N-Q 1 afis_nq.htm N-Q Unassociated Document
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: 811-03857



American Funds Insurance Series
(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

Date of reporting period: March 31, 2006





Chad L. Norton
Capital Research and Management Company
333 South Hope Street
Los Angeles, California 90071
(name and address of agent for service)


Copies to:
Julie Allecta, Esq.
Paul, Hastings, Janofsky & Walker LLP
55 Second Street
Twenty-Fourth Floor
San Francisco, California 94105
(Counsel for the Registrant)

 
 
 

ITEM 1 - Schedule of Investments

[logo - American Funds ®]




American Funds Insurance Series®
Global Discovery Fund
Investment portfolio
 

March 31, 2006
  
unaudited
     
   
Market value
Common stocks — 87.83%
Shares
(000)
     
SOFTWARE & SERVICES — 13.08%
    
Microsoft Corp.
102,300
$ 2,784
Yahoo! Inc.1
66,000
2,129
Google Inc., Class A1
5,000
1,950
NHN Corp.1
6,000
1,853
Affiliated Computer Services, Inc., Class A1
28,800
1,718
eBay Inc.1
43,031
1,681
NAVTEQ Corp.1
26,000
1,317
Intuit Inc.1
16,000
851
Adobe Systems Inc.1
24,000
838
Oracle Corp.1
61,000
835
Novell, Inc.1
90,000
691
   
16,647
     
BANKS — 9.51%
    
Erste Bank der oesterreichischen Sparkassen AG
25,000
1,475
UniCredito Italiano SpA (Germany)
150,000
1,078
UniCredito Italiano SpA (Italy)
10,000
72
Mitsui Trust Holdings, Inc.
77,000
1,126
Banco Bradesco SA, preferred nominative
30,000
1,074
BNP Paribas
10,100
938
BNP Paribas1
1,010
91
Royal Bank of Scotland Group PLC
31,523
1,026
Banco Bilbao Vizcaya Argentaria, SA
45,600
952
SinoPac Holdings
1,710,000
868
Grupo Financiero Banorte, SA de CV
280,000
665
Siam City Bank PCL
1,045,000
654
Mizuho Financial Group, Inc.
75
614
DEPFA BANK PLC
27,000
481
Banco Santander Central Hispano, SA
29,558
432
City National Corp.
4,200
322
Malayan Banking Bhd.
76,500
229
   
12,097
     
HEALTH CARE EQUIPMENT & SERVICES — 9.34%
    
Smith & Nephew PLC
163,700
1,454
Psychiatric Solutions, Inc.1
40,000
1,325
Aetna Inc.
26,000
1,278
Medtronic, Inc.
24,000
1,218
Zimmer Holdings, Inc.1
18,000
1,217
Caremark Rx, Inc.1
20,000
984
Advanced Medical Optics, Inc.1
20,500
956
Medco Health Solutions, Inc.1
16,000
915
Alfresa Holdings Corp.
14,500
881
Express Scripts, Inc.1
10,000
879
Kyphon Inc.1
21,000
781
   
11,888
     
RETAILING — 6.39%
    
Lowe’s Companies, Inc.
28,500
1,836
Target Corp.
32,500
1,690
IAC/InterActiveCorp1
40,000
1,179
Industria de Diseno Textil, SA
19,200
741
CarMax, Inc.1
22,000
719
Takashimaya Co., Ltd.
46,000
701
Amazon.com, Inc.1
17,000
621
Expedia, Inc.1
30,000
608
SA D’Ieteren NV
100
30
   
8,125
     
MEDIA — 6.22%
    
Liberty Media Corp., Class A1
164,000
1,346
Alma Media Corp.
120,000
1,158
Vivendi Universal
27,000
928
Walt Disney Co.
33,000
920
Grupo Televisa, SA, ordinary participation certificates (ADR)
44,000
876
Time Warner Inc.
46,000
772
E.W. Scripps Co., Class A
16,500
738
Next Media Ltd.
1,157,000
656
Discovery Holding Co.1
35,000
525
   
7,919
     
TECHNOLOGY HARDWARE & EQUIPMENT — 6.11%
    
Cisco Systems, Inc.1
120,000
2,600
Seagate Technology1
90,000
2,370
Nokia Corp., Class A
44,000
911
Nidec Corp.
11,000
903
Wintek Corp.
383,000
526
Acer Inc.
252,000
464
   
7,774
     
TELECOMMUNICATION SERVICES — 5.03%
    
Millicom International Cellular SA1
40,000
1,884
Perusahaan Perseroan (Persero) PT Telekomunikasi Indonesia Tbk, Class B2
1,574,000
1,201
América Móvil SA de CV, Series L (ADR)
33,000
1,130
Koninklijke KPN N.V.
80,000
902
Mobile Telesystems OJSC (ADR)
20,000
662
Vodafone Group PLC
297,000
622
   
6,401
     
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.83%
    
Hynix Semiconductor Inc.1
40,000
1,190
Taiwan Semiconductor Manufacturing Co. Ltd. (ADR)
75,000
754
Taiwan Semiconductor Manufacturing Co. Ltd.
135,842
269
Maxim Integrated Products, Inc.
27,000
1,003
Texas Instruments Inc.
27,000
877
Novellus Systems, Inc.1
35,000
840
Siliconware Precision Industries Co., Ltd.
540,000
704
Xilinx, Inc.
20,000
509
   
6,146
     
     
UTILITIES — 4.37%
    
Xinao Gas Holdings Ltd.
2,610,000
$2,422
Veolia Environnement
34,700
1,928
Hong Kong and China Gas Co. Ltd.
500,000
1,208
   
5,558
     
PHARMACEUTICALS & BIOTECHNOLOGY — 2.90%
    
QIAGEN NV1
100,242
1,482
Roche Holding AG
9,000
1,340
Bristol-Myers Squibb Co.
35,000
861
   
3,683
     
DIVERSIFIED FINANCIALS — 2.72%
    
Citigroup Inc.
43,500
2,055
Nasdaq Stock Market, Inc1
35,000
1,401
   
3,456
     
ENERGY — 2.68%
    
Schlumberger Ltd.
18,800
2,379
Baker Hughes Inc.
15,000
1,026
   
3,405
     
TRANSPORTATION — 2.34%
    
Nippon Express Co., Ltd.
284,000
1,612
Singapore Post Private Ltd.
1,000,000
742
Qantas Airways Ltd.
147,399
373
Ryanair Holdings PLC (ADR)1
3,100
170
Grupo Aeroportuario del Pacífico, SA de CV (ADR)1
2,700
86
   
2,983
     
FOOD & STAPLES RETAILING — 2.17%
    
Walgreen Co.
22,000
949
Costco Wholesale Corp.
16,000
867
Koninklijke Ahold NV1
81,000
637
Wal-Mart de México, SA de CV, Series V
118,600
313
   
2,766
     
CONSUMER SERVICES — 1.98%
    
Shangri-La Asia Ltd.
600,000
970
Outback Steakhouse, Inc.
19,000
836
Greek Organization of Football Prognostics SA
18,490
707
   
2,513
     
COMMERCIAL SERVICES & SUPPLIES — 1.03%
    
Rentokil Initial PLC
250,000
678
United Stationers Inc.1
12,000
637
   
1,315
     
INSURANCE — 0.70%
    
American International Group, Inc.
13,500
892
     
CONSUMER DURABLES & APPAREL — 0.69%
    
Garmin Ltd.
11,000
874
     
MATERIALS — 0.60%
    
Nitto Denko Corp.
9,000
764
     
     
     
REAL ESTATE — 0.22%
    
AEON Mall Co., Ltd.
5,500
 274
     
MISCELLANEOUS — 4.92%
    
Other common stocks in initial period of acquisition
  
6,255
     
     
Total common stocks (cost: $92,335,000)
  
111,735
     
     
 
Principal amount
  
Convertible securities — 0.40%
(000)
  
     
TECHNOLOGY HARDWARE & EQUIPMENT — 0.40%
    
Lucent Technologies Inc. 8.00% convertible subordinated notes 2031
$ 500
507
     
     
Total convertible securities (cost: $517,000)
  
507
     
     
Short-term securities — 11.35%
    
     
Three Pillars Funding, LLC 4.85% due 4/3/20063
2,800
2,799
Federal Home Loan Bank 4.465% due 4/21/2006
2,000
1,995
Atlantic Industries 4.60% due 5/17/20063
1,900
1,889
Freddie Mac 4.685% due 6/13/2006
1,900
1,881
Kimberly-Clark Worldwide Inc. 4.59% due 4/11/20063
1,200
1,198
Hershey Co. 4.54% due 4/24/20063
1,200
1,196
Caterpillar Financial Services Corp. 4.58% due 4/28/2006
1,200
1,196
McCormick & Co., Inc. 4.68% due 5/31/20063
1,200
1,191
NetJets Inc. 4.67% due 5/8/20063
1,100
1,095
     
Total short-term securities (cost: $14,439,000)
  
14,440
     
     
Total investment securities (cost: $107,291,000)
  
126,682
Other assets less liabilities
  
537
     
Net assets
  
$127,219
 

“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.

1 Security did not produce income during the last 12 months.
2 Valued under fair value procedures adopted by authority of the board of trustees.
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 $9,368,000, which represented 7.36% of the net assets of the fund.

ADR = American Depositary Receipts

     
Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$ 20,675
Gross unrealized depreciation on investment securities
  
(1,381)
Net unrealized appreciation on investment securities
  
19,294
Cost of investment securities for federal income tax purposes
  
107,388
 
 
 

Global Growth Fund
Investment portfolio

March 31, 2006
  
unaudited
     
   
Market value
Common stocks — 82.26%
Shares
(000)
     
FINANCIALS — 14.31%
    
Société Générale
419,400
$ 63,087
Macquarie Bank Ltd.
856,791
39,657
Allianz AG
192,000
32,065
Mitsubishi UFJ Financial Group, Inc.
2,023
30,933
HSBC Holdings PLC (United Kingdom)
1,761,769
29,548
Kookmin Bank
275,060
23,752
Mizuho Financial Group, Inc.
2,750
22,496
Shanghai Forte Land Co., Ltd., Class H
41,980,000
21,911
Erste Bank der oesterreichischen Sparkassen AG
238,800
14,085
Erste Bank der oesterreichischen Sparkassen AG1
113,680
6,615
Hypo Real Estate Holding AG
285,000
19,542
UniCredito Italiano SpA
2,300,000
16,589
American International Group, Inc.
225,000
14,870
Hana Financial Holdings
296,200
14,023
Willis Group Holdings Ltd.
350,000
11,991
Westpac Banking Corp.
690,449
11,769
ING Groep NV
272,172
10,755
Sun Hung Kai Properties Ltd.
970,000
9,851
Lloyds TSB Group PLC
1,000,000
9,568
Mitsui Trust Holdings, Inc.
551,000
8,055
Banco Santander Central Hispano, SA
503,914
7,360
Banco Bradesco SA, preferred nominative (ADR)
200,000
7,182
Citigroup Inc.
150,000
7,084
Marsh & McLennan Companies, Inc.
200,000
5,872
Bank of Nova Scotia
140,000
5,616
Westfield Group
412,507
5,048
Mitsui Sumitomo Insurance Co., Ltd.
350,000
4,760
Royal Bank of Canada
100,000
4,218
Capital One Financial Corp.
2,100
169
   
458,471
     
INFORMATION TECHNOLOGY — 13.41%
    
International Business Machines Corp.
480,000
39,586
Murata Manufacturing Co., Ltd.
530,000
35,883
Samsung Electronics Co., Ltd.
48,440
31,409
Taiwan Semiconductor Manufacturing Co. Ltd.
11,389,551
22,560
Taiwan Semiconductor Manufacturing Co. Ltd. (ADR)
689,249
6,934
Rohm Co., Ltd.
271,800
28,745
Cisco Systems, Inc.1
921,500
19,969
Microsoft Corp.
722,000
19,646
Chi Mei Optoelectronics Corp.
13,443,318
18,976
Google Inc., Class A1
48,000
18,720
ASML Holding NV (New York registered)1
771,800
15,722
ASML Holding NV1
125,000
2,553
AU Optronics Corp.
11,935,500
17,970
Chartered Semiconductor Manufacturing Ltd1
18,250,000
17,727
Molex Inc.
520,000
17,264
Nokia Corp., Class A
815,000
16,873
Hon Hai Precision Industry Co., Ltd.
2,682,425
16,635
Powerchip Semiconductor Corp.
27,350,000
16,033
Applied Materials, Inc.
700,000
12,257
Altera Corp.1
550,000
11,352
Xilinx, Inc.
440,000
11,202
Texas Instruments Inc.
250,000
8,117
Tokyo Electron Ltd.
96,100
6,629
Mediatek Incorporation
489,018
5,665
Venture Corp. Ltd.
680,000
5,385
eBay Inc.1
101,600
3,968
KLA-Tencor Corp.
37,921
1,834
   
429,614
     
CONSUMER DISCRETIONARY — 9.36%
    
Toyota Motor Corp.
685,000
37,415
News Corp. Inc., Class A
1,291,757
21,456
News Corp. Inc., Class B
427,507
7,507
Time Warner Inc.
1,442,000
24,211
Starbucks Corp.1
440,000
16,562
Esprit Holdings Ltd.
2,100,500
16,350
Carnival Corp., units
344,400
16,314
Discovery Holding Co.1
980,500
14,707
Michaels Stores, Inc.
390,000
14,656
Target Corp.
270,000
14,043
Kesa Electricals PLC
2,473,400
13,412
Lowe’s Companies, Inc.
190,000
12,244
Mediaset SpA
984,500
11,599
Kingfisher PLC
2,349,422
9,779
Grupo Televisa, SA, ordinary participation certificates (ADR)
460,000
9,154
Limited Brands, Inc.
370,000
9,050
Honda Motor Co., Ltd.
134,400
8,323
Cie. Financière Richemont AG, units, Class A
152,893
7,328
Suzuki Motor Corp.
313,000
7,192
Accor SA
120,000
6,919
Greek Organization of Football Prognostics SA
169,790
6,491
DSG International PLC
1,691,929
5,425
Swatch Group Ltd, non-registered shares
11,936
2,004
Swatch Group Ltd
35,521
1,237
Univision Communications Inc., Class A1
70,000
2,413
Reuters Group PLC
320,000
2,205
IAC/InterActiveCorp1
30,000
884
SET Satellite (Singapore) Pte. Ltd.1,2,3
155,973
625
SET India Ltd.1,2,3
6,400
322
Liberty Media Corp., Class A1
25,000
205
   
300,032
     
     
HEALTH CARE — 8.71%
    
AstraZeneca PLC (United Kingdom)
443,960
$ 22,376
AstraZeneca PLC (Sweden)
268,005
13,515
AstraZeneca PLC (ADR)
73,000
3,667
Novo Nordisk A/S, Class B
598,400
37,248
WellPoint, Inc.1
343,200
26,574
Roche Holding AG
168,500
25,079
CIGNA Corp.
185,000
24,165
Shionogi & Co., Ltd.
1,163,000
19,077
Rhön-Klinikum AG
427,824
18,331
UCB NV
343,020
16,880
Smith & Nephew PLC
1,630,500
14,481
Pfizer Inc
500,000
12,460
Cardinal Health, Inc.
150,000
11,178
Synthes, Inc.
100,500
11,020
Chugai Pharmaceutical Co., Ltd.
596,100
10,811
Sanofi-Aventis
84,000
7,993
Forest Laboratories, Inc.1
94,800
4,231
   
279,086
     
ENERGY — 7.04%
    
Reliance Industries Ltd.
2,350,298
42,026
Royal Dutch Shell PLC, Class B
574,666
18,697
Royal Dutch Shell PLC, Class B (ADR)
139,643
9,098
Canadian Natural Resources, Ltd.
456,000
25,357
Norsk Hydro ASA
175,000
24,258
Schlumberger Ltd.
190,000
24,048
Technip SA
325,000
22,001
ENI SpA
550,000
15,653
Halliburton Co.
140,000
10,223
Imperial Oil Ltd.
85,976
9,246
Petróleo Brasileiro SA — Petrobras, ordinary nominative (ADR)
100,000
8,667
Baker Hughes Inc.
125,000
8,550
Noble Corp.
95,000
7,705
   
225,529
     
TELECOMMUNICATION SERVICES — 6.91%
    
Koninklijke KPN NV
4,875,830
54,963
Telekom Austria AG
2,101,200
49,537
Telefónica, SA
2,534,081
39,777
América Móvil SA de CV, Series L (ADR)
585,000
20,042
Vodafone Group PLC
4,550,000
9,529
Vodafone Group PLC (ADR)
400,000
8,360
Qwest Communications International Inc.1
2,000,000
13,600
BellSouth Corp.
350,000
12,127
AT&T Inc.
350,000
9,464
France Télécom, SA
185,000
4,162
   
221,561
     
INDUSTRIALS — 6.82%
    
Tyco International Ltd.
1,465,000
39,379
General Electric Co.
984,455
34,239
SMC Corp.
164,000
25,550
United Parcel Service, Inc., Class B
310,000
24,608
Macquarie Infrastructure Group
7,326,774
19,976
Mitsubishi Corp.
860,000
19,579
Siemens AG
188,000
17,555
FANUC LTD
151,600
14,591
Asahi Glass Co., Ltd.
826,000
12,342
3M Co.
130,000
9,840
MISC Berhad
329,000
849
   
218,508
     
CONSUMER STAPLES — 6.43%
    
Seven & I Holdings Co., Ltd.
982,000
38,873
Koninklijke Ahold NV1
3,270,000
25,724
Nestlé SA
83,900
24,898
Avon Products, Inc.
550,800
17,168
Cia. de Bebidas das Américas — AmBev, preferred nominative (ADR)
246,000
10,568
Cia. de Bebidas das Américas — AmBev, ordinary nominative (ADR)
44,000
1,651
PepsiCo, Inc.
197,000
11,385
Unilever NV
160,000
11,113
METRO AG
200,000
10,257
Groupe Danone
72,500
8,884
Altria Group, Inc.
125,000
8,858
Coca-Cola Co.
200,000
8,374
Anheuser-Busch Companies, Inc.
175,000
7,485
Woolworths Ltd.
450,040
6,064
Kimberly-Clark de México, SA de CV, Class A, ordinary participation certificates
1,540,000
5,265
Wal-Mart de México, SA de CV, Series V (ADR)
200,000
5,210
Unilever PLC
422,317
4,323
   
206,100
     
MATERIALS — 2.80%
    
Ivanhoe Mines Ltd.1
2,475,000
23,539
Nitto Denko Corp.
196,400
16,667
Barrick Gold Corp.
557,174
15,167
Akzo Nobel NV
258,000
13,694
Holcim Ltd.
100,000
7,960
Alcoa Inc.
183,100
5,596
Gold Fields Ltd.
163,100
3,567
Weyerhaeuser Co.
25,000
1,811
L’Air Liquide
7,700
1,603
   
89,604
     
UTILITIES — 2.08%
    
Veolia Environnement
562,771
31,262
Endesa, SA
405,000
13,078
Scottish Power PLC
1,103,000
11,157
E.ON AG
100,000
11,007
   
66,504
     
MISCELLANEOUS — 4.39%
    
Other common stocks in initial period of acquisition
  
140,764
     
     
Total common stocks (cost: $1,967,875,000)
  
2,635,773
     
     
   
unaudited
     
 
Principal amount
Market value
Short-term securities — 17.86%
(000)
(000)
     
Mont Blanc Capital Corp. 4.58%-4.81% due 4/6-5/30/20062
$63,269
$ 62,955
DaimlerChrysler Revolving Auto Conduit LLC II 4.76%-4.84% due 4/18-6/2/2006
54,800
54,401
Swedish Export Credit Corp. 4.65%-4.76% due 4/21-5/24/2006
49,300
49,031
BASF AG 4.49%-4.67% due 4/13-5/17/20062
42,400
42,225
Total Capital SA 4.52%-4.61% due 4/6-4/28/20062
35,500
35,416
Amsterdam Funding Corp. 4.61%-4.70% due 4/24-5/16/20062
33,900
33,756
Old Line Funding, LLC 4.60%-4.68% due 4/20-5/12/20062
33,800
33,659
HBOS Treasury Services PLC 4.675% due 5/25/2006
25,000
24,825
Shell International Finance BV 4.50%-4.53% due 4/3-4/13/2006
24,200
24,170
ING (U.S.) Funding LLC 4.64%-4.71% due 4/26-5/18/2006
21,000
20,911
Barclays U.S. Funding LLC 4.72% due 5/17/2006
20,000
19,883
Toyota Motor Credit Corp. 4.68% due 5/11/2006
19,300
19,203
BMW U.S. Capital Corp. 4.70% due 5/17/20062
17,000
16,896
Barton Capital LLC 4.53% due 4/3/20062
16,000
15,994
IXIS Commercial Paper Corp. 4.55% due 4/13/20062
13,400
13,380
HSBC USA Inc. 4.77% due 5/8/2006
13,100
13,034
Spintab AB (Swedmortgage) 4.54%-4.83% due 4/6-6/2/2006
13,000
12,947
Freddie Mac 4.56% due 5/23/2006
11,600
11,514
Alcon Capital Corp. 4.695% due 5/17/20062
10,800
10,737
Federal Home Loan Bank 4.58% due 5/26/2006
10,400
10,319
Thunder Bay Funding, LLC 4.56% due 4/4/20062
9,700
9,695
Canadian Imperial Holdings Inc. 4.55% due 4/12/2006
8,600
8,587
American Honda Finance Corp. 4.57% due 4/24/2006
6,250
6,232
Danske Corp. 4.665% due 5/8/20062
5,800
5,772
Dexia Delaware LLC 4.80% due 5/31/2006
5,700
5,656
National Australia Funding (Delaware) Inc. 4.68% due 4/10/20062
5,400
5,393
UBS Finance (Delaware) LLC 4.72% due 5/18/2006
3,800
3,777
Fannie Mae 4.725% due 6/9/2006
1,800
1,783
     
Total short-term securities (cost: $572,112,000)
  
572,151
     
     
Total investment securities (cost: $2,539,987,000)
  
3,207,924
Other assets less liabilities
  
(3,747)
     
Net assets
  
$3,204,177
     
 

“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.

1 Security did not produce income during the last 12 months.
2 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 $286,825,000, which represented 8.95% of the net assets of the fund.
3 Valued under fair value procedures adopted by authority of the board of trustees.

ADR = American Depositary Receipts


     
Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$ 688,358
Gross unrealized depreciation on investment securities
  
(21,927)
Net unrealized appreciation on investment securities
  
666,431
Cost of investment securities for federal income tax purposes
  
2,541,493
 
 

Global Small Capitalization Fund
Investment portfolio
 


March 31, 2006
  
unaudited
     
   
Market value
Common stocks — 90.99%
Shares
(000)
     
INFORMATION TECHNOLOGY — 20.43%
    
CNET Networks, Inc.1
3,175,000
$45,117
NHN Corp.1
142,035
43,856
Kingboard Chemical Holdings Ltd.
10,816,000
32,688
Cymer, Inc.1
650,000
29,536
Semtech Corp.1
1,450,000
25,941
Varian Semiconductor Equipment Associates, Inc.1
910,500
25,567
Integrated Device Technology, Inc.1
1,423,942
21,160
Marchex, Inc., Class B1
750,000
16,125
Intersil Corp., Class A
550,443
15,919
PMC-Sierra, Inc.1
1,140,475
14,016
Hittite Microwave Corp.1
389,300
13,123
Mentor Graphics Corp.1
1,155,000
12,763
ValueClick, Inc.1
750,000
12,690
Unimicron Technology Corp.
8,176,000
11,906
PDF Solutions, Inc.1
600,000
11,352
NCsoft Corp.1
140,500
10,310
Chartered Semiconductor Manufacturing Ltd1
9,896,000
9,613
Power Integrations, Inc.1
375,000
9,293
O2Micro International Ltd. (ADR)1
840,000
8,929
Jahwa Electronics Co., Ltd.2
1,039,000
8,747
aQuantive, Inc.1
350,000
8,239
Min Aik Technology Co., Ltd.2
5,586,000
8,204
ProMOS Technologies Inc.
21,977,000
7,526
Fairchild Semiconductor International, Inc.1
391,000
7,456
Brooks Automation, Inc.1
500,000
7,120
Bankrate, Inc.1
163,429
7,119
Simmtech Co., Ltd.
715,000
7,087
TTM Technologies, Inc.1
484,000
7,013
Sunplus Technology Co., Ltd.
4,873,000
6,720
Internet Capital Group, Inc.1
700,000
6,594
GES International
10,000,000
6,187
Billing Services Group PLC1
3,819,500
6,066
Radiant Op-to Electronics Corp.
2,375,000
5,847
SFA Engineering Corp.
175,000
5,782
Wintek Corp.
4,160,000
5,711
Spark Networks PLC (GDR)1
600,000
3,847
Spark Networks PLC1,3,4
258,580
1,617
Faraday Technology Corp.
3,269,223
5,306
Unisteel Technology Ltd.
3,815,000
4,886
Knot, Inc.1
165,900
3,003
Knot, Inc.1,3
100,000
1,810
Kakaku.com, Inc.
1,200
4,740
Kiryung Electronics Co., Ltd.
890,000
4,608
Moser Baer India Ltd.
820,000
4,215
Hana Microelectronics PCL
4,704,700
3,664
AAC Acoustic Technologies Holdings Inc.1
3,785,000
3,537
Taiflex Scientific Co., Ltd.
1,874,210
3,157
SPSS Inc.1
99,690
3,156
King Yuan Electronics Co., Ltd.
2,953,371
2,980
Sanken Electric Co., Ltd.
165,000
2,824
Kontron AG1
250,000
2,751
Phoenix PDE Co., Ltd.
590,000
2,514
Siliconware Precision Industries Co., Ltd.
1,906,000
2,485
Novell, Inc.1
318,800
2,448
Advanced Analogic Technologies Inc.1
190,647
2,173
Venture Corp. Ltd.
258,000
2,043
Rotork PLC
167,340
2,021
Ichia Technologies, Inc.
1,309,386
1,184
KEC Corp.
450,700
1,002
DK UIL Co., Ltd.
86,000
921
Koei Co., Ltd.
33,870
703
Interflex Co., Ltd.
82,000
691
Cree, Inc.1
11,936
392
China GrenTech Corp. Ltd. (ADR)1
19,500
333
Avid Technology, Inc.1
4,922
214
Infoteria Corp.1,3,4
123
42
   
556,589
     
CONSUMER DISCRETIONARY — 17.06%
    
Kumho Industrial Co., Ltd.
1,000,000
23,981
Lions Gate Entertainment Corp., USD denominated1
1,100,000
11,165
Lions Gate Entertainment Corp.1
1,040,706
10,593
Orient-Express Hotels Ltd., Class A
534,000
20,949
Schibsted ASA
691,000
19,041
NutriSystem, Inc.1
400,000
19,008
Pantaloon Retail (India) Ltd.
420,000
18,532
Life Time Fitness, Inc.1
384,000
17,990
Cheil Industries Inc.
390,000
14,290
Integrated Distribution Services Group Ltd.
10,732,000
13,693
Laureate Education, Inc.1
240,000
12,811
Rambler Media Ltd.1
539,000
12,397
Unibet Group PLC (SDR)
480,000
12,196
GSI Commerce, Inc.1
700,000
11,900
REX HOLDINGS CO., LTD
3,224
11,722
Fourlis
860,000
11,446
Tractor Supply Co.1
162,714
10,794
CarMax, Inc.1
310,000
10,131
Pinnacle Entertainment, Inc.1
300,000
8,451
Aristocrat Leisure Ltd.
817,194
8,058
Cheil Communications Inc.
37,100
7,923
Central European Media Enterprises Ltd., Class A1
110,000
7,547
Cyrela Brazil Realty SA, ordinary nominative
410,000
7,309
Blue Nile, Inc.1
204,400
7,193
JUMBO SA
430,700
7,152
Korea Kumho Petrochemical Co., Ltd.
200,000
6,505
Sonic Corp.1
180,000
6,323
Bright Horizons Family Solutions, Inc.1
161,000
6,236
Hürriyet Gazetecilik ve Matbaacilik AS
1,618,972
6,211
Anadolu Cam Sanayii AS
1,300,000
5,810
Children’s Place Retail Stores, Inc.1
100,000
5,790
Denny’s Corp.1
1,200,000
5,712
Lifestyle International Holdings Ltd.
3,200,000
5,485
Submarino SA, ordinary nominative
211,900
5,481
Kuoni Reisen Holding AG, Class B1
10,250
5,313
Ameristar Casinos, Inc.
200,000
5,158
Sanctuary Group PLC1
5,758,856
5,080
Applebee’s International, Inc.
200,000
4,910
Restaurant Group PLC
1,288,888
4,547
Fossil, Inc.1
230,000
4,273
Photo-Me International PLC
2,400,000
4,088
SA D’Ieteren NV
13,354
3,996
YBM Sisa.com Inc.
150,000
3,852
Nien Made Enterprise Co., Ltd.
3,030,000
3,791
GOME Electrical Appliances Holding Ltd.
3,260,000
3,634
Alma Media Corp.
363,274
3,505
CKE Restaurants, Inc.
200,000
3,480
GEOX SpA
257,000
3,427
BEC World PCL
10,500,000
3,406
SEEK Ltd.
1,142,700
3,263
Largan Precision Co., Ltd.
200,000
3,252
Restoration Hardware, Inc.1
500,000
2,845
Parkson Retail Group Ltd.1
920,500
2,788
Hyatt Regency SA
190,000
2,584
Next Media Ltd.
4,534,000
2,571
OSIM International Ltd.
2,075,000
2,503
Bloomsbury Publishing PLC
400,000
2,433
Blyth, Inc.
115,000
2,417
Münchener Rückversicherungs-Gesellschaft AG1
92,000
1,915
Ekornes ASA
82,800
1,706
Gaming VC Holdings SA
200,000
1,383
Zhejiang Glass Co. Ltd., Class H
2,788,600
683
Cheng Shin Rubber (Xiamen) Ind., Ltd.
921,555
674
Build-A-Bear Workshop, Inc.1
21,500
659
Nien Hsing Textile Co., Ltd.
1,059,000
657
   
464,618
     
INDUSTRIALS — 14.48%
    
Hyundai Mipo Dockyard Co., Ltd.
418,450
36,005
GS Engineering & Construction Co. Ltd.
589,930
35,095
ALL — América Latina Logística, units
376,000
23,294
Samsung Engineering Co., Ltd.
597,550
20,173
Korea Development Corp.2
600,000
19,761
Buhrmann NV
1,002,000
17,732
Downer EDI Ltd.
2,705,284
17,171
Hudson Highland Group, Inc.1
865,000
16,383
Koninklijke BAM Groep NV
143,000
14,508
JetBlue Airways Corp.1
1,312,500
14,070
Corrections Corporation of America1
300,000
13,560
STX Shipbuilding Co., Ltd.
565,138
11,051
International Container Terminal Services, Inc.
47,285,000
10,420
MSC Industrial Direct Co., Inc., Class A
175,000
9,454
Italian-Thai Development PCL
45,750,000
8,185
Container Corp. of India Ltd.
240,763
7,824
KCI Konecranes International Corp.
450,400
7,752
Harbin Power Equipment Co. Ltd., Class H
8,000,000
6,753
Obrascon Huarte Lain Brasil SA, ordinary nominative1
522,000
6,588
Latécoère SA
150,801
6,142
Goodpack Ltd.
4,940,000
5,715
LS Industrial Systems Co., Ltd.
150,000
5,156
Aker American Shipping ASA1
285,000
5,091
Aboitiz Equity Ventures
48,700,000
4,865
SembCorp Marine Ltd
2,524,000
4,451
Trakya Cam Sanayii AS
1,020,000
4,369
United Stationers Inc.1
78,000
4,142
Rollins, Inc.
200,000
4,048
NEPES Corp.1
291,163
3,821
Aditya Birla Nuvo
225,000
3,784
Krones AG
31,000
3,750
Tetra Tech, Inc.1
189,900
3,625
Royal Boskalis Westminster NV
53,500
3,456
Acuity Brands, Inc.
86,000
3,440
Ballast Nedam NV1
74,687
3,187
Uponor Oyj
120,000
3,139
Steelcase Inc., Class A
155,000
2,790
Lincoln Electric Holdings, Inc.
50,000
2,700
Hi-P International Ltd.
2,607,000
2,516
Permasteelisa SpA
120,000
2,167
Federal Signal Corp.
116,500
2,155
Geberit AG
2,050
1,957
Grupo Aeroportuario del Pacífico, SA de CV (ADR)1
56,300
1,799
SembCorp Logistics Ltd.
1,484,544
1,626
Moatech Co., Ltd.
334,400
1,600
Northgate PLC
80,000
1,578
ZENON Environmental Inc.1
75,000
1,540
Ultraframe PLC1
2,285,000
1,539
Hibiya Engineering, Ltd.
104,000
1,139
Techem AG
22,215
976
Max India Ltd.1
21,100
421
   
394,463
     
HEALTH CARE — 7.65%
    
Advanced Medical Optics, Inc.1
675,000
31,482
ArthroCare Corp.1
540,000
25,823
Psychiatric Solutions, Inc.1
692,000
22,926
Kyphon Inc.1
575,000
21,390
Wright Medical Group, Inc.1
769,000
15,188
FoxHollow Technologies, Inc.1
400,000
12,220
Alfresa Holdings Corp.
200,000
12,147
Greatbatch, Inc.1
405,200
8,878
NuVasive, Inc.1
357,500
6,739
Tecan Group Ltd., Männedorf
125,855
6,707
Cochlear Ltd.
167,389
6,365
Alexion Pharmaceuticals, Inc.1
176,000
6,234
Adeza Biomedical Corp.1
289,000
6,106
Ondine Biopharma Corp.1,2,3
1,660,000
3,357
Ondine Biopharma Corp., GBP denominated1,2,3
490,000
894
Ondine Biopharma Corp.1,2
400,000
809
Toho Pharmaceutical Co., Ltd.
220,000
3,237
Extendicare Inc., Class A
150,000
3,180
QIAGEN NV1
187,404
2,771
Idenix Pharmaceuticals, Inc.1
200,000
2,714
Theravance, Inc.1
90,000
2,523
ZymoGenetics, Inc.1
100,000
2,162
Nuvelo, Inc.1
106,121
1,891
Human Genome Sciences, Inc.1
125,000
1,359
AtheroGenics, Inc.1
80,000
1,306
   
208,408
     
FINANCIALS — 7.46%
    
ORCO PROPERTY GROUP SA
315,800
33,780
National Bank of Pakistan
4,250,000
20,004
Kotak Mahindra Bank Ltd.
2,450,000
15,381
Jeonbuk Bank
1,219,368
11,684
Daegu Bank, Ltd.
612,500
11,442
Sumitomo Real Estate Sales Co., Ltd.
155,000
9,941
Interhyp AG1
80,000
8,889
National Finance PCL
20,593,000
8,588
Pusan Bank
575,000
8,404
First Regional Bancorp1,3
89,900
8,013
Wing Tai Holdings Ltd.
6,500,000
7,641
UTI Bank Ltd.
926,000
7,412
Ticon Industrial Connection PCL
12,500,000
6,114
Central Pattana PCL
12,554,400
6,108
HDFC Bank Ltd.
326,300
5,680
Gafisa SA, ordinary nominative1
500,000
5,358
United Mizrahi Bank Ltd.1
840,000
4,906
Allgreen Properties Ltd.
4,250,000
4,102
United Bankshares, Inc.
105,000
4,018
CapitaCommercial Trust Management Ltd.
3,317,000
3,674
Banco Nossa Caixa SA, ordinary nominative
127,000
2,812
Ascendas Real Estate Investment Trust
1,844,000
2,476
Golden Land Property Development PLC, nonvoting depositary receipt1
5,522,300
1,365
Golden Land Property Development PLC1
4,077,700
1,008
Saxon Capital, Inc.
200,000
2,088
Siam City Bank PCL
2,250,000
1,408
Siam City Bank PCL, nonvoting depositary receipt
900,000
563
Alabama National BanCorporation
5,500
376
   
203,235
     
MATERIALS — 7.20%
    
Central African Mining & Exploration Co. PLC1
24,080,000
25,529
Sino-Forest Corp., Class A1
3,245,000
18,212
European Goldfields Ltd.1
4,691,100
15,776
Kenmare Resources PLC1
15,317,759
12,845
Yamana Gold Inc.1
1,275,000
11,744
Dongkuk Steel Mill Co., Ltd.
517,998
10,263
Sierra Leone Diamond Co. Ltd.1,2
5,805,000
9,585
Hanwha Chemical Corp.
741,660
9,465
Jaguar Mining Inc.1,3,4
1,905,000
7,922
Jaguar Mining Inc.1
284,500
1,392
Coeur d’Alene Mines Corp.1
1,200,000
7,872
African Platinum PLC1
10,000,000
7,300
Adastra Minerals Inc.1
1,250,000
3,085
Adastra Minerals Inc.1,3
875,000
2,159
Adastra Minerals Inc., GBP denominated1,3
800,000
1,974
Bema Gold Corp.1
1,500,000
6,632
Golden Star Resources Ltd.1
2,075,000
6,561
Hecla Mining Co.1
900,000
5,949
Ballarat Goldfields NL1,3
10,250,000
3,374
Ballarat Goldfields NL1
7,745,000
2,550
Energem Resources Inc.1
4,065,000
4,772
Aricom PLC1
4,000,000
4,241
Hanil Cement Co., Ltd.
57,200
4,074
AMR Technologies Inc.1,3
1,600,000
2,673
AMR Technologies Inc.1
400,000
668
Northern Orion Resources Inc.1,3
666,600
3,004
Gemfields Resources PLC1,3
2,666,000
1,714
Gemfields Resources PLC1
2,000,000
1,286
Uruguay Mineral Exploration Inc.1
400,000
1,888
M-real Oyj, Class B
257,000
1,704
Thistle Mining Inc., GBP denominated1
10,500
2
Thistle Mining Inc.1,4
18,300
—
   
196,215
     
ENERGY — 6.69%
    
Oilexco Inc., GBP denominated1,3
1,900,000
7,694
Oilexco Inc., GBP denominated1
1,755,000
7,107
Oilexco Inc.1
803,900
3,237
Oilexco Inc.1,3
725,000
2,920
First Calgary Petroleums Ltd.1
1,635,000
12,258
First Calgary Petroleums Ltd., GBP denominated1
760,000
5,812
OPTI Canada Inc.1
447,350
16,969
TODCO, Class A1
385,000
15,173
Quicksilver Resources Inc.1
380,550
14,712
Asia Energy PLC1
1,500,000
13,296
Equator Exploration Ltd.1
2,000,000
11,879
CARBO Ceramics Inc.
200,000
11,382
WorleyParsons Ltd.
744,213
10,023
Southwestern Energy Co.1
308,000
9,914
Delta Petroleum Corp.1
360,000
7,567
Indago Petroleum Ltd.1
5,834,306
5,912
China Oilfield Services Ltd., Class H
9,099,900
4,632
White Nile Ltd.1
2,400,000
4,234
Solana Resources Ltd.1
2,000,000
4,181
Bankers Petroleum Ltd.1,3
3,000,000
2,391
Bankers Petroleum Ltd.1
2,086,000
1,662
Regal Petroleum PLC1
2,463,000
3,210
Caspian Energy Inc.1
1,000,000
2,828
Banpu PCL
459,500
1,763
FirstAfrica Oil PLC1
22,272,000
1,548
   
182,304
     
CONSUMER STAPLES — 1.91%
    
DELTA HOLDING SA
519,000
7,863
Coca-Cola West Japan Co. Ltd.
328,500
7,800
Herbalife Ltd.1
227,000
7,666
IAWS Group PLC
440,000
7,632
Universal Robina Corp.
15,765,000
5,481
Crown Confectionery Co., Ltd.
37,988
5,298
CP Seven Eleven PCL
23,580,000
4,067
China Mengniu Dairy Co.
2,987,000
3,330
Chipita International SA1
372,309
1,688
Cawachi Ltd.
30,000
1,180
   
52,005
     
TELECOMMUNICATION SERVICES — 1.65%
    
LG Telecom Ltd.1
1,750,000
14,733
TIM Participações SA, preferred nominative (ADR)
317,500
11,757
Telemig Celular Participações SA, preferred nominative
1,617,616,000
3,889
Telemig Celular Participações SA, preferred nominative (ADR)
80,000
3,813
Vivo Participações SA, preferred nominative1
802,680
3,425
Vivo Participações SA, preferred nominative (ADR)1
399,248
1,709
Vivo Participações SA, ordinary nominative1
16,117
93
WiderThan Co., Ltd. (ADR)1
240,000
3,173
Unwired Group Ltd.1
6,072,334
1,694
Neustar, Inc., Class A1
16,700
518
   
44,804
     
UTILITIES — 1.48%
    
Xinao Gas Holdings Ltd.
32,539,000
30,193
First Gen Corp.1
4,400,000
3,879
Reliance Energy Ltd.
207,300
2,851
Tata Power Co. Ltd.
178,953
2,343
Electricity Generating PCL
550,000
1,111
   
40,377
     
MISCELLANEOUS — 4.98%
    
Other common stocks in initial period of acquisition
  
135,559
     
     
Total common stocks (cost: $1,718,657,000)
  
2,478,577
     
     
Rights & warrants — 0.07%
    
     
MATERIALS — 0.06%
    
Northern Orion Resources Inc., warrants, expire 20081,3
333,000
984
Kenmare Resources PLC, warrants, expire 20091
525,000
259
AMR Technologies Inc., warrants, expire 20081,3
800,000
247
   
1,490
     
INFORMATION TECHNOLOGY — 0.01%
    
Kingboard Chemical Holdings Ltd., warrants, expire 20061
666,000
309
     
     
Total rights & warrants (cost: $24,000)
  
1,799
     
     
   
unaudited
     
 
Shares or
Market value
Convertible securities — 0.10%
principal amount
(000)
     
ENERGY — 0.10%
    
FirstAfrica Oil PLC 20.00% convertible notes 20063,4
$1,500,000
$ 2,607
     
     
INFORMATION TECHNOLOGY — 0.00%
    
Socratic Technologies, Inc., Series A, convertible preferred1,3,4
125,000
— 
     
     
Total convertible securities (cost: $3,237,000)
  
2,607
     
     
 
Principal amount
 
Short-term securities — 8.60%
(000)
  
     
Mont Blanc Capital Corp. 4.81% due 5/30/20063
$25,000
24,803
ING (US) Funding LLC 4.81% due 6/2/2006
13,000
12,891
Amsterdam Funding Corp. 4.54%-4.64% due 4/3-4/24/20063
22,900
22,841
Freddie Mac 4.52%-4.60% due 5/9-5/30/2006
17,435
17,313
BMW U.S. Capital Corp. 4.70% due 5/17/20063
15,900
15,802
Canadian Imperial Holdings Inc. 4.55%-4.71% due 4/12-5/16/2006
15,800
15,743
Old Line Funding, LLC 4.64%-4.68% due 5/2-5/12/20063
15,800
15,731
Spintab AB (Swedmortgage) 4.54% due 4/6/2006
14,900
14,891
American Honda Finance Corp. 4.57% due 4/25/2006
14,000
13,957
Shell International Finance BV 4.50% due 4/3/2006
13,200
13,195
HSBC USA Inc. 4.80% due 5/25/2006
11,300
11,217
Vodafone Group PLC 4.64% due 4/24/20063
11,000
10,966
Dexia Delaware LLC 4.80% due 5/31/2006
10,000
9,922
Federal Home Loan Bank 4.58% due 5/26/2006
8,800
8,732
U.S. Treasury Bills 4.38% due 5/4/2006
7,000
6,972
Canadian Wheat Board 4.48% due 4/13/2006
6,000
5,990
IXIS Commercial Paper Corp. 4.55% due 4/13/20063
5,000
4,993
National Australia Funding (Delaware) Inc. 4.68% due 4/10/20063
4,300
4,294
DaimlerChrysler Revolving Auto Conduit LLC II 4.76% due 4/18/2006
4,100
4,090
     
Total short-term securities (cost: $234,338,000)
  
234,343
     
     
Total investment securities (cost: $1,956,256,000)
  
2,717,326
Other assets less liabilities
  
6,551
     
Net assets
  
$2,723,877


“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.

 

unaudited

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. Further details on these holdings and related transactions during the three months ended March 31, 2006, appear below.
 
 
                   
 
 
Market
 
 
 
 
 
 
 
 
 
 
 
 
 
value
 
 
 
 
 
 
 
 
 
 
 
Dividend
 
of affiliates
 
 
 
Beginning
 
 
 
 
 
 
 
income
 
at 3/31/06
 
Company
 
 shares
 
Purchases
 
Sales
 
Ending shares
 
(000)
 
(000)
  
                           
Korea Development
    
600,000
    
—
    
—
    
600,000
  
$
148
  
$
19,761
  
Sierra Leone Diamond
    
5,805,000
    
—
    
—
    
5,805,000
    
—
    
9,585
  
Jahwa Electronics
    
1,039,000
    
—
    
—
    
1,039,000
    
—
    
8,747
  
Min Aik Technology
    
5,586,000
    
—
    
—
    
5,586,000
    
—
    
8,204
  
Ondine Biopharma
    
1,660,000
    
—
    
—
    
1,660,000
    
—
    
3,357
  
Ondine Biopharma, GBP denominated
    
490,000
    
—
    
—
    
490,000
    
—
    
894
  
Ondine Biopharma
    
400,000
    
—
    
—
    
400,000
    
—
    
809
  
                           
$
148
  
$
51,357
  

1 Security did not produce income during the last 12 months.
2 The fund owns 5% or more of the outstanding voting shares of this company. See table above for additional information.
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 was $154,826,000, which represented 5.68% of the net assets of the fund.
4 Valued under fair value procedures adopted by authority of the board of trustees.

 
ADR = American Depositary Receipts
GDR = Global Depositary Receipts
SDR = Swedish Depositary Receipts
 

Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$ 814,297
Gross unrealized depreciation on investment securities
  
(77,746)
Net unrealized appreciation on investment securities
  
736,551
Cost of investment securities for federal income tax purposes
  
1,980,775
 
 
Growth Fund
Investment portfolio
 
March 31, 2006
  
unaudited
     
   
Market value
Common stocks — 92.75%
Shares
(000)
     
INFORMATION TECHNOLOGY — 21.55%
    
Google Inc., Class A1
2,796,400
$1,090,596
Microsoft Corp.
19,015,000
517,398
Cisco Systems, Inc.1
18,433,000
399,443
Corning Inc.1
11,150,000
300,047
Taiwan Semiconductor Manufacturing Co. Ltd.
78,660,068
155,806
Taiwan Semiconductor Manufacturing Co. Ltd. (ADR)
6,950,000
69,917
Yahoo! Inc.1
6,750,000
217,755
Texas Instruments Inc.
6,651,000
215,958
KLA-Tencor Corp.
4,205,000
203,354
Oracle Corp.1
14,622,800
200,186
Xilinx, Inc.
6,425,000
163,580
Maxim Integrated Products, Inc.
4,005,000
148,786
eBay Inc.1
3,500,000
136,710
Seagate Technology1
5,000,000
131,650
Samsung Electronics Co., Ltd.
195,000
126,441
Analog Devices, Inc.
2,900,000
111,041
Linear Technology Corp.
2,895,000
101,557
Microchip Technology Inc.
2,150,000
78,045
Altera Corp.1
3,750,000
77,400
Novell, Inc.1
9,500,000
72,960
Nidec Corp.
885,000
72,622
AU Optronics Corp.
41,016,120
61,754
VeriSign, Inc.1
2,300,000
55,177
Novellus Systems, Inc.1
1,990,000
47,760
CDW Corp.
765,000
45,020
Iron Mountain Inc.1
1,100,000
44,814
Nokia Corp. (ADR)
2,000,000
41,440
International Business Machines Corp.
500,000
41,235
Dell Inc.1
1,270,000
37,795
Mediatek Incorporation
2,965,000
34,350
LG.Philips LCD Co., Ltd. (ADR) (Korea)1
1,400,000
31,780
Applied Materials, Inc.
1,605,000
28,104
Ceridian Corp.1
1,100,000
27,995
Hon Hai Precision Industry Co., Ltd.
3,919,135
24,304
Micron Technology, Inc.1
1,600,000
23,552
Sabre Holdings Corp., Class A
796,959
18,752
Automatic Data Processing, Inc.
400,000
18,272
Murata Manufacturing Co., Ltd.
180,000
12,187
Hirose Electric Co., Ltd.
75,000
10,544
Hewlett-Packard Co.
250,000
8,225
Sanmina-SCI Corp.1
1,430,000
5,863
Advanced Micro Devices, Inc.1
26,200
869
   
5,211,044
     
     
     
CONSUMER DISCRETIONARY — 15.84%
    
Lowe’s Companies, Inc.
7,333,000
$ 472,538
Target Corp.
7,890,000
410,359
Carnival Corp., units
6,905,000
327,090
Kohl’s Corp.1
5,428,200
287,749
Starbucks Corp.1
6,920,000
260,469
Best Buy Co., Inc.
4,490,400
251,148
Harrah’s Entertainment, Inc.
2,642,000
205,970
Garmin Ltd.
2,432,000
193,174
IAC/InterActiveCorp1
6,397,630
188,538
Michaels Stores, Inc.
4,070,000
152,951
Expedia, Inc.1
7,360,130
149,190
Liberty Media Corp., Class A1
14,670,000
120,441
Time Warner Inc.
6,607,725
110,944
News Corp. Inc.
6,500,000
107,965
International Game Technology
1,881,000
66,249
Liberty Global, Inc., Class A1
2,869,662
58,742
Magna International Inc., Class A
725,000
54,875
Comcast Corp., Class A, special nonvoting stock1
1,240,000
32,389
Comcast Corp., Class A1
768,615
20,107
Gentex Corp.
2,700,000
47,142
Harley-Davidson Motor Co.
852,800
44,243
Takashimaya Co., Ltd.
2,852,000
43,463
Toyota Motor Corp.
765,000
41,785
Clear Channel Communications, Inc.
1,375,000
39,889
Apollo Group, Inc., Class A1
695,000
36,494
Shangri-La Asia Ltd.
18,000,000
29,113
Limited Brands, Inc.
1,087,457
26,599
Outback Steakhouse, Inc.
600,000
26,400
Discovery Holding Co.1
1,549,000
23,235
   
3,829,251
     
ENERGY — 14.50%
    
Schlumberger Ltd.
3,609,800
456,892
Canadian Natural Resources, Ltd.
4,625,700
257,226
Halliburton Co.
3,480,000
254,110
EOG Resources, Inc.
3,265,000
235,080
Transocean Inc.1
2,731,400
219,331
Devon Energy Corp.
3,409,072
208,533
Suncor Energy Inc.
2,524,524
193,876
Burlington Resources Inc.
1,800,000
165,438
Newfield Exploration Co.1
3,917,200
164,131
Murphy Oil Corp.
2,698,800
134,454
Petro-Canada
2,660,300
126,234
Southwestern Energy Co.1
3,081,200
99,184
Diamond Offshore Drilling, Inc.
1,025,000
91,737
Baker Hughes Inc.
1,250,000
85,500
OPTI Canada Inc.1
2,140,000
81,174
Quicksilver Resources Inc.1
1,974,150
76,321
Arch Coal, Inc.
1,000,000
75,940
Norsk Hydro ASA
490,000
67,923
Saipem SpA
2,755,000
63,831
Bill Barrett Corp.1
1,933,000
62,996
National Oilwell Varco Inc.1
844,700
54,162
Rosetta Resources Inc.1,2,3
2,980,000
53,521
Denbury Resources Inc.1
1,400,000
44,338
FMC Technologies, Inc.1
850,000
43,537
Talisman Energy Inc.
800,000
42,544
BG Group PLC
3,050,000
38,140
ENSCO International Inc.
725,000
37,301
Exxon Mobil Corp.
550,000
33,473
Caltex Australia Ltd.
1,484,030
20,390
Noble Corp.
225,000
18,247
   
3,505,564
     
HEALTH CARE — 12.70%
    
Roche Holding AG
3,460,000
514,981
Sanofi-Aventis
2,658,900
252,994
WellPoint, Inc.1
2,655,000
205,577
AstraZeneca PLC (ADR) (United Kingdom)
2,715,000
136,375
AstraZeneca PLC (Sweden)
1,200,000
60,516
Express Scripts, Inc.1
1,928,000
169,471
Cardinal Health, Inc.
2,150,000
160,218
Medtronic, Inc.
2,500,000
126,875
Forest Laboratories, Inc.1
2,710,000
120,947
Schering-Plough Corp.
6,000,000
113,940
Vertex Pharmaceuticals Inc.1
3,000,000
109,770
Guidant Corp.
1,377,700
107,543
UnitedHealth Group Inc.
1,925,000
107,531
Amgen Inc.1
1,300,000
94,575
Shire PLC (ADR)
2,000,000
92,980
Endo Pharmaceuticals Holdings Inc.1
2,500,000
82,025
Medco Health Solutions, Inc.1
1,419,000
81,195
Sepracor Inc.1
1,500,000
73,215
Gilead Sciences, Inc.1
1,120,000
69,686
MedImmune, Inc.1
1,765,000
64,564
Aveta, Inc.1,2,3
3,918,000
63,668
Biogen Idec Inc.1
1,335,000
62,879
Eli Lilly and Co.
970,000
53,641
Kinetic Concepts, Inc.1
1,000,000
41,170
McKesson Corp.
665,000
34,666
Martek Biosciences Corp.1
1,000,000
32,830
American Pharmaceutical Partners, Inc.1
667,900
19,029
Allergan, Inc.
160,000
17,360
   
3,070,221
     
CONSUMER STAPLES — 6.50%
    
Altria Group, Inc.
7,380,000
522,947
Walgreen Co.
6,000,000
258,780
Seven & I Holdings Co., Ltd.
3,942,000
156,046
Coca-Cola Co.
2,645,000
110,746
PepsiCo, Inc.
1,845,000
106,622
Anheuser-Busch Companies, Inc.
2,325,000
99,440
Bunge Ltd.
1,486,000
82,785
Constellation Brands, Inc., Class A1
2,624,000
65,731
Diageo PLC
2,650,000
41,751
Performance Food Group Co.1
1,275,800
39,792
Wm. Wrigley Jr. Co.
450,000
28,800
Avon Products, Inc.
775,000
24,157
Procter & Gamble Co.
380,000
21,896
General Mills, Inc.
265,000
13,430
   
1,572,923
     
     
INDUSTRIALS — 6.28%
    
Boeing Co.
2,565,000
$ 199,890
General Electric Co.
4,805,000
167,118
Monster Worldwide Inc.1
3,100,000
154,566
Tyco International Ltd.
5,484,400
147,421
Southwest Airlines Co.
7,670,300
137,989
Lockheed Martin Corp.
1,150,000
86,399
United Parcel Service, Inc., Class B
1,061,100
84,230
General Dynamics Corp.
1,300,000
83,174
UAL Corp.1
2,000,000
79,860
Northrop Grumman Corp.
1,150,000
78,533
Mitsubishi Heavy Industries, Ltd.
16,100,000
76,588
MSC Industrial Direct Co., Inc., Class A
1,000,000
54,020
Allied Waste Industries, Inc.1
4,100,000
50,184
Illinois Tool Works Inc.
474,600
45,709
Robert Half International Inc.
800,000
30,888
3M Co.
395,000
29,898
Raytheon Co.
246,000
11,277
   
1,517,744
     
FINANCIALS — 5.88%
    
Fannie Mae
4,945,000
254,173
Banco Bradesco SA, preferred nominative (ADR)
6,750,000
242,392
American International Group, Inc.
2,600,000
171,834
Freddie Mac
2,297,700
140,160
Mitsui Trust Holdings, Inc.
9,300,000
135,961
Citigroup Inc.
2,575,000
121,617
Unibanco-União de Bancos Brasileiros SA, units (GDR)
1,640,000
121,212
Wells Fargo & Co.
1,185,000
75,686
Bank of New York Co., Inc.
1,529,300
55,116
Commerce Bancorp, Inc.
1,100,000
40,315
Hudson City Bancorp. Inc.
2,500,000
33,225
Mitsubishi UFJ Financial Group, Inc.
1,457
22,278
Marsh & McLennan Companies, Inc.
253,600
7,446
   
1,421,415
     
MATERIALS — 1.88%
    
Barrick Gold Corp.
5,000,000
136,200
Freeport-McMoRan Copper & Gold Inc., Class B
1,404,500
83,947
Rio Tinto PLC
1,400,000
71,098
CRH PLC
1,700,000
59,345
Monsanto Co.
700,000
59,325
Newcrest Mining Ltd.
2,740,000
45,842
   
455,757
     
TELECOMMUNICATION SERVICES — 2.22%
    
Qwest Communications International Inc.1
43,050,000
292,740
Telephone and Data Systems, Inc., Special Common Shares
1,190,000
44,922
Telephone and Data Systems, Inc.
1,130,000
44,567
Sprint Nextel Corp.
2,819,602
72,859
Bharti Tele-Ventures Ltd.1
7,499,800
69,594
United States Cellular Corp.1
204,900
12,163
   
536,845
     
UTILITIES — 0.52%
    
Reliant Resources, Inc.1
9,240,000
97,759
Questar Corp.
400,000
28,020
   
125,779
     
     
     
MISCELLANEOUS — 4.88%
    
Other common stocks in initial period of acquisition
  
$ 1,179,779
     
     
Total common stocks (cost: $16,579,350,000)
  
22,426,322
     
     
 
Principal amount
  
Short-term securities — 7.23%
(000)
  
     
CAFCO, LLC 4.55%-4.74% due 4/12-5/16/20063
$122,800
122,427
Ciesco LLC 4.63% due 5/10/20063
50,000
49,752
Federal Home Loan Bank 4.49%-4.645% due 4/21-6/7/2006
170,200
169,305
Park Avenue Receivables Co., LLC 4.54%-4.74% due 4/6-5/9/20063
88,900
88,670
Preferred Receivables Funding Corp. 4.54%-4.77% due 4/5-5/4/20063
75,674
75,532
Clipper Receivables Co., LLC 4.52%-4.71% due 4/7-4/25/20063
153,901
153,590
Variable Funding Capital Corp. 4.55%-4.74% due 4/11-5/19/20063
127,500
127,071
Bank of America Corp. 4.555%-4.75% due 4/13-6/7/2006
124,800
124,103
Coca-Cola Co. 4.55%-4.61% due 5/4-5/15/2006
55,900
55,638
Atlantic Industries 4.46%-4.47% due 4/3-4/4/20063
54,000
53,975
Procter & Gamble Co. 4.52%-4.60% due 4/7-4/27/20063
109,200
108,973
AIG Funding, Inc. 4.55%-4.67% due 4/18-4/28/2006
80,000
79,753
American General Finance Corp. 4.71% due 5/16/2006
25,000
24,849
Three Pillars Funding, LLC 4.72% due 4/17-4/19/20063
100,000
99,763
United Parcel Service Inc. 4.49% due 4/3/2006
50,000
49,981
DuPont (E.I.) de Nemours & Co. 4.63% due 5/11/20063
50,000
49,736
International Bank for Reconstruction and Development 4.42% due 4/5-4/7/2006
42,200
42,173
NetJets Inc. 4.50% due 4/4/20063
40,000
39,980
IBM Capital Inc. 4.70% due 6/8/20063
38,700
38,355
FCAR Owner Trust I 4.71% due 5/3/2006
35,000
34,849
Edison Asset Securitization LLC 4.73% due 5/17/20063
34,600
34,386
Wal-Mart Stores Inc. 4.41%-4.71% due 4/4-5/9/20063
34,000
33,886
AT&T Inc. 4.72% due 4/26/20063
25,000
24,915
3M Co. 4.65% due 5/18/2006
25,000
24,851
Hershey Co. 4.71% due 5/2/20063
22,200
22,107
Concentrate Manufacturing Co. of Ireland 4.55%-4.60% due 4/3-4/17/20063
20,200
20,157
     
Total short-term securities (cost: $1,748,726,000)
  
1,748,777
     
     
Total investment securities (cost: $18,328,076,000)
  
24,175,099
Other assets less liabilities
  
4,946
     
Net assets
  
$24,180,045
 

“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.

 

unaudited

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. Further details on these holdings and related transactions during the three months ended March 31, 2006, appear below.

 
           
Market value
         
Dividend
of affiliates
         
income
at 3/31/06
Company
Beginning shares
Purchases
Sales
Ending shares
(000)
(000)
             
Aveta
3,918,000
—
—
3,918,000
$ —
$ 63,668
Rosetta Resources
2,980,000
—
—
2,980,000
   —
   53,521
         
$ —
$117,189


1 Security did not produce income during the last 12 months.
2 The fund owns 5% or more of the outstanding voting shares of this company. See table above for additional information.
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 $1,260,464,000, which represented 5.21% of the net assets of the fund.

 
ADR = American Depositary Receipts
GDR = Global Depositary Receipts


Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$ 6,117,272
Gross unrealized depreciation on investment securities
  
(278,521)
Net unrealized appreciation on investment securities
  
5,838,751
Cost of investment securities for federal income tax purposes
  
18,336,348

 

 
International Fund
Investment portfolio
 

March 31, 2006
  
unaudited
     
   
Market value
Common stocks — 84.54%
Shares
(000)
     
FINANCIALS — 23.33%
    
Unibanco-União de Bancos Brasileiros SA, units (GDR)
1,802,000
$ 133,186
Kookmin Bank
1,372,500
118,519
Mitsubishi UFJ Financial Group, Inc.
7,709
117,875
Société Générale
743,000
111,763
Credit Suisse Group
1,565,000
87,784
Macquarie Bank Ltd.
1,856,898
85,947
Hana Financial Holdings
1,398,422
66,208
ING Groep NV
1,549,310
61,220
Allianz AG
351,200
58,651
ICICI Bank Ltd.
4,400,000
58,269
Swire Pacific Ltd., Class A
5,720,000
55,988
BNP Paribas
560,000
52,028
BNP Paribas1
17,090
1,534
Mizuho Financial Group, Inc.
5,870
48,019
Sun Hung Kai Properties Ltd.
4,560,000
46,309
UniCredito Italiano SpA
6,305,000
45,640
Banco Bilbao Vizcaya Argentaria, SA
2,072,500
43,258
Crédit Agricole SA
1,100,000
42,813
Hongkong Land Holdings Ltd.
10,500,000
39,060
Royal Bank of Scotland Group PLC
1,156,278
37,640
Banco Santander Central Hispano, SA
2,475,731
36,160
Siam Commercial Bank PCL
20,816,200
34,564
UBS AG
285,000
31,295
Takefuji Corp.
465,000
29,270
Shinhan Financial Group Co., Ltd.
634,670
28,415
Sumitomo Realty & Development Co., Ltd.
980,000
27,139
PartnerRe Holdings Ltd. (polynational)
416,300
25,848
HSBC Holdings PLC (United Kingdom)
767,460
12,872
HSBC Holdings PLC (Hong Kong)
650,000
10,882
Samsung Fire & Marine Insurance Co., Ltd.
160,610
21,242
Hypo Real Estate Holding AG
297,400
20,392
Bank of Nova Scotia
500,000
20,058
AXA
550,000
19,306
Mitsui Trust Holdings, Inc.
1,281,000
18,727
Mitsui Sumitomo Insurance Co., Ltd.
1,280,000
17,408
DnB NOR ASA
1,217,800
16,407
Westpac Banking Corp.
962,514
16,407
St. George Bank Ltd.
650,000
14,345
   
1,712,448
     
     
CONSUMER DISCRETIONARY — 9.21%
    
Kingfisher PLC
15,603,645
$ 64,950
Swatch Group Ltd
243,386
40,854
Swatch Group Ltd
597,444
20,799
Mediaset SpA
4,050,000
47,716
Sony Corp.
950,000
43,982
LG Electronics Inc.
538,000
43,634
NOK Corp.
1,536,000
41,362
Rakuten, Inc.
41,530
37,748
Industria de Diseno Textil, SA
869,577
33,570
Nikon Corp.
1,856,000
33,267
Carnival PLC
665,000
32,708
Hyundai Motor Co.
375,000
31,533
Grupo Televisa, SA, ordinary participation certificates (ADR)
1,440,000
28,656
News Corp. Inc. Class B
974,283
17,108
News Corp. Inc. Class A
687,292
11,416
JCDecaux SA1
835,000
22,600
DSG International PLC
6,342,341
20,337
Greek Organization of Football Prognostics SA
429,330
16,414
Suzuki Motor Corp.
700,000
16,085
Cie. Financière Richemont AG, units, Class A
325,000
15,576
Toyota Motor Corp.
230,000
12,563
Honda Motor Co., Ltd.
200,000
12,385
Kesa Electricals PLC
1,973,300
10,700
Pearson PLC
750,000
10,402
Publishing & Broadcasting Ltd.
375,000
4,642
SET Satellite (Singapore) Pte. Ltd.1,2,3
800,276
3,206
SET India Ltd.1,2,3
32,200
1,620
   
675,833
     
INFORMATION TECHNOLOGY — 8.43%
    
Samsung Electronics Co., Ltd.
168,064
108,975
Taiwan Semiconductor Manufacturing Co. Ltd.
26,513,042
52,516
Taiwan Semiconductor Manufacturing Co. Ltd. (ADR)
1,824,599
18,355
Rohm Co., Ltd.
592,100
62,620
Chi Mei Optoelectronics Corp.
35,712,212
50,408
Toshiba Corp.
8,103,000
47,082
AU Optronics Corp.
28,428,000
42,802
Murata Manufacturing Co., Ltd.
605,000
40,960
Nippon Electric Glass Co., Ltd.
1,580,000
39,325
Mediatek Incorporation
2,992,000
34,663
Hirose Electric Co., Ltd.
238,300
33,502
Tokyo Electron Ltd.
435,000
30,005
Hoya Corp.
733,600
29,601
Hon Hai Precision Industry Co., Ltd.
3,300,324
20,467
livedoor Co., Ltd.1
8,297,667
7,472
   
618,753
     
ENERGY — 8.05%
    
Royal Dutch Shell PLC, Class B
1,193,868
38,843
Royal Dutch Shell PLC, Class B (ADR)
275,839
17,971
Royal Dutch Shell PLC, Class A
522,000
16,337
Oil & Natural Gas Corp. Ltd.
2,213,000
65,243
Reliance Industries Ltd.
3,628,695
64,885
Husky Energy Inc.
1,035,000
62,653
Norsk Hydro ASA
410,000
56,833
Canadian Natural Resources, Ltd.
1,000,000
55,608
Petro-Canada
1,080,000
51,247
Nexen Inc.
859,625
47,360
ENI SpA
960,000
27,322
Petróleo Brasileiro SA — Petrobras, ordinary nominative (ADR)
255,000
22,101
OAO NOVATEK (GDR)
400,900
15,435
OAO NOVATEK (GDR)2
109,100
4,200
PetroChina Co. Ltd., Class H
16,300,000
17,015
Repsol YPF, SA
545,080
15,487
TOTAL SA
47,000
12,402
   
590,942
     
TELECOMMUNICATION SERVICES — 7.22%
    
Telekom Austria AG
5,510,225
129,906
Koninklijke KPN NV
8,685,600
97,909
América Móvil SA de CV, Series L (ADR)
1,440,000
49,334
Perusahaan Perseroan (Persero) PT Telekomunikasi Indonesia Tbk, Class B3
59,925,000
45,722
Telefónica, SA
2,487,984
39,053
China Unicom Ltd.
42,678,200
34,651
Tele Norte Leste Participações SA, preferred nominative
1,798,414
29,990
Vodafone Group PLC
12,870,000
26,953
Chunghwa Telecom Co., Ltd. (ADR)
1,000,000
19,590
Chunghwa Telecom Co., Ltd.
590,000
1,114
Belgacom SA
510,000
16,314
KDDI Corp.
2,130
11,381
China Netcom Group Corp. Ltd. (ADR) (China)
307,200
10,878
France Télécom, SA
445,000
10,011
Teléfonos de México, SA de CV, Class L (ADR)
152,700
3,433
Singapore Telecommunications Ltd.
1,439,290
2,360
Maxis Communications Bhd.
640,300
1,513
Bayan Telecommunications Holdings Corp., Class A1,2,3
43,010
—
Bayan Telecommunications Holdings Corp., Class B1,2,3
14,199
—
   
530,112
     
HEALTH CARE — 6.53%
    
Roche Holding AG
869,500
129,415
Novo Nordisk A/S, Class B
1,578,600
98,262
AstraZeneca PLC (United Kingdom)
1,262,500
63,632
AstraZeneca PLC (Sweden)
510,500
25,744
Merck KGaA
679,000
64,549
UCB NV
858,924
42,269
Shionogi & Co., Ltd.
1,200,000
19,684
Smith & Nephew PLC
2,110,000
18,739
Ranbaxy Laboratories Ltd.
1,176,000
11,431
Elan Corp., PLC (ADR)1
370,000
5,343
   
479,068
     
CONSUMER STAPLES — 5.36%
    
Seven & I Holdings Co., Ltd.
3,327,000
131,701
Nestlé SA
151,920
45,083
Koninklijke Ahold NV1
5,205,000
40,945
Shinsegae Co., Ltd. (Korea)
86,000
39,212
METRO AG
673,000
34,514
Groupe Danone
242,400
29,704
Woolworths Ltd.
1,245,733
16,786
Wal-Mart de México, SA de CV, Series V
6,180,240
16,312
Tesco PLC
2,263,260
12,981
Uni-Charm Corp.
195,000
9,574
Unilever NV
130,000
9,029
Coca-Cola HBC SA
250,000
7,770
   
393,611
     
MATERIALS — 5.22%
    
Bayer AG
2,013,000
80,665
Nitto Denko Corp.
949,900
80,611
Barrick Gold Corp.
1,537,802
41,861
Kuraray Co., Ltd.
2,538,000
29,838
BHP Billiton PLC
1,500,000
27,412
Siam Cement PCL
4,020,000
26,493
Holcim Ltd.
285,714
22,742
Cemex, SA de CV, ordinary participation certificates, units (ADR)
300,000
19,584
Rio Tinto PLC
337,500
17,140
L’Air Liquide
72,000
14,993
Cía. Vale do Rio Doce, ordinary nominative (ADR)
300,000
14,559
Gold Fields Ltd.
317,100
6,935
   
382,833
     
INDUSTRIALS — 4.07%
    
Asahi Glass Co., Ltd.
4,560,000
68,137
Samsung Engineering Co., Ltd.
1,592,000
53,744
Siemens AG
575,000
53,694
Mitsubishi Corp.
1,820,000
41,434
Capita Group PLC
3,750,000
29,948
Bharat Heavy Electricals Ltd.
400,000
20,161
FANUC LTD
162,000
15,592
MISC Berhad
5,304,600
13,686
Qantas Airways Ltd.
1,004,702
2,545
   
298,941
     
UTILITIES — 2.56%
    
Veolia Environnement
1,755,900
97,541
E.ON AG
215,000
23,665
National Grid PLC
1,842,857
18,336
Scottish Power PLC
1,700,000
17,196
Hong Kong and China Gas Co. Ltd.
7,000,000
16,915
Gas Natural SDG, SA
500,000
14,479
   
188,132
     
MISCELLANEOUS — 4.56%
    
Other common stocks in initial period of acquisition
  
334,528
     
     
Total common stocks (cost: $4,455,863,000)
  
6,205,201
     
     
   
unaudited
     
 
Principal amount
Market value
Short-term securities — 15.51%
(000)
(000)
     
ING (U.S.) Funding LLC 4.54%-4.81% due 4/11-6/2/2006
$157,100
$ 156,086
Mont Blanc Capital Corp. 4.77% due 4/28/20062
20,000
19,926
Royal Bank of Canada 4.705% due 5/15/2006
40,000
39,995
Old Line Funding, LLC 4.64% due 5/2/20062
30,272
30,150
Thunder Bay Funding, LLC 4.56% due 4/4/20062
20,738
20,727
ANZ (Delaware) Inc. 4.845% due 6/26/2006
42,000
41,523
ANZ National (International) Ltd. 4.69% due 5/10/20062
30,000
29,843
Shell International Finance BV 4.50%-4.53% due 4/3-4/13/2006
70,700
70,632
Alcon Capital Corp. 4.695% due 5/17/20062
41,800
41,556
Nestlé Capital Corp. 4.54% due 4/21/20062
25,900
25,837
Canadian Imperial Holdings Inc. 4.55%-4.71% due 4/12-5/16/2006
64,700
64,470
BMW U.S. Capital Corp. 4.64%-4.70% due 5/12-5/17/20062
61,500
61,158
Amsterdam Funding Corp. 4.54%-4.75% due 4/3-5/22/20062
57,300
57,075
American Honda Finance Corp. 4.54%-4.58% due 4/18-5/4/2006
55,441
55,285
Federal Home Loan Bank 4.49%-4.65% due 4/21-6/7/2006
55,100
54,819
Freddie Mac 4.595%-4.645% due 5/30/2006
54,900
54,467
GlaxoSmithKline Finance PLC 4.53% due 4/19/2006
50,000
49,891
HSBC USA Inc. 4.80% due 5/25-5/31/2006
43,700
43,368
Statoil ASA 4.65% due 5/8/2006
27,300
27,166
Private Export Funding Corp. 4.51% due 4/3/20062
25,000
24,991
BASF AG 4.67% due 5/17/20062
25,000
24,854
Fannie Mae 4.664% due 6/14/2006
24,000
23,761
DaimlerChrysler Revolving Auto Conduit LLC II 4.81% due 5/30/2006
21,400
21,230
Allied Irish Banks N.A. Inc. 4.865% due 6/30/20062
20,400
20,155
Spintab AB (Swedmortgage) 4.54% due 4/6/2006
19,200
19,188
IXIS Commercial Paper Corp. 4.55% due 4/13/20062
16,200
16,176
Barton Capital LLC 4.57% due 4/10/20062
16,000
15,980
Total Capital SA 4.52% due 4/6/20062
11,800
11,791
Stadshypotek Delaware Inc. 4.69% due 5/10/20062
9,000
8,953
National Australia Funding (Delaware) Inc.4.68% due 4/10/20062
7,800
7,790
     
Total short-term securities (cost: $1,138,787,000)
  
1,138,843
     
     
Total investment securities (cost: $5,594,650,000)
  
7,344,044
Other assets less liabilities
  
(3,899)
     
Net assets
  
$7,340,145
 
 

“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.
 

1 Security did not produce income during the last 12 months.
2 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 $425,988,000, which represented 5.80% of the net assets of the fund.
3 Valued under fair value procedures adopted by authority of the board of trustees.

 
ADR = American Depositary Receipts
GDR = Global Depositary Receipts

 
Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$1,842,091
Gross unrealized depreciation on investment securities
  
(100,165)
Net unrealized appreciation on investment securities
  
1,741,926
Cost of investment securities for federal income tax purposes
  
5,602,118
 
 
 

New World Fund
Investment portfolio
 

March 31, 2006
  
unaudited
     
   
Market value
Common stocks — 83.71%
Shares
(000)
     
FINANCIALS — 16.79%
    
PT Bank Rakyat Indonesia1
37,761,150
$ 16,242
Erste Bank der oesterreichischen Sparkassen AG
128,600
7,585
Erste Bank der oesterreichischen Sparkassen AG2
117,424
6,833
Housing Development Finance Corp. Ltd.
435,100
13,077
Banco Itaú Holding Financeira SA, preferred nominative
302,600
8,953
Unibanco-União de Bancos Brasileiros SA, units (GDR)
110,000
8,130
Banco Santander Central Hispano, SA
535,782
7,825
Bank Muscat (SAOG) (GDR)
785,125
7,655
Piraeus Bank SA
221,000
6,697
EFG International2
240,000
6,625
Allied Irish Banks, PLC
250,000
5,970
HSBC Holdings PLC
325,000
5,441
Bank Polska Kasa Opieki SA
88,000
5,199
Citigroup Inc.
107,000
5,054
National Bank of Pakistan
1,050,000
4,942
Bank of the Philippine Islands
3,844,616
4,707
Grupo Financiero Banorte, SA de CV
1,800,000
4,277
Itaúsa — Investimentos Itaú SA, preferred nominative
988,790
4,269
Banco Latinoamericano de Exportaciones, SA
235,000
3,997
ICICI Bank Ltd.
282,174
3,737
ICICI Bank Ltd. (ADR)
8,000
221
National Savings and Commercial Bank Ltd.
114,000
3,958
FirstRand Ltd.
1,130,000
3,678
Siam Commercial Bank PCL
2,000,000
3,321
Bank Hapoalim Ltd.
650,000
3,020
Türkiye Garanti Bankasi AS2
697,000
2,596
African Bank Investments Ltd.
500,000
2,451
American International Group, Inc.
33,000
2,181
Kookmin Bank
23,000
1,986
HDFC Bank Ltd.
36,500
635
China Construction Bank Corp., H shares2
500
—
   
161,262
     
CONSUMER STAPLES — 9.22%
    
Tesco PLC
3,178,418
18,229
Nestlé SA
31,500
9,348
Fomento Económico Mexicano, SA de CV (ADR)
99,300
9,102
Pyaterochka Holding NV (GDR)2,3
477,200
7,778
Avon Products, Inc.
210,200
6,552
PepsiCo, Inc.
84,000
4,854
Migros Türk TAS
370,147
4,604
Coca-Cola Co.
100,000
4,187
Wal-Mart de México, SA de CV, Series V (ADR)
88,000
2,292
Wal-Mart de México, SA de CV, Series V
400,000
1,056
Massmart Holdings Ltd.
320,000
3,041
Cia. de Bebidas das Américas — AmBev, preferred nominative (ADR)
60,000
2,578
Cia. de Bebidas das Américas — AmBev, ordinary nominative (ADR)
12,000
450
Bunge Ltd.
50,000
2,786
Anheuser-Busch Companies, Inc.
45,000
1,925
Coca-Cola HBC SA
60,000
1,865
Unilever NV
26,500
1,841
Groupe Danone
14,982
1,836
Oriflame Cosmetics SA (SDR)
50,000
1,669
Kimberly-Clark de México, SA de CV, Class A, ordinary participation certificates
480,000
1,641
Unilever PLC
87,587
897
   
88,531
     
MATERIALS — 8.41%
    
Harmony Gold Mining Co. Ltd.2
590,000
9,601
Votorantim Celulose e Papel SA, preferred nominative (ADR)
540,000
8,737
Taiwan Cement Corp.
11,120,000
8,577
Hindalco Industries Ltd.
1,950,000
8,010
Associated Cement Companies Ltd.
430,000
7,562
Aracruz Celulose SA, Class B, preferred nominative (ADR)
116,000
6,141
Siam Cement PCL
733,000
4,831
Phelps Dodge Corp.
50,000
4,026
Cemex, SA de CV, ordinary participation certificates, units (ADR)
56,385
3,681
Potash Corp. of Saskatchewan Inc.
40,000
3,524
Ivanhoe Mines Ltd.2
303,100
2,883
Cía. Vale do Rio Doce, preferred nominative, Class A
63,000
2,724
AngloGold Ashanti Ltd.
49,500
2,642
BHP Billiton PLC
142,664
2,607
Holcim Ltd.
31,500
2,507
Asian Paints Ltd.
148,660
2,159
Siam City Cement PCL
80,000
605
   
80,817
     
CONSUMER DISCRETIONARY — 7.96%
    
Toyota Motor Corp.
211,100
11,530
Kuoni Reisen Holding AG, Class B2
16,500
8,553
Honda Motor Co., Ltd.
127,000
7,865
Las Vegas Sands Corp.2
127,000
7,196
Maruti Udyog Ltd.
280,000
5,504
Grupo Televisa, SA, ordinary participation certificates (ADR)
259,600
5,166
NOK Corp.
177,500
4,780
Merry Electronics Co., Ltd.
1,460,000
4,685
Yue Yuen Industrial (Holdings) Ltd.
1,495,000
4,402
Central European Media Enterprises Ltd., Class A (USA — Incorporated in Bermuda)2
60,100
4,123
Makita Corp.
110,000
3,392
Motor Industries Co. Ltd.
50,000
3,270
Swatch Group Ltd
70,000
2,437
Li & Fung Ltd.
806,000
1,818
LG Electronics Inc.
14,700
1,192
Laureate Education, Inc.2
10,500
560
   
76,473
     
     
INFORMATION TECHNOLOGY — 7.18%
    
Nokia Corp. (ADR)
312,100
$ 6,467
Nokia Corp., Class A
236,900
4,905
Samsung Electronics Co., Ltd.
16,200
10,504
NHN Corp.2
31,000
9,572
Mediatek Incorporation
808,472
9,366
Hon Hai Precision Industry Co., Ltd.
1,125,328
6,979
Kingboard Chemical Holdings Ltd.
1,690,000
5,107
Hoya Corp.
114,400
4,616
Acer Inc.
2,200,000
4,052
NetEase.com, Inc. (ADR)2
120,000
2,945
ASUSTeK Computer Inc.
1,000,000
2,715
Venture Corp. Ltd.
221,000
1,750
   
68,978
     
INDUSTRIALS — 6.85%
    
Murray & Roberts Holdings Ltd.
3,395,007
15,304
Wienerberger AG
194,000
9,759
Daelim Industrial Co., Ltd.
102,000
8,084
ALL — América Latina Logística, units
95,000
5,885
Thai Airways International PCL
4,840,700
5,795
AGCO Corp.2
260,000
5,392
Barloworld Ltd.
215,000
4,646
Asahi Glass Co., Ltd.
272,000
4,064
Bharat Heavy Electricals Ltd.
70,000
3,528
Bidvest Group Ltd.
125,000
2,319
3M Co.
13,200
999
   
65,775
     
TELECOMMUNICATION SERVICES — 6.80%
    
América Móvil SA de CV, Series L (ADR)
310,000
10,621
Telemig Celular Participações SA, preferred nominative (ADR)
152,900
7,287
Telekom Austria AG
295,500
6,966
Telefónica, SA
286,632
4,499
Partner Communications Co. Ltd.
571,500
4,409
Partner Communications Co. Ltd. (ADR)
10,000
75
Pakistan Telecommunication Corp.2
3,900,000
4,266
Perusahaan Perseroan (Persero) PT Telekomunikasi Indonesia Tbk, Class B1
5,440,000
4,151
Maxis Communications Bhd.
1,734,000
4,097
China Unicom Ltd.
5,038,000
4,090
Brasil Telecom Participações SA, preferred nominative (ADR)
100,000
3,629
Tele Norte Leste Participações SA, preferred nominative
185,297
3,090
Vodafone Group PLC
1,400,000
2,932
Magyar Telekom Telecommunications Co. Ltd. (ADR)
110,000
2,397
Telekomunikacja Polska SA
250,400
1,712
Teléfonos de México, SA de CV, Class L (ADR)
50,000
1,124
   
65,345
     
ENERGY — 6.17%
    
Petróleo Brasileiro SA — Petrobras, ordinary nominative (ADR)
86,000
7,454
Petróleo Brasileiro SA — Petrobras, preferred nominative (ADR)
53,000
4,232
Royal Dutch Shell PLC, Class B
179,000
5,824
Royal Dutch Shell PLC, Class B (ADR)
39,949
2,603
Oil & Natural Gas Corp. Ltd.
222,800
6,569
FMC Technologies, Inc.2
116,600
5,972
China Shenhua Energy Co. Ltd.2
2,950,000
5,190
MOL Magyar Olaj- és Gázipari Rt., Class A
40,841
4,194
Nexen Inc.
63,428
3,494
PetroChina Co. Ltd. ,Class H
3,200,000
3,340
PTT Exploration and Production PCL
200,000
2,842
Harvest Natural Resources, Inc.2
217,800
2,117
Noble Energy, Inc.
46,000
2,020
Reliance Industries Ltd.
110,000
1,967
China Oilfield Services Ltd., Class H
2,911,300
1,482
   
59,300
     
UTILITIES — 6.04%
    
AES Corp.2
560,000
9,554
Perusahaan Gas Negara (Persero) Tbk.1,2
8,297,000
9,155
RAO Unified Energy System of Russia (GDR)
120,000
8,196
NTPC Ltd.
2,557,000
7,709
CPFL Energia SA (ADR)
144,000
6,048
Gas Natural SDG, SA
160,600
4,651
Cheung Kong Infrastructure Holdings Ltd.
1,066,000
3,386
Reliance Energy Ltd.2
241,500
3,321
ENDESA, SA
100,000
3,229
Veolia Environnement
49,000
2,722
   
57,971
     
HEALTH CARE — 3.53%
    
KRKA, d.d., Novo mesto
16,864
10,760
Novo Nordisk A/S, Class B
153,460
9,552
Gedeon Richter Ltd.
20,400
4,116
Dr. Reddy’s Laboratories Ltd.
120,000
3,835
Teva Pharmaceutical Industries Ltd. (ADR)
70,000
2,882
Ranbaxy Laboratories Ltd.
219,000
2,129
AstraZeneca PLC
12,700
640
   
33,914
     
MISCELLANEOUS — 4.76%
    
Other common stocks in initial period of acquisition
  
45,696
     
     
Total common stocks (cost: $577,975,000)
  
804,062
     
     
Rights & warrants — 0.01%
    
     
INFORMATION TECHNOLOGY — 0.01%
    
Kingboard Chemical Holdings Ltd., warrants, expire 20062
169,000
78
     
     
Total rights & warrants (cost: $0)
  
78
     
     
   
unaudited
     
 
Principal amount
Market value
Bonds & notes — 9.05%
(000)
(000)
     
NON-U.S. GOVERNMENT BONDS & NOTES — 8.27%
    
Argentina (Republic of) 6.84% 20334,5
ARS30,221
$10,056
Argentina (Republic of) 4.278% 20126
$2,000
1,625
Argentina (Republic of) 0.72% 20385
ARS11,138
1,622
Argentina (Republic of) GDP-Linked 2035
43,865
1,310
Argentina (Republic of) 3.627% 20105
1,312
452
Argentina (Republic of) 2.326% 20145
1,163
342
Brazil (Federal Republic of) Global 11.00% 2040
$2,375
3,050
Brazil (Federal Republic of) Global 8.00% 2018
2,434
2,643
Brazil (Federal Republic of) Global 9.25% 2010
2,200
2,489
Brazil (Federal Republic of) Global 10.125% 2027
1,425
1,851
Brazil (Federal Republic of) Global 8.875% 2019
1,000
1,157
Brazil (Federal Republic of) Global 12.50% 2016
R$1,400
655
Brazilian Treasury Bill 5.903% 20105
1,000
643
Brazilian Treasury Bill 0% 2007
1,000
292
Brazil (Federal Republic of) Global 8.875% 2024
$ 100
116
Russian Federation 8.25% 2010
6,400
6,785
Russian Federation 5.00%/7.50% 20303,7
3,406
3,734
Russian Federation 5.00%/7.50% 20307
750
822
Russian Federation 8.25% 20103
503
533
United Mexican States Government Global 9.875% 2010
4,125
4,713
United Mexican States Government Global 11.375% 2016
1,408
1,988
United Mexican States Government Global 5.28% 20096
1,250
1,265
United Mexican States Government Global 6.375% 2013
1,000
1,028
United Mexican States Government, Series MI10, 8.00% 2013
MXP7,700
682
United Mexican States Government, Series M20, 10.00% 2024
6,000
617
United Mexican States Government Global 10.375% 2009
$397
447
United Mexican States Government, Series MI10, 9.50% 2014
MXP4,500
440
United Mexican States Government, Series M20, 8.00% 2023
800
71
Peru (Republic of) 9.125% 2012
$2,800
3,178
Peru (Republic of) 8.375% 2016
1,725
1,880
Peru (Republic of) Past Due Interest Eurobond 5.00% 20176
849
811
Peru (Republic of) 7.35% 2025
500
494
Colombia (Republic of) Global 10.00% 2012
2,100
2,486
Colombia (Republic of) Global 10.75% 2013
1,360
1,697
Colombia (Republic of) Global 11.75% 2020
650
930
Columbia (Republic of) Global 8.125% 2024
500
563
Columbia (Republic of) Global 8.25% 2014
400
452
Panama (Republic of) Global 6.70% 2036
1,239
1,243
Panama (Republic of) Global 9.375% 2029
905
1,152
Panama (Republic of) Global 9.375% 2012
790
920
Panama (Republic of) Global 7.125% 2026
890
912
Panama (Republic of) Global 8.875% 2027
300
366
Panama (Republic of) Global 9.625% 2011
219
253
Philippines (Republic of) 8.375% 2009
1,665
1,796
Philippines (Republic of) Global 10.625% 2025
1,200
1,562
Philippines (Republic of) 9.875% 2019
700
846
Phillippines (Republic of) 7.75% 2031
450
456
Turkey (Republic of) 11.875% 2030
1,225
1,897
Turkey (Republic of) 20.00% 2007
TRY1,775
1,443
Turkey (Republic of) 15.00% 2010
1,380
1,095
Egypt (Arab Republic of) Treasury Bill 0% 2007
EGP4,300
699
Dominican Republic 8.625% 20273
$ 550
567
Venezuela (Republic of) 9.25% 2027
170
216
Venezuela (Republic of) Global 8.50% 2014
55
62
   
79,404
     
     
     
INFORMATION TECHNOLOGY — 0.42%
    
Amkor Technology, Inc. 7.125% 2011
$ 2,730
$ 2,525
Amkor Technology, Inc. 10.50% 2009
1,495
1,473
   
3,998
     
ENERGY — 0.20%
    
Pemex Project Funding Master Trust 6.625% 20353
1,800
1,741
Pemex Project Funding Master Trust 8.00% 2011
200
218
   
1,959
     
UTILITIES — 0.11%
    
Enersis SA 7.375% 2014
650
681
AES Gener SA 7.50% 2014
400
412
   
1,093
     
INDUSTRIALS — 0.05%
    
TFM, SA de CV 9.375% 2012
400
442
     
     
Total bonds & notes (cost: $78,555,000)
  
86,896
     
     
Short-term securities — 8.59%
    
     
ING (U.S.) Funding LLC 4.51%-4.685% due 4/18-5/9/2006
14,200
14,139
Danske Corp. 4.665%-4.69% due 5/8-5/15/20063
12,400
12,333
UBS Finance (Delaware) LLC 4.72%-4.75% due 5/18-5/23/2006
10,400
10,334
Canadian Imperial Holdings Inc. 4.71%-4.76% due 5/16-6/6/2006
8,200
8,144
Amsterdam Funding Corp. 4.61%-4.70% due 4/18-5/16/20063
8,000
7,975
BASF AG 4.49% due 4/13/20063
6,800
6,790
AT&T Inc. 4.85% due 4/3/20063
5,200
5,198
Shell International Finance BV 4.53% due 4/13/2006
3,700
3,694
American Honda Finance Corp. 4.57% due 4/25/2006
3,400
3,389
National Australia Funding Inc. 4.68% due 4/10/20063
3,300
3,296
Vodafone Group PLC 4.64% due 4/24/20063
3,300
3,290
Stadshypotek Delaware Inc. 4.69% due 5/10/20063
1,800
1,791
Old Line Funding, LLC 4.63% due 4/20/20063
1,500
1,496
Spintab AB (Swedmortgage) 4.54% due 4/6/2006
700
699
     
Total short-term securities (cost: $82,561,000)
  
82,568
     
     
Total investment securities (cost: $739,091,000)
  
973,604
Other assets less liabilities
  
(13,066)
     
Net assets
  
$960,538
 

“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.


1 Valued under fair value procedures adopted by authority of the board of trustees.
2 Security did not produce income during the last 12 months.
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 $56,522,000, which represented 5.88% of the net assets of the fund.
4 Payment in kind; the issuer has the option of paying additional securities in lieu of cash.
5 Index-linked bond whose principal amount moves with a government retail price index.
6 Coupon rate may change periodically.
7 Step bond; coupon rate will increase at a later date.

ADR = American Depositary Receipts
GDR = Global Depositary Receipts
SDR = Swedish Depositary Receipts


Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$235,189
Gross unrealized depreciation on investment securities
  
(9,720)
Net unrealized appreciation on investment securities
  
225,469
Cost of investment securities for federal income tax purposes
  
748,135

 

Blue Chip Income and Growth Fund
Investment portfolio
 

March 31, 2006
  
unaudited
     
   
Market value
Common stocks — 93.51%
Shares
(000)
     
FINANCIALS — 18.24%
    
Fannie Mae
2,380,000
$122,332
J.P. Morgan Chase & Co.
2,200,000
91,608
American International Group, Inc.
1,300,000
85,917
Bank of America Corp.
1,851,395
84,313
Citigroup Inc.
1,225,000
57,857
Capital One Financial Corp.
700,000
56,364
Freddie Mac
700,000
42,700
Washington Mutual, Inc.
750,000
31,965
HSBC Holdings PLC (ADR)
225,000
18,850
Bank of New York Co., Inc.
440,000
15,858
Jefferson-Pilot Corp.
250,000
14,671
   
622,435
     
INFORMATION TECHNOLOGY — 17.00%
    
Oracle Corp.1
9,200,000
125,948
Hewlett-Packard Co.
3,350,000
110,215
Microsoft Corp.
3,550,000
96,595
International Business Machines Corp.
900,000
74,223
Intel Corp.
2,900,000
56,115
Cisco Systems, Inc.1
2,400,000
52,008
Applied Materials, Inc.
1,800,000
31,518
Linear Technology Corp.
487,700
17,109
Automatic Data Processing, Inc.
250,000
11,420
Analog Devices, Inc.
70,000
2,680
Maxim Integrated Products, Inc.
60,000
2,229
   
580,060
     
CONSUMER DISCRETIONARY — 13.08%
    
Lowe’s Companies, Inc.
1,470,000
94,727
Best Buy Co., Inc.
1,419,000
79,365
Target Corp.
1,270,000
66,053
General Motors Corp.
1,750,000
37,222
TJX Companies, Inc.
1,350,000
33,507
Leggett & Platt, Inc.
1,350,000
32,899
Clear Channel Communications, Inc.
1,125,000
32,636
Carnival Corp., units
575,000
27,238
Mattel, Inc.
1,200,000
21,756
Harley-Davidson Motor Co.
400,000
20,752
   
446,155
     
     
INDUSTRIALS — 13.08%
    
General Electric Co.
3,900,000
$135,642
Tyco International Ltd.
4,375,000
117,600
United Parcel Service, Inc., Class B
710,000
56,360
United Technologies Corp.
760,000
44,057
Norfolk Southern Corp.
592,800
32,053
Emerson Electric Co.
250,000
20,907
Southwest Airlines Co.
1,000,000
17,990
Waste Management, Inc.
500,000
17,650
Pitney Bowes Inc.
90,000
3,864
   
446,123
     
HEALTH CARE — 11.02%
    
Cardinal Health, Inc.
1,200,000
89,424
Aetna Inc.
1,100,000
54,054
AstraZeneca PLC (ADR)
950,000
47,718
Eli Lilly and Co.
775,000
42,857
Merck & Co., Inc.
1,000,000
35,230
Abbott Laboratories
800,000
33,976
Schering-Plough Corp.
1,600,000
30,384
HCA Inc.
600,000
27,474
Pfizer Inc
300,000
7,476
Amgen Inc.1
100,000
7,275
   
375,868
     
TELECOMMUNICATION SERVICES — 6.43%
    
BellSouth Corp.
3,845,000
133,229
AT&T Inc.
2,125,000
57,460
Sprint Nextel Corp.
850,000
21,964
Verizon Communications Inc.
200,000
6,812
   
219,465
     
CONSUMER STAPLES — 5.07%
    
Wal-Mart Stores, Inc.
1,500,000
70,860
Kraft Foods Inc., Class A
1,255,000
38,039
Avon Products, Inc.
730,000
22,754
Walgreen Co.
480,000
20,702
PepsiCo, Inc.
250,000
14,447
Kimberly-Clark Corp.
55,000
3,179
H.J. Heinz Co.
80,000
3,034
   
173,015
     
ENERGY — 4.06%
    
Schlumberger Ltd.
570,000
72,145
Royal Dutch Shell PLC, Class A (ADR)
500,000
31,130
ConocoPhillips
300,000
18,945
Exxon Mobil Corp.
200,000
12,172
EOG Resources, Inc.
60,000
4,320
   
138,712
     
MATERIALS — 2.06%
    
Alcoa Inc.
1,375,000
42,020
E.I. du Pont de Nemours and Co.
350,000
14,774
Air Products and Chemicals, Inc.
200,000
13,438
   
70,232
     
     
UTILITIES — 0.86%
    
FPL Group, Inc.
400,000
 16,056
Duke Energy Corp.
260,000
7,579
Xcel Energy Inc.
250,000
4,538
FirstEnergy Corp.
25,901
1,267
   
29,440
     
MISCELLANEOUS — 2.61%
    
Other common stocks in initial period of acquisition
  
88,967
     
     
Total common stocks (cost: $2,757,563,000)
  
3,190,472
     
     
 
Principal amount
  
Short-term securities — 6.34%
(000)
  
     
Caterpillar Financial Services Corp. 4.48%-4.58% due 4/10-4/28/2006
$34,900
34,812
Federal Home Loan Bank 4.435%-4.62% due 4/5-5/19/2006
27,100
26,983
Variable Funding Capital Corp. 4.64% due 4/27/20062
25,000
24,913
Ranger Funding Co. LLC 4.55% due 4/3/20062
17,800
17,793
Park Avenue Receivables Co. LLC 4.56% due 4/10/20062
16,200
16,179
Triple-A One Funding Corp. 4.59% due 4/6/20062
12,800
12,790
McCormick & Co., Inc. 4.68% due 5/31/20062
12,400
12,303
Atlantic Industries 4.69% due 6/2/20062
11,500
11,407
Hershey Co. 4.46%-4.73% due 4/5-5/4/20062
11,400
11,388
Fannie Mae 4.655% due 6/7/2006
10,500
10,405
IBM Capital Inc. 4.70% due 6/8/20062
10,000
9,911
NetJets Inc. 4.67% due 5/8/20062
9,600
9,554
USAA Capital Corp. 4.57% due 5/15/2006
7,000
6,960
Wal-Mart Stores Inc. 4.74% due 6/6/20062
6,400
6,345
International Lease Finance Corp. 4.69% due 5/4/2006
3,400
3,385
Harley-Davidson Funding Corp. 4.71% due 4/21/20062
1,100
1,097
     
Total short-term securities (cost: $216,220,000)
  
216,225
     
     
Total investment securities (cost: $2,973,783,000)
  
3,406,697
Other assets less liabilities
  
5,003
     
Net assets
  
$3,411,700
 

“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.
 

1 Security did not produce income during the last 12 months.
2 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 $133,680,000, which represented 3.92% of the net assets of the fund.

ADR = American Depositary Receipts

     
Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$ 515,991
Gross unrealized depreciation on investment securities
  
(85,143)
Net unrealized appreciation on investment securities
  
430,848
Cost of investment securities for federal income tax purposes
  
2,975,849 




Growth-Income Fund
Investment portfolio

March 31, 2006
  
unaudited
     
   
Market value
Common stocks — 86.32%
Shares
(000)
     
INFORMATION TECHNOLOGY — 16.87%
    
Oracle Corp.1
35,355,000
$ 484,010
Cisco Systems, Inc.1
20,640,000
447,269
Microsoft Corp.
13,485,000
366,927
International Business Machines Corp.
3,700,000
305,139
Hewlett-Packard Co.
8,900,000
292,810
First Data Corp.
4,350,000
203,667
Flextronics International Ltd.1
16,000,000
165,600
Intel Corp.
8,270,000
160,025
Texas Instruments Inc.
4,250,000
137,998
Nokia Corp. (ADR)
6,200,000
128,464
Yahoo! Inc.1
3,900,000
125,814
Lexmark International, Inc., Class A1
2,400,000
108,912
Corning Inc.1
3,950,000
106,294
Taiwan Semiconductor Manufacturing Co. Ltd.
49,468,519
97,985
ASML Holding NV1
4,750,000
97,013
Dell Inc.1
3,250,000
96,720
Automatic Data Processing, Inc.
1,455,000
66,464
Linear Technology Corp.
1,430,236
50,173
Analog Devices, Inc.
1,200,000
45,948
EMC Corp.1
3,300,000
44,979
Micron Technology, Inc.1
3,000,000
44,160
Applied Materials, Inc.
2,500,000
43,775
Advanced Micro Devices, Inc.1
1,300,000
43,108
Jabil Circuit, Inc.1
1,000,000
42,860
KLA-Tencor Corp.
825,000
39,897
Xilinx, Inc.
1,500,000
38,190
Avnet, Inc.1
1,500,000
38,070
Intuit Inc.1
691,380
36,774
Solectron Corp.1
6,000,000
24,000
Sanmina-SCI Corp.1
5,500,000
22,550
Altera Corp.1
700,000
14,448
   
3,920,043
     
FINANCIALS — 12.61%
    
American International Group, Inc.
6,000,000
396,540
Fannie Mae
7,600,000
390,640
Citigroup Inc.
6,025,000
284,561
Bank of America Corp.
5,633,600
256,554
Bank of New York Co., Inc.
4,875,000
175,695
J.P. Morgan Chase & Co.
4,147,900
172,719
Capital One Financial Corp.
1,900,000
152,988
Freddie Mac
2,065,000
125,965
St. Paul Travelers Companies, Inc.
2,800,000
117,012
Washington Mutual, Inc.
2,440,550
104,016
HSBC Holdings PLC (ADR)
1,086,050
90,989
Golden West Financial Corp.
1,265,800
85,948
XL Capital Ltd., Class A
1,280,000
82,061
U.S. Bancorp
2,200,000
67,100
Manulife Financial Corp.
1,000,000
62,770
Genworth Financial, Inc., Class A
1,800,000
60,174
Wells Fargo & Co.
920,000
58,760
Marsh & McLennan Companies, Inc.
1,970,000
57,839
SunTrust Banks, Inc.
750,000
54,570
Jefferson-Pilot Corp.2
660,000
38,732
Allstate Corp.
635,000
33,090
Lincoln National Corp.
400,000
21,836
UnumProvident Corp.
1,000,000
20,480
State Street Corp.
300,000
18,129
   
2,929,168
     
HEALTH CARE — 11.65%
    
WellPoint, Inc.1
2,750,000
212,933
Eli Lilly and Co.
3,735,000
206,546
Cardinal Health, Inc.
2,595,000
193,379
Abbott Laboratories
4,190,000
177,949
Bristol-Myers Squibb Co.
6,743,400
165,955
AstraZeneca PLC (ADR)
2,710,150
136,131
AstraZeneca PLC (Sweden)
392,000
19,769
Medtronic, Inc.
3,050,000
154,788
Biogen Idec Inc.1
3,216,250
151,485
Merck & Co., Inc.
4,200,000
147,966
CIGNA Corp.
1,000,000
130,620
McKesson Corp.
2,156,500
112,418
AmerisourceBergen Corp.
1,750,000
84,473
Medco Health Solutions, Inc.1
1,400,000
80,108
Pfizer Inc
3,200,000
79,744
Novo Nordisk A/S, Class B
1,266,500
78,835
Schering-Plough Corp.
4,094,800
77,760
Guidant Corp.
965,000
75,328
Aetna Inc.
1,500,000
73,710
Johnson & Johnson
1,200,000
71,064
Smith & Nephew PLC
7,499,700
66,606
Amgen Inc.1
900,000
65,475
Forest Laboratories, Inc.1
1,234,800
55,109
Sanofi-Aventis
550,000
52,332
St. Jude Medical, Inc.1
900,000
36,900
   
2,707,383
     
CONSUMER DISCRETIONARY — 11.07%
    
Lowe’s Companies, Inc.
5,580,000
359,575
Target Corp.
5,750,000
299,058
News Corp. Inc.
10,750,000
178,558
Time Warner Inc.
9,800,000
164,542
Walt Disney Co.
5,600,000
156,184
Magna International Inc., Class A
1,595,100
120,733
Best Buy Co., Inc.
1,903,101
106,440
Harley-Davidson Motor Co.
1,850,000
95,978
Garmin Ltd.
1,000,000
79,430
Home Depot, Inc.
1,850,000
78,255
Carnival Corp., units
1,582,100
74,944
Amazon.com, Inc.1
2,000,000
73,020
Starbucks Corp.1
1,900,000
71,516
Clear Channel Communications, Inc.
2,360,000
68,464
Toyota Motor Corp.
1,200,000
65,545
Ross Stores, Inc.
1,850,000
54,002
Gannett Co., Inc.
900,000
53,928
Gentex Corp.
3,000,000
52,380
General Motors Corp.
2,400,000
51,048
Gap, Inc.
2,604,300
48,648
VF Corp.
800,000
45,520
Limited Brands, Inc.
1,725,000
42,194
E.W. Scripps Co., Class A
900,000
40,239
Mattel, Inc.
2,000,000
36,260
NIKE, Inc., Class B
390,000
33,189
IAC/InterActiveCorp1
1,045,000
30,796
Kohl’s Corp.1
550,000
29,156
Clear Channel Outdoor Holdings, Inc., Class A1
1,149,400
26,953
ServiceMaster Co.
2,020,000
26,502
Interpublic Group of Companies, Inc.1
800,000
7,648
   
2,570,705
     
INDUSTRIALS — 9.90%
    
General Electric Co.
11,300,000
393,014
Tyco International Ltd.
13,945,300
374,850
United Technologies Corp.
4,000,000
231,880
Norfolk Southern Corp.
3,326,500
179,864
United Parcel Service, Inc., Class B
2,021,300
160,451
Avery Dennison Corp.
2,300,000
134,504
Lockheed Martin Corp.
1,700,000
127,721
Illinois Tool Works Inc.
1,290,300
124,269
General Dynamics Corp.
1,800,000
115,164
Allied Waste Industries, Inc.1
8,336,800
102,042
Waste Management, Inc.
2,150,000
75,895
Pitney Bowes Inc.
1,552,200
66,636
Emerson Electric Co.
700,000
58,541
3M Co.
750,000
56,767
Ingersoll-Rand Co. Ltd., Class A
1,290,000
53,909
Southwest Airlines Co.
1,650,000
29,683
Union Pacific Corp.
150,000
14,003
   
2,299,193
     
ENERGY — 8.05%
    
Marathon Oil Corp.
3,335,000
254,027
Royal Dutch Shell PLC, Class B (ADR)
1,790,391
116,644
Royal Dutch Shell PLC, Class A (ADR)
1,750,000
108,955
Royal Dutch Shell PLC, Class B
139,816
4,549
Chevron Corp.
3,663,200
212,356
Petro-Canada
4,420,000
209,733
Schlumberger Ltd.
1,570,000
198,715
Husky Energy Inc.
2,742,800
166,034
Devon Energy Corp.
2,140,000
130,904
Exxon Mobil Corp.
2,050,000
124,763
ConocoPhillips
1,900,000
119,985
Murphy Oil Corp.
2,000,000
99,640
Baker Hughes Inc.
800,000
54,720
Transocean Inc.1
500,000
40,150
Halliburton Co.
390,000
28,478
   
1,869,653
     
CONSUMER STAPLES — 5.31%
    
Avon Products, Inc.
6,800,000
211,956
Altria Group, Inc.
2,625,000
186,007
Coca-Cola Co.
3,740,000
156,594
Wal-Mart Stores, Inc.
2,600,000
122,824
Bunge Ltd.
1,400,000
77,994
L’Oréal SA
820,000
72,258
PepsiCo, Inc.
1,220,000
70,504
Sara Lee Corp.
3,800,000
67,944
Constellation Brands, Inc., Class A1
2,380,000
59,619
Anheuser-Busch Companies, Inc.
1,335,000
57,098
General Mills, Inc.
1,100,000
55,748
Walgreen Co.
1,000,000
43,130
Unilever NV (New York registered)
500,000
34,610
Kimberly-Clark Corp.
280,000
16,184
   
1,232,470
     
TELECOMMUNICATION SERVICES — 3.38%
    
AT&T Inc.
5,250,000
141,960
Qwest Communications International Inc.1
19,136,400
130,128
Sprint Nextel Corp.
4,950,000
127,908
BellSouth Corp.
3,550,000
123,007
Vodafone Group PLC
50,000,000
104,714
Koninklijke KPN NV
5,129,960
57,828
Verizon Communications Inc.
1,500,000
51,090
Telephone and Data Systems, Inc., Special Common Shares
750,000
28,313
Telephone and Data Systems, Inc.
500,000
19,720
   
784,668
     
MATERIALS — 2.94%
    
Alcoa Inc.
4,000,000
122,240
Air Products and Chemicals, Inc.
1,631,000
109,587
Dow Chemical Co.
2,450,000
99,470
International Paper Co.
2,650,000
91,610
E.I. du Pont de Nemours and Co.
1,500,000
63,315
Sealed Air Corp.
710,000
41,088
Weyerhaeuser Co.
525,000
38,026
Rohm and Haas Co.
600,000
29,322
Bowater Inc.
945,000
27,953
Sonoco Products Co.
800,000
27,096
Lyondell Chemical Co.
1,140,000
22,686
MeadWestvaco Corp.
258,200
7,051
Temple-Inland Inc.
100,000
4,455
   
683,899
     
UTILITIES — 0.92%
    
Exelon Corp.
1,185,000
 62,686
Dominion Resources, Inc.
700,000
48,321
Duke Energy Corp.
1,165,000
33,960
FirstEnergy Corp.
650,000
31,785
FPL Group, Inc.
600,000
24,084
American Electric Power Co., Inc.
345,900
11,768
   
212,604
     
MISCELLANEOUS — 3.62%
    
Other common stocks in initial period of acquisition
  
841,850
     
     
Total common stocks (cost: $16,134,971,000)
  
20,051,636
     
     
 
Principal amount
  
Convertible securities — 0.67%
(000)
  
     
INFORMATION TECHNOLOGY — 0.39%
    
Lucent Technologies Inc. 8.00% convertible notes 2031
$ 90,123
91,362
     
MATERIALS — 0.28%
    
Freeport-McMoRan Copper & Gold Inc. 5.50% convertible preferred3
50,000
64,975
     
     
Total convertible securities (cost: $143,948,000)
  
156,337
     
     
Bonds & notes — 0.37%
    
     
CONSUMER DISCRETIONARY — 0.37%
    
General Motors Corp. 6.375% 2008
3,375
2,886
General Motors Nova Scotia Finance Co. 6.85% 2008
10,000
8,475
General Motors Corp. 7.20% 2011
18,335
14,393
General Motors Corp. 7.125% 2013
80,000
60,000
     
Total bonds & notes (cost: $82,990,000)
  
85,754
     
     
Short-term securities — 12.36%
    
     
Federal Home Loan Bank 4.58%-4.717% due 4/21-6/21/2006
294,700
292,585
Variable Funding Capital Corp. 4.58%-4.74% due 4/17-5/19/20063
238,100
237,133
International Lease Finance Corp. 4.50% due 4/24/2006
50,000
49,853
AIG Funding, Inc. 4.52%-4.67% due 4/3-4/28/2006
145,000
144,705
American General Finance Corp. 4.58% due 4/18/2006
25,000
24,943
Park Avenue Receivables Co., LLC 4.54%-4.76% due 4/6-5/9/20063
115,300
114,996
Preferred Receivables Funding Corp. 4.74% due 4/26/20063
50,000
49,829
Procter & Gamble Co. 4.52%-4.69% due 4/7-4/27/20063
151,600
151,324
Edison Asset Securitization LLC 4.52%-4.73% due 4/3-5/17/20063
139,900
139,518
Private Export Funding Corp. 4.51%-4.76% due 5/2-6/20/20063
134,000
133,146
CAFCO, LLC 4.60%-4.78% due 4/25-5/19/20063
96,300
95,858
Ciesco LLC 4.63% due 5/10/20063
25,000
24,876
Wal-Mart Stores Inc. 4.71% due 5/9/20063
119,000
118,393
Clipper Receivables Co., LLC 4.55%-4.76% due 4/4-4/25/20063
114,000
113,765
Ranger Funding Co. LLC 4.52%-4.59% due 4/4-4/11/20063
80,000
79,939
Bank of America Corp. 4.555%-4.75% due 4/13-6/7/2006
30,600
30,398
HSBC Finance Corp. 4.52% due 4/6-4/11/2006
101,500
101,383
DuPont (E.I.) de Nemours & Co. 4.63% due 5/10-5/11/20063
98,200
97,688
NetJets Inc. 4.56%-4.77% due 4/27-6/6/20063
95,500
94,863
3M Co. 4.57%-4.65% due 4/26-5/22/2006
95,000
94,464
Atlantic Industries 4.46%-4.52% due 4/3-4/11/20063
39,700
39,656
Coca-Cola Co. 4.55%-4.61% due 5/4-5/15/2006
54,500
54,243
FCAR Owner Trust I 4.71%-4.75% due 4/20-5/3/2006
90,000
89,695
Three Pillars Funding, LLC 4.73%-4.79% due 4/19-5/30/20063
75,669
75,359
SunTrust Banks Inc. 4.55% due 4/24/2006
11,000
10,999
Wells Fargo Bank, N.A. 4.66% due 5/3/2006
75,000
75,000
Pfizer Investment Capital PLC 4.55% due 4/21/20063
50,000
49,867
Freddie Mac 4.52% due 5/1/2006
50,000
49,805
Kimberly-Clark Worldwide Inc. 4.63% due 4/19/20063
40,000
39,902
Caterpillar Financial Services Corp. 4.58% due 4/28/2006
32,000
31,886
Hershey Co. 4.68%-4.71% due 4/25-5/2/20063
30,500
30,377
Triple-A One Funding Corp. 4.86% due 6/28/20063
30,615
30,253
IBM Capital Inc. 4.70% due 6/8/20063
30,300
30,029
AT&T Inc. 4.72% due 4/26/20063
25,000
24,915
Bank of New York Co., Inc. 4.73% due 4/27/2006
25,000
24,911
Concentrate Manufacturing Co. of Ireland 4.55%-4.60% due 4/3-4/17/20063
11,900
11,876
Fannie Mae 4.725% due 6/9/2006
7,000
6,935
International Bank for Reconstruction and Development 4.42% due 4/5/2006
5,900
5,897
     
Total short-term securities (cost: $2,871,216,000)
  
2,871,264
     
     
Total investment securities (cost: $19,233,125,000)
  
23,164,991
Other assets less liabilities
  
65,767
     
Net assets
  
$23,230,758
 

“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.

1 Security did not produce income during the last 12 months.
2 Valued under fair value procedures adopted by authority of the board of trustees.
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 $1,848,537,000, which represented 7.96% of the net assets of the fund.

ADR = American Depositary Receipts

Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$ 4,375,803
Gross unrealized depreciation on investment securities
  
(457,601)
Net unrealized appreciation on investment securities
  
3,918,202
Cost of investment securities for federal income tax purposes
  
19,246,789 

 

 
Asset Allocation Fund
Investment portfolio
 


March 31, 2006
  
unaudited
     
   
Market value
Common stocks — 70.14%
Shares
(000)
     
FINANCIALS — 11.66%
    
Fannie Mae
1,800,000
$ 92,520
Genworth Financial, Inc., Class A
2,382,500
79,647
State Street Corp.
1,250,000
75,538
Société Générale
465,000
69,946
J.P. Morgan Chase & Co.
1,500,000
62,460
Bank of America Corp.
1,250,000
56,925
Citigroup Inc.
1,200,000
56,676
Freddie Mac
800,000
48,800
Marshall & Ilsley Corp.
1,000,000
43,580
HSBC Holdings PLC (ADR)
500,000
41,890
Mellon Financial Corp.
1,102,600
39,253
Commerce Bancorp, Inc.
1,000,000
36,650
AFLAC Inc.
700,000
31,591
Allstate Corp.
540,000
28,139
   
763,615
     
ENERGY — 11.05%
    
Schlumberger Ltd.
1,229,900
155,668
Suncor Energy Inc.
1,957,430
150,325
Petro-Canada
2,200,000
104,392
Chevron Corp.
1,234,328
71,554
Marathon Oil Corp.
750,000
57,128
Rosetta Resources Inc.1,2,3
2,970,000
53,341
Cameco Corp.
1,200,000
43,184
Arch Coal, Inc.
500,000
37,970
Royal Dutch Shell PLC, Class A (ADR)
600,000
37,356
Murphy Oil Corp.
200,000
9,964
CNX Gas Corp.2,3
125,000
3,250
   
724,132
     
HEALTH CARE — 10.14%
    
Medtronic, Inc.
2,000,000
101,500
Guidant Corp.
1,068,100
83,376
Cardinal Health, Inc.
1,000,000
74,520
Eli Lilly and Co.
1,200,000
66,360
Pfizer Inc
2,000,000
49,840
Bristol-Myers Squibb Co.
2,000,000
49,220
Roche Holding AG
300,000
44,651
AstraZeneca PLC (ADR)
700,000
35,161
AstraZeneca PLC (Sweden)
106,000
5,346
CIGNA Corp.
300,000
39,186
Sanofi-Aventis
360,000
34,254
Abbott Laboratories
750,000
31,852
Johnson & Johnson
500,000
29,610
Martek Biosciences Corp.3
600,000
19,698
   
664,574
     
INFORMATION TECHNOLOGY — 8.65%
    
Microsoft Corp.
4,500,000
122,445
Hewlett-Packard Co.
1,800,000
59,220
Applied Materials, Inc.
2,500,000
43,775
Cisco Systems, Inc.3
2,000,000
43,340
Oracle Corp.3
3,000,000
41,070
Avnet, Inc.3
1,400,000
35,532
Symantec Corp.3
2,000,000
33,660
Advanced Micro Devices, Inc.3
1,000,000
33,160
Yahoo! Inc.3
1,000,000
32,260
International Business Machines Corp.
375,000
30,926
Micron Technology, Inc.3
1,500,000
22,080
Xilinx, Inc.
800,000
20,368
Texas Instruments Inc.
600,000
19,482
CDW Corp.
300,000
17,655
Ceridian Corp.3
457,000
11,631
   
566,604
     
CONSUMER STAPLES — 6.43%
    
Altria Group, Inc.
1,900,000
134,634
Walgreen Co.
1,708,900
73,705
Unilever NV (New York registered)
750,000
51,915
Alberto-Culver Co.
800,000
35,384
PepsiCo, Inc.
600,000
34,674
Anheuser-Busch Companies, Inc.
750,000
32,077
General Mills, Inc.
600,000
30,408
C&C Group PLC
4,178,947
28,366
   
421,163
     
CONSUMER DISCRETIONARY — 6.06%
    
Lowe’s Companies, Inc.
1,500,000
96,660
Target Corp.
1,150,000
59,812
Kohl’s Corp.3
1,000,000
53,010
Jones Apparel Group, Inc.
1,250,000
44,212
Toyota Motor Corp.
800,000
43,697
Best Buy Co., Inc.
705,350
39,450
Carnival Corp., units
760,000
36,001
Magna International Inc., Class A
320,000
24,221
   
397,063
     
INDUSTRIALS — 5.76%
    
Boeing Co.
1,550,000
120,791
General Electric Co.
1,700,000
59,126
Lockheed Martin Corp.
700,000
52,591
Deere & Co.
640,000
50,592
Raytheon Co.
1,040,000
47,674
Mitsubishi Corp.
2,000,000
45,532
DigitalGlobe Inc.2,3,4
1,225,858
1,226
Delta Air Lines, Inc.2,3
48,101
27
   
377,559
     
MATERIALS — 5.34%
    
BHP Billiton Ltd.
4,775,000
$ 95,676
Rio Tinto PLC
1,112,230
56,484
Sealed Air Corp.
800,000
46,296
Aventine Renewable Energy, Inc.1,2,3
2,000,000
43,000
Alcan Inc.
875,000
40,014
Weyerhaeuser Co.
480,000
34,766
Alcoa Inc.
1,100,000
33,616
   
349,852
     
TELECOMMUNICATION SERVICES — 3.06%
    
BellSouth Corp.
2,190,000
75,884
Telephone and Data Systems, Inc.
575,000
22,678
Telephone and Data Systems, Inc., Special Common Shares
575,000
21,706
Verizon Communications Inc.
1,200,000
40,872
Sprint Nextel Corp.
1,500,000
38,760
COLT Telecom Group PLC (ADR)3
38,400
188
   
200,088
     
UTILITIES — 0.65%
    
Reliant Energy, Inc.3
4,000,000
42,320
     
MISCELLANEOUS — 1.34%
    
Other common stocks in initial period of acquisition
  
87,938
     
     
Total common stocks (cost: $3,563,774,000)
  
4,594,908
     
     
Preferred stocks — 0.06%
    
     
FINANCIALS — 0.06%
    
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred2,5
2,250,000
2,394
Fuji JGB Investment LLC, Series A, 9.87% noncumulative preferred2,5
250,000
271
National Bank of Canada, Series A, 8.35% exchangeable preferred depositary shares
60,000
1,584
     
Total preferred stocks (cost: $4,063,000)
  
4,249
     
     
Rights & warrants — 0.00%
    
     
TELECOMMUNICATION SERVICES — 0.00%
    
American Tower Corp., warrants, expire 20082,3
500
213
GT Group Telecom Inc., warrants, expire 20102,3,4
2,250
0
     
Total rights & warrants (cost: $117,000)
  
213
     
     
Bonds & notes — 21.59%    
     
U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 5.82%
    
U.S. Treasury 7.00% 2006
 25,000
  25,152
U.S. Treasury 3.375% 2008
6,500
6,271
U.S. Treasury 3.625% 2009
5,000
4,819
U.S. Treasury 3.875% 2010
164,000
157,773
U.S. Treasury 5.75% 2010
5,000
5,184
U.S. Treasury 4.25% 2013
10,000
9,619
U.S. Treasury 7.25% 2016
2,000
2,365
U.S. Treasury 9.25% 2016
5,000
6,679
U.S. Treasury 8.875% 2017
20,000
26,706
U.S. Treasury 6.50% 2026
500
591
U.S. Treasury 5.25% 2029
70,000
71,882
Freddie Mac 3.625% 2008
38,000
36,734
Federal Home Loan Bank 4.50% 2012
20,000
19,265
Fannie Mae 6.25% 2029
5,000
5,594
Federal Agricultural Mortgage Corp. 4.25% 2008
3,000
2,941
   
381,575
     
MORTGAGE-BACKED OBLIGATIONS6— 5.13%
    
Freddie Mac 6.50% 2016
1,388
1,416
Freddie Mac 5.00% 2018
3,028
2,957
Freddie Mac, Series T-041, Class 3-A, 7.50% 2032
1,270
1,314
Freddie Mac 4.79% 20355
9,282
9,099
Freddie Mac 5.00% 2035
3,819
3,633
Freddie Mac 5.832% 20365
7,511
7,499
Freddie Mac 6.00% 2036
39,672
39,699
Freddie Mac 6.00% 2036
14,016
14,025
Fannie Mae 7.00% 2009
56
56
Fannie Mae 4.89% 2012
10,000
9,707
Fannie Mae 6.00% 2013
848
860
Fannie Mae 4.00% 2015
8,387
7,909
Fannie Mae 6.00% 2016
456
462
Fannie Mae 5.50% 2017
3,398
3,384
Fannie Mae 5.00% 2018
8,478
8,291
Fannie Mae 6.50% 2032
270
276
Fannie Mae 7.00% 2032
740
763
Fannie Mae 5.50% 2033
6,992
6,839
Fannie Mae 6.50% 2033
3,894
3,983
Fannie Mae 5.50% 2036
4,950
4,831
Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041
1,167
1,199
Residential Accredit Loans, Inc., Series 2004-QS6, Class A-1, 5.00% 2019
4,730
4,588
Residential Accredit Loans, Inc., Series 2005-QR1, Class A, 6.00% 2034
10,515
10,400
Residential Accredit Loans, Inc., Series 2006-QA1, Class A-III-1, 6.303% 20365
7,736
7,808
CS First Boston Mortgage Securities Corp., Series 2004-AR1, Class II-A-1, 4.678% 20345
1,693
1,661
CS First Boston Mortgage Securities Corp., Series 2004-5, Class IV-A-1, 6.00% 2034
2,584
2,562
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-3, 6.238% 2034
1,811
1,831
CS First Boston Mortgage Securities Corp., Series 2001-CK1, Class A-3, 6.38% 2035
8,000
8,262
CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A-3, 6.387% 2036
5,000
5,190
CHL Mortgage Pass-Through Trust, Series 2003-27, Class A-1, 3.713% 20335
933
914
CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A-3, 5.154% 20345
5,211
5,161
CHL Mortgage Pass-Through Trust, Series 2005-HYB8, Class 4-A-1, 5.72% 20355
9,174
9,109
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-2, Class 5-A-1, 6.00% 20365
7,937
7,940
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 4-A-1, 6.00% 20365
6,000
6,010
Countrywide Alternative Loan Trust, Series 2005-46CB, Class A-8, 5.50% 2035
13,700
13,550
Government National Mortgage Assn. 8.50% 2021
111
119
Government National Mortgage Assn. 4.00% 20355
5,707
5,578
Government National Mortgage Assn. 4.00% 20355
1,730
1,686
Government National Mortgage Assn. 4.00% 20355
1,590
1,549
Washington Mutual Securities Corp., WMALT Series 2005-1, Class 5-A-1, 6.00% 2035
8,161
8,063
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A-7, 3.842% 20335
1,125
1,098
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A, 4.03% 20335
2,313
2,294
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A, 4.583% 20345
4,108
4,009
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-3, 4.868% 2042
7,000
6,711
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class B, 6.758% 2033
1,000
1,045
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-3, 6.428% 2035
5,000
5,189
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-3, 4.561% 2041
6,000
5,740
Bear Stearns ARM Trust, Series 2004-3, Class II-A, 4.254% 20345
3,245
3,138
Bear Stearns ARM Trust, Series 2003-9, Class III-A-2, 4.981% 20345
2,636
2,590
Commercial Mortgage Trust, Series 2003-LNB1, Class A-2, 4.084% 2038
6,000
5,496
MASTR Alternative Loan Trust, Series 2004-2, Class 2-A-1, 6.00% 2034
5,458
5,412
Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A-2, 4.112% 2017
5,439
5,267
GE Commercial Mortgage Corp., Series 2005-C4, Class A-3A, 5.333% 2045
5,000
4,963
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC12, Class A-3B, 5.334% 20375
5,000
4,951
DLJ Mortgage Acceptance Corp., Series 1998-CF1, Class A-1B, 6.41% 2031
4,578
4,641
Residential Asset Securitization Trust, Series 2005-A8CB, Class A-11, 6.00% 2035
4,573
4,534
Merrill Lynch Mortgage Investors, Inc., Series 2002-MW1, Class A-3, 5.403% 2034
4,000
3,986
SBA CMBS Trust, Series 2005-1, Class B, 5.565% 20352
4,000
3,978
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-4, 5.083% 2042
4,000
3,853
Crown Castle Towers LLC, Series 2005-1, Class D, 5.612% 20352
3,800
3,699
GE Capital Commercial Mortgage Corp., Series 2002-1, Class A-3, 6.269% 2035
3,338
3,478
Tower Ventures, LLC, Series 2006-1, Class A-2, 5.45% 20362
2,000
1,983
Tower Ventures, LLC, Series 2006-1, Class F, 7.036% 20362
1,460
1,450
Residential Asset Mortgage Products Trust, Series 2004-RS3, Class A-I-2, 3.052% 2029
1,040
1,035
Residential Asset Mortgage Products Trust, Series 2003-RS11, Class A-I-7, 4.828% 2033
2,000
1,929
Morgan Stanley Capital I, Inc., Series 1998-HF2, Class A-2, 6.48% 2030
2,572
2,624
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 20262
1,908
2,051
Credit Suisse Mortgage Capital Trust, Series 2006-3, Class 1A-4A, 5.896% 2036
2,000
1,990
Citigroup Commercial Mortgage Trust, Series 2004-C2, Class A-1, 3.787% 2041
1,994
1,944
Banc of America Mortgage Securities Trust, Series 2003-G, Class 2-A-1, 4.088% 20335
1,758
1,732
Chase Commercial Mortgage Securities Corp., Series 2000-1, Class A-2, 7.757% 2032
1,174
1,248
GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class C, 7.786% 2036
1,000
1,071
Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.525% 20272,5
656
665
   
335,977
     
CONSUMER DISCRETIONARY — 2.66%
    
General Motors Acceptance Corp. 6.125% 2006
2,810
2,797
General Motors Acceptance Corp. 5.125% 2008
2,790
2,627
Residential Capital Corp. 6.375% 2010
7,300
7,361
Residential Capital Corp. 6.00% 2011
3,000
2,979
General Motors Corp. 7.20% 2011
4,465
3,505
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013
3,750
3,666
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.375% 20142
2,750
2,757
Comcast Cable Communications, Inc. 6.875% 2009
4,000
4,140
Comcast Corp. 5.85% 2015
2,000
1,964
Neiman Marcus Group, Inc. 9.00% 20152,7
4,150
4,409
Cox Communications, Inc. 7.875% 2009
4,000
4,238
LBI Media, Inc. 10.125% 2012
3,900
4,193
Pulte Homes, Inc. 4.875% 2009
3,000
2,922
Pulte Homes, Inc. 7.875% 2011
1,000
1,081
Fisher Communications, Inc. 8.625% 2014
3,750
3,980
CanWest Media Inc., Series B, 8.00% 2012
3,687
3,798
American Media Operations, Inc., Series B, 10.25% 2009
2,325
2,116
American Media Operations, Inc. 8.875% 2011
1,715
1,475
Toll Brothers, Inc. 4.95% 2014
3,750
3,399
William Lyon Homes, Inc. 10.75% 2013
2,500
2,531
William Lyon Homes, Inc. 7.50% 2014
1,000
868
DaimlerChrysler North America Holding Corp. 7.20% 2009
2,000
2,090
DaimlerChrysler North America Holding Corp. 7.75% 2011
1,000
1,074
Young Broadcasting Inc. 10.00% 2011
3,367
3,123
Wynn Las Vegas, LLC and Wynn Las Vegas Capital Corp. 6.625% 2014
3,100
3,026
Tenneco Automotive Inc. 8.625% 2014
2,990
3,005
Riddell Bell Holdings Inc. 8.375% 2012
2,925
2,962
Sealy Mattress Co. 8.25% 2014
2,750
2,887
MGM MIRAGE 6.00% 2009
1,575
1,559
MGM MIRAGE 6.75% 20132
870
870
MGM MIRAGE 6.625% 2015
425
420
Carmike Cinemas, Inc. 7.50% 2014
3,000
2,767
Liberty Media Corp. 7.875% 2009
1,250
1,322
Liberty Media Corp. 5.70% 2013
1,500
1,402
Dollarama Group LP 8.875% 20122
2,650
2,690
Six Flags, Inc. 9.75% 2013
2,605
2,638
Telenet Communications NV 9.00% 2013
€1,419
1,922
Telenet Group Holding NV 0%/11.50% 20142,8
$ 844
710
Stoneridge, Inc. 11.50% 2012
2,850
2,593
Technical Olympic USA, Inc. 10.375% 2012
2,500
2,537
Warner Music Group 7.375% 2014
2,500
2,487
Cinemark USA, Inc. 9.00% 2013
2,325
2,482
Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 2012
2,295
2,479
Cablevision Systems Corp., Series B, 8.00% 2012
2,500
2,450
Payless ShoeSource, Inc. 8.25% 2013
2,225
2,347
Lighthouse International Co. SA 8.00% 2014
€1,725
2,261
Mediacom LLC and Mediacom Capital Corp. 9.50% 2013
$2,250
2,239
Vidéotron Ltée 6.875% 2014
1,225
1,237
Vidéotron Ltée 6.375% 2015
1,000
984
Linens n’ Things, Inc. 10.366% 20142,5
2,200
2,217
Atlantic Broadband Finance, LLC and Atlantic Broadband Finance, Inc. 9.375% 2014
2,300
2,191
Morris Publishing Group, LLC and Morris Publishing Finance Co., Series B, 7.00% 2013
2,250
2,135
Seneca Gaming Corp. 7.25% 2012
2,100
2,132
Gray Communications Systems, Inc. 9.25% 2011
2,000
2,130
Buffets, Inc. 11.25% 2010
2,000
2,100
Gaylord Entertainment Co. 8.00% 2013
2,000
2,095
Grupo Posadas, SA de CV 8.75% 20112
2,000
2,085
Sun Media Corp. 7.625% 2013
2,000
2,070
Bombardier Recreational Products Inc. 8.375% 2013
1,950
2,067
NTL Cable PLC 8.75% 2014
2,000
2,060
K. Hovnanian Enterprises, Inc. 8.875% 2012
780
819
K. Hovnanian Enterprises, Inc. 7.75% 2013
1,250
1,231
Radio One, Inc., Series B, 8.875% 2011
1,935
2,041
AMC Entertainment Inc. 9.50% 2011
1,080
1,056
AMC Entertainment Inc. 9.875% 2012
500
495
AMC Entertainment Inc. 8.00% 2014
500
449
Emmis Operating Co. 6.875% 2012
2,000
1,940
Ryland Group, Inc. 5.375% 2012
2,000
1,894
Dex Media, Inc., Series B, 8.00% 2013
1,750
1,811
Dillard’s, Inc. 6.30% 2008
1,799
1,803
WDAC Subsidiary Corp. 8.375% 20142
1,675
1,662
Aztar Corp. 7.875% 2014
1,500
1,631
WCI Communities, Inc. 9.125% 2012
1,500
1,534
Cooper-Standard Automotive Inc. 7.00% 2012
1,530
1,400
Mohegan Tribal Gaming Authority 6.375% 2009
1,280
1,280
Iesy Repository GmbH 10.125% 2015
€1,000
1,233
News America Inc. 5.30% 2014
$1,165
1,123
Boyd Gaming Corp. 7.75% 2012
1,000
1,053
Delphi Corp. 6.50% 20139
985
601
PETCO Animal Supplies, Inc. 10.75% 2011
250
269
   
173,976
     
FINANCIALS — 1.52%
    
Washington Mutual, Inc. 5.25% 2017
2,000
1,878
Washington Mutual Preferred Funding I Ltd. 6.534% (undated)2,5
5,500
5,348
HBOS PLC, Series B, 5.92% (undated)2,5
6,500
6,287
Prudential Financial, Inc., Series D, 5.50% 2016
2,000
1,974
Prudential Holdings, LLC, Series C, 8.695% 20232,6
3,000
3,660
International Lease Finance Corp. 4.35% 2008
1,500
1,461
International Lease Finance Corp. 4.50% 2008
2,000
1,968
International Lease Finance Corp. 5.00% 2012
1,500
1,444
Developers Diversified Realty Corp. 3.875% 2009
3,000
2,861
Developers Diversified Realty Corp. 5.50% 2015
2,000
1,929
Sumitomo Mitsui Banking Corp. 5.625% (undated)2,5
4,780
4,645
Household Finance Corp. 7.875% 2007
4,500
4,599
SLM Corp., Series A, 4.00% 2010
2,500
2,360
SLM Corp., Series A, 4.50% 2010
2,000
1,911
iStar Financial, Inc. 6.05% 2015
4,000
3,971
Shinsei Finance II (Cayman) Ltd. 7.16% noncumulative preferred (undated)2,5
3,905
3,884
Lazard Group LLC 7.125% 2015
3,380
3,517
Westfield Capital Corp. Ltd. and WT Finance (Australia) Pty Ltd. and WEA Finance LLC 4.375% 20102
3,500
3,333
HVB Funding Trust I 8.741% 20312
900
1,132
HVB Funding Trust III 9.00% 20312
1,600
2,060
EOP Operating LP 7.75% 2007
1,000
1,034
EOP Operating LP 4.65% 2010
1,000
958
EOP Operating LP 7.25% 2018
1,000
1,085
E*TRADE Financial Corp. 7.875% 2015
2,560
2,714
ACE Capital Trust II 9.70% 2030
2,000
2,671
Fairfax Financial Holdings Ltd. 7.75% 2012
2,800
2,478
Liberty Mutual Group Inc. 6.50% 20352
2,585
2,448
MUFG Capital Finance 1 Ltd. 6.346% noncumulative preferred (undated)5
2,300
2,282
FelCor Lodging LP 9.00% 20115
2,072
2,279
LaBranche & Co Inc. 11.00% 2012
2,000
2,230
Bank of Ireland 6.107% (undated)2,5
2,250
2,174
National Westminster Bank PLC 7.75% (undated)5
2,000
2,065
Plum Creek Timberlands, LP 5.875% 2015
2,000
1,964
Wells Fargo & Co. 3.50% 2008
2,000
1,936
CNA Financial Corp. 7.25% 2023
1,800
1,892
Host Marriott, LP, Series G, 9.25% 2007
1,250
1,316
Host Marriott, LP, Series I, 9.50% 2007
350
361
Assurant, Inc. 5.625% 2014
1,500
1,476
Longview Fibre Co. 10.00% 2009
1,250
1,319
Hospitality Properties Trust 6.75% 2013
1,000
1,042
Federal Realty Investment Trust 6.125% 2007
1,000
1,007
Brandywine Operating Partnership, LP 5.75% 2012
1,000
994
ProLogis 5.625% 20152
1,000
980
Resona Bank, Ltd. 5.85% (undated)2,5
1,000
972
   
99,899
     
INDUSTRIALS — 1.11%
    
Allied Waste North America, Inc. 8.50% 2008
 875
 924
Allied Waste North America, Inc., Series B, 8.875% 2008
1,500
1,582
Allied Waste North America, Inc., Series B, 5.75% 2011
750
718
Allied Waste North America, Inc., Series B, 6.125% 2014
750
716
Allied Waste North America, Inc., Series B, 7.375% 2014
3,890
3,871
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class B, 7.156% 20112,6
5,026
5,198
TFM, SA de CV 10.25% 2007
475
499
TFM, SA de CV 9.375% 2012
2,500
2,762
TFM, SA de CV 12.50% 2012
435
489
THL Buildco, Inc. 8.50% 2014
3,230
3,303
Cendant Corp. 6.875% 2006
1,000
1,005
Cendant Corp. 6.25% 2008
2,000
2,024
Jacuzzi Brands, Inc. 9.625% 2010
2,750
2,963
Goodman Global Holdings, Inc., Series B, 7.875% 2012
2,960
2,938
Raytheon Co. 4.85% 2011
3,000
2,918
DynCorp International and DIV Capital Corp., Series A, 9.50% 2013
2,770
2,895
K&F Industries, Inc. 7.75% 2014
2,550
2,595
DRS Technologies, Inc. 6.875% 2013
1,350
1,357
DRS Technologies, Inc. 6.625% 2016
850
850
DRS Technologies, Inc. 7.625% 2018
275
285
Argo-Tech Corp. 9.25% 2011
2,285
2,422
Continental Airlines, Inc., Series 1997-4, Class A, 6.90% 20196
811
822
Continental Airlines, Inc., Series 2003-ERJ1, Class A, 7.875% 20206
426
414
Continental Airlines, Inc., Series 2000-1, Class B, 8.388% 20226
1,157
1,131
CCMG Acquisition Corp. 10.50% 20162
2,125
2,316
Horizon Lines, LLC and Horizon Lines Holding Corp. 9.00% 2012
2,167
2,302
Williams Scotsman, Inc. 8.50% 2015
2,200
2,258
Ahern Rentals, Inc. 9.25% 2013
2,075
2,174
United Air Lines, Inc., Series 1995-A1, 9.02% 20126,9
1,037
581
United Air Lines, Inc., Series 1996-A2, 7.87% 20196,9
2,500
1,574
Waste Management, Inc. 6.875% 2009
2,000
2,081
General Electric Capital Corp., Series A, 5.00% 2007
2,000
1,995
UCAR Finance Inc. 10.25% 2012
1,850
1,984
John Deere Capital Corp., Series D, 4.125% 2010
2,000
1,913
Accuride Corp. 8.50% 2015
1,740
1,733
Standard Aero Holdings, Inc. 8.25% 2014
1,950
1,726
United Rentals (North America), Inc., Series B, 6.50% 2012
1,750
1,724
American Airlines, Inc., Series 2001-2, Class A-2, 7.858% 20136
1,490
1,587
American Airlines, Inc., Series 2001-1, Class B, 7.377% 20196
106
99
General Dynamics Corp. 4.50% 2010
1,000
969
ACIH, Inc. 0%/11.50% 20122,8
1,060
811
Ashtead Group PLC 8.625% 20152
550
575
   
73,083
     
ASSET-BACKED OBLIGATIONS6— 1.10%
    
Advanta Business Card Master Trust, Series 2005-A2, Class A-1, 4.906% 20135
9,000
8,987
Residential Asset Securities Corp. Trust, Series 2004-KS12, Class A-1-2, 5.048% 20355
8,266
8,281
Origen Manufactured Housing Contract Trust, Series 2001-A, Class A-5, 7.08% 2032
5,000
5,110
Origen Manufactured Housing Contract Trust, Series 2004-B, Class A-4, 5.46% 2035
1,800
1,694
Rental Car Finance Corp., Series 2005-1, Class A-2, XLCA insured, 4.59% 20112
6,860
6,643
Home Equity Asset Trust, Series 2004-7, Class M-1, 5.438% 20355
5,000
5,048
Ameriquest Mortgage Securities Inc., Series 2003-12, Class M-1, 5.568% 20335
5,000
5,038
Providian Master Note Trust, Series 2005-A1A, Class A, 4.809% 20122,5
5,000
5,006
First Investors Auto Owner Trust, Series 2003-A, Class A, MBIA insured, 2.58% 20112
858
838
First Investors Auto Owner Trust, Series 2005-A, Class A-2, MBIA insured, 4.23% 20122
4,000
3,956
GE SeaCo Finance SRL, Series 2004-1, Class A, AMBAC insured, 5.053% 20192,5
4,042
4,042
CPS Auto Receivables Trust, Series 2003-A, Class A-2, XLCA insured, 2.89% 20092
637
636
CPS Auto Receivables Trust, Series 2004-B, Class A-2, XLCA insured, 3.56% 20112
2,297
2,255
CPS Auto Receivables Trust, Series 2006-A, Class 1-A-4, FSA insured, 5.33% 20122
700
700
MBNA Credit Card Master Note Trust, Series 2002-1, Class B, 5.15% 2009
3,000
2,998
PG&E Energy Recovery Funding LLC, Series 2005-1, Class A-2, 3.87% 2011
2,940
2,874
AmeriCredit Automobile Receivables Trust, Series 2003-C-F, Class A-4, FSA insured, 3.48% 2010
2,500
2,475
Vanderbilt Mortgage and Finance, Inc., Series 1999-B, Class I-B-1, 8.395% 2016
1,390
1,401
Impac CMB Grantor Trust, Series 2004-6, Class 1-A-1, 5.218% 20345
1,270
1,282
Consumer Credit Reference Index Securities Program Trust, Series 2002-2A, Class FX, 10.421% 20072
1,000
1,023
MASTR Asset-backed Securities Trust, Series 2006-AB1, Class A-4, 5.719% 2036
750
736
MMCA Auto Owner Trust, Series 2002-2, Class A-4, 4.30% 2010
384
383
California Infrastructure and Economic Development Bank, Special Purpose Trust, SCE-1, Series 1997-1, Class A-6, 6.38% 2008
226
228
NPF XII, Inc., Series 2001-3, Class A, 5.52% 20072,10
5,000
200
Long Beach Mortgage Loan Trust, Series 2004-A, Class M-2, 5.418% 20245
109
110
   
71,944
     
TELECOMMUNICATION SERVICES — 0.98%
    
American Tower Corp. 7.125% 2012
7,840
8,193
American Tower Corp. 7.50% 2012
250
263
Qwest Capital Funding, Inc. 7.75% 2006
1,260
1,274
U S WEST Capital Funding, Inc. 6.375% 2008
720
720
Qwest Capital Funding, Inc. 7.25% 2011
2,550
2,598
U S WEST Capital Funding, Inc. 6.875% 2028
275
265
Qwest Capital Funding, Inc. 7.75% 2031
1,370
1,401
Triton PCS, Inc. 8.50% 2013
4,550
4,345
Koninklijke KPN NV 8.00% 2010
4,000
4,298
Verizon Wireless Capital LLC and Cellco Partnership 5.375% 2006
4,000
4,001
SBC Communications Inc. 4.125% 2009
2,250
2,153
AT&T Corp. 9.05% 20115
686
742
SBC Communications Inc. 5.10% 2014
1,125
1,070
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC 10.125% 2013
1,475
1,619
Centennial Communications Corp. 10.25% 20135
1,000
1,040
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC and Centennial Puerto Rico Operations Corp. 8.125% 20145
1,225
1,256
American Cellular Corp., Series B, 10.00% 2011
2,250
2,452
Dobson Cellular Systems, Inc. 9.875% 2012
1,250
1,372
Telecom Italia Capital SA 5.25% 2015
4,000
3,729
Nextel Communications, Inc., Series E, 6.875% 2013
3,250
3,356
Rural Cellular Corp. 9.75% 2010
1,500
1,530
Rural Cellular Corp. 10.93% 20122,5
1,300
1,355
BellSouth Corp. 4.20% 2009
3,000
2,881
SBA Communications Corp. 8.50% 2012
2,221
2,476
Millicom International Cellular SA 10.00% 2013
2,010
2,236
Intelsat (Bermuda), Ltd. 8.25% 2013
2,030
2,076
Hawaiian Telcom Communications, Inc. 9.75% 20132
1,720
1,780
Hawaiian Telcom Communications, Inc. 9.948% 20132,5
175
179
Valor Telecommunications Enterprises, LLC and Valor Telecommunications Enterprises Finance Corp. 7.75% 2015
1,290
1,358
MetroPCS, Inc. 12.00% 20075
1,125
1,190
France Télécom 7.75% 20115
1,000
1,093
   
64,301
     
     
     
MATERIALS — 0.75%
    
JSG Funding PLC 9.625% 2012
$1,565
$ 1,663
JSG Holdings PLC 11.50% 20157
€2,938
3,623
Covalence Specialty Materials Corp. 10.25% 20162
$3,175
3,349
Graphic Packaging International, Inc. 8.50% 2011
1,250
1,244
Graphic Packaging International, Inc. 9.50% 2013
1,980
1,861
Building Materials Corp. of America, Series B, 8.00% 2007
250
256
Building Materials Corp. of America 8.00% 2008
420
433
Building Materials Corp. of America 7.75% 2014
2,275
2,281
Jefferson Smurfit Corp. (U.S.) 8.25% 2012
1,110
1,095
Stone Container Corp. 8.375% 2012
500
495
Jefferson Smurfit Corp. (U.S.) 7.50% 2013
1,450
1,370
Owens-Illinois, Inc. 7.35% 2008
750
761
Owens-Brockway Glass Container Inc. 7.75% 2011
2,000
2,095
Abitibi-Consolidated Inc. 8.55% 2010
679
686
Abitibi-Consolidated Co. of Canada 6.00% 2013
2,500
2,162
Plastipak Holdings, Inc. 8.50% 20152
2,750
2,819
Earle M. Jorgensen Co. 9.75% 2012
2,100
2,278
Nalco Co. 7.75% 2011
1,190
1,211
Nalco Co. 8.875% 2013
1,000
1,045
Equistar Chemicals, LP 10.125% 2008
2,100
2,242
Boise Cascade, LLC and Boise Cascade Finance Corp. 7.125% 2014
2,255
2,182
Associated Materials Inc. 9.75% 2012
1,020
1,063
AMH Holdings, Inc. 0%/11.25% 20148
1,860
1,079
Oregon Steel Mills, Inc. 10.00% 2009
2,000
2,130
Ainsworth Lumber Co. Ltd. 7.25% 2012
2,100
1,911
Rhodia 10.25% 2010
1,560
1,757
Scotia Pacific Co. LLC, Series B, Class A-2, 7.11% 20286
1,560
1,190
Rockwood Specialties Group, Inc. 7.50% 2014
1,165
1,177
Domtar Inc. 7.875% 2011
1,200
1,143
Huntsman LLC 11.50% 2012
759
877
Georgia-Pacific Corp., Series C, 7.787% 20135
850
869
Neenah Paper, Inc. 7.375% 2014
775
732
   
49,079
     
UTILITIES — 0.71%
    
Edison Mission Energy 10.00% 2008
2,250
2,419
Edison Mission Energy 7.73% 2009
6,750
6,953
Edison Mission Energy 9.875% 2011
1,000
1,135
AES Corp. 9.50% 2009
2,800
3,031
AES Corp. 9.375% 2010
112
123
AES Corp. 8.75% 20132
2,200
2,387
Dynegy Holdings Inc. 10.125% 20132
4,600
5,276
PSEG Energy Holdings Inc. 8.625% 2008
1,775
1,859
PSEG Power LLC 7.75% 2011
2,500
2,719
Dominion Resources, Inc., Series 2000-A, 8.125% 2010
3,089
3,357
Exelon Corp. 4.45% 2010
1,500
1,433
Exelon Generation Co., LLC 6.95% 2011
1,680
1,775
MidAmerican Energy Holdings Co. 6.125% 20362
3,000
2,947
Sierra Pacific Power Co., General and Refunding Mortgage Notes, Series H, 6.25% 2012
1,125
1,139
Nevada Power Co., General and Refunding Mortgage Notes, Series G, 9.00% 2013
1,089
1,205
Sierra Pacific Resources 8.625% 2014
550
600
NRG Energy, Inc. 7.25% 2014
2,250
2,292
Tri-State Generation and Transmission Assn. Inc., Pass Through Trust, Series 2003-A, 6.04% 20182,6
1,500
1,481
Scottish Power PLC 5.375% 2015
1,500
1,456
Pacific Gas and Electric Co., First Mortgage Bonds, 3.60% 2009
1,500
1,428
Electricidad de Caracas Finance BV 10.25% 20142
1,280
1,395
   
46,410
     
     
ENERGY — 0.53%
    
Newfield Exploration Co. 8.375% 2012
1,175
 1,263
Newfield Exploration Co. 6.625% 2014
1,225
1,234
Newfield Exploration Co. 6.625% 2016
3,925
3,940
Ras Laffan Liquefied Natural Gas III 5.838% 20272,6
5,000
4,781
Northwest Pipeline Corp. 8.125% 2010
1,850
1,961
Williams Companies, Inc. 8.75% 2032
1,660
1,951
Ultrapetrol (Bahamas) Ltd., First Preferred Ship Mortgage Notes, 9.00% 2014
3,425
3,262
Enterprise Products Operating LP 6.875% 2033
2,600
2,664
Targa Resources, Inc. and Targa Resources Finance Corp. 8.50% 20132
2,060
2,153
Petrozuata Finance, Inc., Series B, 8.22% 20172,6
1,680
1,663
Petrozuata Finance, Inc., Series B, 8.22% 20176
350
347
Encore Acquisition Co. 6.00% 2015
2,000
1,875
Drummond Co., Inc. 7.375% 20162
1,825
1,830
Pogo Producing Co. 6.875% 2017
1,750
1,737
Premcor Refining Group Inc. 7.50% 2015
1,500
1,585
American Commercial Lines LLC and ACL Finance Corp. 9.50% 2015
1,346
1,487
El Paso Corp. 6.375% 20092
150
149
El Paso Energy Corp. 7.75% 20102
700
725
El Paso Energy Corp. 7.375% 2012
150
153
   
34,760
     
INFORMATION TECHNOLOGY — 0.45%
    
Electronic Data Systems Corp., Series B, 6.50% 20135
5,105
5,199
Electronic Data Systems Corp. 7.45% 2029
1,885
2,006
Sanmina-SCI Corp. 6.75% 2013
1,500
1,436
Sanmina-SCI Corp. 8.125% 2016
4,000
4,060
Celestica Inc. 7.875% 2011
3,655
3,747
Celestica Inc. 7.625% 2013
1,145
1,154
SunGard Data Systems Inc. 9.125% 20132
3,140
3,336
Iron Mountain Inc. 7.75% 2015
1,590
1,610
Iron Mountain Inc. 6.625% 2016
980
926
Cisco Systems, Inc. 5.25% 2011
2,375
2,357
MagnaChip Semiconductor SA and MagnaChip Semiconductor Finance Co. 6.875% 2011
2,185
2,109
Solectron Global Finance Ltd 8.00% 20162
1,250
1,259
   
29,199
     
CONSUMER STAPLES — 0.44%
    
Petro Stopping Centers, LP and Petro Financial Corp. 9.00% 2012
4,670
4,717
Rite Aid Corp. 6.125% 20082
2,125
2,077
Rite Aid Corp. 6.875% 2013
2,500
2,200
Stater Bros. Holdings Inc. 8.125% 2012
3,200
3,212
Vitamin Shoppe Industries, Inc. 12.249% 20122,5
3,130
3,202
Rayovac Corp. 8.50% 2013
1,500
1,395
Spectrum Brands, Inc. 7.375% 2015
1,820
1,593
Pathmark Stores, Inc. 8.75% 2012
2,975
2,886
Gold Kist Inc. 10.25% 2014
1,804
1,957
Playtex Products, Inc. 8.00% 2011
1,500
1,594
Playtex Products, Inc. 9.375% 2011
250
262
WH Holdings (Cayman Islands) Ltd. and WH Capital Corp. 9.50% 2011
1,500
1,627
Elizabeth Arden, Inc. 7.75% 2014
1,455
1,499
Dole Food Co., Inc. 7.25% 2010
450
426
   
28,647
     
     
HEALTH CARE — 0.39%
    
Tenet Healthcare Corp. 6.375% 2011
$ 4,850
$ 4,401
Tenet Healthcare Corp. 7.375% 2013
2,440
2,239
Tenet Healthcare Corp. 9.25% 20152
1,550
1,558
Cardinal Health, Inc. 5.85% 2017
3,000
2,969
Concentra Operating Corp. 9.50% 2010
2,750
2,901
Warner Chilcott Corp. 8.75% 20152
2,840
2,833
Accellent Inc. 10.50% 2013
2,540
2,724
AMR HoldCo, Inc. and EmCare HoldCo, Inc. 10.00% 2015
2,040
2,188
Team Finance LLC and Health Finance Corp. 11.25% 20132
2,000
2,060
Select Medical Corp. 7.625% 2015
1,650
1,497
   
25,370
     
     
Total bonds & notes (cost: $1,430,462,000)
  
1,414,220
     
     
Short-term securities — 7.96%
    
     
Federal Home Loan Bank 4.62%-4.69% due 5/19-5/24/2006
69,400
68,948
Coca-Cola Co. 4.55%-4.61% due 5/4-5/5/2006
30,100
29,971
Coca-Cola Co. 4.59% due 5/15/200611
20,000
19,884
Atlantic Industries 4.52% due 4/11/20062
17,300
17,276
Freddie Mac 4.52% due 5/9/2006
35,900
35,712
Freddie Mac 4.60% due 5/30/200611
19,300
19,148
NetJets Inc. 4.77% due 6/6-6/7/20062
50,300
49,864
Three Pillars Funding, LLC 4.68%-4.85% due 4/3-4/17/20062
48,082
48,044
Park Avenue Receivables Co., LLC 4.74% due 4/24/20062
39,800
39,674
DuPont (E.I.) de Nemours & Co. 4.63% due 5/11/20062
30,000
29,842
CAFCO, LLC 4.74% due 5/17/20062
28,400
28,224
U.S. Treasury Bills 4.33%-4.41% due 4/27/2006
26,500
26,417
Variable Funding Capital Corp. 4.67% due 5/12/20062
26,200
26,062
Bank of New York Co., Inc. 4.73% due 4/27/2006
25,000
24,911
Hershey Co. 4.71% due 5/2/20062
23,000
22,904
Wal-Mart Stores Inc. 4.69% due 5/2/20062
20,000
19,917
International Lease Finance Corp. 4.65% due 4/24/2006
12,800
12,760
International Bank for Reconstruction and Development 4.65% due 4/17/2006
1,600
1,596
     
Total short-term securities (cost: $521,143,000)
  
521,154
     
     
Total investment securities (cost: $5,519,559,000)
  
6,534,744
Other assets less liabilities
  
16,544
     
Net assets
  
$6,551,288
     

“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.


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. Further details on these holdings and related transactions during the three months ended March 31, 2006, appear below.
 

           
Market
           
value
           
of
       
Ending
Dividend
affiliates
       
shares
income
at
Company
Beginning shares
Purchases
Sales
(000)
(000)
3/31/06
Rosetta Resources
2,970,000
—
—
2,970,000
$ —
$53,341
Aventine Renewable Energy
2,000,000
—
—
2,000,000
—
43,000
         
$ —
$96,341
 

1The fund owns 5% or more of the outstanding voting shares of this company. See table above for additional information.
2Purchased 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 $538,471,000, which represented 8.22% of the net assets of the fund.
3Security did not produce income during the last 12 months.
4Valued under fair value procedures adopted by authority of the board of trustees.
5Coupon rate may change periodically.
6Pass-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.
7Payment in kind; the issuer has the option of paying additional securities in lieu of cash.
8Step bond; coupon rate will increase at a later date.
9Scheduled interest payments not made; reorganization pending.
10Company not making scheduled interest payments; bankruptcy proceedings pending.
11This security, or a portion of this security, has been segregated to cover funding requirements on investment transactions settling in the future.

ADR = American Depositary Receipts
 

Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$1,111,841
Gross unrealized depreciation on investment securities
  
(99,868)
Net unrealized appreciation on investment securities
  
1,011,973
Cost of investment securities for federal income tax purposes
  
5,522,771


Bond Fund
Investment portfolio
 

March 31, 2006
  
unaudited
     
 
Principal amount
Market value
Bonds & notes — 74.46%
(000)
(000)
     
CONSUMER DISCRETIONARY — 12.52%
    
Residential Capital Corp. 6.07% 20081
$ 2,700
$ 2,734
General Motors Nova Scotia Finance Co. 6.85% 2008
3,500
2,966
General Motors Acceptance Corp. 5.85% 2009
4,500
4,211
Residential Capital Corp. 6.375% 2010
3,500
3,529
General Motors Acceptance Corp. 7.75% 2010
530
517
Residential Capital Corp. 6.00% 2011
6,000
5,958
General Motors Corp. 7.20% 2011
2,290
1,798
General Motors Acceptance Corp. 7.25% 2011
12,530
11,886
General Motors Acceptance Corp. 6.875% 2012
1,000
924
General Motors Acceptance Corp. 7.00% 2012
3,700
3,449
General Motors Corp. 7.125% 2013
3,500
2,625
General Motors Corp. 7.25% 2013
€1,000
928
General Motors Acceptance Corp. 7.02% 20141
$5,000
4,562
General Motors Corp. 7.70% 2016
3,000
2,197
General Motors Corp. 8.375% 2033
1,000
737
Ford Motor Credit Co. 4.875% 2007
€1,350
1,613
Ford Motor Credit Co. 7.375% 2009
$14,625
13,760
Ford Motor Credit Co. 6.17% 20101
3,670
3,324
Ford Motor Credit Co. 7.875% 2010
9,375
8,796
DaimlerChrysler North America Holding Corp. 5.33% 20091
5,000
5,005
DaimlerChrysler North America Holding Corp. 7.20% 2009
3,000
3,135
DaimlerChrysler North America Holding Corp. 4.875% 2010
2,500
2,412
DaimlerChrysler North America Holding Corp. 8.00% 2010
6,325
6,810
DaimlerChrysler North America Holding Corp. 7.75% 2011
3,250
3,489
Clear Channel Communications, Inc. 4.625% 2008
875
859
Clear Channel Communications, Inc. 6.625% 2008
750
761
Chancellor Media Corp. of Los Angeles 8.00% 2008
4,250
4,464
Clear Channel Communications, Inc. 5.75% 2013
1,575
1,501
Clear Channel Communications, Inc. 5.50% 2014
5,425
5,021
MGM MIRAGE 6.00% 2009
4,750
4,702
MGM MIRAGE 6.75% 2012
4,000
4,015
MGM MIRAGE 6.75% 20132
1,250
1,250
MGM MIRAGE 5.875% 2014
1,700
1,611
Comcast Cable Communications, Inc. 8.375% 2007
750
773
Tele-Communications, Inc. 9.80% 2012
2,000
2,359
Comcast Corp. 5.85% 2015
5,825
5,721
Comcast Corp. 6.50% 2015
1,750
1,796
J.C. Penney Co., Inc. 8.00% 2010
5,585
6,041
J.C. Penney Co., Inc. 9.00% 2012
2,485
2,859
J.C. Penney Co., Inc. 7.65% 2016
1,000
1,106
Harrah’s Operating Co., Inc. 5.50% 2010
4,500
4,459
Harrah’s Operating Co., Inc. 8.00% 2011
1,000
1,086
Harrah’s Operating Co., Inc. 5.625% 2015
4,250
4,079
Cox Communications, Inc. 5.45% 20071
1,750
1,762
Cox Communications, Inc. 7.875% 2009
1,500
1,589
Cox Communications, Inc. 4.625% 2010
1,750
1,679
Cox Communications, Inc. 5.45% 2014
3,500
3,324
News America Inc. 4.75% 2010
2,000
1,948
News America Holding Inc. 8.25% 2018
2,000
2,325
News America Inc. 6.40% 20352
3,000
2,878
News America Inc. 6.75% 2038
1,000
1,025
Liberty Media Corp. 7.75% 2009
1,750
1,846
Liberty Media Corp. 7.875% 2009
2,200
2,326
Liberty Media Corp. 5.70% 2013
3,000
2,805
Liberty Media Corp. 8.25% 2030
575
559
Royal Caribbean Cruises Ltd. 7.00% 2007
1,175
1,203
Royal Caribbean Cruises Ltd. 8.00% 2010
1,875
2,014
Royal Caribbean Cruises Ltd. 8.75% 2011
3,675
4,074
Charter Communications Holdings, LLC and Charter Communications Holdings Capital Corp. 0%/11.75% 20113
1,225
631
Charter Communications Holdings, LLC and Charter Communications Holdings Capital Corp. 0%/13.50% 20113
425
249
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.00% 20122
4,000
4,000
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013
2,425
2,370
Mohegan Tribal Gaming Authority 6.375% 2009
5,250
5,250
Mohegan Tribal Gaming Authority 7.125% 2014
1,750
1,772
Delphi Automotive Systems Corp. 6.55% 20064
500
310
Delphi Automotive Systems Corp. 6.50% 20094
7,500
4,631
Delphi Corp. 6.50% 20134
480
293
Delphi Automotive Systems Corp. 7.125% 20294
1,750
1,085
AOL Time Warner Inc. 6.125% 2006
2,250
2,250
AOL Time Warner Inc. 6.875% 2012
1,250
1,312
AOL Time Warner Inc. 7.625% 2031
2,250
2,458
Wynn Las Vegas, LLC and Wynn Las Vegas Capital Corp. 6.625% 2014
5,700
5,565
Radio One, Inc., Series B, 8.875% 2011
4,600
4,853
Radio One, Inc. 6.375% 2013
650
621
D.R. Horton, Inc. 8.00% 2009
2,700
2,860
D.R. Horton, Inc. 7.875% 2011
1,400
1,505
Schuler Homes, Inc. 10.50% 2011
250
267
D.R. Horton, Inc. 6.875% 2013
600
614
Vidéotron Ltée 6.875% 2014
4,125
4,166
Vidéotron Ltée 6.375% 2015
1,000
984
Starwood Hotels & Resorts Worldwide, Inc. 7.375% 2007
2,730
2,791
Starwood Hotels & Resorts Worldwide, Inc. 7.875% 2012
1,575
1,721
NTL Cable PLC 8.75% 2014
1,825
1,880
NTL Cable PLC 8.75% 2014
€1,000
1,288
NTL Cable PLC 9.75% 2014
£700
1,280
K. Hovnanian Enterprises, Inc. 10.50% 2007
$1,000
1,070
K. Hovnanian Enterprises, Inc. 6.00% 2010
3,225
3,106
K. Hovnanian Enterprises, Inc. 7.50% 2016
225
223
Hilton Hotels Corp. 7.625% 2008
695
724
Hilton Hotels Corp. 7.20% 2009
825
861
Hilton Hotels Corp. 8.25% 2011
2,522
2,742
Cinemark USA, Inc. 9.00% 2013
4,000
4,270
MDC Holdings, Inc. 5.50% 2013
3,885
3,624
MDC Holdings, Inc. 5.375% 2015
665
600
Visteon Corp. 8.25% 2010
3,200
2,656
Visteon Corp. 7.00% 2014
2,000
1,550
Grupo Posadas, SA de CV 8.75% 20112
4,000
4,170
Dex Media, Inc., Series B, 0%/9.00% 20133
1,400
1,190
Dex Media, Inc., Series B, 0%/9.00% 20133
1,250
1,062
R.H. Donnelley Corp., Series A-1, 6.875% 20132
425
400
Dex Media, Inc., Series B, 8.00% 2013
1,250
1,294
R.H. Donnelley Corp., Series A-3, 8.875% 20162
200
209
Marriott International, Inc., Series F, 4.625% 2012
3,350
3,146
Toll Brothers, Inc. 4.95% 2014
580
526
Toll Brothers, Inc. 5.15% 2015
2,600
2,357
Kabel Deutschland GmbH 10.625% 20142
2,625
2,815
CSC Holdings, Inc., Series B, 8.125% 2009
750
779
CSC Holdings, Inc., Series B, 7.625% 2011
1,000
1,010
Cablevision Systems Corp., Series B, 8.00% 2012
1,000
980
American Media Operations, Inc. 8.875% 2011
3,030
2,606
Young Broadcasting Inc. 10.00% 2011
2,716
2,519
American Honda Finance Corp. 5.125% 20102
2,500
2,466
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc. 8.375% 2013
2,275
2,440
Telenet Communications NV 9.00% 2013
€747
1,012
Telenet Group Holding NV 0%/11.50% 20142,3
$1,635
1,375
Pulte Homes, Inc. 8.125% 2011
1,395
1,508
Pulte Homes, Inc. 7.875% 2032
750
807
Ryland Group, Inc. 5.375% 2012
2,400
2,273
Dillard’s, Inc. 6.30% 2008
700
702
Dillard Department Stores, Inc. 9.125% 2011
1,400
1,519
Staples, Inc. 7.375% 2012
2,000
2,185
Centex Corp. 4.75% 2008
1,500
1,480
Centex Corp. 5.25% 2015
650
605
Neiman Marcus Group, Inc. 9.00% 20152,5
1,900
2,019
Tenneco Automotive Inc. 8.625% 2014
2,000
2,010
Reader’s Digest Assn., Inc. 6.50% 2011
2,000
2,005
Seminole Tribe of Florida 5.798% 20132
2,000
1,957
Standard Pacific Corp. 5.125% 2009
2,000
1,905
KB Home 6.25% 2015
2,000
1,878
Hyatt Equities, LLC 6.875% 20072
1,500
1,521
Adelphia Communications Corp. 10.25% 20064
1,000
585
Adelphia Communications Corp. 10.25% 20114
1,450
921
TRW Automotive Acquisition Corp. 9.375% 2013
1,375
1,494
CanWest Media Inc., Series B, 8.00% 2012
1,358
1,398
Quebecor Media Inc. 7.75% 20162
1,325
1,368
Thomson Corp. 5.50% 2035
1,500
1,359
LBI Media, Inc. 10.125% 2012
1,250
1,344
Blockbuster Inc. 10.00% 20122
1,500
1,320
William Lyon Homes, Inc. 7.625% 2012
1,500
1,312
Carnival Corp. 3.75% 2007
500
488
Carnival Corp. 6.15% 2008
750
760
Viacom Inc. 5.625% 2007
1,200
1,200
YUM! Brands, Inc. 7.70% 2012
1,000
1,090
Regal Cinemas Corp., Series B, 9.375% 20126
1,000
1,068
Six Flags, Inc. 8.875% 2010
1,000
1,001
Gray Communications Systems, Inc. 9.25% 2011
875
932
Boyd Gaming Corp. 7.75% 2012
750
789
Toys “R” Us, Inc. 7.875% 2013
875
712
AMC Entertainment Inc. 8.00% 2014
675
606
British Sky Broadcasting Group PLC 8.20% 2009
375
403
RBS-Zero Editora Jornalística SA 11.00% 20102
189
198
   
338,695
     
FINANCIALS — 11.09%
    
International Lease Finance Corp. 3.75% 2007
$ 665
$ 651
AIG SunAmerica Global Financing XII 5.30% 20072
4,000
3,996
AIG SunAmerica Global Financing VII 5.85% 20082
1,000
1,011
International Lease Finance Corp., Series O, 4.55% 2009
7,000
6,800
American International Group, Inc. 5.05% 20152
2,000
1,911
ILFC E-Capital Trust I 5.90% 20651,2
5,000
4,857
ILFC E-Capital Trust II 6.25% 20651,2
4,875
4,680
Washington Mutual, Inc. 4.375% 2008
750
738
Washington Mutual, Inc. 5.235% 20121
6,850
6,843
Providian Financial Corp., Series A, 9.525% 20272
750
804
Washington Mutual Preferred Funding I Ltd. 6.534% (undated)1,2
7,300
7,099
J.P. Morgan Chase & Co. 5.75% 2013
750
756
J.P. Morgan Chase & Co. 4.75% 2015
3,000
2,828
J.P. Morgan Chase & Co. 4.891% 2015
5,300
5,153
Chase Capital II, Global Floating Rate Capital Securities, Series B, 5.18% 20271
5,000
4,771
CIT Group Inc. 3.65% 2007
3,585
3,494
CIT Group Inc. 5.75% 2007
1,500
1,510
CIT Group Inc. 6.875% 2009
2,500
2,611
CIT Group Inc. 7.75% 2012
750
828
CIT Group Inc. 5.40% 2013
4,000
3,930
HBOS PLC 5.375% (undated)1,2
2,750
2,660
HBOS PLC, Series B, 5.92% (undated)1,2
9,200
8,898
Bank of Scotland 7.00% (undated)1,2
480
490
Mizuho Capital Investment (USD) 1 Ltd. and Mizuho Capital Investment (EUR) 1 Ltd. 6.686% noncumulative preferred (undated)1,2
11,976
11,808
MUFG Capital Finance 1 Ltd. 6.346% noncumulative preferred (undated)1
9,330
9,259
Abbey National PLC 6.70% (undated)1
5,600
5,723
Abbey National PLC 7.35% (undated)1
3,000
3,038
Sumitomo Mitsui Banking Corp. 5.625% (undated)1,2
9,005
8,751
Shinsei Bank, Ltd. 3.75% 20161
€675
802
Shinsei Finance II (Cayman) Ltd. 7.16% noncumulative preferred (undated)1,2
$7,750
7,709
Household Finance Corp. 4.125% 2009
2,000
1,917
HSBC Finance Corp. 4.625% 2010
1,500
1,448
Household Finance Corp. 6.375% 2011
1,000
1,039
HSBC Finance Capital Trust IX 5.911% 20351
4,000
3,932
Resona Bank, Ltd. 4.125% (undated)1
€ 970
1,146
Resona Bank, Ltd. 5.85% (undated)1,2
$6,465
6,285
Lazard Group LLC 7.125% 2015
6,840
7,118
iStar Financial, Inc. 7.00% 2008
950
975
iStar Financial, Inc. 8.75% 2008
309
331
iStar Financial, Inc. 5.375% 2010
3,500
3,447
iStar Financial, Inc. 6.00% 2010
750
756
iStar Financial, Inc., Series B, 5.125% 2011
1,000
966
Citigroup Inc. 4.25% 2009
3,000
2,908
Citigroup Inc. 4.125% 2010
3,000
2,873
Host Marriott, LP, Series M, 7.00% 2012
2,725
2,797
Host Marriott, LP, Series K, 7.125% 2013
1,500
1,534
Host Marriott, LP, Series O, 6.375% 2015
1,175
1,162
Bayerische Landesbank Girozentrale, Series 103, 1.40% 2013
¥640,000
5,338
Rouse Co. 3.625% 2009
$1,140
1,060
Rouse Co. 7.20% 2012
3,860
4,008
Nationwide Life Insurance Co. 5.35% 20072
1,000
1,000
North Front Pass Through Trust 5.81% 20241,2
3,125
3,042
Nationwide Mutual Insurance Co. 7.875% 20332
750
862
Berkshire Hathaway Finance Corp. 4.125% 2010
5,000
4,786
HVB Funding Trust I 8.741% 20312
1,245
1,565
HVB Funding Trust III 9.00% 20312
2,500
3,218
ProLogis Trust 7.05% 2006
250
251
ProLogis 5.50% 2012
2,500
2,474
ProLogis Trust 5.50% 2013
2,000
1,971
World Savings Bank, FSB, Bank Notes, Series 2008-FXR, 4.125% 2008
4,750
4,641
New York Life Global Funding 3.875% 20092
2,250
2,168
New York Life Global Funding 4.625% 20102
2,500
2,426
Downey Financial Corp. 6.50% 2014
4,500
4,494
Bank of America Corp. 4.375% 2010
3,000
2,878
MBNA Corp., Series F, 6.125% 2013
1,500
1,552
Development Bank of Singapore Ltd. 7.875% 20092
4,000
4,292
Met Life Global Funding I 2.60% 20082
4,450
4,190
PRICOA Global Funding I 4.20% 20102
2,750
2,631
Prudential Holdings, LLC, Series C, 8.695% 20232,7
1,250
1,525
Capital One Financial Corp. 4.738% 2007
3,000
2,978
Capital One Financial Corp. 8.75% 2007
800
822
Capital One Capital I 6.23% 20271,2
250
252
Simon Property Group, LP 4.875% 2010
1,000
976
Simon Property Group, Inc. 5.375% 20112
2,500
2,466
USA Education, Inc. 5.625% 2007
3,250
3,260
SocGen Real Estate Co. LLC, Series A, 7.64% (undated)1,2
3,000
3,086
ERP Operating LP 4.75% 2009
1,000
980
ERP Operating LP 6.625% 2012
2,000
2,106
E*TRADE Financial Corp. 7.375% 2013
1,900
1,947
E*TRADE Financial Corp. 7.875% 2015
1,050
1,113
U.S. Bancorp 4.40% 2008
3,000
2,947
Kimco Realty Corp. 6.00% 2012
500
509
Kimco Realty Corp., Series C, 4.82% 2014
2,500
2,344
Kazkommerts International BV 7.00% 20092
500
509
Kazkommerts International BV 7.875% 20142
800
827
Kazkommerts International BV 8.00% 20152
1,250
1,295
CNA Financial Corp. 6.75% 2006
230
232
CNA Financial Corp. 6.60% 2008
1,736
1,782
CNA Financial Corp. 5.85% 2014
625
609
Twin Reefs Asset Trust (XLFA), Series B, 5.698% (undated)1,2
2,500
2,502
United Dominion Realty Trust, Inc., Series E, 4.50% 2008
500
489
United Dominion Realty Trust, Inc. 6.50% 2009
1,000
1,035
United Dominion Realty Trust, Inc. 5.00% 2012
1,000
955
Wachovia Capital Trust III 5.80% (undated)
2,450
2,410
Countrywide Home Loans, Inc., Series M, 4.125% 2009
2,500
2,391
EOP Operating LP 8.10% 2010
500
543
EOP Operating LP 6.75% 2012
750
783
EOP Operating LP 4.75% 2014
1,000
922
Protective Life Insurance Co., Series 2005-C, 4.85% 2010
2,250
2,210
BNP Paribas 5.186% noncumulative (undated)1,2
2,200
2,067
Allstate Financial Global Funding LLC 5.25% 20072
750
749
Allstate Financial Global Funding LLC 4.25% 20082
1,250
1,221
Plum Creek Timberlands, LP 5.875% 2015
2,000
1,964
Developers Diversified Realty Corp. 3.875% 2009
1,000
954
Developers Diversified Realty Corp. 4.625% 2010
1,000
960
John Hancock Global Funding II, Series 2004-A, 3.50% 20092
2,000
1,907
Liberty Mutual Group Inc. 6.50% 20352
2,000
1,894
Zions Bancorporation 5.50% 2015
740
723
Zions Bancorporation 6.00% 2015
1,000
1,014
Hospitality Properties Trust 6.75% 2013
1,500
1,563
City National Corp. 5.125% 2013
1,500
1,465
Banco Santander-Chile 5.375% 20142
1,500
1,450
Barclays Bank PLC 8.55% (undated)1,2
1,250
1,408
First Industrial, LP 6.875% 2012
1,250
1,306
ReliaStar Financial Corp. 8.00% 2006
250
254
ING Security Life Institutional Funding 2.70% 20072
1,000
975
Chevy Chase Bank, FSB 6.875% 2013
1,000
1,030
Hartford Financial Services Group, Inc. 2.375% 2006
1,000
996
Assurant, Inc. 5.625% 2014
1,000
984
Chohung Bank 4.50% 20141
1,030
981
Monumental Global Funding Trust II, Series 2002-A, 5.20% 20072
750
750
Bank of Ireland 6.107% (undated)1,2
600
580
BCI U.S. Funding Trust I 8.01% noncumulative preferred (undated)1,2
500
524
Advanta Capital Trust I, Series B, 8.99% 2026
500
511
TuranAlem Finance BV 8.50% 20152
375
393
Comerica, Inc., Imperial Capital Trust I, Imperial Bancorp, Series B, 9.98% 2026
350
385
BankUnited Capital Trust, BankUnited Financial Corp. 10.25% 2026
250
271
National Westminster Bank PLC 7.75% (undated)1
250
258
   
300,232
     
MORTGAGE-BACKED OBLIGATIONS7— 9.05%
    
Fannie Mae, Series 2000-T5B, 7.30% 2010
6,500
6,988
Fannie Mae, Series 2001-T11, Class B, 5.503% 2011
5,000
5,054
Fannie Mae, Series 2001-T6B, 6.088% 2011
6,750
6,982
Fannie Mae 6.00% 2013
103
104
Fannie Mae 6.00% 2016
131
133
Fannie Mae 6.00% 2016
89
90
Fannie Mae 6.00% 2017
637
645
Fannie Mae 10.00% 2018
16
18
Fannie Mae, Series 2001-4, Class GA, 10.254% 20251
198
218
Fannie Mae 7.00% 2026
76
79
Fannie Mae, Series 2002-W3, Class A-5, 7.50% 2028
244
253
Fannie Mae 6.50% 2031
21
22
Fannie Mae 7.50% 2031
39
41
Fannie Mae, Series 2001-20, Class C, 12.033% 20311
126
141
Fannie Mae 6.00% 2034
6,641
6,648
Fannie Mae 6.00% 2034
4,357
4,361
Fannie Mae 6.00% 2034
3,933
3,934
Fannie Mae 6.00% 2034
1,116
1,116
Fannie Mae 5.00% 2035
3,333
3,173
Fannie Mae 5.50% 2035
1,728
1,688
Fannie Mae 6.00% 2035
2,063
2,064
Fannie Mae 5.50% 2036
23,825
23,252
Fannie Mae 5.50% 2036
550
537
Fannie Mae 6.00% 2036
505
505
Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041
175
180
Fannie Mae, Series 2001-50, Class BA, 7.00% 2041
160
165
Fannie Mae, Series 2002-W1, Class 2A, 7.50% 2042
248
257
Freddie Mac 4.00% 2015
2,510
2,353
Freddie Mac 5.00% 2035
6,193
5,891
Freddie Mac 5.00% 2035
6,187
5,885
Freddie Mac 5.50% 2035
3,095
3,022
Freddie Mac 5.50% 2035
3,077
3,005
Freddie Mac, Series 3061, Class PN, 5.50% 2035
2,200
2,181
Freddie Mac 6.00% 2036
503
503
Countrywide Alternative Loan Trust, Series 2005-62, Class 2-A-1, 4.618% 20351
2,986
2,986
Countrywide Alternative Loan Trust, Series 2005-40CB, Class A-1, 5.50% 2035
2,845
2,791
Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1-A-7, 5.50% 2035
2,737
2,707
Countrywide Alternative Loan Trust, Series 2005-46CB, Class A-8, 5.50% 2035
2,732
2,702
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-9, 5.50% 2035
2,198
2,174
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-17, 6.00% 2035
4,373
4,299
Countrywide Alternative Loan Trust, Series 2004-36CB, Class 1-A-1, 6.00% 2035
4,137
4,150
Bear Stearns ARM Trust, Series 2003-3, Class III-A-1, 5.124% 20331
888
873
Bear Stearns ARM Trust, Series 2003-9, Class III-A-2, 4.981% 20341
1,054
1,036
Bear Stearns ARM Trust, Series 2005-10, Class A-3, 4.65% 20351
3,000
2,888
Bear Stearns ALT-A Trust, Series 2006-2, Class II-4-A-1, 6.00% 20361
8,600
8,591
CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A-3, 6.387% 2036
3,000
3,114
CS First Boston Mortgage Securities Corp., Series 2004-C5, Class A-1A, 3.883% 2037
1,815
1,769
CS First Boston Mortgage Securities Corp., Series 2005-C6, Class A-3, 5.23% 2040
7,000
6,835
CS First Boston Mortgage Securities Corp., Series 1998-C1, Class A-1B, 6.48% 2040
1,185
1,210
Crown Castle Towers LLC, Series 2005-1, Class A-FX, 4.643% 20352
3,000
2,903
Crown Castle Towers LLC, Series 2005-1, Class D, 5.612% 20352
6,300
6,133
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2003-LN1, Class H, 5.557% 20372
2,000
1,936
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A-2, 4.79% 2042
2,540
2,477
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP1, Class A-2, 4.625% 2046
3,500
3,415
Bear Stearns Commercial Mortgage Securities Inc., Series 2000-WF2, Class A-2, 7.32% 2032
1,520
1,623
Bear Stearns Commercial Mortgage Securities Inc., Series 2002-PBW1, Class A-1, 3.97% 2035
2,151
2,087
Bear Stearns Commercial Mortgage Securities Inc., Series 2001-TOP2, Class A-2, 6.48% 2035
750
781
Bear Stearns Commercial Mortgage Securities Inc., Series 2005-PWR9, Class A-2, 4.735% 2042
3,000
2,925
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR5, Class A-7, 4.208% 20331
522
517
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR2, Class 2-A1, 5.814% 20371
3,948
3,916
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR15, Class A-1-A, 5.078% 20451
2,882
2,889
Tower Ventures, LLC, Series 2006-1, Class C, 5.707% 20362
500
496
Tower Ventures, LLC, Series 2006-1, Class D, 6.052% 20362
6,000
5,973
Wachovia Bank Commercial Mortgage Trust, Series 2002-C1, Class A-2, 5.681% 2034
2,500
2,512
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-2, 4.782% 2042
4,000
3,914
Hilton Hotel Pool Trust, Series 2000-HLTA, Class F, 7.75% 20152
5,000
5,154
SBA CMBS Trust, Series 2005-1, Class A, 5.369% 20352
1,750
1,737
SBA CMBS Trust, Series 2005-1, Class D, 6.219% 20352
3,000
2,998
Residential Accredit Loans, Inc., Series 2005-QR1, Class A, 6.00% 2034
3,154
3,120
Residential Accredit Loans, Inc., Series 2006-QS1, Class A-3, 5.75% 2036
1,274
1,266
IndyMac INDX Mortgage Loan Trust, Series 2006-AR5, Class 2-A-1, 5.892% 20361
4,000
3,986
GMAC Commercial Mortgage Securities, Inc., Series 2001-C1, Class A-2, 6.465% 2034
3,750
3,894
Nykredit 4.00% 2035
DKr24,045
3,634
Chase Commercial Mortgage Securities Corp., Series 1998-2, Class A-2, 6.39% 2030
$ 712
727
Chase Commercial Mortgage Securities Corp., Series 1998-1, Class A-2, 6.56% 2030
903
919
Chase Commercial Mortgage Securities Corp., Series 2000-1, Class A-2, 7.757% 2032
1,580
1,680
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22, Class 5-A1, 6.04% 20351
3,278
3,278
GE Commercial Mortgage Corp., Series 2005-C4, Class A-3A, 5.333% 2045
3,000
2,978
Merrill Lynch Mortgage Investors, Inc., Series 1999-C1, Class A-2, 7.56% 2031
1,440
1,514
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class II-A-1, 4.60% 20341
1,353
1,331
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 20262
2,503
2,690
Commercial Mortgage Trust, Series 2000-C1, Class E, 8.132% 2033
2,500
2,610
GS Mortgage Securities Corp. II, Series 1998-C1, Class E, 7.208% 20301
1,250
1,301
GS Mortgage Securities Corp. II, Series 1998-C1, Class D, 7.208% 20301
1,000
1,043
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4-A, 5.699% 20341
2,112
2,052
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class I-A-14, 5.50% 2035
1,868
1,846
HarborView Mortgage Loan Trust, Series 2005-15, Class 2-A1A2, 5.576% 20451
1,826
1,845
Salomon Brothers Commercial Mortgage Trust, Series 2000-C1, Class A-1, 7.46% 2008
356
363
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-2, 6.592% 2033
1,250
1,301
Morgan Stanley Dean Witter Capital I Trust, Series 2001-TOP5, Class A-3, 6.16% 2035
1,250
1,278
Banc of America Commercial Mortgage Inc., Series 2001-1, Class A-2, 6.503% 2036
992
1,029
Morgan Stanley Capital I, Inc., Series 1998-HF2, Class A-2, 6.48% 2030
857
875
Citigroup Mortgage Loan Trust Inc., Series 2004-HYB1, Class A-3-1, 4.55% 20341
813
800
Chase Manhattan Bank — First Union National Bank, Commercial Mortgage Trust, Series 1999-1, Class B, 7.619% 2031
750
800
First Union National Bank Commercial Mortgage Trust, Series 2002-C1, Class A-1, 5.585% 2034
731
735
GGP Mall Properties Trust, Series 2001-GGP1, Class A-2, 5.007% 20112
718
717
LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A-2, 7.95% 2025
500
542
DLJ Commercial Mortgage Corp., Series 1999-CG1, Class A-1B, 6.46% 2032
500
514
Nomura Asset Securities Corp., Series 1998-D6, Class A-1A, 6.28% 2030
264
265
Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.525% 20271,2
116
117
   
245,049
     
U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 7.73%
    
U.S. Treasury 2.50% 2006
30,005
29,902
U.S. Treasury 7.00% 2006
5,595
5,629
U.S. Treasury 3.25% 2007
7,000
6,851
U.S. Treasury 3.625% 2009
42,500
40,963
U.S. Treasury 3.875% 2009
7,500
7,296
U.S. Treasury 6.00% 2009
11,165
11,569
U.S. Treasury 5.00% 2011
2,000
2,016
U.S. Treasury 10.375% 2012
1,000
1,085
U.S. Treasury 4.25% 2013
14,500
13,947
U.S. Treasury 4.00% 2014
1,035
976
U.S. Treasury 4.50% 2036
49,600
46,547
Federal Home Loan Bank 2.375% 2006
1,890
1,889
Federal Home Loan Bank 2.50% 2006
4,945
4,941
Federal Home Loan Bank 2.875% 2006
15,500
15,456
Freddie Mac 5.50% 2011
9,000
9,141
Fannie Mae 1.75% 2008
¥640,000
5,552
Republic of Egypt; United States Agency for International Development 4.45% 2015
$ 5,000
4,721
Small Business Administration, Series 2001-20J, 5.76% 20217
571
579
   
209,060
     
TELECOMMUNICATION SERVICES — 5.92%
    
Sprint Capital Corp. 4.78% 20063
1,500
1,497
Nextel Communications, Inc., Series E, 6.875% 2013
6,410
6,619
Nextel Communications, Inc., Series D, 7.375% 2015
26,790
28,116
Sprint Capital Corp. 6.875% 2028
1,250
1,293
SBC Communications Inc. 4.951% 20081
1,625
1,629
SBC Communications Inc. 4.125% 2009
2,500
2,393
AT&T Corp. 9.05% 20111
6,580
7,121
SBC Communications Inc. 5.10% 2014
2,700
2,567
SBC Communications Inc. 6.15% 2034
1,625
1,548
American Tower Corp. 7.25% 2011
1,825
1,912
American Tower Corp. 7.125% 2012
5,250
5,486
American Tower Corp. 7.50% 2012
4,500
4,736
Qwest Capital Funding, Inc. 7.75% 2006
625
632
U S WEST Capital Funding, Inc. 6.375% 2008
100
100
Qwest Capital Funding, Inc. 7.90% 2010
3,820
3,992
Qwest Capital Funding, Inc. 7.25% 2011
3,200
3,260
Qwest Corp. 8.875% 2012
1,250
1,403
Qwest Capital Funding, Inc. 7.625% 2021
500
511
U S WEST Capital Funding, Inc. 6.875% 2028
2,300
2,219
France Télécom 7.75% 20111
6,500
7,106
Telecom Italia SpA 6.25% 2012
€920
1,221
Telecom Italia Capital SA, Series B, 5.25% 2013
$2,750
2,610
Telecom Italia Capital SA 4.95% 2014
2,500
2,304
Telecom Italia Capital SA 5.25% 2015
1,000
932
Rogers Wireless Inc. 7.25% 2012
3,825
4,050
Rogers Wireless Inc. 7.50% 2015
1,975
2,128
Rogers Cantel Inc. 9.75% 2016
500
612
American Cellular Corp., Series B, 10.00% 2011
4,750
5,177
Dobson Cellular Systems, Inc. 9.875% 2012
500
549
Dobson Communications Corp. 8.875% 2013
688
695
Hawaiian Telcom Communications, Inc. 9.75% 20132
2,870
2,970
Hawaiian Telcom Communications, Inc. 9.948% 20131,2
2,145
2,199
Hawaiian Telcom Communications, Inc. 9.948% 20131,2
50
51
Hawaiian Telcom Communications, Inc. 12.50% 20152
1,125
1,147
Cingular Wireless LLC 5.625% 2006
1,000
1,003
AT&T Wireless Services, Inc. 7.875% 2011
1,890
2,074
AT&T Wireless Services, Inc. 8.125% 2012
2,850
3,204
Cincinnati Bell Inc. 7.25% 2013
5,250
5,421
Intelsat , Ltd. 9.614% 20121
3,325
3,396
Intelsat , Ltd. 8.25% 2013
1,775
1,815
BellSouth Corp. 4.75% 2012
1,250
1,185
BellSouth Corp. 6.55% 2034
3,000
3,005
MetroPCS, Inc. 12.00% 20071
900
952
MetroPCS, Inc. 9.25% 20111
3,000
3,082
Centennial Cellular Corp. 10.75% 2008
324
333
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC 10.125% 2013
1,000
1,098
Centennial Communications Corp. 10.25% 20131
500
520
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC and Centennial Puerto Rico Operations Corp. 8.125% 20141
2,000
2,050
Triton PCS, Inc. 9.375% 2011
1,000
685
Triton PCS, Inc. 8.50% 2013
3,250
3,104
Verizon Wireless Capital LLC and Cellco Partnership 5.375% 2006
3,090
3,091
Deutsche Telekom International Finance BV 8.125% 20121
€835
1,223
Deutsche Telekom International Finance BV 8.75% 20301
$1,250
1,500
NTELOS Inc. 9.83% 20121
2,500
2,537
ALLTEL Corp. 4.656% 2007
1,600
1,590
Verizon Global Funding Corp. 7.75% 2030
1,230
1,363
SBA Communications Corp. 8.50% 2012
1,183
1,319
PCCW-HKT Capital Ltd. 8.00% 20111,2
1,000
1,081
TELUS Corp. 8.00% 2011
750
828
Koninklijke KPN NV 8.00% 2010
750
806
Singapore Telecommunications Ltd. 6.375% 20112
750
780
Telekom Finanzmanagement GmbH 4.25% 2017
€310
355
   
160,185
     
INDUSTRIALS — 5.70%
    
Continental Airlines, Inc., Series 2001-1, Class A-2, 6.503% 20117
$1,000
1,011
Continental Airlines, Inc., Series 2000-2, Class A-1, 7.487% 20127
3,570
3,706
Continental Airlines, Inc., Series 1997-4B, Class B, 6.90% 20187
1,684
1,621
Continental Airlines, Inc., Series 1998-1, Class A, 6.648% 20197
2,773
2,795
Continental Airlines, Inc., Series 1997-4, Class A, 6.90% 20197
3,316
3,358
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20207
1,204
1,221
Continental Airlines, Inc., Series 2003-ERJ1, Class A, 7.875% 20207
1,703
1,657
Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703% 20227
744
746
Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707% 20227
2,478
2,633
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 20227
2,409
2,580
Allied Waste North America, Inc. 8.50% 2008
4,750
5,017
Allied Waste North America, Inc., Series B, 8.875% 2008
1,500
1,582
Allied Waste North America, Inc., Series B, 6.50% 2010
2,250
2,233
Allied Waste North America, Inc., Series B, 5.75% 2011
1,000
957
Allied Waste North America, Inc., Series B, 6.125% 2014
2,000
1,910
Allied Waste North America, Inc. 7.25% 2015
2,000
2,050
American Airlines, Inc., Series 2001-2, Class A-1, 6.978% 20127
2,503
2,570
American Airlines, Inc., Series 2001-2, Class A-2, 7.858% 20137
9,475
10,090
AMR Corp. 10.00% 2021
1,200
1,071
TFM, SA de CV 10.25% 2007
3,335
3,502
TFM, SA de CV 9.375% 2012
4,400
4,862
TFM, SA de CV 12.50% 2012
2,730
3,071
Cendant Corp. 6.25% 2008
4,200
4,251
Cendant Corp. 7.375% 2013
5,405
5,945
Kansas City Southern Railway Co. 9.50% 2008
4,950
5,309
Kansas City Southern Railway Co. 7.50% 2009
2,650
2,703
Hutchison Whampoa International Ltd. 7.00% 20112
1,000
1,052
Hutchison Whampoa International Ltd. 6.50% 20132
5,750
5,915
Hutchison Whampoa Finance Ltd., Series B, 7.45% 20172
500
551
Terex Corp. 9.25% 2011
1,250
1,336
Terex Corp. 7.375% 2014
6,000
6,180
General Electric Capital Corp., Series A, 5.375% 2007
1,250
1,252
General Electric Capital Corp., Series A, 6.00% 2012
1,000
1,028
General Electric Co. 5.00% 2013
2,750
2,679
General Electric Capital Corp., Series A, 4.75% 20161
2,000
2,006
Bombardier Capital Inc., Series A, 6.125% 20062
3,165
3,173
Bombardier Inc. 6.30% 20142
3,900
3,598
Burlington Northern and Santa Fe Railway Co. Pass Through Trust, Series 2002-2, 5.14% 20217
990
960
BNSF Funding Trust I 6.613% 20551
4,900
4,820
American Standard Inc. 8.25% 2009
1,700
1,818
American Standard Inc. 7.625% 2010
2,300
2,430
United Air Lines, Inc., 1991 Equipment Trust Certificates, Series A, 10.11% 20067,8
386
181
United Air Lines, Inc., Series 2001-1, Class A-2, 6.201% 20107
1,100
1,090
United Air Lines, Inc., Series 2001-1, Class A-1, 6.071% 20147
894
885
United Air Lines, Inc., Series 2001-1, Class A-3, 6.602% 20157
1,584
1,569
THL Buildco, Inc. 8.50% 2014
3,225
3,298
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class B, 7.156% 20112,7
966
1,000
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class G, MBIA insured, 6.664% 20132,7
2,046
2,134
CCMG Acquisition Corp. 8.875% 20142
2,000
2,085
CCMG Acquisition Corp. 10.50% 20162
400
436
Tyco International Group SA 6.125% 2008
2,375
2,409
Waste Management, Inc. 7.00% 2006
1,000
1,009
Waste Management, Inc. 7.375% 2010
650
694
WMX Technologies, Inc. 7.10% 2026
500
544
H-Lines Finance Holding Corp. 0%/11.00% 20133
2,600
2,171
Northwest Airlines, Inc. 9.875% 20074
1,000
467
Northwest Airlines, Inc. 7.875% 20084
1,000
452
Northwest Airlines, Inc. 10.00% 20094
2,750
1,210
Raytheon Co. — RC Trust I 7.00% trust preferred 2006
2,000
2,014
Union Pacific Railroad Co. Pass Through Trust, Series 2002-1, 6.061% 20237
493
512
Union Pacific Railroad Co. Pass Through Trust, Series 2003-1, 4.698% 20247
1,488
1,389
Delta Air Lines, Inc. 8.00% 20072,4
1,500
394
Delta Air Lines, Inc., Series 2000-1, Class B, 7.92% 20127
1,000
926
Delta Air Lines, Inc., Series 2002-1, Class C, 7.779% 20137
328
308
DynCorp International and DIV Capital Corp., Series A, 9.50% 2013
1,500
1,567
Williams Scotsman, Inc. 8.50% 2015
1,500
1,539
John Deere Capital Corp., Series D, 4.375% 2008
1,500
1,474
K&F Industries, Inc. 7.75% 2014
1,400
1,424
Standard Aero Holdings, Inc. 8.25% 2014
1,575
1,394
Southwest Airlines Co., Series 2001-1, Class B, 6.126% 20067
1,000
1,004
Qantas Airways Ltd. 6.05% 20162
900
894
Southern Capital Corp. Pass Through Trust, Series 2002-1, Class G, MBIA insured, 5.70% 20232,7
612
604
Jet Equipment Trust, Series 1994-A, 11.79% 20132,4
250
—
   
154,326
     
NON-U.S. GOVERNMENT & GOVERNMENT AGENCY BONDS & NOTES — 5.17%
    
United Kingdom 7.50% 2006
£4,045
7,172
United Kingdom 4.75% 2020
1,340
2,430
United Kingdom 4.75% 2038
3,620
7,060
Spanish Government 4.25% 2007
€13,145
16,174
German Government 4.50% 2006
5,510
6,718
German Government 5.25% 2008
5,650
7,073
German Government 5.25% 2011
1,750
2,274
French Government O.A.T. Eurobond 4.00% 2009
3,360
4,139
French Government O.A.T. Eurobond 4.75% 2035
7,540
10,260
United Mexican States Government Global 9.875% 2010
$1,000
1,143
United Mexican States Government, Series MI10, 9.50% 2014
MXP53,000
5,178
United Mexican States Government Global 11.375% 2016
$1,920
2,711
United Mexican States Government, Series M20, 10.00% 2024
MXP22,000
2,263
United Mexican States Government Global 7.50% 2033
$1,080
1,207
Korean Government 4.00% 2010
KRW7,540,000
7,488
Korean Government 4.25% 2014
3,315,000
3,167
Aries Vermögensverwaltungs GmbH, Series C, 9.60% 2014
$6,750
8,437
Polish Government 5.75% 2010
PLZ24,640
7,892
KfW International Finance Inc. 1.75% 2010
¥625,000
5,423
Thai Government 4.125% 2009
THB146,380
3,632
Thai Government 5.00% 2014
68,105
1,698
Russian Federation 8.25% 2010
$3,111
3,298
Russian Federation 8.25% 20102
1,778
1,885
Israeli Government 7.50% 2014
ILS21,870
4,951
Panama (Republic of) Global 7.125% 2026
$ 390
400
Panama (Republic of) Global 9.375% 2029
1,000
1,273
Panama (Republic of) Global 6.70% 2036
2,805
2,813
Queensland Treasury Corp. 6.00% 2015
A$4,430
3,278
Japanese Government 1.50% 2014
¥283,050
2,370
Argentina (Republic of) 4.278% 20121
$2,000
1,625
Canadian Government 5.343% 20269
C$1,257
1,546
Dominican Republic 9.04% 20182,5
$1,069
1,165
Brazil (Federal Republic of) Global 10.25% 2013
375
456
Brazil (Federal Republic of) Global 11.00% 2040
500
642
State of Qatar 9.75% 2030
500
735
   
139,976
     
     
     
MATERIALS — 3.81%
    
Abitibi-Consolidated Co. of Canada 5.25% 2008
$1,500
$ 1,440
Abitibi-Consolidated Finance LP 7.875% 2009
2,812
2,805
Abitibi-Consolidated Co. of Canada 8.41% 20111
3,500
3,518
Abitibi-Consolidated Co. of Canada 8.375% 2015
8,500
8,330
JSG Funding PLC 9.625% 2012
575
611
JSG Funding PLC 7.75% 2015
€3,000
3,591
JSG Funding PLC 7.75% 2015
$2,000
1,890
JSG Holdings PLC 11.50% 20155
€3,234
3,988
Boise Cascade, LLC and Boise Cascade Finance Corp. 7.125% 2014
$9,025
8,732
Stone Container Corp. 9.25% 2008
2,150
2,249
Stone Container Corp. 9.75% 2011
950
981
Jefferson Smurfit Corp. (U.S.) 8.25% 2012
2,000
1,973
Stone Container Corp. 8.375% 2012
250
248
Jefferson Smurfit Corp. (U.S.) 7.50% 2013
2,800
2,646
Owens-Brockway Glass Container Inc. 8.875% 2009
2,500
2,616
Owens-Brockway Glass Container Inc. 8.75% 2012
2,250
2,419
Owens-Brockway Glass Container Inc. 6.75% 2014
€1,250
1,557
Rhodia SA 8.00% 2010
1,300
1,678
Rhodia 10.25% 2010
$1,625
1,830
Rhodia SA 9.25% 2011
€1,953
2,557
Norske Skogindustrier ASA 7.625% 20112
$4,000
4,154
Norske Skogindustrier ASA 6.125% 20152
1,500
1,392
Lyondell Chemical Co. 9.50% 2008
1,355
1,416
Equistar Chemicals, LP and Equistar Funding Corp. 8.75% 2009
750
780
Equistar Chemicals, LP and Equistar Funding Corp. 10.625% 2011
1,500
1,631
Graphic Packaging International, Inc. 8.50% 2011
2,975
2,960
Graphic Packaging International, Inc. 9.50% 2013
500
470
Georgia-Pacific Corp. 8.125% 2011
1,000
1,045
Georgia-Pacific Corp., Series B, 6.744% 20121
1,025
1,033
Georgia-Pacific Corp., Series C, 7.787% 20131
575
588
Georgia-Pacific Corp. 8.875% 2031
500
540
Ainsworth Lumber Co. Ltd. 7.25% 2012
375
341
Ainsworth Lumber Co. Ltd. 6.75% 2014
2,000
1,745
Ainsworth Lumber Co. Ltd. 6.75% 2014
500
436
United States Steel Corp. 9.75% 2010
2,103
2,282
Neenah Paper, Inc. 7.375% 2014
2,325
2,197
Plastipak Holdings, Inc. 8.50% 20152
2,000
2,050
Graham Packaging Co., LP and GPC Capital Corp. 9.875% 2014
2,000
2,035
Building Materials Corp. of America 7.75% 2014
2,000
2,005
Airgas, Inc. 6.25% 2014
2,000
1,980
Rockwood Specialties Group, Inc. 7.625% 2014
€1,500
1,886
Steel Dynamics, Inc. 9.50% 2009
$1,750
1,835
Associated Materials Inc. 9.75% 2012
1,750
1,824
Crompton Corp. 10.561% 20101
1,600
1,756
Weyerhaeuser Co. 5.95% 2008
533
538
Weyerhaeuser Co. 7.375% 2032
1,000
1,071
Crystal US Holdings 3 LLC and Crystal US Sub 3 Corp., Series B, 0%/10.50% 20143
1,044
814
BCP Caylux Holdings Luxembourg SCA 9.625% 2014
650
723
International Paper Co. 5.85% 2012
1,500
1,493
Domtar Inc. 7.125% 2015
1,500
1,335
Cytec Industries Inc. 6.00% 2015
1,150
1,112
Oregon Steel Mills, Inc. 10.00% 2009
1,000
1,065
Allegheny Technologies, Inc. 8.375% 2011
500
543
Sino-Forest Corp. 9.125% 20112
435
470
   
103,204
     
UTILITIES — 3.33%
    
AES Corp. 9.50% 2009
$ 695
$ 752
AES Corp. 9.375% 2010
4,019
4,401
AES Corp. 8.75% 20132
6,350
6,890
AES Corp. 9.00% 20152
350
382
AES Red Oak, LLC, Series A, 8.54% 20197
913
1,000
AES Ironwood, LLC 8.857% 20257
1,161
1,306
AES Red Oak, LLC, Series B, 9.20% 20297
2,500
2,825
Edison Mission Energy 10.00% 2008
3,000
3,225
Mission Energy Holding Co. 13.50% 2008
1,525
1,758
Edison Mission Energy 7.73% 2009
1,500
1,545
Edison Mission Energy 9.875% 2011
3,438
3,902
Midwest Generation, LLC, Series B, 8.56% 20167
1,691
1,824
Midwest Generation, LLC and Midwest Finance Corp. 8.75% 2034
3,250
3,534
Dynegy Holdings Inc. 9.875% 20102
3,225
3,551
Dynegy Holdings Inc. 10.125% 20132
4,750
5,448
Southern Power Co., Series B, 6.25% 2012
6,000
6,172
American Electric Power Co., Inc., Series A, 6.125% 2006
921
922
American Electric Power Co., Inc. 4.709% 20071
5,000
4,953
Nevada Power Co., General and Refunding Mortgage Notes, Series G, 9.00% 2013
3,562
3,941
Nevada Power Co., General and Refunding Mortgage Notes, Series L, 5.875% 2015
150
148
Nevada Power Co., Series M, 5.95% 20162
1,450
1,435
Virginia Electric and Power Co., Series 2002-A, 5.375% 2007
2,750
2,747
Dominion Resources, Inc., Series 2002-D, 5.125% 2009
1,500
1,480
NRG Energy, Inc. 7.25% 2014
725
739
NRG Energy, Inc. 7.375% 2016
3,275
3,353
MidAmerican Energy Holdings Co. 5.00% 2014
2,200
2,100
MidAmerican Energy Holdings Co. 6.125% 20362
1,500
1,473
Commonwealth Edison Co., Series 99, 3.70% 2008
1,500
1,455
Exelon Generation Co., LLC 6.95% 2011
1,300
1,374
Constellation Energy Group, Inc. 6.125% 2009
2,550
2,597
Cilcorp Inc. 8.70% 2009
1,000
1,090
Union Electric Co. 5.25% 2012
1,495
1,473
Duke Capital Corp. 6.25% 2013
1,000
1,027
Duke Capital Corp. 5.50% 2014
1,000
979
SP PowerAssets Ltd. 3.80% 20082
2,000
1,929
Essent NV 4.50% 2013
€ 985
1,210
Scottish Power PLC 5.375% 2015
$1,230
1,194
Israel Electric Corp. Ltd. 7.70% 20182
1,000
1,086
PSEG Energy Holdings Inc. 8.625% 2008
1,000
1,047
Mirant Americas Generation, Inc. 8.30% 2011
1,000
1,040
Oncor Electric Delivery Co. 6.375% 2012
800
823
   
90,130
     
ENERGY — 3.01%
    
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20092,7
4,534
4,381
Ras Laffan Liquefied Natural Gas Co. Ltd. 3.437% 20097
63
60
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20147
675
764
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 20142,7
360
407
Ras Laffan Liquefied Natural Gas II 5.298% 20202,7
7,500
7,163
Premcor Refining Group Inc. 9.25% 2010
3,750
4,047
Premcor Refining Group Inc. 6.125% 2011
2,000
2,036
Premcor Refining Group Inc. 6.75% 2011
2,700
2,816
Premcor Refining Group Inc. 9.50% 2013
650
721
Premcor Refining Group Inc. 6.75% 2014
2,000
2,078
Premcor Refining Group Inc. 7.50% 2015
275
290
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20142,7
6,250
6,250
Tengizchevroil Finance Co. S.àr.l., Series A, 6.124% 20147
3,000
3,000
Newfield Exploration Co. 8.375% 2012
3,250
3,494
Newfield Exploration Co. 6.625% 2014
1,000
1,007
Newfield Exploration Co. 6.625% 2016
3,250
3,262
El Paso Corp. 6.375% 20092
150
149
El Paso Energy Corp. 7.75% 20102
1,500
1,554
El Paso Energy Corp. 7.375% 2012
100
102
El Paso Natural Gas Co. 7.50% 2026
175
182
Tennessee Gas Pipeline Co. 7.00% 2028
2,000
1,987
Southern Natural Gas Co. 7.35% 2031
1,000
1,034
Southern Natural Gas Co. 8.00% 2032
1,325
1,460
Williams Companies, Inc. 6.375% 20102
1,000
995
Williams Companies, Inc. 7.125% 2011
500
517
Williams Companies, Inc. 8.125% 2012
4,030
4,347
Energy Transfer Partners, LP 5.95% 2015
5,355
5,316
Delek & Avner-Yam Tethys Ltd. 5.326% 20132,7
4,497
4,346
Petroleum Export Ltd., Class A-3, 5.265% 20112,7
4,080
3,991
Pogo Producing Co. 6.875% 2017
3,000
2,977
Overseas Shipholding Group, Inc. 8.25% 2013
525
560
Overseas Shipholding Group, Inc. 7.50% 2024
1,925
1,930
Encore Acquisition Co. 6.00% 2015
2,500
2,344
Teekay Shipping Corp. 8.875% 2011
1,900
2,100
Pemex Project Funding Master Trust 6.625% 20352
2,000
1,935
Gulfstream Natural Gas System LLC 6.19% 20252
1,220
1,208
Reliance Industries Ltd., Series B, 10.25% 2097
500
677
   
81,487
     
ASSET-BACKED OBLIGATIONS7— 1.99%
    
ARG Funding Corp., Series 2005-1, Class A-1, MBIA insured, 4.02% 20092
3,000
2,926
ARG Funding Corp., Series 2005-1, Class A-3, MBIA insured, 4.29% 20112
3,250
3,116
ARG Funding Corp., Series 2005-2, Class A-4, AMBAC insured, 4.84% 20112
5,000
4,914
MBNA Credit Card Master Note Trust, Series 2005-6, Class A, 4.50% 2013
5,250
5,103
MBNA Credit Card Master Note Trust, Series 2002-1, Class C, 6.80% 2014
2,500
2,650
Vanderbilt Mortgage and Finance, Inc., Series 1999-B, Class I-B-1, 8.395% 2016
1,342
1,353
Vanderbilt Mortgage and Finance, Inc., Series 2001-A, Class B-1, 8.20% 2020
3,194
3,234
CPS Auto Receivables Trust, Series 2002-B, Class A-2, XLCA insured, 3.50% 20092
188
186
CPS Auto Receivables Trust, Series 2005-D, Class A-2, FSA insured, 5.06% 20122
3,000
2,965
Drivetime Auto Owner Trust, Series 2005-A, Class A-3, MBIA insured, 4.302% 20092
3,000
2,970
PG&E Energy Recovery Funding LLC, Series 2005-1, Class A-3, 4.14% 2012
3,000
2,902
Capital Auto Receivables Asset Trust, Series 2004-2, Class A-4, 3.75% 2009
2,750
2,672
Specialty Underwriting and Residential Finance Trust, Series 2004-BC4, Class A-2B, 5.128% 20351
2,500
2,506
Residential Asset Securities Corp. Trust, Series 2004-KS12, Class A-1-2, 5.048% 20351
2,463
2,467
Chase Issuance Trust, Series 2005-7, Class A, 4.55% 2013
2,250
2,184
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-2, Class A-6, AMBAC insured, 5.08% 20112
2,000
1,968
Conseco Finance Home Loan Trust, Series 1999-G, Class B-2, 10.96% 20294
1,686
1,683
Consumer Credit Reference Index Securities Program Trust, Series 2002-2A, Class FX, 10.421% 20072
1,500
1,534
CitiFinancial Mortgage Securities Inc., Series 2003-3, Class AF-5, 4.553% 2033
1,500
1,452
CWABS, Inc., Series 2004-12, Class 2-AV-2, 5.098% 20331
1,319
1,321
Cendant Timeshare Receivables Funding, LLC, Series 2005-1, Class A-1, FGIC insured, 4.67% 20172
1,245
1,221
Nordstrom Credit Card Master Note Trust, Series 2002-1, Class B, 5.449% 20101,2
750
755
Hyundai Auto Receivables Trust, Series 2002-A, Class B, 3.54% 20092
623
622
First Investors Auto Owners Trust, Series 2003-A, Class A, MBIA insured, 2.58% 20112
429
419
Franklin Auto Trust, Series 2002-1, Class A-4, MBIA insured, 4.51% 2010
348
347
MMCA Auto Owner Trust, Series 2002-2, Class A-4, 4.30% 2010
288
287
   
53,757
     
INFORMATION TECHNOLOGY — 1.82%
    
Electronic Data Systems Corp. 6.334% 2006
  2,000
 2,009
Electronic Data Systems Corp. 7.125% 2009
1,625
1,709
Electronic Data Systems Corp., Series B, 6.50% 20131
10,025
10,210
Electronic Data Systems Corp. 7.45% 2029
1,250
1,330
Celestica Inc. 7.875% 2011
5,650
5,791
Celestica Inc. 7.625% 2013
3,450
3,476
Sanmina-SCI Corp. 6.75% 2013
5,500
5,266
Sanmina-SCI Corp. 8.125% 2016
425
431
Xerox Corp. 7.125% 2010
5,000
5,200
Motorola, Inc. 7.625% 2010
239
261
Motorola, Inc. 8.00% 2011
2,000
2,242
Motorola, Inc. 7.50% 2025
500
574
Motorola, Inc. 5.22% 2097
250
196
SunGard Data Systems Inc. 9.125% 20132
3,000
3,188
Freescale Semiconductor, Inc. 6.875% 2011
2,400
2,466
Jabil Circuit, Inc. 5.875% 2010
2,000
2,004
Cisco Systems, Inc. 5.25% 2011
1,500
1,489
Amkor Technology, Inc. 7.125% 2011
1,600
1,480
Exodus Communications, Inc. 11.625% 20104,6
377
—
   
49,322
     
CONSUMER STAPLES — 1.57%
    
Delhaize America, Inc. 8.125% 2011
6,400
6,941
Jean Coutu Group (PJC) Inc. 7.625% 2012
800
782
Jean Coutu Group (PJC) Inc. 8.50% 2014
6,475
5,973
Ahold Finance U.S.A., Inc. 6.25% 2009
1,225
1,226
Ahold Finance U.S.A., Inc. 8.25% 2010
2,000
2,130
Ahold Lease Pass Through Trust, Series 2001-A-1, 7.82% 20207
130
136
Ahold Lease Pass Through Trust, Series 2001-A-2, 8.62% 20257
2,810
3,023
Spectrum Brands, Inc. 7.375% 2015
7,375
6,453
Stater Bros. Holdings Inc. 8.41% 20101
2,550
2,617
Stater Bros. Holdings Inc. 8.125% 2012
1,000
1,004
CVS Corp. 6.117% 20132,7
1,311
1,327
CVS Corp. 5.298% 20272,7
1,776
1,679
Rite Aid Corp. 6.875% 2013
2,125
1,870
SUPERVALU INC. 7.50% 2012
1,800
1,838
Gold Kist Inc. 10.25% 2014
1,371
1,488
Tyson Foods, Inc. 6.60% 2016
1,500
1,484
Duane Reade Inc. 9.41% 20101
1,000
995
Albertson’s, Inc. 8.00% 2031
1,000
933
Tesco PLC 5.50% 2033
£330
610
   
42,509
     
HEALTH CARE — 1.38%
    
Columbia/HCA Healthcare Corp. 7.00% 2007
$2,500
2,542
HCA Inc. 5.50% 2009
6,150
6,023
HCA Inc. 6.50% 2016
2,000
1,958
Concentra Operating Corp. 9.50% 2010
4,000
4,220
Concentra Operating Corp. 9.125% 2012
3,250
3,421
Tenet Healthcare Corp. 6.375% 2011
1,000
907
Tenet Healthcare Corp. 9.875% 2014
1,600
1,628
Tenet Healthcare Corp. 9.25% 20152
750
754
Mylan Laboratories Inc. 5.75% 2010
3,000
2,977
Wyeth 5.50% 2016
3,000
2,952
Amgen Inc. 4.00% 2009
2,500
2,393
Triad Hospitals, Inc. 7.00% 2012
2,250
2,261
Humana Inc. 7.25% 2006
1,500
1,506
Cardinal Health, Inc. 5.85% 2017
1,235
1,222
UnitedHealth Group Inc. 5.20% 2007
1,000
1,000
Warner Chilcott Corp. 8.75% 20152
1,000
998
WellPoint, Inc. 5.25% 2016
625
604
   
37,366
     
MUNICIPALS — 0.37%
    
State of Wisconsin, Badger Tobacco Asset Securitization Corp., Tobacco Settlement Asset-backed Bonds, 6.125% 2027
3,030
3,206
State of California, Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-backed Bonds, Series 2003-A-1, 6.25% 2033
1,500
1,623
State of North Carolina, Eastern Municipal Power Agency, Power System Revenue Refunding Bonds, Federally Taxable, Series 2003-E, 5.55% 2014
1,625
1,562
State of South Dakota, Educational Enhancement Funding Corp., Tobacco Settlement Asset-backed Bonds, Series 2002-A, Class A, 6.72% 2025
1,566
1,538
     
State of California, Department of Water Resources, Power Supply Revenue Bonds, Series 2002-E, 4.33% 2006
1,500
1,499
State of Louisiana, Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds, Series 2001-A, Class A, 6.36% 2025
459
459
   
9,887
     
     
Total bonds & notes (cost: $2,033,668,000)
  
2,015,185
     
     
 
Shares or
  
Convertible securities — 0.27%
principal amount
  
     
CONSUMER DISCRETIONARY — 0.11%
    
Amazon.com, Inc. 4.75% convertible debentures 2009
$648,000
620
Amazon.com, Inc. 6.875% PEACS convertible notes 2010
€1,518,000
1,867
Ford Motor Co. Capital Trust II 6.50% cumulative convertible trust preferred 2032
13,600
409
   
2,896
     
INFORMATION TECHNOLOGY — 0.09%
    
Conexant Systems, Inc. 4.00% convertible notes 2007
$1,500,000
1,472
SCI Systems, Inc. 3.00% convertible debentures 2007
$1,000,000
972
   
2,444
     
TELECOMMUNICATION SERVICES — 0.07%
    
American Tower Corp. 5.00% convertible debentures 2010
$2,000,000
1,990
     
     
Total convertible securities (cost: $6,309,000)
  
7,330
     
     
Preferred stocks — 2.36%
Shares
  
     
FINANCIALS — 2.36%
    
Fuji JGB Investment LLC, Series A, 9.87% noncumulative preferred1,2
6,430,000
6,984
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred1,2
6,075,000
6,463
Chuo Mitsui Trust and Banking Co., Ltd. 5.506%1,2
10,090,000
9,593
HSBC Capital Funding LP, Series 1, 9.547% noncumulative step-up perpetual preferred1,2
8,030,000
9,177
Fannie Mae, Series O, 7.065% preferred2
100,000
5,403
Tokai Preferred Capital Co. LLC, Series A, 9.98% noncumulative preferred1,2
4,650,000
5,060
ING Capital Funding Trust III 8.439% noncumulative preferred1
4,250,000
4,726
SB Treasury Co. LLC, Series A, 9.40% noncumulative preferred1,2
3,750,000
 4,037
Deutsche Bank Capital Funding Trust I, 7.872%1,2
2,500,000
2,657
BNP U.S. Funding LLC, Series A, 7.738% noncumulative preferred1,2
1,175,000
1,215
BNP Paribas Capital Trust 9.003% noncumulative trust preferred1,2
850,000
961
Swire Pacific Capital Ltd. 8.84% cumulative guaranteed perpetual capital securities2
65,000
1,714
RBS Capital Trust I 4.709% noncumulative trust preferred1
1,500,000
1,391
HVB Funding Trust VIII 7.055%1
900,000
1,243
ACE Ltd., Series C, 7.80% preferred depositary shares
42,760
1,120
First Republic Capital Corp., Series A, 10.50% preferred2
750
825
DBS Capital Funding Corp., Series A, 7.657% noncumulative guaranteed preference shares1,2
750,000
811
NB Capital Corp., Series A, 8.35% exchangeable preferred depositary shares
20,000
528
   
63,908
     
INFORMATION TECHNOLOGY — 0.00%
    
ZiLOG, Inc. — MOD III Inc., units6,10
55
8
     
CONSUMER DISCRETIONARY — 0.00%
    
Adelphia Communications Corp., Series B, 13.00% preferred 200910
5,000
2
     
     
Total preferred stocks (cost: $63,357,000)
  
63,918
     
     
Common stocks — 0.16%
    
     
UTILITIES — 0.12%
    
Drax Group PLC10
231,144
3,105
     
TELECOMMUNICATION SERVICES — 0.03%
    
Sprint Nextel Corp.
33,726
872
XO Holdings, Inc.10
1,124
4
   
876
     
INDUSTRIALS — 0.01%
    
DigitalGlobe Inc.2,6,10
306,464
307
Delta Air Lines, Inc.2,10
60,887
35
   
342
     
INFORMATION TECHNOLOGY — 0.00%
    
ZiLOG, Inc.10
32,500
100
     
HEALTH CARE — 0.00%
    
Clarent Hospital Corp.6,10
16,114
8
     
MISCELLANEOUS — 0.00%
    
Other common stocks in initial period of acquisition
  
52
     
     
Total common stocks (cost: $3,134,000)
  
4,483
     
   
 
Warrants — 0.05%
 
 
     
TELECOMMUNICATION SERVICES — 0.05%
    
American Tower Corp., warrants, expire 20082,10
3,000
$ 1,278
XO Holdings, Inc., Series A, warrants, expire 201010
2,252
1
XO Holdings, Inc., Series B, warrants, expire 201010
1,689
1
XO Holdings, Inc., Series C, warrants, expire 201010
1,689
—
GT Group Telecom Inc., warrants, expire 20102,6,10
1,000
—
     
Total warrants (cost: $54,000)
  
1,280
     
     
  Principal amount 
 
Short-term securities — 22.34%
(000)
  
     
Freddie Mac 4.52%-4.64% due 5/9-6/6/200611
$57,100
56,726
Federal Home Loan Bank 4.435%-4.66% due 4/5-5/31/2006
52,534
52,298
Caterpillar Financial Services Corp. 4.48%-4.58% due 4/10-4/28/2006
48,700
48,579
Variable Funding Capital Corp. 4.55%-4.78% due 4/10-5/23/20062
47,400
47,253
Hershey Co. 4.46%-4.60% due 4/5-5/5/20062
37,500
37,389
CAFCO, LLC 4.60%-4.74% due 4/20-5/16/20062
34,900
34,785
International Lease Finance Corp. 4.63-4.69% due 5/3-5/4/2006
33,500
33,359
Atlantic Industries 4.54%-4.69% due 4/17-6/2/20062
28,200
28,031
HSBC Finance Corp. 4.52%-4.66% due 4/12-5/30/200611
24,500
24,437
Procter & Gamble Co. 4.52% due 4/7/20062
20,000
19,982
Bank of America Corp. 4.59% due 4/26/2006
20,000
19,938
3M Co. 4.65% due 5/22/2006
19,700
19,567
Park Avenue Receivables Co., LLC 4.56% due 4/10/20062
19,300
19,275
Edison Assetw Securitization LLC 4.64% due 5/9/20062
19,000
18,905
Concentrate Manufacturing Co. of Ireland 4.73% due 5/1/20062
18,100
18,026
Fannie Mae 4.655% due 6/7/200611
17,100
16,946
Private Export Funding Corp. 4.73% due 6/27/20062,11
17,000
16,804
Scripps (E.W.) Co. 4.60% due 4/26/20062
16,500
16,445
McCormick & Co., Inc. 4.68% due 5/31/20062
16,400
16,272
Pitney Bowes Inc. 4.70% due 4/25/20062
15,000
14,951
Gannett Co. 4.52% due 4/6/20062
13,550
13,540
Wal-Mart Stores Inc. 4.74% due 6/6/20062,11
12,000
11,897
Triple-A One Funding Corp. 4.59% due 4/6/20062
10,700
10,692
Three Pillars Funding, LLC 4.85% due 4/3/20062
5,600
5,598
NetJets Inc. 4.67% due 5/8/20062
2,800
2,787
     
Total short-term securities (cost: $604,484,000)
  
604,482
     
     
Total investment securities (cost: $2,711,006,000)
  
2,696,678
Other assets less liabilities
  
9,753
     
Net assets
  
$2,706,431
 
“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.
 
 

1Coupon rate may change periodically.
2Purchased 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 $697,980,000, which represented 25.79% of the net assets of the fund.
3Step bond; coupon rate will increase at a later date.
4Company not making scheduled interest payments; bankruptcy proceedings pending.
5Payment in kind; the issuer has the option of paying additional securities in lieu of cash.
6Valued under fair value procedures adopted by authority of the board of trustees.
7Pass-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.
8Company did not make principal payment upon scheduled maturity date; reorganization pending.
9Index-linked bond whose principal amount moves with a government retail price index.
10Security did not produce income during the last 12 months.
11This security, or a portion of this security, has been segregated to cover funding requirements on investment transactions settling in the future.
 

 
Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$ 37,278
Gross unrealized depreciation on investment securities
  
(52,140)
Net unrealized depreciation on investment securities
  
(14,862)
Cost of investment securities for federal income tax purposes
  
2,711,540
 
 

High-Income Bond Fund
Investment portfolio
 

March 31, 2006
  
unaudited
     
 
Principal amount
Market value
Bonds & notes — 81.89%
(000)
(000)
     
CONSUMER DISCRETIONARY — 24.45%
    
General Motors Acceptance Corp. 6.125% 2006
$ 1,840
$1,832
General Motors Acceptance Corp. 6.125% 2007
2,000
1,940
General Motors Acceptance Corp. 5.85% 2009
1,000
936
Residential Capital Corp. 6.375% 2010
1,870
1,886
General Motors Acceptance Corp. 7.75% 2010
820
800
General Motors Corp. 7.20% 2011
3,790
2,975
General Motors Acceptance Corp. 7.25% 2011
10,249
9,722
General Motors Acceptance Corp. 6.875% 2012
300
277
General Motors Acceptance Corp. 7.00% 2012
1,450
1,352
General Motors Corp. 7.125% 2013
2,170
1,628
General Motors Corp. 7.25% 2013
€400
371
General Motors Acceptance Corp. 7.02% 20141 
$1,650
1,505
General Motors Corp. 7.70% 2016
1,000
733
General Motors Corp. 8.25% 2023
250
181
General Motors Corp. 8.375% 2033
700
516
Dex Media East LLC, Dex Media East Finance Co., Series B, 9.875% 2009
500
536
R.H. Donnelley Inc. 10.875% 20122 
2,500
2,784
Dex Media, Inc., Series B, 0%/9.00% 20133 
250
213
Dex Media, Inc., Series B, 0%/9.00% 20133 
250
213
R.H. Donnelley Corp., Series A-2, 6.875% 20132 
1,275
1,199
R.H. Donnelley Corp., Series A-1, 6.875% 20132 
400
376
Dex Media, Inc., Series B, 8.00% 2013
2,575
2,665
R.H. Donnelley Corp., Series A-3, 8.875% 20162 
675
705
CCH II, LLC and CCH II Capital Corp. 10.25% 2010
167
165
Charter Communications Holdings, LLC and Charter Communications Holdings Capital Corp. 0%/13.50% 20113 
1,050
614
Charter Communications Holdings, LLC and Charter Communications Holdings Capital Corp. 0%/12.125% 20123 
1,000
420
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.00% 20122 
1,875
1,875
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013
4,058
3,967
Charter Communications Operating, LLC and Charter Communications Operating Capital Corp. 8.375% 20142 
1,250
1,253
Mirage Resorts, Inc. 6.75% 2007
550
558
Mirage Resorts, Inc. 6.75% 2008
500
507
MGM MIRAGE 6.00% 2009
2,375
2,351
MGM MIRAGE 6.75% 2012
1,050
1,054
MGM MIRAGE 6.75% 20132 
2,580
2,580
MGM MIRAGE 6.625% 2015
1,175
1,162
Cinemark USA, Inc. 9.00% 2013
4,545
4,852
Cinemark, Inc. 0%/9.75% 20143 
2,000
1,540
American Media Operations, Inc., Series B, 10.25% 2009
3,415
3,108
American Media Operations, Inc. 8.875% 2011
3,480
2,993
Linens n’ Things, Inc. 10.366% 20141,2 
5,925
5,969
Young Broadcasting Inc. 10.00% 2011
6,392
5,929
J.C. Penney Co., Inc. 8.00% 2010
750
811
J.C. Penney Co., Inc. 9.00% 2012
1,871
2,152
J.C. Penney Co., Inc. 7.65% 2016
1,650
1,825
J.C. Penney Co., Inc. 7.625% 2097
1,000
1,015
CanWest Media Inc., Series B, 8.00% 2012
5,266
5,424
K. Hovnanian Enterprises, Inc. 10.50% 2007
625
669
K. Hovnanian Enterprises, Inc. 6.00% 2010
3,000
2,889
K. Hovnanian Enterprises, Inc. 6.25% 2016
1,500
1,367
K. Hovnanian Enterprises, Inc. 7.50% 2016
135
134
Sun Media Corp. 7.625% 2013
2,000
2,070
Quebecor Media Inc. 7.75% 20162 
2,725
2,814
Tenneco Automotive Inc., Series B, 10.25% 2013
1,500
1,672
Tenneco Automotive Inc. 8.625% 2014
3,060
3,075
Telenet Communications NV 9.00% 2013
€2,129
2,884
Telenet Group Holding NV 0%/11.50% 20142,3 
$2,142
1,802
Wynn Las Vegas, LLC and Wynn Las Vegas Capital Corp. 6.625% 2014
4,705
4,593
Neiman Marcus Group, Inc. 9.00% 20152,4 
4,070
4,324
Radio One, Inc., Series B, 8.875% 2011
4,000
4,220
Emmis Operating Co. 6.875% 2012
4,250
4,122
Carmike Cinemas, Inc. 7.50% 2014
4,275
3,944
Liberty Media Corp. 7.875% 2009
1,900
2,009
Liberty Media Corp. 5.70% 2013
1,500
1,402
Liberty Media Corp. 8.25% 2030
350
340
Sealy Mattress Co. 8.25% 2014
3,550
3,727
Ford Motor Credit Co. 5.80% 2009
1,000
914
Ford Motor Credit Co. 7.375% 2009
750
706
Ford Motor Credit Co. 7.875% 2010
2,125
1,994
Grupo Posadas, SA de CV 8.75% 20112 
3,450
3,597
NTL Cable PLC 8.75% 2014
1,350
1,390
NTL Cable PLC 8.75% 2014
€500
644
NTL Cable PLC 9.75% 2014
£300
549
NTL Inc. 10.46% 20161 
$1,000
1,000
Bon-Ton Stores, Inc. 10.25% 20142 
3,700
3,578
Royal Caribbean Cruises Ltd. 7.00% 2007
725
742
Royal Caribbean Cruises Ltd. 8.00% 2010
1,375
1,477
Royal Caribbean Cruises Ltd. 8.75% 2011
275
305
Royal Caribbean Cruises Ltd. 6.875% 2013
750
775
Vidéotron Ltée 6.875% 2014
1,995
2,015
Vidéotron Ltée 6.375% 2015
1,220
1,200
Mohegan Tribal Gaming Authority 6.375% 2009
2,575
2,575
Mohegan Tribal Gaming Authority 7.125% 2014
575
582
Delphi Automotive Systems Corp. 6.55% 20065 
250
155
Delphi Automotive Systems Corp. 6.50% 20095 
3,500
2,161
Delphi Corp. 6.50% 20135 
555
339
Delphi Automotive Systems Corp. 7.125% 20295 
750
465
Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 2012
2,750
2,970
Technical Olympic USA, Inc. 9.00% 2010
900
927
Technical Olympic USA, Inc. 10.375% 2012
2,000
2,030
Stoneridge, Inc. 11.50% 2012
3,150
2,866
Reader’s Digest Assn., Inc. 6.50% 2011
2,800
2,807
Dollarama Group LP 8.875% 20122 
2,750
2,791
Iesy Repository GmbH 10.125% 2015
€500
617
Iesy Repository GmbH 10.375% 20152 
$2,000
2,000
William Lyon Homes, Inc. 10.75% 2013
1,750
1,772
William Lyon Homes, Inc. 7.50% 2014
750
651
Visteon Corp. 8.25% 2010
2,800
2,324
Six Flags, Inc. 9.75% 2013
930
942
Six Flags, Inc. 9.625% 2014
1,350
1,367
Riddell Bell Holdings Inc. 8.375% 2012
2,200
2,227
Cablevision Systems Corp., Series B, 8.00% 2012
2,240
2,195
Kabel Deutschland GmbH 10.625% 20142 
2,000
2,145
Boyd Gaming Corp. 7.75% 2012
1,000
1,052
Boyd Gaming Corp. 8.75% 2012
500
536
Boyd Gaming Corp. 6.75% 2014
500
501
Toys “R” Us, Inc. 9.864% 20121 
1,750
1,746
Toys “R” Us, Inc. 7.875% 2013
400
325
Gaylord Entertainment Co. 8.00% 2013
1,445
1,514
Gaylord Entertainment Co. 6.75% 2014
500
490
Warner Music Group 7.375% 2014
2,000
1,990
Fisher Communications, Inc. 8.625% 2014
1,860
1,974
Aztar Corp. 7.875% 2014
1,750
1,903
AMC Entertainment Inc. 9.50% 2011
767
750
AMC Entertainment Inc. 9.875% 2012
375
371
AMC Entertainment Inc. 8.00% 2014
850
763
Clear Channel Communications, Inc. 5.75% 2013
695
662
Clear Channel Communications, Inc. 5.50% 2014
1,305
1,208
LBI Media, Inc. 10.125% 2012
1,600
1,720
Morris Publishing Group, LLC and Morris Publishing Finance Co., Series B, 7.00% 2013
1,775
1,684
D.R. Horton, Inc. 8.00% 2009
875
927
D.R. Horton, Inc. 7.875% 2011
300
323
Schuler Homes, Inc. 10.50% 2011
250
267
D.R. Horton, Inc. 6.875% 2013
75
77
Atlantic Broadband Finance, LLC and Atlantic Broadband Finance, Inc. 9.375% 2014
1,575
1,500
Mediacom LLC and Mediacom Capital Corp. 9.50% 2013
1,500
1,492
WDAC Subsidiary Corp. 8.375% 20142 
1,450
1,439
PETCO Animal Supplies, Inc. 10.75% 2011
1,300
1,401
Buffets, Inc. 11.25% 2010
1,150
1,207
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc. 8.375% 2013
1,121
1,202
Adelphia Communications Corp. 10.25% 20115 
450
286
Century Communications Corp. 0% 20035 
1,000
870
Dillard’s, Inc. 6.30% 2008
700
702
Dillard Department Stores, Inc. 9.125% 2011
350
380
Regal Cinemas Corp., Series B, 9.375% 20126 
1,000
1,068
WCI Communities, Inc. 9.125% 2012
700
716
WCI Communities, Inc. 7.875% 2013
250
241
Standard Pacific Corp. 5.125% 2009
1,000
952
Cooper-Standard Automotive Inc. 7.00% 2012
1,000
915
Hilton Hotels Corp. 7.625% 2008
265
276
Hilton Hotels Corp. 7.20% 2009
610
637
KB Home 6.25% 2015
950
892
Lighthouse International Co. SA 8.00% 2014
€675
885
Starwood Hotels & Resorts Worldwide, Inc. 7.875% 2012
$750
819
RBS-Zero Editora Jornalística SA 11.00% 20102 
758
796
Payless ShoeSource, Inc. 8.25% 2013
750
791
Bombardier Recreational Products Inc. 8.375% 2013
700
742
TRW Automotive Acquisition Corp. 9.375% 2013
607
659
Harrah’s Operating Co., Inc. 7.125% 2007
250
254
Harrah’s Operating Co., Inc. 5.625% 2015
400
384
EchoStar DBS Corp. 5.75% 2008
600
597
Blockbuster Inc. 10.00% 20122 
650
572
YUM! Brands, Inc. 7.70% 2012
500
545
Warnaco, Inc. 8.875% 2013
500
534
Ryland Group, Inc. 5.375% 2008
500
495
Boyds Collection, Ltd., Series B, 9.00% 20085,6 
2,389
478
Key Plastics Holdings, Inc., Series B, 10.25% 20075,6 
4,000
—
   
238,830
     
INDUSTRIALS — 10.19%
    
Continental Airlines, Inc., Series 1998-1, Class B, 6.748% 20187 
700
648
Continental Airlines, Inc., Series 1997-4, Class A, 6.90% 20197 
831
841
Continental Airlines, Inc., Series 2000-2, Class B, 8.307% 20197 
1,495
1,473
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20207 
763
773
Continental Airlines, Inc., Series 2003-ERJ1, Class A, 7.875% 20207 
5,429
5,283
Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703% 20227 
2,009
2,015
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 20227 
1,398
1,497
Continental Airlines, Inc., Series 2000-1, Class B, 8.388% 20227 
756
739
Allied Waste North America, Inc. 8.50% 2008
1,875
1,980
Allied Waste North America, Inc., Series B, 8.875% 2008
1,125
1,187
Allied Waste North America, Inc., Series B, 6.50% 2010
1,000
993
Allied Waste North America, Inc., Series B, 5.75% 2011
1,500
1,436
Allied Waste North America, Inc., Series B, 6.125% 2014
1,500
1,433
Allied Waste North America, Inc., Series B, 7.375% 2014
3,100
3,084
Allied Waste North America, Inc. 7.25% 2015
100
103
American Airlines, Inc., Series 1999-1, Class B, 7.324% 2011
1,855
1,823
American Airlines, Inc., Series 2001-2, Class A-2, 7.858% 20137
3,370
3,589
American Airlines, Inc., Series 2001-1, Class B, 7.377% 20197 
2,040
1,909
NTK Holdings Inc. 0%/10.75% 20143 
5,250
3,859
THL Buildco, Inc. 8.50% 2014
2,835
2,899
TFM, SA de CV 10.25% 2007
365
383
TFM, SA de CV 9.375% 2012
3,150
3,481
TFM, SA de CV 12.50% 2012
820
922
DRS Technologies, Inc. 6.875% 2013
2,175
2,186
DRS Technologies, Inc. 6.625% 2016
2,000
2,000
DRS Technologies, Inc. 7.625% 2018
425
440
United Air Lines, Inc., Series 2001-1, Class A-2, 6.201% 20107 
479
475
United Air Lines, Inc., Series 2001-1, Class A-1, 6.071% 20147 
1,335
1,320
United Air Lines, Inc., Series 2001-1, Class A-3, 6.602% 20157 
2,773
2,746
Horizon Lines, LLC and Horizon Lines Holding Corp. 9.00% 2012
3,901
4,145
DynCorp International and DIV Capital Corp., Series A, 9.50% 2013
3,795
3,966
CCMG Acquisition Corp. 10.50% 20162 
3,050
3,324
Bombardier Capital Inc., Series A, 6.125% 20062 
1,790
1,794
Bombardier Inc. 6.75% 20122 
900
864
Bombardier Inc. 6.30% 20142 
600
554
Goodman Global Holdings, Inc., Series B, 7.491% 20121 
500
511
Goodman Global Holdings, Inc., Series B, 7.875% 2012
2,630
2,610
United Rentals (North America), Inc., Series B, 6.50% 2012
2,600
2,561
United Rentals (North America), Inc. 7.75% 2013
500
503
Terex Corp. 9.25% 2011
1,500
1,603
Terex Corp., Class B, 10.375% 2011
250
265
Terex Corp. 7.375% 2014
1,000
1,030
K&F Industries, Inc. 7.75% 2014
2,640
2,686
Quebecor World Inc. 8.75% 20162 
2,460
2,411
American Standard Inc. 8.25% 2009
1,500
1,604
American Standard Inc. 7.625% 2010
500
528
Standard Aero Holdings, Inc. 8.25% 2014
2,255
1,996
Jacuzzi Brands, Inc. 9.625% 2010
1,750
1,886
Ashtead Group PLC 8.625% 20152 
1,675
1,750
Kansas City Southern Railway Co. 9.50% 2008
685
735
Kansas City Southern Railway Co. 7.50% 2009
865
882
Argo-Tech Corp. 9.25% 2011
1,410
1,495
Williams Scotsman, Inc. 8.50% 2015
1,425
1,462
Northwest Airlines, Inc. 8.875% 20065 
500
227
Northwest Airlines, Inc. 9.875% 20075 
1,000
468
Northwest Airlines, Inc. 7.875% 20085 
665
301
Northwest Airlines, Inc. 10.00% 20095 
1,000
440
UCAR Finance Inc. 10.25% 2012
1,230
1,319
Accuride Corp. 8.50% 2015
1,115
1,111
FTI Consulting, Inc. 7.625% 2013
1,000
1,058
ACIH, Inc. 0%/11.50% 20122,3 
1,225
937
Ahern Rentals, Inc. 9.25% 2013
675
707
Delta Air Lines, Inc. 8.00% 20072,5 
1,250
328
   
99,578
     
MATERIALS — 9.55%
    
JSG Funding PLC 9.625% 2012
1,526
1,621
JSG Funding PLC 7.75% 2015
1,000
945
JSG Funding PLC 7.75% 2015
€750
898
JSG Holdings PLC 11.50% 20154 
5,186
6,396
Abitibi-Consolidated Co. of Canada 5.25% 2008
$ 700
672
Abitibi-Consolidated Finance LP 7.875% 2009
767
765
Abitibi-Consolidated Inc. 8.55% 2010
1,529
1,544
Abitibi-Consolidated Co. of Canada 8.41% 20111 
1,000
1,005
Abitibi-Consolidated Co. of Canada 6.00% 2013
1,025
887
Abitibi-Consolidated Co. of Canada 8.375% 2015
4,000
3,920
Owens-Illinois, Inc. 8.10% 2007
500
511
Owens-Brockway Glass Container Inc. 8.875% 2009
445
466
Owens-Illinois, Inc. 7.50% 2010
1,275
1,297
Owens-Brockway Glass Container Inc. 7.75% 2011
2,425
2,540
Owens-Brockway Glass Container Inc. 8.75% 2012
1,525
1,639
Owens-Brockway Glass Container Inc. 6.75% 2014
€375
467
Stone Container Corp. 9.25% 2008
$1,000
1,046
Stone Container Corp. 9.75% 2011
425
439
Jefferson Smurfit Corp. (U.S.) 8.25% 2012
225
222
Stone Container Corp. 8.375% 2012
630
624
Jefferson Smurfit Corp. (U.S.) 7.50% 2013
2,925
2,764
Plastipak Holdings, Inc. 8.5% 20152 
4,585
4,700
Millennium America Inc. 9.25% 2008
1,025
1,047
Lyondell Chemical Co. 9.50% 2008
589
616
Equistar Chemicals, LP 10.125% 2008
525
560
Equistar Chemicals, LP and Equistar Funding Corp. 10.625% 2011
200
217
Lyondell Chemical Co. 10.50% 2013
2,000
2,225
Building Materials Corp. of America 8.00% 2008
700
722
Building Materials Corp. of America 7.75% 2014
3,850
3,860
Nalco Co. 7.75% 2011
3,740
3,805
Nalco Co. 8.875% 2013
500
523
Associated Materials Inc. 9.75% 2012
3,160
3,294
AMH Holdings, Inc. 0%/11.25% 20143 
1,650
957
Graphic Packaging International, Inc. 8.50% 2011
3,000
2,985
Graphic Packaging International, Inc. 9.50% 2013
1,270
1,194
Boise Cascade, LLC and Boise Cascade Finance Corp. 7.125% 2014 3,850  3,725 
Rhodia SA 8.00% 2010
€700
$ 904
Rhodia 10.25% 2010
$1,722
1,939
Rhodia 8.875% 2011
540
559
Rhodia SA 9.25% 2011
€234
306
Earle M. Jorgensen Co. 9.75% 2012
$3,150
3,418
Domtar Inc. 7.875% 2011
775
738
Domtar Inc. 7.125% 2015
2,550
2,270
Oregon Steel Mills, Inc. 10.00% 2009
2,200
2,343
Rockwood Specialties Group, Inc. 7.50% 2014
1,400
1,414
Rockwood Specialties Group, Inc. 7.625% 2014
€700
880
United States Steel Corp. 9.75% 2010
$2,103
2,282
Georgia-Pacific Corp. 8.125% 2011
500
522
Georgia-Pacific Corp., Series B, 6.744% 20121 
600
605
Georgia-Pacific Corp., Series C, 7.787% 20131 
1,100
1,125
Ainsworth Lumber Co. Ltd. 7.25% 2012
500
455
Ainsworth Lumber Co. Ltd. 6.75% 2014
2,025
1,767
Covalence Specialty Materials Corp. 10.25% 20162 
2,075
2,189
Neenah Paper, Inc. 7.375% 2014
1,950
1,843
Cytec Industries Inc. 6.00% 2015
1,150
1,112
Graham Packaging Co., LP and GPC Capital Corp. 9.875% 2014
1,000
1,017
Crompton Corp. 10.561% 20101 
800
878
Crystal US Holdings 3 LLC and Crystal US Sub 3 Corp., Series B, 0%/10.50% 20143 
500
390
BCP Caylux Holdings Luxembourg SCA 9.625% 2014
390
434
Allegheny Technologies, Inc. 8.375% 2011
750
814
Airgas, Inc. 6.25% 2014
750
742
Steel Dynamics, Inc. 9.50% 2009
500
524
Huntsman LLC 11.50% 2012
379
438
Sino-Forest Corp. 9.125% 20112 
285
308
   
93,314
     
TELECOMMUNICATION SERVICES — 8.78%
    
Qwest Capital Funding, Inc. 7.75% 2006
260
263
U S WEST Capital Funding, Inc. 6.375% 2008
730
730
Qwest Capital Funding, Inc. 7.00% 2009
2,250
2,295
Qwest Capital Funding, Inc. 7.90% 2010
1,660
1,735
Qwest Capital Funding, Inc. 7.25% 2011
3,100
3,158
Qwest Communications International Inc., Series B, 7.50% 2014
1,500
1,552
U S WEST Capital Funding, Inc. 6.875% 2028
1,325
1,279
Qwest Capital Funding, Inc. 7.75% 2031
370
378
American Tower Corp. 7.25% 2011
675
707
American Tower Corp. 7.125% 2012
8,115
8,480
American Tower Corp. 7.50% 2012
1,925
2,026
American Cellular Corp., Series B, 10.00% 2011
2,425
2,643
Dobson Cellular Systems, Inc. 9.875% 2012
3,950
4,335
Dobson Communications Corp. 8.875% 2013
712
719
AirGate PCS, Inc. 9.375% 20092 
27
28
Nextel Communications, Inc., Series E, 6.875% 2013
505
521
Nextel Communications, Inc., Series D, 7.375% 2015
6,750
7,084
Centennial Cellular Corp. 10.75% 2008
704
722
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC 10.125% 2013
1,695
1,860
Centennial Communications Corp. 10.25% 20131 
2,450
2,548
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC and Centennial Puerto Rico Operations Corp. 8.125% 20141
2,100
2,153
Triton PCS, Inc. 9.375% 2011
800
548
Triton PCS, Inc. 8.50% 2013
5,625
5,372
Intelsat , Ltd. 9.614% 20121 
1,550
1,583
Intelsat , Ltd. 8.25% 2013
2,115
2,163
Intelsat , Ltd. 8.625% 2015
1,685
1,748
Hawaiian Telcom Communications, Inc. 9.75% 20132 
2,260
2,339
Hawaiian Telcom Communications, Inc. 9.948% 20131,2 
1,695
1,737
Hawaiian Telcom Communications, Inc. 9.948% 20131,2 
30
31
Hawaiian Telcom Communications, Inc. 12.50% 20152 
425
434
Rogers Wireless Inc. 7.25% 2012
600
635
Rogers Wireless Inc. 7.50% 2015
3,175
3,421
SBC Communications Inc. 4.125% 2009
2,500
2,393
AT&T Corp. 9.05% 20111 
1,444
1,563
Cincinnati Bell Inc. 7.25% 2013
2,625
2,710
MetroPCS, Inc. 12.00% 20071 
1,250
1,322
MetroPCS, Inc. 9.25% 20111 
1,300
1,336
SBA Communications Corp. 8.50% 2012
2,275
2,537
Rural Cellular Corp. 9.75% 2010
1,250
1,275
Rural Cellular Corp. 10.93% 20121,2 
850
886
Valor Telecommunications Enterprises, LLC and Valor Telecommunications Enterprises Finance Corp. 7.75% 2015
1,740
1,831
Millicom International Cellular SA 10.00% 2013
1,320
1,469
France Télécom 7.75% 20111 
1,000
1,093
Nextel Partners, Inc. 8.125% 2011
1,000
1,063
NTELOS Inc. 9.83% 20121 
1,000
1,015
   
85,720
     
UTILITIES — 5.16%
    
Edison Mission Energy 10.00% 2008
1,750
1,881
Mission Energy Holding Co. 13.50% 2008
2,100
2,420
Edison Mission Energy 7.73% 2009
6,325
6,515
Edison Mission Energy 9.875% 2011
3,600
4,086
Midwest Generation, LLC and Midwest Finance Corp. 8.75% 2034
2,200
2,393
AES Corp. 9.50% 2009
1,646
1,782
AES Corp. 9.375% 2010
747
818
AES Corp. 8.75% 20132 
7,100
7,703
AES Gener SA 7.50% 2014
750
772
AES Red Oak, LLC, Series A, 8.54% 20197 
457
500
Dynegy Holdings Inc. 9.875% 20102 
2,000
2,202
Dynegy Holdings Inc. 10.125% 20132 
3,525
4,043
Nevada Power Co., General and Refunding Mortgage Bonds, Series A, 8.25% 2011
150
165
Nevada Power Co., General and Refunding Mortgage Notes, Series G, 9.00% 2013
2,638
2,919
Sierra Pacific Resources 8.625% 2014
875
954
Nevada Power Co., General and Refunding Mortgage Notes, Series L, 5.875% 2015
275
271
Nevada Power Co., Series M, 5.95% 20162 
500
495
NRG Energy, Inc. 7.25% 2014
2,125
2,165
NRG Energy, Inc. 7.375% 2016
2,300
2,355
PSEG Energy Holdings Inc. 8.625% 2008
2,880
3,017
FPL Energy National Wind Portfolio, LLC 6.125% 20192,7 
1,469
1,431
Electricidad de Caracas Finance BV 10.25% 20142 
735
801
Mirant Americas Generation, Inc. 8.30% 2011
700
728
   
50,416
     
INFORMATION TECHNOLOGY — 5.15%
    
Sanmina-SCI Corp. 6.75% 2013
2,000
1,915
Sanmina-SCI Corp. 8.125% 2016
7,050
7,156
Celestica Inc. 7.875% 2011
4,800
4,920
Celestica Inc. 7.625% 2013
2,250
2,267
SunGard Data Systems Inc. 9.125% 20132 
4,250
4,516
SunGard Data Systems Inc. 10.25% 20152 
1,000
1,057
Electronic Data Systems Corp., Series B, 6.50% 20131 
4,470
4,552
Electronic Data Systems Corp. 7.45% 2029
500
532
Xerox Corp. 7.125% 2010
3,565
3,708
Xerox Corp. 7.625% 2013
1,000
1,057
Serena Software, Inc. 10.375% 20162 
4,175
4,394
MagnaChip Semiconductor SA and MagnaChip Semiconductor Finance Co. 6.875% 2011
2,575
2,485
MagnaChip Semiconductor SA and MagnaChip Semiconductor Finance Co. 8.16% 20111 
250
254
Solectron Global Finance Ltd 8.00% 20162 
2,425
2,443
Lucent Technologies Inc. 7.25% 2006
2,000
2,008
Freescale Semiconductor, Inc. 6.875% 2011
1,700
1,747
Amkor Technology, Inc. 9.25% 2008
425
436
Amkor Technology, Inc. 7.125% 2011
945
874
Amkor Technology, Inc. 7.75% 2013
380
351
Motorola, Inc. 7.625% 2010
80
87
Motorola, Inc. 8.00% 2011
625
701
Motorola, Inc. 7.50% 2025
200
230
Motorola, Inc. 5.22% 2097
650
510
Iron Mountain Inc. 7.75% 2015
1,060
1,073
Jabil Circuit, Inc. 5.875% 2010
875
877
Flextronics International Ltd. 6.50% 2013
200
200
   
50,350
     
FINANCIALS — 4.46%
    
Providian Financial Corp., Series A, 9.525% 20272 
3,500
3,753
Washington Mutual Preferred Funding I Ltd. 6.534% (undated)1,2 
2,500
2,431
Shinsei Finance II (Cayman) Ltd. 7.16% noncumulative preferred (undated)1,2 
5,070
5,043
E*TRADE Financial Corp. 7.375% 2013
225
231
E*TRADE Financial Corp. 7.875% 2015
3,935
4,171
Host Marriott, LP, Series G, 9.25% 2007
75
79
Host Marriott, LP, Series I, 9.50% 2007
100
103
Host Marriott, LP, Series M, 7.00% 2012
2,070
2,125
Host Marriott, LP, Series K, 7.125% 2013
1,125
1,150
Host Marriott, LP, Series O, 6.375% 2015
425
420
Lazard Group LLC 7.125% 2015
2,320
2,414
Longview Fibre Co. 10.00% 2009
2,250
2,374
TuranAlem Finance BV 7.875% 2010
1,500
1,549
TuranAlem Finance BV 8.50% 2015
500
524
TuranAlem Finance BV 8.50% 20152 
260
273
HSBC Finance Corp. 5.00% 2015
2,265
2,142
iStar Financial, Inc., Series B, 4.875% 2009
500
491
iStar Financial, Inc., Series B, 5.70% 2014
1,500
1,465
ILFC E-Capital Trust II 6.25% 20651,2 
2,000
1,920
Rouse Co. 3.625% 2009
615
572
Rouse Co. 7.20% 2012
695
722
Rouse Co. 5.375% 2013
390
364
Mizuho Capital Investment (USD) 1 Ltd. and Mizuho Capital Investment (EUR) 1 Ltd. 6.686% noncumulative preferred (undated)1,2
1,500
1,479
Fairfax Financial Holdings Ltd. 7.75% 2012
1,625
1,438
Downey Financial Corp. 6.50% 2014
1,250
1,248
Sumitomo Mitsui Banking Corp. 5.625% (undated)1,2 
1,250
1,215
Resona Bank, Ltd. 5.85% (undated)1,2 
1,000
972
UnumProvident Finance Co. PLC 6.85% 20152 
800
815
Sovereign Capital Trust I 9.00% 2027
500
536
Kazkommerts International BV 8.50% 2013
500
536
Chevy Chase Bank, FSB 6.875% 2013
500
515
Capital One Financial Corp. 8.75% 2007
500
514
   
43,584
     
CONSUMER STAPLES — 4.13%
    
Rite Aid Corp. 6.125% 20082 
$ 750
$ 733
Rite Aid Corp. 9.50% 2011
1,000
1,060
Rite Aid Corp. 6.875% 2013
3,375
2,970
Rite Aid Corp. 9.25% 2013
875
858
Rite Aid Corp. 7.50% 2015
300
292
Rayovac Corp. 8.50% 2013
1,000
930
Spectrum Brands, Inc. 7.375% 2015
4,240
3,710
Stater Bros. Holdings Inc. 8.41% 20101 
1,100
1,129
Stater Bros. Holdings Inc. 8.125% 2012
2,850
2,861
Jean Coutu Group (PJC) Inc. 7.625% 2012
125
122
Jean Coutu Group (PJC) Inc. 8.50% 2014
3,300
3,044
Vitamin Shoppe Industries, Inc. 12.249% 20121,2 
3,030
3,100
Petro Stopping Centers, LP and Petro Financial Corp. 9.00% 2012
2,235
2,257
Gold Kist Inc. 10.25% 2014
1,982
2,150
Duane Reade Inc. 9.41% 20101 
2,000
1,990
Pathmark Stores, Inc. 8.75% 2012
2,050
1,989
Ahold Finance U.S.A., Inc. 6.25% 2009
410
411
Ahold Finance U.S.A., Inc. 8.25% 2010
790
841
Ahold Lease Pass Through Trust, Series 2001-A-2, 8.62% 20257 
665
715
Playtex Products, Inc. 9.375% 2011
1,800
1,890
Delhaize America, Inc. 8.125% 2011
1,480
1,605
SUPERVALU INC. 7.50% 2012
1,500
1,532
WH Holdings (Cayman Islands) Ltd. and WH Capital Corp. 9.50% 2011
1,125
1,221
Elizabeth Arden, Inc. 7.75% 2014
965
994
Albertson’s, Inc. 8.00% 2031
1,000
933
Constellation Brands, Inc. 8.125% 2012
375
395
Dole Food Co., Inc. 7.25% 2010
200
190
Dole Food Co., Inc. 8.875% 2011
178
177
Winn-Dixie Pass Through Trust, Series 1999-1, Class A-1, 4.40% 20172,7,8
311
252
   
40,351
     
ENERGY — 4.10%
    
Premcor Refining Group Inc. 9.25% 2010
1,200
1,295
Premcor Refining Group Inc. 6.125% 2011
1,500
1,527
Premcor Refining Group Inc. 6.75% 2011
1,650
1,721
Premcor Refining Group Inc. 9.50% 2013
675
748
Premcor Refining Group Inc. 6.75% 2014
1,000
1,039
Premcor Refining Group Inc. 7.50% 2015
350
370
Williams Companies, Inc. 6.375% 20102 
1,000
995
Williams Companies, Inc. 6.536% 20101,2 
1,500
1,539
Northwest Pipeline Corp. 8.125% 2010
1,375
1,458
Williams Companies, Inc. 8.125% 2012
950
1,025
Williams Companies, Inc. 7.875% 2021
250
270
Williams Companies, Inc. 8.75% 2032
1,100
1,292
El Paso Corp. 6.375% 20092 
1,725
1,714
El Paso Energy Corp. 7.75% 20102 
1,570
1,627
El Paso Energy Corp. 7.375% 2012
150
153
El Paso Corp. 7.875% 2012
500
523
El Paso Natural Gas Co. 7.50% 2026
50
52
El Paso CGP Corp. 6.95% 20282 
1,000
930
Southern Natural Gas Co. 7.35% 2031
700
724
Southern Natural Gas Co. 8.00% 2032
125
138
Newfield Exploration Co., Series B, 7.45% 2007
250
257
Newfield Exploration Co. 7.625% 2011
500
534
Newfield Exploration Co. 8.375% 2012
250
269
Newfield Exploration Co. 6.625% 2014
1,325
1,335
Newfield Exploration Co. 6.625% 2016
1,250
1,255
Pogo Producing Co. 6.875% 2017
2,600
2,580
Encore Acquisition Co. 6.00% 2015
2,350
2,203
Drummond Co., Inc. 7.375% 20162 
2,175
2,180
Ultrapetrol Ltd., First Preferred Ship Mortgage Notes, 9.00% 2014
1,875
1,786
Petrozuata Finance, Inc., Series B, 8.22% 20172,7 
1,355
1,341
Petrozuata Finance, Inc., Series B, 8.22% 20177 
350
347
Teekay Shipping Corp. 8.875% 2011
1,500
1,658
Massey Energy Co. 6.875% 20132 
1,500
1,478
Targa Resources, Inc. and Targa Resources Finance Corp. 8.50% 20132 
1,350
1,411
American Commercial Lines LLC and ACL Finance Corp. 9.50% 2015
941
1,040
Overseas Shipholding Group, Inc. 8.25% 2013
650
694
Overseas Shipholding Group, Inc. 7.50% 2024
100
100
Peabody Energy Corp. 5.875% 2016
500
479
   
40,087
     
HEALTH CARE — 3.85%
    
Select Medical Corp. 7.625% 2015
1,120
1,016
Select Medical Holdings Corp. 10.82% 20151,2 
7,000
6,405
Tenet Healthcare Corp. 6.375% 2011
2,975
2,700
Tenet Healthcare Corp. 7.375% 2013
1,525
1,399
Tenet Healthcare Corp. 9.875% 2014
2,800
2,849
Tenet Healthcare Corp. 9.25% 20152 
350
352
Warner Chilcott Corp. 8.75% 20152 
6,130
6,115
Concentra Operating Corp. 9.50% 2010
4,155
4,384
Concentra Operating Corp. 9.125% 2012
600
631
Accellent Inc. 10.50% 2013
2,650
2,842
Columbia/HCA Healthcare Corp. 7.00% 2007
750
763
HCA Inc. 5.50% 2009
500
490
HCA Inc. 6.25% 2013
550
536
HCA Inc. 6.50% 2016
1,000
979
AMR HoldCo, Inc. and EmCare HoldCo, Inc. 10.00% 2015
1,410
1,512
Omnicare, Inc. 6.875% 2015
1,300
1,303
Team Finance LLC and Health Finance Corp. 11.25% 20132 
1,185
1,221
Mylan Laboratories Inc. 5.75% 2010
1,150
1,141
Triad Hospitals, Inc. 7.00% 2012
925
930
   
37,568
     
NON-US GOVERNMENT BONDS & NOTES — 1.03%
    
Argentina (Republic of) 4.278% 20121 
1,625
1,320
Argentina (Republic of) 6.84% 20334,9 
ARS2,492
830
Argentina (Republic of) GDP-Linked 2035
5,935
177
Panama (Republic of) Global 7.125% 2026
$ 310
318
Panama (Republic of) Global 9.375% 2029
250
318
Panama (Republic of) Global 6.70% 2036
1,362
1,366
Russian Federation 8.25% 2010
889
942
Russian Federation 8.25% 20102 
667
707
United Mexican States Government Global 11.375% 2016
1,015
1,433
Brazil (Federal Republic of) Global 7.875% 2015
250
271
Brazil (Federal Republic of) Global 11.00% 2040
550
706
Dominican Republic 9.04% 20182,4 
668
728
Colombia (Republic of) Global 10.75% 2013
500
624
Turkey (Republic of) 12.375% 2009
250
297
   
10,037
     
     
     
MORTGAGE-BACKED OBLIGATIONS — 0.61%
    
Tower Ventures, LLC, Series 2006-1, Class F, 7.036% 20362,7 
$5,970
$ 5,928
     
ASSET-BACKED OBLIGATIONS — 0.29%
    
Consumer Credit Reference Index Securities Program Trust, Series 2002-2A, Class FX, 10.421% 20072,7 
2,750
2,812
     
MUNICIPALS — 0.14%
    
State of Winsconsin, Badger Tobacco Asset Securitization Corp., Tobacco Settlement Asset-backed Bonds, 6.125% 2027
1,315
1,391
     
     
Total bonds & notes (cost: $799,300,000)
  
799,966
     
     
 
Shares or or
  
Convertible securities — 2.60%
principal amountnt
  
     
CONSUMER DISCRETIONARY — 1.06%
    
Amazon.com, Inc. 6.875% PEACS convertible notes 2010
€2,593,000
3,190
Gray Communications Systems, Inc., Series C, 8.00% convertible preferred 20122,4,6 
300
2,869
General Motors Corp., Series B, 5.25% convertible debentures 2032
$3,647,500
2,369
Six Flags, Inc. 7.25% PIERS convertible preferred 2009
80,000
1,884
   
10,312
     
INFORMATION TECHNOLOGY — 0.56%
    
Conexant Systems, Inc. 4.00% convertible notes 2007
$3,600,000
3,533
SCI Systems, Inc. 3.00% convertible debentures 2007
$2,000,000
1,945
   
5,478
     
INDUSTRIALS — 0.45%
    
Cummins Capital Trust I 7.00% QUIPS convertible preferred 20312 
40,000
4,423
     
TELECOMMUNICATION SERVICES — 0.28%
    
American Tower Corp. 5.00% convertible debentures 2010
$2,750,000
2,736
     
UTILITIES — 0.20%
    
AES Trust VII 6.00% convertible preferred 2008
40,000
1,934
     
MISCELLANEOUS — 0.05%
    
Other convertible securities in initial period of acquisition
  
523
     
     
Total convertible securities (cost: $20,973,000)
  
25,406
     
     
Preferred stocks — 2.50%
Sharesss
  
     
FINANCIALS — 2.50%
    
Fuji JGB Investment LLC, Series A, 9.87% noncumulative preferred1,2 
5,500,000
5,974
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred1,2 
2,000,000
2,128
Tokai Preferred Capital Co. LLC, Series A, 9.98% noncumulative preferred1,2 
6,114,000
6,652
Swire Pacific Capital Ltd. 8.84% cumulative guaranteed perpetual capital securities2 
160,000
4,220
First Republic Capital Corp., Series A, 10.50% preferred2 
2,000
2,200
SB Treasury Co. LLC, Series A, 9.40% noncumulative preferred1,2 
2,000,000
2,153
Fannie Mae, Series O, 7.065% preferred2 
20,000
1,081
   
24,408
     
     
INFORMATION TECHNOLOGY — 0.00%
    
ZiLOG, Inc. — MOD III Inc., units6,10 
250
$ 37
     
CONSUMER DISCRETIONARY — 0.00%
    
Adelphia Communications Corp., Series B, 13.00% preferred 200910 
10,000
5
     
     
Total preferred stocks (cost: $21,329,000)
  
24,450
     
     
Common stocks — 1.74%
    
     
TELECOMMUNICATION SERVICES — 0.53%
    
Sprint Nextel Corp.
127,382
3,292
Dobson Communications Corp., Class A2,10 
237,211
1,902
XO Holdings, Inc.10 
641
2
   
5,196
     
UTILITIES — 0.53%
    
Drax Group PLC10 
386,481
5,192
     
INDUSTRIALS — 0.38%
    
DigitalGlobe Inc.2,6,10 
3,677,578
3,678
Delta Air Lines, Inc.2,10 
93,360
53
   
3,731
     
FINANCIALS — 0.13%
    
Beverly Hills Bancorp Inc.
114,900
1,218
     
CONSUMER DISCRETIONARY — 0.12%
    
Clear Channel Communications, Inc.
25,506
740
Radio One, Inc., Class D, nonvoting10 
34,000
254
Radio One, Inc., Class A10 
17,000
127
ACME Communications, Inc.10 
13,100
54
   
1,175
     
INFORMATION TECHNOLOGY — 0.05%
    
ZiLOG, Inc.10 
153,000
470
     
HEALTH CARE — 0.00%
    
Clarent Hospital Corp.6,10 
80,522
40
     
     
Total common stocks (cost: $13,122,000)
  
17,022
     
     
Rights & warrants — 0.01%
    
     
TELECOMMUNICATION SERVICES — 0.01%
    
American Tower Corp., warrants, expire 20082,10 
250
107
XO Holdings, Inc., Series A, warrants, expire 201010 
1,284
1
XO Holdings, Inc., Series B, warrants, expire 201010 
963
0
XO Holdings, Inc., Series C, warrants, expire 201010 
963
0
KMC Telecom Holdings, Inc., warrants, expire 20082,6,10 
9,500
—
GT Group Telecom Inc., warrants, expire 20102,6,10
4,000
—
     
Total rights & warrants (cost: $461,000)
  
108
     
 
Principal amount
Market value
Short-term securities — 9.07%
(000)
(000)
     
Preferred Receivables Funding Corp. 4.77% due 5/4/20062 
$10,000
$ 9,955
Park Avenue Receivables Co., LLC 4.74% due 4/24/20062 
9,600
9,570
Wal-Mart Stores Inc. 4.41%-4.71% due 4/4-5/9/20062 
18,000
17,972
NetJets Inc. 4.56% due 4/27/20062 
10,000
9,968
NetJets Inc. 4.68% due 5/15/20062,11 
3,200
3,182
Procter & Gamble Co. 4.60% due 4/20/20062 
8,000
7,980
Federal Home Loan Bank 4.62% due 5/19/200611 
7,500
7,453
Variable Funding Capital Corp. 4.74% due 5/19/20062 
7,200
7,155
Concentrate Manufacturing Co. of Ireland 4.55% due 4/3/20062 
6,700
6,697
CAFCO, LLC 4.74% due 5/16/20062,11 
4,400
4,373
Three Pillars Funding, LLC 4.85% due 4/3/20062 
4,200
4,198
     
Total short-term securities (cost: $88,497,000)
  
88,503
     
     
Total investment securities (cost: $943,682,000)
  
955,455
Other assets less liabilities
  
21,404
     
Net assets
  
$976,859
 

“Miscellaneous” securities include holdings in their initial period of acquisition that have not previously been publicly disclosed.


1Coupon rate may change periodically.
2Purchased 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 $274,257,000, which represented 28.08% of the net assets of the fund.
3Step bond; coupon rate will increase at a later date.
4Payment in kind; the issuer has the option of paying additional securities in lieu of cash.
5Company not making scheduled interest payments; bankruptcy proceedings pending.
6Valued under fair value procedures adopted by authority of the board of trustees.
7Pass-through security backed by a pool of mortgages or other loans on which principal payments are periodically made. Therefore, the effective maturity is shorter than the stated maturity.
8Scheduled interest payments not made; reorganization pending.
9Index-linked bond whose principal amount moves with a government retail price index.
10Security did not produce income during the last 12 months.
11This security, or a portion of this security, has been segregated to cover funding requirements on investment transactions settling in the future.
 

Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$ 36,706
Gross unrealized depreciation on investment securities
  
(25,945)
Net unrealized appreciation on investment securities
  
10,761
Cost of investment securities for federal income tax purposes
  
944,694


U.S. Government/AAA-Rated Securities Fund
Investment portfolio
 

March 31, 2006
  
unaudited
     
 
Principal amount
Market value
Bonds & notes — 94.81%
(000)
(000)
     
MORTGAGE-BACKED OBLIGATIONS1— 45.46%
    
Fannie Mae, Series 1998-M6, Class A-2, ACES, 6.32% 2008
$ 591
$ 600
Fannie Mae, Series 2000-T5B, 7.30% 2010
2,000
2,150
Fannie Mae, Series 2003-T1, Class B, 4.491% 2012
3,500
3,346
Fannie Mae, Series 2002-T11, Class A, 4.769% 2012
1,486
1,464
Fannie Mae 6.00% 2013
309
313
Fannie Mae 12.00% 2015
100
113
Fannie Mae 6.00% 2016
384
389
Fannie Mae 6.00% 2016
157
160
Fannie Mae 5.00% 2017
5,809
5,681
Fannie Mae 5.50% 2017
3,363
3,349
Fannie Mae 6.00% 2017
281
285
Fannie Mae 6.00% 2017
239
242
Fannie Mae 6.00% 2017
197
200
Fannie Mae 9.00% 2018
36
39
Fannie Mae 10.00% 2018
164
182
Fannie Mae, Series 2001-4, Class GB, 10.298% 20182 
542
596
Fannie Mae, Series 2001-4, Class GA, 10.254% 20252 
215
236
Fannie Mae, Series 2001-4, Class NA, 10.298% 20252 
610
680
Fannie Mae, Series 1997-M6, Class ZA, 6.85% 2026
9,651
9,859
Fannie Mae 7.00% 2026
177
184
Fannie Mae 8.50% 2027
124
133
Fannie Mae 8.50% 2027
118
126
Fannie Mae 7.00% 2028
175
181
Fannie Mae, Series 2002-W3, Class A-5, 7.50% 2028
917
949
Fannie Mae, Series 2002-W7, Class A-5, 7.50% 2029
617
640
Fannie Mae 7.50% 2029
68
71
Fannie Mae 7.50% 2029
53
55
Fannie Mae 6.50% 2031
213
219
Fannie Mae 6.50% 2031
151
154
Fannie Mae 6.50% 2031
135
138
Fannie Mae 6.50% 2031
133
136
Fannie Mae 6.50% 2031
105
108
Fannie Mae 6.50% 2031
95
98
Fannie Mae 6.50% 2031
63
64
Fannie Mae 7.00% 2031
133
137
Fannie Mae 7.50% 2031
372
389
Fannie Mae 7.50% 2031
98
103
Fannie Mae 7.50% 2031
55
57
Fannie Mae 7.50% 2031
17
18
Fannie Mae, Series 2001-20, Class C, 12.033% 20312 
421
469
Fannie Mae 6.50% 2032
684
700
Fannie Mae 6.50% 2032
594
608
Fannie Mae 6.50% 2032
540
552
Fannie Mae 7.00% 2032
580
598
Fannie Mae 7.00% 2032
76
78
Fannie Mae 4.185% 20332 
3,165
3,118
Fannie Mae 5.50% 2034
2,653
2,591
Fannie Mae 6.00% 2034
17,520
17,533
Fannie Mae 6.00% 2034
2,186
2,188
Fannie Mae 6.00% 2034
1,376
1,377
Fannie Mae 6.00% 2034
965
967
Fannie Mae 4.495% 20352 
2,289
2,237
Fannie Mae, Series 2005-29, Class AK, 4.50% 2035
1,895
1,811
Fannie Mae 5.00% 2035
6,562
6,247
Fannie Mae 5.50% 2035
15,551
15,191
Fannie Mae 6.00% 2035
4,713
4,717
Fannie Mae 6.00% 2035
2,479
2,482
Fannie Mae 5.50% 2036
25,380
24,769
Fannie Mae 6.00% 2036
10,580
10,580
Fannie Mae 6.00% 2036
2,250
2,250
Fannie Mae 6.00% 2036
641
642
Fannie Mae, Series 1999-T2, Class A-1, 7.50% 2039
687
713
Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041
671
689
Fannie Mae, Series 2001-50, Class BA, 7.00% 2041
642
661
Fannie Mae, Series 2002-W1, Class 2A, 7.50% 2042
124
128
Freddie Mac, Series H009, Class A-2, 1.876% 20082 
1
1
Freddie Mac 7.00% 2008
75
76
Freddie Mac 8.25% 2008
90
91
Freddie Mac 8.25% 2008
12
12
Freddie Mac 8.25% 2009
20
20
Freddie Mac 8.00% 2012
34
35
Freddie Mac 6.00% 2014
117
119
Freddie Mac 4.00% 2015
837
784
Freddie Mac 7.00% 2015
106
108
Freddie Mac 8.00% 2017
152
158
Freddie Mac 8.50% 2018
15
15
Freddie Mac 11.00% 2018
73
81
Freddie Mac, Series 1567, Class A, 4.781% 20232 
483
447
Freddie Mac 8.50% 2027
50
53
Freddie Mac 9.00% 2030
346
374
Freddie Mac 4.062% 20332 
316
310
Freddie Mac 4.613% 20352 
3,356
3,278
Freddie Mac 4.65% 20352 
9,311
9,094
Freddie Mac 5.00% 2035
4,478
4,259
Freddie Mac 5.00% 2035
3,960
3,767
Freddie Mac 5.00% 2035
3,884
3,695
Freddie Mac 5.00% 2035
1,992
1,895
Freddie Mac 5.00% 2035
1,965
1,869
Freddie Mac 5.50% 2035
990
967
Freddie Mac 5.50% 2035
985
962
Freddie Mac, Series 3061, Class PN, 5.50% 2035
733
727
Freddie Mac 6.00% 2036
10,331
10,338
Government National Mortgage Assn. 9.50% 2009
238
248
Government National Mortgage Assn., Series 2004-84, Class A, 3.624% 2017
921
885
Government National Mortgage Assn., Series 2002-28, Class A, 4.776% 2018
448
448
Government National Mortgage Assn. 9.50% 2020
210
234
Government National Mortgage Assn. 8.50% 2021
141
151
Government National Mortgage Assn. 8.50% 2022
129
137
Government National Mortgage Assn. 8.50% 2022
23
24
Government National Mortgage Assn. 8.50% 2022
15
16
Government National Mortgage Assn. 8.50% 2023
179
191
Government National Mortgage Assn. 3.75% 20352 
882
855
Government National Mortgage Assn. 4.00% 20352 
2,422
2,352
Government National Mortgage Assn. 4.00% 20352 
1,410
1,374
Government National Mortgage Assn. 6.50% 2036
10,000
10,256
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A-1, 4.326% 2034
1,143
1,107
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1, Class A-1, 3.972% 2039
1,341
1,291
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2003-PM1, Class A-2, 4.262% 2040
2,000
1,947
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A-2, 4.79% 2042
1,000
975
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP1, Class A-2, 4.625% 2046
1,000
976
Countrywide Alternative Loan Trust, Series 2005-62, Class 2-A-1, 4.618% 20352 
2,986
2,986
Countrywide Alternative Loan Trust, Series 2005-40CB, Class A-1, 5.50% 2035
948
930
Countrywide Alternative Loan Trust, Series 2005-46CB, Class A-8, 5.50% 2035
911
901
Countrywide Alternative Loan Trust, Series 2005-21CB, Class A-17, 6.00% 2035
1,312
1,290
Morgan Stanley Capital I, Inc., Series 1998-HF2, Class A-2, 6.48% 2030
5,555
5,668
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A-7, 3.842% 20332 
844
823
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A, 4.03% 20332 
925
918
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR6, Class A-1, 4.342% 20332 
1,111
1,086
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR1, Class A, 4.229% 20342 
638
621
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR2, Class 2-A1, 5.814% 20372 
1,234
1,224
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR15, Class A-1-A, 5.078% 20452 
970
973
Banc of America Commercial Mortgage Inc., Series 2001-1, Class A-2, 6.503% 2036
2,877
2,983
Banc of America Commercial Mortgage Inc., Series 2004-5, Class A-1, 3.812% 2041
843
820
Banc of America Commercial Mortgage Inc., Series 2005-5, Class A-3B, 5.229% 2045
1,500
1,477
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22, Class 5-A1, 6.04% 20352 
1,171
1,171
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-2, Class 5-A-1, 6.00% 20362 
2,728
2,729
Chase Commercial Mortgage Securities Corp., Series 1998-2, Class A-2, 6.39% 2030
3,087
3,151
Chase Commercial Mortgage Securities Corp., Series 2000-2, Class A-1, 7.543% 2032
667
692
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-1, 6.341% 20333 
401
404
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-3, 6.428% 2035
3,050
3,165
CS First Boston Mortgage Securities Corp., Series 2003-AR12, Class II-A-2, 4.319% 20332 
261
260
CS First Boston Mortgage Securities Corp., Series 2003-29, Class V-A-1, 7.00% 2033
256
260
CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A-3, 6.387% 2036
1,000
1,038
CS First Boston Mortgage Securities Corp., Series 2002-CKN2, Class A-1, 4.637% 2037
559
557
CS First Boston Mortgage Securities Corp., Series 2005-C6, Class A-3, 5.23% 2040
1,000
976
Bear Stearns Commercial Mortgage Securities Inc., Series 1998-C1, Class A-1, 6.34% 2030
357
361
Bear Stearns Commercial Mortgage Securities Inc., Series 2001-TOP2, Class A-1, 6.08% 2035
602
606
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-1, 3.688% 2041
365
357
Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR6, Class A-4, 4.521% 2041
1,750
1,664
J.P. Morgan Mortgage Trust, Series 2005-A1, Class 4-A-1, 4.781% 20352 
2,974
2,849
Commercial Mortgage Trust, Series 2003-LNB1, Class A-2, 4.084% 2038
2,000
1,832
Commercial Mortgage Trust, Series 2004-LB2A, Class A-2, 3.60% 2039
1,000
957
Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.525% 20272,3 
681
691
Structured Asset Securities Corp., Series 1998-RF1, Class A, 8.739% 20272,3 
1,059
1,072
Structured Asset Securities Corp., Series 1999-RF1, Class A, 7.846% 20282,3 
554
567
Structured Asset Securities Corp., Series 2003-17A, Class 3-A1, 4.01% 20332 
395
390
LB-UBS Commercial Mortgage Trust, Series 2001-C7, Class A-3, 5.642% 2025
856
862
LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A-2, 7.95% 2025
500
542
LB-UBS Commercial Mortgage Trust, Series 2002-C4, Class A-2, 4.023% 2026
1,250
1,217
Bear Stearns ARM Trust, Series 2003-3, Class II-A-2, 4.062% 20332 
278
272
Bear Stearns ARM Trust, Series 2005-10, Class A-3, 4.65% 20352 
2,000
1,925
Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Class A-PB, 4.692% 2041
1,000
960
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A-2, 4.782% 2042
1,250
1,223
GMAC Commercial Mortgage Securities, Inc., Series 1997-C1, Class A-3, 6.869% 2029
841
854
GMAC Commercial Mortgage Securities, Inc., Series 2001-C1, Class A-2, 6.465% 2034
1,250
1,298
Crown Castle Towers LLC, Series 2005-1, Class A-FX, 4.643% 20353 
2,000
1,936
DLJ Commercial Mortgage Corp., Series 1998-CF2, Class A-1B, 6.24% 2031
1,250
1,275
DLJ Commercial Mortgage Corp., Series 1999-CG1, Class A-1B, 6.46% 2032
500
514
Tower Ventures, LLC, Series 2006-1, Class A1-FX, 5.361% 20363 
1,650
1,636
Ocwen Residential MBS Corp., Series 1998-R1, Class AWAC, 5.335% 20402,3 
1,679
1,615
CHL Mortgage Pass-Through Trust, Series 2003-HYB3, Class 4-A-1, 3.459% 20332 
667
652
CHL Mortgage Pass-Through Trust, Series 2005-HYB8, Class 4-A-1, 5.72% 20352 
919
912
Citigroup Commercial Mortgage Trust, Series 2004-C2, Class A-1, 3.787% 2041
1,595
1,555
Morgan Stanley Dean Witter Capital I Trust, Series 2001-TOP5, Class A-3, 6.16% 2035
1,500
1,533
IndyMac INDX Mortgag Loan Trust, Series 2006-AR5, Class 2-A-1, 5.892% 20362 
1,250
1,246
Residential Asset Mortgage Products Trust, Series 2004-RS9, Class A-I-4, AMBAC insured, 4.767% 2032
1,250
1,231
Nomura Asset Securities Corp., Series 1998-D6, Class A-1A, 6.28% 2030
1,057
1,061
First Union National Bank Commercial Mortgage Trust, Series 2002-C1, Class A-1, 5.585% 2034
895
900
Residential Accredit Loans, Inc., Series 2005-QR1, Class A, 6.00% 2034
876
867
Banc of America Alternative Loan Trust, Series 2005-6, Class 2-CB-2, 6.00% 2035
871
858
GGP Mall Properties Trust, Series 2001-GGP1, Class A-2, 5.007% 20113 
837
837
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class II-A-1, 4.60% 20342 
677
665
Banc of America Mortgage Securities Trust, Series 2003-E, Class 2-A-2, 4.35% 20332 
673
660
SBA CMBS Trust, Series 2005-1, Class A, 5.369% 20353 
600
596
Washington Mutual Securities Corp., Series 2005-AR1, Class A-1-A, 5.078% 20352 
482
482
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-1, 6.079% 2033
300
304
   
283,679
     
U.S. TREASURY BONDS & NOTES — 27.89%
    
U.S. Treasury 3.625% 2009
15,750
15,180
U.S. Treasury 5.50% 20094 
9,250
9,436
U.S. Treasury 4.00% 2010
20,000
19,411
U.S. Treasury 5.75% 2010
29,300
30,376
U.S. Treasury 3.875% 2013
11,000
10,371
U.S. Treasury 4.25% 2013
11,500
11,062
U.S. Treasury 2.00% 20145 
5,365
5,236
U.S. Treasury Principal Strip 0% 2014
4,000
2,722
U.S. Treasury 7.50% 2016
1,500
1,812
U.S. Treasury 8.875% 2017
3,690
4,927
U.S. Treasury 8.125% 2019
3,500
4,542
U.S. Treasury 8.875% 2019
13,095
17,830
U.S. Treasury Principal Strip 0% 2019
8,635
4,514
U.S. Treasury 7.875% 2021
3,000
3,873
U.S. Treasury 6.50% 2026
10,000
11,820
U.S. Treasury 5.375% 2031
2,639
2,778
U.S. Treasury 4.50% 2036
19,350
18,159
   
174,049
     
FEDERAL AGENCY BONDS & NOTES — 10.44%
    
Freddie Mac 6.625% 2009
6,575
6,881
Freddie Mac 4.125% 2010
2,750
2,639
Freddie Mac 5.50% 2011
4,000
4,062
Freddie Mac 5.00% 2014
8,000
7,908
Small Business Investment Companies, Participating Securities, Series SBIC-PS 2006-10A, 5.408% 20161 
6,000
5,868
Small Business Administration, Series 2001-20K, 5.34% 20211 
1,122
1,123
Small Business Administration, Series 2001-20J, 5.76% 20211 
857
868
Small Business Administration, Series 2001-20F, 6.44% 20211 
2,514
2,609
Small Business Administration, Series 2002-20J, 4.75% 20221 
2,014
1,940
Small Business Administration, Series 2002-20K, 5.08% 20221 
1,918
1,882
Small Business Administration, Series 2003-20B, 4.84% 20231 
3,019
2,918
Small Business Administration, Series 2003-20J, 4.92% 20231 
2,508
2,432
Fannie Mae 6.00% 2008
7,000
7,125
Fannie Mae 6.625% 2009
750
785
Federal Home Loan Bank 3.75% 2007
5,410
5,311
Federal Home Loan Bank 3.75% 2008
500
484
Republic of Egypt; United States Agency for International Development 4.45% 2015
3,250
3,069
State of Israel; United States Agency for International Development, Class 1-A, 5.50% 2023
2,000
2,050
Federal Agricultural Mortgage Corp. 4.25% 2008
1,750
1,715
Federal Agricultural Mortgage Corp. 4.875% 20113 
1,000
985
United States Government-Guaranteed Ship Financing Obligations, Rowan Companies, Inc. (Title XI) 5.88% 20121 
2,455
2,494
   
65,148
     
ASSET-BACKED OBLIGATIONS1— 9.98%
    
Long Beach Acceptance Auto Receivables Trust, Series 2004-C, Class A-3, FSA insured, 3.402% 2009
750
743
Long Beach Acceptance Auto Receivables Trust, Series 2004-A, Class A-2, FSA insured, 2.841% 20102 
2,000
1,946
Long Beach Acceptance Auto Receivables Trust, Series 2005-B, Class A-4, FSA insured, 4.522% 2012
3,000
2,937
PG&E Energy Recovery Funding LLC, Series 2005-2, Class A-2, 5.03% 2014
5,000
4,958
West Penn Funding LLC, Transition Bonds, Series 2005-A, Class A-1, 4.46% 20103 
4,820
4,699
WFS Financial Owner Trust, Series 2002-3, Class A-4, 3.50% 2010
1,634
1,623
WFS Financial Owner Trust, Series 2004-1, Class A-4, 2.81% 2011
3,000
2,915
UPFC Auto Receivables Trust, Series 2005-B, Class A-3, XLCA insured, 4.98% 2011
4,000
3,983
Countryplace Manufactured Housing Contract, Series 2005-1, Class A-3, AMBAC insured, 4.80% 20353 
2,650
2,540
Spirit Master Funding LLC, Net-Lease Mortgage Notes, Series 2005-1, Class A-1, AMBAC insured, 5.05% 20233 
2,429
2,305
Nordstrom Private Label Credit Card Master Note Trust, Series 2001-1, Class A, 4.82% 20103 
2,250
2,247
Citibank Credit Card Issuance Trust, Class 2003-A3, 3.10% 2010
2,250
2,164
CWABS, Inc., Series 2004-12, Class 2-AV-2, 5.098% 20332 
2,110
2,113
First Investors Auto Owner Trust, Series 2006-A, Class A-4, MBIA insured, 5.00% 20133 
2,000
1,986
PCR Auto Receivables Trust, Series 2004-1, Class A-2, XLCA insured, 3.995% 20103 
2,000
1,984
Illinois Power Special Purpose Trust, Series 1998-1, Class A-7, 5.65% 2010
1,835
1,849
Massachusetts RRB Special Purpose Trust, Series 2005-1, Class A-4, 4.40% 2015
1,850
1,751
Drivetime Auto Owner Trust, Series 2005-A, Class A-3, MBIA insured, 4.302% 20093 
750
742
Drivetime Auto Owner Trust, Series 2004-C, Class A-3, XLCA insured, 3.493% 20103 
1,000
986
ARG Funding Corp., Series 2005-2, Class A-1, AMBAC insured, 4.54% 20093 
1,000
987
ARG Funding Corp., Series 2005-1, Class A-3, MBIA insured, 4.29% 20113 
750
719
Capital One Master Trust, Series 1998-1, Class A, 6.31% 2011
1,550
1,583
Hertz Vehicle Financing LLC, Rental Car Asset-backed Notes, Series 2005-1, Class A-5, MBIA insured, 5.08% 20113 
1,550
1,527
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-3, 5.70% 2023
1,500
1,498
Drive Auto Receivables Trust, Series 2005-2, Class A-2, MBIA insured, 4.12% 20103 
750
743
Drive Auto Receivables Trust, Series 2005-2, Class A-3, MBIA insured, 4.26% 20123 
750
728
MBNA Credit Card Master Note Trust, Series 2005-6, Class A, 4.50% 2013
1,500
1,458
CPS Auto Receivables Trust, Series 2003-A, Class A-2, XLCA insured, 2.89% 20093 
292
291
CPS Auto Receivables Trust, Series 2002-B, Class A-2, XLCA insured, 3.50% 20093 
150
149
CPS Auto Receivables Trust, Series 2002-C, Class A-2, XLCA insured, 3.52% 20093 
132
131
CPS Auto Receivables Trust, Series 2004-D, Class A-2, XLCA insured, 3.86% 20113 
796
786
Specialty Underwriting and Residential Finance Trust, Series 2004-BC4, Class A-2B, 5.128% 20352 
1,000
1,002
Morgan Stanley ABS Capital I, Inc., Series 2004-OP1, Class A-2B, 5.108% 20342 
1,000
1,002
PG&E Energy Recovery Funding LLC, Series 2005-1, Class A-3, 4.14% 2012
1,000
967
Saxon Asset Securities Trust, Series 2002-2, Class AF-5, 5.99% 2031
556
556
Saxon Asset Securities Trust, Series 2004-2, Class AF-5, 4.99% 2035
400
396
PSE&G Transition Funding II LLC, Series 2005-1, Class A-2, 4.34% 2014
875
841
MMCA Auto Owner Trust, Series 2002-4, Class A-4, 3.05% 2009
749
744
AMRESCO Residential Securities Corp. Mortgage Loan Trust, Series 1997-2, Class A-7, 7.57% 2027
736
734
AmeriCredit Automobile Receivables Trust, Series 2002-C, Class A-4, FSA insured, 3.55% 2009
689
682
Seawest Securitization, LLC, Series 2003-A, Class A-2, XLCA insured, 2.84% 20093 
197
195
Financial Pacific Funding II, LLC, Series 2003-A, Class A, FSA insured, 2.29% 20093 
108
107
   
62,297
     
     
INDUSTRIALS — 0.73%
    
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class G, MBIA insured, 6.664% 20131,3 
$ 2,477
$ 2,583
Southern Capital Corp. Pass Through Trust, Series 2002-1, Class G, MBIA insured, 5.70% 20231,3 
1,378
1,360
General Electric Capital Corp., Series A, 6.75% 2032
550
614
   
4,557
     
UTILITIES — 0.24%
    
Chilquinta Energia Finance Co. LLC, MBIA insured, 6.47% 20083 
1,500
1,526
     
ENERGY — 0.07%
    
Petroleum Export Ltd., Class A-1, MBIA insured, 4.623% 20101,3 
472
464
     
     
Total bonds & notes (cost: $600,798,000)
  
591,720
     
     
Short-term securities — 10.73%
    
     
Federal Home Loan Bank 4.62% due 5/19/20064 
13,500
13,415
DuPont (E.I.) de Nemours & Co. 4.63% due 5/10/20063,4 
11,800
11,739
International Lease Finance Corp. 4.65% due 4/24/2006
11,600
11,564
Park Avenue Receivables Co., LLC 4.65% due 4/12/20063 
10,000
9,985
NetJets Inc. 4.68% due 5/15/20063,4 
9,600
9,545
Three Pillars Funding, LLC 4.85% due 4/3/20063 
7,400
7,397
Procter & Gamble Co. 4.52% due 4/7/20063 
3,300
3,297
     
Total short-term securities (cost: $66,941,000)
  
66,942
     
     
Total investment securities (cost: $667,739,000)
  
658,662
Other assets less liabilities
  
(34,571)
     
Net assets
  
$624,091
 
1Pass-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.
2Coupon rate may change periodically.
3Purchased 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 $82,087,000, which represented 13.15% of the net assets of the fund.
4This security, or a portion of this security, has been segregated to cover funding requirements on investment transactions settling in the future.
5Index-linked bond whose principal amount moves with a government retail price index.


Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
  
$ 2,143
Gross unrealized depreciation on investment securities
  
(11,220)
Net unrealized depreciation on investment securities
  
(9,077)
Cost of investment securities for federal income tax purposes
  
667,739
     
 

Cash Management Fund
Investment portfolio
 

March 31, 2006
  
unaudited
     
 
Principal amount
Market value
Short-term securities — 98.28%
(000)
(000)
     
CORPORATE SHORT-TERM NOTES — 82.90%
    
Barclays U.S. Funding LLC 4.615% due 4/21/2006
$7,100
$ 7,081
Scripps (E.W.) Co. 4.67% due 5/17/20061 
6,800
6,760
Caterpillar Financial Services Corp. 4.50%-4.59% due 4/10-4/17/2006
6,400
6,390
American Express Credit Corp. 4.56% due 4/25/2006
6,400
6,380
Park Avenue Receivables Co., LLC 4.70% due 5/10/20061 
6,000
5,969
Preferred Receivables Funding Corp. 4.71% due 5/12/20061 
353
351
CAFCO, LLC 4.56% due 4/17/20061 
6,200
6,187
GlaxoSmithKline Finance PLC 4.53% due 4/19/2006
6,200
6,186
Wal-Mart Stores Inc. 4.50% due 4/5/20061 
6,000
5,996
Bank of America Corp. 4.545%-4.555% due 4/7/2006
6,000
5,995
Swedish Export Credit Corp. 4.58% due 4/10/2006
6,000
5,992
Triple-A One Funding Corp. 4.64% due 4/13/20061 
6,000
5,990
Harley-Davidson Funding Corp. 4.52% due 4/18/20061 
6,000
5,986
Pfizer Investment Capital PLC 4.61% due 4/18/20061 
6,000
5,986
Concentrate Manufacturing Co. of Ireland 4.68% due 4/19/20061 
6,000
5,985
IBM Capital Inc. 4.69% due 4/26/20061 
6,000
5,980
IXIS Commercial Paper Corp. 4.71% due 4/26/20061 
6,000
5,980
KfW International Finance Inc. 4.70% due 5/5/20061 
6,000
5,973
Anheuser-Busch Companies, Inc. 4.60% due 5/10/20061 
6,000
5,970
HSBC Finance Corp. 4.66% due 5/9/2006
6,000
5,970
NetJets Inc. 4.77% due 5/23/20061 
6,000
5,958
American General Finance Corp. 4.78% due 5/26/2006
6,000
5,955
Hershey Co. 4.68% due 4/24/20061 
5,900
5,882
Old Line Funding, LLC 4.58% due 4/13/20061 
5,800
5,790
Shell International Finance BV 4.73% due 5/23/2006
5,800
5,760
Amsterdam Funding Corp. 4.57%-4.59% due 4/6-4/11/20061 
5,500
5,493
Variable Funding Capital Corp. 4.64%-4.79% due 4/20-5/19/20061 
5,500
5,484
Colgate-Palmolive Co. 4.70% due 4/21/20061 
5,400
5,385
HBOS Treasury Services PLC 4.78% due 5/17/2006
5,300
5,267
Harvard University 4.52% due 4/24/2006
5,000
4,985
Medtronic Inc. 4.56% due 5/1/20061 
5,000
4,980
Three Pillars Funding, LLC 4.62%-4.75% due 4/7-4/19/20061 
4,985
4,975
McCormick & Co., Inc. 4.71% due 5/16/20061 
5,000
4,970
Chevron Funding Corp. 4.45% due 4/7/2006
4,700
4,696
Pitney Bowes Inc. 4.72% due 4/11/20061 
4,100
4,094
Barton Capital LLC 4.75% due 5/9/20061 
4,100
4,079
Toyota Motor Credit Corp. 4.52% due 4/12/2006
4,000
3,994
Clipper Receivables Co., LLC 4.56% due 4/12/20061 
4,000
3,994
FCAR Owner Trust I 4.76% due 4/24/2006
4,000
3,987
Coca-Cola Co. 4.55% due 4/28/2006
4,000
3,986
Allied Irish Banks N.A. Inc. 4.75% due 5/15/20061 
2,300
2,286
   
219,107
     
     
     
U.S. TREASURIES — 6.17%
    
U.S. Treasury Bills 4.39%-4.4415% due 4/20-4/27/2006
$16,350
$ 16,307
     
CERTIFICATES OF DEPOSIT — 4.99%
    
Wells Fargo Bank, N.A. 4.55% due 4/3/2006
7,000
7,000
Canadian Imperial Bank of Commerce 4.59% due 4/13/2006
6,200
6,200
   
13,200
     
FEDERAL AGENCY DISCOUNT NOTES — 4.22%
    
Federal Home Loan Bank 4.49% due 4/21/2006
5,900
5,885
Tennessee Valley Authority 4.525% due 4/27/2006
5,300
5,282
   
11,167
     
     
Total investment securities (cost: $259,775,000)
  
259,781
Other assets less liabilities
  
4,535
     
Net assets
  
$264,316
 


1Purchased 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 $136,483,000, which represented 51.64% of the net assets of the fund.
 

Federal income tax information
  
(dollars in thousands)
     
Gross unrealized appreciation on investment securities
 
$ 6
Gross unrealized depreciation on investment securities
  
—
Net unrealized appreciation on investment securities
  
6
Cost of investment securities for federal income tax purposes
  
259,775
 
MFGEFP-995-0506-S4545


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.

 
AMERICAN FUNDS INSURANCE SERIES
   
 
By /s/ James K. Dunton
 
James K. Dunton, Vice Chairman and PEO
   
 
Date: May 26, 2006



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/ James K. Dunton
James K. Dunton, Vice Chairman and PEO
 
Date: May 26, 2006



By /s/ David A. Pritchett
David A. Pritchett, Treasurer and PFO
 
Date: May 26, 2006