N-Q 1 form.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company Investment Company Act File Number: 811-2444 The Bond Fund of America, Inc. (Exact Name of Registrant as specified in charter) 333 South Hope Street Los Angeles, California 90071 (Address of principal executive offices) Registrant's telephone number, including area code: (213) 486-9200 Date of fiscal year end: December 31, 2004 Date of reporting period: September 30, 2004 Julie F. Williams Capital Research and Management Company 333 South Hope Street Los Angeles, California 90071 (name and address of agent for service) Copies to: Michael Glazer Paul, Hastings, Janofsky & Walker LLP 515 South Flower Street Los Angeles, California 90071 (Counsel for the Registrant) ITEM 1 - Schedule of Investments [logo - American Funds (r)] THE BOND FUND OF AMERICA Investment portfolio September 30, 2004 unaudited Principal amount Market value BONDS AND NOTES -- 89.12% (000) (000) MORTGAGE-BACKED OBLIGATIONS(1) -- 15.91% Fannie Mae 7.00% 2009 $ 191 $ 204 Fannie Mae 7.50% 2009 207 221 Fannie Mae 7.50% 2009 161 172 Fannie Mae 7.50% 2009 94 100 Fannie Mae 7.50% 2009 73 76 Fannie Mae 7.50% 2009 71 74 Fannie Mae 7.50% 2009 61 64 Fannie Mae 7.50% 2009 33 35 Fannie Mae 8.50% 2009 254 265 Fannie Mae 9.50% 2009 48 52 Fannie Mae 7.00% 2010 149 159 Fannie Mae 6.00% 2016 7,470 7,841 Fannie Mae 6.00% 2016 3,680 3,862 Fannie Mae 6.00% 2016 3,460 3,631 Fannie Mae 6.00% 2016 2,163 2,270 Fannie Mae 6.00% 2016 1,949 2,045 Fannie Mae 7.00% 2016 531 564 Fannie Mae 11.50% 2016 1,047 1,215 Fannie Mae 6.00% 2017 2,421 2,541 Fannie Mae 5.00% 2018 24,996 25,474 Fannie Mae 5.00% 2018 13,212 13,468 Fannie Mae 9.00% 2018 69 76 Fannie Mae 10.00% 2018 806 920 Fannie Mae 4.50% 2019 9,100 9,080 Fannie Mae 5.50% 2019 71,535 73,894 Fannie Mae 12.00% 2019 913 1,074 Fannie Mae, Series 90-93, Class G, 5.50% 2020 83 86 Fannie Mae 11.00% 2020 309 357 Fannie Mae 11.266% 2020(2) 902 1,051 Fannie Mae 9.00% 2022 336 365 Fannie Mae 7.50% 2023 233 252 Fannie Mae 8.00% 2023 86 93 Fannie Mae 8.00% 2023 58 63 Fannie Mae, Series 2001-4, Class GA, 10.231% 2025(2) 1,514 1,701 Fannie Mae, Series 2001-4, Class NA, 11.809% 2025(2) 8,094 9,420 Fannie Mae 4.727% 2026(2) 1,767 1,817 Fannie Mae 7.00% 2026 2,698 2,876 Fannie Mae 8.50% 2027 22 25 Fannie Mae, Series 1998-W5, Class B3, 6.50% 2028(3) 3,788 3,864 Fannie Mae 7.00% 2028 1,295 1,377 Fannie Mae, Series 2002-W3, Class A-5, 7.50% 2028 12,553 13,612 Fannie Mae 8.00% 2028 140 152 Fannie Mae, Series 2003-T3, Class 2A-3, 2.869% 2029 4,073 4,073 Fannie Mae 6.50% 2029 595 628 Fannie Mae, Series 2002-W7, Class A-5, 7.50% 2029 1,842 1,998 Fannie Mae 7.50% 2029 393 423 Fannie Mae 7.50% 2029 214 230 Fannie Mae 7.50% 2029 170 183 Fannie Mae 7.00% 2030 448 476 Fannie Mae 7.50% 2030 529 568 Fannie Mae 6.50% 2031 2,544 2,673 Fannie Mae 6.50% 2031 1,607 1,689 Fannie Mae 6.50% 2031 898 944 Fannie Mae 6.50% 2031 269 283 Fannie Mae 7.00% 2031 954 1,013 Fannie Mae 7.50% 2031 1,330 1,428 Fannie Mae 7.50% 2031 167 179 Fannie Mae 8.00% 2031 346 376 Fannie Mae, Series 2001-20, Class E, 9.589% 2031(2) 289 333 Fannie Mae, Series 2001-20, Class C, 11.991% 2031(2) 350 415 Fannie Mae 6.50% 2032 14,487 15,218 Fannie Mae 6.50% 2032 10,500 11,029 Fannie Mae 7.00% 2032 649 689 Fannie Mae 3.81% 2033(2) 6,074 6,082 Fannie Mae 5.00% 2033 6,368 6,318 Fannie Mae 5.50% 2033 117,608 119,437 Fannie Mae 6.00% 2034 193,388 199,975 Fannie Mae 6.50% 2034 15,765 16,560 Fannie Mae, Series 2003-W10, Class 1A-2B, 3.112% 2037 19,200 19,175 Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041 18,443 19,658 Fannie Mae, Series 2001-50, Class BA, 7.00% 2041 5,995 6,404 Fannie Mae, Series 2002-W1, Class 2A, 7.50% 2042 13,791 14,897 Freddie Mac 8.25% 2007 152 159 Freddie Mac 8.25% 2007 40 42 Freddie Mac 8.50% 2007 25 27 Freddie Mac, Series H009, Class A-2, 1.876% 2008(2) 4,731 4,638 Freddie Mac 8.00% 2008 28 29 Freddie Mac 8.50% 2008 70 73 Freddie Mac 8.50% 2008 66 69 Freddie Mac 8.50% 2008 33 34 Freddie Mac 8.50% 2008 11 11 Freddie Mac 8.75% 2008 164 174 Freddie Mac 8.75% 2008 59 62 Freddie Mac 8.75% 2008 27 28 Freddie Mac 8.75% 2008 24 25 Freddie Mac 8.00% 2009 18 19 Freddie Mac 8.50% 2009 302 320 Freddie Mac 8.00% 2010 5 5 Freddie Mac 8.50% 2010 250 267 Freddie Mac 8.50% 2010 213 223 Freddie Mac 6.00% 2017 1,213 1,272 Freddie Mac 6.00% 2017 1,164 1,221 Freddie Mac, Series 2310, Class A, 10.602% 2017(2) 1,926 2,132 Freddie Mac 5.00% 2018 35,179 35,840 Freddie Mac 11.00% 2018 222 254 Freddie Mac 8.50% 2020 473 515 Freddie Mac 8.50% 2020 168 183 Freddie Mac, Series 41, Class F, 10.00% 2020 316 316 Freddie Mac, Series 178, Class Z, 9.25% 2021 249 250 Freddie Mac 8.00% 2026 263 287 Freddie Mac 8.50% 2027 58 63 Freddie Mac 5.00% 2033 13,573 13,473 Freddie Mac 6.00% 2033 5,697 5,891 Freddie Mac 6.00% 2034 519,500 536,467 Freddie Mac, Series T-056, Class A-2A, 2.842% 2036 19,750 19,587 Freddie Mac, Series T-042, Class A-2, 5.50% 2042 17 17 CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A-1, 4.393% 2006 1,376 1,386 CS First Boston Mortgage Securities Corp., Series 2002-FL2, Class A-2, 2.161% 2010(2),(3) 6,662 6,646 CS First Boston Mortgage Securities Corp., Series 2002-30, Class I-A-1, 7.50% 2032 6,459 6,660 CS First Boston Mortgage Securities Corp., Series 2002-34, Class I-A-1, 7.50% 2032 582 601 CS First Boston Mortgage Securities Corp., Series 2003-AR20, Class II-A-2, 4.009% 2033(2) 7,855 7,864 CS First Boston Mortgage Securities Corp., Series 2003-AR12, Class II-A-2, 4.348% 2033(2) 3,168 3,175 CS First Boston Mortgage Securities Corp., Series 2003-AR28, Class II-A-1, 4.576% 2033(2) 6,704 6,780 CS First Boston Mortgage Securities Corp., Series 2003-23, Class V-A-1, 6.00% 2033 17,299 17,638 CS First Boston Mortgage Securities Corp., Series 2003-21, Class V-A-1, 6.50% 2033 32,815 33,910 CS First Boston Mortgage Securities Corp., Series 2003-29, Class V-A-1, 7.00% 2033 9,023 9,466 CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class VII-A-2, 4.626% 2034(2) 33,299 33,422 CS First Boston Mortgage Securities Corp., Series 2004-AR7, Class II-A-1, 4.906% 2034(2) 4,915 4,984 CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-2, 5.935% 2034 13,000 13,426 CS First Boston Mortgage Securities Corp., Series 2004-5, Class IV-A-1, 6.00% 2034 25,000 25,702 CS First Boston Mortgage Securities Corp., Series 2004-3, Class IV-A-1, 6.00% 2034 1,931 1,979 CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-3, 6.238% 2034 9,000 9,686 CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A-2, 6.103% 2036 20,000 21,566 CS First Boston Mortgage Securities Corp., Series 2002-CKN2, Class A-1, 4.637% 2037 3,899 3,991 CS First Boston Mortgage Securities Corp., Series 1999-C1, Class D, 8.103% 2041(2) 5,250 6,074 WaMu Mortgage Pass-Through Certificates Trust, Series 2004-CB2, Class VII-A, 5.50% 2019 2,453 2,521 WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A-7, 3.842% 2033(2) 49,050 48,522 WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A, 4.03% 2033(2) 9,742 9,729 WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR5, Class A-7, 4.208% 2033(2) 9,717 9,722 WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR6, Class A-1, 4.367% 2033(2) 34,441 34,565 WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR1, Class A, 4.229% 2034(2) 3,818 3,773 WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A, 4.73% 2034(2) 66,896 66,815 Bear Stearns ARM Trust, Series 2003-6, Class I-A-2, 4.026% 2033(2) 47,636 47,733 Bear Stearns ARM Trust, Series 2003-3, Class II-A-2, 4.157% 2033(2),(4) 20,963 20,939 Bear Stearns ARM Trust, Series 2003-3, Class III-A-1, 5.143% 2033(2) 10,479 10,583 Bear Stearns ARM Trust, Series 2004-3, Class I-A-2, 4.344% 2034(2) 24,263 24,254 Bear Stearns ARM Trust, Series 2003-9, Class III-A-2, 5.064% 2034(2) 7,923 7,981 Bear Stearns ARM Trust, Series 2003-8, Class III-A-1, 5.216% 2034(2) 8,189 8,264 Chase Commercial Mortgage Securities Corp., Series 1998-2, Class A-2, 6.39% 2030(4) 44,550 48,701 Chase Commercial Mortgage Securities Corp., Series 1998-1, Class A-2, 6.56% 2030 15,677 17,056 Chase Commercial Mortgage Securities Corp., Series 2000-2, Class A-1, 7.543% 2032(4) 17,990 19,574 Chase Commercial Mortgage Securities Corp., Series 2000-1, Class A-1, 7.656% 2032 8,524 8,567 Chase Commercial Mortgage Securities Corp., Series 2000-1, Class A-2, 7.757% 2032 18,350 21,228 CHL Mortgage Pass-Through Trust, Series 2003-HYB3, Class 4-A-1, 3.50% 2033(2) 7,446 7,372 CHL Mortgage Pass-Through Trust, Series 2003-27, Class A-1, 3.793% 2033(2) 22,131 21,981 CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2-A-1, 4.142% 2034(2) 9,082 9,040 CHL Mortgage Pass-Through Trust, Series 2004-22, Class A-2, 4.74% 2034(2) 29,000 29,209 CHL Mortgage Pass-Through Trust, Series 2004-12, Class 12-A-1, 4.916% 2034(2) 14,249 14,407 CHL Mortgage Pass-Through Trust, Series 2004-12, Class 13-A-1, 4.937% 2034(2) 12,733 12,878 CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A-3, 5.264% 2035(2) 10,000 10,167 Government National Mortgage Assn. 7.50% 2007 66 69 Government National Mortgage Assn. 6.50% 2008 328 350 Government National Mortgage Assn. 6.50% 2008 81 86 Government National Mortgage Assn. 7.50% 2008 96 100 Government National Mortgage Assn. 7.50% 2008 90 94 Government National Mortgage Assn. 7.50% 2008 81 85 Government National Mortgage Assn. 7.50% 2008 57 60 Government National Mortgage Assn. 7.50% 2008 36 38 Government National Mortgage Assn. 6.50% 2009 133 142 Government National Mortgage Assn. 7.50% 2009 111 119 Government National Mortgage Assn. 7.50% 2009 92 99 Government National Mortgage Assn. 7.50% 2009 93 98 Government National Mortgage Assn. 7.50% 2009 86 92 Government National Mortgage Assn. 7.50% 2009 79 83 Government National Mortgage Assn. 7.50% 2009 68 73 Government National Mortgage Assn. 7.50% 2009 66 69 Government National Mortgage Assn. 9.00% 2009 1,034 1,103 Government National Mortgage Assn. 9.50% 2009 1,039 1,121 Government National Mortgage Assn. 9.50% 2009 78 84 Government National Mortgage Assn. 9.00% 2016 179 197 Government National Mortgage Assn. 8.00% 2017 46 50 Government National Mortgage Assn. 9.00% 2017 58 64 Government National Mortgage Assn. 9.00% 2019 234 259 Government National Mortgage Assn. 9.50% 2019 302 338 Government National Mortgage Assn. 8.50% 2020 136 151 Government National Mortgage Assn. 8.50% 2020 49 54 Government National Mortgage Assn. 9.00% 2020 156 173 Government National Mortgage Assn. 9.50% 2020 168 189 Government National Mortgage Assn. 10.00% 2020 1,264 1,457 Government National Mortgage Assn. 7.50% 2021 99 107 Government National Mortgage Assn. 7.50% 2021 24 26 Government National Mortgage Assn. 8.50% 2021 463 512 Government National Mortgage Assn. 8.50% 2021 291 322 Government National Mortgage Assn. 8.50% 2021 135 149 Government National Mortgage Assn. 8.50% 2021 66 73 Government National Mortgage Assn. 9.00% 2021 72 80 Government National Mortgage Assn. 9.00% 2021 58 64 Government National Mortgage Assn. 10.00% 2021 2,953 3,378 Government National Mortgage Assn. 7.00% 2022 191 204 Government National Mortgage Assn. 7.00% 2022 116 124 Government National Mortgage Assn. 7.00% 2022 65 69 Government National Mortgage Assn. 7.50% 2022 131 142 Government National Mortgage Assn. 7.50% 2022 84 91 Government National Mortgage Assn. 7.50% 2022 84 90 Government National Mortgage Assn. 7.50% 2022 68 74 Government National Mortgage Assn. 7.50% 2022 65 71 Government National Mortgage Assn. 7.50% 2022 52 56 Government National Mortgage Assn. 8.00% 2022 448 490 Government National Mortgage Assn. 9.00% 2022 79 87 Government National Mortgage Assn. 7.00% 2023 449 479 Government National Mortgage Assn. 7.50% 2023 771 839 Government National Mortgage Assn. 7.50% 2023 459 496 Government National Mortgage Assn. 7.50% 2023 153 167 Government National Mortgage Assn. 7.50% 2023 143 154 Government National Mortgage Assn. 7.50% 2023 141 152 Government National Mortgage Assn. 7.50% 2023 107 116 Government National Mortgage Assn. 7.50% 2023 105 113 Government National Mortgage Assn. 7.50% 2023 105 113 Government National Mortgage Assn. 7.50% 2023 92 100 Government National Mortgage Assn. 7.50% 2023 69 75 Government National Mortgage Assn. 7.50% 2023 62 67 Government National Mortgage Assn. 7.50% 2023 60 65 Government National Mortgage Assn. 7.50% 2023 52 56 Government National Mortgage Assn. 7.50% 2023 49 53 Government National Mortgage Assn. 7.50% 2023 45 49 Government National Mortgage Assn. 7.50% 2023 43 47 Government National Mortgage Assn. 7.50% 2023 43 46 Government National Mortgage Assn. 7.50% 2023 41 44 Government National Mortgage Assn. 7.50% 2023 36 39 Government National Mortgage Assn. 7.50% 2023 33 36 Government National Mortgage Assn. 7.50% 2023 33 36 Government National Mortgage Assn. 7.50% 2023 32 34 Government National Mortgage Assn. 7.50% 2023 30 33 Government National Mortgage Assn. 7.50% 2023 22 24 Government National Mortgage Assn. 7.50% 2023 8 9 Government National Mortgage Assn. 8.00% 2023 1,454 1,591 Government National Mortgage Assn. 8.00% 2023 900 985 Government National Mortgage Assn. 8.00% 2023 113 123 Government National Mortgage Assn. 8.00% 2023 78 86 Government National Mortgage Assn. 8.00% 2023 75 82 Government National Mortgage Assn. 8.00% 2023 38 41 Government National Mortgage Assn. 8.00% 2023 38 41 Government National Mortgage Assn. 8.00% 2023 30 33 Government National Mortgage Assn. 8.50% 2023 50 55 Government National Mortgage Assn. 7.00% 2024 3,909 4,176 Government National Mortgage Assn. 7.00% 2024 3,250 3,472 Government National Mortgage Assn. 7.50% 2024 379 412 Government National Mortgage Assn. 7.50% 2024 314 342 Government National Mortgage Assn. 7.50% 2024 174 189 Government National Mortgage Assn. 7.50% 2024 89 97 Government National Mortgage Assn. 7.50% 2024 77 83 Government National Mortgage Assn. 7.50% 2024 76 82 Government National Mortgage Assn. 7.50% 2024 69 75 Government National Mortgage Assn. 7.50% 2024 60 65 Government National Mortgage Assn. 7.50% 2024 59 64 Government National Mortgage Assn. 7.50% 2024 46 50 Government National Mortgage Assn. 7.50% 2024 41 45 Government National Mortgage Assn. 7.50% 2024 37 40 Government National Mortgage Assn. 7.50% 2024 26 28 Government National Mortgage Assn. 8.00% 2024 24 26 Government National Mortgage Assn. 8.50% 2024 58 64 Government National Mortgage Assn. 8.50% 2024 29 32 Government National Mortgage Assn. 7.00% 2025 2,991 3,195 Government National Mortgage Assn. 7.00% 2025 1,271 1,357 Government National Mortgage Assn. 7.00% 2026 1,178 1,267 Government National Mortgage Assn. 7.00% 2026 1,137 1,223 Government National Mortgage Assn. 7.00% 2026 316 340 Government National Mortgage Assn. 8.00% 2026 94 104 Government National Mortgage Assn. 8.00% 2026 66 72 Government National Mortgage Assn. 8.00% 2026 41 45 Government National Mortgage Assn. 7.50% 2027 94 102 Government National Mortgage Assn. 8.50% 2027 47 52 Government National Mortgage Assn. 7.00% 2028 3,297 3,534 Government National Mortgage Assn. 7.00% 2028 794 851 Government National Mortgage Assn. 7.50% 2028 72 78 Government National Mortgage Assn. 7.50% 2028 66 71 Government National Mortgage Assn. 7.50% 2028 44 48 Government National Mortgage Assn. 7.50% 2028 26 29 Government National Mortgage Assn. 7.50% 2028 24 26 Government National Mortgage Assn. 7.50% 2028 19 21 Government National Mortgage Assn. 7.50% 2028 18 20 Government National Mortgage Assn. 8.50% 2028 63 69 Government National Mortgage Assn. 8.50% 2028 26 29 Government National Mortgage Assn. 7.00% 2029 2,329 2,494 Government National Mortgage Assn. 7.00% 2029 1,862 1,993 Government National Mortgage Assn. 7.00% 2029 1,356 1,452 Government National Mortgage Assn. 7.00% 2029 932 998 Government National Mortgage Assn. 7.00% 2029 697 746 Government National Mortgage Assn. 7.50% 2029 142 153 Government National Mortgage Assn. 8.00% 2029 594 651 Government National Mortgage Assn. 8.50% 2029 74 81 Government National Mortgage Assn. 7.50% 2030 1,325 1,433 Government National Mortgage Assn. 8.00% 2030 1,981 2,171 Government National Mortgage Assn. 8.00% 2030 1,652 1,809 Government National Mortgage Assn. 8.00% 2030 1,349 1,478 Government National Mortgage Assn. 8.00% 2030 922 1,011 Government National Mortgage Assn. 8.00% 2030 530 581 Government National Mortgage Assn. 8.00% 2030 354 387 Government National Mortgage Assn. 8.00% 2030 50 54 Government National Mortgage Assn. 7.00% 2031 1,215 1,299 Government National Mortgage Assn. 7.00% 2031 793 848 Government National Mortgage Assn. 7.50% 2032 2,769 2,994 Government National Mortgage Assn. 6.00% 2033 20,964 21,772 Government National Mortgage Assn. 6.50% 2034 900 949 Merrill Lynch Mortgage Investors, Inc., Series 1995-C2, Class D, 7.799% 2021(2) 224 232 Merrill Lynch Mortgage Investors, Inc., Series 2003-A6, Class II-A, 4.272% 2033(2) 8,157 8,152 Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class II-A, 4.61% 2033(2) 27,778 27,945 Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class II-A-1, 4.67% 2034(2) 48,889 48,505 Realkredit Danmark A/S, Series 23D, 5.00% 2035 DKr 505,753 83,412 Banc of America Mortgage Securities Trust, Series 2003-F, Class 2-A-1, 3.734% 2033(2),(4) 40,339 40,307 Banc of America Mortgage Securities Trust, Series 2003-G, Class 2-A-1, 4.088% 2033(2) 11,415 11,389 Banc of America Mortgage Securities Trust, Series 2003-D, Class 2-A-1, 4.183% 2033(2) 8,662 8,687 Banc of America Mortgage Securities Trust, Series 2003-I, Class 3-A-1, 4.546% 2033(2) 16,938 16,856 Morgan Stanley Capital I, Inc., Series 2003-KIDS, Class A, 2.438% 2016(2),(3) 26,293 26,346 Morgan Stanley Capital I, Inc., Series 1998-WF2, Class A-1, 6.34% 2030 2,446 2,516 Morgan Stanley Capital I, Inc., Series 1998-HF2, Class A-2, 6.48% 2030 17,000 18,549 Morgan Stanley Capital I, Inc., Series 1999-FNV1, Class A-1, 6.12% 2031 6,327 6,589 Morgan Stanley Capital I, Inc., Series 1999-FNV1, Class A-2, 6.53% 2031 10,000 10,950 L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 2026(3) 43,470 46,799 GS Mortgage Securities Corp., Series 1998-2, Class M, 7.75% 2027(3) 884 947 GS Mortgage Securities Corp. II, Series 1998-C1, Class E, 7.422% 2030(2) 31,076 33,345 GS Mortgage Securities Corp. II, Series 1998-C1, Class D, 7.422% 2030(2) 3,750 4,133 GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class A-3, 6.869% 2029 17,041 18,374 GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class D, 6.997% 2029 8,300 9,076 GMAC Commercial Mortgage Securities, Inc., Series 1998-C2, Class C, 6.50% 2035 9,000 9,856 Morgan Stanley Mortgage Trust, Series 2004-3, Class 4-A, 5.729% 2034(2) 35,942 36,627 Morgan Stanley Dean Witter Capital I Trust, Series 2002-HQ, Class A-1, 4.59% 2034 6,857 6,980 Morgan Stanley Dean Witter Capital I Trust, Series 2001-TOP5, Class A-3, 6.16% 2035 17,468 19,024 Morgan Stanley Dean Witter Capital I Trust, Series 2003-TOP9, Class A-1, 3.98% 2036 9,344 9,364 Bear Stearns Commercial Mortgage Securities Inc., Series 1998-C1, Class A-1, 6.34% 2030 4,187 4,392 Bear Stearns Commercial Mortgage Securities Inc., Series 1999-WF2, Class X, interest only, 0.442% 2031(2) 255,616 3,994 Bear Stearns Commercial Mortgage Securities Inc., Series 1999-C1, Class X, interest only, 1.27% 2031(2),(3) 157,001 7,086 Bear Stearns Commercial Mortgage Securities Inc., Series 2000-WF2, Class A-2, 7.32% 2032 16,480 18,870 Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class A-2, 7.439% 2031 5,000 5,726 Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class B, 7.619% 2031 17,125 19,745 Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class C, 7.625% 2031 5,000 5,766 Banc of America Commercial Mortgage Inc., Series 2001-1, Class A-2, 6.503% 2036(4) 24,450 27,095 Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.528% 2027(2),(3) 12,545 13,563 Structured Asset Securities Corp., Series 1998-RF1, Class A, 8.744% 2027(2),(3) 4,303 4,639 Structured Asset Securities Corp., Series 1999-RF1, Class A, 7.879% 2028(2),(3) 2,907 3,101 Structured Asset Securities Corp., Series 2003-17A, Class 3-A1, 4.01% 2033(2) 4,429 4,422 Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-2, 6.592% 2033 8,750 9,783 Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-3, 6.428% 2035 13,000 14,331 Countrywide Alternative Loan Trust, Series 2004-14T2, Class A-6, 5.50% 2034 20,332 20,674 First Union National Bank Commercial Mortgage Trust, Series 2000-C1, Class A-1, 7.739% 2032 14,658 16,067 First Union National Bank Commercial Mortgage Trust, Series 2001-C4, Class A-1, 5.673% 2033 4,244 4,512 Prudential Securities Secured Financing Corp., Series 1999-NRF1, Class C, 6.746% 2031 18,000 19,955 Tower Ventures, LLC, Series 2004-1, Class A, 3.711% 2034(3) 20,162 19,857 J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1, Class A-1, 3.972% 2039 17,053 17,044 GGP Mall Properties Trust, Series 2001-GGP1, Class A-2, 5.007% 2011(3) 15,364 15,887 Residential Funding Mortgage Securities I, Inc., Series 2004-SA1, Class A-II, 4.379% 2034(2) 15,493 15,477 DLJ Commercial Mortgage Corp., Series 1998-CF1, Class A-1A, 6.14% 2031 4,031 4,069 DLJ Commercial Mortgage Corp., Series 1999-CG1, Class A-1B, 6.46% 2032 10,000 11,031 Citigroup Mortgage Loan Trust Inc., Series 2004-HYB1, Class A-3-1, 4.55% 2034(2) 13,059 13,101 Commercial Mortgage Trust, Series 2000-FL3A, Class D, 3.09% 2012(2),(3) 13,776 12,123 LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A-2, 7.95% 2025 10,000 11,755 DLJ Mortgage Acceptance Corp., Series 1998-CF1, Class A-1B, 6.41% 2031 10,000 10,825 Hypothekenbank in Essen AG 5.25% 2008 Euro 6,000 7,970 PNC Mortgage Securities Corp., Series 1998-10, Class 1-B1, 6.50% 2028 6,954 6,971 Rheinische Hypothekenbank Eurobond 4.25% 2008 Euro 5,000 6,462 Bear Stearns Asset Backed Securities I Trust, Series 2004-AC2, Class II-A, 5.00% 2034 5,164 5,206 Opryland Hotel Trust, Series 2001-OPRY, Class C, 2.74% 2011(2),(3) 5,000 5,013 Hilton Hotel Pool Trust, Series 2000-HLTA, Class F, 7.75% 2015(3) 5,000 4,965 Nomura Asset Securities Corp., Series 1998-D6, Class A-1A, 6.28% 2030 4,509 4,721 GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-1, 6.079% 2033 442 471 GE Capital Commercial Mortgage Corp., Series 2001-3, Class A-1, 5.56% 2038 3,824 4,040 Ocwen Residential MBS Corp., Series 1998-R1, Class AWAC, 4.99% 2040(2),(3) 4,191 4,024 First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust, Series 1998-C2, Class A-1, 6.28% 2035 3,310 3,363 MASTR Asset Securitization Trust, Series 2003-2, Class 3-A-13, 5.75% 2033 2,750 2,780 Commercial Mortgage Acceptance Corp., Series 1998-C2, Class A-1, 5.80% 2030 720 728 Commercial Mortgage Acceptance Corp., Series 1998-C1, Class A-1, 6.23% 2031 816 825 Mortgage Capital Funding, Inc., Series 1998-MC1, Class A-1, 6.417% 2030 1,379 1,393 Travelers Mortgage Securities Corp., Series 1, Class Z-2, 12.00% 2014 951 978 Financial Asset Securitization, Inc., Series 1997-NAM1, Class B-1, 7.75% 2027 945 944 Security National Mortgage Loan Trust, Series 2001-3A, Class A-2, 5.37% 2014(3) 274 282 First Nationwide Trust, Series 1999-2, Class 1PA-1, 6.50% 2029 269 273 First Boston Mortgage Securities Corp., Series D, principal only, 0% 2017 188 167 First Boston Mortgage Securities Corp., Series D, interest only, 10.965% 2017 188 46 Nationsbanc Montgomery Funding Corp., Series 1998-5, Class A-1, 6.00% 2013 130 129 2,982,767 FINANCIALS -- 13.34% ASIF Global Financing XXVIII 1.74% 2007(2),(3) 2,000 2,000 International Lease Finance Corp., Series P, 3.125% 2007 4,000 3,974 International Lease Finance Corp. 3.75% 2007 15,000 15,095 International Lease Finance Corp. 4.35% 2008 21,000 21,426 International Lease Finance Corp. 4.50% 2008 29,500 30,488 AIG SunAmerica Global Financing VII 5.85% 2008(3),(4) 16,750 18,073 International Lease Finance Corp. 3.50% 2009 16,000 15,677 International Lease Finance Corp., Series O, 4.55% 2009 20,600 21,072 International Lease Finance Corp. 4.75% 2009 20,000 20,614 American International Group, Inc. 4.25% 2013 3,500 3,380 International Lease Finance Corp. 5.875% 2013 9,700 10,334 AT&T Capital Corp., Series F, 6.60% 2005 11,750 11,978 CIT Group Inc. 4.125% 2006 25,000 25,447 CIT Group Inc. 5.75% 2007 20,500 21,822 CIT Group Inc. 7.375% 2007 12,500 13,716 CIT Group Inc. 4.00% 2008 14,000 14,148 CIT Group Inc. 3.375% 2009 5,000 4,885 CIT Group Inc. 6.875% 2009 31,000 34,872 CIT Group Inc. 7.75% 2012(4) 26,875 31,852 Household Finance Corp. 5.75% 2007 10,000 10,576 Household Finance Corp. 7.875% 2007 32,000 35,433 Household Finance Corp. 4.125% 2008 1,000 1,012 Household Finance Corp. 6.40% 2008 10,000 10,920 Household Finance Corp. 4.75% 2009 20,000 20,664 Household Finance Corp. 6.375% 2011 7,250 8,002 Household Finance Corp. 6.75% 2011 23,750 26,768 HSBC Holdings PLC 5.25% 2012 10,000 10,389 Household Finance Corp. 6.375% 2012 4,250 4,717 Household Finance Corp. 7.00% 2012 10,000 11,462 HSBC Bank USA 4.625% 2014(3) 4,000 3,929 Midland Bank 2.12% Eurodollar note (undated)(2) 15,000 13,031 Prudential Financial, Inc. 4.104% 2006 10,000 10,171 Prudential Insurance Co. of America 6.375% 2006(3) 4,000 4,253 PRICOA Global Funding I, Series 2003-2, 3.90% 2008(3) 7,500 7,510 PRICOA Global Funding I, Series 2004-4, 4.35% 2008(3) 2,500 2,564 Prudential Funding LLC 6.60% 2008(3) 3,000 3,337 Prudential Financial, Inc., Series B, 4.75% 2014 5,500 5,381 Prudential Holdings, LLC, Series C, 8.695% 2023(1),(3),(4) 67,035 85,701 SocGen Real Estate Co. LLC, Series A, 7.64% (undated)(2),(3) 79,250 88,015 Societe Generale 7.85% (undated)(2),(3) 17,705 19,497 USA Education, Inc. 5.625% 2007 45,150 47,548 SLM Corp., Series A, 3.625% 2008 5,500 5,536 SLM Corp., Series A, 3.95% 2008 27,500 27,775 SLM Corp., Series A, 4.00% 2009 5,000 5,016 SLM Corp., Series A, 5.375% 2013 5,450 5,682 SLM Corp., Series A, 5.375% 2014 10,000 10,313 Halifax Building Society 8.75% 2006 Pound 2,500 4,785 HBOS Treasury Services PLC 3.75% 2008(3) 30,000 30,149 HBOS PLC 5.375% (undated)(2),(3) 24,000 24,414 HBOS Capital Funding LP, Series A, 6.461% non-cumulative preferred (undated)(2) Pound 3,000 5,831 Bank of Scotland 7.00% (undated)(2),(3) 25,000 27,470 J.P. Morgan Chase & Co. 5.35% 2007 3,285 3,451 J.P. Morgan Chase & Co. 4.00% 2008 12,500 12,700 J.P. Morgan Chase & Co. 4.50% 2010 12,000 12,175 J.P. Morgan Chase & Co. 5.75% 2013 31,000 33,062 J.P. Morgan Chase & Co. 5.125% 2014 6,000 6,044 Washington Mutual Finance 8.25% 2005 10,000 10,408 Washington Mutual, Inc. 7.50% 2006 12,000 12,958 Washington Mutual, Inc. 5.625% 2007 11,000 11,568 Washington Mutual, Inc. 4.375% 2008 12,500 12,805 Washington Mutual, Inc. 4.00% 2009 5,000 5,011 Washington Mutual Bank, FA 6.875% 2011 10,000 11,321 Monumental Global Funding Trust II, Series 2001-B, 6.05% 2006(3) 11,025 11,528 Monumental Global Funding Trust II, Series 2002-A, 5.20% 2007(3) 17,500 18,374 Monumental Global Funding Ltd., Series 2001-N, 5.75% 2007 Pound 1,840 3,357 AEGON NV 4.625% 2008 Euro 7,750 10,030 Transamerica Corp. 9.375% 2008 7,500 8,785 Monumental Global Funding II, Series 2004-F, 4.375% 2009(3) 2,000 2,030 AEGON NV 6.125% 2031 Pound 1,600 3,105 Allstate Life Global Funding Trust, Series 2004-2, 1.81% 2007(2) 3,000 3,001 Allstate Financial Global Funding LLC 5.25% 2007(3),(4) 26,500 27,722 Allstate Financial Global Funding LLC 4.25% 2008(3) 7,500 7,649 Allstate Life Global Funding Trust, Series 2004-1, 4.50% 2009 18,000 18,463 Abbey National PLC, Series 1-B, 6.69% 2005 5,000 5,191 Abbey National PLC 6.70% (undated)(2) 18,450 20,220 Abbey National PLC 7.35% (undated)(2),(4) 28,000 30,113 ACE Ltd. 6.00% 2007 1,000 1,060 ACE INA Holdings Inc. 5.875% 2014 34,810 36,434 ACE INA Holdings Inc. 8.875% 2029 2,450 3,235 ACE Capital Trust II 9.70% 2030 9,368 12,918 ReliaStar Financial Corp. 8.625% 2005 5,000 5,107 ReliaStar Financial Corp. 8.00% 2006 23,160 25,506 ING Security Life Institutional Funding 2.70% 2007(3) 4,730 4,700 ReliaStar Financial Corp. 6.50% 2008 6,016 6,566 ING Bank NV 5.50% 2012 Euro 3,750 5,078 Ing Verzekeringen NV 6.25% 2021(2) 3,750 5,192 MBNA Europe Funding PLC 6.50% 2007 5,000 6,695 MBNA Corp., Series F, 7.50% 2012 1,200 1,389 MBNA Capital A, Series A, 8.278% 2026 7,500 8,373 MBNA Global Capital Funding, Series B, 2.494% 2027(2) 34,800 33,279 XL Capital Finance (Europe) PLC 6.50% 2012 12,455 13,694 XL Capital Ltd. 5.25% 2014 3,000 3,017 Mangrove Bay Pass Through Trust 6.102% 2033(1),(2),(3) 25,670 26,213 EOP Operating LP 7.75% 2007 2,000 2,235 EOP Operating LP 6.75% 2008 24,500 26,708 EOP Operating LP 6.75% 2012 8,250 9,155 EOP Operating LP 7.50% 2029 3,420 3,843 Citigroup Inc. 3.50% 2008 20,000 20,066 Citigroup Inc. 4.25% 2009 15,000 15,272 Citigroup Inc. 5.625% 2012 5,675 6,075 Royal Bank of Scotland PLC 8.375% 2007 Pound 6,500 12,567 Royal Bank of Scotland Group PLC 5.00% 2014 3,000 3,044 RBS Capital Trust IV noncumulative trust preferred 2.775% (undated)(2) 5,000 5,048 National Westminster Bank PLC 7.75% (undated)(2) 17,000 18,917 Kimco Realty Corp., Series B, 7.68% 2005 4,250 4,474 Price REIT, Inc. 7.50% 2006 2,760 3,020 Kimco Realty Corp., Series C, 3.95% 2008 5,000 5,024 Kimco Realty Corp., Series C, 4.82% 2011 10,000 10,105 Kimco Realty Corp. 6.00% 2012 13,500 14,467 Capital One Financial Corp. 7.25% 2006 9,625 10,214 Capital One Financial Corp. 8.75% 2007 5,250 5,858 Capital One Financial Corp. 7.125% 2008 4,250 4,686 Capital One Bank 5.75% 2010 11,500 12,275 Capital One Financial Corp. 6.25% 2013 2,800 3,012 MetLife, Inc. 3.911% 2005 31,730 32,062 Metropolitan Life Global Funding I, Series 2004-2, 1.95% 2007(2),(3) 1,500 1,501 Countrywide Home Loans, Inc., Series M, 4.125% 2009 20,000 19,987 Countrywide Home Loans, Inc., Series L, 4.00% 2011 13,000 12,643 BankAmerica Corp., Series I, 7.125% 2005 1,500 1,542 Bank of America Corp. 3.625% 2008 Euro 7,500 9,439 Bank of America Corp. 3.875% 2008 2,000 2,031 Bank of America Corp. 4.375% 2010 10,000 10,091 BankAmerica Corp. 7.125% 2011 1,750 2,015 Bank of America Corp. 4.875% 2012 2,000 2,043 Bank of America Corp. 5.25% 2015 5,000 5,091 Hartford Financial Services Group, Inc. 2.375% 2006 2,000 1,979 Hartford Financial Services Group, Inc. 4.70% 2007 16,250 16,793 Hartford Financial Services Group, Inc. 4.625% 2013 5,000 4,917 Hartford Financial Services Group, Inc. 4.75% 2014 5,000 4,913 Development Bank of Singapore Ltd. 7.875% 2009(3) 20,000 23,325 Development Bank of Singapore Ltd. 7.125% 2011(3) 3,500 4,012 Colonial Realty LP 6.15% 2013 10,000 10,523 Colonial Realty LP 6.25% 2014 14,700 15,504 Bayerische Landesbank, Series F, 2.50% 2006 26,000 25,878 Assurant, Inc. 5.625% 2014 24,000 24,672 Jackson National Life Global Funding, Series 2002-1, 5.25% 2007(3) 23,125 24,346 Rouse Co. 3.625% 2009 5,200 4,860 Rouse Co. 7.20% 2012 17,700 19,049 John Hancock Global Funding II, Series 2002-G, 5.00% 2007(3) 5,000 5,239 John Hancock Global Funding II, Series 2004-A, 3.50% 2009(3) 18,000 17,830 United Overseas Bank Ltd. 5.375% 2019(2),(3) 22,250 22,490 Hospitality Properties Trust 7.00% 2008 1,000 1,082 Hospitality Properties Trust 6.75% 2013 19,370 20,859 Barclays Bank PLC 6.86% callable perpetual core tier one notes (undated)(2),(3) 9,790 10,813 Barclays Bank PLC 7.375% (undated)(2),(3) 5,375 6,264 Barclays Bank PLC 8.55% (undated)(2),(3) 3,500 4,293 Wells Fargo & Co. 3.50% 2008 21,310 21,366 Irvine Co., Class A, 7.46% 2006(3),(5) 15,000 15,737 Irvine Apartment Communities, LP 7.00% 2007 5,000 5,452 Canadian Imperial Bank of Commerce 2.125% Eurodollar note 2085(2) 25,000 20,719 Bayerische Hypo- und Vereinsbank AG 6.00% 2014 Euro 10,000 13,793 HVB Funding Trust III 9.00% 2031(3) 1,990 2,568 HVB Funding Trust VIII 7.055% (undated) Euro 2,930 4,158 Developers Diversified Realty Corp. 3.875% 2009 19,500 19,169 United Dominion Realty Trust, Inc., Series E, 4.50% 2008 17,000 17,507 Providian Financial Corp., Series A, 9.525% 2027(3) 16,750 17,336 Kazkommerts International BV (CGMD) 7.375% 2014(2),(3) 2,250 2,205 Kazkommerts International BV 7.875% 2014(3) 15,500 14,996 CNA Financial Corp. 6.75% 2006 3,000 3,183 CNA Financial Corp. 6.60% 2008 3,458 3,707 CNA Financial Corp. 7.25% 2023 9,350 10,148 Principal Life Global Funding I 4.40% 2010(3) 16,600 16,813 Credit Suisse First Boston (USA), Inc. 6.50% 2012 15,000 16,688 Genworth Financial, Inc. 2.03% 2007(2) 2,500 2,504 Genworth Financial, Inc. 4.75% 2009 10,345 10,704 Genworth Financial, Inc. 5.75% 2014 3,000 3,167 Weingarten Realty Investors, Series A, 5.263% 2012 5,000 5,169 Weingarten Realty Investors, Series A, 4.857% 2014 11,080 10,942 Skandinaviska Enskilda Banken AB 4.958% (undated)(2),(3) 2,050 2,001 Skandinaviska Enskilda Banken AB, 7.50% (undated)(2) 12,500 14,021 Nationwide Life Insurance Co. 5.35% 2007(3) 4,250 4,444 Nationwide Mutual Insurance Co. 7.875% 2033(3) 8,000 9,555 Nationwide Mutual Insurance Co. 6.60% 2034(3) 2,000 1,996 Standard Chartered Bank 2.07% 2049(2) 5,000 4,012 Standard Chartered Bank 2.185% Eurodollar note (undated)(2) 15,000 11,944 Woori Bank 5.75% 2014(2),(3) 14,865 15,495 UFJ Finance Aruba AEC 6.75% 2013 12,045 13,378 Comerica, Inc., Imperial Capital Trust I, Imperial Bancorp, Series B, 9.98% 2026 10,200 12,508 Simon Property Group, LP 4.875% 2010 12,000 12,243 BANK ONE, Texas, NA 6.25% 2008 7,250 7,851 BANK ONE CORP. 4.90% 2015 4,000 3,941 MassMutual Global Funding II, Series 2002-1, 3.50% 2010(3) 12,000 11,679 Advanta Capital Trust I, Series B, 8.99% 2026 12,500 11,375 AB Spintab 6.00% 2009 SKr 73,000 10,873 Unicredito Italiano SpA, Series B, 8.048% (undated)(2) Euro 7,000 10,510 United Energy Distribution Pty Ltd., AMBAC insured, 4.70% 2011(3) 10,000 10,151 American Express Credit Corp. 3.00% 2008 9,060 8,913 Bank of Nova Scotia 2.115% Eurodollar note (undated)(2) 10,000 8,350 Sumitomo Mitsui Bank 4.375% 2014 Euro 6,670 8,328 BCI U.S. Funding Trust I 8.01% noncumulative preferred (undated)(2),(3) 6,500 7,360 Lloyds Bank, Series 2, 1.938% (undated)(2) 8,000 7,006 Allied Irish Banks Ltd. 2.18% (undated)(2) 7,000 6,056 iStar Financial, Inc., Series B, 4.875% 2009 2,500 2,518 iStar Financial, Inc., Series B, 5.125% 2011 1,500 1,504 iStar Financial, Inc., Series B, 5.70% 2014 1,750 1,763 Travelers Property Casualty Corp. 3.75% 2008 5,500 5,546 BNP Paribas 5.125% 2015(3) 5,100 5,208 PLD International Finance LLC 4.375% 2011 Euro 4,150 5,181 Munich Re Finance BV 6.75% 2023(2) Euro 3,670 5,177 Mizuho Financial Group (Cayman) Ltd. 5.79% 2014(3) 5,000 5,168 FelCor Lodging LP 9.00% 2011(2) 4,500 4,972 Wachovia Corp. 3.625% 2009 5,000 4,966 Host Marriott, LP, Series G, 9.25% 2007 625 703 Host Marriott, LP, Series L, 7.00% 2012(3) 4,000 4,230 Industrial Bank of Korea 4.00% 2014(2),(3) 5,000 4,899 Westpac Capital Trust IV 5.256% (undated)(2),(3) 4,500 4,432 Bergen Bank 2.115% (undated)(2) 5,000 4,144 National Bank of Canada 2.125% (undated)(2) 5,000 4,087 Federal Realty Investment Trust 4.50% 2011 3,500 3,405 Christiana Bank Og Kreditkasse 1.75% (undated)(2) 4,000 3,288 Zions Bancorporation 6.00% 2015 2,675 2,849 Downey Financial Corp. 6.50% 2014 2,500 2,623 ERP Operating LP 4.75% 2009 2,225 2,285 UnionBanCal Corp. 5.25% 2013 2,000 2,046 Principal Life Insurance Co. 3.20% 2009 2,000 1,953 LaBranche and Co., Inc. 9.50% 2009(3) 1,500 1,507 Crescent Real Estate LP 7.50% 2007 1,190 1,223 2,500,080 CONSUMER DISCRETIONARY -- 11.22% General Motors Acceptance Corp. 7.50% 2005 40,000 41,500 General Motors Acceptance Corp. 6.125% 2007 5,000 5,271 General Motors Acceptance Corp. 6.15% 2007 7,500 7,886 General Motors Acceptance Corp. 5.75% 2010(3) Euro 7,000 9,106 General Motors Acceptance Corp. 7.75% 2010 115,000 126,507 General Motors Acceptance Corp. 6.875% 2011 80,350 84,405 General Motors Corp. 7.20% 2011 5,500 5,832 General Motors Acceptance Corp. 7.25% 2011 17,000 18,174 General Motors Acceptance Corp. 6.875% 2012 34,100 35,488 General Motors Acceptance Corp. 7.00% 2012 19,190 20,108 General Motors Corp. 7.25% 2013 Euro 9,000 12,388 General Motors Acceptance Corp. 8.00% 2031 15,000 15,569 General Motors Corp. 8.375% 2033 160 170 Ford Motor Credit Co. 6.875% 2006 46,000 48,151 Ford Motor Credit Co. 7.20% 2007 3,000 3,243 Ford Motor Credit Co. 5.625% 2008 10,000 10,349 Ford Motor Credit Co. 5.80% 2009 10,000 10,375 Ford Motor Credit Co. 7.375% 2009 87,920 96,404 Ford Motor Credit Co. 7.875% 2010 94,100 105,077 Ford Motor Credit Co. 7.375% 2011 84,625 92,148 Ford Motor Co. 7.45% 2031 11,370 11,180 DaimlerChrysler North America Holding Corp. 7.75% 2005 18,462 19,126 DaimlerChrysler North America Holding Corp. 6.40% 2006 19,000 20,001 DaimlerChrysler North America Holding Corp. 4.05% 2008 34,750 35,091 DaimlerChrysler North America Holding Corp. 4.75% 2008 4,800 4,947 DaimlerChrysler North America Holding Corp. 7.20% 2009 17,500 19,718 DaimlerChrysler North America Holding Corp. 8.00% 2010 25,000 29,100 DaimlerChrysler North America Holding Corp. 7.75% 2011 16,500 19,211 DaimlerChrysler North America Holding Corp. 7.30% 2012 19,750 22,465 DaimlerChrysler North America Holding Corp. 6.50% 2013 16,750 18,205 DaimlerChrysler North America Holding Corp. 8.50% 2031 1,610 1,974 Comcast Cable Communications, Inc. 8.375% 2007 7,000 7,824 Comcast Cable Communications, Inc. 6.20% 2008 2,300 2,488 Lenfest Communications, Inc. 7.625% 2008 6,750 7,455 Comcast Cable Communications, Inc. 6.875% 2009 15,194 16,905 Tele-Communications, Inc. 9.80% 2012 17,500 22,344 Comcast Cable Communications, Inc. 7.125% 2013 4,475 5,070 Tele-Communications, Inc. 7.875% 2013 10,750 12,603 Comcast Corp. 6.50% 2015 8,000 8,657 Clear Channel Communications, Inc. 6.625% 2008 5,375 5,785 Chancellor Media Corp. of Los Angeles 8.00% 2008 10,000 11,350 Clear Channel Communications, Inc. 7.65% 2010 10,000 11,425 Clear Channel Communications, Inc. 5.75% 2013 12,500 12,860 Clear Channel Communications, Inc. 5.50% 2014 36,000 35,879 J.C. Penney Co., Inc. 7.375% 2008 2,000 2,220 J.C. Penney Co., Inc. 6.875% 2015 1,425 1,525 J.C. Penney Co., Inc. 7.65% 2016 7,500 8,550 J.C. Penney Co., Inc. 7.95% 2017 38,575 44,747 J.C. Penney Co., Inc. 7.625% 2097 7,500 7,800 Time Warner Inc. 8.18% 2007 2,225 2,492 AOL Time Warner Inc. 6.875% 2012 43,000 48,046 AOL Time Warner Inc. 7.625% 2031 10,500 12,123 Viacom Inc. 6.40% 2006 5,000 5,236 Viacom Inc. 5.625% 2007 6,600 6,986 Viacom Inc. 7.70% 2010 13,000 15,143 Viacom Inc. 6.625% 2011 25,000 27,798 Liberty Media Corp. 7.75% 2009 8,250 9,164 Liberty Media Corp. 7.875% 2009 38,020 42,482 Liberty Media Corp. 5.70% 2013 750 743 Toys "R" Us, Inc. 7.875% 2013 22,410 22,466 Toys "R" Us, Inc. 7.375% 2018 22,195 20,697 Pulte Homes, Inc. 4.875% 2009 25,300 25,907 Pulte Homes, Inc. 7.625% 2017 7,500 8,744 Harrah's Operating Co., Inc. 5.50% 2010(3) 30,260 31,305 Toll Brothers, Inc. 6.875% 2012 9,875 11,030 Toll Brothers, Inc. 4.95% 2014 19,250 18,831 Carnival Corp. 3.75% 2007 8,500 8,546 Carnival Corp. 6.15% 2008 17,663 19,097 Cox Communications, Inc. 7.75% 2006 2,325 2,495 Cox Communications, Inc. 7.875% 2009 1,000 1,117 Cox Communications, Inc. 7.75% 2010 10,000 11,158 Cox Communications, Inc. 4.625% 2013 10,000 9,237 Antenna TV SA 9.00% 2007 4,799 4,853 Antenna TV SA 9.75% 2008 Euro 15,000 18,919 Visteon Corp. 8.25% 2010 19,690 20,822 Visteon Corp. 7.00% 2014 2,000 1,910 Delphi Corp. 6.50% 2013 6,000 6,164 Delphi Trust II, trust preferred securities, 6.197% 2033(2) 15,250 15,498 Six Flags, Inc. 9.50% 2009 3,375 3,316 Six Flags, Inc. 8.875% 2010 8,850 8,341 Six Flags, Inc. 9.75% 2013 10,250 9,737 Hilton Hotels Corp. 7.625% 2008 1,000 1,125 Hilton Hotels Corp. 8.25% 2011 8,485 10,065 Hilton Hotels Corp. 7.625% 2012 8,295 9,684 Target Corp. 3.375% 2008 20,830 20,771 Charter Communications Holdings, LLC and Charter Communications Holdings Capital Corp. 10.75% 2009 1,000 825 CCH II, LLC and CCH II Capital Corp. 10.25% 2010 4,000 4,105 Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.00% 2012(3) 9,650 9,674 CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013 5,500 5,424 Young Broadcasting Inc. 8.50% 2008 5,200 5,551 Young Broadcasting Inc. 10.00% 2011 12,317 12,748 News America Holdings Inc. 6.625% 2008 12,900 14,076 News America Holdings Inc. 8.625% 2014 A$ 5,150 3,685 Cinemark USA, Inc. 9.00% 2013 9,925 11,141 Cinemark, Inc. 0%/9.75% 2014(7) 8,000 5,540 Telenet Group Holding NV 0%/11.50% 2014(3),(7) 22,300 16,502 Univision Communications Inc. 7.85% 2011 13,250 15,591 Office Depot, Inc. 10.00% 2008 5,250 6,195 Office Depot, Inc. 6.25% 2013 7,945 8,522 AMC Entertainment Inc. 8.00% 2014(3) 14,175 13,395 Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 2012 12,025 12,867 Ryland Group, Inc. 5.375% 2008 7,000 7,315 Ryland Group, Inc. 9.75% 2010 4,500 5,012 Tenneco Automotive Inc., Series B, 11.625% 2009 7,000 7,420 Tenneco Automotive Inc., Series B, 10.25% 2013 3,850 4,408 May Department Stores Co. 4.80% 2009(3) 11,500 11,736 Kohl's Corp. 6.30% 2011 9,000 9,945 Kohl's Corp. 7.375% 2011 1,500 1,767 Hollinger Participation Trust 12.125% 2010(2),(3),(8) 10,021 11,499 Centex Corp. 4.75% 2008 8,000 8,223 Centex Corp. 5.80% 2009 3,000 3,202 Kabel Deutschland GmbH 10.625% 2014(3) 9,650 10,567 Lowe's Companies, Inc. 8.25% 2010 8,450 10,203 Mohegan Tribal Gaming Authority 6.375% 2009 7,700 8,027 Mohegan Tribal Gaming Authority 7.125% 2014(3) 1,500 1,579 Adelphia Communications Corp. 10.25% 2006(9) 3,500 3,167 FrontierVision 11.00% 2006(9) 700 875 Century Communications Corp. 0% 2003(10) 5,000 4,700 Cox Radio, Inc. 6.375% 2005 8,000 8,148 Gannett Co., Inc. 4.95% 2005 8,000 8,098 Regal Cinemas Corp., Series B, 9.375% 2012(5) 7,250 8,084 Buffets, Inc. 11.25% 2010 7,500 7,987 MGM MIRAGE 8.50% 2010 6,850 7,818 Technical Olympic USA, Inc. 9.00% 2010 1,950 2,145 Technical Olympic USA, Inc. 9.00% 2010 1,550 1,705 Technical Olympic USA, Inc. 7.50% 2011 3,750 3,834 NTL Cable PLC 8.75% 2014(2),(3) 5,825 6,335 NTL Cable PLC 8.75% 2014 Euro 1,000 1,264 Royal Caribbean Cruises Ltd. 7.00% 2007 1,400 1,512 Royal Caribbean Cruises Ltd. 8.75% 2011 4,825 5,657 Payless ShoeSource, Inc. 8.25% 2013 7,000 6,825 PETCO Animal Supplies, Inc. 10.75% 2011 5,750 6,699 Mandalay Resort Group, Series B, 10.25% 2007 5,000 5,700 Blockbuster Inc. 9.00% 2012(3) 5,025 5,239 RBS-Zero Editora Jornalistica SA 11.00% 2010(3) 5,604 5,212 Perkins Family Restaurants, LP, Perkins Finance Corp., Series B, 10.125% 2007 4,793 4,901 Saks Inc. 7.50% 2010 4,500 4,837 Argosy Gaming Co. 9.00% 2011 1,250 1,409 Argosy Gaming Co. 7.00% 2014 3,000 3,109 Standard Pacific Corp. 5.125% 2009 1,000 997 Standard Pacific Corp. 6.25% 2014 3,500 3,491 Radio One, Inc., Series B, 8.875% 2011 4,000 4,430 William Lyon Homes, Inc. 10.75% 2013 2,000 2,320 William Lyon Homes, Inc. 7.50% 2014 2,000 2,050 Carmike Cinemas, Inc. 7.50% 2014 4,200 4,273 D.R. Horton, Inc. 6.125% 2014 4,000 4,155 Lear Corp., Series B, 8.11% 2009 3,580 4,137 Boyd Gaming Corp. 9.25% 2009 3,500 3,841 TRW Automotive Acquisition Corp. 9.375% 2013 2,325 2,668 TRW Automotive Acquisition Corp. 11.00% 2013 650 777 Hyatt Equities, LLC 6.875% 2007(3) 3,185 3,401 MDC Holdings, Inc. 5.50% 2013 3,000 3,054 YUM! Brands, Inc. 7.70% 2012 2,500 2,975 DIRECTV Holdings LLC and DIRECTV Financing Co., Inc. 8.375% 2013 2,300 2,628 LBI Media, Inc. 10.125% 2012 2,250 2,531 WCI Communities, Inc. 9.125% 2012 2,000 2,240 Dana Corp. 9.00% 2011 1,700 2,061 NextMedia Operating, Inc. 10.75% 2011 1,750 1,980 Globo Comunicacoes e Participacoes Ltda., Series B, 10.50% 2006(3),(9) 1,990 1,443 Globo Comunicacoes e Participacoes Ltda., Series B, 10.50% 2006(9) 690 500 ArvinMeritor, Inc. 8.75% 2012 1,725 1,919 Sbarro, Inc. 11.00% 2009 2,015 1,894 Stoneridge, Inc. 11.50% 2012 1,360 1,547 Jostens IH Corp. 7.625% 2012(3) 1,475 1,490 Boyds Collection, Ltd., Series B, 9.00% 2008 1,501 1,441 Starwood Hotels & Resorts Worldwide, Inc. 7.375% 2007 250 271 Starwood Hotels & Resorts Worldwide, Inc. 7.875% 2012 1,000 1,136 Warner Music Group 7.375% 2014(3) 1,250 1,300 Atlantic Broadband Finance, LLC and Atlantic Broadband Finance, Inc. 9.375% 2014(3) 1,300 1,238 La Quinta Properties, Inc. 7.00% 2012(3) 1,000 1,059 Reader's Digest Association, Inc. 6.50% 2011 1,000 1,035 Warnaco, Inc. 8.875% 2013 925 1,034 Videotron Ltee 6.875% 2014 1,000 1,030 Dillard's, Inc. 6.625% 2018 1,000 960 Dex Media, Inc., Series B, 8.00% 2013 525 554 Bombardier Recreational Products 8.375% 2013(3) 500 529 2,103,097 U.S. TREASURY NOTES & BONDS -- 10.73% U.S. Treasury Obligations 11.625% 2004 30,000 30,366 U.S. Treasury Obligations 1.125% 2005 4,060 4,031 U.S. Treasury Obligations 5.75% 2005 111,000 115,283 U.S. Treasury Obligations 5.875% 2005 20,000 20,800 U.S. Treasury Obligations 6.75% 2005 175,325 180,366 U.S. Treasury Obligations 2.50% 2006 1,760 1,761 U.S. Treasury Obligations 5.625% 2006 1,910 1,995 U.S. Treasury Obligations 6.875% 2006 281,990 301,817 U.S. Treasury Obligations 3.00% 2007 70,500 70,720 U.S. Treasury Obligations 3.375% 2007(2),(6) 246,273 263,041 U.S. Treasury Obligations 4.375% 2007 32,890 34,206 U.S. Treasury Obligations 6.125% 2007 25,000 27,242 U.S. Treasury Obligations 6.25% 2007 54,385 58,778 U.S. Treasury Obligations 6.625% 2007 40,940 44,900 U.S. Treasury Obligations 2.625% 2008 20,000 19,716 U.S. Treasury Obligations 3.625% 2008(2),(6) 115,026 126,042 U.S. Treasury Obligations 4.75% 2008 40,000 42,419 U.S. Treasury Obligations 5.625% 2008 40,000 43,519 U.S. Treasury Obligations 6.00% 2009(4) 9,880 11,049 U.S. Treasury Obligations 10.375% 2009 12,500 12,631 U.S. Treasury Obligations 10.00% 2010 5,000 5,241 U.S. Treasury Obligations 3.50% 2011(2),(4),(6) 54,414 61,520 U.S. Treasury Obligations 5.00% 2011 25,000 26,879 U.S. Treasury Obligations 3.00% 2012(2),(6) 569 629 U.S. Treasury Obligations 10.375% 2012 24,500 29,863 U.S. Treasury Obligations 3.875% 2013 730 726 U.S. Treasury Obligations 12.00% 2013 10,000 13,211 U.S. Treasury Obligations 11.250% 2015 70,000 111,399 U.S. Treasury Obligations 9.250% 2016 5,510 7,934 U.S. Treasury Obligations 7.875% 2021 560 758 U.S. Treasury Obligations 6.875% 2025 222,750 279,689 U.S. Treasury Obligations 5.25% 2028 31,295 32,542 U.S. Treasury Obligations 3.875% 2029(2),(6) 1,037 1,372 U.S. Treasury Obligations 6.25% 2030 2,010 2,386 U.S. Treasury Obligations Principal Strip 0% 2009 1,250 1,058 U.S. Treasury Obligations Principal Strip 0% 2011 10,495 8,026 U.S. Treasury Obligations Principal Strip 0% 2015 5,000 3,035 U.S. Treasury Obligations Principal Strip 0% 2018 24,120 12,467 U.S. Treasury Obligations Principal Strip 0% 2029 150 43 U.S. Treasury Obligations Principal Strip 0% 2029 8,250 2,277 2,011,737 TELECOMMUNICATION SERVICES -- 6.59% Sprint Capital Corp. 4.78% 2006 27,225 28,002 Sprint Capital Corp. 6.00% 2007 14,500 15,357 Sprint Capital Corp. 6.375% 2009 12,565 13,759 Sprint Capital Corp. 7.625% 2011(4) 60,855 70,397 Sprint Capital Corp. 8.375% 2012 17,825 21,619 Sprint Capital Corp. 6.90% 2019 17,275 18,958 Sprint Capital Corp. 6.875% 2028 8,010 8,427 Verizon Wireless Capital LLC and Cellco Partnership 5.375% 2006 116,830 122,355 British Telecommunications PLC 8.375% 2010(2) 75,749 91,456 British Telecommunications PLC 7.125% 2011(2) Euro 10,420 15,021 AT&T Corp. 6.00% 2009 28,680 29,325 AT&T Corp. 8.05% 2011(2),(4) 58,500 65,739 AT&T Wireless Services, Inc. 7.875% 2011(4) 15,355 18,216 Tritel PCS, Inc. 10.375% 2011 12,954 14,786 AT&T Wireless Services, Inc. 8.125% 2012(4) 37,630 45,536 AT&T Wireless Services, Inc. 8.75% 2031 1,440 1,896 France Telecom 7.50% 2008(2) Euro 3,500 4,860 France Telecom 8.50% 2011(2) 58,300 69,878 Vodafone Group PLC 4.25% 2009 Euro 7,000 8,957 Vodafone Group PLC 7.75% 2010 55,210 64,837 SBC Communications Inc. 5.75% 2006 3,575 3,734 SBC Communications, Inc. 6.25% 2011 1,150 1,263 SBC Communications Inc. 5.875% 2012 23,755 25,435 SBC Communications Inc. 5.625% 2016 26,425 27,062 SBC Communications Inc. 6.45% 2034 2,000 2,055 Deutsche Telekom International Finance BV 7.50% 2007(2) Euro 3,500 4,825 Deutsche Telekom International Finance BV 3.875% 2008 1,100 1,105 Deutsche Telekom International Finance BV 8.50% 2010(2) 24,000 28,799 Deutsche Telekom International Finance BV 8.125% 2012(2) Euro 3,910 6,067 Deutsche Telekom International Finance BV 9.25% 2032(2) 7,750 10,836 Telecom Italia Capital, Series A, 4.00% 2008(3) 1,270 1,278 Sogerim SA 7.25% 2011 Euro 1,400 2,018 Telecom Italia SpA 6.25% 2012 15,000 20,851 Telecom Italia Capital, Series B, 5.25% 2013(3) 6,300 6,430 Telecom Italia Capital SA 4.95% 2014(3) 20,000 19,792 Koninklijke KPN NV, Series 7, 8.25% 2008 Pound 1,000 1,975 Koninklijke KPN NV 8.00% 2010 35,945 42,797 American Tower Corp. 9.375% 2009(4) 32,253 34,349 American Tower Corp. 7.125% 2012(3) 7,725 7,686 Verizon Global Funding Corp. 6.125% 2007 2,550 2,734 Verizon Global Funding Corp. 7.25% 2010 7,690 8,878 Verizon New York Inc., Series A, 6.875% 2012 5,250 5,847 Verizon Global Funding Corp. 7.375% 2012 9,710 11,356 Qwest Services Corp. 14.00% 2010(3) 12,175 14,275 Qwest Services Corp. 14.50% 2014(3) 7,800 9,477 Crown Castle International Corp. 10.75% 2011 5,000 5,587 Crown Castle International Corp., Series B, 7.50% 2013 11,200 11,788 Crown Castle International Corp. 7.50% 2013 4,475 4,710 Nextel Communications, Inc. 6.875% 2013 3,000 3,135 Nextel Communications, Inc. 7.375% 2015 15,325 16,551 Centennial Cellular Corp. 10.75% 2008 13,348 13,949 Centennial Communications Corp., Centennial Cellular Operating Co. LLC and Centennial Puerto Rico Operating Corp. 8.625% 2014(2),(3) 5,000 4,794 BellSouth Corp. 4.20% 2009 17,530 17,650 Singapore Telecommunications Ltd. 6.375% 2011 3,475 3,863 Singapore Telecommunications Ltd. 7.375% 2031(3) 10,000 11,844 Nextel Partners, Inc. 12.50% 2009 677 785 Nextel Partners, Inc. 8.125% 2011 10,870 11,577 Nextel Partners, Inc. 8.125% 2011(3) 3,000 3,195 PCCW-HKT Capital Ltd. 8.00% 2011(2),(3) 12,375 14,247 ALLTEL Corp. 7.00% 2012 10,000 11,425 Dobson Communications Corp. 10.875% 2010 50 37 Dobson Communications Corp. 8.875% 2013 16,320 10,608 Telefonica Europe BV 5.125% 2013 Euro 7,600 10,029 AirGate PCS, Inc. 9.375% 2009(3) 9,167 9,350 SK Telecom Co., Ltd. 4.25% 2011(3) 9,550 9,309 Cincinnati Bell Inc. 7.25% 2013 6,800 6,579 TELUS Corp. 8.00% 2011 5,250 6,160 Triton PCS, Inc. 8.75% 2011 2,000 1,370 Triton PCS, Inc. 9.375% 2011 6,500 4,696 Cellco Finance NV 12.75% 2005 3,500 3,745 SpectraSite, Inc. 8.25% 2010 2,100 2,268 Millicom International Cellular SA 10.00% 2013(3) 1,500 1,515 Rogers Cantel Inc. 9.75% 2016 1,250 1,402 iPCS Escrow Co. 11.50% 2012(3) 1,000 1,055 US Unwired Inc., Series B, 10.00% 2012 1,000 1,042 GT Group Telecom Inc., units, 0%/13.25% 2010(3),(5),(7),(9),(11) 2,753 0 1,234,570 NON-U.S. GOVERNMENT OBLIGATIONS -- 5.54% Bundesobligation Eurobond 5.00% 2005 Euro 107,750 136,982 Bundesobligation Eurobond 4.50% 2006 41,920 53,920 Deutschland Republic 4.50% 2009 55,000 72,038 Deutschland Republic 6.25% 2030 34,130 52,449 Japanese Government 0.10% 2004 (Y) 1,220,000 11,101 Japanese Government 0.50% 2007 4,186,100 38,371 Japanese Government 0.90% 2008 11,030,000 102,167 Japanese Government 0.50% 2013 5,726,450 48,683 United Mexican States Government Global 4.625% 2008 11,000 11,124 United Mexican States Government Global 10.375% 2009 14,500 17,871 United Mexican States Government, Series MI10, 8.00% 2013 MXP 171,200 13,241 United Mexican States Government Eurobonds 11.375% 2016 18,658 27,521 United Mexican States Government 8.00% 2023 MXP 153,800 10,677 United Mexican States Government Global 8.30% 2031 8,220 9,371 United Mexican States Government Global 7.50% 2033 3,750 3,951 Canadian Government 9.00% 2004 C$ 10,000 8,017 Canadian Government 4.25% 2026(2),(6) 66,695 70,949 Korean Government 4.50% 2008 KRW 59,075,000 53,024 Polish Government 8.50% 2006 PLZ 72,000 20,803 Polish Government 6.00% 2010 80,750 22,058 Russian Federation 8.25% 2010 21,580 23,520 Russian Federation 8.25% 2010(3) 3,300 3,597 Russian Federation 5.00% 2030(2) 13,800 13,351 Russian Federation 5.00% 2030(2),(3) 145 140 Swedish Government 5.00% 2009 Skr 105,000 15,197 Swedish Government 5.25% 2011 110,000 16,165 United Kingdom 8.50% 2005 Pound 1,540 2,916 United Kingdom 5.00% 2008 6,960 12,721 United Kingdom 6.00% 2028 1,800 3,884 United Kingdom 4.25% 2032 3,125 5,336 Hungarian Government 8.50% 2006 HUF 4,500,000 22,034 Hungarian Government 6.25% 2008 300,000 1,349 Italian Government BTPS Eurobond 6.00% 2007 Euro 16,204 21,919 New South Wales Treasury Corp. 8.00% 2008 A$ 26,000 20,353 French Government O.A.T. Eurobond Strip Principal 0% 2019 Euro 14,000 8,926 French Government O.A.T. Eurobond 5.50% 2029 7,610 10,666 State of Qatar 9.75% 2030 12,220 17,627 Banque Centrale de Tunisie 4.75% 2011 Euro 3,000 3,770 Banque Centrale de Tunisie 7.375% 2012 6,250 7,133 Norwegian Government 6.00% 2011 NOK 57,000 9,487 Bulgaria (Republic of) 8.25% 2015 6,065 7,475 Corporacion Andina de Fomento 6.875% 2012 5,895 6,642 Panama (Republic of) 10.75% 2020 210 253 Panama (Republic of) Global 9.375% 2023 3,837 4,202 Panama (Republic of) 8.875% 2027 250 264 Panama (Republic of) Global 9.375% 2029 675 759 Peru (Republic of) 9.125% 2012 432 486 Peru (Republic of) 8.375% 2016 2,500 2,612 Peru (Republic of) Past Due Interest Eurobond 5.00% 2017(2) 383 351 Brazil (Federal Republic of), Bearer 8.00% 2014(8) 717 709 Brazil (Federal Republic of) 8.875% 2024 1,375 1,324 Brazil (Federal Republic of) 12.25% 2030 425 527 Brazil (Federal Republic of) 11.00% 2040 610 685 New Zealand Government 4.50% 2016(2),(6) NZ 3,528 2,571 Dominican Republic 9.50% 2006(3) 2,135 1,836 Guatemala (Republic of) 10.25% 2011(3) 1,000 1,170 Venezuela (Republic of) 9.25% 2027 915 904 El Salvador (Republic of) 7.625% 2034(3) 750 772 Turkey (Republic of) 12.375% 2009 500 625 Argentina (Republic of) Global 15.50% 2008(12) 725 221 Argentina (Republic of) 11.75% 2009(12) 60 18 Argentina (Republic of), Series E, 0% 2003(12) 1,000 272 Argentina (Republic of) Global 12.25% 2018(8),(12) 80 24 Argentina (Republic of) Global 12.00% 2031(8),(12) 53 16 1,039,127 ASSET-BACKED(1) -- 5.32% Metris Master Trust, Series 2000-1, Class A, 2.111% 2008(2) 41,100 41,018 Metris Master Trust, Series 2000-3, Class A, 2.071% 2009(2) 3,500 3,492 Metris Master Trust, Series 2001-2, Class A, 2.131% 2009(2) 23,000 22,946 Metris Master Trust, Series 2001-2, Class C, 3.711% 2009(2),(3) 10,000 9,800 WFS Financial Owner Trust, Series 2002-3, Class A-4, 3.50% 2010 15,000 15,176 WFS Financial Owner Trust, Series 2004-1, Class C, 2.49% 2011 6,000 5,955 WFS Financial Owner Trust, Series 2004-1, Class A-4, 2.81% 2011 12,000 11,874 Wells Fargo Mortgage Backed Securities Trust, Series 2004-2, Class AI-5, 4.89% 2034 39,935 40,023 Residential Asset Mortgage Products Trust, Series 2004-RZ1, Class A-I-2, 2.34% 2027 19,000 18,765 Residential Asset Mortgage Products Trust, Series 2003-RS1, Class A-I-3, 3.495% 2028 1,263 1,263 Residential Asset Mortgage Products Trust, Series 2004-RS3, Class A-I-2, 3.052% 2029 1,550 1,526 Residential Asset Mortgage Products Trust, Series 2004-RS9, Class A-I-4, AMBAC insured, 4.767% 2032 10,000 9,981 Residential Asset Mortgage Products Trust, Series 2004-RZ3, Class A-I-4, 4.572% 2033 6,038 5,987 Residential Asset Mortgage Products Trust, Series 2003-RZ4, Class A-7, 4.79% 2033(2) 10,000 9,972 Residential Asset Mortgage Products Trust, Series 2003-RS11, Class A-I-7, 4.828% 2033 9,000 8,949 Residential Asset Securities Corp. Trust, Series 2003-KS2, Class A-I-2, 2.15% 2024 2,723 2,721 Residential Asset Securities Corp. Trust, Series 2002-KS4, Class A-1-3, AMBAC insured, 4.59% 2026 1,051 1,052 Residential Asset Securities Corp. Trust, Series 2003-KS2, Class A-I-3, 2.66% 2028 16,750 16,699 Residential Asset Securities Corp. Trust, Series 1999-KS3, Class A-I-7, AMBAC insured, 7.505% 2030 3,295 3,388 Residential Asset Securities Corp. Trust, Series 2001-KS3, Class A-I-6, 5.96% 2031 24,400 25,101 MMCA Auto Owner Trust, Series 2000-2, Class B, 7.42% 2005 1,937 1,940 MMCA Auto Owner Trust, Series 2000-1, Class B, 7.55% 2005 1,807 1,811 MMCA Auto Owner Trust, Series 2001-2, Class B, 5.75% 2007 2,153 2,165 MMCA Auto Owner Trust, Series 2001-3, Class B, 2.71% 2008(2) 5,996 5,952 MMCA Auto Owner Trust, Series 2002-4, Class B, 3.82% 2009 4,651 4,664 MMCA Auto Owner Trust, Series 2002-2, Class A-4, 4.30% 2010 24,600 24,805 MMCA Auto Owner Trust, Series 2002-2, Class B, 4.67% 2010 1,509 1,489 Green Tree Financial Corp., Series 1993-2, Class B, 8.00% 2018 2,250 2,132 Green Tree Financial Corp., Series 1995-3, Class B-2, 8.10% 2025(9) 4,192 545 Green Tree Financial Corp., Series 1995-8, Class B-2, 7.65% 2026(9) 7,045 106 Green Tree Financial Corp., Series 1995-6, Class B-2, 8.00% 2026(9) 2,383 107 Green Tree Financial Corp., Series 1996-6, Class B-2, 8.35% 2027(9) 6,984 35 Green Tree Financial Corp., Series 1996-5, Class B-2, 8.45% 2027(9) 4,489 22 Green Tree Financial Corp., Series 1996-10, Class A-6, 7.30% 2028 5,826 6,229 Green Tree Financial Corp., Series 1997-8, Class B-2, 7.75% 2028(9) 2,139 11 Green Tree Financial Corp., Series 1997-6, Class A-7, 7.14% 2029 11,453 12,334 Green Tree Recreational, Equipment & Consumer Trust, Series 1997-D, 7.25% 2029 8,337 6,670 Green Tree Financial Corp., Series 1997-6, Class B-2, 7.75% 2029(9) 3,432 17 Green Tree Financial Corp., Series 1998-4, Class B-2, 8.11% 2030(9) 9,019 45 Conseco Finance Home Equity Loan Trust, Series 2002-B, Class M-1, 3.51% 2033(2) 4,500 4,590 Conseco Finance Manufactured Housing Contract Trust, Series 2001-3, Class A-2, 5.16% 2033 3,045 3,070 Conseco Finance Home Equity Loan Trust, Series 2002-B, Class A-2, 5.31% 2033 1,028 1,031 Conseco Finance Manufactured Housing Contract Trust, Series 2001-3, Class A-3, 5.79% 2033 5,000 5,144 CPS Auto Receivables Trust, Series 2003-A, Class A-2, XLCA insured, 2.89% 2009(3) 29,610 29,402 CPS Auto Receivables Trust, Series 2002-B, Class A-2, XLCA insured, 3.50% 2009(3) 2,490 2,511 CPS Auto Receivables Trust, Series 2002-C, Class A-2, XLCA insured, 3.52% 2009(3) 1,295 1,296 CPS Auto Receivables Trust, Series 2004-A, Class A-2, FSA insured, 3.87% 2010(3) 7,141 7,162 Vanderbilt Mortgage and Finance, Inc., Series 2002-B, Class A-3, 4.70% 2018 5,100 5,163 Vanderbilt Mortgage and Finance, Inc., Series 2002-C, Class A-4, 6.57% 2024 7,630 8,414 Vanderbilt Mortgage and Finance, Inc., Series 1999-B, Class I-A-6, 6.925% 2024 10,250 11,049 Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-4, 7.905% 2026 5,000 5,482 Vanderbilt Mortgage and Finance, Inc., Series 2000-C, Class A-5, 8.195% 2030 6,889 7,782 Vanderbilt Mortgage and Finance, Inc., Series 2001-C, Class M-1, 6.76% 2032 1,500 1,581 AmeriCredit Automobile Receivables Trust, Series 2003-A-M, Class A-3-A, MBIA insured, 2.37% 2007 17,000 16,995 AmeriCredit Automobile Receivables Trust, Series 2003-A-M, Class A-4-A, MBIA insured, 3.10% 2009 2,000 2,002 AmeriCredit Automobile Receivables Trust, Series 2002-C, Class A-4, FSA insured, 3.55% 2009 4,000 4,037 AmeriCredit Automobile Receivables Trust, Series 2003-C-F, Class A-4, FSA insured, 3.48% 2010 15,500 15,654 First Investors Auto Owners Trust, Series 2002-A, Class A, MBIA insured, 3.46% 2008(3) 2,402 2,411 First Investors Auto Owners Trust, Series 2003-A, Class A, MBIA insured, 2.58% 2011(3) 23,635 23,598 MBNA Credit Card Master Note Trust, Series 2002-1, Class B, 5.15% 2009 17,000 17,683 MBNA Master Credit Card Trust II, Series 1999-B, Class A, 5.90% 2011 3,000 3,272 MBNA Master Credit Card Trust II, Series 1999-B, Class B, 6.20% 2011 3,750 4,081 Ameriquest Mortgage Securities Inc., Series 2004-R4, Class A-4, 2.32% 2034(2) 22,757 22,762 Centex Home Equity Loan Trust, Series 2003-A, Class AF-3, 2.708% 2026 22,400 22,399 Vanderbilt Acquisition Loan Trust, Series 2002-1, Class B-1, 7.30% 2021 10,000 10,222 Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-4, 6.57% 2027 8,290 8,792 Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-5, 7.12% 2032 3,000 3,285 Morgan Stanley Capital I, Inc., Series 2004-NC3, Class M-1, 2.37% 2034(2) 20,000 20,012 New Century Home Equity Loan Trust, Series 2001-NC2, Class M-1, 2.631% 2031(2) 5,000 5,004 New Century Home Equity Loan Trust, Series 2004-A, Class A-II-5, FGIC insured, 5.25% 2034 11,000 11,184 New Century Home Equity Loan Trust, Series 2004-A, Class M-II, FGIC insured, 5.65% 2034 3,000 3,034 Consumer Credit Reference Index Securities Program Trust, Series 2002-1A, Class A, AMBAC insured, 3.919% 2007(2),(3) 10,158 10,303 Consumer Credit Reference Index Securities Program Trust, Series 2002-2A, Class FX, 10.421% 2007(3) 8,250 8,610 Drive Auto Receivables Trust, Series 2004-A, Class A-2, XLCA insured, 1.638% 2006(3) 10,838 10,784 Drive Auto Receivables Trust, Series 2003-1, Class A-3, MBIA insured, 2.41% 2007(3) 5,000 4,990 Drive Auto Receivables Trust, Series 2001-2, Class A, MBIA insured, 3.91% 2007(3) 2,767 2,795 PP&L Transition Bond Co. LLC, Series 1999-1, Class A-7, 7.05% 2009 15,000 16,229 Household Automotive Trust, Series 2001-3, Class A-4, 4.37% 2008 16,000 16,202 Triad Automobile Receivables Trust, Series 2002-A, Class A-3, AMBAC insured, 2.62% 2007 6,286 6,302 Triad Automobile Receivables Trust, Series 2002-1, Class A-3, AMBAC insured, 3.00% 2009(3) 9,833 9,871 CWABS, Inc., Series 2004-10, Class AF-6, 4.485% 2034 16,000 15,917 PECO Energy Transition Trust, Series 1999-A, Class A-7, 6.13% 2009 14,250 15,459 CNL Funding, Series 2000-AA, Class A-2, MBIA Insured, 8.044% 2017(3) 13,800 14,914 Pass-through Amortizing Credit Card Trusts, Series 2002-1A, Class A-2FX, 4.685% 2012(3) 3,122 3,144 Pass-through Amortizing Credit Card Trusts, Series 2002-1A, Class A-3FX, 6.298% 2012(3) 9,936 9,986 Banco Itau SA, Series 2002, XLCA insured, 2.78% 2007(2),(3) 12,509 12,415 AESOP Funding II LLC, Series 2003-2, Class A-1, MBIA insured, 2.74% 2007(3) 12,000 11,938 Prestige Auto Receivables Trust, Series 2003-1, Class A-2, FSA insured, 2.41% 2010(3) 11,834 11,819 California Infrastructure and Economic Development Bank, Special Purpose Trust, SCE-1, Series 1997-1, Class A-6, 6.38% 2008 2,667 2,777 California Infrastructure and Economic Development Bank, Special Purpose Trust, PG&E-1, Series 1997-1, Class A-7, 6.42% 2008 7,890 8,205 PF Export Receivables Master Trust, Series 2001-B, MBIA insured, 6.60% 2011(3) 10,000 10,933 Origen Manufactured Housing Contract Trust, Series 2004-B, Class A-1, 2.87% 2013 6,500 6,481 Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-1, 5.73% 2035 2,500 2,463 Origen Manufactured Housing Contract Trust, Series 2004-B, Class M-2, 6.51% 2035 2,000 1,967 Impac CMB Grantor Trust, Series 2004-6, Class M-4, 2.99% 2034(2) 10,286 10,380 Capital One Auto Finance Trust, Series 2004-B, Class A-3, MBIA insured, 2.96% 2008 10,000 9,962 CitiFinancial Mortgage Securities Inc., Series 2003-1, Class AF-2, 2.948% 2033 8,901 8,905 ACLC Business Loan Receivables Trust, Series 2002-1, Class A-2, 7.462% 2022(3) 8,988 8,651 Nordstrom Credit Card Master Note Trust, Series 2002-1, Class B, 2.46% 2010(2),(3) 8,000 8,061 Drivetime Auto Owner Trust, Series 2003-A, Class A-3, XLCA insured, 2.524% 2008(3) 8,000 8,006 Home Equity Asset Trust, Series 2004-7, Class M-1, 2.46% 2035(2) 7,500 7,500 GRCT Consumer Loan Trust, Series 2001-1A, Class 2BRV, 6.251% 2020(3) 6,858 6,897 First USA Credit Card Master Trust, Series 1997-4, Class C, 2.788% 2010(2),(3) 6,630 6,641 PCR Auto Receivables Trust, Series 2004-1, Class A-2, XLCA insured, 3.995% 2010(3) 6,357 6,410 Harley-Davidson Motorcycle Trust, Series 2001-3, Class B, 3.72% 2009 667 671 Harley-Davidson Motorcycle Trust, Series 2001-3, Class A-2, 4.04% 2009 3,590 3,620 Harley-Davidson Motorcycle Trust, Series 2002-2, Class B, 2.84% 2010 2,091 2,084 Capital One Multi-asset Execution Trust, Series 2003-1, Class A, 2.15% 2009(2) 6,000 6,033 Chase Manhattan Auto Owner Trust, Series 2002-B, 4.24% 2009 5,828 5,899 NextCard Credit Card Master Note Trust, Series 2000-1, Class B, 2.56% 2006(2),(3) 5,744 5,759 Equity One ABS, Inc., Series 2004-4, Class A-F-4, 4.628% 2034 5,650 5,638 New South Motor Vehicle Trust, Series 2002-A, Class A-3, AMBAC insured, 3.03% 2010 5,273 5,301 Continental Auto Receivables Owner Trust, Series 2000-B, Class CTFS, MBIA insured, 7.11% 2007(3) 5,261 5,274 Chase Funding Trust, Series 2003-1, Class IA-3, 3.14% 2023 3,500 3,503 Chase Funding Trust, Series 1999-3, Class IIM-1, 2.49% 2029(2) 1,741 1,743 Lehman ABS Manufactured Housing Contract, Series 2001-B, Class A-3, 4.35% 2014 4,996 4,999 West Penn Funding LLC, Series 1999-A, Class A-4, 6.98% 2008 4,500 4,962 Hyundai Auto Receivables Trust, Series 2001-A, Class C, 5.57% 2006(3) 2,380 2,406 Hyundai Auto Receivables Trust, Series 2002-A, Class C, 3.91% 2009(3) 2,000 2,016 IndyMac Home Equity Mortgage Loan Asset-backed Trust, Series SPMD 2001-A, Class AF-6, 6.537% 2030 4,154 4,206 Financial Pacific Funding II, LLC, Series 2003-A, Class A, FSA insured, 2.29% 2009(3) 4,218 4,189 Advanta Mortgage Loan Trust, Series 1999-2, Class A-6, AMBAC insured, 6.82% 2029 2,997 3,095 SeaWest Securitization, LLC, Series 2002-A, Class A-3, XLCA insured, 3.58% 2008(3) 1,921 1,929 SeaWest Securitization, LLC, Series 2003-A, Class A-2, XLCA insured, 2.84% 2009(3) 916 919 Chevy Chase Auto Receivables Trust, Series 2001-2, Class A-4, 4.44% 2007 2,679 2,704 NPF XII, Inc., Series 1999-3, Class B, 2.389% 2003(2),(3),(5),(10) 3,000 30 NPF XII, Inc., Series 2001-1A, Class A, 1.989% 2004(2),(3),(5),(10) 7,000 796 NPF XII, Inc., Series 2001-3, Class A, 5.52% 2007(3),(5),(9) 16,000 1,820 Option One Mortgage Loan Trust, Series 2002-1, Class M-1, 2.59% 2032(2) 2,000 1,996 CIT Equipment Collateral, Series 2002-VT1, Class B, 3.97% 2009 1,162 1,168 Capital One Master Trust, Series 2002-1A, Class B, 2.36% 2011(2) 1,000 1,011 Home Equity Asset Trust, Series 2004-2, Class M-1, 2.37% 2034(2) 1,000 1,001 World Omni Auto Receivables Trust, Series 2001-B, Class B, 4.14% 2008 789 796 998,356 INDUSTRIALS -- 5.23% Continental Airlines, Inc., Series 1998-3, Class C-2, 7.25% 2005 12,000 10,862 Continental Airlines, Inc., MBIA insured, 2.72% 2009(2) 2,000 2,020 Continental Airlines, Inc., Series 2001-1, Class A-2, 6.503% 2011 10,500 9,841 Continental Airlines, Inc., Series 1997-1, Class A, 7.461% 2016(1) 10,722 9,945 Continental Airlines, Inc., Series 1996-2, Class D, 11.50% 2016(1) 1,912 1,344 Continental Airlines, Inc., Series 2001-1, Class B, 7.373% 2017(1) 4,720 3,705 Continental Airlines, Inc., Series 1998-1, Class A, 6.648% 2019(1) 22,837 21,391 Continental Airlines, Inc., Series 1997-4, Class A, 6.90% 2019(1) 28,409 27,371 Continental Airlines, Inc., Series 1999-1, Class B, 6.795% 2020(1) 15,833 12,689 Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703% 2021(1) 9,545 8,901 Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 2022(1) 4,240 4,138 Hutchison Whampoa International Ltd. 7.00% 2011(3) 33,125 36,565 Hutchison Whampoa International Ltd. 6.50% 2013(3) 40,000 42,212 Hutchison Whampoa International Ltd. 6.25% 2014(3) 17,200 17,688 General Electric Capital Corp., Series A, 5.00% 2007 21,500 22,501 General Electric Capital Corp., Series A, 5.375% 2007 13,250 13,953 General Electric Capital Corp., Series A, 7.25% 2007 Pound 1,030 1,969 General Electric Capital Corp., Series A, 3.50% 2008 20,000 20,036 General Electric Capital Corp., Series A, 6.00% 2012 15,000 16,505 General Electric Co. 5.00% 2013 12,750 13,135 Tyco International Group SA 6.125% 2008 14,500 15,740 Tyco International Group SA 6.125% 2009 11,500 12,515 Tyco International Group SA 6.375% 2011 47,765 52,900 BAE SYSTEMS 2001 Asset Trust, Series 2001, Class B, 7.156% 2011(1),(3) 33,351 36,000 BAE SYSTEMS 2001 Asset Trust, Series 2001, Class G, MBIA insured, 6.664% 2013(1),(3) 29,990 33,332 American Airlines, Inc., Series 1999-1, Class A-1, 6.855% 2010(1) 13,480 13,319 American Airlines, Inc., Series 2001-2, Class A-1, 6.978% 2012(1) 32,781 32,407 American Airlines, Inc., Series 2001-2, Class B, 8.608% 2012 9,000 7,637 American Airlines, Inc., Series 2001-2, Class A-2, 7.858% 2013 5,000 4,973 American Airlines, Inc., Series 1991-C2, 9.73% 2014(1) 6,410 4,405 American Airlines, Inc., Series 2001-1, Class B, 7.377% 2019(1) 7,982 4,550 Delta Air Lines, Inc. 7.70% 2005 7,710 3,392 Delta Air Lines, Inc. 10.00% 2008 1,500 457 Delta Air Lines, Inc., Series 2003-1, Class G, AMBAC insured, 2.41% 2009(1),(2) 14,969 15,073 Delta Air Lines, Inc., Series 2001-1, Class A-1, 6.619% 2011(1) 11,229 10,221 Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57% 2012 3,500 3,145 Delta Air Lines, Inc., Series 2001-1, Class A-2, 7.111% 2013 15,000 13,481 Delta Air Lines, Inc., Series 2002-1, Class C, 7.779% 2013(1) 12,105 4,237 Delta Air Lines, Inc., Series 1992-A2, 9.20% 2014(1) 11,500 5,175 Delta Air Lines, Inc., 1991 Equipment Certificates Trust, Series J, 10.00% 2014(1),(3) 5,000 2,100 Delta Air Lines, Inc., 1990 Equipment Certificates Trust, Series F, 10.79% 2014(1),(3) 1,700 765 Delta Air Lines, Inc. 10.375% 2022 2,577 644 Cendant Corp. 6.875% 2006 9,755 10,402 Cendant Corp. 6.25% 2008 9,500 10,248 Cendant Corp. 7.375% 2013 22,660 26,261 Northwest Airlines, Inc. 7.625% 2005 1,100 1,089 Northwest Airlines, Inc. 8.875% 2006 875 739 Northwest Airlines, Inc. 8.70% 2007 400 294 Northwest Airlines, Inc. 9.875% 2007 14,325 10,887 Northwest Airlines, Inc. 10.00% 2009 6,025 4,187 Northwest Airlines, Inc., Series 2001-1, Class A-2, 6.841% 2012 9,955 9,840 Northwest Airlines, Inc., Series 1999-2, Class A, 7.575% 2020(1) 6,079 6,057 Northwest Airlines, Inc., Series 2002-1, Class G-2, MBIA insured, 6.264% 2021(1) 7,781 8,018 Northwest Airlines, Inc., Series 2001-1, Class A-1, 7.041% 2023(1) 2,238 2,193 Bombardier Inc. 6.30% 2014(3) 50,000 43,256 Allied Waste North America, Inc., Series B, 7.625% 2006 2,000 2,097 Allied Waste North America, Inc. 8.50% 2008 7,500 8,175 Allied Waste North America, Inc., Series B, 8.875% 2008 5,250 5,722 Allied Waste North America, Inc., Series B, 6.50% 2010 4,000 3,980 Allied Waste North America, Inc., Series B, 5.75% 2011 2,500 2,387 Allied Waste North America, Inc., Series B, 6.125% 2014 3,500 3,281 Allied Waste North America, Inc., Series B, 7.375% 2014 4,250 4,112 Southwest Airlines Co., Series 2001-1, Class A-2, 5.496% 2006(1) 5,000 5,173 Southwest Airlines Co., Series 2001-1, Class B, 6.126% 2006(1) 7,500 7,922 Southwest Airlines Co. 5.25% 2014 13,000 12,954 Union Pacific Railroad Co. Pass Through Trust, Series 2001-1, 6.63% 2022(1) 8,000 9,077 Union Pacific Railroad Co. Pass Through Trust, Series 2002-1, 6.061% 2023(1) 11,500 12,514 Union Pacific Railroad Co. Pass Through Trust, Series 2003-1, 4.698% 2024(1) 2,978 2,880 Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 1996-B, 6.96% 2009(1) 2,301 2,460 Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 2002-2, 5.14% 2021(1) 12,500 12,686 Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 2002-1, 5.943% 2022(1) 6,694 7,261 John Deere Capital Corp. 3.90% 2008 15,000 15,228 Deere & Co. 8.95% 2019 5,000 5,992 Terex Corp. 9.25% 2011 6,625 7,453 Terex Corp., Class B, 10.375% 2011 5,725 6,498 Caterpillar Financial Services Corp., Series F, 2.35% 2006 5,000 4,939 Caterpillar Financial Services Corp. 2.70% 2008 4,845 4,699 Caterpillar Inc. 4.50% 2009 2,500 2,570 Caterpillar Inc. 7.25% 2009 300 345 Jacuzzi Brands, Inc. 9.625% 2010 10,000 11,100 Goodrich Corp. 7.50% 2008 2,000 2,237 Goodrich Corp. 7.625% 2012 6,000 7,059 Southern Capital Corp. Pass Through Trust, Series 2002-1, Class G, MBIA insured, 5.70% 2023(1),(3) 8,892 9,271 Lockheed Martin, 8.20% 2009 7,000 8,339 Northrop Grumman Corp. 4.079% 2006 2,000 2,033 Northrop Grumman Systems Corp. 7.125% 2011 5,000 5,755 Horizon Lines, LLC and Horizon Lines Holding Corp. 9.00% 2012(3) 7,200 7,632 AIR 2 US, Series A, 8.027% 2020(1),(3) 9,036 7,552 United Air Lines, Inc. 9.00% 2003(10) 2,000 127 United Air Lines, Inc., Series 2000-1, Class A-2, 7.73% 2012(1),(9) 8,998 7,322 American Standard Inc. 7.625% 2010 6,000 6,825 Raytheon Co. 6.55% 2010 6,000 6,673 Waste Management, Inc. 6.50% 2008 5,220 5,728 Waste Management, Inc. 5.00% 2014 765 768 KinderCare Learning Centers, Inc., Series B, 9.50% 2009 6,141 6,256 United Rentals (North America), Inc., Series B, 6.50% 2012 3,250 3,144 United Rentals (North America), Inc., Series B, 7.00% 2014 2,700 2,410 General Dynamics Corp. 4.50% 2010 5,000 5,114 Koppers Inc. 9.875% 2013 4,445 4,934 TFM, SA de CV 11.75% 2009 1,855 1,883 TFM, SA de CV 12.50% 2012 2,145 2,392 Synagro Technologies, Inc. 9.50% 2009 2,025 2,177 Nortek, Inc. 8.50% 2014(3) 2,025 2,131 Stericycle, Inc., Series B, 12.375% 2009 1,461 1,600 Standard Aero Holdings, Inc. 8.25% 2014(3) 950 988 AGCO Corp. 6.875% 2014 Euro 700 861 Laidlaw International, Inc. 10.75% 2011 285 327 Jet Equipment Trust, Series 1994-A, 11.79% 2013(3),(9) 4,000 - Jet Equipment Trust, Series 1995-B, 10.91% 2014(3),(9) 5,000 1 Jet Equipment Trust, Series 1995-D, 11.44% 2014(3),(9) 10,000 1 Jet Equipment Trust, Series 1995-B, Class C, 9.71% 2015(1),(3),(9) 5,500 1 Jet Equipment Trust, Series 1995-A, Class C, 10.69% 2015(1),(3),(9) 2,750 - 979,756 UTILITIES -- 3.83% Edison Mission Energy 10.00% 2008 $ 2,000 $ 2,350 Mission Energy Holding Co. 13.50% 2008 925 1,175 Edison Mission Energy 7.73% 2009 10,125 10,682 Edison Mission Energy 9.875% 2011 34,160 39,967 Midwest Generation, LLC, Series B, 8.56% 2016(1) 8,000 8,405 Homer City Funding LLC 8.734% 2026(1) 20,189 22,712 Midwest Generation, LLC and Midwest Finance Corp. 8.75% 2034 7,600 8,322 Duke Capital LLC 4.331% 2006 20,000 20,371 Duke Capital Corp. 4.37% 2009 7,500 7,570 Duke Capital Corp. 7.50% 2009 25,325 28,886 Duke Energy Corp. First and Refunding Mortgage Bonds 4.50% 2010 4,500 4,580 Duke Capital Corp. 6.25% 2013 9,000 9,700 Duke Capital Corp. 5.50% 2014 10,000 10,157 Duke Capital LLC 5.668% 2014 5,000 5,109 PECO Energy Co., First and Refunding Mortgage Bonds, 3.50% 2008 5,000 5,002 Commonwealth Edison Co., Series 99, 3.70% 2008 7,125 7,210 Commonwealth Edison Co., First Mortgage Bonds, Series 102, 4.74% 2010 12,500 12,919 Exelon Corp. 6.75% 2011 2,200 2,460 Exelon Generation Co., LLC 6.95% 2011 22,975 25,991 PECO Energy Co., First and Refunding Mortgage Bonds, 4.75% 2012 3,900 3,966 Israel Electric Corp. Ltd. 7.75% 2009(3) 17,000 19,188 Israel Electric Corp. Ltd. 7.70% 2018(3) 8,500 9,802 Israel Electric Corp. Ltd. 8.10% 2096(3) 12,000 12,513 Virginia Electric and Power Co., Series 2002-A, 5.375% 2007 14,140 14,799 Dominion Resources, Inc., Series 2002-C, 5.70% 2012(2) 1,000 1,053 Virginia Electric and Power Co., Series 2003-A, 4.75% 2013 25,000 24,941 Drax Group Ltd., Class A-1, 7.538% 2015(2),(3) Pound 4,603 8,339 Drax Group Ltd., Class A-2, unit, 9.02% 2015(2),(3),(13) 5,293 16,589 Drax Group Ltd., Class B, 7.02% 2025(2),(3) 3,894 6,684 Cilcorp Inc. 8.70% 2009 1,000 1,187 Union Electric Co. 4.65% 2013 11,000 11,005 Cilcorp Inc. 9.375% 2029 12,265 17,051 Alabama Power Co., Series U, 2.65% 2006(4) 20,500 20,495 Alabama Power Co., Series R, 4.70% 2010 2,250 2,306 Southern Power Co., Series B, 6.25% 2012 2,500 2,725 PSEG Power LLC 3.75% 2009 6,825 6,696 PSEG Power LLC 7.75% 2011 14,975 17,458 Niagara Mohawk Power Corp., Series G, 7.75% 2008 17,460 19,890 SP PowerAssets Ltd. 3.80% 2008(3) 10,000 10,022 SP PowerAssets Ltd. 5.00% 2013(3) 8,000 8,123 Progress Energy, Inc. 5.85% 2008 2,500 2,663 Progress Energy Florida, Inc., First Mortgage Bonds 4.80% 2013 7,000 7,051 Carolina Power & Light Co. d/b/a Progress Energy Carolinas, Inc., First Mortgage Bonds, 5.125% 2013 5,000 5,130 Constellation Energy Group, Inc. 6.125% 2009 10,500 11,424 Baltimore Gas and Electric Co. 5.20% 2033 3,000 2,743 Old Dominion Electric Cooperative, Series 2003-A, 5.676% 2028(1) 13,500 13,892 PacifiCorp, First Mortgage Bonds, 4.30% 2008 3,060 3,108 PacifiCorp, First Mortgage Bonds, 5.45% 2013 9,775 10,309 MidAmerican Energy Co. 5.125% 2013 7,500 7,755 MidAmerican Energy Co. 4.65% 2014 5,000 4,947 Consolidated Edison Co. of New York, Inc., Series 2003-A, 3.625% 2008 6,000 5,979 Consolidated Edison Co. of New York, Inc., Series B, 3.85% 2013 5,000 4,718 Consolidated Edison Co. of New York, Inc., Series 2003-C, 5.10% 2033 2,000 1,854 Oncor Electric Delivery Co. 6.375% 2012 10,700 11,863 AES Corp. 10.00% 2005(1),(3) 562 574 AES Corp. 9.50% 2009 4,677 5,250 AES Corp. 9.375% 2010 4,803 5,433 Pacific Gas and Electric Co., First Mortgage Bonds, 4.20% 2011 7,000 6,929 Pacific Gas and Electric Co., First Mortgage Bonds, 6.05% 2034 4,000 4,085 Essent NV 4.50% 2013 Euro 8,410 10,547 Reliant Energy Resources Corp. 7.75% 2011 7,000 8,132 Centerpoint Energy Resources Corp., Series B, 7.875% 2013 2,000 2,361 Kern River Funding Corp. 4.893% 2018(1),(3) 10,328 10,438 Anglian Water Services Financing PLC 4.625% 2013 Euro 8,250 10,409 Veolia Environnement 4.875% 2013 8,000 10,255 AES Gener SA 7.50% 2014(3) 10,000 10,100 NGG Finance PLC 6.125% 2011 Euro 6,980 9,696 Dynegy Holdings Inc. 10.125% 2013(3) 6,675 7,710 E.ON International Finance BV 5.75% 2009 Euro 5,000 6,810 Edison SpA 5.125% 2010 4,730 6,220 NiSource Finance Corp. 6.15% 2013 5,600 6,081 Nevada Power Co., Series I, 6.50% 2012(3) 700 726 Nevada Power Co., General and Refunding Mortgage Notes, Series G, 9.00% 2013 3,600 4,158 Sierra Pacific Resources 8.625% 2014(3) 900 981 Red Electrica de Espana Finance BV 4.75% 2013 Euro 4,000 5,139 Southern California Gas Co., First Mortgage Bonds, Series II, 4.375% 2011 5,000 5,057 Korea East-West Power Co., Ltd. 4.875% 2011(3) 5,000 5,038 Tri-State Generation and Transmission Association Inc., Pass Through Trust, Series 2003-A, 6.04% 2018(1),(3) 3,500 3,673 Energy East Corp. 6.75% 2012 2,955 3,287 Equitable Resources, Inc. 5.15% 2018 2,500 2,513 Enersis SA 7.375% 2014 2,000 2,100 Wisconsin Gas Co. 5.20% 2015 2,025 2,069 717,607 MATERIALS -- 2.87% Dow Chemical Co. 5.75% 2008 11,100 11,858 Dow Chemical Pass Through Trust, Series 2004, 4.027% 2009(3) 31,000 30,464 Dow Chemical Co. 5.75% 2009 13,250 14,235 Dow Chemical Co. 6.00% 2012 36,000 38,950 Weyerhaeuser Co. 5.95% 2008 16,125 17,366 Weyerhaeuser Co. 5.25% 2009 18,875 19,777 Weyerhaeuser Co. 6.75% 2012 19,750 22,180 Norske Skogindustrier ASA 7.625% 2011(3) 28,210 32,115 Norske Skogindustrier ASA 6.125% 2015(3) 6,370 6,514 Norske Skogindustrier ASA 7.125% 2033(3) 4,100 4,340 Scotia Pacific Co. LLC, Series B, Class A-2, 7.11% 2028(1) 27,100 22,493 Scotia Pacific Co. LLC, Series B, Class A-3, 7.71% 2028 17,043 11,930 BHP Finance (USA) Ltd. 6.69% 2006 10,000 10,506 BHP Finance (USA) Ltd. 8.50% 2012 10,000 12,592 SCA Coordination Center NV 4.50% 2015(3) 23,000 21,876 International Paper Co. 5.375% 2006 Euro 4,500 5,816 International Paper Co. 4.00% 2010 15,000 14,674 Equistar Chemicals, LP 10.125% 2008 5,400 6,115 Equistar Chemicals, LP 8.75% 2009 12,800 13,856 ICI Wilmington, Inc. 4.375% 2008 200 202 ICI Wilmington, Inc. 5.625% 2013 18,765 19,318 Stone Container Corp. 9.25% 2008 1,250 1,397 Stone Container Corp. 9.75% 2011 3,250 3,616 Jefferson Smurfit Corp. (U.S.) 8.25% 2012 11,625 12,875 Owens-Illinois, Inc. 8.10% 2007 5,750 6,066 Owens-Illinois, Inc. 7.35% 2008 5,250 5,440 Owens-Brockway Glass Container Inc. 8.875% 2009 3,000 3,277 Owens-Illinois, Inc. 7.50% 2010 2,250 2,312 Phelps Dodge Corp. 8.75% 2011 7,000 8,534 Phelps Dodge Corp. 6.125% 2034 7,500 7,561 Packaging Corp. of America 4.375% 2008 1,500 1,520 Packaging Corp. of America 5.75% 2013 13,000 13,439 Alcan Inc. 5.20% 2014 13,000 13,370 UPM-Kymmene Corp. 6.125% 2012 Euro 7,500 10,357 Potlatch Corp. 10.00% 2011 8,950 10,158 Kappa Beheer BV 12.50% 2009 Euro 6,000 8,052 Millennium America Inc. 9.25% 2008 2,090 2,315 Millennium America Inc. 9.25% 2008(3) 2,000 2,215 Millennium America Inc. 7.625% 2026 2,100 1,942 Longview Fibre Co. 10.00% 2009 5,500 6,022 Freeport-McMoRan Copper & Gold Inc. 10.125% 2010 5,000 5,681 Ispat Inland ULC 9.75% 2014 4,825 5,344 MeadWestvaco Corp. 2.75% 2005 5,180 5,182 Crystal US Holdings 3 LLC and Crystal US Sub 3 Corp., Series B, 0%/10.50% 2014(3),(7) 5,975 3,600 BCP Caylux Holdings Luxembourg SCA 9.625% 2014(3) 1,275 1,383 Luscar Coal Ltd. 9.75% 2011 4,000 4,560 Ainsworth Lumber Co. Ltd. 7.25% 2012(3) 650 660 Ainsworth Lumber Co. Ltd. 6.75% 2014 2,250 2,177 Ainsworth Lumber Co. Ltd. 6.75% 2014 1,750 1,693 Georgia-Pacific Corp. 7.50% 2006 4,050 4,303 Earle M. Jorgensen Co. 9.75% 2012 3,600 4,014 Associated Materials Inc. 9.75% 2012 3,100 3,573 Building Materials Corp. of America 7.75% 2014(3) 3,500 3,482 Graphic Packaging International, Inc. 9.50% 2013 3,000 3,442 Temple-Inland Inc. 7.875% 2012 2,900 3,430 Crompton Corp. 7.67% 2010(2),(3) 2,400 2,508 Crompton Corp. 9.875% 2012(3) 500 527 INVISTA 9.25% 2012(3) 2,400 2,574 Gerdau Ameristeel Corp. and GUSAP Partners 10.375% 2011 2,100 2,404 Inco Ltd. 7.20% 2032 2,000 2,289 Sino-Forest Corp., 9.125% 2011(3) 2,000 2,065 Huntsman LLC 8.80% 2011(2),(3) 275 292 Huntsman LLC 11.50% 2012(3) 1,550 1,719 Foundation PA Coal Co. 7.25% 2014(3) 1,800 1,922 Pindo Deli Finance Mauritius Ltd. 10.25% 2002(10) 6,000 1,875 Norampac Inc. 6.75% 2013 1,500 1,571 Steel Dynamics, Inc. 9.50% 2009 1,250 1,394 Indah Kiat Finance Mauritius Ltd. 10.00% 2007(9) 2,250 1,204 AK Steel Corp. 7.75% 2012 1,000 983 Nalco Finance Holding Co. 0%/9.00% 2014(3),(7) 1,250 894 Nalco Co. 7.75% 2011 775 825 Georgia Gulf Corp. 7.125% 2013 770 803 E.I. du Pont de Nemours and Co. 4.125% 2010 700 707 Airgas, Inc. 6.25% 2014 450 452 APP International Finance Co. BV 11.75% 2005(9) 275 142 537,319 FEDERAL AGENCY OBLIGATIONS -- 1.81% Fannie Mae 7.00% 2005 $90,000 $ 93,388 Fannie Mae 6.25% 2011 29,250 32,212 Fannie Mae 5.25% 2012 20,000 20,674 Fannie Mae 7.25% 2030 23,750 29,814 Freddie Mac 4.25% 2005 27,250 27,645 Freddie Mac 6.625% 2009 10,000 11,294 Freddie Mac 5.75% 2010 (euro) 12,000 16,551 Freddie Mac 4.75% 2012 20,000 19,876 Freddie Mac 6.25% 2012 15,000 15,841 Freddie Mac 6.75% 2031 22,650 27,010 Federal Home Loan Bank 4.50% 2012 31,500 31,707 U.S. Government-Guaranteed Certificates of Participation, Overseas Private Investment Corp., Series 2000-044-A, 3.74% 2015(1) 13,090 13,032 339,044 INFORMATION TECHNOLOGY -- 1.45% Electronic Data Systems Corp. 6.334% 2006 18,000 18,719 Electronic Data Systems Corp. 7.125% 2009 48,695 52,361 Electronic Data Systems Corp., Series B, 6.50% 2013(2) 47,750 48,242 Motorola, Inc. 8.00% 2011(4) 58,530 70,449 Motorola, Inc. 7.50% 2025 7,000 8,054 Motorola, Inc. 6.50% 2028 3,695 3,849 Motorola, Inc. 5.22% 2097 6,250 4,875 Solectron Corp., Series B, 7.375% 2006 2,775 2,893 Solectron Corp. 9.625% 2009 22,700 25,254 Micron Technology, Inc. 6.50% 2005(3) 11,000 10,890 Hyundai Semiconductor America, Inc. 8.625% 2007(3) 10,150 9,877 Jabil Circuit, Inc. 5.875% 2010 4,750 4,975 Flextronics International Ltd. 9.75% 2010 Euro 2,750 3,742 Flextronics International Ltd. 6.50% 2013 925 950 Freescale Semiconductor, Inc. 6.875% 2011(3) 3,025 3,161 Viasystems, Inc. 10.50% 2011 2,700 2,579 ON Semiconductor Corp. and Semiconductor Components Industries, LLC 13.00% 2008(2) 636 716 Exodus Communications, Inc. 11.625% 2010(5),(9) 1,155 0 271,586 MUNICIPALS -- 1.61% State of California, Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-backed Bonds, Series 2003-A1, 5.00% 2021 8,155 8,249 State of California, Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-backed Bonds, Series 2003-A1, 6.25% 2033 64,975 61,539 State of New Jersey, Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds, Series 2003, 4.375% 2019 6,000 6,011 State of New Jersey, Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds, Series 2003, 6.125% 2024 27,290 26,499 State of New Jersey, Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds, Series 2002, 5.75% 2032 31,360 28,977 State of Wisconsin, Badger Tobacco Asset Securitization Corp., Tobacco Settlement Asset-backed Bonds, 6.125% 2027(4) 40,480 38,896 State of Louisiana, Tobacco Settlement Financing Corp., Tobacco Settlement Asset-Backed Bonds, Series 2001-A, Class A, 6.36% 2025 24,237 23,697 State of Louisiana, Tobacco Settlement Authority, Asset-backed Bonds, Series 2001-B, 5.50% 2030 10,000 8,890 State of California, Department of Water Resources, Power Supply Revenue Bonds, Series 2002-E, 3.975% 2005 14,450 14,550 State of California, Department of Water Resources, Power Supply Revenue Bonds, Series 2002-E, 4.33% 2006 13,320 13,529 State of South Dakota, Educational Enhancement Funding Corp. Tobacco Settlement Asset-backed Bonds, Series 2002-A, Class A, 6.72% 2025 29,508 27,735 California Maritime Infrastructure Authority, Taxable Lease Revenue Bonds (San Diego Unified Port District-South Bay Plant Acquisition), Series 1999, 6.63% 2009(1),(3) 12,509 13,169 Los Angeles County Metropolitan Transportation Authority, General Revenue Refunding Bonds (Workers' Compensation Funding Program), Series 2003, AMBAC insured, 3.83% 2008 5,000 5,052 Los Angeles County Metropolitan Transportation Authority, General Revenue Refunding Bonds (Workers' Compensation Funding Program), Series 2003, AMBAC insured, 4.56% 2010 5,000 5,104 State of South Carolina, Tobacco Settlement Revenue Management Authority, Tobacco Settlement Asset-backed Bonds, Series 2001-B, 6.00% 2022 6,410 6,105 State of South Carolina, Piedmont Municipal Power Agency, Electric Revenue Bonds, Refunding Series 2004-A-1, 3.60% 2006 5,000 5,009 State of New York, Dormitory Authority, City University System Consolidated Third General Resolution Revenue Bonds, Series 2003-2, 2.38% 2005 4,500 4,496 State of New York, Housing Finance Agency, State Personal Income Tax Revenue Bonds (Economic Development and Housing), Series B, 2.88% 2007 2,000 1,988 State of New York, Housing Finance Agency, State Personal Income Tax Revenue Bonds (Economic Development and Housing), Series B, 3.09% 2007 2,200 2,188 301,683 ENERGY -- 1.26% Pemex Finance Ltd. 8.875% 2010(1) 24,000 28,480 Pemex Finance Ltd., Class A-2, MBIA insured, 7.33% 2012(1) 8,105 9,174 Pemex Finance Ltd., Series 1999-2, Class A-3, 10.61% 2017(1) 11,700 15,784 Pemex Project Funding Master Trust 8.625% 2022 750 855 ConocoPhillips 3.625% 2007 14,500 14,656 ConocoPhillips 4.75% 2012 26,750 27,169 Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 2009(1),(3) 35,138 34,824 Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 2014(1),(3) 4,500 5,320 Port Arthur Finance Corp. 12.50% 2009(1) 1,236 1,446 Premcor Refining Group Inc. 6.125% 2011 3,000 3,120 Premcor Refining Group Inc. 7.75% 2012 3,875 4,243 Premcor Refining Group Inc. 9.50% 2013 7,625 9,017 Premcor Refining Group Inc. 6.75% 2014 3,000 3,120 El Paso Corp. 7.75% 2032 15,000 13,163 Devon Financing Corp., ULC 6.875% 2011 8,500 9,604 Reliance Industries Ltd. 10.25% 2097(3) 8,750 9,578 Newfield Exploration Co. 7.625% 2011 2,500 2,813 Newfield Exploration Co. 8.375% 2012 2,150 2,430 Newfield Exploration Co. 6.625% 2014(3) 3,900 4,085 ChevronTexaco Capital Co. 3.50% 2007 7,000 7,070 OXYMAR 7.50% 2016(3) 5,500 5,775 Petrozuata Finance, Inc., Series B, 8.22% 2017(1),(3) 5,750 5,693 Teekay Shipping Corp. 8.875% 2011 4,250 4,829 General Maritime Corp. 10.00% 2013 3,305 3,772 Sunoco, Inc. 4.875% 2014 3,100 3,073 Williams Companies, Inc. 7.125% 2011 500 551 Williams Companies, Inc. 7.875% 2021 2,000 2,230 Overseas Shipholding Group, Inc. 8.25% 2013 2,500 2,775 PETRONAS Capital Ltd. 7.00% 2012(3) 2,250 2,568 237,217 CONSUMER STAPLES -- 1.21% CVS Corp. 6.117% 2013(1),(3) $28,172 $ 30,200 CVS Corp. 5.789% 2026(1),(3) 15,257 15,482 Nabisco, Inc. 7.05% 2007 6,500 7,125 Nabisco, Inc. 7.55% 2015 5,105 6,119 Nabisco, Inc. 6.375% 2035(2) 12,300 12,427 Wal-Mart Stores, Inc. 5.45% 2006 10,000 10,456 Wal-Mart Stores, Inc. 3.375% 2008 12,000 11,929 Burns Philp Capital Pty Ltd. and Burns Philp Capital (U.S.) Inc., Series B, 10.75% 2011 1,500 1,665 Burns Philp Capital Pty Ltd., Series B, 9.75% 2012 17,125 18,409 SUPERVALU INC. 7.50% 2012 14,260 16,597 Ahold Finance U.S.A., Inc. 6.25% 2009 2,325 2,418 Ahold Finance U.S.A., Inc. 8.25% 2010 5,330 6,036 Ahold Lease Pass Through Trust, Series 2001-A-1, 7.82% 2020(1) 1,891 2,006 Ahold Lease Pass Through Trust, Series 2001-A-2, 8.62% 2025(1) 3,595 3,840 Gold Kist Inc. 10.25% 2014(3) 10,450 11,652 Pathmark Stores, Inc. 8.75% 2012 10,590 9,955 Anheuser-Busch Co. Inc. 9.00% 2009 7,750 9,559 Jean Coutu Group (PJC) Inc. 7.625% 2012(3) 300 307 Jean Coutu Group (PJC) Inc. 8.50% 2014(3) 9,200 9,177 Pepsi Bottling Holdings Inc. 5.625% 2009(3) 6,000 6,465 Petro Stopping Centers, LP and Petro Financial Corp. 9.00% 2012 4,760 5,069 Diageo Capital PLC 3.50% 2007 5,000 5,015 Cadbury Schweppes US Finance LLC 5.125% 2013(3) 4,750 4,832 Rite Aid Corp. 6.875% 2013 2,675 2,354 Rite Aid Corp. 9.25% 2013 2,075 2,137 Delhaize America, Inc. 8.125% 2011 3,500 4,015 Winn-Dixie Stores, Inc. 8.875% 2008 2,000 1,640 Winn Dixie Pass-through Trust, Series 1999-1, Class A-1, 7.803% 2017(1),(3) 2,111 1,574 WH Holdings (Cayman Islands) Ltd. and WH Capital Corp. 9.50% 2011 2,500 2,719 Fage Dairy Industry SA 9.00% 2007 2,500 2,525 Stater Bros. Holdings Inc. 5.38% 2010(2),(3) 475 485 Stater Bros. Holdings Inc. 8.125% 2012(3) 1,800 1,895 Great Atlantic & Pacific Tea Co., Inc. 9.125% 2011 300 231 226,315 HEALTH CARE -- 1.20% Columbia/HCA Healthcare Corp. 6.91% 2005 14,410 14,739 HCA Inc. 7.125% 2006 9,065 9,567 Columbia/HCA Healthcare Corp. 7.00% 2007 1,160 1,240 Columbia/HCA Healthcare Corp. 8.85% 2007 5,990 6,575 HCA Inc. 5.25% 2008 8,950 9,172 Columbia/HCA Healthcare Corp. 8.70% 2010 1,750 2,019 HCA Inc. 6.95% 2012 3,000 3,244 HCA Inc. 6.25% 2013 26,071 26,916 HCA Inc. 6.75% 2013 2,000 2,130 HCA Inc. 5.75% 2014 1,929 1,916 Columbia/HCA Healthcare Corp. 7.69% 2025 5,000 5,314 UnitedHealth Group Inc. 7.50% 2005 13,000 13,694 UnitedHealth Group Inc. 5.20% 2007 8,000 8,363 UnitedHealth Group Inc. 3.75% 2009 2,500 2,481 UnitedHealth Group Inc. 4.125% 2009 5,000 5,041 UnitedHealth Group Inc. 5.00% 2014 5,000 5,072 Wyeth 5.50% 2013(2) 22,000 22,483 Humana Inc. 7.25% 2006 5,000 5,340 Humana Inc. 6.30% 2018 12,000 12,454 Schering-Plough Corp. 5.30% 2013 14,250 14,774 Bristol-Myers Squibb Co. 4.00% 2008 12,695 12,876 Tenet Healthcare Corp. 9.875% 2014(3) 7,000 7,350 Cardinal Health, Inc. 6.75% 2011 6,000 6,467 Aetna Inc. 7.875% 2011 4,635 5,478 Health Net, Inc. 9.875% 2011(2) 4,000 4,936 Quintiles Transnational Corp. 10.00% 2013 3,500 3,728 Pharma Services Intermediate Holding Corp. 0%/11.50% 2014(3),(7) 1,750 1,111 Hospira, Inc. 4.95% 2009 2,250 2,309 Hospira, Inc. 5.90% 2014 2,000 2,103 Triad Hospitals, Inc. 7.00% 2012 2,875 3,019 Team Health, Inc. 9.00% 2012(3) 1,750 1,750 Concentra Operating Corp. 9.125% 2012(3) 1,500 1,650 225,311 TOTAL BONDS AND NOTES (cost: $16,051,900,000) 16,705,572 Shares or Principal amount CONVERTIBLE SECURITIES -- 0.99% (000) TELECOMMUNICATION SERVICES -- 0.27% Hellenic Exchangeable Finance SCA 2.00% exchangeable bonds 2005 Euro 22,000 30,037 American Tower Corp. 5.00% convertible debentures 2010 21,000 20,790 Dobson Communications Corp., Series F, 6.00% convertible preferred(3),(5) 15,400 sh 731 51,558 CONSUMER DISCRETIONARY -- 0.34% Amazon.com, Inc. 6.875% PEACS convertible subordinated notes 2010 Euro 25,975 32,680 Ford Motor Co. Capital Trust II 6.50% cumulative convertible trust preferred 2032 351,600 sh 18,382 General Motors Corp., Series B, 5.25% convertible debentures 2032 $ 13,125 12,553 63,615 INFORMATION TECHNOLOGY -- 0.19% Conexant Systems, Inc. 4.00% convertible subordinated notes 2007 14,700 13,083 SCI Systems, Inc. 3.00% convertible subordinated debentures 2007 12,000 11,340 Celestica Inc. 0% convertible debentures 2020 14,000 7,717 Cypress Semiconductor Corp. 3.75% convertible subordinated notes 2005 2,994 2,971 35,111 UTILITIES -- 0.09% AES Trust VII 6.00% convertible preferred 2008 351,450 sh 16,255 INDUSTRIALS -- 0.08% Cummins Capital Trust I 7.00% QUIPS convertible preferred 2031(3) 180,000 14,690 unaudited Shares or Principal amount Market value CONVERTIBLE SECURITIES -- 0.99% (000) (000) FINANCIALS -- 0.02% Equity Office Properties Trust, Series B, 5.25% convertible preferred 2008 70,400 $ 3,580 TOTAL CONVERTIBLE SECURITIES (cost: $139,574,000) 184,809 RIGHTS AND WARRANTS -- 0.00% Shares TELECOMMUNICATION SERVICES -- 0.00% XO Communications, Inc., Series A, warrants, expire 2010(14) 11,372 10 XO Communications, Inc., Series B, warrants, expire 2010(14) 8,529 5 XO Communications, Inc., Series C, warrants, expire 2010(14) 8,529 3 18 INDUSTRIALS -- 0.00% Protection One, Inc., warrants, expire 2005(3),(5),(14) 54,400 3 TOTAL RIGHTS AND WARRANTS (cost: $190,000) 21 PREFERRED STOCKS -- 3.75% FINANCIALS -- 3.72% HSBC Capital Funding LP, Series 1, 9.547% noncumulative step-up perpetual preferred (undated)(2),(3) 87,500,000 110,330 HSBC Capital Funding LP, Series 2, 10.176% noncumulative step-up perpetual preferred (undated)(2),(3) 32,000,000 49,018 HSBC Capital Funding LP 8.03% noncumulative preferred (undated)(2) 20,000,000 30,889 Fuji JGB Investment LLC, Series A, 9.87% noncumulative preferred (undated)(2),(3) 65,125,000 76,496 IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred (undated)(2),(3) 55,500,000 63,728 Tokai Preferred Capital Co. LLC, Series A, 9.98% noncumulative preferred (undated)(2),(3) 50,850,000 59,859 Swire Pacific Capital Ltd. 8.84% cumulative guaranteed perpetual capital securities(3) 1,670,000 45,424 Swire Pacific Offshore Financing Ltd. 9.33% cumulative guaranteed perpetual preferred capital securities(3) 230,000 6,348 Royal Bank of Scotland Group PLC, Series 3 Preference Shares, 7.816% (undated) 18,000,000 19,010 RBS Capital Trust I noncumulative trust preferred 4.709% (undated)(2) 18,550,000 17,974 Royal Bank of Scotland Group PLC 6.625% (undated)(2) 4,700,000 6,560 BNP U.S. Funding LLC, Series A, 7.738% noncumulative preferred (undated)(2),(3) 21,750,000 24,357 BNP Paribas Capital Trust 9.003% noncumulative trust preferred (undated)(2),(3) 15,000,000 18,652 ING Capital Funding Trust III 8.439% noncumulative preferred (undated)(2) 29,750,000 35,976 NB Capital Corp., Series A, 8.35% exchangeable preferred depositary shares 1,200,000 33,252 SB Treasury Co. LLC, Series A, 9.40% noncumulative preferred (undated)(2),(3) 27,721,000 32,760 Standard Chartered Capital Trust I 8.16% (undated)(2) 16,750,000 24,847 ACE Ltd., Series C, 7.80% preferred depositary shares 680,000 18,278 DBS Capital Funding Corp., Series A, 7.657% noncumulative guaranteed preference shares (undated)(2),(3) 11,250,000 13,087 New Plan Excel Realty Trust, Inc., Series D, 7.80% preferred cumulative step-up premium rate 112,500 5,755 Nationwide Health Properties, Inc., Series A, 7.677% preferred cumulative step-up premium rate 50,000 5,058 697,658 unaudited Market value PREFERRED STOCKS -- 3.75% Shares (000) TELECOMMUNICATION SERVICES -- 0.03% Dobson Communications Corp. 13.00% senior exchangeable preferred 2009(5) 11,704 $ 5,267 XO Communications, Inc. 14.00% preferred 2009(8),(14) 24 -- 5,267 CONSUMER STAPLES -- 0.00% Great Atlantic & Pacific Tea Co., Inc. 9.375% QUIBS preferred 2039 18,500 388 CONSUMER DISCRETIONARY -- 0.03% Adelphia Communications Corp., Series B, 13.00% preferred 2009(14) 50,565 316 INFORMATION TECHNOLOGY -- 0.00% ZiLOG, Inc. - MOD III Inc., units(5),(15) 1,447 0 TOTAL PREFERRED STOCKS (cost: $595,061,000) 703,629 COMMON STOCKS -- 0.47% TELECOMMUNICATION SERVICES -- 0.33% NTELOS Inc. (3),(5),(14),(15) 1,623,569 48,853 AirGate PCS, Inc.(3),(14) 440,553 8,635 Dobson Communications Corp., Class A(3),(14) 2,432,959 3,236 VersaTel Telecom International NV(14) 779,280 1,549 XO Communications, Inc.(14) 5,685 18 62,291 FINANCIALS -- 0.09% Beverly Hills Bancorp Inc.(15) 1,601,967 16,741 INFORMATION TECHNOLOGY -- 0.03% ZiLOG, Inc.(14),(15) 879,000 5,072 INDUSTRIALS -- 0.02% DigitalGlobe, Inc.(3),(5),(14) 3,984,039 3,984 HEALTH CARE -- 0.00% Clarent Hospital Corp.(5),(14),(15) 331,291 414 TOTAL COMMON STOCKS (cost: $105,762,000) 88,502 unaudited Principal amount Market value SHORT-TERM SECURITIES -- 9.09% (000) (000) U.S. Treasury Bills 1.39%-1.647% due 10/21-12/2/2004(4) $229,150 $ 228,804 Federal Home Loan Bank 1.475%-1.60% due 10/5-11/9/2004 138,200 138,072 CAFCO, LLC 1.52%-1.55% due 10/4-10/5/2004(3) 75,000 74,986 Ciesco LLC 1.55%-1.76% due 10/5-10/27/2004(3) 48,800 48,757 Three Pillars Funding, LLC 1.72%-1.85% due 10/14-12/17/2004(3) 122,846 122,731 Procter & Gamble Co. 1.50%-1.71% due 10/13-11/16/2004(3),(4) 113,000 112,844 Hewlett-Packard Co. 1.72%-1.77% due 10/26-10/29/2004(3) 110,480 110,331 Variable Capital Funding Corp. 1.75%-1.82% due 11/12-11/23/2004(3) 100,000 99,745 DuPont (E.I.) de Nemours & Co. 1.61%-1.74% due 10/13-11/17/2004 95,000 94,862 Park Avenue Receivables Corp., LLC 1.60%-1.77% due 10/4-10/20/2004(3) 46,400 46,360 J.P. Morgan Chase & Co. 1.57%-1.75% due 10/19-10/26/2004 40,900 40,855 Ranger Funding Co., LLC 1.78% due 10/25/2004(3) 50,000 49,938 Bank of America Corp. 1.51%-1.62% due 10/8-10/25/2004(4) 26,800 26,782 Receivables Capital Co., LLC 1.59% due 10/12/2004(3) 6,016 6,013 PepsiCo Inc. 1.67%-1.69% due 10/18/2004(3) 55,000 54,954 Wal-Mart Stores Inc. 1.63%-1.67% due 10/19-11/2/2004(3) 51,500 51,445 Eli Lilly and Co.1.54%-1.69% due 10/18-11/8/2004(3) 51,100 51,049 Wells Fargo & Co. 1.60% due 10/15/2004(4) 50,000 50,000 Pfizer Inc 1.54%-1.60% due 10/14-10/25/2004(3) 45,600 45,558 Federal Farm Credit Banks 1.62% due 10/18/2004 35,200 35,171 Triple-A One Funding Corp. 1.56% due 10/6/2004(3) 30,077 30,069 IBM Capital Inc. 1.66% due 10/20/2004(3) 25,000 24,977 Clipper Receivables Co., LLC 1.71% due 10/26/2004(3) 25,000 24,969 FCAR Owner Trust I 1.76% due 11/5/2004 25,000 24,956 Abbott Laboratories Inc. 1.73% due 11/16/2004(3) 25,000 24,944 Hershey Foods Corp. 1.50% due 10/8/2004(3) 21,000 20,993 Private Export Funding Corp. 1.61% due 11/15/2004(3) 21,000 20,953 Coca-Cola Co. 1.48% due 10/12/2004 20,900 20,889 General Electric Capital Corp. 1.86% due 10/1/2004 19,100 19,099 AIG Funding, Inc. 1.48% due 10/4/2004 3,600 3,599 TOTAL SHORT-TERM SECURITIES (cost: $1,704,707,000) 1,704,705 TOTAL INVESTMENT SECURITIES (cost: $18,597,194,000) 19,387,238 Other assets less liabilities (641,633) NET ASSETS $18,745,605
(1) Pass-through securities backed by a pool of mortgages or other loans on which principal payments are periodically made. Therefore, the effective maturities are shorter than the stated maturities. (2) Coupon rate may change periodically. (3) Purchased in a private placement transaction; resale may be limited to qualified institutional buyers; resale to the public may require registration. The total value of all such restricted securities was $3,627,724,000, which represented 19.35% of the net assets of the fund. (4) This security, or a portion of this security, has been segregated to cover funding requirement on investment transactions settling in the future. (5) Valued under fair value procedures adopted by authority of the Board of Directors. (6) Index-linked bond whose principal amount moves with a government retail price index. (7) Step bond; coupon rate will increase at a later date. (8) Payment in kind; the issuer has the option of paying additional securities in lieu of cash. (9) Company not making scheduled interest payments; bankruptcy proceedings pending. (10) Company did not make principal payment upon scheduled maturity date; reorganization pending. (11) Purchased as a unit; issue was separated but reattached for reporting purposes. (12) Scheduled interest or principal payments not made; reorganization pending. (13) This unit also contains 999,000 par of Drax Group Ltd., Class A-3, 10.0375% 2020 and 999,000 shares of Drax Group Ltd. Common stock. (14) Security did not produce income during the last 12 months. (15) The fund owns 5% or more of the outstanding voting shares of this company. See table on the next page for additional information. unaudited Federal income tax information Gross unrealized appreciation on investment securities $ 944,512 Gross unrealized depreciation on investment securities (215,252) Net unrealized appreciation on investment securities 729,260 Cost of investment securities for federal income tax purposes 18,657,978
INVESTMENTS IN AFFILIATES: A company is considered to be an affiliate of the fund under the Investment Company Act of 1940 if the fund's holdings in that company represent 5% or more of the outstanding voting shares of that company. Details on these holdings and related transactions during the three months ended September 30, 2004, were as follows: Beginning Ending Dividend income Market value Company shares Purchases Sales shares (000) (000) Beverly Hills Bancorp 1,601,967 -- -- 1,601,967 $200 $16,741 Clarent Hospital 331,291 -- -- 331,291 -- 414 NTELOS 1,020,970 602,599 -- 1,623,569 -- 48,853 ZiLOG 879,000 -- -- 879,000 -- 5,072 ZiLOG 2,555 -- 1,108 1,447 659 --
ITEM 2 - Controls and Procedures The Registrant's Principal Executive Officer and Principal Financial Officer have concluded, based on their evaluation of the Registrant's disclosure controls and procedures (as such term is defined in Rule 30a-3 under the Investment Company Act of 1940), that such controls and procedures are adequate and reasonably designed to achieve the purposes described in paragraph (c) of such rule. There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 3 - Exhibits The certifications required by Rule 30a-2 of the Investment Company Act of 1940, as amended, and Section 302 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. The Bond Fund of America, Inc. By /s/ Abner D. Goldstine -------------------------------------------------------- Abner D. Goldstine, President and PEO Date: November 26, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By /s/ Abner D. Goldstine ------------------------------------------------- Abner D. Goldstine, President and PEO Date: November 26, 2004 By /s/ Susi M. Silverman ----------------------------------------------- Susi M. Silverman, Treasurer and PFO Date: November 26, 2004