N-Q 1 n-q.txt OMB APPROVAL OMB Number: 3235-0578 Expires: April 30, 2013 Estimated average burden hours per response..... 5.6 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 811-02864 Pioneer Bond Fund (Exact name of registrant as specified in charter) 60 State Street, Boston, MA 02109 (Address of principal executive offices) (ZIP code) Terrence J. Cullen, Pioneer Investment Management, Inc., 60 State Street, Boston, MA 02109 (Name and address of agent for service) Registrant's telephone number, including area code: (617) 742-7825 Date of fiscal year end: June 30 Date of reporting period: March 31, 2010 Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. Schedule of Investments. Pioneer Bond Fund Schedule of Investments 3/31/10 Principal Value Amount ($) CONVERTIBLE CORPORATE BONDS - 0.7 % Energy - 0.3 % Coal & Consumable Fuels - 0.2 % 2,680,000Massey Energy Co., 3.25%, 8/1/15 (b) $ 2,599,600 Oil & Gas Drilling - 0.1 % 1,275,000Transocean Sedco, 1.625%, 12/15/37 $ 1,270,219 Total Energy $ 3,869,819 Health Care Equipment & Services - 0.2 % Health Care Services - 0.2 % 2,570,000Omnicare, Inc., 3.25%, 12/15/35 $ 2,174,862 Total Health Care Equipment & Services $ 2,174,862 Banks - 0.2 % Regional Banks - 0.1 % 2,100,000National City Corp., 4.0%, 2/1/11 $ 2,136,750 Total Banks $ 2,136,750 TOTAL CONVERTIBLE CORPORATE BONDS (Cost $6,345,295) $ 8,181,431 PREFERRED STOCKS - 1.4 % Diversified Financials - 0.4 % Diversified Financial Services - 0.4 % 4,880 Bank of America Corp., 7.25%, 12/31/49 $ 4,758,171 Total Diversified Financials $ 4,758,171 Insurance - 0.3 % Life & Health Insurance - 0.3 % 153,800 Delphi Financial Group, 7.376%, 5/15/37 $ 3,226,724 Total Insurance $ 3,226,724 Real Estate - 0.7 % Real Estate Operating Companies - 0.7 % 150,400 Forest City Enterprises, Inc., 7.0%, 12/31/49 * $ 8,723,200 Total Real Estate $ 8,723,200 TOTAL PREFERRED STOCKS (Cost $15,395,057) $ 16,708,095 COMMON STOCK - 0.2 % Automobiles & Components - 0.2 % Auto Parts & Equipment - 0.2 % 26,160 Lear Corp. * $ 2,075,796 TOTAL COMMON STOCK (Cost $1,033,572) $ 2,075,796 ASSET BACKED SECURITIES - 4.9 % Materials - 0.5 % Steel - 0.4 % 725,104 ARSI 2005-W4 A2C, Floating Rate Note, 2/25/36 $ 705,582 646,434 Master Asset Backed Security Trust, 0.67375%, 5/25/3 614,705 2,075,013Morgan Stanley Home Equity Loan, 0.28125%, 12/25/36 2,010,089 1,430,774Morgan Stanley Home Equity Loan, Floating Rate Note, 1,235,481 1,098,066New Century Home Equity Loan, Floating Rate Note, 3/ 1,051,892 $ 5,617,749 Total Materials $ 5,617,749 Consumer Services - 1.2 % Restaurants - 1.2 % 2,895,000Dominos Pizza Master Issuer LLC, 5.261%, 4/25/37 $ 2,614,997 5,325,000Dominos Pizza Master Issuer LLC, 7.629%, 4/25/37 4,526,250 3,100,000Dunkin Brands Master Finance LLC, 5.779%, 6/20/31 3,009,511 4,535,000Dunkin Brands Master Finance LLC, 8.28%, 6/20/31 (1 4,085,491 $ 14,236,249 Total Consumer Services $ 14,236,249 Banks - 2.9 % Diversified Banks - 0.2 % 1,855,737Wells Fargo Home Equity Loan, Floating Rate Note, 4/$ 1,796,929 Thrifts & Mortgage Finance - 2.7 % 551,147 Carrington Mortgage Loan Trust, Floating Rate Note, $ 521,436 624,555 Carrington Mortgage Loan Trust, Floating Rate Note, 535,221 2,150,000Carrington Mortgage Loan Trust, Floating Rate Note, 1,773,397 495,134 Citigroup Mortgage Loan Trust, Floating Rate Note, 1 490,466 1,283,491CMLTI 2006-WFH2 A2A, Floating Rate Note, 8/25/36 918,801 2,575,000Countrywide Asset Backed Certificates, Floating Rate 2,363,552 1,047,000Countrywide Asset-Backed Certificates, Floating Rate 919,042 2,115,153Countrywide Asset-Backed Certificates, Floating Rate 2,061,971 3,339,208Countrywide Asset-Backed Certificates, Floating Rate 3,232,349 3,258,127CRMSI 2006-2 A3, Floating Rate Note, 9/25/36 3,205,455 1,697,369FBR Securitization Trust, 2.76188%, 9/25/35 1,612,579 149,121 First Franklin Mortgage Loan Asset, Backed Certifica Floating Rate Note, 9/24/34 138,330 2,078,322First Franklin Mortgage Loan Asset, Backed Certifica Floating Rate Note, 10/25/35 2,003,399 1,426,596Fremont Home Loan Trust, Floating Rate Note, 2/25/36 1,409,327 109,613 GSAMP Trust, Floating Rate Note, 1/25/37 108,144 269,334 GSAMP Trust, Floating Rate Note, 11/25/35 266,683 789,313 GSAMP Trust, Floating Rate Note, 3/25/35 771,926 525,546 GSAMP Trust, Floating Rate Note, 8/25/36 509,692 5,017,581Local Insight Media Finance LLC, 5.88%, 10/23/37 2,709,494 858,763 Morgan Stanley ABS Capital, Inc., Floating Rate Note 846,602 705,342 Morgan Stanley ABS Capital, Inc., Floating Rate Note 666,689 243,315 Morgan Stanley Ixis Real Estate, 1.445%, 11/25/36 236,406 873,841 Option One Mortgage Loan Trust, Floating Rate Note, 848,362 335,840 Option One Mortgage Trust, Floating Rate Note, 5/25/ 324,934 1,500,000RASC 2005-KS7 M1, Floating Rate Note, 8/25/35 1,205,869 1,779,280SASC 2007-BC4 A3, Floating Rate Note, 11/25/37 1,654,150 1,530,515Saxon Asset Securitization, 0.34594%, 11/25/36 1,440,989 $ 32,775,265 Total Banks $ 34,572,194 Diversified Financials - 0.4 % Consumer Finance - 0.1 % 501,804 Indymac Residential Asset Backed, 0.32375%, 7/25/37 $ 490,296 242,012 Nomura Home Equity Trust, Floating Rate Note, 3/25/3 239,153 $ 729,449 Diversified Financial Services - 0.2 % 420,000 Asset Backed Securities Corp., Floating Rate Note, 4$ 399,146 1,503,094DT Auto Owner Trust, 5.92%, 10/15/15 1,505,311 565,113 JP Morgan Mortgage Acquisition, Floating Rate Note, 512,983 $ 2,417,440 Specialized Finance - 0.1 % 900,000 SLMA 2004-10 A6B, Floating Rate Note, 4/27/26 $ 873,270 Total Diversified Financials $ 4,020,159 TOTAL ASSET BACKED SECURITIES (Cost $61,477,959) $ 58,446,351 COLLATERALIZED MORTGAGE OBLIGATIONS - 16.3 % Materials - 0.8 % Forest Products - 0.5 % 1,435,000T SRA R 2006-1 B, 5.7467%, 10/15/36 $ 1,424,238 4,470,000TSTAR 2006-1A A, 5.668%, 10/15/36 4,570,575 $ 5,994,813 Steel - 0.3 % 1,897,601GMAC Mortgage Corp., Loan Trust, 5.5%, 11/25/33 $ 1,942,965 2,092,065MLMI 2005-A2 A4, 4.48%, 2/25/35 2,050,415 $ 3,993,380 Total Materials $ 9,988,193 Commercial Services & Supplies - 0.1 % Diversified Support Services - 0.1 % 906,439 CW Capital Cobalt Ltd., 5.174%, 8/15/48 $ 922,558 Total Commercial Services & Supplies $ 922,558 Banks - 10.3 % Thrifts & Mortgage Finance - 10.3 % 2,765,033Banc of America Alternative Loan Trust, 5.5%, 9/25/3$ 2,775,834 1,854,056Bayview Commercial Asset, 0.67375%, 4/25/34 1,446,794 2,100,000BCAP LLC 2006-RR1 PB, Floating Rate Note, 11/25/36 2,084,377 922,000 BCAP LLC Trust, 5.0%, 11/25/36 909,613 4,551,866Bear Stearns Adjustable Rate Master Trust, 4.754%, 1 4,466,766 1,610,000Chase Commercial Mortgage Securities Corp., Floating 1,668,543 1,404,063Chase Mortgage Finance Corp., 5.0%, 10/25/33 1,394,586 3,000,000Chase Mortgage Finance Corp., 5.5%, 5/25/35 2,830,217 2,859,612Chase Mortgage Finance Corp., 5.5%, 5/25/37 2,629,502 2,300,000Citigroup Commercial Mortgage, 4.639%, 5/15/43 2,364,643 1,405,708Citigroup Commercial Mortgage, 5.273%, 10/15/49 1,436,075 1,126,965Countrywide Alternative, 5.0%,7/25/18 1,120,978 1,072,000Countrywide Alternative, 5.125%, 3/25/34 1,037,000 6,982,260Countrywide Alternative, 5.5%, 4/25/35 4,211,362 1,836,012Countrywide Alternative, 5.5%, 4/25/34 1,798,201 2,661,771Countrywide Alternative Loan Trust, 5.0%, 8/25/19 2,647,631 2,086,506Countrywide Home Loan, 4.5%, 9/25/35 1,703,696 900,000 Countrywide Home Loan Mortgage, 5.5%, 9/25/35 851,462 525,000 CWHL 2005-16 A22, 5.5%, 9/25/35 495,699 703,390 DLJ Commercial Mortgage Corp., 7.18%, 11/10/33 709,657 675,714 Downey Savings & Loan, 0.83625%, 7/19/44 408,053 3,375,000GMAC Commercial Mortgage Securities, Inc., 4.864%, 1 3,419,084 2,900,000GS Mortgage Securities Corp II, 7.12%, 11/18/29 3,122,441 1,217,632Impac CMB Trust, Floating Rate Note, 11/25/35 988,086 375,795 Impac Securities Assets Corp., Floating Rate Note, 1 336,324 1,541,019Impac Securities Assets Corp., Floating Rate Note, 5 1,234,252 2,225,715JP Morgan Chase Commercial Mortgage, 4.79%, 10/15/42 2,236,371 2,600,000JP Morgan Mortgage Trust, 4.5%, 8/25/19 2,585,278 3,456,357JP Morgan Mortgage Trust, 6.0%, 8/25/34 3,152,845 1,750,000JPMCC 2002-C3 B, 5.146%, 7/12/35 1,787,903 2,251,246Mastr Adjustable Rate, 5.194229%, 1/25/35 1,937,927 1,791,617Mastr Alternative Loans Trust, 5.5%, 10/25/19 1,781,819 4,283,854Mastr Alternative Loans Trust, 6.0%, 7/25/34 3,693,485 1,241,833Mastr Asset Securitization Trust, 5.5%, 11/25/33 1,261,225 2,065,664Merrill Lynch Mortgage Trust, 4.556%, 6/12/43 2,069,274 2,800,000Merrill Lynch/Countrywide Community, Floating Rate N 2,866,805 1,758,740Residential Funding Mortgage Security, Inc., 5.5%, 1 1,585,948 8,510,000SASC 2007 BHC1 A1, Floating Rate Note, 12/18/49 1,578,605 2,890,000SASC 2007 BHC1 A2, Floating Rate Note, 12/18/49 195,595 2,010,000SBA CMBS Trust, 6.709%, 11/15/36 2,105,475 9,054,616Wachovia Bank Commercial Mortgage 4.368%, 8/15/41 8,983,978 1,673,920Wachovia Bank Commercial Mortgage, 4.516%, 5/15/44 1,678,931 3,000,000Wachovia Bank Commercial Mortgage, 4.957%, 8/15/35 3,061,019 3,787,250Wachovia Bank Commercial Mortgage Trust, 4.803%, 10/ 3,810,642 972,493,0Wachovia Bank Commercial Mortgage Trust, 0.015222%, 1,607,628 2,050,000WAMU 2003-S1 A5, 5.5%, 4/25/33 2,037,898 997,378 WaMu Mortgage Pass Trust, 4.82069%, 9/25/35 983,123 2,549,827WaMu Mortgage Pass-Through Certificates, Floating Ra 2,034,118 1,450,000WBCMT 2003-C9 B, 5.109%, 12/15/35 1,335,226 2,279,177Wells Fargo Mortgage Backed Security, 5.0%, 11/25/20 2,307,920 2,104,141Wells Fargo Mortgage Backed Security, 5.0%, 11/25/36 2,134,145 1,830,915Wells Fargo Mortgage Backed Security, 5.0%, 3/25/21 1,771,753 1,225,745Wells Fargo Mortgage Backed Security, 5.25, 12/25/33 1,242,791 729,431 Wells Fargo Mortgage Backed Security, 5.5%, 11/25/35 698,901 2,737,865Wells Fargo Mortgage Backed Security, 5.5%, 5/25/35 2,755,054 2,571,842Wells Fargo Mortgage Backed Security, Floating Rate 2,514,945 1,618,838WFMBS 2003-N-1A1, Floating Rate Note, 12/25/33 1,624,702 4,200,000WFMBS 2004-L A6, Floating Rate Note, 7/25/34 4,279,615 $121,791,820 Total Banks $121,791,820 Diversified Financials - 2.8 % Diversified Financial Services - 2.3 % 3,000,000Bank of America Mortgage Security, Floating Rate Not$ 2,724,054 870,851 Bank of America Mortgage Securiry, 5.75%, 1/25/35 864,047 1,533,868Bank of America Mortgage Security, Floating Rate Not 1,464,900 3,300,000Bank of America Mortgage Securities, Inc., 5.0%, 8/2 3,315,686 1,950,000Citicorp Mortgage Security, 5.5%, 4/25/35 1,915,523 1,771,186CMSI 2006-1 3A1, 5.0%, 2/25/36 1,641,259 2,435,000Crown Castle Towers LLC, 5.362%, 11/15/36 2,575,013 356,632 First Horizon Mortgage Pass- Through Trust, 5.0%, 3/ 361,870 2,270,489J.P. Morgan Alternative Loan Trust, 6.0%, 3/25/36 1,613,016 288,604 Morgan Stanley Capital, Inc., 7.0%, 7/25/33 292,861 1,688,392RALI 2005-QA10 A41, 5.7412%, 9/25/35 1,138,651 5,470,914Residential Accredit Loans, Inc., 5.0%, 5/25/19 5,441,850 1,273,324Residential Accredit Loans, Inc., 5.0%, 3/25/19 1,241,093 2,794,164Residential Accredit Loans, Inc., 5.0%, 8/25/18 2,667,554 1,140,324Residential Accredit Loans, Inc., 0.49875%, 5/25/47 592,519 $ 27,849,896 Investment Banking & Brokerage - 0.4 % 1,483,785Bank of America Commercial Mortgage, Inc., 4.05%, 11$ 1,496,749 1,440,000Bank of America Commercial Mortgage, Inc., 4.877%, 7 1,456,385 1,850,000Bear Stearns Commercial Mortgage, Floating Rate Note 1,884,993 292,665 Morgan Stanley Dean Witter, 7.20%, 10/15/33 295,960 117,428,7MSDWC 2000-1345 X, 0.7259%, 9/3/15 129,172 $ 5,263,259 Total Diversified Financials $ 33,113,155 Real Estate - 0.3 % Mortgage Real Estate Investment Trust - 0.3 % 3,131,732CS First Boston Mortgage Security, 3.5%, 7/25/18 $ 3,017,435 674,488 CS First Boston Mortgage Security, 7.0%, 5/25/32 393,177 $ 3,410,612 Total Real Estate $ 3,410,612 Government - 2.0 % 1,459,793Fannie Mae, 0.58125%, 9/25/20 $ 1,458,074 2,700,000Fannie Mae, 5.0%, 3/25/24 2,857,776 5,000,000Fannie Mae, 5.0%, 7/25/33 5,263,527 549,865 Fannie MaE, 5.69%, 1/25/32 582,444 301,206 Federal Home Loan Bank, 6.0%, 4/15/32 313,459 2,390 Federal National Mortgage Association, 10.3%, 4/25/1 2,487 7,751 Federal National Mortgage Association, 10.3%, 4/25/1 9,057 3,400,000FHR 3211 PB, 5.5%, 2/15/33 3,618,829 1,454,914Freddie Mac, 5.0%, 8/15/35 1,528,669 5,000,000Freddie Mac, 5.0%, 6/15/33 5,267,452 1,185,242Freddie Mac, 6.1%, 9/15/18 1,193,564 1,446,935GSR Mortgage Loan Trrust, 4.1408%, 6/25/34 1,395,627 $ 23,490,965 Total Government $ 23,490,965 TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $206,473,820) $192,717,303 CORPORATE BONDS - 41.1 % Energy - 4.8 % Integrated Oil & Gas - 0.2 % 1,200,000BP Capital Markets Plc, 5.25%, 11/7/13 $ 1,320,510 990,000 Marathon Oil Corp., 5.9%, 3/15/18 1,056,154 45,000 Petro-Canada, 4.0%, 7/15/13 46,422 $ 2,423,086 Oil & Gas Drilling - 0.4 % 5,150,000Transocean Sedco, 1.5%, 12/15/37 $ 5,027,688 Oil & Gas Equipment & Services - 0.4 % 1,000,000Sevan Marine ASA, Floating Rate Note, 5/14/13 (144A)$ 840,000 2,815,000Weatherford International, Ltd., 9.625%, 3/1/19 (b) 3,562,008 $ 4,402,008 Oil & Gas Explration & Production - 1.2 % 2,180,000Canadian Natural Resource, 5.9%, 2/1/18 $ 2,359,294 1,020,000Chesapeake Energy Corp. 9.5%, 2/15/15 1,109,250 2,300,000Denbury Resources, Inc., 8.25%, 2/15/20 2,438,000 160,000 Denbury Resources, Inc., 9.75%, 3/1/16 176,000 1,730,115Gazprom International SA, 7.201%, 2/1/20 1,838,248 1,605,000Ras Laffan Liquefied Natural Gas Co., Ltd., III, 5.8 1,712,342 200,000 TNK-BP Finance SA, 6.625%, 3/20/17 205,500 1,000,000TNK-BP Finance SA, 6.625%, 3/20/17 (144A) 1,027,500 2,080,000TNK-BP Finance SA, 7.5%, 7/18/16 (144A) 2,262,000 1,000,000TNK-BP Finance SA, 7.875%, 3/13/18 (144A) 1,096,250 $ 14,224,384 Oil & Gas Refining & Marketing - 0.6 % 1,150,000Holly Energy Partners LP, 6.25%, 3/1/15 $ 1,098,250 100,000 Petroplus Finance, Ltd., 7.0%, 5/1/17 (144A) 86,000 2,475,000Spectra Energy Capital, 6.2%, 4/15/18 2,668,968 2,890,000Valero Energy Corp., 9.375%, 3/15/19 3,440,649 $ 7,293,867 Oil & Gas Storage & Transporation - 2.0 % 435,000 Boardwalk Pipelines LLC, 5.5%, 2/1/17 $ 448,219 1,535,000Buckeye Partners LP, 6.05%, 1/15/18 1,629,997 2,900,000DCP Midstream, 9.75%, 3/15/19 3,717,733 3,250,000Kinder Morgan Energy, 5.95%, 2/15/18 3,485,771 1,450,000NGPL Pipeco LLC, 6.514%, 12/15/12 (144A) 1,590,833 3,500,000Plains All America Pipeline, 6.125%, 1/15/17 3,758,426 3,885,000Questar Pipeline Co., 5.83%, 2/1/18 4,037,444 3,345,000Southern Union Co., 7.2%, 11/1/66 3,102,488 1,500,000Spectra Energy Capital LLC, 6.75%, 7/15/18 1,623,713 $ 23,394,624 Total Energy $ 56,765,657 Materials - 2.5 % Aluminum - 0.1 % 2,290,000Novelis Inc., 7.25%, 2/15/15 $ 2,209,850 Commodity Chemicals - 0.1 % 1,700,000Nova Chemicals Corp., 8.375%, 11/1/16 (144A) (b) $ 1,746,750 Construction Materials - 0.2 % 2,260,000C8 Capital SPV, Ltd., Floating Rate Note, 12/31/49 $ 1,571,468 475,000 Holcim, Ltd., 6.0%, 12/30/19 (144A) 493,285 $ 2,064,753 Diversified Metals & Mining - 0.9 % 1,865,000Anglo American Capital Plc, 9.375%, 4/8/14 $ 2,240,277 2,965,000Freeport-McMoran Copper & Gold, Floating Rate Note, 2,994,650 2,725,000Rio Tinto Finance Plc, 8.95%, 5/1/14 3,283,633 1,655,000Teck Resources, Ltd., 10.25%, 5/15/16 1,969,450 $ 10,488,010 Fertilizers & Agricultural Chemicals - 0.4 % 4,510,000Agrium, Inc., 6.75%, 1/15/19 $ 4,996,061 45,000 Potash Corp. Saskatchewan, 4.875%, 3/1/13 47,936 $ 5,043,997 Specialty Chemicals - 0.2 % 2,400,000Cytec Industries, Inc., 8.95%, 7/1/17 $ 2,896,627 Steel - 0.5 % 3,900,000ArcelorMittal, 6.125%, 6/1/18 $ 4,093,857 1,230,000Commercial Metals Co., 7.35%, 8/15/18 1,294,036 $ 5,387,893 Total Materials $ 29,837,880 Capital Goods - 2.7 % Aerospace & Defense - 0.2 % 40,000 Boeing Co., 5.125%, 2/15/13 $ 43,329 3,020,000Esterline Technologies, 6.625%, 3/1/17 2,982,250 $ 3,025,579 Building Products - 0.3 % 2,225,000C10 Capital SPV Ltd, Floating Rate Note, 12/31/49 (b$ 1,579,950 2,310,000Masco Corp., 7.125%, 3/15/20 2,333,513 $ 3,913,463 Construction & Farm Machinery & Heavy Trucks - 0.3 % 1,200,000Caterpillar, Inc., 7.9%, 12/15/18 (b) $ 1,473,220 910,000 Cummins, Inc., 6.75%, 2/15/27 868,570 600,000 Oshkosh Corp., 8.5%, 3/1/20 (b) 621,000 $ 2,962,790 Electrical Component & Equipment - 0.4 % 2,665,000Anixter International Corp., 5.95%, 3/1/15 $ 2,558,400 2,670,000Belden CDT, Inc., 7.0%, 3/15/17 2,629,950 $ 5,188,350 Industrial Conglomerates - 0.3 % 2,950,000Tyco Electronics Group SA, 6.55%, 10/1/17 $ 3,245,549 525,000 Tyco International Finance SA, 8.5%, 1/15/19 651,086 $ 3,896,635 Industrial Machinery - 0.2 % 2,150,000Ingersoll-Rand Global Holding, 9.5%, 4/15/14 $ 2,606,952 Trading Companies & Distributors - 0.9 % 495,000 Ace Hardware Corp., 9.125%, 6/1/16 (144A) $ 530,888 5,660,000GATX Financial Corp., 6.0%, 2/15/18 (b) 5,641,656 4,160,000Glencore Funding LLC, 6.0%, 4/15/14 (144A) 4,266,704 $ 10,439,248 Total Capital Goods $ 32,033,017 Commercial Services & Supplies - 0.3 % Office Services & Supplies - 0.3 % 3,110,000Pitney Bowes, Inc., 5.6%, 3/15/18 $ 3,283,585 Total Commercial Services & Supplies $ 3,283,585 Transportation - 1.0 % Airlines - 0.1 % 799,825 Southwest Airlines Co., 7.67%, 1/2/14 $ 829,818 Railroads - 0.9 % 2,140,000Burlington Sante Fe Corp., 5.75%, 3/15/18 $ 2,290,701 3,400,000Kansas City Southern Mexico, 7.625%, 12/1/13 3,476,500 5,125,000Union Pacific Corp., 5.7%, 8/15/18 5,393,212 $ 11,160,413 Total Transportation $ 11,990,231 Consumer Durables & Apparel - 0.4 % Household Appliances - 0.4 % 4,235,000Whirlpool Corp., 5.5%, 3/1/13 $ 4,432,961 Total Consumer Durables & Apparel $ 4,432,961 Consumer Services - 0.8 % Casinos & Gaming - 0.0 % 1,160,000Station Casinos, Inc., 6.625%, 3/15/18 $ 1,450 Education Services - 0.6 % 2,160,000Leland Stanford Junior University, 4.75%, 5/1/19 $ 2,243,830 2,470,000President & Fellows of Harvard, 3.7%, 4/1/13 2,581,718 3,095,000President & Fellows of Harvard, 6.3%, 10/1/37 3,227,806 $ 8,053,354 Restaurants - 0.1 % 1,200,000McDonald's Corp., 5.35%, 3/1/18 $ 1,301,336 Total Consumer Services $ 9,356,140 Media - 0.8 % Broadcasting - 0.6 % 2,620,000Grupo Telivisa SA, 6.0%, 5/15/18 (144A) (b) $ 2,707,534 500,000 News America, Inc., 5.65%, 8/15/20 (b) 526,820 4,250,000Intelsat Subsidiary Holding Co., 8.5%, 1/15/13 (b) 4,313,750 $ 7,548,104 Cable & Satellite - 0.1 % 135,000 Comcast Corp., 5.3%, 1/15/14 $ 145,148 800,000 Time Warner Cable, Inc., 8.25%, 4/1/19 968,070 425,000 Time Warner Cable, Inc., 8.75, 2/14/19 527,077 $ 1,640,295 Total Media $ 9,188,399 Retailing - 0.6 % General Merchandise Stores - 0.2 % 2,000,000Target Corp., 5.375%, 5/1/17 $ 2,166,412 Internet Retail - 0.3 % 3,000,000Expedia, Inc., 8.5%, 7/1/16 (144A) $ 3,330,000 Specialty Stores - 0.1 % 1,795,000Sally Holdings, 9.25%, 11/15/14 (144A) (b) $ 1,902,700 Total Retailing $ 7,399,112 Food & Drug Retailing - 0.2 % Hypermarkets & Supercenters - 0.2 % 2,000,000Wal-Mart Stores, Inc., 5.875%, 4/5/27 $ 2,118,556 Total Food & Drug Retailing $ 2,118,556 Food, Beverage & Tobacco - 1.3 % Agricultural Products - 0.3 % 3,500,000Cargill, Inc., 5.2%, 1/22/13 (144A) $ 3,723,279 Brewers - 0.3 % 2,930,000Anheuser-Busch InBev Worldwide, Inc, 7.75%, 1/15/19 $ 3,484,889 55,000 Miller Brewing Co., 5.5%, 8/15/13 (144A) 58,886 $ 3,543,775 Distillers & Vintners - 0.3 % 2,765,000Constellation Brands, Inc., 8.375%, 12/15/14 $ 2,989,656 Packaged Foods & Meats - 0.3 % 3,725,000Kraft Foods, Inc., 6.5%, 2/9/40 $ 3,860,147 Soft Drinks - 0.0 % 55,000 Bottling Group LLC, 5.0%, 11/15/13 $ 59,219 Tobacco - 0.1 % 1,535,000UST, Inc., 5.75%, 3/1/18 $ 1,517,846 Total Food, Beverage & Tobacco $ 15,693,922 Health Care Equipment & Services - 0.5 % Health Care Facilities - 0.2 % 155,885 HCA Inc., 9.625%, 11/15/16 $ 166,992 1,050,000HCA, Inc., 7.875%, 2/15/20 1,099,219 385,000 HCA, Inc., 8.5%, 4/15/19 414,116 310,000 HCA, Inc., 9.875%, 2/15/17 337,900 $ 2,018,227 Managed Health Care - 0.2 % 3,275,000United Health Care Group, 4.875%, 2/15/13 $ 3,502,396 Total Health Care Equipment & Services $ 5,520,623 Pharmaceuticals & Biotechnology - 0.6 % Biotechnology - 0.4 % 5,055,000Biogen Idec, Inc., 6.0%, 3/1/13 $ 5,467,114 Pharmaceuticals - 0.1 % 1,000,000Abbott Laboratories, 5.125%, 4/1/19 $ 1,053,328 Total Pharmaceuticals & Biotechnology $ 6,520,442 Banks - 4.9 % Diversified Banks - 1.2 % 3,515,000Barclays Plc, 6.05%, 12/4/17 $ 3,624,907 3,400,000BNP Paribas, 1.34438%, 4/27/17 3,246,045 3,230,000Credit Agricole SA, 8.375%, 12/13/49 3,496,475 1,855,000Industrial Bank of Korea, 7.125%, 4/23/14 2,079,882 2,000,000Scotiabank Peru SA, Floating Rate Note, 3/15/17 (144 2,000,000 $ 14,447,309 Regional Banks - 3.6 % 1,870,000American Express Bank FSB, 5.5%, 4/16/13 $ 2,002,723 2,000,000Branch Banking & Trust Co., 4.875%, 1/15/13 (b) 2,117,928 1,190,000Cobank, ACB, 7.875%, 4/16/18 (144A) 1,285,088 2,425,000KeyBank NA, 5.8%, 7/1/14 2,480,147 2,030,000Keycorp, 6.5%, 5/14/13 2,167,855 2,505,000Mellon Funding Corp., 5.5%, 11/15/18 2,590,706 1,435,000PNC Bank NA, 6.0%, 12/7/17 1,522,066 6,273,000PNC Funding Corp., Floating Rate Note, 5/29/49 6,494,537 2,755,000Sovereign Bancorp 8.75%, 5/30/18 3,089,622 6,670,000State Street Capital 8.25%, 3/15/42 6,903,517 4,000,000US Bancorp, 6.189%, 4/15/2049 3,420,000 3,520,000Wachovia Bank NA 6.0%, 11/15/17 3,815,307 5,470,000Wells Fargo & Co., Floating Rate Note, 12/29/49 5,647,775 $ 43,537,271 Total Banks $ 57,984,580 Diversified Financials - 7.3 % Asset Management & Custody Banks - 1.2 % 2,000,000Bank of New York, 4.95%, 3/15/15 $ 2,128,002 3,945,000Eaton Vance Corp., 6.5%, 10/2/17 4,248,453 5,400,000Janus Capital Group, Inc., 6.95%, 6/15/17 5,368,847 2,800,000State Street Corp., 7.65%, 6/15/10 2,835,938 $ 14,581,240 Consumer Finance - 2.1 % 4,435,000American General Finance, 6.9%, 12/15/17 $ 3,884,656 3,875,000American Honda Finance, 6.7%, 10/1/13 (144A) 4,318,068 1,765,000Capital One Bank USA NA, 8.8%, 7/15/19 2,132,575 3,335,000Capitial One Capital VI, 8.875%, 5/15/40 3,634,430 2,575,000Caterpillar Financial, 7.05%, 10/1/18 2,976,723 3,750,000John Deere Capital Corp., 2.875%, 6/19/12 3,880,080 790,000 Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 791,990 3,155,000SLM Corp., Floating Rate Note, 7/25/14 2,747,690 $ 24,366,212 Diversified Financial Services - 1.2 % 1,625,000Crown Castle Towers LLC, 6.113%, 1/15/20 $ 1,699,815 1,840,000Hyundai Capital Services, Inc., 6.0%, 5/5/15 1,930,815 2,575,000JP Morgan Chase & Co., 6.0%, 1/15/18 2,795,683 4,900,000JPMorgan Chase & Co., 7.9%, 4/29/49 5,223,890 1,100,000Nationsbank Corp., 7.75%, 8/15/15 1,229,967 932,020 PF Export Receivable Master Trust, 6.436%, 6/1/15 (1 987,941 1,189,752Power Receivables Finance, LLC 6.29%, 1/1/12 (144A) 1,220,911 $ 15,089,022 Investment Banking & Brokerage - 1.7 % 2,000,000Goldman Sachs, 5.5%, 11/15/14 $ 2,145,564 11,040,00Goldman Sachs Capital, Floating Rate Note, 12/29/49 9,356,400 2,730,000Macquarie Group, Ltd., 6.0%, 1/14/20 2,723,120 3,325,000Merrill Lynch & Co., 5.45%, 2/5/13 3,517,880 2,765,000Morgan Stanley Dean Witter, 6.625%, 4/1/18 2,949,091 $ 20,692,055 Specialized Finance - 1.0 % 4,680,000Cantor Fitzgerald LP, 7.875%, 10/15/19 $ 4,690,053 5,553,290Coso Geothermal Power Holdings, 7.0%, 7/15/26 (144A) 5,246,915 2,000,000National Rural Utilities Corp., 5.45%, 2/1/18 2,112,740 $ 12,049,708 Total Diversified Financials $ 86,778,237 Insurance - 3.9 % Insurance Brokers - 0.1 % 1,560,000Leucadia National, 7.125%, 3/15/17 (144A) $ 1,544,400 Life & Health Insurance - 1.5 % 1,690,000Lincoln National Corp., 8.75%, 7/1/19 $ 2,066,485 4,200,000MetLife, Inc., 10.75%, 8/1/39 5,413,598 4,250,000Protective Life Corp., 7.375%, 10/15/19 4,514,397 2,800,000Prudential Financial, Inc., 5.15%, 1/15/13 2,970,912 2,140,000Prudential Financial, Inc., 8.875%, 6/15/38 2,402,150 $ 17,367,542 Multi-Line Insurance - 0.9 % 4,620,000Liberty Mutual Group, 7.0%, 3/15/37 (144A) $ 3,938,615 3,035,000Liberty Mutual Group, 7.3%, 6/15/14 (144A) 3,306,490 650,000 Liberty Mutual Group, Floating Rate Note, 6/15/58 (1 728,000 2,650,000Loew Corp., 5.25%, 3/15/16 2,763,216 $ 10,736,321 Property & Casualty Insurance - 0.6 % 5,000,000Hanover Insurance Group, 7.625%, 10/15/25 $ 4,799,305 700,000 The Hanover Insurance Group, Inc., 7.5%, 3/1/20 717,955 2,000,000Travelers Co., Inc., 6.25%, 6/15/37 2,115,662 $ 7,632,922 Reinsurance - 0.7 % 2,150,000Berkshire Hathway, Inc., 5.0%, 8/15/13 $ 2,347,970 600,000 Foundation Re III, Ltd., Floating Rate Note, 2/3/14 606,420 5,048,000Platinum Underwriters HD, 7.5%, 6/1/17 5,425,288 $ 8,379,678 Total Insurance $ 45,660,863 Real Estate - 3.1 % Diversified Real Estate Activities - 0.4 % 4,125,000WEA Finance LLC, 7.125%, 4/15/18 $ 4,462,598 640,000 WEA Finance LLC, 7.5%, 6/2/14 (144A) 716,351 $ 5,178,949 Diversified Real Estate Investment Trust - 0.5 % 5,125,000Dexus Finance Pty, Ltd., 7.125%, 10/15/14 $ 5,526,713 725,000 Digital Realty Trust LP, 5.875%, 2/1/20 (144A) 708,927 $ 6,235,640 Office Real Estate Investment Trust - 0.2 % 692,000 Mack-Cali Realty LP, 5.125%, 1/15/15 $ 680,494 1,607,000Mack-Cali Realty LP, 5.125%, 2/15/14 1,596,127 $ 2,276,621 Real Estate Operating Companies - 0.0 % 180,000 Forest City Enterprises, 7.625%, 6/1/15 $ 167,400 Retail Real Estate Investment Trust - 0.5 % 2,905,000Developers Diversified Realty, 7.5%, 4/1/17 $ 2,938,910 3,470,000Trustreet Properties, Inc., 7.5%, 4/1/15 3,575,641 $ 6,514,551 Specialized Real Estate Investment Trust - 1.4 % 4,125,000Health Care REIT, Inc., 6.2%, 6/1/16 $ 4,393,674 860,000 Health Care, Inc., 6.0%, 11/15/13 916,529 2,425,000Healthcare Realty Trust, Inc., 6.5%, 1/17/17 2,487,844 5,325,000Hospitality Properties Trust, 7.875%, 8/15/14 5,718,667 540,000 Ventas Realty LP/CAP Corp., 6.75%, 4/1/17 554,416 565,000 Ventas Realty Capital Corp., 7.125%, 6/1/15 (144A) 586,324 1,910,000Ventas Realty LP / V, 6.5%, 6/1/16 1,951,800 $ 16,609,254 Total Real Estate $ 36,982,415 Software & Services - 0.7 % Data Processing & Outsourced Services - 0.2 % 3,095,000First Data Corp., 9.875%, 9/24/15 (b) $ 2,669,438 Internet Software & Services - 0.3 % 3,950,000GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) $ 3,935,306 Systems Software - 0.2 % 1,800,000Oracle Corp., 5.75%, 4/15/18 $ 1,974,254 Total Software & Services $ 8,578,998 Technology Hardware & Equipment - 0.7 % Communications Equipment - 0.1 % 497,000 Brocade Communications, 6.625%, 1/15/18 $ 505,698 497,000 Brocade Communications, 6.875%, 1/15/20 (144A) 506,940 $ 1,012,638 Computer Hardware - 0.1 % 1,700,000Hewlett-Packard Co., 4.5%, 3/1/13 $ 1,820,185 Electronic Equipment & Instruments - 0.5 % 5,070,000Agilent Technologies, Inc, 6.5%, 11/1/17 $ 5,477,674 Total Technology Hardware & Equipment $ 8,310,497 Semiconductors - 0.3% Semiconductor Equipment - 0.3 % 3,140,000Klac Instruments Corp., 6.9%, 5/1/18 $ 3,406,190 Total Semiconductors $ 3,406,190 Telecommunication Services - 0.5 % Integrated Telecommunication Services - 0.5 % 1,200,000AT&T, Inc., 5.6%, 5/15/18 $ 1,281,812 2,530,000Cincinnati Bell, Inc., 8.25%, 10/15/17 2,561,625 1,990,000Embarq Corp., 7.082%, 6/1/16 2,167,403 $ 6,010,840 Total Telecommunication Services $ 6,010,840 Utilities - 3.3 % Electric Utilities - 2.3 % 1,275,000CenterPoint Energy Houston Electric LLC, 7.0%, 3/1/1$ 1,449,627 980,000 Commonwealth Edison, 6.15%, 9/15/17 1,083,026 785,773 Crocket Cogeneration, 5.869%, 3/30/25 (144A) 746,296 3,365,000Enel Finance International SA, 5.125%, 10/7/19 (144A 3,325,670 2,270,000Entergy Gulf States, 5.7%, 6/1/15 2,276,183 1,511,748FPL Energy America Wind LLC, 6.639%, 6/20/23 (144A) 1,550,025 555,450 FPL Energy Wind Funding, 6.876%, 6/27/17 (144A) 540,175 1,925,000Israel Electric Corp., Ltd., 7.25%, 1/15/19 (144A) 2,090,754 610,000 Israel Electric Corp., Ltd., 9.375%, 1/28/20 (144A) 759,211 910,000 Neveda Power Co., 6.5%, 8/1/18 993,290 5,055,000NY State Gas and Electric, 6.15%, 12/15/17 (144A) 5,137,012 1,109,044Orcal Geothermal, 6.21%, 12/30/20 (144A) 1,027,074 2,690,000Public Service of New Mexico, 7.95%, 5/15/18 2,806,453 3,550,000West Penn Power Co., 5.95%, 12/15/17 3,630,230 $ 27,415,026 Gas Utilities - 0.1 % 2,450,000Nakilat, Inc., 6.267%, 12/31/33 (144A) $ 2,211,199 Independent Power Producer & Energy Traders - 0.6 % 2,675,000Intergen NV, 9.0%, 6/30/17 $ 2,755,250 2,105,000Kiowa Power Partners LLC, 5.737%, 3/20/21 (144A) 1,956,745 2,597,126Panoche Energy Center LLC, 6.88%, 7/31/29 (144A) 2,558,896 $ 7,270,891 Multi-Utilities - 0.1 % 1,365,000NSG Holdings Inc., 7.75%, 12/15/25 $ 1,228,500 431,965 Ormat Funding Corp., 8.25%, 12/30/20 414,684 $ 1,643,184 Total Utilities $ 38,540,300 TOTAL CORPORATE BONDS (Cost $447,394,178) $486,393,445 U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 22.6 % 2,971,815Federal Home Loan Mortgage Corp., 4.5%, 10/1/20 $ 3,115,325 1,685,327Federal Home Loan Mortgage Corp., 4.5%, 3/1/20 1,766,712 4,408,085Federal Home Loan Mortgage Corp., 5.0%, 10/1/20 4,694,489 129,499 Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 134,487 2,215,930Federal Home Loan Mortgage Corp., 5.0%, 6/1/35 2,294,359 841,704 Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 892,088 265,390 Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 281,276 524,637 Federal Home Loan Mortgage Corp., 5.5%, 11/1/35 555,385 893,407 Federal Home Loan Mortgage Corp., 5.5%, 12/1/18 965,198 2,654,874Federal Home Loan Mortgage Corp., 5.5%, 8/1/35 2,810,473 1,600,371Federal Home Loan Mortgage Corp., 5.5%, 9/1/33 1,698,668 20,732 Federal Home Loan Mortgage Corp., 6.0% 3/1/33 22,514 100,094 Federal Home Loan Mortgage Corp., 6.0%, 1/1/33 108,697 147,413 Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 160,083 415,110 Federal Home Loan Mortgage Corp., 6.0%, 1/1/34 449,752 180,963 Federal Home Loan Mortgage Corp., 6.0%, 11/1/33 196,517 808,947 Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 878,478 146,545 Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 159,329 184,557 Federal Home Loan Mortgage Corp., 6.0%, 12/1/33 200,420 60,552 Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 65,832 393,302 Federal Home Loan Mortgage Corp., 6.0%, 2/1/33 428,091 319,810 Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 347,698 911,000 Federal Home Loan Mortgage Corp., 6.0%, 3/1/33 990,442 88,921 Federal Home Loan Mortgage Corp., 6.0%, 4/1/33 96,564 696,177 Federal Home Loan Mortgage Corp., 6.0%, 4/1/35 751,664 182,428 Federal Home Loan Mortgage Corp., 6.0%, 5/1/17 197,873 2,186,795Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 2,369,289 341,393 Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 369,883 186,554 Federal Home Loan Mortgage Corp., 6.0%, 5/1/34 202,122 1,787,531Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 1,930,002 1,219,141Federal Home Loan Mortgage Corp., 6.0%, 6/1/35 1,316,310 715,285 Federal Home Loan Mortgage Corp., 6.0%, 7/1/34 774,978 724,542 Federal Home Loan Mortgage Corp., 6.0%, 8/1/34 785,007 710,444 Federal Home Loan Mortgage Corp., 6.0%, 9/1/33 771,509 27,651 Federal Home Loan Mortgage Corp., 6.5%, 1/1/29 30,520 303,944 Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 334,739 135,838 Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 149,774 376,775 Federal Home Loan Mortgage Corp., 6.5%, 11/1/33 415,444 76,139 Federal Home Loan Mortgage Corp., 6.5%, 3/1/13 78,317 1,826 Federal Home Loan Mortgage Corp., 6.5%, 3/1/31 2,014 58,207 Federal Home Loan Mortgage Corp., 6.5%, 7/1/32 64,174 11,122 Federal Home Loan Mortgage Corp., 7.0%, 11/1/30 12,505 4,477 Federal Home Loan Mortgage Corp., 8.0%, 8/1/31 4,939 228,767 Federal National Mortgage Association, 4.0%, 7/1/18 237,317 2,715,314Federal National Mortgage Association, 4.5%, 10/1/35 2,741,536 2,273,092Federal National Mortgage Association, 4.5%, 10/1/35 2,295,044 3,148,208Federal National Mortgage Association, 4.5%, 11/1/20 3,300,728 1,839,936Federal National Mortgage Association, 5.0%, 1/1/20 1,960,056 1,836,706Federal National Mortgage Association, 5.0%, 10/1/20 1,954,319 117,269 Federal National Mortgage Association, 5.0%, 12/1/17 125,218 211,490 Federal National Mortgage Association, 5.0%, 12/1/21 224,239 307,589 Federal National Mortgage Association, 5.0%, 2/1/20 327,286 207,773 Federal National Mortgage Association, 5.0%, 2/1/22 219,455 4,815,408Federal National Mortgage Association, 5.0%, 2/1/22 5,086,142 3,563,847Federal National Mortgage Association, 5.0%, 5/1/23 3,763,458 1,482,089Federal National Mortgage Association, 5.5%, 12/1/17 1,598,068 97,973 Federal National Mortgage Association, 5.5%, 2/1/18 106,009 1,102,082Federal National Mortgage Association, 5.5%, 3/1/25 1,169,476 3,186,210Federal National Mortgage Association, 5.5%, 3/1/36 3,363,491 2,351,256Federal National Mortgage Association, 5.5%, 5/1/36 2,482,080 230,568 Federal National Mortgage Association, 5.5%, 6/1/33 244,694 3,143,430Federal National Mortgage Association, 5.5%, 6/1/36 3,318,331 43,104 Federal National Mortgage Association, 5.5%, 7/1/23 45,818 1,195,710Federal National Mortgage Association, 5.5%, 7/1/33 1,268,965 5,132,888Federal National Mortgage Association, 5.5%, 7/1/34 5,436,127 87,622 Federal National Mortgage Association, 5.5%, 9/1/17 94,479 1,607,473Federal National Mortgage Association, 5.5%, 9/1/19 1,735,273 3,712 Federal National Mortgage Association, 6.0%, 1/1/29 4,040 3,083 Federal National Mortgage Association, 6.0%, 1/1/29 3,339 15,772 Federal National Mortgage Association, 6.0%, 1/1/32 17,165 380,204 Federal National Mortgage Association, 6.0%, 10/1/32 413,062 123,110 Federal National Mortgage Association, 6.0%, 10/1/34 132,826 2,099,239Federal National Mortgage Association, 6.0%, 10/1/35 2,246,545 74,295 Federal National Mortgage Association, 6.0%, 11/1/32 80,715 76,258 Federal National Mortgage Association, 6.0%, 11/1/32 82,848 136,076 Federal National Mortgage Association, 6.0%, 11/1/33 147,666 76,426 Federal National Mortgage Association, 6.0%, 11/1/34 82,458 3,866,890Federal National Mortgage Association, 6.0%, 12/1/35 4,138,235 40,332 Federal National Mortgage Association, 6.0%, 2/1/32 43,884 150,855 Federal National Mortgage Association, 6.0%, 2/1/32 164,175 264,234 Federal National Mortgage Association, 6.0%, 2/1/33 287,069 24,266 Federal National Mortgage Association, 6.0%, 2/1/35 26,182 66,550 Federal National Mortgage Association, 6.0%, 2/1/35 71,802 528,428 Federal National Mortgage Association, 6.0%, 3/1/33 574,095 36,379 Federal National Mortgage Association, 6.0%, 3/1/33 39,478 1,377,315Federal National Mortgage Association, 6.0%, 4/1/33 1,494,623 1,383,180Federal National Mortgage Association, 6.0%, 4/1/35 1,500,987 3,218,460Federal National Mortgage Association, 6.0%, 4/1/36 3,461,905 88,777 Federal National Mortgage Association, 6.0%, 5/1/33 96,339 636,343 Federal National Mortgage Association, 6.0%, 5/1/35 680,996 148,377 Federal National Mortgage Association, 6.0%, 6/1/16 160,660 709,345 Federal National Mortgage Association, 6.0%, 7/1/33 769,761 27,102 Federal National Mortgage Association, 6.0%, 8/1/32 29,444 981,298 Federal National Mortgage Association, 6.0%, 8/1/34 1,064,877 6,734 Federal National Mortgage Association, 6.0%, 9/1/29 7,328 3,770 Federal National Mortgage Association, 6.0%, 9/1/32 4,096 100,491 Federal National Mortgage Association, 6.0%, 9/1/34 108,422 447,024 Federal National Mortgage Association, 6.0%, 9/1/34 482,303 1,595,363Federal National Mortgage Association, 6.0%, 9/1/34 1,721,271 80,791 Federal National Mortgage Association, 6.0%, 9/1/34 87,167 41,016 Federal National Mortgage Association, 6.0%, 9/15/33 44,509 14,703 Federal National Mortgage Association, 6.5%, 1/1/31 16,245 483 Federal National Mortgage Association, 6.5%, 1/1/31 533 395 Federal National Mortgage Association, 6.5%, 1/1/31 436 2,068 Federal National Mortgage Association, 6.5%, 1/1/33 2,281 50,475 Federal National Mortgage Association, 6.5%, 10/1/31 55,768 6,598 Federal National Mortgage Association, 6.5%, 10/1/31 7,290 12,804 Federal National Mortgage Association, 6.5%, 10/1/31 14,146 136,942 Federal National Mortgage Association, 6.5%, 10/1/32 151,301 934 Federal National Mortgage Association, 6.5%, 11/1/30 1,031 261,687 Federal National Mortgage Association, 6.5%, 12/1/31 289,127 41,735 Federal National Mortgage Association, 6.5%, 2/1/32 46,112 157,133 Federal National Mortgage Association, 6.5%, 2/1/32 173,610 112,388 Federal National Mortgage Association, 6.5%, 2/1/33 124,173 4,148 Federal National Mortgage Association, 6.5%, 2/1/33 4,566 30,117 Federal National Mortgage Association, 6.5%, 3/1/31 33,223 232,857 Federal National Mortgage Association, 6.5%, 3/1/32 257,275 7,836 Federal National Mortgage Association, 6.5%, 4/1/31 8,658 23,399 Federal National Mortgage Association, 6.5%, 4/1/34 25,696 58,742 Federal National Mortgage Association, 6.5%, 5/1/31 64,901 1,185 Federal National Mortgage Association, 6.5%, 5/1/31 1,307 23,086 Federal National Mortgage Association, 6.5%, 5/1/31 25,467 282,725 Federal National Mortgage Association, 6.5%, 6/1/31 312,371 16,623 Federal National Mortgage Association, 6.5%, 6/1/31 18,338 625 Federal National Mortgage Association, 6.5%, 6/1/32 689 47,097 Federal National Mortgage Association, 6.5%, 7/1/29 52,035 5,141 Federal National Mortgage Association, 6.5%, 7/1/31 5,671 55,761 Federal National Mortgage Association, 6.5%, 7/1/31 61,512 162,861 Federal National Mortgage Association, 6.5%, 7/1/34 178,921 17,240 Federal National Mortgage Association, 6.5%, 8/1/31 19,047 11,455 Federal National Mortgage Association, 6.5%, 8/1/31 12,636 60,931 Federal National Mortgage Association, 6.5%, 9/1/31 67,320 36,267 Federal National Mortgage Association, 6.5%, 9/1/31 40,070 3,663 Federal National Mortgage Association, 6.5%, 9/1/31 4,040 78,455 Federal National Mortgage Association, 7.0%, 1/1/32 88,139 5,369 Federal National Mortgage Association, 7.0%, 12/1/30 6,029 14,049 Federal National Mortgage Association, 7.0%, 12/1/30 15,776 60,698 Federal National Mortgage Association, 7.0%, 12/1/31 68,190 94,146 Federal National Mortgage Association, 7.0%, 12/1/31 105,767 2,075 Federal National Mortgage Association, 7.0%, 3/1/12 2,154 33,038 Federal National Mortgage Association, 7.0%, 4/1/31 37,099 387,181 Federal National Mortgage Association, 7.0%, 5/1/22 418,138 20,327 Federal National Mortgage Association, 7.0%, 7/1/21 22,831 292,536 Federal National Mortgage Association, 7.0%, 8/1/22 315,452 647,907 Federal National Mortgage Association, 7.0%, 9/1/22 698,661 11,589 Federal National Mortgage Association, 7.0%, 9/1/31 13,020 56,215 Federal National Mortgage Association, 7.0%, 9/1/31 63,154 2,129 Federal National Mortgage Association, 7.5%, 4/1/30 2,411 2,376 Federal National Mortgage Association, 7.5%, 8/1/20 2,687 687 Federal National Mortgage Association, 8.0%, 1/1/31 797 1,465 Federal National Mortgage Association, 8.0%, 10/1/30 1,698 6,450 Federal National Mortgage Association, 8.0%, 2/1/29 7,475 1,380 Federal National Mortgage Association, 8.0%, 2/1/30 1,602 953 Federal National Mortgage Association, 8.0%, 2/1/30 1,106 20,465 Federal National Mortgage Association, 8.0%, 3/1/31 23,756 4,340 Federal National Mortgage Association, 8.0%, 4/1/20 5,030 1,670 Federal National Mortgage Association, 8.0%, 4/1/30 1,935 1,306 Federal National Mortgage Association, 8.0%, 5/1/31 1,514 1,276 Federal National Mortgage Association, 8.0%, 7/1/30 1,479 2,223,486Federal National Mortgage Associatoin, 6.0%, 7/1/33 2,412,864 1,139,290Government National Mortgage Association, 4.5%, 10/1 1,164,379 1,017,606Government National Mortgage Association, 4.5%, 10/1 1,040,015 1,267,872Government National Mortgage Association, 4.5%, 10/1 1,291,434 111,171 Government National Mortgage Association, 4.5%, 2/15 113,411 920,075 Government National Mortgage Association, 4.5%, 3/15 937,173 353,310 Government National Mortgage Association, 4.5%, 3/15 359,876 265,199 Government National Mortgage Association, 4.5%, 3/20 269,366 1,264,944Government National Mortgage Association, 4.5%, 4/15 1,288,452 134,743 Government National Mortgage Association, 4.5%, 4/15 137,247 883,506 Government National Mortgage Association, 4.5%, 4/15 895,784 300,316 Government National Mortgage Association, 4.5%, 7/15 306,929 1,093,197Government National Mortgage Association, 4.5%, 9/15 1,117,271 262,493 Government National Mortgage Association, 4.5%, 9/15 267,372 92,679 Government National Mortgage Assoication, 4.5%, 5/15 94,546 159,983 Government National Mortgage Association, 5.0%, 10/1 170,728 266,101 Government National Mortgage Association, 5.0%, 4/15 278,537 1,278,049Government National Mortgage Association, 5.0%, 4/15 1,335,381 620,565 Government National Mortgage Association, 5.0%, 7/15 661,660 7,802 Government National Mortgage Association, 5.0%, 7/15 8,318 410,894 Government National Mortgage Association, 5.0%, 9/15 430,482 636,085 Government National Mortgage Association, 5.5%, 1/15 676,712 924,147 Government National Mortgage Association, 5.5%, 10/1 997,909 263,779 Government National Mortgage Association, 5.5%, 10/1 284,833 105,590 Government National Mortgage Association, 5.5%, 10/1 112,581 505,998 Government National Mortgage Association, 5.5%, 10/1 538,317 937,486 Government National Mortgage Association, 5.5%, 10/1 997,364 265,715 Government National Mortgage Association, 5.5%, 11/1 286,674 1,087,198Government National Mortgage Association, 5.5%, 11/1 1,172,954 1,389,510Government National Mortgage Association, 5.5%, 11/1 1,479,996 105,418 Government National Mortgage Association, 5.5%, 12/1 113,733 589,414 Government National Mortgage Association, 5.5%, 2/15 635,906 687,491 Government National Mortgage Association, 5.5%, 2/15 741,719 216,817 Government National Mortgage Association, 5.5%, 2/15 230,665 673,909 Government National Mortgage Association, 5.5%, 2/15 716,953 313,921 Government National Mortgage Association, 5.5%, 2/15 333,185 6,532 Government National Mortgage Association, 5.5%, 4/15 7,047 875,196 Government National Mortgage Association, 5.5%, 4/20 931,181 82,630 Government National Mortgage Association, 5.5%, 6/15 88,079 651,732 Government National Mortgage Association, 5.5%, 6/15 693,359 356,946 Government National Mortgage Association, 5.5%, 7/15 380,581 167,517 Government National Mortgage Association, 5.5%, 7/15 178,609 1,881,965Government National Mortgage Association, 5.5%, 7/15 2,005,798 2,233,775Government National Mortgage Association, 5.5%, 7/15 2,376,448 949,496 Government National Mortgage Association, 5.5%, 8/15 1,024,391 817,157 Government National Mortgage Association, 5.5%, 8/15 881,613 67,035 Government National Mortgage Association, 5.5%, 8/15 71,474 80,809 Government National Mortgage Association, 5.5%, 8/15 86,160 158,139 Government National Mortgage Association, 5.5%, 8/15 168,610 706,575 Government National Mortgage Association, 5.5%, 9/15 762,309 850,276 Government National Mortgage Association, 5.5%, 9/15 906,576 49,526 Government National Mortgage Association, 6.0%, 1/15 53,672 101,023 Government National Mortgage Association, 6.0%, 1/15 109,339 203,050 Government National Mortgage Association, 6.0%, 1/15 219,753 462,281 Government National Mortgage Association, 6.0%, 1/15 501,266 106,534 Government National Mortgage Association, 6.0%, 10/1 115,564 179,142 Government National Mortgage Association, 6.0%, 10/1 193,878 734,546 Government National Mortgage Association, 6.0%, 10/1 792,214 1,400,822Government National Mortgage Association, 6.0%, 10/1 1,501,605 172,688 Government National Mortgage Association, 6.0%, 11/1 187,252 69,762 Government National Mortgage Association, 6.0%, 11/1 75,675 323,103 Government National Mortgage Association, 6.0%, 11/1 348,469 279,320 Government National Mortgage Association, 6.0%, 12/1 304,884 128,734 Government National Mortgage Association, 6.0%, 2/15 139,323 192,406 Government National Mortgage Association, 6.0%, 3/15 208,515 198,169 Government National Mortgage Association, 6.0%, 3/15 214,760 8,140 Government National Mortgage Association, 6.0%, 3/15 8,830 431,434 Government National Mortgage Association, 6.0%, 3/15 466,923 356,138 Government National Mortgage Association, 6.0%, 3/15 385,433 566,425 Government National Mortgage Association, 6.0%, 3/15 613,018 1,048,895Government National Mortgage Association, 6.0%, 3/15 1,135,175 500,502 Government National Mortgage Association, 6.0%, 3/15 542,710 1,038,709Government National Mortgage Association, 6.0%, 3/15 1,126,305 37,101 Government National Mortgage Association, 6.0%, 4/15 40,142 1,376 Government National Mortgage Association, 6.0%, 4/15 1,490 178,863 Government National Mortgage Association, 6.0%, 4/15 193,642 229,973 Government National Mortgage Association, 6.0%, 4/15 248,890 94,932 Government National Mortgage Association, 6.0%, 4/15 102,741 220,434 Government National Mortgage Association, 6.0%, 4/15 238,566 312,232 Government National Mortgage Association, 6.0%, 5/15 338,372 233,983 Government National Mortgage Association, 6.0%, 5/15 253,573 470,585 Government National Mortgage Association, 6.0%, 5/15 509,295 54,769 Government National Mortgage Association, 6.0%, 6/15 59,354 31,435 Government National Mortgage Association, 6.0%, 6/15 34,021 556,270 Government National Mortgage Association, 6.0%, 7/15 582,789 3,626 Government National Mortgage Association, 6.0%, 8/15 3,846 88,554 Government National Mortgage Association, 6.0%, 8/15 96,059 32,109 Government National Mortgage Association, 6.0%, 8/15 34,818 1,747,100Government National Mortgage Association, 6.0%, 8/15 1,873,969 458,042 Government National Mortgage Association, 6.0%, 9/15 495,747 974,181 Government National Mortgage Association, 6.0%, 9/15 1,056,751 171,684 Government National Mortgage Association, 6.0%, 9/15 186,236 27,664 Government National Mortgage Association, 6.0%, 9/15 30,009 40,382 Government National Mortgage Association, 6.0%, 9/15 43,704 189,444 Government National Mortgage Association, 6.0%, 9/15 205,027 226,618 Government National Mortgage Association, 6.0%, 9/15 244,409 578,486 Government National Mortgage Association, 6.0%, 9/15 623,902 2,423,272Government National Mortgage Association, 6.0%, 9/15 2,604,431 63,610 Government National Mortgage Association, 6.5%, 1/15 70,019 295,163 Government National Mortgage Association, 6.5%, 1/15 322,871 1,417,084Government National Mortgage Association, 6.5%, 1/15 1,558,875 15,130 Government National Mortgage Association, 6.5%, 1/15 16,592 141,749 Government National Mortgage Association, 6.5%, 1/15 154,435 109,339 Government National Mortgage Association, 6.5%, 1/15 119,125 11,135 Government National Mortgage Association, 6.5%, 1/15 12,069 122,698 Government National Mortgage Association, 6.5%, 10/1 134,906 415,391 Government National Mortgage Association, 6.5%, 10/1 456,722 23,172 Government National Mortgage Association, 6.5%, 10/1 25,478 316,791 Government National Mortgage Association, 6.5%, 10/1 346,530 6,623 Government National Mortgage Association, 6.5%, 10/1 7,228 15,667 Government National Mortgage Association, 6.5%, 11/1 17,226 210,293 Government National Mortgage Association, 6.5%, 11/1 231,302 1,345,326Government National Mortgage Association, 6.5%, 12/1 1,477,609 5,188 Government National Mortgage Association, 6.5%, 2/15 5,711 28,299 Government National Mortgage Association, 6.5%, 2/15 31,151 115,753 Government National Mortgage Association, 6.5%, 2/15 126,619 256,042 Government National Mortgage Association, 6.5%, 2/15 278,957 33,264 Government National Mortgage Association, 6.5%, 3/15 36,616 141,828 Government National Mortgage Association, 6.5%, 3/15 156,117 39,193 Government National Mortgage Association, 6.5%, 3/15 43,142 43,797 Government National Mortgage Association, 6.5%, 3/15 48,155 67,835 Government National Mortgage Association, 6.5%, 3/15 74,203 281,167 Government National Mortgage Association, 6.5%, 4/15 309,143 24,344 Government National Mortgage Association, 6.5%, 4/15 26,629 130,772 Government National Mortgage Association, 6.5%, 4/15 141,740 499 Government National Mortgage Association, 6.5%, 5/15 544 244,580 Government National Mortgage Association, 6.5%, 5/15 269,465 11,661 Government National Mortgage Association, 6.5%, 5/15 12,835 76,462 Government National Mortgage Association, 6.5%, 5/15 84,101 66,308 Government National Mortgage Association, 6.5%, 5/15 72,939 32,438 Government National Mortgage Association, 6.5%, 5/15 35,483 103,559 Government National Mortgage Association, 6.5%, 5/15 113,022 54,140 Government National Mortgage Association, 6.5%, 6/15 59,222 319,424 Government National Mortgage Association, 6.5%, 6/15 348,012 19,263 Government National Mortgage Association, 6.5%, 6/15 20,879 654,303 Government National Mortgage Association, 6.5%, 7/15 715,724 129,729 Government National Mortgage Association, 6.5%, 7/15 141,907 203,476 Government National Mortgage Association, 6.5%, 7/15 220,542 308,604 Government National Mortgage Association, 6.5%, 7/15 334,488 5,881 Government National Mortgage Association, 6.5%, 8/15 6,053 144,149 Government National Mortgage Association, 6.5%, 8/15 158,492 118,583 Government National Mortgage Association, 6.5%, 8/15 129,715 25,739 Government National Mortgage Association, 6.5%, 8/15 28,155 100,011 Government National Mortgage Association, 6.5%, 9/15 109,399 18,236 Government National Mortgage Association, 6.5%, 9/15 19,868 40,943 Government National Mortgage Association, 7.0%, 10/1 46,016 134,134 Government National Mortgage Association, 7.0%, 11/1 150,493 56,204 Government National Mortgage Association, 7.0%, 11/1 63,058 13,974 Government National Mortgage Association, 7.0%, 12/1 14,973 9,718 Government National Mortgage Association, 7.0%, 12/1 10,917 19,220 Government National Mortgage Association, 7.0%, 2/15 21,591 5,681 Government National Mortgage Association, 7.0%, 4/15 6,375 49,488 Government National Mortgage Association, 7.0%, 4/15 55,567 17,537 Government National Mortgage Association, 7.0%, 4/15 19,709 198,670 Government National Mortgage Association, 7.0%, 5/15 223,361 40,105 Government National Mortgage Association, 7.0%, 6/15 45,074 93,265 Government National Mortgage Association, 7.0%, 6/15 104,773 11,468 Government National Mortgage Association, 7.0%, 7/15 12,887 3,922 Government National Mortgage Association, 7.0%, 8/15 4,401 454,026 Government National Mortgage Association, 7.0%, 8/15 510,280 12,862 Government National Mortgage Association, 7.0%, 9/15 13,424 45,251 Government National Mortgage Association, 7.0%, 9/15 50,857 102,064 Government National Mortgage Association, 7.5%, 12/1 115,694 7,364 Government National Mortgage Association, 7.5%, 2/15 8,311 17,508 Government National Mortgage Association, 7.5%, 2/15 19,846 1,144 Government National Mortgage Association, 7.5%, 8/15 1,198 21,821 Government National Mortgage Association, 7.5%, 8/15 24,675 9,825 Government National Mortgage Association, 7.75%, 2/1 11,238 594 Government National Mortgage Association, 8.0%, 5/15 607 274,581 Government National Mortgage Association, I, 6.0%, 2 297,854 31,436 Government National Mortgage Association, I, 7.0%, 1 35,315 46,557 Government National Mortgage Association, I, 7.0%, 3 52,325 17,799 Government National Mortgage Association, I, 7.5%, 1 20,127 1,391,149Government National Mortgage Association, II, 4.5%, 1,413,002 572,863 Government National Mortgage Association, II, 4.5%, 582,718 677,252 Government National Mortgage Association, II, 5.5%, 727,792 100,339 Government National Mortgage Association, II, 5.5%, 106,757 956,846 Government National Mortgage Association, II, 5.5%, 1,018,055 6,676 Government National Mortgage Association, II, 6.5%, 7,371 2,824 Government National Mortgage Association, II, 6.5%, 3,117 86,202 Government National Mortgage Association, II, 6.5%, 95,172 199,116 Government National Mortgage Association, II, 7.0%, 223,569 216,523 Government National Mortgage Association, II, 7.0%, 243,254 6,425 Government National Mortgage Association, II, 7.0%, 7,222 11,000,00U.S. Treasury Bonds 4.625%, 2/15/40 10,841,875 22,500,00U.S. Treasury Bonds, 2.75%, 2/15/19 20,884,568 6,380,000U.S. Treasury Bonds, 3.125%, 5/15/19 6,076,452 7,620,000U.S. Treasury Bonds, 4.25%, 5/15/39 7,060,402 1,365,000U.S. Treasury Bonds, 4.375%, 11/15/39 1,290,778 1,980,000U.S. Treasury Bonds, 4.5%, 11/15/10 2,031,666 5,100,000U.S. Treasury Bonds, 5.25%, 11/15/28 5,552,625 4,750,000U.S. Treasury Bonds, 6.25%, 8/15/23 5,708,165 2,500,000U.S. Treasury Notes 3.625%, 8/15/19 (b) 2,469,530 8,435,000U.S. Treasury Notes 4.5%, 5/15/38 (b) 8,183,266 3,980,000U.S. Treasury Notes, 1.25%, 11/30/10 4,004,411 5,450,000U.S. Treasury Notes, 4.375%, 2/15/38 5,182,612 7,340,000U.S. Treasury Notes, 4.5%, 2/15/36 7,169,117 9,068,000U.S. Treasury Notes, 4.5%, 8/15/39 8,756,288 840,000 U.S. Treasury Notes, 5.5%, 8/15/28 940,931 450,000 U.S. Treasury Notes, 7.875%, 2/15/21 605,250 $267,269,750 TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $260,801,363) $267,269,750 FOREIGN GOVERNMENT BOND - 0.1 % Banks - 0.1 % Diversified Banks - 0.1 % 625,000 Bank of Korea Export-Import, 5.875%, 1/14/15 $ 673,721 TOTAL FOREIGN GOVERNMENT BOND (Cost $621,812) $ 673,721 MUNICIPAL BONDS - 1.1 % Government - 1.1 % Municipal General - 0.3 % 2,095,000State of Illinois, 1.395%, 2/1/11 $ 2,097,242 1,470,000State of Illinois, 3.321%, 1/1/13 1,482,319 $ 3,579,561 Municipal Higher Education - 0.8 % 4,380,000California State University Revenue, 5.0%, 11/1/39 $ 4,397,170 4,600,000Conneticut State Health & Educational, 5.0%, 7/1/42 4,807,873 $ 9,205,043 TOTAL MUNICIPAL BONDS (Cost $12,407,151) $ 12,784,604 SENIOR FLOATING RATE LOAN INTERESTS - 8.1 % ** Energy - 0.3 % Oil & Gas Equipment & Services - 0.1 % 1,773,000Hudson Products Holdings, Inc., Term Loan, 8/24/15 $ 1,555,808 Oil & Gas Refining & Marketing - 0.1 % 1,750,000Pilot Travel Centers LLC, Initial Tranche B Loan, 11$ 1,767,358 Total Energy $ 3,323,166 Materials - 1.0 % Aluminum - 0.1 % 632,896 Novelis Corp., U.S. Term Loan, 7/6/14 $ 614,248 214,931 Novelis, Inc., Canadian Term Loan, 7/6/14 208,598 $ 822,846 Commodity Chemicals - 0.0 % 575,000 Celanese Holdings LLC, Term Loan, 4/2/14 $ 563,069 Diversified Chemical - 0.2 % 665,660 Ashland, Inc., Term Loan, 5/13/14 $ 673,493 420,000 Huntsman International LLC, New Term B Dollar Loan, 402,938 960,000 Ineos U.S. Financice Corp., Term B2 Facility Loan, 1 943,500 960,000 Ineos U.S. Financice Corp., Term C2 Facility Loan, 1 943,500 $ 2,963,431 Fertilizers & Agricultural Chemicals - 0.2 % 2,480,000CF Industries Holdings, Inc., Initial Term Loan, 11/$ 2,480,000 Metal & Glass Containers - 0.2 % 1,845,411Graham Packaging Co., Term C Loan, 4/5/14 $ 1,865,295 195,296 Graham Packaging Co., Term B Loan, 10/7/11 194,405 $ 2,059,700 Paper Packaging - 0.2 % 2,631,148Graphic Packaging International, Inc., Incremental T$ 2,621,768 Specialty Chemicals - 0.0 % 385,000 Chemtura Corp., Term Facility Loan, 3/22/11 $ 387,888 Total Materials $ 11,898,702 Capital Goods - 0.7 % Aerospace & Defense - 0.5 % 3,995,370Aeroflex, Inc., Tranche B1 Term Loan, 8/15/14 $ 3,768,973 987,520 DAE Aviation Holdings, Inc., Tranche B1 Term Loan, 7 930,738 962,626 Standard Aero, Ltd., Tranche B2 Term Loan, 7/31/14 907,275 127,969 TASC, Inc., Tranche A Term Loan, 12/18/14 128,822 243,141 TASC, Inc., Tranche B Term Loan, 12/18/15 245,268 $ 5,981,076 Construction & Farm Machinery & Heavy Trucks - 0.2 % 912,849 Accuride Corp., Term Advance Loan, 1/31/12 $ 916,843 900,000 Bucyrus International, Inc., Tranche C Term Dollar L 910,800 907,222 Oshkosh Corp., Term B Loan, 12/6/13 911,912 $ 2,739,555 Total Capital Goods $ 8,720,631 Commercial Services & Supplies - 0.3 % Diversified Support Services - 0.0 % 531,758 Iron Mountain, Inc., Initial Term Loan, 4/16/14 $ 517,799 Environmental & Facilities Services - 0.2 % 299,250 Advanced Disposal Services, Inc., Term B Loan, 12/23$ 302,991 2,932,161Synagro Technologies, Inc., 1st Lien Term Loan, 4/2/ 2,615,732 $ 2,918,723 Total Commercial Services & Supplies $ 3,436,522 Transportation - 0.2 % Air Freight & Couriers - 0.1 % 462,700 Ceva Group Plc, Additional Pre-funded Term Loan, 11/$ 422,213 1,194,620Ceva Group Plc, EGL Term Loan, 11/4/13 1,082,624 497,510 Ceva Group Plc, U.S. Term Loan, 11/4/13 448,287 $ 1,953,124 Marine - 0.1 % 756,250 Horizon Lines, Inc., Term Loan, 8/8/12 $ 685,352 Total Transportation $ 2,638,476 Automobiles & Components - 0.7 % Auto Parts & Equipment - 0.2 % 1,118,140Allison Transmission, Inc., Term Loan, 8/7/14 $ 1,068,000 552,641 Federal Mogul Corp., Tranche C Term Loan, 12/28/15 512,056 1,083,176Federal Mogul Corp., Tranche B Term Loan, 12/29/14 1,003,630 $ 2,583,686 Automobile Manufacturers - 0.1 % 1,749,653Ford Motor Co., Tranche B1 Term Loan, 12/15/13 $ 1,694,156 Tires & Rubber - 0.3 % 4,190,000Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4/30$ 3,990,975 Total Automobiles & Components $ 8,268,817 Consumer Durables & Apparel - 0.1 % Housewares & Specialties - 0.1 % 653,507 Jarden Corp., Term B3 Loan, 1/24/12 $ 654,525 Total Consumer Durables & Apparel $ 654,525 Consumer Services - 0.3 % Casinos & Gaming - 0.2 % 393,153 Gateway Casinos & Entertainment, Delayed Draw Term L$ 379,556 1,941,067Gateway Casinos & Entertainment, Term Advance Loan, 1,873,939 $ 2,253,495 Leisure Facilities - 0.1 % 1,160,000Cedar Fair LP, Term Loan, 2/10/16 $ 1,160,290 Specialized Consumer Services - 0.0 % 334,152 Web Service Center, Term Loan, 8/28/14 $ 335,000 Total Consumer Services $ 3,748,785 Media - 0.7 % Broadcasting - 0.2 % 3,300,000Univision Communication, Inc., Initial Term Loan, 9/$ 2,947,717 Cable & Satellite - 0.4 % 3,861,767Charter Communications, Inc., New Term Loan, 3/5/14 $ 3,736,974 926,630 Knology, Inc., Term Loan, 6/30/12 906,360 629,570 WideOpenWest LLC, 1st Lien Term Loan, 6/30/14 590,878 $ 5,234,212 Total Media $ 8,181,929 Retailing - 0.1 % Internet Retail - 0.1 % 1,280,400Ticketmaster Corp., Term B Loan, 7/25/14 $ 1,293,604 Total Retailing $ 1,293,604 Food & Drug Retailing - 0.0 % Food Retail - 0.0 % 354,076 Pinnacle Foods Inc., Term Loan, 4/19/14 $ 343,503 Total Food & Drug Retailing $ 343,503 Household & Personal Products - 0.1 % Household Products - 0.1 % 697,900 Spectrum Brands, Inc., Dollar Term B Loan, 3/30/13 $ 698,518 36,077 Spectrum Brands, Inc., Letter of Credit Loan, 3/30/1 36,109 250,000 Yankee Candle Co., Term Loan, 2/6/14 245,118 $ 979,745 Total Household & Personal Products $ 979,745 Health Care Equipment & Services - 1.4 % Health Care Facilities - 0.8 % 111,403 CHS/Community Health Systems, Inc., Delayed Draw Ter$ 108,737 1,660,000Ardent Health Services LLC, Term Loan, 7/19/15 1,643,400 2,175,479CHS/Community Health Systems, Inc., Funded Term Loan 2,123,403 575,000 Hanger Orthopedic Group, Inc., Tranche B Term Loan, 566,614 2,541,513HCA, Inc., Tranche B1 Term Loan, 11/18/13 2,483,693 588,045 Psychiatric Solutions, Inc., Term Loan, 7/2/12 583,635 1,185,369Sun Health Care Group, Inc., Term Loan, 4/19/14 1,128,471 265,517 Sun Health Care Group, Inc., Synthetic LC Loan, 4/19 252,772 $ 8,890,725 Health Care Services - 0.2 % 2,793,806Catalent Pharma Solutions, Inc., Dollar Term Loan, 4$ 2,618,028 Health Care Supplies - 0.3 % 2,248,835Bausch & Lomb, Inc., Parent Term Loan, 4/24/15 $ 2,201,942 545,391 Bausch & Lomb, Inc., Delayed Draw Term Loan, 4/24/15 534,019 1,511,352Biomet, Inc., Dollar Term Loan, 3/25/15 1,490,881 $ 4,226,842 Health Care Technology - 0.0 % 475,000 IMS Health, Inc., Tranche B Dollar Term Loan, 11/9/1$ 478,958 Total Health Care Equipment & Services $ 16,214,553 Pharmaceuticals & Biotechnology - 0.2 % Biotechnology - 0.2 % 720,508 Warner Chilcott Corp., Term A Loan, 10/30/14 $ 722,780 331,619 Warner Chilcott Corp., Term B1 Loan, 4/30/15 332,937 552,205 Warner Chilcott Corp., Term B2 Loan, 4/30/15 554,400 915,000 Warner Chilcott Corp., Term B3 Loan, 4/30/15 918,481 $ 2,528,598 Total Pharmaceuticals & Biotechnology $ 2,528,598 Diversified Financials - 0.2 % Diversified Financial Services - 0.2 % 2,425,452Metavante Corp., Term Loan, 11/3/14 2,434,547 Total Diversified Financials $ 2,434,547 Insurance - 0.1 % Insurance Brokers - 0.1 % 331,329 HUB International Holdings, Delayed Draw Term Loan, $ 309,794 1,474,033HUB International Holdings, Initial Term Loan, 6/13/ 1,378,221 $ 1,688,015 Total Insurance $ 1,688,015 Software & Services - 0.3 % Application Software - 0.0 % 389,000 Nuance Communications, Inc., Incremental Term Loan, $ 383,770 Data Processing & Outsourced Services - 0.0 % 166,613 Fidelity National Information, Tranche C Term Loan, $ 168,381 It Consulting & Other Services - 0.2 % 87,834 Keane International, Inc.(Caritor), Synthetic LC Loa$ 82,674 1,125,771Keane International, Inc.(Caritor), Closing Date Ter 1,072,005 2,394,318Sungard Data Systems, Inc., Tranche A U.S. Term Loan 2,323,607 $ 3,478,286 Total Software & Services $ 4,030,437 Technology Hardware & Equipment - 0.4 % Electronic Components - 0.3 % 506,332 Flextronics Semiconductor, Ltd., A1A Delayed Draw Te$ 485,174 375,962 Flextronics Semiconductor, Ltd., A3 Delayed Draw Loa 360,218 322,253 Flextronics Semiconductor, Ltd., A2 Delayed Draw Loa 308,154 2,739,529Flextronics Semiconductor, Ltd., A Closing Date Loan 2,625,055 $ 3,778,601 Electronic Equipment & Instruments - 0.0 % 397,222 Huawei-3Com Co., Ltd., Tranche B Term Loan, 9/28/12 $ 385,306 Total Technology Hardware & Equipment $ 4,163,907 Telecommunication Services - 0.4 % Integrated Telecommunication Services - 0.3 % 256,302 Telesat Canada, Inc., U.S. Term II Loan, 10/31/14 $ 253,378 2,983,900Telesat Canada, Inc., U.S. Term I Loan, 10/31/14 2,949,855 422,815 Time Warner Telecom, Term B Loan, 1/7/13 417,205 $ 3,620,438 Wireless Telecommuni Cation Services - 0.0 % 1,180,000Intelsat Jackson Holdings, Ltd., Term Loan, 2/1/14 $ 1,102,120 Total Telecommunication Services $ 4,722,558 Utilities - 0.6 % Electric Utilities - 0.3 % 398,000 Texas Competitive Electric Holdings, Delayed Draw Te$ 320,528 3,841,617Texas Competitive Electric Holdings, Initial Tranche 3,164,265 $ 3,484,793 Independent Power Producer & Energy Traders - 0.3 % 3,783,877Calpine Corp., 1st Priority Term Loan, 3/29/14 $ 3,685,907 Total Utilities $ 7,170,700 TOTAL SENIOR FLOATING RATE LOAN INTERESTS (Cost $95,388,560) $ 96,441,720 TEMPORARY CASH INVESTMENTS - 5.5 % Repurchase Agreements - 2.6 % 7,600,000Bank of America, 0.18%, dated 3/31/10, repurchase price of $7,600,000 plus accrued interest on 4/1/10 collateralized by : $3,748,752 Federal National Mortgage Association (ARM), 5.717%, 11/1/37 $4,003,249 Federal National Mortgage Association, 5.$ 7,600,000 7,600,000Barclays Plc, 0.17%, dated 3/31/10, repurchase price $7,600,000 plus accrued interest on 4/1/10 collateralized by $7,752,000 Government National Mortgage Association, 5.5-6.0%, 7/20/38-12/15/39 7,600,000 7,600,000JPMorgan, 0.02%, dated 3/31/10, repurchase price of $7,600,000 plus accrued interest on 4/1/10 collateralized by $7,752,000 Freddie Mac Giant, 4.5-9.0%, 5/1/11-7/1 7,600,000 7,600,000SG Americas Securities LLC, 0.02%, dated 3/31/10, re price of $7,600,000 plus accrued interest on 4/1/10 collateralized by the following: $6,384,123 Federal National Mortgage Association, 4.5-6.0%, 2/1/18-8/1/39 $1,367,877 Freddie Mac Giant, 6.0-6.5%, 11/1/33-5/ 7,600,000 Total Repurchase Agreements $ 30,400,000 Securities Lending Collateral - 2.9 % (c) Certificates of Deposit: 923,740 DnB NOR Bank ASA NY, 0.19%, 5/19/10 $ 923,740 923,764 Rabobank Nederland NY, 0.19%, 7/6/10 923,764 923,740 Royal Bank of Canada, 0.23%, 1/21/11 923,740 835,061 Bank of Nova Scotia, 0.2%, 6/1/10 835,061 923,750 BBVA NY, 0.265%, 6/1/10 923,750 281,043 BNP Paribas, 0.70%, 6/4/10 281,043 1,016,114CBA Financial, 0.27%, 1/3/11 1,016,114 $ 5,827,212 Commercial Paper: 122,234 Caterpillar Financial Services, 0.34%, 8/20/10 $ 122,234 406,435 JDCLLP, 0.15%, 4/7/10 406,435 387,958 JDCLLP, 0.15%, 4/9/10 387,958 646,618 BCSFUN, 0.07%, 4/1/10 646,618 678,901 CATFIN, 0.17%, 4/16/10 678,901 461,698 CBAPP, 0.20%, 6/7/10 461,698 738,877 HNDAF, 0.17%, 5/4/10 738,877 198,585 HNDAF, 0.16%, 4/22/10 198,585 92,356 INDFG, 0.21%, 5/4/10 92,356 1,108,291INDFG, 0.20%, 5/3/10 1,108,291 720,427 PARFIN, 0.25%, 4/19/10 720,427 923,380 WSTPAC, 0.25%, 5/27/10 923,380 923,715 Char FD, 0.16%, 4/7/10 923,715 369,400 Ciesco, 0.19%, 5/20/10 369,400 923,511 FASCO, 0.19%, 5/18/10 923,511 378,547 Kithaw, 0.16%, 5/5/10 378,547 554,081 Kithaw, 0.20%, 5/24/10 554,081 369,422 Old LLC, 0.18%, 5/11/10 369,422 369,437 Ranger, 0.18%, 5/3/10 369,437 277,071 SRCPP, 0.19%, 5/6/10 277,071 705,720 SRCPP, 0.17%, 4/6/11 705,720 170,448 STRAIT, 0.18%, 4/1/10 170,448 179,506 STRAIT, 0.18%, 5/7/10 179,506 407,340 STRAIT, 0.17%, 4/26/10 407,340 369,369 STRAIT, 0.20%, 6/2/10 369,369 461,775 TB LLC, 0.19%, 5/10/10 461,775 461,666 TB LLC, 0.23%, 6/9/10 461,666 923,740 Toyota Motor Credit Corp., 0.23%, 1/10/11 923,740 261,188 Wal Mart Stores, Inc., 0.22%, 7/1/10 261,188 1,052,408Bank of America, 0.85%, 5/12/10 1,052,408 461,802 GE, 0.30%, 1/26/11 461,802 277,271 GE Capital Corp., 0.43%, 8/20/10 277,271 99,995 GE Capital Corp., 0.35%, 10/21/10 99,995 100,674 GE Capital Corp., 0.31%, 10/6/10 100,674 103,018 John Deere Capital Corp., 0.33%, 7/16/10 103,018 781,791 JPMorgan Chase & Co., 0.57%, 9/24/10 781,791 836,598 CME, Inc., 0.90%, 8/6/10 836,598 1,047,399Santander, 0.30%, 7/23/10 1,047,399 198,039 US Bancorp, 0.65%, 5/6/10 198,039 92,448 US Bancorp, 0.66%, 6/4/10 92,448 141,538 US Bancorp, 0.30%, 5/28/10 141,538 656,015 WFC, 0.70%, 1/24/11 656,015 369,397 WFC, 0.33%, 12/2/10 369,397 $ 20,810,089 Tri-party Repurchase Agreements: 1,348,660Deutsche Bank, 0.02%, 4/1/10 $ 1,348,660 2,771,219RBS Securities, Inc., 0.01%, 4/1/10 2,771,219 $ 4,119,879 Shares Time Deposits: 1,433,270Societe Generale, 0.12%, 4/1/10 $ 1,433,270 Money Market Mutual Funds: 1,477,983Dreyfus Preferred Money Market Fund $ 1,477,983 Total Securities Lending Collateral $ 33,668,433 TOTAL TEMPORARY CASH INVESTMENTS (Cost $64,068,433) $ 64,068,433 TOTAL INVESTMENT IN SECURITIES - 101.9% (Cost $1,171,407,200) (a) $1,205,760,649 OTHER ASSETS AND LIABILITIES - (1.9)% $ 10,998,498 TOTAL NET ASSETS - 100.0% $1,183,057,151 (144A) Security is exempt from registration under Rule (144A) of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At March 31, 2010, the value of these securities amounted to $86,485,161 or 7.3% of total net assets. ** Senior Floating Rate Note loan interests in which the Portfolio invests generally pay interest rates that are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major U.S. banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders. The rate shown is the coupon rate at period end. (a) At March 31, 2010, the net unrealized gain on investments based on cost for federal income tax purposes of $1,171,407,200 was as follows: Aggregate gross unrealized gain for all investments in which there is an excess of value over tax cost $76,871,398 Aggregate gross unrealized loss for all investments in which there is an excess of tax cost over value (42,517,949) Net unrealized gain $34,353,449 (b) At March 31, 2010, the following securities were out on loan: Principal Amount ($ Security Value 850,000 Branch Banking & Trust Co., 4.875%, 1/15/13 $ 900,119 1,000,000Caterpillar, Inc., 7.9%, 12/15/18 1,227,683 1,320,000C10 Capital SPV Ltd, Floating Rate Note, 12/31/49 937,319 3,000,000First Data Corp., 9.875%, 9/24/15 2,587,500 1,719,000GATX Financial Corp., 6.0%, 2/15/18 1,713,429 2,593,000Grupo Telivisa SA, 6.0%, 5/15/18 (144A) 2,679,632 983,000 Intelsat Subsidiary Holding Co., 8.5%, 1/15/13 997,745 876,000 Massey Energy Co., 3.25%, 8/1/15 849,720 495,000 News America, Inc., 5.65%, 8/15/20 521,552 1,600,000Nova Chemicals Corp., 8.375%, 11/1/16 (144A) 1,644,000 594,000 Oshkosh Corp., 8.5%, 3/1/20 614,790 1,126,000Sally Holdings, 9.25%, 11/15/14 (144A) 1,193,560 8,200,000U.S. Treasury Notes 4.5%, 5/15/38 7,955,279 2,436,000U.S. Treasury Notes 3.625%, 8/15/19 2,406,310 2,700,000Weatherford International, Ltd., 9.625%, 3/1/19 3,416,491 Total $29,645,130 (c) Securities lending collateral is managed by Credit Suisse, New York Branch. (d) Debt obligation with a variable interest rate. Rate shown is rate at period end. Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below. Highest priority is given to Level 1 inputs and lowest priority is given to Level 3. Level 1 - quoted prices in active markets for identical securities Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments) The following is a summary of the inputs used as of March 31, 2010, in valuing the Fund's assets: Level 1 Level 2 Level 3 Total Convertible corporate bonds $0 $8,181,431 $0 $8,181,431 Common stocks 2,075,796 0 0 $2,075,796 Convertible preferred stocks 7,984,895 8,723,200 0 16,708,095 Asset Backed Securities 0 58,446,351 0 58,446,351 Collateralized mortgage obligations 0 192,521,708 195,595 192,717,303 Corporate bonds 0 486,393,445 0 486,393,445 U.S. Government Obligations 0 267,269,750 0 267,269,750 Foreign Government Bonds 0 673,721 0 673,721 Municipal bonds 0 12,784,604 0 12,784,604 Senior Floating Rate Loan Oblig 0 96,441,720 0 96,441,720 Temporary Cash Investments 0 62,590,450 0 62,590,450 Money market Mutual funds 1,477,983 0 0 1,477,983 Total $11,538,674 $1,194,026,380 $195,595 $1,205,760,649 Following is a reconciliation of assets valued using significant unobservable inputs (Level 3): Collateralized Mortgage Obligations Balance at 12/31/09 $132,478 Realized gain (loss) 0 Change in unrealized gain (loss) 63,117 Net purchases (sales) 0 Transfers in and out of Level 3 0 Balance at 3/31/10 $195,595 ITEM 2. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. (b) Disclose any change in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) 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. There were no significant changes in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. (a) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)). Filed herewith. SIGNATURES [See General Instruction F] 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. (Registrant) Pioneer Bond Fund By (Signature and Title)* /s/ John F. Cogan, Jr. John F. Cogan, Jr, President Date May 28, 2010 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ John F. Cogan, Jr. John F. Cogan, Jr., President Date May 28, 2010 By (Signature and Title)* /s/ Mark Bradley Mark Bradley, Treasurer Date May 28, 2010 * Print the name and title of each signing officer under his or her signature.