1/40  700  667 
Tyco International Finance SA  4.625%  1/15/23  600  599 
United Technologies Corp.  6.700%  8/1/28  250  297 
United Technologies Corp.  7.500%  9/15/29  1,875  2,415 
United Technologies Corp.  5.400%  5/1/35  3,350  3,430 
United Technologies Corp.  6.050%  6/1/36  975  1,077 
United Technologies Corp.  6.125%  7/15/38  1,700  1,907 
United Technologies Corp.  5.700%  4/15/40  2,675  2,839 
Waste Management Inc.  7.100%  8/1/26  800  937 
Waste Management Inc.  7.000%  7/15/28  3,000  3,496 
Waste Management Inc.  7.750%  5/15/32  875  1,078 
Waste Management Inc.  6.125%  11/30/39  500  517 
 
Communication (7.1%)         
Alltel Corp.  7.875%  7/1/32  2,225  2,858 
America Movil SAB de CV  6.375%  3/1/35  2,700  2,899 
America Movil SAB de CV  6.125%  11/15/37  1,200  1,260 
America Movil SAB de CV  6.125%  3/30/40  2,025  2,144 
Ameritech Capital Funding Corp.  6.550%  1/15/28  1,000  1,027 
AT&T Corp.  8.000%  11/15/31  3,005  3,759 
AT&T Inc.  6.450%  6/15/34  5,250  5,454 
AT&T Inc.  6.150%  9/15/34  3,000  3,006 
AT&T Inc.  6.500%  9/1/37  5,550  5,733 
AT&T Inc.  6.300%  1/15/38  11,950  12,036 
AT&T Inc.  6.400%  5/15/38  825  842 
AT&T Inc.  6.550%  2/15/39  3,500  3,641 
3 AT&T Inc.  5.350%  9/1/40  7,405  6,610 
AT&T Mobility LLC  7.125%  12/15/31  2,425  2,814 
Bellsouth Capital Funding Corp.  7.875%  2/15/30  4,250  5,070 
BellSouth Corp.  6.875%  10/15/31  1,275  1,389 
BellSouth Corp.  6.550%  6/15/34  1,475  1,537 
BellSouth Corp.  6.000%  11/15/34  1,480  1,443 
BellSouth Telecommunications Inc.  6.375%  6/1/28  3,140  3,305 
British Telecommunications plc  9.875%  12/15/30  6,200  8,579 
CBS Corp.  7.875%  7/30/30  2,965  3,436 
CBS Corp.  5.500%  5/15/33  225  204 
CBS Corp.  5.900%  10/15/40  2,200  2,051 
CenturyLink Inc.  6.875%  1/15/28  550  556 
CenturyLink Inc.  7.600%  9/15/39  950  1,012 
Comcast Cable Communications Holdings         
Inc.  9.455%  11/15/22  3,198  4,323 
Comcast Corp.  5.650%  6/15/35  5,100  4,784 
Comcast Corp.  6.500%  11/15/35  7,225  7,427 
Comcast Corp.  6.450%  3/15/37  3,175  3,246 
Comcast Corp.  6.950%  8/15/37  3,550  3,857 
Comcast Corp.  6.400%  5/15/38  2,700  2,740 
Deutsche Telekom International Finance BV  8.750%  6/15/30  8,825  11,513 
DIRECTV Holdings LLC  6.350%  3/15/40  1,125  1,127 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  6.000%  8/15/40  3,050  2,918 
Discovery Communications LLC  6.350%  6/1/40  1,600  1,648 
Embarq Corp.  7.995%  6/1/36  3,900  4,394 
France Telecom SA  8.500%  3/1/31  5,590  7,516 
Grupo Televisa SA  6.625%  3/18/25  1,600  1,764 
Grupo Televisa SA  8.500%  3/11/32  250  314 
Grupo Televisa SA  6.625%  1/15/40  875  941 
GTE Corp.  8.750%  11/1/21  900  1,157 
GTE Corp.  6.940%  4/15/28  2,275  2,524 

 

 

Koninklijke KPN NV  8.375%  10/1/30  2,375  3,075 
McGraw-Hill Cos. Inc.  6.550%  11/15/37  1,150  1,200 
3 NBCUniversal Media LLC  4.375%  4/1/21  5,000  4,818 
3 NBCUniversal Media LLC  6.400%  4/30/40  3,725  3,848 
3 NBCUniversal Media LLC  5.950%  4/1/41  1,200  1,167 
New Cingular Wireless Services Inc.  8.750%  3/1/31  2,075  2,874 
News America Inc.  6.550%  3/15/33  225  235 
News America Inc.  6.200%  12/15/34  6,450  6,445 
News America Inc.  6.400%  12/15/35  5,950  6,080 
News America Inc.  8.150%  10/17/36  1,225  1,488 
News America Inc.  7.850%  3/1/39  750  886 
News America Inc.  6.900%  8/15/39  975  1,059 
3 News America Inc.  6.150%  2/15/41  3,525  3,489 
News America Inc.  7.750%  12/1/45  1,225  1,447 
Pacific Bell Telephone Co.  7.125%  3/15/26  550  629 
Qwest Corp.  7.500%  6/15/23  2,350  2,353 
Qwest Corp.  7.200%  11/10/26  200  199 
Qwest Corp.  6.875%  9/15/33  4,850  4,832 
Rogers Communications Inc.  7.500%  8/15/38  1,175  1,443 
TCI Communications Inc.  7.875%  2/15/26  2,200  2,641 
Telecom Italia Capital SA  6.375%  11/15/33  3,025  2,820 
Telecom Italia Capital SA  6.000%  9/30/34  2,050  1,853 
Telecom Italia Capital SA  7.200%  7/18/36  1,625  1,629 
Telecom Italia Capital SA  7.721%  6/4/38  2,700  2,871 
Telefonica Emisiones SAU  7.045%  6/20/36  5,725  6,172 
Telefonica Europe BV  8.250%  9/15/30  2,500  3,034 
Thomson Reuters Corp.  5.500%  8/15/35  900  885 
Thomson Reuters Corp.  5.850%  4/15/40  1,100  1,130 
Time Warner Cable Inc.  6.550%  5/1/37  4,000  4,052 
Time Warner Cable Inc.  7.300%  7/1/38  2,000  2,204 
Time Warner Cable Inc.  6.750%  6/15/39  4,275  4,449 
Time Warner Cable Inc.  5.875%  11/15/40  4,025  3,758 
Time Warner Entertainment Co. LP  8.375%  3/15/23  2,733  3,368 
Time Warner Entertainment Co. LP  8.375%  7/15/33  1,950  2,384 
United States Cellular Corp.  6.700%  12/15/33  1,450  1,383 
Verizon Communications Inc.  4.600%  4/1/21  3,475  3,451 
Verizon Communications Inc.  5.850%  9/15/35  3,275  3,228 
Verizon Communications Inc.  6.250%  4/1/37  2,825  2,905 
Verizon Communications Inc.  6.400%  2/15/38  6,450  6,762 
Verizon Communications Inc.  6.900%  4/15/38  2,800  3,097 
Verizon Communications Inc.  8.950%  3/1/39  1,025  1,403 
Verizon Communications Inc.  7.350%  4/1/39  1,250  1,462 
Verizon Communications Inc.  6.000%  4/1/41  2,250  2,237 
Verizon Global Funding Corp.  7.750%  12/1/30  7,550  9,118 
Verizon Maryland Inc.  5.125%  6/15/33  500  445 
Verizon New England Inc.  7.875%  11/15/29  400  458 
Verizon New York Inc.  7.375%  4/1/32  650  730 
Vodafone Group plc  7.875%  2/15/30  1,000  1,264 
Vodafone Group plc  6.250%  11/30/32  200  214 
Vodafone Group plc  6.150%  2/27/37  5,575  5,925 
 
Consumer Cyclical (3.3%)         
CVS Caremark Corp.  6.250%  6/1/27  3,700  4,055 
CVS Caremark Corp.  6.125%  9/15/39  2,925  2,964 
Daimler Finance North America LLC  8.500%  1/18/31  3,200  4,289 
Darden Restaurants Inc.  6.800%  10/15/37  1,750  1,904 
Historic TW Inc.  9.150%  2/1/23  1,230  1,620 
Historic TW Inc.  6.625%  5/15/29  6,975  7,456 

 

 

Home Depot Inc.  4.400%  4/1/21  1,600  1,593 
Home Depot Inc.  5.875%  12/16/36  6,300  6,250 
Home Depot Inc.  5.400%  9/15/40  2,375  2,196 
Home Depot Inc.  5.950%  4/1/41  2,450  2,438 
Johnson Controls Inc.  6.000%  1/15/36  475  498 
Johnson Controls Inc.  5.700%  3/1/41  2,400  2,398 
Kohl's Corp.  6.000%  1/15/33  400  411 
Kohl's Corp.  6.875%  12/15/37  1,675  1,904 
Lowe's Cos. Inc.  6.875%  2/15/28  550  649 
Lowe's Cos. Inc.  6.500%  3/15/29  1,800  2,013 
Lowe's Cos. Inc.  5.800%  10/15/36  2,250  2,325 
Lowe's Cos. Inc.  5.800%  4/15/40  2,225  2,306 
McDonald's Corp.  6.300%  10/15/37  1,750  2,018 
McDonald's Corp.  6.300%  3/1/38  1,475  1,703 
McDonald's Corp.  5.700%  2/1/39  2,025  2,165 
Nordstrom Inc.  6.950%  3/15/28  300  343 
Nordstrom Inc.  7.000%  1/15/38  1,200  1,417 
Target Corp.  7.000%  7/15/31  1,800  2,126 
Target Corp.  6.350%  11/1/32  3,825  4,220 
Target Corp.  6.500%  10/15/37  3,200  3,593 
Target Corp.  7.000%  1/15/38  1,650  1,957 
Time Warner Cos. Inc.  7.570%  2/1/24  500  596 
Time Warner Cos. Inc.  6.950%  1/15/28  1,000  1,101 
Time Warner Inc.  7.625%  4/15/31  5,935  6,804 
Time Warner Inc.  7.700%  5/1/32  1,865  2,168 
Time Warner Inc.  6.200%  3/15/40  1,950  1,923 
Time Warner Inc.  6.100%  7/15/40  2,425  2,362 
Time Warner Inc.  6.250%  3/29/41  2,500  2,472 
VF Corp.  6.450%  11/1/37  1,500  1,703 
Viacom Inc.  6.875%  4/30/36  6,275  6,814 
Wal-Mart Stores Inc.  5.875%  4/5/27  4,562  4,990 
Wal-Mart Stores Inc.  7.550%  2/15/30  4,425  5,600 
Wal-Mart Stores Inc.  5.250%  9/1/35  4,900  4,797 
Wal-Mart Stores Inc.  6.500%  8/15/37  5,850  6,601 
Wal-Mart Stores Inc.  6.200%  4/15/38  4,275  4,677 
Wal-Mart Stores Inc.  5.625%  4/1/40  1,000  1,013 
Wal-Mart Stores Inc.  4.875%  7/8/40  3,950  3,590 
Wal-Mart Stores Inc.  5.000%  10/25/40  1,000  917 
Walt Disney Co.  7.000%  3/1/32  1,150  1,394 
Western Union Co.  6.200%  11/17/36  1,350  1,319 
Western Union Co.  6.200%  6/21/40  325  320 
Yum! Brands Inc.  6.875%  11/15/37  1,400  1,567 
 
Consumer Noncyclical (5.5%)         
Abbott Laboratories  6.150%  11/30/37  2,225  2,434 
Abbott Laboratories  6.000%  4/1/39  2,050  2,216 
Abbott Laboratories  5.300%  5/27/40  3,600  3,529 
Altria Group Inc.  9.950%  11/10/38  4,075  5,674 
Altria Group Inc.  10.200%  2/6/39  3,725  5,282 
Amgen Inc.  6.375%  6/1/37  2,125  2,345 
Amgen Inc.  6.400%  2/1/39  4,175  4,595 
Amgen Inc.  5.750%  3/15/40  950  961 
Amgen Inc.  4.950%  10/1/41  1,950  1,759 
Anheuser-Busch Cos. Inc.  6.800%  8/20/32  1,875  2,144 
Anheuser-Busch Cos. Inc.  5.950%  1/15/33  650  685 
Anheuser-Busch Cos. Inc.  5.750%  4/1/36  1,575  1,616 
Anheuser-Busch Cos. Inc.  6.450%  9/1/37  650  728 
Anheuser-Busch InBev Worldwide Inc.  8.200%  1/15/39  3,475  4,694 

 

 

Anheuser-Busch InBev Worldwide Inc.  6.375%  1/15/40  2,225  2,472 
Archer-Daniels-Midland Co.  6.625%  5/1/29  250  291 
Archer-Daniels-Midland Co.  5.935%  10/1/32  255  273 
Archer-Daniels-Midland Co.  5.375%  9/15/35  4,150  4,178 
Archer-Daniels-Midland Co.  4.700%  3/1/41  2,400  2,448 
AstraZeneca plc  6.450%  9/15/37  6,925  7,831 
Baxter International Inc.  6.250%  12/1/37  800  907 
Becton Dickinson and Co.  6.000%  5/15/39  1,000  1,084 
Becton Dickinson and Co.  5.000%  11/12/40  400  377 
Bristol-Myers Squibb Co.  7.150%  6/15/23  1,300  1,615 
Bristol-Myers Squibb Co.  6.800%  11/15/26  889  1,072 
Bristol-Myers Squibb Co.  5.875%  11/15/36  1,802  1,953 
Bristol-Myers Squibb Co.  6.125%  5/1/38  850  951 
Bristol-Myers Squibb Co.  6.875%  8/1/97  200  224 
Campbell Soup Co.  4.250%  4/15/21  800  796 
Celgene Corp.  5.700%  10/15/40  600  578 
Coca-Cola Refreshments USA Inc.  8.500%  2/1/22  600  800 
ConAgra Foods Inc.  7.125%  10/1/26  150  164 
ConAgra Foods Inc.  7.000%  10/1/28  175  188 
ConAgra Foods Inc.  8.250%  9/15/30  1,650  1,971 
Corn Products International Inc.  6.625%  4/15/37  575  597 
Covidien International Finance SA  6.550%  10/15/37  2,525  2,856 
CR Bard Inc.  6.700%  12/1/26  500  590 
Delhaize Group SA  5.700%  10/1/40  2,739  2,511 
Diageo Capital plc  5.875%  9/30/36  750  792 
Diageo Investment Corp.  7.450%  4/15/35  1,750  2,168 
Dr Pepper Snapple Group Inc.  7.450%  5/1/38  600  732 
Eli Lilly & Co.  7.125%  6/1/25  1,100  1,376 
Eli Lilly & Co.  5.500%  3/15/27  4,300  4,585 
Eli Lilly & Co.  5.950%  11/15/37  750  813 
Estee Lauder Cos. Inc.  6.000%  5/15/37  1,025  1,095 
Fortune Brands Inc.  5.875%  1/15/36  925  816 
Genentech Inc.  5.250%  7/15/35  200  195 
General Mills Inc.  5.400%  6/15/40  2,000  1,955 
Gilead Sciences Inc.  4.500%  4/1/21  2,375  2,334 
GlaxoSmithKline Capital Inc.  5.375%  4/15/34  1,850  1,874 
GlaxoSmithKline Capital Inc.  6.375%  5/15/38  6,000  6,730 
Hasbro Inc.  6.350%  3/15/40  1,994  1,993 
HJ Heinz Finance Co.  6.750%  3/15/32  1,125  1,257 
Hospira Inc.  5.600%  9/15/40  725  692 
Johnson & Johnson  6.950%  9/1/29  2,125  2,672 
Johnson & Johnson  4.950%  5/15/33  2,125  2,132 
Johnson & Johnson  5.950%  8/15/37  975  1,097 
Johnson & Johnson  5.850%  7/15/38  825  915 
Johnson & Johnson  4.500%  9/1/40  1,775  1,633 
Kellogg Co.  7.450%  4/1/31  2,350  2,926 
Kimberly-Clark Corp.  6.625%  8/1/37  1,975  2,333 
Kimberly-Clark Corp.  5.300%  3/1/41  1,400  1,405 
Koninklijke Philips Electronics NV  6.875%  3/11/38  2,550  3,009 
Kraft Foods Inc.  6.500%  11/1/31  1,750  1,924 
Kraft Foods Inc.  7.000%  8/11/37  3,050  3,427 
Kraft Foods Inc.  6.875%  2/1/38  1,575  1,745 
Kraft Foods Inc.  6.875%  1/26/39  400  443 
Kraft Foods Inc.  6.500%  2/9/40  8,750  9,277 
Kroger Co.  7.700%  6/1/29  375  450 
Kroger Co.  8.000%  9/15/29  1,925  2,382 
Kroger Co.  7.500%  4/1/31  1,350  1,602 
Kroger Co.  5.400%  7/15/40  750  703 

 

 

McKesson Corp.  6.000%  3/1/41  1,550  1,595 
Mead Johnson Nutrition Co.  5.900%  11/1/39  1,675  1,721 
Medtronic Inc.  6.500%  3/15/39  600  692 
Medtronic Inc.  5.550%  3/15/40  1,025  1,053 
Merck & Co. Inc.  6.300%  1/1/26  500  569 
Merck & Co. Inc.  6.400%  3/1/28  2,200  2,561 
Merck & Co. Inc.  5.950%  12/1/28  1,050  1,185 
Merck & Co. Inc.  6.500%  12/1/33  775  903 
Merck & Co. Inc.  5.750%  11/15/36  300  320 
Merck & Co. Inc.  6.550%  9/15/37  3,850  4,533 
Merck & Co. Inc.  5.850%  6/30/39  2,775  2,999 
PepsiCo Inc.  7.000%  3/1/29  4,075  5,045 
PepsiCo Inc.  5.500%  1/15/40  425  435 
PepsiCo Inc.  4.875%  11/1/40  3,200  2,982 
Pfizer Inc.  7.200%  3/15/39  4,475  5,506 
Pharmacia Corp.  6.600%  12/1/28  1,050  1,249 
Philip Morris International Inc.  6.375%  5/16/38  3,700  4,156 
Procter & Gamble Co.  6.450%  1/15/26  1,100  1,273 
Procter & Gamble Co.  5.800%  8/15/34  100  110 
Procter & Gamble Co.  5.550%  3/5/37  4,650  4,994 
Quest Diagnostics Inc.  6.950%  7/1/37  925  1,005 
Quest Diagnostics Inc.  5.750%  1/30/40  1,000  962 
Ralcorp Holdings Inc.  6.625%  8/15/39  1,225  1,257 
Reynolds American Inc.  7.250%  6/15/37  600  631 
Safeway Inc.  7.250%  2/1/31  1,431  1,579 
Sara Lee Corp.  6.125%  11/1/32  625  569 
Sysco Corp.  5.375%  9/21/35  1,575  1,629 
Teva Pharmaceutical Finance Co. LLC  6.150%  2/1/36  2,200  2,400 
Unilever Capital Corp.  5.900%  11/15/32  3,325  3,682 
Wyeth  6.450%  2/1/24  2,225  2,588 
Wyeth  6.000%  2/15/36  2,850  3,052 
Wyeth  5.950%  4/1/37  7,275  7,751 
Zimmer Holdings Inc.  5.750%  11/30/39  1,100  1,116 
 
Energy (4.4%)         
Alberta Energy Co. Ltd.  7.375%  11/1/31  1,000  1,178 
Anadarko Finance Co.  7.500%  5/1/31  1,500  1,648 
Anadarko Petroleum Corp.  6.450%  9/15/36  5,300  5,264 
Anadarko Petroleum Corp.  7.950%  6/15/39  50  58 
Anadarko Petroleum Corp.  6.200%  3/15/40  2,325  2,242 
Apache Corp.  6.000%  1/15/37  2,225  2,347 
Apache Corp.  5.100%  9/1/40  2,500  2,319 
Apache Corp.  5.250%  2/1/42  2,550  2,417 
Apache Finance Canada Corp.  7.750%  12/15/29  650  804 
Baker Hughes Inc.  6.875%  1/15/29  1,000  1,166 
Baker Hughes Inc.  5.125%  9/15/40  3,715  3,521 
Burlington Resources Finance Co.  7.200%  8/15/31  1,050  1,268 
Burlington Resources Finance Co.  7.400%  12/1/31  1,675  2,054 
Cameron International Corp.  7.000%  7/15/38  625  717 
Canadian Natural Resources Ltd.  7.200%  1/15/32  1,400  1,643 
Canadian Natural Resources Ltd.  6.450%  6/30/33  1,175  1,270 
Canadian Natural Resources Ltd.  6.500%  2/15/37  2,275  2,531 
Canadian Natural Resources Ltd.  6.250%  3/15/38  2,315  2,481 
Cenovus Energy Inc.  6.750%  11/15/39  3,750  4,190 
ConocoPhillips  5.900%  10/15/32  2,250  2,391 
ConocoPhillips  5.900%  5/15/38  3,575  3,778 
ConocoPhillips Canada Funding Co. I  5.950%  10/15/36  950  1,005 
ConocoPhillips Holding Co.  6.950%  4/15/29  2,725  3,234 

 

 

Devon Energy Corp.  7.950%  4/15/32  435  563 
Devon Financing Corp. ULC  7.875%  9/30/31  4,825  6,170 
Diamond Offshore Drilling Inc.  5.700%  10/15/39  1,075  1,059 
Encana Corp.  6.500%  8/15/34  4,825  5,135 
Encana Corp.  6.625%  8/15/37  1,175  1,267 
Encana Corp.  6.500%  2/1/38  500  532 
Global Marine Inc.  7.000%  6/1/28  800  845 
Halliburton Co.  6.700%  9/15/38  3,275  3,764 
Halliburton Co.  7.450%  9/15/39  675  849 
Hess Corp.  7.875%  10/1/29  2,625  3,229 
Hess Corp.  7.300%  8/15/31  600  701 
Hess Corp.  7.125%  3/15/33  925  1,060 
Hess Corp.  6.000%  1/15/40  2,100  2,113 
Hess Corp.  5.600%  2/15/41  3,000  2,852 
Husky Energy Inc.  6.800%  9/15/37  725  794 
Kerr-McGee Corp.  6.950%  7/1/24  2,162  2,381 
Kerr-McGee Corp.  7.875%  9/15/31  500  568 
Lasmo USA Inc.  7.300%  11/15/27  600  676 
Marathon Oil Corp.  6.600%  10/1/37  2,400  2,615 
3 Marathon Petroleum Corp.  6.500%  3/1/41  4,500  4,526 
Nexen Inc.  7.875%  3/15/32  1,050  1,211 
Nexen Inc.  5.875%  3/10/35  1,850  1,735 
Nexen Inc.  6.400%  5/15/37  3,300  3,277 
Nexen Inc.  7.500%  7/30/39  1,525  1,716 
Noble Energy Inc.  8.000%  4/1/27  775  913 
Noble Energy Inc.  6.000%  3/1/41  1,200  1,196 
Noble Holding International Ltd.  6.200%  8/1/40  2,600  2,644 
Petro-Canada  7.875%  6/15/26  150  185 
Petro-Canada  7.000%  11/15/28  250  282 
Petro-Canada  5.350%  7/15/33  1,650  1,535 
Petro-Canada  5.950%  5/15/35  2,500  2,517 
Petro-Canada  6.800%  5/15/38  2,675  2,973 
Shell International Finance BV  6.375%  12/15/38  6,400  7,206 
Shell International Finance BV  5.500%  3/25/40  2,800  2,826 
Statoil ASA  7.250%  9/23/27  2,500  3,061 
Statoil ASA  7.150%  1/15/29  1,000  1,208 
Statoil ASA  5.100%  8/17/40  2,300  2,191 
Suncor Energy Inc.  7.150%  2/1/32  800  896 
Suncor Energy Inc.  5.950%  12/1/34  875  880 
Suncor Energy Inc.  6.500%  6/15/38  3,625  3,889 
Suncor Energy Inc.  6.850%  6/1/39  1,000  1,121 
Talisman Energy Inc.  7.250%  10/15/27  450  528 
Talisman Energy Inc.  5.850%  2/1/37  3,200  3,189 
Tosco Corp.  8.125%  2/15/30  7,500  9,579 
Total Capital SA  4.450%  6/24/20  1,000  1,017 
Transocean Inc.  6.500%  11/15/20  225  247 
Transocean Inc.  7.500%  4/15/31  1,525  1,704 
Transocean Inc.  6.800%  3/15/38  1,725  1,807 
Valero Energy Corp.  7.500%  4/15/32  950  1,044 
Valero Energy Corp.  6.625%  6/15/37  5,175  5,200 
Valero Energy Corp.  10.500%  3/15/39  350  492 
Weatherford International Ltd.  6.500%  8/1/36  1,500  1,491 
Weatherford International Ltd.  7.000%  3/15/38  1,600  1,685 
Weatherford International Ltd.  6.750%  9/15/40  2,900  2,985 
Williams Cos. Inc.  7.875%  9/1/21  741  918 
Williams Cos. Inc.  7.500%  1/15/31  2,852  3,360 
Williams Cos. Inc.  7.750%  6/15/31  1,537  1,818 

 

 

XTO Energy Inc.  6.750%  8/1/37  500  618 
 
Other Industrial (0.0%)         
Massachusetts Development Finance Agency         
Revenue (Harvard University)  4.875%  10/15/40  1,000  959 
 
Technology (1.3%)         
Cisco Systems Inc.  5.900%  2/15/39  2,200  2,272 
Cisco Systems Inc.  5.500%  1/15/40  7,550  7,342 
Corning Inc.  7.250%  8/15/36  600  686 
Corning Inc.  5.750%  8/15/40  950  945 
Dell Inc.  7.100%  4/15/28  500  565 
Dell Inc.  6.500%  4/15/38  1,458  1,552 
Harris Corp.  6.150%  12/15/40  400  413 
HP Enterprise Services LLC  7.450%  10/15/29  375  468 
International Business Machines Corp.  7.000%  10/30/25  1,050  1,290 
International Business Machines Corp.  6.220%  8/1/27  1,600  1,838 
International Business Machines Corp.  6.500%  1/15/28  225  265 
International Business Machines Corp.  5.875%  11/29/32  950  1,043 
International Business Machines Corp.  5.600%  11/30/39  5,720  5,958 
Juniper Networks Inc.  5.950%  3/15/41  750  738 
Microsoft Corp.  5.200%  6/1/39  2,075  2,061 
Microsoft Corp.  4.500%  10/1/40  1,750  1,558 
Microsoft Corp.  5.300%  2/8/41  1,800  1,809 
Motorola Solutions Inc.  7.500%  5/15/25  525  593 
Motorola Solutions Inc.  6.500%  9/1/25  823  857 
Motorola Solutions Inc.  6.500%  11/15/28  92  94 
Motorola Solutions Inc.  6.625%  11/15/37  116  123 
Nokia Oyj  6.625%  5/15/39  1,575  1,585 
Oracle Corp.  6.500%  4/15/38  2,475  2,759 
Oracle Corp.  6.125%  7/8/39  2,125  2,277 
3 Oracle Corp.  5.375%  7/15/40  6,325  6,143 
Pitney Bowes Inc.  5.250%  1/15/37  2,000  2,044 
3 SAIC Inc.  5.950%  12/1/40  350  360 
Science Applications International Corp.  5.500%  7/1/33  1,100  1,076 
Tyco Electronics Group SA  7.125%  10/1/37  1,250  1,440 
Xerox Corp.  6.750%  12/15/39  1,450  1,640 
 
Transportation (1.3%)         
Burlington Northern Santa Fe LLC  7.000%  12/15/25  700  845 
Burlington Northern Santa Fe LLC  7.950%  8/15/30  1,300  1,636 
Burlington Northern Santa Fe LLC  6.200%  8/15/36  775  827 
Burlington Northern Santa Fe LLC  6.150%  5/1/37  1,325  1,406 
Burlington Northern Santa Fe LLC  5.750%  5/1/40  1,550  1,566 
Burlington Northern Santa Fe LLC  5.050%  3/1/41  1,475  1,347 
Canadian National Railway Co.  6.250%  8/1/34  2,450  2,729 
Canadian National Railway Co.  6.200%  6/1/36  1,925  2,128 
Canadian Pacific Railway Co.  4.450%  3/15/23  1,800  1,740 
Canadian Pacific Railway Co.  7.125%  10/15/31  2,075  2,329 
Con-way Inc.  6.700%  5/1/34  650  596 
2 Continental Airlines 2007-1 Class A Pass         
Through Trust  5.983%  4/19/22  2,653  2,732 
CSX Corp.  6.000%  10/1/36  175  183 
CSX Corp.  6.150%  5/1/37  2,125  2,246 
CSX Corp.  6.220%  4/30/40  4,175  4,435 
2 Delta Air Lines 2007-1 Class A Pass Through         
Trust  6.821%  8/10/22  2,041  2,127 
Norfolk Southern Corp.  5.590%  5/17/25  716  761 

 

 

Norfolk Southern Corp.  7.800%  5/15/27  2,802  3,528 
Norfolk Southern Corp.  5.640%  5/17/29  1,898  1,992 
Norfolk Southern Corp.  7.050%  5/1/37  1,200  1,442 
Norfolk Southern Corp.  7.900%  5/15/97  450  566 
2 Southwest Airlines Co. 2007-1 Pass Through         
Trust  6.150%  8/1/22  736  805 
Union Pacific Corp.  7.125%  2/1/28  600  727 
Union Pacific Corp.  6.625%  2/1/29  1,500  1,726 
Union Pacific Corp.  6.150%  5/1/37  1,000  1,074 
2 Union Pacific Railroad Co. 2007-3 Pass         
Through Trust  6.176%  1/2/31  902  1,024 
United Parcel Service Inc.  6.200%  1/15/38  4,700  5,254 
United Parcel Service of America Inc.  8.375%  4/1/30  500  640 
        1,055,342 
Utilities (7.1%)         
Electric (5.2%)         
AEP Texas Central Co.  6.650%  2/15/33  2,980  3,246 
Alabama Power Co.  6.125%  5/15/38  1,000  1,091 
Alabama Power Co.  5.500%  3/15/41  500  504 
Ameren Energy Generating Co.  7.950%  6/1/32  2,500  2,431 
American Water Capital Corp.  6.593%  10/15/37  2,025  2,135 
Appalachian Power Co.  5.800%  10/1/35  500  497 
Appalachian Power Co.  6.375%  4/1/36  825  855 
Appalachian Power Co.  7.000%  4/1/38  875  1,005 
Baltimore Gas & Electric Co.  6.350%  10/1/36  375  406 
CenterPoint Energy Houston Electric LLC  6.950%  3/15/33  925  1,085 
Cleco Power LLC  6.000%  12/1/40  1,000  954 
Cleveland Electric Illuminating Co.  5.500%  8/15/24  1,000  1,027 
Cleveland Electric Illuminating Co.  5.950%  12/15/36  1,000  942 
Columbus Southern Power Co.  5.850%  10/1/35  800  818 
4 Commonwealth Edison Co.  5.875%  2/1/33  250  249 
Commonwealth Edison Co.  5.900%  3/15/36  1,650  1,686 
Commonwealth Edison Co.  6.450%  1/15/38  400  441 
Connecticut Light & Power Co.  6.350%  6/1/36  750  831 
Consolidated Edison Co. of New York Inc.  5.300%  3/1/35  1,950  1,925 
Consolidated Edison Co. of New York Inc.  5.850%  3/15/36  1,875  1,970 
Consolidated Edison Co. of New York Inc.  6.300%  8/15/37  925  1,045 
Consolidated Edison Co. of New York Inc.  6.750%  4/1/38  2,325  2,729 
Consolidated Edison Co. of New York Inc.  5.700%  6/15/40  1,250  1,302 
Constellation Energy Group Inc.  7.600%  4/1/32  1,800  2,033 
Detroit Edison Co.  5.700%  10/1/37  500  517 
Dominion Resources Inc.  6.300%  3/15/33  2,150  2,275 
Dominion Resources Inc.  5.950%  6/15/35  1,675  1,724 
Dominion Resources Inc.  7.000%  6/15/38  1,025  1,187 
DTE Energy Co.  6.375%  4/15/33  800  845 
Duke Energy Carolinas LLC  6.000%  12/1/28  1,125  1,194 
Duke Energy Carolinas LLC  6.450%  10/15/32  1,050  1,176 
Duke Energy Carolinas LLC  6.100%  6/1/37  1,450  1,544 
Duke Energy Carolinas LLC  6.000%  1/15/38  875  947 
Duke Energy Carolinas LLC  6.050%  4/15/38  2,150  2,343 
Duke Energy Carolinas LLC  5.300%  2/15/40  2,025  2,006 
Duke Energy Indiana Inc.  6.120%  10/15/35  600  630 
Duke Energy Indiana Inc.  6.350%  8/15/38  1,000  1,109 
El Paso Electric Co.  6.000%  5/15/35  850  866 
Entergy Louisiana LLC  5.400%  11/1/24  1,425  1,505 
Entergy Louisiana LLC  4.440%  1/15/26  425  403 
Exelon Corp.  5.625%  6/15/35  1,975  1,832 

 

 

Exelon Generation Co. LLC  6.250%  10/1/39  4,275  4,205 
FirstEnergy Corp.  7.375%  11/15/31  6,050  6,527 
FirstEnergy Solutions Corp.  6.050%  8/15/21  925  957 
FirstEnergy Solutions Corp.  6.800%  8/15/39  645  639 
Florida Power & Light Co.  5.950%  10/1/33  950  1,014 
Florida Power & Light Co.  5.625%  4/1/34  1,174  1,205 
Florida Power & Light Co.  4.950%  6/1/35  150  141 
Florida Power & Light Co.  5.400%  9/1/35  1,875  1,869 
Florida Power & Light Co.  6.200%  6/1/36  150  164 
Florida Power & Light Co.  5.650%  2/1/37  2,150  2,217 
Florida Power & Light Co.  5.850%  5/1/37  475  506 
Florida Power & Light Co.  5.950%  2/1/38  2,450  2,656 
Florida Power & Light Co.  5.960%  4/1/39  650  701 
Florida Power & Light Co.  5.250%  2/1/41  1,000  983 
Florida Power Corp.  6.350%  9/15/37  1,525  1,710 
Florida Power Corp.  6.400%  6/15/38  3,725  4,158 
Florida Power Corp.  5.650%  4/1/40  500  506 
Georgia Power Co.  5.650%  3/1/37  2,075  2,131 
Georgia Power Co.  5.950%  2/1/39  1,160  1,224 
Georgia Power Co.  5.400%  6/1/40  3,000  2,954 
Iberdrola International BV  6.750%  7/15/36  1,425  1,495 
Indiana Michigan Power Co.  6.050%  3/15/37  1,775  1,833 
Interstate Power & Light Co.  6.250%  7/15/39  975  1,062 
Kansas City Power & Light Co.  6.050%  11/15/35  500  502 
3 Kentucky Utilities Co.  5.125%  11/1/40  800  766 
3 Louisville Gas & Electric Co.  5.125%  11/15/40  1,700  1,637 
MidAmerican Energy Co.  6.750%  12/30/31  1,800  2,092 
MidAmerican Energy Co.  5.750%  11/1/35  850  884 
MidAmerican Energy Co.  5.800%  10/15/36  875  908 
Midamerican Energy Holdings Co.  8.480%  9/15/28  300  384 
Midamerican Energy Holdings Co.  6.125%  4/1/36  7,675  8,133 
Midamerican Energy Holdings Co.  5.950%  5/15/37  2,975  3,065 
Midamerican Energy Holdings Co.  6.500%  9/15/37  1,700  1,876 
National Rural Utilities Cooperative Finance         
Corp.  8.000%  3/1/32  2,400  3,078 
Nevada Power Co.  6.750%  7/1/37  2,500  2,868 
Northern States Power Co.  5.250%  7/15/35  1,175  1,176 
Northern States Power Co.  6.250%  6/1/36  525  594 
Northern States Power Co.  6.200%  7/1/37  1,550  1,740 
Northern States Power Co.  5.350%  11/1/39  625  631 
Northern States Power Co.  4.850%  8/15/40  800  751 
NSTAR Electric Co.  5.500%  3/15/40  725  729 
Oglethorpe Power Corp.  5.950%  11/1/39  750  766 
Oglethorpe Power Corp.  5.375%  11/1/40  950  900 
Ohio Edison Co.  6.875%  7/15/36  1,000  1,082 
Ohio Power Co.  6.600%  2/15/33  400  440 
Oklahoma Gas & Electric Co.  5.850%  6/1/40  350  358 
Oncor Electric Delivery Co. LLC  7.000%  9/1/22  1,675  1,937 
Oncor Electric Delivery Co. LLC  7.000%  5/1/32  2,025  2,290 
Oncor Electric Delivery Co. LLC  7.250%  1/15/33  325  378 
Oncor Electric Delivery Co. LLC  7.500%  9/1/38  425  508 
3 Oncor Electric Delivery Co. LLC  5.250%  9/30/40  1,175  1,076 
Pacific Gas & Electric Co.  6.050%  3/1/34  9,875  10,307 
Pacific Gas & Electric Co.  5.800%  3/1/37  2,925  2,954 
Pacific Gas & Electric Co.  6.350%  2/15/38  1,000  1,081 
PacifiCorp  7.700%  11/15/31  400  507 
PacifiCorp  5.250%  6/15/35  1,150  1,115 
PacifiCorp  5.750%  4/1/37  1,000  1,043 

 

 

PacifiCorp  6.250%  10/15/37  1,700  1,888 
Pennsylvania Electric Co.  6.150%  10/1/38  350  348 
Potomac Electric Power Co.  6.500%  11/15/37  1,500  1,728 
PPL Electric Utilities Corp.  6.250%  5/15/39  775  850 
Progress Energy Inc.  7.750%  3/1/31  1,725  2,137 
Progress Energy Inc.  6.000%  12/1/39  1,800  1,846 
PSEG Power LLC  8.625%  4/15/31  400  504 
Public Service Co. of Colorado  6.250%  9/1/37  1,025  1,163 
Public Service Co. of Oklahoma  6.625%  11/15/37  300  331 
Public Service Electric & Gas Co.  5.800%  5/1/37  2,050  2,156 
Public Service Electric & Gas Co.  5.500%  3/1/40  1,550  1,555 
Puget Sound Energy Inc.  5.483%  6/1/35  1,725  1,686 
Puget Sound Energy Inc.  6.274%  3/15/37  1,425  1,532 
Puget Sound Energy Inc.  5.757%  10/1/39  850  862 
Puget Sound Energy Inc.  5.795%  3/15/40  675  688 
Puget Sound Energy Inc.  5.764%  7/15/40  600  609 
Puget Sound Energy Inc.  5.638%  4/15/41  125  124 
San Diego Gas & Electric Co.  5.350%  5/15/35  1,025  1,034 
San Diego Gas & Electric Co.  6.125%  9/15/37  625  699 
San Diego Gas & Electric Co.  4.500%  8/15/40  2,225  1,972 
South Carolina Electric & Gas Co.  6.625%  2/1/32  500  572 
South Carolina Electric & Gas Co.  5.300%  5/15/33  1,850  1,813 
South Carolina Electric & Gas Co.  6.050%  1/15/38  775  836 
Southern California Edison Co.  6.650%  4/1/29  700  790 
Southern California Edison Co.  6.000%  1/15/34  975  1,048 
Southern California Edison Co.  5.750%  4/1/35  800  835 
Southern California Edison Co.  5.350%  7/15/35  3,175  3,143 
Southern California Edison Co.  5.550%  1/15/36  100  102 
Southern California Edison Co.  5.625%  2/1/36  2,075  2,131 
Southern California Edison Co.  5.550%  1/15/37  500  509 
Southern California Edison Co.  5.950%  2/1/38  1,675  1,803 
Southern California Edison Co.  4.500%  9/1/40  1,875  1,631 
Southwestern Electric Power Co.  6.200%  3/15/40  700  704 
Tampa Electric Co.  6.550%  5/15/36  450  506 
Tampa Electric Co.  6.150%  5/15/37  1,000  1,089 
Toledo Edison Co.  6.150%  5/15/37  500  517 
TransAlta Corp.  6.500%  3/15/40  600  614 
United Utilities plc  6.875%  8/15/28  375  399 
Virginia Electric and Power Co.  3.450%  9/1/22  750  686 
Virginia Electric and Power Co.  6.000%  1/15/36  1,725  1,852 
Virginia Electric and Power Co.  6.000%  5/15/37  825  887 
Virginia Electric and Power Co.  6.350%  11/30/37  1,000  1,122 
Virginia Electric and Power Co.  8.875%  11/15/38  1,200  1,739 
Wisconsin Electric Power Co.  5.625%  5/15/33  450  461 
Wisconsin Electric Power Co.  5.700%  12/1/36  1,575  1,637 
Wisconsin Power & Light Co.  6.375%  8/15/37  950  1,083 
Xcel Energy Inc.  6.500%  7/1/36  650  720 
 
Natural Gas (1.8%)         
AGL Capital Corp.  6.000%  10/1/34  850  853 
3 CenterPoint Energy Resources Corp.  5.850%  1/15/41  500  493 
DCP Midstream LLC  8.125%  8/16/30  500  593 
El Paso Natural Gas Co.  8.375%  6/15/32  1,635  1,990 
Enbridge Energy Partners LP  7.500%  4/15/38  1,595  1,895 
Energy Transfer Partners LP  6.625%  10/15/36  1,625  1,710 
Energy Transfer Partners LP  7.500%  7/1/38  775  898 
Enterprise Products Operating LLC  6.875%  3/1/33  2,150  2,335 
Enterprise Products Operating LLC  6.650%  10/15/34  1,095  1,162 

 

 

Enterprise Products Operating LLC  7.550%  4/15/38  1,125  1,314 
Enterprise Products Operating LLC  6.125%  10/15/39  1,500  1,484 
Enterprise Products Operating LLC  6.450%  9/1/40  1,275  1,317 
Enterprise Products Operating LLC  5.950%  2/1/41  1,650  1,604 
KeySpan Corp.  8.000%  11/15/30  1,175  1,440 
Kinder Morgan Energy Partners LP  7.750%  3/15/32  500  587 
Kinder Morgan Energy Partners LP  7.300%  8/15/33  1,000  1,121 
Kinder Morgan Energy Partners LP  5.800%  3/15/35  1,675  1,599 
Kinder Morgan Energy Partners LP  6.500%  2/1/37  2,350  2,399 
Kinder Morgan Energy Partners LP  6.950%  1/15/38  2,419  2,609 
Kinder Morgan Energy Partners LP  6.500%  9/1/39  1,900  1,941 
Kinder Morgan Energy Partners LP  6.375%  3/1/41  1,700  1,711 
Nisource Finance Corp.  6.125%  3/1/22  2,025  2,194 
Oneok Inc.  6.000%  6/15/35  1,725  1,681 
ONEOK Partners LP  6.650%  10/1/36  3,025  3,200 
ONEOK Partners LP  6.850%  10/15/37  200  217 
ONEOK Partners LP  6.125%  2/1/41  2,325  2,318 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.650%  1/15/37  2,175  2,307 
Sempra Energy  6.000%  10/15/39  2,100  2,160 
Southern California Gas Co.  5.750%  11/15/35  75  80 
Southern Union Co.  7.600%  2/1/24  1,280  1,430 
Southern Union Co.  8.250%  11/15/29  1,650  1,876 
Spectra Energy Capital LLC  6.750%  2/15/32  1,705  1,829 
Tennessee Gas Pipeline Co.  7.000%  3/15/27  350  386 
Tennessee Gas Pipeline Co.  7.000%  10/15/28  2,650  2,942 
Texas Eastern Transmission LP  7.000%  7/15/32  700  813 
TransCanada PipeLines Ltd.  5.600%  3/31/34  1,725  1,697 
TransCanada PipeLines Ltd.  5.850%  3/15/36  2,575  2,617 
TransCanada PipeLines Ltd.  6.200%  10/15/37  1,250  1,322 
TransCanada PipeLines Ltd.  7.250%  8/15/38  3,850  4,554 
TransCanada PipeLines Ltd.  7.625%  1/15/39  1,450  1,788 
TransCanada PipeLines Ltd.  6.100%  6/1/40  1,275  1,337 
Williams Partners LP  6.300%  4/15/40  3,250  3,363 
 
Other Utility (0.1%)         
Veolia Environnement SA  6.750%  6/1/38  1,750  1,982 
 
        278,812 
Total Corporate Bonds (Cost $1,657,346)        1,720,326 
Sovereign Bonds (U.S. Dollar-Denominated) (5.1%)         
Asian Development Bank  5.593%  7/16/18  4,000  4,499 
Brazilian Government International Bond  8.875%  4/15/24  3,000  4,084 
Brazilian Government International Bond  8.750%  2/4/25  6,700  9,028 
Brazilian Government International Bond  10.125%  5/15/27  6,700  10,083 
Brazilian Government International Bond  8.250%  1/20/34  6,675  8,811 
Brazilian Government International Bond  7.125%  1/20/37  6,500  7,713 
Brazilian Government International Bond  11.000%  8/17/40  9,900  13,306 
Brazilian Government International Bond  5.625%  1/7/41  7,075  6,955 
European Investment Bank  4.875%  2/15/36  2,400  2,417 
Finland Government International Bond  6.950%  2/15/26  195  248 
Hungary Government International Bond  7.625%  3/29/41  1,100  1,104 
Hydro Quebec  8.400%  1/15/22  775  1,041 
Hydro Quebec  8.050%  7/7/24  5,000  6,657 
Hydro Quebec  8.500%  12/1/29  1,200  1,701 
Inter-American Development Bank  7.000%  6/15/25  750  934 

 

 

International Bank for Reconstruction &         
Development  7.625%  1/19/23  1,807  2,408 
International Bank for Reconstruction &         
Development  8.875%  3/1/26  1,000  1,454 
International Bank for Reconstruction &         
Development  4.750%  2/15/35  1,025  1,029 
Korea Electric Power Corp.  7.000%  2/1/27  750  865 
Kreditanstalt fuer Wiederaufbau  0.000%  4/18/36  6,200  1,790 
Kreditanstalt fuer Wiederaufbau  0.000%  6/29/37  825  216 
Landesbank Baden-Wuerttemberg  7.625%  2/1/23  700  844 
Mexico Government International Bond  8.300%  8/15/31  1,325  1,766 
Mexico Government International Bond  7.500%  4/8/33  1,000  1,219 
Mexico Government International Bond  6.750%  9/27/34  12,800  14,457 
Mexico Government International Bond  6.050%  1/11/40  10,350  10,609 
Mexico Government International Bond  5.750%  10/12/10  2,150  1,934 
Panama Government International Bond  7.125%  1/29/26  3,850  4,543 
Panama Government International Bond  8.875%  9/30/27  1,350  1,819 
Panama Government International Bond  9.375%  4/1/29  1,200  1,686 
2 Panama Government International Bond  6.700%  1/26/36  5,400  6,010 
Pemex Project Funding Master Trust  6.625%  6/15/35  6,100  6,157 
Pemex Project Funding Master Trust  6.625%  6/15/38  1,375  1,379 
Peruvian Government International Bond  7.350%  7/21/25  5,800  6,873 
Peruvian Government International Bond  8.750%  11/21/33  3,250  4,366 
2 Peruvian Government International Bond  6.550%  3/14/37  5,725  6,174 
Peruvian Government International Bond  5.625%  11/18/50  2,200  1,989 
Petrobras International Finance Co. - Pifco  6.875%  1/20/40  4,850  5,012 
Petrobras International Finance Co. - Pifco  6.750%  1/27/41  1,675  1,723 
Province of British Columbia Canada  6.500%  1/15/26  1,500  1,835 
Province of Nova Scotia Canada  9.125%  5/1/21  1,280  1,771 
Province of Quebec Canada  7.125%  2/9/24  4,125  5,159 
Province of Quebec Canada  7.500%  9/15/29  4,000  5,326 
Province of Saskatchewan Canada  7.375%  7/15/13  600  677 
Region of Lombardy Italy  5.804%  10/25/32  2,375  2,217 
Republic of Italy  6.875%  9/27/23  6,600  7,447 
Republic of Italy  5.375%  6/15/33  5,675  5,597 
Republic of Korea  5.625%  11/3/25  900  937 
South Africa Government International Bond  6.875%  5/27/19  150  174 
South Africa Government International Bond  5.875%  5/30/22  2,125  2,282 
South Africa Government International Bond  6.250%  3/8/41  1,550  1,593 
Total Sovereign Bonds (Cost $195,154)        199,918 
Taxable Municipal Bonds (6.4%)         
Alameda County CA Joint Powers Authority         
Lease Revenue  7.046%  12/1/44  600  594 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  7.834%  2/15/41  200  224 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  6.053%  2/15/43  600  541 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  5.939%  2/15/47  2,900  2,539 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  7.499%  2/15/50  200  207 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  8.084%  2/15/50  1,800  2,057 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.793%  4/1/30  600  606 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.918%  4/1/40  950  967 

 

 

Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.263%  4/1/49  3,150  3,173 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  7.043%  4/1/50  2,000  2,061 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.907%  10/1/50  1,550  1,568 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  5.262%  7/1/39  550  522 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  6.276%  8/15/41  675  695 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  5.134%  8/15/42  500  478 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  4.794%  8/15/46  575  515 
California GO  5.700%  11/1/21  1,300  1,308 
California GO  6.650%  3/1/22  1,500  1,622 
California GO  7.500%  4/1/34  5,500  5,938 
California GO  7.950%  3/1/36  1,500  1,612 
California GO  7.550%  4/1/39  5,800  6,334 
California GO  7.300%  10/1/39  4,625  4,908 
California GO  7.350%  11/1/39  2,400  2,562 
California GO  7.625%  3/1/40  3,100  3,405 
California GO  7.600%  11/1/40  5,600  6,137 
Central Puget Sound WA Regional Transit         
Authority Sales & Use Tax Revenue  5.491%  11/1/39  650  633 
Chicago IL Board of Education GO  6.319%  11/1/29  650  619 
Chicago IL Board of Education GO  6.138%  12/1/39  700  635 
Chicago IL GO  7.781%  1/1/35  675  722 
Chicago IL Metropolitan Water Reclamation         
District GO  5.720%  12/1/38  2,300  2,282 
Chicago IL O'Hare International Airport         
Revenue  6.845%  1/1/38  600  589 
Chicago IL O'Hare International Airport         
Revenue  6.395%  1/1/40  650  624 
Chicago IL Transit Authority Transfer Tax         
Receipts Revenue  6.899%  12/1/40  5,500  5,412 
Chicago IL Wastewater Transmission         
Revenue  6.900%  1/1/40  575  589 
Chicago IL Water Revenue  6.742%  11/1/40  800  818 
Clark County NV Airport Revenue  6.881%  7/1/42  650  647 
Clark County NV Airport Revenue  6.820%  7/1/45  1,000  988 
Colorado Bridge Enterprise Revenue  6.078%  12/1/40  280  290 
Commonwealth Financing Authority         
Pennsylvania Revenue  6.218%  6/1/39  1,190  1,174 
Connecticut GO  5.090%  10/1/30  350  337 
Connecticut GO  5.850%  3/15/32  3,250  3,366 
Connecticut Special Tax Revenue         
(Transportation Infrastructure)  5.459%  11/1/30  2,400  2,340 
Cook County IL GO  6.229%  11/15/34  1,050  1,006 
Curators of the University of Missouri System         
Facilities Revenue  5.960%  11/1/39  1,000  1,066 
Curators of the University of Missouri System         
Facilities Revenue  5.792%  11/1/41  1,000  1,041 
Dallas County TX Hospital District Revenue  5.621%  8/15/44  850  853 

 

 

Dallas TX Area Rapid Transit Revenue  4.922%  12/1/41  400  357 
Dallas TX Area Rapid Transit Revenue  5.999%  12/1/44  2,170  2,237 
Dallas TX Area Rapid Transit Revenue  5.022%  12/1/48  1,600  1,418 
Dallas TX Independent School District GO  6.450%  2/15/35  1,400  1,496 
Denver CO City & County School District No.         
1 GO  5.664%  12/1/33  525  527 
District of Columbia Income Tax Revenue  5.591%  12/1/34  675  679 
District of Columbia Income Tax Revenue  5.582%  12/1/35  625  625 
East Baton Rouge LA Sewer Commission         
Revenue  6.087%  2/1/45  700  696 
East Bay CA Municipal Utility District Water         
System Revenue  5.874%  6/1/40  1,600  1,598 
Georgia GO  4.503%  11/1/25  825  824 
Georgia Municipal Electric Power Authority         
Revenue  6.637%  4/1/57  2,700  2,568 
Georgia Municipal Electric Power Authority         
Revenue  6.655%  4/1/57  2,800  2,635 
Georgia Municipal Electric Power Authority         
Revenue  7.055%  4/1/57  850  792 
Illinois GO  4.950%  6/1/23  1,700  1,505 
Illinois GO  5.100%  6/1/33  18,125  14,660 
Illinois GO  6.630%  2/1/35  1,050  1,007 
Illinois GO  6.725%  4/1/35  1,000  957 
Illinois Toll Highway Authority Revenue  6.184%  1/1/34  1,200  1,161 
Illinois Toll Highway Authority Revenue  5.851%  12/1/34  600  558 
Indianapolis IN Local Public Improvement         
Revenue  6.116%  1/15/40  875  893 
5 Kansas Development Finance Authority         
Revenue (Public Employees Retirement         
System)  5.501%  5/1/34  500  477 
Las Vegas Valley Water District Nevada GO  7.013%  6/1/39  525  554 
Los Angeles CA Community College District         
GO  6.600%  8/1/42  1,300  1,357 
Los Angeles CA Community College District         
GO  6.750%  8/1/49  700  744 
Los Angeles CA Department of Water &         
Power Revenue  5.716%  7/1/39  775  720 
Los Angeles CA Department of Water &         
Power Revenue  6.008%  7/1/39  775  755 
Los Angeles CA Department of Water &         
Power Revenue  6.166%  7/1/40  625  607 
Los Angeles CA Department of Water &         
Power Revenue  6.574%  7/1/45  1,375  1,424 
Los Angeles CA Department of Water &         
Power Revenue  6.603%  7/1/50  1,500  1,570 
Los Angeles CA Unified School District GO  5.755%  7/1/29  1,000  971 
Los Angeles CA Unified School District GO  5.750%  7/1/34  3,700  3,494 
Los Angeles CA Unified School District GO  6.758%  7/1/34  1,700  1,779 
Los Angeles County CA Metropolitan         
Transportation Authority Sales Tax         
Revenue  5.735%  6/1/39  1,150  1,089 
Los Angeles County CA Public Works         
Financing Authority Lease Revenue  7.488%  8/1/33  700  724 
Los Angeles County CA Public Works         
Financing Authority Lease Revenue  7.618%  8/1/40  700  688 
Maryland Transportation Authority Facilities         
Projects Revenue  5.888%  7/1/43  850  885 

 

 

Massachusetts Development Finance Agency         
Revenue (Harvard University)  6.300%  10/1/37  1,000  1,093 
Massachusetts GO  4.200%  12/1/21  700  695 
Massachusetts GO  4.500%  8/1/31  1,500  1,352 
Massachusetts GO  5.456%  12/1/39  1,900  1,907 
Massachusetts School Building Authority         
Dedicated Sales Tax Revenue  5.715%  8/15/39  1,050  1,073 
Massachusetts Transportation Fund Revenue  5.731%  6/1/40  850  873 
Massachusetts Water Pollution Abatement         
Trust  5.192%  8/1/40  900  863 
Metropolitan Government of Nashville &         
Davidson County TN GO  5.707%  7/1/34  1,200  1,204 
Metropolitan New York Transportation         
Authority Revenue (Dedicated Tax Fund)  7.336%  11/15/39  2,325  2,636 
Metropolitan New York Transportation         
Authority Revenue (Dedicated Tax Fund)  6.089%  11/15/40  575  559 
Metropolitan New York Transportation         
Authority Revenue (Transit Revenue)  6.548%  11/15/31  500  509 
Metropolitan New York Transportation         
Authority Revenue (Transit Revenue)  5.871%  11/15/39  700  653 
Metropolitan New York Transportation         
Authority Revenue (Transit Revenue)  6.648%  11/15/39  1,750  1,770 
Metropolitan Washington DC/VA Airports         
Authority Dulles Toll Road Revenue  7.462%  10/1/46  775  758 
Mississippi GO  5.245%  11/1/34  700  677 
Missouri Highways & Transportation         
Commission Road Revenue  5.445%  5/1/33  600  591 
6 New Jersey Economic Development Authority         
Revenue (State Pension Funding)  7.425%  2/15/29  5,250  5,432 
New Jersey Educational Facilities Authority         
Revenue (Princeton University)  5.700%  3/1/39  1,500  1,613 
New Jersey Transportation Trust Fund         
Authority Transportation System Revenue  5.754%  12/15/28  1,700  1,655 
New Jersey Transportation Trust Fund         
Authority Transportation System Revenue  6.104%  12/15/28  1,150  1,137 
New Jersey Transportation Trust Fund         
Authority Transportation System Revenue  6.561%  12/15/40  1,575  1,573 
4 New Jersey Turnpike Authority Revenue  4.252%  1/1/16  30  32 
4 New Jersey Turnpike Authority Revenue  4.252%  1/1/16  570  586 
New Jersey Turnpike Authority Revenue  7.414%  1/1/40  3,050  3,415 
New Jersey Turnpike Authority Revenue  7.102%  1/1/41  4,200  4,548 
New York City NY GO  5.206%  10/1/31  1,000  932 
New York City NY GO  6.646%  12/1/31  400  415 
New York City NY GO  6.246%  6/1/35  775  782 
New York City NY GO  5.968%  3/1/36  300  299 
New York City NY GO  5.985%  12/1/36  625  631 
New York City NY GO  5.517%  10/1/37  675  636 
New York City NY GO  6.271%  12/1/37  1,550  1,620 
New York City NY GO  5.846%  6/1/40  1,000  981 
New York City NY Municipal Water Finance         
Authority Water & Sewer System Revenue  5.750%  6/15/41  800  798 
New York City NY Municipal Water Finance         
Authority Water & Sewer System Revenue  5.724%  6/15/42  550  543 
New York City NY Municipal Water Finance         
Authority Water & Sewer System Revenue  5.952%  6/15/42  800  819 
New York City NY Municipal Water Finance         
Authority Water & Sewer System Revenue  6.011%  6/15/42  1,150  1,180 

 

 

New York City NY Municipal Water Finance         
Authority Water & Sewer System Revenue  5.440%  6/15/43  1,000  949 
New York City NY Municipal Water Finance         
Authority Water & Sewer System Revenue  5.882%  6/15/44  2,000  2,006 
New York City NY Transitional Finance         
Authority Building Aid Revenue  6.828%  7/15/40  800  852 
New York City NY Transitional Finance         
Authority Future Tax Revenue  5.767%  8/1/36  775  777 
New York City NY Transitional Finance         
Authority Future Tax Revenue  5.508%  8/1/37  1,900  1,843 
New York City NY Transitional Finance         
Authority Future Tax Revenue  5.572%  11/1/38  1,150  1,128 
New York State Dormitory Authority Revenue         
(Personal Income Tax)  5.500%  3/15/30  1,500  1,552 
New York State Dormitory Authority Revenue         
(Personal Income Tax)  5.289%  3/15/33  500  483 
New York State Dormitory Authority Revenue         
(Personal Income Tax)  5.628%  3/15/39  2,000  1,958 
New York State Dormitory Authority Revenue         
(Personal Income Tax)  5.389%  3/15/40  600  569 
New York State Urban Development Corp.         
Revenue (Personal Income Tax)  5.770%  3/15/39  1,350  1,359 
New York State Urban Development Corp.         
Revenue (Personal Income Tax)  5.838%  3/15/40  625  628 
North Texas Tollway Authority System         
Revenue  6.718%  1/1/49  2,500  2,483 
Ohio State University General Receipts         
Revenue  4.910%  6/1/40  1,500  1,379 
Ohio Water Development Authority Water         
Pollution Control Loan Fund Revenue  4.879%  12/1/34  1,125  1,078 
Orange County CA Local Transportation         
Authority Sales Tax Revenue  6.908%  2/15/41  575  643 
Oregon Department Transportation Highway         
Usertax Revenue  5.834%  11/15/34  1,250  1,250 
Oregon GO  5.762%  6/1/23  600  641 
Oregon GO  5.892%  6/1/27  3,350  3,475 
4 Oregon School Boards Association GO  4.759%  6/30/28  1,850  1,613 
5 Oregon School Boards Association GO  5.528%  6/30/28  1,500  1,442 
Pennsylvania GO  4.650%  2/15/26  1,100  1,064 
Pennsylvania GO  5.350%  5/1/30  1,000  960 
Pennsylvania Public School Building Authority         
Lease Revenue (School District of         
Philadelphia)  5.000%  9/15/27  1,100  1,022 
Pennsylvania Turnpike Commission Revenue  6.105%  12/1/39  600  596 
Pennsylvania Turnpike Commission Revenue  5.511%  12/1/45  775  682 
Pennsylvania Turnpike Commission Revenue  5.561%  12/1/49  850  772 
Port Authority of New York & New Jersey         
Revenue  6.040%  12/1/29  1,125  1,149 
Port Authority of New York & New Jersey         
Revenue  5.647%  11/1/40  3,250  3,127 
Regional Transportation District of Colorado         
Sales Tax Revenue  5.844%  11/1/50  700  682 
Rutgers State University NJ Revenue  5.665%  5/1/40  1,050  1,049 
Salt River Project Arizona Agricultural         
Improvement & Power District Revenue  4.839%  1/1/41  1,100  993 
San Antonio TX Electric & Gas Systems         
Revenue  5.985%  2/1/39  600  624 

 

 

San Antonio TX Electric & Gas Systems         
Revenue  5.718%  2/1/41  950  942 
San Antonio TX Electric & Gas Systems         
Revenue  5.808%  2/1/41  1,150  1,140 
San Diego County CA Regional         
Transportation Authority Sales Tax         
Revenue  5.911%  4/1/48  500  493 
San Diego County CA Water Authority         
Revenue  6.947%  7/1/40  575  606 
San Diego County CA Water Authority         
Revenue  6.138%  5/1/49  1,200  1,195 
San Francisco CA City & County Public Utility         
Commission Water Revenue  6.950%  11/1/50  800  862 
Santa Clara Valley CA Transportation         
Authority Sales Tax Revenue  5.876%  4/1/32  1,000  968 
Sonoma County CA Pension Obligation         
Revenue  6.000%  12/1/29  750  700 
South Carolina Public Service Authority         
Revenue  6.454%  1/1/50  750  802 
Texas GO  5.517%  4/1/39  2,920  2,973 
Texas Transportation Commission Revenue  5.028%  4/1/26  1,000  986 
Texas Transportation Commission Revenue  5.178%  4/1/30  2,650  2,608 
Texas Transportation Commission Revenue  4.631%  4/1/33  800  724 
Texas Transportation Commission Revenue  4.681%  4/1/40  750  670 
University of California Regents Medical         
Center Revenue  6.548%  5/15/48  900  889 
University of California Regents Medical         
Center Revenue  6.583%  5/15/49  1,075  1,067 
University of California Revenue  5.770%  5/15/43  2,800  2,705 
University of California Revenue  5.946%  5/15/45  1,400  1,266 
University of Massachusetts Building Authority         
Revenue  5.450%  11/1/40  575  540 
University of Virginia Revenue  6.200%  9/1/39  1,000  1,117 
Utah GO  4.554%  7/1/24  1,100  1,120 
Utah GO  3.539%  7/1/25  1,200  1,111 
Utah Transit Authority Sales Tax Revenue  5.937%  6/15/39  700  733 
Virginia Commonwealth Transportation Board         
Federal Highway Revenue  5.350%  5/15/35  300  292 
Washington Convention Center Public         
Facilities District Revenue  6.790%  7/1/40  600  586 
Washington GO  5.090%  8/1/33  900  862 
Washington GO  5.481%  8/1/39  650  646 
Washington GO  5.140%  8/1/40  1,775  1,677 
5 Wisconsin GO  5.700%  5/1/26  900  898 
Total Taxable Municipal Bonds (Cost $253,983)        250,481 
Tax-Exempt Municipal Bonds (0.1%)         
Illinois GO  7.350%  7/1/35  1,450  1,492 
San Francisco CA City & County Public Utility         
Commission Water Revenue  6.000%  11/1/40  1,325  1,256 
Total Tax-Exempt Municipal Bonds (Cost $2,834)        2,748 

 

 

      Market 
      Value 
  Coupon  Shares  ($000) 
Temporary Cash Investment (0.4%)       
Money Market Fund (0.4%)       
7 Vanguard Market Liquidity Fund (Cost $16,949)  0.208%  16,948,917  16,949 
 
Total Investments (99.0%) (Cost $3,835,673)      3,882,696 
Other Assets and Liabilities-Net (1.0%)      39,859 
Net Assets (100%)      3,922,555 

1 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, the aggregate value of these securities was $37,995,000, representing 1.0% of net assets.
4 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
5 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
6 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the fund's investments as of March 31, 2011, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  1,689,330  — 
Asset-Backed/Commercial Mortgage-Backed Securities  —  2,944  — 
Corporate Bonds  —  1,720,326  — 

 

 

Sovereign Bonds  —  199,918  — 
Taxable Municipal Bonds  —  250,481  — 
Tax-Exempt Municipal Bonds  —  2,748  — 
Temporary Cash Investments  16,949  —  — 
Total  16,949  3,865,747  — 

 

C. At March 31, 2011, the cost of investment securities for tax purposes was $3,835,673,000. Net unrealized appreciation of investment securities for tax purposes was $47,023,000, consisting of unrealized gains of $121,995,000 on securities that had risen in value since their purchase and $74,972,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Total Bond Market Index Fund

Schedule of Investments
As of March 31, 2011

      Face  Market 
    Maturity  Amount  Value 
  Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (70.2%)         
U.S. Government Securities (35.4%)         
United States Treasury Note/Bond  1.375%  3/15/12  6,680  6,749 
United States Treasury Note/Bond  1.375%  5/15/12  308,080  311,450 
United States Treasury Note/Bond  0.750%  5/31/12  741,005  744,013 
United States Treasury Note/Bond  4.750%  5/31/12  344,650  362,100 
United States Treasury Note/Bond  1.875%  6/15/12  126,210  128,419 
United States Treasury Note/Bond  0.625%  6/30/12  11,835  11,863 
United States Treasury Note/Bond  4.875%  6/30/12  59,595  62,882 
United States Treasury Note/Bond  1.500%  7/15/12  52,800  53,518 
United States Treasury Note/Bond  0.625%  7/31/12  474,289  475,252 
United States Treasury Note/Bond  4.625%  7/31/12  162,595  171,538 
United States Treasury Note/Bond  1.750%  8/15/12  972,135  988,690 
United States Treasury Note/Bond  4.375%  8/15/12  191,975  202,175 
United States Treasury Note/Bond  0.375%  8/31/12  6,300  6,287 
United States Treasury Note/Bond  4.125%  8/31/12  6,641  6,975 
United States Treasury Note/Bond  1.375%  9/15/12  141,267  142,923 
United States Treasury Note/Bond  4.250%  9/30/12  25,190  26,568 
United States Treasury Note/Bond  1.375%  10/15/12  753,200  762,148 
United States Treasury Note/Bond  0.375%  10/31/12  786,091  783,017 
United States Treasury Note/Bond  3.875%  10/31/12  47,780  50,244 
United States Treasury Note/Bond  1.375%  11/15/12  136,620  138,221 
United States Treasury Note/Bond  4.000%  11/15/12  17,980  18,955 
United States Treasury Note/Bond  0.500%  11/30/12  2,520  2,513 
United States Treasury Note/Bond  3.375%  11/30/12  2,380  2,489 
United States Treasury Note/Bond  1.125%  12/15/12  506,650  510,293 
United States Treasury Note/Bond  0.625%  12/31/12  72,465  72,352 
United States Treasury Note/Bond  3.625%  12/31/12  2,705  2,844 
United States Treasury Note/Bond  1.375%  1/15/13  668,980  676,399 
United States Treasury Note/Bond  0.625%  1/31/13  390,210  389,234 
United States Treasury Note/Bond  1.375%  2/15/13  140,750  142,333 
United States Treasury Note/Bond  3.875%  2/15/13  131,655  139,390 
United States Treasury Note/Bond  0.625%  2/28/13  16,925  16,867 
United States Treasury Note/Bond  2.750%  2/28/13  41,755  43,314 
United States Treasury Note/Bond  1.375%  3/15/13  208,235  210,480 
United States Treasury Note/Bond  0.750%  3/31/13  29,000  28,955 
United States Treasury Note/Bond  1.750%  4/15/13  72,215  73,513 
United States Treasury Note/Bond  3.625%  5/15/13  12,056  12,753 
United States Treasury Note/Bond  3.500%  5/31/13  4,070  4,300 
United States Treasury Note/Bond  1.125%  6/15/13  5,965  5,989 
United States Treasury Note/Bond  3.375%  6/30/13  40,360  42,555 
United States Treasury Note/Bond  1.000%  7/15/13  11,615  11,624 
United States Treasury Note/Bond  3.375%  7/31/13  15,255  16,106 
United States Treasury Note/Bond  0.750%  8/15/13  755  751 
United States Treasury Note/Bond  4.250%  8/15/13  15,055  16,205 
United States Treasury Note/Bond  3.125%  8/31/13  38,955  40,927 
United States Treasury Note/Bond  0.750%  9/15/13  18,705  18,571 
United States Treasury Note/Bond  3.125%  9/30/13  390,305  410,246 
United States Treasury Note/Bond  0.500%  10/15/13  3,460  3,410 
United States Treasury Note/Bond  2.750%  10/31/13  554,478  577,871 
United States Treasury Note/Bond  0.500%  11/15/13  300  295 

 

 

United States Treasury Note/Bond  4.250%  11/15/13  29,040  31,427 
United States Treasury Note/Bond  2.000%  11/30/13  18,510  18,924 
United States Treasury Note/Bond  0.750%  12/15/13  25,425  25,147 
United States Treasury Note/Bond  1.500%  12/31/13  209,800  211,602 
United States Treasury Note/Bond  1.750%  1/31/14  244,575  248,204 
United States Treasury Note/Bond  1.250%  2/15/14  16,675  16,672 
United States Treasury Note/Bond  4.000%  2/15/14  60,080  64,868 
United States Treasury Note/Bond  1.875%  2/28/14  722,575  735,336 
United States Treasury Note/Bond  1.250%  3/15/14  890  889 
United States Treasury Note/Bond  1.750%  3/31/14  509,725  516,576 
United States Treasury Note/Bond  1.875%  4/30/14  209,100  212,531 
United States Treasury Note/Bond  4.750%  5/15/14  44,288  48,959 
United States Treasury Note/Bond  2.250%  5/31/14  186,815  191,837 
United States Treasury Note/Bond  2.625%  6/30/14  347,040  360,325 
United States Treasury Note/Bond  2.625%  7/31/14  196,735  204,144 
United States Treasury Note/Bond  4.250%  8/15/14  32,000  34,955 
United States Treasury Note/Bond  2.375%  8/31/14  162,530  167,177 
United States Treasury Note/Bond  2.375%  9/30/14  200,085  205,681 
United States Treasury Note/Bond  2.375%  10/31/14  282,985  290,634 
United States Treasury Note/Bond  4.250%  11/15/14  56,255  61,555 
United States Treasury Note/Bond  2.125%  11/30/14  434,659  441,996 
United States Treasury Note/Bond  2.625%  12/31/14  35,495  36,710 
United States Treasury Note/Bond  2.250%  1/31/15  109,005  111,151 
United States Treasury Note/Bond  4.000%  2/15/15  92,687  100,580 
United States Treasury Note/Bond  11.250%  2/15/15  49,325  66,997 
United States Treasury Note/Bond  2.375%  2/28/15  310,292  317,469 
United States Treasury Note/Bond  2.500%  3/31/15  137,550  141,311 
United States Treasury Note/Bond  2.500%  4/30/15  185,860  190,709 
United States Treasury Note/Bond  4.125%  5/15/15  220,855  240,871 
United States Treasury Note/Bond  2.125%  5/31/15  114,610  115,721 
United States Treasury Note/Bond  1.875%  6/30/15  73,715  73,577 
United States Treasury Note/Bond  1.750%  7/31/15  277,368  274,985 
United States Treasury Note/Bond  10.625%  8/15/15  5,935  8,108 
United States Treasury Note/Bond  1.250%  8/31/15  161,680  156,501 
United States Treasury Note/Bond  1.250%  9/30/15  238,600  230,435 
United States Treasury Note/Bond  1.250%  10/31/15  6,950  6,697 
United States Treasury Note/Bond  4.500%  11/15/15  18,100  20,057 
United States Treasury Note/Bond  9.875%  11/15/15  262,900  354,134 
United States Treasury Note/Bond  1.375%  11/30/15  252,290  243,972 
United States Treasury Note/Bond  2.125%  12/31/15  210,355  210,092 
United States Treasury Note/Bond  2.000%  1/31/16  63,600  63,054 
United States Treasury Note/Bond  4.500%  2/15/16  205,655  227,892 
United States Treasury Note/Bond  9.250%  2/15/16  6,710  8,923 
United States Treasury Note/Bond  2.125%  2/29/16  96,750  96,312 
United States Treasury Note/Bond  2.625%  2/29/16  152,950  155,842 
United States Treasury Note/Bond  2.250%  3/31/16  190,075  190,016 
United States Treasury Note/Bond  2.375%  3/31/16  66,400  66,774 
United States Treasury Note/Bond  2.625%  4/30/16  243,950  247,914 
United States Treasury Note/Bond  5.125%  5/15/16  292,880  333,289 
United States Treasury Note/Bond  7.250%  5/15/16  48,085  59,693 
United States Treasury Note/Bond  3.250%  6/30/16  263,740  275,527 
United States Treasury Note/Bond  4.875%  8/15/16  96,250  108,492 
United States Treasury Note/Bond  3.000%  8/31/16  357,275  367,882 
United States Treasury Note/Bond  3.000%  9/30/16  468,850  482,329 
United States Treasury Note/Bond  3.125%  10/31/16  213,860  221,078 
United States Treasury Note/Bond  4.625%  11/15/16  17,296  19,255 
United States Treasury Note/Bond  7.500%  11/15/16  84,277  106,650 
United States Treasury Note/Bond  2.750%  11/30/16  97,732  98,969 

 

 

United States Treasury Note/Bond  3.250%  12/31/16  65,675  68,169 
United States Treasury Note/Bond  3.125%  1/31/17  309,595  319,028 
United States Treasury Note/Bond  4.625%  2/15/17  3,065  3,411 
United States Treasury Note/Bond  3.000%  2/28/17  40,275  41,150 
United States Treasury Note/Bond  3.250%  3/31/17  8,570  8,870 
United States Treasury Note/Bond  3.125%  4/30/17  11,200  11,497 
United States Treasury Note/Bond  4.500%  5/15/17  101,245  111,940 
United States Treasury Note/Bond  8.750%  5/15/17  250,815  338,482 
United States Treasury Note/Bond  2.750%  5/31/17  254,555  255,588 
United States Treasury Note/Bond  2.500%  6/30/17  281,625  278,282 
United States Treasury Note/Bond  4.750%  8/15/17  420,505  470,835 
United States Treasury Note/Bond  8.875%  8/15/17  43,390  59,214 
United States Treasury Note/Bond  1.875%  9/30/17  3,575  3,378 
United States Treasury Note/Bond  1.875%  10/31/17  259,827  245,090 
United States Treasury Note/Bond  4.250%  11/15/17  230,355  250,836 
United States Treasury Note/Bond  2.750%  12/31/17  275  273 
United States Treasury Note/Bond  2.625%  1/31/18  450  443 
United States Treasury Note/Bond  3.500%  2/15/18  47,425  49,314 
United States Treasury Note/Bond  2.750%  2/28/18  405,600  402,051 
United States Treasury Note/Bond  3.875%  5/15/18  423,966  450,265 
United States Treasury Note/Bond  9.125%  5/15/18  3,685  5,186 
United States Treasury Note/Bond  4.000%  8/15/18  242,500  259,133 
United States Treasury Note/Bond  3.750%  11/15/18  174,090  182,713 
United States Treasury Note/Bond  9.000%  11/15/18  25  35 
United States Treasury Note/Bond  2.750%  2/15/19  17,935  17,498 
United States Treasury Note/Bond  8.875%  2/15/19  123,475  174,601 
United States Treasury Note/Bond  3.125%  5/15/19  125,150  124,955 
United States Treasury Note/Bond  3.625%  8/15/19  101,791  105,083 
United States Treasury Note/Bond  8.125%  8/15/19  117,735  161,481 
United States Treasury Note/Bond  3.375%  11/15/19  471,533  476,102 
United States Treasury Note/Bond  3.625%  2/15/20  366,309  375,752 
United States Treasury Note/Bond  3.500%  5/15/20  423,573  428,669 
United States Treasury Note/Bond  2.625%  8/15/20  337,071  315,741 
United States Treasury Note/Bond  8.750%  8/15/20  244,040  351,188 
United States Treasury Note/Bond  2.625%  11/15/20  147,203  137,176 
United States Treasury Note/Bond  3.625%  2/15/21  447,490  453,294 
United States Treasury Note/Bond  7.875%  2/15/21  208,392  286,735 
United States Treasury Note/Bond  8.125%  5/15/21  12,080  16,908 
United States Treasury Note/Bond  8.125%  8/15/21  136,690  191,900 
United States Treasury Note/Bond  8.000%  11/15/21  59,855  83,488 
United States Treasury Note/Bond  7.250%  8/15/22  2,940  3,922 
United States Treasury Note/Bond  7.625%  11/15/22  7,450  10,221 
United States Treasury Note/Bond  7.125%  2/15/23  161,760  214,306 
United States Treasury Note/Bond  6.250%  8/15/23  631,460  783,408 
United States Treasury Note/Bond  7.625%  2/15/25  712  993 
United States Treasury Note/Bond  6.875%  8/15/25  66,525  87,491 
United States Treasury Note/Bond  6.000%  2/15/26  19,725  23,994 
United States Treasury Note/Bond  6.750%  8/15/26  5,435  7,099 
United States Treasury Note/Bond  6.500%  11/15/26  6,169  7,878 
United States Treasury Note/Bond  6.625%  2/15/27  41,065  53,115 
United States Treasury Note/Bond  6.375%  8/15/27  46,885  59,310 
United States Treasury Note/Bond  6.125%  11/15/27  34,465  42,548 
United States Treasury Note/Bond  5.500%  8/15/28  59,290  68,600 
United States Treasury Note/Bond  5.250%  11/15/28  7,950  8,941 
United States Treasury Note/Bond  5.250%  2/15/29  90,710  102,063 
United States Treasury Note/Bond  6.125%  8/15/29  163,655  202,958 
United States Treasury Note/Bond  6.250%  5/15/30  60,343  76,004 
United States Treasury Note/Bond  5.375%  2/15/31  9,870  11,278 

 

 

United States Treasury Note/Bond  4.500%  2/15/36  6,130  6,185 
United States Treasury Note/Bond  4.750%  2/15/37  402,960  421,347 
United States Treasury Note/Bond  5.000%  5/15/37  3,449  3,744 
United States Treasury Note/Bond  4.375%  2/15/38  57,474  56,495 
United States Treasury Note/Bond  4.500%  5/15/38  1,187  1,190 
United States Treasury Note/Bond  3.500%  2/15/39  17,718  14,841 
United States Treasury Note/Bond  4.250%  5/15/39  198,669  190,412 
United States Treasury Note/Bond  4.500%  8/15/39  470,744  470,301 
United States Treasury Note/Bond  4.375%  11/15/39  334,296  326,774 
United States Treasury Note/Bond  4.625%  2/15/40  388,401  395,746 
United States Treasury Note/Bond  4.375%  5/15/40  307,815  300,698 
United States Treasury Note/Bond  3.875%  8/15/40  67,563  60,405 
United States Treasury Note/Bond  4.250%  11/15/40  236,920  226,332 
United States Treasury Note/Bond  4.750%  2/15/41  30,750  31,937 
        30,832,263 
Agency Bonds and Notes (6.4%)         
1 Ally Financial Inc.  2.200%  12/19/12  2,950  3,018 
1 Bank of America Corp.  2.100%  4/30/12  51,075  52,010 
1 Bank of America Corp.  3.125%  6/15/12  37,450  38,614 
1 Bank of America Corp.  2.375%  6/22/12  24,075  24,602 
1 Citibank NA  1.875%  5/7/12  36,785  37,329 
1 Citibank NA  1.750%  12/28/12  39,900  40,507 
1 Citigroup Funding Inc.  2.125%  7/12/12  11,275  11,495 
1 Citigroup Funding Inc.  1.875%  10/22/12  21,594  21,963 
1 Citigroup Funding Inc.  2.250%  12/10/12  4,775  4,889 
1 Citigroup Inc.  2.125%  4/30/12  48,420  49,277 
Egypt Government AID Bonds  4.450%  9/15/15  16,750  18,194 
2 Federal Agricultural Mortgage Corp.  1.250%  12/6/13  5,140  5,099 
2 Federal Agricultural Mortgage Corp.  2.125%  9/15/15  2,825  2,797 
2 Federal Farm Credit Bank  2.250%  4/24/12  6,300  6,425 
2 Federal Farm Credit Bank  2.125%  6/18/12  14,675  14,975 
2 Federal Farm Credit Bank  4.500%  10/17/12  12,375  13,100 
2 Federal Farm Credit Bank  1.875%  12/7/12  9,375  9,550 
2 Federal Farm Credit Bank  1.750%  2/21/13  8,775  8,916 
2 Federal Farm Credit Bank  1.375%  6/25/13  6,800  6,852 
2 Federal Farm Credit Bank  3.875%  10/7/13  37,650  40,117 
2 Federal Farm Credit Bank  1.125%  2/27/14  8,000  7,939 
2 Federal Farm Credit Bank  2.625%  4/17/14  11,375  11,767 
2 Federal Farm Credit Bank  3.000%  9/22/14  11,250  11,732 
2 Federal Farm Credit Bank  1.500%  11/16/15  6,825  6,585 
2 Federal Farm Credit Bank  4.875%  12/16/15  1,625  1,808 
2 Federal Farm Credit Bank  5.125%  8/25/16  9,075  10,200 
2 Federal Farm Credit Bank  4.875%  1/17/17  8,030  8,917 
2 Federal Farm Credit Bank  5.150%  11/15/19  15,675  17,427 
2 Federal Home Loan Bank of Chicago  5.625%  6/13/16  3,705  4,022 
2 Federal Home Loan Banks  1.125%  5/18/12  79,775  80,424 
2 Federal Home Loan Banks  1.375%  6/8/12  37,750  38,171 
2 Federal Home Loan Banks  1.875%  6/20/12  34,525  35,126 
2 Federal Home Loan Banks  0.875%  8/22/12  5,720  5,740 
2 Federal Home Loan Banks  1.750%  8/22/12  26,885  27,306 
2 Federal Home Loan Banks  1.625%  9/26/12  16,830  17,072 
2 Federal Home Loan Banks  1.750%  12/14/12  17,680  17,961 
2 Federal Home Loan Banks  1.500%  1/16/13  68,625  69,479 
2 Federal Home Loan Banks  3.375%  2/27/13  10,075  10,553 
2 Federal Home Loan Banks  1.625%  3/20/13  6,500  6,594 
2 Federal Home Loan Banks  1.000%  3/27/13  36,900  36,966 
2 Federal Home Loan Banks  3.625%  5/29/13  150  158 

 

 

2 Federal Home Loan Banks  3.875%  6/14/13  5,125  5,442 
2 Federal Home Loan Banks  5.375%  6/14/13  12,150  13,289 
2 Federal Home Loan Banks  1.875%  6/21/13  90,705  92,386 
2 Federal Home Loan Banks  5.125%  8/14/13  4,560  4,990 
2 Federal Home Loan Banks  4.000%  9/6/13  46,725  49,921 
2 Federal Home Loan Banks  5.250%  9/13/13  9,200  10,092 
2 Federal Home Loan Banks  4.500%  9/16/13  24,625  26,619 
2 Federal Home Loan Banks  3.625%  10/18/13  65,100  69,009 
2 Federal Home Loan Banks  4.875%  11/27/13  19,900  21,738 
2 Federal Home Loan Banks  3.125%  12/13/13  32,925  34,457 
2 Federal Home Loan Banks  0.875%  12/27/13  29,800  29,458 
2 Federal Home Loan Banks  2.500%  6/13/14  37,450  38,576 
2 Federal Home Loan Banks  5.500%  8/13/14  88,275  99,473 
2 Federal Home Loan Banks  4.500%  11/14/14  35,450  38,720 
2 Federal Home Loan Banks  2.750%  12/12/14  18,950  19,568 
2 Federal Home Loan Banks  5.375%  5/18/16  48,700  55,510 
2 Federal Home Loan Banks  5.125%  10/19/16  15,925  17,845 
2 Federal Home Loan Banks  4.750%  12/16/16  21,510  23,795 
2 Federal Home Loan Banks  4.875%  5/17/17  35,975  40,071 
2 Federal Home Loan Banks  5.000%  11/17/17  7,100  7,953 
2 Federal Home Loan Banks  5.375%  8/15/18  4,750  5,371 
2 Federal Home Loan Banks  4.125%  3/13/20  10,515  10,822 
2 Federal Home Loan Banks  5.250%  12/11/20  6,850  7,626 
2 Federal Home Loan Banks  5.625%  6/11/21  1,125  1,282 
2 Federal Home Loan Banks  5.375%  8/15/24  24,600  27,298 
2 Federal Home Loan Banks  5.500%  7/15/36  9,900  10,826 
2 Federal Home Loan Mortgage Corp.  1.750%  6/15/12  30,325  30,805 
2 Federal Home Loan Mortgage Corp.  4.750%  6/28/12  2,000  2,107 
2 Federal Home Loan Mortgage Corp.  5.125%  7/15/12  19,975  21,145 
2 Federal Home Loan Mortgage Corp.  5.500%  8/20/12  41,325  44,110 
2 Federal Home Loan Mortgage Corp.  1.000%  8/28/12  21,525  21,650 
2 Federal Home Loan Mortgage Corp.  2.125%  9/21/12  59,695  60,993 
2 Federal Home Loan Mortgage Corp.  4.625%  10/25/12  31,925  33,885 
2 Federal Home Loan Mortgage Corp.  0.375%  11/30/12  20,000  19,880 
2 Federal Home Loan Mortgage Corp.  4.125%  12/21/12  15,125  15,992 
2 Federal Home Loan Mortgage Corp.  0.625%  12/28/12  46,500  46,392 
2 Federal Home Loan Mortgage Corp.  0.750%  12/28/12  50,850  50,798 
2 Federal Home Loan Mortgage Corp.  1.375%  1/9/13  82,395  83,258 
2 Federal Home Loan Mortgage Corp.  0.750%  3/28/13  31,150  31,058 
2 Federal Home Loan Mortgage Corp.  1.625%  4/15/13  85,565  86,765 
2 Federal Home Loan Mortgage Corp.  3.750%  6/28/13  9,790  10,374 
2 Federal Home Loan Mortgage Corp.  4.500%  7/15/13  18,000  19,392 
2 Federal Home Loan Mortgage Corp.  4.125%  9/27/13  29,225  31,353 
2 Federal Home Loan Mortgage Corp.  0.875%  10/28/13  11,900  11,795 
2 Federal Home Loan Mortgage Corp.  4.875%  11/15/13  49,625  54,273 
2 Federal Home Loan Mortgage Corp.  2.500%  1/7/14  10,675  11,012 
2 Federal Home Loan Mortgage Corp.  4.500%  1/15/14  24,855  26,995 
2 Federal Home Loan Mortgage Corp.  1.375%  2/25/14  44,925  44,889 
2 Federal Home Loan Mortgage Corp.  2.500%  4/23/14  106,825  110,096 
2 Federal Home Loan Mortgage Corp.  5.000%  7/15/14  47,900  53,075 
2 Federal Home Loan Mortgage Corp.  3.000%  7/28/14  82,250  85,927 
2 Federal Home Loan Mortgage Corp.  0.000%  11/24/14  7,400  6,841 
2 Federal Home Loan Mortgage Corp.  5.050%  1/26/15  600  669 
2 Federal Home Loan Mortgage Corp.  2.875%  2/9/15  775  803 
2 Federal Home Loan Mortgage Corp.  1.750%  9/10/15  25,000  24,530 
2 Federal Home Loan Mortgage Corp.  4.750%  1/19/16  1,375  1,522 
2 Federal Home Loan Mortgage Corp.  5.250%  4/18/16  48,925  55,325 
2 Federal Home Loan Mortgage Corp.  5.500%  7/18/16  66,975  76,574 

 

 

2  Federal Home Loan Mortgage Corp.  5.125%  10/18/16  15,775  17,745 
2  Federal Home Loan Mortgage Corp.  5.000%  2/16/17  28,225  31,556 
2  Federal Home Loan Mortgage Corp.  5.000%  4/18/17  10,000  11,182 
2  Federal Home Loan Mortgage Corp.  5.500%  8/23/17  33,450  38,350 
2  Federal Home Loan Mortgage Corp.  5.125%  11/17/17  6,670  7,504 
2  Federal Home Loan Mortgage Corp.  4.875%  6/13/18  22,750  25,233 
2  Federal Home Loan Mortgage Corp.  3.750%  3/27/19  61,635  63,363 
2  Federal Home Loan Mortgage Corp.  6.750%  9/15/29  11,375  14,373 
2  Federal Home Loan Mortgage Corp.  6.750%  3/15/31  38,739  49,341 
2  Federal Home Loan Mortgage Corp.  6.250%  7/15/32  524  636 
2  Federal National Mortgage Assn.  1.000%  4/4/12  56,310  56,682 
2  Federal National Mortgage Assn.  1.875%  4/20/12  74,275  75,446 
2  Federal National Mortgage Assn.  4.875%  5/18/12  36,870  38,728 
2  Federal National Mortgage Assn.  1.250%  6/22/12  12,940  13,067 
2  Federal National Mortgage Assn.  1.125%  7/30/12  28,625  28,839 
2  Federal National Mortgage Assn.  5.250%  8/1/12  8,255  8,751 
2  Federal National Mortgage Assn.  4.375%  9/15/12  279,675  294,747 
2  Federal National Mortgage Assn.  0.625%  9/24/12  15,350  15,347 
2  Federal National Mortgage Assn.  0.500%  10/30/12  100,000  99,656 
2  Federal National Mortgage Assn.  4.750%  11/19/12  50,000  53,258 
2  Federal National Mortgage Assn.  0.375%  12/28/12  13,775  13,681 
2  Federal National Mortgage Assn.  3.625%  2/12/13  78,115  82,086 
2  Federal National Mortgage Assn.  4.750%  2/21/13  9,800  10,499 
2  Federal National Mortgage Assn.  0.750%  2/26/13  29,300  29,240 
2  Federal National Mortgage Assn.  4.375%  3/15/13  86,075  91,879 
2  Federal National Mortgage Assn.  4.625%  5/1/13  23,794  25,461 
2  Federal National Mortgage Assn.  1.750%  5/7/13  12,900  13,109 
2  Federal National Mortgage Assn.  3.875%  7/12/13  4,700  4,996 
2,3 Federal National Mortgage Assn.  1.350%  8/16/13  2,500  2,496 
2  Federal National Mortgage Assn.  1.250%  8/20/13  50,175  50,329 
2  Federal National Mortgage Assn.  4.625%  10/15/13  59,600  64,653 
2  Federal National Mortgage Assn.  2.875%  12/11/13  11,175  11,654 
2  Federal National Mortgage Assn.  0.750%  12/18/13  115,975  114,209 
2  Federal National Mortgage Assn.  5.125%  1/2/14  3,600  3,931 
2  Federal National Mortgage Assn.  2.750%  2/5/14  38,950  40,441 
2  Federal National Mortgage Assn.  1.250%  2/27/14  83,000  82,568 
2  Federal National Mortgage Assn.  2.750%  3/13/14  37,950  39,388 
2  Federal National Mortgage Assn.  4.125%  4/15/14  26,200  28,249 
2  Federal National Mortgage Assn.  2.500%  5/15/14  42,050  43,310 
2  Federal National Mortgage Assn.  3.000%  9/16/14  32,075  33,466 
2  Federal National Mortgage Assn.  4.625%  10/15/14  28,500  31,307 
2  Federal National Mortgage Assn.  2.625%  11/20/14  15,625  16,092 
2  Federal National Mortgage Assn.  5.000%  4/15/15  16,960  18,927 
2  Federal National Mortgage Assn.  2.375%  7/28/15  30,125  30,445 
2  Federal National Mortgage Assn.  4.375%  10/15/15  17,755  19,361 
2  Federal National Mortgage Assn.  1.625%  10/26/15  18,450  17,931 
2  Federal National Mortgage Assn.  8.200%  3/10/16  50  63 
2  Federal National Mortgage Assn.  5.000%  3/15/16  5,850  6,546 
2  Federal National Mortgage Assn.  2.375%  4/11/16  16,000  15,939 
2  Federal National Mortgage Assn.  5.375%  7/15/16  20,580  23,410 
2  Federal National Mortgage Assn.  5.250%  9/15/16  45,925  51,961 
2  Federal National Mortgage Assn.  4.875%  12/15/16  21,775  24,218 
2  Federal National Mortgage Assn.  5.000%  2/13/17  79,525  88,852 
2  Federal National Mortgage Assn.  5.000%  5/11/17  112,201  125,458 
2  Federal National Mortgage Assn.  5.375%  6/12/17  3,750  4,267 
2  Federal National Mortgage Assn.  0.000%  10/9/19  3,695  2,489 
2  Federal National Mortgage Assn.  6.250%  5/15/29  1,250  1,505 
2  Federal National Mortgage Assn.  7.125%  1/15/30  24,980  32,881 

 

 

2  Federal National Mortgage Assn.  7.250%  5/15/30  46,901  62,570 
2  Federal National Mortgage Assn.  6.625%  11/15/30  6,795  8,537 
2  Federal National Mortgage Assn.  5.625%  7/15/37  11,590  12,910 
2  Financing Corp. Fico  9.800%  4/6/18  1,750  2,444 
2  Financing Corp. Fico  10.350%  8/3/18  4,900  7,084 
2  Financing Corp. Fico  9.650%  11/2/18  10,535  14,907 
2  Financing Corp. Fico  9.700%  4/5/19  1,575  2,237 
1  General Electric Capital Corp.  2.200%  6/8/12  43,320  44,175 
1  General Electric Capital Corp.  2.125%  12/21/12  19,250  19,675 
1  General Electric Capital Corp.  2.625%  12/28/12  13,150  13,554 
1  Goldman Sachs Group Inc.  3.250%  6/15/12  23,350  24,110 
  Israel Government AID Bond  5.500%  9/18/23  6,560  7,378 
  Israel Government AID Bond  5.500%  12/4/23  3,200  3,600 
  Israel Government AID Bond  5.500%  4/26/24  12,980  14,614 
1  JPMorgan Chase & Co.  2.200%  6/15/12  20,950  21,358 
1  JPMorgan Chase & Co.  2.125%  6/22/12  13,800  14,069 
1  JPMorgan Chase & Co.  2.125%  12/26/12  32,325  33,050 
1  Morgan Stanley  1.950%  6/20/12  26,250  26,704 
1  PNC Funding Corp.  2.300%  6/22/12  6,075  6,204 
  Private Export Funding Corp.  3.550%  4/15/13  2,275  2,379 
  Private Export Funding Corp.  3.050%  10/15/14  4,600  4,762 
  Private Export Funding Corp.  2.250%  12/15/17  4,600  4,320 
  Private Export Funding Corp.  4.375%  3/15/19  8,700  9,250 
  Private Export Funding Corp.  4.300%  12/15/21  3,675  3,758 
  Resolution Funding Corp.  8.125%  10/15/19  450  607 
  Resolution Funding Corp.  8.875%  7/15/20  180  255 
  Resolution Funding Corp.  8.625%  1/15/30  110  165 
  Small Business Administration Variable Rate         
  Interest Only Custodial Receipts (U.S.         
  Government Guaran  2.719%  7/15/17  4,449  222 
1  State Street Corp.  2.150%  4/30/12  11,150  11,342 
2  Tennessee Valley Authority  4.750%  8/1/13  4,000  4,329 
2  Tennessee Valley Authority  5.500%  7/18/17  17,100  19,517 
2  Tennessee Valley Authority  4.500%  4/1/18  6,325  6,834 
2  Tennessee Valley Authority  3.875%  2/15/21  9,400  9,428 
2  Tennessee Valley Authority  6.750%  11/1/25  1,985  2,479 
2  Tennessee Valley Authority  7.125%  5/1/30  27,025  35,371 
2  Tennessee Valley Authority  4.650%  6/15/35  15,169  14,711 
2  Tennessee Valley Authority  5.880%  4/1/36  9,850  11,259 
2  Tennessee Valley Authority  6.150%  1/15/38  135  160 
2  Tennessee Valley Authority  5.500%  6/15/38  2,550  2,769 
2  Tennessee Valley Authority  5.250%  9/15/39  9,068  9,490 
2  Tennessee Valley Authority  4.875%  1/15/48  6,825  6,633 
2  Tennessee Valley Authority  5.375%  4/1/56  6,250  6,617 
2  Tennessee Valley Authority  4.625%  9/15/60  4,225  3,890 
4  US Central Federal Credit Union  1.900%  10/19/12  9,275  9,425 
1  Wells Fargo & Co.  2.125%  6/15/12  16,725  17,046 
4  Western Corporate Federal Credit Union  1.750%  11/2/12  4,675  4,739 
          5,554,134 
Conventional Mortgage-Backed Securities (27.3%)         
2,3 Fannie Mae Pool  3.500%  8/1/25–4/1/41  660,042  651,033 
2,3 Fannie Mae Pool  4.000%  4/1/11–4/1/41  1,768,691  1,773,602 
2,3 Fannie Mae Pool  4.500%  7/1/11–4/1/41  1,742,578  1,798,631 
2,3 Fannie Mae Pool  5.000%  1/1/12–4/1/41  2,066,396  2,181,629 
2,3 Fannie Mae Pool  5.500%  2/1/14–4/1/41  2,047,950  2,206,873 
2,3 Fannie Mae Pool  6.000%  5/1/11–4/1/41  1,480,683  1,622,744 
2,3 Fannie Mae Pool  6.500%  5/1/11–4/1/41  472,805  534,012 

 

 

2,3 Fannie Mae Pool  7.000%  5/1/11–11/1/38  138,805  158,160 
2,3 Fannie Mae Pool  7.500%  5/1/11–12/1/32  8,897  10,267 
2,3 Fannie Mae Pool  8.000%  12/1/11–9/1/31  2,734  3,173 
2,3 Fannie Mae Pool  8.500%  9/1/15–5/1/32  1,100  1,274 
2,3 Fannie Mae Pool  9.000%  2/1/17–8/1/30  265  309 
2,3 Fannie Mae Pool  9.500%  8/1/16–11/1/25  348  405 
2,3 Fannie Mae Pool  10.000%  10/1/14–11/1/19  52  59 
2,3 Fannie Mae Pool  10.500%  8/1/20  2  2 
2,3 Fannie Mae Pool  11.000%  9/1/19  3  3 
2,3 Freddie Mac Gold Pool  3.500%  6/1/19–4/1/41  356,550  353,372 
2,3 Freddie Mac Gold Pool  4.000%  7/1/11–4/1/41  1,161,940  1,166,183 
2,3 Freddie Mac Gold Pool  4.500%  5/1/11–4/1/41  1,314,356  1,352,592 
2,3 Freddie Mac Gold Pool  5.000%  4/1/11–4/1/41  1,418,769  1,492,403 
2,3 Freddie Mac Gold Pool  5.500%  4/1/11–4/1/41  1,433,432  1,537,573 
2,3 Freddie Mac Gold Pool  6.000%  4/1/11–4/1/41  918,100  1,002,626 
2,3 Freddie Mac Gold Pool  6.500%  4/1/11–4/1/41  275,868  310,851 
2,3 Freddie Mac Gold Pool  7.000%  4/1/11–12/1/38  60,142  68,975 
2,3 Freddie Mac Gold Pool  7.500%  5/1/11–2/1/32  5,607  6,401 
2,3 Freddie Mac Gold Pool  8.000%  6/1/11–1/1/32  4,782  5,526 
2,3 Freddie Mac Gold Pool  8.500%  3/1/21–7/1/31  907  1,056 
2,3 Freddie Mac Gold Pool  9.000%  7/1/20–3/1/31  629  733 
2,3 Freddie Mac Gold Pool  9.500%  4/1/16–6/1/25  125  144 
2,3 Freddie Mac Gold Pool  10.000%  10/1/16–4/1/25  22  24 
2,3 Freddie Mac Non Gold Pool  8.000%  2/1/17–6/1/17  19  21 
2,3 Freddie Mac Non Gold Pool  8.500%  6/1/18  35  40 
2,3 Freddie Mac Non Gold Pool  9.000%  7/1/16  1  1 
2,3 Freddie Mac Non Gold Pool  9.500%  10/1/18–3/1/20  4  4 
3  Ginnie Mae I Pool  3.500%  12/15/40–4/1/41  42,325  40,305 
3  Ginnie Mae I Pool  4.000%  8/15/18–4/1/41  375,435  375,274 
3  Ginnie Mae I Pool  4.500%  6/15/18–5/1/41  856,082  883,913 
3  Ginnie Mae I Pool  4.750%  8/15/33  30  32 
3  Ginnie Mae I Pool  5.000%  1/15/17–4/1/41  757,739  807,033 
3  Ginnie Mae I Pool  5.500%  3/15/15–8/1/40  457,478  498,401 
3  Ginnie Mae I Pool  6.000%  5/15/11–4/1/41  335,708  371,305 
3  Ginnie Mae I Pool  6.500%  3/15/12–1/15/39  99,904  113,724 
3  Ginnie Mae I Pool  7.000%  5/15/11–9/15/36  16,293  18,804 
3  Ginnie Mae I Pool  7.250%  9/15/25  43  49 
3  Ginnie Mae I Pool  7.500%  8/15/11–6/15/32  6,505  7,545 
3  Ginnie Mae I Pool  7.750%  2/15/30  3  4 
3  Ginnie Mae I Pool  8.000%  8/15/16–12/15/30  4,644  5,329 
3  Ginnie Mae I Pool  8.250%  6/15/27  4  5 
3  Ginnie Mae I Pool  8.500%  1/15/17–3/15/31  931  1,080 
3  Ginnie Mae I Pool  9.000%  5/15/16–2/15/31  1,754  2,032 
3  Ginnie Mae I Pool  9.500%  5/15/16–9/15/25  440  512 
3  Ginnie Mae I Pool  10.000%  2/15/18–2/15/25  171  198 
3  Ginnie Mae I Pool  10.500%  7/15/15–4/15/25  119  138 
3  Ginnie Mae I Pool  11.000%  9/15/15–11/15/15  12  14 
3  Ginnie Mae I Pool  11.500%  3/15/13–4/15/16  14  15 
3  Ginnie Mae II Pool  3.500%  5/20/34–5/20/34  24  23 
3  Ginnie Mae II Pool  4.000%  12/20/40–4/1/41  311,876  311,927 
3  Ginnie Mae II Pool  4.500%  4/20/18–4/1/41  758,816  782,439 
3  Ginnie Mae II Pool  5.000%  12/20/32–4/1/41  696,323  739,130 
3  Ginnie Mae II Pool  5.500%  8/20/23–4/1/41  293,450  318,247 
3  Ginnie Mae II Pool  6.000%  7/20/23–7/20/39  188,374  207,924 
3  Ginnie Mae II Pool  6.500%  12/20/23–7/20/39  60,284  68,171 
3  Ginnie Mae II Pool  7.000%  3/20/28–8/20/38  3,544  4,074 
3  Ginnie Mae II Pool  7.500%  8/20/30  10  12 

 

 

3 Ginnie Mae II Pool  8.500%  10/20/30  21  24 
        23,798,384 
Nonconventional Mortgage-Backed Securities (1.1%)         
2,3 Fannie Mae Pool  2.085%  1/1/36  2,996  3,113 
2,3 Fannie Mae Pool  2.323%  11/1/35  8,737  9,160 
2,3 Fannie Mae Pool  2.371%  12/1/35  26  27 
2,3 Fannie Mae Pool  2.416%  12/1/35  10,942  11,523 
2,3 Fannie Mae Pool  2.447%  10/1/34  4,492  4,649 
2,3 Fannie Mae Pool  2.458%  11/1/34  4,229  4,409 
2,3 Fannie Mae Pool  2.478%  2/1/36  4,285  4,375 
2,3 Fannie Mae Pool  2.503%  2/1/36  2,453  2,494 
2,3 Fannie Mae Pool  2.525%  11/1/32  27  28 
2,3 Fannie Mae Pool  2.538%  9/1/33  20  21 
2,3 Fannie Mae Pool  2.559%  12/1/35  14,251  14,867 
2,3 Fannie Mae Pool  2.562%  1/1/35  3,396  3,562 
2,3 Fannie Mae Pool  2.575%  12/1/40  10,808  10,904 
2,3 Fannie Mae Pool  2.582%  10/1/40  16,493  16,642 
2,3 Fannie Mae Pool  2.587%  5/1/35  2,745  2,882 
2,3 Fannie Mae Pool  2.640%  9/1/34  1,823  1,913 
2,3 Fannie Mae Pool  2.657%  10/1/34  36  37 
2,3 Fannie Mae Pool  2.685%  11/1/33  3,323  3,474 
2,3 Fannie Mae Pool  2.769%  4/1/36  6,324  6,623 
2,3 Fannie Mae Pool  2.875%  3/1/41  13,525  13,727 
2,3 Fannie Mae Pool  2.962%  12/1/40  8,344  8,354 
2,3 Fannie Mae Pool  3.060%  9/1/33  49  52 
2,3 Fannie Mae Pool  3.070%  9/1/35  3,613  3,779 
2,3 Fannie Mae Pool  3.100%  12/1/40  11,806  12,058 
2,3 Fannie Mae Pool  3.153%  2/1/41  10,965  11,032 
2,3 Fannie Mae Pool  3.197%  8/1/40  15,567  15,961 
2,3 Fannie Mae Pool  3.202%  12/1/40  12,290  12,581 
2,3 Fannie Mae Pool  3.223%  9/1/40  16,632  17,063 
2,3 Fannie Mae Pool  3.258%  11/1/40  8,648  8,873 
2,3 Fannie Mae Pool  3.259%  10/1/40  21,427  21,983 
2,3 Fannie Mae Pool  3.292%  1/1/40  10,225  10,526 
2,3 Fannie Mae Pool  3.344%  10/1/35  11,001  11,560 
2,3 Fannie Mae Pool  3.391%  5/1/40  7,430  7,660 
2,3 Fannie Mae Pool  3.530%  3/1/40  21,179  21,894 
2,3 Fannie Mae Pool  3.542%  8/1/35  9,570  9,797 
2,3 Fannie Mae Pool  3.912%  10/1/36  2,537  2,667 
2,3 Fannie Mae Pool  4.066%  7/1/35  3,632  3,785 
2,3 Fannie Mae Pool  4.269%  12/1/35  7,895  8,461 
2,3 Fannie Mae Pool  4.541%  11/1/34  9,695  10,196 
2,3 Fannie Mae Pool  4.614%  8/1/35  6,314  6,643 
2,3 Fannie Mae Pool  4.627%  9/1/34  2,133  2,306 
2,3 Fannie Mae Pool  4.782%  5/1/33  13  14 
2,3 Fannie Mae Pool  4.797%  6/1/34  4,570  4,798 
2,3 Fannie Mae Pool  4.845%  8/1/37  12,570  13,296 
2,3 Fannie Mae Pool  4.936%  7/1/38  3,601  3,818 
2,3 Fannie Mae Pool  4.945%  11/1/34  1,801  1,876 
2,3 Fannie Mae Pool  4.987%  1/1/35  25  27 
2,3 Fannie Mae Pool  4.999%  11/1/33  1,705  1,805 
2,3 Fannie Mae Pool  5.032%  12/1/33  2,638  2,792 
2,3 Fannie Mae Pool  5.072%  3/1/37  7,090  7,454 
2,3 Fannie Mae Pool  5.114%  8/1/38  395  426 
2,3 Fannie Mae Pool  5.123%  3/1/38  5,454  5,804 
2,3 Fannie Mae Pool  5.202%  6/1/35  101  107 
2,3 Fannie Mae Pool  5.266%  7/1/38  831  898 

 

 

2,3 Fannie Mae Pool  5.269%  11/1/35  21  22 
2,3 Fannie Mae Pool  5.344%  12/1/35  4,302  4,599 
2,3 Fannie Mae Pool  5.381%  7/1/36  5,040  5,396 
2,3 Fannie Mae Pool  5.438%  1/1/37  4,101  4,338 
2,3 Fannie Mae Pool  5.548%  4/1/37  871  928 
2,3 Fannie Mae Pool  5.561%  2/1/37  6,594  6,917 
2,3 Fannie Mae Pool  5.564%  9/1/36  3,522  3,649 
2,3 Fannie Mae Pool  5.587%  5/1/36  3,040  3,254 
2,3 Fannie Mae Pool  5.632%  3/1/37  3,994  4,195 
2,3 Fannie Mae Pool  5.633%  6/1/37  3,635  3,935 
2,3 Fannie Mae Pool  5.651%  3/1/37  3,799  3,995 
2,3 Fannie Mae Pool  5.668%  3/1/37  9,728  10,321 
2,3 Fannie Mae Pool  5.677%  2/1/37  4,182  4,496 
2,3 Fannie Mae Pool  5.706%  12/1/37  8,587  9,186 
2,3 Fannie Mae Pool  5.721%  4/1/37  5,327  5,698 
2,3 Fannie Mae Pool  5.725%  4/1/37  4,218  4,472 
2,3 Fannie Mae Pool  5.828%  9/1/36  5,377  5,587 
2,3 Fannie Mae Pool  5.887%  8/1/37  6,790  7,231 
2,3 Fannie Mae Pool  5.911%  1/1/37  656  701 
2,3 Fannie Mae Pool  5.915%  10/1/37  6,935  7,411 
2,3 Fannie Mae Pool  5.918%  6/1/36  882  941 
2,3 Fannie Mae Pool  5.928%  2/1/37  9  10 
2,3 Fannie Mae Pool  5.933%  11/1/36  4,620  4,939 
2,3 Fannie Mae Pool  5.937%  4/1/36  4,371  4,667 
2,3 Fannie Mae Pool  5.973%  11/1/36  82  88 
2,3 Fannie Mae Pool  5.987%  12/1/36  59  62 
2,3 Fannie Mae Pool  6.320%  9/1/37  4,393  4,692 
2,3 Freddie Mac Non Gold Pool  2.477%  1/1/35  468  489 
2,3 Freddie Mac Non Gold Pool  2.489%  12/1/34  8,525  8,840 
2,3 Freddie Mac Non Gold Pool  2.506%  12/1/34  49  51 
2,3 Freddie Mac Non Gold Pool  2.583%  12/1/34  3,638  3,754 
2,3 Freddie Mac Non Gold Pool  2.625%  4/1/33  27  29 
2,3 Freddie Mac Non Gold Pool  2.630%  4/1/35  382  405 
2,3 Freddie Mac Non Gold Pool  2.652%  9/1/34  5,072  5,300 
2,3 Freddie Mac Non Gold Pool  2.658%  12/1/40  13,445  13,588 
2,3 Freddie Mac Non Gold Pool  2.699%  12/1/40  20,034  20,268 
2,3 Freddie Mac Non Gold Pool  2.764%  5/1/33  135  144 
2,3 Freddie Mac Non Gold Pool  2.770%  3/1/36  8,044  8,401 
2,3 Freddie Mac Non Gold Pool  2.789%  11/1/40  16,428  16,660 
2,3 Freddie Mac Non Gold Pool  2.819%  1/1/41  13,403  13,353 
2,3 Freddie Mac Non Gold Pool  2.885%  3/1/36  29  31 
2,3 Freddie Mac Non Gold Pool  2.990%  2/1/41  19,500  19,860 
2,3 Freddie Mac Non Gold Pool  3.016%  6/1/37  3,653  3,855 
2,3 Freddie Mac Non Gold Pool  3.084%  3/1/41  10,016  10,224 
2,3 Freddie Mac Non Gold Pool  3.154%  11/1/40  11,851  12,119 
2,3 Freddie Mac Non Gold Pool  3.294%  6/1/40  12,260  12,599 
2,3 Freddie Mac Non Gold Pool  3.333%  4/1/40  12,266  12,627 
2,3 Freddie Mac Non Gold Pool  3.373%  5/1/40  6,409  6,601 
2,3 Freddie Mac Non Gold Pool  3.433%  5/1/40  6,102  6,290 
2,3 Freddie Mac Non Gold Pool  3.561%  6/1/40  11,879  12,282 
2,3 Freddie Mac Non Gold Pool  3.598%  6/1/40  19,233  19,738 
2,3 Freddie Mac Non Gold Pool  3.631%  1/1/40  10,746  11,139 
2,3 Freddie Mac Non Gold Pool  4.158%  1/1/37  3,925  4,125 
2,3 Freddie Mac Non Gold Pool  4.594%  7/1/35  3,951  4,224 
2,3 Freddie Mac Non Gold Pool  4.610%  11/1/34  4,867  5,148 
2,3 Freddie Mac Non Gold Pool  4.682%  6/1/34  38  40 
2,3 Freddie Mac Non Gold Pool  5.010%  6/1/35  14  15 
2,3 Freddie Mac Non Gold Pool  5.025%  12/1/34  59  63 

 

 

2,3 Freddie Mac Non Gold Pool  5.025%  5/1/35  6,307  6,794 
2,3 Freddie Mac Non Gold Pool  5.078%  7/1/38  7,858  8,352 
2,3 Freddie Mac Non Gold Pool  5.165%  8/1/34  18  19 
2,3 Freddie Mac Non Gold Pool  5.205%  11/1/33  18  20 
2,3 Freddie Mac Non Gold Pool  5.258%  3/1/38  10,447  11,130 
2,3 Freddie Mac Non Gold Pool  5.331%  12/1/35  4,644  4,908 
2,3 Freddie Mac Non Gold Pool  5.414%  4/1/37  8,972  9,470 
2,3 Freddie Mac Non Gold Pool  5.422%  3/1/37  5,014  5,296 
2,3 Freddie Mac Non Gold Pool  5.513%  2/1/36  5,174  5,561 
2,3 Freddie Mac Non Gold Pool  5.542%  4/1/37  6,454  6,967 
2,3 Freddie Mac Non Gold Pool  5.571%  4/1/37  8,655  9,108 
2,3 Freddie Mac Non Gold Pool  5.639%  12/1/36  5,917  6,182 
2,3 Freddie Mac Non Gold Pool  5.662%  3/1/37  9,069  9,579 
2,3 Freddie Mac Non Gold Pool  5.665%  4/1/37  96  103 
2,3 Freddie Mac Non Gold Pool  5.700%  3/1/37  960  1,031 
2,3 Freddie Mac Non Gold Pool  5.710%  9/1/36  16,714  17,841 
2,3 Freddie Mac Non Gold Pool  5.713%  6/1/37  8,680  9,197 
2,3 Freddie Mac Non Gold Pool  5.718%  11/1/36  2,767  2,961 
2,3 Freddie Mac Non Gold Pool  5.771%  5/1/36  7,064  7,651 
2,3 Freddie Mac Non Gold Pool  5.774%  5/1/37  243  257 
2,3 Freddie Mac Non Gold Pool  5.794%  8/1/37  183  197 
2,3 Freddie Mac Non Gold Pool  5.803%  3/1/37  3,390  3,619 
2,3 Freddie Mac Non Gold Pool  5.822%  6/1/37  8,923  9,541 
2,3 Freddie Mac Non Gold Pool  5.824%  10/1/37  7,235  7,672 
2,3 Freddie Mac Non Gold Pool  5.849%  8/1/37  7,480  7,938 
2,3 Freddie Mac Non Gold Pool  5.857%  5/1/37  9,706  10,376 
2,3 Freddie Mac Non Gold Pool  5.870%  12/1/36  3,099  3,311 
2,3 Freddie Mac Non Gold Pool  5.910%  1/1/37  2,796  2,986 
2,3 Freddie Mac Non Gold Pool  5.997%  10/1/37  1,329  1,421 
2,3 Freddie Mac Non Gold Pool  6.023%  6/1/36  13  13 
2,3 Freddie Mac Non Gold Pool  6.035%  8/1/37  2,700  2,888 
2,3 Freddie Mac Non Gold Pool  6.038%  3/1/37  246  259 
2,3 Freddie Mac Non Gold Pool  6.072%  3/1/37  882  939 
2,3 Freddie Mac Non Gold Pool  6.108%  12/1/36  6,528  6,996 
2,3 Freddie Mac Non Gold Pool  6.185%  6/1/37  4,569  4,910 
2,3 Freddie Mac Non Gold Pool  6.405%  2/1/37  2,762  2,977 
3  Ginnie Mae I Pool  7.900%  2/15/21  4  5 
3  Ginnie Mae II Pool  2.500%  1/20/41  11,934  11,847 
3  Ginnie Mae II Pool  2.500%  2/20/41  22,848  22,681 
3  Ginnie Mae II Pool  3.375%  6/20/29  241  248 
3  Ginnie Mae II Pool  3.500%  1/20/41  11,239  11,589 
3  Ginnie Mae II Pool  4.500%  10/20/39  2,239  2,352 
3  Ginnie Mae II Pool  5.000%  10/20/38  2,405  2,582 
          948,542 
Total U.S. Government and Agency Obligations (Cost $59,899,501)      61,133,323 
Asset-Backed/Commercial Mortgage-Backed Securities (3.2%)       
5  BA Covered Bond Issuer  5.500%  6/14/12  17,750  18,538 
  Banc of America Commercial Mortgage Inc.  5.787%  5/11/35  6,769  6,808 
3  Banc of America Commercial Mortgage Inc.  3.878%  9/11/36  232  234 
3  Banc of America Commercial Mortgage Inc.  4.050%  11/10/38  1,104  1,114 
3  Banc of America Commercial Mortgage Inc.  4.153%  11/10/38  4,250  4,453 
3,6 Banc of America Commercial Mortgage Inc.  5.450%  6/10/39  13,050  13,955 
3  Banc of America Commercial Mortgage Inc.  4.877%  7/10/42  18,730  19,898 
3,6 Banc of America Commercial Mortgage Inc.  5.071%  11/10/42  4,335  4,531 
3  Banc of America Commercial Mortgage Inc.  4.727%  7/10/43  4,695  4,765 
3  Banc of America Commercial Mortgage Inc.  5.118%  7/11/43  14,555  14,875 
3,6 Banc of America Commercial Mortgage Inc.  5.776%  5/10/45  3,290  3,280 

 

 

3  Banc of America Commercial Mortgage Inc.  5.372%  9/10/45  19,690  21,129 
3,6 Banc of America Commercial Mortgage Inc.  5.421%  9/10/45  185  184 
3  Banc of America Commercial Mortgage Inc.  5.115%  10/10/45  16,101  17,268 
3,6 Banc of America Commercial Mortgage Inc.  5.120%  10/10/45  875  892 
3,6 Banc of America Commercial Mortgage Inc.  5.176%  10/10/45  432  449 
3  Banc of America Commercial Mortgage Inc.  5.634%  7/10/46  22,300  24,005 
3,6 Banc of America Commercial Mortgage Inc.  5.695%  7/10/46  2,850  2,780 
3,6 Banc of America Commercial Mortgage Inc.  5.196%  9/10/47  3,204  3,350 
3,6 Banc of America Commercial Mortgage Inc.  5.196%  9/10/47  3,520  3,509 
3  Banc of America Commercial Mortgage Inc.  5.414%  9/10/47  11,525  12,204 
3  Banc of America Commercial Mortgage Inc.  5.448%  9/10/47  2,175  2,133 
3,6 Banc of America Commercial Mortgage Inc.  5.523%  1/15/49  2,700  2,272 
3,6 Banc of America Commercial Mortgage Inc.  6.202%  2/10/51  21,200  23,231 
5  Banco Bilbao Vizcaya Argentaria SA  5.750%  7/20/17  2,200  2,266 
5  Bank of Scotland plc  5.250%  2/21/17  12,135  12,507 
3  Bear Stearns Commercial Mortgage         
  Securities  5.610%  11/15/33  9,298  9,402 
3  Bear Stearns Commercial Mortgage         
  Securities  6.460%  10/15/36  87  89 
3  Bear Stearns Commercial Mortgage         
  Securities  5.519%  4/12/38  20,977  22,597 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.520%  4/12/38  248  248 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.520%  4/12/38  4,525  4,664 
3  Bear Stearns Commercial Mortgage         
  Securities  4.830%  8/15/38  25,125  25,945 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.762%  9/11/38  5,500  5,544 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.762%  9/11/38  2,650  2,601 
3  Bear Stearns Commercial Mortgage         
  Securities  5.454%  3/11/39  24,500  26,343 
3  Bear Stearns Commercial Mortgage         
  Securities  4.680%  8/13/39  17,300  18,126 
3  Bear Stearns Commercial Mortgage         
  Securities  4.740%  3/13/40  13,900  14,513 
3  Bear Stearns Commercial Mortgage         
  Securities  5.665%  6/11/40  19,785  20,288 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.718%  6/11/40  2,650  2,173 
3  Bear Stearns Commercial Mortgage         
  Securities  5.405%  12/11/40  1,443  1,545 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.200%  1/12/41  830  886 
3  Bear Stearns Commercial Mortgage         
  Securities  4.750%  6/11/41  4,175  4,090 
3  Bear Stearns Commercial Mortgage         
  Securities  5.582%  9/11/41  3,445  3,418 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.568%  10/12/41  8,318  8,342 
3  Bear Stearns Commercial Mortgage         
  Securities  4.521%  11/11/41  6,255  6,365 
3  Bear Stearns Commercial Mortgage         
  Securities  4.825%  11/11/41  495  525 
3  Bear Stearns Commercial Mortgage         
  Securities  4.868%  11/11/41  2,300  2,308 

 

 

3  Bear Stearns Commercial Mortgage         
  Securities  4.933%  2/13/42  2,500  2,656 
3  Bear Stearns Commercial Mortgage         
  Securities  5.742%  9/11/42  15,900  17,126 
3  Bear Stearns Commercial Mortgage         
  Securities  5.793%  9/11/42  5,500  5,738 
3  Bear Stearns Commercial Mortgage         
  Securities  5.127%  10/12/42  8,593  8,677 
3  Bear Stearns Commercial Mortgage         
  Securities  5.149%  10/12/42  3,215  3,455 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.513%  1/12/45  6,280  6,423 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.566%  1/12/45  4,275  4,069 
3  Bear Stearns Commercial Mortgage         
  Securities  5.694%  6/11/50  21,900  23,437 
3,6 Bear Stearns Commercial Mortgage         
  Securities  5.915%  6/11/50  7,903  7,920 
3  Bear Stearns Commercial Mortgage         
  Securities  5.613%  6/13/50  9,925  10,293 
3  Bear Stearns Commercial Mortgage         
  Securities  5.700%  6/13/50  9,800  10,369 
3  Capital Auto Receivables Asset Trust  4.680%  10/15/12  6,204  6,316 
3  Capital One Multi-Asset Execution Trust  5.050%  12/17/18  36,645  40,336 
3  Capital One Multi-Asset Execution Trust  5.750%  7/15/20  9,800  11,139 
3  CDC Commercial Mortgage Trust  5.676%  11/15/30  8,773  8,869 
3  Chase Issuance Trust  4.650%  3/15/15  32,375  34,567 
3  Chase Issuance Trust  5.400%  7/15/15  10,025  10,933 
5  Cie de Financement Foncier  2.125%  4/22/13  7,500  7,550 
3  CIT Group Home Equity Loan Trust  6.200%  2/25/30  698  705 
3  Citibank Credit Card Issuance Trust  5.450%  5/10/13  4,085  4,105 
3  Citibank Credit Card Issuance Trust  4.900%  6/23/16  20,125  22,045 
3  Citibank Credit Card Issuance Trust  4.150%  7/7/17  3,425  3,644 
3  Citibank Credit Card Issuance Trust  5.650%  9/20/19  4,750  5,378 
3  Citibank Credit Card Issuance Trust  5.350%  2/7/20  900  1,001 
3  Citigroup Commercial Mortgage Trust  4.623%  10/15/41  3,475  3,552 
3  Citigroup Commercial Mortgage Trust  4.830%  5/15/43  1,015  1,045 
3,6 Citigroup Commercial Mortgage Trust  5.733%  3/15/49  12,600  13,642 
3  Citigroup Commercial Mortgage Trust  5.431%  10/15/49  180  193 
3  Citigroup Commercial Mortgage Trust  5.462%  10/15/49  3,375  3,317 
3  Citigroup Commercial Mortgage Trust  5.482%  10/15/49  2,025  1,968 
3,6 Citigroup Commercial Mortgage Trust  5.698%  12/10/49  5,175  5,163 
3,6 Citigroup Commercial Mortgage Trust  5.698%  12/10/49  17,045  18,087 
3,6 Citigroup Commercial Mortgage Trust  5.822%  12/10/49  7,310  7,324 
3,6 Citigroup Commercial Mortgage Trust  5.822%  12/10/49  17,377  18,986 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.222%  7/15/44  18,000  19,363 
3,6 Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.222%  7/15/44  7,000  7,312 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.886%  11/15/44  18,540  19,738 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.648%  10/15/48  9,225  9,045 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.688%  10/15/48  3,350  3,055 
3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.205%  12/11/49  21,000  21,407 

 

 

3  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.322%  12/11/49  9,050  9,334 
3,5 Commercial Mortgage Lease-Backed         
  Certificates  6.746%  6/20/31  8,130  8,951 
3  Commercial Mortgage Pass Through         
  Certificates  4.084%  6/10/38  8,200  8,463 
3  Commercial Mortgage Pass Through         
  Certificates  4.715%  3/10/39  19,825  20,848 
3  Commercial Mortgage Pass Through         
  Certificates  5.116%  6/10/44  22,303  23,789 
3  Commercial Mortgage Pass Through         
  Certificates  5.768%  6/10/46  18,030  19,633 
3,6 Commercial Mortgage Pass Through         
  Certificates  5.794%  6/10/46  4,025  4,055 
3  Commercial Mortgage Pass Through         
  Certificates  5.248%  12/10/46  3,599  3,679 
3,6 Commercial Mortgage Pass Through         
  Certificates  5.815%  12/10/49  19,073  20,733 
3,6 Countrywide Home Loan Mortgage Pass         
  Through Trust  2.915%  5/25/33  3,194  2,570 
3,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  4.750%  1/15/37  16,500  17,270 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  4.877%  4/15/37  925  931 
3,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.014%  2/15/38  13,900  14,739 
3,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.075%  2/15/38  3,375  3,381 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  3.936%  5/15/38  16,005  16,517 
3,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.100%  8/15/38  1,565  1,610 
3  Credit Suisse First Boston Mortgage         
  Securities Corp.  5.100%  8/15/38  15,775  16,850 
3,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.190%  8/15/38  3,400  3,349 
3,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.230%  12/15/40  3,290  3,212 
3  Credit Suisse Mortgage Capital Certificates  5.825%  6/15/38  1,147  1,156 
3  Credit Suisse Mortgage Capital Certificates  5.825%  6/15/38  18,008  19,477 
3,6 Credit Suisse Mortgage Capital Certificates  5.441%  2/15/39  7,675  7,735 
3  Credit Suisse Mortgage Capital Certificates  5.441%  2/15/39  17,450  18,674 
3,6 Credit Suisse Mortgage Capital Certificates  5.441%  2/15/39  3,350  3,142 
3,6 Credit Suisse Mortgage Capital Certificates  5.525%  6/15/39  20,185  20,958 
3  Credit Suisse Mortgage Capital Certificates  5.509%  9/15/39  1,725  1,675 
3  Credit Suisse Mortgage Capital Certificates  5.311%  12/15/39  15,000  15,643 
3  Credit Suisse Mortgage Capital Certificates  5.383%  2/15/40  6,421  6,527 
3,6 CW Capital Cobalt Ltd.  5.816%  5/15/46  11,775  12,389 
3,6 CW Capital Cobalt Ltd.  5.484%  4/15/47  2,375  2,455 
3  Daimler Chrysler Auto Trust  3.700%  6/8/12  236  236 
3  Discover Card Master Trust  5.100%  10/15/13  975  976 
3  Discover Card Master Trust  5.650%  12/15/15  23,300  25,500 
3  Discover Card Master Trust  5.650%  3/16/20  7,975  9,004 
  Federal Housing Administration  7.430%  10/1/20  3  3 
3,6 First Union Commercial Mortgage Trust  6.626%  10/15/35  4,858  5,058 
3  First Union National Bank Commercial         
  Mortgage  6.223%  12/12/33  8,246  8,374 
3  Ford Credit Auto Owner Trust  4.370%  10/15/12  15,775  16,066 

 

 

3  Ford Credit Auto Owner Trust  2.420%  11/15/14  4,625  4,725 
3  Ford Credit Auto Owner Trust  2.150%  6/15/15  16,950  17,228 
3  GE Capital Commercial Mortgage Corp.  6.531%  5/15/33  390  390 
3  GE Capital Commercial Mortgage Corp.  6.290%  8/11/33  1,571  1,580 
3  GE Capital Commercial Mortgage Corp.  6.269%  12/10/35  11,199  11,559 
3  GE Capital Commercial Mortgage Corp.  5.145%  7/10/37  4,605  4,870 
3  GE Capital Commercial Mortgage Corp.  4.996%  12/10/37  17,395  18,143 
3,6 GE Capital Commercial Mortgage Corp.  5.174%  3/10/44  22,040  23,699 
3,6 GE Capital Commercial Mortgage Corp.  5.174%  3/10/44  6,675  6,881 
3  GE Capital Commercial Mortgage Corp.  4.974%  7/10/45  1,425  1,515 
3,6 GE Capital Commercial Mortgage Corp.  5.314%  11/10/45  7,048  7,297 
3  GMAC Commercial Mortgage Securities Inc.  6.700%  4/15/34  4,155  4,168 
3  GMAC Commercial Mortgage Securities Inc.  4.079%  5/10/36  3,000  3,108 
3  GMAC Commercial Mortgage Securities Inc.  4.908%  3/10/38  2,625  2,777 
3  GMAC Commercial Mortgage Securities Inc.  4.646%  4/10/40  746  764 
3,6 GMAC Commercial Mortgage Securities Inc.  5.472%  5/10/40  1,695  1,808 
3  GMAC Commercial Mortgage Securities Inc.  4.864%  12/10/41  3,775  3,953 
3  GMAC Commercial Mortgage Securities Inc.  4.754%  5/10/43  1,650  1,692 
3  Greenwich Capital Commercial Funding Corp.  4.948%  1/11/35  6,925  7,220 
3  Greenwich Capital Commercial Funding Corp.  4.533%  1/5/36  1,478  1,519 
3  Greenwich Capital Commercial Funding Corp.  4.915%  1/5/36  11,875  12,486 
3  Greenwich Capital Commercial Funding Corp.  5.317%  6/10/36  14,450  15,356 
3  Greenwich Capital Commercial Funding Corp.  5.117%  4/10/37  4,651  4,684 
3  Greenwich Capital Commercial Funding Corp.  5.224%  4/10/37  15,797  16,782 
3,6 Greenwich Capital Commercial Funding Corp.  5.277%  4/10/37  5,315  5,308 
3  Greenwich Capital Commercial Funding Corp.  5.889%  7/10/38  1,500  1,638 
3,6 Greenwich Capital Commercial Funding Corp.  5.890%  7/10/38  4,275  4,403 
3  Greenwich Capital Commercial Funding Corp.  5.475%  3/10/39  1,625  1,581 
3  Greenwich Capital Commercial Funding Corp.  4.799%  8/10/42  20,190  21,189 
3,6 Greenwich Capital Commercial Funding Corp.  4.859%  8/10/42  2,000  1,984 
3  GS Mortgage Securities Corp. II  5.506%  4/10/38  8,949  9,007 
3,6 GS Mortgage Securities Corp. II  5.553%  4/10/38  12,625  13,534 
3,6 GS Mortgage Securities Corp. II  5.622%  4/10/38  4,750  4,699 
3  GS Mortgage Securities Corp. II  5.396%  8/10/38  14,610  15,712 
3  GS Mortgage Securities Corp. II  4.608%  1/10/40  15,675  16,430 
3  Harley-Davidson Motorcycle Trust  5.210%  6/17/13  1,116  1,130 
3  Honda Auto Receivables Owner Trust  4.880%  9/18/14  7,046  7,157 
3  Honda Auto Receivables Owner Trust  1.800%  4/17/17  3,225  3,221 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.050%  12/12/34  9,525  9,943 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.654%  1/12/37  3,250  3,352 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.985%  1/12/37  11,725  12,245 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.255%  7/12/37  1,365  1,452 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.376%  7/12/37  10,090  10,450 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.350%  8/12/37  2,000  2,034 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.824%  9/12/37  5,125  5,174 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.879%  1/12/38  23,400  24,725 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.404%  1/12/39  11,465  11,967 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.365%  6/12/41  18,175  19,556 

 

 

3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.697%  7/15/42  1,644  1,682 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.780%  7/15/42  2,960  3,033 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.321%  1/12/43  185  187 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.475%  4/15/43  3,302  3,522 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.441%  12/12/44  3,300  3,294 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.490%  12/12/44  1,350  1,150 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.244%  12/15/44  4,250  4,455 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.323%  12/15/44  1,375  1,370 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.863%  4/15/45  1,750  1,808 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.863%  4/15/45  3,310  3,084 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.863%  4/15/45  15,525  16,978 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.593%  5/12/45  6,740  6,782 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.623%  5/12/45  2,025  1,862 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.440%  5/15/45  4,315  4,288 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.447%  5/15/45  8,000  8,363 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.440%  6/12/47  10,230  10,735 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.802%  6/15/49  10,025  10,365 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.817%  6/15/49  6,150  6,524 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.794%  2/12/51  27,885  29,582 
3  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.855%  2/12/51  8,481  8,700 
3,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.882%  2/15/51  12,270  12,874 
3  LB-UBS Commercial Mortgage Trust  5.386%  6/15/26  1,243  1,253 
3  LB-UBS Commercial Mortgage Trust  4.786%  10/15/29  17,575  18,545 
3  LB-UBS Commercial Mortgage Trust  4.742%  2/15/30  8,040  8,464 
3  LB-UBS Commercial Mortgage Trust  4.553%  7/15/30  578  579 
3  LB-UBS Commercial Mortgage Trust  5.197%  11/15/30  17,600  18,877 
3  LB-UBS Commercial Mortgage Trust  6.133%  12/15/30  6,390  6,491 
3  LB-UBS Commercial Mortgage Trust  5.217%  2/15/31  2,535  2,540 
3  LB-UBS Commercial Mortgage Trust  4.853%  9/15/31  23,075  23,989 
3  LB-UBS Commercial Mortgage Trust  4.960%  12/15/31  4,625  4,847 
3  LB-UBS Commercial Mortgage Trust  4.166%  5/15/32  24,280  25,253 
3,6 LB-UBS Commercial Mortgage Trust  5.124%  11/15/32  7,550  8,014 
3  LB-UBS Commercial Mortgage Trust  4.931%  9/15/35  21,100  22,190 
3,6 LB-UBS Commercial Mortgage Trust  5.661%  3/15/39  27,350  29,502 
3  LB-UBS Commercial Mortgage Trust  5.372%  9/15/39  3,000  3,198 
3  LB-UBS Commercial Mortgage Trust  5.413%  9/15/39  1,175  1,167 
3  LB-UBS Commercial Mortgage Trust  5.424%  2/15/40  3,550  3,761 

 

 

3  LB-UBS Commercial Mortgage Trust  5.430%  2/15/40  10,900  11,496 
3  LB-UBS Commercial Mortgage Trust  5.455%  2/15/40  4,775  4,720 
3,6 LB-UBS Commercial Mortgage Trust  5.493%  2/15/40  3,557  3,377 
3,6 LB-UBS Commercial Mortgage Trust  5.057%  9/15/40  1,625  1,617 
3,6 LB-UBS Commercial Mortgage Trust  5.276%  2/15/41  3,375  3,377 
3,6 LB-UBS Commercial Mortgage Trust  6.092%  4/15/41  4,855  4,857 
3,6 LB-UBS Commercial Mortgage Trust  6.092%  4/15/41  22,025  24,234 
3  LB-UBS Commercial Mortgage Trust  5.866%  9/15/45  17,600  18,828 
3  Merrill Lynch Mortgage Trust  5.236%  11/12/35  9,020  9,466 
3  Merrill Lynch Mortgage Trust  5.107%  7/12/38  965  998 
3,6 Merrill Lynch Mortgage Trust  5.669%  5/12/39  1,825  1,860 
3  Merrill Lynch Mortgage Trust  5.669%  5/12/39  11,950  12,971 
3  Merrill Lynch Mortgage Trust  5.782%  8/12/43  4,705  4,719 
3,6 Merrill Lynch Mortgage Trust  5.802%  8/12/43  3,325  3,190 
3,6 Merrill Lynch Mortgage Trust  5.291%  1/12/44  20,875  22,525 
3,6 Merrill Lynch Mortgage Trust  5.828%  6/12/50  3,260  3,126 
3,6 Merrill Lynch Mortgage Trust  5.828%  6/12/50  22,018  23,500 
3  Merrill Lynch Mortgage Trust  5.425%  2/12/51  3,475  3,583 
3  Merrill Lynch Mortgage Trust  5.690%  2/12/51  17,040  18,034 
3,6 Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.531%  2/12/39  650  639 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.908%  6/12/46  21,125  22,921 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.456%  7/12/46  3,660  3,596 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.378%  8/12/48  14,870  15,333 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.590%  9/12/49  9,700  9,928 
3  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.700%  9/12/49  14,175  14,736 
3  Morgan Stanley Capital I  4.970%  4/14/40  5,120  5,382 
3,6 Morgan Stanley Capital I  5.110%  6/15/40  16,850  17,995 
3  Morgan Stanley Capital I  5.030%  6/13/41  1,897  1,947 
3  Morgan Stanley Capital I  5.270%  6/13/41  4,525  4,832 
3,6 Morgan Stanley Capital I  5.806%  8/12/41  2,175  2,242 
3  Morgan Stanley Capital I  5.328%  11/12/41  6,460  6,804 
3  Morgan Stanley Capital I  5.360%  11/12/41  7,400  7,347 
3  Morgan Stanley Capital I  4.780%  12/13/41  1,900  2,009 
3,6 Morgan Stanley Capital I  4.840%  12/13/41  1,350  1,355 
3  Morgan Stanley Capital I  4.970%  12/15/41  10,300  10,861 
3  Morgan Stanley Capital I  5.168%  1/14/42  3,950  4,203 
3,6 Morgan Stanley Capital I  5.646%  6/11/42  19,150  20,886 
3,6 Morgan Stanley Capital I  5.646%  6/11/42  1,375  1,343 
3  Morgan Stanley Capital I  4.989%  8/13/42  24,800  26,290 
3,6 Morgan Stanley Capital I  5.073%  8/13/42  3,730  3,625 
3  Morgan Stanley Capital I  5.230%  9/15/42  20,925  22,480 
3  Morgan Stanley Capital I  5.726%  10/15/42  8,175  8,916 
3,6 Morgan Stanley Capital I  5.730%  10/15/42  700  727 
3,6 Morgan Stanley Capital I  5.730%  10/15/42  4,325  4,286 
3,6 Morgan Stanley Capital I  5.203%  11/14/42  14,450  15,559 
3  Morgan Stanley Capital I  6.280%  1/11/43  18,825  20,879 
3  Morgan Stanley Capital I  5.332%  12/15/43  8,580  9,016 
3,6 Morgan Stanley Capital I  5.402%  3/12/44  20,466  22,016 
3,6 Morgan Stanley Capital I  5.773%  7/12/44  4,396  4,506 
3,6 Morgan Stanley Capital I  5.793%  7/12/44  4,100  4,076 
3  Morgan Stanley Capital I  4.660%  9/13/45  3,345  3,545 
3,6 Morgan Stanley Capital I  5.654%  4/15/49  1,850  1,921 

 

 

3,6 Morgan Stanley Capital I  5.684%  4/15/49  4,775  4,404 
3,6 Morgan Stanley Capital I  5.692%  4/15/49  14,700  15,400 
3,6 Morgan Stanley Capital I  5.544%  11/12/49  4,525  4,439 
3  Morgan Stanley Capital I  5.809%  12/12/49  11,345  12,213 
3,6 Morgan Stanley Capital I  6.110%  12/12/49  4,675  4,747 
3  Morgan Stanley Capital I  5.090%  10/12/52  3,150  3,147 
3,6 Morgan Stanley Capital I  5.204%  10/12/52  5,410  5,457 
3  Morgan Stanley Capital I  4.770%  7/15/56  3,295  3,265 
3  Morgan Stanley Dean Witter Capital I  6.390%  7/15/33  2,131  2,144 
3  Morgan Stanley Dean Witter Capital I  4.920%  3/12/35  26,350  27,547 
3  Morgan Stanley Dean Witter Capital I  6.390%  10/15/35  9,000  9,152 
3  Morgan Stanley Dean Witter Capital I  4.740%  11/13/36  26,250  27,373 
3  Morgan Stanley Dean Witter Capital I  5.980%  1/15/39  1,676  1,742 
5  Nationwide Building Society  5.500%  7/18/12  23,525  24,709 
3  Nissan Auto Receivables Owner Trust  4.460%  4/16/12  97  97 
3  Nissan Auto Receivables Owner Trust  5.050%  11/17/14  6,600  6,831 
5  Northern Rock Asset Management plc  5.625%  6/22/17  40,225  40,570 
3  PG&E Energy Recovery Funding LLC  5.030%  3/25/14  3,609  3,698 
3  PSE&G Transition Funding LLC  6.890%  12/15/17  21,175  24,937 
3  Public Service New Hampshire Funding LLC  6.480%  5/1/15  148  157 
3  Residential Asset Securities Corp.  6.489%  10/25/30  177  155 
5  Royal Bank of Canada  3.125%  4/14/15  9,325  9,564 
3  Salomon Brothers Mortgage Securities VII Inc.  4.467%  3/18/36  430  438 
3,6 TIAA Seasoned Commercial Mortgage Trust  5.983%  8/15/39  3,285  3,343 
3  USAA Auto Owner Trust  4.710%  2/18/14  13,425  13,713 
3  Wachovia Bank Commercial Mortgage Trust  4.440%  11/15/34  427  433 
3  Wachovia Bank Commercial Mortgage Trust  4.980%  11/15/34  700  729 
3  Wachovia Bank Commercial Mortgage Trust  4.867%  2/15/35  1,000  1,043 
3,6 Wachovia Bank Commercial Mortgage Trust  5.125%  8/15/35  3,100  3,258 
3,6 Wachovia Bank Commercial Mortgage Trust  4.964%  11/15/35  10,750  11,364 
3  Wachovia Bank Commercial Mortgage Trust  4.719%  1/15/41  933  934 
3  Wachovia Bank Commercial Mortgage Trust  4.748%  2/15/41  22,105  23,384 
3  Wachovia Bank Commercial Mortgage Trust  5.001%  7/15/41  2,940  2,947 
3,6 Wachovia Bank Commercial Mortgage Trust  5.307%  7/15/41  18,350  19,654 
3  Wachovia Bank Commercial Mortgage Trust  4.803%  10/15/41  18,725  19,651 
3,6 Wachovia Bank Commercial Mortgage Trust  5.083%  3/15/42  15,075  16,093 
3,6 Wachovia Bank Commercial Mortgage Trust  5.224%  3/15/42  1,700  1,715 
3  Wachovia Bank Commercial Mortgage Trust  5.118%  7/15/42  6,729  7,222 
3,6 Wachovia Bank Commercial Mortgage Trust  5.739%  5/15/43  14,025  15,311 
3  Wachovia Bank Commercial Mortgage Trust  4.699%  5/15/44  14,354  15,290 
3  Wachovia Bank Commercial Mortgage Trust  4.750%  5/15/44  1,480  1,501 
3  Wachovia Bank Commercial Mortgage Trust  4.793%  5/15/44  3,325  3,262 
3,6 Wachovia Bank Commercial Mortgage Trust  5.209%  10/15/44  1,340  1,346 
3,6 Wachovia Bank Commercial Mortgage Trust  5.209%  10/15/44  18,010  19,302 
3,6 Wachovia Bank Commercial Mortgage Trust  5.270%  12/15/44  22,500  23,746 
3,6 Wachovia Bank Commercial Mortgage Trust  5.320%  12/15/44  775  803 
3,6 Wachovia Bank Commercial Mortgage Trust  5.957%  6/15/45  1,280  1,322 
3,6 Wachovia Bank Commercial Mortgage Trust  5.765%  7/15/45  11,100  11,947 
3  Wachovia Bank Commercial Mortgage Trust  5.679%  10/15/48  250  261 
3  Wachovia Bank Commercial Mortgage Trust  5.313%  11/15/48  16,475  17,211 
3  Wachovia Bank Commercial Mortgage Trust  5.339%  11/15/48  2,225  2,235 
3  World Omni Auto Receivables Trust  3.940%  10/15/12  1,699  1,703 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,583,147)    2,838,543 
Corporate Bonds (20.7%)         
Finance (7.4%)         
  Banking (4.8%)         
3  Abbey National Capital Trust I  8.963%  12/29/49  1,200  1,309 

 

 

American Express Bank FSB  5.550%  10/17/12  3,575  3,785 
American Express Bank FSB  5.500%  4/16/13  8,675  9,298 
American Express Bank FSB  6.000%  9/13/17  1,750  1,940 
American Express Centurion Bank  5.550%  10/17/12  2,775  2,940 
American Express Centurion Bank  5.950%  6/12/17  1,900  2,090 
American Express Centurion Bank  6.000%  9/13/17  24,000  26,639 
American Express Co.  4.875%  7/15/13  5,821  6,191 
American Express Co.  7.250%  5/20/14  1,225  1,393 
American Express Co.  5.500%  9/12/16  3,075  3,350 
American Express Co.  6.150%  8/28/17  5,575  6,223 
American Express Co.  7.000%  3/19/18  27,797  32,506 
American Express Co.  8.125%  5/20/19  275  343 
American Express Co.  8.150%  3/19/38  520  696 
3 American Express Co.  6.800%  9/1/66  6,515  6,610 
American Express Credit Corp.  5.875%  5/2/13  17,480  18,864 
American Express Credit Corp.  7.300%  8/20/13  20,864  23,325 
American Express Credit Corp.  5.125%  8/25/14  4,780  5,157 
Associates Corp. of North America  6.950%  11/1/18  250  280 
BAC Capital Trust XI  6.625%  5/23/36  11,000  10,736 
Banco Santander Chile  2.875%  11/13/12  1,950  1,944 
5 BanColombia SA  4.250%  1/12/16  3,150  3,118 
Bank of America Corp.  5.375%  9/11/12  4,825  5,085 
Bank of America Corp.  4.875%  9/15/12  13,000  13,608 
Bank of America Corp.  4.875%  1/15/13  7,982  8,385 
Bank of America Corp.  4.900%  5/1/13  13,465  14,170 
Bank of America Corp.  7.375%  5/15/14  6,125  6,907 
Bank of America Corp.  5.375%  6/15/14  3,400  3,642 
Bank of America Corp.  5.125%  11/15/14  19,795  21,089 
Bank of America Corp.  4.500%  4/1/15  11,910  12,353 
Bank of America Corp.  4.750%  8/1/15  225  235 
Bank of America Corp.  3.700%  9/1/15  2,050  2,051 
Bank of America Corp.  5.250%  12/1/15  3,975  4,141 
Bank of America Corp.  3.625%  3/17/16  2,800  2,750 
Bank of America Corp.  6.500%  8/1/16  21,200  23,415 
Bank of America Corp.  5.750%  8/15/16  11,025  11,598 
Bank of America Corp.  5.625%  10/14/16  6,350  6,756 
Bank of America Corp.  5.420%  3/15/17  14,300  14,552 
Bank of America Corp.  6.000%  9/1/17  1,060  1,130 
Bank of America Corp.  5.750%  12/1/17  6,525  6,877 
Bank of America Corp.  5.650%  5/1/18  66,300  69,326 
Bank of America Corp.  7.625%  6/1/19  25,625  29,511 
Bank of America Corp.  5.625%  7/1/20  3,140  3,202 
Bank of America Corp.  7.250%  10/15/25  1,400  1,519 
Bank of America Corp.  6.800%  3/15/28  1,025  1,059 
Bank of America Corp.  6.500%  9/15/37  2,535  2,517 
Bank of America NA  5.300%  3/15/17  24,375  25,045 
Bank of America NA  6.100%  6/15/17  11,225  11,892 
Bank of America NA  6.000%  10/15/36  13,500  13,030 
Bank of Montreal  2.125%  6/28/13  5,975  6,074 
Bank of New York Mellon Corp.  6.375%  4/1/12  300  316 
Bank of New York Mellon Corp.  4.950%  11/1/12  23,750  25,188 
Bank of New York Mellon Corp.  4.500%  4/1/13  2,125  2,263 
Bank of New York Mellon Corp.  4.300%  5/15/14  9,675  10,342 
Bank of New York Mellon Corp.  4.950%  3/15/15  9,750  10,485 
Bank of New York Mellon Corp.  2.950%  6/18/15  4,200  4,259 
Bank of New York Mellon Corp.  5.450%  5/15/19  6,240  6,835 
Bank of New York Mellon Corp.  4.600%  1/15/20  5,775  5,982 
Bank of Nova Scotia  2.250%  1/22/13  8,125  8,291 

 

 

  Bank of Nova Scotia  2.375%  12/17/13  15,700  16,001 
  Bank of Nova Scotia  2.050%  10/7/15  500  487 
  Bank of Nova Scotia  4.375%  1/13/21  500  497 
  Bank One Capital III  8.750%  9/1/30  2,700  3,304 
  Bank One Corp.  5.250%  1/30/13  6,000  6,360 
  Bank One Corp.  4.900%  4/30/15  6,075  6,366 
  Bank One Corp.  7.750%  7/15/25  330  387 
  Bank One Corp.  7.625%  10/15/26  2,930  3,471 
  Barclays Bank plc  5.450%  9/12/12  1,375  1,457 
  Barclays Bank plc  2.500%  1/23/13  11,950  12,149 
  Barclays Bank plc  5.200%  7/10/14  30,245  32,664 
  Barclays Bank plc  5.000%  9/22/16  10,750  11,396 
  Barclays Bank plc  6.750%  5/22/19  8,675  9,791 
  Barclays Bank plc  5.125%  1/8/20  24,275  24,540 
  BB&T Capital Trust II  6.750%  6/7/36  8,725  8,750 
3  BB&T Capital Trust IV  6.820%  6/12/57  3,875  3,812 
  BB&T Corp.  3.850%  7/27/12  3,800  3,930 
  BB&T Corp.  4.750%  10/1/12  6,075  6,361 
  BB&T Corp.  5.700%  4/30/14  4,200  4,634 
  BB&T Corp.  5.200%  12/23/15  4,712  5,021 
  BB&T Corp.  4.900%  6/30/17  525  550 
  BB&T Corp.  6.850%  4/30/19  5,404  6,260 
  BB&T Corp.  5.250%  11/1/19  6,150  6,387 
  Bear Stearns Cos. LLC  5.350%  2/1/12  14,075  14,623 
  Bear Stearns Cos. LLC  6.950%  8/10/12  8,037  8,638 
  Bear Stearns Cos. LLC  5.700%  11/15/14  15,590  17,147 
  Bear Stearns Cos. LLC  5.300%  10/30/15  6,415  6,903 
  Bear Stearns Cos. LLC  5.550%  1/22/17  6,850  7,259 
  Bear Stearns Cos. LLC  6.400%  10/2/17  8,230  9,174 
  Bear Stearns Cos. LLC  7.250%  2/1/18  11,053  12,871 
  Bear Stearns Cos. LLC  4.650%  7/2/18  1,650  1,678 
  BNP Paribas  3.250%  3/11/15  3,925  3,965 
  BNP Paribas  3.600%  2/23/16  24,475  24,482 
  BNP Paribas  5.000%  1/15/21  6,000  6,046 
  BNP Paribas / BNP Paribas US Medium-Term         
  Note Program LLC  2.125%  12/21/12  13,290  13,462 
  BNY Mellon NA  4.750%  12/15/14  2,800  3,031 
  Branch Banking & Trust Co.  5.625%  9/15/16  5,775  6,312 
  Canadian Imperial Bank of Commerce  1.450%  9/13/13  2,650  2,638 
  Canadian Imperial Bank of Commerce  2.350%  12/11/15  775  749 
  Capital One Bank USA NA  6.500%  6/13/13  4,350  4,749 
  Capital One Bank USA NA  8.800%  7/15/19  13,125  16,391 
  Capital One Capital III  7.686%  8/15/36  4,925  5,060 
  Capital One Capital IV  6.745%  2/17/37  3,237  3,249 
  Capital One Capital V  10.250%  8/15/39  2,625  2,842 
  Capital One Capital VI  8.875%  5/15/40  8,925  9,394 
  Capital One Financial Corp.  7.375%  5/23/14  7,275  8,348 
  Capital One Financial Corp.  5.500%  6/1/15  7,450  8,102 
  Capital One Financial Corp.  6.150%  9/1/16  5,646  6,138 
  Capital One Financial Corp.  5.250%  2/21/17  1,850  1,963 
  Capital One Financial Corp.  6.750%  9/15/17  5,200  5,963 
3,5 Citicorp Lease Pass-Through Trust 1999-1  8.040%  12/15/19  14,225  16,281 
  Citigroup Inc.  5.100%  9/29/11  15,975  16,295 
  Citigroup Inc.  5.625%  8/27/12  8,440  8,876 
  Citigroup Inc.  5.300%  10/17/12  49,273  51,964 
  Citigroup Inc.  5.500%  4/11/13  34,045  36,370 
  Citigroup Inc.  6.500%  8/19/13  16,390  17,896 
  Citigroup Inc.  6.000%  12/13/13  15,640  16,989 

 

 

Citigroup Inc.  5.125%  5/5/14  7,550  8,034 
Citigroup Inc.  6.375%  8/12/14  8,665  9,564 
Citigroup Inc.  5.000%  9/15/14  37,676  39,118 
Citigroup Inc.  5.500%  10/15/14  15,850  17,082 
Citigroup Inc.  6.010%  1/15/15  9,100  9,934 
Citigroup Inc.  4.750%  5/19/15  275  287 
Citigroup Inc.  4.700%  5/29/15  3,350  3,490 
Citigroup Inc.  4.587%  12/15/15  475  489 
Citigroup Inc.  5.300%  1/7/16  19,100  20,324 
Citigroup Inc.  5.500%  2/15/17  4,050  4,193 
Citigroup Inc.  6.000%  8/15/17  15,525  16,806 
Citigroup Inc.  6.125%  11/21/17  11,375  12,381 
Citigroup Inc.  6.125%  5/15/18  8,300  9,040 
Citigroup Inc.  8.500%  5/22/19  24,455  29,988 
Citigroup Inc.  5.375%  8/9/20  7,125  7,312 
Citigroup Inc.  6.625%  6/15/32  2,025  2,057 
Citigroup Inc.  5.875%  2/22/33  11,475  10,738 
Citigroup Inc.  6.000%  10/31/33  8,400  7,920 
Citigroup Inc.  5.850%  12/11/34  1,750  1,718 
Citigroup Inc.  6.125%  8/25/36  9,525  9,021 
Citigroup Inc.  5.875%  5/29/37  12,657  12,358 
Citigroup Inc.  6.875%  3/5/38  16,630  18,124 
Citigroup Inc.  8.125%  7/15/39  13,090  16,439 
Comerica Bank  5.750%  11/21/16  10,775  11,811 
Comerica Bank  5.200%  8/22/17  3,100  3,275 
Comerica Inc.  4.800%  5/1/15  3,225  3,397 
Compass Bank  6.400%  10/1/17  2,275  2,386 
Compass Bank  5.900%  4/1/26  1,725  1,655 
Cooperatieve Centrale Raiffeisen-         
Boerenleenbank BA  2.125%  10/13/15  4,450  4,291 
Cooperatieve Centrale Raiffeisen-         
Boerenleenbank BA  4.500%  1/11/21  20,950  21,166 
5 Corestates Capital I  8.000%  12/15/26  4,300  4,400 
Countrywide Financial Corp.  5.800%  6/7/12  6,375  6,700 
Countrywide Financial Corp.  6.250%  5/15/16  1,820  1,941 
Credit Suisse  5.000%  5/15/13  30,460  32,439 
Credit Suisse  5.500%  5/1/14  10,600  11,603 
Credit Suisse  3.500%  3/23/15  24,875  25,325 
Credit Suisse  6.000%  2/15/18  3,325  3,528 
Credit Suisse  5.300%  8/13/19  15,000  15,680 
Credit Suisse  4.375%  8/5/20  16,150  15,734 
Credit Suisse AG  5.400%  1/14/20  16,040  16,163 
3 Credit Suisse AG  5.860%  5/29/49  11,230  10,837 
Credit Suisse USA Inc.  5.500%  8/15/13  6,250  6,784 
Credit Suisse USA Inc.  5.125%  1/15/14  2,150  2,327 
Credit Suisse USA Inc.  4.875%  1/15/15  7,345  7,884 
Credit Suisse USA Inc.  5.125%  8/15/15  20,990  22,664 
Credit Suisse USA Inc.  7.125%  7/15/32  5,861  6,959 
Deutsche Bank AG  5.375%  10/12/12  13,100  13,895 
Deutsche Bank AG  2.375%  1/11/13  8,250  8,374 
Deutsche Bank AG  4.875%  5/20/13  24,300  25,790 
Deutsche Bank AG  3.450%  3/30/15  14,600  14,915 
Deutsche Bank AG  3.250%  1/11/16  14,825  14,841 
Deutsche Bank AG  6.000%  9/1/17  20,531  22,783 
Deutsche Bank Financial LLC  5.375%  3/2/15  5,950  6,276 
Discover Bank  8.700%  11/18/19  4,400  5,249 
FIA Card Services NA  6.625%  6/15/12  3,015  3,163 
Fifth Third Bancorp  6.250%  5/1/13  5,750  6,228 

 

 

Fifth Third Bancorp  3.625%  1/25/16  6,725  6,711 
Fifth Third Bancorp  5.450%  1/15/17  4,900  5,118 
Fifth Third Bancorp  4.500%  6/1/18  1,525  1,477 
Fifth Third Bancorp  8.250%  3/1/38  4,340  5,145 
Fifth Third Bank  4.750%  2/1/15  8,825  9,238 
3 Fifth Third Capital Trust IV  6.500%  4/15/37  3,400  3,298 
First Horizon National Corp.  5.375%  12/15/15  1,225  1,279 
First Niagara Financial Group Inc.  6.750%  3/19/20  1,675  1,801 
First Tennessee Bank NA  5.050%  1/15/15  2,400  2,440 
First Union Institutional Capital I  8.040%  12/1/26  1,475  1,511 
FleetBoston Financial Corp.  6.700%  7/15/28  1,900  1,954 
Golden West Financial Corp.  4.750%  10/1/12  2,790  2,932 
Goldman Sachs Capital I  6.345%  2/15/34  16,175  15,644 
3 Goldman Sachs Capital II  5.793%  12/29/49  10,975  9,438 
Goldman Sachs Group Inc.  3.625%  8/1/12  4,470  4,607 
Goldman Sachs Group Inc.  5.700%  9/1/12  700  742 
Goldman Sachs Group Inc.  5.450%  11/1/12  10,940  11,624 
Goldman Sachs Group Inc.  4.750%  7/15/13  20,645  21,838 
Goldman Sachs Group Inc.  5.250%  10/15/13  16,430  17,649 
Goldman Sachs Group Inc.  5.150%  1/15/14  5,945  6,376 
Goldman Sachs Group Inc.  6.000%  5/1/14  22,125  24,227 
Goldman Sachs Group Inc.  5.000%  10/1/14  26,382  28,205 
Goldman Sachs Group Inc.  5.125%  1/15/15  16,610  17,719 
Goldman Sachs Group Inc.  3.700%  8/1/15  16,600  16,710 
Goldman Sachs Group Inc.  5.350%  1/15/16  41,125  43,897 
Goldman Sachs Group Inc.  3.625%  2/7/16  2,475  2,446 
Goldman Sachs Group Inc.  5.750%  10/1/16  9,375  10,141 
Goldman Sachs Group Inc.  5.625%  1/15/17  12,005  12,602 
Goldman Sachs Group Inc.  6.250%  9/1/17  27,840  30,439 
Goldman Sachs Group Inc.  5.950%  1/18/18  24,525  26,201 
Goldman Sachs Group Inc.  6.150%  4/1/18  12,910  13,944 
Goldman Sachs Group Inc.  7.500%  2/15/19  5,190  6,010 
Goldman Sachs Group Inc.  5.375%  3/15/20  16,965  17,237 
Goldman Sachs Group Inc.  6.000%  6/15/20  650  685 
Goldman Sachs Group Inc.  5.950%  1/15/27  10,935  10,709 
Goldman Sachs Group Inc.  6.125%  2/15/33  13,165  13,290 
Goldman Sachs Group Inc.  6.450%  5/1/36  5,535  5,364 
Goldman Sachs Group Inc.  6.750%  10/1/37  54,016  54,482 
Goldman Sachs Group Inc.  6.250%  2/1/41  10,395  10,331 
5 HBOS plc  6.750%  5/21/18  6,075  5,853 
HSBC Bank USA NA  4.625%  4/1/14  5,825  6,177 
HSBC Bank USA NA  4.875%  8/24/20  12,750  12,354 
HSBC Bank USA NA  5.875%  11/1/34  2,500  2,447 
HSBC Bank USA NA  5.625%  8/15/35  2,300  2,183 
HSBC Holdings plc  5.100%  4/5/21  15,700  15,738 
HSBC Holdings plc  7.625%  5/17/32  925  987 
HSBC Holdings plc  7.350%  11/27/32  2,040  2,146 
HSBC Holdings plc  6.500%  5/2/36  18,495  18,828 
HSBC Holdings plc  6.500%  9/15/37  17,200  17,318 
HSBC Holdings plc  6.800%  6/1/38  10,410  10,907 
HSBC USA Inc.  5.000%  9/27/20  1,000  975 
Huntington BancShares Inc.  7.000%  12/15/20  2,200  2,416 
5 ICICI Bank Ltd.  6.625%  10/3/12  6,400  6,774 
JP Morgan Chase Capital XVII  5.850%  8/1/35  675  652 
JP Morgan Chase Capital XVIII  6.950%  8/17/36  2,025  2,055 
JP Morgan Chase Capital XX  6.550%  9/29/36  6,560  6,621 
3 JP Morgan Chase Capital XXII  6.450%  1/15/87  15,900  15,848 
JP Morgan Chase Capital XXV  6.800%  10/1/37  10,375  10,419 

 

 

JPMorgan Chase & Co.  5.600%  6/1/11  13,950  14,057 
JPMorgan Chase & Co.  5.375%  10/1/12  19,995  21,181 
JPMorgan Chase & Co.  5.750%  1/2/13  6,386  6,818 
JPMorgan Chase & Co.  4.750%  5/1/13  15,860  16,845 
JPMorgan Chase & Co.  1.650%  9/30/13  2,875  2,859 
JPMorgan Chase & Co.  4.875%  3/15/14  18,100  19,153 
JPMorgan Chase & Co.  4.650%  6/1/14  15,000  15,994 
JPMorgan Chase & Co.  5.125%  9/15/14  21,412  22,895 
JPMorgan Chase & Co.  3.700%  1/20/15  5,450  5,583 
JPMorgan Chase & Co.  4.750%  3/1/15  3,900  4,157 
JPMorgan Chase & Co.  5.250%  5/1/15  5,575  5,955 
JPMorgan Chase & Co.  3.400%  6/24/15  24,625  24,853 
JPMorgan Chase & Co.  5.150%  10/1/15  8,190  8,756 
JPMorgan Chase & Co.  2.600%  1/15/16  12,425  11,929 
JPMorgan Chase & Co.  3.450%  3/1/16  275  273 
JPMorgan Chase & Co.  6.125%  6/27/17  10,700  11,681 
JPMorgan Chase & Co.  6.000%  1/15/18  3,925  4,299 
JPMorgan Chase & Co.  6.300%  4/23/19  8,925  9,830 
JPMorgan Chase & Co.  4.400%  7/22/20  4,575  4,406 
JPMorgan Chase & Co.  4.250%  10/15/20  2,640  2,505 
JPMorgan Chase & Co.  6.400%  5/15/38  74,519  82,386 
JPMorgan Chase & Co.  5.500%  10/15/40  10,950  10,677 
JPMorgan Chase Bank NA  5.875%  6/13/16  4,346  4,762 
JPMorgan Chase Bank NA  6.000%  7/5/17  825  897 
JPMorgan Chase Bank NA  6.000%  10/1/17  65  71 
JPMorgan Chase Capital XXVII  7.000%  11/1/39  8,325  8,560 
KeyBank NA  5.500%  9/17/12  5,750  6,053 
KeyBank NA  5.800%  7/1/14  2,825  3,078 
KeyBank NA  4.950%  9/15/15  4,675  4,896 
KeyBank NA  5.450%  3/3/16  6,275  6,670 
KeyBank NA  6.950%  2/1/28  1,925  2,008 
KeyCorp  6.500%  5/14/13  4,625  5,038 
KeyCorp  5.100%  3/24/21  1,350  1,341 
5 Lloyds TSB Bank plc  4.375%  1/12/15  9,640  9,789 
Lloyds TSB Bank plc  4.875%  1/21/16  4,825  4,949 
5 Lloyds TSB Bank plc  5.800%  1/13/20  9,425  9,380 
Lloyds TSB Bank plc  6.375%  1/21/21  9,400  9,750 
M&I Marshall & Ilsley Bank  5.250%  9/4/12  925  961 
M&I Marshall & Ilsley Bank  4.850%  6/16/15  1,250  1,294 
M&I Marshall & Ilsley Bank  5.000%  1/17/17  150  154 
Manufacturers & Traders Trust Co.  6.625%  12/4/17  7,050  7,937 
3 Manufacturers & Traders Trust Co.  5.585%  12/28/20  450  436 
MBNA Corp.  6.125%  3/1/13  4,075  4,364 
MBNA Corp.  5.000%  6/15/15  4,775  4,940 
3 Mellon Capital IV  6.244%  6/29/49  200  183 
Mellon Funding Corp.  5.000%  12/1/14  5,975  6,493 
Merrill Lynch & Co. Inc.  6.050%  8/15/12  10,900  11,549 
Merrill Lynch & Co. Inc.  5.450%  2/5/13  14,805  15,660 
Merrill Lynch & Co. Inc.  6.150%  4/25/13  21,250  22,880 
Merrill Lynch & Co. Inc.  5.000%  2/3/14  11,550  12,287 
Merrill Lynch & Co. Inc.  5.450%  7/15/14  2,450  2,621 
Merrill Lynch & Co. Inc.  5.000%  1/15/15  17,779  18,693 
Merrill Lynch & Co. Inc.  6.050%  5/16/16  4,700  4,950 
Merrill Lynch & Co. Inc.  5.700%  5/2/17  21,625  22,269 
Merrill Lynch & Co. Inc.  6.400%  8/28/17  14,825  16,146 
Merrill Lynch & Co. Inc.  6.875%  4/25/18  36,446  40,538 
Merrill Lynch & Co. Inc.  6.500%  7/15/18  3,325  3,590 
Merrill Lynch & Co. Inc.  6.875%  11/15/18  600  663 

 

 

Merrill Lynch & Co. Inc.  6.220%  9/15/26  15,250  15,122 
Merrill Lynch & Co. Inc.  6.110%  1/29/37  5,125  4,788 
Merrill Lynch & Co. Inc.  7.750%  5/14/38  12,098  13,716 
Morgan Stanley  6.600%  4/1/12  4,425  4,675 
Morgan Stanley  5.750%  8/31/12  9,415  9,966 
Morgan Stanley  5.300%  3/1/13  23,961  25,461 
Morgan Stanley  6.750%  10/15/13  600  661 
Morgan Stanley  2.875%  1/24/14  7,050  7,065 
Morgan Stanley  4.750%  4/1/14  27,917  28,945 
Morgan Stanley  6.000%  5/13/14  21,485  23,320 
Morgan Stanley  4.200%  11/20/14  15,675  16,102 
Morgan Stanley  4.100%  1/26/15  13,425  13,732 
Morgan Stanley  6.000%  4/28/15  50,560  54,804 
Morgan Stanley  4.000%  7/24/15  3,750  3,791 
Morgan Stanley  5.375%  10/15/15  6,400  6,790 
Morgan Stanley  3.450%  11/2/15  4,825  4,726 
Morgan Stanley  5.750%  10/18/16  15,300  16,318 
Morgan Stanley  5.450%  1/9/17  10,860  11,382 
Morgan Stanley  5.550%  4/27/17  3,305  3,480 
Morgan Stanley  6.250%  8/28/17  560  602 
Morgan Stanley  5.950%  12/28/17  16,475  17,579 
Morgan Stanley  6.625%  4/1/18  34,285  37,689 
Morgan Stanley  7.300%  5/13/19  11,560  12,947 
Morgan Stanley  5.625%  9/23/19  26,425  26,791 
Morgan Stanley  5.750%  1/25/21  14,375  14,365 
Morgan Stanley  6.250%  8/9/26  15,575  16,434 
Morgan Stanley  7.250%  4/1/32  14,102  16,442 
National City Bank  4.625%  5/1/13  2,500  2,630 
National City Corp.  4.900%  1/15/15  1,425  1,525 
National City Corp.  6.875%  5/15/19  875  995 
3 National City Preferred Capital Trust I  12.000%  12/31/49  5,850  6,618 
NB Capital Trust II  7.830%  12/15/26  8,650  8,834 
North Fork Bancorporation Inc.  5.875%  8/15/12  150  157 
Northern Trust Co.  6.500%  8/15/18  1,125  1,295 
Northern Trust Corp.  5.500%  8/15/13  1,350  1,477 
Northern Trust Corp.  4.625%  5/1/14  4,200  4,536 
Northern Trust Corp.  3.450%  11/4/20  750  711 
Paribas  6.950%  7/22/13  900  979 
PNC Bank NA  4.875%  9/21/17  8,425  8,815 
PNC Bank NA  6.000%  12/7/17  1,100  1,204 
PNC Funding Corp.  3.625%  2/8/15  19,625  20,187 
PNC Funding Corp.  4.250%  9/21/15  4,750  4,969 
PNC Funding Corp.  5.250%  11/15/15  8,525  9,113 
PNC Funding Corp.  5.625%  2/1/17  975  1,052 
PNC Funding Corp.  6.700%  6/10/19  6,934  8,035 
PNC Funding Corp.  5.125%  2/8/20  5,600  5,878 
PNC Funding Corp.  4.375%  8/11/20  175  173 
Royal Bank of Canada  2.100%  7/29/13  15,400  15,678 
Royal Bank of Canada  2.625%  12/15/15  5,400  5,365 
Royal Bank of Scotland Group plc  5.000%  10/1/14  666  663 
Royal Bank of Scotland Group plc  5.050%  1/8/15  7,860  7,827 
Royal Bank of Scotland Group plc  6.400%  10/21/19  25,065  25,696 
Royal Bank Of Scotland NV  4.650%  6/4/18  225  214 
Royal Bank of Scotland plc  3.400%  8/23/13  7,200  7,356 
Royal Bank of Scotland plc  3.250%  1/11/14  9,550  9,649 
5 Royal Bank of Scotland plc  4.875%  8/25/14  1,700  1,763 
Royal Bank of Scotland plc  4.875%  3/16/15  6,100  6,322 
Royal Bank of Scotland plc  3.950%  9/21/15  1,440  1,436 

 

 

  Royal Bank of Scotland plc  5.625%  8/24/20  13,825  13,781 
  Royal Bank of Scotland plc  6.125%  1/11/21  10,350  10,606 
  Santander UK plc  7.950%  10/26/29  4,500  4,806 
  SouthTrust Corp.  5.800%  6/15/14  2,550  2,738 
  Sovereign Bank  5.125%  3/15/13  2,275  2,339 
  Sovereign Bank  8.750%  5/30/18  1,595  1,801 
3,5 Standard Chartered plc  6.409%  12/31/49  5,825  5,519 
  State Street Bank and Trust Co.  5.300%  1/15/16  2,800  3,043 
  State Street Corp.  4.300%  5/30/14  3,900  4,172 
  State Street Corp.  2.875%  3/7/16  23,100  22,830 
  State Street Corp.  4.956%  3/15/18  3,875  3,979 
  Sumitomo Mitsui Banking Corp.  8.000%  6/15/12  13,090  14,034 
  SunTrust Bank  5.000%  9/1/15  39  41 
  SunTrust Bank  7.250%  3/15/18  1,000  1,136 
  SunTrust Banks Inc.  5.250%  11/5/12  6,100  6,407 
  SunTrust Banks Inc.  3.600%  4/15/16  5,000  4,961 
  SunTrust Banks Inc.  6.000%  9/11/17  2,508  2,738 
3  SunTrust Capital VIII  6.100%  12/1/66  2,102  2,042 
  UBS AG  2.250%  8/12/13  19,750  19,883 
  UBS AG  2.250%  1/28/14  150  150 
  UBS AG  3.875%  1/15/15  340  349 
  UBS AG  7.000%  10/15/15  2,500  2,790 
  UBS AG  5.875%  7/15/16  3,525  3,772 
  UBS AG  7.375%  6/15/17  3,300  3,692 
  UBS AG  5.875%  12/20/17  28,849  31,448 
  UBS AG  5.750%  4/25/18  10,217  11,002 
  UBS AG  4.875%  8/4/20  24,960  25,064 
3  UBS Preferred Funding Trust II  7.247%  6/29/49  8  8 
  UFJ Finance Aruba AEC  6.750%  7/15/13  20,950  23,077 
  Union Bank NA  5.950%  5/11/16  3,875  4,131 
  UnionBanCal Corp.  5.250%  12/16/13  2,105  2,243 
  US Bancorp  2.000%  6/14/13  15,250  15,448 
  US Bancorp  4.200%  5/15/14  775  825 
  US Bancorp  3.150%  3/4/15  1,450  1,481 
  US Bancorp  3.442%  2/1/16  6,150  6,106 
  US Bank NA  6.300%  2/4/14  8,750  9,718 
  US Bank NA  4.950%  10/30/14  12,021  12,968 
  USB Capital XIII Trust  6.625%  12/15/39  875  909 
  Wachovia Bank NA  4.800%  11/1/14  1,400  1,487 
  Wachovia Bank NA  4.875%  2/1/15  15,250  16,188 
  Wachovia Bank NA  5.000%  8/15/15  960  1,018 
  Wachovia Bank NA  6.000%  11/15/17  8,025  8,864 
  Wachovia Bank NA  5.850%  2/1/37  16,225  16,561 
  Wachovia Bank NA  6.600%  1/15/38  12,810  14,390 
  Wachovia Corp.  5.300%  10/15/11  5,175  5,297 
  Wachovia Corp.  5.500%  5/1/13  6,500  6,996 
  Wachovia Corp.  4.875%  2/15/14  10,990  11,652 
  Wachovia Corp.  5.250%  8/1/14  7,112  7,627 
  Wachovia Corp.  5.625%  10/15/16  12,765  13,789 
  Wachovia Corp.  5.750%  6/15/17  28,875  31,767 
  Wachovia Corp.  5.750%  2/1/18  1,325  1,459 
  Wachovia Corp.  6.605%  10/1/25  175  184 
  Wachovia Corp.  7.500%  4/15/35  925  1,084 
  Wachovia Corp.  5.500%  8/1/35  4,185  4,014 
  Wachovia Corp.  6.550%  10/15/35  625  658 
  Wells Fargo & Co.  5.125%  9/1/12  3,450  3,627 
  Wells Fargo & Co.  5.250%  10/23/12  33,525  35,574 
  Wells Fargo & Co.  4.375%  1/31/13  9,775  10,285 

 

 

Wells Fargo & Co.  4.950%  10/16/13  3,825  4,080 
Wells Fargo & Co.  5.000%  11/15/14  171  182 
Wells Fargo & Co.  3.625%  4/15/15  7,250  7,470 
Wells Fargo & Co.  3.676%  6/15/16  10,625  10,717 
Wells Fargo & Co.  5.625%  12/11/17  21,425  23,274 
Wells Fargo & Co.  4.600%  4/1/21  18,350  18,092 
Wells Fargo & Co.  5.375%  2/7/35  4,250  4,318 
Wells Fargo Bank NA  4.750%  2/9/15  13,825  14,654 
Wells Fargo Bank NA  5.750%  5/16/16  7,900  8,624 
Wells Fargo Bank NA  5.950%  8/26/36  12,625  12,985 
Wells Fargo Capital X  5.950%  12/15/36  3,725  3,660 
3 Wells Fargo Capital XIII  7.700%  12/29/49  11,895  12,252 
3 Wells Fargo Capital XV  9.750%  12/29/49  8,355  9,128 
Wells Fargo Financial Inc.  5.500%  8/1/12  3,425  3,620 
Westpac Banking Corp.  2.250%  11/19/12  8,875  9,016 
Westpac Banking Corp.  2.100%  8/2/13  4,675  4,717 
Westpac Banking Corp.  1.850%  12/9/13  8,625  8,635 
Westpac Banking Corp.  4.200%  2/27/15  15,075  15,716 
Westpac Banking Corp.  3.000%  8/4/15  17,350  17,250 
Westpac Banking Corp.  4.875%  11/19/19  12,100  12,440 
 
Brokerage (0.1%)         
Ameriprise Financial Inc.  5.650%  11/15/15  4,250  4,756 
Ameriprise Financial Inc.  7.300%  6/28/19  400  476 
Ameriprise Financial Inc.  5.300%  3/15/20  1,325  1,400 
3 Ameriprise Financial Inc.  7.518%  6/1/66  575  603 
BlackRock Inc.  2.250%  12/10/12  5,300  5,392 
BlackRock Inc.  3.500%  12/10/14  4,275  4,470 
BlackRock Inc.  6.250%  9/15/17  3,375  3,849 
BlackRock Inc.  5.000%  12/10/19  625  653 
Charles Schwab Corp.  4.950%  6/1/14  9,450  10,294 
Charles Schwab Corp.  4.450%  7/22/20  4,550  4,574 
5 FMR LLC  7.490%  6/15/19  800  906 
Franklin Resources Inc.  2.000%  5/20/13  6,825  6,902 
Franklin Resources Inc.  3.125%  5/20/15  3,700  3,801 
Franklin Resources Inc.  4.625%  5/20/20  1,950  2,001 
Invesco Ltd.  5.375%  2/27/13  25  27 
Jefferies Group Inc.  8.500%  7/15/19  8,895  10,437 
Jefferies Group Inc.  6.875%  4/15/21  3,400  3,614 
Jefferies Group Inc.  6.450%  6/8/27  13,560  13,431 
Jefferies Group Inc.  6.250%  1/15/36  7,025  6,466 
Lazard Group LLC  7.125%  5/15/15  2,150  2,356 
Lazard Group LLC  6.850%  6/15/17  7,425  7,904 
Nomura Holdings Inc.  5.000%  3/4/15  6,825  6,953 
Nomura Holdings Inc.  6.700%  3/4/20  8,850  9,450 
TD Ameritrade Holding Corp.  2.950%  12/1/12  2,025  2,066 
TD Ameritrade Holding Corp.  4.150%  12/1/14  2,725  2,836 
TD Ameritrade Holding Corp.  5.600%  12/1/19  2,425  2,572 
 
Finance Companies (0.8%)         
Block Financial LLC  7.875%  1/15/13  1,675  1,804 
^ Block Financial LLC  5.125%  10/30/14  13,570  13,934 
Discover Financial Services  6.450%  6/12/17  1,825  1,977 
Discover Financial Services  10.250%  7/15/19  917  1,175 
GATX Corp.  4.750%  10/1/12  2,650  2,770 
3 GE Capital Trust I  6.375%  11/15/67  10,475  10,737 
General Electric Capital Corp.  5.000%  4/10/12  150  156 
General Electric Capital Corp.  6.000%  6/15/12  20,544  21,757 

 

 

General Electric Capital Corp.  3.500%  8/13/12  20,200  20,847 
General Electric Capital Corp.  5.250%  10/19/12  59,115  62,650 
General Electric Capital Corp.  2.800%  1/8/13  10,500  10,743 
General Electric Capital Corp.  5.450%  1/15/13  29,725  31,742 
General Electric Capital Corp.  4.800%  5/1/13  24,125  25,609 
General Electric Capital Corp.  2.100%  1/7/14  3,050  3,050 
General Electric Capital Corp.  5.900%  5/13/14  4,850  5,354 
General Electric Capital Corp.  5.500%  6/4/14  14,400  15,703 
General Electric Capital Corp.  5.650%  6/9/14  9,000  9,796 
General Electric Capital Corp.  3.750%  11/14/14  28,250  29,406 
General Electric Capital Corp.  3.500%  6/29/15  2,500  2,553 
General Electric Capital Corp.  4.375%  9/21/15  6,900  7,267 
General Electric Capital Corp.  2.250%  11/9/15  1,589  1,529 
General Electric Capital Corp.  5.400%  2/15/17  32,825  35,492 
General Electric Capital Corp.  5.625%  9/15/17  3,313  3,589 
General Electric Capital Corp.  5.625%  5/1/18  33,084  35,819 
General Electric Capital Corp.  6.000%  8/7/19  11,650  12,727 
General Electric Capital Corp.  5.500%  1/8/20  4,600  4,855 
General Electric Capital Corp.  5.550%  5/4/20  8,550  8,941 
General Electric Capital Corp.  5.300%  2/11/21  5,575  5,652 
General Electric Capital Corp.  6.750%  3/15/32  35,731  39,013 
General Electric Capital Corp.  6.150%  8/7/37  15,400  15,651 
General Electric Capital Corp.  5.875%  1/14/38  40,775  40,256 
General Electric Capital Corp.  6.875%  1/10/39  34,050  37,925 
3 General Electric Capital Corp.  6.375%  11/15/67  12,830  13,151 
3 HSBC Finance Capital Trust IX  5.911%  11/30/35  2,125  2,035 
HSBC Finance Corp.  7.000%  5/15/12  15,690  16,681 
HSBC Finance Corp.  5.900%  6/19/12  3,100  3,260 
HSBC Finance Corp.  6.375%  11/27/12  15,522  16,705 
HSBC Finance Corp.  4.750%  7/15/13  3,075  3,283 
HSBC Finance Corp.  5.250%  1/15/14  5,725  6,120 
HSBC Finance Corp.  5.000%  6/30/15  15,200  16,323 
HSBC Finance Corp.  5.500%  1/19/16  5,796  6,364 
5 HSBC Finance Corp.  6.676%  1/15/21  18,099  18,761 
5 International Lease Finance Corp.  6.500%  9/1/14  170  181 
5 International Lease Finance Corp.  6.750%  9/1/16  830  882 
SLM Corp.  5.400%  10/25/11  12,325  12,574 
SLM Corp.  5.375%  1/15/13  4,175  4,346 
SLM Corp.  5.000%  10/1/13  4,485  4,624 
SLM Corp.  5.375%  5/15/14  2,515  2,614 
SLM Corp.  5.050%  11/14/14  2,335  2,365 
SLM Corp.  5.000%  4/15/15  30  30 
SLM Corp.  6.250%  1/25/16  7,075  7,395 
SLM Corp.  8.450%  6/15/18  17,500  19,654 
SLM Corp.  8.000%  3/25/20  6,710  7,280 
SLM Corp.  5.625%  8/1/33  8,115  6,851 
 
Insurance (1.3%)         
ACE Capital Trust II  9.700%  4/1/30  2,035  2,526 
ACE INA Holdings Inc.  5.875%  6/15/14  900  1,000 
ACE INA Holdings Inc.  5.600%  5/15/15  6,175  6,756 
ACE INA Holdings Inc.  2.600%  11/23/15  5,910  5,753 
ACE INA Holdings Inc.  5.700%  2/15/17  2,930  3,192 
ACE INA Holdings Inc.  5.800%  3/15/18  1,256  1,374 
ACE INA Holdings Inc.  5.900%  6/15/19  1,950  2,147 
AEGON Funding Co. LLC  5.750%  12/15/20  1,075  1,116 
Aegon NV  4.750%  6/1/13  1,900  2,003 
Aetna Inc.  6.000%  6/15/16  9,650  10,848 

 

 

Aetna Inc.  6.500%  9/15/18  2,175  2,489 
Aetna Inc.  6.625%  6/15/36  8,075  8,945 
Aetna Inc.  6.750%  12/15/37  5,160  5,802 
Aflac Inc.  8.500%  5/15/19  500  604 
Aflac Inc.  6.900%  12/17/39  825  865 
Aflac Inc.  6.450%  8/15/40  250  249 
Alleghany Corp.  5.625%  9/15/20  1,700  1,701 
Allied World Assurance Co. Holdings Ltd.  7.500%  8/1/16  15,503  17,183 
Allstate Corp.  5.000%  8/15/14  6,325  6,884 
Allstate Corp.  6.125%  12/15/32  2,450  2,555 
Allstate Corp.  5.350%  6/1/33  895  848 
Allstate Corp.  5.550%  5/9/35  2,336  2,268 
3 Allstate Corp.  6.125%  5/15/37  2,831  2,859 
3 Allstate Corp.  6.500%  5/15/57  4,475  4,517 
Allstate Life Global Funding Trusts  5.375%  4/30/13  21,900  23,596 
Alterra Finance LLC  6.250%  9/30/20  2,225  2,238 
American Financial Group Inc.  9.875%  6/15/19  8,864  10,855 
American International Group Inc.  4.250%  5/15/13  18,551  19,154 
American International Group Inc.  5.050%  10/1/15  3,200  3,301 
American International Group Inc.  5.600%  10/18/16  2,000  2,075 
American International Group Inc.  5.450%  5/18/17  7,425  7,590 
American International Group Inc.  5.850%  1/16/18  12,770  13,298 
American International Group Inc.  8.250%  8/15/18  3,325  3,886 
American International Group Inc.  6.400%  12/15/20  15,040  16,023 
American International Group Inc.  6.250%  5/1/36  13,860  13,712 
American International Group Inc.  6.250%  3/15/37  5,325  4,859 
3 American International Group Inc.  8.175%  5/15/58  26,550  28,541 
AON Corp.  3.500%  9/30/15  5,325  5,353 
AON Corp.  5.000%  9/30/20  3,200  3,220 
AON Corp.  8.205%  1/1/27  1,025  1,139 
AON Corp.  6.250%  9/30/40  3,550  3,659 
Arch Capital Group Ltd.  7.350%  5/1/34  2,875  2,975 
Aspen Insurance Holdings Ltd.  6.000%  12/15/20  2,075  2,080 
Assurant Inc.  5.625%  2/15/14  3,225  3,405 
Assurant Inc.  6.750%  2/15/34  3,715  3,636 
AXA SA  8.600%  12/15/30  13,107  15,367 
Axis Capital Holdings Ltd.  5.750%  12/1/14  2,150  2,307 
Axis Specialty Finance LLC  5.875%  6/1/20  21,900  21,985 
Berkshire Hathaway Finance Corp.  4.000%  4/15/12  2,000  2,070 
Berkshire Hathaway Finance Corp.  4.600%  5/15/13  14,658  15,655 
Berkshire Hathaway Finance Corp.  5.000%  8/15/13  18,025  19,480 
Berkshire Hathaway Finance Corp.  1.500%  1/10/14  300  299 
Berkshire Hathaway Finance Corp.  4.850%  1/15/15  5,580  6,063 
Berkshire Hathaway Finance Corp.  5.400%  5/15/18  11,750  12,936 
Berkshire Hathaway Finance Corp.  5.750%  1/15/40  7,650  8,009 
Berkshire Hathaway Inc.  2.125%  2/11/13  14,575  14,869 
Berkshire Hathaway Inc.  3.200%  2/11/15  9,085  9,331 
Chubb Corp.  5.200%  4/1/13  1,575  1,690 
Chubb Corp.  5.750%  5/15/18  5,375  5,963 
Chubb Corp.  6.000%  5/11/37  7,945  8,349 
Chubb Corp.  6.500%  5/15/38  1,900  2,115 
3 Chubb Corp.  6.375%  3/29/67  11,075  11,640 
CIGNA Corp.  5.125%  6/15/20  2,075  2,161 
CIGNA Corp.  4.375%  12/15/20  3,550  3,456 
CIGNA Corp.  4.500%  3/15/21  875  859 
CIGNA Corp.  7.875%  5/15/27  1,025  1,184 
CIGNA Corp.  6.150%  11/15/36  8,675  8,815 
CIGNA Corp.  5.875%  3/15/41  2,200  2,160 

 

 

Cincinnati Financial Corp.  6.920%  5/15/28  625  660 
Cincinnati Financial Corp.  6.125%  11/1/34  3,500  3,373 
CNA Financial Corp.  5.850%  12/15/14  4,025  4,313 
CNA Financial Corp.  6.500%  8/15/16  8,625  9,403 
CNA Financial Corp.  7.350%  11/15/19  8,125  9,163 
CNA Financial Corp.  5.875%  8/15/20  2,125  2,180 
Coventry Health Care Inc.  6.300%  8/15/14  9,515  10,097 
Endurance Specialty Holdings Ltd.  7.000%  7/15/34  6,875  6,740 
Genworth Financial Inc.  5.750%  6/15/14  2,496  2,590 
Genworth Financial Inc.  4.950%  10/1/15  950  950 
Genworth Financial Inc.  8.625%  12/15/16  8,450  9,401 
Genworth Financial Inc.  7.700%  6/15/20  500  511 
Genworth Financial Inc.  7.200%  2/15/21  4,100  4,049 
Genworth Financial Inc.  6.500%  6/15/34  5,775  5,169 
Hartford Financial Services Group Inc.  4.625%  7/15/13  4,125  4,303 
Hartford Financial Services Group Inc.  5.500%  10/15/16  3,075  3,219 
Hartford Financial Services Group Inc.  5.375%  3/15/17  2,600  2,707 
Hartford Financial Services Group Inc.  6.300%  3/15/18  900  967 
Hartford Financial Services Group Inc.  6.000%  1/15/19  1,325  1,390 
Hartford Financial Services Group Inc.  5.950%  10/15/36  2,200  2,070 
Hartford Financial Services Group Inc.  6.100%  10/1/41  3,875  3,683 
HCC Insurance Holdings Inc.  6.300%  11/15/19  4,250  4,565 
Humana Inc.  6.450%  6/1/16  175  193 
Humana Inc.  7.200%  6/15/18  6,375  7,189 
Humana Inc.  6.300%  8/1/18  200  215 
Jefferson-Pilot Corp.  4.750%  1/30/14  1,600  1,682 
Lincoln National Corp.  5.650%  8/27/12  2,475  2,614 
Lincoln National Corp.  4.300%  6/15/15  250  260 
Lincoln National Corp.  8.750%  7/1/19  127  160 
Lincoln National Corp.  6.150%  4/7/36  6,350  6,535 
Lincoln National Corp.  7.000%  6/15/40  3,150  3,569 
3 Lincoln National Corp.  7.000%  5/17/66  8,650  8,568 
Loews Corp.  5.250%  3/15/16  3,200  3,419 
Loews Corp.  6.000%  2/1/35  625  627 
Manulife Financial Corp.  3.400%  9/17/15  10,500  10,521 
Manulife Financial Corp.  4.900%  9/17/20  16,225  15,842 
Markel Corp.  7.125%  9/30/19  6,625  7,386 
Marsh & McLennan Cos. Inc.  5.375%  7/15/14  800  860 
Marsh & McLennan Cos. Inc.  5.750%  9/15/15  2,371  2,560 
Marsh & McLennan Cos. Inc.  9.250%  4/15/19  3,750  4,745 
Marsh & McLennan Cos. Inc.  5.875%  8/1/33  400  376 
MetLife Inc.  5.375%  12/15/12  6,050  6,448 
MetLife Inc.  5.000%  11/24/13  4,425  4,758 
MetLife Inc.  2.375%  2/6/14  9,725  9,722 
MetLife Inc.  5.000%  6/15/15  8,926  9,580 
MetLife Inc.  7.717%  2/15/19  1,845  2,234 
MetLife Inc.  4.750%  2/8/21  3,640  3,623 
MetLife Inc.  6.500%  12/15/32  2,700  2,958 
MetLife Inc.  6.375%  6/15/34  2,375  2,572 
MetLife Inc.  5.700%  6/15/35  725  718 
MetLife Inc.  5.875%  2/6/41  11,640  11,721 
3 MetLife Inc.  6.400%  12/15/66  16,012  15,261 
5 Metropolitan Life Global Funding I  2.875%  9/17/12  14,800  15,111 
5 Metropolitan Life Global Funding I  5.125%  6/10/14  3,475  3,763 
3 Nationwide Financial Services  6.750%  12/15/67  550  510 
OneBeacon US Holdings Inc.  5.875%  5/15/13  1,575  1,685 
PartnerRe Finance B LLC  5.500%  6/1/20  11,759  11,718 
Principal Financial Group Inc.  7.875%  5/15/14  650  750 

 

 

Principal Financial Group Inc.  8.875%  5/15/19  4  5 
Principal Financial Group Inc.  6.050%  10/15/36  2,600  2,677 
Principal Life Income Funding Trusts  5.300%  12/14/12  4,300  4,580 
Principal Life Income Funding Trusts  5.300%  4/24/13  5,575  6,001 
Principal Life Income Funding Trusts  5.100%  4/15/14  3,925  4,167 
Progressive Corp.  6.625%  3/1/29  4,700  5,170 
Progressive Corp.  6.250%  12/1/32  225  240 
3 Progressive Corp.  6.700%  6/15/37  7,400  7,807 
Protective Life Corp.  7.375%  10/15/19  5,995  6,679 
Protective Life Corp.  8.450%  10/15/39  5,100  5,683 
Prudential Financial Inc.  5.800%  6/15/12  2,200  2,314 
Prudential Financial Inc.  3.625%  9/17/12  7,550  7,801 
Prudential Financial Inc.  5.150%  1/15/13  2,145  2,262 
Prudential Financial Inc.  4.500%  7/15/13  6,225  6,540 
Prudential Financial Inc.  4.750%  4/1/14  1,875  1,992 
Prudential Financial Inc.  5.100%  9/20/14  12,916  13,908 
Prudential Financial Inc.  3.875%  1/14/15  11,250  11,589 
Prudential Financial Inc.  6.200%  1/15/15  5,150  5,656 
Prudential Financial Inc.  4.750%  9/17/15  2,825  3,002 
Prudential Financial Inc.  5.500%  3/15/16  675  725 
Prudential Financial Inc.  6.100%  6/15/17  1,050  1,156 
Prudential Financial Inc.  6.000%  12/1/17  3,750  4,122 
Prudential Financial Inc.  5.375%  6/21/20  2,475  2,567 
Prudential Financial Inc.  5.750%  7/15/33  900  881 
Prudential Financial Inc.  5.400%  6/13/35  3,975  3,708 
Prudential Financial Inc.  5.900%  3/17/36  5,182  5,165 
Prudential Financial Inc.  5.700%  12/14/36  10,525  10,213 
Prudential Financial Inc.  6.625%  6/21/40  5,325  5,800 
Prudential Financial Inc.  6.200%  11/15/40  4,350  4,484 
3 Reinsurance Group of America Inc.  6.750%  12/15/65  6,950  6,780 
Swiss Re Solutions Holding Corp.  6.450%  3/1/19  1,325  1,421 
Swiss Re Solutions Holding Corp.  7.000%  2/15/26  3,450  3,672 
Swiss Re Solutions Holding Corp.  7.750%  6/15/30  5,975  6,804 
Torchmark Corp.  6.375%  6/15/16  3,500  3,752 
Transatlantic Holdings Inc.  8.000%  11/30/39  14,470  15,096 
Travelers Cos. Inc.  5.375%  6/15/12  200  210 
Travelers Cos. Inc.  5.500%  12/1/15  1,425  1,577 
Travelers Cos. Inc.  6.250%  6/20/16  2,625  2,963 
Travelers Cos. Inc.  5.750%  12/15/17  3,825  4,209 
Travelers Cos. Inc.  5.800%  5/15/18  150  164 
Travelers Cos. Inc.  5.900%  6/2/19  10,600  11,665 
Travelers Cos. Inc.  3.900%  11/1/20  400  378 
Travelers Cos. Inc.  6.250%  6/15/37  15,725  16,836 
Travelers Cos. Inc.  5.350%  11/1/40  2,370  2,244 
Travelers Property Casualty Corp.  5.000%  3/15/13  225  240 
Travelers Property Casualty Corp.  6.375%  3/15/33  325  351 
UnitedHealth Group Inc.  5.500%  11/15/12  7,600  8,106 
UnitedHealth Group Inc.  4.875%  2/15/13  2,350  2,492 
UnitedHealth Group Inc.  4.875%  4/1/13  2,850  3,034 
UnitedHealth Group Inc.  4.875%  3/15/15  2,281  2,456 
UnitedHealth Group Inc.  6.000%  6/15/17  7,500  8,380 
UnitedHealth Group Inc.  6.000%  2/15/18  33,355  37,176 
UnitedHealth Group Inc.  3.875%  10/15/20  170  161 
UnitedHealth Group Inc.  4.700%  2/15/21  500  504 
UnitedHealth Group Inc.  5.800%  3/15/36  2,275  2,253 
UnitedHealth Group Inc.  6.500%  6/15/37  1,350  1,452 
UnitedHealth Group Inc.  6.625%  11/15/37  3,475  3,774 
UnitedHealth Group Inc.  6.875%  2/15/38  3,705  4,153 

 

 

UnitedHealth Group Inc.  5.700%  10/15/40  170  166 
Unum Group  7.125%  9/30/16  3,425  3,843 
Unum Group  5.625%  9/15/20  2,200  2,233 
Validus Holdings Ltd.  8.875%  1/26/40  3,000  3,154 
WellPoint Inc.  6.800%  8/1/12  2,085  2,233 
WellPoint Inc.  6.000%  2/15/14  2,225  2,458 
WellPoint Inc.  5.000%  12/15/14  3,525  3,833 
WellPoint Inc.  5.250%  1/15/16  3,636  3,977 
WellPoint Inc.  5.875%  6/15/17  375  420 
WellPoint Inc.  7.000%  2/15/19  210  247 
WellPoint Inc.  4.350%  8/15/20  2,600  2,584 
WellPoint Inc.  5.950%  12/15/34  6,075  6,211 
WellPoint Inc.  5.850%  1/15/36  5,960  5,979 
WellPoint Inc.  6.375%  6/15/37  1,030  1,104 
WellPoint Inc.  5.800%  8/15/40  1,700  1,670 
Willis North America Inc.  5.625%  7/15/15  3,825  4,056 
Willis North America Inc.  6.200%  3/28/17  2,495  2,644 
Willis North America Inc.  7.000%  9/29/19  20,300  22,099 
WR Berkley Corp.  5.375%  9/15/20  950  957 
XL Group plc  5.250%  9/15/14  5,625  5,959 
XL Group plc  6.375%  11/15/24  525  547 
XL Group plc  6.250%  5/15/27  8,025  7,964 
 
Other Finance (0.0%)         
CME Group Inc.  5.400%  8/1/13  8,450  9,208 
CME Group Inc.  5.750%  2/15/14  3,225  3,561 
NASDAQ OMX Group Inc.  4.000%  1/15/15  3,275  3,249 
NASDAQ OMX Group Inc.  5.550%  1/15/20  2,500  2,426 
XTRA Finance Corp.  5.150%  4/1/17  12,925  13,965 
 
Real Estate Investment Trusts (0.4%)         
AMB Property LP  4.500%  8/15/17  2,600  2,582 
AMB Property LP  6.625%  12/1/19  1,750  1,939 
Arden Realty LP  5.250%  3/1/15  925  991 
AvalonBay Communities Inc.  6.125%  11/1/12  422  454 
AvalonBay Communities Inc.  5.750%  9/15/16  825  917 
Boston Properties LP  5.625%  4/15/15  5,175  5,651 
Boston Properties LP  5.625%  11/15/20  8,925  9,523 
Boston Properties LP  4.125%  5/15/21  1,280  1,210 
Brandywine Operating Partnership LP  5.750%  4/1/12  1,481  1,528 
Brandywine Operating Partnership LP  5.400%  11/1/14  1,000  1,053 
Brandywine Operating Partnership LP  7.500%  5/15/15  3,950  4,457 
Brandywine Operating Partnership LP  5.700%  5/1/17  4,580  4,728 
Camden Property Trust  5.700%  5/15/17  5,025  5,501 
CommonWealth REIT  6.250%  8/15/16  1,425  1,532 
CommonWealth REIT  6.250%  6/15/17  5,075  5,446 
CommonWealth REIT  5.875%  9/15/20  3,200  3,259 
Digital Realty Trust LP  4.500%  7/15/15  2,400  2,459 
Digital Realty Trust LP  5.250%  3/15/21  2,620  2,574 
Duke Realty LP  6.250%  5/15/13  800  863 
Duke Realty LP  7.375%  2/15/15  8,425  9,528 
Duke Realty LP  5.950%  2/15/17  4,200  4,533 
Duke Realty LP  8.250%  8/15/19  3,600  4,315 
Duke Realty LP  6.750%  3/15/20  1,025  1,141 
ERP Operating LP  5.500%  10/1/12  3,050  3,229 
ERP Operating LP  5.250%  9/15/14  1,700  1,848 
ERP Operating LP  5.125%  3/15/16  825  884 
ERP Operating LP  5.375%  8/1/16  3,125  3,394 

 

 

ERP Operating LP  5.750%  6/15/17  1,250  1,382 
HCP Inc.  6.450%  6/25/12  4,525  4,777 
HCP Inc.  5.650%  12/15/13  9,655  10,441 
HCP Inc.  3.750%  2/1/16  16,850  16,906 
HCP Inc.  6.300%  9/15/16  2,640  2,904 
HCP Inc.  6.000%  1/30/17  1,700  1,832 
HCP Inc.  5.625%  5/1/17  100  106 
HCP Inc.  6.700%  1/30/18  6,200  6,901 
HCP Inc.  6.750%  2/1/41  500  517 
Health Care REIT Inc.  6.000%  11/15/13  2,175  2,367 
Health Care REIT Inc.  3.625%  3/15/16  1,450  1,435 
Health Care REIT Inc.  6.200%  6/1/16  9,300  10,175 
Health Care REIT Inc.  4.950%  1/15/21  2,060  1,980 
Health Care REIT Inc.  5.250%  1/15/22  4,075  3,977 
Health Care REIT Inc.  6.500%  3/15/41  1,900  1,838 
Healthcare Realty Trust Inc.  5.125%  4/1/14  1,525  1,608 
Healthcare Realty Trust Inc.  6.500%  1/17/17  2,800  3,071 
Hospitality Properties Trust  6.750%  2/15/13  500  526 
Hospitality Properties Trust  7.875%  8/15/14  3,550  3,991 
Hospitality Properties Trust  5.125%  2/15/15  5,170  5,353 
Kilroy Realty LP  5.000%  11/3/15  3,950  3,986 
Kimco Realty Corp.  5.783%  3/15/16  1,075  1,174 
Kimco Realty Corp.  6.875%  10/1/19  6,650  7,634 
Liberty Property LP  5.125%  3/2/15  8,400  8,966 
Liberty Property LP  5.500%  12/15/16  1,975  2,119 
Liberty Property LP  4.750%  10/1/20  225  221 
Mack-Cali Realty LP  7.750%  8/15/19  2,200  2,623 
National Retail Properties Inc.  6.875%  10/15/17  11,000  11,963 
Nationwide Health Properties Inc.  6.250%  2/1/13  4,150  4,430 
ProLogis  7.625%  8/15/14  600  684 
ProLogis  7.375%  10/30/19  5,100  5,777 
ProLogis  6.875%  3/15/20  7,750  8,467 
Realty Income Corp.  5.950%  9/15/16  150  164 
Realty Income Corp.  6.750%  8/15/19  8,210  9,314 
Realty Income Corp.  5.750%  1/15/21  5,175  5,432 
Regency Centers LP  5.250%  8/1/15  2,925  3,108 
Senior Housing Properties Trust  4.300%  1/15/16  2,175  2,137 
Simon Property Group LP  6.750%  5/15/14  11,480  12,879 
Simon Property Group LP  4.200%  2/1/15  1,550  1,632 
Simon Property Group LP  5.100%  6/15/15  2,286  2,481 
Simon Property Group LP  5.750%  12/1/15  15,350  17,063 
Simon Property Group LP  6.100%  5/1/16  50  56 
Simon Property Group LP  5.250%  12/1/16  8,800  9,526 
Simon Property Group LP  5.875%  3/1/17  3,250  3,609 
Simon Property Group LP  6.125%  5/30/18  4,525  5,059 
Simon Property Group LP  5.650%  2/1/20  3,700  3,974 
Simon Property Group LP  4.375%  3/1/21  350  341 
Simon Property Group LP  6.750%  2/1/40  7,800  8,873 
Tanger Properties LP  6.150%  11/15/15  3,525  3,884 
Ventas Realty LP / Ventas Capital Corp.  3.125%  11/30/15  400  388 
        6,444,733 
Industrial (11.0%)         
Basic Industry (1.1%)         
Agrium Inc.  6.750%  1/15/19  7,100  8,174 
Agrium Inc.  6.125%  1/15/41  1,800  1,860 
Airgas Inc.  4.500%  9/15/14  2,325  2,427 
Airgas Inc.  3.250%  10/1/15  5,400  5,382 

 

 

Albemarle Corp.  4.500%  12/15/20  1,300  1,274 
Alcoa Inc.  5.375%  1/15/13  4,010  4,268 
Alcoa Inc.  6.000%  7/15/13  11,005  12,017 
Alcoa Inc.  5.550%  2/1/17  500  527 
Alcoa Inc.  6.750%  7/15/18  200  221 
Alcoa Inc.  5.720%  2/23/19  5,288  5,492 
Alcoa Inc.  6.150%  8/15/20  8,575  9,056 
Alcoa Inc.  5.870%  2/23/22  1,787  1,823 
Alcoa Inc.  5.900%  2/1/27  12,365  12,084 
Alcoa Inc.  6.750%  1/15/28  13,550  14,138 
Alcoa Inc.  5.950%  2/1/37  7,500  7,071 
Allegheny Technologies Inc.  9.375%  6/1/19  25  31 
AngloGold Ashanti Holdings plc  5.375%  4/15/20  6,450  6,522 
AngloGold Ashanti Holdings plc  6.500%  4/15/40  2,275  2,268 
ArcelorMittal  5.375%  6/1/13  16,101  17,087 
ArcelorMittal  9.000%  2/15/15  8,425  10,070 
ArcelorMittal  3.750%  8/5/15  3,400  3,421 
ArcelorMittal  6.125%  6/1/18  9,025  9,652 
ArcelorMittal  9.850%  6/1/19  12,350  15,637 
ArcelorMittal  5.250%  8/5/20  3,600  3,515 
ArcelorMittal  5.500%  3/1/21  4,700  4,616 
ArcelorMittal  7.000%  10/15/39  11,410  11,375 
ArcelorMittal  6.750%  3/1/41  4,800  4,671 
Barrick Gold Corp.  6.950%  4/1/19  11,574  13,812 
Barrick Gold Finance Co.  4.875%  11/15/14  2,700  2,929 
Barrick Gold Financeco LLC  6.125%  9/15/13  13,200  14,624 
Barrick North America Finance LLC  6.800%  9/15/18  5,325  6,296 
Barrick North America Finance LLC  7.500%  9/15/38  6,875  8,432 
Barrick PD Australia Finance Pty Ltd.  5.950%  10/15/39  2,175  2,240 
BHP Billiton Finance USA Ltd.  8.500%  12/1/12  125  140 
BHP Billiton Finance USA Ltd.  4.800%  4/15/13  7,676  8,219 
BHP Billiton Finance USA Ltd.  5.500%  4/1/14  8,865  9,823 
BHP Billiton Finance USA Ltd.  5.250%  12/15/15  3,575  3,972 
BHP Billiton Finance USA Ltd.  5.400%  3/29/17  25  28 
BHP Billiton Finance USA Ltd.  6.500%  4/1/19  19,500  23,042 
Celulosa Arauco y Constitucion SA  5.125%  7/9/13  1,175  1,234 
^ Celulosa Arauco y Constitucion SA  5.625%  4/20/15  3,675  3,890 
Celulosa Arauco y Constitucion SA  7.250%  7/29/19  2,000  2,304 
5 Celulosa Arauco y Constitucion SA  5.000%  1/21/21  5,300  5,198 
Cliffs Natural Resources Inc.  5.900%  3/15/20  2,850  3,029 
Cliffs Natural Resources Inc.  4.875%  4/1/21  250  246 
Cliffs Natural Resources Inc.  6.250%  10/1/40  8,200  8,107 
Commercial Metals Co.  6.500%  7/15/17  2,250  2,303 
Commercial Metals Co.  7.350%  8/15/18  5,725  5,982 
Cytec Industries Inc.  8.950%  7/1/17  1,575  1,917 
Dow Chemical Co.  4.850%  8/15/12  16,630  17,422 
Dow Chemical Co.  6.000%  10/1/12  1,680  1,795 
Dow Chemical Co.  7.600%  5/15/14  12,500  14,433 
Dow Chemical Co.  5.900%  2/15/15  31,175  34,491 
Dow Chemical Co.  2.500%  2/15/16  625  600 
Dow Chemical Co.  5.700%  5/15/18  500  538 
Dow Chemical Co.  4.250%  11/15/20  7,392  7,066 
Dow Chemical Co.  7.375%  11/1/29  3,550  4,246 
Dow Chemical Co.  9.400%  5/15/39  11,949  17,776 
Eastman Chemical Co.  3.000%  12/15/15  675  668 
Eastman Chemical Co.  5.500%  11/15/19  2,200  2,305 
Eastman Chemical Co.  4.500%  1/15/21  775  753 
EI du Pont de Nemours & Co.  4.750%  11/15/12  3,320  3,515 

 

 

EI du Pont de Nemours & Co.  5.000%  1/15/13  6,333  6,759 
EI du Pont de Nemours & Co.  5.000%  7/15/13  7,075  7,623 
EI du Pont de Nemours & Co.  1.750%  3/25/14  5,000  4,967 
EI du Pont de Nemours & Co.  1.950%  1/15/16  2,800  2,694 
EI du Pont de Nemours & Co.  2.750%  4/1/16  5,000  4,949 
EI du Pont de Nemours & Co.  5.250%  12/15/16  836  933 
EI du Pont de Nemours & Co.  6.000%  7/15/18  6,725  7,635 
EI du Pont de Nemours & Co.  4.625%  1/15/20  2,050  2,115 
EI du Pont de Nemours & Co.  3.625%  1/15/21  5,150  4,887 
EI du Pont de Nemours & Co.  4.250%  4/1/21  2,950  2,917 
EI du Pont de Nemours & Co.  6.500%  1/15/28  1,700  1,940 
EI du Pont de Nemours & Co.  4.900%  1/15/41  2,275  2,103 
Freeport-McMoRan Copper & Gold Inc.  8.250%  4/1/15  14,720  15,327 
Freeport-McMoRan Copper & Gold Inc.  8.375%  4/1/17  22,175  24,393 
ICI Wilmington Inc.  5.625%  12/1/13  700  754 
International Paper Co.  5.300%  4/1/15  4,600  4,962 
International Paper Co.  7.950%  6/15/18  10,475  12,568 
International Paper Co.  9.375%  5/15/19  21,600  27,789 
International Paper Co.  7.500%  8/15/21  27,525  32,163 
International Paper Co.  8.700%  6/15/38  1,200  1,543 
International Paper Co.  7.300%  11/15/39  625  696 
Lubrizol Corp.  5.500%  10/1/14  10,125  11,269 
Lubrizol Corp.  8.875%  2/1/19  850  1,092 
Lubrizol Corp.  6.500%  10/1/34  5,285  5,710 
Monsanto Co.  7.375%  8/15/12  1,050  1,139 
Monsanto Co.  5.125%  4/15/18  3,100  3,348 
Monsanto Co.  5.875%  4/15/38  1,750  1,903 
Newmont Mining Corp.  5.125%  10/1/19  1,550  1,657 
Newmont Mining Corp.  5.875%  4/1/35  2,600  2,627 
Newmont Mining Corp.  6.250%  10/1/39  23,752  25,044 
Nucor Corp.  5.000%  12/1/12  800  850 
Nucor Corp.  5.000%  6/1/13  200  215 
Nucor Corp.  5.750%  12/1/17  1,100  1,244 
Nucor Corp.  5.850%  6/1/18  5,200  5,894 
Nucor Corp.  4.125%  9/15/22  325  312 
Nucor Corp.  6.400%  12/1/37  4,185  4,743 
Placer Dome Inc.  6.450%  10/15/35  2,175  2,322 
Plum Creek Timberlands LP  5.875%  11/15/15  3,550  3,778 
Plum Creek Timberlands LP  4.700%  3/15/21  3,380  3,233 
Potash Corp. of Saskatchewan Inc.  4.875%  3/1/13  3,950  4,207 
Potash Corp. of Saskatchewan Inc.  5.250%  5/15/14  775  843 
Potash Corp. of Saskatchewan Inc.  3.750%  9/30/15  5,350  5,553 
Potash Corp. of Saskatchewan Inc.  3.250%  12/1/17  2,100  2,046 
Potash Corp. of Saskatchewan Inc.  6.500%  5/15/19  150  173 
Potash Corp. of Saskatchewan Inc.  4.875%  3/30/20  6,485  6,727 
Potash Corp. of Saskatchewan Inc.  5.875%  12/1/36  1,250  1,280 
Potash Corp. of Saskatchewan Inc.  5.625%  12/1/40  3,650  3,650 
PPG Industries Inc.  5.750%  3/15/13  3,915  4,224 
PPG Industries Inc.  6.650%  3/15/18  8,715  10,121 
PPG Industries Inc.  7.700%  3/15/38  250  311 
Praxair Inc.  6.375%  4/1/12  1,875  1,975 
Praxair Inc.  1.750%  11/15/12  2,400  2,430 
Praxair Inc.  3.950%  6/1/13  775  820 
Praxair Inc.  4.375%  3/31/14  2,775  2,967 
Praxair Inc.  5.250%  11/15/14  6,850  7,591 
Praxair Inc.  4.625%  3/30/15  325  351 
Praxair Inc.  3.250%  9/15/15  800  827 
Praxair Inc.  5.200%  3/15/17  1,100  1,214 

 

 

Praxair Inc.  4.500%  8/15/19  2,525  2,629 
Reliance Steel & Aluminum Co.  6.200%  11/15/16  250  270 
Reliance Steel & Aluminum Co.  6.850%  11/15/36  550  537 
Rio Tinto Alcan Inc.  4.875%  9/15/12  1,150  1,210 
Rio Tinto Alcan Inc.  4.500%  5/15/13  5,875  6,239 
Rio Tinto Alcan Inc.  5.200%  1/15/14  675  716 
Rio Tinto Alcan Inc.  5.000%  6/1/15  1,775  1,915 
Rio Tinto Alcan Inc.  6.125%  12/15/33  10,625  11,202 
Rio Tinto Finance USA Ltd.  8.950%  5/1/14  22,727  27,293 
Rio Tinto Finance USA Ltd.  1.875%  11/2/15  8,725  8,372 
Rio Tinto Finance USA Ltd.  6.500%  7/15/18  6,310  7,251 
Rio Tinto Finance USA Ltd.  9.000%  5/1/19  10,786  14,136 
Rio Tinto Finance USA Ltd.  3.500%  11/2/20  4,915  4,566 
Rio Tinto Finance USA Ltd.  7.125%  7/15/28  4,450  5,347 
Rio Tinto Finance USA Ltd.  5.200%  11/2/40  6,650  6,245 
Rohm and Haas Co.  5.600%  3/15/13  150  161 
Rohm and Haas Co.  6.000%  9/15/17  8,475  9,342 
Sherwin-Williams Co.  3.125%  12/15/14  3,225  3,333 
Sigma-Aldrich Corp.  3.375%  11/1/20  1,585  1,475 
Southern Copper Corp.  5.375%  4/16/20  1,800  1,840 
Southern Copper Corp.  7.500%  7/27/35  12,600  13,556 
Southern Copper Corp.  6.750%  4/16/40  1,050  1,064 
Teck Resources Ltd.  9.750%  5/15/14  7,225  8,760 
Teck Resources Ltd.  10.250%  5/15/16  10,475  12,596 
Teck Resources Ltd.  3.850%  8/15/17  4,100  4,081 
Teck Resources Ltd.  10.750%  5/15/19  9,300  11,927 
Teck Resources Ltd.  6.125%  10/1/35  3,862  3,968 
Teck Resources Ltd.  6.000%  8/15/40  350  350 
Vale Canada Ltd.  7.750%  5/15/12  160  172 
Vale Canada Ltd.  5.700%  10/15/15  3,550  3,886 
Vale Canada Ltd.  7.200%  9/15/32  1,175  1,266 
Vale Overseas Ltd.  6.250%  1/11/16  2,050  2,286 
Vale Overseas Ltd.  6.250%  1/23/17  2,750  3,079 
Vale Overseas Ltd.  5.625%  9/15/19  18,550  19,420 
Vale Overseas Ltd.  4.625%  9/15/20  7,700  7,481 
Vale Overseas Ltd.  8.250%  1/17/34  2,450  2,968 
Vale Overseas Ltd.  6.875%  11/21/36  14,654  15,593 
Vale Overseas Ltd.  6.875%  11/10/39  18,320  19,546 
Valspar Corp.  7.250%  6/15/19  1,100  1,251 
WMC Finance USA Ltd.  5.125%  5/15/13  425  459 
Xstrata Canada Corp.  7.350%  6/5/12  1,075  1,145 
Xstrata Canada Corp.  7.250%  7/15/12  3,325  3,552 
Xstrata Canada Corp.  5.375%  6/1/15  350  372 
Xstrata Canada Corp.  6.000%  10/15/15  1,125  1,232 
Xstrata Canada Corp.  5.500%  6/15/17  5,575  5,938 
 
Capital Goods (1.0%)         
3M Co.  4.500%  11/1/11  425  435 
3M Co.  6.375%  2/15/28  3,650  4,147 
3M Co.  5.700%  3/15/37  5,000  5,425 
Acuity Brands Lighting Inc.  6.000%  12/15/19  2,975  3,098 
Allied Waste North America Inc.  7.125%  5/15/16  4,150  4,337 
5 BAE Systems Holdings Inc.  5.200%  8/15/15  600  640 
Bemis Co. Inc.  4.875%  4/1/12  1,375  1,418 
Bemis Co. Inc.  5.650%  8/1/14  2,625  2,841 
Black & Decker Corp.  8.950%  4/15/14  1,200  1,416 
Black & Decker Corp.  5.750%  11/15/16  2,325  2,565 
Boeing Capital Corp.  5.800%  1/15/13  436  471 

 

 

Boeing Capital Corp.  3.250%  10/27/14  700  731 
Boeing Co.  1.875%  11/20/12  6,885  6,995 
Boeing Co.  3.500%  2/15/15  14,150  14,762 
Boeing Co.  6.000%  3/15/19  25  29 
Boeing Co.  4.875%  2/15/20  3,200  3,410 
Boeing Co.  8.750%  8/15/21  800  1,075 
Boeing Co.  7.250%  6/15/25  675  811 
Boeing Co.  8.750%  9/15/31  850  1,145 
Boeing Co.  6.125%  2/15/33  800  900 
Boeing Co.  6.625%  2/15/38  2,180  2,547 
Boeing Co.  6.875%  3/15/39  1,610  1,944 
Boeing Co.  5.875%  2/15/40  3,950  4,207 
Browning-Ferris Industries Inc.  7.400%  9/15/35  4,500  5,288 
Caterpillar Financial Services Corp.  4.850%  12/7/12  300  319 
Caterpillar Financial Services Corp.  1.900%  12/17/12  1,850  1,885 
Caterpillar Financial Services Corp.  4.250%  2/8/13  4,175  4,405 
Caterpillar Financial Services Corp.  6.200%  9/30/13  620  690 
Caterpillar Financial Services Corp.  6.125%  2/17/14  12,175  13,692 
Caterpillar Financial Services Corp.  1.650%  4/1/14  425  423 
Caterpillar Financial Services Corp.  4.750%  2/17/15  4,550  4,953 
Caterpillar Financial Services Corp.  4.625%  6/1/15  2,625  2,820 
Caterpillar Financial Services Corp.  2.650%  4/1/16  650  644 
Caterpillar Financial Services Corp.  7.150%  2/15/19  38,800  47,210 
Caterpillar Inc.  7.000%  12/15/13  1,575  1,796 
Caterpillar Inc.  6.625%  7/15/28  2,075  2,482 
Caterpillar Inc.  7.300%  5/1/31  1,100  1,406 
Caterpillar Inc.  6.050%  8/15/36  14,475  16,207 
Caterpillar Inc.  8.250%  12/15/38  800  1,129 
Caterpillar Inc.  6.950%  5/1/42  950  1,150 
Caterpillar Inc.  7.375%  3/1/97  5,100  5,955 
Cooper US Inc.  5.250%  11/15/12  4,250  4,520 
Cooper US Inc.  5.450%  4/1/15  1,925  2,113 
Cooper US Inc.  2.375%  1/15/16  1,425  1,397 
CRH America Inc.  5.300%  10/15/13  875  931 
CRH America Inc.  4.125%  1/15/16  6,425  6,439 
CRH America Inc.  6.000%  9/30/16  12,511  13,494 
CRH America Inc.  8.125%  7/15/18  11,750  13,717 
CRH America Inc.  5.750%  1/15/21  6,800  6,968 
Danaher Corp.  5.625%  1/15/18  2,375  2,635 
Danaher Corp.  5.400%  3/1/19  1,700  1,865 
Deere & Co.  6.950%  4/25/14  6,195  7,141 
Deere & Co.  4.375%  10/16/19  4,775  4,967 
Deere & Co.  5.375%  10/16/29  7,675  8,091 
Deere & Co.  8.100%  5/15/30  3,405  4,554 
Deere & Co.  7.125%  3/3/31  925  1,154 
Dover Corp.  5.450%  3/15/18  6,650  7,336 
Dover Corp.  5.375%  10/15/35  550  550 
Dover Corp.  6.600%  3/15/38  3,115  3,655 
Dover Corp.  5.375%  3/1/41  350  350 
Eaton Corp.  4.900%  5/15/13  11,085  11,876 
Eaton Corp.  5.600%  5/15/18  2,600  2,864 
Embraer Overseas Ltd.  6.375%  1/24/17  4,625  5,003 
Embraer Overseas Ltd.  6.375%  1/15/20  350  374 
Emerson Electric Co.  4.625%  10/15/12  6,625  6,998 
Emerson Electric Co.  4.500%  5/1/13  4,025  4,283 
Emerson Electric Co.  5.250%  10/15/18  6,625  7,263 
Emerson Electric Co.  4.875%  10/15/19  4,575  4,873 
Emerson Electric Co.  4.250%  11/15/20  425  429 

 

 

Emerson Electric Co.  6.000%  8/15/32  1,065  1,167 
Emerson Electric Co.  6.125%  4/15/39  1,575  1,772 
Emerson Electric Co.  5.250%  11/15/39  4,420  4,416 
General Dynamics Corp.  4.250%  5/15/13  10,315  11,003 
General Dynamics Corp.  5.250%  2/1/14  13,025  14,357 
General Electric Co.  5.000%  2/1/13  29,990  31,922 
General Electric Co.  5.250%  12/6/17  40,062  43,521 
Goodrich Corp.  6.125%  3/1/19  1,695  1,890 
Goodrich Corp.  4.875%  3/1/20  22,925  23,790 
Goodrich Corp.  3.600%  2/1/21  3,775  3,531 
Goodrich Corp.  6.800%  7/1/36  80  92 
Harsco Corp.  5.750%  5/15/18  19,813  21,596 
Honeywell International Inc.  4.250%  3/1/13  1,200  1,272 
Honeywell International Inc.  3.875%  2/15/14  425  453 
Honeywell International Inc.  5.400%  3/15/16  1,650  1,853 
Honeywell International Inc.  5.300%  3/15/17  5,100  5,678 
Honeywell International Inc.  5.300%  3/1/18  650  720 
Honeywell International Inc.  5.000%  2/15/19  1,825  1,970 
Honeywell International Inc.  5.700%  3/15/36  2,425  2,584 
Honeywell International Inc.  5.700%  3/15/37  4,125  4,389 
Honeywell International Inc.  5.375%  3/1/41  225  227 
Illinois Tool Works Inc.  5.150%  4/1/14  4,325  4,759 
Illinois Tool Works Inc.  6.250%  4/1/19  8,925  10,354 
Ingersoll-Rand Global Holding Co. Ltd.  6.000%  8/15/13  4,150  4,572 
Ingersoll-Rand Global Holding Co. Ltd.  9.500%  4/15/14  13,475  16,125 
Ingersoll-Rand Global Holding Co. Ltd.  6.875%  8/15/18  5,825  6,735 
John Deere Capital Corp.  5.250%  10/1/12  850  902 
John Deere Capital Corp.  4.950%  12/17/12  3,450  3,675 
John Deere Capital Corp.  4.900%  9/9/13  8,275  8,963 
John Deere Capital Corp.  2.950%  3/9/15  7,375  7,543 
John Deere Capital Corp.  5.500%  4/13/17  250  279 
John Deere Capital Corp.  2.800%  9/18/17  5,625  5,488 
John Deere Capital Corp.  5.750%  9/10/18  3,950  4,453 
Joy Global Inc.  6.000%  11/15/16  1,850  2,015 
L-3 Communications Corp.  5.200%  10/15/19  4,650  4,839 
L-3 Communications Corp.  4.750%  7/15/20  3,400  3,383 
L-3 Communications Corp.  4.950%  2/15/21  3,750  3,759 
Lafarge SA  6.500%  7/15/16  6,625  7,026 
Lafarge SA  7.125%  7/15/36  20,175  19,597 
Lockheed Martin Corp.  4.121%  3/14/13  2,250  2,369 
Lockheed Martin Corp.  7.650%  5/1/16  4,800  5,812 
Lockheed Martin Corp.  4.250%  11/15/19  4,650  4,677 
Lockheed Martin Corp.  6.150%  9/1/36  10,500  11,390 
Lockheed Martin Corp.  5.500%  11/15/39  1,850  1,835 
5 Lockheed Martin Corp.  5.720%  6/1/40  3,557  3,631 
Martin Marietta Materials Inc.  6.600%  4/15/18  5,450  5,948 
Northrop Grumman Corp.  3.500%  3/15/21  275  254 
Northrop Grumman Corp.  5.050%  11/15/40  6,325  5,880 
Northrop Grumman Systems Corp.  7.750%  2/15/31  381  490 
Owens Corning  6.500%  12/1/16  30,080  32,627 
Owens Corning  7.000%  12/1/36  725  727 
Parker Hannifin Corp.  5.500%  5/15/18  1,375  1,528 
Parker Hannifin Corp.  3.500%  9/15/22  500  463 
Parker Hannifin Corp.  6.250%  5/15/38  4,735  5,344 
Raytheon Co.  6.400%  12/15/18  400  465 
Raytheon Co.  4.400%  2/15/20  2,500  2,533 
Raytheon Co.  3.125%  10/15/20  890  812 
Raytheon Co.  7.200%  8/15/27  3,575  4,412 

 

 

  Raytheon Co.  4.875%  10/15/40  1,000  906 
  Republic Services Inc.  5.500%  9/15/19  17,750  19,026 
  Republic Services Inc.  5.000%  3/1/20  3,075  3,182 
  Republic Services Inc.  5.250%  11/15/21  12,735  13,294 
  Republic Services Inc.  6.086%  3/15/35  2,375  2,439 
  Republic Services Inc.  6.200%  3/1/40  4,155  4,365 
  Rockwell Automation Inc.  5.650%  12/1/17  1,150  1,276 
  Rockwell Automation Inc.  6.700%  1/15/28  1,025  1,166 
  Rockwell Automation Inc.  6.250%  12/1/37  3,975  4,327 
  Rockwell Collins Inc.  5.250%  7/15/19  850  916 
  Roper Industries Inc.  6.625%  8/15/13  9,250  10,211 
  Roper Industries Inc.  6.250%  9/1/19  2,350  2,585 
  Sonoco Products Co.  5.750%  11/1/40  4,450  4,372 
  Stanley Black & Decker Inc.  5.200%  9/1/40  2,000  1,906 
3,5 Systems 2001 AT LLC  7.156%  12/15/11  346  354 
  Textron Inc.  5.600%  12/1/17  975  1,008 
  Tyco International Finance SA  6.000%  11/15/13  6,730  7,445 
  Tyco International Finance SA  3.750%  1/15/18  1,250  1,250 
  Tyco International Finance SA  8.500%  1/15/19  925  1,186 
  Tyco International Finance SA  4.625%  1/15/23  975  973 
  Tyco International Ltd. / Tyco International         
  Finance SA  7.000%  12/15/19  2,975  3,579 
  Tyco International Ltd. / Tyco International         
  Finance SA  6.875%  1/15/21  5,360  6,360 
  United Technologies Corp.  6.100%  5/15/12  125  132 
  United Technologies Corp.  4.875%  5/1/15  125  138 
  United Technologies Corp.  5.375%  12/15/17  12,175  13,624 
  United Technologies Corp.  6.125%  2/1/19  733  850 
  United Technologies Corp.  4.500%  4/15/20  29,875  31,070 
  United Technologies Corp.  6.700%  8/1/28  1,367  1,626 
  United Technologies Corp.  7.500%  9/15/29  2,325  2,995 
  United Technologies Corp.  5.400%  5/1/35  6,375  6,526 
  United Technologies Corp.  6.050%  6/1/36  5,152  5,689 
  United Technologies Corp.  6.125%  7/15/38  3,308  3,712 
  United Technologies Corp.  5.700%  4/15/40  8,100  8,596 
  Waste Management Inc.  6.375%  11/15/12  700  757 
  Waste Management Inc.  5.000%  3/15/14  1,175  1,264 
  Waste Management Inc.  6.375%  3/11/15  3,400  3,840 
  Waste Management Inc.  7.375%  3/11/19  9,632  11,556 
  Waste Management Inc.  4.750%  6/30/20  500  508 
  Waste Management Inc.  4.600%  3/1/21  6,400  6,355 
  Waste Management Inc.  7.100%  8/1/26  875  1,025 
  Waste Management Inc.  7.000%  7/15/28  80  93 
  Waste Management Inc.  7.750%  5/15/32  850  1,047 
  Waste Management Inc.  6.125%  11/30/39  7,125  7,370 
 
  Communication (2.3%)         
  Alltel Corp.  7.000%  3/15/16  5,000  5,857 
  Alltel Corp.  7.875%  7/1/32  4,275  5,491 
  America Movil SAB de CV  5.500%  3/1/14  2,150  2,354 
  America Movil SAB de CV  5.750%  1/15/15  14,650  16,114 
5  America Movil SAB de CV  5.750%  1/15/15  15,592  17,150 
  America Movil SAB de CV  5.625%  11/15/17  4,240  4,666 
  America Movil SAB de CV  5.000%  10/16/19  2,200  2,272 
  America Movil SAB de CV  5.000%  3/30/20  1,300  1,347 
  America Movil SAB de CV  6.375%  3/1/35  17,400  18,681 
  America Movil SAB de CV  6.125%  11/15/37  4,300  4,516 
  America Movil SAB de CV  6.125%  3/30/40  7,400  7,836 

 

 

American Tower Corp.  4.625%  4/1/15  6,075  6,299 
American Tower Corp.  4.500%  1/15/18  13,100  12,821 
AT&T Corp.  8.000%  11/15/31  15,489  19,374 
AT&T Inc.  5.875%  8/15/12  4,960  5,286 
AT&T Inc.  4.950%  1/15/13  16,685  17,762 
AT&T Inc.  6.700%  11/15/13  5,825  6,552 
AT&T Inc.  4.850%  2/15/14  8,100  8,754 
AT&T Inc.  5.100%  9/15/14  12,310  13,473 
AT&T Inc.  2.500%  8/15/15  3,950  3,911 
AT&T Inc.  5.625%  6/15/16  33,520  37,342 
AT&T Inc.  5.500%  2/1/18  2,181  2,382 
AT&T Inc.  5.600%  5/15/18  6,050  6,625 
AT&T Inc.  5.800%  2/15/19  45,320  50,263 
AT&T Inc.  6.450%  6/15/34  5,625  5,843 
AT&T Inc.  6.150%  9/15/34  525  526 
AT&T Inc.  6.800%  5/15/36  312  334 
AT&T Inc.  6.500%  9/1/37  25,675  26,521 
AT&T Inc.  6.300%  1/15/38  23,702  23,873 
AT&T Inc.  6.400%  5/15/38  5,895  6,015 
AT&T Inc.  6.550%  2/15/39  8,520  8,862 
5 AT&T Inc.  5.350%  9/1/40  8,162  7,285 
AT&T Mobility LLC  7.125%  12/15/31  10,015  11,623 
Bellsouth Capital Funding Corp.  7.875%  2/15/30  10,400  12,407 
BellSouth Corp.  5.200%  9/15/14  1,650  1,800 
BellSouth Corp.  5.200%  12/15/16  5,850  6,403 
BellSouth Corp.  6.875%  10/15/31  5,100  5,557 
BellSouth Corp.  6.550%  6/15/34  7,136  7,437 
BellSouth Corp.  6.000%  11/15/34  4,586  4,471 
BellSouth Telecommunications Inc.  6.375%  6/1/28  7,300  7,684 
British Telecommunications plc  5.150%  1/15/13  8,323  8,845 
British Telecommunications plc  5.950%  1/15/18  11,850  13,062 
British Telecommunications plc  9.875%  12/15/30  12,377  17,125 
CBS Corp.  5.625%  8/15/12  157  166 
CBS Corp.  4.625%  5/15/18  400  404 
CBS Corp.  8.875%  5/15/19  4,575  5,742 
CBS Corp.  5.750%  4/15/20  8,725  9,229 
CBS Corp.  4.300%  2/15/21  3,775  3,557 
CBS Corp.  7.875%  7/30/30  2,066  2,395 
CBS Corp.  5.500%  5/15/33  650  590 
CBS Corp.  5.900%  10/15/40  800  746 
Cellco Partnership / Verizon Wireless Capital         
LLC  7.375%  11/15/13  21,575  24,596 
Cellco Partnership / Verizon Wireless Capital         
LLC  5.550%  2/1/14  31,767  34,841 
Cellco Partnership / Verizon Wireless Capital         
LLC  8.500%  11/15/18  17,400  22,310 
CenturyLink Inc.  5.000%  2/15/15  500  525 
CenturyLink Inc.  6.000%  4/1/17  325  346 
CenturyLink Inc.  6.150%  9/15/19  2,550  2,661 
CenturyLink Inc.  6.875%  1/15/28  800  809 
CenturyLink Inc.  7.600%  9/15/39  4,875  5,194 
Comcast Cable Communications Holdings         
Inc.  8.375%  3/15/13  2,777  3,131 
Comcast Cable Communications Holdings         
Inc.  9.455%  11/15/22  7,156  9,673 
Comcast Cable Communications LLC  8.875%  5/1/17  2,475  3,093 
Comcast Corp.  5.300%  1/15/14  4,180  4,549 
Comcast Corp.  6.500%  1/15/15  3,295  3,725 

 

 

Comcast Corp.  5.900%  3/15/16  10,475  11,626 
Comcast Corp.  6.500%  1/15/17  515  587 
Comcast Corp.  6.300%  11/15/17  38,075  42,945 
Comcast Corp.  5.875%  2/15/18  13,550  14,934 
Comcast Corp.  5.700%  5/15/18  4,600  5,015 
Comcast Corp.  5.700%  7/1/19  1,150  1,247 
Comcast Corp.  5.150%  3/1/20  800  831 
Comcast Corp.  5.650%  6/15/35  3,125  2,931 
Comcast Corp.  6.500%  11/15/35  15,300  15,727 
Comcast Corp.  6.450%  3/15/37  7,718  7,889 
Comcast Corp.  6.950%  8/15/37  6,265  6,806 
Comcast Corp.  6.400%  5/15/38  13,356  13,553 
Comcast Corp.  6.400%  3/1/40  3,900  3,949 
COX Communications Inc.  7.125%  10/1/12  8,625  9,343 
COX Communications Inc.  5.450%  12/15/14  10,210  11,239 
COX Communications Inc.  5.500%  10/1/15  625  684 
5 COX Communications Inc.  8.375%  3/1/39  4,100  5,163 
Deutsche Telekom International Finance BV  5.875%  8/20/13  11,050  12,117 
Deutsche Telekom International Finance BV  4.875%  7/8/14  5,025  5,429 
Deutsche Telekom International Finance BV  5.750%  3/23/16  7,965  8,914 
Deutsche Telekom International Finance BV  6.750%  8/20/18  325  383 
Deutsche Telekom International Finance BV  6.000%  7/8/19  7,175  8,111 
Deutsche Telekom International Finance BV  8.750%  6/15/30  15,836  20,660 
DIRECTV Holdings LLC  3.500%  3/1/16  7,000  6,990 
DIRECTV Holdings LLC  5.200%  3/15/20  3,950  4,058 
DIRECTV Holdings LLC  6.350%  3/15/40  1,875  1,879 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.750%  10/1/14  3,875  4,162 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  3.550%  3/15/15  8,200  8,372 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  7.625%  5/15/16  3,575  3,937 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  5.875%  10/1/19  29,500  31,907 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.600%  2/15/21  250  243 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  5.000%  3/1/21  2,400  2,402 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  6.000%  8/15/40  2,200  2,105 
Discovery Communications LLC  5.050%  6/1/20  8,500  8,822 
Discovery Communications LLC  6.350%  6/1/40  250  258 
Embarq Corp.  6.738%  6/1/13  500  542 
Embarq Corp.  7.082%  6/1/16  17,331  19,690 
Embarq Corp.  7.995%  6/1/36  16,990  19,143 
France Telecom SA  4.375%  7/8/14  8,900  9,547 
France Telecom SA  2.125%  9/16/15  1,500  1,466 
France Telecom SA  8.500%  3/1/31  16,300  21,916 
Grupo Televisa SA  6.625%  3/18/25  3,350  3,694 
Grupo Televisa SA  8.500%  3/11/32  550  691 
Grupo Televisa SA  6.625%  1/15/40  600  646 
GTE Corp.  8.750%  11/1/21  2,935  3,774 
GTE Corp.  6.940%  4/15/28  4,170  4,626 
Koninklijke KPN NV  8.375%  10/1/30  3,505  4,537 
McGraw-Hill Cos. Inc.  5.375%  11/15/12  1,550  1,629 
McGraw-Hill Cos. Inc.  5.900%  11/15/17  5,050  5,497 
McGraw-Hill Cos. Inc.  6.550%  11/15/37  6,650  6,937 
5 NBCUniversal Media LLC  2.100%  4/1/14  3,300  3,281 

 

 

5 NBCUniversal Media LLC  3.650%  4/30/15  8,175  8,357 
5 NBCUniversal Media LLC  2.875%  4/1/16  4,075  3,948 
5 NBCUniversal Media LLC  5.150%  4/30/20  7,425  7,631 
5 NBCUniversal Media LLC  4.375%  4/1/21  4,225  4,071 
5 NBCUniversal Media LLC  6.400%  4/30/40  17,950  18,541 
5 NBCUniversal Media LLC  5.950%  4/1/41  3,100  3,013 
New Cingular Wireless Services Inc.  8.125%  5/1/12  25,779  27,743 
New Cingular Wireless Services Inc.  8.750%  3/1/31  195  270 
News America Inc.  9.250%  2/1/13  151  172 
News America Inc.  5.300%  12/15/14  4,050  4,455 
News America Inc.  8.000%  10/17/16  3,840  4,642 
News America Inc.  7.250%  5/18/18  150  178 
News America Inc.  6.900%  3/1/19  2,500  2,919 
5 News America Inc.  4.500%  2/15/21  6,300  6,192 
News America Inc.  7.700%  10/30/25  1,175  1,397 
News America Inc.  6.550%  3/15/33  11,665  12,186 
News America Inc.  6.200%  12/15/34  14,366  14,355 
News America Inc.  6.400%  12/15/35  17,135  17,509 
News America Inc.  8.150%  10/17/36  2,175  2,643 
News America Inc.  6.650%  11/15/37  2,030  2,136 
News America Inc.  6.900%  8/15/39  4,900  5,323 
5 News America Inc.  6.150%  2/15/41  5,325  5,271 
News America Inc.  7.750%  12/1/45  1,460  1,725 
Omnicom Group Inc.  5.900%  4/15/16  750  836 
Omnicom Group Inc.  4.450%  8/15/20  12,300  12,052 
Pacific Bell Telephone Co.  7.125%  3/15/26  1,275  1,458 
Qwest Corp.  7.500%  10/1/14  8,200  9,338 
Qwest Corp.  8.375%  5/1/16  14,450  17,195 
Qwest Corp.  6.500%  6/1/17  3,300  3,642 
Qwest Corp.  7.500%  6/15/23  3,925  3,930 
Qwest Corp.  7.250%  9/15/25  1,360  1,430 
Qwest Corp.  6.875%  9/15/33  7,150  7,123 
Qwest Corp.  7.125%  11/15/43  4,775  4,691 
Reed Elsevier Capital Inc.  4.625%  6/15/12  1,100  1,136 
Reed Elsevier Capital Inc.  7.750%  1/15/14  3,825  4,365 
Reed Elsevier Capital Inc.  8.625%  1/15/19  11,264  14,226 
Rogers Communications Inc.  6.375%  3/1/14  13,425  15,032 
Rogers Communications Inc.  5.500%  3/15/14  1,450  1,588 
Rogers Communications Inc.  6.800%  8/15/18  16,940  19,705 
Rogers Communications Inc.  7.500%  8/15/38  725  890 
RR Donnelley & Sons Co.  4.950%  4/1/14  1,000  1,034 
RR Donnelley & Sons Co.  5.500%  5/15/15  1,335  1,379 
RR Donnelley & Sons Co.  8.600%  8/15/16  9,325  10,663 
RR Donnelley & Sons Co.  6.125%  1/15/17  5,925  6,134 
RR Donnelley & Sons Co.  7.625%  6/15/20  1,150  1,208 
TCI Communications Inc.  8.750%  8/1/15  17,750  21,550 
TCI Communications Inc.  7.875%  2/15/26  580  696 
Telecom Italia Capital SA  5.250%  11/15/13  7,123  7,516 
Telecom Italia Capital SA  6.175%  6/18/14  3,500  3,751 
Telecom Italia Capital SA  4.950%  9/30/14  4,950  5,142 
Telecom Italia Capital SA  5.250%  10/1/15  19,135  19,734 
Telecom Italia Capital SA  6.999%  6/4/18  5,920  6,414 
Telecom Italia Capital SA  7.175%  6/18/19  21,200  23,125 
Telecom Italia Capital SA  6.375%  11/15/33  6,055  5,644 
Telecom Italia Capital SA  6.000%  9/30/34  1,325  1,198 
Telecom Italia Capital SA  7.200%  7/18/36  2,340  2,346 
Telecom Italia Capital SA  7.721%  6/4/38  5,918  6,294 
Telefonica Emisiones SAU  5.855%  2/4/13  1,975  2,111 

 

 

Telefonica Emisiones SAU  2.582%  4/26/13  4,800  4,841 
Telefonica Emisiones SAU  4.949%  1/15/15  10,625  11,195 
Telefonica Emisiones SAU  3.729%  4/27/15  4,875  4,913 
Telefonica Emisiones SAU  3.992%  2/16/16  10,125  10,142 
Telefonica Emisiones SAU  6.421%  6/20/16  15,610  17,275 
Telefonica Emisiones SAU  5.877%  7/15/19  5,475  5,752 
Telefonica Emisiones SAU  5.134%  4/27/20  10,035  9,946 
Telefonica Emisiones SAU  5.462%  2/16/21  8,875  8,971 
Telefonica Emisiones SAU  7.045%  6/20/36  10,834  11,680 
Telefonica Europe BV  8.250%  9/15/30  4,675  5,674 
Thomson Reuters Corp.  5.950%  7/15/13  1,965  2,158 
Thomson Reuters Corp.  5.700%  10/1/14  8,400  9,351 
Thomson Reuters Corp.  6.500%  7/15/18  625  722 
Thomson Reuters Corp.  4.700%  10/15/19  1,825  1,903 
Thomson Reuters Corp.  5.500%  8/15/35  5,025  4,942 
Thomson Reuters Corp.  5.850%  4/15/40  8,475  8,709 
Time Warner Cable Inc.  5.400%  7/2/12  9,586  10,067 
Time Warner Cable Inc.  6.200%  7/1/13  7,925  8,711 
Time Warner Cable Inc.  8.250%  2/14/14  1,225  1,423 
Time Warner Cable Inc.  7.500%  4/1/14  18,275  20,962 
Time Warner Cable Inc.  3.500%  2/1/15  3,625  3,707 
Time Warner Cable Inc.  5.850%  5/1/17  18,790  20,517 
Time Warner Cable Inc.  6.750%  7/1/18  20,030  22,735 
Time Warner Cable Inc.  8.750%  2/14/19  7,045  8,797 
Time Warner Cable Inc.  8.250%  4/1/19  8,920  10,870 
Time Warner Cable Inc.  5.000%  2/1/20  7,375  7,443 
Time Warner Cable Inc.  6.550%  5/1/37  11,611  11,763 
Time Warner Cable Inc.  7.300%  7/1/38  95  105 
Time Warner Cable Inc.  6.750%  6/15/39  13,100  13,632 
Time Warner Cable Inc.  5.875%  11/15/40  5,620  5,247 
Time Warner Entertainment Co. LP  10.150%  5/1/12  1,025  1,122 
Time Warner Entertainment Co. LP  8.875%  10/1/12  950  1,052 
Time Warner Entertainment Co. LP  8.375%  3/15/23  2,340  2,884 
Time Warner Entertainment Co. LP  8.375%  7/15/33  7,720  9,436 
United States Cellular Corp.  6.700%  12/15/33  4,500  4,292 
Verizon Communications Inc.  4.350%  2/15/13  1,350  1,424 
Verizon Communications Inc.  5.250%  4/15/13  6,250  6,734 
Verizon Communications Inc.  4.900%  9/15/15  425  463 
Verizon Communications Inc.  5.550%  2/15/16  10,175  11,281 
Verizon Communications Inc.  3.000%  4/1/16  3,025  3,002 
Verizon Communications Inc.  5.500%  2/15/18  25,661  27,952 
Verizon Communications Inc.  6.100%  4/15/18  7,605  8,521 
Verizon Communications Inc.  8.750%  11/1/18  3,325  4,251 
Verizon Communications Inc.  6.350%  4/1/19  46,741  53,167 
Verizon Communications Inc.  4.600%  4/1/21  2,950  2,929 
Verizon Communications Inc.  5.850%  9/15/35  15,050  14,832 
Verizon Communications Inc.  6.250%  4/1/37  5,075  5,218 
Verizon Communications Inc.  6.400%  2/15/38  2,180  2,285 
Verizon Communications Inc.  6.900%  4/15/38  14,785  16,356 
Verizon Communications Inc.  8.950%  3/1/39  11,450  15,675 
Verizon Communications Inc.  6.000%  4/1/41  2,975  2,957 
Verizon Global Funding Corp.  6.875%  6/15/12  16,075  17,170 
Verizon Global Funding Corp.  7.375%  9/1/12  3,275  3,560 
Verizon Global Funding Corp.  4.375%  6/1/13  860  915 
Verizon Global Funding Corp.  7.750%  12/1/30  11,691  14,120 
Verizon Maryland Inc.  5.125%  6/15/33  405  360 
Verizon New England Inc.  7.875%  11/15/29  1,385  1,587 
Verizon New York Inc.  6.875%  4/1/12  2,735  2,894 

 

 

Verizon New York Inc.  7.375%  4/1/32  2,200  2,470 
Verizon Virginia Inc.  4.625%  3/15/13  6,000  6,321 
Vodafone Group plc  5.000%  12/16/13  8,150  8,846 
Vodafone Group plc  4.150%  6/10/14  5,075  5,372 
Vodafone Group plc  5.375%  1/30/15  4,175  4,591 
Vodafone Group plc  5.000%  9/15/15  1,600  1,733 
Vodafone Group plc  3.375%  11/24/15  1,325  1,346 
Vodafone Group plc  5.750%  3/15/16  9,050  10,118 
Vodafone Group plc  5.625%  2/27/17  13,256  14,645 
Vodafone Group plc  4.625%  7/15/18  200  207 
Vodafone Group plc  5.450%  6/10/19  10,475  11,427 
Vodafone Group plc  4.375%  3/16/21  500  492 
Vodafone Group plc  7.875%  2/15/30  1,650  2,085 
Vodafone Group plc  6.250%  11/30/32  7,775  8,309 
Vodafone Group plc  6.150%  2/27/37  3,700  3,932 
Washington Post Co.  7.250%  2/1/19  2,575  2,925 
WPP Finance UK  5.875%  6/15/14  6,900  7,587 
WPP Finance UK  8.000%  9/15/14  7,225  8,436 
 
Consumer Cyclical (1.1%)         
AutoZone Inc.  6.500%  1/15/14  2,025  2,264 
AutoZone Inc.  5.750%  1/15/15  8,375  9,209 
Best Buy Co. Inc.  6.750%  7/15/13  9,350  10,234 
BorgWarner Inc.  4.625%  9/15/20  1,000  996 
Costco Wholesale Corp.  5.500%  3/15/17  10,725  12,204 
CVS Caremark Corp.  4.875%  9/15/14  1,375  1,487 
CVS Caremark Corp.  3.250%  5/18/15  2,525  2,560 
CVS Caremark Corp.  6.125%  8/15/16  2,475  2,779 
CVS Caremark Corp.  5.750%  6/1/17  4,430  4,869 
CVS Caremark Corp.  6.600%  3/15/19  15,980  18,259 
CVS Caremark Corp.  4.750%  5/18/20  625  636 
CVS Caremark Corp.  6.250%  6/1/27  24,275  26,602 
3 CVS Caremark Corp.  6.302%  6/1/37  9,050  8,862 
CVS Caremark Corp.  6.125%  9/15/39  2,275  2,306 
Daimler Finance North America LLC  6.500%  11/15/13  12,080  13,442 
Daimler Finance North America LLC  8.500%  1/18/31  4,830  6,474 
Darden Restaurants Inc.  5.625%  10/15/12  3,650  3,870 
Darden Restaurants Inc.  6.200%  10/15/17  8,805  9,763 
Darden Restaurants Inc.  6.800%  10/15/37  14,375  15,639 
eBay Inc.  0.875%  10/15/13  3,050  3,015 
eBay Inc.  1.625%  10/15/15  3,050  2,908 
eBay Inc.  3.250%  10/15/20  3,100  2,814 
Expedia Inc.  5.950%  8/15/20  4,375  4,416 
Family Dollar Stores Inc.  5.000%  2/1/21  2,850  2,787 
Historic TW Inc.  9.150%  2/1/23  9,550  12,581 
Historic TW Inc.  6.625%  5/15/29  7,800  8,338 
Home Depot Inc.  5.250%  12/16/13  11,175  12,190 
Home Depot Inc.  5.400%  3/1/16  4,851  5,354 
Home Depot Inc.  3.950%  9/15/20  4,500  4,369 
Home Depot Inc.  4.400%  4/1/21  17,425  17,343 
Home Depot Inc.  5.875%  12/16/36  8,625  8,556 
Home Depot Inc.  5.400%  9/15/40  1,900  1,757 
Home Depot Inc.  5.950%  4/1/41  8,100  8,060 
International Game Technology  7.500%  6/15/19  1,600  1,812 
International Game Technology  5.500%  6/15/20  3,000  3,061 
Johnson Controls Inc.  5.000%  3/30/20  21,962  23,000 
Johnson Controls Inc.  6.000%  1/15/36  950  996 
Kohl's Corp.  6.250%  12/15/17  2,300  2,630 

 

 

Kohl's Corp.  6.000%  1/15/33  725  745 
Kohl's Corp.  6.875%  12/15/37  3,325  3,780 
Lowe's Cos. Inc.  5.600%  9/15/12  2,850  3,040 
Lowe's Cos. Inc.  5.400%  10/15/16  12,350  13,874 
Lowe's Cos. Inc.  6.100%  9/15/17  2,250  2,562 
Lowe's Cos. Inc.  6.875%  2/15/28  560  661 
Lowe's Cos. Inc.  6.500%  3/15/29  3,676  4,112 
Lowe's Cos. Inc.  5.800%  10/15/36  6,475  6,690 
Lowe's Cos. Inc.  5.800%  4/15/40  900  933 
Marriott International Inc.  4.625%  6/15/12  3,200  3,320 
Marriott International Inc.  5.625%  2/15/13  2,375  2,537 
Marriott International Inc.  6.200%  6/15/16  1,500  1,665 
Marriott International Inc.  6.375%  6/15/17  1,750  1,958 
McDonald's Corp.  5.300%  3/15/17  850  947 
McDonald's Corp.  5.800%  10/15/17  5,550  6,340 
McDonald's Corp.  5.350%  3/1/18  6,350  7,070 
McDonald's Corp.  5.000%  2/1/19  3,150  3,417 
McDonald's Corp.  3.500%  7/15/20  100  98 
McDonald's Corp.  6.300%  10/15/37  1,950  2,249 
McDonald's Corp.  6.300%  3/1/38  5,250  6,060 
McDonald's Corp.  5.700%  2/1/39  2,500  2,673 
MDC Holdings Inc.  5.500%  5/15/13  2,875  2,982 
Nordstrom Inc.  6.750%  6/1/14  1,675  1,905 
Nordstrom Inc.  6.250%  1/15/18  10,950  12,526 
Nordstrom Inc.  4.750%  5/1/20  3,875  3,991 
Nordstrom Inc.  6.950%  3/15/28  1,075  1,229 
Nordstrom Inc.  7.000%  1/15/38  1,980  2,339 
O'Reilly Automotive Inc.  4.875%  1/14/21  1,200  1,182 
PACCAR Financial Corp.  1.950%  12/17/12  5,200  5,272 
PACCAR Financial Corp.  2.050%  6/17/13  9,100  9,207 
PACCAR Inc.  6.875%  2/15/14  3,575  4,069 
Staples Inc.  9.750%  1/15/14  19,300  23,160 
Target Corp.  5.125%  1/15/13  425  455 
Target Corp.  4.000%  6/15/13  1,680  1,780 
Target Corp.  5.875%  7/15/16  11,850  13,568 
Target Corp.  5.375%  5/1/17  6,475  7,219 
Target Corp.  6.000%  1/15/18  5,650  6,470 
Target Corp.  3.875%  7/15/20  4,850  4,741 
Target Corp.  7.000%  7/15/31  3,700  4,370 
Target Corp.  6.350%  11/1/32  7,600  8,384 
Target Corp.  6.500%  10/15/37  6,975  7,831 
Target Corp.  7.000%  1/15/38  6,835  8,105 
Time Warner Cos. Inc.  7.570%  2/1/24  1,530  1,823 
Time Warner Cos. Inc.  6.950%  1/15/28  80  88 
Time Warner Inc.  3.150%  7/15/15  575  581 
Time Warner Inc.  5.875%  11/15/16  9,225  10,271 
Time Warner Inc.  4.875%  3/15/20  14,350  14,585 
Time Warner Inc.  4.700%  1/15/21  3,320  3,292 
Time Warner Inc.  4.750%  3/29/21  17,000  16,803 
Time Warner Inc.  7.625%  4/15/31  13,715  15,723 
Time Warner Inc.  7.700%  5/1/32  9,631  11,198 
Time Warner Inc.  6.500%  11/15/36  6,750  6,855 
Time Warner Inc.  6.200%  3/15/40  4,850  4,782 
Time Warner Inc.  6.100%  7/15/40  6,300  6,136 
Time Warner Inc.  6.250%  3/29/41  11,175  11,048 
TJX Cos. Inc.  6.950%  4/15/19  17,985  21,436 
Toll Brothers Finance Corp.  6.875%  11/15/12  43  46 
Toll Brothers Finance Corp.  5.950%  9/15/13  16  17 

 

 

Toll Brothers Finance Corp.  5.150%  5/15/15  3,175  3,241 
Toll Brothers Finance Corp.  6.750%  11/1/19  4,925  5,070 
Toyota Motor Credit Corp.  3.200%  6/17/15  15,250  15,455 
Toyota Motor Credit Corp.  2.800%  1/11/16  2,000  1,992 
Toyota Motor Credit Corp.  4.500%  6/17/20  1,400  1,414 
Toyota Motor Credit Corp.  4.250%  1/11/21  5,075  5,027 
VF Corp.  5.950%  11/1/17  2,700  3,076 
VF Corp.  6.450%  11/1/37  2,375  2,697 
Viacom Inc.  4.375%  9/15/14  6,275  6,692 
Viacom Inc.  3.500%  4/1/17  2,975  2,924 
Viacom Inc.  6.125%  10/5/17  2,325  2,613 
Viacom Inc.  5.625%  9/15/19  14,660  16,003 
Viacom Inc.  6.875%  4/30/36  9,935  10,789 
Wal-Mart Stores Inc.  4.550%  5/1/13  17,071  18,290 
Wal-Mart Stores Inc.  7.250%  6/1/13  900  1,014 
Wal-Mart Stores Inc.  3.200%  5/15/14  20,000  20,947 
Wal-Mart Stores Inc.  4.500%  7/1/15  2,450  2,644 
Wal-Mart Stores Inc.  2.250%  7/8/15  3,850  3,843 
Wal-Mart Stores Inc.  1.500%  10/25/15  8,160  7,800 
Wal-Mart Stores Inc.  5.375%  4/5/17  1,650  1,849 
Wal-Mart Stores Inc.  5.800%  2/15/18  17,050  19,391 
Wal-Mart Stores Inc.  3.625%  7/8/20  9,875  9,540 
Wal-Mart Stores Inc.  3.250%  10/25/20  15,725  14,655 
Wal-Mart Stores Inc.  5.875%  4/5/27  18,775  20,537 
Wal-Mart Stores Inc.  7.550%  2/15/30  11,645  14,736 
Wal-Mart Stores Inc.  5.250%  9/1/35  5,865  5,742 
Wal-Mart Stores Inc.  6.500%  8/15/37  20,686  23,342 
Wal-Mart Stores Inc.  6.200%  4/15/38  3,395  3,715 
Wal-Mart Stores Inc.  5.625%  4/1/40  4,250  4,305 
Wal-Mart Stores Inc.  4.875%  7/8/40  1,950  1,772 
Wal-Mart Stores Inc.  5.000%  10/25/40  285  261 
Walgreen Co.  4.875%  8/1/13  11,750  12,704 
Walgreen Co.  5.250%  1/15/19  4,100  4,494 
Walt Disney Co.  4.700%  12/1/12  575  610 
Walt Disney Co.  4.500%  12/15/13  7,875  8,531 
Walt Disney Co.  5.625%  9/15/16  5,525  6,286 
Walt Disney Co.  5.875%  12/15/17  5,350  6,108 
Walt Disney Co.  7.000%  3/1/32  1,025  1,243 
Western Union Co.  6.500%  2/26/14  2,850  3,160 
Western Union Co.  5.930%  10/1/16  5,500  6,083 
Western Union Co.  5.253%  4/1/20  3,946  4,090 
Western Union Co.  6.200%  11/17/36  2,675  2,613 
Western Union Co.  6.200%  6/21/40  5,375  5,285 
Yum! Brands Inc.  7.700%  7/1/12  2,525  2,715 
Yum! Brands Inc.  6.250%  4/15/16  3,525  3,956 
Yum! Brands Inc.  6.250%  3/15/18  125  140 
Yum! Brands Inc.  3.875%  11/1/20  825  778 
Yum! Brands Inc.  6.875%  11/15/37  8,250  9,232 
 
Consumer Noncyclical (2.7%)         
Abbott Laboratories  5.150%  11/30/12  2,800  2,993 
Abbott Laboratories  4.350%  3/15/14  3,675  3,932 
Abbott Laboratories  2.700%  5/27/15  5,925  6,022 
Abbott Laboratories  5.875%  5/15/16  15,811  18,028 
Abbott Laboratories  5.600%  11/30/17  16,125  18,156 
Abbott Laboratories  5.125%  4/1/19  3,720  4,012 
Abbott Laboratories  4.125%  5/27/20  5,617  5,620 
Abbott Laboratories  6.150%  11/30/37  5,225  5,716 

 

 

Abbott Laboratories  6.000%  4/1/39  1,950  2,107 
Abbott Laboratories  5.300%  5/27/40  5,435  5,328 
Allergan Inc.  5.750%  4/1/16  1,100  1,238 
Altria Group Inc.  8.500%  11/10/13  46,195  53,803 
Altria Group Inc.  4.125%  9/11/15  425  441 
Altria Group Inc.  9.700%  11/10/18  8,615  11,283 
Altria Group Inc.  9.250%  8/6/19  11,525  14,950 
Altria Group Inc.  9.950%  11/10/38  5,675  7,902 
Altria Group Inc.  10.200%  2/6/39  20,475  29,032 
AmerisourceBergen Corp.  5.625%  9/15/12  1,050  1,109 
AmerisourceBergen Corp.  5.875%  9/15/15  13,561  15,039 
AmerisourceBergen Corp.  4.875%  11/15/19  4,000  4,115 
Amgen Inc.  4.850%  11/18/14  4,725  5,166 
Amgen Inc.  5.850%  6/1/17  7,900  8,970 
Amgen Inc.  5.700%  2/1/19  2,525  2,806 
Amgen Inc.  3.450%  10/1/20  5,575  5,205 
Amgen Inc.  6.375%  6/1/37  5,825  6,428 
Amgen Inc.  6.900%  6/1/38  9,275  10,867 
Amgen Inc.  6.400%  2/1/39  8,750  9,631 
Amgen Inc.  5.750%  3/15/40  3,425  3,466 
Amgen Inc.  4.950%  10/1/41  2,050  1,849 
Anheuser-Busch Cos. Inc.  4.375%  1/15/13  4,175  4,388 
Anheuser-Busch Cos. Inc.  5.600%  3/1/17  4,750  5,227 
Anheuser-Busch Cos. Inc.  5.500%  1/15/18  10,375  11,343 
Anheuser-Busch Cos. Inc.  6.800%  8/20/32  2,275  2,602 
Anheuser-Busch Cos. Inc.  5.750%  4/1/36  5,995  6,152 
Anheuser-Busch Cos. Inc.  6.450%  9/1/37  470  526 
Anheuser-Busch InBev Worldwide Inc.  3.000%  10/15/12  7,550  7,749 
Anheuser-Busch InBev Worldwide Inc.  2.500%  3/26/13  10,675  10,879 
Anheuser-Busch InBev Worldwide Inc.  7.200%  1/15/14  7,831  8,889 
Anheuser-Busch InBev Worldwide Inc.  5.375%  11/15/14  7,800  8,552 
Anheuser-Busch InBev Worldwide Inc.  4.125%  1/15/15  11,025  11,621 
Anheuser-Busch InBev Worldwide Inc.  7.750%  1/15/19  7,250  8,873 
Anheuser-Busch InBev Worldwide Inc.  6.875%  11/15/19  7,600  8,931 
Anheuser-Busch InBev Worldwide Inc.  5.375%  1/15/20  25,060  26,768 
Anheuser-Busch InBev Worldwide Inc.  5.000%  4/15/20  8,090  8,419 
Anheuser-Busch InBev Worldwide Inc.  4.375%  2/15/21  1,675  1,661 
Anheuser-Busch InBev Worldwide Inc.  8.200%  1/15/39  6,400  8,645 
Anheuser-Busch InBev Worldwide Inc.  6.375%  1/15/40  10,385  11,536 
Archer-Daniels-Midland Co.  8.375%  4/15/17  525  649 
Archer-Daniels-Midland Co.  5.450%  3/15/18  8,900  9,876 
Archer-Daniels-Midland Co.  4.700%  3/1/21  1,900  1,917 
Archer-Daniels-Midland Co.  5.935%  10/1/32  4,275  4,583 
Archer-Daniels-Midland Co.  5.375%  9/15/35  3,400  3,423 
Archer-Daniels-Midland Co.  4.700%  3/1/41  2,575  2,627 
AstraZeneca plc  5.400%  9/15/12  18,625  19,812 
AstraZeneca plc  5.400%  6/1/14  6,725  7,474 
AstraZeneca plc  5.900%  9/15/17  12,710  14,520 
AstraZeneca plc  6.450%  9/15/37  17,796  20,123 
Avon Products Inc.  6.500%  3/1/19  2,135  2,438 
Baxter International Inc.  4.000%  3/1/14  1,350  1,432 
Baxter International Inc.  5.900%  9/1/16  1,700  1,951 
Baxter International Inc.  6.250%  12/1/37  11,425  12,955 
Becton Dickinson and Co.  5.000%  5/15/19  1,125  1,209 
Becton Dickinson and Co.  3.250%  11/12/20  200  186 
Becton Dickinson and Co.  6.000%  5/15/39  1,000  1,084 
Becton Dickinson and Co.  5.000%  11/12/40  100  94 
Biogen Idec Inc.  6.000%  3/1/13  8,200  8,753 

 

 

Biogen Idec Inc.  6.875%  3/1/18  12,425  14,082 
Bottling Group LLC  4.625%  11/15/12  1,435  1,520 
Bottling Group LLC  5.000%  11/15/13  10,125  11,012 
Bottling Group LLC  6.950%  3/15/14  29,775  34,308 
Bottling Group LLC  5.500%  4/1/16  11,900  13,373 
Bottling Group LLC  5.125%  1/15/19  1,500  1,631 
Bristol-Myers Squibb Co.  5.250%  8/15/13  965  1,055 
Bristol-Myers Squibb Co.  5.450%  5/1/18  2,225  2,470 
Bristol-Myers Squibb Co.  7.150%  6/15/23  400  497 
Bristol-Myers Squibb Co.  6.800%  11/15/26  150  181 
Bristol-Myers Squibb Co.  5.875%  11/15/36  13,784  14,937 
Bristol-Myers Squibb Co.  6.125%  5/1/38  1,625  1,818 
Bristol-Myers Squibb Co.  6.875%  8/1/97  1,030  1,155 
Bunge Ltd. Finance Corp.  5.350%  4/15/14  2,025  2,152 
Bunge Ltd. Finance Corp.  5.100%  7/15/15  7,625  7,896 
Bunge Ltd. Finance Corp.  4.100%  3/15/16  3,775  3,776 
Bunge Ltd. Finance Corp.  8.500%  6/15/19  14,950  17,800 
Campbell Soup Co.  3.050%  7/15/17  1,425  1,424 
Campbell Soup Co.  4.250%  4/15/21  4,500  4,477 
Cardinal Health Inc.  5.650%  6/15/12  60  63 
Cardinal Health Inc.  4.000%  6/15/15  550  569 
Cardinal Health Inc.  4.625%  12/15/20  6,500  6,443 
CareFusion Corp.  4.125%  8/1/12  975  1,008 
CareFusion Corp.  5.125%  8/1/14  1,700  1,831 
CareFusion Corp.  6.375%  8/1/19  8,215  9,148 
Celgene Corp.  2.450%  10/15/15  1,975  1,912 
Celgene Corp.  3.950%  10/15/20  1,325  1,247 
Celgene Corp.  5.700%  10/15/40  1,650  1,590 
Church & Dwight Co. Inc.  3.350%  12/15/15  2,375  2,368 
Cia de Bebidas das Americas  8.750%  9/15/13  295  338 
Clorox Co.  5.450%  10/15/12  625  663 
Clorox Co.  5.000%  3/1/13  5,075  5,377 
Clorox Co.  5.000%  1/15/15  1,725  1,852 
Clorox Co.  3.550%  11/1/15  1,825  1,863 
Clorox Co.  5.950%  10/15/17  13,265  14,720 
Coca-Cola Co.  0.750%  11/15/13  7,000  6,894 
Coca-Cola Co.  3.625%  3/15/14  5,675  6,014 
Coca-Cola Co.  1.500%  11/15/15  7,300  6,962 
Coca-Cola Co.  5.350%  11/15/17  6,150  6,931 
Coca-Cola Co.  4.875%  3/15/19  10,050  10,807 
Coca-Cola Co.  3.150%  11/15/20  3,700  3,435 
Coca-Cola Femsa SAB de CV  4.625%  2/15/20  2,025  2,075 
Coca-Cola HBC Finance BV  5.125%  9/17/13  945  1,008 
Coca-Cola Refreshments USA Inc.  5.000%  8/15/13  8,900  9,621 
Coca-Cola Refreshments USA Inc.  7.375%  3/3/14  10,850  12,567 
Coca-Cola Refreshments USA Inc.  4.250%  3/1/15  375  402 
Coca-Cola Refreshments USA Inc.  8.500%  2/1/22  6,361  8,477 
ConAgra Foods Inc.  5.875%  4/15/14  1,040  1,132 
ConAgra Foods Inc.  5.819%  6/15/17  951  1,030 
ConAgra Foods Inc.  7.000%  4/15/19  500  565 
ConAgra Foods Inc.  9.750%  3/1/21  129  171 
ConAgra Foods Inc.  7.125%  10/1/26  1,000  1,095 
ConAgra Foods Inc.  7.000%  10/1/28  725  778 
ConAgra Foods Inc.  8.250%  9/15/30  4,750  5,675 
Corn Products International Inc.  3.200%  11/1/15  650  648 
Corn Products International Inc.  4.625%  11/1/20  885  870 
Corn Products International Inc.  6.625%  4/15/37  1,725  1,791 
Covidien International Finance SA  5.450%  10/15/12  2,600  2,767 

 

 

Covidien International Finance SA  1.875%  6/15/13  15,840  15,990 
Covidien International Finance SA  6.000%  10/15/17  5,225  5,941 
Covidien International Finance SA  6.550%  10/15/37  8,518  9,635 
CR Bard Inc.  6.700%  12/1/26  5,250  6,199 
Delhaize Group SA  5.875%  2/1/14  2,425  2,636 
Delhaize Group SA  5.700%  10/1/40  3,087  2,831 
Diageo Capital plc  5.200%  1/30/13  8,275  8,855 
Diageo Capital plc  5.500%  9/30/16  1,275  1,417 
Diageo Capital plc  5.750%  10/23/17  7,100  7,943 
Diageo Capital plc  4.828%  7/15/20  2,430  2,505 
Diageo Capital plc  5.875%  9/30/36  1,775  1,874 
Diageo Finance BV  5.500%  4/1/13  5,326  5,758 
Diageo Finance BV  3.250%  1/15/15  375  385 
Diageo Finance BV  5.300%  10/28/15  6,676  7,404 
Diageo Investment Corp.  7.450%  4/15/35  875  1,084 
Dr Pepper Snapple Group Inc.  2.350%  12/21/12  2,050  2,088 
Dr Pepper Snapple Group Inc.  6.120%  5/1/13  1,750  1,908 
Dr Pepper Snapple Group Inc.  2.900%  1/15/16  1,150  1,136 
Dr Pepper Snapple Group Inc.  6.820%  5/1/18  4,290  5,038 
Dr Pepper Snapple Group Inc.  7.450%  5/1/38  950  1,159 
Eli Lilly & Co.  4.200%  3/6/14  2,400  2,570 
Eli Lilly & Co.  5.200%  3/15/17  8,200  9,047 
Eli Lilly & Co.  5.500%  3/15/27  5,750  6,132 
Eli Lilly & Co.  5.550%  3/15/37  886  916 
Eli Lilly & Co.  5.950%  11/15/37  2,400  2,601 
Estee Lauder Cos. Inc.  6.000%  5/15/37  2,225  2,376 
Express Scripts Inc.  5.250%  6/15/12  16,300  17,061 
Express Scripts Inc.  6.250%  6/15/14  9,625  10,681 
Express Scripts Inc.  7.250%  6/15/19  1,925  2,296 
Fortune Brands Inc.  3.000%  6/1/12  2,900  2,948 
Fortune Brands Inc.  4.875%  12/1/13  1,000  1,055 
Fortune Brands Inc.  6.375%  6/15/14  4,340  4,756 
Fortune Brands Inc.  5.375%  1/15/16  8,650  9,173 
Fortune Brands Inc.  5.875%  1/15/36  2,975  2,623 
Genentech Inc.  4.750%  7/15/15  2,320  2,517 
Genentech Inc.  5.250%  7/15/35  3,350  3,271 
General Mills Inc.  5.650%  9/10/12  2,375  2,528 
General Mills Inc.  5.250%  8/15/13  18,925  20,499 
General Mills Inc.  5.200%  3/17/15  835  916 
General Mills Inc.  5.700%  2/15/17  18,025  20,218 
General Mills Inc.  5.650%  2/15/19  14,917  16,469 
Gilead Sciences Inc.  4.500%  4/1/21  6,525  6,412 
GlaxoSmithKline Capital Inc.  4.850%  5/15/13  11,025  11,846 
GlaxoSmithKline Capital Inc.  4.375%  4/15/14  9,800  10,554 
GlaxoSmithKline Capital Inc.  5.650%  5/15/18  20,110  22,557 
GlaxoSmithKline Capital Inc.  5.375%  4/15/34  3,500  3,546 
GlaxoSmithKline Capital Inc.  6.375%  5/15/38  18,475  20,723 
Hasbro Inc.  6.125%  5/15/14  6,900  7,537 
Hasbro Inc.  6.300%  9/15/17  5,875  6,446 
Hasbro Inc.  6.350%  3/15/40  3,250  3,248 
Hershey Co.  5.450%  9/1/16  1,275  1,422 
Hershey Co.  4.125%  12/1/20  3,225  3,227 
HJ Heinz Co.  5.350%  7/15/13  2,075  2,251 
HJ Heinz Finance Co.  6.750%  3/15/32  3,325  3,716 
Hospira Inc.  5.900%  6/15/14  1,550  1,703 
Hospira Inc.  6.400%  5/15/15  850  953 
Hospira Inc.  6.050%  3/30/17  150  166 
Hospira Inc.  5.600%  9/15/40  2,700  2,578 

 

 

Johnson & Johnson  5.550%  8/15/17  4,025  4,622 
Johnson & Johnson  5.150%  7/15/18  1,675  1,870 
Johnson & Johnson  6.950%  9/1/29  4,400  5,532 
Johnson & Johnson  4.950%  5/15/33  5,525  5,543 
Johnson & Johnson  5.950%  8/15/37  6,360  7,153 
Johnson & Johnson  5.850%  7/15/38  1,625  1,802 
Johnson & Johnson  4.500%  9/1/40  2,355  2,166 
Kellogg Co.  5.125%  12/3/12  17,048  18,137 
Kellogg Co.  4.250%  3/6/13  4,225  4,454 
Kellogg Co.  4.450%  5/30/16  50  54 
Kellogg Co.  4.150%  11/15/19  5,075  5,105 
Kellogg Co.  4.000%  12/15/20  650  635 
Kellogg Co.  7.450%  4/1/31  6,040  7,521 
Kimberly-Clark Corp.  4.875%  8/15/15  5,250  5,739 
Kimberly-Clark Corp.  6.125%  8/1/17  7,750  8,988 
Kimberly-Clark Corp.  6.250%  7/15/18  175  203 
Kimberly-Clark Corp.  3.625%  8/1/20  8,424  8,277 
Kimberly-Clark Corp.  3.875%  3/1/21  425  420 
Kimberly-Clark Corp.  6.625%  8/1/37  1,275  1,506 
Kimberly-Clark Corp.  5.300%  3/1/41  1,725  1,731 
Koninklijke Philips Electronics NV  4.625%  3/11/13  3,900  4,117 
Koninklijke Philips Electronics NV  5.750%  3/11/18  10,100  11,278 
Koninklijke Philips Electronics NV  6.875%  3/11/38  4,225  4,986 
Kraft Foods Inc.  5.625%  11/1/11  2,196  2,258 
Kraft Foods Inc.  6.250%  6/1/12  4,494  4,762 
Kraft Foods Inc.  2.625%  5/8/13  13,250  13,554 
Kraft Foods Inc.  5.250%  10/1/13  675  732 
Kraft Foods Inc.  6.750%  2/19/14  150  169 
Kraft Foods Inc.  4.125%  2/9/16  18,925  19,564 
Kraft Foods Inc.  6.500%  8/11/17  12,073  13,741 
Kraft Foods Inc.  6.125%  8/23/18  10,075  11,228 
Kraft Foods Inc.  5.375%  2/10/20  43,715  46,027 
Kraft Foods Inc.  6.500%  11/1/31  8,400  9,234 
Kraft Foods Inc.  7.000%  8/11/37  9,425  10,589 
Kraft Foods Inc.  6.875%  2/1/38  6,000  6,648 
Kraft Foods Inc.  6.875%  1/26/39  1,300  1,439 
Kraft Foods Inc.  6.500%  2/9/40  11,825  12,537 
Kroger Co.  6.750%  4/15/12  8,275  8,751 
Kroger Co.  6.200%  6/15/12  6,175  6,542 
Kroger Co.  5.500%  2/1/13  1,686  1,804 
Kroger Co.  5.000%  4/15/13  3,700  3,952 
Kroger Co.  4.950%  1/15/15  1,725  1,853 
Kroger Co.  6.400%  8/15/17  840  961 
Kroger Co.  6.800%  12/15/18  2,600  3,004 
Kroger Co.  6.150%  1/15/20  16,045  18,097 
Kroger Co.  7.700%  6/1/29  7,825  9,385 
Kroger Co.  8.000%  9/15/29  1,425  1,763 
Kroger Co.  7.500%  4/1/31  2,395  2,843 
Kroger Co.  6.900%  4/15/38  6,300  7,095 
Laboratory Corp. of America Holdings  5.500%  2/1/13  1,540  1,634 
Laboratory Corp. of America Holdings  5.625%  12/15/15  2,500  2,720 
Laboratory Corp. of America Holdings  4.625%  11/15/20  200  199 
Life Technologies Corp.  4.400%  3/1/15  4,350  4,543 
Life Technologies Corp.  3.500%  1/15/16  2,375  2,371 
Life Technologies Corp.  6.000%  3/1/20  3,800  4,088 
Life Technologies Corp.  5.000%  1/15/21  2,200  2,200 
Lorillard Tobacco Co.  8.125%  6/23/19  5,735  6,650 
Lorillard Tobacco Co.  6.875%  5/1/20  7,650  8,224 

 

 

Lorillard Tobacco Co.  8.125%  5/1/40  4,000  4,424 
McKesson Corp.  5.250%  3/1/13  10,175  10,870 
McKesson Corp.  6.500%  2/15/14  1,650  1,845 
McKesson Corp.  3.250%  3/1/16  1,475  1,487 
McKesson Corp.  4.750%  3/1/21  450  455 
McKesson Corp.  6.000%  3/1/41  1,450  1,492 
Mead Johnson Nutrition Co.  3.500%  11/1/14  6,825  7,040 
Mead Johnson Nutrition Co.  4.900%  11/1/19  2,925  3,025 
Mead Johnson Nutrition Co.  5.900%  11/1/39  11,170  11,474 
Medco Health Solutions Inc.  6.125%  3/15/13  6,450  6,966 
Medco Health Solutions Inc.  7.250%  8/15/13  600  672 
Medco Health Solutions Inc.  7.125%  3/15/18  14,138  16,496 
Medtronic Inc.  4.500%  3/15/14  2,225  2,397 
Medtronic Inc.  3.000%  3/15/15  9,900  10,159 
Medtronic Inc.  4.750%  9/15/15  4,275  4,654 
Medtronic Inc.  5.600%  3/15/19  1,150  1,277 
Medtronic Inc.  4.450%  3/15/20  3,615  3,698 
Medtronic Inc.  6.500%  3/15/39  2,440  2,815 
Medtronic Inc.  5.550%  3/15/40  4,275  4,390 
Merck & Co. Inc.  4.375%  2/15/13  3,825  4,050 
Merck & Co. Inc.  5.300%  12/1/13  13,325  14,666 
Merck & Co. Inc.  4.750%  3/1/15  1,450  1,581 
Merck & Co. Inc.  4.000%  6/30/15  9,425  10,016 
Merck & Co. Inc.  2.250%  1/15/16  2,900  2,845 
Merck & Co. Inc.  6.000%  9/15/17  825  952 
Merck & Co. Inc.  5.000%  6/30/19  3,975  4,304 
Merck & Co. Inc.  3.875%  1/15/21  6,630  6,448 
Merck & Co. Inc.  6.400%  3/1/28  4,130  4,808 
Merck & Co. Inc.  5.950%  12/1/28  2,150  2,427 
Merck & Co. Inc.  6.500%  12/1/33  5,563  6,482 
Merck & Co. Inc.  5.750%  11/15/36  10,775  11,489 
Merck & Co. Inc.  6.550%  9/15/37  11,500  13,541 
Merck & Co. Inc.  5.850%  6/30/39  1,750  1,891 
Novant Health Inc.  5.850%  11/1/19  6,125  6,542 
Novartis Capital Corp.  1.900%  4/24/13  10,150  10,310 
Novartis Capital Corp.  4.125%  2/10/14  33,225  35,449 
Novartis Capital Corp.  2.900%  4/24/15  5,150  5,251 
Novartis Capital Corp.  4.400%  4/24/20  400  411 
Novartis Securities Investment Ltd.  5.125%  2/10/19  17,975  19,364 
PepsiAmericas Inc.  5.750%  7/31/12  2,725  2,899 
PepsiAmericas Inc.  4.375%  2/15/14  825  883 
PepsiAmericas Inc.  4.875%  1/15/15  1,400  1,531 
PepsiAmericas Inc.  5.000%  5/15/17  3,800  4,150 
PepsiCo Inc.  5.150%  5/15/12  2,325  2,438 
PepsiCo Inc.  4.650%  2/15/13  11,875  12,659 
PepsiCo Inc.  3.750%  3/1/14  8,350  8,876 
PepsiCo Inc.  5.000%  6/1/18  13,750  14,965 
PepsiCo Inc.  7.900%  11/1/18  6,022  7,611 
PepsiCo Inc.  4.500%  1/15/20  4,275  4,435 
PepsiCo Inc.  7.000%  3/1/29  9,149  11,327 
PepsiCo Inc.  5.500%  1/15/40  6,500  6,656 
Pfizer Inc.  5.350%  3/15/15  44,025  49,002 
Pfizer Inc.  6.200%  3/15/19  21,020  24,096 
Pfizer Inc.  7.200%  3/15/39  18,825  23,162 
Pharmacia Corp.  6.500%  12/1/18  550  644 
Pharmacia Corp.  6.600%  12/1/28  1,750  2,081 
Philip Morris International Inc.  4.875%  5/16/13  8,950  9,598 
Philip Morris International Inc.  6.875%  3/17/14  43,525  49,904 

 

 

Philip Morris International Inc.  5.650%  5/16/18  9,705  10,790 
Philip Morris International Inc.  6.375%  5/16/38  8,155  9,160 
3 Procter & Gamble - Esop  9.360%  1/1/21  9,185  11,705 
Procter & Gamble Co.  4.950%  8/15/14  1,700  1,882 
Procter & Gamble Co.  3.500%  2/15/15  7,550  7,919 
Procter & Gamble Co.  1.800%  11/15/15  5,000  4,859 
Procter & Gamble Co.  4.850%  12/15/15  1,250  1,386 
Procter & Gamble Co.  4.700%  2/15/19  3,550  3,836 
Procter & Gamble Co.  6.450%  1/15/26  3,875  4,484 
Procter & Gamble Co.  5.800%  8/15/34  225  248 
Procter & Gamble Co.  5.550%  3/5/37  8,721  9,367 
Quest Diagnostics Inc.  5.450%  11/1/15  6,375  6,932 
Quest Diagnostics Inc.  6.400%  7/1/17  140  158 
Quest Diagnostics Inc.  4.750%  1/30/20  250  251 
Quest Diagnostics Inc.  4.700%  4/1/21  700  689 
Quest Diagnostics Inc.  6.950%  7/1/37  3,295  3,579 
Ralcorp Holdings Inc.  4.950%  8/15/20  6,000  5,969 
Ralcorp Holdings Inc.  6.625%  8/15/39  1,390  1,426 
Reynolds American Inc.  7.250%  6/1/12  4,005  4,270 
Reynolds American Inc.  7.250%  6/1/13  6,575  7,306 
Reynolds American Inc.  7.625%  6/1/16  6,250  7,398 
Reynolds American Inc.  6.750%  6/15/17  5,836  6,653 
Reynolds American Inc.  7.250%  6/15/37  4,015  4,226 
Safeway Inc.  5.800%  8/15/12  2,700  2,861 
Safeway Inc.  6.250%  3/15/14  6,200  6,809 
Safeway Inc.  5.625%  8/15/14  1,855  2,018 
Safeway Inc.  6.350%  8/15/17  700  779 
Safeway Inc.  5.000%  8/15/19  1,450  1,480 
Safeway Inc.  3.950%  8/15/20  4,650  4,395 
Safeway Inc.  7.250%  2/1/31  9,822  10,839 
Sanofi-Aventis SA  1.625%  3/28/14  2,100  2,092 
Sanofi-Aventis SA  2.625%  3/29/16  7,600  7,499 
Sanofi-Aventis SA  4.000%  3/29/21  4,700  4,617 
Sara Lee Corp.  2.750%  9/15/15  775  765 
Sara Lee Corp.  4.100%  9/15/20  350  334 
Sara Lee Corp.  6.125%  11/1/32  150  136 
St. Jude Medical Inc.  2.200%  9/15/13  4,900  4,962 
St. Jude Medical Inc.  3.750%  7/15/14  10,275  10,781 
St. Jude Medical Inc.  2.500%  1/15/16  550  540 
St. Jude Medical Inc.  4.875%  7/15/19  1,525  1,594 
Stryker Corp.  3.000%  1/15/15  2,100  2,147 
Stryker Corp.  4.375%  1/15/20  1,825  1,864 
Sysco Corp.  4.200%  2/12/13  1,750  1,844 
Sysco Corp.  5.250%  2/12/18  3,625  3,963 
Sysco Corp.  5.375%  9/21/35  6,375  6,596 
Teva Pharmaceutical Finance Co. LLC  5.550%  2/1/16  775  858 
Teva Pharmaceutical Finance Co. LLC  6.150%  2/1/36  5,105  5,569 
Teva Pharmaceutical Finance II BV / Teva         
Pharmaceutical Finance III LLC  3.000%  6/15/15  5,075  5,107 
Teva Pharmaceutical Finance III LLC  1.500%  6/15/12  5,325  5,353 
Thermo Fisher Scientific Inc.  2.150%  12/28/12  2,325  2,364 
Thermo Fisher Scientific Inc.  3.250%  11/20/14  3,700  3,840 
Thermo Fisher Scientific Inc.  3.200%  5/1/15  5,825  5,938 
Thermo Fisher Scientific Inc.  4.700%  5/1/20  725  750 
Unilever Capital Corp.  3.650%  2/15/14  6,275  6,611 
Unilever Capital Corp.  4.800%  2/15/19  1,500  1,594 
Unilever Capital Corp.  5.900%  11/15/32  1,528  1,692 
UST LLC  6.625%  7/15/12  600  635 

 

 

UST LLC  5.750%  3/1/18  2,700  2,872 
Watson Pharmaceuticals Inc.  5.000%  8/15/14  4,600  4,933 
Watson Pharmaceuticals Inc.  6.125%  8/15/19  5,000  5,554 
Whirlpool Corp.  5.500%  3/1/13  12,000  12,745 
Wyeth  5.500%  3/15/13  15,725  17,050 
Wyeth  5.500%  2/1/14  10,286  11,372 
Wyeth  5.500%  2/15/16  2,475  2,770 
Wyeth  5.450%  4/1/17  925  1,036 
Wyeth  6.450%  2/1/24  1,500  1,744 
Wyeth  6.500%  2/1/34  3,450  3,956 
Wyeth  6.000%  2/15/36  7,425  7,950 
Wyeth  5.950%  4/1/37  26,095  27,802 
Zimmer Holdings Inc.  4.625%  11/30/19  1,075  1,112 
Zimmer Holdings Inc.  5.750%  11/30/39  4,340  4,404 
 
Energy (1.5%)         
Alberta Energy Co. Ltd.  7.375%  11/1/31  950  1,119 
Anadarko Finance Co.  7.500%  5/1/31  1,220  1,340 
Anadarko Petroleum Corp.  7.625%  3/15/14  25,675  29,281 
Anadarko Petroleum Corp.  5.750%  6/15/14  7,150  7,823 
Anadarko Petroleum Corp.  5.950%  9/15/16  5,826  6,326 
Anadarko Petroleum Corp.  6.375%  9/15/17  480  528 
Anadarko Petroleum Corp.  6.950%  6/15/19  675  755 
Anadarko Petroleum Corp.  6.450%  9/15/36  12,720  12,633 
Anadarko Petroleum Corp.  7.950%  6/15/39  3,775  4,382 
Anadarko Petroleum Corp.  6.200%  3/15/40  1,675  1,615 
Apache Corp.  6.250%  4/15/12  1,625  1,712 
Apache Corp.  5.250%  4/15/13  1,774  1,912 
Apache Corp.  6.000%  9/15/13  6,365  7,033 
Apache Corp.  5.625%  1/15/17  400  449 
Apache Corp.  6.900%  9/15/18  7,100  8,481 
Apache Corp.  3.625%  2/1/21  2,800  2,646 
Apache Corp.  6.000%  1/15/37  7,200  7,595 
Apache Corp.  5.100%  9/1/40  11,900  11,038 
Apache Corp.  5.250%  2/1/42  6,300  5,972 
Apache Finance Canada Corp.  7.750%  12/15/29  1,075  1,330 
Baker Hughes Inc.  6.500%  11/15/13  6,400  7,187 
Baker Hughes Inc.  7.500%  11/15/18  1,165  1,455 
Baker Hughes Inc.  6.875%  1/15/29  700  817 
Baker Hughes Inc.  5.125%  9/15/40  13,840  13,116 
BJ Services Co.  6.000%  6/1/18  2,825  3,223 
BP Capital Markets plc  5.250%  11/7/13  14,975  16,175 
BP Capital Markets plc  3.625%  5/8/14  5,625  5,837 
BP Capital Markets plc  3.875%  3/10/15  11,485  11,933 
BP Capital Markets plc  3.125%  10/1/15  17,375  17,452 
BP Capital Markets plc  3.200%  3/11/16  15,000  14,910 
BP Capital Markets plc  4.750%  3/10/19  10,625  11,002 
BP Capital Markets plc  4.742%  3/11/21  14,300  14,326 
Burlington Resources Finance Co.  7.200%  8/15/31  750  905 
Burlington Resources Finance Co.  7.400%  12/1/31  4,275  5,242 
Cameron International Corp.  6.375%  7/15/18  975  1,093 
Cameron International Corp.  7.000%  7/15/38  100  115 
Canadian Natural Resources Ltd.  5.450%  10/1/12  4,800  5,089 
Canadian Natural Resources Ltd.  5.150%  2/1/13  1,500  1,596 
Canadian Natural Resources Ltd.  4.900%  12/1/14  5,400  5,845 
Canadian Natural Resources Ltd.  6.000%  8/15/16  4,225  4,752 
Canadian Natural Resources Ltd.  5.700%  5/15/17  8,801  9,833 
Canadian Natural Resources Ltd.  7.200%  1/15/32  4,800  5,634 

 

 

Canadian Natural Resources Ltd.  6.450%  6/30/33  5,865  6,341 
Canadian Natural Resources Ltd.  6.500%  2/15/37  9,180  10,213 
Canadian Natural Resources Ltd.  6.250%  3/15/38  3,680  3,944 
Cenovus Energy Inc.  4.500%  9/15/14  4,625  4,953 
Cenovus Energy Inc.  5.700%  10/15/19  9,575  10,582 
Cenovus Energy Inc.  6.750%  11/15/39  22,325  24,946 
Chevron Corp.  3.950%  3/3/14  6,165  6,593 
Chevron Corp.  4.950%  3/3/19  18,350  20,190 
ConocoPhillips  4.750%  2/1/14  5,125  5,559 
ConocoPhillips  4.600%  1/15/15  10,300  11,206 
ConocoPhillips  5.750%  2/1/19  19,475  21,969 
ConocoPhillips  5.900%  10/15/32  4,501  4,782 
ConocoPhillips  5.900%  5/15/38  3,555  3,756 
ConocoPhillips Canada Funding Co. I  5.625%  10/15/16  16,300  18,378 
ConocoPhillips Canada Funding Co. I  5.950%  10/15/36  2,150  2,274 
ConocoPhillips Holding Co.  6.950%  4/15/29  7,840  9,304 
Devon Energy Corp.  5.625%  1/15/14  8,800  9,719 
Devon Energy Corp.  7.950%  4/15/32  1,125  1,457 
Devon Financing Corp. ULC  7.875%  9/30/31  13,306  17,016 
Diamond Offshore Drilling Inc.  5.150%  9/1/14  2,250  2,439 
Diamond Offshore Drilling Inc.  4.875%  7/1/15  600  645 
Diamond Offshore Drilling Inc.  5.875%  5/1/19  2,700  2,955 
Diamond Offshore Drilling Inc.  5.700%  10/15/39  4,475  4,410 
Encana Corp.  4.750%  10/15/13  75  81 
Encana Corp.  5.900%  12/1/17  7,450  8,329 
Encana Corp.  7.200%  11/1/31  5,675  6,484 
Encana Corp.  6.500%  8/15/34  7,800  8,301 
Encana Corp.  6.625%  8/15/37  4,479  4,831 
Encana Corp.  6.500%  2/1/38  3,475  3,698 
EnCana Holdings Finance Corp.  5.800%  5/1/14  4,900  5,408 
Ensco plc  3.250%  3/15/16  4,000  3,969 
Ensco plc  4.700%  3/15/21  9,300  9,199 
EOG Resources Inc.  6.125%  10/1/13  650  720 
EOG Resources Inc.  2.950%  6/1/15  5,350  5,393 
EOG Resources Inc.  5.875%  9/15/17  3,025  3,386 
EOG Resources Inc.  5.625%  6/1/19  850  934 
EOG Resources Inc.  4.400%  6/1/20  2,875  2,871 
EOG Resources Inc.  4.100%  2/1/21  9,500  9,172 
Global Marine Inc.  7.000%  6/1/28  3,150  3,326 
Halliburton Co.  6.150%  9/15/19  6,945  7,943 
Halliburton Co.  6.700%  9/15/38  10,450  12,011 
Halliburton Co.  7.450%  9/15/39  5,760  7,243 
Hess Corp.  8.125%  2/15/19  10,525  13,155 
Hess Corp.  7.875%  10/1/29  5,895  7,252 
Hess Corp.  7.300%  8/15/31  4,510  5,267 
Hess Corp.  7.125%  3/15/33  4,675  5,359 
Hess Corp.  6.000%  1/15/40  6,518  6,557 
Hess Corp.  5.600%  2/15/41  4,375  4,159 
Husky Energy Inc.  6.250%  6/15/12  2,325  2,461 
Husky Energy Inc.  5.900%  6/15/14  8,607  9,540 
Husky Energy Inc.  6.150%  6/15/19  800  872 
Husky Energy Inc.  7.250%  12/15/19  2,435  2,880 
Husky Energy Inc.  6.800%  9/15/37  2,175  2,381 
Kerr-McGee Corp.  6.950%  7/1/24  10,220  11,256 
Kerr-McGee Corp.  7.875%  9/15/31  2,015  2,287 
Lasmo USA Inc.  7.300%  11/15/27  355  400 
Marathon Oil Corp.  6.000%  10/1/17  10,475  11,775 
Marathon Oil Corp.  5.900%  3/15/18  3,797  4,268 

 

 

Marathon Oil Corp.  6.600%  10/1/37  610  665 
5 Marathon Petroleum Corp.  3.500%  3/1/16  3,000  3,007 
5 Marathon Petroleum Corp.  5.125%  3/1/21  7,250  7,297 
5 Marathon Petroleum Corp.  6.500%  3/1/41  4,000  4,023 
Nabors Industries Inc.  6.150%  2/15/18  9,400  10,296 
Nabors Industries Inc.  9.250%  1/15/19  3,025  3,800 
Nabors Industries Inc.  5.000%  9/15/20  2,975  2,938 
Nexen Inc.  5.050%  11/20/13  1,375  1,519 
Nexen Inc.  7.875%  3/15/32  5,975  6,889 
Nexen Inc.  5.875%  3/10/35  375  352 
Nexen Inc.  6.400%  5/15/37  9,450  9,384 
Nexen Inc.  7.500%  7/30/39  7,375  8,297 
Noble Energy Inc.  8.250%  3/1/19  3,829  4,805 
Noble Energy Inc.  8.000%  4/1/27  525  618 
Noble Energy Inc.  6.000%  3/1/41  3,600  3,587 
Noble Holding International Ltd.  3.450%  8/1/15  9,050  9,205 
Noble Holding International Ltd.  4.900%  8/1/20  3,225  3,281 
Noble Holding International Ltd.  6.200%  8/1/40  4,450  4,525 
Noble Holding International Ltd.  6.050%  3/1/41  850  853 
Occidental Petroleum Corp.  2.500%  2/1/16  9,675  9,543 
Occidental Petroleum Corp.  4.100%  2/1/21  14,700  14,524 
PC Financial Partnership  5.000%  11/15/14  8,100  8,741 
Petro-Canada  4.000%  7/15/13  5,600  5,873 
Petro-Canada  6.050%  5/15/18  6,075  6,831 
Petro-Canada  7.875%  6/15/26  1,500  1,851 
Petro-Canada  7.000%  11/15/28  1,175  1,326 
Petro-Canada  5.350%  7/15/33  4,825  4,489 
Petro-Canada  5.950%  5/15/35  6,850  6,898 
Petro-Canada  6.800%  5/15/38  4,475  4,974 
Rowan Cos. Inc.  7.875%  8/1/19  7,500  8,858 
Shell International Finance BV  1.875%  3/25/13  5,625  5,720 
Shell International Finance BV  4.000%  3/21/14  44,975  47,875 
Shell International Finance BV  3.100%  6/28/15  18,525  18,951 
Shell International Finance BV  3.250%  9/22/15  3,600  3,702 
Shell International Finance BV  5.200%  3/22/17  2,950  3,275 
Shell International Finance BV  4.300%  9/22/19  25,400  26,092 
Shell International Finance BV  4.375%  3/25/20  4,490  4,623 
Shell International Finance BV  6.375%  12/15/38  13,494  15,193 
Shell International Finance BV  5.500%  3/25/40  3,625  3,659 
Statoil ASA  3.875%  4/15/14  6,750  7,160 
Statoil ASA  2.900%  10/15/14  2,250  2,322 
Statoil ASA  3.125%  8/17/17  7,000  6,901 
Statoil ASA  5.250%  4/15/19  11,825  12,841 
Statoil ASA  7.750%  6/15/23  25  31 
Statoil ASA  7.250%  9/23/27  5,375  6,580 
5 Statoil ASA  6.500%  12/1/28  975  1,123 
Statoil ASA  7.150%  1/15/29  2,850  3,443 
Statoil ASA  5.100%  8/17/40  4,585  4,367 
Suncor Energy Inc.  6.100%  6/1/18  875  987 
Suncor Energy Inc.  7.150%  2/1/32  1,275  1,427 
Suncor Energy Inc.  5.950%  12/1/34  250  251 
Suncor Energy Inc.  6.500%  6/15/38  23,780  25,512 
Suncor Energy Inc.  6.850%  6/1/39  4,750  5,326 
Sunoco Inc.  4.875%  10/15/14  1,325  1,403 
Sunoco Inc.  5.750%  1/15/17  1,925  2,044 
Talisman Energy Inc.  5.125%  5/15/15  1,125  1,220 
Talisman Energy Inc.  7.750%  6/1/19  16,137  19,660 
Talisman Energy Inc.  7.250%  10/15/27  850  998 

 

 

Talisman Energy Inc.  5.850%  2/1/37  6,500  6,478 
Tosco Corp.  8.125%  2/15/30  15,350  19,606 
Total Capital Canada Ltd.  1.625%  1/28/14  5,325  5,328 
Total Capital SA  3.000%  6/24/15  19,075  19,437 
Total Capital SA  3.125%  10/2/15  775  790 
Total Capital SA  2.300%  3/15/16  200  194 
Total Capital SA  4.450%  6/24/20  6,925  7,046 
Total Capital SA  4.125%  1/28/21  5,000  4,955 
Transocean Inc.  5.250%  3/15/13  3,375  3,578 
Transocean Inc.  4.950%  11/15/15  11,300  11,921 
Transocean Inc.  6.000%  3/15/18  4,075  4,386 
Transocean Inc.  6.500%  11/15/20  5,710  6,271 
Transocean Inc.  7.500%  4/15/31  2,325  2,599 
Transocean Inc.  6.800%  3/15/38  5,135  5,380 
Valero Energy Corp.  6.875%  4/15/12  14,200  15,027 
Valero Energy Corp.  4.750%  6/15/13  240  254 
Valero Energy Corp.  4.500%  2/1/15  2,625  2,754 
Valero Energy Corp.  9.375%  3/15/19  7,566  9,618 
Valero Energy Corp.  6.125%  2/1/20  10,675  11,539 
Valero Energy Corp.  7.500%  4/15/32  6,215  6,827 
Valero Energy Corp.  6.625%  6/15/37  9,065  9,109 
Valero Energy Corp.  10.500%  3/15/39  6,650  9,354 
Weatherford International Inc.  5.950%  6/15/12  325  341 
Weatherford International Inc.  6.350%  6/15/17  5,750  6,344 
Weatherford International Inc.  6.800%  6/15/37  275  286 
Weatherford International Ltd.  5.150%  3/15/13  736  777 
Weatherford International Ltd.  5.500%  2/15/16  1,040  1,114 
Weatherford International Ltd.  6.000%  3/15/18  5,225  5,666 
Weatherford International Ltd.  9.625%  3/1/19  23,375  29,715 
Weatherford International Ltd.  6.500%  8/1/36  7,925  7,880 
Weatherford International Ltd.  7.000%  3/15/38  1,750  1,843 
Williams Cos. Inc.  7.875%  9/1/21  1,121  1,388 
Williams Cos. Inc.  7.500%  1/15/31  6,942  8,178 
Williams Cos. Inc.  7.750%  6/15/31  1,754  2,075 
Williams Cos. Inc.  8.750%  3/15/32  712  926 
XTO Energy Inc.  5.750%  12/15/13  4,650  5,195 
XTO Energy Inc.  6.250%  8/1/17  9,075  10,731 
XTO Energy Inc.  6.750%  8/1/37  5,359  6,627 
 
Other Industrial (0.0%)         
Cintas Corp. No 2  6.125%  12/1/17  2,500  2,846 
Massachusetts Development Finance Agency         
Revenue (Harvard University)  4.875%  10/15/40  7,600  7,290 
 
Technology (0.9%)         
Adobe Systems Inc.  3.250%  2/1/15  4,525  4,619 
Adobe Systems Inc.  4.750%  2/1/20  6,625  6,697 
Agilent Technologies Inc.  4.450%  9/14/12  575  597 
Agilent Technologies Inc.  5.500%  9/14/15  3,125  3,390 
Agilent Technologies Inc.  6.500%  11/1/17  14,750  16,436 
Amphenol Corp.  4.750%  11/15/14  4,125  4,404 
Analog Devices Inc.  5.000%  7/1/14  3,425  3,719 
Analog Devices Inc.  3.000%  4/15/16  1,075  1,069 
Arrow Electronics Inc.  6.875%  7/1/13  200  218 
Arrow Electronics Inc.  3.375%  11/1/15  2,600  2,562 
Arrow Electronics Inc.  5.125%  3/1/21  1,185  1,159 
Avnet Inc.  6.625%  9/15/16  235  257 
BMC Software Inc.  7.250%  6/1/18  2,300  2,613 

 

 

5 Broadcom Corp.  1.500%  11/1/13  2,000  1,968 
CA Inc.  5.375%  12/1/19  3,500  3,606 
Cisco Systems Inc.  1.625%  3/14/14  17,475  17,401 
Cisco Systems Inc.  2.900%  11/17/14  1,975  2,039 
Cisco Systems Inc.  5.500%  2/22/16  12,090  13,544 
Cisco Systems Inc.  3.150%  3/14/17  10,250  10,177 
Cisco Systems Inc.  4.950%  2/15/19  31,375  33,501 
Cisco Systems Inc.  4.450%  1/15/20  24,935  25,482 
Cisco Systems Inc.  5.900%  2/15/39  24,615  25,418 
Cisco Systems Inc.  5.500%  1/15/40  9,475  9,214 
Computer Sciences Corp.  5.500%  3/15/13  1,650  1,758 
Computer Sciences Corp.  6.500%  3/15/18  2,200  2,385 
Corning Inc.  6.625%  5/15/19  3,180  3,654 
Corning Inc.  7.250%  8/15/36  300  343 
Corning Inc.  5.750%  8/15/40  4,525  4,502 
Dell Inc.  3.375%  6/15/12  800  823 
Dell Inc.  4.700%  4/15/13  5,875  6,260 
Dell Inc.  1.400%  9/10/13  6,200  6,158 
Dell Inc.  2.300%  9/10/15  5,000  4,882 
Dell Inc.  5.650%  4/15/18  3,225  3,540 
Dell Inc.  5.875%  6/15/19  3,850  4,226 
Dell Inc.  6.500%  4/15/38  7,600  8,089 
Dun & Bradstreet Corp.  6.000%  4/1/13  4,725  5,096 
Equifax Inc.  4.450%  12/1/14  2,175  2,293 
Equifax Inc.  6.300%  7/1/17  1,075  1,164 
Fiserv Inc.  6.125%  11/20/12  9,264  9,948 
Fiserv Inc.  3.125%  10/1/15  1,100  1,092 
Fiserv Inc.  6.800%  11/20/17  5,950  6,628 
Harris Corp.  5.000%  10/1/15  3,675  3,869 
Harris Corp.  5.950%  12/1/17  225  248 
Harris Corp.  4.400%  12/15/20  1,725  1,709 
Harris Corp.  6.150%  12/15/40  3,750  3,867 
Hewlett-Packard Co.  6.500%  7/1/12  1,410  1,507 
Hewlett-Packard Co.  4.500%  3/1/13  12,675  13,454 
Hewlett-Packard Co.  1.250%  9/13/13  12,150  12,079 
Hewlett-Packard Co.  6.125%  3/1/14  17,700  19,797 
Hewlett-Packard Co.  4.750%  6/2/14  11,400  12,375 
Hewlett-Packard Co.  2.125%  9/13/15  9,150  8,953 
Hewlett-Packard Co.  5.400%  3/1/17  2,035  2,259 
Hewlett-Packard Co.  5.500%  3/1/18  6,575  7,304 
Hewlett-Packard Co.  3.750%  12/1/20  2,575  2,466 
HP Enterprise Services LLC  6.000%  8/1/13  5,225  5,748 
IBM International Group Capital LLC  5.050%  10/22/12  20,275  21,561 
International Business Machines Corp.  2.100%  5/6/13  1,000  1,019 
International Business Machines Corp.  7.500%  6/15/13  3,150  3,563 
International Business Machines Corp.  1.000%  8/5/13  18,000  17,859 
International Business Machines Corp.  6.500%  10/15/13  200  225 
International Business Machines Corp.  2.000%  1/5/16  2,000  1,939 
International Business Machines Corp.  5.700%  9/14/17  35,351  39,969 
International Business Machines Corp.  7.625%  10/15/18  6,475  8,089 
International Business Machines Corp.  7.000%  10/30/25  965  1,186 
International Business Machines Corp.  6.220%  8/1/27  5,350  6,147 
International Business Machines Corp.  6.500%  1/15/28  600  707 
International Business Machines Corp.  5.875%  11/29/32  875  960 
International Business Machines Corp.  5.600%  11/30/39  16,429  17,112 
Intuit Inc.  5.750%  3/15/17  1,900  2,077 
Juniper Networks Inc.  3.100%  3/15/16  1,095  1,091 
Juniper Networks Inc.  4.600%  3/15/21  1,500  1,487 

 

 

Juniper Networks Inc.  5.950%  3/15/41  2,900  2,854 
KLA-Tencor Corp.  6.900%  5/1/18  3,000  3,304 
Lexmark International Inc.  5.900%  6/1/13  2,825  3,010 
Lexmark International Inc.  6.650%  6/1/18  4,650  5,023 
Maxim Integrated Products Inc.  3.450%  6/14/13  1,800  1,857 
Microsoft Corp.  0.875%  9/27/13  7,800  7,730 
Microsoft Corp.  2.950%  6/1/14  7,800  8,080 
Microsoft Corp.  1.625%  9/25/15  7,550  7,312 
Microsoft Corp.  4.200%  6/1/19  6,625  6,857 
Microsoft Corp.  3.000%  10/1/20  12,620  11,709 
Microsoft Corp.  5.200%  6/1/39  2,075  2,061 
Microsoft Corp.  4.500%  10/1/40  5,950  5,297 
Microsoft Corp.  5.300%  2/8/41  965  970 
Motorola Solutions Inc.  5.375%  11/15/12  4,975  5,247 
Motorola Solutions Inc.  6.000%  11/15/17  10,350  11,264 
Motorola Solutions Inc.  7.500%  5/15/25  850  960 
Motorola Solutions Inc.  6.500%  9/1/25  3,401  3,540 
Motorola Solutions Inc.  6.500%  11/15/28  48  49 
Motorola Solutions Inc.  6.625%  11/15/37  352  374 
Nokia Oyj  5.375%  5/15/19  4,475  4,550 
Nokia Oyj  6.625%  5/15/39  7,625  7,673 
Oracle Corp.  4.950%  4/15/13  1,725  1,854 
Oracle Corp.  3.750%  7/8/14  1,600  1,697 
Oracle Corp.  5.250%  1/15/16  28,071  31,148 
Oracle Corp.  5.750%  4/15/18  13,915  15,567 
Oracle Corp.  5.000%  7/8/19  16,525  17,631 
5 Oracle Corp.  3.875%  7/15/20  3,250  3,182 
Oracle Corp.  6.500%  4/15/38  3,850  4,292 
Oracle Corp.  6.125%  7/8/39  6,600  7,073 
5 Oracle Corp.  5.375%  7/15/40  23,425  22,750 
Pitney Bowes Inc.  4.625%  10/1/12  1,725  1,804 
Pitney Bowes Inc.  3.875%  6/15/13  4,225  4,380 
Pitney Bowes Inc.  4.875%  8/15/14  250  262 
Pitney Bowes Inc.  4.750%  1/15/16  12,000  12,455 
Pitney Bowes Inc.  5.750%  9/15/17  3,500  3,752 
Pitney Bowes Inc.  4.750%  5/15/18  275  276 
Pitney Bowes Inc.  5.250%  1/15/37  450  460 
5 SAIC Inc.  4.450%  12/1/20  1,850  1,852 
5 SAIC Inc.  5.950%  12/1/40  2,550  2,624 
Science Applications International Corp.  6.250%  7/1/12  1,000  1,060 
Science Applications International Corp.  5.500%  7/1/33  2,470  2,416 
Symantec Corp.  2.750%  9/15/15  600  583 
Symantec Corp.  4.200%  9/15/20  7,200  6,751 
Tyco Electronics Group SA  6.000%  10/1/12  850  905 
Tyco Electronics Group SA  7.125%  10/1/37  14,100  16,243 
Xerox Corp.  5.500%  5/15/12  3,095  3,241 
Xerox Corp.  8.250%  5/15/14  6,525  7,623 
Xerox Corp.  4.250%  2/15/15  4,475  4,699 
Xerox Corp.  6.400%  3/15/16  7,045  7,940 
Xerox Corp.  6.750%  2/1/17  3,050  3,491 
Xerox Corp.  6.350%  5/15/18  11,850  13,349 
Xerox Corp.  5.625%  12/15/19  1,375  1,475 
Xerox Corp.  6.750%  12/15/39  1,075  1,216 
 
Transportation (0.4%)         
3 American Airlines 2011-1 Class A Pass         
Through Trust  5.250%  1/31/21  1,050  1,024 

 

 

3 American Airlines Pass Through Trust 2009-         
1A  10.375%  7/2/19  1,739  2,047 
Burlington Northern Santa Fe LLC  5.900%  7/1/12  2,625  2,783 
Burlington Northern Santa Fe LLC  7.000%  2/1/14  750  853 
Burlington Northern Santa Fe LLC  5.650%  5/1/17  4,750  5,290 
Burlington Northern Santa Fe LLC  5.750%  3/15/18  5,050  5,640 
Burlington Northern Santa Fe LLC  3.600%  9/1/20  3,800  3,599 
Burlington Northern Santa Fe LLC  7.000%  12/15/25  5,250  6,334 
Burlington Northern Santa Fe LLC  7.950%  8/15/30  80  101 
Burlington Northern Santa Fe LLC  6.200%  8/15/36  3,450  3,682 
Burlington Northern Santa Fe LLC  6.150%  5/1/37  91  97 
Burlington Northern Santa Fe LLC  5.750%  5/1/40  375  379 
Burlington Northern Santa Fe LLC  5.050%  3/1/41  7,625  6,963 
Canadian National Railway Co.  4.400%  3/15/13  2,575  2,726 
Canadian National Railway Co.  4.950%  1/15/14  1,875  2,037 
Canadian National Railway Co.  5.800%  6/1/16  750  847 
Canadian National Railway Co.  5.850%  11/15/17  1,150  1,291 
Canadian National Railway Co.  5.550%  3/1/19  2,160  2,405 
Canadian National Railway Co.  6.900%  7/15/28  450  538 
Canadian National Railway Co.  6.250%  8/1/34  1,625  1,810 
Canadian National Railway Co.  6.200%  6/1/36  2,675  2,957 
Canadian National Railway Co.  6.375%  11/15/37  900  1,024 
Canadian Pacific Railway Co.  4.450%  3/15/23  4,100  3,964 
Canadian Pacific Railway Co.  7.125%  10/15/31  525  589 
Canadian Pacific Railway Co.  5.950%  5/15/37  1,075  1,100 
Con-way Inc.  6.700%  5/1/34  3,425  3,142 
3 Continental Airlines 1997-4 Class A Pass         
Through Trust  6.900%  1/2/18  3,129  3,285 
3 Continental Airlines 1998-1 Class A Pass         
Through Trust  6.648%  9/15/17  5,871  6,120 
3 Continental Airlines 2007-1 Class A Pass         
Through Trust  5.983%  4/19/22  1,307  1,346 
3 Continental Airlines 2009-2 Class A Pass         
Through Trust  7.250%  11/10/19  1,750  1,903 
CSX Corp.  6.250%  4/1/15  6,925  7,837 
CSX Corp.  5.600%  5/1/17  1,500  1,648 
CSX Corp.  7.900%  5/1/17  2,513  3,048 
CSX Corp.  6.250%  3/15/18  13,350  15,165 
CSX Corp.  7.375%  2/1/19  16,700  20,057 
CSX Corp.  6.000%  10/1/36  5,931  6,189 
CSX Corp.  6.150%  5/1/37  2,325  2,458 
CSX Corp.  6.220%  4/30/40  5,887  6,254 
3 Delta Air Lines 2007-1 Class A Pass Through         
Trust  6.821%  8/10/22  8,693  9,063 
3 Delta Air Lines 2009-1 Class A Pass Through         
Trust  7.750%  12/17/19  11,129  12,214 
3 Delta Air Lines 2010-2 Class A Pass Through         
Trust  4.950%  5/23/19  3,850  3,855 
JB Hunt Transport Services Inc.  3.375%  9/15/15  10,100  9,957 
Norfolk Southern Corp.  5.257%  9/17/14  45  49 
Norfolk Southern Corp.  5.750%  1/15/16  1,700  1,899 
Norfolk Southern Corp.  7.700%  5/15/17  5,125  6,255 
Norfolk Southern Corp.  5.750%  4/1/18  2,575  2,886 
Norfolk Southern Corp.  5.900%  6/15/19  6,325  7,158 
Norfolk Southern Corp.  5.590%  5/17/25  534  567 
Norfolk Southern Corp.  7.800%  5/15/27  5,500  6,925 
Norfolk Southern Corp.  5.640%  5/17/29  2,305  2,419 
Norfolk Southern Corp.  7.250%  2/15/31  1,882  2,286 

 

 

Norfolk Southern Corp.  7.050%  5/1/37  10,985  13,197 
Norfolk Southern Corp.  7.900%  5/15/97  1,800  2,264 
Norfolk Southern Railway Co.  9.750%  6/15/20  1,554  2,129 
Ryder System Inc.  5.850%  3/1/14  1,725  1,887 
Ryder System Inc.  3.150%  3/2/15  5,275  5,286 
Ryder System Inc.  7.200%  9/1/15  3,650  4,209 
Ryder System Inc.  3.600%  3/1/16  3,650  3,671 
Ryder System Inc.  5.850%  11/1/16  7,425  8,154 
Southwest Airlines Co.  5.250%  10/1/14  175  187 
Southwest Airlines Co.  5.750%  12/15/16  3,800  4,097 
Southwest Airlines Co.  5.125%  3/1/17  700  724 
3 Southwest Airlines Co. 2007-1 Pass Through         
Trust  6.150%  8/1/22  1,754  1,920 
3 UAL 2009-2A Pass Through Trust  9.750%  1/15/17  166  189 
Union Pacific Corp.  6.500%  4/15/12  992  1,049 
Union Pacific Corp.  5.450%  1/31/13  4,375  4,700 
Union Pacific Corp.  5.375%  5/1/14  325  355 
Union Pacific Corp.  7.000%  2/1/16  350  410 
Union Pacific Corp.  5.650%  5/1/17  4,050  4,517 
Union Pacific Corp.  5.750%  11/15/17  6,825  7,650 
Union Pacific Corp.  5.700%  8/15/18  22,185  24,795 
Union Pacific Corp.  4.000%  2/1/21  200  196 
Union Pacific Corp.  6.625%  2/1/29  1,900  2,187 
Union Pacific Corp.  5.780%  7/15/40  625  641 
3 Union Pacific Railroad Co. 2007-3 Pass         
Through Trust  6.176%  1/2/31  1,298  1,473 
United Parcel Service Inc.  4.500%  1/15/13  370  393 
United Parcel Service Inc.  3.875%  4/1/14  10,175  10,862 
United Parcel Service Inc.  5.500%  1/15/18  2,360  2,643 
United Parcel Service Inc.  5.125%  4/1/19  5,850  6,478 
United Parcel Service Inc.  3.125%  1/15/21  5,160  4,774 
United Parcel Service Inc.  6.200%  1/15/38  4,900  5,477 
        9,582,444 
Utilities (2.3%)         
Electric (1.6%)         
AEP Texas Central Co.  6.650%  2/15/33  2,300  2,506 
Alabama Power Co.  4.850%  12/15/12  1,875  1,993 
Alabama Power Co.  5.500%  10/15/17  3,500  3,913 
Ameren Corp.  8.875%  5/15/14  1,000  1,150 
Ameren Energy Generating Co.  7.000%  4/15/18  9,345  9,530 
Ameren Energy Generating Co.  7.950%  6/1/32  2,230  2,169 
Ameren Illinois Co.  6.125%  11/15/17  1,300  1,434 
Ameren Illinois Co.  6.250%  4/1/18  4,425  4,844 
American Water Capital Corp.  6.085%  10/15/17  10,200  11,418 
American Water Capital Corp.  6.593%  10/15/37  5,300  5,587 
Appalachian Power Co.  5.650%  8/15/12  3,040  3,202 
Appalachian Power Co.  3.400%  5/24/15  5,250  5,320 
Appalachian Power Co.  7.950%  1/15/20  350  434 
Appalachian Power Co.  4.600%  3/30/21  5,975  5,872 
Appalachian Power Co.  5.800%  10/1/35  950  944 
Appalachian Power Co.  6.375%  4/1/36  2,050  2,126 
Appalachian Power Co.  7.000%  4/1/38  1,175  1,349 
Arizona Public Service Co.  5.800%  6/30/14  625  685 
Arizona Public Service Co.  4.650%  5/15/15  2,925  3,066 
Arizona Public Service Co.  5.500%  9/1/35  600  575 
Atlantic City Electric Co.  7.750%  11/15/18  5,225  6,355 
Baltimore Gas & Electric Co.  5.900%  10/1/16  3,525  3,949 

 

 

Baltimore Gas & Electric Co.  6.350%  10/1/36  625  677 
Carolina Power & Light Co.  6.500%  7/15/12  1,575  1,682 
Carolina Power & Light Co.  5.125%  9/15/13  5,350  5,798 
CenterPoint Energy Houston Electric LLC  5.700%  3/15/13  13,610  14,672 
CenterPoint Energy Houston Electric LLC  5.750%  1/15/14  400  437 
CenterPoint Energy Houston Electric LLC  7.000%  3/1/14  225  255 
CenterPoint Energy Houston Electric LLC  6.950%  3/15/33  300  352 
CenterPoint Energy Inc.  6.500%  5/1/18  70  78 
Cleco Power LLC  6.000%  12/1/40  4,075  3,888 
Cleveland Electric Illuminating Co.  5.650%  12/15/13  175  190 
Cleveland Electric Illuminating Co.  7.880%  11/1/17  2,677  3,197 
Cleveland Electric Illuminating Co.  5.500%  8/15/24  900  924 
Columbus Southern Power Co.  5.850%  10/1/35  5,450  5,575 
Commonwealth Edison Co.  1.625%  1/15/14  2,375  2,358 
Commonwealth Edison Co.  5.950%  8/15/16  11,630  13,174 
Commonwealth Edison Co.  6.150%  9/15/17  13,650  15,243 
Commonwealth Edison Co.  5.800%  3/15/18  2,975  3,284 
Commonwealth Edison Co.  4.000%  8/1/20  2,175  2,101 
7 Commonwealth Edison Co.  5.875%  2/1/33  490  488 
Commonwealth Edison Co.  5.900%  3/15/36  2,375  2,426 
Commonwealth Edison Co.  6.450%  1/15/38  3,025  3,336 
Connecticut Light & Power Co.  6.350%  6/1/36  5,100  5,653 
Consolidated Edison Co. of New York Inc.  4.875%  2/1/13  2,940  3,120 
Consolidated Edison Co. of New York Inc.  5.375%  12/15/15  1,400  1,562 
Consolidated Edison Co. of New York Inc.  5.500%  9/15/16  5,675  6,358 
Consolidated Edison Co. of New York Inc.  5.850%  4/1/18  350  395 
Consolidated Edison Co. of New York Inc.  6.650%  4/1/19  5,975  7,040 
Consolidated Edison Co. of New York Inc.  5.300%  3/1/35  6,100  6,022 
Consolidated Edison Co. of New York Inc.  5.850%  3/15/36  1,925  2,022 
Consolidated Edison Co. of New York Inc.  6.200%  6/15/36  3,000  3,291 
Consolidated Edison Co. of New York Inc.  6.300%  8/15/37  5,250  5,930 
Consolidated Edison Co. of New York Inc.  6.750%  4/1/38  3,075  3,610 
Consolidated Edison Co. of New York Inc.  5.700%  6/15/40  5,250  5,468 
Consolidated Natural Gas Co.  5.000%  12/1/14  4,725  5,164 
Constellation Energy Group Inc.  4.550%  6/15/15  8,631  8,956 
Constellation Energy Group Inc.  7.600%  4/1/32  2,415  2,727 
Consumers Energy Co.  5.375%  4/15/13  4,100  4,416 
Consumers Energy Co.  5.500%  8/15/16  1,800  2,005 
Consumers Energy Co.  6.125%  3/15/19  550  624 
Consumers Energy Co.  6.700%  9/15/19  5,000  5,874 
Consumers Energy Co.  5.650%  4/15/20  800  885 
Detroit Edison Co.  3.450%  10/1/20  1,700  1,608 
Detroit Edison Co.  5.700%  10/1/37  950  982 
Dominion Resources Inc.  6.250%  6/30/12  2,275  2,414 
Dominion Resources Inc.  5.700%  9/17/12  840  895 
Dominion Resources Inc.  1.800%  3/15/14  3,800  3,788 
Dominion Resources Inc.  5.150%  7/15/15  15,258  16,627 
Dominion Resources Inc.  2.250%  9/1/15  3,325  3,228 
Dominion Resources Inc.  6.000%  11/30/17  4,625  5,171 
Dominion Resources Inc.  6.400%  6/15/18  290  331 
Dominion Resources Inc.  8.875%  1/15/19  430  550 
Dominion Resources Inc.  4.450%  3/15/21  4,225  4,175 
Dominion Resources Inc.  6.300%  3/15/33  1,400  1,482 
Dominion Resources Inc.  5.250%  8/1/33  2,575  2,767 
Dominion Resources Inc.  5.950%  6/15/35  8,775  9,031 
Dominion Resources Inc.  7.000%  6/15/38  425  492 
3 Dominion Resources Inc.  7.500%  6/30/66  3,375  3,531 
DTE Energy Co.  6.375%  4/15/33  175  185 

 

 

Duke Energy Carolinas LLC  5.750%  11/15/13  400  443 
Duke Energy Carolinas LLC  4.300%  6/15/20  5,700  5,778 
Duke Energy Carolinas LLC  6.000%  12/1/28  2,750  2,918 
Duke Energy Carolinas LLC  6.450%  10/15/32  1,575  1,763 
Duke Energy Carolinas LLC  6.100%  6/1/37  7,725  8,224 
Duke Energy Carolinas LLC  6.000%  1/15/38  175  189 
Duke Energy Carolinas LLC  6.050%  4/15/38  4,275  4,658 
Duke Energy Carolinas LLC  5.300%  2/15/40  3,275  3,244 
Duke Energy Corp.  6.300%  2/1/14  4,420  4,913 
Duke Energy Corp.  3.950%  9/15/14  5,225  5,491 
Duke Energy Corp.  3.350%  4/1/15  4,675  4,767 
Duke Energy Corp.  5.050%  9/15/19  10,000  10,377 
Duke Energy Indiana Inc.  5.000%  9/15/13  425  459 
Duke Energy Indiana Inc.  6.050%  6/15/16  325  365 
Duke Energy Indiana Inc.  6.120%  10/15/35  1,075  1,129 
Duke Energy Indiana Inc.  6.350%  8/15/38  8,100  8,987 
Duke Energy Indiana Inc.  6.450%  4/1/39  900  1,011 
Duke Energy Ohio Inc.  5.700%  9/15/12  3,975  4,232 
Duke Energy Ohio Inc.  2.100%  6/15/13  3,800  3,861 
Duke Energy Ohio Inc.  5.450%  4/1/19  8  9 
El Paso Electric Co.  6.000%  5/15/35  1,725  1,757 
Empresa Nacional de Electricidad SA  8.350%  8/1/13  2,275  2,541 
Enersis SA  7.375%  1/15/14  2,500  2,769 
Entergy Arkansas Inc.  3.750%  2/15/21  2,500  2,328 
Entergy Gulf States Louisiana LLC  6.000%  5/1/18  8,675  9,440 
Entergy Louisiana LLC  6.500%  9/1/18  1,350  1,535 
Entergy Louisiana LLC  5.400%  11/1/24  125  132 
Exelon Corp.  4.900%  6/15/15  7,000  7,331 
Exelon Corp.  5.625%  6/15/35  1,100  1,020 
Exelon Generation Co. LLC  5.350%  1/15/14  3,148  3,367 
Exelon Generation Co. LLC  4.000%  10/1/20  8,800  8,055 
Exelon Generation Co. LLC  6.250%  10/1/39  6,050  5,951 
Exelon Generation Co. LLC  5.750%  10/1/41  5,200  4,746 
FirstEnergy Corp.  7.375%  11/15/31  7,855  8,474 
FirstEnergy Solutions Corp.  4.800%  2/15/15  6,825  7,167 
FirstEnergy Solutions Corp.  6.050%  8/15/21  75  78 
FirstEnergy Solutions Corp.  6.800%  8/15/39  1,900  1,882 
Florida Power & Light Co.  4.850%  2/1/13  2,375  2,522 
Florida Power & Light Co.  5.550%  11/1/17  1,850  2,087 
Florida Power & Light Co.  5.950%  10/1/33  225  240 
Florida Power & Light Co.  5.625%  4/1/34  3,825  3,925 
Florida Power & Light Co.  4.950%  6/1/35  550  519 
Florida Power & Light Co.  5.400%  9/1/35  5,650  5,631 
Florida Power & Light Co.  6.200%  6/1/36  3,650  4,003 
Florida Power & Light Co.  5.650%  2/1/37  3,975  4,098 
Florida Power & Light Co.  5.850%  5/1/37  1,675  1,783 
Florida Power & Light Co.  5.950%  2/1/38  9,850  10,678 
Florida Power & Light Co.  5.960%  4/1/39  1,175  1,267 
Florida Power Corp.  4.800%  3/1/13  9,875  10,478 
Florida Power Corp.  5.650%  6/15/18  3,100  3,452 
Florida Power Corp.  6.350%  9/15/37  10,125  11,355 
Florida Power Corp.  6.400%  6/15/38  6,600  7,367 
Florida Power Corp.  5.650%  4/1/40  1,000  1,012 
Georgia Power Co.  6.000%  11/1/13  3,000  3,330 
Georgia Power Co.  5.700%  6/1/17  17,009  19,102 
Georgia Power Co.  5.650%  3/1/37  325  334 
Georgia Power Co.  5.950%  2/1/39  4,025  4,248 
Georgia Power Co.  5.400%  6/1/40  4,000  3,939 

 

 

Great Plains Energy Inc.  2.750%  8/15/13  3,000  3,024 
Iberdrola International BV  6.750%  6/15/12  4,900  5,169 
Iberdrola International BV  6.750%  7/15/36  3,650  3,830 
Indiana Michigan Power Co.  7.000%  3/15/19  625  732 
Indiana Michigan Power Co.  6.050%  3/15/37  8,175  8,441 
3 Integrys Energy Group Inc.  6.110%  12/1/66  4,990  4,884 
Interstate Power & Light Co.  6.250%  7/15/39  2,600  2,832 
Jersey Central Power & Light Co.  5.625%  5/1/16  3,025  3,337 
Jersey Central Power & Light Co.  5.650%  6/1/17  1,925  2,101 
Kansas City Power & Light Co.  6.050%  11/15/35  1,725  1,730 
3 Kansas Gas & Electric  5.647%  3/29/21  161  171 
KCP&L Greater Missouri Operations Co.  11.875%  7/1/12  425  474 
5 Kentucky Utilities Co.  1.625%  11/1/15  750  715 
5 Kentucky Utilities Co.  3.250%  11/1/20  3,550  3,284 
5 Kentucky Utilities Co.  5.125%  11/1/40  2,410  2,307 
5 LG&E and KU Energy LLC  2.125%  11/15/15  2,800  2,654 
5 LG&E and KU Energy LLC  3.750%  11/15/20  3,655  3,360 
5 Louisville Gas & Electric Co.  5.125%  11/15/40  2,075  1,998 
Metropolitan Edison Co.  7.700%  1/15/19  5,236  6,193 
MidAmerican Energy Co.  5.650%  7/15/12  2,625  2,770 
MidAmerican Energy Co.  5.125%  1/15/13  6,175  6,581 
MidAmerican Energy Co.  5.950%  7/15/17  1,825  2,064 
MidAmerican Energy Co.  5.300%  3/15/18  450  494 
MidAmerican Energy Co.  6.750%  12/30/31  4,650  5,404 
MidAmerican Energy Co.  5.750%  11/1/35  1,400  1,455 
Midamerican Energy Holdings Co.  5.875%  10/1/12  5,845  6,233 
Midamerican Energy Holdings Co.  5.000%  2/15/14  1,175  1,253 
Midamerican Energy Holdings Co.  5.750%  4/1/18  9,050  10,078 
Midamerican Energy Holdings Co.  8.480%  9/15/28  600  768 
Midamerican Energy Holdings Co.  6.125%  4/1/36  26,372  27,946 
Midamerican Energy Holdings Co.  5.950%  5/15/37  7,950  8,190 
Midamerican Energy Holdings Co.  6.500%  9/15/37  2,390  2,637 
National Rural Utilities Cooperative Finance         
Corp.  2.625%  9/16/12  2,725  2,788 
National Rural Utilities Cooperative Finance         
Corp.  5.500%  7/1/13  5,775  6,290 
National Rural Utilities Cooperative Finance         
Corp.  4.750%  3/1/14  2,265  2,446 
National Rural Utilities Cooperative Finance         
Corp.  3.875%  9/16/15  6,750  7,074 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  4/10/17  4,600  5,064 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  2/1/18  11,585  12,710 
National Rural Utilities Cooperative Finance         
Corp.  10.375%  11/1/18  21,280  29,031 
National Rural Utilities Cooperative Finance         
Corp.  8.000%  3/1/32  4,175  5,354 
Nevada Power Co.  7.125%  3/15/19  14,525  17,092 
Nevada Power Co.  6.750%  7/1/37  1,175  1,348 
NextEra Energy Capital Holdings Inc.  5.350%  6/15/13  2,600  2,774 
NextEra Energy Capital Holdings Inc.  2.550%  11/15/13  3,825  3,890 
NextEra Energy Capital Holdings Inc.  2.600%  9/1/15  2,000  1,970 
NextEra Energy Capital Holdings Inc.  7.875%  12/15/15  825  976 
NextEra Energy Capital Holdings Inc.  6.000%  3/1/19  20,650  22,650 
3 NextEra Energy Capital Holdings Inc.  6.350%  10/1/66  2,175  2,153 
3 NextEra Energy Capital Holdings Inc.  6.650%  6/15/67  2,750  2,757 
5 Niagara Mohawk Power Corp.  4.881%  8/15/19  575  603 

 

 

Northern States Power Co.  1.950%  8/15/15  2,225  2,177 
Northern States Power Co.  5.250%  3/1/18  1,875  2,042 
Northern States Power Co.  5.250%  7/15/35  325  325 
Northern States Power Co.  6.250%  6/1/36  1,650  1,867 
Northern States Power Co.  6.200%  7/1/37  5,425  6,091 
Northern States Power Co.  5.350%  11/1/39  3,700  3,735 
Northern States Power Co.  4.850%  8/15/40  525  493 
NSTAR  4.500%  11/15/19  5,035  5,144 
NSTAR Electric Co.  4.875%  4/15/14  2,600  2,803 
NSTAR Electric Co.  5.625%  11/15/17  5,350  6,021 
NSTAR Electric Co.  5.500%  3/15/40  2,950  2,965 
Oglethorpe Power Corp.  5.950%  11/1/39  1,700  1,736 
Oglethorpe Power Corp.  5.375%  11/1/40  4,800  4,548 
Ohio Edison Co.  6.400%  7/15/16  3,800  4,254 
Ohio Power Co.  5.750%  9/1/13  6,725  7,296 
Ohio Power Co.  6.000%  6/1/16  3,275  3,674 
Oklahoma Gas & Electric Co.  5.850%  6/1/40  3,200  3,274 
Oncor Electric Delivery Co. LLC  5.950%  9/1/13  4,225  4,604 
Oncor Electric Delivery Co. LLC  6.375%  1/15/15  7,340  8,226 
Oncor Electric Delivery Co. LLC  6.800%  9/1/18  3,325  3,787 
Oncor Electric Delivery Co. LLC  7.000%  9/1/22  4,671  5,401 
Oncor Electric Delivery Co. LLC  7.000%  5/1/32  2,125  2,403 
Oncor Electric Delivery Co. LLC  7.250%  1/15/33  3,680  4,282 
Oncor Electric Delivery Co. LLC  7.500%  9/1/38  1,805  2,157 
5 Oncor Electric Delivery Co. LLC  5.250%  9/30/40  325  298 
Pacific Gas & Electric Co.  4.800%  3/1/14  16,975  18,283 
Pacific Gas & Electric Co.  5.625%  11/30/17  3,425  3,790 
Pacific Gas & Electric Co.  8.250%  10/15/18  605  772 
Pacific Gas & Electric Co.  3.500%  10/1/20  19,650  18,134 
Pacific Gas & Electric Co.  6.050%  3/1/34  14,262  14,886 
Pacific Gas & Electric Co.  5.800%  3/1/37  16,875  17,044 
Pacific Gas & Electric Co.  6.250%  3/1/39  3,775  4,005 
PacifiCorp  7.700%  11/15/31  1,299  1,648 
PacifiCorp  5.250%  6/15/35  100  97 
PacifiCorp  5.750%  4/1/37  150  157 
PacifiCorp  6.250%  10/15/37  8,625  9,580 
PacifiCorp  6.000%  1/15/39  875  937 
Peco Energy Co.  5.350%  3/1/18  675  739 
Pennsylvania Electric Co.  6.050%  9/1/17  2,250  2,442 
Pennsylvania Electric Co.  5.200%  4/1/20  10,400  10,687 
Pennsylvania Electric Co.  6.150%  10/1/38  10,400  10,338 
Pepco Holdings Inc.  2.700%  10/1/15  150  148 
Potomac Electric Power Co.  6.500%  11/15/37  7,882  9,079 
PPL Electric Utilities Corp.  6.250%  5/15/39  4,600  5,045 
PPL Energy Supply LLC  6.300%  7/15/13  2,950  3,211 
PPL Energy Supply LLC  5.400%  8/15/14  800  853 
PPL Energy Supply LLC  6.200%  5/15/16  1,545  1,697 
PPL Energy Supply LLC  6.500%  5/1/18  8,025  8,952 
Progress Energy Carolina  5.300%  1/15/19  25,800  28,205 
Progress Energy Inc.  6.850%  4/15/12  1,675  1,775 
Progress Energy Inc.  6.050%  3/15/14  875  969 
Progress Energy Inc.  4.875%  12/1/19  8,100  8,369 
Progress Energy Inc.  7.750%  3/1/31  1,625  2,013 
Progress Energy Inc.  6.000%  12/1/39  6,700  6,871 
PSEG Power LLC  6.950%  6/1/12  15,800  16,786 
PSEG Power LLC  2.500%  4/15/13  1,775  1,802 
PSEG Power LLC  5.000%  4/1/14  3,150  3,356 
PSEG Power LLC  5.500%  12/1/15  14,230  15,434 

 

 

PSEG Power LLC  5.125%  4/15/20  1,701  1,728 
PSEG Power LLC  8.625%  4/15/31  350  441 
Public Service Co. of Colorado  7.875%  10/1/12  8,525  9,368 
Public Service Co. of Colorado  5.500%  4/1/14  165  182 
Public Service Co. of Colorado  5.800%  8/1/18  1,475  1,665 
Public Service Co. of Colorado  5.125%  6/1/19  8,825  9,530 
Public Service Co. of Colorado  3.200%  11/15/20  1,775  1,645 
Public Service Co. of Colorado  6.250%  9/1/37  2,325  2,639 
Public Service Co. of Oklahoma  5.150%  12/1/19  100  105 
Public Service Co. of Oklahoma  6.625%  11/15/37  4,675  5,164 
Public Service Electric & Gas Co.  2.700%  5/1/15  3,300  3,293 
Public Service Electric & Gas Co.  3.500%  8/15/20  500  475 
Public Service Electric & Gas Co.  5.800%  5/1/37  4,600  4,839 
Puget Sound Energy Inc.  5.483%  6/1/35  800  782 
Puget Sound Energy Inc.  6.274%  3/15/37  5,175  5,564 
Puget Sound Energy Inc.  5.757%  10/1/39  2,675  2,713 
Puget Sound Energy Inc.  5.795%  3/15/40  1,515  1,545 
Puget Sound Energy Inc.  5.764%  7/15/40  1,700  1,726 
Puget Sound Energy Inc.  5.638%  4/15/41  3,025  2,991 
San Diego Gas & Electric Co.  5.300%  11/15/15  2,100  2,344 
San Diego Gas & Electric Co.  5.350%  5/15/35  800  807 
San Diego Gas & Electric Co.  4.500%  8/15/40  3,350  2,969 
Sierra Pacific Power Co.  6.000%  5/15/16  3,750  4,201 
Sierra Pacific Power Co.  6.750%  7/1/37  4,250  4,869 
South Carolina Electric & Gas Co.  6.500%  11/1/18  1,710  2,003 
South Carolina Electric & Gas Co.  6.625%  2/1/32  2,125  2,432 
South Carolina Electric & Gas Co.  5.300%  5/15/33  220  216 
South Carolina Electric & Gas Co.  6.050%  1/15/38  4,300  4,638 
Southern California Edison Co.  5.000%  1/15/14  3,350  3,630 
Southern California Edison Co.  4.650%  4/1/15  3,600  3,892 
Southern California Edison Co.  5.000%  1/15/16  1,175  1,281 
Southern California Edison Co.  5.500%  8/15/18  400  448 
Southern California Edison Co.  6.650%  4/1/29  1,536  1,733 
Southern California Edison Co.  6.000%  1/15/34  6,675  7,173 
Southern California Edison Co.  5.750%  4/1/35  925  965 
Southern California Edison Co.  5.350%  7/15/35  4,400  4,355 
Southern California Edison Co.  5.550%  1/15/36  1,400  1,424 
Southern California Edison Co.  5.625%  2/1/36  6,275  6,444 
Southern California Edison Co.  5.550%  1/15/37  6,975  7,095 
Southern California Edison Co.  5.950%  2/1/38  410  441 
Southern California Edison Co.  4.500%  9/1/40  7,775  6,765 
Southern Co.  4.150%  5/15/14  3,850  4,061 
Southern Power Co.  6.250%  7/15/12  3,280  3,472 
Southern Power Co.  4.875%  7/15/15  1,550  1,660 
Southwestern Electric Power Co.  5.550%  1/15/17  400  425 
Southwestern Electric Power Co.  5.875%  3/1/18  1,142  1,231 
Southwestern Electric Power Co.  6.450%  1/15/19  3,625  4,042 
Southwestern Electric Power Co.  6.200%  3/15/40  2,175  2,188 
Tampa Electric Co.  6.100%  5/15/18  275  308 
Tampa Electric Co.  6.550%  5/15/36  3,000  3,371 
Teco Finance Inc.  4.000%  3/15/16  2,650  2,686 
Teco Finance Inc.  5.150%  3/15/20  2,475  2,583 
Toledo Edison Co.  6.150%  5/15/37  6,525  6,745 
TransAlta Corp.  4.750%  1/15/15  1,050  1,110 
TransAlta Corp.  6.650%  5/15/18  1,325  1,478 
TransAlta Corp.  6.500%  3/15/40  650  665 
UIL Holdings Corp.  4.625%  10/1/20  2,650  2,514 
Union Electric Co.  6.700%  2/1/19  6,566  7,557 

 

 

Union Electric Co.  8.450%  3/15/39  1,725  2,361 
United Utilities plc  5.375%  2/1/19  4,950  5,031 
Virginia Electric and Power Co.  5.100%  11/30/12  800  848 
Virginia Electric and Power Co.  5.400%  1/15/16  1,300  1,441 
Virginia Electric and Power Co.  5.000%  6/30/19  3,500  3,718 
Virginia Electric and Power Co.  3.450%  9/1/22  250  229 
Virginia Electric and Power Co.  6.000%  1/15/36  5,575  5,985 
Virginia Electric and Power Co.  6.000%  5/15/37  3,375  3,629 
Virginia Electric and Power Co.  6.350%  11/30/37  3,450  3,870 
Virginia Electric and Power Co.  8.875%  11/15/38  675  978 
Wisconsin Electric Power Co.  6.000%  4/1/14  950  1,064 
Wisconsin Electric Power Co.  4.250%  12/15/19  4,600  4,728 
Wisconsin Electric Power Co.  5.625%  5/15/33  1,025  1,051 
Wisconsin Electric Power Co.  5.700%  12/1/36  825  857 
3 Wisconsin Energy Corp.  6.250%  5/15/67  14,025  14,095 
Wisconsin Power & Light Co.  5.000%  7/15/19  1,175  1,260 
Wisconsin Power & Light Co.  6.375%  8/15/37  4,780  5,449 
Xcel Energy Inc.  5.613%  4/1/17  592  635 
Xcel Energy Inc.  4.700%  5/15/20  1,000  1,025 
Xcel Energy Inc.  6.500%  7/1/36  3,050  3,381 
 
Natural Gas (0.7%)         
AGL Capital Corp.  5.250%  8/15/19  1,100  1,156 
AGL Capital Corp.  6.000%  10/1/34  150  150 
Atmos Energy Corp.  4.950%  10/15/14  3,320  3,519 
Atmos Energy Corp.  8.500%  3/15/19  2,275  2,839 
Boardwalk Pipelines LP  5.500%  2/1/17  3,225  3,434 
British Transco Finance Inc.  6.625%  6/1/18  1,625  1,809 
Buckeye Partners LP  6.050%  1/15/18  350  384 
CenterPoint Energy Resources Corp.  6.150%  5/1/16  1,350  1,497 
5 CenterPoint Energy Resources Corp.  4.500%  1/15/21  4,226  4,141 
5 CenterPoint Energy Resources Corp.  5.850%  1/15/41  1,750  1,724 
DCP Midstream LLC  8.125%  8/16/30  325  386 
DCP Midstream Operating LP  3.250%  10/1/15  3,325  3,247 
El Paso Natural Gas Co.  5.950%  4/15/17  8,930  9,783 
El Paso Natural Gas Co.  8.625%  1/15/22  6,755  8,473 
Enbridge Energy Partners LP  6.500%  4/15/18  7,583  8,636 
Enbridge Energy Partners LP  9.875%  3/1/19  7,975  10,446 
Enbridge Energy Partners LP  7.500%  4/15/38  7,120  8,458 
Enbridge Inc.  5.800%  6/15/14  175  194 
Enbridge Inc.  5.600%  4/1/17  275  306 
Energy Transfer Partners LP  5.650%  8/1/12  4,925  5,174 
Energy Transfer Partners LP  6.000%  7/1/13  10,417  11,297 
Energy Transfer Partners LP  8.500%  4/15/14  5,375  6,271 
Energy Transfer Partners LP  5.950%  2/1/15  8,475  9,274 
Energy Transfer Partners LP  6.125%  2/15/17  1,225  1,358 
Energy Transfer Partners LP  6.700%  7/1/18  340  385 
Energy Transfer Partners LP  9.000%  4/15/19  9,600  12,086 
Energy Transfer Partners LP  6.625%  10/15/36  2,050  2,157 
Energy Transfer Partners LP  7.500%  7/1/38  2,590  3,001 
8 Enron Corp.  7.625%  9/10/04  1,600  2 
8 Enron Corp.  6.625%  11/15/05  1,075  1 
8 Enron Corp.  7.125%  5/15/07  6,846  8 
8 Enron Corp.  6.875%  10/15/07  6,700  8 
8 Enron Corp.  6.750%  8/1/09  5,145  6 
Enterprise Products Operating LLC  4.600%  8/1/12  22,975  23,929 
Enterprise Products Operating LLC  5.650%  4/1/13  3,475  3,742 
Enterprise Products Operating LLC  5.900%  4/15/13  2,175  2,354 

 

 

Enterprise Products Operating LLC  9.750%  1/31/14  12,165  14,566 
Enterprise Products Operating LLC  5.600%  10/15/14  4,726  5,197 
Enterprise Products Operating LLC  6.300%  9/15/17  19,825  22,281 
Enterprise Products Operating LLC  6.650%  4/15/18  2,425  2,761 
Enterprise Products Operating LLC  6.500%  1/31/19  2,775  3,114 
Enterprise Products Operating LLC  5.250%  1/31/20  5,493  5,669 
Enterprise Products Operating LLC  5.200%  9/1/20  3,200  3,291 
Enterprise Products Operating LLC  6.875%  3/1/33  1,950  2,117 
Enterprise Products Operating LLC  6.650%  10/15/34  650  690 
Enterprise Products Operating LLC  7.550%  4/15/38  2,925  3,416 
Enterprise Products Operating LLC  6.125%  10/15/39  5,160  5,105 
Enterprise Products Operating LLC  6.450%  9/1/40  725  749 
Enterprise Products Operating LLC  5.950%  2/1/41  1,400  1,361 
EQT Corp.  6.500%  4/1/18  11,475  12,425 
EQT Corp.  8.125%  6/1/19  325  386 
8 HNG Internorth  9.625%  3/15/06  3,680  4 
KeySpan Corp.  8.000%  11/15/30  50  61 
Kinder Morgan Energy Partners LP  5.850%  9/15/12  6,615  7,029 
Kinder Morgan Energy Partners LP  5.000%  12/15/13  12,425  13,413 
Kinder Morgan Energy Partners LP  5.125%  11/15/14  1,925  2,086 
Kinder Morgan Energy Partners LP  5.625%  2/15/15  300  330 
Kinder Morgan Energy Partners LP  6.000%  2/1/17  230  255 
Kinder Morgan Energy Partners LP  5.950%  2/15/18  10,325  11,386 
Kinder Morgan Energy Partners LP  6.850%  2/15/20  2,025  2,312 
Kinder Morgan Energy Partners LP  7.300%  8/15/33  505  566 
Kinder Morgan Energy Partners LP  5.800%  3/15/35  100  95 
Kinder Morgan Energy Partners LP  6.500%  2/1/37  4,725  4,823 
Kinder Morgan Energy Partners LP  6.950%  1/15/38  3,200  3,452 
Kinder Morgan Energy Partners LP  6.500%  9/1/39  6,000  6,129 
Magellan Midstream Partners LP  5.650%  10/15/16  875  959 
Magellan Midstream Partners LP  6.550%  7/15/19  4,525  5,130 
Magellan Midstream Partners LP  4.250%  2/1/21  2,045  1,975 
National Grid plc  6.300%  8/1/16  8,600  9,749 
Nisource Finance Corp.  6.150%  3/1/13  425  460 
Nisource Finance Corp.  5.400%  7/15/14  5,108  5,583 
Nisource Finance Corp.  5.250%  9/15/17  925  979 
Nisource Finance Corp.  6.400%  3/15/18  13,625  15,241 
Nisource Finance Corp.  6.800%  1/15/19  150  171 
Nisource Finance Corp.  5.450%  9/15/20  1,600  1,665 
Nisource Finance Corp.  6.125%  3/1/22  1,500  1,625 
Nisource Finance Corp.  6.250%  12/15/40  2,225  2,272 
NuStar Logistics LP  7.650%  4/15/18  4,825  5,628 
Oneok Inc.  5.200%  6/15/15  4,000  4,287 
Oneok Inc.  6.000%  6/15/35  5,850  5,700 
ONEOK Partners LP  5.900%  4/1/12  3,000  3,148 
ONEOK Partners LP  6.150%  10/1/16  4,525  5,087 
ONEOK Partners LP  8.625%  3/1/19  15,775  19,825 
ONEOK Partners LP  6.650%  10/1/36  12,525  13,250 
ONEOK Partners LP  6.850%  10/15/37  4,925  5,356 
ONEOK Partners LP  6.125%  2/1/41  5,000  4,986 
Panhandle Eastern Pipeline Co. LP  6.200%  11/1/17  8,050  8,931 
Panhandle Eastern Pipeline Co. LP  7.000%  6/15/18  1,050  1,171 
Plains All American Pipeline LP / PAA         
Finance Corp.  4.250%  9/1/12  8,750  9,083 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.125%  1/15/17  4,440  4,900 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.500%  5/1/18  925  1,033 

 

 

Plains All American Pipeline LP / PAA         
Finance Corp.  8.750%  5/1/19  2,475  3,085 
Plains All American Pipeline LP / PAA         
Finance Corp.  5.750%  1/15/20  1,400  1,490 
Plains All American Pipeline LP / PAA         
Finance Corp.  5.000%  2/1/21  700  699 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.650%  1/15/37  1,000  1,061 
Questar Corp.  2.750%  2/1/16  600  595 
Sempra Energy  6.000%  2/1/13  700  749 
Sempra Energy  2.000%  3/15/14  11,000  10,924 
Sempra Energy  6.150%  6/15/18  100  112 
Sempra Energy  6.000%  10/15/39  1,250  1,286 
Southern California Gas Co.  5.750%  11/15/35  950  1,012 
5 Southern Natural Gas Co.  5.900%  4/1/17  7,465  8,229 
Southern Natural Gas Co.  8.000%  3/1/32  5,832  7,072 
Southern Union Co.  7.600%  2/1/24  8,260  9,226 
Spectra Energy Capital LLC  6.250%  2/15/13  1,146  1,238 
Spectra Energy Capital LLC  5.500%  3/1/14  3,125  3,388 
Spectra Energy Capital LLC  5.668%  8/15/14  150  164 
Spectra Energy Capital LLC  6.200%  4/15/18  925  1,024 
Spectra Energy Capital LLC  6.750%  2/15/32  2,250  2,414 
Sunoco Logistics Partners Operations LP  6.850%  2/15/40  875  938 
Tennessee Gas Pipeline Co.  7.000%  10/15/28  120  133 
Texas Eastern Transmission LP  7.000%  7/15/32  200  232 
Texas Gas Transmission LLC  4.600%  6/1/15  2,875  3,006 
TransCanada PipeLines Ltd.  4.000%  6/15/13  3,950  4,153 
TransCanada PipeLines Ltd.  3.400%  6/1/15  500  512 
TransCanada PipeLines Ltd.  6.500%  8/15/18  12,275  14,284 
TransCanada PipeLines Ltd.  7.125%  1/15/19  2,550  3,084 
TransCanada PipeLines Ltd.  3.800%  10/1/20  7,900  7,583 
TransCanada PipeLines Ltd.  5.600%  3/31/34  3,055  3,006 
TransCanada PipeLines Ltd.  5.850%  3/15/36  13,375  13,595 
TransCanada PipeLines Ltd.  6.200%  10/15/37  7,425  7,850 
TransCanada PipeLines Ltd.  7.250%  8/15/38  2,017  2,386 
TransCanada PipeLines Ltd.  7.625%  1/15/39  354  437 
TransCanada PipeLines Ltd.  6.100%  6/1/40  475  498 
3 TransCanada PipeLines Ltd.  6.350%  5/15/67  11,021  11,036 
Williams Partners LP  3.800%  2/15/15  2,900  2,998 
Williams Partners LP  5.250%  3/15/20  33,420  34,877 
Williams Partners LP  6.300%  4/15/40  3,500  3,621 
Williams Partners LP / Williams Partners         
Finance Corp.  7.250%  2/1/17  11,225  13,151 
 
Other Utility (0.0%)         
Veolia Environnement SA  6.000%  6/1/18  7,020  7,808 
Veolia Environnement SA  6.750%  6/1/38  125  141 
 
        1,965,728 
Total Corporate Bonds (Cost $17,125,382)        17,992,905 
Sovereign Bonds (U.S. Dollar-Denominated) (4.3%)         
African Development Bank  1.000%  11/23/11  5,575  5,582 
African Development Bank  1.750%  10/1/12  4,450  4,500 
African Development Bank  1.625%  2/11/13  7,425  7,510 
African Development Bank  3.000%  5/27/14  17,625  18,442 
Asian Development Bank  4.500%  9/4/12  1,050  1,100 
Asian Development Bank  1.625%  7/15/13  23,725  24,028 

 

 

Asian Development Bank  3.625%  9/5/13  23,500  24,937 
Asian Development Bank  2.750%  5/21/14  18,145  18,759 
Asian Development Bank  4.250%  10/20/14  5,875  6,385 
Asian Development Bank  2.625%  2/9/15  24,975  25,649 
Asian Development Bank  2.500%  3/15/16  14,550  14,656 
Asian Development Bank  5.500%  6/27/16  1,875  2,138 
Asian Development Bank  5.250%  6/12/17  600  678 
Asian Development Bank  5.593%  7/16/18  3,528  3,968 
Brazilian Government International Bond  10.250%  6/17/13  2,200  2,622 
Brazilian Government International Bond  7.875%  3/7/15  8,200  9,758 
Brazilian Government International Bond  6.000%  1/17/17  30,605  34,308 
3 Brazilian Government International Bond  8.000%  1/15/18  19,002  22,327 
Brazilian Government International Bond  5.875%  1/15/19  41,550  45,913 
Brazilian Government International Bond  8.875%  10/14/19  11,650  15,291 
Brazilian Government International Bond  4.875%  1/22/21  12,050  12,305 
Brazilian Government International Bond  8.875%  4/15/24  1,500  2,040 
Brazilian Government International Bond  8.875%  4/15/24  3,125  4,255 
Brazilian Government International Bond  8.750%  2/4/25  12,250  16,507 
Brazilian Government International Bond  10.125%  5/15/27  12,325  18,549 
Brazilian Government International Bond  8.250%  1/20/34  18,450  24,354 
Brazilian Government International Bond  7.125%  1/20/37  16,706  19,824 
Brazilian Government International Bond  11.000%  8/17/40  19,450  26,141 
Brazilian Government International Bond  5.625%  1/7/41  24,450  24,034 
Canada Government International Bond  2.375%  9/10/14  4,175  4,275 
Chile Government International Bond  5.500%  1/15/13  2,965  3,168 
Chile Government International Bond  3.875%  8/5/20  8,850  8,620 
China Development Bank Corp.  4.750%  10/8/14  3,700  3,920 
China Development Bank Corp.  5.000%  10/15/15  1,450  1,551 
China Government International Bond  4.750%  10/29/13  5,700  6,141 
Corp Andina de Fomento  3.750%  1/15/16  3,925  3,890 
Corp Andina de Fomento  8.125%  6/4/19  12,000  14,380 
Corp. Andina de Fomento  5.200%  5/21/13  2,400  2,554 
Corp. Andina de Fomento  5.125%  5/5/15  1,100  1,158 
Corp. Andina de Fomento  5.750%  1/12/17  16,625  17,781 
Council Of Europe Development Bank  2.750%  2/10/15  5,675  5,816 
Council Of Europe Development Bank  2.625%  2/16/16  6,950  6,998 
9 Development Bank of Japan  4.250%  6/9/15  11,375  12,249 
Eksportfinans ASA  1.875%  4/2/13  400  405 
Eksportfinans ASA  3.000%  11/17/14  7,250  7,457 
Eksportfinans ASA  2.000%  9/15/15  5,825  5,683 
Eksportfinans ASA  5.500%  5/25/16  9,520  10,664 
Eksportfinans ASA  5.500%  6/26/17  17,500  19,412 
European Bank for Reconstruction &         
Development  2.750%  4/20/15  19,100  19,458 
European Bank for Reconstruction &         
Development  1.625%  9/3/15  6,550  6,371 
European Bank for Reconstruction &         
Development  2.500%  3/15/16  8,100  8,121 
5 European Investment Bank  1.125%  4/16/12  12,500  12,576 
European Investment Bank  1.750%  9/14/12  10,850  11,023 
European Investment Bank  1.625%  3/15/13  12,800  12,973 
European Investment Bank  2.875%  3/15/13  8,100  8,359 
European Investment Bank  3.250%  5/15/13  35,700  37,170 
European Investment Bank  1.875%  6/17/13  11,650  11,829 
European Investment Bank  4.250%  7/15/13  33,575  35,934 
^ European Investment Bank  1.250%  9/17/13  15,975  15,954 
European Investment Bank  1.250%  2/14/14  3,400  3,376 
European Investment Bank  2.375%  3/14/14  24,750  25,345 

 

 

European Investment Bank  4.625%  5/15/14  35,482  38,686 
European Investment Bank  3.125%  6/4/14  58,200  60,861 
European Investment Bank  2.875%  1/15/15  15,400  15,864 
^ European Investment Bank  2.750%  3/23/15  20,100  20,631 
European Investment Bank  1.625%  9/1/15  19,025  18,668 
European Investment Bank  1.375%  10/20/15  24,325  23,316 
European Investment Bank  4.875%  2/16/16  19,250  21,254 
European Investment Bank  2.500%  5/16/16  29,250  29,191 
European Investment Bank  5.125%  9/13/16  2,150  2,406 
European Investment Bank  4.875%  1/17/17  21,025  23,244 
European Investment Bank  5.125%  5/30/17  28,695  32,045 
European Investment Bank  2.875%  9/15/20  12,750  11,813 
European Investment Bank  4.000%  2/16/21  13,475  13,619 
European Investment Bank  4.875%  2/15/36  300  302 
Export Development Canada  1.750%  9/24/12  20,975  21,294 
Export Development Canada  3.500%  5/16/13  9,600  10,036 
Export Development Canada  3.125%  4/24/14  225  236 
Export Development Canada  2.250%  5/28/15  3,500  3,531 
Export-Import Bank of Korea  5.500%  10/17/12  8,350  8,782 
Export-Import Bank of Korea  8.125%  1/21/14  18,550  21,113 
Export-Import Bank of Korea  5.875%  1/14/15  19,025  20,601 
Export-Import Bank of Korea  5.125%  3/16/15  2,500  2,637 
Export-Import Bank of Korea  4.125%  9/9/15  4,925  5,015 
Export-Import Bank of Korea  5.125%  6/29/20  5,700  5,744 
Financement-Quebec  5.000%  10/25/12  3,725  3,936 
Hungary Government International Bond  4.750%  2/3/15  3,225  3,237 
Hungary Government International Bond  6.375%  3/29/21  1,700  1,702 
Hungary Government International Bond  7.625%  3/29/41  1,100  1,104 
Hydro Quebec  6.300%  5/11/11  16,325  16,424 
Hydro Quebec  8.000%  2/1/13  9,675  10,777 
Hydro Quebec  7.500%  4/1/16  2,155  2,608 
Hydro Quebec  8.400%  1/15/22  2,675  3,594 
Hydro Quebec  8.050%  7/7/24  2,975  3,961 
Hydro Quebec  8.500%  12/1/29  400  567 
Inter-American Development Bank  4.375%  9/20/12  80  84 
Inter-American Development Bank  4.750%  10/19/12  4,525  4,795 
Inter-American Development Bank  3.500%  3/15/13  9,375  9,816 
Inter-American Development Bank  1.625%  7/15/13  1,000  1,008 
Inter-American Development Bank  3.000%  4/22/14  25,200  26,310 
Inter-American Development Bank  2.250%  7/15/15  8,100  8,102 
Inter-American Development Bank  4.250%  9/14/15  7,395  8,026 
Inter-American Development Bank  5.125%  9/13/16  200  225 
Inter-American Development Bank  2.375%  8/15/17  4,550  4,409 
Inter-American Development Bank  4.250%  9/10/18  17,950  19,275 
Inter-American Development Bank  3.875%  9/17/19  57,400  59,109 
Inter-American Development Bank  3.875%  2/14/20  6,425  6,593 
Inter-American Development Bank  7.000%  6/15/25  2,775  3,457 
International Bank for Reconstruction &         
Development  2.000%  4/2/12  39,065  39,646 
International Bank for Reconstruction &         
Development  0.800%  7/13/12  17,875  17,896 
International Bank for Reconstruction &         
Development  1.750%  7/15/13  17,275  17,481 
International Bank for Reconstruction &         
Development  3.500%  10/8/13  29,250  30,895 
International Bank for Reconstruction &         
Development  2.375%  5/26/15  42,275  42,712 

 

 

  International Bank for Reconstruction &         
  Development  2.125%  3/15/16  44,275  43,644 
  International Bank for Reconstruction &         
  Development  5.000%  4/1/16  14,525  16,195 
  International Bank for Reconstruction &         
  Development  7.625%  1/19/23  3,350  4,464 
  International Bank for Reconstruction &         
  Development  8.875%  3/1/26  1,050  1,527 
  International Bank for Reconstruction &         
  Development  4.750%  2/15/35  1,150  1,154 
  International Finance Corp.  3.500%  5/15/13  7,100  7,444 
  International Finance Corp.  3.000%  4/22/14  26,437  27,473 
  International Finance Corp.  2.750%  4/20/15  10,375  10,589 
  International Finance Corp.  2.125%  11/17/17  14,975  14,079 
  Israel Government International Bond  4.625%  6/15/13  2,375  2,502 
  Israel Government International Bond  5.125%  3/1/14  800  859 
  Israel Government International Bond  5.500%  11/9/16  7,650  8,354 
  Israel Government International Bond  5.125%  3/26/19  18,700  19,521 
  Japan Bank for International Cooperation  4.375%  11/26/12  5,450  5,750 
  Japan Bank for International Cooperation  4.250%  6/18/13  20,125  21,294 
9  Japan Finance Corp.  1.500%  7/6/12  12,925  12,996 
9  Japan Finance Corp.  2.125%  11/5/12  12,450  12,658 
9  Japan Finance Corp.  2.875%  2/2/15  16,150  16,356 
9  Japan Finance Corp.  2.500%  1/21/16  6,100  5,998 
9  Japan Finance Organization for         
  Municipalities  4.625%  4/21/15  6,850  7,395 
  Japan Finance Organization for         
  Municipalities  5.000%  5/16/17  4,000  4,368 
9  Japan Finance Organization for         
  Municipalities  4.000%  1/13/21  9,200  9,004 
  Korea Development Bank  5.300%  1/17/13  2,475  2,614 
  Korea Development Bank  5.750%  9/10/13  9,940  10,684 
  Korea Development Bank  8.000%  1/23/14  10,800  12,269 
  Korea Development Bank  4.375%  8/10/15  6,275  6,423 
  Korea Development Bank  3.250%  3/9/16  12,800  12,501 
  Korea Development Bank  4.000%  9/9/16  4,250  4,297 
  Korea Electric Power Corp.  7.750%  4/1/13  6,075  6,693 
  Korea Finance Corp.  3.250%  9/20/16  11,100  10,696 
10  Kreditanstalt fuer Wiederaufbau  2.250%  4/16/12  8,675  8,820 
10  Kreditanstalt fuer Wiederaufbau  4.750%  5/15/12  13,300  13,890 
10  Kreditanstalt fuer Wiederaufbau  1.250%  6/15/12  28,100  28,285 
10  Kreditanstalt fuer Wiederaufbau  1.875%  1/14/13  25,500  25,861 
10  Kreditanstalt fuer Wiederaufbau  3.250%  3/15/13  80,400  83,690 
10  Kreditanstalt fuer Wiederaufbau  3.500%  5/16/13  12,075  12,675 
10  Kreditanstalt fuer Wiederaufbau  1.375%  7/15/13  31,350  31,427 
10  Kreditanstalt fuer Wiederaufbau  4.000%  10/15/13  23,825  25,342 
10  Kreditanstalt fuer Wiederaufbau  1.375%  1/13/14  19,175  19,071 
10  Kreditanstalt fuer Wiederaufbau  3.500%  3/10/14  22,925  24,177 
10  Kreditanstalt fuer Wiederaufbau  1.500%  4/4/14  13,675  13,678 
10  Kreditanstalt fuer Wiederaufbau  4.125%  10/15/14  1,425  1,532 
^,10 Kreditanstalt fuer Wiederaufbau  2.750%  10/21/14  15,275  15,715 
^,10 Kreditanstalt fuer Wiederaufbau  2.625%  3/3/15  28,625  29,194 
10  Kreditanstalt fuer Wiederaufbau  1.250%  10/26/15  11,575  11,020 
10  Kreditanstalt fuer Wiederaufbau  2.625%  2/16/16  27,900  28,143 
10  Kreditanstalt fuer Wiederaufbau  5.125%  3/14/16  36,250  40,326 
10  Kreditanstalt fuer Wiederaufbau  4.875%  1/17/17  680  752 
10  Kreditanstalt fuer Wiederaufbau  4.375%  3/15/18  14,175  15,224 
10  Kreditanstalt fuer Wiederaufbau  4.500%  7/16/18  14,325  15,430 

 

 

10  Kreditanstalt fuer Wiederaufbau  4.875%  6/17/19  24,425  26,730 
^,10 Kreditanstalt fuer Wiederaufbau  4.000%  1/27/20  17,800  18,308 
10  Kreditanstalt fuer Wiederaufbau  2.750%  9/8/20  33,125  30,345 
  Landesbank Baden-Wuerttemberg  6.350%  4/1/12  2,000  2,094 
  Landesbank Baden-Wuerttemberg  7.625%  2/1/23  300  362 
10  Landwirtschaftliche Rentenbank  5.250%  7/2/12  7,425  7,816 
  Landwirtschaftliche Rentenbank  1.875%  9/24/12  18,950  19,103 
  Landwirtschaftliche Rentenbank  3.250%  3/15/13  20,750  21,571 
  Landwirtschaftliche Rentenbank  4.125%  7/15/13  7,325  7,763 
10  Landwirtschaftliche Rentenbank  3.125%  7/15/15  11,395  11,732 
  Landwirtschaftliche Rentenbank  4.875%  11/16/15  9,250  10,175 
10  Landwirtschaftliche Rentenbank  2.500%  2/15/16  2,675  2,664 
10  Landwirtschaftliche Rentenbank  5.000%  11/8/16  76  84 
10  Landwirtschaftliche Rentenbank  5.125%  2/1/17  6,975  7,733 
  Mexico Government International Bond  6.375%  1/16/13  10,302  11,209 
  Mexico Government International Bond  5.875%  2/17/14  19,075  20,935 
  Mexico Government International Bond  6.625%  3/3/15  433  495 
  Mexico Government International Bond  11.375%  9/15/16  4,775  6,685 
  Mexico Government International Bond  5.625%  1/15/17  29,722  32,714 
  Mexico Government International Bond  5.950%  3/19/19  24,400  27,084 
  Mexico Government International Bond  5.125%  1/15/20  5,050  5,266 
  Mexico Government International Bond  8.300%  8/15/31  13,100  17,456 
  Mexico Government International Bond  6.750%  9/27/34  75,821  85,638 
  Mexico Government International Bond  6.050%  1/11/40  8,865  9,087 
  Mexico Government International Bond  5.750%  10/12/10  3,150  2,834 
  Nordic Investment Bank  1.625%  1/28/13  12,000  12,129 
  Nordic Investment Bank  2.625%  10/6/14  9,600  9,817 
  Nordic Investment Bank  2.500%  7/15/15  9,200  9,288 
  Nordic Investment Bank  2.250%  3/15/16  3,175  3,133 
  Nordic Investment Bank  5.000%  2/1/17  5,200  5,763 
  North American Development Bank  4.375%  2/11/20  2,600  2,641 
11  Oesterreichische Kontrollbank AG  4.750%  11/8/11  2,525  2,584 
11  Oesterreichische Kontrollbank AG  4.750%  10/16/12  4,975  5,263 
11  Oesterreichische Kontrollbank AG  1.750%  3/11/13  16,500  16,703 
11  Oesterreichische Kontrollbank AG  1.375%  1/21/14  975  966 
  Oesterreichische Kontrollbank AG  4.500%  3/9/15  125  136 
11  Oesterreichische Kontrollbank AG  5.000%  4/25/17  13,570  14,986 
  Ontario Electricity Financial Corp.  7.450%  3/31/13  3,950  4,408 
  Panama Government International Bond  7.250%  3/15/15  3,400  3,950 
  Panama Government International Bond  5.200%  1/30/20  20,125  21,341 
  Panama Government International Bond  7.125%  1/29/26  14,150  16,697 
  Panama Government International Bond  8.875%  9/30/27  650  876 
  Panama Government International Bond  9.375%  4/1/29  800  1,124 
3  Panama Government International Bond  6.700%  1/26/36  7,095  7,897 
  Pemex Project Funding Master Trust  5.750%  3/1/18  31,900  33,725 
  Pemex Project Funding Master Trust  6.625%  6/15/35  21,371  21,571 
  Pemex Project Funding Master Trust  6.625%  6/15/38  5,975  5,991 
  Peruvian Government International Bond  7.125%  3/30/19  20,700  24,374 
  Peruvian Government International Bond  7.350%  7/21/25  9,475  11,228 
  Peruvian Government International Bond  8.750%  11/21/33  11,392  15,303 
3  Peruvian Government International Bond  6.550%  3/14/37  12,250  13,212 
  Peruvian Government International Bond  5.625%  11/18/50  5,100  4,611 
  Petrobras International Finance Co. - Pifco  3.875%  1/27/16  4,500  4,509 
  Petrobras International Finance Co. - Pifco  6.125%  10/6/16  13,963  15,508 
  Petrobras International Finance Co. - Pifco  5.875%  3/1/18  18,650  19,723 
  Petrobras International Finance Co. - Pifco  8.375%  12/10/18  10,250  12,402 
  Petrobras International Finance Co. - Pifco  7.875%  3/15/19  21,208  24,894 
  Petrobras International Finance Co. - Pifco  5.750%  1/20/20  8,752  9,057 

 

 

Petrobras International Finance Co. - Pifco  5.375%  1/27/21  14,500  14,552 
Petrobras International Finance Co. - Pifco  6.875%  1/20/40  7,400  7,647 
Petrobras International Finance Co. - Pifco  6.750%  1/27/41  4,125  4,243 
Petroleos Mexicanos  4.875%  3/15/15  9,350  9,918 
Petroleos Mexicanos  8.000%  5/3/19  5,200  6,236 
Petroleos Mexicanos  6.000%  3/5/20  10,825  11,535 
Petroleos Mexicanos  5.500%  1/21/21  7,395  7,487 
5 Petronas Capital Ltd.  5.250%  8/12/19  1,000  1,061 
Poland Government International Bond  6.250%  7/3/12  8,725  9,292 
Poland Government International Bond  5.250%  1/15/14  1,695  1,812 
Poland Government International Bond  3.875%  7/16/15  14,200  14,360 
Poland Government International Bond  5.000%  10/19/15  2,875  3,030 
Poland Government International Bond  6.375%  7/15/19  37,925  42,241 
Province of British Columbia Canada  2.850%  6/15/15  15,300  15,694 
Province of Manitoba Canada  2.125%  4/22/13  4,850  4,944 
Province of Manitoba Canada  2.625%  7/15/15  8,750  8,850 
Province of Manitoba Canada  4.900%  12/6/16  11,700  12,843 
Province of Nova Scotia Canada  2.375%  7/21/15  8,000  7,962 
Province of Ontario Canada  1.875%  11/19/12  27,700  28,127 
Province of Ontario Canada  1.375%  1/27/14  16,575  16,435 
Province of Ontario Canada  4.100%  6/16/14  27,670  29,589 
Province of Ontario Canada  2.950%  2/5/15  5,080  5,230 
Province of Ontario Canada  2.700%  6/16/15  23,375  23,613 
Province of Ontario Canada  1.875%  9/15/15  10,300  10,073 
Province of Ontario Canada  4.750%  1/19/16  5,375  5,863 
Province of Ontario Canada  5.450%  4/27/16  30,325  33,921 
Province of Ontario Canada  3.150%  12/15/17  13,000  12,772 
Province of Ontario Canada  4.000%  10/7/19  20,525  20,719 
Province of Ontario Canada  4.400%  4/14/20  20,575  21,164 
Province of Quebec Canada  4.875%  5/5/14  4,125  4,509 
Province of Quebec Canada  4.600%  5/26/15  7,600  8,258 
Province of Quebec Canada  5.125%  11/14/16  18,225  20,190 
Province of Quebec Canada  4.625%  5/14/18  11,800  12,628 
Province of Quebec Canada  3.500%  7/29/20  16,450  15,817 
Province of Quebec Canada  7.125%  2/9/24  905  1,132 
Province of Quebec Canada  7.500%  9/15/29  7,877  10,489 
Province of Saskatchewan Canada  7.375%  7/15/13  1,375  1,551 
5 Ras Laffan Liquefied Natural Gas Co. Ltd. III  5.500%  9/30/14  350  376 
5 Ras Laffan Liquefied Natural Gas Co. Ltd. III  6.750%  9/30/19  350  391 
Region of Lombardy Italy  5.804%  10/25/32  6,395  5,970 
Republic of Italy  5.625%  6/15/12  11,675  12,280 
Republic of Italy  2.125%  10/5/12  27,250  27,522 
Republic of Italy  4.375%  6/15/13  125  132 
Republic of Italy  2.125%  9/16/13  11,750  11,765 
Republic of Italy  4.500%  1/21/15  14,350  15,067 
Republic of Italy  3.125%  1/26/15  24,800  24,924 
Republic of Italy  4.750%  1/25/16  22,250  23,362 
Republic of Italy  5.250%  9/20/16  31,326  33,049 
Republic of Italy  6.875%  9/27/23  11,600  13,089 
Republic of Italy  5.375%  6/15/33  16,575  16,347 
Republic of Korea  4.250%  6/1/13  19,300  20,126 
Republic of Korea  5.750%  4/16/14  8,700  9,466 
Republic of Korea  4.875%  9/22/14  625  665 
Republic of Korea  7.125%  4/16/19  7,975  9,362 
Republic of Korea  5.625%  11/3/25  1,425  1,484 
South Africa Government International Bond  7.375%  4/25/12  7,775  8,290 
South Africa Government International Bond  6.500%  6/2/14  2,425  2,705 
South Africa Government International Bond  6.875%  5/27/19  14,875  17,225 

 

 

South Africa Government International Bond  5.500%  3/9/20  11,500  12,161 
South Africa Government International Bond  5.875%  5/30/22  4,300  4,618 
South Africa Government International Bond  6.250%  3/8/41  1,100  1,131 
Svensk Exportkredit AB  3.250%  9/16/14  7,775  8,109 
Svensk Exportkredit AB  1.750%  10/20/15  13,000  12,570 
Svensk Exportkredit AB  5.125%  3/1/17  1,350  1,491 
5 Temasek Financial I Ltd.  5.375%  11/23/39  500  515 
Total Sovereign Bonds (Cost $3,685,456)        3,805,534 
Taxable Municipal Bonds (0.9%)         
Alameda County CA Joint Powers Authority         
Lease Revenue  7.046%  12/1/44  200  198 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  7.834%  2/15/41  1,000  1,118 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  6.053%  2/15/43  950  857 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  5.939%  2/15/47  4,775  4,181 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  7.499%  2/15/50  1,525  1,582 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  8.084%  2/15/50  4,600  5,256 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.793%  4/1/30  2,375  2,399 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.918%  4/1/40  4,075  4,146 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.263%  4/1/49  6,275  6,322 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.907%  10/1/50  8,800  8,904 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  5.262%  7/1/39  1,650  1,567 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  6.276%  8/15/41  1,525  1,569 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  5.134%  8/15/42  100  96 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  4.794%  8/15/46  3,000  2,687 
California Educational Facilities Authority         
Revenue (Stanford University)  3.625%  5/1/14  7,650  8,079 
California Educational Facilities Authority         
Revenue (Stanford University)  4.250%  5/1/16  2,250  2,417 
California GO  5.250%  4/1/14  3,425  3,614 
California GO  5.750%  3/1/17  10,750  11,314 
California GO  6.200%  3/1/19  1,400  1,486 
California GO  6.200%  10/1/19  11,175  11,888 
California GO  5.700%  11/1/21  10,000  10,063 
California GO  7.500%  4/1/34  23,775  25,668 
California GO  7.950%  3/1/36  500  537 
California GO  5.650%  4/1/39  3,775  3,959 
California GO  7.550%  4/1/39  185  202 
California GO  7.300%  10/1/39  3,510  3,725 
California GO  7.350%  11/1/39  21,900  23,379 
California GO  7.625%  3/1/40  8,250  9,061 

 

 

California GO  7.600%  11/1/40  8,150  8,931 
Central Puget Sound WA Regional Transit         
Authority Sales & Use Tax Revenue  5.491%  11/1/39  1,500  1,460 
Chicago IL Board of Education GO  6.319%  11/1/29  3,125  2,977 
Chicago IL Board of Education GO  6.138%  12/1/39  650  590 
Chicago IL GO  7.781%  1/1/35  1,850  1,980 
Chicago IL Metropolitan Water Reclamation         
District GO  5.720%  12/1/38  9,350  9,275 
Chicago IL O'Hare International Airport         
Revenue  6.845%  1/1/38  1,450  1,424 
Chicago IL O'Hare International Airport         
Revenue  6.395%  1/1/40  1,500  1,440 
Chicago IL Transit Authority Sales Tax         
Receipts Revenue  6.200%  12/1/40  2,850  2,530 
Chicago IL Transit Authority Transfer Tax         
Receipts Revenue  6.899%  12/1/40  8,125  7,995 
Chicago IL Wastewater Transmission         
Revenue  6.900%  1/1/40  1,700  1,741 
Chicago IL Water Revenue  6.742%  11/1/40  2,150  2,198 
Clark County NV Airport Revenue  6.881%  7/1/42  1,475  1,469 
Commonwealth Financing Authority         
Pennsylvania Revenue  6.218%  6/1/39  6,375  6,289 
Connecticut GO  5.090%  10/1/30  8,600  8,291 
Connecticut GO  5.850%  3/15/32  5,375  5,566 
Connecticut Special Tax Revenue         
(Transportation Infrastructure)  5.459%  11/1/30  3,300  3,218 
Cook County IL GO  6.229%  11/15/34  1,950  1,868 
Curators of the University of Missouri System         
Facilities Revenue  5.960%  11/1/39  3,000  3,198 
Curators of the University of Missouri System         
Facilities Revenue  5.792%  11/1/41  3,000  3,124 
Dallas County TX Hospital District Revenue  5.621%  8/15/44  2,100  2,106 
Dallas TX Area Rapid Transit Revenue  4.922%  12/1/41  7,850  7,005 
Dallas TX Area Rapid Transit Revenue  5.999%  12/1/44  1,050  1,082 
Dallas TX Area Rapid Transit Revenue  5.022%  12/1/48  4,700  4,165 
Dallas TX Independent School District GO  6.450%  2/15/35  3,850  4,113 
Denver CO City & County School District No.         
1 GO  5.664%  12/1/33  1,325  1,330 
District of Columbia Income Tax Revenue  5.591%  12/1/34  1,125  1,132 
District of Columbia Income Tax Revenue  5.582%  12/1/35  1,600  1,600 
East Baton Rouge LA Sewer Commission         
Revenue  6.087%  2/1/45  2,300  2,286 
East Bay CA Municipal Utility District Water         
System Revenue  5.874%  6/1/40  2,100  2,098 
Georgia GO  4.503%  11/1/25  6,100  6,095 
Georgia Municipal Electric Power Authority         
Revenue  6.637%  4/1/57  8,175  7,774 
Georgia Municipal Electric Power Authority         
Revenue  6.655%  4/1/57  5,980  5,628 
Georgia Municipal Electric Power Authority         
Revenue  7.055%  4/1/57  3,425  3,192 
Illinois GO  2.766%  1/1/12  9,600  9,649 
Illinois GO  4.071%  1/1/14  9,600  9,654 
Illinois GO  4.511%  3/1/15  6,650  6,659 
Illinois GO  5.365%  3/1/17  6,250  6,219 
Illinois GO  4.950%  6/1/23  13,275  11,750 
Illinois GO  5.100%  6/1/33  42,199  34,132 
Illinois GO  6.630%  2/1/35  2,800  2,687 

 

 

Illinois GO  6.725%  4/1/35  5,275  5,049 
Illinois Toll Highway Authority Revenue  6.184%  1/1/34  880  851 
Illinois Toll Highway Authority Revenue  5.851%  12/1/34  1,650  1,534 
Indianapolis IN Local Public Improvement         
Revenue  6.116%  1/15/40  9,700  9,905 
12 Kansas Development Finance Authority         
Revenue (Public Employees Retirement         
System)  5.501%  5/1/34  4,650  4,439 
Kentucky Asset/Liability Commission General         
Fund Revenue  3.165%  4/1/18  800  776 
Las Vegas Valley Water District Nevada GO  7.013%  6/1/39  1,700  1,794 
Los Angeles CA Community College District         
GO  6.600%  8/1/42  5,325  5,557 
Los Angeles CA Department of Water &         
Power Revenue  5.716%  7/1/39  2,000  1,859 
Los Angeles CA Department of Water &         
Power Revenue  6.008%  7/1/39  6,350  6,190 
Los Angeles CA Department of Water &         
Power Revenue  6.166%  7/1/40  1,550  1,506 
Los Angeles CA Department of Water &         
Power Revenue  6.574%  7/1/45  3,400  3,520 
Los Angeles CA Department of Water &         
Power Revenue  6.603%  7/1/50  350  366 
Los Angeles CA Unified School District GO  5.750%  7/1/34  9,425  8,900 
Los Angeles CA Unified School District GO  6.758%  7/1/34  2,525  2,643 
Los Angeles County CA Metropolitan         
Transportation Authority Sales Tax         
Revenue  5.735%  6/1/39  5,200  4,926 
Los Angeles County CA Public Works         
Financing Authority Lease Revenue  7.488%  8/1/33  4,300  4,446 
Los Angeles County CA Public Works         
Financing Authority Lease Revenue  7.618%  8/1/40  2,250  2,210 
Loudoun County VA Industrial Development         
Authority Revenue (Howard Hughes         
Medical Institute)  3.450%  9/1/14  4,050  4,253 
Maryland Health & Higher Educational         
Facilities Authority Revenue (Johns         
Hopkins University)  5.250%  7/1/19  7,950  8,718 
Maryland Transportation Authority Facilities         
Projects Revenue  5.888%  7/1/43  2,100  2,186 
Massachusetts GO  4.200%  12/1/21  5,000  4,962 
Massachusetts GO  4.500%  8/1/31  500  451 
Massachusetts GO  5.456%  12/1/39  5,300  5,320 
Massachusetts School Building Authority         
Dedicated Sales Tax Revenue  5.715%  8/15/39  2,550  2,606 
Massachusetts Transportation Fund Revenue  5.731%  6/1/40  1,000  1,027 
Massachusetts Water Pollution Abatement         
Trust  5.192%  8/1/40  2,825  2,709 
Metropolitan Government of Nashville &         
Davidson County TN GO  5.707%  7/1/34  2,625  2,633 
Metropolitan New York Transportation         
Authority Revenue (Dedicated Tax Fund)  7.336%  11/15/39  4,575  5,186 
Metropolitan New York Transportation         
Authority Revenue (Dedicated Tax Fund)  6.089%  11/15/40  975  949 
Metropolitan New York Transportation         
Authority Revenue (Transit Revenue)  6.548%  11/15/31  700  713 
Metropolitan New York Transportation         
Authority Revenue (Transit Revenue)  5.871%  11/15/39  2,175  2,030 

 

 

  Metropolitan New York Transportation         
  Authority Revenue (Transit Revenue)  6.648%  11/15/39  3,825  3,868 
  Metropolitan Washington DC/VA Airports         
  Authority Dulles Toll Road Revenue  7.462%  10/1/46  1,375  1,346 
  Mississippi GO  5.245%  11/1/34  1,375  1,329 
  Missouri Highways & Transportation         
  Commission Road Revenue  5.445%  5/1/33  1,650  1,626 
  New Hampshire Health & Educational         
  Facilities Authority Revenue (Dartmouth         
  College)  4.750%  6/1/19  700  745 
13 New Jersey Economic Development Authority         
  Revenue (State Pension Funding)  7.425%  2/15/29  9,750  10,088 
  New Jersey Educational Facilities Authority         
  Revenue (Princeton University)  5.700%  3/1/39  3,625  3,899 
  New Jersey Transportation Trust Fund         
  Authority Transportation System Revenue  5.754%  12/15/28  8,475  8,249 
  New Jersey Transportation Trust Fund         
  Authority Transportation System Revenue  6.104%  12/15/28  3,500  3,460 
  New Jersey Transportation Trust Fund         
  Authority Transportation System Revenue  6.561%  12/15/40  575  574 
7  New Jersey Turnpike Authority Revenue  4.252%  1/1/16  2,875  2,958 
7  New Jersey Turnpike Authority Revenue  4.252%  1/1/16  200  211 
  New Jersey Turnpike Authority Revenue  7.414%  1/1/40  11,900  13,322 
  New Jersey Turnpike Authority Revenue  7.102%  1/1/41  3,500  3,790 
  New York City NY GO  6.246%  6/1/35  2,150  2,169 
  New York City NY GO  5.968%  3/1/36  3,200  3,194 
  New York City NY GO  5.985%  12/1/36  1,650  1,667 
  New York City NY GO  5.517%  10/1/37  8,200  7,729 
  New York City NY GO  5.846%  6/1/40  2,100  2,061 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  5.750%  6/15/41  1,400  1,396 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  5.724%  6/15/42  450  444 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  5.952%  6/15/42  2,900  2,967 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  6.011%  6/15/42  1,050  1,077 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  5.440%  6/15/43  4,400  4,176 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  5.882%  6/15/44  16,645  16,697 
  New York City NY Transitional Finance         
  Authority Building Aid Revenue  6.828%  7/15/40  6,300  6,714 
  New York City NY Transitional Finance         
  Authority Future Tax Revenue  5.767%  8/1/36  2,125  2,130 
  New York City NY Transitional Finance         
  Authority Future Tax Revenue  5.508%  8/1/37  8,950  8,681 
  New York State Dormitory Authority Revenue         
  (Personal Income Tax)  5.500%  3/15/30  6,900  7,138 
  New York State Dormitory Authority Revenue         
  (Personal Income Tax)  5.289%  3/15/33  3,150  3,042 
  New York State Dormitory Authority Revenue         
  (Personal Income Tax)  5.628%  3/15/39  2,000  1,958 
  New York State Dormitory Authority Revenue         
  (Personal Income Tax)  5.389%  3/15/40  1,425  1,351 
  New York State Urban Development Corp.         
  Revenue (Personal Income Tax)  5.770%  3/15/39  5,675  5,714 

 

 

  New York State Urban Development Corp.         
  Revenue (Personal Income Tax)  5.838%  3/15/40  1,600  1,607 
  North Texas Tollway Authority System         
  Revenue  6.718%  1/1/49  3,550  3,525 
  Ohio State University General Receipts         
  Revenue  4.910%  6/1/40  4,400  4,045 
  Ohio Water Development Authority Water         
  Pollution Control Loan Fund Revenue  4.879%  12/1/34  2,550  2,444 
  Orange County CA Local Transportation         
  Authority Sales Tax Revenue  6.908%  2/15/41  1,650  1,845 
  Oregon Department Transportation Highway         
  Usertax Revenue  5.834%  11/15/34  2,425  2,425 
  Oregon GO  5.762%  6/1/23  1,950  2,083 
  Oregon GO  5.892%  6/1/27  2,725  2,826 
7  Oregon School Boards Association GO  4.759%  6/30/28  2,075  1,809 
12 Oregon School Boards Association GO  5.528%  6/30/28  1,200  1,154 
  Pennsylvania GO  4.650%  2/15/26  2,875  2,781 
  Pennsylvania GO  5.350%  5/1/30  7,400  7,101 
  Pennsylvania Public School Building Authority         
  Lease Revenue (School District of         
  Philadelphia)  5.000%  9/15/27  2,600  2,415 
  Pennsylvania Turnpike Commission Revenue  6.105%  12/1/39  400  398 
  Pennsylvania Turnpike Commission Revenue  5.511%  12/1/45  1,450  1,277 
  Pennsylvania Turnpike Commission Revenue  5.561%  12/1/49  1,475  1,339 
  Port Authority of New York & New Jersey         
  Revenue  6.040%  12/1/29  2,550  2,604 
  Port Authority of New York & New Jersey         
  Revenue  5.647%  11/1/40  11,050  10,631 
  Regional Transportation District of Colorado         
  Sales Tax Revenue  5.844%  11/1/50  3,500  3,412 
  Rutgers State University NJ Revenue  5.665%  5/1/40  1,850  1,849 
  Salt River Project Arizona Agricultural         
  Improvement & Power District Revenue  4.839%  1/1/41  1,900  1,714 
  San Antonio TX Electric & Gas Systems         
  Revenue  5.985%  2/1/39  4,325  4,496 
  San Antonio TX Electric & Gas Systems         
  Revenue  5.718%  2/1/41  2,725  2,702 
  San Antonio TX Electric & Gas Systems         
  Revenue  5.808%  2/1/41  4,650  4,609 
  San Diego County CA Water Authority         
  Revenue  6.947%  7/1/40  1,650  1,738 
  San Diego County CA Water Authority         
  Revenue  6.138%  5/1/49  2,320  2,310 
  Santa Clara Valley CA Transportation         
  Authority Sales Tax Revenue  5.876%  4/1/32  8,900  8,620 
  South Carolina Public Service Authority         
  Revenue  6.454%  1/1/50  2,000  2,139 
  Texas Transportation Commission Revenue  5.028%  4/1/26  2,100  2,071 
  Texas Transportation Commission Revenue  5.178%  4/1/30  2,025  1,993 
  Texas Transportation Commission Revenue  4.631%  4/1/33  6,450  5,836 
  Texas Transportation Commission Revenue  4.681%  4/1/40  2,750  2,455 
  University of California Regents Medical         
  Center Revenue  6.548%  5/15/48  3,950  3,903 
  University of California Regents Medical         
  Center Revenue  6.583%  5/15/49  2,575  2,555 
  University of California Revenue  6.270%  5/15/31  500  505 
  University of California Revenue  5.770%  5/15/43  2,000  1,932 
  University of California Revenue  5.946%  5/15/45  13,100  11,843 

 

 

University of Massachusetts Building Authority         
Revenue  5.450%  11/1/40  1,700  1,598 
University of Virginia Revenue  6.200%  9/1/39  3,000  3,351 
Utah GO  4.554%  7/1/24  2,425  2,469 
Utah GO  3.539%  7/1/25  6,300  5,831 
Utah Transit Authority Sales Tax Revenue  5.937%  6/15/39  400  419 
Washington Convention Center Public         
Facilities District Revenue  6.790%  7/1/40  400  391 
Washington GO  5.090%  8/1/33  9,550  9,144 
Washington GO  5.481%  8/1/39  770  766 
Washington GO  5.140%  8/1/40  5,800  5,481 
12 Wisconsin GO  4.800%  5/1/13  2,525  2,678 
12 Wisconsin GO  5.700%  5/1/26  2,800  2,792 
Total Taxable Municipal Bonds (Cost $771,737)        762,089 
Tax-Exempt Municipal Bonds (0.0%)         
Illinois GO  7.350%  7/1/35  550  566 
San Francisco CA City & County Public Utility         
Commission Water Revenue  6.000%  11/1/40  4,950  4,693 
 
Total Tax-Exempt Municipal Bonds (Cost $5,668)        5,259 
        Market 
        Value 
  Coupon    Shares  ($000) 
Temporary Cash Investment (3.1%)         
Money Market Fund (3.1%)         
       
14,15 Vanguard Market Liquidity Fund (Cost $2,707,126)  0.208%    2,707,126,363  2,707,126 
 
Total Investments (102.4%) (Cost $86,778,017)        89,244,779 
Other Assets and Liabilities-Net (-2.4%)        (2,085,807) 
Net Assets (100%)        87,158,972 

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $75,226,000.
1 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee Program.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Guaranteed by the National Credit Union Administration.
5 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, the aggregate value of these securities was $418,920,000, representing 0.5% of net assets.
6 Adjustable-rate security.
7 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
8 Non-income-producing security--security in default.
9 Guaranteed by the Government of Japan.
10 Guaranteed by the Federal Republic of Germany.
11 Guaranteed by the Republic of Austria.
12 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
13 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
14 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
15 Includes $77,209,000 of collateral received for securities on loan.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

 

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the fund's investments as of March 31, 2011, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  61,133,323  — 
Asset-Backed/Commercial Mortgage-Backed Securities  —  2,838,543  — 
Corporate Bonds  —  17,992,875  29 
Sovereign Bonds  —  3,805,534  — 
Taxable Municipal Bonds  —  762,089  — 
Tax-Exempt Municipal Bonds  —  5,259  — 
Temporary Cash Investments  2,707,126  —  — 
Total  2,707,126  86,537,623  29 

 

There were no changes in investments valued based on Level 3 inputs during the period ended September 30, 2010.

C. At March 31, 2011, the cost of investment securities for tax purposes was $86,778,017,000. Net unrealized appreciation of investment securities for tax purposes was $2,466,762,000, consisting of unrealized gains of $2,853,168,000 on securities that had risen in value since their purchase and $386,406,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Inflation-Protected Securities Fund

Schedule of Investments
As of March 31, 2011

      Face  Market 
    Maturity  Amount  Value 
  Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (99.3%)         
U.S. Government Securities (99.3%)         
1 United States Treasury Inflation Indexed         
Bonds  2.000%  4/15/12  383,000  434,426 
United States Treasury Inflation Indexed         
Bonds  3.000%  7/15/12  1,334,275  1,750,180 
United States Treasury Inflation Indexed         
Bonds  0.625%  4/15/13  335,000  365,124 
United States Treasury Inflation Indexed         
Bonds  1.875%  7/15/13  1,217,875  1,578,489 
United States Treasury Inflation Indexed         
Bonds  2.000%  1/15/14  1,530,000  1,985,661 
United States Treasury Inflation Indexed         
Bonds  1.250%  4/15/14  994,000  1,104,651 
United States Treasury Inflation Indexed         
Bonds  2.000%  7/15/14  1,015,845  1,301,611 
United States Treasury Inflation Indexed         
Bonds  1.625%  1/15/15  840,215  1,049,447 
United States Treasury Inflation Indexed         
Bonds  0.500%  4/15/15  1,270,600  1,338,996 
United States Treasury Inflation Indexed         
Bonds  1.875%  7/15/15  773,725  962,789 
United States Treasury Inflation Indexed         
Bonds  2.000%  1/15/16  638,050  780,966 
United States Treasury Inflation Indexed         
Bonds  2.500%  7/15/16  692,425  856,293 
United States Treasury Inflation Indexed         
Bonds  2.375%  1/15/17  705,525  867,848 
United States Treasury Inflation Indexed         
Bonds  2.625%  7/15/17  1,264,025  1,540,794 
United States Treasury Inflation Indexed         
Bonds  1.625%  1/15/18  898,600  1,020,026 
United States Treasury Inflation Indexed         
Bonds  1.375%  7/15/18  728,500  791,290 
United States Treasury Inflation Indexed         
Bonds  2.125%  1/15/19  496,600  567,640 
United States Treasury Inflation Indexed         
Bonds  1.875%  7/15/19  573,950  648,671 
United States Treasury Inflation Indexed         
Bonds  1.375%  1/15/20  873,000  931,142 
United States Treasury Inflation Indexed         
Bonds  1.250%  7/15/20  769,600  801,428 
United States Treasury Inflation Indexed         
Bonds  1.125%  1/15/21  1,655,000  1,687,731 
United States Treasury Inflation Indexed         
Bonds  2.375%  1/15/25  1,479,770  1,938,451 
United States Treasury Inflation Indexed         
Bonds  2.000%  1/15/26  1,182,698  1,398,596 
United States Treasury Inflation Indexed         
Bonds  2.375%  1/15/27  1,187,889  1,442,135 

 

 

United States Treasury Inflation Indexed         
Bonds  1.750%  1/15/28  832,125  890,177 
United States Treasury Inflation Indexed         
Bonds  3.625%  4/15/28  663,890  1,164,255 
United States Treasury Inflation Indexed         
Bonds  2.500%  1/15/29  637,700  739,960 
United States Treasury Inflation Indexed         
Bonds  3.875%  4/15/29  924,200  1,653,786 
United States Treasury Inflation Indexed         
Bonds  3.375%  4/15/32  56,500  90,110 
United States Treasury Inflation Indexed         
Bonds  2.125%  2/15/40  619,130  666,309 
United States Treasury Inflation Indexed         
Bonds  2.125%  2/15/41  461,000  489,385 
Total U.S. Government and Agency Obligations (Cost $30,620,626)      32,838,367 
        Market 
        Value 
  Coupon    Shares  ($000) 
Temporary Cash Investment (0.1%)         
Money Market Fund (0.1%)         
2 Vanguard Market Liquidity Fund (Cost         
$17,529)  0.208%    17,528,772  17,529 
 
Total Investments (99.4%) (Cost $30,638,155)        32,855,896 
Other Assets and Liabilities-Net (0.6%)        193,974 
Net Assets (100%)        33,049,870 

1 Securities with a value of $24,561,000 have been segregated as initial margin for open futures contracts.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

Futures contracts are valued based upon their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).

 

Inflation-Protected Securities Fund

At March 31, 2011, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000) 
      Aggregate   
    Number of  Settlement  Unrealized 
    Long (Short)  Value  Appreciation 
Futures Contracts  Expiration  Contracts  Long (Short)  (Depreciation) 
2-Year U.S. Treasury Note  June 2011  2,591  565,162  299 
30-Year U.S. Treasury Bond  June 2011  (109)  (13,100)  _ 
5-Year U.S. Treasury Note  June 2011  (7)  (818)  (1) 
10-Year U.S. Treasury Note  June 2011  (15,845)  (1,886,050)  (5,292) 

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the fund's investments as of March 31, 2011, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  32,838,367  — 
Temporary Cash Investments  17,529  —  — 
Futures Contracts—Assets1  1,648  —  — 
Total  19,177  32,838,367  — 
1 Represents variation margin on the last day of the reporting period.

 

D. At March 31, 2011, the cost of investment securities for tax purposes was $30,727,826,000. Net unrealized appreciation of investment securities for tax purposes was $2,128,070,000, consisting of unrealized gains of $2,134,743,000 on securities that had risen in value since their purchase and $6,673,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Total Bond Market II Index Fund

Schedule of Investments
As of March 31, 2011

      Face  Market 
    Maturity  Amount  Value 
  Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (70.7%)         
U.S. Government Securities (36.0%)         
United States Treasury Note/Bond  1.375%  5/15/12  65,325  66,040 
United States Treasury Note/Bond  0.750%  5/31/12  384,600  386,161 
United States Treasury Note/Bond  1.875%  6/15/12  376,800  383,394 
United States Treasury Note/Bond  0.625%  6/30/12  136,875  137,195 
United States Treasury Note/Bond  4.875%  6/30/12  43,675  46,084 
United States Treasury Note/Bond  0.625%  7/31/12  439,590  440,482 
United States Treasury Note/Bond  4.625%  7/31/12  201,425  212,503 
United States Treasury Note/Bond  1.750%  8/15/12  473,850  481,920 
United States Treasury Note/Bond  0.375%  8/31/12  51,075  50,971 
United States Treasury Note/Bond  4.125%  8/31/12  500  525 
United States Treasury Note/Bond  1.375%  9/15/12  379,375  383,821 
United States Treasury Note/Bond  0.375%  9/30/12  33,000  32,902 
United States Treasury Note/Bond  4.250%  9/30/12  1,400  1,477 
United States Treasury Note/Bond  1.375%  10/15/12  183,540  185,720 
United States Treasury Note/Bond  3.875%  10/31/12  31,419  33,039 
United States Treasury Note/Bond  1.375%  11/15/12  20,005  20,239 
United States Treasury Note/Bond  0.500%  11/30/12  27,125  27,053 
United States Treasury Note/Bond  3.375%  11/30/12  9,020  9,432 
United States Treasury Note/Bond  1.125%  12/15/12  19,185  19,323 
United States Treasury Note/Bond  0.625%  12/31/12  51,140  51,060 
United States Treasury Note/Bond  1.375%  1/15/13  12,300  12,436 
United States Treasury Note/Bond  1.375%  2/15/13  34,125  34,509 
United States Treasury Note/Bond  3.875%  2/15/13  18,600  19,693 
United States Treasury Note/Bond  0.625%  2/28/13  74,650  74,393 
United States Treasury Note/Bond  2.750%  2/28/13  26,075  27,049 
United States Treasury Note/Bond  1.375%  3/15/13  30,885  31,218 
United States Treasury Note/Bond  0.750%  3/31/13  205,600  205,279 
United States Treasury Note/Bond  1.750%  4/15/13  116,200  118,288 
United States Treasury Note/Bond  1.375%  5/15/13  250,000  252,540 
United States Treasury Note/Bond  3.625%  5/15/13  21,175  22,399 
United States Treasury Note/Bond  3.500%  5/31/13  16,300  17,220 
United States Treasury Note/Bond  1.125%  6/15/13  54,300  54,520 
United States Treasury Note/Bond  3.375%  6/30/13  3,200  3,374 
United States Treasury Note/Bond  3.375%  7/31/13  4,225  4,461 
United States Treasury Note/Bond  0.750%  8/15/13  451,900  449,288 
United States Treasury Note/Bond  4.250%  8/15/13  38,600  41,549 
United States Treasury Note/Bond  3.125%  8/31/13  7,950  8,353 
United States Treasury Note/Bond  0.750%  9/15/13  156,000  154,878 
United States Treasury Note/Bond  3.125%  9/30/13  13,450  14,137 
United States Treasury Note/Bond  0.500%  10/15/13  81,250  80,069 
United States Treasury Note/Bond  2.750%  10/31/13  8,050  8,390 
United States Treasury Note/Bond  4.250%  11/15/13  40,800  44,153 
United States Treasury Note/Bond  2.000%  11/30/13  19,950  20,396 
United States Treasury Note/Bond  0.750%  12/15/13  750  742 
United States Treasury Note/Bond  1.500%  12/31/13  13,735  13,853 
United States Treasury Note/Bond  1.000%  1/15/14  27,550  27,391 
United States Treasury Note/Bond  1.750%  1/31/14  325  330 
United States Treasury Note/Bond  1.250%  2/15/14  364,700  364,642 
United States Treasury Note/Bond  1.875%  2/28/14  310,675  316,162 

 

 

United States Treasury Note/Bond  1.250%  3/15/14  267,250  266,916 
United States Treasury Note/Bond  1.750%  3/31/14  145,600  147,557 
United States Treasury Note/Bond  1.875%  4/30/14  93,325  94,856 
United States Treasury Note/Bond  4.750%  5/15/14  61,500  67,986 
United States Treasury Note/Bond  2.250%  5/31/14  89,650  92,060 
United States Treasury Note/Bond  2.625%  6/30/14  126,750  131,602 
United States Treasury Note/Bond  2.625%  7/31/14  37,125  38,523 
United States Treasury Note/Bond  4.250%  8/15/14  94,225  102,926 
United States Treasury Note/Bond  2.375%  8/31/14  81,800  84,139 
United States Treasury Note/Bond  2.375%  9/30/14  27,450  28,218 
United States Treasury Note/Bond  2.375%  10/31/14  162,250  166,636 
United States Treasury Note/Bond  4.250%  11/15/14  15,840  17,332 
United States Treasury Note/Bond  2.125%  11/30/14  259,375  263,753 
United States Treasury Note/Bond  2.625%  12/31/14  256,200  264,967 
United States Treasury Note/Bond  2.250%  1/31/15  67,400  68,727 
United States Treasury Note/Bond  4.000%  2/15/15  3,595  3,901 
United States Treasury Note/Bond  11.250%  2/15/15  12,075  16,401 
United States Treasury Note/Bond  2.375%  2/28/15  1,000  1,023 
United States Treasury Note/Bond  4.125%  5/15/15  42,800  46,679 
United States Treasury Note/Bond  2.125%  5/31/15  1,075  1,085 
United States Treasury Note/Bond  1.875%  6/30/15  5,000  4,991 
United States Treasury Note/Bond  10.625%  8/15/15  1,775  2,425 
United States Treasury Note/Bond  1.250%  10/31/15  1,685  1,624 
United States Treasury Note/Bond  4.500%  11/15/15  175  194 
United States Treasury Note/Bond  9.875%  11/15/15  79,875  107,594 
United States Treasury Note/Bond  1.375%  11/30/15  425  411 
United States Treasury Note/Bond  2.125%  12/31/15  3,265  3,261 
United States Treasury Note/Bond  2.000%  1/31/16  2,115  2,097 
United States Treasury Note/Bond  4.500%  2/15/16  37,900  41,998 
United States Treasury Note/Bond  9.250%  2/15/16  2,000  2,660 
United States Treasury Note/Bond  2.125%  2/29/16  51,800  51,565 
United States Treasury Note/Bond  2.625%  2/29/16  66,450  67,707 
United States Treasury Note/Bond  2.375%  3/31/16  167,725  168,669 
United States Treasury Note/Bond  2.625%  4/30/16  110,950  112,753 
United States Treasury Note/Bond  5.125%  5/15/16  51,075  58,122 
United States Treasury Note/Bond  7.250%  5/15/16  3,075  3,817 
United States Treasury Note/Bond  3.250%  5/31/16  23,975  25,076 
United States Treasury Note/Bond  3.250%  6/30/16  57,575  60,148 
United States Treasury Note/Bond  4.875%  8/15/16  625  705 
United States Treasury Note/Bond  3.000%  8/31/16  183,025  188,459 
United States Treasury Note/Bond  3.000%  9/30/16  342,875  352,733 
United States Treasury Note/Bond  3.125%  10/31/16  324,950  335,917 
United States Treasury Note/Bond  4.625%  11/15/16  850  946 
United States Treasury Note/Bond  7.500%  11/15/16  17,950  22,715 
United States Treasury Note/Bond  2.750%  11/30/16  240,675  243,722 
United States Treasury Note/Bond  3.250%  12/31/16  270,775  281,056 
United States Treasury Note/Bond  3.125%  1/31/17  254,775  262,538 
United States Treasury Note/Bond  4.625%  2/15/17  4,025  4,480 
United States Treasury Note/Bond  3.250%  3/31/17  126,125  130,539 
United States Treasury Note/Bond  3.125%  4/30/17  135,950  139,561 
United States Treasury Note/Bond  4.500%  5/15/17  29,650  32,782 
United States Treasury Note/Bond  8.750%  5/15/17  35,864  48,400 
United States Treasury Note/Bond  2.750%  5/31/17  177,000  177,719 
United States Treasury Note/Bond  2.500%  6/30/17  575  568 
United States Treasury Note/Bond  4.750%  8/15/17  54,250  60,743 
United States Treasury Note/Bond  8.875%  8/15/17  41,325  56,396 
United States Treasury Note/Bond  1.875%  9/30/17  179,425  169,528 
United States Treasury Note/Bond  2.625%  1/31/18  2,575  2,536 

 

 

United States Treasury Note/Bond  2.875%  3/31/18  100,000  99,734 
United States Treasury Note/Bond  3.875%  5/15/18  32,825  34,861 
United States Treasury Note/Bond  9.125%  5/15/18  1,625  2,287 
United States Treasury Note/Bond  4.000%  8/15/18  133,275  142,416 
United States Treasury Note/Bond  3.750%  11/15/18  202,750  212,792 
United States Treasury Note/Bond  2.750%  2/15/19  175  171 
United States Treasury Note/Bond  8.875%  2/15/19  43,775  61,900 
United States Treasury Note/Bond  3.125%  5/15/19  40,650  40,587 
United States Treasury Note/Bond  3.625%  8/15/19  424,475  438,203 
United States Treasury Note/Bond  8.125%  8/15/19  27,200  37,306 
United States Treasury Note/Bond  3.375%  11/15/19  389,263  393,035 
United States Treasury Note/Bond  3.625%  2/15/20  10,365  10,632 
United States Treasury Note/Bond  3.500%  5/15/20  271,495  274,761 
United States Treasury Note/Bond  2.625%  8/15/20  70,650  66,179 
United States Treasury Note/Bond  8.750%  8/15/20  81,655  117,506 
United States Treasury Note/Bond  3.625%  2/15/21  95,280  96,516 
United States Treasury Note/Bond  7.875%  2/15/21  70,550  97,073 
United States Treasury Note/Bond  8.125%  5/15/21  3,350  4,689 
United States Treasury Note/Bond  8.125%  8/15/21  42,550  59,736 
United States Treasury Note/Bond  8.000%  11/15/21  3,700  5,161 
United States Treasury Note/Bond  7.250%  8/15/22  75  100 
United States Treasury Note/Bond  7.625%  11/15/22  150  206 
United States Treasury Note/Bond  7.125%  2/15/23  2,675  3,544 
United States Treasury Note/Bond  6.250%  8/15/23  325,125  403,360 
United States Treasury Note/Bond  6.875%  8/15/25  142,625  187,575 
United States Treasury Note/Bond  6.000%  2/15/26  3,700  4,501 
United States Treasury Note/Bond  6.750%  8/15/26  14,725  19,232 
United States Treasury Note/Bond  6.500%  11/15/26  525  670 
United States Treasury Note/Bond  6.625%  2/15/27  4,150  5,368 
United States Treasury Note/Bond  6.375%  8/15/27  6,850  8,665 
United States Treasury Note/Bond  6.125%  11/15/27  350  432 
United States Treasury Note/Bond  5.500%  8/15/28  218,475  252,782 
United States Treasury Note/Bond  5.250%  11/15/28  650  731 
United States Treasury Note/Bond  5.250%  2/15/29  42,000  47,257 
United States Treasury Note/Bond  6.125%  8/15/29  63,650  78,936 
United States Treasury Note/Bond  6.250%  5/15/30  13,000  16,374 
United States Treasury Note/Bond  5.375%  2/15/31  17,775  20,311 
United States Treasury Note/Bond  4.750%  2/15/37  226,025  236,339 
United States Treasury Note/Bond  5.000%  5/15/37  22,500  24,423 
United States Treasury Note/Bond  4.375%  2/15/38  64,100  63,008 
United States Treasury Note/Bond  3.500%  2/15/39  24,400  20,439 
United States Treasury Note/Bond  4.250%  5/15/39  91,450  87,649 
United States Treasury Note/Bond  4.500%  8/15/39  139,866  139,735 
United States Treasury Note/Bond  4.375%  11/15/39  133,905  130,892 
United States Treasury Note/Bond  4.625%  2/15/40  117,905  120,135 
United States Treasury Note/Bond  4.375%  5/15/40  126,495  123,570 
United States Treasury Note/Bond  3.875%  8/15/40  42,810  38,275 
United States Treasury Note/Bond  4.250%  11/15/40  131,195  125,332 
United States Treasury Note/Bond  4.750%  2/15/41  49,100  50,995 
        14,929,876 
Agency Bonds and Notes (6.6%)         
1 Ally Financial Inc.  1.750%  10/30/12  10,000  10,157 
1 Ally Financial Inc.  2.200%  12/19/12  5,725  5,857 
1 Bank of America Corp.  2.100%  4/30/12  17,050  17,362 
1 Bank of America Corp.  3.125%  6/15/12  8,950  9,228 
1 Bank of America Corp.  2.375%  6/22/12  1,725  1,763 
1 Citibank NA  1.875%  5/7/12  6,375  6,469 

 

 

1 Citibank NA  1.750%  12/28/12  15,950  16,193 
1 Citigroup Funding Inc.  2.125%  7/12/12  3,800  3,874 
1 Citigroup Funding Inc.  1.875%  10/22/12  6,563  6,675 
1 Citigroup Funding Inc.  2.250%  12/10/12  1,750  1,792 
1 Citigroup Inc.  2.125%  4/30/12  14,975  15,240 
Egypt Government AID Bonds  4.450%  9/15/15  5,725  6,219 
2 Federal Agricultural Mortgage Corp.  1.250%  12/6/13  2,075  2,058 
2 Federal Agricultural Mortgage Corp.  2.125%  9/15/15  1,050  1,040 
2 Federal Farm Credit Bank  2.250%  4/24/12  2,075  2,116 
2 Federal Farm Credit Bank  2.125%  6/18/12  15,225  15,537 
2 Federal Farm Credit Bank  4.500%  10/17/12  4,725  5,002 
2 Federal Farm Credit Bank  1.875%  12/7/12  3,525  3,591 
2 Federal Farm Credit Bank  1.750%  2/21/13  3,500  3,556 
2 Federal Farm Credit Bank  1.375%  6/25/13  2,500  2,519 
2 Federal Farm Credit Bank  3.875%  10/7/13  3,250  3,463 
2 Federal Farm Credit Bank  1.125%  2/27/14  5,650  5,607 
2 Federal Farm Credit Bank  2.625%  4/17/14  27,442  28,388 
2 Federal Farm Credit Bank  3.000%  9/22/14  4,150  4,328 
2 Federal Farm Credit Bank  1.500%  11/16/15  3,000  2,894 
2 Federal Farm Credit Bank  4.875%  12/16/15  425  473 
2 Federal Farm Credit Bank  5.125%  8/25/16  3,475  3,906 
2 Federal Farm Credit Bank  4.875%  1/17/17  2,750  3,054 
2 Federal Farm Credit Bank  5.150%  11/15/19  5,325  5,920 
2 Federal Home Loan Bank of Chicago  5.625%  6/13/16  825  895 
2 Federal Home Loan Banks  2.250%  4/13/12  38,000  38,743 
2 Federal Home Loan Banks  1.125%  5/18/12  4,250  4,285 
2 Federal Home Loan Banks  1.375%  6/8/12  2,850  2,882 
2 Federal Home Loan Banks  1.875%  6/20/12  5,425  5,519 
2 Federal Home Loan Banks  0.875%  8/22/12  83,025  83,319 
2 Federal Home Loan Banks  1.750%  8/22/12  12,650  12,848 
2 Federal Home Loan Banks  1.625%  9/26/12  5,300  5,376 
2 Federal Home Loan Banks  1.750%  12/14/12  6,200  6,298 
2 Federal Home Loan Banks  1.500%  1/16/13  15,825  16,022 
2 Federal Home Loan Banks  3.375%  2/27/13  3,175  3,326 
2 Federal Home Loan Banks  1.625%  3/20/13  26,425  26,809 
2 Federal Home Loan Banks  1.000%  3/27/13  59,725  59,831 
2 Federal Home Loan Banks  3.875%  6/14/13  1,425  1,513 
2 Federal Home Loan Banks  5.375%  6/14/13  3,850  4,211 
2 Federal Home Loan Banks  1.875%  6/21/13  111,235  113,296 
2 Federal Home Loan Banks  5.125%  8/14/13  2,480  2,714 
2 Federal Home Loan Banks  4.000%  9/6/13  9,175  9,802 
2 Federal Home Loan Banks  5.250%  9/13/13  4,450  4,882 
2 Federal Home Loan Banks  4.500%  9/16/13  6,575  7,107 
2 Federal Home Loan Banks  3.625%  10/18/13  5,000  5,300 
2 Federal Home Loan Banks  4.875%  11/27/13  6,475  7,073 
2 Federal Home Loan Banks  3.125%  12/13/13  2,675  2,799 
2 Federal Home Loan Banks  0.875%  12/27/13  15,000  14,828 
2 Federal Home Loan Banks  2.500%  6/13/14  4,975  5,125 
2 Federal Home Loan Banks  5.500%  8/13/14  9,675  10,902 
2 Federal Home Loan Banks  4.500%  11/14/14  4,650  5,079 
2 Federal Home Loan Banks  2.750%  12/12/14  22,925  23,673 
2 Federal Home Loan Banks  5.375%  5/18/16  17,850  20,346 
2 Federal Home Loan Banks  5.125%  10/19/16  9,725  10,897 
2 Federal Home Loan Banks  4.750%  12/16/16  10,800  11,947 
2 Federal Home Loan Banks  4.875%  5/17/17  10,500  11,695 
2 Federal Home Loan Banks  5.000%  11/17/17  7,850  8,793 
2 Federal Home Loan Banks  5.375%  8/15/18  5,250  5,937 
2 Federal Home Loan Banks  4.125%  3/13/20  5,780  5,949 

 

 

2 Federal Home Loan Banks  5.250%  12/11/20  5,000  5,567 
2 Federal Home Loan Banks  5.625%  6/11/21  425  484 
2 Federal Home Loan Banks  5.375%  8/15/24  400  444 
2 Federal Home Loan Banks  5.500%  7/15/36  5,250  5,741 
2 Federal Home Loan Mortgage Corp.  1.750%  6/15/12  65,775  66,816 
2 Federal Home Loan Mortgage Corp.  5.125%  7/15/12  5,875  6,219 
2 Federal Home Loan Mortgage Corp.  5.500%  8/20/12  85,675  91,449 
2 Federal Home Loan Mortgage Corp.  1.000%  8/28/12  10,175  10,234 
2 Federal Home Loan Mortgage Corp.  2.125%  9/21/12  8,500  8,685 
2 Federal Home Loan Mortgage Corp.  4.625%  10/25/12  10,400  11,038 
2 Federal Home Loan Mortgage Corp.  0.375%  11/30/12  8,000  7,952 
2 Federal Home Loan Mortgage Corp.  4.125%  12/21/12  5,275  5,577 
2 Federal Home Loan Mortgage Corp.  0.625%  12/28/12  18,850  18,806 
2 Federal Home Loan Mortgage Corp.  0.750%  12/28/12  50,000  49,949 
2 Federal Home Loan Mortgage Corp.  1.375%  1/9/13  9,200  9,296 
2 Federal Home Loan Mortgage Corp.  0.750%  3/28/13  50,000  49,853 
2 Federal Home Loan Mortgage Corp.  3.750%  6/28/13  3,900  4,133 
2 Federal Home Loan Mortgage Corp.  4.500%  7/15/13  5,475  5,899 
2 Federal Home Loan Mortgage Corp.  4.125%  9/27/13  14,825  15,904 
2 Federal Home Loan Mortgage Corp.  0.875%  10/28/13  4,500  4,460 
2 Federal Home Loan Mortgage Corp.  4.875%  11/15/13  16,250  17,772 
2 Federal Home Loan Mortgage Corp.  2.500%  1/7/14  4,050  4,178 
2 Federal Home Loan Mortgage Corp.  4.500%  1/15/14  19,525  21,206 
2 Federal Home Loan Mortgage Corp.  1.375%  2/25/14  33,025  32,998 
2 Federal Home Loan Mortgage Corp.  2.500%  4/23/14  25,650  26,435 
2 Federal Home Loan Mortgage Corp.  5.000%  7/15/14  16,275  18,033 
2 Federal Home Loan Mortgage Corp.  3.000%  7/28/14  23,075  24,107 
2 Federal Home Loan Mortgage Corp.  0.000%  11/24/14  2,100  1,941 
2 Federal Home Loan Mortgage Corp.  5.050%  1/26/15  5,400  6,025 
2 Federal Home Loan Mortgage Corp.  2.875%  2/9/15  8,600  8,916 
2 Federal Home Loan Mortgage Corp.  4.375%  7/17/15  30,000  32,766 
2 Federal Home Loan Mortgage Corp.  1.750%  9/10/15  20,000  19,624 
2 Federal Home Loan Mortgage Corp.  4.750%  1/19/16  21,925  24,272 
2 Federal Home Loan Mortgage Corp.  5.250%  4/18/16  1,400  1,583 
2 Federal Home Loan Mortgage Corp.  5.500%  7/18/16  775  886 
2 Federal Home Loan Mortgage Corp.  5.125%  10/18/16  20,700  23,285 
2 Federal Home Loan Mortgage Corp.  5.000%  2/16/17  12,175  13,612 
2 Federal Home Loan Mortgage Corp.  5.000%  4/18/17  5,000  5,591 
2 Federal Home Loan Mortgage Corp.  5.500%  8/23/17  11,550  13,242 
2 Federal Home Loan Mortgage Corp.  5.125%  11/17/17  7,125  8,016 
2 Federal Home Loan Mortgage Corp.  4.875%  6/13/18  7,025  7,792 
2 Federal Home Loan Mortgage Corp.  3.750%  3/27/19  32,850  33,771 
2 Federal Home Loan Mortgage Corp.  6.750%  9/15/29  3,625  4,580 
2 Federal Home Loan Mortgage Corp.  6.750%  3/15/31  13,000  16,558 
2 Federal Home Loan Mortgage Corp.  6.250%  7/15/32  6,700  8,135 
2 Federal National Mortgage Assn.  1.000%  4/4/12  69,325  69,783 
2 Federal National Mortgage Assn.  1.875%  4/20/12  32,275  32,784 
2 Federal National Mortgage Assn.  4.875%  5/18/12  10,225  10,740 
2 Federal National Mortgage Assn.  1.250%  6/22/12  870  879 
2 Federal National Mortgage Assn.  1.125%  7/30/12  19,450  19,596 
2 Federal National Mortgage Assn.  5.250%  8/1/12  2,425  2,571 
2 Federal National Mortgage Assn.  4.375%  9/15/12  129,850  136,848 
2 Federal National Mortgage Assn.  0.625%  9/24/12  5,550  5,549 
2 Federal National Mortgage Assn.  0.500%  10/30/12  50,000  49,828 
2 Federal National Mortgage Assn.  0.375%  12/28/12  5,200  5,165 
2 Federal National Mortgage Assn.  3.625%  2/12/13  9,750  10,246 
2 Federal National Mortgage Assn.  4.750%  2/21/13  2,525  2,705 
2 Federal National Mortgage Assn.  1.750%  2/22/13  15,000  15,247 

 

 

2 Federal National Mortgage Assn.  0.750%  2/26/13  27,400  27,344 
2 Federal National Mortgage Assn.  4.375%  3/15/13  3,450  3,683 
2 Federal National Mortgage Assn.  4.625%  5/1/13  8,650  9,256 
2 Federal National Mortgage Assn.  1.750%  5/7/13  24,750  25,151 
2 Federal National Mortgage Assn.  3.875%  7/12/13  6,050  6,431 
2 Federal National Mortgage Assn.  1.250%  8/20/13  113,000  113,347 
2 Federal National Mortgage Assn.  4.625%  10/15/13  12,625  13,695 
2 Federal National Mortgage Assn.  2.875%  12/11/13  8,775  9,151 
2 Federal National Mortgage Assn.  0.750%  12/18/13  33,600  33,088 
2 Federal National Mortgage Assn.  5.125%  1/2/14  1,175  1,283 
2 Federal National Mortgage Assn.  2.750%  2/5/14  12,850  13,342 
2 Federal National Mortgage Assn.  1.250%  2/27/14  50,000  49,740 
2 Federal National Mortgage Assn.  2.750%  3/13/14  17,425  18,085 
2 Federal National Mortgage Assn.  4.125%  4/15/14  35,025  37,764 
2 Federal National Mortgage Assn.  2.500%  5/15/14  28,825  29,689 
2 Federal National Mortgage Assn.  3.000%  9/16/14  9,075  9,469 
2 Federal National Mortgage Assn.  4.625%  10/15/14  16,100  17,685 
2 Federal National Mortgage Assn.  2.625%  11/20/14  18,775  19,336 
2 Federal National Mortgage Assn.  5.000%  4/15/15  5,450  6,082 
2 Federal National Mortgage Assn.  2.375%  7/28/15  5,525  5,584 
2 Federal National Mortgage Assn.  4.375%  10/15/15  22,325  24,344 
2 Federal National Mortgage Assn.  1.625%  10/26/15  77,975  75,782 
2 Federal National Mortgage Assn.  5.000%  3/15/16  12,025  13,456 
2 Federal National Mortgage Assn.  2.375%  4/11/16  27,250  27,145 
2 Federal National Mortgage Assn.  5.375%  7/15/16  4,325  4,920 
2 Federal National Mortgage Assn.  5.250%  9/15/16  25,775  29,163 
2 Federal National Mortgage Assn.  4.875%  12/15/16  4,000  4,449 
2 Federal National Mortgage Assn.  5.000%  2/13/17  28,600  31,954 
2 Federal National Mortgage Assn.  5.000%  5/11/17  11,275  12,607 
2 Federal National Mortgage Assn.  5.375%  6/12/17  2,800  3,186 
2 Federal National Mortgage Assn.  0.000%  10/9/19  625  421 
2 Federal National Mortgage Assn.  6.250%  5/15/29  5,550  6,680 
2 Federal National Mortgage Assn.  7.125%  1/15/30  7,925  10,431 
2 Federal National Mortgage Assn.  7.250%  5/15/30  10,200  13,608 
2 Federal National Mortgage Assn.  6.625%  11/15/30  1,900  2,387 
2 Federal National Mortgage Assn.  5.625%  7/15/37  3,625  4,038 
2 Financing Corp. Fico  9.800%  4/6/18  850  1,187 
2 Financing Corp. Fico  10.350%  8/3/18  100  145 
2 Financing Corp. Fico  9.650%  11/2/18  2,375  3,361 
2 Financing Corp. Fico  9.700%  4/5/19  425  604 
1 General Electric Capital Corp.  2.200%  6/8/12  11,275  11,498 
1 General Electric Capital Corp.  2.125%  12/21/12  5,975  6,107 
1 General Electric Capital Corp.  2.625%  12/28/12  4,450  4,587 
1 Goldman Sachs Group Inc.  3.250%  6/15/12  7,925  8,183 
Israel Government AID Bond  5.500%  9/18/23  1,809  2,035 
Israel Government AID Bond  5.500%  12/4/23  1,050  1,181 
Israel Government AID Bond  5.500%  4/26/24  4,450  5,010 
1 JPMorgan Chase & Co.  2.200%  6/15/12  6,200  6,321 
1 JPMorgan Chase & Co.  2.125%  6/22/12  5,150  5,250 
1 JPMorgan Chase & Co.  2.125%  12/26/12  9,000  9,202 
1 Morgan Stanley  1.950%  6/20/12  8,900  9,054 
1 PNC Funding Corp.  2.300%  6/22/12  5,850  5,974 
Private Export Funding Corp.  3.050%  10/15/14  4,000  4,140 
Private Export Funding Corp.  2.250%  12/15/17  1,775  1,667 
Private Export Funding Corp.  4.375%  3/15/19  2,100  2,233 
Private Export Funding Corp.  4.300%  12/15/21  1,475  1,508 
Resolution Funding Corp.  8.125%  10/15/19  100  135 
Resolution Funding Corp.  8.875%  7/15/20  100  142 

 

 

1  State Street Corp.  2.150%  4/30/12  200  203 
2  Tennessee Valley Authority  6.000%  3/15/13  6,000  6,588 
2  Tennessee Valley Authority  5.500%  7/18/17  6,400  7,305 
2  Tennessee Valley Authority  4.500%  4/1/18  2,050  2,215 
2  Tennessee Valley Authority  3.875%  2/15/21  4,575  4,588 
2  Tennessee Valley Authority  6.750%  11/1/25  550  687 
2  Tennessee Valley Authority  7.125%  5/1/30  8,975  11,747 
2  Tennessee Valley Authority  4.650%  6/15/35  1,425  1,382 
2  Tennessee Valley Authority  5.880%  4/1/36  3,850  4,401 
2  Tennessee Valley Authority  5.500%  6/15/38  850  923 
2  Tennessee Valley Authority  5.250%  9/15/39  3,150  3,297 
2  Tennessee Valley Authority  4.875%  1/15/48  14,075  13,680 
2  Tennessee Valley Authority  5.375%  4/1/56  2,475  2,620 
2  Tennessee Valley Authority  4.625%  9/15/60  1,550  1,427 
3  US Central Federal Credit Union  1.900%  10/19/12  3,450  3,506 
1  Wells Fargo & Co.  2.125%  6/15/12  2,925  2,981 
3  Western Corporate Federal Credit Union  1.750%  11/2/12  1,750  1,774 
          2,742,697 
Conventional Mortgage-Backed Securities (27.0%)         
2,4 Fannie Mae Pool  3.500%  10/1/25–4/1/41  312,858  309,114 
2,4 Fannie Mae Pool  4.000%  4/1/11–4/1/41  839,073  842,398 
2,4 Fannie Mae Pool  4.500%  7/1/11–4/1/41  827,510  854,959 
2,4 Fannie Mae Pool  5.000%  9/1/17–4/1/41  971,556  1,026,433 
2,4 Fannie Mae Pool  5.500%  9/1/14–4/1/41  947,629  1,021,933 
2,4 Fannie Mae Pool  6.000%  9/1/13–4/1/41  701,869  769,255 
2,4 Fannie Mae Pool  6.500%  4/1/16–4/1/41  226,836  256,185 
2,4 Fannie Mae Pool  7.000%  9/1/14–12/1/38  56,838  64,832 
2,4 Fannie Mae Pool  7.500%  7/1/30–12/1/32  653  755 
2,4 Fannie Mae Pool  8.000%  12/1/29  71  83 
2,4 Freddie Mac Gold Pool  3.500%  4/1/26–4/1/41  165,250  164,029 
2,4 Freddie Mac Gold Pool  4.000%  7/1/11–4/1/41  550,315  552,888 
2,4 Freddie Mac Gold Pool  4.500%  5/1/11–4/1/41  615,436  634,260 
2,4 Freddie Mac Gold Pool  5.000%  4/1/11–4/1/41  665,978  700,991 
2,4 Freddie Mac Gold Pool  5.500%  12/1/13–4/1/41  683,273  733,242 
2,4 Freddie Mac Gold Pool  6.000%  4/1/13–4/1/41  425,305  464,691 
2,4 Freddie Mac Gold Pool  6.500%  6/1/13–4/1/41  129,234  145,828 
2,4 Freddie Mac Gold Pool  7.000%  6/1/15–12/1/38  30,178  34,653 
2,4 Freddie Mac Gold Pool  7.500%  7/1/11–2/1/32  326  377 
2,4 Freddie Mac Gold Pool  8.000%  1/1/27–11/1/31  372  431 
2,4 Freddie Mac Gold Pool  8.500%  6/1/25  72  84 
4  Ginnie Mae I Pool  3.500%  1/15/41–4/1/41  19,975  19,051 
4  Ginnie Mae I Pool  4.000%  8/15/18–4/1/41  187,494  187,761 
4  Ginnie Mae I Pool  4.500%  6/15/18–5/1/41  418,192  431,848 
4  Ginnie Mae I Pool  5.000%  12/15/17–9/15/40  304,490  324,169 
4  Ginnie Mae I Pool  5.500%  4/15/17–8/1/40  189,376  206,643 
4  Ginnie Mae I Pool  6.000%  4/15/17–4/1/41  160,002  176,901 
4  Ginnie Mae I Pool  6.500%  5/15/24–1/15/39  60,459  68,648 
4  Ginnie Mae I Pool  7.000%  7/15/23–9/15/36  2,525  2,918 
4  Ginnie Mae I Pool  7.500%  12/15/23  70  82 
4  Ginnie Mae I Pool  8.000%  6/15/25–1/15/27  147  171 
4  Ginnie Mae I Pool  9.000%   11/15/17–12/15/17  178  204 
4  Ginnie Mae II Pool  4.000%  12/20/40–4/1/41  137,027  137,291 
4  Ginnie Mae II Pool  4.500%  8/20/33–4/1/41  343,826  354,687 
4  Ginnie Mae II Pool  5.000%  12/20/32–4/1/41  384,155  408,119 
4  Ginnie Mae II Pool  5.500%  6/20/34–4/1/41  166,177  180,385 
4  Ginnie Mae II Pool  6.000%  3/20/31–7/20/39  74,273  82,061 
4  Ginnie Mae II Pool  6.500%  10/20/28–7/20/39  21,802  24,678 

 

 

4 Ginnie Mae II Pool  7.000%  8/20/34–11/20/38  2,866  3,292 
        11,186,330 
Nonconventional Mortgage-Backed Securities (1.1%)         
2,4 Fannie Mae Pool  2.085%  1/1/36  1,082  1,125 
2,4 Fannie Mae Pool  2.323%  11/1/35  3,021  3,167 
2,4 Fannie Mae Pool  2.416%  12/1/35  2,100  2,211 
2,4 Fannie Mae Pool  2.447%  10/1/34  1,625  1,681 
2,4 Fannie Mae Pool  2.458%  11/1/34  1,368  1,427 
2,4 Fannie Mae Pool  2.478%  2/1/36  1,304  1,332 
2,4 Fannie Mae Pool  2.503%  2/1/36  1,535  1,560 
2,4 Fannie Mae Pool  2.559%  12/1/35  4,313  4,500 
2,4 Fannie Mae Pool  2.562%  1/1/35  1,648  1,728 
2,4 Fannie Mae Pool  2.575%  12/1/40  7,754  7,823 
2,4 Fannie Mae Pool  2.582%  10/1/40  6,852  6,914 
2,4 Fannie Mae Pool  2.587%  5/1/35  1,274  1,338 
2,4 Fannie Mae Pool  2.640%  9/1/34  674  707 
2,4 Fannie Mae Pool  2.685%  11/1/33  1,070  1,118 
2,4 Fannie Mae Pool  2.769%  4/1/36  4,628  4,847 
2,4 Fannie Mae Pool  2.875%  3/1/41  7,818  7,935 
2,4 Fannie Mae Pool  2.962%  12/1/40  5,920  5,927 
2,4 Fannie Mae Pool  3.070%  9/1/35  1,275  1,333 
2,4 Fannie Mae Pool  3.100%  12/1/40  6,907  7,055 
2,4 Fannie Mae Pool  3.153%  2/1/41  6,679  6,720 
2,4 Fannie Mae Pool  3.197%  8/1/40  6,014  6,166 
2,4 Fannie Mae Pool  3.202%  12/1/40  7,371  7,546 
2,4 Fannie Mae Pool  3.223%  9/1/40  6,556  6,726 
2,4 Fannie Mae Pool  3.258%  11/1/40  6,919  7,098 
2,4 Fannie Mae Pool  3.259%  10/1/40  14,198  14,566 
2,4 Fannie Mae Pool  3.292%  1/1/40  3,759  3,869 
2,4 Fannie Mae Pool  3.344%  10/1/35  4,498  4,727 
2,4 Fannie Mae Pool  3.391%  5/1/40  3,715  3,830 
2,4 Fannie Mae Pool  3.530%  3/1/40  15,592  16,119 
2,4 Fannie Mae Pool  3.542%  8/1/35  3,403  3,484 
2,4 Fannie Mae Pool  3.912%  10/1/36  1,235  1,298 
2,4 Fannie Mae Pool  4.066%  7/1/35  1,726  1,798 
2,4 Fannie Mae Pool  4.269%  12/1/35  2,524  2,705 
2,4 Fannie Mae Pool  4.541%  11/1/34  3,540  3,723 
2,4 Fannie Mae Pool  4.614%  8/1/35  2,078  2,186 
2,4 Fannie Mae Pool  4.627%  9/1/34  760  822 
2,4 Fannie Mae Pool  4.797%  6/1/34  1,636  1,717 
2,4 Fannie Mae Pool  4.845%  8/1/37  8,789  9,298 
2,4 Fannie Mae Pool  4.936%  7/1/38  1,005  1,066 
2,4 Fannie Mae Pool  4.945%  11/1/34  522  544 
2,4 Fannie Mae Pool  4.999%  11/1/33  599  634 
2,4 Fannie Mae Pool  5.032%  12/1/33  929  983 
2,4 Fannie Mae Pool  5.072%  3/1/37  2,440  2,565 
2,4 Fannie Mae Pool  5.114%  8/1/38  156  169 
2,4 Fannie Mae Pool  5.123%  3/1/38  4,225  4,497 
2,4 Fannie Mae Pool  5.266%  7/1/38  279  302 
2,4 Fannie Mae Pool  5.344%  12/1/35  1,738  1,859 
2,4 Fannie Mae Pool  5.381%  7/1/36  1,703  1,824 
2,4 Fannie Mae Pool  5.438%  1/1/37  1,456  1,540 
2,4 Fannie Mae Pool  5.548%  4/1/37  258  275 
2,4 Fannie Mae Pool  5.561%  2/1/37  2,246  2,356 
2,4 Fannie Mae Pool  5.564%  9/1/36  973  1,008 
2,4 Fannie Mae Pool  5.587%  5/1/36  836  894 
2,4 Fannie Mae Pool  5.632%  3/1/37  1,418  1,490 

 

 

2,4 Fannie Mae Pool  5.633%  6/1/37  1,010  1,094 
2,4 Fannie Mae Pool  5.651%  3/1/37  1,385  1,456 
2,4 Fannie Mae Pool  5.668%  3/1/37  4,056  4,303 
2,4 Fannie Mae Pool  5.677%  2/1/37  1,394  1,499 
2,4 Fannie Mae Pool  5.706%  12/1/37  5,026  5,382 
2,4 Fannie Mae Pool  5.721%  4/1/37  3,131  3,348 
2,4 Fannie Mae Pool  5.725%  4/1/37  2,671  2,831 
2,4 Fannie Mae Pool  5.828%  9/1/36  1,718  1,785 
2,4 Fannie Mae Pool  5.887%  8/1/37  2,098  2,234 
2,4 Fannie Mae Pool  5.915%  10/1/37  1,935  2,067 
2,4 Fannie Mae Pool  5.918%  6/1/36  285  304 
2,4 Fannie Mae Pool  5.933%  11/1/36  1,510  1,614 
2,4 Fannie Mae Pool  5.937%  4/1/36  1,236  1,319 
2,4 Fannie Mae Pool  6.320%  9/1/37  3,877  4,141 
2,4 Freddie Mac Non Gold Pool  2.477%  1/1/35  160  168 
2,4 Freddie Mac Non Gold Pool  2.489%  12/1/34  2,711  2,811 
2,4 Freddie Mac Non Gold Pool  2.583%  12/1/34  1,313  1,355 
2,4 Freddie Mac Non Gold Pool  2.630%  4/1/35  100  106 
2,4 Freddie Mac Non Gold Pool  2.652%  9/1/34  1,570  1,641 
2,4 Freddie Mac Non Gold Pool  2.658%  12/1/40  12,154  12,283 
2,4 Freddie Mac Non Gold Pool  2.699%  12/1/40  15,786  15,970 
2,4 Freddie Mac Non Gold Pool  2.770%  3/1/36  2,557  2,670 
2,4 Freddie Mac Non Gold Pool  2.789%  11/1/40  6,825  6,921 
2,4 Freddie Mac Non Gold Pool  2.819%  1/1/41  8,978  8,945 
2,4 Freddie Mac Non Gold Pool  2.990%  2/1/41  9,150  9,319 
2,4 Freddie Mac Non Gold Pool  3.016%  6/1/37  1,612  1,701 
2,4 Freddie Mac Non Gold Pool  3.084%  3/1/41  4,575  4,670 
2,4 Freddie Mac Non Gold Pool  3.154%  11/1/40  6,865  7,021 
2,4 Freddie Mac Non Gold Pool  3.294%  6/1/40  4,891  5,026 
2,4 Freddie Mac Non Gold Pool  3.333%  4/1/40  8,028  8,264 
2,4 Freddie Mac Non Gold Pool  3.373%  5/1/40  4,178  4,303 
2,4 Freddie Mac Non Gold Pool  3.433%  5/1/40  3,408  3,514 
2,4 Freddie Mac Non Gold Pool  3.561%  6/1/40  5,022  5,193 
2,4 Freddie Mac Non Gold Pool  3.598%  6/1/40  13,379  13,730 
2,4 Freddie Mac Non Gold Pool  3.631%  1/1/40  4,449  4,611 
2,4 Freddie Mac Non Gold Pool  4.158%  1/1/37  1,395  1,466 
2,4 Freddie Mac Non Gold Pool  4.594%  7/1/35  1,282  1,371 
2,4 Freddie Mac Non Gold Pool  4.610%  11/1/34  1,966  2,080 
2,4 Freddie Mac Non Gold Pool  5.025%  5/1/35  2,029  2,186 
2,4 Freddie Mac Non Gold Pool  5.078%  7/1/38  2,224  2,364 
2,4 Freddie Mac Non Gold Pool  5.258%  3/1/38  2,927  3,118 
2,4 Freddie Mac Non Gold Pool  5.331%  12/1/35  1,776  1,877 
2,4 Freddie Mac Non Gold Pool  5.414%  4/1/37  3,175  3,351 
2,4 Freddie Mac Non Gold Pool  5.422%  3/1/37  1,693  1,788 
2,4 Freddie Mac Non Gold Pool  5.513%  2/1/36  1,650  1,775 
2,4 Freddie Mac Non Gold Pool  5.542%  4/1/37  2,239  2,417 
2,4 Freddie Mac Non Gold Pool  5.571%  4/1/37  2,975  3,131 
2,4 Freddie Mac Non Gold Pool  5.639%  12/1/36  2,135  2,231 
2,4 Freddie Mac Non Gold Pool  5.662%  3/1/37  3,844  4,060 
2,4 Freddie Mac Non Gold Pool  5.700%  3/1/37  410  441 
2,4 Freddie Mac Non Gold Pool  5.710%  9/1/36  4,906  5,237 
2,4 Freddie Mac Non Gold Pool  5.713%  6/1/37  2,725  2,887 
2,4 Freddie Mac Non Gold Pool  5.718%  11/1/36  958  1,026 
2,4 Freddie Mac Non Gold Pool  5.771%  5/1/36  2,247  2,435 
2,4 Freddie Mac Non Gold Pool  5.803%  3/1/37  1,173  1,253 
2,4 Freddie Mac Non Gold Pool  5.822%  6/1/37  2,520  2,695 
2,4 Freddie Mac Non Gold Pool  5.824%  10/1/37  4,887  5,182 
2,4 Freddie Mac Non Gold Pool  5.849%  8/1/37  2,331  2,474 

 

 

2,4 Freddie Mac Non Gold Pool  5.857%  5/1/37  7,325  7,831 
2,4 Freddie Mac Non Gold Pool  5.870%  12/1/36  1,196  1,278 
2,4 Freddie Mac Non Gold Pool  5.910%  1/1/37  789  843 
2,4 Freddie Mac Non Gold Pool  5.997%  10/1/37  528  565 
2,4 Freddie Mac Non Gold Pool  6.035%  8/1/37  940  1,005 
2,4 Freddie Mac Non Gold Pool  6.038%  3/1/37  81  86 
2,4 Freddie Mac Non Gold Pool  6.072%  3/1/37  64  68 
2,4 Freddie Mac Non Gold Pool  6.108%  12/1/36  1,789  1,917 
2,4 Freddie Mac Non Gold Pool  6.185%  6/1/37  1,328  1,427 
2,4 Freddie Mac Non Gold Pool  6.405%  2/1/37  1,129  1,217 
4  Ginnie Mae II Pool  2.500%  1/20/41  7,036  6,985 
4  Ginnie Mae II Pool  2.500%  2/20/41  15,321  15,209 
4  Ginnie Mae II Pool  3.375%  6/20/29  63  65 
4  Ginnie Mae II Pool  3.500%  1/20/41  4,984  5,139 
4  Ginnie Mae II Pool  4.500%  10/20/39  1,025  1,078 
4  Ginnie Mae II Pool  5.000%  10/20/38  1,170  1,257 
          446,546 
Total U.S. Government and Agency Obligations (Cost $29,112,801)      29,305,449 
Asset-Backed/Commercial Mortgage-Backed Securities (3.0%)       
5  BA Covered Bond Issuer  5.500%  6/14/12  4,950  5,170 
4  Banc of America Commercial Mortgage Inc.  5.787%  5/11/35  1,912  1,923 
4  Banc of America Commercial Mortgage Inc.  4.050%  11/10/38  349  352 
4  Banc of America Commercial Mortgage Inc.  4.153%  11/10/38  1,800  1,886 
4,6 Banc of America Commercial Mortgage Inc.  5.450%  6/10/39  5,607  5,996 
4  Banc of America Commercial Mortgage Inc.  4.877%  7/10/42  13,100  13,917 
4,6 Banc of America Commercial Mortgage Inc.  5.071%  11/10/42  2,295  2,399 
4  Banc of America Commercial Mortgage Inc.  4.727%  7/10/43  1,655  1,680 
4  Banc of America Commercial Mortgage Inc.  5.118%  7/11/43  4,000  4,088 
4,6 Banc of America Commercial Mortgage Inc.  5.776%  5/10/45  1,380  1,376 
4  Banc of America Commercial Mortgage Inc.  5.372%  9/10/45  9,200  9,872 
4,6 Banc of America Commercial Mortgage Inc.  5.421%  9/10/45  40  40 
4  Banc of America Commercial Mortgage Inc.  5.115%  10/10/45  6,425  6,891 
4,6 Banc of America Commercial Mortgage Inc.  5.120%  10/10/45  1,125  1,146 
4,6 Banc of America Commercial Mortgage Inc.  5.176%  10/10/45  120  125 
4  Banc of America Commercial Mortgage Inc.  5.634%  7/10/46  8,425  9,069 
4,6 Banc of America Commercial Mortgage Inc.  5.695%  7/10/46  1,150  1,122 
4,6 Banc of America Commercial Mortgage Inc.  5.196%  9/10/47  2,300  2,404 
4,6 Banc of America Commercial Mortgage Inc.  5.196%  9/10/47  1,500  1,495 
4  Banc of America Commercial Mortgage Inc.  5.414%  9/10/47  4,990  5,284 
4  Banc of America Commercial Mortgage Inc.  5.448%  9/10/47  890  873 
4,6 Banc of America Commercial Mortgage Inc.  5.523%  1/15/49  1,025  863 
4,6 Banc of America Commercial Mortgage Inc.  6.202%  2/10/51  12,600  13,807 
5  Bank of Scotland plc  5.250%  2/21/17  4,300  4,432 
4  Bear Stearns Commercial Mortgage         
  Securities  5.610%  11/15/33  2,845  2,877 
4  Bear Stearns Commercial Mortgage         
  Securities  5.519%  4/12/38  10,610  11,429 
4,6 Bear Stearns Commercial Mortgage         
  Securities  5.520%  4/12/38  67  67 
4,6 Bear Stearns Commercial Mortgage         
  Securities  5.520%  4/12/38  1,500  1,546 
4  Bear Stearns Commercial Mortgage         
  Securities  4.830%  8/15/38  12,312  12,714 
4,6 Bear Stearns Commercial Mortgage         
  Securities  5.762%  9/11/38  1,075  1,055 
4,6 Bear Stearns Commercial Mortgage         
  Securities  5.762%  9/11/38  2,225  2,243 

 

 

4  Bear Stearns Commercial Mortgage         
  Securities  5.454%  3/11/39  11,650  12,526 
4  Bear Stearns Commercial Mortgage         
  Securities  4.680%  8/13/39  7,000  7,334 
4  Bear Stearns Commercial Mortgage         
  Securities  4.740%  3/13/40  4,970  5,189 
4  Bear Stearns Commercial Mortgage         
  Securities  5.665%  6/11/40  8,555  8,773 
4,6 Bear Stearns Commercial Mortgage         
  Securities  5.718%  6/11/40  1,075  882 
4  Bear Stearns Commercial Mortgage         
  Securities  5.405%  12/11/40  645  691 
4  Bear Stearns Commercial Mortgage         
  Securities  4.750%  6/11/41  1,970  1,930 
4  Bear Stearns Commercial Mortgage         
  Securities  5.582%  9/11/41  1,125  1,116 
4,6 Bear Stearns Commercial Mortgage         
  Securities  5.568%  10/12/41  3,618  3,629 
4  Bear Stearns Commercial Mortgage         
  Securities  4.521%  11/11/41  2,240  2,279 
4  Bear Stearns Commercial Mortgage         
  Securities  4.868%  11/11/41  990  993 
4  Bear Stearns Commercial Mortgage         
  Securities  4.933%  2/13/42  1,835  1,950 
4  Bear Stearns Commercial Mortgage         
  Securities  5.742%  9/11/42  9,480  10,211 
4  Bear Stearns Commercial Mortgage         
  Securities  5.793%  9/11/42  1,825  1,904 
4  Bear Stearns Commercial Mortgage         
  Securities  5.127%  10/12/42  2,850  2,878 
4  Bear Stearns Commercial Mortgage         
  Securities  5.149%  10/12/42  3,125  3,358 
4,6 Bear Stearns Commercial Mortgage         
  Securities  5.513%  1/12/45  2,475  2,532 
4,6 Bear Stearns Commercial Mortgage         
  Securities  5.566%  1/12/45  1,775  1,689 
4  Bear Stearns Commercial Mortgage         
  Securities  5.694%  6/11/50  13,500  14,448 
4,6 Bear Stearns Commercial Mortgage         
  Securities  5.915%  6/11/50  2,975  2,981 
4  Bear Stearns Commercial Mortgage         
  Securities  5.613%  6/13/50  3,450  3,578 
4  Bear Stearns Commercial Mortgage         
  Securities  5.700%  6/13/50  4,950  5,237 
4  Capital Auto Receivables Asset Trust  4.680%  10/15/12  2,123  2,161 
4  Capital One Multi-Asset Execution Trust  5.050%  12/17/18  12,975  14,282 
4  Capital One Multi-Asset Execution Trust  5.750%  7/15/20  3,380  3,842 
4  CDC Commercial Mortgage Trust  5.676%  11/15/30  2,714  2,743 
4  Chase Issuance Trust  4.650%  3/15/15  11,375  12,145 
4  Chase Issuance Trust  5.400%  7/15/15  3,325  3,626 
5  Cie de Financement Foncier  2.125%  4/22/13  2,900  2,919 
4  CIT Group Home Equity Loan Trust  6.200%  2/25/30  223  225 
4  Citibank Credit Card Issuance Trust  5.450%  5/10/13  1,225  1,231 
4  Citibank Credit Card Issuance Trust  4.900%  6/23/16  7,575  8,298 
4  Citibank Credit Card Issuance Trust  4.850%  3/10/17  1,155  1,260 
4  Citibank Credit Card Issuance Trust  4.150%  7/7/17  1,225  1,304 
4  Citibank Credit Card Issuance Trust  5.650%  9/20/19  1,200  1,359 
4  Citibank Credit Card Issuance Trust  5.350%  2/7/20  400  445 

 

 

4  Citigroup Commercial Mortgage Trust  4.623%  10/15/41  1,125  1,150 
4  Citigroup Commercial Mortgage Trust  4.830%  5/15/43  375  386 
4,6 Citigroup Commercial Mortgage Trust  5.733%  3/15/49  5,050  5,468 
4  Citigroup Commercial Mortgage Trust  5.462%  10/15/49  1,435  1,411 
4  Citigroup Commercial Mortgage Trust  5.482%  10/15/49  825  802 
4,6 Citigroup Commercial Mortgage Trust  5.698%  12/10/49  6,125  6,499 
4,6 Citigroup Commercial Mortgage Trust  5.698%  12/10/49  1,875  1,871 
4,6 Citigroup Commercial Mortgage Trust  5.822%  12/10/49  2,935  2,941 
4,6 Citigroup Commercial Mortgage Trust  5.822%  12/10/49  6,600  7,211 
4  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.222%  7/15/44  8,350  8,982 
4,6 Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.222%  7/15/44  2,475  2,585 
4  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.886%  11/15/44  6,780  7,218 
4  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.648%  10/15/48  3,150  3,089 
4  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.688%  10/15/48  1,350  1,231 
4  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.205%  12/11/49  12,110  12,345 
4  Citigroup/Deutsche Bank Commercial         
  Mortgage Trust  5.322%  12/11/49  10,450  10,778 
4,5 Commercial Mortgage Lease-Backed         
  Certificates  6.746%  6/20/31  2,699  2,972 
4  Commercial Mortgage Pass Through         
  Certificates  4.084%  6/10/38  2,700  2,787 
4  Commercial Mortgage Pass Through         
  Certificates  4.715%  3/10/39  8,395  8,828 
4  Commercial Mortgage Pass Through         
  Certificates  5.116%  6/10/44  10,975  11,706 
4  Commercial Mortgage Pass Through         
  Certificates  5.768%  6/10/46  5,450  5,935 
4,6 Commercial Mortgage Pass Through         
  Certificates  5.794%  6/10/46  1,715  1,728 
4  Commercial Mortgage Pass Through         
  Certificates  5.248%  12/10/46  2,848  2,911 
4,6 Commercial Mortgage Pass Through         
  Certificates  5.815%  12/10/49  8,825  9,593 
4  Countrywide Home Loan Mortgage Pass         
  Through Trust  2.915%  5/25/33  934  751 
4,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  4.750%  1/15/37  7,075  7,405 
4  Credit Suisse First Boston Mortgage         
  Securities Corp.  4.877%  4/15/37  325  327 
4,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.014%  2/15/38  8,800  9,331 
4,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.075%  2/15/38  1,325  1,327 
4  Credit Suisse First Boston Mortgage         
  Securities Corp.  3.936%  5/15/38  5,765  5,949 
4,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.100%  8/15/38  520  535 
4  Credit Suisse First Boston Mortgage         
  Securities Corp.  5.100%  8/15/38  9,225  9,854 
4,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.190%  8/15/38  1,300  1,281 

 

 

4,6 Credit Suisse First Boston Mortgage         
  Securities Corp.  5.230%  12/15/40  1,525  1,489 
4  Credit Suisse Mortgage Capital Certificates  5.825%  6/15/38  7,125  7,706 
4  Credit Suisse Mortgage Capital Certificates  5.825%  6/15/38  350  353 
4  Credit Suisse Mortgage Capital Certificates  5.441%  2/15/39  10,725  11,477 
4,6 Credit Suisse Mortgage Capital Certificates  5.441%  2/15/39  2,800  2,822 
4,6 Credit Suisse Mortgage Capital Certificates  5.441%  2/15/39  1,400  1,313 
4,6 Credit Suisse Mortgage Capital Certificates  5.525%  6/15/39  11,650  12,096 
4  Credit Suisse Mortgage Capital Certificates  5.509%  9/15/39  550  534 
4  Credit Suisse Mortgage Capital Certificates  5.311%  12/15/39  6,575  6,857 
4  Credit Suisse Mortgage Capital Certificates  5.383%  2/15/40  2,250  2,287 
4,6 CW Capital Cobalt Ltd.  5.816%  5/15/46  5,625  5,918 
4,6 CW Capital Cobalt Ltd.  5.484%  4/15/47  1,475  1,525 
4  Daimler Chrysler Auto Trust  3.700%  6/8/12  98  98 
4  Discover Card Master Trust  5.100%  10/15/13  225  225 
4  Discover Card Master Trust  5.650%  12/15/15  7,975  8,728 
4  Discover Card Master Trust  5.650%  3/16/20  3,687  4,163 
4,6 First Union Commercial Mortgage Trust  6.626%  10/15/35  1,562  1,626 
4  First Union National Bank Commercial         
  Mortgage  6.223%  12/12/33  3,660  3,717 
4  Ford Credit Auto Owner Trust  4.370%  10/15/12  5,525  5,627 
4  Ford Credit Auto Owner Trust  2.420%  11/15/14  1,875  1,916 
4  Ford Credit Auto Owner Trust  2.150%  6/15/15  6,800  6,912 
4  GE Capital Commercial Mortgage Corp.  6.531%  5/15/33  109  109 
4  GE Capital Commercial Mortgage Corp.  6.290%  8/11/33  413  416 
4  GE Capital Commercial Mortgage Corp.  6.269%  12/10/35  2,932  3,026 
4  GE Capital Commercial Mortgage Corp.  5.145%  7/10/37  3,925  4,151 
4  GE Capital Commercial Mortgage Corp.  4.996%  12/10/37  4,325  4,511 
4,6 GE Capital Commercial Mortgage Corp.  5.174%  3/10/44  2,825  2,912 
4,6 GE Capital Commercial Mortgage Corp.  5.174%  3/10/44  11,475  12,339 
4,6 GE Capital Commercial Mortgage Corp.  5.314%  11/10/45  2,725  2,821 
4  GMAC Commercial Mortgage Securities Inc.  6.700%  4/15/34  1,152  1,155 
4  GMAC Commercial Mortgage Securities Inc.  4.079%  5/10/36  1,200  1,243 
4  GMAC Commercial Mortgage Securities Inc.  4.908%  3/10/38  825  873 
4  GMAC Commercial Mortgage Securities Inc.  4.646%  4/10/40  278  285 
4  GMAC Commercial Mortgage Securities Inc.  4.864%  12/10/41  2,625  2,749 
4  GMAC Commercial Mortgage Securities Inc.  4.754%  5/10/43  575  590 
4  Greenwich Capital Commercial Funding Corp.  4.948%  1/11/35  2,375  2,476 
4  Greenwich Capital Commercial Funding Corp.  4.533%  1/5/36  416  428 
4  Greenwich Capital Commercial Funding Corp.  4.915%  1/5/36  4,375  4,600 
4  Greenwich Capital Commercial Funding Corp.  5.317%  6/10/36  4,875  5,181 
4  Greenwich Capital Commercial Funding Corp.  5.117%  4/10/37  1,514  1,525 
4  Greenwich Capital Commercial Funding Corp.  5.224%  4/10/37  8,540  9,072 
4,6 Greenwich Capital Commercial Funding Corp.  5.277%  4/10/37  1,900  1,897 
4  Greenwich Capital Commercial Funding Corp.  5.889%  7/10/38  520  568 
4,6 Greenwich Capital Commercial Funding Corp.  5.890%  7/10/38  1,775  1,828 
4  Greenwich Capital Commercial Funding Corp.  5.475%  3/10/39  575  559 
4  Greenwich Capital Commercial Funding Corp.  4.799%  8/10/42  13,787  14,469 
4,6 Greenwich Capital Commercial Funding Corp.  4.859%  8/10/42  800  794 
4  GS Mortgage Securities Corp. II  5.506%  4/10/38  3,410  3,432 
4,6 GS Mortgage Securities Corp. II  5.553%  4/10/38  3,525  3,779 
4,6 GS Mortgage Securities Corp. II  5.622%  4/10/38  1,725  1,706 
4  GS Mortgage Securities Corp. II  5.396%  8/10/38  7,875  8,469 
4  GS Mortgage Securities Corp. II  4.608%  1/10/40  4,325  4,533 
4  Harley-Davidson Motorcycle Trust  5.210%  6/17/13  1,437  1,456 
4  Honda Auto Receivables Owner Trust  4.880%  9/18/14  2,386  2,423 
4  Honda Auto Receivables Owner Trust  1.800%  4/17/17  1,475  1,473 

 

 

4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.050%  12/12/34  3,405  3,555 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.654%  1/12/37  1,225  1,264 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.985%  1/12/37  3,275  3,420 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.255%  7/12/37  425  452 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.376%  7/12/37  3,200  3,314 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.350%  8/12/37  800  814 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.824%  9/12/37  4,750  4,795 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.879%  1/12/38  11,150  11,782 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.404%  1/12/39  4,275  4,462 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.365%  6/12/41  10,300  11,083 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  4.780%  7/15/42  1,075  1,101 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.321%  1/12/43  40  40 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.475%  4/15/43  1,540  1,643 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.441%  12/12/44  1,100  1,098 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.490%  12/12/44  550  469 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.244%  12/15/44  1,480  1,551 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.323%  12/15/44  550  548 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.863%  4/15/45  7,265  7,945 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.863%  4/15/45  635  656 
4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.863%  4/15/45  1,355  1,263 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.593%  5/12/45  2,500  2,516 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.623%  5/12/45  800  736 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.440%  5/15/45  1,720  1,709 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.447%  5/15/45  2,425  2,535 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.440%  6/12/47  5,395  5,662 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.802%  6/15/49  3,850  3,980 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.817%  6/15/49  5,075  5,383 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.794%  2/12/51  16,448  17,449 
4  JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.855%  2/12/51  2,922  2,997 

 

 

4,6 JP Morgan Chase Commercial Mortgage         
  Securities Corp.  5.882%  2/15/51  6,150  6,453 
4  LB-UBS Commercial Mortgage Trust  5.386%  6/15/26  328  331 
4  LB-UBS Commercial Mortgage Trust  4.786%  10/15/29  6,675  7,043 
4  LB-UBS Commercial Mortgage Trust  4.742%  2/15/30  2,850  3,000 
4  LB-UBS Commercial Mortgage Trust  4.553%  7/15/30  188  188 
4  LB-UBS Commercial Mortgage Trust  5.197%  11/15/30  5,965  6,398 
4  LB-UBS Commercial Mortgage Trust  6.133%  12/15/30  1,800  1,828 
4  LB-UBS Commercial Mortgage Trust  5.217%  2/15/31  925  927 
4  LB-UBS Commercial Mortgage Trust  4.853%  9/15/31  10,012  10,409 
4  LB-UBS Commercial Mortgage Trust  4.960%  12/15/31  2,375  2,489 
4  LB-UBS Commercial Mortgage Trust  4.166%  5/15/32  10,700  11,129 
4,6 LB-UBS Commercial Mortgage Trust  4.685%  7/15/32  515  542 
4,6 LB-UBS Commercial Mortgage Trust  5.124%  11/15/32  2,850  3,025 
4  LB-UBS Commercial Mortgage Trust  4.931%  9/15/35  5,900  6,205 
4,6 LB-UBS Commercial Mortgage Trust  5.661%  3/15/39  12,225  13,187 
4  LB-UBS Commercial Mortgage Trust  5.372%  9/15/39  1,250  1,333 
4  LB-UBS Commercial Mortgage Trust  5.413%  9/15/39  425  422 
4  LB-UBS Commercial Mortgage Trust  5.424%  2/15/40  1,200  1,271 
4  LB-UBS Commercial Mortgage Trust  5.430%  2/15/40  5,500  5,801 
4  LB-UBS Commercial Mortgage Trust  5.455%  2/15/40  1,700  1,680 
4,6 LB-UBS Commercial Mortgage Trust  5.493%  2/15/40  1,200  1,139 
4,6 LB-UBS Commercial Mortgage Trust  5.057%  9/15/40  700  697 
4,6 LB-UBS Commercial Mortgage Trust  5.276%  2/15/41  1,325  1,326 
4,6 LB-UBS Commercial Mortgage Trust  6.092%  4/15/41  12,650  13,919 
4,6 LB-UBS Commercial Mortgage Trust  6.092%  4/15/41  1,970  1,971 
4  LB-UBS Commercial Mortgage Trust  5.866%  9/15/45  12,050  12,891 
4  Merrill Lynch Mortgage Trust  5.236%  11/12/35  5,825  6,113 
4  Merrill Lynch Mortgage Trust  5.107%  7/12/38  50  52 
4  Merrill Lynch Mortgage Trust  5.669%  5/12/39  6,860  7,446 
4,6 Merrill Lynch Mortgage Trust  5.669%  5/12/39  625  637 
4  Merrill Lynch Mortgage Trust  5.782%  8/12/43  1,965  1,971 
4,6 Merrill Lynch Mortgage Trust  5.802%  8/12/43  1,350  1,295 
4,6 Merrill Lynch Mortgage Trust  5.291%  1/12/44  6,675  7,203 
4,6 Merrill Lynch Mortgage Trust  5.828%  6/12/50  13,350  14,249 
4,6 Merrill Lynch Mortgage Trust  5.828%  6/12/50  1,175  1,127 
4  Merrill Lynch Mortgage Trust  5.425%  2/12/51  1,275  1,315 
4  Merrill Lynch Mortgage Trust  5.690%  2/12/51  5,920  6,265 
4,6 Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.531%  2/12/39  275  270 
4  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.908%  6/12/46  12,675  13,752 
4  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.456%  7/12/46  300  295 
4  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.378%  8/12/48  7,455  7,687 
4  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.590%  9/12/49  3,597  3,681 
4  Merrill Lynch/Countrywide Commercial         
  Mortgage Trust  5.700%  9/12/49  10,075  10,474 
4  Morgan Stanley Capital I  4.970%  4/14/40  3,513  3,693 
4,6 Morgan Stanley Capital I  5.110%  6/15/40  9,025  9,638 
4  Morgan Stanley Capital I  5.030%  6/13/41  2,730  2,802 
4  Morgan Stanley Capital I  5.270%  6/13/41  2,185  2,333 
4,6 Morgan Stanley Capital I  5.806%  8/12/41  775  799 
4  Morgan Stanley Capital I  5.328%  11/12/41  3,675  3,871 
4  Morgan Stanley Capital I  5.360%  11/12/41  2,626  2,607 
4  Morgan Stanley Capital I  4.780%  12/13/41  1,540  1,628 

 

 

4,6 Morgan Stanley Capital I  4.840%  12/13/41  515  517 
4  Morgan Stanley Capital I  4.970%  12/15/41  7,440  7,845 
4  Morgan Stanley Capital I  5.168%  1/14/42  1,500  1,596 
4,6 Morgan Stanley Capital I  5.646%  6/11/42  6,575  7,171 
4,6 Morgan Stanley Capital I  5.646%  6/11/42  550  537 
4  Morgan Stanley Capital I  4.989%  8/13/42  8,300  8,799 
4,6 Morgan Stanley Capital I  5.073%  8/13/42  1,500  1,458 
4  Morgan Stanley Capital I  5.230%  9/15/42  12,800  13,751 
4  Morgan Stanley Capital I  5.726%  10/15/42  2,790  3,043 
4,6 Morgan Stanley Capital I  5.730%  10/15/42  225  234 
4,6 Morgan Stanley Capital I  5.730%  10/15/42  1,750  1,734 
4,6 Morgan Stanley Capital I  5.203%  11/14/42  7,950  8,560 
4  Morgan Stanley Capital I  6.280%  1/11/43  7,850  8,706 
4  Morgan Stanley Capital I  5.332%  12/15/43  5,275  5,543 
4,6 Morgan Stanley Capital I  5.402%  3/12/44  11,925  12,828 
4,6 Morgan Stanley Capital I  5.773%  7/12/44  1,575  1,614 
4,6 Morgan Stanley Capital I  5.793%  7/12/44  1,475  1,466 
4  Morgan Stanley Capital I  4.660%  9/13/45  2,150  2,279 
4,6 Morgan Stanley Capital I  5.654%  4/15/49  1,300  1,350 
4,6 Morgan Stanley Capital I  5.684%  4/15/49  1,641  1,513 
4,6 Morgan Stanley Capital I  5.692%  4/15/49  7,600  7,962 
4,6 Morgan Stanley Capital I  5.544%  11/12/49  1,550  1,521 
4  Morgan Stanley Capital I  5.809%  12/12/49  3,425  3,687 
4,6 Morgan Stanley Capital I  6.110%  12/12/49  1,975  2,005 
4  Morgan Stanley Capital I  5.090%  10/12/52  1,070  1,069 
4,6 Morgan Stanley Capital I  5.204%  10/12/52  1,725  1,740 
4  Morgan Stanley Capital I  4.770%  7/15/56  1,345  1,333 
4  Morgan Stanley Dean Witter Capital I  6.390%  7/15/33  761  765 
4  Morgan Stanley Dean Witter Capital I  4.920%  3/12/35  13,650  14,270 
4  Morgan Stanley Dean Witter Capital I  6.390%  10/15/35  3,724  3,787 
4  Morgan Stanley Dean Witter Capital I  4.740%  11/13/36  12,673  13,215 
4  Morgan Stanley Dean Witter Capital I  5.980%  1/15/39  3,404  3,537 
5  Nationwide Building Society  5.500%  7/18/12  7,275  7,641 
4  Nissan Auto Receivables Owner Trust  4.460%  4/16/12  23  23 
4  Nissan Auto Receivables Owner Trust  5.050%  11/17/14  2,275  2,354 
5  Northern Rock Asset Management plc  5.625%  6/22/17  14,075  14,196 
4  PG&E Energy Recovery Funding LLC  5.030%  3/25/14  1,105  1,132 
4  PSE&G Transition Funding LLC  6.890%  12/15/17  6,975  8,214 
4  Public Service New Hampshire Funding LLC  6.480%  5/1/15  213  226 
4  Residential Asset Securities Corp.  6.489%  10/25/30  62  54 
5  Royal Bank of Canada  3.125%  4/14/15  3,525  3,615 
4,6 TIAA Seasoned Commercial Mortgage Trust  5.983%  8/15/39  1,385  1,409 
4  USAA Auto Owner Trust  4.710%  2/18/14  4,550  4,647 
4  Wachovia Bank Commercial Mortgage Trust  4.440%  11/15/34  124  126 
4  Wachovia Bank Commercial Mortgage Trust  4.980%  11/15/34  200  208 
4  Wachovia Bank Commercial Mortgage Trust  4.867%  2/15/35  550  574 
4,6 Wachovia Bank Commercial Mortgage Trust  5.125%  8/15/35  1,100  1,156 
4,6 Wachovia Bank Commercial Mortgage Trust  4.964%  11/15/35  4,225  4,466 
4  Wachovia Bank Commercial Mortgage Trust  4.719%  1/15/41  302  302 
4  Wachovia Bank Commercial Mortgage Trust  4.748%  2/15/41  8,075  8,542 
4  Wachovia Bank Commercial Mortgage Trust  5.001%  7/15/41  1,071  1,074 
4,6 Wachovia Bank Commercial Mortgage Trust  5.307%  7/15/41  11,150  11,942 
4  Wachovia Bank Commercial Mortgage Trust  4.803%  10/15/41  10,325  10,836 
4,6 Wachovia Bank Commercial Mortgage Trust  5.083%  3/15/42  5,820  6,213 
4,6 Wachovia Bank Commercial Mortgage Trust  5.224%  3/15/42  625  630 
4  Wachovia Bank Commercial Mortgage Trust  5.118%  7/15/42  2,955  3,171 
4,6 Wachovia Bank Commercial Mortgage Trust  5.739%  5/15/43  8,695  9,493 
4  Wachovia Bank Commercial Mortgage Trust  4.699%  5/15/44  4,900  5,219 

 

 

4  Wachovia Bank Commercial Mortgage Trust  4.750%  5/15/44  665  674 
4  Wachovia Bank Commercial Mortgage Trust  4.793%  5/15/44  1,350  1,324 
4,6 Wachovia Bank Commercial Mortgage Trust  5.209%  10/15/44  10,050  10,771 
4,6 Wachovia Bank Commercial Mortgage Trust  5.209%  10/15/44  535  537 
4,6 Wachovia Bank Commercial Mortgage Trust  5.270%  12/15/44  9,200  9,710 
4,6 Wachovia Bank Commercial Mortgage Trust  5.320%  12/15/44  375  389 
4,6 Wachovia Bank Commercial Mortgage Trust  5.957%  6/15/45  475  490 
4,6 Wachovia Bank Commercial Mortgage Trust  5.765%  7/15/45  7,000  7,534 
4  Wachovia Bank Commercial Mortgage Trust  5.679%  10/15/48  280  292 
4  Wachovia Bank Commercial Mortgage Trust  5.313%  11/15/48  5,275  5,511 
4  Wachovia Bank Commercial Mortgage Trust  5.339%  11/15/48  2,400  2,411 
4  World Omni Auto Receivables Trust  3.940%  10/15/12  598  600 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,057,724)    1,256,683 
Corporate Bonds (20.1%)         
Finance (7.3%)         
  Banking (4.9%)         
4  Abbey National Capital Trust I  8.963%  12/29/49  2,400  2,618 
  American Express Bank FSB  5.550%  10/17/12  1,300  1,376 
  American Express Bank FSB  5.500%  4/16/13  3,275  3,510 
  American Express Bank FSB  6.000%  9/13/17  625  693 
  American Express Centurion Bank  5.550%  10/17/12  1,025  1,086 
  American Express Centurion Bank  5.950%  6/12/17  650  715 
  American Express Centurion Bank  6.000%  9/13/17  10,325  11,460 
  American Express Co.  4.875%  7/15/13  1,575  1,675 
  American Express Co.  7.250%  5/20/14  1,250  1,421 
  American Express Co.  5.500%  9/12/16  1,025  1,117 
  American Express Co.  6.150%  8/28/17  2,025  2,260 
  American Express Co.  7.000%  3/19/18  6,800  7,952 
  American Express Co.  8.125%  5/20/19  1,625  2,025 
  American Express Co.  8.150%  3/19/38  1,425  1,906 
4  American Express Co.  6.800%  9/1/66  2,825  2,866 
  American Express Credit Corp.  5.875%  5/2/13  3,175  3,426 
  American Express Credit Corp.  7.300%  8/20/13  15,300  17,105 
  American Express Credit Corp.  5.125%  8/25/14  5,400  5,826 
  American Express Credit Corp.  2.750%  9/15/15  500  490 
  American Express Credit Corp.  5.300%  12/2/15  2,000  2,168 
  Associates Corp. of North America  6.950%  11/1/18  100  112 
  Banco Santander Chile  2.875%  11/13/12  900  897 
5  BanColombia SA  4.250%  1/12/16  1,300  1,287 
  Bank of America Corp.  5.375%  9/11/12  2,175  2,292 
  Bank of America Corp.  4.875%  9/15/12  5,100  5,339 
  Bank of America Corp.  4.875%  1/15/13  2,825  2,968 
  Bank of America Corp.  4.900%  5/1/13  7,925  8,340 
  Bank of America Corp.  7.375%  5/15/14  4,650  5,243 
  Bank of America Corp.  5.375%  6/15/14  1,075  1,151 
  Bank of America Corp.  5.125%  11/15/14  5,550  5,913 
  Bank of America Corp.  4.500%  4/1/15  22,500  23,337 
  Bank of America Corp.  4.750%  8/1/15  275  287 
  Bank of America Corp.  5.250%  12/1/15  1,225  1,276 
  Bank of America Corp.  3.625%  3/17/16  10,775  10,584 
  Bank of America Corp.  6.500%  8/1/16  15,900  17,561 
  Bank of America Corp.  5.750%  8/15/16  3,250  3,419 
  Bank of America Corp.  5.625%  10/14/16  13,900  14,788 
  Bank of America Corp.  5.420%  3/15/17  4,575  4,656 
  Bank of America Corp.  6.000%  9/1/17  400  426 
  Bank of America Corp.  5.750%  12/1/17  1,575  1,660 
  Bank of America Corp.  5.650%  5/1/18  17,250  18,037 

 

 

Bank of America Corp.  7.625%  6/1/19  3,825  4,405 
Bank of America Corp.  5.625%  7/1/20  14,500  14,788 
Bank of America Corp.  5.875%  1/5/21  800  832 
Bank of America Corp.  6.800%  3/15/28  600  620 
Bank of America Corp.  6.500%  9/15/37  875  869 
Bank of America NA  5.300%  3/15/17  6,850  7,038 
Bank of America NA  6.100%  6/15/17  1,975  2,092 
Bank of America NA  6.000%  10/15/36  4,225  4,078 
Bank of Montreal  2.125%  6/28/13  2,225  2,262 
Bank of New York Mellon Corp.  6.375%  4/1/12  100  105 
Bank of New York Mellon Corp.  4.950%  11/1/12  9,500  10,075 
Bank of New York Mellon Corp.  4.500%  4/1/13  525  559 
Bank of New York Mellon Corp.  4.300%  5/15/14  3,000  3,207 
Bank of New York Mellon Corp.  4.950%  3/15/15  2,325  2,500 
Bank of New York Mellon Corp.  2.500%  1/15/16  4,050  4,015 
Bank of New York Mellon Corp.  5.450%  5/15/19  3,645  3,992 
Bank of New York Mellon Corp.  4.600%  1/15/20  6,975  7,225 
Bank of Nova Scotia  2.250%  1/22/13  9,400  9,592 
Bank of Nova Scotia  2.375%  12/17/13  3,000  3,058 
Bank of Nova Scotia  2.050%  10/7/15  1,900  1,850 
Bank of Nova Scotia  4.375%  1/13/21  725  721 
5 Bank of Tokyo-Mitsubishi UFJ Ltd.  2.450%  9/11/15  4,000  3,849 
Bank One Corp.  5.250%  1/30/13  1,450  1,537 
Bank One Corp.  4.900%  4/30/15  975  1,022 
Bank One Corp.  7.625%  10/15/26  425  503 
Barclays Bank plc  5.450%  9/12/12  3,800  4,027 
Barclays Bank plc  2.500%  1/23/13  3,325  3,380 
Barclays Bank plc  5.200%  7/10/14  22,750  24,570 
Barclays Bank plc  3.900%  4/7/15  3,600  3,718 
Barclays Bank plc  5.000%  9/22/16  2,450  2,597 
Barclays Bank plc  6.750%  5/22/19  2,175  2,455 
Barclays Bank plc  5.125%  1/8/20  2,450  2,477 
Barclays Bank plc  5.140%  10/14/20  4,600  4,345 
BB&T Capital Trust II  6.750%  6/7/36  2,675  2,683 
4 BB&T Capital Trust IV  6.820%  6/12/57  1,600  1,574 
BB&T Corp.  3.850%  7/27/12  2,375  2,456 
BB&T Corp.  4.750%  10/1/12  1,675  1,754 
BB&T Corp.  3.375%  9/25/13  2,725  2,831 
BB&T Corp.  5.700%  4/30/14  1,750  1,931 
BB&T Corp.  5.200%  12/23/15  8,975  9,563 
BB&T Corp.  4.900%  6/30/17  100  105 
BB&T Corp.  6.850%  4/30/19  250  290 
BB&T Corp.  5.250%  11/1/19  4,350  4,518 
Bear Stearns Cos. LLC  6.950%  8/10/12  6,975  7,497 
Bear Stearns Cos. LLC  5.700%  11/15/14  4,825  5,307 
Bear Stearns Cos. LLC  5.300%  10/30/15  5,900  6,349 
Bear Stearns Cos. LLC  5.550%  1/22/17  2,200  2,331 
Bear Stearns Cos. LLC  6.400%  10/2/17  2,650  2,954 
Bear Stearns Cos. LLC  7.250%  2/1/18  3,975  4,629 
Bear Stearns Cos. LLC  4.650%  7/2/18  425  432 
BNP Paribas  3.250%  3/11/15  4,850  4,900 
BNP Paribas  3.600%  2/23/16  4,975  4,976 
BNP Paribas  5.000%  1/15/21  3,175  3,200 
BNP Paribas / BNP Paribas US Medium-Term         
Note Program LLC  2.125%  12/21/12  9,250  9,370 
BNY Mellon NA  4.750%  12/15/14  3,350  3,626 
Branch Banking & Trust Co.  5.625%  9/15/16  1,875  2,049 
Canadian Imperial Bank of Commerce  1.450%  9/13/13  975  970 

 

 

  Canadian Imperial Bank of Commerce  2.350%  12/11/15  325  314 
  Capital One Bank USA NA  6.500%  6/13/13  1,150  1,255 
  Capital One Bank USA NA  8.800%  7/15/19  10,900  13,612 
  Capital One Capital III  7.686%  8/15/36  2,025  2,081 
  Capital One Capital IV  6.745%  2/17/37  850  853 
  Capital One Capital V  10.250%  8/15/39  875  947 
  Capital One Capital VI  8.875%  5/15/40  2,700  2,842 
  Capital One Financial Corp.  7.375%  5/23/14  500  574 
  Capital One Financial Corp.  5.500%  6/1/15  2,800  3,045 
  Capital One Financial Corp.  6.150%  9/1/16  1,875  2,038 
  Capital One Financial Corp.  5.250%  2/21/17  1,075  1,141 
  Capital One Financial Corp.  6.750%  9/15/17  1,575  1,806 
4,5 Citicorp Lease Pass-Through Trust 1999-1  8.040%  12/15/19  4,025  4,607 
  Citigroup Inc.  5.100%  9/29/11  2,450  2,499 
  Citigroup Inc.  6.000%  2/21/12  3,500  3,655 
  Citigroup Inc.  5.250%  2/27/12  3,875  4,028 
  Citigroup Inc.  5.625%  8/27/12  2,400  2,524 
  Citigroup Inc.  5.300%  10/17/12  15,300  16,136 
  Citigroup Inc.  5.500%  4/11/13  8,575  9,161 
  Citigroup Inc.  6.500%  8/19/13  6,450  7,043 
  Citigroup Inc.  6.000%  12/13/13  13,125  14,257 
  Citigroup Inc.  5.125%  5/5/14  825  878 
  Citigroup Inc.  6.375%  8/12/14  6,125  6,760 
  Citigroup Inc.  5.000%  9/15/14  8,500  8,825 
  Citigroup Inc.  5.500%  10/15/14  4,850  5,227 
  Citigroup Inc.  6.010%  1/15/15  3,250  3,548 
  Citigroup Inc.  4.750%  5/19/15  5,250  5,479 
  Citigroup Inc.  4.700%  5/29/15  1,000  1,042 
  Citigroup Inc.  4.587%  12/15/15  6,680  6,874 
  Citigroup Inc.  5.300%  1/7/16  5,550  5,906 
  Citigroup Inc.  5.500%  2/15/17  850  880 
  Citigroup Inc.  6.000%  8/15/17  4,325  4,682 
  Citigroup Inc.  6.125%  11/21/17  10,250  11,156 
  Citigroup Inc.  6.125%  5/15/18  8,633  9,402 
  Citigroup Inc.  8.500%  5/22/19  18,175  22,287 
  Citigroup Inc.  5.375%  8/9/20  9,875  10,134 
  Citigroup Inc.  6.625%  6/15/32  1,925  1,956 
  Citigroup Inc.  5.875%  2/22/33  3,250  3,041 
  Citigroup Inc.  6.000%  10/31/33  2,525  2,381 
  Citigroup Inc.  5.850%  12/11/34  650  638 
  Citigroup Inc.  6.125%  8/25/36  7,275  6,890 
  Citigroup Inc.  5.875%  5/29/37  4,550  4,443 
  Citigroup Inc.  6.875%  3/5/38  10,800  11,770 
  Citigroup Inc.  8.125%  7/15/39  1,400  1,758 
  Comerica Bank  5.750%  11/21/16  3,775  4,138 
  Comerica Bank  5.200%  8/22/17  2,800  2,958 
  Comerica Inc.  4.800%  5/1/15  2,600  2,739 
  Compass Bank  6.400%  10/1/17  900  944 
  Compass Bank  5.900%  4/1/26  650  623 
  Cooperatieve Centrale Raiffeisen-         
  Boerenleenbank BA/Netherlands  2.125%  10/13/15  5,000  4,822 
  Cooperatieve Centrale Raiffeisen-         
  Boerenleenbank BA/Netherlands  4.500%  1/11/21  11,400  11,518 
5  Corestates Capital I  8.000%  12/15/26  1,600  1,637 
  Countrywide Financial Corp.  5.800%  6/7/12  1,800  1,892 
  Countrywide Financial Corp.  6.250%  5/15/16  450  480 
  Credit Suisse  3.450%  7/2/12  400  411 
  Credit Suisse  5.000%  5/15/13  12,900  13,738 

 

 

Credit Suisse  2.200%  1/14/14  7,625  7,642 
Credit Suisse  5.500%  5/1/14  7,200  7,881 
Credit Suisse  3.500%  3/23/15  11,250  11,453 
Credit Suisse  6.000%  2/15/18  6,150  6,526 
Credit Suisse  5.300%  8/13/19  8,925  9,330 
Credit Suisse  4.375%  8/5/20  3,700  3,605 
Credit Suisse AG  5.400%  1/14/20  3,800  3,829 
4 Credit Suisse AG  5.860%  5/29/49  3,050  2,943 
Credit Suisse USA Inc.  5.500%  8/15/13  2,575  2,795 
Credit Suisse USA Inc.  5.125%  1/15/14  625  677 
Credit Suisse USA Inc.  4.875%  1/15/15  2,935  3,150 
Credit Suisse USA Inc.  5.125%  8/15/15  7,565  8,168 
Credit Suisse USA Inc.  7.125%  7/15/32  6,400  7,599 
Deutsche Bank AG  5.375%  10/12/12  13,350  14,160 
Deutsche Bank AG  2.375%  1/11/13  4,500  4,568 
Deutsche Bank AG  4.875%  5/20/13  5,500  5,837 
Deutsche Bank AG  3.450%  3/30/15  5,725  5,849 
Deutsche Bank AG  3.250%  1/11/16  4,200  4,205 
Deutsche Bank AG  6.000%  9/1/17  9,175  10,181 
Deutsche Bank Financial LLC  5.375%  3/2/15  4,650  4,904 
Discover Bank  7.000%  4/15/20  1,800  1,980 
FIA Card Services NA  6.625%  6/15/12  1,100  1,154 
Fifth Third Bancorp  6.250%  5/1/13  100  108 
Fifth Third Bancorp  3.625%  1/25/16  5,225  5,214 
Fifth Third Bancorp  4.500%  6/1/18  725  702 
Fifth Third Bancorp  8.250%  3/1/38  5,806  6,883 
Fifth Third Bank  4.750%  2/1/15  2,800  2,931 
4 Fifth Third Capital Trust IV  6.500%  4/15/37  1,825  1,770 
First Horizon National Corp.  5.375%  12/15/15  1,225  1,279 
First Niagara Financial Group Inc.  6.750%  3/19/20  675  726 
First Tennessee Bank NA  5.050%  1/15/15  1,604  1,631 
First Union Institutional Capital I  8.040%  12/1/26  525  538 
FleetBoston Financial Corp.  6.700%  7/15/28  5,400  5,553 
Golden West Financial Corp.  4.750%  10/1/12  975  1,025 
Goldman Sachs Capital I  6.345%  2/15/34  4,975  4,812 
4 Goldman Sachs Capital II  5.793%  12/29/49  2,550  2,193 
Goldman Sachs Group Inc.  5.700%  9/1/12  275  291 
Goldman Sachs Group Inc.  5.450%  11/1/12  18,050  19,178 
Goldman Sachs Group Inc.  4.750%  7/15/13  7,425  7,854 
Goldman Sachs Group Inc.  5.250%  10/15/13  5,100  5,478 
Goldman Sachs Group Inc.  5.150%  1/15/14  3,125  3,352 
Goldman Sachs Group Inc.  6.000%  5/1/14  10,825  11,853 
Goldman Sachs Group Inc.  5.000%  10/1/14  11,175  11,947 
Goldman Sachs Group Inc.  5.125%  1/15/15  6,525  6,960 
Goldman Sachs Group Inc.  3.700%  8/1/15  17,950  18,069 
Goldman Sachs Group Inc.  5.350%  1/15/16  12,150  12,969 
Goldman Sachs Group Inc.  3.625%  2/7/16  1,975  1,952 
Goldman Sachs Group Inc.  5.750%  10/1/16  2,000  2,164 
Goldman Sachs Group Inc.  5.625%  1/15/17  4,275  4,488 
Goldman Sachs Group Inc.  6.250%  9/1/17  8,625  9,430 
Goldman Sachs Group Inc.  5.950%  1/18/18  5,775  6,170 
Goldman Sachs Group Inc.  6.150%  4/1/18  7,475  8,073 
Goldman Sachs Group Inc.  7.500%  2/15/19  2,900  3,358 
Goldman Sachs Group Inc.  5.375%  3/15/20  16,050  16,307 
Goldman Sachs Group Inc.  6.000%  6/15/20  6,200  6,536 
Goldman Sachs Group Inc.  5.950%  1/15/27  4,650  4,554 
Goldman Sachs Group Inc.  6.125%  2/15/33  11,200  11,307 
Goldman Sachs Group Inc.  6.450%  5/1/36  2,175  2,108 

 

 

Goldman Sachs Group Inc.  6.750%  10/1/37  17,000  17,147 
Goldman Sachs Group Inc.  6.250%  2/1/41  8,720  8,666 
5 HBOS plc  6.750%  5/21/18  2,075  1,999 
HSBC Bank USA NA  4.625%  4/1/14  8,475  8,987 
HSBC Bank USA NA  4.875%  8/24/20  3,675  3,561 
HSBC Bank USA NA  5.875%  11/1/34  1,200  1,174 
HSBC Bank USA NA  5.625%  8/15/35  1,225  1,163 
HSBC Bank USA NA  7.000%  1/15/39  325  363 
HSBC Holdings plc  5.100%  4/5/21  2,600  2,606 
HSBC Holdings plc  7.625%  5/17/32  325  347 
HSBC Holdings plc  7.350%  11/27/32  600  631 
HSBC Holdings plc  6.500%  5/2/36  7,500  7,635 
HSBC Holdings plc  6.500%  9/15/37  14,050  14,147 
HSBC Holdings plc  6.800%  6/1/38  1,475  1,545 
Huntington BancShares Inc.  7.000%  12/15/20  3,950  4,338 
5 ICICI Bank Ltd.  6.625%  10/3/12  4,525  4,790 
JP Morgan Chase Capital XVII  5.850%  8/1/35  250  241 
JP Morgan Chase Capital XVIII  6.950%  8/17/36  900  913 
JP Morgan Chase Capital XX  6.550%  9/29/36  2,250  2,271 
4 JP Morgan Chase Capital XXII  6.450%  1/15/87  7,675  7,650 
JP Morgan Chase Capital XXV  6.800%  10/1/37  2,775  2,787 
JPMorgan Chase & Co.  5.375%  10/1/12  5,950  6,303 
JPMorgan Chase & Co.  5.750%  1/2/13  8,990  9,598 
JPMorgan Chase & Co.  4.750%  5/1/13  5,185  5,507 
JPMorgan Chase & Co.  1.650%  9/30/13  16,100  16,011 
JPMorgan Chase & Co.  4.875%  3/15/14  8,800  9,312 
JPMorgan Chase & Co.  4.650%  6/1/14  4,600  4,905 
JPMorgan Chase & Co.  5.125%  9/15/14  14,715  15,734 
JPMorgan Chase & Co.  3.700%  1/20/15  2,950  3,022 
JPMorgan Chase & Co.  4.750%  3/1/15  4,625  4,929 
JPMorgan Chase & Co.  5.250%  5/1/15  2,025  2,163 
JPMorgan Chase & Co.  5.150%  10/1/15  7,400  7,912 
JPMorgan Chase & Co.  2.600%  1/15/16  11,075  10,633 
JPMorgan Chase & Co.  6.125%  6/27/17  3,325  3,630 
JPMorgan Chase & Co.  6.000%  1/15/18  2,400  2,629 
JPMorgan Chase & Co.  6.300%  4/23/19  14,795  16,295 
JPMorgan Chase & Co.  4.400%  7/22/20  3,625  3,491 
JPMorgan Chase & Co.  4.250%  10/15/20  3,350  3,179 
JPMorgan Chase & Co.  6.400%  5/15/38  29,150  32,227 
JPMorgan Chase & Co.  5.500%  10/15/40  5,350  5,216 
JPMorgan Chase Bank NA  5.875%  6/13/16  1,350  1,479 
JPMorgan Chase Bank NA  6.000%  10/1/17  3,700  4,046 
JPMorgan Chase Capital XXVII  7.000%  11/1/39  3,140  3,228 
KeyBank NA  5.500%  9/17/12  2,000  2,106 
KeyBank NA  5.800%  7/1/14  850  926 
KeyBank NA  5.450%  3/3/16  2,500  2,658 
KeyCorp  6.500%  5/14/13  1,500  1,634 
KeyCorp  5.100%  3/24/21  6,300  6,257 
5 Lloyds TSB Bank plc  4.375%  1/12/15  3,650  3,707 
Lloyds TSB Bank plc  4.875%  1/21/16  6,375  6,539 
5 Lloyds TSB Bank plc  5.800%  1/13/20  3,950  3,931 
Lloyds TSB Bank plc  6.375%  1/21/21  5,925  6,146 
M&I Marshall & Ilsley Bank  5.250%  9/4/12  225  234 
M&I Marshall & Ilsley Bank  4.850%  6/16/15  350  362 
M&I Marshall & Ilsley Bank  5.000%  1/17/17  100  103 
Manufacturers & Traders Trust Co.  6.625%  12/4/17  2,475  2,786 
4 Manufacturers & Traders Trust Co.  5.585%  12/28/20  100  97 
MBNA Corp.  6.125%  3/1/13  1,375  1,473 

 

 

MBNA Corp.  5.000%  6/15/15  1,425  1,474 
Mellon Funding Corp.  5.000%  12/1/14  875  951 
Merrill Lynch & Co. Inc.  6.050%  8/15/12  3,475  3,682 
Merrill Lynch & Co. Inc.  5.450%  2/5/13  3,225  3,411 
Merrill Lynch & Co. Inc.  6.150%  4/25/13  7,200  7,752 
Merrill Lynch & Co. Inc.  5.000%  2/3/14  5,325  5,665 
Merrill Lynch & Co. Inc.  5.450%  7/15/14  850  909 
Merrill Lynch & Co. Inc.  5.000%  1/15/15  11,281  11,861 
Merrill Lynch & Co. Inc.  6.050%  5/16/16  1,025  1,079 
Merrill Lynch & Co. Inc.  5.700%  5/2/17  6,625  6,822 
Merrill Lynch & Co. Inc.  6.400%  8/28/17  5,425  5,908 
Merrill Lynch & Co. Inc.  6.875%  4/25/18  16,925  18,825 
Merrill Lynch & Co. Inc.  6.500%  7/15/18  100  108 
Merrill Lynch & Co. Inc.  6.220%  9/15/26  4,525  4,487 
Merrill Lynch & Co. Inc.  6.110%  1/29/37  2,375  2,219 
Merrill Lynch & Co. Inc.  7.750%  5/14/38  12,825  14,541 
Morgan Stanley  5.625%  1/9/12  5,520  5,725 
Morgan Stanley  6.600%  4/1/12  1,375  1,453 
Morgan Stanley  5.750%  8/31/12  2,850  3,017 
Morgan Stanley  5.300%  3/1/13  1,050  1,116 
Morgan Stanley  6.750%  10/15/13  200  220 
Morgan Stanley  2.875%  1/24/14  300  301 
Morgan Stanley  4.750%  4/1/14  13,900  14,412 
Morgan Stanley  6.000%  5/13/14  12,050  13,079 
Morgan Stanley  4.200%  11/20/14  1,825  1,875 
Morgan Stanley  4.100%  1/26/15  3,300  3,375 
Morgan Stanley  6.000%  4/28/15  19,475  21,110 
Morgan Stanley  5.375%  10/15/15  2,325  2,467 
Morgan Stanley  3.450%  11/2/15  24,800  24,293 
Morgan Stanley  5.750%  10/18/16  4,700  5,013 
Morgan Stanley  5.450%  1/9/17  3,225  3,380 
Morgan Stanley  5.550%  4/27/17  1,375  1,448 
Morgan Stanley  5.950%  12/28/17  5,100  5,442 
Morgan Stanley  6.625%  4/1/18  11,975  13,164 
Morgan Stanley  7.300%  5/13/19  12,800  14,335 
Morgan Stanley  5.625%  9/23/19  18,700  18,959 
Morgan Stanley  5.500%  1/26/20  2,750  2,756 
Morgan Stanley  5.500%  7/24/20  1,650  1,642 
Morgan Stanley  5.750%  1/25/21  5,275  5,271 
Morgan Stanley  6.250%  8/9/26  9,175  9,681 
Morgan Stanley  7.250%  4/1/32  2,750  3,206 
National City Bank  4.625%  5/1/13  725  763 
National City Corp.  4.900%  1/15/15  850  910 
National City Corp.  6.875%  5/15/19  4,525  5,143 
4 National City Preferred Capital Trust I  12.000%  12/31/49  1,575  1,782 
North Fork Bancorporation Inc.  5.875%  8/15/12  100  105 
Northern Trust Co.  6.500%  8/15/18  425  489 
Northern Trust Corp.  5.500%  8/15/13  425  465 
Northern Trust Corp.  4.625%  5/1/14  1,025  1,107 
Paribas  6.950%  7/22/13  325  354 
PNC Bank NA  4.875%  9/21/17  3,575  3,741 
PNC Bank NA  6.000%  12/7/17  325  356 
PNC Funding Corp.  3.625%  2/8/15  1,925  1,980 
PNC Funding Corp.  4.250%  9/21/15  650  680 
PNC Funding Corp.  5.250%  11/15/15  6,400  6,841 
PNC Funding Corp.  5.625%  2/1/17  325  351 
PNC Funding Corp.  6.700%  6/10/19  6,475  7,504 
PNC Funding Corp.  5.125%  2/8/20  2,325  2,441 

 

 

  PNC Funding Corp.  4.375%  8/11/20  3,150  3,113 
  Royal Bank of Canada  2.100%  7/29/13  6,200  6,312 
  Royal Bank of Canada  2.625%  12/15/15  5,600  5,564 
  Royal Bank of Scotland Group plc  5.000%  10/1/14  1,500  1,493 
  Royal Bank of Scotland Group plc  5.050%  1/8/15  1,800  1,792 
  Royal Bank of Scotland Group plc  6.400%  10/21/19  7,650  7,842 
  Royal Bank Of Scotland NV  4.650%  6/4/18  100  95 
  Royal Bank of Scotland plc  3.400%  8/23/13  2,825  2,886 
  Royal Bank of Scotland plc  3.250%  1/11/14  6,525  6,593 
5  Royal Bank of Scotland plc  4.875%  8/25/14  1,800  1,866 
  Royal Bank of Scotland plc  4.875%  3/16/15  3,975  4,119 
  Royal Bank of Scotland plc  3.950%  9/21/15  75  75 
  Royal Bank of Scotland plc  5.625%  8/24/20  8,350  8,323 
  Royal Bank of Scotland plc  6.125%  1/11/21  6,775  6,943 
  Santander UK plc  7.950%  10/26/29  590  630 
  SouthTrust Corp.  5.800%  6/15/14  750  805 
  Sovereign Bank  5.125%  3/15/13  625  643 
  Sovereign Bank  8.750%  5/30/18  675  762 
4,5 Standard Chartered plc  6.409%  12/31/49  1,975  1,871 
  State Street Bank and Trust Co.  5.300%  1/15/16  2,725  2,961 
  State Street Bank and Trust Co.  5.250%  10/15/18  2,879  3,094 
  State Street Corp.  4.300%  5/30/14  1,600  1,712 
  State Street Corp.  2.875%  3/7/16  5,400  5,337 
  Sumitomo Mitsui Banking Corp.  8.000%  6/15/12  4,075  4,369 
  SunTrust Bank  5.000%  9/1/15  16  17 
  SunTrust Bank  7.250%  3/15/18  375  426 
  SunTrust Banks Inc.  5.250%  11/5/12  1,800  1,891 
  SunTrust Banks Inc.  3.600%  4/15/16  3,775  3,745 
  SunTrust Banks Inc.  6.000%  9/11/17  1,300  1,419 
4  SunTrust Capital VIII  6.100%  12/1/66  657  638 
  UBS AG  2.250%  8/12/13  7,650  7,701 
  UBS AG  2.250%  1/28/14  5,450  5,458 
  UBS AG  3.875%  1/15/15  1,300  1,335 
  UBS AG  7.000%  10/15/15  1,000  1,116 
  UBS AG  5.875%  7/15/16  2,325  2,488 
  UBS AG  7.375%  6/15/17  1,050  1,175 
  UBS AG  5.875%  12/20/17  6,525  7,113 
  UBS AG  5.750%  4/25/18  2,925  3,150 
  UBS AG  4.875%  8/4/20  14,100  14,159 
  UBS AG  7.750%  9/1/26  1,000  1,127 
  UFJ Finance Aruba AEC  6.750%  7/15/13  9,750  10,740 
  Union Bank NA  5.950%  5/11/16  1,375  1,466 
  UnionBanCal Corp.  5.250%  12/16/13  700  746 
  US Bancorp  2.000%  6/14/13  5,000  5,065 
  US Bancorp  1.125%  10/30/13  3,400  3,350 
  US Bancorp  3.150%  3/4/15  600  613 
  US Bancorp  2.450%  7/27/15  275  271 
  US Bancorp  3.442%  2/1/16  4,250  4,220 
  US Bank NA  6.300%  2/4/14  3,150  3,498 
  US Bank NA  4.950%  10/30/14  4,800  5,178 
  US Bank NA  4.800%  4/15/15  850  911 
  USB Capital XIII Trust  6.625%  12/15/39  675  702 
  Wachovia Bank NA  4.800%  11/1/14  425  452 
  Wachovia Bank NA  4.875%  2/1/15  6,050  6,422 
  Wachovia Bank NA  5.000%  8/15/15  825  875 
  Wachovia Bank NA  6.000%  11/15/17  2,500  2,761 
  Wachovia Bank NA  5.850%  2/1/37  5,775  5,895 
  Wachovia Bank NA  6.600%  1/15/38  3,600  4,044 

 

 

Wachovia Corp.  5.300%  10/15/11  4,125  4,222 
Wachovia Corp.  5.500%  5/1/13  10,003  10,766 
Wachovia Corp.  4.875%  2/15/14  5,275  5,593 
Wachovia Corp.  5.250%  8/1/14  1,900  2,038 
Wachovia Corp.  5.625%  10/15/16  3,800  4,105 
Wachovia Corp.  5.750%  6/15/17  6,425  7,068 
Wachovia Corp.  5.750%  2/1/18  325  358 
Wachovia Corp.  6.605%  10/1/25  100  105 
Wachovia Corp.  7.500%  4/15/35  275  322 
Wachovia Corp.  5.500%  8/1/35  1,775  1,703 
Wachovia Corp.  6.550%  10/15/35  250  263 
Wells Fargo & Co.  5.125%  9/1/12  1,200  1,262 
Wells Fargo & Co.  5.250%  10/23/12  11,575  12,282 
Wells Fargo & Co.  4.375%  1/31/13  5,100  5,366 
Wells Fargo & Co.  4.950%  10/16/13  1,150  1,227 
Wells Fargo & Co.  3.750%  10/1/14  2,050  2,144 
Wells Fargo & Co.  3.625%  4/15/15  11,375  11,720 
Wells Fargo & Co.  3.676%  6/15/16  4,900  4,942 
Wells Fargo & Co.  5.625%  12/11/17  17,225  18,712 
Wells Fargo & Co.  4.600%  4/1/21  7,225  7,123 
Wells Fargo & Co.  5.375%  2/7/35  4,700  4,776 
Wells Fargo Bank NA  4.750%  2/9/15  4,925  5,220 
Wells Fargo Bank NA  5.750%  5/16/16  3,600  3,930 
Wells Fargo Bank NA  5.950%  8/26/36  1,725  1,774 
Wells Fargo Capital X  5.950%  12/15/36  3,600  3,537 
4 Wells Fargo Capital XIII  7.700%  12/29/49  6,525  6,721 
4 Wells Fargo Capital XV  9.750%  12/29/49  3,650  3,988 
Wells Fargo Financial Inc.  5.500%  8/1/12  1,225  1,295 
Westpac Banking Corp.  2.250%  11/19/12  3,725  3,784 
Westpac Banking Corp.  2.100%  8/2/13  625  631 
Westpac Banking Corp.  1.850%  12/9/13  7,000  7,008 
Westpac Banking Corp.  4.200%  2/27/15  7,400  7,715 
Westpac Banking Corp.  3.000%  8/4/15  4,125  4,101 
Westpac Banking Corp.  4.875%  11/19/19  17,675  18,171 
 
Brokerage (0.1%)         
Ameriprise Financial Inc.  5.650%  11/15/15  5,000  5,595 
Ameriprise Financial Inc.  5.300%  3/15/20  775  819 
4 Ameriprise Financial Inc.  7.518%  6/1/66  2,275  2,388 
BlackRock Inc.  2.250%  12/10/12  2,300  2,340 
BlackRock Inc.  3.500%  12/10/14  1,700  1,777 
BlackRock Inc.  6.250%  9/15/17  1,150  1,312 
BlackRock Inc.  5.000%  12/10/19  100  104 
Charles Schwab Corp.  4.950%  6/1/14  3,925  4,276 
Charles Schwab Corp.  4.450%  7/22/20  1,000  1,005 
5 FMR LLC  7.490%  6/15/19  200  226 
Franklin Resources Inc.  2.000%  5/20/13  2,650  2,680 
Franklin Resources Inc.  3.125%  5/20/15  1,450  1,490 
Franklin Resources Inc.  4.625%  5/20/20  700  718 
Jefferies Group Inc.  5.500%  3/15/16  3,900  4,093 
Jefferies Group Inc.  8.500%  7/15/19  2,105  2,470 
Jefferies Group Inc.  6.450%  6/8/27  5,800  5,745 
Jefferies Group Inc.  6.250%  1/15/36  4,225  3,889 
Lazard Group LLC  6.850%  6/15/17  2,675  2,848 
Nomura Holdings Inc.  5.000%  3/4/15  2,425  2,470 
Nomura Holdings Inc.  6.700%  3/4/20  3,850  4,111 
TD Ameritrade Holding Corp.  2.950%  12/1/12  775  791 
TD Ameritrade Holding Corp.  4.150%  12/1/14  1,025  1,067 

 

 

TD Ameritrade Holding Corp.  5.600%  12/1/19  925  981 
 
Finance Companies (0.8%)         
Block Financial LLC  7.875%  1/15/13  525  566 
^ Block Financial LLC  5.125%  10/30/14  5,500  5,648 
Discover Financial Services  6.450%  6/12/17  325  352 
Discover Financial Services  10.250%  7/15/19  950  1,217 
GATX Corp.  4.750%  10/1/12  1,000  1,045 
General Electric Capital Corp.  5.000%  4/10/12  100  104 
General Electric Capital Corp.  6.000%  6/15/12  10,975  11,623 
General Electric Capital Corp.  3.500%  8/13/12  8,775  9,056 
General Electric Capital Corp.  5.250%  10/19/12  24,450  25,912 
General Electric Capital Corp.  2.800%  1/8/13  6,975  7,136 
General Electric Capital Corp.  5.450%  1/15/13  5,470  5,841 
General Electric Capital Corp.  4.800%  5/1/13  10,425  11,067 
General Electric Capital Corp.  2.100%  1/7/14  2,600  2,600 
General Electric Capital Corp.  5.900%  5/13/14  5,125  5,658 
General Electric Capital Corp.  5.500%  6/4/14  5,150  5,616 
General Electric Capital Corp.  5.650%  6/9/14  5,800  6,313 
General Electric Capital Corp.  3.750%  11/14/14  12,475  12,985 
General Electric Capital Corp.  3.500%  6/29/15  5,000  5,105 
General Electric Capital Corp.  4.375%  9/21/15  3,500  3,686 
General Electric Capital Corp.  2.250%  11/9/15  11,375  10,949 
General Electric Capital Corp.  5.375%  10/20/16  250  272 
General Electric Capital Corp.  5.400%  2/15/17  14,850  16,057 
General Electric Capital Corp.  5.625%  9/15/17  1,150  1,246 
General Electric Capital Corp.  5.625%  5/1/18  14,900  16,132 
General Electric Capital Corp.  6.000%  8/7/19  10,675  11,662 
General Electric Capital Corp.  5.500%  1/8/20  1,075  1,135 
General Electric Capital Corp.  5.550%  5/4/20  550  575 
General Electric Capital Corp.  4.625%  1/7/21  2,400  2,364 
General Electric Capital Corp.  5.300%  2/11/21  2,550  2,585 
General Electric Capital Corp.  6.750%  3/15/32  5,900  6,442 
General Electric Capital Corp.  6.150%  8/7/37  6,250  6,352 
General Electric Capital Corp.  5.875%  1/14/38  18,900  18,659 
General Electric Capital Corp.  6.875%  1/10/39  18,625  20,744 
4 General Electric Capital Corp.  6.375%  11/15/67  12,400  12,710 
4 HSBC Finance Capital Trust IX  5.911%  11/30/35  675  646 
HSBC Finance Corp.  7.000%  5/15/12  4,575  4,864 
HSBC Finance Corp.  5.900%  6/19/12  1,250  1,315 
HSBC Finance Corp.  6.375%  11/27/12  9,000  9,686 
HSBC Finance Corp.  4.750%  7/15/13  4,000  4,271 
HSBC Finance Corp.  5.250%  1/15/14  1,425  1,523 
HSBC Finance Corp.  5.000%  6/30/15  10,650  11,437 
HSBC Finance Corp.  5.500%  1/19/16  550  604 
5 HSBC Finance Corp.  6.676%  1/15/21  12,449  12,905 
SLM Corp.  5.375%  1/15/13  1,150  1,197 
SLM Corp.  5.000%  10/1/13  1,250  1,289 
SLM Corp.  5.375%  5/15/14  3,175  3,300 
SLM Corp.  5.050%  11/14/14  975  987 
SLM Corp.  6.250%  1/25/16  10,250  10,713 
SLM Corp.  8.450%  6/15/18  4,950  5,559 
SLM Corp.  8.000%  3/25/20  4,900  5,316 
SLM Corp.  5.625%  8/1/33  5,000  4,221 
 
Insurance (1.1%)         
ACE Capital Trust II  9.700%  4/1/30  1,000  1,241 
ACE INA Holdings Inc.  5.875%  6/15/14  2,500  2,777 

 

 

ACE INA Holdings Inc.  5.600%  5/15/15  1,725  1,887 
ACE INA Holdings Inc.  2.600%  11/23/15  3,500  3,407 
ACE INA Holdings Inc.  5.700%  2/15/17  1,400  1,525 
ACE INA Holdings Inc.  5.800%  3/15/18  425  465 
ACE INA Holdings Inc.  5.900%  6/15/19  550  605 
ACE INA Holdings Inc.  6.700%  5/15/36  400  452 
AEGON Funding Co. LLC  5.750%  12/15/20  1,375  1,428 
Aegon NV  4.750%  6/1/13  800  843 
Aetna Inc.  6.000%  6/15/16  5,800  6,520 
Aetna Inc.  6.500%  9/15/18  875  1,001 
Aetna Inc.  6.625%  6/15/36  3,100  3,434 
Aetna Inc.  6.750%  12/15/37  50  56 
Aflac Inc.  8.500%  5/15/19  1,100  1,328 
Aflac Inc.  6.900%  12/17/39  2,450  2,568 
Aflac Inc.  6.450%  8/15/40  1,050  1,046 
Alleghany Corp.  5.625%  9/15/20  1,000  1,000 
Allied World Assurance Co. Holdings Ltd.  7.500%  8/1/16  5,375  5,958 
Allstate Corp.  5.000%  8/15/14  3,325  3,619 
Allstate Corp.  6.125%  12/15/32  950  991 
Allstate Corp.  5.350%  6/1/33  225  213 
Allstate Corp.  5.550%  5/9/35  475  461 
Allstate Corp.  5.950%  4/1/36  1,000  1,016 
4 Allstate Corp.  6.125%  5/15/37  1,500  1,515 
Allstate Corp.  6.900%  5/15/38  2,655  3,022 
4 Allstate Corp.  6.500%  5/15/57  1,625  1,640 
Allstate Life Global Funding Trusts  5.375%  4/30/13  1,425  1,535 
Alterra Finance LLC  6.250%  9/30/20  815  820 
American Financial Group Inc.  9.875%  6/15/19  775  949 
American International Group Inc.  4.250%  5/15/13  3,550  3,665 
American International Group Inc.  5.050%  10/1/15  4,775  4,925 
American International Group Inc.  5.600%  10/18/16  1,150  1,193 
American International Group Inc.  5.450%  5/18/17  2,225  2,274 
American International Group Inc.  5.850%  1/16/18  3,300  3,437 
American International Group Inc.  8.250%  8/15/18  950  1,110 
American International Group Inc.  6.400%  12/15/20  7,015  7,474 
American International Group Inc.  6.250%  5/1/36  11,200  11,080 
American International Group Inc.  6.250%  3/15/37  6,698  6,112 
4 American International Group Inc.  8.175%  5/15/58  11,750  12,631 
AON Corp.  3.500%  9/30/15  2,025  2,036 
AON Corp.  5.000%  9/30/20  1,175  1,182 
AON Corp.  8.205%  1/1/27  325  361 
AON Corp.  6.250%  9/30/40  1,325  1,366 
Arch Capital Group Ltd.  7.350%  5/1/34  1,175  1,216 
Aspen Insurance Holdings Ltd.  6.000%  12/15/20  4,250  4,259 
Assurant Inc.  5.625%  2/15/14  625  660 
Assurant Inc.  6.750%  2/15/34  1,425  1,395 
AXA SA  8.600%  12/15/30  3,925  4,602 
Axis Capital Holdings Ltd.  5.750%  12/1/14  725  778 
Axis Specialty Finance LLC  5.875%  6/1/20  10,350  10,390 
Berkshire Hathaway Finance Corp.  4.000%  4/15/12  675  699 
Berkshire Hathaway Finance Corp.  4.600%  5/15/13  2,050  2,189 
Berkshire Hathaway Finance Corp.  5.000%  8/15/13  5,850  6,322 
Berkshire Hathaway Finance Corp.  1.500%  1/10/14  2,175  2,166 
Berkshire Hathaway Finance Corp.  4.850%  1/15/15  1,050  1,141 
Berkshire Hathaway Finance Corp.  2.450%  12/15/15  7,275  7,224 
Berkshire Hathaway Finance Corp.  5.400%  5/15/18  4,775  5,257 
Berkshire Hathaway Finance Corp.  4.250%  1/15/21  4,725  4,718 
Berkshire Hathaway Finance Corp.  5.750%  1/15/40  3,325  3,481 

 

 

Berkshire Hathaway Inc.  2.125%  2/11/13  1,750  1,785 
Berkshire Hathaway Inc.  3.200%  2/11/15  3,700  3,800 
Chubb Corp.  5.200%  4/1/13  425  456 
Chubb Corp.  5.750%  5/15/18  750  832 
Chubb Corp.  6.000%  5/11/37  2,900  3,048 
Chubb Corp.  6.500%  5/15/38  700  779 
4 Chubb Corp.  6.375%  3/29/67  5,650  5,938 
CIGNA Corp.  5.125%  6/15/20  875  911 
CIGNA Corp.  4.375%  12/15/20  200  195 
CIGNA Corp.  4.500%  3/15/21  225  221 
CIGNA Corp.  7.875%  5/15/27  425  491 
CIGNA Corp.  6.150%  11/15/36  4,484  4,556 
CIGNA Corp.  5.875%  3/15/41  1,000  982 
Cincinnati Financial Corp.  6.920%  5/15/28  325  343 
Cincinnati Financial Corp.  6.125%  11/1/34  1,175  1,132 
CNA Financial Corp.  5.850%  12/15/14  2,000  2,143 
CNA Financial Corp.  6.500%  8/15/16  1,750  1,908 
CNA Financial Corp.  7.350%  11/15/19  1,650  1,861 
CNA Financial Corp.  5.875%  8/15/20  925  949 
CNA Financial Corp.  5.750%  8/15/21  975  996 
Coventry Health Care Inc.  6.300%  8/15/14  3,850  4,086 
Endurance Specialty Holdings Ltd.  7.000%  7/15/34  4,729  4,636 
Genworth Financial Inc.  5.750%  6/15/14  300  311 
Genworth Financial Inc.  4.950%  10/1/15  825  825 
Genworth Financial Inc.  8.625%  12/15/16  4,125  4,589 
Genworth Financial Inc.  6.515%  5/22/18  900  902 
Genworth Financial Inc.  7.700%  6/15/20  225  230 
Genworth Financial Inc.  7.625%  9/24/21  500  502 
Genworth Financial Inc.  6.500%  6/15/34  3,575  3,200 
Hartford Financial Services Group Inc.  4.625%  7/15/13  625  652 
Hartford Financial Services Group Inc.  5.500%  10/15/16  975  1,021 
Hartford Financial Services Group Inc.  5.375%  3/15/17  900  937 
Hartford Financial Services Group Inc.  6.000%  1/15/19  425  446 
Hartford Financial Services Group Inc.  5.950%  10/15/36  550  517 
Hartford Financial Services Group Inc.  6.100%  10/1/41  1,775  1,687 
HCC Insurance Holdings Inc.  6.300%  11/15/19  1,600  1,719 
Humana Inc.  7.200%  6/15/18  100  113 
Humana Inc.  6.300%  8/1/18  150  161 
Humana Inc.  8.150%  6/15/38  2,500  2,859 
Jefferson-Pilot Corp.  4.750%  1/30/14  275  289 
Lincoln National Corp.  5.650%  8/27/12  950  1,003 
Lincoln National Corp.  4.300%  6/15/15  1,619  1,684 
Lincoln National Corp.  8.750%  7/1/19  900  1,135 
Lincoln National Corp.  6.150%  4/7/36  3,450  3,551 
Lincoln National Corp.  7.000%  6/15/40  1,125  1,275 
4 Lincoln National Corp.  7.000%  5/17/66  2,910  2,882 
Loews Corp.  5.250%  3/15/16  950  1,015 
Loews Corp.  6.000%  2/1/35  200  201 
Manulife Financial Corp.  3.400%  9/17/15  3,875  3,883 
Manulife Financial Corp.  4.900%  9/17/20  4,875  4,760 
Markel Corp.  7.125%  9/30/19  825  920 
Marsh & McLennan Cos. Inc.  4.850%  2/15/13  2,229  2,305 
Marsh & McLennan Cos. Inc.  5.375%  7/15/14  100  108 
Marsh & McLennan Cos. Inc.  5.750%  9/15/15  300  324 
Marsh & McLennan Cos. Inc.  9.250%  4/15/19  825  1,044 
Marsh & McLennan Cos. Inc.  5.875%  8/1/33  100  94 
5 Massachusetts Mutual Life Insurance Co.  8.875%  6/1/39  575  776 
MetLife Inc.  5.375%  12/15/12  1,775  1,892 

 

 

MetLife Inc.  5.000%  11/24/13  1,275  1,371 
MetLife Inc.  2.375%  2/6/14  1,625  1,625 
MetLife Inc.  5.000%  6/15/15  1,350  1,449 
MetLife Inc.  7.717%  2/15/19  5,325  6,449 
MetLife Inc.  4.750%  2/8/21  3,000  2,986 
MetLife Inc.  6.500%  12/15/32  750  822 
MetLife Inc.  6.375%  6/15/34  975  1,056 
MetLife Inc.  5.700%  6/15/35  375  371 
4 MetLife Inc.  6.400%  12/15/66  4,400  4,194 
MetLife Inc.  5.875%  2/6/41  8,850  8,911 
5 Metropolitan Life Global Funding I  2.875%  9/17/12  2,200  2,246 
5 Metropolitan Life Global Funding I  5.125%  6/10/14  5,225  5,657 
4 Nationwide Financial Services  6.750%  5/15/67  200  186 
OneBeacon US Holdings Inc.  5.875%  5/15/13  600  642 
PartnerRe Finance B LLC  5.500%  6/1/20  8,508  8,478 
Principal Financial Group Inc.  7.875%  5/15/14  1,525  1,759 
Principal Financial Group Inc.  6.050%  10/15/36  950  978 
Principal Life Income Funding Trusts  5.300%  12/14/12  1,450  1,545 
Principal Life Income Funding Trusts  5.300%  4/24/13  1,825  1,964 
Principal Life Income Funding Trusts  5.100%  4/15/14  1,250  1,327 
Progressive Corp.  6.625%  3/1/29  1,300  1,430 
Progressive Corp.  6.250%  12/1/32  100  106 
4 Progressive Corp.  6.700%  6/15/37  2,300  2,427 
Protective Life Corp.  7.375%  10/15/19  950  1,058 
Protective Life Corp.  8.450%  10/15/39  900  1,003 
Prudential Financial Inc.  5.800%  6/15/12  975  1,026 
Prudential Financial Inc.  3.625%  9/17/12  775  801 
Prudential Financial Inc.  2.750%  1/14/13  1,715  1,743 
Prudential Financial Inc.  5.150%  1/15/13  975  1,028 
Prudential Financial Inc.  4.500%  7/15/13  1,825  1,917 
Prudential Financial Inc.  4.750%  4/1/14  650  691 
Prudential Financial Inc.  5.100%  9/20/14  8,000  8,615 
Prudential Financial Inc.  6.200%  1/15/15  2,750  3,020 
Prudential Financial Inc.  4.750%  9/17/15  5,750  6,111 
Prudential Financial Inc.  5.500%  3/15/16  175  188 
Prudential Financial Inc.  6.100%  6/15/17  325  358 
Prudential Financial Inc.  6.000%  12/1/17  1,225  1,346 
Prudential Financial Inc.  7.375%  6/15/19  200  234 
Prudential Financial Inc.  5.750%  7/15/33  675  660 
Prudential Financial Inc.  5.400%  6/13/35  2,775  2,589 
Prudential Financial Inc.  5.900%  3/17/36  1,300  1,296 
Prudential Financial Inc.  5.700%  12/14/36  5,475  5,313 
Prudential Financial Inc.  6.625%  12/1/37  1,050  1,137 
4 Reinsurance Group of America Inc.  6.750%  12/15/65  3,100  3,024 
Swiss Re Solutions Holding Corp.  6.450%  3/1/19  675  724 
Swiss Re Solutions Holding Corp.  7.000%  2/15/26  1,225  1,304 
Swiss Re Solutions Holding Corp.  7.750%  6/15/30  1,825  2,078 
Torchmark Corp.  6.375%  6/15/16  1,225  1,313 
Transatlantic Holdings Inc.  8.000%  11/30/39  4,425  4,616 
Travelers Cos. Inc.  5.375%  6/15/12  100  105 
Travelers Cos. Inc.  5.500%  12/1/15  5,975  6,610 
Travelers Cos. Inc.  6.250%  6/20/16  1,100  1,242 
Travelers Cos. Inc.  5.750%  12/15/17  1,375  1,513 
Travelers Cos. Inc.  5.800%  5/15/18  100  110 
Travelers Cos. Inc.  5.900%  6/2/19  1,500  1,651 
Travelers Cos. Inc.  3.900%  11/1/20  1,275  1,205 
Travelers Cos. Inc.  6.250%  6/15/37  5,155  5,519 
Travelers Cos. Inc.  5.350%  11/1/40  3,350  3,172 

 

 

Travelers Property Casualty Corp.  6.375%  3/15/33  100  108 
UnitedHealth Group Inc.  5.500%  11/15/12  1,925  2,053 
UnitedHealth Group Inc.  4.875%  2/15/13  975  1,034 
UnitedHealth Group Inc.  4.875%  4/1/13  975  1,038 
UnitedHealth Group Inc.  5.000%  8/15/14  4,900  5,308 
UnitedHealth Group Inc.  4.875%  3/15/15  875  942 
UnitedHealth Group Inc.  6.000%  6/15/17  1,825  2,039 
UnitedHealth Group Inc.  6.000%  2/15/18  4,750  5,294 
UnitedHealth Group Inc.  5.800%  3/15/36  4,525  4,481 
UnitedHealth Group Inc.  6.500%  6/15/37  625  672 
UnitedHealth Group Inc.  6.625%  11/15/37  1,425  1,548 
UnitedHealth Group Inc.  6.875%  2/15/38  6,000  6,726 
UnitedHealth Group Inc.  5.950%  2/15/41  250  249 
Unum Group  7.125%  9/30/16  1,250  1,403 
Unum Group  5.625%  9/15/20  825  837 
Validus Holdings Ltd.  8.875%  1/26/40  1,150  1,209 
WellPoint Inc.  6.800%  8/1/12  625  669 
WellPoint Inc.  6.000%  2/15/14  550  608 
WellPoint Inc.  5.000%  12/15/14  4,650  5,057 
WellPoint Inc.  5.250%  1/15/16  1,475  1,613 
WellPoint Inc.  5.875%  6/15/17  900  1,008 
WellPoint Inc.  7.000%  2/15/19  450  530 
WellPoint Inc.  5.950%  12/15/34  2,200  2,249 
WellPoint Inc.  5.850%  1/15/36  2,400  2,408 
WellPoint Inc.  6.375%  6/15/37  325  348 
WellPoint Inc.  5.800%  8/15/40  850  835 
Willis Group Holdings plc  4.125%  3/15/16  3,775  3,739 
Willis Group Holdings plc  5.750%  3/15/21  2,725  2,693 
Willis North America Inc.  5.625%  7/15/15  2,200  2,333 
Willis North America Inc.  6.200%  3/28/17  1,125  1,192 
Willis North America Inc.  7.000%  9/29/19  150  163 
WR Berkley Corp.  5.375%  9/15/20  375  378 
XL Group plc  5.250%  9/15/14  350  371 
XL Group plc  6.375%  11/15/24  175  182 
 
Other Finance (0.0%)         
CME Group Inc.  5.400%  8/1/13  2,900  3,160 
CME Group Inc.  5.750%  2/15/14  1,075  1,187 
NASDAQ OMX Group Inc.  4.000%  1/15/15  1,275  1,265 
NASDAQ OMX Group Inc.  5.550%  1/15/20  1,900  1,844 
XTRA Finance Corp.  5.150%  4/1/17  4,525  4,889 
 
Real Estate Investment Trusts (0.4%)         
AMB Property LP  4.500%  8/15/17  775  770 
AMB Property LP  6.625%  12/1/19  850  942 
Arden Realty LP  5.250%  3/1/15  250  268 
AvalonBay Communities Inc.  6.125%  11/1/12  106  114 
AvalonBay Communities Inc.  5.750%  9/15/16  275  306 
Boston Properties LP  5.625%  4/15/15  1,375  1,502 
Boston Properties LP  5.625%  11/15/20  4,500  4,801 
Boston Properties LP  4.125%  5/15/21  1,475  1,394 
Brandywine Operating Partnership LP  5.750%  4/1/12  550  568 
Brandywine Operating Partnership LP  5.400%  11/1/14  875  922 
Brandywine Operating Partnership LP  7.500%  5/15/15  1,400  1,580 
Brandywine Operating Partnership LP  5.700%  5/1/17  275  284 
CommonWealth REIT  6.250%  8/15/16  575  618 
CommonWealth REIT  6.250%  6/15/17  1,725  1,851 
CommonWealth REIT  5.875%  9/15/20  1,300  1,324 

 

 

Digital Realty Trust LP  4.500%  7/15/15  4,550  4,661 
Duke Realty LP  6.250%  5/15/13  2,350  2,535 
Duke Realty LP  7.375%  2/15/15  3,675  4,156 
Duke Realty LP  5.950%  2/15/17  1,300  1,403 
Duke Realty LP  8.250%  8/15/19  875  1,049 
Duke Realty LP  6.750%  3/15/20  275  306 
ERP Operating LP  5.500%  10/1/12  1,100  1,164 
ERP Operating LP  5.250%  9/15/14  1,350  1,467 
ERP Operating LP  5.125%  3/15/16  3,050  3,270 
ERP Operating LP  5.375%  8/1/16  975  1,059 
ERP Operating LP  5.750%  6/15/17  550  608 
HCP Inc.  6.450%  6/25/12  2,075  2,190 
HCP Inc.  5.650%  12/15/13  2,225  2,406 
HCP Inc.  2.700%  2/1/14  1,000  1,002 
HCP Inc.  3.750%  2/1/16  12,650  12,692 
HCP Inc.  6.300%  9/15/16  950  1,045 
HCP Inc.  6.000%  1/30/17  425  458 
HCP Inc.  6.700%  1/30/18  1,700  1,892 
HCP Inc.  5.375%  2/1/21  3,275  3,306 
HCP Inc.  6.750%  2/1/41  1,675  1,733 
Health Care REIT Inc.  6.000%  11/15/13  525  571 
Health Care REIT Inc.  6.200%  6/1/16  3,250  3,556 
Health Care REIT Inc.  6.125%  4/15/20  350  371 
Health Care REIT Inc.  4.950%  1/15/21  8,915  8,567 
Healthcare Realty Trust Inc.  6.500%  1/17/17  1,600  1,755 
Hospitality Properties Trust  7.875%  8/15/14  1,375  1,546 
Hospitality Properties Trust  5.125%  2/15/15  1,775  1,838 
Kilroy Realty LP  5.000%  11/3/15  1,500  1,514 
Kimco Realty Corp.  5.783%  3/15/16  400  437 
Kimco Realty Corp.  6.875%  10/1/19  3,575  4,104 
Liberty Property LP  5.125%  3/2/15  3,200  3,416 
Liberty Property LP  5.500%  12/15/16  625  671 
Liberty Property LP  4.750%  10/1/20  450  442 
Mack-Cali Realty LP  7.750%  8/15/19  675  805 
National Retail Properties Inc.  6.875%  10/15/17  2,700  2,936 
Nationwide Health Properties Inc.  6.250%  2/1/13  1,400  1,494 
ProLogis  6.625%  5/15/18  500  541 
ProLogis  7.375%  10/30/19  2,075  2,350 
ProLogis  6.875%  3/15/20  3,675  4,015 
Realty Income Corp.  6.750%  8/15/19  2,575  2,921 
Realty Income Corp.  5.750%  1/15/21  3,000  3,149 
Regency Centers LP  5.250%  8/1/15  625  664 
Senior Housing Properties Trust  4.300%  1/15/16  700  688 
Simon Property Group LP  6.750%  5/15/14  9,850  11,050 
Simon Property Group LP  4.200%  2/1/15  1,500  1,579 
Simon Property Group LP  5.750%  12/1/15  5,975  6,642 
Simon Property Group LP  6.100%  5/1/16  150  168 
Simon Property Group LP  5.250%  12/1/16  3,525  3,816 
Simon Property Group LP  5.875%  3/1/17  1,825  2,026 
Simon Property Group LP  6.125%  5/30/18  1,700  1,900 
Simon Property Group LP  5.650%  2/1/20  3,050  3,276 
Simon Property Group LP  4.375%  3/1/21  1,450  1,411 
Simon Property Group LP  6.750%  2/1/40  3,800  4,323 
Tanger Properties LP  6.150%  11/15/15  2,975  3,278 
Ventas Realty LP / Ventas Capital Corp.  3.125%  11/30/15  1,575  1,527 
        3,012,475 

 

 

Industrial (10.6%)         
Basic Industry (1.1%)         
Agrium Inc.  6.750%  1/15/19  1,500  1,727 
Agrium Inc.  6.125%  1/15/41  3,325  3,436 
Airgas Inc.  4.500%  9/15/14  1,800  1,879 
Airgas Inc.  3.250%  10/1/15  1,075  1,071 
Albemarle Corp.  4.500%  12/15/20  450  441 
Alcoa Inc.  5.375%  1/15/13  1,150  1,224 
Alcoa Inc.  6.000%  7/15/13  3,050  3,331 
Alcoa Inc.  6.750%  7/15/18  100  110 
Alcoa Inc.  6.150%  8/15/20  13,125  13,861 
Alcoa Inc.  5.870%  2/23/22  550  561 
Alcoa Inc.  5.900%  2/1/27  2,450  2,394 
Alcoa Inc.  6.750%  1/15/28  4,180  4,362 
Allegheny Technologies Inc.  9.375%  6/1/19  2,975  3,741 
AngloGold Ashanti Holdings plc  5.375%  4/15/20  575  581 
AngloGold Ashanti Holdings plc  6.500%  4/15/40  875  872 
ArcelorMittal  5.375%  6/1/13  4,025  4,272 
ArcelorMittal  9.000%  2/15/15  1,350  1,614 
ArcelorMittal  3.750%  8/5/15  2,450  2,465 
ArcelorMittal  3.750%  3/1/16  4,725  4,708 
ArcelorMittal  6.125%  6/1/18  3,000  3,208 
ArcelorMittal  9.850%  6/1/19  6,700  8,483 
ArcelorMittal  5.250%  8/5/20  2,500  2,441 
ArcelorMittal  5.500%  3/1/21  5,300  5,205 
ArcelorMittal  7.000%  10/15/39  8,000  7,975 
ArcelorMittal  6.750%  3/1/41  2,325  2,262 
Barrick Gold Corp.  6.950%  4/1/19  200  239 
Barrick Gold Finance Co.  4.875%  11/15/14  400  434 
Barrick Gold Financeco LLC  6.125%  9/15/13  2,275  2,520 
Barrick North America Finance LLC  6.800%  9/15/18  1,650  1,951 
Barrick North America Finance LLC  7.500%  9/15/38  2,275  2,790 
Barrick PD Australia Finance Pty Ltd.  5.950%  10/15/39  6,244  6,431 
BHP Billiton Finance USA Ltd.  8.500%  12/1/12  175  195 
BHP Billiton Finance USA Ltd.  4.800%  4/15/13  2,450  2,623 
BHP Billiton Finance USA Ltd.  5.500%  4/1/14  5,125  5,679 
BHP Billiton Finance USA Ltd.  5.250%  12/15/15  5,000  5,555 
BHP Billiton Finance USA Ltd.  5.400%  3/29/17  350  391 
BHP Billiton Finance USA Ltd.  6.500%  4/1/19  8,090  9,559 
Celulosa Arauco y Constitucion SA  5.125%  7/9/13  325  341 
Celulosa Arauco y Constitucion SA  5.625%  4/20/15  1,000  1,059 
Celulosa Arauco y Constitucion SA  7.250%  7/29/19  800  922 
5 Celulosa Arauco y Constitucion SA  5.000%  1/21/21  2,800  2,746 
Cliffs Natural Resources Inc.  5.900%  3/15/20  350  372 
Cliffs Natural Resources Inc.  4.875%  4/1/21  1,075  1,059 
Cliffs Natural Resources Inc.  6.250%  10/1/40  3,400  3,362 
Commercial Metals Co.  6.500%  7/15/17  800  819 
Commercial Metals Co.  7.350%  8/15/18  1,925  2,012 
Cytec Industries Inc.  8.950%  7/1/17  550  669 
Dow Chemical Co.  4.850%  8/15/12  5,050  5,291 
Dow Chemical Co.  6.000%  10/1/12  500  534 
Dow Chemical Co.  7.600%  5/15/14  4,375  5,052 
Dow Chemical Co.  5.900%  2/15/15  12,300  13,608 
Dow Chemical Co.  2.500%  2/15/16  2,175  2,090 
Dow Chemical Co.  4.250%  11/15/20  6,746  6,448 
Dow Chemical Co.  7.375%  11/1/29  1,500  1,794 
Dow Chemical Co.  9.400%  5/15/39  5,775  8,591 
Eastman Chemical Co.  3.000%  12/15/15  4,600  4,556 

 

 

EI du Pont de Nemours & Co.  4.750%  11/15/12  1,400  1,482 
EI du Pont de Nemours & Co.  5.000%  1/15/13  1,509  1,610 
EI du Pont de Nemours & Co.  5.000%  7/15/13  2,375  2,559 
EI du Pont de Nemours & Co.  1.750%  3/25/14  1,500  1,490 
EI du Pont de Nemours & Co.  2.750%  4/1/16  1,600  1,584 
EI du Pont de Nemours & Co.  5.250%  12/15/16  225  251 
EI du Pont de Nemours & Co.  6.000%  7/15/18  7,275  8,260 
EI du Pont de Nemours & Co.  4.625%  1/15/20  1,625  1,677 
EI du Pont de Nemours & Co.  3.625%  1/15/21  2,010  1,907 
EI du Pont de Nemours & Co.  4.250%  4/1/21  950  939 
EI du Pont de Nemours & Co.  6.500%  1/15/28  525  599 
EI du Pont de Nemours & Co.  4.900%  1/15/41  2,500  2,310 
Freeport-McMoRan Copper & Gold Inc.  8.250%  4/1/15  4,450  4,634 
Freeport-McMoRan Copper & Gold Inc.  8.375%  4/1/17  10,400  11,440 
ICI Wilmington Inc.  5.625%  12/1/13  200  216 
International Paper Co.  5.300%  4/1/15  1,600  1,726 
International Paper Co.  7.950%  6/15/18  6,875  8,249 
International Paper Co.  9.375%  5/15/19  4,800  6,175 
International Paper Co.  7.500%  8/15/21  4,600  5,375 
International Paper Co.  7.300%  11/15/39  3,100  3,453 
Lubrizol Corp.  5.500%  10/1/14  2,100  2,337 
Lubrizol Corp.  8.875%  2/1/19  1,075  1,381 
Lubrizol Corp.  6.500%  10/1/34  2,375  2,566 
Monsanto Co.  7.375%  8/15/12  475  515 
Monsanto Co.  5.125%  4/15/18  850  918 
Monsanto Co.  5.875%  4/15/38  4,300  4,676 
5 Mosaic Co.  7.625%  12/1/16  3,349  3,617 
Newmont Mining Corp.  5.125%  10/1/19  1,000  1,069 
Newmont Mining Corp.  5.875%  4/1/35  750  758 
Newmont Mining Corp.  6.250%  10/1/39  13,275  13,997 
Nucor Corp.  5.000%  12/1/12  200  213 
Nucor Corp.  5.000%  6/1/13  100  107 
Nucor Corp.  5.750%  12/1/17  425  481 
Nucor Corp.  5.850%  6/1/18  1,725  1,955 
Nucor Corp.  6.400%  12/1/37  1,875  2,125 
Placer Dome Inc.  6.450%  10/15/35  1,050  1,121 
Plum Creek Timberlands LP  5.875%  11/15/15  1,250  1,330 
Plum Creek Timberlands LP  4.700%  3/15/21  1,345  1,286 
Potash Corp. of Saskatchewan Inc.  4.875%  3/1/13  1,050  1,118 
Potash Corp. of Saskatchewan Inc.  3.750%  9/30/15  2,000  2,076 
Potash Corp. of Saskatchewan Inc.  3.250%  12/1/17  1,200  1,169 
Potash Corp. of Saskatchewan Inc.  6.500%  5/15/19  1,077  1,243 
Potash Corp. of Saskatchewan Inc.  4.875%  3/30/20  7,225  7,495 
Potash Corp. of Saskatchewan Inc.  5.875%  12/1/36  200  205 
Potash Corp. of Saskatchewan Inc.  5.625%  12/1/40  1,225  1,225 
PPG Industries Inc.  5.750%  3/15/13  1,050  1,133 
PPG Industries Inc.  6.650%  3/15/18  1,950  2,265 
PPG Industries Inc.  5.500%  11/15/40  4,200  4,077 
Praxair Inc.  6.375%  4/1/12  525  553 
Praxair Inc.  1.750%  11/15/12  1,050  1,063 
Praxair Inc.  3.950%  6/1/13  200  212 
Praxair Inc.  4.375%  3/31/14  825  882 
Praxair Inc.  5.250%  11/15/14  2,000  2,216 
Praxair Inc.  4.625%  3/30/15  1,050  1,135 
Praxair Inc.  5.200%  3/15/17  325  359 
Praxair Inc.  4.500%  8/15/19  1,800  1,874 
Reliance Steel & Aluminum Co.  6.200%  11/15/16  100  108 
Reliance Steel & Aluminum Co.  6.850%  11/15/36  100  98 

 

 

Rio Tinto Alcan Inc.  4.875%  9/15/12  600  631 
Rio Tinto Alcan Inc.  4.500%  5/15/13  1,850  1,965 
Rio Tinto Alcan Inc.  5.200%  1/15/14  200  212 
Rio Tinto Alcan Inc.  5.000%  6/1/15  250  270 
Rio Tinto Alcan Inc.  6.125%  12/15/33  2,725  2,873 
Rio Tinto Alcan Inc.  5.750%  6/1/35  7,000  6,977 
Rio Tinto Finance USA Ltd.  8.950%  5/1/14  11,275  13,540 
Rio Tinto Finance USA Ltd.  6.500%  7/15/18  2,000  2,298 
Rio Tinto Finance USA Ltd.  9.000%  5/1/19  12,700  16,644 
Rio Tinto Finance USA Ltd.  7.125%  7/15/28  1,375  1,652 
Rio Tinto Finance USA Ltd.  5.200%  11/2/40  1,250  1,174 
Rohm and Haas Co.  6.000%  9/15/17  2,325  2,563 
Sherwin-Williams Co.  3.125%  12/15/14  1,350  1,395 
Sigma-Aldrich Corp.  3.375%  11/1/20  600  558 
Southern Copper Corp.  5.375%  4/16/20  1,000  1,022 
Southern Copper Corp.  7.500%  7/27/35  4,500  4,842 
Southern Copper Corp.  6.750%  4/16/40  1,600  1,622 
Teck Resources Ltd.  9.750%  5/15/14  2,846  3,451 
Teck Resources Ltd.  5.375%  10/1/15  4,991  5,404 
Teck Resources Ltd.  10.250%  5/15/16  4,175  5,020 
Teck Resources Ltd.  10.750%  5/15/19  4,050  5,194 
Teck Resources Ltd.  6.000%  8/15/40  3,500  3,502 
Vale Canada Ltd.  7.750%  5/15/12  175  188 
Vale Canada Ltd.  5.700%  10/15/15  1,200  1,314 
Vale Canada Ltd.  7.200%  9/15/32  325  350 
Vale Overseas Ltd.  6.250%  1/11/16  1,650  1,840 
Vale Overseas Ltd.  6.250%  1/23/17  850  952 
Vale Overseas Ltd.  5.625%  9/15/19  5,550  5,810 
Vale Overseas Ltd.  4.625%  9/15/20  7,950  7,724 
Vale Overseas Ltd.  8.250%  1/17/34  800  969 
Vale Overseas Ltd.  6.875%  11/21/36  5,325  5,666 
Vale Overseas Ltd.  6.875%  11/10/39  7,275  7,762 
Valspar Corp.  7.250%  6/15/19  400  455 
WMC Finance USA Ltd.  5.125%  5/15/13  575  620 
Xstrata Canada Corp.  7.350%  6/5/12  475  506 
Xstrata Canada Corp.  7.250%  7/15/12  1,375  1,469 
Xstrata Canada Corp.  5.375%  6/1/15  100  106 
Xstrata Canada Corp.  6.000%  10/15/15  325  356 
Xstrata Canada Corp.  5.500%  6/15/17  1,975  2,104 
 
Capital Goods (1.0%)         
3M Co.  4.500%  11/1/11  575  589 
3M Co.  6.375%  2/15/28  1,300  1,477 
3M Co.  5.700%  3/15/37  1,450  1,573 
Acuity Brands Lighting Inc.  6.000%  12/15/19  800  833 
Allied Waste North America Inc.  7.125%  5/15/16  6,550  6,845 
5 BAE Systems Holdings Inc.  5.200%  8/15/15  100  107 
Bemis Co. Inc.  4.875%  4/1/12  575  593 
Bemis Co. Inc.  5.650%  8/1/14  7,225  7,820 
Black & Decker Corp.  8.950%  4/15/14  2,300  2,713 
Black & Decker Corp.  5.750%  11/15/16  625  690 
Boeing Capital Corp.  6.500%  2/15/12  4,425  4,653 
Boeing Capital Corp.  5.800%  1/15/13  1,475  1,595 
Boeing Capital Corp.  3.250%  10/27/14  2,850  2,976 
Boeing Co.  1.875%  11/20/12  2,050  2,083 
Boeing Co.  5.000%  3/15/14  100  109 
Boeing Co.  3.500%  2/15/15  3,250  3,390 
Boeing Co.  6.000%  3/15/19  725  833 

 

 

Boeing Co.  4.875%  2/15/20  950  1,012 
Boeing Co.  8.750%  8/15/21  200  269 
Boeing Co.  7.250%  6/15/25  325  391 
Boeing Co.  8.750%  9/15/31  300  404 
Boeing Co.  6.125%  2/15/33  225  253 
Boeing Co.  6.625%  2/15/38  525  614 
Boeing Co.  5.875%  2/15/40  1,075  1,145 
Caterpillar Financial Services Corp.  4.850%  12/7/12  100  106 
Caterpillar Financial Services Corp.  4.250%  2/8/13  1,725  1,820 
Caterpillar Financial Services Corp.  2.000%  4/5/13  5,150  5,235 
Caterpillar Financial Services Corp.  1.550%  12/20/13  1,425  1,425 
Caterpillar Financial Services Corp.  6.125%  2/17/14  9,150  10,290 
Caterpillar Financial Services Corp.  1.650%  4/1/14  450  448 
Caterpillar Financial Services Corp.  4.750%  2/17/15  1,350  1,470 
Caterpillar Financial Services Corp.  4.625%  6/1/15  775  833 
Caterpillar Financial Services Corp.  2.650%  4/1/16  450  446 
Caterpillar Financial Services Corp.  7.150%  2/15/19  13,600  16,548 
Caterpillar Inc.  7.000%  12/15/13  425  485 
Caterpillar Inc.  6.625%  7/15/28  200  239 
Caterpillar Inc.  7.300%  5/1/31  675  863 
Caterpillar Inc.  6.050%  8/15/36  3,136  3,511 
Caterpillar Inc.  8.250%  12/15/38  200  282 
Caterpillar Inc.  6.950%  5/1/42  325  393 
Caterpillar Inc.  7.375%  3/1/97  1,825  2,131 
Cooper US Inc.  5.250%  11/15/12  1,275  1,356 
Cooper US Inc.  5.450%  4/1/15  950  1,043 
Cooper US Inc.  2.375%  1/15/16  3,575  3,505 
Cooper US Inc.  3.875%  12/15/20  1,000  970 
CRH America Inc.  5.300%  10/15/13  450  479 
CRH America Inc.  4.125%  1/15/16  3,800  3,808 
CRH America Inc.  6.000%  9/30/16  4,500  4,854 
CRH America Inc.  8.125%  7/15/18  3,275  3,823 
CRH America Inc.  5.750%  1/15/21  7,750  7,942 
Danaher Corp.  5.625%  1/15/18  850  943 
Deere & Co.  6.950%  4/25/14  3,925  4,524 
Deere & Co.  5.375%  10/16/29  2,800  2,952 
Deere & Co.  8.100%  5/15/30  1,525  2,040 
Deere & Co.  7.125%  3/3/31  1,375  1,716 
Dover Corp.  4.875%  10/15/15  2,225  2,438 
Dover Corp.  5.450%  3/15/18  2,250  2,482 
Dover Corp.  5.375%  10/15/35  100  100 
Dover Corp.  6.600%  3/15/38  975  1,144 
Eaton Corp.  4.900%  5/15/13  2,175  2,330 
Eaton Corp.  5.600%  5/15/18  1,755  1,933 
Embraer Overseas Ltd.  6.375%  1/24/17  4,450  4,813 
Embraer Overseas Ltd.  6.375%  1/15/20  575  615 
Emerson Electric Co.  4.625%  10/15/12  1,800  1,901 
Emerson Electric Co.  4.500%  5/1/13  1,275  1,357 
Emerson Electric Co.  5.125%  12/1/16  2,125  2,356 
Emerson Electric Co.  5.250%  10/15/18  2,200  2,412 
Emerson Electric Co.  4.875%  10/15/19  2,275  2,423 
Emerson Electric Co.  4.250%  11/15/20  950  960 
Emerson Electric Co.  5.250%  11/15/39  3,225  3,222 
General Dynamics Corp.  4.250%  5/15/13  2,850  3,040 
General Dynamics Corp.  5.250%  2/1/14  3,450  3,803 
General Electric Co.  5.000%  2/1/13  9,475  10,085 
General Electric Co.  5.250%  12/6/17  16,775  18,223 
Goodrich Corp.  6.290%  7/1/16  1,000  1,140 

 

 

Goodrich Corp.  6.125%  3/1/19  3,600  4,014 
Goodrich Corp.  4.875%  3/1/20  4,657  4,833 
Goodrich Corp.  3.600%  2/1/21  950  889 
Harsco Corp.  2.700%  10/15/15  1,000  983 
Harsco Corp.  5.750%  5/15/18  4,800  5,232 
Honeywell International Inc.  4.250%  3/1/13  475  504 
Honeywell International Inc.  3.875%  2/15/14  375  400 
Honeywell International Inc.  5.400%  3/15/16  1,975  2,218 
Honeywell International Inc.  5.300%  3/15/17  1,375  1,531 
Honeywell International Inc.  5.300%  3/1/18  175  194 
Honeywell International Inc.  5.000%  2/15/19  2,375  2,564 
Honeywell International Inc.  5.700%  3/15/36  1,600  1,705 
Honeywell International Inc.  5.700%  3/15/37  350  372 
Illinois Tool Works Inc.  5.150%  4/1/14  8,769  9,649 
Illinois Tool Works Inc.  6.250%  4/1/19  2,650  3,074 
Ingersoll-Rand Global Holding Co. Ltd.  6.000%  8/15/13  1,425  1,570 
Ingersoll-Rand Global Holding Co. Ltd.  9.500%  4/15/14  5,175  6,193 
Ingersoll-Rand Global Holding Co. Ltd.  6.875%  8/15/18  1,850  2,139 
John Deere Capital Corp.  5.250%  10/1/12  1,000  1,062 
John Deere Capital Corp.  4.950%  12/17/12  975  1,039 
John Deere Capital Corp.  4.900%  9/9/13  2,925  3,168 
John Deere Capital Corp.  2.950%  3/9/15  825  844 
John Deere Capital Corp.  5.500%  4/13/17  150  168 
John Deere Capital Corp.  2.800%  9/18/17  5,300  5,171 
John Deere Capital Corp.  5.750%  9/10/18  3,400  3,833 
Joy Global Inc.  6.000%  11/15/16  575  626 
L-3 Communications Corp.  5.200%  10/15/19  1,375  1,431 
L-3 Communications Corp.  4.750%  7/15/20  5,025  4,999 
Lafarge SA  6.500%  7/15/16  2,200  2,333 
Lafarge SA  7.125%  7/15/36  7,600  7,382 
Lockheed Martin Corp.  4.121%  3/14/13  625  658 
Lockheed Martin Corp.  7.650%  5/1/16  1,950  2,361 
Lockheed Martin Corp.  4.250%  11/15/19  1,800  1,810 
Lockheed Martin Corp.  6.150%  9/1/36  4,075  4,420 
Lockheed Martin Corp.  5.500%  11/15/39  900  893 
5 Lockheed Martin Corp.  5.720%  6/1/40  4,626  4,722 
Martin Marietta Materials Inc.  6.600%  4/15/18  1,850  2,019 
Northrop Grumman Corp.  3.500%  3/15/21  550  508 
Northrop Grumman Corp.  5.050%  11/15/40  2,300  2,138 
Northrop Grumman Systems Corp.  7.750%  2/15/31  1,295  1,664 
Owens Corning  6.500%  12/1/16  9,400  10,196 
Owens Corning  9.000%  6/15/19  1,500  1,770 
Owens Corning  7.000%  12/1/36  325  326 
Parker Hannifin Corp.  5.500%  5/15/18  450  500 
Parker Hannifin Corp.  3.500%  9/15/22  1,625  1,506 
Parker Hannifin Corp.  6.250%  5/15/38  550  621 
Raytheon Co.  1.625%  10/15/15  500  477 
Raytheon Co.  6.400%  12/15/18  100  116 
Raytheon Co.  4.400%  2/15/20  500  507 
Raytheon Co.  3.125%  10/15/20  750  684 
Raytheon Co.  7.200%  8/15/27  1,225  1,512 
Raytheon Co.  4.875%  10/15/40  400  362 
Republic Services Inc.  5.500%  9/15/19  4,000  4,287 
Republic Services Inc.  5.000%  3/1/20  3,925  4,062 
Republic Services Inc.  5.250%  11/15/21  3,375  3,523 
Republic Services Inc.  6.086%  3/15/35  825  847 
Republic Services Inc.  6.200%  3/1/40  2,455  2,579 
Rockwell Automation Inc.  5.650%  12/1/17  600  666 

 

 

  Rockwell Automation Inc.  6.700%  1/15/28  425  484 
  Rockwell Automation Inc.  6.250%  12/1/37  1,500  1,633 
  Rockwell Collins Inc.  5.250%  7/15/19  275  296 
  Roper Industries Inc.  6.625%  8/15/13  3,175  3,505 
  Roper Industries Inc.  6.250%  9/1/19  1,500  1,650 
  Sonoco Products Co.  5.750%  11/1/40  1,700  1,670 
4,5 Systems 2001 AT LLC  7.156%  12/15/11  107  109 
  Textron Inc.  5.600%  12/1/17  325  336 
  Tyco International Finance SA  6.000%  11/15/13  1,275  1,410 
  Tyco International Finance SA  3.375%  10/15/15  550  563 
  Tyco International Finance SA  3.750%  1/15/18  350  350 
  Tyco International Finance SA  4.625%  1/15/23  225  225 
  Tyco International Ltd. / Tyco International         
  Finance SA  7.000%  12/15/19  2,375  2,857 
  Tyco International Ltd. / Tyco International         
  Finance SA  6.875%  1/15/21  4,350  5,161 
  United Technologies Corp.  6.100%  5/15/12  175  185 
  United Technologies Corp.  4.875%  5/1/15  200  220 
  United Technologies Corp.  5.375%  12/15/17  4,925  5,511 
  United Technologies Corp.  6.125%  2/1/19  2,350  2,725 
  United Technologies Corp.  4.500%  4/15/20  1,850  1,924 
  United Technologies Corp.  6.700%  8/1/28  325  387 
  United Technologies Corp.  7.500%  9/15/29  825  1,063 
  United Technologies Corp.  5.400%  5/1/35  4,025  4,121 
  United Technologies Corp.  6.050%  6/1/36  1,525  1,684 
  United Technologies Corp.  6.125%  7/15/38  7,450  8,359 
  United Technologies Corp.  5.700%  4/15/40  2,125  2,255 
  Waste Management Inc.  6.375%  11/15/12  325  351 
  Waste Management Inc.  5.000%  3/15/14  350  377 
  Waste Management Inc.  6.375%  3/11/15  9,650  10,898 
  Waste Management Inc.  7.375%  3/11/19  3,750  4,499 
  Waste Management Inc.  7.100%  8/1/26  325  381 
  Waste Management Inc.  7.750%  5/15/32  100  123 
  Waste Management Inc.  6.125%  11/30/39  4,175  4,318 
 
  Communication (2.2%)         
  America Movil SAB de CV  5.500%  3/1/14  650  712 
  America Movil SAB de CV  5.750%  1/15/15  1,375  1,512 
5  America Movil SAB de CV  5.750%  1/15/15  5,614  6,175 
  America Movil SAB de CV  5.000%  3/30/20  11,100  11,500 
  America Movil SAB de CV  6.375%  3/1/35  2,275  2,442 
  America Movil SAB de CV  6.125%  11/15/37  1,575  1,654 
  America Movil SAB de CV  6.125%  3/30/40  4,025  4,262 
  American Tower Corp.  4.625%  4/1/15  3,550  3,681 
  American Tower Corp.  4.500%  1/15/18  5,000  4,894 
  AT&T Corp.  8.000%  11/15/31  5,699  7,128 
  AT&T Inc.  5.875%  8/15/12  1,925  2,052 
  AT&T Inc.  4.950%  1/15/13  8,700  9,262 
  AT&T Inc.  6.700%  11/15/13  11,325  12,739 
  AT&T Inc.  4.850%  2/15/14  4,200  4,539 
  AT&T Inc.  5.100%  9/15/14  5,775  6,320 
  AT&T Inc.  2.500%  8/15/15  16,700  16,534 
  AT&T Inc.  5.625%  6/15/16  7,225  8,049 
  AT&T Inc.  5.500%  2/1/18  1,600  1,747 
  AT&T Inc.  5.600%  5/15/18  1,225  1,341 
  AT&T Inc.  5.800%  2/15/19  1,425  1,580 
  AT&T Inc.  6.450%  6/15/34  2,025  2,104 
  AT&T Inc.  6.500%  9/1/37  12,125  12,524 

 

 

AT&T Inc.  6.300%  1/15/38  13,275  13,371 
AT&T Inc.  6.400%  5/15/38  2,675  2,729 
AT&T Inc.  6.550%  2/15/39  3,575  3,719 
5 AT&T Inc.  5.350%  9/1/40  14,763  13,178 
AT&T Mobility LLC  7.125%  12/15/31  3,575  4,149 
Bellsouth Capital Funding Corp.  7.875%  2/15/30  3,200  3,818 
BellSouth Corp.  5.200%  9/15/14  425  464 
BellSouth Corp.  5.200%  12/15/16  1,875  2,052 
BellSouth Corp.  6.875%  10/15/31  1,625  1,771 
BellSouth Corp.  6.550%  6/15/34  1,750  1,824 
BellSouth Corp.  6.000%  11/15/34  1,175  1,146 
BellSouth Telecommunications Inc.  6.375%  6/1/28  2,750  2,895 
British Telecommunications plc  5.150%  1/15/13  825  877 
British Telecommunications plc  5.950%  1/15/18  4,525  4,988 
British Telecommunications plc  9.875%  12/15/30  6,225  8,613 
CBS Corp.  5.625%  8/15/12  44  46 
CBS Corp.  4.625%  5/15/18  100  101 
CBS Corp.  8.875%  5/15/19  1,100  1,381 
CBS Corp.  5.750%  4/15/20  11,975  12,667 
CBS Corp.  4.300%  2/15/21  1,150  1,084 
CBS Corp.  7.875%  7/30/30  450  522 
CBS Corp.  5.500%  5/15/33  200  182 
Cellco Partnership / Verizon Wireless Capital         
LLC  7.375%  11/15/13  9,275  10,574 
Cellco Partnership / Verizon Wireless Capital         
LLC  5.550%  2/1/14  6,944  7,616 
Cellco Partnership / Verizon Wireless Capital         
LLC  8.500%  11/15/18  11,950  15,322 
CenturyLink Inc.  6.000%  4/1/17  100  107 
CenturyLink Inc.  6.150%  9/15/19  1,675  1,748 
CenturyLink Inc.  6.875%  1/15/28  300  303 
CenturyLink Inc.  7.600%  9/15/39  1,800  1,918 
Comcast Cable Communications Holdings         
Inc.  8.375%  3/15/13  55  62 
Comcast Cable Communications Holdings         
Inc.  9.455%  11/15/22  2,000  2,703 
Comcast Cable Communications LLC  8.875%  5/1/17  975  1,219 
Comcast Corp.  5.300%  1/15/14  1,850  2,013 
Comcast Corp.  6.500%  1/15/15  1,350  1,526 
Comcast Corp.  5.850%  11/15/15  3,760  4,177 
Comcast Corp.  5.900%  3/15/16  10,725  11,903 
Comcast Corp.  6.500%  1/15/17  150  171 
Comcast Corp.  6.300%  11/15/17  3,475  3,919 
Comcast Corp.  5.875%  2/15/18  3,800  4,188 
Comcast Corp.  5.700%  5/15/18  4,625  5,042 
Comcast Corp.  5.700%  7/1/19  6,275  6,802 
Comcast Corp.  5.150%  3/1/20  9,275  9,631 
Comcast Corp.  5.650%  6/15/35  2,450  2,298 
Comcast Corp.  6.500%  11/15/35  16,100  16,549 
Comcast Corp.  6.450%  3/15/37  1,825  1,866 
Comcast Corp.  6.950%  8/15/37  1,500  1,630 
Comcast Corp.  6.400%  5/15/38  1,975  2,004 
Comcast Corp.  6.400%  3/1/40  1,475  1,493 
COX Communications Inc.  7.125%  10/1/12  2,625  2,843 
COX Communications Inc.  5.450%  12/15/14  8,200  9,026 
COX Communications Inc.  5.500%  10/1/15  100  109 
Deutsche Telekom International Finance BV  5.875%  8/20/13  5,400  5,922 
Deutsche Telekom International Finance BV  4.875%  7/8/14  1,775  1,918 

 

 

Deutsche Telekom International Finance BV  5.750%  3/23/16  2,500  2,798 
Deutsche Telekom International Finance BV  6.750%  8/20/18  100  118 
Deutsche Telekom International Finance BV  6.000%  7/8/19  12,525  14,160 
Deutsche Telekom International Finance BV  8.750%  6/15/30  3,075  4,012 
DIRECTV Holdings LLC  3.500%  3/1/16  3,000  2,996 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.750%  10/1/14  1,550  1,665 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  3.550%  3/15/15  6,425  6,560 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  7.625%  5/15/16  750  826 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  5.875%  10/1/19  12,975  14,033 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  4.600%  2/15/21  1,950  1,894 
DIRECTV Holdings LLC / DIRECTV Financing         
Co. Inc.  6.000%  8/15/40  325  311 
Discovery Communications LLC  5.050%  6/1/20  500  519 
Discovery Communications LLC  6.350%  6/1/40  4,060  4,183 
Embarq Corp.  7.082%  6/1/16  6,050  6,873 
Embarq Corp.  7.995%  6/1/36  8,869  9,993 
France Telecom SA  4.375%  7/8/14  3,850  4,130 
France Telecom SA  2.125%  9/16/15  5,000  4,886 
France Telecom SA  5.375%  7/8/19  6,225  6,854 
France Telecom SA  8.500%  3/1/31  4,625  6,218 
Grupo Televisa SA  6.625%  3/18/25  1,300  1,433 
Grupo Televisa SA  8.500%  3/11/32  200  251 
Grupo Televisa SA  6.625%  1/15/40  500  538 
GTE Corp.  8.750%  11/1/21  950  1,222 
GTE Corp.  6.940%  4/15/28  1,050  1,165 
Koninklijke KPN NV  8.375%  10/1/30  1,550  2,007 
McGraw-Hill Cos. Inc.  5.375%  11/15/12  750  788 
McGraw-Hill Cos. Inc.  5.900%  11/15/17  1,750  1,905 
McGraw-Hill Cos. Inc.  6.550%  11/15/37  1,600  1,669 
5 NBCUniversal Media LLC  2.100%  4/1/14  3,700  3,678 
5 NBCUniversal Media LLC  3.650%  4/30/15  7,250  7,412 
5 NBCUniversal Media LLC  5.150%  4/30/20  7,550  7,760 
5 NBCUniversal Media LLC  6.400%  4/30/40  8,200  8,470 
5 NBCUniversal Media LLC  5.950%  4/1/41  400  389 
New Cingular Wireless Services Inc.  8.125%  5/1/12  10,375  11,165 
New Cingular Wireless Services Inc.  8.750%  3/1/31  925  1,281 
News America Inc.  5.300%  12/15/14  4,650  5,115 
News America Inc.  8.000%  10/17/16  1,450  1,753 
News America Inc.  6.900%  3/1/19  750  876 
5 News America Inc.  4.500%  2/15/21  11,350  11,156 
News America Inc.  7.700%  10/30/25  200  238 
News America Inc.  6.550%  3/15/33  4,500  4,701 
News America Inc.  6.200%  12/15/34  5,500  5,496 
News America Inc.  6.400%  12/15/35  4,200  4,292 
News America Inc.  8.150%  10/17/36  625  759 
News America Inc.  6.650%  11/15/37  3,000  3,156 
News America Inc.  7.850%  3/1/39  250  295 
News America Inc.  6.900%  8/15/39  1,850  2,010 
5 News America Inc.  6.150%  2/15/41  1,125  1,113 
News America Inc.  7.750%  12/1/45  425  502 
Omnicom Group Inc.  5.900%  4/15/16  1,225  1,366 
Omnicom Group Inc.  4.450%  8/15/20  4,550  4,458 
Pacific Bell Telephone Co.  7.125%  3/15/26  425  486 

 

 

Qwest Corp.  7.500%  10/1/14  2,625  2,989 
Qwest Corp.  7.625%  6/15/15  2,500  2,872 
Qwest Corp.  8.375%  5/1/16  2,675  3,183 
Qwest Corp.  6.500%  6/1/17  1,125  1,242 
Qwest Corp.  7.500%  6/15/23  1,325  1,327 
Qwest Corp.  7.250%  9/15/25  1,400  1,472 
Qwest Corp.  6.875%  9/15/33  2,900  2,889 
Qwest Corp.  7.125%  11/15/43  4,500  4,421 
Reed Elsevier Capital Inc.  4.625%  6/15/12  375  387 
Reed Elsevier Capital Inc.  7.750%  1/15/14  1,300  1,484 
Reed Elsevier Capital Inc.  8.625%  1/15/19  11,370  14,359 
Rogers Communications Inc.  6.375%  3/1/14  5,275  5,906 
Rogers Communications Inc.  5.500%  3/15/14  1,750  1,916 
Rogers Communications Inc.  6.800%  8/15/18  2,600  3,024 
Rogers Communications Inc.  7.500%  8/15/38  100  123 
RR Donnelley & Sons Co.  4.950%  4/1/14  400  414 
RR Donnelley & Sons Co.  5.500%  5/15/15  425  439 
RR Donnelley & Sons Co.  8.600%  8/15/16  4,000  4,574 
RR Donnelley & Sons Co.  6.125%  1/15/17  2,000  2,071 
RR Donnelley & Sons Co.  7.625%  6/15/20  1,000  1,051 
TCI Communications Inc.  8.750%  8/1/15  4,175  5,069 
TCI Communications Inc.  7.875%  2/15/26  300  360 
Telecom Italia Capital SA  5.250%  11/15/13  6,750  7,122 
Telecom Italia Capital SA  6.175%  6/18/14  1,475  1,581 
Telecom Italia Capital SA  4.950%  9/30/14  7,475  7,764 
Telecom Italia Capital SA  5.250%  10/1/15  3,500  3,609 
Telecom Italia Capital SA  6.999%  6/4/18  200  217 
Telecom Italia Capital SA  7.175%  6/18/19  4,650  5,072 
Telecom Italia Capital SA  6.375%  11/15/33  2,875  2,680 
Telecom Italia Capital SA  6.000%  9/30/34  200  181 
Telecom Italia Capital SA  7.200%  7/18/36  1,100  1,103 
Telecom Italia Capital SA  7.721%  6/4/38  11,325  12,044 
Telefonica Emisiones SAU  5.855%  2/4/13  6,525  6,974 
Telefonica Emisiones SAU  4.949%  1/15/15  3,775  3,977 
Telefonica Emisiones SAU  3.992%  2/16/16  7,000  7,012 
Telefonica Emisiones SAU  6.421%  6/20/16  4,975  5,506 
Telefonica Emisiones SAU  5.877%  7/15/19  7,375  7,748 
Telefonica Emisiones SAU  5.462%  2/16/21  10,700  10,816 
Telefonica Emisiones SAU  7.045%  6/20/36  7,800  8,409 
Telefonica Europe BV  8.250%  9/15/30  1,500  1,820 
Thomson Reuters Corp.  5.950%  7/15/13  725  796 
Thomson Reuters Corp.  5.700%  10/1/14  5,075  5,650 
Thomson Reuters Corp.  6.500%  7/15/18  250  289 
Thomson Reuters Corp.  4.700%  10/15/19  1,625  1,695 
Thomson Reuters Corp.  5.500%  8/15/35  1,500  1,475 
Thomson Reuters Corp.  5.850%  4/15/40  1,400  1,439 
Time Warner Cable Inc.  5.400%  7/2/12  4,625  4,857 
Time Warner Cable Inc.  6.200%  7/1/13  2,775  3,050 
Time Warner Cable Inc.  8.250%  2/14/14  875  1,016 
Time Warner Cable Inc.  7.500%  4/1/14  2,825  3,240 
Time Warner Cable Inc.  3.500%  2/1/15  925  946 
Time Warner Cable Inc.  5.850%  5/1/17  9,600  10,482 
Time Warner Cable Inc.  6.750%  7/1/18  9,150  10,386 
Time Warner Cable Inc.  8.750%  2/14/19  3,100  3,871 
Time Warner Cable Inc.  8.250%  4/1/19  12,550  15,294 
Time Warner Cable Inc.  5.000%  2/1/20  1,900  1,918 
Time Warner Cable Inc.  6.550%  5/1/37  1,525  1,545 
Time Warner Cable Inc.  6.750%  6/15/39  1,815  1,889 

 

 

Time Warner Cable Inc.  5.875%  11/15/40  10,600  9,897 
Time Warner Entertainment Co. LP  10.150%  5/1/12  375  410 
Time Warner Entertainment Co. LP  8.875%  10/1/12  550  609 
Time Warner Entertainment Co. LP  8.375%  3/15/23  800  986 
Time Warner Entertainment Co. LP  8.375%  7/15/33  2,975  3,636 
United States Cellular Corp.  6.700%  12/15/33  1,025  977 
Verizon Communications Inc.  4.350%  2/15/13  200  211 
Verizon Communications Inc.  5.250%  4/15/13  4,575  4,929 
Verizon Communications Inc.  4.900%  9/15/15  575  627 
Verizon Communications Inc.  5.550%  2/15/16  15,350  17,018 
Verizon Communications Inc.  3.000%  4/1/16  1,600  1,588 
Verizon Communications Inc.  5.500%  2/15/18  17,750  19,335 
Verizon Communications Inc.  6.100%  4/15/18  3,625  4,062 
Verizon Communications Inc.  8.750%  11/1/18  1,775  2,269 
Verizon Communications Inc.  6.350%  4/1/19  11,400  12,967 
Verizon Communications Inc.  4.600%  4/1/21  1,600  1,589 
Verizon Communications Inc.  5.850%  9/15/35  5,150  5,075 
Verizon Communications Inc.  6.250%  4/1/37  1,675  1,722 
Verizon Communications Inc.  6.400%  2/15/38  4,471  4,687 
Verizon Communications Inc.  6.900%  4/15/38  4,625  5,116 
Verizon Communications Inc.  8.950%  3/1/39  4,300  5,887 
Verizon Communications Inc.  7.350%  4/1/39  1,200  1,403 
Verizon Communications Inc.  6.000%  4/1/41  1,775  1,764 
Verizon Global Funding Corp.  6.875%  6/15/12  5,750  6,142 
Verizon Global Funding Corp.  4.375%  6/1/13  200  213 
Verizon Global Funding Corp.  7.750%  12/1/30  4,600  5,556 
Verizon Maryland Inc.  5.125%  6/15/33  175  156 
Verizon New England Inc.  7.875%  11/15/29  1,225  1,403 
Verizon New York Inc.  6.875%  4/1/12  900  952 
Verizon New York Inc.  7.375%  4/1/32  650  730 
Verizon Virginia Inc.  4.625%  3/15/13  1,725  1,817 
Vodafone Group plc  5.000%  12/16/13  475  516 
Vodafone Group plc  5.375%  1/30/15  6,775  7,451 
Vodafone Group plc  5.000%  9/15/15  1,175  1,273 
Vodafone Group plc  5.750%  3/15/16  1,825  2,040 
Vodafone Group plc  5.625%  2/27/17  15,900  17,567 
Vodafone Group plc  5.450%  6/10/19  5,000  5,454 
Vodafone Group plc  6.250%  11/30/32  2,675  2,859 
Vodafone Group plc  6.150%  2/27/37  2,625  2,790 
Washington Post Co.  7.250%  2/1/19  875  994 
WPP Finance UK  5.875%  6/15/14  6,125  6,735 
WPP Finance UK  8.000%  9/15/14  2,625  3,065 
 
Consumer Cyclical (1.0%)         
AutoZone Inc.  6.500%  1/15/14  2,000  2,236 
AutoZone Inc.  5.750%  1/15/15  4,050  4,453 
Best Buy Co. Inc.  6.750%  7/15/13  2,875  3,147 
BorgWarner Inc.  4.625%  9/15/20  400  398 
Costco Wholesale Corp.  5.500%  3/15/17  3,500  3,983 
CVS Caremark Corp.  4.875%  9/15/14  1,675  1,812 
CVS Caremark Corp.  3.250%  5/18/15  2,100  2,129 
CVS Caremark Corp.  6.125%  8/15/16  2,375  2,667 
CVS Caremark Corp.  6.600%  3/15/19  6,065  6,930 
CVS Caremark Corp.  4.750%  5/18/20  1,000  1,017 
CVS Caremark Corp.  6.250%  6/1/27  10,150  11,123 
4 CVS Caremark Corp.  6.302%  6/1/37  3,491  3,419 
CVS Caremark Corp.  6.125%  9/15/39  3,300  3,344 
Daimler Finance North America LLC  6.500%  11/15/13  7,100  7,900 

 

 

Daimler Finance North America LLC  8.500%  1/18/31  4,700  6,300 
Darden Restaurants Inc.  5.625%  10/15/12  2,675  2,837 
Darden Restaurants Inc.  6.200%  10/15/17  1,850  2,051 
Darden Restaurants Inc.  6.800%  10/15/37  6,450  7,017 
eBay Inc.  0.875%  10/15/13  1,150  1,137 
eBay Inc.  1.625%  10/15/15  1,150  1,097 
eBay Inc.  3.250%  10/15/20  1,175  1,067 
Expedia Inc.  7.456%  8/15/18  250  281 
Expedia Inc.  5.950%  8/15/20  6,400  6,460 
Family Dollar Stores Inc.  5.000%  2/1/21  1,275  1,247 
Historic TW Inc.  9.150%  2/1/23  3,425  4,512 
Historic TW Inc.  6.625%  5/15/29  2,925  3,127 
Home Depot Inc.  5.250%  12/16/13  6,050  6,599 
Home Depot Inc.  5.400%  3/1/16  6,175  6,816 
Home Depot Inc.  4.400%  4/1/21  400  398 
Home Depot Inc.  5.875%  12/16/36  2,250  2,232 
Home Depot Inc.  5.400%  9/15/40  7,590  7,018 
Home Depot Inc.  5.950%  4/1/41  3,725  3,707 
International Game Technology  7.500%  6/15/19  875  991 
International Game Technology  5.500%  6/15/20  1,030  1,051 
Johnson Controls Inc.  5.000%  3/30/20  2,300  2,409 
Johnson Controls Inc.  4.250%  3/1/21  5,250  5,167 
Johnson Controls Inc.  6.000%  1/15/36  350  367 
Kohl's Corp.  6.250%  12/15/17  850  972 
Kohl's Corp.  6.000%  1/15/33  300  308 
Kohl's Corp.  6.875%  12/15/37  700  796 
Lowe's Cos. Inc.  5.600%  9/15/12  850  907 
Lowe's Cos. Inc.  5.400%  10/15/16  1,925  2,163 
Lowe's Cos. Inc.  6.100%  9/15/17  875  996 
Lowe's Cos. Inc.  4.625%  4/15/20  2,675  2,789 
Lowe's Cos. Inc.  3.750%  4/15/21  500  482 
Lowe's Cos. Inc.  6.875%  2/15/28  350  413 
Lowe's Cos. Inc.  6.500%  3/15/29  1,050  1,174 
Lowe's Cos. Inc.  5.800%  10/15/36  2,175  2,247 
Lowe's Cos. Inc.  5.800%  4/15/40  1,775  1,840 
Marriott International Inc.  4.625%  6/15/12  1,000  1,037 
Marriott International Inc.  5.625%  2/15/13  850  908 
Marriott International Inc.  6.200%  6/15/16  550  610 
Marriott International Inc.  6.375%  6/15/17  650  727 
McDonald's Corp.  5.300%  3/15/17  300  334 
McDonald's Corp.  5.800%  10/15/17  1,825  2,085 
McDonald's Corp.  5.350%  3/1/18  1,875  2,087 
McDonald's Corp.  5.000%  2/1/19  4,525  4,909 
McDonald's Corp.  6.300%  10/15/37  750  865 
McDonald's Corp.  6.300%  3/1/38  1,825  2,107 
McDonald's Corp.  5.700%  2/1/39  850  909 
MDC Holdings Inc.  5.500%  5/15/13  750  778 
Nordstrom Inc.  6.750%  6/1/14  175  199 
Nordstrom Inc.  6.250%  1/15/18  5,625  6,435 
Nordstrom Inc.  4.750%  5/1/20  1,200  1,236 
Nordstrom Inc.  6.950%  3/15/28  425  486 
Nordstrom Inc.  7.000%  1/15/38  475  561 
O'Reilly Automotive Inc.  4.875%  1/14/21  600  591 
PACCAR Financial Corp.  1.950%  12/17/12  2,150  2,180 
PACCAR Inc.  6.875%  2/15/14  1,200  1,366 
Staples Inc.  9.750%  1/15/14  6,300  7,560 
Target Corp.  5.125%  1/15/13  625  669 
Target Corp.  4.000%  6/15/13  600  636 

 

 

Target Corp.  5.875%  7/15/16  3,575  4,093 
Target Corp.  5.375%  5/1/17  100  111 
Target Corp.  6.000%  1/15/18  2,850  3,264 
Target Corp.  7.000%  7/15/31  1,425  1,683 
Target Corp.  6.350%  11/1/32  2,075  2,289 
Target Corp.  6.500%  10/15/37  2,400  2,695 
Target Corp.  7.000%  1/15/38  11,800  13,993 
Time Warner Cos. Inc.  7.570%  2/1/24  325  387 
Time Warner Cos. Inc.  6.950%  1/15/28  150  165 
Time Warner Inc.  3.150%  7/15/15  5,600  5,657 
Time Warner Inc.  5.875%  11/15/16  2,525  2,811 
Time Warner Inc.  4.875%  3/15/20  3,975  4,040 
Time Warner Inc.  4.700%  1/15/21  4,250  4,214 
Time Warner Inc.  4.750%  3/29/21  7,975  7,882 
Time Warner Inc.  7.625%  4/15/31  5,700  6,535 
Time Warner Inc.  7.700%  5/1/32  7,850  9,127 
Time Warner Inc.  6.500%  11/15/36  1,900  1,930 
Time Warner Inc.  6.200%  3/15/40  950  937 
Time Warner Inc.  6.100%  7/15/40  1,725  1,680 
Time Warner Inc.  6.250%  3/29/41  5,275  5,215 
TJX Cos. Inc.  4.200%  8/15/15  6,265  6,662 
TJX Cos. Inc.  6.950%  4/15/19  5,650  6,734 
Toll Brothers Finance Corp.  6.875%  11/15/12  16  17 
Toll Brothers Finance Corp.  5.950%  9/15/13  18  19 
Toll Brothers Finance Corp.  5.150%  5/15/15  1,000  1,021 
Toll Brothers Finance Corp.  6.750%  11/1/19  1,350  1,390 
Toyota Motor Credit Corp.  3.200%  6/17/15  5,500  5,574 
Toyota Motor Credit Corp.  2.800%  1/11/16  1,300  1,295 
Toyota Motor Credit Corp.  4.250%  1/11/21  4,200  4,161 
VF Corp.  5.950%  11/1/17  850  968 
VF Corp.  6.450%  11/1/37  850  965 
Viacom Inc.  4.375%  9/15/14  375  400 
Viacom Inc.  6.125%  10/5/17  1,250  1,405 
Viacom Inc.  5.625%  9/15/19  12,235  13,356 
Viacom Inc.  6.875%  4/30/36  4,325  4,696 
Wal-Mart Stores Inc.  4.250%  4/15/13  25  27 
Wal-Mart Stores Inc.  4.550%  5/1/13  2,250  2,411 
Wal-Mart Stores Inc.  7.250%  6/1/13  550  620 
Wal-Mart Stores Inc.  3.200%  5/15/14  2,100  2,199 
Wal-Mart Stores Inc.  2.875%  4/1/15  2,425  2,483 
Wal-Mart Stores Inc.  4.500%  7/1/15  2,225  2,401 
Wal-Mart Stores Inc.  2.250%  7/8/15  1,275  1,273 
Wal-Mart Stores Inc.  1.500%  10/25/15  11,250  10,753 
Wal-Mart Stores Inc.  5.375%  4/5/17  625  700 
Wal-Mart Stores Inc.  5.800%  2/15/18  5,625  6,397 
Wal-Mart Stores Inc.  3.625%  7/8/20  3,950  3,816 
Wal-Mart Stores Inc.  3.250%  10/25/20  6,205  5,783 
Wal-Mart Stores Inc.  5.875%  4/5/27  11,050  12,087 
Wal-Mart Stores Inc.  7.550%  2/15/30  3,650  4,619 
Wal-Mart Stores Inc.  5.250%  9/1/35  1,425  1,395 
Wal-Mart Stores Inc.  6.500%  8/15/37  7,925  8,942 
Wal-Mart Stores Inc.  6.200%  4/15/38  6,400  7,002 
Wal-Mart Stores Inc.  5.625%  4/1/40  1,700  1,722 
Wal-Mart Stores Inc.  4.875%  7/8/40  875  795 
Wal-Mart Stores Inc.  5.000%  10/25/40  1,850  1,697 
Walgreen Co.  4.875%  8/1/13  3,575  3,865 
Walgreen Co.  5.250%  1/15/19  1,675  1,836 
Walt Disney Co.  4.700%  12/1/12  100  106 

 

 

Walt Disney Co.  4.500%  12/15/13  2,300  2,491 
Walt Disney Co.  6.200%  6/20/14  2,000  2,257 
Walt Disney Co.  5.625%  9/15/16  3,425  3,897 
Walt Disney Co.  5.875%  12/15/17  1,875  2,141 
Walt Disney Co.  7.000%  3/1/32  325  394 
Western Union Co.  6.500%  2/26/14  3,275  3,631 
Western Union Co.  5.930%  10/1/16  1,825  2,018 
Western Union Co.  5.253%  4/1/20  240  249 
Western Union Co.  6.200%  11/17/36  850  830 
Western Union Co.  6.200%  6/21/40  1,100  1,082 
Yum! Brands Inc.  7.700%  7/1/12  775  833 
Yum! Brands Inc.  4.250%  9/15/15  2,000  2,101 
Yum! Brands Inc.  6.250%  4/15/16  2,850  3,198 
Yum! Brands Inc.  6.250%  3/15/18  1,750  1,964 
Yum! Brands Inc.  3.875%  11/1/20  1,175  1,108 
Yum! Brands Inc.  6.875%  11/15/37  1,350  1,511 
 
Consumer Noncyclical (2.6%)         
Abbott Laboratories  5.150%  11/30/12  1,100  1,176 
Abbott Laboratories  4.350%  3/15/14  2,075  2,220 
Abbott Laboratories  2.700%  5/27/15  7,925  8,055 
Abbott Laboratories  5.875%  5/15/16  5,500  6,271 
Abbott Laboratories  5.600%  11/30/17  4,450  5,011 
Abbott Laboratories  5.125%  4/1/19  925  998 
Abbott Laboratories  4.125%  5/27/20  3,000  3,001 
Abbott Laboratories  6.150%  11/30/37  5,600  6,126 
Abbott Laboratories  6.000%  4/1/39  575  621 
Allergan Inc.  5.750%  4/1/16  400  450 
Allergan Inc.  3.375%  9/15/20  5,000  4,663 
Altria Group Inc.  8.500%  11/10/13  8,450  9,842 
Altria Group Inc.  7.750%  2/6/14  4,600  5,288 
Altria Group Inc.  4.125%  9/11/15  500  519 
Altria Group Inc.  9.700%  11/10/18  3,300  4,322 
Altria Group Inc.  9.250%  8/6/19  75  97 
Altria Group Inc.  9.950%  11/10/38  14,800  20,607 
Altria Group Inc.  10.200%  2/6/39  7,400  10,493 
AmerisourceBergen Corp.  5.625%  9/15/12  425  449 
AmerisourceBergen Corp.  5.875%  9/15/15  7,375  8,179 
AmerisourceBergen Corp.  4.875%  11/15/19  975  1,003 
Amgen Inc.  4.850%  11/18/14  9,375  10,251 
Amgen Inc.  5.850%  6/1/17  7,750  8,800 
Amgen Inc.  5.700%  2/1/19  525  583 
Amgen Inc.  3.450%  10/1/20  825  770 
Amgen Inc.  6.375%  6/1/37  1,350  1,490 
Amgen Inc.  6.900%  6/1/38  2,300  2,695 
Amgen Inc.  6.400%  2/1/39  2,725  2,999 
Amgen Inc.  5.750%  3/15/40  1,700  1,720 
Amgen Inc.  4.950%  10/1/41  4,275  3,856 
Anheuser-Busch Cos. Inc.  4.375%  1/15/13  1,150  1,209 
Anheuser-Busch Cos. Inc.  5.600%  3/1/17  1,375  1,513 
Anheuser-Busch Cos. Inc.  5.500%  1/15/18  6,307  6,895 
Anheuser-Busch Cos. Inc.  6.800%  8/20/32  775  886 
Anheuser-Busch Cos. Inc.  5.750%  4/1/36  2,905  2,981 
Anheuser-Busch InBev Worldwide Inc.  3.000%  10/15/12  4,000  4,105 
Anheuser-Busch InBev Worldwide Inc.  2.500%  3/26/13  3,800  3,872 
Anheuser-Busch InBev Worldwide Inc.  7.200%  1/15/14  3,575  4,058 
Anheuser-Busch InBev Worldwide Inc.  5.375%  11/15/14  3,700  4,057 
Anheuser-Busch InBev Worldwide Inc.  4.125%  1/15/15  4,000  4,216 

 

 

Anheuser-Busch InBev Worldwide Inc.  2.875%  2/15/16  6,200  6,128 
Anheuser-Busch InBev Worldwide Inc.  7.750%  1/15/19  3,275  4,008 
Anheuser-Busch InBev Worldwide Inc.  6.875%  11/15/19  3,425  4,025 
Anheuser-Busch InBev Worldwide Inc.  5.375%  1/15/20  11,100  11,856 
Anheuser-Busch InBev Worldwide Inc.  5.000%  4/15/20  2,600  2,706 
Anheuser-Busch InBev Worldwide Inc.  4.375%  2/15/21  3,875  3,843 
Anheuser-Busch InBev Worldwide Inc.  8.200%  1/15/39  3,000  4,052 
Anheuser-Busch InBev Worldwide Inc.  6.375%  1/15/40  2,825  3,138 
Archer-Daniels-Midland Co.  8.375%  4/15/17  100  124 
Archer-Daniels-Midland Co.  5.450%  3/15/18  3,625  4,022 
Archer-Daniels-Midland Co.  4.700%  3/1/21  1,600  1,614 
Archer-Daniels-Midland Co.  5.935%  10/1/32  1,775  1,903 
Archer-Daniels-Midland Co.  5.375%  9/15/35  1,850  1,862 
Archer-Daniels-Midland Co.  4.700%  3/1/41  1,300  1,326 
AstraZeneca plc  5.400%  9/15/12  3,150  3,351 
AstraZeneca plc  5.400%  6/1/14  2,925  3,251 
AstraZeneca plc  5.900%  9/15/17  5,125  5,855 
AstraZeneca plc  6.450%  9/15/37  10,310  11,658 
Avon Products Inc.  6.500%  3/1/19  2,650  3,026 
Baxter International Inc.  5.900%  9/1/16  875  1,004 
Baxter International Inc.  4.250%  3/15/20  900  913 
Baxter International Inc.  6.250%  12/1/37  3,675  4,167 
Becton Dickinson and Co.  5.000%  5/15/19  450  483 
Becton Dickinson and Co.  3.250%  11/12/20  5,700  5,289 
Biogen Idec Inc.  6.000%  3/1/13  750  801 
Biogen Idec Inc.  6.875%  3/1/18  4,300  4,873 
Bottling Group LLC  4.625%  11/15/12  5,025  5,323 
Bottling Group LLC  5.000%  11/15/13  2,700  2,936 
Bottling Group LLC  6.950%  3/15/14  4,225  4,868 
Bottling Group LLC  5.500%  4/1/16  4,050  4,551 
Bottling Group LLC  5.125%  1/15/19  1,500  1,631 
Bristol-Myers Squibb Co.  5.250%  8/15/13  650  711 
Bristol-Myers Squibb Co.  5.450%  5/1/18  800  888 
Bristol-Myers Squibb Co.  7.150%  6/15/23  100  124 
Bristol-Myers Squibb Co.  6.800%  11/15/26  100  121 
Bristol-Myers Squibb Co.  5.875%  11/15/36  2,888  3,130 
Bristol-Myers Squibb Co.  6.125%  5/1/38  475  531 
Bristol-Myers Squibb Co.  6.875%  8/1/97  325  365 
Bunge Ltd. Finance Corp.  5.100%  7/15/15  575  595 
Bunge Ltd. Finance Corp.  8.500%  6/15/19  13,150  15,657 
Campbell Soup Co.  3.050%  7/15/17  525  525 
Campbell Soup Co.  4.250%  4/15/21  2,175  2,164 
Cardinal Health Inc.  5.650%  6/15/12  17  18 
Cardinal Health Inc.  4.000%  6/15/15  100  104 
Cardinal Health Inc.  4.625%  12/15/20  4,700  4,659 
CareFusion Corp.  4.125%  8/1/12  350  362 
CareFusion Corp.  5.125%  8/1/14  1,985  2,137 
CareFusion Corp.  6.375%  8/1/19  4,850  5,401 
Celgene Corp.  2.450%  10/15/15  750  726 
Celgene Corp.  3.950%  10/15/20  5,500  5,175 
Celgene Corp.  5.700%  10/15/40  600  578 
Church & Dwight Co. Inc.  3.350%  12/15/15  1,000  997 
Cia de Bebidas das Americas  8.750%  9/15/13  1,450  1,661 
Clorox Co.  5.450%  10/15/12  1,635  1,735 
Clorox Co.  5.000%  1/15/15  525  564 
Clorox Co.  3.550%  11/1/15  1,850  1,889 
Clorox Co.  5.950%  10/15/17  8,722  9,679 
Coca-Cola Co.  0.750%  11/15/13  6,200  6,106 

 

 

Coca-Cola Co.  5.350%  11/15/17  2,850  3,212 
Coca-Cola Co.  4.875%  3/15/19  5,910  6,355 
Coca-Cola Co.  3.150%  11/15/20  1,100  1,021 
Coca-Cola Enterprises Inc.  2.125%  9/15/15  800  777 
Coca-Cola Femsa SAB de CV  4.625%  2/15/20  775  794 
Coca-Cola HBC Finance BV  5.125%  9/17/13  325  347 
Coca-Cola HBC Finance BV  5.500%  9/17/15  3,500  3,791 
Coca-Cola Refreshments USA Inc.  5.000%  8/15/13  2,900  3,135 
Coca-Cola Refreshments USA Inc.  7.375%  3/3/14  4,425  5,125 
Coca-Cola Refreshments USA Inc.  4.250%  3/1/15  2,200  2,358 
Coca-Cola Refreshments USA Inc.  8.500%  2/1/22  1,800  2,399 
ConAgra Foods Inc.  5.875%  4/15/14  1,295  1,410 
ConAgra Foods Inc.  5.819%  6/15/17  225  244 
ConAgra Foods Inc.  7.125%  10/1/26  450  493 
ConAgra Foods Inc.  7.000%  10/1/28  250  268 
Corn Products International Inc.  3.200%  11/1/15  1,700  1,695 
Corn Products International Inc.  4.625%  11/1/20  1,215  1,194 
Corn Products International Inc.  6.625%  4/15/37  575  597 
Covidien International Finance SA  5.450%  10/15/12  725  772 
Covidien International Finance SA  1.875%  6/15/13  8,000  8,076 
Covidien International Finance SA  6.000%  10/15/17  1,525  1,734 
Covidien International Finance SA  6.550%  10/15/37  4,704  5,321 
CR Bard Inc.  4.400%  1/15/21  1,985  2,013 
CR Bard Inc.  6.700%  12/1/26  1,800  2,125 
Delhaize Group SA  5.875%  2/1/14  1,400  1,522 
Delhaize Group SA  5.700%  10/1/40  1,587  1,455 
Diageo Capital plc  5.200%  1/30/13  2,425  2,595 
Diageo Capital plc  5.500%  9/30/16  425  472 
Diageo Capital plc  5.750%  10/23/17  3,000  3,356 
Diageo Capital plc  4.828%  7/15/20  3,100  3,196 
Diageo Capital plc  5.875%  9/30/36  200  211 
Diageo Finance BV  5.300%  10/28/15  1,800  1,996 
Diageo Investment Corp.  7.450%  4/15/35  200  248 
Dr Pepper Snapple Group Inc.  2.350%  12/21/12  1,125  1,146 
Dr Pepper Snapple Group Inc.  6.120%  5/1/13  525  573 
Dr Pepper Snapple Group Inc.  2.900%  1/15/16  2,750  2,716 
Dr Pepper Snapple Group Inc.  6.820%  5/1/18  420  493 
Dr Pepper Snapple Group Inc.  7.450%  5/1/38  425  518 
Eli Lilly & Co.  4.200%  3/6/14  2,200  2,356 
Eli Lilly & Co.  5.200%  3/15/17  2,625  2,896 
Eli Lilly & Co.  5.500%  3/15/27  2,150  2,293 
Eli Lilly & Co.  5.550%  3/15/37  1,100  1,138 
Eli Lilly & Co.  5.950%  11/15/37  700  759 
Estee Lauder Cos. Inc.  6.000%  5/15/37  200  214 
Express Scripts Inc.  5.250%  6/15/12  1,625  1,701 
Express Scripts Inc.  6.250%  6/15/14  4,700  5,216 
Express Scripts Inc.  7.250%  6/15/19  650  775 
Fortune Brands Inc.  3.000%  6/1/12  4,000  4,066 
Fortune Brands Inc.  6.375%  6/15/14  1,300  1,425 
Fortune Brands Inc.  5.375%  1/15/16  4,975  5,276 
Fortune Brands Inc.  5.875%  1/15/36  875  771 
Genentech Inc.  4.750%  7/15/15  800  868 
Genentech Inc.  5.250%  7/15/35  300  293 
General Mills Inc.  5.650%  9/10/12  625  665 
General Mills Inc.  5.250%  8/15/13  1,650  1,787 
General Mills Inc.  5.200%  3/17/15  2,000  2,194 
General Mills Inc.  5.700%  2/15/17  2,525  2,832 
General Mills Inc.  5.650%  2/15/19  6,125  6,762 

 

 

General Mills Inc.  5.400%  6/15/40  5,000  4,888 
Gilead Sciences Inc.  4.500%  4/1/21  2,900  2,850 
GlaxoSmithKline Capital Inc.  4.850%  5/15/13  4,125  4,432 
GlaxoSmithKline Capital Inc.  4.375%  4/15/14  9,700  10,446 
GlaxoSmithKline Capital Inc.  5.650%  5/15/18  4,850  5,440 
GlaxoSmithKline Capital Inc.  5.375%  4/15/34  950  963 
GlaxoSmithKline Capital Inc.  6.375%  5/15/38  10,130  11,363 
Hasbro Inc.  6.125%  5/15/14  5,000  5,462 
Hasbro Inc.  6.300%  9/15/17  2,125  2,332 
Hasbro Inc.  6.350%  3/15/40  1,200  1,199 
Hershey Co.  5.450%  9/1/16  425  474 
Hershey Co.  4.125%  12/1/20  1,475  1,476 
HJ Heinz Co.  5.350%  7/15/13  7,775  8,435 
HJ Heinz Finance Co.  6.750%  3/15/32  1,325  1,481 
Hospira Inc.  5.900%  6/15/14  500  549 
Hospira Inc.  6.400%  5/15/15  275  308 
Hospira Inc.  6.050%  3/30/17  100  111 
Hospira Inc.  5.600%  9/15/40  1,075  1,027 
Johnson & Johnson  5.150%  8/15/12  1,525  1,618 
Johnson & Johnson  5.550%  8/15/17  1,950  2,239 
Johnson & Johnson  5.150%  7/15/18  550  614 
Johnson & Johnson  2.950%  9/1/20  10,000  9,372 
Johnson & Johnson  6.950%  9/1/29  1,300  1,634 
Johnson & Johnson  4.950%  5/15/33  1,600  1,605 
Johnson & Johnson  5.950%  8/15/37  800  900 
Johnson & Johnson  5.850%  7/15/38  950  1,053 
Johnson & Johnson  4.500%  9/1/40  1,370  1,260 
Kellogg Co.  5.125%  12/3/12  4,025  4,282 
Kellogg Co.  4.250%  3/6/13  1,375  1,450 
Kellogg Co.  4.150%  11/15/19  2,150  2,163 
Kellogg Co.  4.000%  12/15/20  9,950  9,716 
Kellogg Co.  7.450%  4/1/31  1,150  1,432 
Kimberly-Clark Corp.  4.875%  8/15/15  1,875  2,050 
Kimberly-Clark Corp.  6.125%  8/1/17  2,475  2,870 
Kimberly-Clark Corp.  7.500%  11/1/18  800  996 
Kimberly-Clark Corp.  3.625%  8/1/20  3,150  3,095 
Kimberly-Clark Corp.  3.875%  3/1/21  2,350  2,322 
Kimberly-Clark Corp.  6.625%  8/1/37  200  236 
Kimberly-Clark Corp.  5.300%  3/1/41  1,600  1,606 
Koninklijke Philips Electronics NV  4.625%  3/11/13  1,300  1,372 
Koninklijke Philips Electronics NV  5.750%  3/11/18  2,750  3,071 
Koninklijke Philips Electronics NV  6.875%  3/11/38  3,050  3,599 
Kraft Foods Inc.  5.625%  11/1/11  509  523 
Kraft Foods Inc.  6.250%  6/1/12  448  475 
Kraft Foods Inc.  6.000%  2/11/13  2,950  3,189 
Kraft Foods Inc.  2.625%  5/8/13  8,300  8,490 
Kraft Foods Inc.  5.250%  10/1/13  100  108 
Kraft Foods Inc.  6.750%  2/19/14  200  225 
Kraft Foods Inc.  4.125%  2/9/16  5,775  5,970 
Kraft Foods Inc.  6.500%  8/11/17  5,375  6,118 
Kraft Foods Inc.  6.125%  2/1/18  100  112 
Kraft Foods Inc.  6.125%  8/23/18  7,650  8,526 
Kraft Foods Inc.  5.375%  2/10/20  18,600  19,584 
Kraft Foods Inc.  6.500%  11/1/31  3,275  3,600 
Kraft Foods Inc.  7.000%  8/11/37  3,675  4,129 
Kraft Foods Inc.  6.875%  2/1/38  4,975  5,512 
Kraft Foods Inc.  6.875%  1/26/39  525  581 
Kraft Foods Inc.  6.500%  2/9/40  7,375  7,819 

 

 

Kroger Co.  6.750%  4/15/12  100  106 
Kroger Co.  6.200%  6/15/12  1,950  2,066 
Kroger Co.  5.500%  2/1/13  425  455 
Kroger Co.  5.000%  4/15/13  1,050  1,121 
Kroger Co.  4.950%  1/15/15  1,950  2,095 
Kroger Co.  3.900%  10/1/15  2,350  2,434 
Kroger Co.  6.400%  8/15/17  200  229 
Kroger Co.  6.800%  12/15/18  2,400  2,773 
Kroger Co.  6.150%  1/15/20  2,525  2,848 
Kroger Co.  7.700%  6/1/29  2,800  3,358 
Kroger Co.  8.000%  9/15/29  3,775  4,671 
Kroger Co.  7.500%  4/1/31  625  742 
Kroger Co.  6.900%  4/15/38  625  704 
Kroger Co.  5.400%  7/15/40  1,250  1,172 
Laboratory Corp. of America Holdings  5.500%  2/1/13  425  451 
Laboratory Corp. of America Holdings  5.625%  12/15/15  1,025  1,115 
Life Technologies Corp.  4.400%  3/1/15  1,700  1,775 
Life Technologies Corp.  3.500%  1/15/16  2,800  2,796 
Life Technologies Corp.  6.000%  3/1/20  1,750  1,882 
Life Technologies Corp.  5.000%  1/15/21  1,350  1,350 
Lorillard Tobacco Co.  8.125%  6/23/19  2,875  3,333 
Lorillard Tobacco Co.  6.875%  5/1/20  800  860 
Lorillard Tobacco Co.  8.125%  5/1/40  1,000  1,106 
McKesson Corp.  5.250%  3/1/13  3,450  3,686 
McKesson Corp.  6.500%  2/15/14  6,000  6,707 
McKesson Corp.  4.750%  3/1/21  1,150  1,163 
Mead Johnson Nutrition Co.  3.500%  11/1/14  2,525  2,604 
Mead Johnson Nutrition Co.  4.900%  11/1/19  2,850  2,947 
Mead Johnson Nutrition Co.  5.900%  11/1/39  3,025  3,107 
Medco Health Solutions Inc.  6.125%  3/15/13  1,425  1,539 
Medco Health Solutions Inc.  7.250%  8/15/13  625  700 
Medco Health Solutions Inc.  7.125%  3/15/18  8,785  10,250 
Medtronic Inc.  4.500%  3/15/14  1,000  1,077 
Medtronic Inc.  3.000%  3/15/15  4,200  4,310 
Medtronic Inc.  4.750%  9/15/15  1,775  1,932 
Medtronic Inc.  4.450%  3/15/20  1,650  1,688 
Medtronic Inc.  6.500%  3/15/39  500  577 
Medtronic Inc.  5.550%  3/15/40  2,100  2,157 
Merck & Co. Inc.  4.375%  2/15/13  1,225  1,297 
Merck & Co. Inc.  5.300%  12/1/13  500  550 
Merck & Co. Inc.  4.750%  3/1/15  1,200  1,308 
Merck & Co. Inc.  4.000%  6/30/15  2,000  2,125 
Merck & Co. Inc.  2.250%  1/15/16  1,850  1,815 
Merck & Co. Inc.  6.000%  9/15/17  2,300  2,655 
Merck & Co. Inc.  5.000%  6/30/19  6,650  7,200 
Merck & Co. Inc.  3.875%  1/15/21  5,970  5,807 
Merck & Co. Inc.  6.400%  3/1/28  1,525  1,775 
Merck & Co. Inc.  5.950%  12/1/28  775  875 
Merck & Co. Inc.  6.500%  12/1/33  4,675  5,447 
Merck & Co. Inc.  5.750%  11/15/36  325  347 
Merck & Co. Inc.  6.550%  9/15/37  4,425  5,210 
Merck & Co. Inc.  5.850%  6/30/39  275  297 
Novant Health Inc.  5.850%  11/1/19  2,125  2,270 
Novartis Capital Corp.  1.900%  4/24/13  2,600  2,641 
Novartis Capital Corp.  4.125%  2/10/14  6,525  6,962 
Novartis Capital Corp.  2.900%  4/24/15  13,575  13,842 
Novartis Securities Investment Ltd.  5.125%  2/10/19  9,825  10,584 
PepsiAmericas Inc.  5.750%  7/31/12  1,050  1,117 

 

 

PepsiAmericas Inc.  4.375%  2/15/14  100  107 
PepsiAmericas Inc.  4.875%  1/15/15  5,100  5,578 
PepsiAmericas Inc.  5.000%  5/15/17  1,400  1,529 
PepsiCo Inc.  5.150%  5/15/12  300  315 
PepsiCo Inc.  4.650%  2/15/13  2,900  3,091 
PepsiCo Inc.  3.750%  3/1/14  1,150  1,222 
PepsiCo Inc.  5.000%  6/1/18  425  463 
PepsiCo Inc.  7.900%  11/1/18  2,050  2,591 
PepsiCo Inc.  4.500%  1/15/20  2,800  2,905 
PepsiCo Inc.  3.125%  11/1/20  4,200  3,863 
PepsiCo Inc.  7.000%  3/1/29  5,325  6,593 
PepsiCo Inc.  5.500%  1/15/40  5,425  5,555 
PepsiCo Inc.  4.875%  11/1/40  4,275  3,984 
Pfizer Inc.  5.350%  3/15/15  15,275  17,002 
Pfizer Inc.  6.200%  3/15/19  11,850  13,584 
Pfizer Inc.  7.200%  3/15/39  12,000  14,764 
Pharmacia Corp.  6.500%  12/1/18  200  234 
Pharmacia Corp.  6.600%  12/1/28  625  743 
Philip Morris International Inc.  4.875%  5/16/13  6,650  7,132 
Philip Morris International Inc.  6.875%  3/17/14  3,900  4,472 
Philip Morris International Inc.  5.650%  5/16/18  8,700  9,673 
Philip Morris International Inc.  4.500%  3/26/20  575  589 
Philip Morris International Inc.  6.375%  5/16/38  4,100  4,605 
4 Procter & Gamble - Esop  9.360%  1/1/21  2,931  3,735 
Procter & Gamble Co.  4.950%  8/15/14  850  941 
Procter & Gamble Co.  3.500%  2/15/15  4,500  4,720 
Procter & Gamble Co.  1.800%  11/15/15  6,925  6,729 
Procter & Gamble Co.  4.700%  2/15/19  1,775  1,918 
Procter & Gamble Co.  6.450%  1/15/26  2,750  3,182 
Procter & Gamble Co.  5.800%  8/15/34  250  276 
Procter & Gamble Co.  5.550%  3/5/37  2,050  2,202 
Quest Diagnostics Inc.  5.450%  11/1/15  4,000  4,349 
Quest Diagnostics Inc.  6.400%  7/1/17  175  197 
Quest Diagnostics Inc.  6.950%  7/1/37  1,225  1,331 
Reynolds American Inc.  7.250%  6/1/12  1,500  1,599 
Reynolds American Inc.  7.250%  6/1/13  1,575  1,750 
Reynolds American Inc.  7.625%  6/1/16  850  1,006 
Reynolds American Inc.  7.250%  6/15/37  1,225  1,289 
Safeway Inc.  5.800%  8/15/12  975  1,033 
Safeway Inc.  6.250%  3/15/14  5,850  6,424 
Safeway Inc.  6.350%  8/15/17  1,325  1,475 
Safeway Inc.  3.950%  8/15/20  1,350  1,276 
Safeway Inc.  7.250%  2/1/31  1,825  2,014 
Sanofi-Aventis SA  1.625%  3/28/14  1,050  1,046 
Sanofi-Aventis SA  2.625%  3/29/16  3,800  3,750 
Sanofi-Aventis SA  4.000%  3/29/21  1,875  1,842 
Sara Lee Corp.  6.125%  11/1/32  2,175  1,979 
St. Jude Medical Inc.  2.200%  9/15/13  3,025  3,063 
St. Jude Medical Inc.  3.750%  7/15/14  2,875  3,017 
St. Jude Medical Inc.  2.500%  1/15/16  1,475  1,449 
St. Jude Medical Inc.  4.875%  7/15/19  500  523 
Stryker Corp.  3.000%  1/15/15  800  818 
Stryker Corp.  4.375%  1/15/20  700  715 
Sysco Corp.  4.200%  2/12/13  625  659 
Sysco Corp.  5.250%  2/12/18  3,875  4,236 
Sysco Corp.  5.375%  9/21/35  5,148  5,326 
Teva Pharmaceutical Finance Co. LLC  5.550%  2/1/16  3,225  3,570 
Teva Pharmaceutical Finance Co. LLC  6.150%  2/1/36  2,425  2,645 

 

 

Teva Pharmaceutical Finance II BV / Teva         
Pharmaceutical Finance III LLC  3.000%  6/15/15  1,950  1,962 
Teva Pharmaceutical Finance III LLC  1.500%  6/15/12  2,775  2,789 
Thermo Fisher Scientific Inc.  2.150%  12/28/12  875  890 
Thermo Fisher Scientific Inc.  2.050%  2/21/14  2,500  2,524 
Thermo Fisher Scientific Inc.  3.200%  5/1/15  1,725  1,758 
Thermo Fisher Scientific Inc.  4.700%  5/1/20  525  543 
Thermo Fisher Scientific Inc.  4.500%  3/1/21  1,850  1,877 
Unilever Capital Corp.  3.650%  2/15/14  1,525  1,607 
Unilever Capital Corp.  4.800%  2/15/19  700  744 
Unilever Capital Corp.  4.250%  2/10/21  4,575  4,630 
Unilever Capital Corp.  5.900%  11/15/32  900  997 
UST LLC  6.625%  7/15/12  1,500  1,589 
UST LLC  5.750%  3/1/18  1,000  1,064 
Watson Pharmaceuticals Inc.  5.000%  8/15/14  1,250  1,340 
Whirlpool Corp.  5.500%  3/1/13  4,075  4,328 
Whirlpool Corp.  8.600%  5/1/14  900  1,042 
Wyeth  5.500%  3/15/13  2,750  2,982 
Wyeth  5.500%  2/1/14  1,350  1,493 
Wyeth  5.500%  2/15/16  10,000  11,193 
Wyeth  5.450%  4/1/17  2,950  3,305 
Wyeth  6.450%  2/1/24  525  611 
Wyeth  6.500%  2/1/34  1,450  1,663 
Wyeth  6.000%  2/15/36  3,575  3,828 
Wyeth  5.950%  4/1/37  6,950  7,405 
Zimmer Holdings Inc.  4.625%  11/30/19  700  724 
Zimmer Holdings Inc.  5.750%  11/30/39  1,075  1,091 
 
Energy (1.4%)         
Alberta Energy Co. Ltd.  7.375%  11/1/31  425  501 
Anadarko Finance Co.  7.500%  5/1/31  200  220 
Anadarko Petroleum Corp.  7.625%  3/15/14  7,363  8,397 
Anadarko Petroleum Corp.  5.750%  6/15/14  800  875 
Anadarko Petroleum Corp.  5.950%  9/15/16  3,000  3,257 
Anadarko Petroleum Corp.  6.375%  9/15/17  525  577 
Anadarko Petroleum Corp.  6.950%  6/15/19  500  560 
Anadarko Petroleum Corp.  6.450%  9/15/36  9,025  8,963 
Anadarko Petroleum Corp.  7.950%  6/15/39  1,925  2,235 
Anadarko Petroleum Corp.  6.200%  3/15/40  2,450  2,362 
Apache Corp.  6.250%  4/15/12  875  922 
Apache Corp.  5.250%  4/15/13  300  323 
Apache Corp.  6.000%  9/15/13  1,925  2,127 
Apache Corp.  5.625%  1/15/17  250  281 
Apache Corp.  6.900%  9/15/18  3,450  4,121 
Apache Corp.  3.625%  2/1/21  2,275  2,150 
Apache Corp.  6.000%  1/15/37  375  396 
Apache Corp.  5.100%  9/1/40  6,725  6,238 
Apache Corp.  5.250%  2/1/42  3,950  3,744 
Apache Finance Canada Corp.  7.750%  12/15/29  400  495 
Baker Hughes Inc.  7.500%  11/15/18  325  406 
Baker Hughes Inc.  6.875%  1/15/29  300  350 
Baker Hughes Inc.  5.125%  9/15/40  4,410  4,179 
BJ Services Co.  6.000%  6/1/18  850  970 
BP Capital Markets plc  5.250%  11/7/13  5,475  5,914 
BP Capital Markets plc  3.625%  5/8/14  3,650  3,787 
BP Capital Markets plc  3.875%  3/10/15  4,525  4,702 
BP Capital Markets plc  3.125%  10/1/15  6,500  6,529 
BP Capital Markets plc  3.200%  3/11/16  3,725  3,703 

 

 

BP Capital Markets plc  4.750%  3/10/19  5,300  5,488 
BP Capital Markets plc  4.500%  10/1/20  7,295  7,218 
BP Capital Markets plc  4.742%  3/11/21  4,000  4,007 
Burlington Resources Finance Co.  7.200%  8/15/31  300  362 
Burlington Resources Finance Co.  7.400%  12/1/31  1,775  2,177 
Cameron International Corp.  6.375%  7/15/18  225  252 
Cameron International Corp.  7.000%  7/15/38  100  115 
Canadian Natural Resources Ltd.  5.450%  10/1/12  1,175  1,246 
Canadian Natural Resources Ltd.  5.150%  2/1/13  475  506 
Canadian Natural Resources Ltd.  4.900%  12/1/14  4,225  4,574 
Canadian Natural Resources Ltd.  6.000%  8/15/16  1,150  1,293 
Canadian Natural Resources Ltd.  7.200%  1/15/32  1,875  2,201 
Canadian Natural Resources Ltd.  6.450%  6/30/33  2,025  2,189 
Canadian Natural Resources Ltd.  6.500%  2/15/37  5,600  6,230 
Canadian Natural Resources Ltd.  6.250%  3/15/38  3,350  3,590 
Cenovus Energy Inc.  4.500%  9/15/14  1,875  2,008 
Cenovus Energy Inc.  5.700%  10/15/19  7,050  7,792 
Cenovus Energy Inc.  6.750%  11/15/39  6,725  7,515 
Chevron Corp.  3.950%  3/3/14  3,375  3,609 
Chevron Corp.  4.950%  3/3/19  3,750  4,126 
ConocoPhillips  4.750%  2/1/14  5,550  6,020 
ConocoPhillips  4.600%  1/15/15  6,600  7,180 
ConocoPhillips  5.750%  2/1/19  12,975  14,636 
ConocoPhillips  5.900%  10/15/32  725  770 
ConocoPhillips  5.900%  5/15/38  1,040  1,099 
ConocoPhillips Canada Funding Co. I  5.625%  10/15/16  4,525  5,102 
ConocoPhillips Canada Funding Co. I  5.950%  10/15/36  4,825  5,104 
ConocoPhillips Holding Co.  6.950%  4/15/29  2,850  3,382 
Devon Energy Corp.  5.625%  1/15/14  1,475  1,629 
Devon Energy Corp.  7.950%  4/15/32  1,650  2,137 
Devon Financing Corp. ULC  7.875%  9/30/31  5,275  6,746 
Diamond Offshore Drilling Inc.  4.875%  7/1/15  2,275  2,444 
Diamond Offshore Drilling Inc.  5.875%  5/1/19  850  930 
Diamond Offshore Drilling Inc.  5.700%  10/15/39  1,850  1,823 
Encana Corp.  5.900%  12/1/17  2,100  2,348 
Encana Corp.  7.200%  11/1/31  1,800  2,057 
Encana Corp.  6.500%  8/15/34  2,925  3,113 
Encana Corp.  6.625%  8/15/37  4,700  5,070 
Encana Corp.  6.500%  2/1/38  550  585 
EnCana Holdings Finance Corp.  5.800%  5/1/14  4,350  4,801 
Ensco plc  3.250%  3/15/16  2,075  2,059 
Ensco plc  4.700%  3/15/21  5,500  5,440 
EOG Resources Inc.  6.125%  10/1/13  575  637 
EOG Resources Inc.  5.875%  9/15/17  1,900  2,127 
EOG Resources Inc.  5.625%  6/1/19  3,350  3,679 
EOG Resources Inc.  4.400%  6/1/20  325  325 
EOG Resources Inc.  4.100%  2/1/21  4,900  4,731 
Global Marine Inc.  7.000%  6/1/28  5,850  6,177 
Halliburton Co.  6.700%  9/15/38  4,025  4,626 
Halliburton Co.  7.450%  9/15/39  900  1,132 
Hess Corp.  8.125%  2/15/19  3,900  4,874 
Hess Corp.  7.875%  10/1/29  1,450  1,784 
Hess Corp.  7.125%  3/15/33  1,375  1,576 
Hess Corp.  5.600%  2/15/41  7,580  7,206 
Husky Energy Inc.  6.250%  6/15/12  725  767 
Husky Energy Inc.  5.900%  6/15/14  7,025  7,787 
Husky Energy Inc.  6.150%  6/15/19  200  218 
Husky Energy Inc.  7.250%  12/15/19  1,225  1,449 

 

 

Husky Energy Inc.  6.800%  9/15/37  875  958 
Kerr-McGee Corp.  6.950%  7/1/24  3,300  3,635 
Kerr-McGee Corp.  7.875%  9/15/31  875  993 
Lasmo USA Inc.  7.300%  11/15/27  175  197 
Marathon Oil Corp.  6.000%  10/1/17  3,750  4,215 
Marathon Oil Corp.  5.900%  3/15/18  1,228  1,380 
Marathon Oil Corp.  6.600%  10/1/37  4,200  4,576 
5 Marathon Petroleum Corp.  3.500%  3/1/16  1,000  1,002 
5 Marathon Petroleum Corp.  5.125%  3/1/21  2,425  2,441 
5 Marathon Petroleum Corp.  6.500%  3/1/41  1,500  1,509 
Nabors Industries Inc.  6.150%  2/15/18  2,650  2,902 
Nabors Industries Inc.  9.250%  1/15/19  1,375  1,727 
Nabors Industries Inc.  5.000%  9/15/20  2,675  2,642 
Nexen Inc.  5.050%  11/20/13  5,516  6,095 
Nexen Inc.  7.875%  3/15/32  325  375 
Nexen Inc.  5.875%  3/10/35  100  94 
Nexen Inc.  6.400%  5/15/37  2,850  2,830 
Nexen Inc.  7.500%  7/30/39  3,400  3,825 
Noble Energy Inc.  8.250%  3/1/19  3,000  3,764 
Noble Energy Inc.  8.000%  4/1/27  275  324 
Noble Holding International Ltd.  4.900%  8/1/20  900  916 
Noble Holding International Ltd.  4.625%  3/1/21  2,500  2,481 
Noble Holding International Ltd.  6.200%  8/1/40  1,400  1,424 
Noble Holding International Ltd.  6.050%  3/1/41  2,500  2,508 
Occidental Petroleum Corp.  2.500%  2/1/16  8,200  8,088 
Occidental Petroleum Corp.  4.125%  6/1/16  825  870 
Occidental Petroleum Corp.  4.100%  2/1/21  9,350  9,238 
PC Financial Partnership  5.000%  11/15/14  900  971 
Petro-Canada  4.000%  7/15/13  1,325  1,390 
Petro-Canada  6.050%  5/15/18  4,075  4,582 
Petro-Canada  7.875%  6/15/26  500  617 
Petro-Canada  7.000%  11/15/28  475  536 
Petro-Canada  5.350%  7/15/33  1,425  1,326 
Petro-Canada  5.950%  5/15/35  2,900  2,920 
Petro-Canada  6.800%  5/15/38  525  584 
Rowan Cos. Inc.  5.000%  9/1/17  750  776 
Rowan Cos. Inc.  7.875%  8/1/19  875  1,033 
Shell International Finance BV  1.875%  3/25/13  5,550  5,644 
Shell International Finance BV  4.000%  3/21/14  4,210  4,482 
Shell International Finance BV  3.100%  6/28/15  14,300  14,629 
Shell International Finance BV  3.250%  9/22/15  1,400  1,440 
Shell International Finance BV  5.200%  3/22/17  975  1,082 
Shell International Finance BV  4.300%  9/22/19  5,775  5,932 
Shell International Finance BV  4.375%  3/25/20  2,525  2,600 
Shell International Finance BV  6.375%  12/15/38  12,125  13,651 
Shell International Finance BV  5.500%  3/25/40  1,200  1,211 
Statoil ASA  3.875%  4/15/14  1,250  1,326 
Statoil ASA  2.900%  10/15/14  950  980 
Statoil ASA  3.125%  8/17/17  3,500  3,451 
Statoil ASA  5.250%  4/15/19  4,125  4,479 
Statoil ASA  7.250%  9/23/27  1,975  2,418 
5 Statoil ASA  6.500%  12/1/28  225  259 
Statoil ASA  7.150%  1/15/29  1,165  1,407 
Statoil ASA  5.100%  8/17/40  4,000  3,810 
Suncor Energy Inc.  6.100%  6/1/18  50  56 
Suncor Energy Inc.  7.150%  2/1/32  425  476 
Suncor Energy Inc.  5.950%  12/1/34  175  176 
Suncor Energy Inc.  6.500%  6/15/38  11,950  12,820 

 

 

Suncor Energy Inc.  6.850%  6/1/39  8,100  9,083 
Sunoco Inc.  4.875%  10/15/14  500  530 
Sunoco Inc.  9.625%  4/15/15  500  604 
Sunoco Inc.  5.750%  1/15/17  725  770 
Talisman Energy Inc.  5.125%  5/15/15  375  407 
Talisman Energy Inc.  7.750%  6/1/19  3,125  3,807 
Talisman Energy Inc.  3.750%  2/1/21  7,425  6,880 
Talisman Energy Inc.  7.250%  10/15/27  200  235 
Talisman Energy Inc.  5.850%  2/1/37  4,825  4,809 
Tosco Corp.  8.125%  2/15/30  4,950  6,322 
Total Capital Canada Ltd.  1.625%  1/28/14  4,500  4,502 
Total Capital SA  3.000%  6/24/15  5,800  5,910 
Total Capital SA  3.125%  10/2/15  2,000  2,038 
Total Capital SA  2.300%  3/15/16  4,500  4,372 
Total Capital SA  4.450%  6/24/20  2,200  2,238 
Total Capital SA  4.125%  1/28/21  2,425  2,403 
Transocean Inc.  5.250%  3/15/13  1,125  1,193 
Transocean Inc.  4.950%  11/15/15  7,325  7,728 
Transocean Inc.  6.000%  3/15/18  1,875  2,018 
Transocean Inc.  6.500%  11/15/20  3,450  3,789 
Transocean Inc.  7.500%  4/15/31  775  866 
Transocean Inc.  6.800%  3/15/38  4,600  4,819 
Valero Energy Corp.  6.875%  4/15/12  4,375  4,630 
Valero Energy Corp.  4.750%  6/15/13  2,400  2,541 
Valero Energy Corp.  6.125%  6/15/17  2,000  2,200 
Valero Energy Corp.  9.375%  3/15/19  1,575  2,002 
Valero Energy Corp.  7.500%  4/15/32  1,725  1,895 
Valero Energy Corp.  6.625%  6/15/37  9,289  9,334 
Valero Energy Corp.  10.500%  3/15/39  3,000  4,220 
Weatherford International Inc.  5.950%  6/15/12  125  131 
Weatherford International Inc.  6.350%  6/15/17  4,625  5,103 
Weatherford International Inc.  6.800%  6/15/37  525  546 
Weatherford International Ltd.  5.150%  3/15/13  203  214 
Weatherford International Ltd.  5.500%  2/15/16  2,000  2,142 
Weatherford International Ltd.  6.000%  3/15/18  525  569 
Weatherford International Ltd.  9.625%  3/1/19  5,200  6,610 
Weatherford International Ltd.  5.125%  9/15/20  3,125  3,092 
Weatherford International Ltd.  6.500%  8/1/36  2,750  2,734 
Weatherford International Ltd.  7.000%  3/15/38  425  448 
Weatherford International Ltd.  6.750%  9/15/40  2,525  2,599 
Williams Cos. Inc.  7.500%  1/15/31  2,148  2,530 
Williams Cos. Inc.  7.750%  6/15/31  630  745 
Williams Cos. Inc.  8.750%  3/15/32  500  650 
XTO Energy Inc.  5.750%  12/15/13  2,200  2,458 
XTO Energy Inc.  6.250%  8/1/17  6,250  7,391 
XTO Energy Inc.  6.750%  8/1/37  2,775  3,432 
 
Other Industrial (0.0%)         
Cintas Corp. No 2  6.125%  12/1/17  850  968 
Massachusetts Development Finance Agency         
Revenue (Harvard University)  4.875%  10/15/40  2,925  2,805 
 
Technology (0.9%)         
Adobe Systems Inc.  3.250%  2/1/15  1,525  1,557 
Adobe Systems Inc.  4.750%  2/1/20  2,650  2,679 
Agilent Technologies Inc.  4.450%  9/14/12  175  182 
Agilent Technologies Inc.  2.500%  7/15/13  2,387  2,406 
Agilent Technologies Inc.  5.500%  9/14/15  1,300  1,410 

 

 

Agilent Technologies Inc.  6.500%  11/1/17  5,325  5,934 
Amphenol Corp.  4.750%  11/15/14  2,475  2,643 
Analog Devices Inc.  5.000%  7/1/14  1,200  1,303 
Analog Devices Inc.  3.000%  4/15/16  875  870 
Arrow Electronics Inc.  3.375%  11/1/15  1,225  1,207 
Arrow Electronics Inc.  5.125%  3/1/21  515  504 
Avnet Inc.  6.625%  9/15/16  225  246 
BMC Software Inc.  7.250%  6/1/18  825  937 
5 Broadcom Corp.  1.500%  11/1/13  800  787 
CA Inc.  5.375%  12/1/19  2,250  2,318 
Cisco Systems Inc.  1.625%  3/14/14  9,100  9,062 
Cisco Systems Inc.  5.500%  2/22/16  11,783  13,200 
Cisco Systems Inc.  3.150%  3/14/17  5,000  4,964 
Cisco Systems Inc.  4.950%  2/15/19  9,025  9,637 
Cisco Systems Inc.  4.450%  1/15/20  6,175  6,311 
Cisco Systems Inc.  5.900%  2/15/39  5,800  5,989 
Cisco Systems Inc.  5.500%  1/15/40  8,800  8,558 
Computer Sciences Corp.  5.500%  3/15/13  425  453 
Computer Sciences Corp.  6.500%  3/15/18  100  108 
Corning Inc.  6.625%  5/15/19  275  316 
Corning Inc.  7.250%  8/15/36  100  114 
Corning Inc.  5.750%  8/15/40  1,650  1,642 
Dell Inc.  3.375%  6/15/12  475  489 
Dell Inc.  4.700%  4/15/13  2,025  2,158 
Dell Inc.  1.400%  9/10/13  2,700  2,682 
Dell Inc.  2.100%  4/1/14  6,400  6,401 
Dell Inc.  5.650%  4/15/18  1,100  1,208 
Dell Inc.  5.875%  6/15/19  1,250  1,372 
Dell Inc.  4.625%  4/1/21  625  615 
Dell Inc.  6.500%  4/15/38  1,200  1,277 
Dell Inc.  5.400%  9/10/40  425  391 
Dun & Bradstreet Corp.  6.000%  4/1/13  1,275  1,375 
Dun & Bradstreet Corp.  2.875%  11/15/15  350  342 
Equifax Inc.  4.450%  12/1/14  775  817 
Equifax Inc.  6.300%  7/1/17  425  460 
Fiserv Inc.  6.125%  11/20/12  2,616  2,809 
Fiserv Inc.  3.125%  10/1/15  1,000  993 
Fiserv Inc.  6.800%  11/20/17  2,150  2,395 
Harris Corp.  5.000%  10/1/15  2,500  2,632 
Harris Corp.  6.375%  6/15/19  250  284 
Harris Corp.  6.150%  12/15/40  750  773 
Hewlett-Packard Co.  6.500%  7/1/12  425  454 
Hewlett-Packard Co.  4.500%  3/1/13  7,175  7,616 
Hewlett-Packard Co.  1.250%  9/13/13  5,200  5,170 
Hewlett-Packard Co.  6.125%  3/1/14  10,125  11,324 
Hewlett-Packard Co.  4.750%  6/2/14  725  787 
Hewlett-Packard Co.  2.125%  9/13/15  3,100  3,033 
Hewlett-Packard Co.  2.200%  12/1/15  1,625  1,588 
Hewlett-Packard Co.  5.400%  3/1/17  975  1,082 
Hewlett-Packard Co.  5.500%  3/1/18  7,325  8,137 
Hewlett-Packard Co.  3.750%  12/1/20  5,250  5,028 
HP Enterprise Services LLC  6.000%  8/1/13  1,775  1,953 
IBM International Group Capital LLC  5.050%  10/22/12  5,175  5,503 
International Business Machines Corp.  2.100%  5/6/13  850  866 
International Business Machines Corp.  7.500%  6/15/13  1,200  1,357 
International Business Machines Corp.  1.000%  8/5/13  7,600  7,540 
International Business Machines Corp.  6.500%  10/15/13  2,875  3,233 
International Business Machines Corp.  2.000%  1/5/16  5,425  5,258 

 

 

International Business Machines Corp.  5.700%  9/14/17  19,200  21,708 
International Business Machines Corp.  7.625%  10/15/18  2,400  2,998 
International Business Machines Corp.  7.000%  10/30/25  350  430 
International Business Machines Corp.  6.220%  8/1/27  1,975  2,269 
International Business Machines Corp.  6.500%  1/15/28  100  118 
International Business Machines Corp.  5.875%  11/29/32  225  247 
International Business Machines Corp.  5.600%  11/30/39  6,610  6,885 
Intuit Inc.  5.750%  3/15/17  575  629 
Juniper Networks Inc.  3.100%  3/15/16  1,000  997 
Juniper Networks Inc.  4.600%  3/15/21  460  456 
Juniper Networks Inc.  5.950%  3/15/41  1,000  984 
KLA-Tencor Corp.  6.900%  5/1/18  1,350  1,487 
Lexmark International Inc.  5.900%  6/1/13  925  985 
Lexmark International Inc.  6.650%  6/1/18  1,700  1,836 
Maxim Integrated Products Inc.  3.450%  6/14/13  700  722 
Microsoft Corp.  0.875%  9/27/13  2,960  2,934 
Microsoft Corp.  2.950%  6/1/14  2,550  2,642 
Microsoft Corp.  1.625%  9/25/15  2,800  2,712 
Microsoft Corp.  4.200%  6/1/19  375  388 
Microsoft Corp.  3.000%  10/1/20  4,750  4,407 
Microsoft Corp.  4.000%  2/8/21  950  949 
Microsoft Corp.  5.200%  6/1/39  3,975  3,949 
Microsoft Corp.  4.500%  10/1/40  2,810  2,501 
Microsoft Corp.  5.300%  2/8/41  2,500  2,513 
Motorola Solutions Inc.  5.375%  11/15/12  1,650  1,740 
Motorola Solutions Inc.  6.000%  11/15/17  7,825  8,516 
Motorola Solutions Inc.  6.500%  9/1/25  34  35 
Motorola Solutions Inc.  6.500%  11/15/28  22  22 
Motorola Solutions Inc.  6.625%  11/15/37  83  88 
Nokia Oyj  5.375%  5/15/19  6,600  6,711 
Nokia Oyj  6.625%  5/15/39  2,250  2,264 
Oracle Corp.  4.950%  4/15/13  3,625  3,896 
Oracle Corp.  3.750%  7/8/14  3,050  3,235 
Oracle Corp.  5.250%  1/15/16  10,250  11,374 
Oracle Corp.  5.750%  4/15/18  4,475  5,006 
Oracle Corp.  5.000%  7/8/19  5,500  5,868 
5 Oracle Corp.  3.875%  7/15/20  1,625  1,591 
Oracle Corp.  6.500%  4/15/38  7,900  8,807 
Oracle Corp.  6.125%  7/8/39  2,725  2,920 
5 Oracle Corp.  5.375%  7/15/40  8,655  8,406 
Pitney Bowes Inc.  3.875%  6/15/13  1,325  1,374 
Pitney Bowes Inc.  4.875%  8/15/14  100  105 
Pitney Bowes Inc.  4.750%  1/15/16  4,475  4,645 
Pitney Bowes Inc.  5.750%  9/15/17  950  1,018 
Pitney Bowes Inc.  4.750%  5/15/18  100  100 
Pitney Bowes Inc.  5.250%  1/15/37  1,975  2,019 
5 SAIC Inc.  4.450%  12/1/20  1,400  1,401 
5 SAIC Inc.  5.950%  12/1/40  800  823 
Science Applications International Corp.  6.250%  7/1/12  375  397 
Science Applications International Corp.  5.500%  7/1/33  475  465 
Symantec Corp.  2.750%  9/15/15  2,300  2,235 
Symantec Corp.  4.200%  9/15/20  800  750 
Tyco Electronics Group SA  4.875%  1/15/21  4,500  4,590 
Tyco Electronics Group SA  7.125%  10/1/37  4,575  5,270 
Xerox Corp.  5.500%  5/15/12  1,125  1,178 
Xerox Corp.  8.250%  5/15/14  7,550  8,820 
Xerox Corp.  4.250%  2/15/15  3,575  3,754 
Xerox Corp.  6.400%  3/15/16  1,525  1,719 

 

 

Xerox Corp.  6.750%  2/1/17  1,100  1,259 
Xerox Corp.  6.350%  5/15/18  2,950  3,323 
Xerox Corp.  5.625%  12/15/19  5,265  5,648 
Xerox Corp.  6.750%  12/15/39  500  566 
 
Transportation (0.4%)         
4 American Airlines 2011-1 Class A Pass         
Through Trust  5.250%  1/31/21  450  439 
4 American Airlines Pass Through Trust 2009-         
1A  10.375%  7/2/19  1,592  1,874 
Burlington Northern Santa Fe LLC  5.900%  7/1/12  750  795 
Burlington Northern Santa Fe LLC  5.650%  5/1/17  1,025  1,141 
Burlington Northern Santa Fe LLC  5.750%  3/15/18  850  949 
Burlington Northern Santa Fe LLC  3.600%  9/1/20  750  710 
Burlington Northern Santa Fe LLC  7.000%  12/15/25  1,700  2,051 
Burlington Northern Santa Fe LLC  6.200%  8/15/36  1,300  1,387 
Burlington Northern Santa Fe LLC  5.750%  5/1/40  3,850  3,891 
Burlington Northern Santa Fe LLC  5.050%  3/1/41  1,800  1,644 
Canadian National Railway Co.  4.400%  3/15/13  875  926 
Canadian National Railway Co.  4.950%  1/15/14  125  136 
Canadian National Railway Co.  5.800%  6/1/16  200  226 
Canadian National Railway Co.  5.850%  11/15/17  350  393 
Canadian National Railway Co.  5.550%  3/1/19  5,000  5,568 
Canadian National Railway Co.  6.900%  7/15/28  100  120 
Canadian National Railway Co.  6.250%  8/1/34  575  641 
Canadian National Railway Co.  6.200%  6/1/36  1,375  1,520 
Canadian Pacific Railway Co.  4.450%  3/15/23  2,375  2,296 
Canadian Pacific Railway Co.  7.125%  10/15/31  200  224 
Canadian Pacific Railway Co.  5.950%  5/15/37  325  333 
Con-way Inc.  6.700%  5/1/34  2,475  2,270 
4 Continental Airlines 1997-4 Class A Pass         
Through Trust  6.900%  1/2/18  838  880 
4 Continental Airlines 1998-1 Class A Pass         
Through Trust  6.648%  9/15/17  2,194  2,288 
4 Continental Airlines 2007-1 Class A Pass         
Through Trust  5.983%  4/19/22  314  323 
4 Continental Airlines 2009-2 Class A Pass         
Through Trust  7.250%  11/10/19  1,167  1,269 
4 Continental Airlines 2010-1 Class A Pass         
Through Trust  4.750%  1/12/21  5,000  4,863 
CSX Corp.  5.500%  8/1/13  1,900  2,054 
CSX Corp.  6.250%  4/1/15  1,325  1,499 
CSX Corp.  5.600%  5/1/17  450  494 
CSX Corp.  7.900%  5/1/17  886  1,075 
CSX Corp.  6.250%  3/15/18  4,875  5,538 
CSX Corp.  7.375%  2/1/19  6,550  7,866 
CSX Corp.  3.700%  10/30/20  8,470  7,967 
CSX Corp.  6.000%  10/1/36  1,675  1,748 
CSX Corp.  6.150%  5/1/37  900  951 
CSX Corp.  6.220%  4/30/40  1,864  1,980 
4 Delta Air Lines 2007-1 Class A Pass Through         
Trust  6.821%  8/10/22  3,063  3,193 
4 Delta Air Lines 2009-1 Class A Pass Through         
Trust  7.750%  12/17/19  5,369  5,893 
4 Delta Air Lines 2010-2 Class A Pass Through         
Trust  4.950%  5/23/19  1,800  1,802 
JB Hunt Transport Services Inc.  3.375%  9/15/15  3,800  3,746 
Norfolk Southern Corp.  5.257%  9/17/14  1,845  2,026 

 

 

Norfolk Southern Corp.  5.750%  1/15/16  2,825  3,156 
Norfolk Southern Corp.  7.700%  5/15/17  1,525  1,861 
Norfolk Southern Corp.  5.750%  4/1/18  875  981 
Norfolk Southern Corp.  5.900%  6/15/19  2,175  2,461 
Norfolk Southern Corp.  5.590%  5/17/25  100  106 
Norfolk Southern Corp.  7.800%  5/15/27  1,280  1,612 
Norfolk Southern Corp.  5.640%  5/17/29  525  551 
Norfolk Southern Corp.  7.050%  5/1/37  3,075  3,694 
Norfolk Southern Corp.  7.900%  5/15/97  600  755 
Norfolk Southern Railway Co.  9.750%  6/15/20  775  1,062 
Ryder System Inc.  5.850%  3/1/14  600  656 
Ryder System Inc.  3.150%  3/2/15  2,150  2,154 
Ryder System Inc.  7.200%  9/1/15  1,250  1,442 
Ryder System Inc.  3.600%  3/1/16  2,060  2,072 
Ryder System Inc.  5.850%  11/1/16  6,075  6,672 
Southwest Airlines Co.  5.250%  10/1/14  100  107 
Southwest Airlines Co.  5.750%  12/15/16  1,125  1,213 
Southwest Airlines Co.  5.125%  3/1/17  250  259 
4 Southwest Airlines Co. 2007-1 Pass Through         
Trust  6.150%  8/1/22  790  865 
4 UAL 2009-2A Pass Through Trust  9.750%  1/15/17  508  576 
Union Pacific Corp.  6.500%  4/15/12  350  370 
Union Pacific Corp.  5.450%  1/31/13  1,325  1,423 
Union Pacific Corp.  5.375%  5/1/14  425  464 
Union Pacific Corp.  7.000%  2/1/16  100  117 
Union Pacific Corp.  5.650%  5/1/17  1,150  1,283 
Union Pacific Corp.  5.750%  11/15/17  2,175  2,438 
Union Pacific Corp.  5.700%  8/15/18  2,650  2,962 
Union Pacific Corp.  6.125%  2/15/20  350  401 
Union Pacific Corp.  4.000%  2/1/21  4,325  4,246 
Union Pacific Corp.  6.625%  2/1/29  400  460 
Union Pacific Corp.  5.780%  7/15/40  4,850  4,978 
4 Union Pacific Railroad Co. 2007-3 Pass         
Through Trust  6.176%  1/2/31  434  493 
United Parcel Service Inc.  3.875%  4/1/14  3,550  3,790 
United Parcel Service Inc.  5.500%  1/15/18  2,200  2,464 
United Parcel Service Inc.  5.125%  4/1/19  1,875  2,076 
United Parcel Service Inc.  3.125%  1/15/21  9,015  8,341 
United Parcel Service Inc.  6.200%  1/15/38  2,150  2,403 
        4,402,825 
Utilities (2.2%)         
Electric (1.5%)         
AEP Texas Central Co.  6.650%  2/15/33  800  872 
Alabama Power Co.  4.850%  12/15/12  4,975  5,288 
Alabama Power Co.  5.500%  10/15/17  1,325  1,481 
Alabama Power Co.  6.125%  5/15/38  1,000  1,091 
Alabama Power Co.  5.500%  3/15/41  400  403 
Ameren Energy Generating Co.  7.000%  4/15/18  4,000  4,079 
Ameren Energy Generating Co.  7.950%  6/1/32  3,250  3,160 
Ameren Illinois Co.  6.125%  11/15/17  550  607 
Ameren Illinois Co.  6.250%  4/1/18  1,275  1,396 
American Water Capital Corp.  6.085%  10/15/17  2,425  2,715 
American Water Capital Corp.  6.593%  10/15/37  1,875  1,977 
Appalachian Power Co.  3.400%  5/24/15  1,300  1,317 
Appalachian Power Co.  4.600%  3/30/21  6,500  6,388 
Appalachian Power Co.  5.800%  10/1/35  250  249 
Appalachian Power Co.  6.375%  4/1/36  1,525  1,581 

 

 

Appalachian Power Co.  7.000%  4/1/38  1,550  1,780 
Arizona Public Service Co.  5.800%  6/30/14  100  110 
Arizona Public Service Co.  4.650%  5/15/15  400  419 
Arizona Public Service Co.  5.500%  9/1/35  100  96 
Atlantic City Electric Co.  7.750%  11/15/18  2,700  3,284 
Baltimore Gas & Electric Co.  5.900%  10/1/16  100  112 
Baltimore Gas & Electric Co.  6.350%  10/1/36  200  217 
Carolina Power & Light Co.  6.500%  7/15/12  1,175  1,255 
Carolina Power & Light Co.  5.125%  9/15/13  1,825  1,978 
CenterPoint Energy Houston Electric LLC  5.700%  3/15/13  4,275  4,609 
CenterPoint Energy Houston Electric LLC  5.750%  1/15/14  100  109 
CenterPoint Energy Houston Electric LLC  7.000%  3/1/14  1,350  1,530 
CenterPoint Energy Houston Electric LLC  6.950%  3/15/33  100  117 
CenterPoint Energy Inc.  6.500%  5/1/18  150  168 
Cleco Power LLC  6.000%  12/1/40  1,600  1,526 
Cleveland Electric Illuminating Co.  5.700%  4/1/17  4,203  4,469 
Cleveland Electric Illuminating Co.  7.880%  11/1/17  425  508 
Cleveland Electric Illuminating Co.  5.500%  8/15/24  1,125  1,155 
Columbus Southern Power Co.  5.850%  10/1/35  1,750  1,790 
Commonwealth Edison Co.  1.625%  1/15/14  1,200  1,191 
Commonwealth Edison Co.  5.950%  8/15/16  2,975  3,370 
Commonwealth Edison Co.  6.150%  9/15/17  15,207  16,981 
Commonwealth Edison Co.  5.800%  3/15/18  1,075  1,187 
7 Commonwealth Edison Co.  5.875%  2/1/33  100  100 
Commonwealth Edison Co.  5.900%  3/15/36  875  894 
Commonwealth Edison Co.  6.450%  1/15/38  850  938 
Connecticut Light & Power Co.  6.350%  6/1/36  2,225  2,466 
Consolidated Edison Co. of New York Inc.  4.875%  2/1/13  950  1,008 
Consolidated Edison Co. of New York Inc.  5.375%  12/15/15  3,213  3,585 
Consolidated Edison Co. of New York Inc.  5.500%  9/15/16  2,225  2,493 
Consolidated Edison Co. of New York Inc.  6.650%  4/1/19  5,000  5,892 
Consolidated Edison Co. of New York Inc.  5.300%  3/1/35  550  543 
Consolidated Edison Co. of New York Inc.  5.850%  3/15/36  700  735 
Consolidated Edison Co. of New York Inc.  6.200%  6/15/36  1,878  2,060 
Consolidated Edison Co. of New York Inc.  6.300%  8/15/37  2,000  2,259 
Consolidated Edison Co. of New York Inc.  6.750%  4/1/38  625  734 
Consolidated Edison Co. of New York Inc.  5.700%  6/15/40  5,460  5,686 
Consolidated Natural Gas Co.  5.000%  12/1/14  4,660  5,093 
Constellation Energy Group Inc.  4.550%  6/15/15  4,750  4,929 
Constellation Energy Group Inc.  7.600%  4/1/32  700  791 
Consumers Energy Co.  5.375%  4/15/13  1,250  1,346 
Consumers Energy Co.  5.500%  8/15/16  800  891 
Consumers Energy Co.  6.125%  3/15/19  125  142 
Consumers Energy Co.  6.700%  9/15/19  1,225  1,439 
Consumers Energy Co.  5.650%  4/15/20  200  221 
Detroit Edison Co.  3.450%  10/1/20  800  757 
Detroit Edison Co.  5.700%  10/1/37  425  439 
Dominion Resources Inc.  6.250%  6/30/12  725  769 
Dominion Resources Inc.  5.700%  9/17/12  300  320 
Dominion Resources Inc.  5.150%  7/15/15  5,600  6,103 
Dominion Resources Inc.  2.250%  9/1/15  2,782  2,701 
Dominion Resources Inc.  6.000%  11/30/17  1,750  1,957 
Dominion Resources Inc.  6.400%  6/15/18  300  342 
Dominion Resources Inc.  5.200%  8/15/19  300  318 
Dominion Resources Inc.  6.300%  3/15/33  350  370 
Dominion Resources Inc.  5.250%  8/1/33  825  886 
Dominion Resources Inc.  5.950%  6/15/35  2,375  2,444 
4 Dominion Resources Inc.  7.500%  6/30/66  950  994 

 

 

DTE Energy Co.  6.375%  4/15/33  100  106 
Duke Energy Carolinas LLC  5.750%  11/15/13  100  111 
Duke Energy Carolinas LLC  5.100%  4/15/18  2,000  2,185 
Duke Energy Carolinas LLC  4.300%  6/15/20  2,500  2,534 
Duke Energy Carolinas LLC  6.000%  12/1/28  2,994  3,177 
Duke Energy Carolinas LLC  6.450%  10/15/32  825  924 
Duke Energy Carolinas LLC  6.100%  6/1/37  2,625  2,794 
Duke Energy Carolinas LLC  6.000%  1/15/38  200  216 
Duke Energy Carolinas LLC  6.050%  4/15/38  775  844 
Duke Energy Corp.  3.950%  9/15/14  4,350  4,571 
Duke Energy Corp.  3.350%  4/1/15  4,650  4,742 
Duke Energy Corp.  5.050%  9/15/19  3,775  3,917 
Duke Energy Indiana Inc.  5.000%  9/15/13  275  297 
Duke Energy Indiana Inc.  6.050%  6/15/16  100  112 
Duke Energy Indiana Inc.  3.750%  7/15/20  2,500  2,411 
Duke Energy Indiana Inc.  6.120%  10/15/35  325  341 
Duke Energy Indiana Inc.  6.350%  8/15/38  2,675  2,968 
Duke Energy Ohio Inc.  5.700%  9/15/12  1,175  1,251 
Duke Energy Ohio Inc.  2.100%  6/15/13  675  686 
El Paso Electric Co.  6.000%  5/15/35  600  611 
Empresa Nacional de Electricidad SA  8.350%  8/1/13  625  698 
Entergy Arkansas Inc.  3.750%  2/15/21  3,350  3,119 
Entergy Gulf States Louisiana LLC  3.950%  10/1/20  675  641 
Entergy Louisiana LLC  6.500%  9/1/18  425  483 
Entergy Louisiana LLC  5.400%  11/1/24  450  475 
Exelon Corp.  4.900%  6/15/15  1,400  1,466 
Exelon Corp.  5.625%  6/15/35  200  186 
Exelon Generation Co. LLC  4.000%  10/1/20  11,800  10,801 
Exelon Generation Co. LLC  6.250%  10/1/39  1,550  1,525 
Exelon Generation Co. LLC  5.750%  10/1/41  1,575  1,437 
FirstEnergy Corp.  7.375%  11/15/31  7,830  8,447 
FirstEnergy Solutions Corp.  4.800%  2/15/15  3,500  3,675 
FirstEnergy Solutions Corp.  6.800%  8/15/39  2,000  1,981 
Florida Power & Light Co.  4.850%  2/1/13  625  664 
Florida Power & Light Co.  5.550%  11/1/17  2,675  3,017 
Florida Power & Light Co.  5.950%  10/1/33  225  240 
Florida Power & Light Co.  5.625%  4/1/34  1,400  1,437 
Florida Power & Light Co.  4.950%  6/1/35  250  236 
Florida Power & Light Co.  5.400%  9/1/35  425  424 
Florida Power & Light Co.  6.200%  6/1/36  1,050  1,152 
Florida Power & Light Co.  5.650%  2/1/37  725  747 
Florida Power & Light Co.  5.850%  5/1/37  675  719 
Florida Power & Light Co.  5.950%  2/1/38  3,100  3,361 
Florida Power & Light Co.  5.960%  4/1/39  6,100  6,576 
Florida Power & Light Co.  5.690%  3/1/40  425  443 
Florida Power & Light Co.  5.250%  2/1/41  500  491 
Florida Power Corp.  4.800%  3/1/13  3,075  3,263 
Florida Power Corp.  5.650%  6/15/18  1,175  1,308 
Florida Power Corp.  6.350%  9/15/37  1,375  1,542 
Florida Power Corp.  6.400%  6/15/38  11,900  13,283 
Florida Power Corp.  5.650%  4/1/40  3,500  3,542 
Georgia Power Co.  5.700%  6/1/17  2,525  2,836 
Georgia Power Co.  5.650%  3/1/37  100  103 
Georgia Power Co.  5.400%  6/1/40  1,900  1,871 
Great Plains Energy Inc.  2.750%  8/15/13  1,475  1,487 
Iberdrola International BV  6.750%  6/15/12  1,700  1,793 
Iberdrola International BV  6.750%  7/15/36  4,285  4,496 
Indiana Michigan Power Co.  7.000%  3/15/19  550  644 

 

 

Indiana Michigan Power Co.  6.050%  3/15/37  2,850  2,943 
4 Integrys Energy Group Inc.  6.110%  12/1/66  1,600  1,566 
Interstate Power & Light Co.  6.250%  7/15/39  925  1,008 
Jersey Central Power & Light Co.  5.625%  5/1/16  2,525  2,786 
Jersey Central Power & Light Co.  5.650%  6/1/17  775  846 
Kansas City Power & Light Co.  6.050%  11/15/35  525  527 
4 Kansas Gas & Electric  5.647%  3/29/21  89  95 
5 Kentucky Utilities Co.  1.625%  11/1/15  1,125  1,073 
5 Kentucky Utilities Co.  3.250%  11/1/20  1,250  1,156 
5 Kentucky Utilities Co.  5.125%  11/1/40  5,725  5,481 
5 LG&E and KU Energy LLC  2.125%  11/15/15  1,350  1,280 
5 LG&E and KU Energy LLC  3.750%  11/15/20  1,600  1,471 
5 Louisville Gas & Electric Co.  1.625%  11/15/15  4,875  4,661 
5 Louisville Gas & Electric Co.  5.125%  11/15/40  825  795 
Metropolitan Edison Co.  7.700%  1/15/19  1,348  1,594 
MidAmerican Energy Co.  5.650%  7/15/12  925  976 
MidAmerican Energy Co.  5.125%  1/15/13  1,700  1,812 
MidAmerican Energy Co.  5.950%  7/15/17  900  1,018 
MidAmerican Energy Co.  5.300%  3/15/18  100  110 
MidAmerican Energy Co.  6.750%  12/30/31  4,150  4,823 
MidAmerican Energy Co.  5.750%  11/1/35  1,575  1,637 
Midamerican Energy Holdings Co.  5.875%  10/1/12  2,075  2,213 
Midamerican Energy Holdings Co.  5.000%  2/15/14  425  453 
Midamerican Energy Holdings Co.  5.750%  4/1/18  1,275  1,420 
Midamerican Energy Holdings Co.  8.480%  9/15/28  100  128 
Midamerican Energy Holdings Co.  6.125%  4/1/36  9,725  10,305 
Midamerican Energy Holdings Co.  5.950%  5/15/37  4,369  4,501 
Midamerican Energy Holdings Co.  6.500%  9/15/37  7,700  8,496 
National Rural Utilities Cooperative Finance         
Corp.  2.625%  9/16/12  100  102 
National Rural Utilities Cooperative Finance         
Corp.  5.500%  7/1/13  1,725  1,879 
National Rural Utilities Cooperative Finance         
Corp.  4.750%  3/1/14  3,375  3,645 
National Rural Utilities Cooperative Finance         
Corp.  3.050%  3/1/16  2,950  2,970 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  4/10/17  175  193 
National Rural Utilities Cooperative Finance         
Corp.  5.450%  2/1/18  1,525  1,673 
National Rural Utilities Cooperative Finance         
Corp.  10.375%  11/1/18  3,500  4,775 
National Rural Utilities Cooperative Finance         
Corp.  8.000%  3/1/32  975  1,250 
Nevada Power Co.  7.125%  3/15/19  4,150  4,883 
Nevada Power Co.  6.750%  7/1/37  325  373 
Nevada Power Co.  5.375%  9/15/40  400  383 
NextEra Energy Capital Holdings Inc.  5.350%  6/15/13  3,725  3,974 
NextEra Energy Capital Holdings Inc.  2.550%  11/15/13  2,375  2,415 
NextEra Energy Capital Holdings Inc.  2.600%  9/1/15  350  345 
NextEra Energy Capital Holdings Inc.  7.875%  12/15/15  2,000  2,365 
NextEra Energy Capital Holdings Inc.  6.000%  3/1/19  2,313  2,537 
4 NextEra Energy Capital Holdings Inc.  6.350%  10/1/66  2,075  2,054 
4 NextEra Energy Capital Holdings Inc.  6.650%  6/15/67  1,503  1,507 
5 Niagara Mohawk Power Corp.  4.881%  8/15/19  2,600  2,726 
Northern States Power Co.  1.950%  8/15/15  425  416 
Northern States Power Co.  5.250%  3/1/18  625  681 
Northern States Power Co.  5.250%  7/15/35  100  100 

 

 

Northern States Power Co.  6.250%  6/1/36  525  594 
Northern States Power Co.  6.200%  7/1/37  1,475  1,656 
Northern States Power Co.  5.350%  11/1/39  1,325  1,338 
NSTAR  4.500%  11/15/19  7,777  7,945 
NSTAR Electric Co.  4.875%  4/15/14  625  674 
NSTAR Electric Co.  5.625%  11/15/17  2,060  2,319 
NSTAR Electric Co.  5.500%  3/15/40  1,250  1,256 
Oglethorpe Power Corp.  5.950%  11/1/39  825  843 
Oglethorpe Power Corp.  5.375%  11/1/40  1,800  1,706 
Ohio Edison Co.  6.400%  7/15/16  1,275  1,427 
Ohio Power Co.  5.750%  9/1/13  2,025  2,197 
Ohio Power Co.  6.000%  6/1/16  1,050  1,178 
Ohio Power Co.  5.375%  10/1/21  3,000  3,177 
Oklahoma Gas & Electric Co.  5.850%  6/1/40  1,200  1,228 
Oncor Electric Delivery Co. LLC  5.950%  9/1/13  4,800  5,231 
Oncor Electric Delivery Co. LLC  6.375%  1/15/15  2,150  2,409 
Oncor Electric Delivery Co. LLC  6.800%  9/1/18  2,700  3,075 
Oncor Electric Delivery Co. LLC  7.000%  9/1/22  2,900  3,353 
Oncor Electric Delivery Co. LLC  7.000%  5/1/32  1,000  1,131 
Oncor Electric Delivery Co. LLC  7.250%  1/15/33  150  175 
Oncor Electric Delivery Co. LLC  7.500%  9/1/38  1,800  2,151 
Pacific Gas & Electric Co.  4.800%  3/1/14  4,375  4,712 
Pacific Gas & Electric Co.  5.625%  11/30/17  3,125  3,458 
Pacific Gas & Electric Co.  8.250%  10/15/18  4,750  6,062 
Pacific Gas & Electric Co.  6.050%  3/1/34  7,575  7,906 
Pacific Gas & Electric Co.  5.800%  3/1/37  2,695  2,722 
Pacific Gas & Electric Co.  6.350%  2/15/38  4,000  4,323 
Pacific Gas & Electric Co.  6.250%  3/1/39  1,325  1,406 
PacifiCorp  7.700%  11/15/31  1,185  1,503 
PacifiCorp  5.250%  6/15/35  125  121 
PacifiCorp  6.250%  10/15/37  4,875  5,415 
Peco Energy Co.  5.350%  3/1/18  575  630 
Pennsylvania Electric Co.  6.050%  9/1/17  750  814 
Pennsylvania Electric Co.  5.200%  4/1/20  2,250  2,312 
Pennsylvania Electric Co.  6.150%  10/1/38  2,250  2,237 
Potomac Electric Power Co.  6.500%  11/15/37  1,800  2,073 
PPL Electric Utilities Corp.  6.250%  5/15/39  275  302 
PPL Energy Supply LLC  6.300%  7/15/13  1,000  1,088 
PPL Energy Supply LLC  5.400%  8/15/14  200  213 
PPL Energy Supply LLC  6.200%  5/15/16  674  740 
PPL Energy Supply LLC  6.500%  5/1/18  525  586 
Progress Energy Inc.  6.850%  4/15/12  525  556 
Progress Energy Inc.  6.050%  3/15/14  625  692 
Progress Energy Inc.  4.875%  12/1/19  4,000  4,133 
Progress Energy Inc.  7.750%  3/1/31  625  774 
Progress Energy Inc.  6.000%  12/1/39  3,450  3,538 
PSEG Power LLC  6.950%  6/1/12  3,075  3,267 
PSEG Power LLC  2.500%  4/15/13  2,100  2,131 
PSEG Power LLC  5.000%  4/1/14  2,425  2,584 
PSEG Power LLC  5.500%  12/1/15  3,125  3,389 
PSEG Power LLC  5.125%  4/15/20  540  548 
PSEG Power LLC  8.625%  4/15/31  975  1,228 
Public Service Co. of Colorado  7.875%  10/1/12  3,150  3,462 
Public Service Co. of Colorado  5.500%  4/1/14  175  193 
Public Service Co. of Colorado  5.800%  8/1/18  425  480 
Public Service Co. of Colorado  5.125%  6/1/19  3,925  4,238 
Public Service Co. of Colorado  3.200%  11/15/20  5,900  5,469 
Public Service Co. of Colorado  6.250%  9/1/37  475  539 

 

 

Public Service Co. of Oklahoma  5.150%  12/1/19  650  685 
Public Service Co. of Oklahoma  6.625%  11/15/37  1,550  1,712 
Public Service Electric & Gas Co.  3.500%  8/15/20  625  593 
Public Service Electric & Gas Co.  5.800%  5/1/37  3,275  3,445 
Public Service Electric & Gas Co.  5.500%  3/1/40  2,725  2,735 
Puget Sound Energy Inc.  5.483%  6/1/35  1,350  1,319 
Puget Sound Energy Inc.  6.274%  3/15/37  1,525  1,640 
Puget Sound Energy Inc.  5.757%  10/1/39  1,400  1,420 
Puget Sound Energy Inc.  5.795%  3/15/40  660  673 
Puget Sound Energy Inc.  5.764%  7/15/40  600  609 
Puget Sound Energy Inc.  5.638%  4/15/41  1,500  1,483 
San Diego Gas & Electric Co.  5.300%  11/15/15  650  725 
San Diego Gas & Electric Co.  5.350%  5/15/35  250  252 
SCANA Corp.  6.250%  4/1/20  4,455  4,899 
Sierra Pacific Power Co.  6.000%  5/15/16  4,050  4,538 
Sierra Pacific Power Co.  6.750%  7/1/37  1,450  1,661 
South Carolina Electric & Gas Co.  6.500%  11/1/18  2,275  2,665 
South Carolina Electric & Gas Co.  6.625%  2/1/32  625  715 
South Carolina Electric & Gas Co.  6.050%  1/15/38  1,550  1,672 
Southern California Edison Co.  5.000%  1/15/14  2,725  2,953 
Southern California Edison Co.  5.750%  3/15/14  700  775 
Southern California Edison Co.  4.650%  4/1/15  425  459 
Southern California Edison Co.  5.000%  1/15/16  1,025  1,117 
Southern California Edison Co.  5.500%  8/15/18  500  560 
Southern California Edison Co.  6.650%  4/1/29  150  169 
Southern California Edison Co.  6.000%  1/15/34  1,000  1,075 
Southern California Edison Co.  5.750%  4/1/35  325  339 
Southern California Edison Co.  5.350%  7/15/35  1,275  1,262 
Southern California Edison Co.  5.550%  1/15/36  500  508 
Southern California Edison Co.  5.625%  2/1/36  1,875  1,926 
Southern California Edison Co.  5.550%  1/15/37  2,400  2,441 
Southern California Edison Co.  5.950%  2/1/38  2,800  3,015 
Southern California Edison Co.  4.500%  9/1/40  3,000  2,610 
Southern Co.  2.375%  9/15/15  2,850  2,792 
Southern Power Co.  6.250%  7/15/12  1,050  1,111 
Southern Power Co.  4.875%  7/15/15  2,125  2,276 
Southwestern Electric Power Co.  5.550%  1/15/17  100  106 
Southwestern Electric Power Co.  6.450%  1/15/19  950  1,059 
Tampa Electric Co.  6.100%  5/15/18  475  532 
Tampa Electric Co.  6.550%  5/15/36  1,075  1,208 
Tampa Electric Co.  6.150%  5/15/37  2,000  2,177 
Teco Finance Inc.  4.000%  3/15/16  1,100  1,115 
Teco Finance Inc.  5.150%  3/15/20  6,000  6,263 
Toledo Edison Co.  6.150%  5/15/37  275  284 
TransAlta Corp.  4.750%  1/15/15  400  423 
TransAlta Corp.  6.650%  5/15/18  425  474 
UIL Holdings Corp.  4.625%  10/1/20  1,000  949 
Union Electric Co.  8.450%  3/15/39  2,500  3,422 
United Utilities plc  5.375%  2/1/19  4,400  4,472 
Virginia Electric and Power Co.  5.100%  11/30/12  375  398 
Virginia Electric and Power Co.  5.400%  1/15/16  5,250  5,818 
Virginia Electric and Power Co.  3.450%  9/1/22  8,000  7,318 
Virginia Electric and Power Co.  6.000%  1/15/36  1,575  1,691 
Virginia Electric and Power Co.  6.000%  5/15/37  4,225  4,543 
Virginia Electric and Power Co.  6.350%  11/30/37  3,450  3,870 
Virginia Electric and Power Co.  8.875%  11/15/38  900  1,304 
Wisconsin Electric Power Co.  6.000%  4/1/14  825  924 
Wisconsin Electric Power Co.  4.250%  12/15/19  2,650  2,724 

 

 

Wisconsin Electric Power Co.  5.625%  5/15/33  325  333 
Wisconsin Electric Power Co.  5.700%  12/1/36  200  208 
4 Wisconsin Energy Corp.  6.250%  5/15/67  5,325  5,352 
Wisconsin Power & Light Co.  5.000%  7/15/19  475  509 
Wisconsin Power & Light Co.  6.375%  8/15/37  1,400  1,596 
Xcel Energy Inc.  5.613%  4/1/17  275  295 
Xcel Energy Inc.  4.700%  5/15/20  1,800  1,846 
Xcel Energy Inc.  6.500%  7/1/36  975  1,081 
 
Natural Gas (0.7%)         
AGL Capital Corp.  5.250%  8/15/19  1,600  1,682 
Atmos Energy Corp.  4.950%  10/15/14  2,125  2,252 
Atmos Energy Corp.  8.500%  3/15/19  450  562 
Boardwalk Pipelines LP  5.500%  2/1/17  925  985 
British Transco Finance Inc.  6.625%  6/1/18  425  473 
Buckeye Partners LP  6.050%  1/15/18  100  110 
CenterPoint Energy Resources Corp.  6.150%  5/1/16  675  748 
5 CenterPoint Energy Resources Corp.  4.500%  1/15/21  2,501  2,451 
5 CenterPoint Energy Resources Corp.  5.850%  1/15/41  625  616 
DCP Midstream LLC  8.125%  8/16/30  175  208 
DCP Midstream Operating LP  3.250%  10/1/15  1,200  1,172 
El Paso Natural Gas Co.  5.950%  4/15/17  8,800  9,641 
Enbridge Energy Partners LP  6.500%  4/15/18  3,625  4,128 
Enbridge Energy Partners LP  9.875%  3/1/19  4,475  5,861 
Enbridge Energy Partners LP  5.200%  3/15/20  525  544 
Enbridge Energy Partners LP  7.500%  4/15/38  1,475  1,752 
Enbridge Inc.  4.900%  3/1/15  800  864 
Enbridge Inc.  5.600%  4/1/17  2,160  2,400 
Energy Transfer Partners LP  5.650%  8/1/12  1,875  1,970 
Energy Transfer Partners LP  8.500%  4/15/14  5,000  5,834 
Energy Transfer Partners LP  5.950%  2/1/15  4,900  5,362 
Energy Transfer Partners LP  6.125%  2/15/17  500  554 
Energy Transfer Partners LP  9.000%  4/15/19  1,825  2,298 
Energy Transfer Partners LP  6.625%  10/15/36  750  789 
Energy Transfer Partners LP  7.500%  7/1/38  100  115 
8 Enron Corp.  7.625%  9/10/04  400  1 
8 Enron Corp.  6.625%  11/15/05  300  — 
8 Enron Corp.  7.125%  5/15/07  1,800  2 
8 Enron Corp.  6.875%  10/15/07  1,800  2 
8 Enron Corp.  6.750%  8/1/09  1,300  2 
Enterprise Products Operating LLC  5.650%  4/1/13  950  1,023 
Enterprise Products Operating LLC  5.900%  4/15/13  625  676 
Enterprise Products Operating LLC  9.750%  1/31/14  7,325  8,771 
Enterprise Products Operating LLC  5.600%  10/15/14  9,025  9,925 
Enterprise Products Operating LLC  6.300%  9/15/17  5,850  6,575 
Enterprise Products Operating LLC  6.650%  4/15/18  975  1,110 
Enterprise Products Operating LLC  6.500%  1/31/19  750  842 
Enterprise Products Operating LLC  5.200%  9/1/20  1,000  1,029 
Enterprise Products Operating LLC  6.875%  3/1/33  5,398  5,862 
Enterprise Products Operating LLC  7.550%  4/15/38  3,130  3,655 
Enterprise Products Operating LLC  6.125%  10/15/39  400  396 
Enterprise Products Operating LLC  5.950%  2/1/41  1,400  1,361 
EQT Corp.  6.500%  4/1/18  3,175  3,438 
EQT Corp.  8.125%  6/1/19  2,275  2,699 
8 HNG Internorth  9.625%  3/15/06  1,000  1 
KeySpan Corp.  8.000%  11/15/30  150  184 
Kinder Morgan Energy Partners LP  5.850%  9/15/12  2,100  2,231 
Kinder Morgan Energy Partners LP  5.000%  12/15/13  5,800  6,261 

 

 

Kinder Morgan Energy Partners LP  5.125%  11/15/14  3,250  3,523 
Kinder Morgan Energy Partners LP  3.500%  3/1/16  3,200  3,218 
Kinder Morgan Energy Partners LP  5.950%  2/15/18  2,300  2,536 
Kinder Morgan Energy Partners LP  7.300%  8/15/33  350  392 
Kinder Morgan Energy Partners LP  6.500%  2/1/37  200  204 
Kinder Morgan Energy Partners LP  6.950%  1/15/38  2,000  2,157 
Kinder Morgan Energy Partners LP  6.500%  9/1/39  5,275  5,389 
Magellan Midstream Partners LP  5.650%  10/15/16  250  274 
Magellan Midstream Partners LP  6.550%  7/15/19  1,750  1,984 
Magellan Midstream Partners LP  4.250%  2/1/21  6,950  6,712 
National Grid plc  6.300%  8/1/16  2,450  2,777 
Nisource Finance Corp.  6.150%  3/1/13  100  108 
Nisource Finance Corp.  5.400%  7/15/14  425  464 
Nisource Finance Corp.  5.250%  9/15/17  650  688 
Nisource Finance Corp.  6.400%  3/15/18  200  224 
Nisource Finance Corp.  5.450%  9/15/20  1,400  1,457 
Nisource Finance Corp.  6.125%  3/1/22  5,550  6,012 
Nisource Finance Corp.  6.250%  12/15/40  2,350  2,399 
NuStar Logistics LP  7.650%  4/15/18  1,700  1,983 
Oneok Inc.  5.200%  6/15/15  1,000  1,072 
Oneok Inc.  6.000%  6/15/35  3,715  3,620 
ONEOK Partners LP  5.900%  4/1/12  2,125  2,229 
ONEOK Partners LP  3.250%  2/1/16  4,050  4,017 
ONEOK Partners LP  6.150%  10/1/16  3,550  3,991 
ONEOK Partners LP  8.625%  3/1/19  2,500  3,142 
ONEOK Partners LP  6.650%  10/1/36  4,775  5,052 
ONEOK Partners LP  6.850%  10/15/37  2,575  2,800 
ONEOK Partners LP  6.125%  2/1/41  2,650  2,642 
Panhandle Eastern Pipeline Co. LP  6.200%  11/1/17  2,900  3,217 
Panhandle Eastern Pipeline Co. LP  7.000%  6/15/18  325  362 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.125%  1/15/17  2,000  2,207 
Plains All American Pipeline LP / PAA         
Finance Corp.  8.750%  5/1/19  125  156 
Plains All American Pipeline LP / PAA         
Finance Corp.  5.000%  2/1/21  5,300  5,292 
Plains All American Pipeline LP / PAA         
Finance Corp.  6.650%  1/15/37  325  345 
Questar Corp.  2.750%  2/1/16  2,075  2,056 
Sempra Energy  6.000%  2/1/13  200  214 
Sempra Energy  2.000%  3/15/14  2,000  1,986 
Sempra Energy  9.800%  2/15/19  1,500  1,991 
Sempra Energy  6.000%  10/15/39  2,075  2,134 
Southern California Gas Co.  5.750%  11/15/35  400  426 
5 Southern Natural Gas Co.  5.900%  4/1/17  2,925  3,224 
Southern Union Co.  7.600%  2/1/24  8,050  8,992 
Southern Union Co.  8.250%  11/15/29  700  796 
Spectra Energy Capital LLC  6.250%  2/15/13  325  351 
Spectra Energy Capital LLC  5.500%  3/1/14  1,250  1,355 
Spectra Energy Capital LLC  5.668%  8/15/14  100  110 
Spectra Energy Capital LLC  6.200%  4/15/18  325  360 
Spectra Energy Capital LLC  6.750%  2/15/32  725  778 
Tennessee Gas Pipeline Co.  7.500%  4/1/17  720  855 
Texas Eastern Transmission LP  7.000%  7/15/32  100  116 
Texas Gas Transmission LLC  4.600%  6/1/15  1,275  1,333 
TransCanada PipeLines Ltd.  4.000%  6/15/13  1,800  1,893 
TransCanada PipeLines Ltd.  3.400%  6/1/15  4,000  4,095 
TransCanada PipeLines Ltd.  6.500%  8/15/18  8,865  10,316 

 

 

TransCanada PipeLines Ltd.  7.125%  1/15/19  1,675  2,026 
TransCanada PipeLines Ltd.  3.800%  10/1/20  5,550  5,327 
TransCanada PipeLines Ltd.  5.600%  3/31/34  1,400  1,378 
TransCanada PipeLines Ltd.  5.850%  3/15/36  2,675  2,719 
TransCanada PipeLines Ltd.  6.200%  10/15/37  3,450  3,648 
TransCanada PipeLines Ltd.  7.250%  8/15/38  300  355 
TransCanada PipeLines Ltd.  7.625%  1/15/39  100  123 
4 TransCanada PipeLines Ltd.  6.350%  5/15/67  4,100  4,106 
Williams Partners LP  3.800%  2/15/15  1,200  1,240 
Williams Partners LP  5.250%  3/15/20  6,700  6,992 
Williams Partners LP  4.125%  11/15/20  3,700  3,521 
Williams Partners LP  6.300%  4/15/40  2,350  2,431 
Williams Partners LP / Williams Partners         
Finance Corp.  7.250%  2/1/17  7,000  8,201 
 
Other Utility (0.0%)         
Veolia Environnement SA  6.000%  6/1/18  6,000  6,673 
        911,250 
Total Corporate Bonds (Cost $7,836,140)        8,326,550 
Sovereign Bonds (U.S. Dollar-Denominated) (4.3%)         
African Development Bank  1.000%  11/23/11  2,100  2,103 
African Development Bank  1.750%  10/1/12  1,150  1,163 
African Development Bank  1.625%  2/11/13  2,800  2,832 
African Development Bank  3.000%  5/27/14  7,175  7,508 
Asian Development Bank  4.500%  9/4/12  325  340 
Asian Development Bank  1.625%  7/15/13  6,625  6,710 
Asian Development Bank  3.625%  9/5/13  7,400  7,853 
Asian Development Bank  2.750%  5/21/14  8,875  9,175 
Asian Development Bank  4.250%  10/20/14  3,550  3,858 
Asian Development Bank  2.625%  2/9/15  17,325  17,793 
Asian Development Bank  2.500%  3/15/16  11,150  11,231 
Asian Development Bank  5.500%  6/27/16  1,850  2,109 
Asian Development Bank  5.250%  6/12/17  100  113 
Asian Development Bank  5.593%  7/16/18  1,700  1,912 
Brazilian Government International Bond  10.250%  6/17/13  800  954 
Brazilian Government International Bond  10.500%  7/14/14  1,275  1,610 
Brazilian Government International Bond  7.875%  3/7/15  4,875  5,801 
Brazilian Government International Bond  6.000%  1/17/17  9,975  11,182 
4 Brazilian Government International Bond  8.000%  1/15/18  7,758  9,116 
Brazilian Government International Bond  5.875%  1/15/19  21,875  24,172 
Brazilian Government International Bond  8.875%  10/14/19  3,600  4,725 
Brazilian Government International Bond  4.875%  1/22/21  10,025  10,237 
Brazilian Government International Bond  8.875%  4/15/24  1,525  2,076 
Brazilian Government International Bond  8.750%  2/4/25  4,200  5,660 
Brazilian Government International Bond  10.125%  5/15/27  4,200  6,321 
Brazilian Government International Bond  8.250%  1/20/34  2,775  3,663 
Brazilian Government International Bond  7.125%  1/20/37  11,425  13,558 
Brazilian Government International Bond  11.000%  8/17/40  7,350  9,878 
Brazilian Government International Bond  5.625%  1/7/41  16,075  15,802 
Chile Government International Bond  5.500%  1/15/13  1,000  1,069 
Chile Government International Bond  3.875%  8/5/20  14,850  14,464 
China Development Bank Corp.  4.750%  10/8/14  2,625  2,781 
China Development Bank Corp.  5.000%  10/15/15  525  562 
China Government International Bond  4.750%  10/29/13  1,800  1,939 
Corp Andina de Fomento  3.750%  1/15/16  2,750  2,726 
Corp Andina de Fomento  8.125%  6/4/19  5,775  6,920 
Corp. Andina de Fomento  5.200%  5/21/13  725  772 

 

 

Corp. Andina de Fomento  5.125%  5/5/15  5,200  5,473 
Corp. Andina de Fomento  5.750%  1/12/17  4,700  5,027 
Council Of Europe Development Bank  2.750%  2/10/15  2,200  2,255 
Council Of Europe Development Bank  2.625%  2/16/16  3,650  3,675 
9 Development Bank of Japan  4.250%  6/9/15  5,225  5,627 
Eksportfinans ASA  1.875%  4/2/13  550  557 
Eksportfinans ASA  3.000%  11/17/14  1,675  1,723 
Eksportfinans ASA  2.000%  9/15/15  10,225  9,975 
Eksportfinans ASA  5.500%  5/25/16  2,700  3,025 
Eksportfinans ASA  5.500%  6/26/17  4,175  4,631 
European Bank for Reconstruction &         
Development  2.750%  4/20/15  7,700  7,844 
European Bank for Reconstruction &         
Development  1.625%  9/3/15  1,800  1,751 
European Bank for Reconstruction &         
Development  2.500%  3/15/16  5,975  5,990 
5 European Investment Bank  1.125%  4/16/12  9,100  9,155 
European Investment Bank  1.750%  9/14/12  8,000  8,128 
European Investment Bank  1.625%  3/15/13  7,800  7,906 
European Investment Bank  2.875%  3/15/13  2,825  2,915 
European Investment Bank  3.250%  5/15/13  6,900  7,184 
European Investment Bank  1.875%  6/17/13  6,500  6,600 
European Investment Bank  4.250%  7/15/13  11,900  12,736 
European Investment Bank  1.250%  9/17/13  12,275  12,259 
European Investment Bank  1.250%  2/14/14  12,500  12,410 
European Investment Bank  2.375%  3/14/14  7,400  7,578 
European Investment Bank  4.625%  5/15/14  11,075  12,075 
European Investment Bank  3.125%  6/4/14  13,450  14,065 
European Investment Bank  2.875%  1/15/15  7,875  8,112 
European Investment Bank  2.750%  3/23/15  10,325  10,598 
European Investment Bank  1.625%  9/1/15  13,650  13,394 
European Investment Bank  1.375%  10/20/15  9,600  9,202 
European Investment Bank  4.875%  2/16/16  9,500  10,489 
European Investment Bank  2.250%  3/15/16  18,400  18,180 
European Investment Bank  2.500%  5/16/16  15,700  15,668 
European Investment Bank  5.125%  9/13/16  700  783 
European Investment Bank  4.875%  1/17/17  6,325  6,992 
European Investment Bank  5.125%  5/30/17  9,150  10,218 
European Investment Bank  2.875%  9/15/20  12,900  11,952 
European Investment Bank  4.000%  2/16/21  8,575  8,667 
European Investment Bank  4.875%  2/15/36  100  101 
Export Development Canada  2.375%  3/19/12  3,825  3,891 
Export Development Canada  1.750%  9/24/12  7,575  7,690 
Export Development Canada  3.500%  5/16/13  4,650  4,861 
Export Development Canada  3.125%  4/24/14  15,175  15,924 
Export Development Canada  2.250%  5/28/15  1,550  1,564 
Export-Import Bank of Korea  5.500%  10/17/12  3,025  3,181 
Export-Import Bank of Korea  8.125%  1/21/14  11,800  13,431 
Export-Import Bank of Korea  5.875%  1/14/15  1,750  1,895 
Export-Import Bank of Korea  5.125%  3/16/15  3,275  3,454 
Export-Import Bank of Korea  4.125%  9/9/15  3,950  4,022 
Export-Import Bank of Korea  4.000%  1/29/21  2,500  2,277 
Financement-Quebec  5.000%  10/25/12  1,275  1,347 
Hungary Government International Bond  4.750%  2/3/15  1,050  1,054 
Hungary Government International Bond  6.375%  3/29/21  6,775  6,783 
Hungary Government International Bond  7.625%  3/29/41  575  577 
Hydro Quebec  6.300%  5/11/11  2,825  2,842 
Hydro Quebec  8.000%  2/1/13  2,750  3,063 

 

 

Hydro Quebec  7.500%  4/1/16  1,150  1,392 
Hydro Quebec  8.400%  1/15/22  2,450  3,292 
Hydro Quebec  8.050%  7/7/24  1,350  1,797 
Hydro Quebec  8.500%  12/1/29  100  142 
Inter-American Development Bank  4.750%  10/19/12  3,975  4,212 
Inter-American Development Bank  3.500%  3/15/13  2,625  2,748 
Inter-American Development Bank  3.000%  4/22/14  11,725  12,241 
Inter-American Development Bank  2.250%  7/15/15  9,625  9,628 
Inter-American Development Bank  4.250%  9/14/15  3,450  3,744 
Inter-American Development Bank  5.125%  9/13/16  100  112 
Inter-American Development Bank  2.375%  8/15/17  5,100  4,942 
Inter-American Development Bank  3.875%  9/17/19  18,750  19,308 
Inter-American Development Bank  3.875%  2/14/20  2,300  2,360 
Inter-American Development Bank  7.000%  6/15/25  1,125  1,402 
International Bank for Reconstruction &         
Development  2.000%  4/2/12  16,225  16,466 
International Bank for Reconstruction &         
Development  0.800%  7/13/12  8,350  8,360 
International Bank for Reconstruction &         
Development  1.750%  7/15/13  8,200  8,298 
International Bank for Reconstruction &         
Development  3.500%  10/8/13  7,410  7,827 
International Bank for Reconstruction &         
Development  1.125%  8/25/14  17,775  17,586 
International Bank for Reconstruction &         
Development  2.375%  5/26/15  16,675  16,847 
International Bank for Reconstruction &         
Development  2.125%  3/15/16  20,450  20,159 
International Bank for Reconstruction &         
Development  5.000%  4/1/16  4,100  4,571 
International Bank for Reconstruction &         
Development  7.625%  1/19/23  950  1,266 
International Bank for Reconstruction &         
Development  8.875%  3/1/26  450  654 
International Finance Corp.  3.500%  5/15/13  2,350  2,464 
International Finance Corp.  3.000%  4/22/14  11,675  12,133 
International Finance Corp.  2.750%  4/20/15  3,250  3,317 
International Finance Corp.  2.125%  11/17/17  10,175  9,566 
Israel Government International Bond  4.625%  6/15/13  750  790 
Israel Government International Bond  5.125%  3/1/14  200  215 
Israel Government International Bond  5.500%  11/9/16  2,800  3,058 
Israel Government International Bond  5.125%  3/26/19  5,350  5,585 
Japan Bank for International Cooperation  4.375%  11/26/12  1,950  2,057 
Japan Bank for International Cooperation  4.250%  6/18/13  4,800  5,079 
9 Japan Finance Corp.  1.500%  7/6/12  6,550  6,586 
9 Japan Finance Corp.  2.125%  11/5/12  8,000  8,134 
9 Japan Finance Corp.  2.875%  2/2/15  6,300  6,380 
9 Japan Finance Corp.  2.500%  1/21/16  5,600  5,507 
9 Japan Finance Organization for Municipalities  4.625%  4/21/15  2,675  2,888 
Japan Finance Organization for Municipalities  5.000%  5/16/17  1,100  1,201 
9 Japan Finance Organization for Municipalities  4.000%  1/13/21  5,625  5,505 
Korea Development Bank  5.300%  1/17/13  1,200  1,268 
Korea Development Bank  5.750%  9/10/13  3,300  3,547 
Korea Development Bank  8.000%  1/23/14  3,150  3,578 
Korea Development Bank  4.375%  8/10/15  11,800  12,078 
Korea Development Bank  4.000%  9/9/16  2,500  2,528 
Korea Electric Power Corp.  7.750%  4/1/13  2,200  2,424 
Korea Finance Corp.  3.250%  9/20/16  4,000  3,854 

 

 

10 Kreditanstalt fuer Wiederaufbau  2.250%  4/16/12  7,975  8,109 
10 Kreditanstalt fuer Wiederaufbau  4.750%  5/15/12  4,425  4,621 
10 Kreditanstalt fuer Wiederaufbau  1.250%  6/15/12  13,175  13,262 
10 Kreditanstalt fuer Wiederaufbau  1.875%  1/14/13  12,900  13,083 
10 Kreditanstalt fuer Wiederaufbau  3.250%  3/15/13  19,600  20,402 
10 Kreditanstalt fuer Wiederaufbau  3.500%  5/16/13  4,000  4,199 
10 Kreditanstalt fuer Wiederaufbau  1.375%  7/15/13  18,400  18,445 
10 Kreditanstalt fuer Wiederaufbau  4.000%  10/15/13  7,500  7,978 
10 Kreditanstalt fuer Wiederaufbau  1.375%  1/13/14  27,500  27,350 
10 Kreditanstalt fuer Wiederaufbau  3.500%  3/10/14  300  316 
10 Kreditanstalt fuer Wiederaufbau  1.500%  4/4/14  275  275 
10 Kreditanstalt fuer Wiederaufbau  4.125%  10/15/14  575  618 
10 Kreditanstalt fuer Wiederaufbau  2.750%  10/21/14  10,250  10,545 
10 Kreditanstalt fuer Wiederaufbau  2.625%  3/3/15  11,875  12,111 
10 Kreditanstalt fuer Wiederaufbau  1.250%  10/26/15  15,400  14,662 
10 Kreditanstalt fuer Wiederaufbau  2.625%  2/16/16  3,450  3,480 
10 Kreditanstalt fuer Wiederaufbau  5.125%  3/14/16  14,000  15,574 
10 Kreditanstalt fuer Wiederaufbau  4.375%  3/15/18  4,600  4,940 
10 Kreditanstalt fuer Wiederaufbau  4.500%  7/16/18  6,425  6,921 
10 Kreditanstalt fuer Wiederaufbau  4.875%  6/17/19  19,300  21,121 
10 Kreditanstalt fuer Wiederaufbau  4.000%  1/27/20  5,500  5,657 
10 Kreditanstalt fuer Wiederaufbau  2.750%  9/8/20  29,800  27,299 
Kreditanstalt fuer Wiederaufbau  0.000%  6/29/37  5,450  1,427 
10 Landwirtschaftliche Rentenbank  5.250%  7/2/12  2,675  2,816 
Landwirtschaftliche Rentenbank  1.875%  9/24/12  9,150  9,224 
Landwirtschaftliche Rentenbank  3.250%  3/15/13  7,000  7,277 
Landwirtschaftliche Rentenbank  4.125%  7/15/13  2,500  2,650 
10 Landwirtschaftliche Rentenbank  3.125%  7/15/15  6,605  6,800 
Landwirtschaftliche Rentenbank  4.875%  11/16/15  10,650  11,715 
10 Landwirtschaftliche Rentenbank  2.500%  2/15/16  5,450  5,427 
10 Landwirtschaftliche Rentenbank  5.125%  2/1/17  2,000  2,217 
Mexico Government International Bond  6.375%  1/16/13  4,525  4,923 
Mexico Government International Bond  5.875%  2/17/14  8,025  8,807 
Mexico Government International Bond  6.625%  3/3/15  2,975  3,399 
Mexico Government International Bond  11.375%  9/15/16  1,325  1,855 
Mexico Government International Bond  5.625%  1/15/17  22,675  24,957 
Mexico Government International Bond  5.950%  3/19/19  7,775  8,630 
Mexico Government International Bond  5.125%  1/15/20  19,600  20,438 
Mexico Government International Bond  8.300%  8/15/31  3,125  4,164 
Mexico Government International Bond  6.750%  9/27/34  11,800  13,328 
Mexico Government International Bond  6.050%  1/11/40  9,700  9,943 
Mexico Government International Bond  5.750%  10/12/10  1,150  1,035 
Nordic Investment Bank  1.625%  1/28/13  5,300  5,357 
Nordic Investment Bank  2.625%  10/6/14  4,000  4,090 
Nordic Investment Bank  2.500%  7/15/15  3,275  3,306 
Nordic Investment Bank  2.250%  3/15/16  4,250  4,194 
Nordic Investment Bank  5.000%  2/1/17  1,150  1,275 
North American Development Bank  4.375%  2/11/20  975  990 
11 Oesterreichische Kontrollbank AG  4.750%  11/8/11  725  742 
11 Oesterreichische Kontrollbank AG  4.750%  10/16/12  2,025  2,142 
11 Oesterreichische Kontrollbank AG  1.750%  3/11/13  6,900  6,985 
11 Oesterreichische Kontrollbank AG  1.375%  1/21/14  7,775  7,706 
Oesterreichische Kontrollbank AG  4.500%  3/9/15  2,600  2,830 
11 Oesterreichische Kontrollbank AG  5.000%  4/25/17  4,025  4,445 
Ontario Electricity Financial Corp.  7.450%  3/31/13  1,450  1,618 
Panama Government International Bond  7.250%  3/15/15  4,000  4,647 
Panama Government International Bond  5.200%  1/30/20  9,275  9,835 
Panama Government International Bond  7.125%  1/29/26  6,500  7,670 

 

 

4 Panama Government International Bond  6.700%  1/26/36  4,000  4,452 
Pemex Project Funding Master Trust  7.375%  12/15/14  2,500  2,840 
Pemex Project Funding Master Trust  5.750%  3/1/18  8,925  9,436 
Pemex Project Funding Master Trust  6.625%  6/15/35  9,100  9,185 
Pemex Project Funding Master Trust  6.625%  6/15/38  2,025  2,030 
Peruvian Government International Bond  7.125%  3/30/19  7,350  8,655 
Peruvian Government International Bond  7.350%  7/21/25  1,525  1,807 
Peruvian Government International Bond  8.750%  11/21/33  12,092  16,244 
4 Peruvian Government International Bond  6.550%  3/14/37  5,200  5,608 
Petrobras International Finance Co. - Pifco  3.875%  1/27/16  2,600  2,605 
Petrobras International Finance Co. - Pifco  6.125%  10/6/16  8,850  9,829 
Petrobras International Finance Co. - Pifco  5.875%  3/1/18  8,275  8,751 
Petrobras International Finance Co. - Pifco  8.375%  12/10/18  2,300  2,783 
Petrobras International Finance Co. - Pifco  7.875%  3/15/19  9,575  11,239 
Petrobras International Finance Co. - Pifco  5.750%  1/20/20  9,100  9,417 
Petrobras International Finance Co. - Pifco  5.375%  1/27/21  3,200  3,212 
Petrobras International Finance Co. - Pifco  6.875%  1/20/40  4,525  4,676 
Petrobras International Finance Co. - Pifco  6.750%  1/27/41  1,650  1,697 
Petroleos Mexicanos  4.875%  3/15/15  4,875  5,171 
Petroleos Mexicanos  8.000%  5/3/19  1,675  2,009 
Petroleos Mexicanos  6.000%  3/5/20  4,150  4,422 
Petroleos Mexicanos  5.500%  1/21/21  1,400  1,417 
Poland Government International Bond  6.250%  7/3/12  2,425  2,583 
Poland Government International Bond  5.250%  1/15/14  800  855 
Poland Government International Bond  3.875%  7/16/15  12,250  12,388 
Poland Government International Bond  5.000%  10/19/15  750  790 
Poland Government International Bond  6.375%  7/15/19  15,275  17,013 
Province of British Columbia Canada  2.850%  6/15/15  6,100  6,257 
Province of Manitoba Canada  2.625%  7/15/15  1,475  1,492 
Province of Manitoba Canada  4.900%  12/6/16  5,475  6,010 
Province of Nova Scotia Canada  2.375%  7/21/15  2,800  2,787 
Province of Ontario Canada  1.875%  11/19/12  13,950  14,165 
Province of Ontario Canada  1.375%  1/27/14  14,675  14,551 
Province of Ontario Canada  4.100%  6/16/14  13,250  14,169 
Province of Ontario Canada  2.950%  2/5/15  1,475  1,519 
Province of Ontario Canada  2.700%  6/16/15  10,800  10,910 
Province of Ontario Canada  1.875%  9/15/15  2,500  2,445 
Province of Ontario Canada  4.750%  1/19/16  4,325  4,718 
Province of Ontario Canada  5.450%  4/27/16  5,675  6,348 
Province of Ontario Canada  3.150%  12/15/17  5,525  5,428 
Province of Ontario Canada  4.000%  10/7/19  11,750  11,861 
Province of Ontario Canada  4.400%  4/14/20  9,200  9,463 
Province of Quebec Canada  4.875%  5/5/14  275  301 
Province of Quebec Canada  4.600%  5/26/15  2,250  2,445 
Province of Quebec Canada  5.125%  11/14/16  7,275  8,059 
Province of Quebec Canada  4.625%  5/14/18  7,000  7,491 
Province of Quebec Canada  3.500%  7/29/20  4,300  4,135 
Province of Quebec Canada  7.125%  2/9/24  325  406 
Province of Quebec Canada  7.500%  9/15/29  6,875  9,155 
Province of Saskatchewan Canada  7.375%  7/15/13  425  480 
Region of Lombardy Italy  5.804%  10/25/32  1,050  980 
Republic of Italy  5.625%  6/15/12  1,875  1,972 
Republic of Italy  2.125%  10/5/12  9,750  9,848 
Republic of Italy  4.375%  6/15/13  4,350  4,584 
Republic of Italy  2.125%  9/16/13  13,075  13,092 
Republic of Italy  4.500%  1/21/15  4,000  4,200 
Republic of Italy  3.125%  1/26/15  10,575  10,628 
Republic of Italy  4.750%  1/25/16  12,350  12,968 

 

 

Republic of Italy  5.250%  9/20/16  13,275  14,005 
Republic of Italy  6.875%  9/27/23  4,600  5,190 
Republic of Italy  5.375%  6/15/33  5,650  5,572 
Republic of Korea  4.250%  6/1/13  5,700  5,944 
Republic of Korea  5.750%  4/16/14  3,175  3,454 
Republic of Korea  4.875%  9/22/14  2,400  2,555 
Republic of Korea  7.125%  4/16/19  3,175  3,727 
Republic of Korea  5.625%  11/3/25  575  599 
South Africa Government International Bond  7.375%  4/25/12  2,650  2,826 
South Africa Government International Bond  6.875%  5/27/19  7,375  8,540 
South Africa Government International Bond  5.500%  3/9/20  4,800  5,076 
South Africa Government International Bond  5.875%  5/30/22  1,075  1,155 
South Africa Government International Bond  6.250%  3/8/41  4,100  4,215 
Svensk Exportkredit AB  3.250%  9/16/14  5,050  5,267 
Svensk Exportkredit AB  1.750%  10/20/15  2,600  2,514 
Svensk Exportkredit AB  5.125%  3/1/17  550  608 
Total Sovereign Bonds (Cost $1,735,202)        1,777,620 
Taxable Municipal Bonds (0.8%)         
Alameda County CA Joint Powers Authority         
Lease Revenue  7.046%  12/1/44  100  99 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  7.834%  2/15/41  575  643 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  6.053%  2/15/43  400  361 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  5.939%  2/15/47  2,750  2,408 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  7.499%  2/15/50  750  778 
American Municipal Power Ohio Inc. Revenue         
(Prairie State Energy Campus Project)  8.084%  2/15/50  2,050  2,342 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.793%  4/1/30  875  884 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.918%  4/1/40  1,500  1,526 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.263%  4/1/49  4,283  4,315 
Bay Area Toll Authority California Toll Bridge         
Revenue (San Francisco Bay Area)  6.907%  10/1/50  3,700  3,744 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  5.262%  7/1/39  650  617 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  6.276%  8/15/41  525  540 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  5.134%  8/15/42  150  144 
Board of Regents of the University of Texas         
System Revenue Financing System         
Revenue  4.794%  8/15/46  1,250  1,119 
California Educational Facilities Authority         
Revenue (Stanford University)  3.625%  5/1/14  2,250  2,376 
California Educational Facilities Authority         
Revenue (Stanford University)  4.250%  5/1/16  750  806 
California GO  5.250%  4/1/14  1,175  1,240 
California GO  3.950%  11/1/15  2,550  2,547 
California GO  5.750%  3/1/17  4,000  4,210 

 

 

California GO  6.200%  3/1/19  1,100  1,168 
California GO  6.200%  10/1/19  3,925  4,175 
California GO  5.700%  11/1/21  4,200  4,226 
California GO  7.500%  4/1/34  9,225  9,959 
California GO  5.650%  4/1/39  1,225  1,285 
California GO  7.300%  10/1/39  1,200  1,274 
California GO  7.350%  11/1/39  8,200  8,754 
California GO  7.625%  3/1/40  2,950  3,240 
California GO  7.600%  11/1/40  2,900  3,178 
Central Puget Sound WA Regional Transit         
Authority Sales & Use Tax Revenue  5.491%  11/1/39  550  535 
Chicago IL Board of Education GO  6.319%  11/1/29  1,025  976 
Chicago IL Board of Education GO  6.138%  12/1/39  400  363 
Chicago IL GO  7.781%  1/1/35  825  883 
Chicago IL Metropolitan Water Reclamation         
District GO  5.720%  12/1/38  3,000  2,976 
Chicago IL O'Hare International Airport         
Revenue  6.845%  1/1/38  400  393 
Chicago IL O'Hare International Airport         
Revenue  6.395%  1/1/40  600  576 
Chicago IL Transit Authority Sales Tax         
Receipts Revenue  6.200%  12/1/40  1,650  1,465 
Chicago IL Transit Authority Transfer Tax         
Receipts Revenue  6.899%  12/1/40  2,625  2,583 
Chicago IL Wastewater Transmission         
Revenue  6.900%  1/1/40  600  614 
Chicago IL Water Revenue  6.742%  11/1/40  900  920 
Clark County NV Airport Revenue  6.881%  7/1/42  550  548 
Commonwealth Financing Authority         
Pennsylvania Revenue  6.218%  6/1/39  2,350  2,318 
Connecticut GO  5.090%  10/1/30  800  771 
Connecticut GO  5.850%  3/15/32  5,475  5,670 
Connecticut Special Tax Revenue         
(Transportation Infrastructure)  5.459%  11/1/30  100  97 
Cook County IL GO  6.229%  11/15/34  750  719 
Curators of the University of Missouri System         
Facilities Revenue  5.960%  11/1/39  1,000  1,066 
Curators of the University of Missouri System         
Facilities Revenue  5.792%  11/1/41  2,900  3,020 
Dallas County TX Hospital District Revenue  5.621%  8/15/44  750  752 
Dallas TX Area Rapid Transit Revenue  4.922%  12/1/41  1,650  1,472 
Dallas TX Area Rapid Transit Revenue  5.999%  12/1/44  1,500  1,546 
Dallas TX Area Rapid Transit Revenue  5.022%  12/1/48  2,675  2,371 
Dallas TX Independent School District GO  6.450%  2/15/35  1,500  1,603 
Denver CO City & County School District No.         
1 GO  5.664%  12/1/33  525  527 
District of Columbia Income Tax Revenue  5.591%  12/1/34  450  453 
District of Columbia Income Tax Revenue  5.582%  12/1/35  650  650 
East Baton Rouge LA Sewer Commission         
Revenue  6.087%  2/1/45  975  969 
East Bay CA Municipal Utility District Water         
System Revenue  5.874%  6/1/40  4,700  4,696 
Georgia GO  4.503%  11/1/25  2,300  2,298 
Georgia Municipal Electric Power Authority         
Revenue  6.637%  4/1/57  3,050  2,901 
Georgia Municipal Electric Power Authority         
Revenue  6.655%  4/1/57  2,250  2,118 

 

 

Georgia Municipal Electric Power Authority         
Revenue  7.055%  4/1/57  1,275  1,188 
Illinois GO  2.766%  1/1/12  4,800  4,824 
Illinois GO  4.071%  1/1/14  4,800  4,827 
Illinois GO  4.511%  3/1/15  8,350  8,362 
Illinois GO  5.365%  3/1/17  3,000  2,985 
Illinois GO  4.950%  6/1/23  5,125  4,536 
Illinois GO  5.100%  6/1/33  13,500  10,919 
Illinois GO  6.630%  2/1/35  1,050  1,007 
Illinois GO  6.725%  4/1/35  3,250  3,110 
Illinois Toll Highway Authority Revenue  6.184%  1/1/34  460  445 
Illinois Toll Highway Authority Revenue  5.851%  12/1/34  625  581 
Indianapolis IN Local Public Improvement         
Revenue  6.116%  1/15/40  3,700  3,778 
12 Kansas Development Finance Authority         
Revenue (Public Employees Retirement         
System)  5.501%  5/1/34  1,525  1,456 
Kentucky Asset/Liability Commission General         
Fund Revenue  3.165%  4/1/18  300  291 
Las Vegas Valley Water District Nevada GO  7.013%  6/1/39  650  686 
Los Angeles CA Community College District         
GO  6.600%  8/1/42  1,950  2,035 
Los Angeles CA Department of Water &         
Power Revenue  5.716%  7/1/39  850  790 
Los Angeles CA Department of Water &         
Power Revenue  6.008%  7/1/39  2,400  2,340 
Los Angeles CA Department of Water &         
Power Revenue  6.166%  7/1/40  600  583 
Los Angeles CA Department of Water &         
Power Revenue  6.574%  7/1/45  4,800  4,969 
Los Angeles CA Department of Water &         
Power Revenue  6.603%  7/1/50  500  523 
Los Angeles CA Unified School District GO  5.755%  7/1/29  1,500  1,456 
Los Angeles CA Unified School District GO  5.750%  7/1/34  4,600  4,344 
Los Angeles County CA Metropolitan         
Transportation Authority Sales Tax         
Revenue  5.735%  6/1/39  2,200  2,084 
Los Angeles County CA Public Works         
Financing Authority Lease Revenue  7.488%  8/1/33  1,700  1,758 
Los Angeles County CA Public Works         
Financing Authority Lease Revenue  7.618%  8/1/40  750  737 
Loudoun County VA Industrial Development         
Authority Revenue (Howard Hughes         
Medical Institute)  3.450%  9/1/14  1,450  1,523 
Maryland Health & Higher Educational         
Facilities Authority Revenue (Johns         
Hopkins University)  5.250%  7/1/19  2,275  2,495 
Maryland Transportation Authority Facilities         
Projects Revenue  5.888%  7/1/43  700  729 
Massachusetts GO  4.200%  12/1/21  2,300  2,282 
Massachusetts GO  5.456%  12/1/39  3,025  3,036 
Massachusetts School Building Authority         
Dedicated Sales Tax Revenue  5.715%  8/15/39  950  971 
Massachusetts Transportation Fund Revenue  5.731%  6/1/40  475  488 
Massachusetts Water Pollution Abatement         
Trust  5.192%  8/1/40  1,050  1,007 
Metropolitan Government of Nashville &         
Davidson County TN GO  5.707%  7/1/34  1,000  1,003 

 

 

  Metropolitan New York Transportation         
  Authority Revenue (Dedicated Tax Fund)  7.336%  11/15/39  6,950  7,878 
  Metropolitan New York Transportation         
  Authority Revenue (Dedicated Tax Fund)  6.089%  11/15/40  400  389 
  Metropolitan New York Transportation         
  Authority Revenue (Transit Revenue)  6.548%  11/15/31  300  306 
  Metropolitan New York Transportation         
  Authority Revenue (Transit Revenue)  5.871%  11/15/39  800  747 
  Metropolitan New York Transportation         
  Authority Revenue (Transit Revenue)  6.648%  11/15/39  1,750  1,770 
  Metropolitan Washington DC/VA Airports         
  Authority Dulles Toll Road Revenue  7.462%  10/1/46  525  514 
  Mississippi GO  5.245%  11/1/34  700  677 
  Missouri Highways & Transportation         
  Commission Road Revenue  5.445%  5/1/33  600  591 
  New Hampshire Health & Educational         
  Facilities Authority Revenue (Dartmouth         
  College)  4.750%  6/1/19  275  293 
13 New Jersey Economic Development Authority         
  Revenue (State Pension Funding)  7.425%  2/15/29  3,175  3,285 
  New Jersey Educational Facilities Authority         
  Revenue (Princeton University)  5.700%  3/1/39  1,500  1,613 
  New Jersey Transportation Trust Fund         
  Authority Transportation System Revenue  6.561%  12/15/40  4,865  4,859 
7  New Jersey Turnpike Authority Revenue  4.252%  1/1/16  900  926 
  New Jersey Turnpike Authority Revenue  7.414%  1/1/40  4,400  4,926 
  New Jersey Turnpike Authority Revenue  7.102%  1/1/41  4,000  4,331 
  New York City NY GO  6.646%  12/1/31  100  104 
  New York City NY GO  6.246%  6/1/35  750  756 
  New York City NY GO  5.968%  3/1/36  1,250  1,247 
  New York City NY GO  5.985%  12/1/36  600  606 
  New York City NY GO  5.517%  10/1/37  3,225  3,040 
  New York City NY GO  6.271%  12/1/37  3,450  3,606 
  New York City NY GO  5.846%  6/1/40  750  736 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  5.750%  6/15/41  500  499 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  5.952%  6/15/42  1,150  1,177 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  6.011%  6/15/42  350  359 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  5.440%  6/15/43  1,400  1,329 
  New York City NY Municipal Water Finance         
  Authority Water & Sewer System Revenue  5.882%  6/15/44  3,300  3,310 
  New York City NY Transitional Finance         
  Authority Building Aid Revenue  6.828%  7/15/40  2,500  2,664 
  New York City NY Transitional Finance         
  Authority Future Tax Revenue  5.767%  8/1/36  750  752 
  New York City NY Transitional Finance         
  Authority Future Tax Revenue  5.508%  8/1/37  3,300  3,201 
  New York City NY Transitional Finance         
  Authority Future Tax Revenue  5.572%  11/1/38  1,000  981 
  New York State Dormitory Authority Revenue         
  (Personal Income Tax)  5.500%  3/15/30  2,600  2,690 
  New York State Dormitory Authority Revenue         
  (Personal Income Tax)  5.289%  3/15/33  1,250  1,207 
  New York State Dormitory Authority Revenue         
  (Personal Income Tax)  5.628%  3/15/39  900  881 

 

 

  New York State Dormitory Authority Revenue         
  (Personal Income Tax)  5.389%  3/15/40  750  711 
  New York State Urban Development Corp.         
  Revenue (Personal Income Tax)  5.770%  3/15/39  2,175  2,190 
  New York State Urban Development Corp.         
  Revenue (Personal Income Tax)  5.838%  3/15/40  650  653 
  North Texas Tollway Authority System         
  Revenue  6.718%  1/1/49  1,250  1,241 
  Ohio State University General Receipts         
  Revenue  4.910%  6/1/40  1,575  1,448 
  Ohio Water Development Authority Water         
  Pollution Control Loan Fund Revenue  4.879%  12/1/34  1,000  958 
  Orange County CA Local Transportation         
  Authority Sales Tax Revenue  6.908%  2/15/41  650  727 
  Oregon Department Transportation Highway         
  Usertax Revenue  5.834%  11/15/34  1,050  1,050 
  Oregon GO  5.762%  6/1/23  650  694 
  Oregon GO  5.892%  6/1/27  975  1,011 
7  Oregon School Boards Association GO  4.759%  6/30/28  700  610 
12 Oregon School Boards Association GO  5.528%  6/30/28  375  361 
  Pennsylvania GO  4.650%  2/15/26  850  822 
  Pennsylvania GO  5.350%  5/1/30  3,000  2,879 
  Pennsylvania Public School Building Authority         
  Lease Revenue (School District of         
  Philadelphia)  5.000%  9/15/27  1,000  929 
  Pennsylvania Turnpike Commission Revenue  5.511%  12/1/45  550  484 
  Pennsylvania Turnpike Commission Revenue  5.561%  12/1/49  550  499 
  Port Authority of New York & New Jersey         
  Revenue  6.040%  12/1/29  850  868 
  Port Authority of New York & New Jersey         
  Revenue  5.647%  11/1/40  4,700  4,522 
  Regional Transportation District of Colorado         
  Sales Tax Revenue  5.844%  11/1/50  1,400  1,365 
  Rutgers State University NJ Revenue  5.665%  5/1/40  725  724 
  Salt River Project Arizona Agricultural         
  Improvement & Power District Revenue  4.839%  1/1/41  750  677 
  San Antonio TX Electric & Gas Systems         
  Revenue  5.985%  2/1/39  1,500  1,559 
  San Antonio TX Electric & Gas Systems         
  Revenue  5.718%  2/1/41  1,175  1,165 
  San Antonio TX Electric & Gas Systems         
  Revenue  5.808%  2/1/41  1,875  1,859 
  San Diego County CA Water Authority         
  Revenue  6.947%  7/1/40  650  685 
  San Diego County CA Water Authority         
  Revenue  6.138%  5/1/49  750  747 
  San Francisco CA City & County Public Utility         
  Commission Water Revenue  6.950%  11/1/50  3,000  3,231 
  Santa Clara Valley CA Transportation         
  Authority Sales Tax Revenue  5.876%  4/1/32  3,500  3,390 
  Sonoma County CA Pension Obligation         
  Revenue  6.000%  12/1/29  775  723 
  South Carolina Public Service Authority         
  Revenue  6.454%  1/1/50  4,125  4,412 
  Texas Transportation Commission Revenue  5.028%  4/1/26  750  740 
  Texas Transportation Commission Revenue  5.178%  4/1/30  800  787 
  Texas Transportation Commission Revenue  4.631%  4/1/33  2,300  2,081 
  Texas Transportation Commission Revenue  4.681%  4/1/40  1,075  960 

 

 

University of California Regents Medical         
Center Revenue  6.548%  5/15/48  1,600  1,581 
University of California Regents Medical         
Center Revenue  6.583%  5/15/49  975  967 
University of California Revenue  5.770%  5/15/43  5,200  5,023 
University of California Revenue  5.946%  5/15/45  4,700  4,249 
University of Massachusetts Building Authority         
Revenue  5.450%  11/1/40  600  564 
University of Virginia Revenue  6.200%  9/1/39  1,000  1,117 
Utah GO  4.554%  7/1/24  1,000  1,018 
Utah GO  3.539%  7/1/25  2,300  2,129 
Utah Transit Authority Sales Tax Revenue  5.937%  6/15/39  100  105 
Virginia Commonwealth Transportation Board         
Federal Highway Revenue  5.350%  5/15/35  730  710 
Washington GO  5.090%  8/1/33  3,825  3,662 
Washington GO  5.481%  8/1/39  270  268 
Washington GO  5.140%  8/1/40  2,325  2,197 
12 Wisconsin GO  4.800%  5/1/13  775  822 
12 Wisconsin GO  5.700%  5/1/26  900  898 
Total Taxable Municipal Bonds (Cost $336,072)        336,277 
Tax-Exempt Municipal Bonds (0.0%)         
San Francisco CA City & County Public Utility         
Commission Water Revenue (Cost $1,648)  6.000%  11/1/40  1,600  1,517 
      Shares   
Temporary Cash Investment (4.1%)         
Money Market Fund (4.1%)         
14,15Vanguard Market Liquidity Fund         
(Cost $1,687,036)  0.208%    1,687,036,196  1,687,036 
Total Investments (103.0%) (Cost $41,766,623)        42,691,132 
Other Assets and Liabilities-Net (-3.0%)15        (1,249,147) 
Net Assets (100%)        41,441,985 

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $5,451,000.
1 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee Program.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
3 Guaranteed by the National Credit Union Administration.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, the aggregate value of these securities was $215,239,000, representing 0.5% of net assets.
6 Adjustable-rate security.
7 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
8 Non-income-producing security--security in default.
9 Guaranteed by the Government of Japan.
10 Guaranteed by the Federal Republic of Germany.
11 Guaranteed by the Republic of Austria.
12 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
13 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
14 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
15 Includes $5,564,000 of collateral received for securities on loan.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

 

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the fund's investments as of March 31, 2011, based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
U.S. Government and Agency Obligations  —  29,305,449  — 
Asset-Backed/Commercial Mortgage-Backed Securities  —  1,256,683  — 
Corporate Bonds  —  8,326,542  8 
Sovereign Bonds  —  1,777,620  — 
Taxable Municipal Bonds  —  336,277  — 
Tax-Exempt Municipal Bonds  —  1,517  — 
Temporary Cash Investments  1,687,036  —  — 
Total  1,687,036  41,004,088  8 

 

There were no changes in investments valued based on Level 3 inputs during the three months ended March 31, 2011.

C. At March 31, 2011, the cost of investment securities for tax purposes was $41,766,623,000. Net unrealized appreciation of investment securities for tax purposes was $924,509,000, consisting of unrealized gains of $1,127,716,000 on securities that had risen in value since their purchase and $203,207,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Item 2: Controls and Procedures

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers
concluded that the Registrant’s Disclosure Controls and Procedures are effective based
on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days
of the filing date of this report.

(b) Internal Control Over Financial Reporting. During the last fiscal quarter, there was no
significant change in the Registrant’s internal control over financial reporting that has
materially affected, or is reasonably likely to materially affect, the registrant’s internal
control over financial reporting.

Item 3: Exhibits

(a) Certifications

  VANGUARD BOND INDEX FUNDS
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: May 19, 2011

 

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

  VANGUARD BOND INDEX FUNDS
 
By:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date: May 19, 2011

 

  VANGUARD BOND INDEX FUNDS
 
By:  /s/ THOMAS J. HIGGINS* 
  THOMAS J. HIGGINS 
  CHIEF FINANCIAL OFFICER 
 
Date: May 19, 2011

 

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683, Incorporated by Reference.