N-Q 1 bondindex84.htm NQ FORM FOR BOND INDEX 84

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY


Investment Company Act file number: 811-4681

Name of Registrant: Vanguard Bond Index Funds

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

Name and address of agent for service: R. Gregory Barton, Esquire
P.O. Box 876
Valley Forge, PA 19482

Registrant’s telephone number, including area code: (610) 669-1000


Date of fiscal year end: December 31

Date of reporting period: March 31, 2005

Item 1: Schedule of Investments





Vanguard Total Bond Market Index Fund
Schedule of Investments
March 31, 2005
 
   
 
Coupon		  
Maturity
Date		 Face
Amount
($000)		 Market
Value
($000)
U.S GOVERNMENT AND AGENCY OBLIGATIONS (69.7%)        
U.S. Government Securities (25.2%)
U.S. Treasury Bond 12.000% 5/15/2005  $300  $303 
U.S. Treasury Bond 10.375% 11/15/2012  1,375  1,594 
U.S. Treasury Bond 12.000% 8/15/2013  122,800  153,404 
U.S. Treasury Bond 11.250% 2/15/2015  68,175  104,436 
U.S. Treasury Bond 10.625% 8/15/2015  8,825  13,229 
U.S. Treasury Bond 9.875% 11/15/2015  71,350  102,944 
U.S. Treasury Bond 9.250% 2/15/2016  138,300  193,059 
U.S. Treasury Bond 7.500% 11/15/2016  20,069  25,162 
U.S. Treasury Bond 8.750% 5/15/2017  179,960  247,276 
U.S. Treasury Bond 8.875% 8/15/2017  232,215  322,816 
U.S. Treasury Bond 8.875% 2/15/2019  82,825  117,211 
U.S. Treasury Bond 8.125% 8/15/2019  144,995  195,018 
U.S. Treasury Bond 8.500% 2/15/2020  103,575  144,082 
U.S. Treasury Bond 8.750% 5/15/2020  40,575  57,692 
U.S. Treasury Bond 8.750% 8/15/2020  25,550  36,425 
U.S. Treasury Bond 7.875% 2/15/2021  105,012  140,142 
U.S. Treasury Bond 8.125% 8/15/2021  197,225  269,951 
U.S. Treasury Bond 8.000% 11/15/2021  89,620  121,645 
U.S. Treasury Bond 7.625% 11/15/2022  137,830  182,517 
U.S. Treasury Bond 6.250% 8/15/2023  525  611 
U.S. Treasury Bond 6.000% 2/15/2026  500  572 
U.S. Treasury Bond 6.750% 8/15/2026  24,460  30,445 
U.S. Treasury Bond 6.500% 11/15/2026  775  940 
U.S. Treasury Bond 6.625% 2/15/2027  17,125  21,093 
U.S. Treasury Bond 6.375% 8/15/2027  53,775  64,572 
U.S. Treasury Bond 5.500% 8/15/2028  3,100  3,368 
U.S. Treasury Bond 5.250% 11/15/2028  3,760  3,953 
U.S. Treasury Bond 6.125% 8/15/2029  82,350  97,006 
U.S. Treasury Bond 6.250% 5/15/2030  2,725  3,274 
U.S. Treasury Note 2.250% 4/30/2006  55,975  55,232 
U.S. Treasury Note 4.625% 5/15/2006  700  709 
U.S. Treasury Note 2.500% 5/31/2006  20,800  20,553 
U.S. Treasury Note 2.750% 6/30/2006  134,100  132,780 
U.S. Treasury Note 7.000% 7/15/2006  406,825  424,180 
U.S. Treasury Note 2.750% 7/31/2006  97,700  96,661 
U.S. Treasury Note 2.500% 9/30/2006  207,175  203,647 
U.S. Treasury Note 6.500% 10/15/2006  347,700  362,314 
U.S. Treasury Note 2.875% 11/30/2006  279,425  275,628 
U.S. Treasury Note 3.000% 12/31/2006  284,900  281,293 
U.S. Treasury Note 3.125% 1/31/2007  10,000  9,888 
U.S. Treasury Note 3.125% 5/15/2007  37,300  36,764 
U.S. Treasury Note 4.375% 5/15/2007  3,125  3,159 
U.S. Treasury Note 6.625% 5/15/2007  62,000  65,526 
U.S. Treasury Note 2.750% 8/15/2007  101,175  98,662 
U.S. Treasury Note 6.125% 8/15/2007  309,675  325,595 
U.S. Treasury Note 3.375% 2/15/2008  33,300  32,795 
U.S. Treasury Note 5.625% 5/15/2008  453,645  475,405 
U.S. Treasury Note 3.250% 8/15/2008  29,775  29,059 
U.S. Treasury Note 3.125% 9/15/2008  2,200  2,136 
U.S. Treasury Note 3.125% 10/15/2008  5,125  4,972 
U.S. Treasury Note 3.375% 11/15/2008  41,700  40,775 
U.S. Treasury Note 3.375% 12/15/2008  43,700  42,683 
U.S. Treasury Note 3.250% 1/15/2009  384,350  373,600 
U.S. Treasury Note 2.625% 3/15/2009  87,375  82,815 
U.S. Treasury Note 3.125% 4/15/2009  226,300  218,309 
U.S. Treasury Note 4.000% 6/15/2009  61,900  61,639 
U.S. Treasury Note 3.625% 7/15/2009  117,250  114,996 
U.S. Treasury Note 6.000% 8/15/2009  66,750  71,714 
U.S. Treasury Note 3.375% 9/15/2009  30,800  29,842 
U.S. Treasury Note 3.375% 10/15/2009  167,250  161,866 
U.S. Treasury Note 6.500% 2/15/2010  168,700  185,754 
U.S. Treasury Note 5.750% 8/15/2010  16,825  18,055 
U.S. Treasury Note 5.000% 2/15/2011  2,500  2,597 
U.S. Treasury Note 5.000% 8/15/2011  3,850  3,999 
U.S. Treasury Note 4.875% 2/15/2012  25,500  26,341 
U.S. Treasury Note 4.375% 8/15/2012  272,560  273,198 
U.S. Treasury Note 4.000% 11/15/2012  8,950  8,742 
U.S. Treasury Note 4.250% 8/15/2013  399,877  394,379 
           7,703,002 
 
Agency Bonds and Notes (10.3%)
Federal Farm Credit Bank* 2.250% 9/1/2006  12,980  12,694 
Federal Farm Credit Bank* 3.250% 6/15/2007  35,625  35,013 
Federal Farm Credit Bank* 3.000% 12/17/2007  6,850  6,647 
Federal Farm Credit Bank* 3.375% 7/15/2008  9,075  8,834 
Federal Farm Credit Bank* 3.750% 1/15/2009  10,100  9,877 
Federal Farm Credit Bank* 4.125% 4/15/2009  9,300  9,230 
Federal Home Loan Bank* 2.500% 3/15/2006  48,850  48,299 
Federal Home Loan Bank* 2.250% 5/15/2006  29,000  28,535 
Federal Home Loan Bank* 5.375% 5/15/2006  500  509 
Federal Home Loan Bank* 2.875% 8/15/2006  155,000  153,013 
Federal Home Loan Bank* 3.500% 8/15/2006  10,550  10,502 
Federal Home Loan Bank* 6.375% 8/15/2006  500  517 
Federal Home Loan Bank* 4.875% 11/15/2006  9,775  9,920 
Federal Home Loan Bank* 3.375% 2/23/2007  40,000  39,561 
Federal Home Loan Bank* 6.500% 8/15/2007  38,810  40,883 
Federal Home Loan Bank* 3.625% 1/15/2008  60,000  59,103 
Federal Home Loan Bank* 5.800% 9/2/2008  15,000  15,695 
Federal Home Loan Bank* 5.865% 9/2/2008  44,070  46,202 
Federal Home Loan Bank* 3.625% 11/14/2008  7,500  7,320 
Federal Home Loan Bank* 5.790% 4/27/2009  900  947 
Federal Home Loan Bank* 7.625% 5/14/2010  73,700  83,944 
Federal Home Loan Bank* 5.750% 5/15/2012  91,575  97,279 
Federal Home Loan Bank* 4.500% 11/15/2012  46,100  45,317 
Federal Home Loan Bank* 5.250% 6/18/2014  35,000  36,113 
Federal Home Loan Mortgage Corp.* 2.375% 4/15/2006  20,000  19,732 
Federal Home Loan Mortgage Corp.* 6.750% 5/30/2006  1,250  1,293 
Federal Home Loan Mortgage Corp.* 5.500% 7/15/2006  86,950  88,775 
Federal Home Loan Mortgage Corp.* 2.750% 10/15/2006  80,000  78,660 
Federal Home Loan Mortgage Corp.* 2.875% 12/15/2006  20,000  19,654 
Federal Home Loan Mortgage Corp.* 4.875% 3/15/2007  30,065  30,554 
Federal Home Loan Mortgage Corp.* 3.500% 9/15/2007  855  843 
Federal Home Loan Mortgage Corp.* 3.625% 2/15/2008  15,000  14,774 
Federal Home Loan Mortgage Corp.* 2.750% 3/15/2008  25  24 
Federal Home Loan Mortgage Corp.* 5.750% 4/15/2008  177,055  184,771 
Federal Home Loan Mortgage Corp.* 5.125% 10/15/2008  15,000  15,384 
Federal Home Loan Mortgage Corp.* 3.750% 5/12/2009  3,130  3,055 
Federal Home Loan Mortgage Corp.* 6.625% 9/15/2009  37,340  40,590 
Federal Home Loan Mortgage Corp.* 7.000% 3/15/2010  73,925  82,018 
Federal Home Loan Mortgage Corp.* 6.875% 9/15/2010  70,225  78,000 
Federal Home Loan Mortgage Corp.* 5.875% 3/21/2011  14,757  15,502 
Federal Home Loan Mortgage Corp.* 6.000% 6/15/2011  10,000  10,715 
Federal Home Loan Mortgage Corp.* 6.375% 8/1/2011  3,130  3,214 
Federal Home Loan Mortgage Corp.* 5.500% 9/15/2011  10,000  10,481 
Federal Home Loan Mortgage Corp.* 5.750% 1/15/2012  55,750  59,217 
Federal Home Loan Mortgage Corp.* 5.125% 7/15/2012  41,745  42,802 
Federal Home Loan Mortgage Corp.* 4.500% 1/15/2013  27,500  27,077 
Federal Home Loan Mortgage Corp.* 4.000% 6/12/2013  23,775  22,116 
Federal Home Loan Mortgage Corp.* 4.500% 7/15/2013  15,100  14,835 
Federal Home Loan Mortgage Corp.* 4.875% 11/15/2013  20,025  20,118 
Federal Home Loan Mortgage Corp.* 4.500% 1/15/2014  10  10 
Federal Home Loan Mortgage Corp.* 4.500% 1/15/2015  25,000  24,270 
Federal Home Loan Mortgage Corp.* 6.750% 3/15/2031  53,350  64,918 
Federal Home Loan Mortgage Corp.* 6.250% 7/15/2032  95  110 
Federal National Mortgage Assn.* 2.000% 1/15/2006  25  25 
Federal National Mortgage Assn.* 2.250% 5/15/2006  90,180  88,734 
Federal National Mortgage Assn.* 2.500% 6/15/2006  4,425  4,359 
Federal National Mortgage Assn.* 5.250% 6/15/2006  26,970  27,434 
Federal National Mortgage Assn.* 3.125% 7/15/2006  43,500  43,127 
Federal National Mortgage Assn.* 2.625% 11/15/2006  70,000  68,586 
Federal National Mortgage Assn.* 4.750% 1/2/2007  305  308 
Federal National Mortgage Assn.* 5.000% 1/15/2007  88,385  89,935 
Federal National Mortgage Assn.* 7.125% 3/15/2007  20,000  21,164 
Federal National Mortgage Assn.* 5.250% 4/15/2007  50,000  51,181 
Federal National Mortgage Assn.* 6.625% 10/15/2007  45,000  47,672 
Federal National Mortgage Assn.* 3.250% 11/15/2007  20  20 
Federal National Mortgage Assn.* 3.250% 1/15/2008  75  73 
Federal National Mortgage Assn.* 6.000% 5/15/2008  46,310  48,658 
Federal National Mortgage Assn.* 3.250% 8/15/2008  150  145 
Federal National Mortgage Assn.* 5.250% 1/15/2009  53,700  55,299 
Federal National Mortgage Assn.* 3.250% 2/15/2009  10  10 
Federal National Mortgage Assn.* 6.375% 6/15/2009  52,587  56,469 
Federal National Mortgage Assn.* 6.625% 9/15/2009  128,315  139,374 
Federal National Mortgage Assn.* 7.250% 1/15/2010  85,665  95,629 
Federal National Mortgage Assn.* 7.125% 6/15/2010  25  28 
Federal National Mortgage Assn.* 6.625% 11/15/2010  400  440 
Federal National Mortgage Assn.* 6.250% 2/1/2011  16,840  17,981 
Federal National Mortgage Assn.* 6.000% 5/15/2011  47,500  50,855 
Federal National Mortgage Assn.* 5.375% 11/15/2011  100  104 
Federal National Mortgage Assn.* 6.125% 3/15/2012  97,980  106,244 
Federal National Mortgage Assn.* 4.375% 9/15/2012  8,550  8,361 
Federal National Mortgage Assn.* 4.375% 3/15/2013  40  39 
Federal National Mortgage Assn.* 4.625% 5/1/2013  17,575  17,086 
Federal National Mortgage Assn.* 4.625% 10/15/2013  34,025  33,593 
Federal National Mortgage Assn.* 5.125% 1/2/2014  4,175  4,154 
Federal National Mortgage Assn.* 5.000% 4/15/2015  12,575  12,627 
Federal National Mortgage Assn.* 8.200% 3/10/2016  50  63 
Federal National Mortgage Assn.* 6.250% 5/15/2029  1,375  1,569 
Federal National Mortgage Assn.* 7.125% 1/15/2030  805  1,017 
Federal National Mortgage Assn.* 7.250% 5/15/2030  94,101  120,886 
Federal National Mortgage Assn.* 6.625% 11/15/2030  8,110  9,689 
Private Export Funding Corp. (U.S. Government Guaranteed) 7.200% 1/15/2010  32,875  36,621 
Resolution Funding Corp. 8.125% 10/15/2019  550  715 
Resolution Funding Corp. 8.875% 7/15/2020  280  388 
Resolution Funding Corp. 8.625% 1/15/2030  110  162 
Small Business Administration Variable Rate Interest Only Custodial Receipts 2.719% 7/15/2017  4,449  222 
State of Israel (U.S. Government Guaranteed) 5.500% 9/18/2023  5,725  6,042 
State of Israel (U.S. Government Guaranteed) 5.500% 12/4/2023  4,050  4,275 
State of Israel (U.S. Government Guaranteed) 5.500% 4/26/2024  3,100  3,267 
Tennessee Valley Auth.* 5.375% 11/13/2008  32,175  33,270 
Tennessee Valley Auth.* 7.125% 5/1/2030  34,350  43,523 
           3,130,889 
 
Mortgage-Backed Securities (34.2%)
Federal Home Loan Mortgage Corp.* 4.000% 3/1/2008-3/1/2020(1)  196,278  190,272 
Federal Home Loan Mortgage Corp.* 4.500% 1/1/2008-5/1/2034(1)  598,253  584,692 
Federal Home Loan Mortgage Corp.* 5.000% 6/1/2007-4/1/2035(1)  1,066,868  1,054,040 
Federal Home Loan Mortgage Corp.* 5.500% 12/1/2005-4/1/2035(1)  1,072,060  1,078,104 
Federal Home Loan Mortgage Corp.* 6.000% 4/1/2005-12/1/2034(1)  461,537  473,897 
Federal Home Loan Mortgage Corp.* 6.500% 4/1/2007-10/1/2034(1)  258,323  268,661 
Federal Home Loan Mortgage Corp.* 7.000% 12/1/2006-9/1/2032(1)  101,802  107,346 
Federal Home Loan Mortgage Corp.* 7.500% 1/1/2007-2/1/2032(1)  27,146  28,928 
Federal Home Loan Mortgage Corp.* 8.000% 7/1/2006-1/1/2032(1)  19,518  21,014 
Federal Home Loan Mortgage Corp.* 8.500% 7/1/2006-7/1/2031(1)  3,240  3,506 
Federal Home Loan Mortgage Corp.* 9.000% 11/1/2005-3/1/2031(1)  2,274  2,482 
Federal Home Loan Mortgage Corp.* 9.500% 4/1/2016-6/1/2025(1)  602  658 
Federal Home Loan Mortgage Corp.* 10.000% 7/1/2009-4/1/2025(1)  148  162 
Federal Home Loan Mortgage Corp.* 10.500% 12/1/2015(1)  1  1 
Federal National Mortgage Assn.* 4.000% 9/1/2010-4/1/2033(1)  166,056  160,175 
Federal National Mortgage Assn.* 4.500% 2/1/2010-3/1/2035(1)  603,056  586,634 
Federal National Mortgage Assn.* 5.000% 3/1/2006-3/1/2035(1)  1,474,819  1,453,391 
Federal National Mortgage Assn.* 5.500% 11/1/2008-4/1/2035(1)  1,776,827  1,784,588 
Federal National Mortgage Assn.* 6.000% 7/1/2008-1/1/2035(1)  778,983  798,223 
Federal National Mortgage Assn.* 6.500% 6/1/2008-11/1/2034(1)  362,476  376,813 
Federal National Mortgage Assn.* 7.000% 10/1/2007-7/1/2034(1)  123,253  129,967 
Federal National Mortgage Assn.* 7.500% 9/1/2007-12/1/2032(1)  41,525  44,365 
Federal National Mortgage Assn.* 8.000% 11/1/2006-9/1/2031(1)  11,311  12,193 
Federal National Mortgage Assn.* 8.500% 4/1/2006-5/1/2032(1)  4,446  4,802 
Federal National Mortgage Assn.* 9.000% 7/1/2005-8/1/2030(1)  926  1,009 
Federal National Mortgage Assn.* 9.500% 12/1/2005-11/1/2025(1)  1,149  1,258 
Federal National Mortgage Assn.* 10.000% 10/1/2006-11/1/2019(1)  271  299 
Federal National Mortgage Assn.* 10.500% 5/1/2010-8/1/2020(1)  62  70 
Federal National Mortgage Assn.* 11.000% 9/1/2019(1)  23  25 
Government National Mortgage Assn 3.375% 6/20/2029(1)  2,164  2,179 
Government National Mortgage Assn 4.000% 8/15/2018-9/15/2018(1)  3,506  3,378 
Government National Mortgage Assn 4.500% 6/15/2018-3/15/2035(1)  42,500  41,306 
Government National Mortgage Assn 5.000% 11/15/2017-3/15/2035(1)  239,843  237,734 
Government National Mortgage Assn 5.500% 2/15/2017-2/15/2035(1)  420,347  424,596 
Government National Mortgage Assn 6.000% 3/15/2009-10/15/2034(1)  271,049  278,926 
Government National Mortgage Assn 6.500% 10/15/2007-11/15/2034(1)  146,591  153,354 
Government National Mortgage Assn 7.000% 11/15/2007-10/15/2032(1)  67,167  71,162 
Government National Mortgage Assn 7.250% 9/15/2025(1)  58  62 
Government National Mortgage Assn 7.500% 2/15/2007-6/15/2032(1)  26,455  28,356 
Government National Mortgage Assn 7.750% 2/15/2030(1)  13  14 
Government National Mortgage Assn 7.900% 2/15/2021(1)  11  11 
Government National Mortgage Assn 8.000% 2/15/2007-12/15/2030(1)  16,025  17,354 
Government National Mortgage Assn 8.500% 5/15/2010-3/15/2031(1)  3,733  4,059 
Government National Mortgage Assn 9.000% 10/15/2008-3/15/2031(1)  7,746  8,509 
Government National Mortgage Assn 9.500% 5/15/2016-9/15/2030(1)  1,506  1,673 
Government National Mortgage Assn 10.000% 2/15/2018-2/15/2025(1)  630  705 
Government National Mortgage Assn 10.500% 7/15/2015-4/15/2025(1)  473  531 
Government National Mortgage Assn 11.000% 1/15/2010-6/15/2019(1)  135  149 
Government National Mortgage Assn 11.500% 3/15/2010-4/15/2016(1)  68  77 
           10,441,710 
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
 (Cost $21,219,382)          21,275,601  
CORPORATE BONDS (26.4%)
Asset-Backed/Commercial Mortgage-Backed Securities (5.7%)
American Express Credit Account Master Trust 2.950% 9/15/2008(1)(3)  14,643  14,667 
American Express Credit Account Master Trust 2.940% 10/15/2008(1)(3)  22,000  22,033 
American Express Credit Account Master Trust 2.930% 12/15/2008(1)(3)  35,100  35,160 
BA Master Credit Card Trust 2.930% 6/15/2008(1)(3)  60,700  60,803 
Banc of America Commercial Mortgage, Inc. 5.787% 5/11/2035(1)  20,000  20,442 
Banc of America Commercial Mortgage, Inc. 6.503% 4/15/2036(1)  9,000  9,612 
Banc of America Commercial Mortgage, Inc. 5.118% 7/11/2043(1)  2,690  2,714 
Bear Stearns Commercial Mortgage Securities, Inc. 5.610% 11/15/2033(1)  9,900  10,225 
Bear Stearns Commercial Mortgage Securities, Inc. 4.830% 8/15/2038(1)  20,000  19,814 
Bear Stearns Commercial Mortgage Securities, Inc. 4.680% 8/13/2039(1)  10,000  9,708 
Bear Stearns Commercial Mortgage Securities, Inc. 4.740% 3/13/2040(1)  9,000  8,766 
California Infrastructure & Economic Development Bank Special Purpose Trust PG&E-1 6.420% 9/25/2008(1)  21,689  22,163 
California Infrastructure & Economic Development Bank Special Purpose Trust SDG&E-1 6.310% 9/25/2008(1)  3,796  3,879 
Capital One Master Trust 2.950% 1/15/2009(1)(3)  44,000  44,071 
Capital One Multi-Asset Execution Trust 3.200% 1/15/2009(1)(3)  10,480  10,518 
Chase Commercial Mortgage Securities Corp. 6.390% 11/18/2030(1)  19,325  20,287 
Chase Credit Card Master Trust 2.860% 4/15/2008(1)(3)  17,000  17,011 
Chase Credit Card Master Trust 2.950% 6/16/2008(1)(3)  89,000  89,149 
Chase Credit Card Master Trust 2.940% 3/16/2009(1)(3)  6,000  6,015 
CIT Group Home Equity Loan Trust 6.200% 2/25/2030(1)  1,790  1,822 
Citibank Credit Card Issuance Trust 4.950% 2/9/2009(1)  43,650  44,305 
Citibank Credit Card Master Trust 5.875% 3/10/2011(1)  1,250  1,310 
Citibank Omni-S Master Trust 3.060% 9/16/2010(1)(3)  36,500  36,643 
Citicorp Lease Pass-Through Trust 8.040% 12/15/2019(1)(2)  18,025  22,212 
COMED Transitional Funding Trust 5.630% 6/25/2009(1)  510  520 
Commercial Mortgage Lease-Backed Certificate 6.746% 6/20/2031(1)(2)  19,234  20,634 
Countrywide Home Loans 4.533% 9/19/2032(1)  1,455  1,438 
Countrywide Home Loans 4.099% 5/25/2033(1)  23,456  23,236 
Credit Suisse First Boston Mortgage Securities Corp. 7.290% 9/15/2041(1)  20,000  21,717 
DaimlerChrysler Master Owner Trust 2.870% 5/15/2007(1)(3)  83,000  83,006 
DaimlerChrysler Master Owner Trust 2.845% 11/15/2007(1)(3)  22,500  22,507 
DaimlerChrysler Master Owner Trust 2.860% 2/15/2008(1)(3)  49,350  49,413 
DaimlerChrysler Master Owner Trust 2.835% 1/15/2009(1)(3)  19,000  19,013 
Detroit Edison Securitization Funding LLC 5.875% 3/1/2010(1)  900  926 
Discover Card Master Trust I 2.990% 11/15/2007(1)(3)  23,000  23,004 
Discover Card Master Trust I 2.960% 9/15/2008(1)(3)  22,000  22,028 
DLJ Commercial Mortgage Corp. 6.410% 2/18/2031(1)  17,425  18,140 
Federal Housing Administration 7.430% 10/1/2020(1)  40  43 
First Union National Bank Commercial Mortgage Trust 6.223% 12/12/2033(1)  12,550  13,410 
First USA Credit Card Master Trust 3.000% 9/19/2008(1)(3)  3,000  3,004 
Ford Credit Auto Owner Trust 3.130% 11/15/2006(1)  2,675  2,672 
Ford Credit Floor Plan Master Owner Trust 2.950% 7/15/2008(1)(3)  74,455  74,612 
GE Capital Commercial Mortgage Corp. 6.531% 5/15/2033(1)  17,000  18,245 
GE Capital Commercial Mortgage Corp. 6.290% 8/11/2033(1)  3,000  3,193 
GE Capital Commercial Mortgage Corp. 6.269% 12/10/2035(1)  12,200  13,007 
GE Capital Commercial Mortgage Corp. 5.145% 7/10/2037(1)  1,340  1,340 
GE Capital Commercial Mortgage Corp. 4.996% 12/10/2037(1)  20,000  19,817 
GMAC Commercial Mortgage Securities, Inc. 6.175% 5/15/2033(1)  20,000  20,886 
GMAC Commercial Mortgage Securities, Inc. 7.455% 8/16/2033(1)  12,000  13,292 
GMAC Commercial Mortgage Securities, Inc. 6.465% 4/15/2034(1)  14,085  15,109 
GMAC Commercial Mortgage Securities, Inc. 6.700% 4/15/2034(1)  16,500  17,883 
GMAC Commercial Mortgage Securities, Inc. 6.420% 5/15/2035(1)  10,250  10,746 
GMAC Mortgage Corp. Loan Trust 2.960% 3/25/2035(1)(3)  41,000  41,016 
GS Mortgage Securities Corp. II 4.608% 1/10/2040(1)  20,000  19,407 
Harley-Davidson Motorcycle Trust 4.500% 1/15/2010(1)  9,199  9,262 
Honda Auto Receivables Owner Trust 4.220% 4/16/2007(1)  3,729  3,744 
Honda Auto Receivables Owner Trust 2.910% 10/20/2008(1)  17,000  16,706 
Household Credit Card Master Note Trust I 2.940% 7/15/2008(1)(3)  7,500  7,503 
Household Credit Card Master Note Trust I 2.950% 8/15/2008(1)(3)  63,975  64,042 
Household Credit Card Master Note Trust I 2.970% 10/15/2008(1)(3)  10,000  10,016 
Household Private Label Credit Card Master Trust 3.080% 9/15/2009(1)(3)  4,950  4,959 
J.P. Morgan Chase Commercial Mortgage Securities 6.260% 3/15/2033(1)  20,000  21,396 
J.P. Morgan Chase Commercial Mortgage Securities 5.050% 12/12/2034(1)  11,000  11,036 
J.P. Morgan Chase Commercial Mortgage Securities 4.985% 1/12/2037(1)  15,000  14,871 
J.P. Morgan Chase Commercial Mortgage Securities 5.255% 7/12/2037(1)  1,790  1,810 
J.P. Morgan Chase Commercial Mortgage Securities 5.376% 7/12/2037(1)  12,180  12,358 
LB Commerical Conduit Mortgage Trust 6.780% 6/15/2031(1)  26,237  28,009 
LB-UBS Commercial Mortgage Trust 7.370% 8/15/2026(1)  20,000  22,111 
LB-UBS Commercial Mortgage Trust 6.133% 12/15/2030(1)  8,190  8,652 
M&I Auto Loan Trust 3.040% 10/20/2008(1)  8,100  8,039 
MBNA Credit Card Master Note Trust 4.950% 6/15/2009(1)  45,800  46,515 
MBNA Credit Card Master Note Trust 2.920% 8/17/2009(1)(3)  27,140  27,190 
MBNA Master Credit Card Trust 3.070% 8/15/2008(1)(3)  19,030  19,082 
MBNA Master Credit Card Trust 2.990% 12/15/2008(1)(3)  25,000  25,069 
MBNA Master Credit Card Trust 7.000% 2/15/2012(1)  17,459  19,221 
Morgan Stanley Capital I 6.520% 3/15/2030(1)  3,848  4,007 
Morgan Stanley Dean Witter Capital I 6.660% 2/15/2033(1)  5,000  5,393 
Morgan Stanley Dean Witter Capital I 6.390% 7/15/2033(1)  5,000  5,329 
Morgan Stanley Dean Witter Capital I 4.920% 3/12/2035(1)  20,000  19,826 
Morgan Stanley Dean Witter Capital I 6.390% 10/15/2035(1)  5,000  5,363 
Morgan Stanley Dean Witter Capital I 4.740% 11/13/2036(1)  1,340  1,314 
Nissan Auto Lease Trust 2.900% 8/15/2007(1)  22,500  22,165 
Nissan Auto Receivables Owner Trust 3.330% 1/15/2008(1)  21,100  21,034 
PECO Energy Transition Trust 6.130% 3/1/2009(1)  450  472 
PG&E Energy Recovery Funding LLC 4.140% 9/25/2012(1)  8,625  8,461 
PP&L Transition Bond Co. LLC 6.960% 12/26/2007(1)  5,944  6,039 
PP&L Transition Bond Co. LLC 7.150% 6/25/2009(1)  850  914 
PSEG Transition Funding LLC 6.890% 12/15/2017(1)  19,800  22,548 
Public Service New Hampshire Funding LLC 5.730% 11/1/2010(1)  723  744 
Residential Asset Securities Corp. 7.150% 7/25/2030(1)  738  751 
Residential Asset Securities Corp. 6.489% 10/25/2030(1)  790  800 
Salomon Brothers Mortgage Securities VII 4.125% 9/25/2033(1)  44,123  43,264 
Toyota Auto Receivables Owner Trust 2.650% 11/15/2006(1)  6,072  6,068 
Toyota Auto Receivables Owner Trust 4.000% 7/15/2008(1)  7,139  7,161 
USAA Auto Owner Trust 2.930% 7/16/2007(1)  3,200  3,184 
Wachovia Bank Commercial Mortgage Trust 4.980% 11/15/2034(1)  900  891 
Wachovia Bank Commercial Mortgage Trust 4.867% 2/15/2035(1)  900  883 
WFS Financial Owner Trust 4.500% 2/20/2010(1)  16,500  16,595 
World Omni Auto Receivables Trust 3.540% 6/12/2009(1)  32,900  32,580 
           1,743,970 
 
Finance (8.2%)
Banking (3.8%)
Abbey National PLC 7.950% 10/26/2029  12,815  16,671 
ABN AMRO Bank NV 7.550% 6/28/2006  8,550  8,899 
Amsouth Bancorp 5.200% 4/1/2015  6,700  6,706 
Banc One Corp. 7.625% 10/15/2026  1,050  1,293 
Banc One Corp. 8.000% 4/29/2027  500  639 
Bank of America Corp. 7.125% 9/15/2006  3,900  4,071 
Bank of America Corp. 5.250% 2/1/2007  19,450  19,847 
Bank of America Corp. 3.250% 8/15/2008  15,000  14,472 
Bank of America Corp. 3.375% 2/17/2009  3,000  2,880 
Bank of America Corp. 7.800% 2/15/2010  1,900  2,149 
Bank of America Corp. 4.250% 10/1/2010  5,900  5,780 
Bank of America Corp. 4.375% 12/1/2010  1,750  1,720 
Bank of America Corp. 7.400% 1/15/2011  11,835  13,390 
Bank of America Corp. 6.250% 4/15/2012  1,000  1,080 
Bank of America Corp. 4.875% 1/15/2013  1,340  1,332 
Bank of America Corp. 4.750% 8/15/2013  1,135  1,119 
Bank of America Corp. 5.375% 6/15/2014  1,900  1,945 
Bank of America Corp. 5.250% 12/1/2015  6,750  6,784 
Bank of America Corp. 5.625% 3/8/2035  3,250  3,136 
Bank of New York Co., Inc. 3.750% 2/15/2008  10,345  10,109 
Bank of New York Co., Inc. 4.950% 3/15/2015  8,175  8,069 
Bank of Tokyo-Mitsubishi 8.400% 4/15/2010  5,500  6,381 
Bank One Corp. 6.500% 2/1/2006  11,125  11,361 
Bank One Corp. 6.875% 8/1/2006  10,735  11,133 
Bank One Corp. 6.000% 8/1/2008  900  943 
Bank One Corp. 6.000% 2/17/2009  110  115 
Bank One Corp. 7.875% 8/1/2010  13,505  15,373 
Bank One Corp. 5.900% 11/15/2011  725  764 
Bank One NA (IL) 5.500% 3/26/2007  18,290  18,752 
Bank One NA (IL) 3.700% 1/15/2008  13,640  13,411 
Bank One Texas 6.250% 2/15/2008  2,100  2,205 
BankAmerica Capital II 8.000% 12/15/2026  500  542 
BankAmerica Corp. 6.625% 10/15/2007  7,500  7,897 
BankAmerica Corp. 5.875% 2/15/2009  3,325  3,472 
BankBoston NA 6.375% 4/15/2008  9,200  9,705 
BB&T Corp. 6.500% 8/1/2011  3,040  3,307 
BB&T Corp. 4.750% 10/1/2012  3,050  3,009 
BB&T Corp. 5.200% 12/23/2015  5,325  5,343 
BB&T Corp. 5.250% 11/1/2019  5,850  5,717 
BSCH Issuances Ltd. 7.625% 9/14/2010  12,375  14,057 
Citicorp Capital II 8.015% 2/15/2027  1,300  1,428 
Citicorp Lease Pass-Through Trust 7.220% 6/15/2005(2)  3,558  3,584 
Citigroup, Inc. 5.750% 5/10/2006  3,750  3,818 
Citigroup, Inc. 5.500% 8/9/2006  19,500  19,916 
Citigroup, Inc. 6.200% 3/15/2009  140  148 
Citigroup, Inc. 4.250% 7/29/2009  11,600  11,449 
Citigroup, Inc. 4.125% 2/22/2010  12,475  12,183 
Citigroup, Inc. 6.500% 1/18/2011  1,395  1,530 
Citigroup, Inc. 6.000% 2/21/2012  3,100  3,322 
Citigroup, Inc. 5.625% 8/27/2012  8,240  8,597 
Citigroup, Inc. 5.125% 5/5/2014  5,775  5,803 
Citigroup, Inc. 5.000% 9/15/2014  14,733  14,539 
Citigroup, Inc. 6.625% 6/15/2032  6,475  7,301 
Citigroup, Inc. 5.875% 2/22/2033  5,925  6,106 
Citigroup, Inc. 6.000% 10/31/2033  3,800  3,968 
Citigroup, Inc. 5.850% 12/11/2034  2,400  2,484 
CoreStates Capital Corp. 8.000% 12/15/2026(2)  5,475  6,005 
Credit Suisse First Boston USA, Inc. 5.750% 4/15/2007  38,075  39,241 
Credit Suisse First Boston USA, Inc. 4.625% 1/15/2008  985  990 
Credit Suisse First Boston USA, Inc. 3.875% 1/15/2009  7,750  7,555 
Credit Suisse First Boston USA, Inc. 4.700% 6/1/2009  1,600  1,604 
Credit Suisse First Boston USA, Inc. 4.125% 1/15/2010  6,725  6,547 
Credit Suisse First Boston USA, Inc. 6.125% 11/15/2011  7,550  8,019 
Credit Suisse First Boston USA, Inc. 6.500% 1/15/2012  3,500  3,786 
Credit Suisse First Boston USA, Inc. 5.500% 8/15/2013  5,000  5,128 
Credit Suisse First Boston USA, Inc. 5.125% 1/15/2014  4,350  4,328 
Credit Suisse First Boston USA, Inc. 4.875% 1/15/2015  6,925  6,698 
Credit Suisse First Boston USA, Inc. 7.125% 7/15/2032  4,100  4,887 
Deutsche Bank Financial LLC 5.375% 3/2/2015  5,600  5,719 
Fifth Third Bank 4.200% 2/23/2010  5,000  4,895 
Fifth Third Bank 4.750% 2/1/2015  11,925  11,571 
Fifth Third Bank 4.500% 6/1/2018  2,250  2,059 
First Tennessee Bank 5.050% 1/15/2015  1,875  1,833 
First Union Corp. 7.500% 4/15/2035  1,900  2,403 
First Union Institutional Capital I 8.040% 12/1/2026  1,900  2,092 
First Union National Bank 7.875% 2/15/2010  5,550  6,283 
First Union National Bank 7.800% 8/18/2010  8,400  9,591 
FirstStar Bank 7.125% 12/1/2009  2,810  3,093 
Fleet Boston Financial Corp. 4.875% 12/1/2006  21,800  22,101 
Fleet Boston Financial Corp. 3.850% 2/15/2008  3,550  3,510 
Fleet Capital Trust II 7.920% 12/11/2026  2,640  2,827 
Golden West Financial Corp. 4.125% 8/15/2007  10,650  10,614 
Golden West Financial Corp. 4.750% 10/1/2012  340  338 
GreenPoint Financial Corp. 3.200% 6/6/2008  340  327 
HSBC Bank PLC 6.950% 3/15/2011  11,500  12,798 
HSBC Bank USA 4.625% 4/1/2014  1,250  1,205 
HSBC Bank USA 5.875% 11/1/2034  3,100  3,165 
HSBC Holdings PLC 7.500% 7/15/2009  3,240  3,598 
HSBC Holdings PLC 5.250% 12/12/2012  4,040  4,114 
HSBC Holdings PLC 7.625% 5/17/2032(2)  1,250  1,527 
HSBC Holdings PLC 7.350% 11/27/2032(2)  2,640  3,132 
J.P. Morgan Capital Trust 5.875% 3/15/2035  2,750  2,667 
J.P. Morgan Chase & Co. 5.625% 8/15/2006  4,100  4,182 
J.P. Morgan Chase & Co. 5.250% 5/30/2007  4,010  4,085 
J.P. Morgan Chase & Co. 4.000% 2/1/2008  4,350  4,311 
J.P. Morgan Chase & Co. 3.625% 5/1/2008  11,325  11,085 
J.P. Morgan Chase & Co. 4.500% 11/15/2010  2,840  2,799 
J.P. Morgan Chase & Co. 6.750% 2/1/2011  15  16 
J.P. Morgan Chase & Co. 4.500% 1/15/2012  3,000  2,916 
J.P. Morgan Chase & Co. 6.625% 3/15/2012  3,375  3,702 
J.P. Morgan Chase & Co. 5.750% 1/2/2013  3,200  3,338 
J.P. Morgan Chase & Co. 4.875% 3/15/2014  4,050  3,960 
J.P. Morgan Chase & Co. 5.125% 9/15/2014  8,975  8,874 
J.P. Morgan Chase & Co. 4.750% 3/1/2015  4,700  4,556 
J.P. Morgan Chase & Co. 5.250% 5/1/2015  7,050  7,018 
J.P. Morgan, Inc. 6.875% 1/15/2007  11,000  11,534 
J.P. Morgan, Inc. 6.700% 11/1/2007  600  633 
JPM Capital Trust II 7.950% 2/1/2027  1,100  1,201 
Key Bank NA 5.000% 7/17/2007  3,831  3,885 
Key Bank NA 4.412% 3/18/2008  5,000  4,997 
Manufacturers & Traders Trust Co. 8.000% 10/1/2010  5,700  6,519 
Marshall &Ilsley Bank 4.125% 9/4/2007  11,145  11,105 
Marshall & Ilsley Bank 4.375% 8/1/2009  3,275  3,233 
Mellon Bank NA 7.375% 5/15/2007  3,500  3,720 
Mellon Bank NA 4.750% 12/15/2014  3,650  3,562 
Mellon Capital II 7.995% 1/15/2027  6,150  6,743 
Mellon Funding Corp. 4.875% 6/15/2007  900  911 
Mellon Funding Corp. 3.250% 4/1/2009  3,000  2,865 
Mellon Funding Corp. 6.400% 5/14/2011  450  488 
Mellon Funding Corp. 5.000% 12/1/2014  1,250  1,241 
National City Bank 4.150% 8/1/2009  6,800  6,684 
National City Bank 4.625% 5/1/2013  1,000  973 
National City Corp. 3.200% 4/1/2008  4,300  4,154 
National City Corp. 6.875% 5/15/2019  1,400  1,596 
National Westminster Bank PLC 7.375% 10/1/2009  450  500 
NationsBank Corp. 6.500% 3/15/2006  1,000  1,025 
NationsBank Corp. 7.500% 9/15/2006  1,250  1,311 
NationsBank Corp. 6.375% 2/15/2008  1,240  1,306 
NationsBank Corp. 7.250% 10/15/2025  1,125  1,350 
NB Capital Trust II 7.830% 12/15/2026  5,000  5,333 
NB Capital Trust IV 8.250% 4/15/2027  3,400  3,745 
PNC Bank NA 5.250% 1/15/2017  3,100  3,049 
PNC Funding Corp. 5.750% 8/1/2006  8,150  8,331 
PNC Funding Corp. 5.250% 11/15/2015  6,150  6,043 
Popular North America, Inc. 4.250% 4/1/2008  1,000  991 
Regions Financial Corp. 7.000% 3/1/2011  1,500  1,659 
Regions Financial Corp. 6.375% 5/15/2012  10,500  11,382 
Republic New York Corp. 7.750% 5/15/2009  4,300  4,792 
Royal Bank of Canada 4.125% 1/26/2010  10,900  10,683 
Royal Bank of Scotland Group PLC 5.000% 11/12/2013  5,500  5,504 
Royal Bank of Scotland Group PLC 5.050% 1/8/2015  8,050  8,014 
Royal Bank of Scotland Group PLC 7.648% 8/29/2049(3)  16,520  20,033 
Salomon Smith Barney Holdings Inc. 5.875% 3/15/2006  25,075  25,530 
Salomon Smith Barney Holdings Inc. 6.500% 2/15/2008  3,750  3,950 
Sanwa Bank Ltd. 8.350% 7/15/2009  3,900  4,441 
Sanwa Bank Ltd. 7.400% 6/15/2011  6,875  7,725 
Southtrust Corp. 5.800% 6/15/2014  3,175  3,313 
Sumitomo Bank International Finance NV 8.500% 6/15/2009  1,000  1,146 
Sumitomo Mitsui Banking Corp. 8.000% 6/15/2012  8,765  10,194 
SunTrust Banks, Inc. 7.375% 7/1/2006  3,500  3,660 
SunTrust Banks, Inc. 7.250% 9/15/2006  450  469 
SunTrust Banks, Inc. 5.050% 7/1/2007  60  61 
SunTrust Banks, Inc. 6.375% 4/1/2011  6,500  7,039 
SunTrust Banks, Inc. 6.000% 2/15/2026  4,500  4,768 
SunTrust Capital II 7.900% 6/15/2027  1,885  2,037 
Swiss Bank Corp. 7.000% 10/15/2015  3,400  3,874 
Swiss Bank Corp. 7.375% 6/15/2017  4,250  5,010 
The Chase Manhattan Corp. 7.125% 2/1/2007  7,469  7,861 
The Chase Manhattan Corp. 6.375% 4/1/2008  75  79 
The Chase Manhattan Corp. 7.875% 6/15/2010  450  513 
UFJ Finance Aruba AEC 6.750% 7/15/2013  6,100  6,602 
Union Planters Corp. 7.750% 3/1/2011  8,300  9,542 
UnionBanCal Corp. 5.250% 12/16/2013  1,525  1,529 
US Bancorp 5.100% 7/15/2007  695  708 
US Bancorp 8.270% 12/15/2026  3,370  3,717 
US Bank NA 2.850% 11/15/2006  3,525  3,454 
US Bank NA 3.700% 8/1/2007  4,225  4,176 
US Bank NA 6.500% 2/1/2008  3,500  3,701 
US Bank NA 4.125% 3/17/2008  7,650  7,601 
US Bank NA 6.375% 8/1/2011  6,650  7,235 
US Bank NA 6.300% 2/4/2014  10,700  11,613 
US Bank NA 4.950% 10/30/2014  3,750  3,711 
Wachovia Bank NA 4.850% 7/30/2007  450  456 
Wachovia Bank NA 4.800% 11/1/2014  4,250  4,149 
Wachovia Bank NA 4.875% 2/1/2015  12,850  12,562 
Wachovia Bank NA 5.000% 8/15/2015  1,285  1,266 
Wachovia Corp. 4.950% 11/1/2006  5,995  6,082 
Wachovia Corp. 6.250% 8/4/2008  850  896 
Wachovia Corp. 4.875% 2/15/2014  2,650  2,608 
Wachovia Corp. 5.250% 8/1/2014  10,725  10,844 
Washington Mutual Bank 6.875% 6/15/2011  19,095  21,066 
Washington Mutual Bank 5.500% 1/15/2013  6,000  6,107 
Washington Mutual Bank 5.650% 8/15/2014  5,200  5,368 
Washington Mutual Bank 5.125% 1/15/2015  6,850  6,713 
Washington Mutual Capital I 8.375% 6/1/2027  1,975  2,156 
Washington Mutual Finance Corp. 6.250% 5/15/2006  3,375  3,460 
Washington Mutual Finance Corp. 5.000% 3/22/2012  5,025  5,021 
Washington Mutual, Inc. 7.500% 8/15/2006  900  941 
Wells Fargo & Co. 6.875% 4/1/2006  5,700  5,860 
Wells Fargo & Co. 5.900% 5/21/2006  5,000  5,106 
Wells Fargo & Co. 4.125% 3/10/2008  20,420  20,268 
Wells Fargo & Co. 3.125% 4/1/2009  4,400  4,180 
Wells Fargo & Co. 4.200% 1/15/2010  16,800  16,429 
Wells Fargo & Co. 6.450% 2/1/2011  8,975  9,744 
Wells Fargo & Co. 6.375% 8/1/2011  1,000  1,086 
Wells Fargo & Co. 5.125% 9/1/2012  4,650  4,732 
Wells Fargo & Co. 4.950% 10/16/2013  15,050  15,031 
Wells Fargo & Co. 4.750% 2/9/2015  4,100  3,978 
Wells Fargo & Co. 5.125% 9/15/2016  150  149 
Wells Fargo & Co. 5.375% 2/7/2035  4,150  4,029 
World Savings Bank, FSB 4.125% 3/10/2008  7,700  7,639 
World Savings Bank, FSB 4.125% 12/15/2009  6,150  6,013 
Zions Bancorp 6.000% 9/15/2015  2,900  3,026 
Brokerage (1.4%)
Bear Stearns Co., Inc. 7.800% 8/15/2007  4,700  5,060 
Bear Stearns Co., Inc. 4.000% 1/31/2008  19,925  19,673 
Bear Stearns Co., Inc. 2.875% 7/2/2008  1,650  1,570 
Bear Stearns Co., Inc. 5.700% 11/15/2014  19,190  19,808 
Bear Stearns Co., Inc. 4.650% 7/2/2018  1,425  1,303 
Dean Witter, Discover & Co. 6.750% 10/15/2013  800  879 
Fidelity Investments 7.490% 6/15/2019(2)  1,000  1,186 
Goldman Sachs Group, Inc. 4.125% 1/15/2008  7,815  7,774 
Goldman Sachs Group, Inc. 3.875% 1/15/2009  13,375  12,988 
Goldman Sachs Group, Inc. 6.650% 5/15/2009  15,990  17,201 
Goldman Sachs Group, Inc. 6.600% 1/15/2012  5,840  6,340 
Goldman Sachs Group, Inc. 5.700% 9/1/2012  8,175  8,445 
Goldman Sachs Group, Inc. 5.250% 4/1/2013  5,540  5,537 
Goldman Sachs Group, Inc. 4.750% 7/15/2013  560  541 
Goldman Sachs Group, Inc. 5.250% 10/15/2013  7,095  7,111 
Goldman Sachs Group, Inc. 5.150% 1/15/2014  1,550  1,538 
Goldman Sachs Group, Inc. 5.000% 10/1/2014  14,750  14,393 
Goldman Sachs Group, Inc. 5.500% 11/15/2014  1,500  1,517 
Goldman Sachs Group, Inc. 5.125% 1/15/2015  4,325  4,233 
Goldman Sachs Group, Inc. 6.125% 2/15/2033  11,925  12,312 
Goldman Sachs Group, Inc. 6.345% 2/15/2034  13,100  13,558 
Lehman Brothers Holdings, Inc. 6.250% 5/15/2006  34,405  35,310 
Lehman Brothers Holdings, Inc. 7.625% 6/1/2006  5,000  5,205 
Lehman Brothers Holdings, Inc. 7.500% 9/1/2006  5,000  5,230 
Lehman Brothers Holdings, Inc. 4.000% 1/22/2008  2,225  2,201 
Lehman Brothers Holdings, Inc. 3.500% 8/7/2008  3,065  2,970 
Lehman Brothers Holdings, Inc. 3.950% 11/10/2009  600  579 
Lehman Brothers Holdings, Inc. 4.250% 1/27/2010  1,525  1,488 
Lehman Brothers Holdings, Inc. 4.375% 11/30/2010  1,900  1,863 
Lehman Brothers Holdings, Inc. 6.625% 1/18/2012  4,125  4,514 
Lehman Brothers Holdings, Inc. 4.800% 3/13/2014  8,925  8,612 
Merrill Lynch & Co., Inc. 6.150% 1/26/2006  150  153 
Merrill Lynch & Co., Inc. 5.360% 2/1/2007  4,600  4,699 
Merrill Lynch & Co., Inc. 3.375% 9/14/2007  1,600  1,572 
Merrill Lynch & Co., Inc. 4.000% 11/15/2007  17,165  17,015 
Merrill Lynch & Co., Inc. 3.700% 4/21/2008  4,750  4,650 
Merrill Lynch & Co., Inc. 3.125% 7/15/2008  4,750  4,556 
Merrill Lynch & Co., Inc. 6.375% 10/15/2008  2,000  2,121 
Merrill Lynch & Co., Inc. 4.125% 1/15/2009  9,250  9,091 
Merrill Lynch & Co., Inc. 6.000% 2/17/2009  7,811  8,192 
Merrill Lynch & Co., Inc. 4.125% 9/10/2009  6,075  5,940 
Merrill Lynch & Co., Inc. 4.250% 2/8/2010  6,750  6,601 
Merrill Lynch & Co., Inc. 5.000% 2/3/2014  4,250  4,170 
Merrill Lynch & Co., Inc. 5.450% 7/15/2014  4,950  5,004 
Merrill Lynch & Co., Inc. 5.000% 1/15/2015  7,325  7,116 
Merrill Lynch & Co., Inc. 6.875% 11/15/2018  3,725  4,204 
Morgan Stanley Dean Witter 6.100% 4/15/2006  13,300  13,595 
Morgan Stanley Dean Witter 6.875% 3/1/2007  1,700  1,781 
Morgan Stanley Dean Witter 5.800% 4/1/2007  52,275  53,706 
Morgan Stanley Dean Witter 3.625% 4/1/2008  1,970  1,928 
Morgan Stanley Dean Witter 3.875% 1/15/2009  3,225  3,153 
Morgan Stanley Dean Witter 4.250% 5/15/2010  80  78 
Morgan Stanley Dean Witter 6.750% 4/15/2011  4,990  5,459 
Morgan Stanley Dean Witter 6.600% 4/1/2012  7,120  7,782 
Morgan Stanley Dean Witter 5.300% 3/1/2013  400  404 
Morgan Stanley Dean Witter 4.750% 4/1/2014  16,250  15,519 
Morgan Stanley Dean Witter 7.250% 4/1/2032  6,715  8,166 
Finance Companies (1.8%)
American Express Centurion Bank 4.375% 7/30/2009  2,950  2,917 
American Express Co. 3.750% 11/20/2007  9,025  8,870 
American Express Co. 4.750% 6/17/2009  2,375  2,384 
American Express Co. 4.875% 7/15/2013  1,500  1,488 
American Express Credit Corp. 3.000% 5/16/2008  7,950  7,630 
American General Finance Corp. 5.875% 7/14/2006  2,500  2,552 
American General Finance Corp. 3.000% 11/15/2006  7,100  6,970 
American General Finance Corp. 5.750% 3/15/2007  9,000  9,226 
American General Finance Corp. 3.875% 10/1/2009  4,150  3,971 
American General Finance Corp. 4.000% 3/15/2011  1,000  948 
American General Finance Corp. 5.375% 10/1/2012  5,350  5,395 
Capital One Bank 6.875% 2/1/2006  11,075  11,331 
Capital One Bank 4.875% 5/15/2008  3,450  3,477 
Capital One Bank 4.250% 12/1/2008  1,850  1,821 
Capital One Bank 4.800% 2/21/2012  2,200  2,155 
Capital One Bank 6.500% 6/13/2013  1,725  1,856 
Capital One Bank 5.125% 2/15/2014  3,000  2,953 
Capital One Bank 5.250% 2/21/2017  2,450  2,368 
CIT Group, Inc. 2.875% 9/29/2006  1,300  1,277 
CIT Group, Inc. 7.375% 4/2/2007  8,750  9,252 
CIT Group, Inc. 5.750% 9/25/2007  2,200  2,263 
CIT Group, Inc. 3.650% 11/23/2007  1,800  1,756 
CIT Group, Inc. 4.000% 5/8/2008  6,450  6,331 
CIT Group, Inc. 4.125% 11/3/2009  950  922 
CIT Group, Inc. 4.250% 2/1/2010  1,775  1,721 
CIT Group, Inc. 4.750% 12/15/2010  1,200  1,188 
CIT Group, Inc. 7.750% 4/2/2012  7,200  8,279 
CIT Group, Inc. 5.000% 2/13/2014  2,525  2,460 
CIT Group, Inc. 5.125% 9/30/2014  5,975  5,864 
CIT Group, Inc. 5.000% 2/1/2015  4,300  4,158 
Countrywide Home Loan 5.500% 8/1/2006  23,590  24,004 
Countrywide Home Loan 5.500% 2/1/2007  400  408 
Countrywide Home Loan 2.875% 2/15/2007  2,175  2,121 
Countrywide Home Loan 5.625% 5/15/2007  1,345  1,377 
Countrywide Home Loan 3.250% 5/21/2008  3,275  3,139 
Countrywide Home Loan 6.250% 4/15/2009  1,500  1,570 
Countrywide Home Loan 5.625% 7/15/2009  340  348 
Countrywide Home Loan 4.125% 9/15/2009  7,025  6,772 
Countrywide Home Loan 4.000% 3/22/2011  3,575  3,361 
General Electric Capital Corp. 2.800% 1/15/2007  10,900  10,662 
General Electric Capital Corp. 5.000% 2/15/2007  600  609 
General Electric Capital Corp. 5.375% 3/15/2007  51,650  52,783 
General Electric Capital Corp. 5.000% 6/15/2007  13,800  14,021 
General Electric Capital Corp. 4.250% 1/15/2008  6,200  6,179 
General Electric Capital Corp. 4.125% 3/4/2008  4,500  4,464 
General Electric Capital Corp. 3.500% 5/1/2008  15,120  14,705 
General Electric Capital Corp. 4.625% 9/15/2009  14,600  14,556 
General Electric Capital Corp. 8.300% 9/20/2009  275  313 
General Electric Capital Corp. 7.375% 1/19/2010  1,300  1,441 
General Electric Capital Corp. 6.125% 2/22/2011  11,685  12,414 
General Electric Capital Corp. 4.375% 11/21/2011  2,425  2,349 
General Electric Capital Corp. 5.875% 2/15/2012  90  95 
General Electric Capital Corp. 5.450% 1/15/2013  1,270  1,302 
General Electric Capital Corp. 4.750% 9/15/2014  12,025  11,697 
General Electric Capital Corp. 4.875% 3/4/2015  900  878 
General Electric Capital Corp. 6.750% 3/15/2032  30,710  35,517 
Heller Financial, Inc. 7.375% 11/1/2009  4,500  4,980 
Household Finance Corp. 7.200% 7/15/2006  8,500  8,830 
Household Finance Corp. 5.750% 1/30/2007  95  97 
Household Finance Corp. 4.625% 1/15/2008  13,070  13,116 
Household Finance Corp. 6.400% 6/17/2008  6,250  6,581 
Household Finance Corp. 4.125% 12/15/2008  8,675  8,525 
Household Finance Corp. 5.875% 2/1/2009  370  384 
Household Finance Corp. 4.750% 5/15/2009  15,575  15,592 
Household Finance Corp. 6.375% 10/15/2011  14,325  15,379 
Household Finance Corp. 7.000% 5/15/2012  13,475  15,004 
Household Finance Corp. 6.375% 11/27/2012  440  474 
HSBC Finance Corp. 4.125% 3/11/2008  5,900  5,850 
HSBC Finance Corp. 4.125% 11/16/2009  7,350  7,159 
HSBC Finance Corp. 6.750% 5/15/2011  6,450  7,024 
International Lease Finance Corp. 3.125% 5/3/2007  3,750  3,658 
International Lease Finance Corp. 5.625% 6/1/2007  21,025  21,541 
International Lease Finance Corp. 4.500% 5/1/2008  1,625  1,620 
International Lease Finance Corp. 6.375% 3/15/2009  900  950 
International Lease Finance Corp. 5.875% 5/1/2013  155  159 
MBNA America Bank NA 5.375% 1/15/2008  4,540  4,638 
MBNA America Bank NA 4.625% 8/3/2009  3,200  3,178 
MBNA America Bank NA 6.625% 6/15/2012  15  16 
MBNA Corp. 7.500% 3/15/2012  3,970  4,496 
MBNA Corp. 5.000% 6/15/2015  800  772 
SLM Corp. 5.625% 4/10/2007  30,150  30,935 
SLM Corp. 3.625% 3/17/2008  4,545  4,438 
SLM Corp. 4.000% 1/15/2009  1,590  1,556 
SLM Corp. 5.000% 10/1/2013  500  495 
SLM Corp. 5.050% 11/14/2014  2,700  2,664 
SLM Corp. 5.625% 8/1/2033  6,950  6,988 
Wells Fargo & Co. 5.500% 8/1/2012  4,275  4,442 
Insurance (0.7%)
ACE Capital Trust II 9.700% 4/1/2030  1,100  1,514 
ACE Ltd. 6.000% 4/1/2007  6,125  6,288 
AEGON NV 4.750% 6/1/2013  3,000  2,921 
Aetna, Inc. 6.970% 8/15/2036  900  1,037 
Allstate Corp. 5.375% 12/1/2006  5,100  5,193 
Allstate Corp. 7.200% 12/1/2009  13,665  15,042 
Allstate Corp. 5.000% 8/15/2014  4,925  4,864 
Allstate Corp. 6.125% 12/15/2032  3,400  3,612 
Allstate Corp. 5.350% 6/1/2033  220  210 
American General Capital II 8.500% 7/1/2030  7,790  10,223 
American International Group, Inc. 2.875% 5/15/2008  3,450  3,278 
Aon Capital Trust 8.205% 1/1/2027  1,050  1,201 
Arch Capital Group Ltd. 7.350% 5/1/2034  3,900  4,349 
Aspen Insurance Holdings Ltd. 6.000% 8/15/2014(2)  3,400  3,437 
Assurant, Inc. 5.625% 2/15/2014  1,900  1,937 
Assurant, Inc. 6.750% 2/15/2034  3,200  3,455 
AXA Financial, Inc. 7.750% 8/1/2010  1,400  1,580 
AXA SA 8.600% 12/15/2030  7,525  9,859 
Axis Capital Holdings 5.750% 12/1/2014  2,775  2,785 
Cincinnati Financial Corp. 6.125% 11/1/2034(2)  3,450  3,445 
CNA Financial Corp. 5.850% 12/15/2014  4,625  4,585 
Commerce Group, Inc. 5.950% 12/9/2013  1,800  1,824 
Equitable Cos., Inc. 6.500% 4/1/2008  115  121 
Fidelity National Financial, Inc. 7.300% 8/15/2011  5,025  5,336 
Fund American Cos., Inc. 5.875% 5/15/2013  2,175  2,201 
GE Global Insurance Holdings Corp. 6.450% 3/1/2019  2,000  2,067 
GE Global Insurance Holdings Corp. 7.000% 2/15/2026  4,600  4,973 
GE Global Insurance Holdings Corp. 7.750% 6/15/2030  1,800  2,123 
Genworth Financial, Inc. 4.750% 6/15/2009  2,900  2,908 
Genworth Financial, Inc. 5.750% 6/15/2014  2,375  2,452 
Genworth Financial, Inc. 6.500% 6/15/2034  3,900  4,320 
Hartford Financial Services Group, Inc. 4.625% 7/15/2013  2,400  2,304 
Hartford Life, Inc. 7.375% 3/1/2031  5,100  6,181 
John Hancock Financial Services 5.625% 12/1/2008  500  516 
Lincoln National Corp. 5.250% 6/15/2007  340  346 
Lincoln National Corp. 6.200% 12/15/2011  575  614 
Loews Corp. 5.250% 3/15/2016  1,500  1,455 
Loews Corp. 6.000% 2/1/2035  725  706 
Marsh & McLennan Cos., Inc. 5.375% 3/15/2007  900  914 
Marsh & McLennan Cos., Inc. 6.250% 3/15/2012  6,850  7,152 
MetLife, Inc. 5.250% 12/1/2006  6,225  6,327 
MetLife, Inc. 5.375% 12/15/2012  2,800  2,838 
MetLife, Inc. 5.000% 11/24/2013  5,000  4,942 
MetLife, Inc. 5.500% 6/15/2014  850  864 
MetLife, Inc. 6.500% 12/15/2032  1,800  1,963 
MetLife, Inc. 6.375% 6/15/2034  3,375  3,623 
Nationwide Life Global Funding 5.350% 2/15/2007(2)  8,025  8,186 
Principal Life Global 3.625% 4/30/2008(2)  770  752 
Principal Life Inc. Funding 5.100% 4/15/2014  4,975  4,947 
Progressive Corp. 6.625% 3/1/2029  4,800  5,399 
Progressive Corp. 6.250% 12/1/2032  325  350 
Protective Life Secured Trust 3.700% 11/24/2008  7,550  7,316 
Prudential Financial, Inc. 4.500% 7/15/2013  3,325  3,170 
Prudential Financial, Inc. 4.750% 4/1/2014  2,500  2,410 
Prudential Financial, Inc. 5.100% 9/20/2014  2,975  2,936 
Prudential Financial, Inc. 5.750% 7/15/2033  2,125  2,123 
St. Paul Cos., Inc. 5.750% 3/15/2007  4,450  4,568 
Travelers Property Casualty Corp. 3.750% 3/15/2008  3,925  3,825 
XL Capital Ltd. 5.250% 9/15/2014  6,025  5,951 
XL Capital Ltd. 6.375% 11/15/2024  3,850  4,026 
Real Estate Investment Trusts (0.4%)
Boston Properties, Inc. 6.250% 1/15/2013  1,590  1,685 
Boston Properties, Inc. 5.625% 4/15/2015  3,950  3,970 
Brandywine Realty Trust 4.500% 11/1/2009  4,300  4,175 
Brandywine Realty Trust 5.400% 11/1/2014  2,675  2,634 
EOP Operating LP 8.375% 3/15/2006  3,059  3,179 
EOP Operating LP 7.750% 11/15/2007  5,450  5,865 
EOP Operating LP 6.750% 2/15/2008  2,100  2,215 
EOP Operating LP 8.100% 8/1/2010  1,000  1,133 
EOP Operating LP 4.650% 10/1/2010  6,825  6,686 
EOP Operating LP 7.000% 7/15/2011  1,250  1,367 
EOP Operating LP 6.750% 2/15/2012  6,935  7,512 
EOP Operating LP 5.875% 1/15/2013  1,690  1,733 
EOP Operating LP 4.750% 3/15/2014  2,650  2,492 
EOP Operating LP 7.875% 7/15/2031  1,850  2,231 
ERP Operating LP 6.625% 3/15/2012  8,400  9,101 
Health Care Property Investment, Inc. 6.450% 6/25/2012  10,625  11,266 
Hospitality Properties 5.125% 2/15/2015  2,275  2,194 
HRPT Properties Trust 6.250% 8/15/2016  1,700  1,773 
iStar Financial Inc. 5.150% 3/1/2012  6,850  6,615 
Liberty Property LP 5.125% 3/2/2015  4,575  4,440 
ProLogis 5.500% 3/1/2013  2,650  2,681 
Regency Centers LP 6.750% 1/15/2012  7,875  8,560 
Simon Property Group Inc. 6.375% 11/15/2007  18,700  19,532 
Simon Property Group Inc. 4.875% 8/15/2010  1,425  1,412 
Simon Property Group Inc. 6.350% 8/28/2012  55  58 
Vornado Realty 5.625% 6/15/2007  3,550  3,611 
Other (0.1%)
Berkshire Hathaway Finance Corp. 3.400% 7/2/2007  1,925  1,890 
Berkshire Hathaway Finance Corp. 3.375% 10/15/2008  3,065  2,953 
Berkshire Hathaway Finance Corp. 4.125% 1/15/2010(2)  5,300  5,171 
Berkshire Hathaway Finance Corp. 4.200% 12/15/2010  4,300  4,187 
Berkshire Hathaway Finance Corp. 4.625% 10/15/2013  2,175  2,116 
Berkshire Hathaway Finance Corp. 5.100% 7/15/2014  575  574 
Berkshire Hathaway Finance Corp. 4.850% 1/15/2015(2)  11,250  10,944 
J. Paul Getty Trust 5.875% 10/1/2033  2,800  2,935 
           2,516,902 
 
Industrial (10.8%)
Basic Industry (0.7%)
Alcan, Inc. 4.500% 5/15/2013  5,400  5,233 
Alcan, Inc. 5.200% 1/15/2014  875  884 
Alcan, Inc. 6.125% 12/15/2033  1,500  1,584 
Alcoa, Inc. 4.250% 8/15/2007  30,625  30,599 
Aluminum Co. of America 6.750% 1/15/2028  500  585 
Barrick Gold Finance Inc. 4.875% 11/15/2014  3,425  3,342 
BHP Billiton Finance BV 4.800% 4/15/2013  10,490  10,354 
Celulosa Arauco Constitution SA 8.625% 8/15/2010  7,550  8,702 
Chevron Philips Chemical Co. 5.375% 6/15/2007  2,000  2,044 
Domtar, Inc. 7.875% 10/15/2011  1,750  1,935 
Dow Chemical Co. 6.125% 2/1/2011  9,725  10,358 
Dow Chemical Co. 7.375% 11/1/2029  5,900  7,220 
E.I. du Pont de Nemours & Co. 3.375% 11/15/2007  220  216 
E.I. du Pont de Nemours & Co. 6.875% 10/15/2009  8,000  8,750 
E.I. du Pont de Nemours & Co. 4.125% 4/30/2010  3,550  3,478 
E.I. du Pont de Nemours & Co. 4.750% 11/15/2012  7,820  7,781 
E.I. du Pont de Nemours & Co. 6.500% 1/15/2028  1,500  1,724 
Eastman Chemical Co. 7.250% 1/15/2024  600  695 
Eastman Chemical Co. 7.600% 2/1/2027  2,838  3,443 
Falconbridge Ltd. 7.350% 6/5/2012  900  1,012 
Falconbridge Ltd. 5.375% 6/1/2015  450  444 
ICI Wilmington 4.375% 12/1/2008  4,125  4,082 
ICI Wilmington 5.625% 12/1/2013  900  919 
Inco Ltd. 7.750% 5/15/2012  10  12 
Inco Ltd. 5.700% 10/15/2015  750  767 
Inco Ltd. 7.200% 9/15/2032  1,500  1,748 
International Paper Co. 4.250% 1/15/2009  3,525  3,461 
International Paper Co. 6.750% 9/1/2011  3,300  3,627 
International Paper Co. 5.850% 10/30/2012(3)  6,795  7,048 
International Paper Co. 5.300% 4/1/2015  2,200  2,200 
MeadWestvaco Corp. 6.850% 4/1/2012  40  45 
Newmont Mining 5.875% 4/1/2035  3,225  3,184 
Noranda, Inc. 7.250% 7/15/2012  2,725  3,051 
Placer Dome, Inc. 6.450% 10/15/2035  2,650  2,897 
Potash Corp. of Saskatchewan 7.750% 5/31/2011  11,600  13,324 
Potash Corp. of Saskatchewan 4.875% 3/1/2013  1,500  1,478 
Praxair, Inc. 6.900% 11/1/2006  14,525  15,147 
Praxair, Inc. 2.750% 6/15/2008  1,700  1,619 
Praxair, Inc. 3.950% 6/1/2013  1,200  1,124 
Rio Tinto Finance USA Ltd. 2.625% 9/30/2008  4,000  3,768 
Rohm & Haas Co. 7.400% 7/15/2009  96  106 
Rohm & Haas Co. 9.800% 4/15/2020  3,236  4,103 
Rohm & Haas Co. 7.850% 7/15/2029  2,900  3,776 
Westvaco Corp. 8.200% 1/15/2030  1,050  1,307 
Weyerhaeuser Co. 6.000% 8/1/2006  450  461 
Weyerhaeuser Co. 6.125% 3/15/2007  4,408  4,574 
Weyerhaeuser Co. 6.750% 3/15/2012  9,970  10,990 
Weyerhaeuser Co. 7.375% 3/15/2032  9,705  11,512 
Capital Goods (1.2%)
BAE Systems 7.156% 12/15/2011(2)  3,588  3,835 
Bemis Co. Inc. 4.875% 4/1/2012(2)  1,225  1,210 
Boeing Capital Corp. 5.750% 2/15/2007  2,545  2,614 
Boeing Capital Corp. 6.500% 2/15/2012  13,025  14,133 
Boeing Capital Corp. 5.800% 1/15/2013  4,090  4,288 
Caterpillar Financial Services Corp. 5.950% 5/1/2006  3,000  3,065 
Caterpillar Financial Services Corp. 2.700% 7/15/2008  1,850  1,752 
Caterpillar Financial Services Corp. 4.150% 1/15/2010  11,700  11,393 
Caterpillar Financial Services Corp. 4.750% 2/17/2015  1,725  1,676 
Caterpillar, Inc. 7.300% 5/1/2031  1,250  1,548 
Caterpillar, Inc. 6.950% 5/1/2042  1,275  1,541 
Caterpillar, Inc. 7.375% 3/1/2097  6,675  8,176 
CRH America Inc. 6.950% 3/15/2012  6,810  7,561 
CRH America Inc. 6.400% 10/15/2033  2,820  3,027 
Deere & Co. 6.950% 4/25/2014  7,550  8,613 
Deere & Co. 8.100% 5/15/2030  4,930  6,601 
Emerson Electric Co. 7.125% 8/15/2010  4,350  4,837 
Emerson Electric Co. 4.625% 10/15/2012  5,700  5,621 
Emerson Electric Co. 5.000% 12/15/2014  5,300  5,260 
General Dynamics Corp. 2.125% 5/15/2006  3,500  3,434 
General Dynamics Corp. 3.000% 5/15/2008  6,450  6,185 
General Dynamics Corp. 4.500% 8/15/2010  25  25 
General Dynamics Corp. 4.250% 5/15/2013  5,890  5,618 
General Electric Co. 5.000% 2/1/2013  21,815  21,775 
Goodrich Corp. 7.625% 12/15/2012  25  29 
Hanson PLC 7.875% 9/27/2010  1,000  1,138 
Hanson PLC 5.250% 3/15/2013  4,700  4,701 
Honeywell International, Inc. 5.125% 11/1/2006  1,500  1,526 
Honeywell International, Inc. 7.500% 3/1/2010  500  561 
Honeywell International, Inc. 6.125% 11/1/2011  2,500  2,673 
Ingersoll-Rand Co. 6.250% 5/15/2006  9,575  9,815 
John Deere Capital Corp. 3.875% 3/7/2007  1,675  1,663 
John Deere Capital Corp. 3.900% 1/15/2008  2,750  2,710 
John Deere Capital Corp. 7.000% 3/15/2012  10,400  11,654 
Lockheed Martin Corp. 7.650% 5/1/2016  4,575  5,455 
Lockheed Martin Corp. 7.750% 5/1/2026  600  751 
Lockheed Martin Corp. 8.500% 12/1/2029  7,075  9,592 
Masco Corp. 6.750% 3/15/2006  14,000  14,360 
Masco Corp. 4.625% 8/15/2007  670  674 
Masco Corp. 5.875% 7/15/2012  460  484 
Masco Corp. 7.750% 8/1/2029  450  555 
Masco Corp. 6.500% 8/15/2032  1,300  1,404 
Northrop Grumman Corp. 7.125% 2/15/2011  5,000  5,563 
Northrop Grumman Corp. 7.875% 3/1/2026  2,600  3,257 
Northrop Grumman Corp. 7.750% 2/15/2031  3,265  4,130 
Raytheon Co. 6.150% 11/1/2008  1,186  1,242 
Raytheon Co. 8.300% 3/1/2010  4,585  5,255 
Raytheon Co. 5.500% 11/15/2012  3,000  3,089 
Raytheon Co. 5.375% 4/1/2013  6,740  6,853 
Raytheon Co. 6.400% 12/15/2018  500  538 
Raytheon Co. 7.200% 8/15/2027  5,500  6,515 
Republic Services, Inc. 6.750% 8/15/2011  1,000  1,092 
Republic Services, Inc. 6.086% 3/15/2035  2,225  2,247 
Textron Financial Corp. 5.875% 6/1/2007  2,200  2,271 
Textron Financial Corp. 4.125% 3/3/2008  5,950  5,892 
Textron, Inc. 6.500% 6/1/2012  8,925  9,678 
The Boeing Co. 8.750% 8/15/2021  1,700  2,308 
The Boeing Co. 8.750% 9/15/2031  1,050  1,485 
The Boeing Co. 6.625% 2/15/2038  5,045  5,738 
TRW, Inc. 7.750% 6/1/2029  2,800  3,528 
Tyco International Group SA 5.800% 8/1/2006  1,600  1,635 
Tyco International Group SA 6.125% 11/1/2008  1,600  1,683 
Tyco International Group SA 6.750% 2/15/2011  9,450  10,321 
Tyco International Group SA 6.375% 10/15/2011  7,525  8,130 
Tyco International Group SA 6.000% 11/15/2013  1,825  1,922 
Tyco International Group SA 7.000% 6/15/2028  7,600  8,791 
Tyco International Group SA 6.875% 1/15/2029  150  170 
United Technologies Corp. 4.875% 11/1/2006  8,560  8,665 
United Technologies Corp. 6.350% 3/1/2011  3,025  3,280 
United Technologies Corp. 8.875% 11/15/2019  4,000  5,272 
United Technologies Corp. 6.700% 8/1/2028  1,642  1,910 
United Technologies Corp. 7.500% 9/15/2029  2,875  3,672 
USA Waste Services, Inc. 7.125% 10/1/2007  250  266 
USA Waste Services, Inc. 7.000% 7/15/2028  1,900  2,135 
Waste Management, Inc. 6.500% 11/15/2008  12,225  13,040 
Waste Management, Inc. 6.875% 5/15/2009  2,370  2,557 
Waste Management, Inc. 7.375% 8/1/2010  2,250  2,501 
Waste Management, Inc. 5.000% 3/15/2014  1,700  1,675 
Waste Management, Inc. 7.750% 5/15/2032  4,900  6,029 
WMX Technologies Inc. 7.100% 8/1/2026  1,375  1,556 
Communication (2.7%)
360 Communications Co. 7.500% 3/1/2006  450  465 
Alltel Corp. 7.000% 7/1/2012  4,525  5,040 
America Movil SA de C.V 4.125% 3/1/2009  5,550  5,370 
America Movil SA de C.V 5.500% 3/1/2014  2,675  2,564 
America Movil SA de C.V 5.750% 1/15/2015  4,025  3,878 
America Movil SA de C.V 6.375% 3/1/2035  6,150  5,560 
AT&T Wireless Services, Inc. 7.350% 3/1/2006  1,250  1,286 
AT&T Wireless Services, Inc. 7.875% 3/1/2011  14,830  16,882 
AT&T Wireless Services, Inc. 8.125% 5/1/2012  12,255  14,276 
AT&T Wireless Services, Inc. 8.750% 3/1/2031  8,580  11,266 
BellSouth Capital Funding 7.875% 2/15/2030  12,150  15,025 
BellSouth Corp. 5.000% 10/15/2006  3,884  3,939 
BellSouth Corp. 4.200% 9/15/2009  4,875  4,753 
BellSouth Corp. 6.000% 10/15/2011  120  127 
BellSouth Corp. 4.750% 11/15/2012  5,925  5,827 
BellSouth Corp. 5.200% 9/15/2014  4,150  4,105 
BellSouth Corp. 6.875% 10/15/2031  3,820  4,241 
BellSouth Corp. 6.550% 6/15/2034  4,550  4,862 
BellSouth Corp. 6.000% 11/15/2034  5,300  5,266 
Belo Corp. 7.250% 9/15/2027  340  385 
British Sky Broadcasting Corp. 7.300% 10/15/2006  1,725  1,804 
British Sky Broadcasting Corp. 6.875% 2/23/2009  4,225  4,543 
British Sky Broadcasting Corp. 8.200% 7/15/2009  1,725  1,947 
British Telecommunications PLC 8.375% 12/15/2010(3)  8,085  9,387 
British Telecommunications PLC 8.875% 12/15/2030(3)  9,010  11,963 
Century Tel Enterprises 6.875% 1/15/2028  1,000  1,012 
CenturyTel, Inc. 7.875% 8/15/2012  2,600  2,915 
Cingular Wireless 5.625% 12/15/2006  5,000  5,128 
Cingular Wireless 7.125% 12/15/2031  1,820  2,029 
Clear Channel Communications, Inc. 4.625% 1/15/2008  3,200  3,170 
Clear Channel Communications, Inc. 7.650% 9/15/2010  1,245  1,364 
Clear Channel Communications, Inc. 5.000% 3/15/2012  17,350  16,416 
Clear Channel Communications, Inc. 5.750% 1/15/2013  3,200  3,141 
Clear Channel Communications, Inc. 5.500% 9/15/2014  2,850  2,715 
Clear Channel Communications, Inc. 7.250% 10/15/2027  1,300  1,375 
Comcast Cable Communications Holdings Inc. 8.375% 3/15/2013  915  1,086 
Comcast Cable Communications Holdings Inc. 9.455% 11/15/2022  3,861  5,229 
Comcast Cable Communications, Inc. 8.375% 5/1/2007  3,000  3,237 
Comcast Cable Communications, Inc. 6.875% 6/15/2009  400  431 
Comcast Cable Communications, Inc. 6.750% 1/30/2011  4,115  4,475 
Comcast Cable Communications, Inc. 8.875% 5/1/2017  2,600  3,319 
Comcast Corp. 5.300% 1/15/2014  3,100  3,070 
Comcast Corp. 6.500% 1/15/2015  7,090  7,605 
Comcast Corp. 7.050% 3/15/2033  1,765  1,974 
Cox Communications, Inc. 3.875% 10/1/2008  1,250  1,209 
Cox Communications, Inc. 4.625% 1/15/2010(2)  10,125  9,868 
Cox Communications, Inc. 7.750% 11/1/2010  6,650  7,388 
Cox Communications, Inc. 7.125% 10/1/2012  6,000  6,516 
Cox Communications, Inc. 5.450% 12/15/2014(2)  9,950  9,659 
Deutsche Telekom International Finance 3.875% 7/22/2008  4,025  3,926 
Deutsche Telekom International Finance 8.500% 6/15/2010(3)  17,735  20,490 
Deutsche Telekom International Finance 5.250% 7/22/2013  950  955 
Deutsche Telekom International Finance 8.750% 6/15/2030(3)  20,280  26,524 
France Telecom 7.450% 3/1/2006(3)  11,500  11,837 
France Telecom 8.000% 3/1/2011(3)  500  579 
France Telecom 8.750% 3/1/2031(3)  19,225  25,456 
Gannett Co., Inc. 6.375% 4/1/2012  2,900  3,156 
Grupo Televisa SA 6.625% 3/18/2025(2)  4,350  4,151 
Grupo Televisa SA 8.500% 3/11/2032  750  850 
GTE Corp. 6.360% 4/15/2006  1,045  1,069 
GTE Corp. 8.750% 11/1/2021  3,835  4,949 
GTE Corp. 6.940% 4/15/2028  4,620  5,057 
Koninklijke KPN NV 8.000% 10/1/2010  4,365  5,003 
Koninklijke KPN NV 8.375% 10/1/2030  4,390  5,662 
New England Telephone & Telegraph Co. 6.875% 10/1/2023  2,815  2,827 
New England Telephone & Telegraph Co. 7.875% 11/15/2029  2,350  2,794 
News America Holdings, Inc. 9.250% 2/1/2013  5,841  7,295 
News America Holdings, Inc. 8.000% 10/17/2016  9,075  10,815 
News America Holdings, Inc. 7.700% 10/30/2025  900  1,048 
News America Holdings, Inc. 8.150% 10/17/2036  2,700  3,326 
News America Holdings, Inc. 7.750% 12/1/2045  1,775  2,095 
News America Inc. 5.300% 12/15/2014  2,600  2,554 
News America Inc. 6.200% 12/15/2034  7,700  7,600 
Pacific Bell 7.125% 3/15/2026  1,700  1,943 
R.R. Donnelley & Sons Co. 3.750% 4/1/2009  2,275  2,204 
R.R. Donnelley & Sons Co. 4.950% 4/1/2014  2,375  2,318 
SBC Communications, Inc. 5.750% 5/2/2006  570  580 
SBC Communications, Inc. 4.125% 9/15/2009  9,000  8,745 
SBC Communications, Inc. 6.250% 3/15/2011  10,390  11,025 
SBC Communications, Inc. 5.875% 2/1/2012  2,000  2,086 
SBC Communications, Inc. 5.875% 8/15/2012  10,250  10,669 
SBC Communications, Inc. 5.100% 9/15/2014  12,500  12,164 
SBC Communications, Inc. 5.625% 6/15/2016  3,675  3,692 
SBC Communications, Inc. 6.450% 6/15/2034  3,950  4,101 
SBC Communications, Inc. 6.150% 9/15/2034  1,425  1,422 
Sprint Capital Corp. 6.000% 1/15/2007  15,290  15,698 
Sprint Capital Corp. 6.125% 11/15/2008  14,950  15,656 
Sprint Capital Corp. 7.625% 1/30/2011  3,600  4,026 
Sprint Capital Corp. 8.375% 3/15/2012  590  689 
Sprint Capital Corp. 6.900% 5/1/2019  400  432 
Sprint Capital Corp. 6.875% 11/15/2028  6,225  6,641 
Sprint Capital Corp. 8.750% 3/15/2032  17,675  22,877 
TCI Communications, Inc. 8.750% 8/1/2015  17,295  21,601 
TCI Communications, Inc. 7.875% 2/15/2026  500  600 
Telecom Italia Capital 4.000% 11/15/2008  8,625  8,421 
Telecom Italia Capital 4.000% 1/15/2010(2)  5,375  5,131 
Telecom Italia Capital 5.250% 11/15/2013  10,035  9,920 
Telecom Italia Capital 4.950% 9/30/2014(2)  4,275  4,082 
Telecom Italia Capital 6.375% 11/15/2033  3,775  3,880 
Telecom Italia Capital 6.000% 9/30/2034(2)  4,050  3,906 
Tele-Communications, Inc. 7.875% 8/1/2013  14,550  16,886 
Telecomunicaciones de Puerto Rico 6.650% 5/15/2006  2,175  2,226 
Telecomunicaciones de Puerto Rico 6.800% 5/15/2009  4,600  4,846 
Telefonica Europe BV 7.750% 9/15/2010  5,000  5,702 
Telefonica Europe BV 8.250% 9/15/2030  4,875  6,481 
Telefonos de Mexico SA 8.250% 1/26/2006  10,075  10,409 
Telefonos de Mexico SA 4.750% 1/27/2010(2)  2,700  2,630 
Telefonos de Mexico SA 5.500% 1/27/2015(2)  6,600  6,232 
Telus Corp. 7.500% 6/1/2007  3,875  4,118 
Telus Corp. 8.000% 6/1/2011  6,025  7,043 
Thomson Corp. 5.750% 2/1/2008  8,600  8,908 
Time Warner Entertainment 7.250% 9/1/2008  1,275  1,372 
Time Warner Entertainment 10.150% 5/1/2012  1,400  1,791 
Time Warner Entertainment 8.375% 3/15/2023  9,690  11,826 
Time Warner Entertainment 8.375% 7/15/2033  4,135  5,224 
Univision Communications, Inc. 2.875% 10/15/2006  2,625  2,572 
US Cellular 6.700% 12/15/2033  3,950  4,123 
USA Interactive 7.000% 1/15/2013  4,325  4,566 
Verizon Global Funding Corp. 6.875% 6/15/2012  17,100  18,834 
Verizon Global Funding Corp. 7.375% 9/1/2012  11,500  13,045 
Verizon Global Funding Corp. 4.375% 6/1/2013  560  531 
Verizon Global Funding Corp. 7.750% 12/1/2030  1,965  2,363 
Verizon Maryland, Inc. 5.125% 6/15/2033  450  396 
Verizon New England Telephone Co. 6.500% 9/15/2011  1,945  2,088 
Verizon New Jersey, Inc. 5.875% 1/17/2012  11,990  12,414 
Verizon New York, Inc. 6.875% 4/1/2012  2,700  2,939 
Verizon New York, Inc. 7.375% 4/1/2032  2,850  3,207 
Verizon Pennsylvania, Inc. 5.650% 11/15/2011  11,500  11,787 
Verizon Wireless Capital 5.375% 12/15/2006  14,470  14,752 
Vodafone AirTouch PLC 7.750% 2/15/2010  2,225  2,509 
Vodafone AirTouch PLC 7.875% 2/15/2030  4,575  5,826 
Vodafone Group PLC 3.950% 1/30/2008  8,500  8,402 
Vodafone Group PLC 5.000% 12/16/2013  6,475  6,426 
Vodafone Group PLC 6.250% 11/30/2032  1,800  1,935 
WPP Finance USA Corp. 5.875% 6/15/2014  4,200  4,313 
Consumer Cyclical (2.5%)
Brinker International 5.750% 6/1/2014  1,975  2,019 
Cendant Corp. 6.875% 8/15/2006  12,760  13,212 
Cendant Corp. 6.250% 1/15/2008  7,000  7,291 
Cendant Corp. 7.375% 1/15/2013  4,625  5,218 
Cendant Corp. 7.125% 3/15/2015  250  279 
Centex Corp. 4.750% 1/15/2008  340  341 
Centex Corp. 7.875% 2/1/2011  40  45 
Centex Corp. 5.125% 10/1/2013  3,740  3,624 
Chrysler Corp. 7.450% 3/1/2027  3,800  4,058 
Cooper Tire & Rubber Co. 7.750% 12/15/2009  1,175  1,279 
Costco Wholesale Corp. 5.500% 3/15/2007  8,600  8,822 
CVS Corp. 4.000% 9/15/2009  3,675  3,587 
CVS Corp. 4.875% 9/15/2014  2,850  2,792 
DaimlerChrysler North America Holding Corp. 7.375% 9/15/2006  2,775  2,887 
DaimlerChrysler North America Holding Corp. 4.750% 1/15/2008  22,400  22,372 
DaimlerChrysler North America Holding Corp. 4.050% 6/4/2008  13,500  13,160 
DaimlerChrysler North America Holding Corp. 7.750% 1/18/2011  7,835  8,625 
DaimlerChrysler North America Holding Corp. 7.300% 1/15/2012  10,020  10,847 
DaimlerChrysler North America Holding Corp. 8.500% 1/18/2031  8,430  10,107 
Federated Department Stores, Inc. 6.625% 4/1/2011  1,800  1,947 
Federated Department Stores, Inc. 6.790% 7/15/2027  2,880  3,017 
Federated Department Stores, Inc. 7.000% 2/15/2028  25  27 
Federated Department Stores, Inc. 6.900% 4/1/2029  2,250  2,403 
Ford Capital BV 9.500% 6/1/2010  600  654 
Ford Motor Co. 6.625% 10/1/2028  5,685  4,870 
Ford Motor Co. 6.375% 2/1/2029  10,400  8,626 
Ford Motor Co. 7.450% 7/16/2031  19,235  17,370 
Ford Motor Co. 8.900% 1/15/2032  900  914 
Ford Motor Co. 9.980% 2/15/2047  4,375  4,947 
Ford Motor Credit Co. 6.500% 1/25/2007  56,405  57,050 
Ford Motor Credit Co. 7.750% 2/15/2007  11,425  11,759 
Ford Motor Credit Co. 4.950% 1/15/2008  975  941 
Ford Motor Credit Co. 5.625% 10/1/2008  560  545 
Ford Motor Credit Co. 5.800% 1/12/2009  5,000  4,807 
Ford Motor Credit Co. 7.375% 10/28/2009  5,500  5,545 
Ford Motor Credit Co. 5.700% 1/15/2010  3,675  3,467 
Ford Motor Credit Co. 7.875% 6/15/2010  2,500  2,563 
Ford Motor Credit Co. 7.375% 2/1/2011  7,200  7,171 
Ford Motor Credit Co. 7.250% 10/25/2011  18,500  18,284 
Ford Motor Credit Co. 7.000% 10/1/2013  3,335  3,232 
General Motors Acceptance Corp. 4.500% 7/15/2006  4,625  4,532 
General Motors Acceptance Corp. 6.125% 9/15/2006  11,500  11,457 
General Motors Acceptance Corp. 6.125% 2/1/2007  7,300  7,210 
General Motors Acceptance Corp. 6.150% 4/5/2007  4,500  4,422 
General Motors Acceptance Corp. 6.125% 8/28/2007  3,900  3,811 
General Motors Acceptance Corp. 5.625% 5/15/2009  2,875  2,640 
General Motors Acceptance Corp. 7.750% 1/19/2010  7,680  7,433 
General Motors Acceptance Corp. 7.250% 3/2/2011  1,500  1,395 
General Motors Acceptance Corp. 6.875% 9/15/2011  37,320  33,844 
General Motors Acceptance Corp. 7.000% 2/1/2012  20,805  18,814 
General Motors Acceptance Corp. 6.875% 8/28/2012  9,375  8,366 
General Motors Acceptance Corp. 6.750% 12/1/2014  4,775  4,119 
General Motors Acceptance Corp. 8.000% 11/1/2031  12,035  10,506 
General Motors Corp. 7.200% 1/15/2011  4,525  4,079 
General Motors Corp. 8.800% 3/1/2021  1,925  1,760 
General Motors Corp. 8.250% 7/15/2023  8,500  7,333 
General Motors Corp. 8.375% 7/15/2033  20,100  17,174 
Harrah's Operating Co., Inc. 7.125% 6/1/2007  8,825  9,288 
Harrah's Operating Co., Inc. 7.500% 1/15/2009  2,335  2,535 
Harrah's Operating Co., Inc. 8.000% 2/1/2011  296  337 
Harrah's Operating Co., Inc. 5.375% 12/15/2013  2,800  2,786 
Hilton Hotels Corp. 7.625% 12/1/2012  2,300  2,621 
Home Depot Inc. 3.750% 9/15/2009  9,775  9,483 
Kohl's Corp. 6.000% 1/15/2033  5,675  5,898 
Lear Corp. 5.750% 8/1/2014(2)  1,450  1,404 
Lennar Corp. 5.950% 3/1/2013  610  627 
Liberty Media Corp. 3.500% 9/25/2006  1,010  996 
Liberty Media Corp. 7.875% 7/15/2009  1,400  1,515 
Liberty Media Corp. 8.250% 2/1/2030  4,875  4,996 
Lowe's Cos., Inc. 6.875% 2/15/2028  260  306 
Lowe's Cos., Inc. 6.500% 3/15/2029  4,726  5,361 
May Department Stores Co. 3.950% 7/15/2007  925  912 
May Department Stores Co. 5.750% 7/15/2014  2,825  2,839 
May Department Stores Co. 9.750% 2/15/2021  1,024  1,266 
May Department Stores Co. 6.650% 7/15/2024  2,500  2,570 
May Department Stores Co. 6.700% 7/15/2034  1,900  1,933 
McDonald's Corp. 6.000% 4/15/2011  3,560  3,784 
Nordstrom, Inc. 6.950% 3/15/2028  1,400  1,579 
Pulte Homes, Inc. 4.875% 7/15/2009  2,675  2,671 
Pulte Homes, Inc. 6.250% 2/15/2013  450  468 
Pulte Homes, Inc. 5.250% 1/15/2014  2,800  2,718 
Pulte Homes, Inc. 5.200% 2/15/2015  1,050  990 
Pulte Homes, Inc. 7.875% 6/15/2032  7,800  8,976 
Pulte Homes, Inc. 6.000% 2/15/2035  1,400  1,280 
Target Corp. 3.375% 3/1/2008  13,500  13,167 
Target Corp. 5.400% 10/1/2008  315  325 
Target Corp. 5.375% 6/15/2009  4,100  4,239 
Target Corp. 6.350% 1/15/2011  195  211 
Target Corp. 4.000% 6/15/2013  670  632 
Target Corp. 7.000% 7/15/2031  11,260  13,671 
Target Corp. 6.350% 11/1/2032  1,000  1,128 
The Walt Disney Co. 5.500% 12/29/2006  3,375  3,446 
The Walt Disney Co. 5.375% 6/1/2007  18,296  18,702 
The Walt Disney Co. 6.375% 3/1/2012  2,775  2,997 
Time Warner, Inc. 6.125% 4/15/2006  2,900  2,961 
Time Warner, Inc. 6.150% 5/1/2007  17,775  18,396 
Time Warner, Inc. 8.180% 8/15/2007  2,350  2,533 
Time Warner, Inc. 6.750% 4/15/2011  1,650  1,787 
Time Warner, Inc. 6.875% 5/1/2012  5,475  5,982 
Time Warner, Inc. 9.125% 1/15/2013  1,500  1,853 
Time Warner, Inc. 9.150% 2/1/2023  5,100  6,691 
Time Warner, Inc. 7.570% 2/1/2024  1,500  1,723 
Time Warner, Inc. 6.625% 5/15/2029  5,150  5,526 
Time Warner, Inc. 7.625% 4/15/2031  3,355  3,961 
Time Warner, Inc. 7.700% 5/1/2032  9,890  11,756 
Toyota Motor Credit Corp. 2.875% 8/1/2008  560  536 
Toyota Motor Credit Corp. 4.250% 3/15/2010  22,275  22,011 
Viacom International Inc. 7.700% 7/30/2010  5,475  6,082 
Viacom International Inc. 6.625% 5/15/2011  5,975  6,390 
Viacom International Inc. 5.625% 8/15/2012  6,500  6,596 
Viacom International Inc. 4.625% 5/15/2018  500  448 
Viacom International Inc. 7.875% 7/30/2030  5,335  6,348 
Viacom International Inc. 5.500% 5/15/2033  2,750  2,473 
Wal-Mart Stores, Inc. 6.875% 8/10/2009  13,295  14,468 
Wal-Mart Stores, Inc. 4.000% 1/15/2010  11,800  11,470 
Wal-Mart Stores, Inc. 4.125% 2/15/2011  3,925  3,813 
Wal-Mart Stores, Inc. 4.550% 5/1/2013  2,500  2,454 
Wal-Mart Stores, Inc. 7.550% 2/15/2030  16,620  21,570 
Wal-Mart Stores, Inc. Canada 5.580% 5/1/2006(2)  6,850  6,970 
Yum! Brands, Inc. 8.875% 4/15/2011  2,400  2,866 
Yum! Brands, Inc. 7.700% 7/1/2012  1,500  1,737 
Consumer Noncyclical (1.9%)
Abbott Laboratories 5.625% 7/1/2006  14,086  14,373 
Abbott Laboratories 3.500% 2/17/2009  1,650  1,591 
Albertson's, Inc. 7.500% 2/15/2011  8,060  8,927 
Albertson's, Inc. 7.450% 8/1/2029  3,050  3,371 
Albertson's, Inc. 8.000% 5/1/2031  1,700  1,993 
Altria Group, Inc. 5.625% 11/4/2008  5,600  5,735 
Amgen Inc. 4.000% 11/18/2009(2)  7,625  7,421 
Amgen Inc. 4.850% 11/18/2014(2)  5,000  4,914 
Anheuser-Busch Cos., Inc. 6.000% 4/15/2011  1,500  1,600 
Anheuser-Busch Cos., Inc. 4.375% 1/15/2013  450  436 
Anheuser-Busch Cos., Inc. 7.125% 7/1/2017  3,375  3,625 
Anheuser-Busch Cos., Inc. 6.800% 8/20/2032  1,825  2,168 
Anthem, Inc. 6.800% 8/1/2012  60  66 
Archer-Daniels-Midland Co. 8.125% 6/1/2012  4,200  5,040 
Archer-Daniels-Midland Co. 7.500% 3/15/2027  1,450  1,805 
AstraZeneca PLC 5.400% 6/1/2014  3,875  3,988 
Baxter International, Inc. 5.250% 5/1/2007  1,750  1,781 
Boston Scientific 5.450% 6/15/2014  3,350  3,428 
Bottling Group LLC 4.625% 11/15/2012  17,285  17,053 
Bristol-Myers Squibb Co. 4.000% 8/15/2008  3,250  3,205 
Bristol-Myers Squibb Co. 5.750% 10/1/2011  18,550  19,378 
Bristol-Myers Squibb Co. 6.875% 8/1/2097  1,300  1,497 
Bunge Ltd. Finance Corp. 4.375% 12/15/2008  3,500  3,445 
Bunge Ltd. Finance Corp. 5.350% 4/15/2014  2,575  2,583 
C.R. Bard, Inc. 6.700% 12/1/2026  7,050  7,307 
Campbell Soup Co. 5.500% 3/15/2007  1,400  1,433 
Campbell Soup Co. 6.750% 2/15/2011  3,500  3,857 
Cardinal Health, Inc. 4.000% 6/15/2015  650  579 
Cia. Brasil de Bebidas AmBev 10.500% 12/15/2011  2,630  3,169 
Cia. Brasil de Bebidas AmBev 8.750% 9/15/2013  3,500  3,903 
CIGNA Corp. 7.875% 5/15/2027  750  907 
Clorox Co. 4.200% 1/15/2010(2)  11,350  11,151 
Clorox Co. 5.000% 1/15/2015(2)  3,275  3,263 
Coca-Cola Enterprises Inc. 4.250% 9/15/2010  340  332 
Coca-Cola Enterprises Inc. 6.125% 8/15/2011  15,700  16,759 
Coca-Cola Enterprises Inc. 8.500% 2/1/2022  4,100  5,376 
Coca-Cola Enterprises Inc. 8.000% 9/15/2022  1,550  1,958 
Coca-Cola Enterprises Inc. 6.950% 11/15/2026  820  950 
Coca-Cola HBC Finance 5.125% 9/17/2013  670  671 
Conagra, Inc. 7.875% 9/15/2010  8,400  9,597 
Conagra, Inc. 9.750% 3/1/2021  750  1,055 
Conagra, Inc. 7.125% 10/1/2026  1,100  1,293 
Conagra, Inc. 8.250% 9/15/2030  1,670  2,217 
Coors Brewing Co. 6.375% 5/15/2012  900  968 
Diageo Capital PLC 3.500% 11/19/2007  7,550  7,404 
Diageo Capital PLC 3.375% 3/20/2008  14,150  13,738 
Diageo Capital PLC 7.250% 11/1/2009  450  499 
Eli Lilly & Co. 6.000% 3/15/2012  2,575  2,762 
General Mills, Inc. 2.625% 10/24/2006  8,750  8,555 
General Mills, Inc. 5.125% 2/15/2007  11,575  11,756 
General Mills, Inc. 6.000% 2/15/2012  2,665  2,829 
Gillette Co. 3.800% 9/15/2009  1,400  1,359 
GlaxoSmithKline Capital Inc. 2.375% 4/16/2007  7,675  7,437 
GlaxoSmithKline Capital Inc. 4.375% 4/15/2014  3,125  2,996 
GlaxoSmithKline Capital Inc. 5.375% 4/15/2034  3,750  3,728 
Grand Metropolitan Investment Corp. 7.450% 4/15/2005  500  641 
Grand Metropolitan Investment Corp. 9.000% 8/15/2011  1,550  1,894 
H.J. Heinz Co. 6.625% 7/15/2011(3)  3,000  3,280 
H.J. Heinz Co. 6.375% 7/15/2028  3,525  3,919 
H.J. Heinz Co. 6.750% 3/15/2032(3)  500  575 
Hospira, Inc. 4.950% 6/15/2009  3,175  3,199 
Hospira, Inc. 5.900% 6/15/2014  1,975  2,053 
Imperial Tobacco 7.125% 4/1/2009  1,000  1,081 
International Flavors & Fragrances 6.450% 5/15/2006  3,800  3,902 
Johnson & Johnson 3.800% 5/15/2013  4,115  3,850 
Johnson & Johnson 6.950% 9/1/2029  450  546 
Johnson & Johnson 4.950% 5/15/2033  3,300  3,111 
Kellogg Co. 6.000% 4/1/2006  13,800  14,079 
Kellogg Co. 2.875% 6/1/2008  2,725  2,599 
Kellogg Co. 6.600% 4/1/2011  450  489 
Kellogg Co. 7.450% 4/1/2031  6,915  8,583 
Kimberly-Clark Corp. 7.100% 8/1/2007  1,340  1,427 
Kimberly-Clark Corp. 5.625% 2/15/2012  1,900  2,001 
Kraft Foods, Inc. 4.625% 11/1/2006  17,475  17,597 
Kraft Foods, Inc. 4.125% 11/12/2009  4,250  4,143 
Kraft Foods, Inc. 5.625% 11/1/2011  6,775  7,022 
Kraft Foods, Inc. 6.250% 6/1/2012  950  1,018 
Kraft Foods, Inc. 5.250% 10/1/2013  340  344 
Kraft Foods, Inc. 6.500% 11/1/2031  11,400  12,597 
Kroger Co. 7.800% 8/15/2007  4,400  4,726 
Kroger Co. 7.250% 6/1/2009  4,225  4,602 
Kroger Co. 6.800% 4/1/2011  600  655 
Kroger Co. 4.950% 1/15/2015  3,675  3,551 
Kroger Co. 7.700% 6/1/2029  10,625  12,449 
Kroger Co. 8.000% 9/15/2029  1,450  1,756 
Kroger Co. 7.500% 4/1/2031  420  484 
Laboratory Corp. of America 5.500% 2/1/2013  340  345 
Merck & Co. 5.250% 7/1/2006  670  681 
Merck & Co. 4.750% 3/1/2015  2,500  2,412 
Merck & Co. 6.400% 3/1/2028  1,730  1,887 
Merck & Co. 5.950% 12/1/2028  450  466 
Newell Rubbermaid, Inc. 6.000% 3/15/2007  900  926 
Newell Rubbermaid, Inc. 4.000% 5/1/2010  3,500  3,349 
Pepsi Bottling Group, Inc. 7.000% 3/1/2029  2,000  2,392 
Pfizer, Inc. 4.500% 2/15/2014  5,400  5,232 
Pharmacia Corp. 5.750% 12/1/2005(3)  11,990  12,142 
Pharmacia Corp. 6.600% 12/1/2028(3)  1,500  1,720 
Philip Morris Cos., Inc. 7.650% 7/1/2008  3,325  3,608 
Philip Morris Cos., Inc. 7.750% 1/15/2027  3,770  4,292 
Procter & Gamble Co. 6.875% 9/15/2009  7,950  8,715 
Procter & Gamble Co. 4.950% 8/15/2014  1,400  1,393 
Procter & Gamble Co. 5.800% 8/15/2034  3,000  3,105 
Procter & Gamble Co. ESOP 9.360% 1/1/2021  16,000  20,808 
Quest Diagnostic, Inc. 6.750% 7/12/2006  9,255  9,552 
Safeway, Inc. 6.150% 3/1/2006  1,000  1,017 
Safeway, Inc. 4.950% 8/16/2010  3,775  3,739 
Safeway, Inc. 6.500% 3/1/2011  3,450  3,672 
Safeway, Inc. 5.800% 8/15/2012  875  896 
Safeway, Inc. 7.250% 2/1/2031  1,850  2,018 
Sara Lee Corp. 2.750% 6/15/2008  9,525  9,007 
Sara Lee Corp. 6.250% 9/15/2011  350  378 
Sara Lee Corp. 3.875% 6/15/2013  2,500  2,302 
Sara Lee Corp. 6.125% 11/1/2032  2,425  2,597 
Schering-Plough Corp. 5.550% 12/1/2013  5,375  5,490 
Schering-Plough Corp. 6.750% 12/1/2033(3)  4,800  5,385 
Tyson Foods, Inc. 7.250% 10/1/2006  3,500  3,647 
Tyson Foods, Inc. 8.250% 10/1/2011  4,500  5,219 
Unilever Capital Corp. 7.125% 11/1/2010  9,300  10,394 
Unilever Capital Corp. 5.900% 11/15/2032  3,350  3,541 
UnitedHealth Group, Inc. 5.200% 1/17/2007  4,050  4,123 
UnitedHealth Group, Inc. 3.375% 8/15/2007  3,950  3,864 
UnitedHealth Group, Inc. 4.125% 8/15/2009  3,375  3,306 
UnitedHealth Group, Inc. 4.875% 4/1/2013  1,000  986 
UnitedHealth Group, Inc. 5.000% 8/15/2014  3,725  3,690 
UnitedHealth Group, Inc. 4.875% 3/15/2015  2,575  2,525 
Wellpoint Health Networks Inc. 6.375% 1/15/2012  3,790  4,087 
Wellpoint Inc. 3.750% 12/14/2007(2)  2,400  2,351 
Wellpoint Inc. 4.250% 12/15/2009(2)  1,800  1,758 
Wellpoint Inc. 5.000% 12/15/2014(2)  1,025  991 
Wellpoint Inc. 5.950% 12/15/2034(2)  3,650  3,647 
Wyeth 4.375% 3/1/2008  9,395  9,364 
Wyeth 6.950% 3/15/2011  1,500  1,651 
Wyeth 5.500% 3/15/2013  8,375  8,560 
Wyeth 5.500% 2/1/2014  7,875  8,041 
Wyeth 6.450% 2/1/2024  1,925  2,101 
Wyeth 6.500% 2/1/2034  3,175  3,491 
Energy (0.8%)
Alberta Energy Co. Ltd. 7.375% 11/1/2031  1,150  1,404 
Anadarko Finance Co. 6.750% 5/1/2011  525  579 
Anadarko Finance Co. 7.500% 5/1/2031  8,225  10,047 
Anadarko Petroleum Corp. 3.250% 5/1/2008  2,000  1,927 
Apache Corp. 6.250% 4/15/2012  1,200  1,306 
Apache Finance Canada 7.750% 12/15/2029  1,400  1,842 
Atlantic Richfield Co. 5.900% 4/15/2009  4,009  4,229 
Baker Hughes, Inc. 6.250% 1/15/2009  200  211 
Baker Hughes, Inc. 6.875% 1/15/2029  1,000  1,186 
BP Capital Markets PLC 2.350% 6/15/2006  750  737 
BP Capital Markets PLC 2.750% 12/29/2006  1,175  1,151 
BP Capital Markets PLC 2.625% 3/15/2007  2,225  2,167 
Burlington Resources, Inc. 6.680% 2/15/2011  4,225  4,638 
Burlington Resources, Inc. 7.200% 8/15/2031  900  1,081 
Burlington Resources, Inc. 7.400% 12/1/2031  6,800  8,379 
Canadian Natural Resources 7.200% 1/15/2032  700  831 
Canadian Natural Resources 5.850% 2/1/2035  2,450  2,434 
ChevronTexaco Capital Co. 3.500% 9/17/2007  6,050  5,964 
Conoco Funding Co. 6.350% 10/15/2011  6,310  6,806 
Conoco, Inc. 6.350% 4/15/2009  13,850  14,779 
Devon Energy Corp. 2.750% 8/1/2006  670  659 
Devon Financing Corp. 6.875% 9/30/2011  2,010  2,217 
Devon Financing Corp. 7.875% 9/30/2031  10,725  13,485 
Encana Corp. 4.600% 8/15/2009  1,225  1,224 
Encana Corp. 6.500% 8/15/2034  1,350  1,494 
Encana Holdings Finance Corp. 5.800% 5/1/2014  2,750  2,879 
Halliburton Co. 5.500% 10/15/2010  3,050  3,143 
Husky Energy Inc. 6.150% 6/15/2019  1,000  1,039 
Kerr McGee Corp. 6.950% 7/1/2024  4,050  4,151 
Marathon Oil Corp. 5.375% 6/1/2007  8,075  8,249 
Marathon Oil Corp. 6.125% 3/15/2012  2,220  2,379 
Marathon Oil Corp. 6.800% 3/15/2032  725  812 
Nexen, Inc. 5.050% 11/20/2013  3,850  3,758 
Nexen, Inc. 7.875% 3/15/2032  1,050  1,292 
Norsk Hydro 6.360% 1/15/2009  3,000  3,179 
Norsk Hydro 7.250% 9/23/2027  4,250  5,161 
Norsk Hydro 7.150% 1/15/2029  3,450  4,165 
Occidental Petroleum 6.750% 1/15/2012  3,125  3,478 
Occidental Petroleum 7.200% 4/1/2028  5,350  6,313 
PanCanadian Energy Corp. 7.200% 11/1/2031  7,150  8,502 
Petro-Canada 4.000% 7/15/2013  2,000  1,840 
Petro-Canada 7.875% 6/15/2026  1,975  2,472 
Petro-Canada 7.000% 11/15/2028  1,650  1,899 
Petro-Canada 5.350% 7/15/2033  6,100  5,708 
Petro-Canada Financial Partnership 5.000% 11/15/2014  2,500  2,444 
PF Export Receivables Master Trust 6.600% 12/1/2011(2)  16,758  17,536 
Phillips Petroleum Co. 8.750% 5/25/2010  1,250  1,482 
Pioneer Natural Resources Co. 5.875% 7/15/2016  4,150  4,283 
Pioneer Natural Resources Co. 7.200% 1/15/2028  2,150  2,487 
Suncor Energy, Inc. 7.150% 2/1/2032  1,700  2,067 
Sunoco, Inc. 4.875% 10/15/2014  1,750  1,705 
Texaco Capital, Inc. 5.500% 1/15/2009  2,620  2,725 
Tosco Corp. 7.800% 1/1/2027  1,650  2,082 
Tosco Corp. 8.125% 2/15/2030  22,500  29,829 
Transocean Sedco Forex, Inc. 6.625% 4/15/2011  2,500  2,739 
Transocean Sedco Forex, Inc. 7.500% 4/15/2031  1,000  1,234 
Union Oil Co. of California 5.050% 10/1/2012  1,550  1,561 
Valero Energy Corp. 6.875% 4/15/2012  5,200  5,779 
Valero Energy Corp. 4.750% 6/15/2013  340  331 
Valero Energy Corp. 7.500% 4/15/2032  340  410 
XTO Energy, Inc. 6.250% 4/15/2013  1,150  1,233 
XTO Energy, Inc. 5.000% 1/31/2015  1,775  1,725 
Technology (0.4%)
Computer Sciences Corp. 3.500% 4/15/2008  1,000  975 
Computer Sciences Corp. 5.000% 2/15/2013  1,900  1,901 
Deluxe Corp. 3.500% 10/1/2007  1,950  1,896 
Eastmak Kodak Co. 7.250% 11/15/2013  125  130 
Eastman Kodak Co. 3.625% 5/15/2008  1,750  1,680 
Equifax, Inc. 4.950% 11/1/2007  340  344 
First Data Corp. 3.375% 8/1/2008  3,700  3,575 
First Data Corp. 5.625% 11/1/2011  15,900  16,696 
Hewlett-Packard Co. 5.750% 12/15/2006  5,575  5,726 
Hewlett-Packard Co. 3.625% 3/15/2008  13,100  12,795 
Hewlett-Packard Co. 6.500% 7/1/2012  560  611 
International Business Machines Corp. 4.875% 10/1/2006  4,500  4,557 
International Business Machines Corp. 6.450% 8/1/2007  2,900  3,042 
International Business Machines Corp. 3.800% 2/1/2008  7,325  7,233 
International Business Machines Corp. 5.375% 2/1/2009  4,050  4,182 
International Business Machines Corp. 4.750% 11/29/2012  585  581 
International Business Machines Corp. 7.500% 6/15/2013  4,000  4,678 
International Business Machines Corp. 7.000% 10/30/2025  920  1,084 
International Business Machines Corp. 6.220% 8/1/2027  6,250  6,760 
International Business Machines Corp. 6.500% 1/15/2028  700  784 
International Business Machines Corp. 5.875% 11/29/2032  600  626 
International Business Machines Corp. 7.125% 12/1/2096  6,585  7,806 
Motorola, Inc. 7.625% 11/15/2010  11,200  12,643 
Motorola, Inc. 8.000% 11/1/2011  1,750  2,028 
Motorola, Inc. 7.500% 5/15/2025  5,000  5,814 
Motorola, Inc. 6.500% 11/15/2028  2,100  2,211 
Science Applications International Corp. 6.250% 7/1/2012  1,325  1,413 
Science Applications International Corp. 5.500% 7/1/2033  1,825  1,753 
SunGard Data Systems, Inc. 3.750% 1/15/2009  1,000  877 
SunGard Data Systems, Inc. 4.875% 1/15/2014  850  672 
Transportation (0.6%)
American Airlines, Inc. Pass-Through Certificates 6.855% 4/15/2009  5,649  5,733 
American Airlines, Inc. Pass-Through Certificates 7.024% 10/15/2009  5,825  5,883 
Burlington Northern Santa Fe Corp. 9.250% 10/1/2006  2,750  2,948 
Burlington Northern Santa Fe Corp. 7.875% 4/15/2007  2,650  2,831 
Burlington Northern Santa Fe Corp. 6.750% 7/15/2011  3,070  3,382 
Burlington Northern Santa Fe Corp. 7.000% 12/15/2025  6,950  8,006 
Canadian National Railway Co. 4.400% 3/15/2013  1,450  1,399 
Canadian National Railway Co. 6.800% 7/15/2018  11,575  13,337 
Canadian National Railway Co. 6.250% 8/1/2034  1,750  1,914 
Canadian Pacific Rail 6.250% 10/15/2011  12,350  13,295 
Canadian Pacific Rail 7.125% 10/15/2031  375  451 
CNF, Inc. 6.700% 5/1/2034  3,725  3,966 
Continental Airlines Enhanced Equipment Trust Certificates 6.563% 2/15/2012  3,000  3,128 
Continental Airlines Enhanced Equipment Trust Certificates 6.648% 9/15/2017  8,881  8,437 
CSX Corp. 6.750% 3/15/2011  3,450  3,767 
CSX Corp. 6.300% 3/15/2012  5,525  5,906 
CSX Corp. 7.950% 5/1/2027  2,325  2,914 
ERAC USA Finance Co. 7.350% 6/15/2008(2)  5,275  5,681 
FedEx Corp. 2.650% 4/1/2007  3,650  3,535 
FedEx Corp. 3.500% 4/1/2009  1,950  1,871 
Hertz Corp. 6.350% 6/15/2010  2,650  2,563 
Hertz Corp. 7.400% 3/1/2011  14,975  15,082 
Hertz Corp. 7.625% 6/1/2012  1,215  1,227 
Norfolk Southern Corp. 7.350% 5/15/2007  9  10 
Norfolk Southern Corp. 5.257% 9/17/2014  45  45 
Norfolk Southern Corp. 7.700% 5/15/2017  6,650  8,031 
Norfolk Southern Corp. 9.750% 6/15/2020  2,171  3,069 
Norfolk Southern Corp. 7.800% 5/15/2027  1,200  1,499 
Norfolk Southern Corp. 7.250% 2/15/2031  1,325  1,583 
Norfolk Southern Corp. 7.050% 5/1/2037  5,300  6,202 
Norfolk Southern Corp. 7.900% 5/15/2097  1,425  1,790 
Northwest Airlines, Inc. Pass-Through Certificates 6.841% 4/1/2011  8,425  8,257 
Southwest Airlines Co. 6.500% 3/1/2012  8,800  9,270 
Southwest Airlines Co. 5.250% 10/1/2014  275  266 
Southwest Airlines Co. 5.125% 3/1/2017  900  846 
Union Pacific Corp. 7.250% 11/1/2008  2,200  2,382 
Union Pacific Corp. 3.625% 6/1/2010  3,040  2,867 
Union Pacific Corp. 6.650% 1/15/2011  7,250  7,894 
Union Pacific Corp. 6.125% 1/15/2012  575  613 
Union Pacific Corp. 6.500% 4/15/2012  2,400  2,617 
Union Pacific Corp. 7.000% 2/1/2016  1,150  1,307 
Union Pacific Corp. 7.125% 2/1/2028  1,000  1,153 
Union Pacific Corp. 6.625% 2/1/2029  4,450  4,874 
Other (0.0%)
Black & Decker Corp. 7.125% 6/1/2011  500  558 
Black & Decker Corp. 4.750% 11/1/2014  3,850  3,699 
Cooper Industries, Inc. 5.250% 7/1/2007  505  514 
Rockwell International Corp. 6.700% 1/15/2028  1,350  1,565 
           3,276,490 
 
Utilities (1.7%)
Electric (1.4%)
AEP Texas Central Co. 5.500% 2/15/2013  2,725  2,769 
AEP Texas Central Co. 6.650% 2/15/2033  2,850  3,197 
Alabama Power Co. 3.500% 11/15/2007  4,150  4,072 
Alabama Power Co. 5.500% 10/15/2017  11,600  11,920 
American Electric Power Co., Inc. 6.125% 5/15/2006  4,075  4,172 
Arizona Public Service Co. 5.800% 6/30/2014  4,225  4,425 
Arizona Public Service Co. 4.650% 5/15/2015  4,450  4,226 
Boston Edison Co. 4.875% 4/15/2014  2,275  2,258 
Carolina Power & Light Co. 5.125% 9/15/2013  405  404 
CenterPoint Energy Houston 5.750% 1/15/2014  500  519 
Cincinnati Gas & Electric Co. 5.700% 9/15/2012  3,300  3,442 
Cleveland Electric Illumination Co. 7.880% 11/1/2017  1,450  1,775 
Commonwealth Edison Co. 3.700% 2/1/2008  1,150  1,129 
Commonwealth Edison Co. 6.150% 3/15/2012  7,200  7,730 
Commonwealth Edison Co. 4.700% 4/15/2015  2,750  2,695 
Commonwealth Edison Co. 5.875% 2/1/2033  340  361 
Consolidated Edison, Inc. 6.625% 12/15/2005  10,875  11,081 
Consolidated Edison, Inc. 4.875% 2/1/2013  340  339 
Consolidated Edison, Inc. 5.300% 3/1/2035  1,000  973 
Constellation Energy Group, Inc. 6.125% 9/1/2009  6,700  7,095 
Constellation Energy Group, Inc. 7.000% 4/1/2012  2,075  2,318 
Constellation Energy Group, Inc. 7.600% 4/1/2032  8,140  9,788 
Consumers Energy Co. 4.250% 4/15/2008  4,210  4,170 
Consumers Energy Co. 4.800% 2/17/2009  6,100  6,115 
Consumers Energy Co. 5.000% 2/15/2012  900  890 
Consumers Energy Co. 5.375% 4/15/2013  3,650  3,680 
Consumers Energy Co. 5.650% 4/15/2020  1,000  998 
Detroit Edison Co. 6.125% 10/1/2010  2,080  2,209 
Dominion Resources, Inc. 4.125% 2/15/2008  450  445 
Dominion Resources, Inc. 6.250% 6/30/2012  5,000  5,314 
Dominion Resources, Inc. 6.300% 3/15/2033  4,600  4,776 
Dominion Resources, Inc. PUT 5.250% 8/1/2033  3,300  3,274 
DTE Energy Co. 7.050% 6/1/2011  1,050  1,160 
Duke Capital Corp. 6.750% 2/15/2032  2,875  3,154 
Duke Energy Corp. 3.750% 3/5/2008  3,350  3,289 
Duke Energy Corp. 6.250% 1/15/2012  5,125  5,444 
Duke Energy Corp. 6.000% 12/1/2028  500  507 
Duke Energy Corp. 6.450% 10/15/2032  3,450  3,709 
Energy East Corp. 6.750% 6/15/2012  6,300  6,940 
Entergy Gulf States 3.600% 6/1/2008  3,250  3,161 
Florida Power & Light Co. 6.875% 12/1/2005  7,000  7,137 
Florida Power & Light Co. 5.625% 4/1/2034  1,500  1,539 
FPL Group Capital, Inc. 3.250% 4/11/2006  2,470  2,463 
FPL Group Capital, Inc. 7.625% 9/15/2006  5,450  5,719 
HQI Transelec Chile SA 7.875% 4/15/2011  11,225  12,788 
Jersey Central Power & Light 5.625% 5/1/2016  3,700  3,819 
MidAmerican Energy Co. 5.125% 1/15/2013  6,025  6,112 
MidAmerican Energy Co. 6.750% 12/30/2031  9,600  11,246 
MidAmerican Energy Holdings 5.875% 10/1/2012  4,420  4,575 
MidAmerican Energy Holdings 5.000% 2/15/2014  1,500  1,463 
MidAmerican Energy Holdings 8.480% 9/15/2028  700  921 
National Rural Utilities Cooperative Finance Corp. 6.500% 3/1/2007  4,075  4,238 
National Rural Utilities Cooperative Finance Corp. 7.250% 3/1/2012  17,150  19,328 
National Rural Utilities Cooperative Finance Corp. 4.750% 3/1/2014  2,125  2,074 
National Rural Utilities Cooperative Finance Corp. 8.000% 3/1/2032  3,400  4,381 
NiSource Finance Corp. 3.200% 11/1/2006  1,000  985 
NiSource Finance Corp. 7.875% 11/15/2010  4,060  4,661 
NiSource Finance Corp. 5.400% 7/15/2014  1,400  1,410 
Oncor Electric Delivery Co. 6.375% 5/1/2012  2,400  2,573 
Oncor Electric Delivery Co. 6.375% 1/15/2015  5,075  5,468 
Oncor Electric Delivery Co. 7.000% 5/1/2032  2,300  2,694 
Oncor Electric Delivery Co. 7.250% 1/15/2033  7,525  9,122 
Pacific Gas & Electric Co. 3.600% 3/1/2009  4,900  4,730 
Pacific Gas & Electric Co. 4.200% 3/1/2011  2,475  2,400 
Pacific Gas & Electric Co. 4.800% 3/1/2014  1,750  1,707 
Pacific Gas & Electric Co. 6.050% 3/1/2034  15,875  16,279 
PacifiCorp 6.900% 11/15/2011  7,825  8,724 
PacifiCorp 7.700% 11/15/2031  1,500  1,942 
Pepco Holdings, Inc. 6.450% 8/15/2012  7,325  7,921 
Pepco Holdings, Inc. 7.450% 8/15/2032  1,550  1,846 
PPL Energy Supply LLC 6.400% 11/1/2011  5,975  6,453 
PPL Energy Supply LLC 5.400% 8/15/2014  1,000  1,007 
Progress Energy, Inc. 6.050% 4/15/2007  1,770  1,829 
Progress Energy, Inc. 5.850% 10/30/2008  1,000  1,036 
Progress Energy, Inc. 7.100% 3/1/2011  7,540  8,281 
Progress Energy, Inc. 7.750% 3/1/2031  2,150  2,572 
Progress Energy, Inc. 7.000% 10/30/2031  1,700  1,872 
PSEG Power Corp. 6.875% 4/15/2006  9,225  9,484 
PSEG Power Corp. 6.950% 6/1/2012  8,075  8,962 
PSEG Power Corp. 8.625% 4/15/2031  5,125  6,889 
Public Service Co. of Colorado 4.375% 10/1/2008  8,875  8,845 
Public Service Co. of Colorado 5.500% 4/1/2014  340  352 
Scana Corp. 6.250% 2/1/2012  7,600  8,162 
South Carolina Electric & Gas Co. 6.625% 2/1/2032  2,750  3,204 
South Carolina Electric & Gas Co. 5.300% 5/15/2033  1,270  1,243 
Southern California Edison Co. 8.000% 2/15/2007  405  432 
Southern California Edison Co. 5.000% 1/15/2014  2,950  2,919 
Southern California Edison Co. 4.650% 4/1/2015  1,500  1,442 
Southern California Edison Co. 5.000% 1/15/2016  3,500  3,457 
Southern California Edison Co. 6.000% 1/15/2034  8,675  9,083 
Southern California Edison Co. 5.750% 4/1/2035  1,125  1,142 
TXU Energy Co. 7.000% 3/15/2013  1,900  2,088 
United Utilities PLC 5.375% 2/1/2019  7,775  7,501 
Virginia Electric & Power Co. 5.750% 3/31/2006  1,650  1,673 
Virginia Electric & Power Co. 5.375% 2/1/2007  9,400  9,597 
Wisconsin Electric Power Co. 5.625% 5/15/2033  1,250  1,291 
Natural Gas (0.3%)
Atmos Energy Corp. 4.000% 10/15/2009  5,350  5,182 
Atmos Energy Corp. 4.950% 10/15/2014  2,450  2,396 
Columbia Energy Group 7.620% 11/28/2025  4,451  4,716 
Consolidated Natural Gas 5.375% 11/1/2006  4,075  4,158 
Consolidated Natural Gas 6.250% 11/1/2011  6,300  6,755 
Consolidated Natural Gas 5.000% 12/1/2014  3,700  3,623 
Duke Energy Field Services 7.875% 8/16/2010  4,825  5,507 
Duke Energy Field Services 8.125% 8/16/2030  350  453 
Enbridge Energy Partners 4.900% 3/1/2015  3,375  3,311 
Enron Corp. 7.625% 9/10/2004†  2,000  640 
Enron Corp. 6.625% 11/15/2005†  1,375  440 
Enron Corp. 7.125% 5/15/2007†  8,646  2,767 
Enron Corp. 6.875% 10/15/2007†  8,500  2,720 
Enron Corp. 6.750% 8/1/2009†  6,445  2,062 
HNG Internorth 9.625% 3/15/2006†  4,680  1,498 
Kinder Morgan Energy Partners LP 5.125% 11/15/2014  2,175  2,118 
Kinder Morgan Energy Partners LP 7.300% 8/15/2033  450  518 
Kinder Morgan, Inc. 6.500% 9/1/2012  13,925  15,125 
KN Energy, Inc. 7.250% 3/1/2028  1,450  1,641 
Panhandle Eastern Pipeline 4.800% 8/15/2008  450  448 
Southern Union Co. 7.600% 2/1/2024  800  937 
Texas Eastern Transmission 5.250% 7/15/2007  900  915 
Texas Gas Transmission 4.600% 6/1/2015  4,000  3,843 
TGT Pipeline, LLC 5.500% 2/1/2017(2)  1,525  1,509 
Trans-Canada Pipelines 4.000% 6/15/2013  4,025  3,732 
Trans-Canada Pipelines 5.600% 3/31/2034  2,350  2,368 
Yosemite Security Trust 8.250% 11/15/2004(2)†  31,685  13,149 
           509,535 
TOTAL CORPORATE BONDS
 (Cost $7,980,320)          8,046,897  
SOVEREIGN BONDS (U.S. Dollar-Denominated) (3.7%)
African Development Bank 3.250% 8/1/2008  7,600  7,406 
Asian Development Bank 4.875% 2/5/2007  33,575  34,145 
Asian Development Bank 5.593% 7/16/2018  3,300  3,440 
Bayerische Landesbank 2.875% 10/15/2008  5,300  5,029 
Canadian Government 6.750% 8/28/2006  12,520  13,029 
Canadian Government 5.250% 11/5/2008  2,450  2,536 
Canadian Mortgage & Housing 2.950% 6/2/2008  1,000  963 
China Development Bank 4.750% 10/8/2014  4,800  4,640 
Corporacion Andina de Fomento 5.200% 5/21/2013  1,050  1,047 
Eksportfinans 3.375% 1/15/2008  6,000  5,876 
Eksportfinans 4.375% 7/15/2009  6,950  6,924 
European Investment Bank 3.000% 8/15/2006  3,400  3,362 
European Investment Bank 4.875% 9/6/2006  11,650  11,829 
European Investment Bank 7.125% 9/18/2006  3,800  3,973 
European Investment Bank 4.625% 3/1/2007  30,650  31,023 
European Investment Bank 2.375% 6/15/2007  3,750  3,631 
European Investment Bank 3.125% 10/15/2007  9,950  9,748 
European Investment Bank 3.375% 3/16/2009  10,025  9,731 
European Investment Bank 4.625% 5/15/2014  45,250  45,237 
Export Development Canada 4.000% 8/1/2007  5,050  5,040 
Export-Import Bank of Korea 7.100% 3/15/2007  3,250  3,414 
Export-Import Bank of Korea 4.500% 8/12/2009  3,975  3,909 
Export-Import Bank of Korea 4.625% 3/16/2010  2,025  2,005 
Export-Import Bank of Korea 5.125% 3/16/2015  1,425  1,401 
Federation of Malaysia 8.750% 6/1/2009  7,000  8,022 
Federation of Malaysia 7.500% 7/15/2011  7,775  8,753 
Financement Quebec 5.000% 10/25/2012  4,800  4,870 
Hellenic Republic 6.950% 3/4/2008  6,025  6,440 
Instituto de Credito Oficial 6.000% 5/19/2008  5,400  5,677 
Inter-American Development Bank 6.125% 3/8/2006  10,220  10,452 
Inter-American Development Bank 6.375% 10/22/2007  2,400  2,533 
Inter-American Development Bank 5.750% 2/26/2008  11,250  11,742 
Inter-American Development Bank 5.625% 4/16/2009  20,550  21,610 
Inter-American Development Bank 8.500% 3/15/2011  2,490  2,979 
Inter-American Development Bank 4.375% 9/20/2012  5,825  5,766 
Inter-American Development Bank 7.000% 6/15/2025  3,750  4,606 
International Bank for Reconstruction & Development 5.000% 3/28/2006  15,100  15,317 
International Bank for Reconstruction & Development 6.625% 8/21/2006  6,205  6,439 
International Bank for Reconstruction & Development 4.375% 9/28/2006  20,425  20,620 
International Bank for Reconstruction & Development 4.125% 6/24/2009  1,000  994 
International Bank for Reconstruction & Development 4.125% 8/12/2009  950  946 
International Bank for Reconstruction & Development 7.625% 1/19/2023  4,200  5,509 
International Bank for Reconstruction & Development 8.875% 3/1/2026  1,250  1,849 
International Finance Corp. 3.000% 4/15/2008  10,400  10,084 
KFW International Finance, Inc. 5.250% 6/28/2006  3,900  3,968 
KFW International Finance, Inc. 4.750% 1/24/2007  21,000  21,338 
Korea Development Bank 5.250% 11/16/2006  2,540  2,579 
Korea Development Bank 3.875% 3/2/2009  2,225  2,151 
Korea Development Bank 4.750% 7/20/2009  9,575  9,545 
Korea Development Bank 5.750% 9/10/2013  6,040  6,244 
Korea Electric Power 7.750% 4/1/2013  5,400  6,253 
Kredit Fuer Wiederaufbau 2.375% 9/25/2006  10,800  10,595 
Kredit Fuer Wiederaufbau 3.250% 7/16/2007  17,375  17,086 
Landwirtschaft Rentenbank 4.875% 3/12/2007  200  204 
Landwirtschaft Rentenbank 3.375% 11/15/2007  16,600  16,313 
Landwirtschaft Rentenbank 3.250% 6/16/2008  5,400  5,242 
Landwirtschaft Rentenbank 3.875% 9/4/2008  8,250  8,169 
Nordic Investment Bank 3.125% 4/24/2008  5,850  5,722 
Oesterreich Kontrollbank 5.125% 3/20/2007  7,500  7,659 
Ontario Hydro Electric 6.100% 1/30/2008  800  838 
Ontario Hydro Electric 7.450% 3/31/2013  3,400  4,017 
Pemex Project Funding Master Trust 8.500% 2/15/2008  4,200  4,565 
Pemex Project Funding Master Trust 7.875% 2/1/2009(3)  17,730  19,104 
Pemex Project Funding Master Trust 9.125% 10/13/2010  1,920  2,215 
Pemex Project Funding Master Trust 8.000% 11/15/2011(3)  2,400  2,652 
Pemex Project Funding Master Trust 7.375% 12/15/2014  14,175  15,167 
Pemex Project Funding Master Trust 8.625% 2/1/2022(3)  8,755  9,959 
People's Republic of China 7.300% 12/15/2008  2,400  2,636 
People's Republic of China 4.750% 10/29/2013  2,400  2,367 
Province of British Columbia 4.625% 10/3/2006  6,000  6,064 
Province of British Columbia 5.375% 10/29/2008  6,600  6,815 
Province of British Columbia 4.300% 5/30/2013  2,250  2,205 
Province of Manitoba 4.250% 11/20/2006  4,500  4,521 
Province of Manitoba 7.500% 2/22/2010  5,200  5,881 
Province of New Brunswick 3.500% 10/23/2007  15,150  14,911 
Province of Nova Scotia 5.750% 2/27/2012  2,075  2,206 
Province of Ontario 3.350% 7/16/2007  6,625  6,514 
Province of Ontario 5.500% 10/1/2008  31,400  32,592 
Province of Ontario 3.625% 10/21/2009  2,275  2,200 
Province of Ontario 5.125% 7/17/2012  7,950  8,192 
Province of Ontario 4.500% 2/3/2015  5,925  5,745 
Province of Quebec 7.000% 1/30/2007  3,000  3,156 
Province of Quebec 5.750% 2/15/2009  250  262 
Province of Quebec 5.000% 7/17/2009  24,570  25,062 
Province of Quebec 6.125% 1/22/2011  5,185  5,553 
Province of Quebec 7.125% 2/9/2024  1,030  1,260 
Province of Quebec 7.500% 9/15/2029  6,680  8,674 
Province of Saskatchewan 7.375% 7/15/2013  1,550  1,829 
Quebec Hydro Electric 6.300% 5/11/2011  12,500  13,509 
Quebec Hydro Electric 8.000% 2/1/2013  5,000  6,017 
Quebec Hydro Electric 7.500% 4/1/2016  500  601 
Quebec Hydro Electric 8.400% 1/15/2022  950  1,285 
Quebec Hydro Electric 8.050% 7/7/2024  2,300  3,086 
Region of Lombardy 5.804% 10/25/2032  3,250  3,478 
Republic of Chile 5.625% 7/23/2007  10,545  10,832 
Republic of Chile 7.125% 1/11/2012  3,500  3,923 
Republic of Chile 5.500% 1/15/2013  1,140  1,169 
Republic of Finland 4.750% 3/6/2007  2,900  2,937 
Republic of Hungary 4.750% 2/3/2015  11,600  11,231 
Republic of Italy 4.375% 10/25/2006  32,900  33,130 
Republic of Italy 2.750% 12/15/2006  4,975  4,877 
Republic of Italy 3.625% 9/14/2007  25,250  24,954 
Republic of Italy 3.750% 12/14/2007  7,750  7,668 
Republic of Italy 3.250% 5/15/2009  1,400  1,342 
Republic of Italy 6.000% 2/22/2011  10,825  11,608 
Republic of Italy 5.625% 6/15/2012  33,650  35,723 
Republic of Italy 4.500% 1/21/2015  12,025  11,993 
Republic of Italy 6.875% 9/27/2023  5,275  6,271 
Republic of Italy 5.375% 6/15/2033  12,500  12,606 
Republic of Korea 8.875% 4/15/2008  11,325  12,734 
Republic of Korea 4.250% 6/1/2013  4,150  3,891 
Republic of Korea 4.875% 9/22/2014  9,350  9,025 
Republic of Poland 6.250% 7/3/2012  5,975  6,450 
Republic of Poland 5.250% 1/15/2014  670  680 
Republic of South Africa 7.375% 4/25/2012  15,450  16,854 
Republic of South Africa 6.500% 6/2/2014  1,175  1,233 
Republic of South Africa 8.500% 6/23/2017  1,075  1,318 
State of Israel 4.625% 6/15/2013  1,800  1,704 
Swedish Export Credit Corp. 2.875% 1/26/2007  4,700  4,623 
Tenaga Nasional 7.500% 1/15/2096(2)  5,000  5,056 
United Mexican States 9.875% 1/15/2007  7,050  7,688 
United Mexican States 8.625% 3/12/2008  8,200  9,020 
United Mexican States 4.625% 10/8/2008  7,825  7,712 
United Mexican States 10.375% 2/17/2009  18,225  21,515 
United Mexican States 9.875% 2/1/2010  3,730  4,439 
United Mexican States 8.375% 1/14/2011  10,267  11,684 
United Mexican States 7.500% 1/14/2012  9,800  10,819 
United Mexican States 6.375% 1/16/2013  9,065  9,382 
United Mexican States 5.875% 1/15/2014  4,500  4,466 
United Mexican States 6.625% 3/3/2015  7,375  7,670 
United Mexican States 11.375% 9/15/2016  6,050  8,582 
United Mexican States 8.125% 12/30/2019  11,425  13,093 
United Mexican States 8.300% 8/15/2031  19,280  22,076 
United Mexican States 7.500% 4/8/2033  3,500  3,710 
United Mexican States 6.750% 9/27/2034  3,900  3,799 
TOTAL SOVEREIGN BONDS
 (Cost $1,122,531)          1,122,239  
TAXABLE MUNICIPAL BONDS (0.2%)
Illinois (Taxable Pension) GO 4.950% 6/1/2023  4,775  4,613 
Illinois (Taxable Pension) GO 5.100% 6/1/2033  33,750  32,416 
Kansas Dev. Finance Auth. Rev. (Public Employee Retirement System) 5.501% 5/1/2034  5,925  6,012 
New Jersey Econ. Dev. Auth. State Pension Rev 7.425% 2/15/2029  4,475  5,616 
New Jersey Turnpike Auth. Rev 4.252% 1/1/2016  3,800  3,611 
Oregon (Taxable Pension) GO 5.762% 6/1/2023  2,475  2,598 
Oregon (Taxable Pension) GO 5.892% 6/1/2027  3,575  3,835 
Oregon School Board Assn 5.528% 6/30/2028  1,525  1,557 
Wisconsin Public Service Rev 4.800% 5/1/2013  3,150  3,133 
Wisconsin Public Service Rev 5.700% 5/1/2026  3,550  3,716 
TOTAL TAXABLE MUNICIPAL BONDS
 (Cost $64,311)          67,107  
TEMPORARY CASH INVESTMENT (1.2%)       Shares    
Vanguard Market Liquidity Fund, 2.749%**
 (Cost $371,866)       371,865,885  371,866  
TOTAL INVESTMENTS (101.2%)
 (Cost $30,758,410)          30,883,710  
OTHER ASSETS AND LIABILITIES--NET (-1.2%)          (372,860)
NET ASSETS (100%)          $30,510,850 

  *The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer’s line of credit) would require congressional action.
**Money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  †Non-income-producing security — security in default.
(1)The average maturity is shorter than the final maturity shown due to scheduled interim principal payments and prepayments.
(2)Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2005, the aggregate value of these securities was $227,720,000, representing 0.7% of net assets.
(3) Adjustable-rate note.
GO — General Obligation Bond.

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

At March 31, 2005, the cost of investment securities for tax purposes was $30,758,410,000. Net unrealized appreciation of investment securities for tax purposes was $125,300,000, consisting of unrealized gains of $492,375,000 on securities that had risen in value since their purchase and $367,075,000 in unrealized losses on securities that had fallen in value since their purchase.

Swap Contracts: The fund has entered into swap transactions to earn the total return on a specific security or index of fixed income securities. Under the terms of the swaps, the fund receives the total return (either receiving the increase or paying the decrease) on a reference security or index applied to a notional principal amount. In return, the fund agrees to pay the counterparty a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount. At the same time, the fund invests an amount equal to the notional amount of the swaps in high-quality floating-rate securities.

Swaps are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time realized gain (loss) is recorded.

At March 31, 2005, the fund had the following open swap contracts:


Total Return Swaps
 
 
 
Reference Entity/Termination Date		  
 
 
Dealer *		  
Notional
Amount
(000)		 Floating
Interest
Rate
Paid**		 Unrealized
Appreciation
(Depreciation)
(000)
Commercial Mortgage-Backed Securities Index        
  4/1/2005 UBS  $70,000  2.54% ($629)
  5/1/2005 UBS  114,000  2.69% (1,435)
  6/1/2005 UBS  70,000  2.66% (917)
  8/1/2005 LBI  70,000  2.72% (1,212)
  8/31/2005 BOA  70,000  2.80% (588)
Federal Home Loan Mortgage Corp., 5.00% 30-Year
  4/1/2005 UBS  51,000  2.56% (692)
  6/1/2005 UBS  80,000  2.66% (523)
Federal Home Loan Mortgage Corp., 5.50% 30-Year
  4/1/2005 UBS  93,000  2.61% (1,119)
Federal National Mortgage Assn., 4.50% 15-Year
  5/1/2005 UBS  25,000  2.78% (477)
Federal National Mortgage Assn., 5.00% 15-Year
  5/1/2005 UBS  25,000  2.74% (362)
  6/1/2005 UBS  40,000  2.71% (223)
        ($8,177)
 *BOA-Bank of America.
 LBI-Lehman Brothers International.
 UBS-UBS Warburg.
 **Based on one-month London InterBank Offered Rate (LIBOR).



Item 2: Controls and Procedures.

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

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

Item 3:

 Exhibits.
(a) Certifications.

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.

VANGUARD BOND INDEX FUNDS

BY: (signature)
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER

Date: May 17, 2005

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

VANGUARD BOND INDEX FUNDS

BY: (signature)
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER

Date: May 17, 2005

VANGUARD BOND INDEX FUNDS

BY: (signature)
(HEIDI STAM)
THOMAS J. HIGGINS*
TREASURER

Date: May 17, 2005

*By Power of Attorney. Filed on December 20, 2004, see File Number 002-14336. Incorporated by Reference.