N-Q 1 bondindexfinal.htm VANGUARD BOND INDEX FUNDS

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY


Investment Company Act file number: 811-4681

Name of Registrant: Vanguard Bond Index Funds

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

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

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


Date of fiscal year end: December 31

Date of reporting period: September 30, 2008

Item 1: Schedule of Investments

Vanguard Inflation-Protected Securities Fund

Schedule of Investments

As of September 30, 2008

 

 

Coupon

Maturity
Date

Face
Amount
($000)

Market
Value
($000)

U.S. Government Securities (99.3%)

 

U.S. Treasury Inflation-Indexed Bond

2.375%

1/15/25

1,095,770

 

1,233,342

 

U.S. Treasury Inflation-Indexed Bond

2.000%

1/15/26

839,725

 

844,699

 

U.S. Treasury Inflation-Indexed Bond

2.375%

1/15/27

680,125

 

713,323

 

U.S. Treasury Inflation-Indexed Bond

3.625%

4/15/28

436,625

 

679,349

 

U.S. Treasury Inflation-Indexed Bond

3.875%

4/15/29

279,150

 

443,896

 

U.S. Treasury Inflation-Indexed Bond

3.375%

4/15/32

73,925

 

104,493

1

U.S. Treasury Inflation-Indexed Note

4.250%

1/15/10

413,575

 

556,086

 

U.S. Treasury Inflation-Indexed Note

0.875%

4/15/10

803,200

 

915,697

 

U.S. Treasury Inflation-Indexed Note

3.500%

1/15/11

234,500

 

307,944

 

U.S. Treasury Inflation-Indexed Note

2.375%

4/15/11

737,050

 

825,481

 

U.S. Treasury Inflation-Indexed Note

3.375%

1/15/12

291,390

 

378,172

 

U.S. Treasury Inflation-Indexed Note

3.000%

7/15/12

1,050,775

 

1,336,313

 

U.S. Treasury Inflation-Indexed Note

1.875%

7/15/13

1,072,875

 

1,279,701

 

U.S. Treasury Inflation-Indexed Note

2.000%

1/15/14

867,725

 

1,029,430

 

U.S. Treasury Inflation-Indexed Note

2.000%

7/15/14

806,145

 

936,612

 

U.S. Treasury Inflation-Indexed Note

1.625%

1/15/15

941,615

 

1,052,854

 

U.S. Treasury Inflation-Indexed Note

1.875%

7/15/15

878,225

 

974,220

 

U.S. Treasury Inflation-Indexed Note

2.000%

1/15/16

647,750

 

707,107

 

U.S. Treasury Inflation-Indexed Note

2.500%

7/15/16

561,525

 

624,127

 

U.S. Treasury Inflation-Indexed Note

2.375%

1/15/17

723,025

 

792,575

 

U.S. Treasury Inflation-Indexed Note

2.625%

7/15/17

559,225

 

609,649

 

U.S. Treasury Inflation-Indexed Note

1.625%

1/15/18

231,100

 

229,152

 

U.S. Treasury Inflation-Indexed Note

1.375%

7/15/18

360,875

 

338,835

 

U.S. Treasury Inflation-Indexed Note

1.750%

1/15/28

866,125

 

789,191

Total U.S. Government Securities (Cost $18,177,586)

17,702,248

Shares

 

Temporary Cash Investment (0.1%)

2

Vanguard Market Liquidity Fund (Cost $18,507)

2.296%

 

18,507,000

18,507

Total Investments (99.4%) (Cost $18,196,093)

17,720,755

Other Assets and Liabilities-Net (0.6%)

110,422

Net Assets (100%)

17,831,177

 

 

 

1

Securities with a value of $17,679,000 have been segregated as initial margin for open futures contracts.

2

Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

 

 

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

Futures Contracts: Futures contracts are valued based upon their quoted daily settlement prices.

At September 30, 2008, the cost of investment securities for tax purposes was $18,196,093,000. Net unrealized depreciation of investment securities for tax purposes was $475,338,000, consisting of unrealized gains of $47,215,000 on securities that had risen in value since their purchase and $522,553,000 in unrealized losses on securities that had fallen in value since their purchase.

At September 30, 2008, the aggregate settlement value of open futures contracts expiring in December 2008 and the related unrealized appreciation (depreciation) were:

 

 

 

($000)

Futures Contracts

Number of
Long (ShortContracts)

Aggregate
Settlement
Value

Unrealized
Appreciation
(Depreciation)

2- Year U.S. Treasury Note

(527)

112,482

923

5- Year U.S. Treasury Note

(6,807)

763,979

4,352

10- Year U.S. Treasury Note

(7,397)

847,881

5,416

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.

The various inputs that may be used to determine the value of the fund's investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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

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

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

The following table summarizes the fund's investments as of September 30, 2008, based on the inputs used to value them:

Valuation Inputs

Investments in Securities ($000)

Futures Contracts ($000)

Level 1- Quoted prices

18,507

10,691

Level 2- Other significant observable inputs

17,702,248

- 

Level 3- Significant unobservable inputs

- 

- 

Total

17,720,755

10,691

 

 

Vanguard Intermediate-Term Bond Index Fund

Schedule of Investments

As of September 30, 2008

 

 

 

Coupon

Maturity
Date

Face
Amount
($000)

Market
Value
($000)

U.S. Government and Agency Obligations (50.7%)

U. S. Government Securities (37.8%)

 

U.S. Treasury Bond

11.250%

2/15/15

85,615

 

124,196

 

U.S. Treasury Bond

10.625%

8/15/15

98,410

 

141,603

 

U.S. Treasury Bond

9.875%

11/15/15

102,200

 

143,168

 

U.S. Treasury Bond

9.250%

2/15/16

106,370

 

145,661

 

U.S. Treasury Bond

7.250%

5/15/16

100,325

 

124,164

 

U.S. Treasury Bond

7.500%

11/15/16

164,345

 

206,613

 

U.S. Treasury Bond

8.750%

5/15/17

146,870

 

199,560

 

U.S. Treasury Bond

8.875%

8/15/17

113,285

 

155,235

 

U.S. Treasury Bond

9.125%

5/15/18

104,495

 

147,665

 

U.S. Treasury Bond

8.875%

2/15/19

21,850

 

30,679

 

U.S. Treasury Note

3.125%

11/30/09

16,005

 

16,233

 

U.S. Treasury Note

3.875%

10/31/12

1,425

 

1,490

 

U.S. Treasury Note

3.875%

2/15/13

42,270

 

44,047

 

U.S. Treasury Note

2.750%

2/28/13

83,225

 

82,835

 

U.S. Treasury Note

3.500%

5/31/13

40,995

 

42,052

 

U.S. Treasury Note

3.375%

6/30/13

157,725

 

161,028

 

U.S. Treasury Note

3.375%

7/31/13

26,875

 

27,417

 

U.S. Treasury Note

3.125%

8/31/13

21,495

 

21,683

 

U.S. Treasury Note

4.250%

11/15/13

30,725

 

32,655

 

U.S. Treasury Note

4.000%

2/15/14

3,835

 

4,031

 

U.S. Treasury Note

4.750%

5/15/14

3,180

 

3,476

 

U.S. Treasury Note

4.250%

8/15/14

20,020

 

21,312

 

U.S. Treasury Note

4.250%

11/15/14

920

 

980

 

U.S. Treasury Note

4.000%

2/15/15

2,775

 

2,918

 

U.S. Treasury Note

4.125%

5/15/15

245

 

259

 

U.S. Treasury Note

4.250%

8/15/15

13,625

 

14,412

 

U.S. Treasury Note

4.500%

11/15/15

2,360

 

2,525

 

U.S. Treasury Note

4.500%

2/15/16

49,000

 

52,284

 

U.S. Treasury Note

5.125%

5/15/16

138,750

 

152,766

 

U.S. Treasury Note

4.875%

8/15/16

127,380

 

138,207

 

U.S. Treasury Note

4.625%

11/15/16

53,825

 

57,366

 

U.S. Treasury Note

4.625%

2/15/17

201,515

 

214,803

 

U.S. Treasury Note

4.500%

5/15/17

222,970

 

234,990

 

U.S. Treasury Note

4.750%

8/15/17

183,075

 

196,255

 

U.S. Treasury Note

4.250%

11/15/17

24,155

 

25,083

 

U.S. Treasury Note

3.500%

2/15/18

100

 

98

 

U.S. Treasury Note

4.000%

8/15/18

108,685

 

110,213

 

3,079,962

Agency Bonds and Notes (12.9%)

 

Agency for International Development - Egypt (U.S. Government Guaranteed)

4.450%

9/15/15

6,825

 

7,119

1

Federal Farm Credit Bank

3.875%

10/7/13

8,000

 

7,907

1

Federal Farm Credit Bank

4.875%

12/16/15

2,450

 

2,498

 

 

 

1

Federal Farm Credit Bank

5.125%

8/25/16

11,300

 

11,601

1

Federal Farm Credit Bank

4.875%

1/17/17

5,750

 

5,784

1

Federal Home Loan Bank

3.625%

10/18/13

7,525

 

7,306

1

Federal Home Loan Bank

5.250%

6/18/14

150

 

157

1

Federal Home Loan Bank

5.500%

8/13/14

52,325

 

55,096

1

Federal Home Loan Bank

5.000%

12/21/15

11,660

 

11,905

1

Federal Home Loan Bank

5.375%

5/18/16

26,450

 

27,467

1

Federal Home Loan Bank

5.625%

6/13/16

4,325

 

4,203

1

Federal Home Loan Bank

5.125%

10/19/16

3,800

 

3,877

1

Federal Home Loan Bank

4.750%

12/16/16

30,500

 

30,463

1

Federal Home Loan Bank

4.875%

5/17/17

24,225

 

24,305

1

Federal Home Loan Bank

5.000%

11/17/17

25,700

 

25,872

1

Federal Home Loan Bank

5.375%

8/15/18

6,000

 

6,189

1

Federal Home Loan Mortgage Corp.

4.625%

12/19/08

10,000

 

10,030

1

Federal Home Loan Mortgage Corp.

4.875%

11/15/13

52,250

 

54,193

1

Federal Home Loan Mortgage Corp.

4.500%

1/15/14

35,000

 

35,603

1

Federal Home Loan Mortgage Corp.

5.000%

7/15/14

55,900

 

58,144

1

Federal Home Loan Mortgage Corp.

4.500%

1/15/15

23,050

 

23,246

1

Federal Home Loan Mortgage Corp.

5.050%

1/26/15

4,700

 

4,866

1

Federal Home Loan Mortgage Corp.

4.750%

1/19/16

27,925

 

28,354

1

Federal Home Loan Mortgage Corp.

5.250%

4/18/16

64,000

 

66,637

1

Federal Home Loan Mortgage Corp.

5.500%

7/18/16

42,500

 

44,845

1

Federal Home Loan Mortgage Corp.

5.125%

10/18/16

12,100

 

12,476

1

Federal Home Loan Mortgage Corp.

5.000%

2/16/17

9,000

 

9,187

1

Federal Home Loan Mortgage Corp.

5.125%

11/17/17

39,500

 

40,681

1

Federal Home Loan Mortgage Corp.

4.875%

6/13/18

25,000

 

25,283

1

Federal Home Loan Mortgage Corp.

5.000%

12/14/18

4,750

 

4,409

1

Federal National Mortgage Assn.

3.250%

2/15/09

10,000

 

9,998

1

Federal National Mortgage Assn.

4.625%

10/15/13

36,550

 

37,494

1

Federal National Mortgage Assn.

5.125%

1/2/14

9,550

 

9,498

1

Federal National Mortgage Assn.

4.125%

4/15/14

55,600

 

55,562

1

Federal National Mortgage Assn.

4.625%

10/15/14

32,225

 

32,754

1

Federal National Mortgage Assn.

5.000%

4/15/15

25,000

 

25,855

1

Federal National Mortgage Assn.

4.375%

10/15/15

20,000

 

19,883

1

Federal National Mortgage Assn.

5.000%

3/15/16

15,000

 

15,391

1

Federal National Mortgage Assn.

5.250%

9/15/16

32,925

 

34,298

1

Federal National Mortgage Assn.

4.875%

12/15/16

29,900

 

30,318

1

Federal National Mortgage Assn.

5.000%

2/13/17

33,375

 

34,066

1

Federal National Mortgage Assn.

5.000%

5/11/17

26,000

 

26,496

1

Federal National Mortgage Assn.

5.375%

6/12/17

25,000

 

26,142

 

Financing Corp.

10.350%

8/3/18

1,700

 

2,425

 

Private Export Funding Corp.

7.200%

1/15/10

6,500

 

6,836

1

Tennessee Valley Auth.

6.000%

3/15/13

6,000

 

6,477

1

Tennessee Valley Auth.

4.750%

8/1/13

4,000

 

4,102

1

Tennessee Valley Auth.

4.375%

6/15/15

7,000

 

6,968

1

Tennessee Valley Auth.

5.500%

7/18/17

6,200

 

6,528

1

Tennessee Valley Auth.

6.250%

12/15/17

2,600

 

2,870

 

 

 

1

Tennessee Valley Auth.

4.500%

4/1/18

2,375

 

2,313

 

1,045,977

Total U.S. Government and Agency Obligations (Cost $4,009,795)

4,125,939

Corporate Bonds (40.7%)

Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)

2

Bear Stearns Commercial Mortgage Securities, Inc.

5.610%

11/15/33

2,500

 

2,402

2,3

Commercial Mortgage Lease-Backed Certificates

6.746%

6/20/31

331

 

323

 

2,725

Finance (18.0%)

 

Banking (7.9%)

 

ABN AMRO Bank NV

4.650%

6/4/18

1,925

 

1,662

 

AmSouth Bank NA

4.850%

4/1/13

1,500

 

1,290

 

AmSouth Bank NA

5.200%

4/1/15

2,650

 

2,182

3

Banco Bilbao Vizcaya ARG

5.750%

7/20/17

3,125

 

3,348

 

Banco Bradesco SA

8.750%

10/24/13

1,500

 

1,643

 

Bank of America Corp.

5.375%

6/15/14

3,425

 

3,232

 

Bank of America Corp.

5.125%

11/15/14

4,550

 

4,185

 

Bank of America Corp.

5.250%

12/1/15

1,900

 

1,635

 

Bank of America Corp.

5.750%

8/15/16

3,900

 

3,552

 

Bank of America Corp.

5.625%

10/14/16

17,125

 

14,904

 

Bank of America Corp.

5.300%

3/15/17

20,050

 

17,351

 

Bank of America Corp.

5.420%

3/15/17

14,950

 

12,755

 

Bank of America Corp.

6.100%

6/15/17

2,100

 

1,945

 

Bank of America Corp.

6.000%

9/1/17

4,150

 

3,897

 

Bank of America Corp.

5.750%

12/1/17

7,975

 

7,024

 

Bank of America Corp.

5.650%

5/1/18

23,500

 

20,237

 

Bank of New York Mellon

4.950%

3/15/15

6,125

 

5,462

 

Bank One Corp.

4.900%

4/30/15

6,150

 

5,455

 

BB&T Corp.

5.200%

12/23/15

10,175

 

8,328

 

BB&T Corp.

5.625%

9/15/16

50

 

42

 

Bear Stearns Co., Inc.

5.700%

11/15/14

8,150

 

7,430

 

Bear Stearns Co., Inc.

5.300%

10/30/15

1,100

 

994

 

Bear Stearns Co., Inc.

5.550%

1/22/17

12,300

 

10,424

 

Bear Stearns Co., Inc.

6.400%

10/2/17

18,700

 

17,808

 

Bear Stearns Co., Inc.

7.250%

2/1/18

11,550

 

11,497

2,3

Citicorp Lease Pass-Through Trust

8.040%

12/15/19

2,100

 

2,027

 

Citigroup, Inc.

5.125%

5/5/14

3,125

 

2,787

 

Citigroup, Inc.

5.000%

9/15/14

28,194

 

20,873

 

Citigroup, Inc.

4.875%

5/7/15

1,200

 

961

 

Citigroup, Inc.

4.700%

5/29/15

2,600

 

2,125

 

Citigroup, Inc.

5.300%

1/7/16

10,825

 

9,196

 

Citigroup, Inc.

5.500%

2/15/17

7,650

 

6,165

 

Citigroup, Inc.

6.000%

8/15/17

11,250

 

9,321

 

Citigroup, Inc.

6.125%

11/21/17

28,250

 

22,885

 

Citigroup, Inc.

6.125%

5/15/18

5,550

 

4,524

 

Colonial Bank NA

6.375%

12/1/15

1,250

 

929

 

 

 

 

Comerica Bank

5.750%

11/21/16

5,025

 

2,764

 

Comerica Bank

5.200%

8/22/17

3,025

 

1,664

 

Comerica Inc.

4.800%

5/1/15

1,500

 

900

 

Compass Bank

6.400%

10/1/17

1,600

 

1,376

 

Credit Suisse First Boston USA, Inc.

4.875%

1/15/15

5,550

 

5,038

 

Credit Suisse First Boston USA, Inc.

5.125%

8/15/15

10,875

 

9,873

 

Credit Suisse First Boston USA, Inc.

5.375%

3/2/16

1,125

 

1,034

 

Credit Suisse First Boston USA, Inc.

5.850%

8/16/16

3,250

 

3,048

2

Credit Suisse First Boston USA, Inc.

5.860%

5/15/49

6,200

 

4,717

 

Credit Suisse New York

6.000%

2/15/18

18,250

 

16,801

 

Deutsche Bank AG London

6.000%

9/1/17

18,450

 

17,799

 

Deutsche Bank Financial LLC

5.375%

3/2/15

4,050

 

3,798

 

Fifth Third Bancorp.

4.750%

2/1/15

2,800

 

1,263

 

Fifth Third Bancorp.

5.450%

1/15/17

3,000

 

1,350

 

Fifth Third Bancorp.

4.500%

6/1/18

1,550

 

698

2

Fifth Third Capital Trust IV

6.500%

4/15/67

5,750

 

2,487

 

First Tennessee Bank

5.050%

1/15/15

2,800

 

1,848

3

HBOS Treasury Services PLC

5.250%

2/21/17

3,225

 

2,747

3

HBOS Treasury Services PLC

6.750%

5/21/18

925

 

750

 

HSBC Bank USA

4.625%

4/1/14

8,000

 

7,120

 

Huntington National Bank

5.500%

2/15/16

2,500

 

1,689

 

JPMorgan Chase & Co.

5.375%

1/15/14

3,050

 

2,780

 

JPMorgan Chase & Co.

4.875%

3/15/14

7,100

 

6,436

 

JPMorgan Chase & Co.

5.125%

9/15/14

13,765

 

12,509

 

JPMorgan Chase & Co.

4.750%

3/1/15

8,925

 

7,869

 

JPMorgan Chase & Co.

5.250%

5/1/15

2,975

 

2,707

 

JPMorgan Chase & Co.

5.150%

10/1/15

9,100

 

8,031

 

JPMorgan Chase & Co.

5.875%

6/13/16

5,475

 

5,201

 

JPMorgan Chase & Co.

6.125%

6/27/17

4,325

 

3,910

 

JPMorgan Chase & Co.

6.000%

10/1/17

9,275

 

8,532

 

JPMorgan Chase & Co.

6.000%

1/15/18

10,050

 

9,143

 

KeyBank NA

5.800%

7/1/14

6,300

 

4,672

 

KeyBank NA

4.950%

9/15/15

1,000

 

675

 

KeyBank NA

5.450%

3/3/16

3,025

 

1,966

 

Manufacturers & Traders Trust Co.

6.625%

12/4/17

5,425

 

4,548

2

Manufacturers & Traders Trust Co.

5.585%

12/28/20

2,400

 

1,891

 

Marshall & Ilsley Bank

4.850%

6/16/15

700

 

520

 

Marshall & Ilsley Bank

5.000%

1/17/17

1,200

 

855

 

MBNA Corp.

5.000%

6/15/15

1,300

 

1,142

 

Mellon Bank NA

4.750%

12/15/14

3,800

 

3,427

 

National City Bank

5.800%

6/7/17

6,000

 

2,700

 

National City Corp.

4.900%

1/15/15

1,800

 

990

 

NationsBank Corp.

7.750%

8/15/15

1,000

 

985

3

Northern Rock PLC

5.625%

6/22/17

6,325

 

6,441

 

Northern Trust Co.

6.500%

8/15/18

1,275

 

1,291

 

PaineWebber

7.625%

12/1/09

3,000

 

3,119

 

PNC Bank NA

4.875%

9/21/17

700

 

601

 

PNC Bank NA

6.000%

12/7/17

1,125

 

1,051

 

 

 

 

PNC Bank NA

6.875%

4/1/18

1,500

 

1,479

 

PNC Funding Corp.

5.250%

11/15/15

3,575

 

3,154

 

PNC Funding Corp.

5.625%

2/1/17

7,625

 

6,843

 

Regions Bank

7.500%

5/15/18

4,400

 

3,520

 

Royal Bank of Scotland Group PLC

5.000%

11/12/13

1,700

 

1,631

 

Royal Bank of Scotland Group PLC

5.050%

1/8/15

13,400

 

11,887

 

Royal Bank of Scotland Group PLC

4.700%

7/3/18

800

 

680

2

Royal Bank of Scotland Group PLC

7.640%

3/31/49

8,175

 

6,535

2

Royal Bank of Scotland Group PLC

5.512%

9/29/49

6,550

 

5,202

 

Southtrust Corp.

5.800%

6/15/14

1,350

 

878

 

Sovereign Bancorp, Inc.

8.750%

5/30/18

2,825

 

1,836

2,3

Standard Chartered PLC

6.409%

12/31/49

1,500

 

1,109

 

State Street Capital Trust

5.300%

1/15/16

1,825

 

1,659

 

SunTrust Banks, Inc.

5.000%

9/1/15

3,550

 

2,922

 

SunTrust Banks, Inc.

5.200%

1/17/17

150

 

119

 

SunTrust Banks, Inc.

6.000%

9/11/17

4,600

 

3,934

 

SunTrust Banks, Inc.

5.450%

12/1/17

2,350

 

1,909

 

SunTrust Banks, Inc.

7.250%

3/15/18

3,550

 

3,200

 

Synovus Financial Corp.

4.875%

2/15/13

2,000

 

1,689

 

Synovus Financial Corp.

5.125%

6/15/17

750

 

519

 

UBS AG

5.875%

7/15/16

4,800

 

4,410

 

UBS AG

5.875%

12/20/17

16,875

 

15,463

 

UBS AG

5.750%

4/25/18

14,625

 

13,105

 

Union Bank of California NA

5.950%

5/11/16

4,100

 

3,643

 

UnionBanCal Corp.

5.250%

12/16/13

1,200

 

1,133

 

US Bank NA

6.300%

2/4/14

2,600

 

2,539

 

US Bank NA

4.950%

10/30/14

9,625

 

9,222

 

US Bank NA

4.800%

4/15/15

1,000

 

916

 

Wachovia Bank NA

4.800%

11/1/14

4,425

 

2,921

 

Wachovia Bank NA

4.875%

2/1/15

4,475

 

3,043

 

Wachovia Bank NA

6.000%

11/15/17

5,275

 

3,693

 

Wachovia Corp.

4.875%

2/15/14

13,800

 

9,108

 

Wachovia Corp.

5.625%

10/15/16

10,900

 

6,976

 

Wachovia Corp.

5.750%

6/15/17

11,475

 

8,606

 

Wachovia Corp.

5.750%

2/1/18

13,200

 

10,560

 

Wells Fargo & Co.

4.950%

10/16/13

3,975

 

3,769

 

Wells Fargo & Co.

4.625%

4/15/14

6,650

 

5,984

 

Wells Fargo & Co.

5.625%

12/11/17

18,625

 

17,117

 

Wells Fargo Bank NA

4.750%

2/9/15

10,450

 

9,471

 

Wells Fargo Bank NA

5.750%

5/16/16

5,300

 

4,965

 

Zions Bancorp.

5.650%

5/15/14

1,200

 

732

 

Zions Bancorp.

5.500%

11/16/15

6,850

 

3,767

 

 

Brokerage (3.4%)

 

Ameriprise Financial Inc.

5.650%

11/15/15

3,450

 

3,046

2

Ameriprise Financial Inc.

7.518%

6/1/66

2,000

 

1,544

 

BlackRock, Inc.

6.250%

9/15/17

2,950

 

2,837

 

Goldman Sachs Group, Inc.

5.150%

1/15/14

10,725

 

9,116

 

 

 

 

Goldman Sachs Group, Inc.

5.000%

10/1/14

14,075

 

11,542

 

Goldman Sachs Group, Inc.

5.125%

1/15/15

9,650

 

8,058

 

Goldman Sachs Group, Inc.

5.350%

1/15/16

13,275

 

10,952

 

Goldman Sachs Group, Inc.

5.750%

10/1/16

5,625

 

4,669

 

Goldman Sachs Group, Inc.

5.625%

1/15/17

11,725

 

9,732

 

Goldman Sachs Group, Inc.

6.250%

9/1/17

14,225

 

11,807

 

Goldman Sachs Group, Inc.

5.950%

1/18/18

23,675

 

19,650

 

Goldman Sachs Group, Inc.

6.150%

4/1/18

23,050

 

19,362

 

Janus Capital Group

6.700%

6/15/17

1,700

 

1,483

 

Jefferies Group Inc.

5.500%

3/15/16

4,500

 

3,590

 

Lazard Group

6.850%

6/15/17

5,525

 

4,577

4

Lehman Brothers Holdings, Inc.

5.500%

4/4/16

8,200

 

1,025

4

Lehman Brothers Holdings, Inc.

5.750%

1/3/17

11,375

 

21

4

Lehman Brothers Holdings, Inc.

6.500%

7/19/17

8,875

 

6

4

Lehman Brothers Holdings, Inc.

5.875%

11/15/17

1,425

 

160

4

Lehman Brothers Holdings, Inc.

6.750%

12/28/17

11,875

 

30

 

Merrill Lynch & Co., Inc.

5.000%

2/3/14

9,225

 

7,262

 

Merrill Lynch & Co., Inc.

5.450%

7/15/14

3,950

 

3,133

 

Merrill Lynch & Co., Inc.

5.000%

1/15/15

15,325

 

12,413

 

Merrill Lynch & Co., Inc.

6.050%

5/16/16

4,725

 

3,703

 

Merrill Lynch & Co., Inc.

5.700%

5/2/17

5,550

 

4,242

 

Merrill Lynch & Co., Inc.

6.400%

8/28/17

9,750

 

7,796

 

Merrill Lynch & Co., Inc.

6.875%

4/25/18

31,550

 

27,625

 

Merrill Lynch & Co., Inc.

6.500%

7/15/18

4,125

 

3,504

 

Morgan Stanley Dean Witter

4.750%

4/1/14

14,500

 

7,250

 

Morgan Stanley Dean Witter

6.000%

4/28/15

10,800

 

6,804

 

Morgan Stanley Dean Witter

5.375%

10/15/15

7,050

 

4,583

 

Morgan Stanley Dean Witter

5.750%

10/18/16

6,400

 

4,272

 

Morgan Stanley Dean Witter

5.450%

1/9/17

19,325

 

12,561

 

Morgan Stanley Dean Witter

5.550%

4/27/17

7,825

 

4,851

 

Morgan Stanley Dean Witter

6.250%

8/28/17

12,000

 

7,920

 

Morgan Stanley Dean Witter

5.950%

12/28/17

20,075

 

13,651

 

Morgan Stanley Dean Witter

6.625%

4/1/18

26,850

 

17,989

2

Schwab Capital Trust I

7.500%

11/15/37

1,850

 

1,589

 

 

Finance Companies (2.7%)

 

American Exoress Co.

7.000%

3/19/18

9,350

 

8,463

 

American Express Bank, FSB

6.000%

9/13/17

3,325

 

2,939

 

American Express Centurion Bank

6.000%

9/13/17

4,125

 

3,708

 

American Express Co.

5.500%

9/12/16

1,400

 

1,180

 

American Express Co.

6.150%

8/28/17

13,025

 

10,973

2

American Express Co.

6.800%

9/1/66

3,525

 

3,106

 

American Express Credit Corp.

5.300%

12/2/15

2,000

 

1,678

 

American General Finance Corp.

5.750%

9/15/16

5,725

 

2,576

 

American General Finance Corp.

6.900%

12/15/17

16,100

 

6,762

 

Capital One Financial Corp.

5.500%

6/1/15

3,750

 

3,243

 

Capital One Financial Corp.

6.150%

9/1/16

6,325

 

4,894

 

Capital One Financial Corp.

6.750%

9/15/17

6,775

 

6,110

 

 

 

 

Capmark Financial Group

6.300%

5/10/17

1,625

 

650

 

CIT Group Funding Co. of Canada

5.200%

6/1/15

5,775

 

2,887

 

CIT Group, Inc.

5.400%

3/7/13

2,150

 

1,333

 

CIT Group, Inc.

5.000%

2/13/14

875

 

508

 

CIT Group, Inc.

5.125%

9/30/14

4,525

 

2,308

 

CIT Group, Inc.

5.000%

2/1/15

3,400

 

1,734

 

CIT Group, Inc.

5.400%

1/30/16

2,250

 

1,125

 

CIT Group, Inc.

5.850%

9/15/16

2,750

 

1,402

 

CIT Group, Inc.

5.650%

2/13/17

3,150

 

1,575

2

CIT Group, Inc.

6.100%

3/15/67

3,200

 

1,168

 

Countrywide Financial Corp.

6.250%

5/15/16

6,250

 

4,625

 

Discover Financial Services

6.450%

6/12/17

1,500

 

950

 

General Electric Capital Corp.

5.500%

6/4/14

5,350

 

5,013

 

General Electric Capital Corp.

5.650%

6/9/14

13,275

 

12,518

 

General Electric Capital Corp.

5.375%

10/20/16

925

 

806

 

General Electric Capital Corp.

5.400%

2/15/17

18,750

 

16,148

 

General Electric Capital Corp.

5.625%

9/15/17

11,350

 

9,730

 

General Electric Capital Corp.

5.625%

5/1/18

27,800

 

23,393

2

General Electric Capital Corp.

6.375%

11/15/67

14,675

 

12,574

2

HSBC Finance Capital Trust IX

5.911%

11/30/35

3,925

 

2,996

 

HSBC Finance Corp.

5.250%

1/15/14

2,550

 

2,374

 

HSBC Finance Corp.

5.000%

6/30/15

29,150

 

25,588

 

International Lease Finance Corp.

5.625%

9/20/13

6,130

 

4,291

 

International Lease Finance Corp.

5.650%

6/1/14

8,150

 

5,460

 

iStar Financial Inc.

5.950%

10/15/13

3,175

 

1,651

 

iStar Financial Inc.

5.875%

3/15/16

5,475

 

3,175

 

iStar Financial Inc.

5.850%

3/15/17

1,100

 

627

 

SLM Corp.

5.000%

10/1/13

6,900

 

4,690

 

SLM Corp.

5.375%

5/15/14

4,750

 

3,172

 

SLM Corp.

5.050%

11/14/14

1,400

 

907

 

SLM Corp.

8.450%

6/15/18

15,325

 

10,676

 

 

Insurance (2.8%)

 

ACE INA Holdings, Inc.

5.875%

6/15/14

2,000

 

1,981

 

ACE INA Holdings, Inc.

5.600%

5/15/15

2,050

 

1,923

 

ACE INA Holdings, Inc.

5.700%

2/15/17

1,950

 

1,811

 

ACE INA Holdings, Inc.

5.800%

3/15/18

1,850

 

1,713

 

Aetna, Inc.

6.000%

6/15/16

5,250

 

5,069

 

Aetna, Inc.

6.500%

9/15/18

1,450

 

1,420

 

Allied World Assurance

7.500%

8/1/16

3,275

 

2,964

 

Allstate Corp.

5.000%

8/15/14

6,225

 

5,825

2

Allstate Corp.

6.125%

5/15/37

2,575

 

1,937

 

American International Group, Inc.

5.050%

10/1/15

9,675

 

5,128

 

American International Group, Inc.

5.600%

10/18/16

875

 

446

 

American International Group, Inc.

5.450%

5/18/17

6,425

 

3,148

 

American International Group, Inc.

5.850%

1/16/18

8,825

 

4,501

3

American International Group, Inc.

8.250%

8/15/18

12,120

 

6,787

 

Aspen Insurance Holdings Ltd.

6.000%

8/15/14

1,100

 

1,007

 

 

 

 

Assurant, Inc.

5.625%

2/15/14

2,825

 

2,560

 

Axis Capital Holdings Ltd.

5.750%

12/1/14

1,800

 

1,665

 

Berkshire Hathaway Finance Corp.

4.625%

10/15/13

4,450

 

4,390

 

Berkshire Hathaway Finance Corp.

5.100%

7/15/14

1,850

 

1,834

 

Berkshire Hathaway Finance Corp.

4.850%

1/15/15

5,325

 

5,204

3

Berkshire Hathaway Finance Corp.

5.400%

5/15/18

6,900

 

6,774

 

Chubb Corp.

5.750%

5/15/18

2,300

 

2,073

2

Chubb Corp.

6.375%

3/29/67

5,225

 

4,135

 

CIGNA Corp.

6.350%

3/15/18

4,050

 

3,836

 

CNA Financial Corp.

5.850%

12/15/14

2,100

 

1,987

 

CNA Financial Corp.

6.500%

8/15/16

3,400

 

3,185

 

Commerce Group, Inc.

5.950%

12/9/13

900

 

890

 

Coventry Health Care Inc.

6.300%

8/15/14

1,000

 

925

 

Coventry Health Care Inc.

5.950%

3/15/17

3,000

 

2,525

2

Everest Reinsurance Holdings, Inc.

6.600%

5/15/37

1,450

 

905

 

Genworth Financial, Inc.

5.750%

6/15/14

4,250

 

3,400

 

Genworth Financial, Inc.

4.950%

10/1/15

1,450

 

1,087

2

Genworth Financial, Inc.

6.150%

11/15/66

3,025

 

1,361

 

Hartford Financial Services Group, Inc.

5.500%

10/15/16

1,975

 

1,715

 

Hartford Financial Services Group, Inc.

5.375%

3/15/17

2,200

 

1,871

 

Hartford Financial Services Group, Inc.

6.300%

3/15/18

2,200

 

1,972

2

Hartford Financial Services Group, Inc.

8.125%

6/15/38

2,250

 

1,832

 

Humana Inc.

6.450%

6/1/16

2,625

 

2,381

 

Humana Inc.

7.200%

6/15/18

3,975

 

3,730

 

Humana Inc.

6.300%

8/1/18

750

 

638

2

ING Capital Funding Trust III

5.775%

12/8/49

4,325

 

3,477

 

Jefferson Pilot Corp.

4.750%

1/30/14

4,000

 

3,634

2

Lincoln National Corp.

7.000%

5/17/66

1,780

 

1,337

2

Lincoln National Corp.

6.050%

4/20/67

4,375

 

2,948

 

Loews Corp.

5.250%

3/15/16

1,850

 

1,781

 

Marsh & McLennan Cos., Inc.

5.375%

7/15/14

1,500

 

1,449

 

Marsh & McLennan Cos., Inc.

5.750%

9/15/15

5,550

 

5,333

 

MetLife, Inc.

5.000%

11/24/13

2,325

 

2,157

 

MetLife, Inc.

5.000%

6/15/15

7,450

 

6,635

 

MetLife, Inc.

6.817%

8/15/18

5,500

 

5,249

 

Principal Life Income Funding

5.100%

4/15/14

4,250

 

4,105

2

Progressive Corp.

6.700%

6/15/37

5,975

 

4,898

 

Prudential Financial, Inc.

4.750%

4/1/14

1,750

 

1,597

 

Prudential Financial, Inc.

5.100%

9/20/14

8,700

 

7,681

 

Prudential Financial, Inc.

5.500%

3/15/16

575

 

534

 

Prudential Financial, Inc.

6.100%

6/15/17

500

 

479

 

Prudential Financial, Inc.

6.000%

12/1/17

6,550

 

5,757

 

Torchmark Corp.

6.375%

6/15/16

1,750

 

1,781

 

Transatlantic Holdings

5.750%

12/14/15

4,000

 

3,662

 

Travelers Cos. Inc.

5.750%

12/15/17

3,550

 

3,291

 

Travelers Cos. Inc.

5.800%

5/15/18

1,975

 

1,814

2

Travelers Cos. Inc.

6.250%

3/15/37

3,950

 

2,912

 

Travelers Cos., Inc.

5.500%

12/1/15

1,350

 

1,264

 

 

 

 

Travelers Cos., Inc.

6.250%

6/20/16

2,025

 

1,967

 

UnitedHealth Group, Inc.

5.000%

8/15/14

5,400

 

4,976

 

UnitedHealth Group, Inc.

4.875%

3/15/15

3,825

 

3,470

 

UnitedHealth Group, Inc.

6.000%

6/15/17

2,100

 

1,981

 

UnitedHealth Group, Inc.

6.000%

11/15/17

2,400

 

2,191

 

UnitedHealth Group, Inc.

6.000%

2/15/18

8,725

 

8,021

 

WellPoint Inc.

5.000%

12/15/14

4,550

 

4,200

 

WellPoint Inc.

5.250%

1/15/16

3,900

 

3,583

 

WellPoint Inc.

5.875%

6/15/17

2,500

 

2,338

 

Willis North America Inc.

5.625%

7/15/15

2,750

 

2,530

 

Willis North America Inc.

6.200%

3/28/17

1,625

 

1,413

 

XL Capital Ltd.

5.250%

9/15/14

4,025

 

3,539

2

XL Capital Ltd.

6.500%

12/15/49

3,950

 

2,386

 

 

Other Finance (0.0%)

 

XTRA Finance Corp.

5.150%

4/1/17

1,600

 

1,553

 

 

Real Estate Investment Trusts (1.2%)

 

Arden Realty LP

5.250%

3/1/15

1,250

 

1,120

 

AvalonBay Communities, Inc.

5.750%

9/15/16

1,750

 

1,510

 

Boston Properties, Inc.

5.625%

4/15/15

1,925

 

1,809

 

Brandywine Operating Partnership

5.400%

11/1/14

2,250

 

1,921

 

Brandywine Operating Partnership

5.700%

5/1/17

1,925

 

1,568

 

Camden Property Trust

5.700%

5/15/17

3,300

 

2,792

 

Colonial Realty LP

5.500%

10/1/15

4,200

 

3,600

 

Duke Realty LP

5.950%

2/15/17

4,975

 

4,494

 

ERP Operating LP

5.200%

4/1/13

1,000

 

916

 

ERP Operating LP

5.250%

9/15/14

4,025

 

3,583

 

ERP Operating LP

5.125%

3/15/16

5,000

 

4,100

 

ERP Operating LP

5.375%

8/1/16

475

 

406

 

ERP Operating LP

5.750%

6/15/17

1,675

 

1,398

 

HCP Inc.

6.700%

1/30/18

4,500

 

3,887

 

Health Care Property Investors, Inc.

5.650%

12/15/13

2,250

 

2,039

 

Health Care Property Investors, Inc.

6.300%

9/15/16

275

 

236

 

Health Care Property Investors, Inc.

6.000%

1/30/17

3,750

 

3,133

 

Health Care REIT, Inc.

6.000%

11/15/13

4,725

 

4,493

 

Health Care REIT, Inc.

6.200%

6/1/16

925

 

825

 

HealthCare Realty Trust

5.125%

4/1/14

2,925

 

2,566

 

Hospitality Properties

5.125%

2/15/15

4,150

 

3,209

 

Hospitality Properties

5.625%

3/15/17

2,500

 

1,848

 

HRPT Properties Trust

6.250%

8/15/16

5,150

 

4,487

 

HRPT Properties Trust

6.250%

6/15/17

3,200

 

2,749

 

Kimco Realty Corp.

5.783%

3/15/16

1,350

 

1,218

 

Liberty Property LP

5.125%

3/2/15

5,475

 

4,777

 

National Retail Properties

6.875%

10/15/17

3,000

 

2,709

 

ProLogis

5.500%

3/1/13

2,000

 

1,893

 

ProLogis

5.625%

11/15/15

2,800

 

2,468

 

ProLogis

5.750%

4/1/16

3,000

 

2,667

 

 

 

 

ProLogis

5.625%

11/15/16

1,925

 

1,648

 

Realty Income Corp.

5.950%

9/15/16

1,000

 

890

 

Regency Centers LP

5.250%

8/1/15

1,000

 

907

 

Regency Centers LP

5.875%

6/15/17

3,000

 

2,601

 

Simon Property Group Inc.

5.625%

8/15/14

2,350

 

2,188

 

Simon Property Group Inc.

5.100%

6/15/15

1,800

 

1,565

 

Simon Property Group Inc.

5.750%

12/1/15

4,600

 

4,123

 

Simon Property Group Inc.

6.100%

5/1/16

1,800

 

1,610

 

Simon Property Group Inc.

5.250%

12/1/16

6,575

 

5,620

 

Simon Property Group Inc.

6.125%

5/30/18

3,225

 

2,887

 

Tanger Factory Outlet Centers, Inc.

6.150%

11/15/15

1,725

 

1,522

 

1,467,160

Industrial (18.3%)

 

Basic Industry (2.0%)

 

Alcan, Inc.

5.200%

1/15/14

1,500

 

1,441

 

Alcan, Inc.

5.000%

6/1/15

1,575

 

1,463

 

Alcoa, Inc.

5.550%

2/1/17

1,900

 

1,681

 

Alcoa, Inc.

6.750%

7/15/18

4,700

 

4,334

 

Arcelormittal

6.500%

4/15/14

5,000

 

5,063

3

ArcelorMittal

6.125%

6/1/18

10,275

 

9,429

 

Barrick Gold Finance Inc.

4.875%

11/15/14

2,050

 

1,911

 

Barrick North America Finance LLC

6.800%

9/15/18

4,150

 

3,941

 

BHP Billiton Finance Ltd.

5.400%

3/29/17

2,300

 

2,140

 

BHP Finance USA

5.250%

12/15/15

2,725

 

2,535

 

Celulosa Arauco Constitution SA

5.625%

4/20/15

5,150

 

4,828

 

Commercial Metals Co.

6.500%

7/15/17

1,650

 

1,522

 

Commercial Metals Co.

7.350%

8/15/18

1,675

 

1,613

 

Dow Chemical Co.

5.700%

5/15/18

3,300

 

3,096

 

E.I. du Pont de Nemours & Co.

5.250%

12/15/16

5,925

 

5,612

 

E.I. du Pont de Nemours & Co.

6.000%

7/15/18

5,275

 

5,094

 

Freeport-McMoRan Copper & Gold Inc.

8.250%

4/1/15

10,000

 

9,775

 

Freeport-McMoRan Copper & Gold Inc.

8.375%

4/1/17

18,750

 

18,375

 

ICI Wilmington

5.625%

12/1/13

1,600

 

1,629

 

Inco Ltd.

5.700%

10/15/15

1,675

 

1,549

 

International Paper Co.

7.400%

6/15/14

6,500

 

6,486

 

International Paper Co.

5.300%

4/1/15

175

 

155

 

International Paper Co.

5.250%

4/1/16

2,950

 

2,578

 

International Paper Co.

7.950%

6/15/18

8,200

 

8,123

 

Lubrizol Corp.

5.500%

10/1/14

2,575

 

2,479

 

Monsanto Co.

5.125%

4/15/18

925

 

865

3

Mosaic Co.

7.375%

12/1/14

2,500

 

2,594

3

Mosaic Co.

7.625%

12/1/16

4,000

 

4,200

 

Noranda, Inc.

6.000%

10/15/15

2,525

 

2,376

 

Nucor Corp.

5.750%

12/1/17

825

 

791

 

Nucor Corp.

5.850%

6/1/18

3,275

 

3,120

 

Plum Creek Timber Co.

5.875%

11/15/15

1,650

 

1,519

 

PPG Industries, Inc.

6.650%

3/15/18

3,425

 

3,430

 

Praxair, Inc.

5.250%

11/15/14

1,850

 

1,853

 

 

 

 

Praxair, Inc.

4.625%

3/30/15

2,575

 

2,439

 

Praxair, Inc.

5.375%

11/1/16

700

 

691

 

Praxair, Inc.

5.200%

3/15/17

1,500

 

1,457

 

Reliance Steel & Aluminum

6.200%

11/15/16

650

 

615

 

Rio Tinto Finance USA Ltd.

6.500%

7/15/18

8,700

 

8,318

 

Rohm & Haas Co.

6.000%

9/15/17

8,300

 

8,228

 

US Steel Corp.

6.050%

6/1/17

3,325

 

2,773

 

US Steel Corp.

7.000%

2/1/18

1,300

 

1,178

 

Vale Overseas Ltd.

6.250%

1/11/16

5,825

 

5,563

 

Vale Overseas Ltd.

6.250%

1/23/17

4,575

 

4,323

 

WMC Finance USA

5.125%

5/15/13

1,600

 

1,607

 

 

Capital Goods (1.8%)

2,3

BAE Systems Asset Trust

7.156%

12/15/11

384

 

396

 

Brascan Corp.

7.125%

6/15/12

1,000

 

1,008

 

Caterpillar Financial Services Corp.

4.750%

2/17/15

7,625

 

6,990

 

Caterpillar Financial Services Corp.

4.625%

6/1/15

1,200

 

1,075

 

Caterpillar Financial Services Corp.

5.450%

4/15/18

3,900

 

3,453

 

Caterpillar Financial Services Corp.

7.050%

10/1/18

2,250

 

2,230

 

CRH America Inc.

5.300%

10/15/13

2,075

 

1,735

 

CRH America Inc.

6.000%

9/30/16

8,375

 

7,343

 

CRH America Inc.

8.125%

7/15/18

4,425

 

4,336

 

Deere & Co.

6.950%

4/25/14

6,230

 

6,622

 

Dover Corp.

4.875%

10/15/15

2,400

 

2,303

 

Dover Corp.

5.450%

3/15/18

900

 

879

 

Embraer Overseas Ltd.

6.375%

1/24/17

700

 

661

 

Emerson Electric Co.

5.125%

12/1/16

2,500

 

2,434

 

Emerson Electric Co.

5.375%

10/15/17

5,000

 

4,912

 

General Electric Co.

5.250%

12/6/17

22,225

 

19,516

 

Hanson PLC

6.125%

8/15/16

3,250

 

3,019

 

Harsco Corp.

5.750%

5/15/18

2,550

 

2,493

 

Honeywell International, Inc.

5.400%

3/15/16

1,825

 

1,807

 

Honeywell International, Inc.

5.300%

3/15/17

1,000

 

965

 

Honeywell International, Inc.

5.300%

3/1/18

4,025

 

3,803

 

Ingersoll-Rand GL Holding Company

6.875%

8/15/18

6,100

 

6,073

 

John Deere Capital Corp.

5.500%

4/13/17

2,300

 

2,101

 

John Deere Capital Corp.

5.750%

9/10/18

2,150

 

1,975

 

Joy Global, Inc.

6.000%

11/15/16

1,275

 

1,148

 

Lafarge SA

6.500%

7/15/16

6,500

 

5,887

 

Lockheed Martin Corp.

7.650%

5/1/16

3,000

 

3,378

 

Martin Marietta Material

6.600%

4/15/18

2,050

 

1,883

 

Masco Corp.

4.800%

6/15/15

4,875

 

4,049

 

Masco Corp.

6.125%

10/3/16

4,275

 

3,735

 

Mohawk Industries Inc.

6.125%

1/15/16

7,350

 

6,611

 

Northrop Grumman Corp.

7.750%

3/1/16

2,900

 

3,237

 

Textron, Inc.

5.600%

12/1/17

3,700

 

3,394

 

Tyco International Group SA

6.000%

11/15/13

4,800

 

4,700

 

United Technologies Corp.

4.875%

5/1/15

6,425

 

6,356

 

 

 

 

United Technologies Corp.

5.375%

12/15/17

5,100

 

4,847

 

Vulcan Materials Co.

7.000%

6/15/18

3,275

 

3,162

 

Waste Management, Inc.

6.375%

11/15/12

1,000

 

996

 

Waste Management, Inc.

5.000%

3/15/14

625

 

565

 

 

Communication (3.6%)

 

America Movil SA de C.V.

5.500%

3/1/14

5,650

 

5,339

 

America Movil SA de C.V.

5.750%

1/15/15

1,525

 

1,441

 

AT&T Inc.

5.100%

9/15/14

22,700

 

21,405

 

AT&T Inc.

5.625%

6/15/16

4,975

 

4,649

 

AT&T Inc.

5.500%

2/1/18

18,900

 

16,769

 

AT&T Inc.

5.600%

5/15/18

2,475

 

2,207

 

BellSouth Corp.

5.200%

9/15/14

200

 

187

 

BellSouth Corp.

5.200%

12/15/16

1,025

 

937

 

British Telecommunications PLC

5.950%

1/15/18

3,875

 

3,357

 

CenturyTel, Inc.

5.000%

2/15/15

1,000

 

876

 

CenturyTel, Inc.

6.000%

4/1/17

2,475

 

2,248

 

Comcast Cable Communications, Inc.

8.875%

5/1/17

1,700

 

1,854

 

Comcast Corp.

5.300%

1/15/14

6,640

 

6,188

 

Comcast Corp.

6.500%

1/15/15

3,825

 

3,714

 

Comcast Corp.

5.850%

11/15/15

2,300

 

2,144

 

Comcast Corp.

5.900%

3/15/16

10,650

 

9,875

 

Comcast Corp.

4.950%

6/15/16

2,175

 

1,892

 

Comcast Corp.

6.500%

1/15/17

1,575

 

1,500

 

Comcast Corp.

6.300%

11/15/17

7,125

 

6,621

 

Comcast Corp.

5.875%

2/15/18

5,375

 

4,818

 

Comcast Corp.

5.700%

5/15/18

5,000

 

4,398

 

Cox Communications, Inc.

5.450%

12/15/14

6,725

 

6,311

 

Cox Communications, Inc.

5.500%

10/1/15

1,250

 

1,169

 

Deutsche Telekom International Finance

5.750%

3/23/16

2,725

 

2,416

 

Deutsche Telekom International Finance

6.750%

8/20/18

4,550

 

4,291

 

Embarq Corp.

7.082%

6/1/16

9,275

 

7,706

 

GTE Corp.

6.840%

4/15/18

1,000

 

967

 

McGraw-Hill Cos. Inc.

5.900%

11/15/17

2,500

 

2,462

 

News America Inc.

5.300%

12/15/14

8,350

 

8,123

 

Omnicom Group Inc.

5.900%

4/15/16

6,400

 

6,205

 

Qwest Communications International Inc.

7.500%

10/1/14

3,475

 

3,058

 

Qwest Communications International Inc.

6.500%

6/1/17

4,000

 

3,260

 

R.R. Donnelley & Sons Co.

4.950%

4/1/14

2,550

 

2,266

 

R.R. Donnelley & Sons Co.

5.500%

5/15/15

2,365

 

2,030

 

R.R. Donnelley & Sons Co.

6.125%

1/15/17

1,750

 

1,571

 

Rogers Communications Inc.

6.375%

3/1/14

8,000

 

7,760

 

Rogers Communications Inc.

5.500%

3/15/14

5,000

 

4,713

 

Rogers Communications Inc.

6.800%

8/15/18

5,500

 

5,225

 

TCI Communications, Inc.

8.750%

8/1/15

3,895

 

4,242

 

Telecom Italia Capital

5.250%

11/15/13

2,875

 

2,572

 

Telecom Italia Capital

4.950%

9/30/14

13,225

 

10,937

 

Telecom Italia Capital

5.250%

10/1/15

5,100

 

4,378

 

 

 

 

Telecom Italia Capital

6.999%

6/4/18

3,950

 

3,620

 

Telefonica Emisiones SAU

6.421%

6/20/16

11,075

 

10,983

 

Telefonos de Mexico SA

5.500%

1/27/15

6,050

 

5,649

 

Thomson Corp.

5.700%

10/1/14

5,550

 

5,486

 

Thomson Corp.

6.500%

7/15/18

3,950

 

3,839

 

Time Warner Cable Inc.

5.850%

5/1/17

11,175

 

10,171

 

Time Warner Cable Inc.

6.750%

7/1/18

11,900

 

11,035

 

Verizon Communications Corp.

5.550%

2/15/16

12,150

 

11,196

 

Verizon Communications Corp.

5.500%

2/15/18

13,450

 

11,972

 

Verizon Communications Corp.

6.100%

4/15/18

2,350

 

2,173

 

Verizon Global Funding Corp.

4.900%

9/15/15

2,000

 

1,789

 

Vodafone Group PLC

5.000%

12/16/13

900

 

875

 

Vodafone Group PLC

5.375%

1/30/15

8,475

 

7,850

 

Vodafone Group PLC

5.000%

9/15/15

1,250

 

1,125

 

Vodafone Group PLC

5.750%

3/15/16

5,350

 

5,018

 

Vodafone Group PLC

5.625%

2/27/17

7,425

 

6,861

 

WPP Finance USA Corp.

5.875%

6/15/14

2,150

 

1,959

 

 

Consumer Cyclical (2.3%)

 

Autozone, Inc.

6.500%

1/15/14

2,000

 

1,966

 

Brinker International Inc.

5.750%

6/1/14

1,700

 

1,538

 

Costco Wholesale Corp.

5.500%

3/15/17

11,375

 

11,385

 

CVS Caremark Corp.

4.875%

9/15/14

1,675

 

1,568

 

CVS Caremark Corp.

5.750%

6/1/17

10,075

 

9,219

 

CVS Corp.

6.125%

8/15/16

2,600

 

2,544

 

DaimlerChrysler North America Holding Corp.

6.500%

11/15/13

13,925

 

13,294

 

Darden Restaurants Inc.

6.200%

10/15/17

4,025

 

3,365

 

Federated Retail Holding

5.900%

12/1/16

8,800

 

7,300

 

Home Depot Inc.

5.250%

12/16/13

4,450

 

4,194

 

Home Depot Inc.

5.400%

3/1/16

15,050

 

12,760

 

ITT Corp.

7.375%

11/15/15

5,600

 

5,300

 

J.C. Penney Co., Inc.

7.950%

4/1/17

1,650

 

1,565

 

J.C. Penney Co., Inc.

5.750%

2/15/18

2,650

 

2,174

 

Johnson Controls, Inc.

4.875%

9/15/13

1,000

 

987

 

Johnson Controls, Inc.

5.500%

1/15/16

3,000

 

2,915

 

Kohl's Corp.

6.250%

12/15/17

4,000

 

3,665

 

Limited Brands Inc.

5.250%

11/1/14

3,100

 

2,560

 

Limited Brands Inc.

6.900%

7/15/17

2,875

 

2,387

 

Lowe's Cos., Inc.

5.000%

10/15/15

4,275

 

4,061

 

Lowe's Cos., Inc.

5.400%

10/15/16

3,525

 

3,416

 

Lowe's Cos., Inc.

6.100%

9/15/17

600

 

607

 

Macy's Retail Holdings Inc.

5.750%

7/15/14

3,600

 

3,047

 

Marriott International

6.200%

6/15/16

2,600

 

2,324

 

Marriott International

6.375%

6/15/17

2,450

 

2,207

 

McDonald's Corp.

5.300%

3/15/17

750

 

727

 

McDonald's Corp.

5.800%

10/15/17

3,950

 

3,682

 

McDonald's Corp.

5.350%

3/1/18

4,775

 

4,588

 

Nordstrom, Inc.

6.250%

1/15/18

1,800

 

1,626

 

 

 

 

Target Corp.

5.875%

7/15/16

6,600

 

6,497

 

Target Corp.

5.375%

5/1/17

550

 

512

 

Target Corp.

6.000%

1/15/18

8,600

 

8,150

 

The Walt Disney Co.

5.625%

9/15/16

7,700

 

7,777

 

The Walt Disney Co.

5.875%

12/15/17

2,600

 

2,636

 

Time Warner, Inc.

5.875%

11/15/16

9,600

 

8,327

 

Toll Brothers, Inc.

5.950%

9/15/13

1,000

 

913

 

Toll Brothers, Inc.

5.150%

5/15/15

2,150

 

1,705

 

VF Corp.

5.950%

11/1/17

1,125

 

1,034

 

Viacom Inc.

6.250%

4/30/16

6,800

 

6,109

 

Viacom Inc.

6.125%

10/5/17

50

 

44

 

Wal-Mart Stores, Inc.

4.500%

7/1/15

7,025

 

6,842

 

Wal-Mart Stores, Inc.

5.375%

4/5/17

2,575

 

2,473

 

Wal-Mart Stores, Inc.

5.800%

2/15/18

7,525

 

7,309

 

Western Union Co.

5.930%

10/1/16

3,800

 

3,421

 

Wyndham Worldwide

6.000%

12/1/16

3,825

 

3,278

 

Yum! Brands, Inc.

6.250%

4/15/16

2,525

 

2,402

 

Yum! Brands, Inc.

6.250%

3/15/18

2,400

 

2,232

 

 

Consumer Noncyclical (4.6%)

 

Abbott Laboratories

4.350%

3/15/14

4,350

 

4,191

 

Abbott Laboratories

5.875%

5/15/16

11,000

 

11,031

 

Abbott Laboratories

5.600%

11/30/17

5,000

 

4,834

 

Allergan Inc.

5.750%

4/1/16

3,300

 

3,188

 

AmerisourceBergen Corp.

5.875%

9/15/15

4,425

 

3,968

 

Amgen Inc.

4.850%

11/18/14

4,125

 

3,916

 

Amgen Inc.

5.850%

6/1/17

7,975

 

7,713

 

Anheuser-Busch Cos., Inc.

5.600%

3/1/17

4,100

 

3,709

 

Anheuser-Busch Cos., Inc.

5.500%

1/15/18

3,900

 

3,390

 

Archer-Daniels-Midland Co.

8.375%

4/15/17

1,375

 

1,544

 

Archer-Daniels-Midland Co.

5.450%

3/15/18

4,050

 

3,716

 

AstraZeneca PLC

5.400%

6/1/14

3,050

 

2,988

 

AstraZeneca PLC

5.900%

9/15/17

10,625

 

10,678

 

Baxter International, Inc.

4.625%

3/15/15

3,150

 

3,006

 

Baxter International, Inc.

5.900%

9/1/16

2,600

 

2,645

 

Baxter International, Inc.

5.375%

6/1/18

3,500

 

3,324

 

Biogen Idec Inc.

6.875%

3/1/18

4,950

 

4,983

 

Bottling Group LLC

5.000%

11/15/13

1,500

 

1,514

 

Bottling Group LLC

5.500%

4/1/16

6,050

 

6,069

 

Bristol-Myers Squibb Co.

5.450%

5/1/18

3,125

 

3,017

 

Bunge Ltd. Finance Corp.

5.350%

4/15/14

2,900

 

2,523

 

Bunge Ltd. Finance Corp.

5.100%

7/15/15

1,925

 

1,564

 

Cardinal Health, Inc.

4.000%

6/15/15

2,200

 

1,893

 

Cardinal Health, Inc.

5.800%

10/15/16

1,250

 

1,164

 

Cardinal Health, Inc.

6.000%

6/15/17

900

 

846

 

Cardinal Health, Inc.

5.850%

12/15/17

1,900

 

1,762

 

Cia. Brasil de Bebidas AmBev

8.750%

9/15/13

2,800

 

2,968

 

Clorox Co.

5.000%

1/15/15

3,700

 

3,503

 

 

 

 

Coca-Cola Co.

5.350%

11/15/17

8,200

 

8,189

 

Coca-Cola HBC Finance BV

5.125%

9/17/13

2,400

 

2,420

 

ConAgra Foods, Inc.

5.819%

6/15/17

1,500

 

1,445

 

Covidien International

6.000%

10/15/17

8,125

 

7,625

 

Delhaize America Inc.

6.500%

6/15/17

2,800

 

2,696

 

Diageo Capital PLC

5.500%

9/30/16

6,300

 

5,962

 

Diageo Capital PLC

5.750%

10/23/17

4,800

 

4,532

 

Diageo Finance BV

5.300%

10/28/15

2,675

 

2,637

3

Dr. Pepper Snapple Group

6.820%

5/1/18

6,075

 

6,009

 

Eli Lilly & Co.

5.200%

3/15/17

4,925

 

4,817

 

Fisher Scientific International Inc.

6.125%

7/1/15

4,000

 

3,850

 

Fortune Brands Inc.

5.375%

1/15/16

11,675

 

10,405

 

Genentech Inc.

4.750%

7/15/15

3,250

 

3,044

 

General Mills, Inc.

5.200%

3/17/15

1,100

 

1,052

 

General Mills, Inc.

5.700%

2/15/17

7,850

 

7,743

 

GlaxoSmithKline Capital Inc.

4.375%

4/15/14

8,075

 

7,767

 

GlaxoSmithKline Capital Inc.

5.650%

5/15/18

13,250

 

12,628

 

Hasbro Inc.

6.300%

9/15/17

2,175

 

1,964

 

Hershey Foods Corp.

5.450%

9/1/16

2,100

 

2,076

 

Hospira, Inc.

5.900%

6/15/14

675

 

654

 

Hospira, Inc.

6.050%

3/30/17

2,000

 

1,913

 

Johnson & Johnson

5.550%

8/15/17

4,600

 

4,734

 

Johnson & Johnson

5.150%

7/15/18

4,425

 

4,332

 

Kimberly-Clark Corp.

4.875%

8/15/15

1,025

 

994

 

Kimberly-Clark Corp.

6.125%

8/1/17

7,000

 

6,905

 

Kimberly-Clark Corp.

6.250%

7/15/18

675

 

688

 

Kraft Foods, Inc.

5.250%

10/1/13

7,250

 

7,076

 

Kraft Foods, Inc.

6.500%

8/11/17

13,825

 

13,527

 

Kraft Foods, Inc.

6.125%

2/1/18

5,750

 

5,380

 

Kraft Foods, Inc.

6.125%

8/23/18

5,350

 

5,069

 

Kroger Co.

4.950%

1/15/15

6,825

 

6,343

 

Kroger Co.

6.400%

8/15/17

1,950

 

1,894

 

Laboratory Corp. of America

5.625%

12/15/15

1,250

 

1,160

 

McKesson Corp.

5.700%

3/1/17

1,000

 

950

 

Medco Health Solutions

7.125%

3/15/18

4,100

 

4,044

 

Medtronic Inc.

4.750%

9/15/15

3,200

 

3,049

 

Merck & Co.

4.750%

3/1/15

5,425

 

5,297

 

PepsiAmericas Inc.

4.875%

1/15/15

2,875

 

2,788

 

PepsiAmericas Inc.

5.000%

5/15/17

750

 

704

 

Pepsico, Inc.

5.000%

6/1/18

9,200

 

8,787

 

Pfizer, Inc.

4.500%

2/15/14

3,375

 

3,379

 

Philip Morris International Inc

5.650%

5/16/18

11,975

 

10,874

 

Philips Electronics NV

5.750%

3/11/18

7,100

 

6,821

 

Procter & Gamble Co.

4.950%

8/15/14

10,025

 

10,199

 

Quest Diagnostic, Inc.

5.450%

11/1/15

3,200

 

2,907

 

Quest Diagnostic, Inc.

6.400%

7/1/17

1,325

 

1,289

 

Reynolds American Inc.

7.625%

6/1/16

1,000

 

998

 

Reynolds American Inc.

6.750%

6/15/17

5,000

 

4,644

 

 

 

 

Safeway, Inc.

6.350%

8/15/17

3,875

 

3,788

 

Schering-Plough Corp.

5.550%

12/1/13

5,750

 

5,729

 

Schering-Plough Corp.

6.000%

9/15/17

5,950

 

5,724

 

Sysco Corp.

5.250%

2/12/18

2,500

 

2,464

 

Teva Pharmaceutical Finance LLC

5.550%

2/1/16

2,675

 

2,502

 

UST, Inc.

5.750%

3/1/18

975

 

938

 

Wm. Wrigley Jr. Co.

4.650%

7/15/15

3,350

 

2,793

 

Wyeth

5.500%

2/1/14

7,175

 

7,052

 

Wyeth

5.500%

2/15/16

9,050

 

8,949

 

Wyeth

5.450%

4/1/17

1,250

 

1,225

 

 

Energy (1.7%)

 

Anadarko Petroleum Corp.

5.950%

9/15/16

14,800

 

13,335

 

Apache Corp.

5.625%

1/15/17

3,625

 

3,396

 

Apache Corp.

6.900%

9/15/18

2,800

 

2,795

 

BJ Services Co.

6.000%

6/1/18

1,225

 

1,218

 

Cameron International Corp.

6.375%

7/15/18

1,600

 

1,541

 

Canadian Natural Resources

4.900%

12/1/14

2,950

 

2,668

 

Canadian Natural Resources

6.000%

8/15/16

3,350

 

3,087

 

Canadian Natural Resources

5.700%

5/15/17

5,500

 

4,807

 

ConocoPhillips Canada

5.625%

10/15/16

9,825

 

9,692

 

Diamond Offshore Drilling

4.875%

7/1/15

2,050

 

1,888

 

Encana Corp.

4.750%

10/15/13

1,125

 

1,045

 

Encana Corp.

5.900%

12/1/17

4,225

 

3,770

 

Encana Holdings Finance Corp.

5.800%

5/1/14

7,750

 

7,215

 

EOG Resources Inc.

5.875%

9/15/17

3,300

 

3,124

 

EOG Resources Inc.

6.875%

10/1/18

2,000

 

2,005

 

Halliburton Co.

5.900%

9/15/18

2,800

 

2,784

 

Marathon Oil Corp.

6.000%

10/1/17

7,475

 

7,007

 

Marathon Oil Corp.

5.900%

3/15/18

4,175

 

3,736

3

Nabors Industries Inc.

6.150%

2/15/18

5,475

 

5,043

 

Nexen, Inc.

5.050%

11/20/13

3,000

 

2,852

 

Nexen, Inc.

5.650%

5/15/17

1,850

 

1,665

 

Petro-Canada Financial Partnership

5.000%

11/15/14

3,375

 

3,071

 

Petro-Canada Financial Partnership

6.050%

5/15/18

2,225

 

2,031

 

Questar Market Resources

6.050%

9/1/16

600

 

572

 

Questar Market Resources

6.800%

4/1/18

2,000

 

1,962

 

Shell International Finance BV

5.200%

3/22/17

2,775

 

2,740

 

Suncor Energy, Inc.

6.100%

6/1/18

5,200

 

4,865

 

Sunoco, Inc.

4.875%

10/15/14

950

 

891

 

Sunoco, Inc.

5.750%

1/15/17

2,075

 

1,956

 

Talisman Energy, Inc.

5.125%

5/15/15

2,150

 

1,958

 

Transocean Inc.

6.000%

3/15/18

4,750

 

4,483

 

Valero Energy Corp.

6.125%

6/15/17

6,000

 

5,719

 

Weatherford International Inc.

5.500%

2/15/16

3,000

 

2,815

 

Weatherford International Inc.

6.350%

6/15/17

2,300

 

2,174

 

Weatherford International Inc.

6.000%

3/15/18

2,575

 

2,427

 

XTO Energy, Inc.

5.750%

12/15/13

2,700

 

2,598

 

 

 

 

XTO Energy, Inc.

4.900%

2/1/14

2,750

 

2,607

 

XTO Energy, Inc.

5.000%

1/31/15

400

 

375

 

XTO Energy, Inc.

5.300%

6/30/15

1,625

 

1,509

 

XTO Energy, Inc.

6.250%

8/1/17

6,125

 

5,968

 

XTO Energy, Inc.

5.500%

6/15/18

5,000

 

4,554

 

 

Other Industrial (0.2%)

 

Black & Decker Corp.

5.750%

11/15/16

1,925

 

1,743

 

Cintas Corp.

6.125%

12/1/17

1,300

 

1,282

 

Cooper Industries, Inc.

5.450%

4/1/15

1,375

 

1,387

 

Danaher Corp.

5.625%

1/15/18

1,200

 

1,201

 

Eaton Corp.

5.600%

5/15/18

1,825

 

1,767

 

Parker-Hannifin Corp.

5.500%

5/15/18

2,000

 

1,959

 

Rockwell Automation

5.650%

12/1/17

1,550

 

1,554

 

 

Technology (1.4%)

 

Agilent Technologies Inc.

6.500%

11/1/17

3,325

 

3,145

 

Avnet Inc.

6.625%

9/15/16

3,000

 

2,945

 

BMC Software Inc.

7.250%

6/1/18

1,550

 

1,563

 

Cisco Systems Inc.

5.500%

2/22/16

16,775

 

16,185

3

Computer Sciences Corp.

6.500%

3/15/18

3,300

 

3,226

3

Dell Inc.

5.650%

4/15/18

2,500

 

2,346

 

Equifax Inc.

6.300%

7/1/17

1,300

 

1,161

 

Fiserv, Inc.

6.800%

11/20/17

3,150

 

3,154

 

Harris Corp.

5.000%

10/1/15

1,425

 

1,327

 

Harris Corp.

5.950%

12/1/17

775

 

757

 

Hewlett-Packard Co.

5.400%

3/1/17

2,750

 

2,611

 

Hewlett-Packard Co.

5.500%

3/1/18

5,375

 

5,121

 

International Business Machines Corp.

5.700%

9/14/17

17,075

 

16,487

 

Intuit Inc.

5.750%

3/15/17

2,025

 

1,815

 

Lexmark International Inc.

6.650%

6/1/18

2,975

 

2,865

 

Motorola, Inc.

6.000%

11/15/17

725

 

619

 

National Semiconductor

6.600%

6/15/17

2,325

 

2,232

 

Oracle Corp.

5.250%

1/15/16

14,975

 

14,152

 

Oracle Corp.

5.750%

4/15/18

8,000

 

7,435

 

Pitney Bowes, Inc.

4.875%

8/15/14

2,025

 

1,950

 

Pitney Bowes, Inc.

4.750%

1/15/16

6,175

 

5,847

 

Pitney Bowes, Inc.

5.750%

9/15/17

2,400

 

2,351

 

Pitney Bowes, Inc.

4.750%

5/15/18

1,625

 

1,333

 

Tyco Electronics Group

6.550%

10/1/17

4,025

 

3,873

 

Xerox Corp.

6.400%

3/15/16

5,700

 

5,247

 

Xerox Corp.

6.750%

2/1/17

1,850

 

1,780

 

Xerox Corp.

6.350%

5/15/18

5,575

 

4,959

 

 

Transportation (0.7%)

 

Burlington Northern Santa Fe Corp.

5.650%

5/1/17

10,650

 

10,280

 

Burlington Northern Santa Fe Corp.

5.750%

3/15/18

900

 

848

 

Canadian National Railway Co.

4.950%

1/15/14

1,300

 

1,256

 

 

 

 

Canadian National Railway Co.

5.800%

6/1/16

1,950

 

1,917

 

Canadian National Railway Co.

5.850%

11/15/17

500

 

492

 

Canadian National Railway Co.

5.550%

5/15/18

900

 

866

 

Canadian National Railway Co.

6.800%

7/15/18

750

 

789

 

Con-Way Inc.

7.250%

1/15/18

2,000

 

1,931

 

Continental Airlines, Inc.

6.563%

2/15/12

500

 

453

2

Continental Airlines, Inc.

6.648%

9/15/17

992

 

905

2

Continental Airlines, Inc.

6.900%

1/2/18

1,557

 

1,397

 

CSX Corp.

6.250%

4/1/15

4,000

 

3,820

 

CSX Corp.

5.600%

5/1/17

3,850

 

3,376

 

Norfolk Southern Corp.

5.257%

9/17/14

3,095

 

3,115

 

Norfolk Southern Corp.

7.700%

5/15/17

2,400

 

2,613

 

Norfolk Southern Corp.

5.750%

4/1/18

3,000

 

2,876

 

Ryder System Inc.

5.850%

3/1/14

1,350

 

1,288

 

Ryder System Inc.

7.200%

9/1/15

1,775

 

1,763

 

Ryder System Inc.

5.850%

11/1/16

1,000

 

919

 

Southwest Airlines Co.

5.250%

10/1/14

2,000

 

1,847

 

Southwest Airlines Co.

5.750%

12/15/16

1,300

 

1,202

 

Southwest Airlines Co.

5.125%

3/1/17

650

 

558

 

Union Pacific Corp.

5.375%

5/1/14

2,000

 

1,957

 

Union Pacific Corp.

7.000%

2/1/16

550

 

568

 

Union Pacific Corp.

5.650%

5/1/17

3,300

 

3,100

 

Union Pacific Corp.

5.750%

11/15/17

3,300

 

3,136

 

Union Pacific Corp.

5.700%

8/15/18

2,200

 

2,069

 

United Parcel Service of America

5.500%

1/15/18

1,600

 

1,572

 

1,486,494

Utilities (4.4%)

 

Electric (3.0%)

 

Alabama Power Co.

5.500%

10/15/17

2,100

 

1,982

 

American Electric Power Co., Inc.

5.250%

6/1/15

1,850

 

1,752

 

American Water Capital Corp.

6.085%

10/15/17

3,025

 

2,827

 

Arizona Public Service Co.

5.800%

6/30/14

500

 

475

 

Arizona Public Service Co.

4.650%

5/15/15

3,825

 

3,323

 

Baltimore Gas & Electric Co.

5.900%

10/1/16

2,250

 

2,058

 

Carolina Power & Light Co.

5.125%

9/15/13

6,920

 

6,888

 

Carolina Power & Light Co.

5.250%

12/15/15

3,000

 

2,848

 

CenterPoint Energy Houston

5.750%

1/15/14

500

 

485

 

CenterPoint Energy Inc.

6.500%

5/1/18

4,500

 

3,832

 

Cleveland Electric Illumination Co.

5.650%

12/15/13

500

 

484

 

Cleveland Electric Illumination Co.

7.880%

11/1/17

250

 

260

 

Commonwealth Edison Co.

4.700%

4/15/15

700

 

635

 

Commonwealth Edison Co.

5.950%

8/15/16

2,625

 

2,471

 

Commonwealth Edison Co.

6.150%

9/15/17

4,250

 

4,032

 

Connecticut Light & Power Co.

5.650%

5/1/18

3,000

 

2,784

 

Consolidated Edison Co. of New York

5.500%

9/15/16

3,350

 

3,199

 

Consolidated Edison Co. of New York

5.850%

4/1/18

5,000

 

4,894

 

Constellation Energy Group, Inc.

4.550%

6/15/15

3,750

 

3,251

 

Consumers Energy Co.

5.500%

8/15/16

3,850

 

3,643

 

 

 

 

Dayton Power & Light

5.125%

10/1/13

1,875

 

1,895

 

Dominion Resources, Inc.

5.150%

7/15/15

7,925

 

7,212

 

Dominion Resources, Inc.

6.000%

11/30/17

5,750

 

5,355

2

Dominion Resources, Inc.

7.500%

6/30/66

500

 

450

 

Duke Energy Carolinas LLC

5.250%

1/15/18

3,000

 

2,919

 

Duke Energy Carolinas LLC

5.100%

4/15/18

5,750

 

5,387

 

Enersis SA

7.375%

1/15/14

3,500

 

3,596

3

Entergy Gulf States, Inc.

6.000%

5/1/18

2,600

 

2,530

 

Entergy Louisiana LLC

6.500%

9/1/18

3,075

 

2,950

 

Exelon Corp.

4.900%

6/15/15

3,425

 

3,074

 

Exelon Generation Co. LLC

5.350%

1/15/14

1,000

 

931

 

Exelon Generation Co. LLC

6.200%

10/1/17

3,500

 

3,051

 

Florida Power & Light Co.

5.550%

11/1/17

3,700

 

3,553

 

Florida Power Corp.

5.650%

6/15/18

2,100

 

2,020

2

FPL Group Capital, Inc.

6.350%

10/1/66

1,825

 

1,462

2

FPL Group Capital, Inc.

6.650%

6/15/67

1,700

 

1,402

2

FPL Group Capital, Inc.

7.300%

9/1/67

1,000

 

914

 

Georgia Power Co.

5.700%

6/1/17

7,000

 

7,931

 

Illinois Power

6.125%

11/15/17

3,100

 

2,914

 

Illinois Power

6.250%

4/1/18

2,000

 

1,894

2

Integrys Energy Group

6.110%

12/1/66

1,500

 

1,195

 

Jersey Central Power & Light

5.625%

5/1/16

5,675

 

5,308

 

Jersey Central Power & Light

5.650%

6/1/17

5,475

 

5,092

 

Metropolitan Edison

4.875%

4/1/14

1,000

 

933

 

MidAmerican Energy Co.

5.950%

7/15/17

925

 

893

 

MidAmerican Energy Co.

5.300%

3/15/18

4,900

 

4,497

 

MidAmerican Energy Holdings Co.

5.000%

2/15/14

600

 

554

 

MidAmerican Energy Holdings Co.

5.750%

4/1/18

4,350

 

4,026

 

National Rural Utilities Cooperative Finance Corp.

4.750%

3/1/14

3,500

 

3,390

 

National Rural Utilities Cooperative Finance Corp.

5.450%

4/10/17

8,250

 

7,883

 

National Rural Utilities Cooperative Finance Corp.

5.450%

2/1/18

1,625

 

1,515

 

Nevada Power Co.

6.500%

8/1/18

6,250

 

6,018

 

NiSource Finance Corp.

6.150%

3/1/13

2,500

 

2,404

 

NiSource Finance Corp.

5.400%

7/15/14

1,025

 

940

 

NiSource Finance Corp.

6.400%

3/15/18

5,350

 

4,846

 

Northern States Power Co.

5.250%

3/1/18

5,350

 

5,036

 

NStar Electric Co.

4.875%

4/15/14

2,350

 

2,256

 

NStar Electric Co.

5.625%

11/15/17

625

 

614

 

Ohio Edison

6.400%

7/15/16

1,200

 

1,183

 

Ohio Power Co.

6.000%

6/1/16

2,425

 

2,265

 

Oncor Electric Delivery Co.

6.375%

1/15/15

3,025

 

2,994

 

Pacific Gas & Electric Co.

4.800%

3/1/14

9,100

 

8,751

 

Pacific Gas & Electric Co.

5.625%

11/30/17

4,850

 

4,681

 

PacifiCorp

5.650%

7/15/18

2,575

 

2,449

 

PECO Energy Co.

5.350%

3/1/18

2,475

 

2,272

 

 

 

 

Pennsylvania Electric Co.

6.050%

9/1/17

800

 

739

 

PPL Energy Supply LLC

6.200%

5/15/16

7,900

 

7,430

 

PPL Energy Supply LLC

6.500%

5/1/18

750

 

713

 

Progress Energy, Inc.

5.625%

1/15/16

1,425

 

1,355

 

PSE&G Power LLC

5.000%

4/1/14

2,650

 

2,414

 

PSE&G Power LLC

5.500%

12/1/15

3,125

 

2,860

 

PSI Energy Inc.

5.000%

9/15/13

1,125

 

1,109

 

PSI Energy Inc.

6.050%

6/15/16

1,500

 

1,497

 

Public Service Co. of Colorado

5.500%

4/1/14

1,000

 

991

 

Public Service Electric & Gas

5.375%

9/1/13

2,000

 

1,995

 

Sierra Pacific Power Co.

6.000%

5/15/16

2,400

 

2,283

 

South Carolina Electric & Gas Co.

6.500%

11/1/18

800

 

801

 

Southern California Edison Co.

5.000%

1/15/14

2,000

 

1,988

 

Southern California Edison Co.

4.650%

4/1/15

2,625

 

2,564

 

Southern California Edison Co.

5.000%

1/15/16

925

 

893

 

Southern Power Co.

4.875%

7/15/15

1,125

 

1,035

 

Southwestern Electric Power

5.550%

1/15/17

3,500

 

3,220

 

Southwestern Electric Power

6.450%

1/15/19

1,900

 

1,847

 

TransAlta Corp.

6.750%

7/15/12

125

 

127

 

TransAlta Corp.

6.650%

5/15/18

2,975

 

2,837

 

Union Electric Co.

5.400%

2/1/16

300

 

276

 

Virginia Electric & Power Co.

5.400%

1/15/16

4,450

 

4,224

 

Wisconsin Electric Power Co.

6.000%

4/1/14

1,200

 

1,204

2

Wisconsin Energy Corp.

6.250%

5/15/67

5,275

 

4,327

 

 

Natural Gas (1.4%)

 

Atmos Energy Corp.

4.950%

10/15/14

3,400

 

3,120

 

Boardwalk Pipelines LLC

5.500%

2/1/17

3,725

 

3,437

 

Buckeye Partners LP

6.050%

1/15/18

4,550

 

4,431

 

CenterPoint Energy Resources

6.150%

5/1/16

1,350

 

1,266

 

CenterPoint Energy Resources

6.000%

5/15/18

5,000

 

4,579

 

Consolidated Natural Gas

5.000%

12/1/14

3,125

 

2,976

 

Duke Capital Corp.

5.500%

3/1/14

1,000

 

947

 

Duke Capital Corp.

5.668%

8/15/14

1,000

 

951

 

El Paso Natural Gas Co.

5.950%

4/15/17

1,700

 

1,574

 

Enbridge Energy Partners

6.500%

4/15/18

3,075

 

2,833

 

Enbridge Inc.

5.600%

4/1/17

4,050

 

3,796

 

Energy Transfer Partners LP

5.950%

2/1/15

5,250

 

4,858

 

Energy Transfer Partners LP

6.125%

2/15/17

4,850

 

4,447

 

Enterprise Products Operating LP

5.600%

10/15/14

6,250

 

5,803

 

Enterprise Products Operating LP

6.300%

9/15/17

2,525

 

2,341

 

Equitable Resources Inc.

6.500%

4/1/18

3,800

 

3,563

 

Kinder Morgan Energy Partners LP

5.000%

12/15/13

2,200

 

2,095

 

Kinder Morgan Energy Partners LP

5.125%

11/15/14

9,050

 

8,205

 

Kinder Morgan Energy Partners LP

6.000%

2/1/17

1,000

 

904

 

Kinder Morgan Energy Partners LP

5.950%

2/15/18

250

 

223

 

Magellan Midstream Partners, LP

5.650%

10/15/16

650

 

618

 

National Grid PLC

6.300%

8/1/16

4,275

 

4,203

 

 

 

 

NuStar Energy LP

7.650%

4/15/18

2,900

 

2,772

 

ONEOK Inc.

5.200%

6/15/15

3,100

 

2,809

 

ONEOK Partners, LP

6.150%

10/1/16

5,125

 

4,736

 

Panhandle Eastern Pipeline

6.200%

11/1/17

2,000

 

1,767

 

Panhandle Eastern Pipeline

7.000%

6/15/18

2,525

 

2,352

 

Plains All American Pipeline LP

6.125%

1/15/17

2,500

 

2,208

 

Plains All American Pipeline LP

6.500%

5/1/18

2,675

 

2,481

 

San Diego Gas & Electric

5.300%

11/15/15

300

 

297

 

Sempra Energy

6.150%

6/15/18

2,800

 

2,629

3

Southern Natural Gas

5.900%

4/1/17

6,525

 

5,755

 

Spectra Energy Corp.

6.200%

4/15/18

1,700

 

1,543

 

Teppco Partners, LP

6.650%

4/15/18

550

 

536

 

Texas Gas Transmission

4.600%

6/1/15

500

 

449

 

Trans-Canada Pipelines

6.500%

8/15/18

5,000

 

4,883

2

Trans-Canada Pipelines

6.350%

5/15/67

6,475

 

5,185

 

Transcontinental Gas Pipe Line Corp.

6.050%

6/15/18

2,500

 

2,415

 

Valero Logistics

6.050%

3/15/13

2,000

 

1,938

 

 

Other Utility (0.0%)

 

Veolia Environnement

6.000%

6/1/18

3,500

 

3,359

 

 

359,571

Total Corporate Bonds (Cost $3,766,939)

3,315,950

Sovereign Bonds (U.S. Dollar-Denominated) (7.3%)

 

Asian Development Bank

3.625%

9/5/13

2,225

 

2,231

 

Asian Development Bank

6.640%

5/27/14

521

 

581

 

Asian Development Bank

5.500%

6/27/16

6,900

 

7,422

 

Asian Development Bank

5.250%

6/12/17

2,300

 

2,454

 

Asian Development Bank

5.593%

7/16/18

7,800

 

8,489

 

China Development Bank

4.750%

10/8/14

2,700

 

2,626

 

China Development Bank

5.000%

10/15/15

3,450

 

3,204

 

Corp. Andina de Fomento

5.750%

1/12/17

3,950

 

3,684

 

Development Bank of Japan

4.250%

6/9/15

2,325

 

2,303

 

Development Bank of Japan

5.125%

2/1/17

3,700

 

3,823

 

Eksportfinans

5.500%

5/25/16

3,125

 

3,282

 

Eksportfinans

5.500%

6/26/17

4,600

 

4,818

 

European Bank for Reconstruction & Development

5.000%

5/19/14

3,400

 

3,582

 

European Investment Bank

4.625%

5/15/14

12,350

 

12,692

 

European Investment Bank

4.875%

2/16/16

9,250

 

9,643

 

European Investment Bank

5.125%

9/13/16

14,550

 

15,484

 

European Investment Bank

4.875%

1/17/17

20,975

 

21,901

 

European Investment Bank

5.125%

5/30/17

12,600

 

13,375

 

Export-Import Bank of Korea

5.125%

3/16/15

4,800

 

4,303

 

Federative Republic of Brazil

7.875%

3/7/15

10,000

 

10,700

 

Federative Republic of Brazil

6.000%

1/17/17

18,000

 

17,370

2

Federative Republic of Brazil

8.000%

1/15/18

16,000

 

17,144

 

Inter-American Development Bank

4.500%

9/15/14

3,000

 

3,066

 

 

 

 

Inter-American Development Bank

4.250%

9/14/15

9,420

 

9,483

 

Inter-American Development Bank

5.125%

9/13/16

6,700

 

7,139

 

International Bank for Reconstruction & Development

3.625%

5/21/13

2,500

 

2,552

 

International Bank for Reconstruction & Development

5.000%

4/1/16

9,375

 

9,824

 

Japan Finance Corp.

4.625%

4/21/15

5,600

 

5,720

 

Japan Finance Corp.

5.000%

5/16/17

3,800

 

3,965

 

Korea Development Bank

5.750%

9/10/13

6,675

 

6,449

 

Kreditanstalt fur Wiederaufbau

4.000%

10/15/13

11,775

 

11,919

 

Kreditanstalt fur Wiederaufbau

4.125%

10/15/14

6,475

 

6,443

 

Kreditanstalt fur Wiederaufbau

5.125%

3/14/16

35,975

 

37,808

^

Kreditanstalt fur Wiederaufbau

4.375%

3/15/18

17,700

 

17,710

 

Kreditanstalt fur Wiederaufbau

4.500%

7/16/18

10,900

 

11,013

 

Landwirtschaftliche Rentenbank

4.875%

11/16/15

6,525

 

6,742

 

Landwirtschaftliche Rentenbank

5.125%

2/1/17

12,775

 

13,481

 

Nordic Investment Bank

5.000%

2/1/17

7,650

 

7,985

 

Oesterreichische Kontrollbank

4.500%

3/9/15

2,600

 

2,669

 

Oesterreichische Kontrollbank

4.875%

2/16/16

5,000

 

5,168

 

Oesterreichische Kontrollbank

5.000%

4/25/17

9,425

 

9,806

 

Pemex Project Funding Master Trust

7.375%

12/15/14

2,500

 

2,628

3

Pemex Project Funding Master Trust

5.750%

3/1/18

13,300

 

12,685

 

People's Republic of China

4.750%

10/29/13

5,000

 

5,024

 

Petrobras International Finance

6.125%

10/6/16

8,475

 

7,880

 

Petrobras International Finance

5.875%

3/1/18

6,325

 

5,708

 

Province of Manitoba

7.500%

2/22/10

1,000

 

1,055

 

Province of Manitoba

4.900%

12/6/16

500

 

515

 

Province of Ontario

4.750%

1/19/16

16,725

 

17,099

 

Province of Ontario

5.450%

4/27/16

7,100

 

7,581

 

Province of Quebec

4.875%

5/5/14

6,000

 

6,284

 

Province of Quebec

4.600%

5/26/15

4,800

 

4,809

 

Province of Quebec

5.000%

3/1/16

2,000

 

2,037

 

Province of Quebec

5.125%

11/14/16

10,975

 

11,386

 

Province of Quebec

4.625%

5/14/18

4,650

 

4,617

 

Quebec Hydro Electric

7.500%

4/1/16

2,500

 

2,942

 

Republic of Hungary

4.750%

2/3/15

7,350

 

7,224

 

Republic of Italy

4.500%

1/21/15

5,650

 

5,855

 

Republic of Italy

4.750%

1/25/16

13,275

 

13,507

 

Republic of Italy

5.250%

9/20/16

30,800

 

32,400

 

Republic of Italy

5.375%

6/12/17

425

 

451

 

Republic of Korea

4.875%

9/22/14

6,750

 

6,482

 

Republic of Peru

9.875%

2/6/15

8,075

 

9,206

 

Republic of Peru

8.375%

5/3/16

2,000

 

2,130

 

Republic of Poland

5.250%

1/15/14

4,700

 

4,836

 

Republic of Poland

5.000%

10/19/15

4,500

 

4,511

 

Republic of South Africa

6.500%

6/2/14

5,725

 

5,611

 

State of Israel

5.125%

3/1/14

2,000

 

2,061

 

 

 

 

State of Israel (U.S. Government Guaranteed)

5.500%

11/9/16

4,025

 

4,145

 

Swedish Export Credit Corp.

5.125%

3/1/17

6,250

 

6,456

 

United Mexican States

5.875%

1/15/14

9,325

 

9,302

 

United Mexican States

6.625%

3/3/15

14,200

 

14,768

 

United Mexican States

11.375%

9/15/16

1,725

 

2,303

 

United Mexican States

5.625%

1/15/17

18,000

 

17,577

Total Sovereign Bonds (Cost $586,690)

591,128

Taxable Municipal Bonds (0.0%)

 

Wisconsin Public Service Rev.

4.800%

5/1/13

1,350

 

1,351

Total Taxable Municipal Bonds (Cost $1,348)

1,351

Shares

 

Temporary Cash Investment (1.0%)

5,6

Vanguard Market Liquidity Fund

2.296%

 

78,893,144

78,893

 

 

Total Temporary Cash Investment (Cost $78,893)

78,893

Total Investments (99.7%) (Cost $8,443,665)

8,113,261

6 Other Assets and Liabilities-Net (0.3%)

25,398

Net Assets (100%)

8,138,659

 

 

 

^

Part of security position is on loan to broker-dealers. The total value of securities on loan is $12,030,000.

1

The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

2

The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

3

Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2008, the aggregate value of these securities was $84,519,000, representing 1.0% of net assets.

4

Non-income-producing security--security in default.

5

Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

6

Includes $12,480,000 of collateral received for securities on loan.

 

REIT—Real Estate Investment Trust.

 

Intermediate-Term Bond Index Fund

 

Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.

 

At September 30, 2008, the cost of investment securities for tax purposes was $8,443,665,000. Net unrealized depreciation of investment securities for tax purposes was $330,404,000, consisting of unrealized gains of $138,059,000 on securities that had risen in value since their purchase and $468,463,000 in unrealized losses on securities that had fallen in value since their purchase.

In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.

The various inputs that may be used to determine the value of the fund's investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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

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

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

The following table summarizes the fund's investments as of September 30, 2008, based on the inputs used to value them:

Valuation Inputs

Investments in Securities ($000)

Level 1- Quoted prices

78,893

Level 2- Other significant observable inputs

8,034,368

Level 3- Significant unobservable inputs

-

Total

8,113,261

 

 

Vanguard Long-Term Bond Index Fund

Schedule of Investments

As of September 30, 2008

 

Coupon

Maturity
Date

Face
Amount
($000)

Market
Value
($000)

U.S. Government and Agency Obligations (49.4%)

U. S. Government Securities (43.3%)

 

U.S. Treasury Bond

8.750%

5/15/17

90

 

122

 

U.S. Treasury Bond

9.125%

5/15/18

1,565

 

2,209

 

U.S. Treasury Bond

9.000%

11/15/18

7,300

 

10,291

 

U.S. Treasury Bond

8.875%

2/15/19

26,490

 

37,148

 

U.S. Treasury Bond

8.125%

8/15/19

2,475

 

3,329

 

U.S. Treasury Bond

8.500%

2/15/20

10

 

14

 

U.S. Treasury Bond

8.750%

5/15/20

28,730

 

40,649

 

U.S. Treasury Bond

8.750%

8/15/20

60,475

 

85,761

 

U.S. Treasury Bond

7.875%

2/15/21

39,280

 

52,733

 

U.S. Treasury Bond

8.125%

5/15/21

15

 

21

 

U.S. Treasury Bond

8.125%

8/15/21

57,610

 

79,187

 

U.S. Treasury Bond

8.000%

11/15/21

83,020

 

113,439

 

U.S. Treasury Bond

7.250%

8/15/22

11,695

 

15,185

 

U.S. Treasury Bond

7.625%

11/15/22

36,745

 

49,319

 

U.S. Treasury Bond

7.125%

2/15/23

36,460

 

47,033

 

U.S. Treasury Bond

6.250%

8/15/23

37,260

 

44,724

 

U.S. Treasury Bond

7.500%

11/15/24

50

 

68

 

U.S. Treasury Bond

7.625%

2/15/25

75

 

104

 

U.S. Treasury Bond

6.000%

2/15/26

21,875

 

25,983

 

U.S. Treasury Bond

6.750%

8/15/26

55,390

 

71,055

 

U.S. Treasury Bond

6.500%

11/15/26

800

 

1,004

 

U.S. Treasury Bond

6.625%

2/15/27

49,530

 

63,066

 

U.S. Treasury Bond

6.375%

8/15/27

43,105

 

53,672

 

U.S. Treasury Bond

6.125%

11/15/27

12,775

 

15,532

 

U.S. Treasury Bond

5.500%

8/15/28

61,670

 

70,159

 

U.S. Treasury Bond

5.250%

11/15/28

670

 

741

 

U.S. Treasury Bond

5.250%

2/15/29

16,600

 

18,372

 

U.S. Treasury Bond

6.125%

8/15/29

26,055

 

32,027

 

U.S. Treasury Bond

6.250%

5/15/30

430

 

538

 

U.S. Treasury Bond

5.375%

2/15/31

12,045

 

13,660

 

U.S. Treasury Bond

4.500%

2/15/36

68,780

 

70,532

 

U.S. Treasury Bond

4.750%

2/15/37

67,050

 

71,649

 

U.S. Treasury Bond

5.000%

5/15/37

15,800

 

17,558

 

U.S. Treasury Bond

4.375%

2/15/38

38,540

 

38,913

 

U.S. Treasury Bond

4.500%

5/15/38

4,800

 

4,956

 

U.S. Treasury Note

3.250%

1/15/09

800

 

806

 

U.S. Treasury Note

4.500%

2/15/09

800

 

809

 

U.S. Treasury Note

4.750%

2/28/09

1,425

 

1,444

 

 

 

U.S. Treasury Note

4.750%

2/15/10

550

 

572

 

U.S. Treasury Note

6.500%

2/15/10

6,275

 

6,677

 

U.S. Treasury Note

4.000%

8/15/18

23,800

 

24,101

 

1,185,162

Agency Bonds and Notes (6.1%)

1

Federal Farm Credit Bank

5.150%

11/15/19

1,000

 

1,020

1

Federal Home Loan Bank

5.375%

5/15/19

5,250

 

5,395

1

Federal Home Loan Bank

5.125%

8/15/19

5,220

 

5,259

1

Federal Home Loan Bank

5.250%

12/11/20

6,000

 

6,100

1

Federal Home Loan Bank

5.625%

6/11/21

2,500

 

2,613

1

Federal Home Loan Bank

5.625%

3/14/36

1,000

 

1,052

1

Federal Home Loan Bank

5.500%

7/15/36

6,600

 

6,907

1

Federal Home Loan Mortgage Corp.

5.000%

12/14/18

7,150

 

6,628

1

Federal Home Loan Mortgage Corp.

6.750%

9/15/29

7,700

 

9,333

1

Federal Home Loan Mortgage Corp.

6.750%

3/15/31

10,025

 

12,249

1

Federal Home Loan Mortgage Corp.

6.250%

7/15/32

8,175

 

9,509

1

Federal National Mortgage Assn.

0.000%

10/9/19

8,300

 

4,134

1

Federal National Mortgage Assn.

6.250%

5/15/29

10,050

 

11,510

1

Federal National Mortgage Assn.

7.125%

1/15/30

13,475

 

17,029

1

Federal National Mortgage Assn.

7.250%

5/15/30

12,435

 

15,966

1

Federal National Mortgage Assn.

6.625%

11/15/30

13,100

 

15,786

1

Federal National Mortgage Assn.

5.625%

7/15/37

2,325

 

2,453

1

Federal National Mortgage Assn.

6.210%

8/6/38

1,000

 

1,130

 

State of Israel (U.S. Government Guaranteed)

5.500%

9/18/23

1,375

 

1,504

 

State of Israel (U.S. Government Guaranteed)

5.500%

12/4/23

5,325

 

5,830

 

State of Israel (U.S. Government Guaranteed)

5.500%

4/26/24

2,900

 

3,174

1

Tennessee Valley Auth.

4.500%

4/1/18

2,475

 

2,407

1

Tennessee Valley Auth.

6.750%

11/1/25

4,500

 

5,292

1

Tennessee Valley Auth.

7.125%

5/1/30

3,250

 

4,079

1

Tennessee Valley Auth.

4.650%

6/15/35

2,825

 

2,613

1

Tennessee Valley Auth.

5.880%

4/1/36

1,000

 

1,103

1

Tennessee Valley Auth.

6.150%

1/15/38

2,450

 

2,821

1

Tennessee Valley Auth.

5.500%

6/15/38

1,175

 

1,235

1

Tennessee Valley Auth.

4.875%

1/15/48

2,500

 

2,384

1

Tennessee Valley Auth.

5.375%

4/1/56

1,850

 

1,910

 

168,425

Total U.S. Government and Agency Obligations (Cost $1,281,034)

1,353,587

Corporate Bonds (40.9%)

Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)

2

PSE&G Transition Funding LLC

6.890%

12/15/17

2,500

 

2,619

 

Finance (9.8%)

 

Banking (4.6%)

 

Abbey National PLC

7.950%

10/26/29

4,725

 

4,669

 

Associates Corp. of North America

6.950%

11/1/18

1,150

 

1,070

 

BAC Capital Trust XI

6.625%

5/23/36

225

 

170

 

Banc One Corp.

7.750%

7/15/25

2,000

 

2,006

 

Banc One Corp.

7.625%

10/15/26

4,350

 

4,312

 

Bank of America Corp.

4.500%

8/1/10

150

 

148

 

Bank of America Corp.

4.250%

10/1/10

450

 

436

 

Bank of America Corp.

4.375%

12/1/10

300

 

289

 

Bank of America Corp.

5.375%

8/15/11

1,150

 

1,120

 

Bank of America Corp.

6.250%

4/15/12

425

 

416

 

Bank of America Corp.

5.375%

9/11/12

650

 

615

 

Bank of America Corp.

5.375%

6/15/14

400

 

377

 

 

 

Bank of America Corp.

5.125%

11/15/14

775

 

712

 

Bank of America Corp.

5.625%

3/8/35

5,575

 

3,662

 

Bank of America Corp.

6.000%

10/15/36

5,925

 

4,653

 

Bank of America Corp.

6.500%

9/15/37

1,600

 

1,248

2

Barclays Bank PLC

6.278%

12/15/08

750

 

527

 

BB&T Capital Trust II

6.750%

6/7/36

4,225

 

2,998

2

BB&T Capital Trust IV

6.820%

6/12/57

650

 

442

 

BB&T Corp.

5.250%

11/1/19

1,000

 

744

2,3

Citicorp Lease Pass-Through Trust

8.040%

12/15/19

450

 

434

2

Citigroup Capital XXI

8.300%

12/21/57

8,375

 

6,803

 

Citigroup, Inc.

6.625%

6/15/32

2,750

 

2,047

 

Citigroup, Inc.

5.875%

2/22/33

4,250

 

3,173

 

Citigroup, Inc.

6.000%

10/31/33

1,700

 

1,164

 

Citigroup, Inc.

5.850%

12/11/34

2,300

 

1,661

 

Citigroup, Inc.

6.125%

8/25/36

6,725

 

4,992

 

Citigroup, Inc.

5.875%

5/29/37

2,375

 

1,686

 

Citigroup, Inc.

6.875%

3/5/38

5,225

 

4,401

2

Comerica Capital Trust II

6.576%

2/20/37

1,500

 

721

 

Compass Bank

5.900%

4/1/26

1,075

 

768

 

Credit Suisse First Boston USA, Inc.

7.125%

7/15/32

2,100

 

2,043

 

Fifth Third Bancorp.

8.250%

3/1/38

2,825

 

2,143

 

First Union Institutional Capital I

8.040%

12/1/26

500

 

300

 

Fleet Capital Trust II

7.920%

12/11/26

1,150

 

1,134

 

Fleet Financial Group, Inc.

6.875%

1/15/28

400

 

372

 

HSBC Bank USA

5.875%

11/1/34

4,100

 

3,138

 

HSBC Bank USA

5.625%

8/15/35

5,300

 

3,901

 

HSBC Holdings PLC

7.625%

5/17/32

1,050

 

1,004

 

HSBC Holdings PLC

7.350%

11/27/32

200

 

185

 

HSBC Holdings PLC

6.500%

5/2/36

3,525

 

2,928

 

HSBC Holdings PLC

6.500%

9/15/37

6,500

 

5,384

 

HSBC Holdings PLC

6.800%

6/1/38

2,650

 

2,281

 

JPM Capital Trust

6.550%

9/29/36

3,375

 

2,557

 

JPMorgan Capital Trust

5.875%

3/15/35

2,350

 

1,683

 

JPMorgan Chase & Co.

5.850%

8/1/35

425

 

308

 

JPMorgan Chase & Co.

6.400%

5/15/38

5,350

 

4,644

 

JPMorgan Chase Capital XXII

6.450%

2/2/37

3,075

 

2,223

 

JPMorgan Chase Capital XXV

6.800%

10/1/37

3,750

 

2,869

 

KeyBank NA

6.950%

2/1/28

2,768

 

1,751

 

National City Corp.

6.875%

5/15/19

1,700

 

850

 

NationsBank Corp.

6.800%

3/15/28

375

 

321

 

NB Capital Trust IV

8.250%

4/15/27

400

 

363

 

Regions Bank

6.450%

6/26/37

2,000

 

1,000

 

Regions Financial Corp.

7.375%

12/10/37

800

 

512

2

Regions Financial Corp.

6.625%

5/15/47

1,800

 

944

2

Royal Bank of Scotland Group PLC

7.648%

3/31/09

4,975

 

3,778

 

State Street Capital Trust

5.250%

10/15/18

1,000

 

840

 

SunTrust Capital VIII

6.100%

12/15/36

3,050

 

1,412

 

Swiss Bank Corp.

7.000%

10/15/15

1,000

 

969

 

Swiss Bank Corp.

7.375%

6/15/17

550

 

546

 

Wachovia Bank NA

5.850%

2/1/37

4,175

 

2,505

 

Wachovia Bank NA

6.600%

1/15/38

5,925

 

2,963

 

Wachovia Corp.

6.605%

10/1/25

725

 

464

3

Wachovia Corp.

8.000%

12/15/26

2,300

 

1,380

 

 

 

Wachovia Corp.

7.500%

4/15/35

150

 

113

 

Wachovia Corp.

5.500%

8/1/35

4,000

 

2,000

 

Wachovia Corp.

6.550%

10/15/35

125

 

81

 

Wells Fargo & Co.

5.375%

2/7/35

2,450

 

1,909

 

Wells Fargo Bank NA

5.950%

8/26/36

1,475

 

1,252

 

Wells Fargo Capital X

5.950%

12/15/36

1,650

 

1,390

 

 

Brokerage (1.5%)

 

Goldman Sachs Group, Inc.

5.950%

1/15/27

5,950

 

4,165

 

Goldman Sachs Group, Inc.

6.125%

2/15/33

5,550

 

3,885

 

Goldman Sachs Group, Inc.

6.345%

2/15/34

7,350

 

4,704

 

Goldman Sachs Group, Inc.

6.750%

10/1/37

13,575

 

9,502

 

Jefferies Group Inc.

6.450%

6/8/27

1,500

 

1,128

 

Jefferies Group Inc.

6.250%

1/15/36

1,400

 

996

4

Lehman Brothers Holdings, Inc.

6.000%

5/3/27

1,550

 

1

4

Lehman Brothers Holdings, Inc.

7.000%

9/27/27

3,125

 

406

4

Lehman Brothers Holdings, Inc.

6.875%

7/17/37

3,600

 

4

4

Lehman Brothers Holdings, Inc.

7.500%

5/11/38

4,775

 

6

 

Merrill Lynch & Co., Inc.

6.875%

11/15/18

4,075

 

3,610

 

Merrill Lynch & Co., Inc.

6.220%

9/15/26

4,775

 

3,584

 

Merrill Lynch & Co., Inc.

6.110%

1/29/37

3,500

 

2,361

 

Merrill Lynch & Co., Inc.

7.750%

5/14/38

3,000

 

2,569

 

Morgan Stanley Dean Witter

6.250%

8/9/26

2,825

 

1,723

 

Morgan Stanley Dean Witter

7.250%

4/1/32

2,025

 

1,357

 

 

Finance Companies (1.2%)

 

American Express Co.

8.150%

3/19/38

2,350

 

2,076

 

Capital One Capital III

7.686%

8/15/36

1,700

 

769

 

Capital One Capital IV

6.745%

2/17/37

1,100

 

550

 

CIT Group, Inc.

6.000%

4/1/36

2,800

 

1,148

 

General Electric Capital Corp.

6.750%

3/15/32

16,475

 

13,469

 

General Electric Capital Corp.

6.150%

8/7/37

4,925

 

3,700

 

General Electric Capital Corp.

5.875%

1/14/38

15,350

 

11,128

 

SLM Corp.

5.625%

8/1/33

1,950

 

1,199

 

 

Insurance (2.5%)

 

ACE Capital Trust II

9.700%

4/1/30

850

 

814

 

AEGON Funding Corp.

5.750%

12/15/20

1,000

 

863

 

Aetna, Inc.

6.625%

6/15/36

1,850

 

1,659

 

Aetna, Inc.

6.750%

12/15/37

1,350

 

1,221

 

Allstate Corp.

6.125%

12/15/32

1,250

 

1,076

 

Allstate Corp.

5.350%

6/1/33

1,950

 

1,506

 

Allstate Corp.

5.550%

5/9/35

1,700

 

1,342

 

Allstate Corp.

5.950%

4/1/36

925

 

771

2

Allstate Corp.

6.500%

5/15/57

1,500

 

986

 

Ambac, Inc.

5.950%

12/5/35

1,050

 

378

 

Ambac, Inc.

6.150%

2/7/87

800

 

200

 

American General Capital II

8.500%

7/1/30

850

 

349

 

American International Group, Inc.

6.250%

5/1/36

875

 

420

 

American International Group, Inc.

6.250%

3/15/37

2,425

 

352

2,3

American International Group, Inc.

8.175%

5/15/58

9,900

 

1,436

 

Aon Capital Trust

8.205%

1/1/27

1,175

 

1,015

 

Arch Capital Group Ltd.

7.350%

5/1/34

625

 

610

 

 

 

Assurant, Inc.

6.750%

2/15/34

1,200

 

965

 

AXA SA

8.600%

12/15/30

3,700

 

3,535

 

Chubb Corp.

6.000%

5/11/37

1,725

 

1,454

 

Chubb Corp.

6.500%

5/15/38

1,625

 

1,421

 

CIGNA Corp.

7.875%

5/15/27

500

 

510

 

CIGNA Corp.

6.150%

11/15/36

2,000

 

1,702

 

Cincinnati Financial Corp.

6.920%

5/15/28

1,000

 

911

 

Cincinnati Financial Corp.

6.125%

11/1/34

850

 

679

 

Endurance Specialty Holdings

7.000%

7/15/34

700

 

603

 

GE Global Insurance Holdings Corp.

6.450%

3/1/19

400

 

347

 

GE Global Insurance Holdings Corp.

7.000%

2/15/26

1,850

 

1,576

 

GE Global Insurance Holdings Corp.

7.750%

6/15/30

400

 

357

 

Genworth Financial, Inc.

6.500%

6/15/34

825

 

536

 

Hartford Financial Services Group, Inc.

6.000%

1/15/19

1,125

 

976

 

Hartford Financial Services Group, Inc.

5.950%

10/15/36

650

 

495

 

Hartford Financial Services Group, Inc.

6.100%

10/1/41

1,200

 

923

 

Humana Inc.

8.150%

6/15/38

1,150

 

1,093

 

Lincoln National Corp.

6.150%

4/7/36

1,475

 

1,242

 

Loews Corp.

6.000%

2/1/35

800

 

712

 

Marsh & McLennan Cos., Inc.

5.875%

8/1/33

1,500

 

1,277

 

MBIA, Inc.

5.700%

12/1/34

1,000

 

534

 

MetLife, Inc.

6.500%

12/15/32

3,000

 

2,617

 

MetLife, Inc.

6.375%

6/15/34

2,925

 

2,503

 

MetLife, Inc.

6.400%

12/15/36

2,700

 

1,693

 

Nationwide Financial Services

6.750%

5/15/37

1,000

 

563

 

Principal Financial Group, Inc.

6.050%

10/15/36

1,700

 

1,337

 

Progressive Corp.

6.625%

3/1/29

1,625

 

1,591

 

Prudential Financial, Inc.

5.750%

7/15/33

1,000

 

822

 

Prudential Financial, Inc.

5.400%

6/13/35

1,000

 

748

 

Prudential Financial, Inc.

5.900%

3/17/36

1,500

 

1,198

 

Prudential Financial, Inc.

5.700%

12/14/36

3,675

 

2,845

 

Travelers Cos. Inc.

6.250%

6/15/37

2,400

 

2,044

 

Travelers Cos., Inc.

6.750%

6/20/36

1,000

 

917

 

Travelers Property Casualty Corp.

6.375%

3/15/33

1,500

 

1,317

 

UnitedHealth Group, Inc.

5.800%

3/15/36

1,300

 

994

 

UnitedHealth Group, Inc.

6.500%

6/15/37

1,200

 

1,008

 

UnitedHealth Group, Inc.

6.625%

11/15/37

1,075

 

896

 

UnitedHealth Group, Inc.

6.875%

2/15/38

3,625

 

3,162

 

WellPoint Inc.

5.950%

12/15/34

1,300

 

1,068

 

WellPoint Inc.

5.850%

1/15/36

1,575

 

1,235

 

WellPoint Inc.

6.375%

6/15/37

1,700

 

1,464

 

XL Capital Ltd.

6.375%

11/15/24

1,150

 

932

 

XL Capital Ltd.

6.250%

5/15/27

700

 

537

 

 

Real Estate Investment Trusts (0.0%)

 

Realty Income Corp.

6.750%

8/15/19

1,350

 

1,243

 

 

268,524

Industrial (24.6%)

 

Basic Industry (1.7%)

 

Agrium Inc.

6.750%

1/15/19

2,625

 

2,597

 

Alcan, Inc.

7.250%

3/15/31

1,250

 

1,255

 

Alcan, Inc.

6.125%

12/15/33

3,050

 

2,634

 

 

 

Alcoa, Inc.

5.870%

2/23/22

1,250

 

1,057

 

Alcoa, Inc.

5.900%

2/1/27

4,925

 

3,853

 

Aluminum Co. of America

6.750%

1/15/28

850

 

738

 

Barrick North America Finance LLC

7.500%

9/15/38

1,225

 

1,168

 

BHP Billiton Finance Ltd.

6.420%

3/1/26

500

 

452

 

Dow Chemical Co.

7.375%

11/1/29

2,625

 

2,519

 

E.I. du Pont de Nemours & Co.

6.500%

1/15/28

1,175

 

1,160

 

Eastman Chemical Co.

7.250%

1/15/24

1,300

 

1,322

 

Eastman Chemical Co.

7.600%

2/1/27

300

 

310

 

Inco Ltd.

7.200%

9/15/32

1,050

 

940

 

Lubrizol Corp.

6.500%

10/1/34

900

 

795

 

Monsanto Co.

5.500%

8/15/25

1,350

 

1,186

 

Newmont Mining

5.875%

4/1/35

1,250

 

980

 

Nucor Corp.

6.400%

12/1/37

1,800

 

1,665

 

Placer Dome, Inc.

6.450%

10/15/35

700

 

610

 

Potash Corp. of Saskatchewan

5.875%

12/1/36

1,750

 

1,451

 

Reliance Steel & Aluminum

6.850%

11/15/36

350

 

313

 

Rio Tinto Finance USA Ltd.

7.125%

7/15/28

1,775

 

1,695

2

Rohm & Haas Co.

9.800%

4/15/20

330

 

386

 

Rohm & Haas Co.

7.850%

7/15/29

2,050

 

2,057

 

Southern Copper Corp.

7.500%

7/27/35

2,500

 

2,337

 

Teck Cominco Ltd.

6.125%

10/1/35

1,800

 

1,460

 

US Steel Corp.

6.650%

6/1/37

725

 

533

 

Vale Overseas Ltd.

8.250%

1/17/34

1,225

 

1,259

 

Vale Overseas Ltd.

6.875%

11/21/36

6,475

 

5,633

 

Weyerhaeuser Co.

8.500%

1/15/25

600

 

605

 

Weyerhaeuser Co.

7.375%

3/15/32

3,875

 

3,397

 

 

Capital Goods (1.9%)

 

Boeing Co.

8.750%

8/15/21

300

 

359

 

Boeing Co.

8.750%

9/15/31

850

 

1,080

 

Boeing Co.

6.125%

2/15/33

925

 

909

 

Boeing Co.

6.625%

2/15/38

1,050

 

1,096

 

Caterpillar, Inc.

6.625%

7/15/28

1,575

 

1,551

 

Caterpillar, Inc.

7.300%

5/1/31

1,200

 

1,266

 

Caterpillar, Inc.

6.050%

8/15/36

2,500

 

2,277

 

Caterpillar, Inc.

6.950%

5/1/42

1,425

 

1,431

 

CRH America Inc.

6.400%

10/15/33

1,500

 

1,115

 

Deere & Co.

8.100%

5/15/30

1,000

 

1,150

 

Deere & Co.

7.125%

3/3/31

700

 

740

 

Dover Corp.

5.375%

10/15/35

350

 

296

 

Dover Corp.

6.600%

3/15/38

1,200

 

1,245

 

Emerson Electric Co.

5.250%

10/15/18

850

 

815

 

Emerson Electric Co.

6.000%

8/15/32

400

 

377

 

Goodrich Corp.

6.800%

7/1/36

1,000

 

939

 

Honeywell International, Inc.

5.700%

3/15/36

1,600

 

1,425

 

Honeywell International, Inc.

5.700%

3/15/37

1,000

 

895

 

Lafarge SA

7.125%

7/15/36

2,225

 

1,876

 

 

 

Lockheed Martin Corp.

7.750%

5/1/26

150

 

166

 

Lockheed Martin Corp.

6.150%

9/1/36

5,200

 

4,824

 

Masco Corp.

7.750%

8/1/29

150

 

134

 

Masco Corp.

6.500%

8/15/32

1,275

 

978

 

Minnesota Mining & Manufacturing Corp.

6.375%

2/15/28

500

 

539

 

Minnesota Mining & Manufacturing Corp.

5.700%

3/15/37

1,975

 

1,979

 

Northrop Grumman Corp.

7.750%

2/15/31

3,075

 

3,542

 

PACTIV Corp.

7.950%

12/15/25

1,000

 

1,016

 

Raytheon Co.

6.400%

12/15/18

500

 

493

 

Raytheon Co.

7.200%

8/15/27

400

 

412

 

Raytheon Co.

7.000%

11/1/28

1,000

 

1,009

 

Republic Services, Inc.

6.086%

3/15/35

225

 

190

 

TRW, Inc.

7.750%

6/1/29

1,475

 

1,653

3

Tyco International Group SA

7.000%

12/15/19

2,675

 

2,605

 

United Technologies Corp.

8.875%

11/15/19

545

 

664

 

United Technologies Corp.

6.700%

8/1/28

250

 

261

 

United Technologies Corp.

7.500%

9/15/29

1,875

 

1,995

 

United Technologies Corp.

5.400%

5/1/35

2,100

 

1,782

 

United Technologies Corp.

6.050%

6/1/36

2,725

 

2,533

 

United Technologies Corp.

6.125%

7/15/38

1,550

 

1,442

 

USA Waste Services, Inc.

7.000%

7/15/28

2,000

 

1,820

 

Waste Management, Inc.

7.750%

5/15/32

875

 

859

 

WMX Technologies Inc.

7.100%

8/1/26

800

 

764

 

 

Communication (6.5%)

 

America Movil SA de C.V.

6.375%

3/1/35

1,975

 

1,718

 

America Movil SA de C.V.

6.125%

11/15/37

1,200

 

1,014

 

Ameritech Capital Funding

6.550%

1/15/28

1,000

 

961

 

AT&T Inc.

8.000%

11/15/08

6,000

 

5,952

 

AT&T Inc.

6.450%

6/15/34

7,750

 

6,854

 

AT&T Inc.

6.800%

5/15/36

1,175

 

1,059

 

AT&T Inc.

6.500%

9/1/37

5,400

 

4,513

 

AT&T Inc.

6.300%

1/15/38

4,325

 

3,574

 

AT&T Inc.

6.400%

5/15/38

2,850

 

2,373

 

AT&T Wireless

8.750%

3/1/31

5,850

 

6,523

 

BellSouth Capital Funding Corp.

7.875%

2/15/30

4,250

 

4,275

 

BellSouth Corp.

6.875%

10/15/31

1,275

 

1,117

 

BellSouth Corp.

6.550%

6/15/34

2,475

 

2,115

 

BellSouth Corp.

6.000%

11/15/34

1,480

 

1,206

 

BellSouth Telecommunications Inc.

6.375%

6/1/28

4,140

 

3,601

 

British Telecommunications PLC

9.125%

12/15/08

5,475

 

5,637

 

CBS Corp.

7.875%

7/30/30

2,815

 

2,498

 

CBS Corp.

5.500%

5/15/33

1,025

 

737

 

CenturyTel Enterprises

6.875%

1/15/28

550

 

486

 

Cingular Wireless LLC

7.125%

12/15/31

2,425

 

2,246

 

Comcast Cable Communications Holdings Inc.

9.455%

11/15/22

3,198

 

3,531

 

Comcast Corp.

5.650%

6/15/35

1,000

 

745

 

 

 

Comcast Corp.

6.500%

11/15/35

5,650

 

4,654

 

Comcast Corp.

6.450%

3/15/37

3,525

 

2,812

 

Comcast Corp.

6.950%

8/15/37

4,050

 

3,387

 

Comcast Corp.

6.400%

5/15/38

3,325

 

2,612

 

Deutsche Telekom International Finance

8.750%

12/15/08

8,825

 

8,520

 

Embarq Corp.

7.995%

6/1/36

3,000

 

2,259

 

France Telecom

8.500%

3/1/09

7,200

 

8,003

 

Grupo Televisa SA

6.625%

3/18/25

1,600

 

1,434

 

Grupo Televisa SA

8.500%

3/11/32

250

 

263

 

GTE Corp.

8.750%

11/1/21

900

 

940

 

GTE Corp.

6.940%

4/15/28

2,275

 

1,975

 

Koninklijke KPN NV

8.375%

10/1/30

1,825

 

1,986

 

McGraw-Hill Cos. Inc.

6.550%

11/15/37

1,150

 

1,095

 

Michigan Bell Telephone Co.

7.850%

1/15/22

1,522

 

1,545

 

New England Telephone & Telegraph Co.

7.875%

11/15/29

400

 

386

 

News America Holdings, Inc.

8.150%

10/17/36

1,225

 

1,278

 

News America Holdings, Inc.

7.750%

12/1/45

1,225

 

1,179

 

News America Inc.

6.550%

3/15/33

225

 

205

 

News America Inc.

6.200%

12/15/34

9,350

 

7,648

 

News America Inc.

6.400%

12/15/35

2,775

 

2,348

 

News America Inc.

6.650%

11/15/37

825

 

679

 

Pacific Bell

7.125%

3/15/26

550

 

540

 

Rogers Communications Inc.

7.500%

8/15/38

2,000

 

1,925

 

TCI Communications, Inc.

7.875%

2/15/26

2,200

 

2,161

 

Telecom Italia Capital

6.375%

11/15/33

4,025

 

2,959

 

Telecom Italia Capital

6.000%

9/30/34

500

 

348

 

Telecom Italia Capital

7.200%

7/18/36

1,625

 

1,319

 

Telecom Italia Capital

7.721%

6/4/38

2,275

 

1,961

 

Telefonica Emisiones SAU

7.045%

6/20/36

5,725

 

5,239

 

Telefonica Europe BV

8.250%

9/15/30

2,500

 

2,422

 

Thomson Corp.

5.500%

8/15/35

650

 

502

 

Time Warner Cable Inc.

6.550%

5/1/37

4,000

 

3,270

 

Time Warner Cable Inc.

7.300%

7/1/38

4,300

 

3,842

 

Time Warner Entertainment

8.375%

3/15/23

2,733

 

2,758

 

Time Warner Entertainment

8.375%

7/15/33

1,950

 

1,941

 

US Cellular

6.700%

12/15/33

950

 

748

 

US West Communications Group

7.500%

6/15/23

2,300

 

1,828

 

US West Communications Group

6.875%

9/15/33

4,200

 

2,835

 

Verizon Communications Corp.

6.250%

4/1/37

2,425

 

1,970

 

Verizon Communications Corp.

6.400%

2/15/38

3,900

 

3,229

 

Verizon Communications Corp.

6.900%

4/15/38

2,700

 

2,361

 

Verizon Global Funding Corp.

7.750%

12/1/30

6,550

 

6,304

 

Verizon Global Funding Corp.

5.850%

9/15/35

2,775

 

2,313

 

Verizon Maryland, Inc.

5.125%

6/15/33

500

 

348

 

Verizon New York, Inc.

7.375%

4/1/32

650

 

593

 

Vodafone AirTouch PLC

7.875%

2/15/30

1,000

 

1,027

 

Vodafone Group PLC

6.250%

11/30/32

200

 

170

 

Vodafone Group PLC

6.150%

2/27/37

5,275

 

4,252

 

 

 

Consumer Cyclical (3.2%)

 

CVS Caremark Corp.

6.250%

6/1/27

2,250

 

2,039

 

DaimlerChrysler North America Holding Corp.

8.500%

1/18/31

4,900

 

4,911

 

Darden Restaurants Inc.

6.800%

10/15/37

850

 

653

 

Federated Retail Holding

6.375%

3/15/37

2,400

 

1,792

 

Home Depot Inc.

5.875%

12/16/36

6,325

 

4,399

 

J.C. Penney Co., Inc.

7.125%

11/15/23

1,000

 

879

 

J.C. Penney Co., Inc.

6.375%

10/15/36

2,850

 

2,131

 

J.C. Penney Co., Inc.

7.400%

4/1/37

750

 

640

 

Johnson Controls, Inc.

6.000%

1/15/36

475

 

409

 

Kohl's Corp.

6.000%

1/15/33

400

 

308

 

Kohl's Corp.

6.875%

12/15/37

1,000

 

870

 

Limited Brands Inc.

6.950%

3/1/33

250

 

190

 

Limited Brands Inc.

7.600%

7/15/37

1,400

 

1,129

 

Lowe's Cos., Inc.

6.875%

2/15/28

550

 

549

 

Lowe's Cos., Inc.

6.500%

3/15/29

1,800

 

1,715

 

Lowe's Cos., Inc.

5.500%

10/15/35

800

 

655

 

Lowe's Cos., Inc.

5.800%

10/15/36

1,300

 

1,129

 

Lowe's Cos., Inc.

6.650%

9/15/37

950

 

917

 

Macy's Retail Holdings Inc.

6.650%

7/15/24

1,450

 

1,159

 

Macy's Retail Holdings Inc.

6.790%

7/15/27

800

 

640

 

Macy's Retail Holdings Inc.

7.000%

2/15/28

1,100

 

898

 

Macys Retail Holdings Inc.

6.900%

4/1/29

150

 

117

 

McDonald's Corp.

6.300%

10/15/37

1,750

 

1,683

 

McDonald's Corp.

6.300%

3/1/38

2,025

 

1,960

 

Nordstrom, Inc.

6.950%

3/15/28

300

 

266

 

Nordstrom, Inc.

7.000%

1/15/38

1,200

 

1,057

 

Target Corp.

7.000%

7/15/31

550

 

555

 

Target Corp.

6.350%

11/1/32

3,000

 

2,753

 

Target Corp.

6.500%

10/15/37

3,300

 

2,977

 

Target Corp.

7.000%

1/15/38

4,700

 

4,440

 

The Walt Disney Co.

7.000%

3/1/32

1,150

 

1,216

 

Time Warner, Inc.

9.150%

2/1/23

1,980

 

1,984

 

Time Warner, Inc.

7.570%

2/1/24

500

 

435

 

Time Warner, Inc.

6.950%

1/15/28

1,000

 

870

 

Time Warner, Inc.

6.625%

5/15/29

6,975

 

5,820

 

Time Warner, Inc.

7.625%

4/15/31

5,185

 

4,562

 

Time Warner, Inc.

7.700%

5/1/32

1,040

 

902

 

Time Warner, Inc.

6.500%

11/15/36

875

 

707

 

VF Corp.

6.450%

11/1/37

1,500

 

1,258

 

Viacom Inc.

6.875%

4/30/36

4,225

 

3,224

 

Wal-Mart Stores, Inc.

5.875%

4/5/27

4,025

 

3,812

 

Wal-Mart Stores, Inc.

7.550%

2/15/30

4,425

 

4,684

 

Wal-Mart Stores, Inc.

5.250%

9/1/35

4,900

 

3,959

 

Wal-Mart Stores, Inc.

6.500%

8/15/37

6,525

 

6,133

 

Wal-Mart Stores, Inc.

6.200%

4/15/38

2,100

 

1,924

 

Western Union Co.

6.200%

11/17/36

1,350

 

1,183

 

Yum! Brands, Inc.

6.875%

11/15/37

1,950

 

1,748

 

 

 

Consumer Noncyclical (5.3%)

 

Abbott Laboratories

6.150%

11/30/37

2,375

 

2,204

 

Amgen Inc.

6.375%

6/1/37

2,125

 

1,945

 

Amgen Inc.

6.900%

6/1/38

1,750

 

1,714

 

Anheuser-Busch Cos., Inc.

6.800%

8/20/32

3,125

 

2,738

 

Anheuser-Busch Cos., Inc.

5.950%

1/15/33

650

 

510

 

Anheuser-Busch Cos., Inc.

5.750%

4/1/36

975

 

735

 

Anheuser-Busch Cos., Inc.

6.450%

9/1/37

1,825

 

1,414

 

Archer-Daniels-Midland Co.

6.625%

5/1/29

250

 

238

 

Archer-Daniels-Midland Co.

7.000%

2/1/31

2,975

 

2,872

 

Archer-Daniels-Midland Co.

5.935%

10/1/32

255

 

219

 

Archer-Daniels-Midland Co.

5.375%

9/15/35

2,750

 

2,166

 

Archer-Daniels-Midland Co.

6.450%

1/15/38

675

 

585

 

AstraZeneca PLC

6.450%

9/15/37

8,325

 

7,793

 

Baxter International, Inc.

6.250%

12/1/37

800

 

748

 

Bristol-Myers Squibb Co.

7.150%

6/15/23

1,950

 

2,104

 

Bristol-Myers Squibb Co.

6.800%

11/15/26

239

 

239

 

Bristol-Myers Squibb Co.

5.875%

11/15/36

2,700

 

2,384

 

Bristol-Myers Squibb Co.

6.125%

5/1/38

2,275

 

2,117

 

Bristol-Myers Squibb Co.

6.875%

8/1/97

200

 

191

 

C.R. Bard, Inc.

6.700%

12/1/26

500

 

507

 

Coca-Cola Enterprises Inc.

8.500%

2/1/22

2,000

 

2,334

 

Coca-Cola Enterprises Inc.

8.000%

9/15/22

500

 

563

 

Coca-Cola Enterprises Inc.

7.000%

10/1/26

675

 

706

 

Coca-Cola Enterprises Inc.

6.950%

11/15/26

5,150

 

5,318

 

ConAgra Foods, Inc.

9.750%

3/1/21

129

 

151

 

ConAgra Foods, Inc.

7.125%

10/1/26

1,150

 

1,139

 

ConAgra Foods, Inc.

7.000%

10/1/28

175

 

171

 

ConAgra Foods, Inc.

8.250%

9/15/30

950

 

1,036

 

Covidien International

6.550%

10/15/37

2,325

 

2,205

 

Delhaize America Inc.

9.000%

4/15/31

2,000

 

2,117

 

Diageo Capital PLC

5.875%

9/30/36

500

 

441

3

Dr. Pepper Snapple Group

7.450%

5/1/38

600

 

599

 

Eli Lilly & Co.

7.125%

6/1/25

1,000

 

1,082

 

Eli Lilly & Co.

5.500%

3/15/27

4,300

 

3,921

 

Estee Lauder Ace Trust I

6.000%

5/15/37

1,025

 

903

 

Fortune Brands Inc.

5.875%

1/15/36

925

 

736

 

Genentech Inc.

5.250%

7/15/35

1,025

 

873

 

GlaxoSmithKline Capital Inc.

5.375%

4/15/34

1,850

 

1,631

 

GlaxoSmithKline Capital Inc.

6.375%

5/15/38

6,475

 

5,959

 

Grand Metropolitan Investment Corp.

7.450%

4/15/35

1,750

 

1,885

 

H.J. Heinz Co.

6.750%

3/15/09

1,625

 

1,507

 

Johnson & Johnson

6.950%

9/1/29

1,125

 

1,235

 

Johnson & Johnson

4.950%

5/15/33

1,325

 

1,137

 

Johnson & Johnson

5.950%

8/15/37

1,975

 

1,944

 

Johnson & Johnson

5.850%

7/15/38

2,600

 

2,502

 

Kellogg Co.

7.450%

4/1/31

2,600

 

2,849

 

Kimberly-Clark Corp.

6.625%

8/1/37

2,150

 

2,183

 

 

 

Kraft Foods, Inc.

6.500%

11/1/31

2,150

 

1,904

 

Kraft Foods, Inc.

7.000%

8/11/37

2,050

 

1,917

 

Kraft Foods, Inc.

6.875%

2/1/38

2,750

 

2,450

 

Kraft Foods, Inc.

6.875%

1/26/39

1,850

 

1,700

 

Kroger Co.

6.150%

1/15/20

2,100

 

2,002

 

Kroger Co.

7.700%

6/1/29

375

 

390

 

Kroger Co.

8.000%

9/15/29

1,925

 

2,065

 

Kroger Co.

7.500%

4/1/31

1,350

 

1,320

 

Merck & Co.

6.300%

1/1/26

500

 

512

 

Merck & Co.

6.400%

3/1/28

2,200

 

2,260

 

Merck & Co.

5.950%

12/1/28

1,050

 

1,025

 

Merck & Co.

5.750%

11/15/36

300

 

274

 

Pepsi Bottling Group, Inc.

7.000%

3/1/29

2,925

 

3,142

 

Pharmacia Corp.

6.600%

12/1/08

1,925

 

2,016

 

Philip Morris International Inc.

6.375%

5/16/38

3,600

 

3,040

 

Philips Electronics NV

6.875%

3/11/38

3,125

 

3,051

 

Procter & Gamble Co.

6.450%

1/15/26

1,600

 

1,690

 

Procter & Gamble Co.

5.800%

8/15/34

600

 

588

 

Procter & Gamble Co.

5.550%

3/5/37

4,650

 

4,356

2

Procter & Gamble Co. ESOP

9.360%

1/1/21

2,178

 

2,712

 

Quest Diagnostic, Inc.

6.950%

7/1/37

925

 

885

 

Reynolds American Inc.

7.250%

6/15/37

2,100

 

1,916

 

Safeway, Inc.

7.250%

2/1/31

1,756

 

1,680

 

Sara Lee Corp.

6.125%

11/1/32

625

 

535

 

Schering-Plough Corp.

6.750%

12/1/08

2,825

 

2,753

 

Schering-Plough Corp.

6.550%

9/15/37

1,675

 

1,561

 

Sysco Corp.

5.375%

9/21/35

1,000

 

888

 

Teva Pharmaceutical Finance LLC

6.150%

2/1/36

2,400

 

2,122

 

Unilever Capital Corp.

5.900%

11/15/32

3,925

 

3,719

 

Wyeth

6.450%

2/1/24

2,225

 

2,228

 

Wyeth

6.500%

2/1/34

1,125

 

1,095

 

Wyeth

6.000%

2/15/36

3,075

 

2,855

 

Wyeth

5.950%

4/1/37

3,925

 

3,459

 

 

Energy (3.7%)

 

Alberta Energy Co. Ltd.

7.375%

11/1/31

1,000

 

904

 

Amerada Hess Corp.

7.875%

10/1/29

3,850

 

3,610

 

Amerada Hess Corp.

7.125%

3/15/33

925

 

794

 

Anadarko Finance Co.

7.500%

5/1/31

1,500

 

1,362

 

Anadarko Petroleum Corp.

6.450%

9/15/36

5,725

 

4,340

 

Apache Corp.

6.000%

1/15/37

1,950

 

1,594

 

Apache Finance Canada Corp.

7.750%

12/15/29

650

 

737

 

Baker Hughes, Inc.

6.875%

1/15/29

1,000

 

1,069

 

Burlington Resources, Inc.

7.200%

8/15/31

1,050

 

1,096

 

Burlington Resources, Inc.

7.400%

12/1/31

1,675

 

1,788

 

Cameron International Corp.

7.000%

7/15/38

1,200

 

1,027

 

Canadian Natural Resources

7.200%

1/15/32

1,400

 

1,280

 

Canadian Natural Resources

6.450%

6/30/33

1,175

 

978

 

 

 

Canadian Natural Resources

6.500%

2/15/37

1,975

 

1,579

 

Canadian Natural Resources

6.250%

3/15/38

2,250

 

1,693

 

Canadian Natural Resources

6.750%

2/1/39

800

 

645

 

Conoco Funding Co.

7.250%

10/15/31

400

 

418

 

Conoco, Inc.

6.950%

4/15/29

450

 

449

 

ConocoPhillips

5.900%

10/15/32

1,050

 

943

 

ConocoPhillips Canada

5.950%

10/15/36

950

 

895

 

Devon Energy Corp.

7.950%

4/15/32

860

 

886

 

Devon Financing Corp.

7.875%

9/30/31

4,400

 

4,523

 

Encana Corp.

6.500%

8/15/34

3,800

 

3,070

 

Encana Corp.

6.625%

8/15/37

1,400

 

1,083

 

Encana Corp.

6.500%

2/1/38

1,025

 

825

 

Global Marine, Inc.

7.000%

6/1/28

800

 

816

 

Halliburton Co.

6.700%

9/15/38

2,200

 

2,100

 

Husky Energy Inc.

6.150%

6/15/19

510

 

448

 

Husky Energy Inc.

6.800%

9/15/37

1,225

 

1,058

 

Kerr McGee Corp.

6.950%

7/1/24

2,000

 

2,033

 

Kerr McGee Corp.

7.875%

9/15/31

500

 

563

 

Lasmo Inc.

7.300%

11/15/27

600

 

647

 

Marathon Oil Corp.

6.600%

10/1/37

4,275

 

3,470

 

Nexen, Inc.

7.875%

3/15/32

550

 

539

 

Nexen, Inc.

5.875%

3/10/35

1,850

 

1,330

 

Nexen, Inc.

6.400%

5/15/37

3,300

 

2,610

 

Noble Energy Inc.

8.000%

4/1/27

775

 

775

 

Norsk Hydro

7.250%

9/23/27

3,150

 

3,436

 

Norsk Hydro

7.150%

1/15/29

1,000

 

1,059

 

Petro-Canada

7.875%

6/15/26

150

 

140

 

Petro-Canada

7.000%

11/15/28

250

 

212

 

Petro-Canada

5.350%

7/15/33

1,650

 

1,102

 

Petro-Canada

5.950%

5/15/35

2,500

 

1,808

 

Petro-Canada

6.800%

5/15/38

2,275

 

1,814

 

Suncor Energy, Inc.

7.150%

2/1/32

800

 

785

 

Suncor Energy, Inc.

5.950%

12/1/34

875

 

736

 

Suncor Energy, Inc.

6.500%

6/15/38

4,825

 

4,169

 

Talisman Energy, Inc.

7.250%

10/15/27

450

 

425

 

Talisman Energy, Inc.

5.850%

2/1/37

2,700

 

2,098

 

Tosco Corp.

8.125%

2/15/30

7,500

 

8,595

 

Transocean Inc.

7.500%

4/15/31

1,525

 

1,524

 

Transocean Inc.

6.800%

3/15/38

2,300

 

2,103

 

Valero Energy Corp.

7.500%

4/15/32

2,450

 

2,347

 

Valero Energy Corp.

6.625%

6/15/37

3,925

 

3,189

 

Weatherford International Inc.

6.500%

8/1/36

1,500

 

1,355

 

Weatherford International Inc.

6.800%

6/15/37

700

 

657

 

Weatherford International Inc.

7.000%

3/15/38

1,100

 

1,058

 

XTO Energy, Inc.

6.500%

12/15/18

1,975

 

1,906

 

XTO Energy, Inc.

6.100%

4/1/36

1,125

 

965

 

XTO Energy, Inc.

6.750%

8/1/37

3,850

 

3,285

 

XTO Energy, Inc.

6.375%

6/15/38

2,875

 

2,493

 

 

 

 

Other Industrial (0.1%)

 

Parker-Hannifin Corp.

6.250%

5/15/38

725

 

714

 

Rockwell Automation

6.700%

1/15/28

300

 

308

 

Rockwell Automation

6.250%

12/1/37

1,100

 

1,093

 

 

Technology (0.8%)

 

Corning Inc.

7.250%

8/15/36

600

 

585

 

Dell Inc.

7.100%

4/15/28

500

 

494

3

Dell Inc.

6.500%

4/15/38

1,400

 

1,302

 

Electronic Data Systems

7.450%

10/15/29

375

 

380

 

Equifax Inc.

7.000%

7/1/37

600

 

500

 

International Business Machines Corp.

7.000%

10/30/25

1,050

 

1,113

 

International Business Machines Corp.

6.220%

8/1/27

4,600

 

4,502

 

International Business Machines Corp.

6.500%

1/15/28

3,725

 

3,759

 

International Business Machines Corp.

5.875%

11/29/32

950

 

887

 

International Business Machines Corp.

7.125%

12/1/96

400

 

412

 

Motorola, Inc.

7.500%

5/15/25

225

 

196

 

Motorola, Inc.

6.500%

9/1/25

1,300

 

1,001

 

Motorola, Inc.

6.500%

11/15/28

975

 

734

 

Motorola, Inc.

6.625%

11/15/37

2,425

 

1,802

 

Oracle Corp.

6.500%

4/15/38

2,825

 

2,517

 

Pitney Bowes, Inc.

5.250%

1/15/37

450

 

424

 

Science Applications International Corp.

5.500%

7/1/33

500

 

400

 

Tyco Electronics Group

7.125%

10/1/37

1,250

 

1,172

 

Xerox Capital Trust I

8.000%

2/1/27

1,050

 

955

 

 

Transportation (1.4%)

 

Burlington Northern Santa Fe Corp.

7.000%

12/15/25

700

 

665

 

Burlington Northern Santa Fe Corp.

7.950%

8/15/30

1,300

 

1,360

 

Burlington Northern Santa Fe Corp.

6.200%

8/15/36

775

 

664

 

Burlington Northern Santa Fe Corp.

6.150%

5/1/37

2,325

 

2,065

 

Canadian National Railway Co.

6.250%

8/1/34

2,450

 

2,282

 

Canadian National Railway Co.

6.200%

6/1/36

1,325

 

1,224

 

Canadian Pacific Railway Co.

7.125%

10/15/31

2,075

 

1,923

 

CNF, Inc.

6.700%

5/1/34

1,825

 

1,498

2

Continental Airlines, Inc.

6.545%

2/2/19

955

 

840

2

Continental Airlines, Inc.

5.983%

4/19/22

3,500

 

2,879

 

CSX Corp.

7.950%

5/1/27

675

 

658

 

CSX Corp.

6.000%

10/1/36

175

 

134

 

CSX Corp.

6.150%

5/1/37

2,025

 

1,567

 

CSX Corp.

7.450%

4/1/38

1,600

 

1,470

2

Delta Air Lines Enhanced Equipment Trust Certificates

6.718%

1/2/23

901

 

757

2

Delta Air Lines, Inc.

6.821%

8/10/22

2,057

 

1,707

 

Federal Express Corp.

7.600%

7/1/97

1,000

 

1,068

 

Norfolk Southern Corp.

9.750%

6/15/20

411

 

513

 

Norfolk Southern Corp.

5.590%

5/17/25

716

 

625

 

 

 

Norfolk Southern Corp.

7.800%

5/15/27

2,802

 

3,022

 

Norfolk Southern Corp.

5.640%

5/17/29

1,898

 

1,621

 

Norfolk Southern Corp.

7.050%

5/1/37

1,925

 

1,923

 

Norfolk Southern Corp.

7.900%

5/15/97

450

 

473

2

Southwest Airlines Co.

6.150%

8/1/22

822

 

781

 

Union Pacific Corp.

7.125%

2/1/28

600

 

591

 

Union Pacific Corp.

6.625%

2/1/29

1,125

 

1,049

 

Union Pacific Corp.

6.150%

5/1/37

1,000

 

864

2

Union Pacific Railroad Co.

6.176%

1/2/31

942

 

953

 

United Parcel Service of America

8.375%

4/1/09

500

 

569

 

United Parcel Service of America

8.375%

4/1/20

500

 

607

 

United Parcel Service of America

6.200%

1/15/38

3,600

 

3,273

 

674,991

Utilities (6.4%)

 

Electric (4.6%)

 

AEP Texas Central Co.

6.650%

2/15/33

1,950

 

1,742

 

AmerenEnergy Generating

7.950%

6/1/32

1,750

 

1,523

 

American Water Capital Corp.

6.593%

10/15/37

2,025

 

1,838

 

Appalachian Power Co.

5.800%

10/1/35

350

 

283

 

Appalachian Power Co.

7.000%

4/1/38

850

 

793

 

Baltimore Gas & Electric Co.

6.350%

10/1/36

1,075

 

861

 

Carolina Power & Light Co.

6.300%

4/1/38

250

 

237

 

CenterPoint Energy Houston

6.950%

3/15/33

925

 

857

 

Cleveland Electric Illumination Co.

5.950%

12/15/36

1,000

 

843

 

Columbus Southern Power

5.850%

10/1/35

800

 

675

 

Commonwealth Edison Co.

5.875%

2/1/33

250

 

202

 

Commonwealth Edison Co.

5.900%

3/15/36

1,625

 

1,306

 

Commonwealth Edison Co.

6.450%

1/15/38

400

 

346

 

Connecticut Light & Power Co.

6.350%

6/1/36

750

 

677

 

Consolidated Edison Co. of New York

5.300%

3/1/35

1,125

 

872

 

Consolidated Edison Co. of New York

5.850%

3/15/36

1,875

 

1,580

 

Consolidated Edison Co. of New York

6.200%

6/15/36

550

 

486

 

Consolidated Edison Co. of New York

6.300%

8/15/37

1,450

 

1,298

 

Consolidated Edison Co. of New York

6.750%

4/1/38

1,000

 

949

 

Constellation Energy Group, Inc.

7.600%

4/1/32

1,800

 

1,694

 

Consumers Energy Co.

5.650%

4/15/20

1,250

 

1,142

 

Detroit Edison Co.

5.700%

10/1/37

500

 

416

 

Dominion Resources, Inc.

6.300%

3/15/33

2,150

 

1,838

 

Dominion Resources, Inc.

5.950%

6/15/35

1,150

 

932

 

Dominion Resources, Inc.

7.000%

6/15/38

1,600

 

1,529

 

DTE Energy Co.

6.375%

4/15/33

800

 

671

 

Duke Energy Carolinas LLC

6.100%

6/1/37

825

 

761

 

Duke Energy Carolinas LLC

6.000%

1/15/38

875

 

800

 

Duke Energy Carolinas LLC

6.050%

4/15/38

2,000

 

1,903

 

Duke Energy Corp.

6.000%

12/1/28

1,000

 

916

 

Duke Energy Corp.

6.450%

10/15/32

1,050

 

1,011

 

Duke Energy Indiana Inc.

6.350%

8/15/38

1,000

 

938

 

El Paso Electric Co.

6.000%

5/15/35

1,400

 

1,171

 

 

 

Energy East Corp.

6.750%

7/15/36

1,425

 

1,268

 

Exelon Corp.

5.625%

6/15/35

1,975

 

1,566

 

FirstEnergy Corp.

7.375%

11/15/31

4,800

 

4,431

 

Florida Power & Light Co.

5.950%

10/1/33

950

 

884

 

Florida Power & Light Co.

5.625%

4/1/34

1,174

 

1,045

 

Florida Power & Light Co.

4.950%

6/1/35

775

 

561

 

Florida Power & Light Co.

5.400%

9/1/35

1,875

 

1,611

 

Florida Power & Light Co.

6.200%

6/1/36

150

 

144

 

Florida Power & Light Co.

5.650%

2/1/37

2,150

 

1,910

 

Florida Power & Light Co.

5.850%

5/1/37

625

 

571

 

Florida Power & Light Co.

5.950%

2/1/38

350

 

324

 

Florida Power Corp.

6.350%

9/15/37

1,625

 

1,590

 

Florida Power Corp.

6.400%

6/15/38

2,575

 

2,408

 

Georgia Power Co.

5.650%

3/1/37

2,075

 

1,832

 

Indiana Michigan Power Co.

6.050%

3/15/37

3,075

 

2,661

 

Kansas City Power & Light

6.050%

11/15/35

500

 

405

 

MidAmerican Energy Co.

6.750%

12/30/31

1,800

 

1,786

 

MidAmerican Energy Co.

5.750%

11/1/35

850

 

739

 

MidAmerican Energy Co.

5.800%

10/15/36

875

 

722

 

MidAmerican Energy Holdings Co.

8.480%

9/15/28

300

 

336

 

MidAmerican Energy Holdings Co.

6.125%

4/1/36

6,550

 

5,564

 

MidAmerican Energy Holdings Co.

5.950%

5/15/37

3,150

 

2,598

 

MidAmerican Energy Holdings Co.

6.500%

9/15/37

1,450

 

1,289

 

National Rural Utilities Cooperative Finance Corp.

8.000%

3/1/32

2,400

 

2,560

 

Nevada Power Co.

6.750%

7/1/37

2,500

 

2,248

 

NiSource Finance Corp.

6.800%

1/15/19

850

 

768

 

NiSource Finance Corp.

5.450%

9/15/20

725

 

592

 

Northern States Power Co.

5.250%

7/15/35

1,175

 

944

 

Northern States Power Co.

6.250%

6/1/36

525

 

485

 

Northern States Power Co.

6.200%

7/1/37

1,050

 

963

 

Ohio Power Co.

6.600%

2/15/33

400

 

368

 

Oncor Electric Delivery Co.

7.000%

9/1/22

1,675

 

1,574

 

Oncor Electric Delivery Co.

7.000%

5/1/32

2,025

 

1,828

 

Oncor Electric Delivery Co.

7.250%

1/15/33

325

 

302

 

Pacific Gas & Electric Co.

6.050%

3/1/34

8,425

 

7,447

 

Pacific Gas & Electric Co.

5.800%

3/1/37

2,075

 

1,766

 

PacifiCorp

7.700%

11/15/31

400

 

441

 

PacifiCorp

5.250%

6/15/35

1,150

 

930

 

PacifiCorp

5.750%

4/1/37

1,000

 

867

 

PacifiCorp

6.250%

10/15/37

1,200

 

1,115

 

Pepco Holdings, Inc.

7.450%

8/15/32

300

 

288

 

Potomac Electric Power

6.500%

11/15/37

1,500

 

1,487

 

PPL Energy Supply LLC

6.000%

12/15/36

1,350

 

1,079

 

Progress Energy, Inc.

7.750%

3/1/31

1,725

 

1,836

 

Progress Energy, Inc.

7.000%

10/30/31

925

 

908

 

PSE&G Power LLC

8.625%

4/15/31

400

 

457

 

PSI Energy Inc.

6.120%

10/15/35

600

 

545

 

 

 

Public Service Co. of Colorado

6.250%

9/1/37

1,025

 

952

 

Public Service Co. of Colorado

6.500%

8/1/38

500

 

480

 

Public Service Co. of Oklahoma

6.625%

11/15/37

300

 

277

 

Public Service Electric & Gas

5.250%

7/1/35

675

 

571

 

Public Service Electric & Gas

5.800%

5/1/37

2,925

 

2,672

 

Puget Sound Energy Inc.

5.483%

6/1/35

825

 

596

 

Puget Sound Energy Inc.

6.274%

3/15/37

1,425

 

1,148

 

South Carolina Electric & Gas Co.

6.625%

2/1/32

500

 

475

 

South Carolina Electric & Gas Co.

5.300%

5/15/33

1,850

 

1,471

 

South Carolina Electric & Gas Co.

6.050%

1/15/38

1,225

 

1,072

 

Southern California Edison Co.

6.650%

4/1/29

700

 

687

 

Southern California Edison Co.

6.000%

1/15/34

800

 

768

 

Southern California Edison Co.

5.750%

4/1/35

400

 

371

 

Southern California Edison Co.

5.350%

7/15/35

3,175

 

2,781

 

Southern California Edison Co.

5.625%

2/1/36

1,100

 

1,002

 

Southern California Edison Co.

5.550%

1/15/37

600

 

540

 

Southern California Edison Co.

5.950%

2/1/38

975

 

927

 

Southwestern Electric Power

6.450%

1/15/19

175

 

170

 

Tampa Electric Co.

6.550%

5/15/36

450

 

419

 

Toledo Edison Co.

6.150%

5/15/37

600

 

478

 

United Utilities PLC

5.375%

2/1/19

1,000

 

917

 

United Utilities PLC

6.875%

8/15/28

375

 

362

 

Virginia Electric & Power Co.

6.000%

1/15/36

1,725

 

1,504

 

Virginia Electric & Power Co.

6.000%

5/15/37

825

 

717

 

Virginia Electric & Power Co.

6.350%

11/30/37

1,000

 

912

 

Wisconsin Electric Power Co.

5.625%

5/15/33

450

 

384

 

Wisconsin Electric Power Co.

5.700%

12/1/36

1,675

 

1,433

 

Wisconsin Power & Light Co.

6.375%

8/15/37

950

 

915

 

Xcel Energy, Inc.

6.500%

7/1/36

650

 

587

 

 

Natural Gas (1.7%)

 

AGL Capital Corp.

6.000%

10/1/34

850

 

679

 

Duke Capital Corp.

8.000%

10/1/19

425

 

438

 

Duke Capital Corp.

6.750%

2/15/32

1,705

 

1,455

 

Duke Energy Field Services

8.125%

8/16/30

500

 

495

 

El Paso Natural Gas Co.

8.375%

12/15/08

1,350

 

1,358

 

Enbridge Energy Partners

7.500%

4/15/38

2,025

 

1,854

 

Energy Transfer Partners LP

6.625%

10/15/36

1,125

 

957

 

Energy Transfer Partners LP

7.500%

7/1/38

2,275

 

2,162

 

Enterprise Products Operating LP

6.500%

1/31/19

2,300

 

2,137

 

Enterprise Products Operating LP

6.875%

3/1/33

875

 

777

 

Enterprise Products Operating LP

6.650%

10/15/34

900

 

775

 

KeySpan Corp.

8.000%

11/15/30

1,175

 

1,166

 

Kinder Morgan Energy Partners LP

7.750%

3/15/32

500

 

476

 

Kinder Morgan Energy Partners LP

7.300%

8/15/33

1,000

 

903

 

Kinder Morgan Energy Partners LP

5.800%

3/15/35

1,675

 

1,227

 

Kinder Morgan Energy Partners LP

6.500%

2/1/37

1,350

 

1,077

 

Kinder Morgan Energy Partners LP

6.950%

1/15/38

3,125

 

2,658

 

 

 

ONEOK Inc.

6.000%

6/15/35

975

 

777

 

ONEOK Partners, LP

6.650%

10/1/36

2,550

 

2,253

 

ONEOK Partners, LP

6.850%

10/15/37

1,200

 

1,087

 

Plains All American Pipeline LP

6.650%

1/15/37

1,175

 

993

 

San Diego Gas & Electric

5.350%

5/15/35

1,775

 

1,457

 

San Diego Gas & Electric

6.125%

9/15/37

625

 

571

 

Southern California Gas Co.

5.750%

11/15/35

75

 

68

 

Southern Union Co.

7.600%

2/1/24

500

 

440

 

Southern Union Co.

8.250%

11/15/29

1,000

 

924

 

Tennessee Gas Pipeline

7.000%

10/15/28

2,650

 

2,336

 

Teppco Partners, LP

7.550%

4/15/38

1,125

 

992

 

Texas Eastern Transmission

7.000%

7/15/32

700

 

671

 

Trans-Canada Pipelines

5.600%

3/31/34

1,725

 

1,410

 

Trans-Canada Pipelines

5.850%

3/15/36

2,575

 

2,157

 

Trans-Canada Pipelines

6.200%

10/15/37

2,225

 

1,952

 

Williams Cos., Inc.

7.500%

1/15/31

5,850

 

5,382

 

Williams Cos., Inc.

7.750%

6/15/31

2,750

 

2,585

 

 

Other Utility (0.1%)

 

Veolia Environnement

6.750%

6/1/38

1,750

 

1,663

 

 

175,033

Total Corporate Bonds (Cost $1,350,973)

1,121,167

Sovereign Bonds (U.S. Dollar-Denominated) (6.0%)

 

Asian Development Bank

5.593%

7/16/18

4,000

 

4,348

 

European Investment Bank

4.875%

2/15/36

2,400

 

2,429

 

Federative Republic of Brazil

8.875%

4/15/24

3,000

 

3,600

 

Federative Republic of Brazil

8.750%

2/4/25

8,500

 

10,030

 

Federative Republic of Brazil

10.125%

5/15/27

6,700

 

8,844

 

Federative Republic of Brazil

8.250%

1/20/34

6,500

 

7,280

 

Federative Republic of Brazil

7.125%

1/20/37

7,500

 

7,725

 

Federative Republic of Brazil

11.000%

8/17/40

13,000

 

16,250

 

Inter-American Development Bank

7.000%

6/15/25

750

 

941

 

International Bank for Reconstruction & Development

7.625%

1/19/23

1,807

 

2,336

 

International Bank for Reconstruction & Development

8.875%

3/1/26

1,000

 

1,464

 

International Bank for Reconstruction & Development

4.750%

2/15/35

2,225

 

2,226

 

Korea Electric Power

7.000%

2/1/27

750

 

757

 

Kreditanstalt fur Wiederaufbau

0.000%

4/18/36

6,200

 

1,584

 

Kreditanstalt fur Wiederaufbau

0.000%

6/29/37

6,275

 

1,490

 

Pemex Project Funding Master Trust

6.625%

6/15/35

4,900

 

4,520

3

Pemex Project Funding Master Trust

6.625%

6/15/38

1,375

 

1,312

 

Petrobras International Finance

8.375%

12/10/18

1,500

 

1,631

 

Province of British Columbia

6.500%

1/15/26

1,500

 

1,784

 

Province of Manitoba

9.250%

4/1/20

1,500

 

2,110

 

Province of Nova Scotia

9.125%

5/1/21

1,280

 

1,796

 

Province of Quebec

7.500%

7/15/23

600

 

742

 

 

 

Province of Quebec

7.125%

2/9/24

3,800

 

4,559

 

Province of Quebec

7.500%

9/15/29

3,625

 

4,672

 

Province of Saskatchewan

7.375%

7/15/13

600

 

703

 

Quebec Hydro Electric

9.400%

2/1/21

1,480

 

2,041

 

Quebec Hydro Electric

8.400%

1/15/22

775

 

1,011

 

Quebec Hydro Electric

8.050%

7/7/24

5,000

 

6,509

 

Quebec Hydro Electric

8.500%

12/1/29

500

 

705

 

Region of Lombardy, Italy

5.804%

10/25/32

2,375

 

2,653

 

Republic of Finland

6.950%

2/15/26

195

 

244

 

Republic of Italy

6.875%

9/27/23

6,600

 

7,881

 

Republic of Italy

5.375%

6/15/33

5,750

 

6,040

 

Republic of Korea

5.625%

11/3/25

900

 

802

 

Republic of Peru

7.350%

7/21/25

3,000

 

3,330

2

Republic of Peru

6.550%

3/14/37

5,000

 

5,000

 

Republic of South Africa

5.875%

5/30/22

3,000

 

2,595

 

United Mexican States

8.125%

12/30/19

5,750

 

6,670

 

United Mexican States

8.300%

8/15/31

2,275

 

2,690

 

United Mexican States

6.750%

9/27/34

16,425

 

16,474

 

United Mexican States

6.050%

1/11/40

3,700

 

3,321

Total Sovereign Bonds (Cost $169,403)

163,099

Taxable Municipal Bonds (1.8%)

 

Chicago IL Transit Auth. Rev.

6.899%

12/1/40

5,500

 

5,798

 

Connecticut GO

5.850%

3/15/32

4,200

 

4,323

 

Illinois (Taxable Pension) GO

4.950%

6/1/23

1,700

 

1,621

 

Illinois (Taxable Pension) GO

5.100%

6/1/33

22,125

 

20,782

 

Kansas Dev. Finance Auth. Rev. (Public Employee Retirement System)

5.501%

5/1/34

500

 

494

 

New Jersey Econ. Dev. Auth. State Pension Rev.

7.425%

2/15/29

5,250

 

5,967

 

New Jersey Turnpike Auth. Rev.

4.252%

1/1/15

30

 

29

 

New Jersey Turnpike Auth. Rev.

4.252%

1/1/16

570

 

546

 

Oregon (Taxable Pension) GO

5.762%

6/1/23

600

 

600

 

Oregon (Taxable Pension) GO

5.892%

6/1/27

1,850

 

1,895

 

Oregon School Board Assn.

4.759%

6/30/28

1,850

 

1,642

 

Oregon School Board Assn.

5.528%

6/30/28

1,500

 

1,478

 

Tobacco Settlement Finance Auth. Rev.

7.467%

6/1/47

3,840

 

3,383

 

Wisconsin Public Service Rev.

5.700%

5/1/26

900

 

868

Total Taxable Municipal Bonds (Cost $50,183)

49,426

 

Coupon

 

Shares

Temporary Cash Investments (1.3%)

5

Vanguard Market Liquidity Fund (Cost $34,669)

2.296%

 

34,668,583

34,669

Total Investments (99.4%) (Cost $2,886,262)

2,721,948

Other Assets and Liabilities-Net (0.6%)

17,603

Net Assets (100%)

2,739,551

 

 

 

 

 

1

The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

2

The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

3

Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2008, the aggregate value of these securities was $9,068,000, representing 0.3% of net assets.

4

Non-income-producing security--security in default.

5

Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

GO—General Obligation Bond.

 

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

At September 30, 2008, the cost of investment securities for tax purposes was $2,886,262,000. Net unrealized depreciation of investment securities for tax purposes was $164,314,000, consisting of unrealized gains of $78,371,000 on securities that had risen in value since their purchase and $242,685,000 in unrealized losses on securities that had fallen in value since their purchase.

In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.

The various inputs that may be used to determine the value of the fund's investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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

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

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

The following table summarizes the fund's investments as of September 30, 2008, based on the inputs used to value them:

 

 

Valuation Inputs

Investments in Securities ($000)

Level 1- Quoted prices

34,669

Level 2- Other significant observable inputs

2,687,279

Level 3- Significant unobservable inputs

-

Total

2,721,948

 

 

 

 

Vanguard Short-Term Bond Index Fund

Schedule of Investments

As of September 30, 2008

 

Coupon

Maturity
Date

Face
Amount
($000)

Market
Value
($000)

U.S. Government and Agency Obligations (68.3%)

U. S. Government Securities (47.1%)

 

U.S. Treasury Bond

13.250%

5/15/14

35,000

 

37,428

 

U.S. Treasury Note

3.500%

8/15/09

6,230

 

6,320

 

U.S. Treasury Note

6.000%

8/15/09

1,530

 

1,585

 

U.S. Treasury Note

3.375%

9/15/09

23,625

 

23,979

 

U.S. Treasury Note

4.000%

9/30/09

146,900

 

149,998

 

U.S. Treasury Note

3.625%

10/31/09

78,550

 

80,047

 

U.S. Treasury Note

3.500%

11/15/09

7,690

 

7,839

 

U.S. Treasury Note

4.625%

11/15/09

115,800

 

119,383

 

U.S. Treasury Note

3.125%

11/30/09

298,375

 

302,618

 

U.S. Treasury Note

3.500%

12/15/09

46,610

 

47,528

 

U.S. Treasury Note

3.250%

12/31/09

77,675

 

79,034

 

U.S. Treasury Note

2.125%

1/31/10

50,000

 

50,187

 

U.S. Treasury Note

3.500%

2/15/10

37,145

 

38,004

 

U.S. Treasury Note

4.750%

2/15/10

55,175

 

57,373

 

U.S. Treasury Note

6.500%

2/15/10

155,840

 

165,775

 

U.S. Treasury Note

1.750%

3/31/10

170,875

 

170,475

 

U.S. Treasury Note

4.000%

4/15/10

178,315

 

184,110

 

U.S. Treasury Note

2.625%

5/31/10

59,675

 

60,356

 

U.S. Treasury Note

2.875%

6/30/10

123,000

 

125,114

 

U.S. Treasury Note

2.750%

7/31/10

210,350

 

213,768

 

U.S. Treasury Note

4.125%

8/15/10

101,690

 

105,949

 

U.S. Treasury Note

5.750%

8/15/10

3,350

 

3,589

 

U.S. Treasury Note

2.375%

8/31/10

170,640

 

172,053

 

U.S. Treasury Note

4.500%

11/15/10

300

 

316

 

U.S. Treasury Note

4.375%

12/15/10

6,200

 

6,516

 

U.S. Treasury Note

5.000%

2/15/11

5,975

 

6,391

 

U.S. Treasury Note

4.875%

4/30/11

215

 

230

 

U.S. Treasury Note

5.125%

6/30/11

4,315

 

4,654

 

U.S. Treasury Note

4.875%

7/31/11

9,965

 

10,692

 

U.S. Treasury Note

4.625%

8/31/11

79,525

 

84,856

 

U.S. Treasury Note

4.500%

9/30/11

16,955

 

18,031

 

U.S. Treasury Note

4.625%

10/31/11

505

 

539

 

U.S. Treasury Note

4.500%

11/30/11

84,185

 

89,526

 

U.S. Treasury Note

4.625%

12/31/11

125

 

133

 

U.S. Treasury Note

4.750%

1/31/12

75,790

 

81,273

 

U.S. Treasury Note

4.625%

2/29/12

20,810

 

22,244

 

U.S. Treasury Note

4.500%

3/31/12

90,465

 

96,360

 

U.S. Treasury Note

4.500%

4/30/12

91,990

 

98,171

 

 

U.S. Treasury Note

4.750%

5/31/12

176,580

 

189,961

 

U.S. Treasury Note

4.875%

6/30/12

114,750

 

124,038

 

U.S. Treasury Note

4.625%

7/31/12

164,050

 

175,944

 

U.S. Treasury Note

4.375%

8/15/12

25

 

27

 

U.S. Treasury Note

4.125%

8/31/12

82,310

 

86,812

 

U.S. Treasury Note

3.875%

10/31/12

257,625

 

269,380

 

U.S. Treasury Note

3.375%

11/30/12

2,400

 

2,460

 

U.S. Treasury Note

3.875%

2/15/13

6,570

 

6,846

 

U.S. Treasury Note

2.750%

2/28/13

77,025

 

76,664

 

U.S. Treasury Note

3.625%

5/15/13

1,355

 

1,399

 

U.S. Treasury Note

3.500%

5/31/13

103,985

 

106,666

 

U.S. Treasury Note

3.375%

6/30/13

108,925

 

111,206

 

U.S. Treasury Note

3.125%

8/31/13

147,115

 

148,402

 

U.S. Treasury Note

3.125%

9/30/13

168,000

 

169,102

 

U.S. Treasury Note

4.250%

11/15/13

525

 

558

 

4,191,909

Agency Bonds and Notes (21.2%)

1

Federal Farm Credit Bank

5.000%

10/23/09

3,000

 

3,064

1

Federal Farm Credit Bank

5.250%

9/13/10

2,325

 

2,414

1

Federal Farm Credit Bank

3.750%

12/6/10

24,200

 

24,427

1

Federal Farm Credit Bank

4.875%

2/18/11

7,000

 

7,234

1

Federal Farm Credit Bank

2.625%

4/21/11

6,750

 

6,620

1

Federal Farm Credit Bank

5.375%

7/18/11

2,100

 

2,201

1

Federal Farm Credit Bank

3.875%

8/25/11

6,300

 

6,351

1

Federal Farm Credit Bank

3.500%

10/3/11

15,000

 

15,021

1

Federal Farm Credit Bank

4.500%

10/17/12

4,200

 

4,283

1

Federal Farm Credit Bank

3.875%

10/7/13

2,500

 

2,471

1

Federal Home Loan Bank

5.000%

12/11/09

11,225

 

11,490

1

Federal Home Loan Bank

3.750%

1/8/10

40,625

 

40,960

1

Federal Home Loan Bank

3.875%

1/15/10

46,375

 

46,859

1

Federal Home Loan Bank

2.750%

3/12/10

6,575

 

6,536

1

Federal Home Loan Bank

4.375%

3/17/10

22,025

 

22,423

1

Federal Home Loan Bank

4.875%

5/14/10

45,950

 

47,212

1

Federal Home Loan Bank

5.250%

6/11/10

5,450

 

5,631

1

Federal Home Loan Bank

2.750%

6/18/10

46,650

 

46,324

1

Federal Home Loan Bank

4.500%

6/22/10

10,000

 

10,213

1

Federal Home Loan Bank

3.500%

7/16/10

13,000

 

13,049

1

Federal Home Loan Bank

3.375%

8/13/10

11,750

 

11,770

1

Federal Home Loan Bank

4.125%

8/13/10

9,050

 

9,181

1

Federal Home Loan Bank

3.375%

10/20/10

33,500

 

33,463

1

Federal Home Loan Bank

4.750%

12/10/10

2,325

 

2,392

1

Federal Home Loan Bank

3.625%

12/17/10

19,700

 

19,826

1

Federal Home Loan Bank

3.250%

3/11/11

5,000

 

4,974

1

Federal Home Loan Bank

3.125%

6/10/11

900

 

889

1

Federal Home Loan Bank

3.375%

6/24/11

30,000

 

29,856

1

Federal Home Loan Bank

3.625%

7/1/11

10,300

 

10,306

1

Federal Home Loan Bank

5.375%

8/19/11

37,350

 

39,138

1

Federal Home Loan Bank

3.750%

9/9/11

2,800

 

2,810

1

Federal Home Loan Bank

3.625%

9/16/11

5,575

 

5,569

1

Federal Home Loan Bank

4.875%

11/18/11

30,550

 

31,656

1

Federal Home Loan Bank

5.750%

5/15/12

14,000

 

14,860

1

Federal Home Loan Bank

4.625%

10/10/12

40,000

 

40,946

 

 

1

Federal Home Loan Bank

4.500%

11/15/12

30,000

 

30,618

1

Federal Home Loan Bank

4.000%

9/6/13

20,000

 

19,768

1

Federal Home Loan Bank

4.500%

9/16/13

7,800

 

7,896

 

1

Federal Home Loan Bank

3.625%

10/18/13

4,675

 

4,539

1

Federal Home Loan Mortgage Corp.

5.000%

6/11/09

30,000

 

30,311

1

Federal Home Loan Mortgage Corp.

4.750%

11/3/09

25,000

 

25,557

1

Federal Home Loan Mortgage Corp.

4.125%

11/30/09

15,000

 

15,222

1

Federal Home Loan Mortgage Corp.

4.875%

2/9/10

40,000

 

40,989

1

Federal Home Loan Mortgage Corp.

2.875%

4/30/10

31,000

 

30,911

1

Federal Home Loan Mortgage Corp.

2.875%

6/28/10

14,875

 

14,825

1

Federal Home Loan Mortgage Corp.

4.125%

7/12/10

45,600

 

46,378

1

Federal Home Loan Mortgage Corp.

3.250%

7/16/10

15,125

 

15,164

1

Federal Home Loan Mortgage Corp.

5.125%

8/23/10

47,200

 

48,962

1

Federal Home Loan Mortgage Corp.

6.875%

9/15/10

25,000

 

26,767

1

Federal Home Loan Mortgage Corp.

5.000%

10/18/10

2,000

 

2,070

1

Federal Home Loan Mortgage Corp.

3.125%

10/25/10

4,000

 

4,004

1

Federal Home Loan Mortgage Corp.

4.750%

1/18/11

12,000

 

12,373

1

Federal Home Loan Mortgage Corp.

3.250%

2/25/11

28,500

 

28,415

1

Federal Home Loan Mortgage Corp.

5.625%

3/15/11

20,000

 

21,073

1

Federal Home Loan Mortgage Corp.

5.875%

3/21/11

4,000

 

4,149

1

Federal Home Loan Mortgage Corp.

5.125%

4/18/11

26,000

 

27,098

1

Federal Home Loan Mortgage Corp.

6.000%

6/15/11

12,500

 

13,319

1

Federal Home Loan Mortgage Corp.

3.875%

6/29/11

4,475

 

4,527

1

Federal Home Loan Mortgage Corp.

5.250%

7/18/11

22,500

 

23,570

1

Federal Home Loan Mortgage Corp.

4.500%

11/15/11

9,000

 

9,221

1

Federal Home Loan Mortgage Corp.

4.750%

3/5/12

25,000

 

25,845

1

Federal Home Loan Mortgage Corp.

5.125%

7/15/12

10,000

 

10,448

1

Federal Home Loan Mortgage Corp.

5.500%

8/20/12

20,000

 

21,185

1

Federal Home Loan Mortgage Corp.

4.625%

10/25/12

36,800

 

37,845

1

Federal Home Loan Mortgage Corp.

4.125%

12/21/12

22,850

 

23,045

1

Federal Home Loan Mortgage Corp.

4.500%

7/15/13

35,000

 

35,811

1

Federal Home Loan Mortgage Corp.

4.125%

9/27/13

10,000

 

10,072

1

Federal National Mortgage Assn.

7.250%

1/15/10

60,250

 

63,397

1

Federal National Mortgage Assn.

3.250%

2/10/10

9,275

 

9,298

1

Federal National Mortgage Assn.

3.875%

2/15/10

31,975

 

32,317

1

Federal National Mortgage Assn.

4.750%

3/12/10

35,575

 

36,430

1

Federal National Mortgage Assn.

2.500%

4/9/10

50,000

 

49,557

1

Federal National Mortgage Assn.

3.000%

7/12/10

6,675

 

6,666

1

Federal National Mortgage Assn.

4.375%

9/13/10

25,000

 

25,584

1

Federal National Mortgage Assn.

2.875%

10/12/10

8,500

 

8,468

1

Federal National Mortgage Assn.

6.625%

11/15/10

33,850

 

36,209

1

Federal National Mortgage Assn.

4.750%

12/15/10

10,750

 

11,097

1

Federal National Mortgage Assn.

4.500%

2/15/11

14,300

 

14,685

1

Federal National Mortgage Assn.

5.500%

3/15/11

5,000

 

5,251

1

Federal National Mortgage Assn.

5.125%

4/15/11

25,250

 

26,307

1

Federal National Mortgage Assn.

6.000%

5/15/11

71,300

 

75,836

1

Federal National Mortgage Assn.

3.375%

5/19/11

20,000

 

19,997

1

Federal National Mortgage Assn.

3.625%

8/15/11

8,000

 

8,042

1

Federal National Mortgage Assn.

5.000%

10/15/11

25,000

 

26,035

1

Federal National Mortgage Assn.

6.125%

3/15/12

25,100

 

27,040

1

Federal National Mortgage Assn.

4.875%

5/18/12

19,200

 

19,898

1

Federal National Mortgage Assn.

5.250%

8/1/12

4,300

 

4,305

1

Federal National Mortgage Assn.

4.750%

11/19/12

15,000

 

15,486

1

Federal National Mortgage Assn.

3.625%

2/12/13

39,650

 

39,179

1

Federal National Mortgage Assn.

4.750%

2/21/13

7,000

 

7,217

 

 

1

Federal National Mortgage Assn.

4.625%

5/1/13

10,550

 

10,329

 

1

Federal National Mortgage Assn.

3.875%

7/12/13

24,325

 

24,242

1

Federal National Mortgage Assn.

4.625%

10/15/13

15,000

 

15,387

1

Federal National Mortgage Assn.

4.125%

4/15/14

10,000

 

9,993

 

1,882,648

Total U.S. Government and Agency Obligations (Cost $5,999,684)

6,074,557

Corporate Bonds (25.2%)

Asset-Backed/Commercial Mortgage-Backed Securities (0.2%)

2

BA Covered Bond Issuer

5.500%

6/14/12

5,400

 

5,471

3

Countrywide Home Loans

4.813%

5/25/33

340

 

310

3

DaimlerChrysler Auto Trust

5.330%

8/8/10

1,916

 

1,911

3

Honda Auto Receivables Owner Trust

5.300%

7/21/10

3,331

 

3,328

3

Salomon Brothers Mortgage Securities VII

5.513%

9/25/33

2,576

 

2,457

3

USAA Auto Owner Trust

5.360%

2/15/11

3,451

 

3,453

 

16,930

Finance (11.3%)

 

Banking (5.4%)

3

Bank of America Capital Trust XIV

5.630%

12/31/49

2,150

 

1,140

 

Bank of America Corp.

4.500%

8/1/10

7,600

 

7,502

 

Bank of America Corp.

4.250%

10/1/10

10,500

 

10,157

 

Bank of America Corp.

4.375%

12/1/10

3,075

 

2,960

 

Bank of America Corp.

5.375%

8/15/11

6,050

 

5,895

 

Bank of America Corp.

6.250%

4/15/12

2,875

 

2,814

 

Bank of America Corp.

5.375%

9/11/12

2,175

 

2,060

 

Bank of America Corp.

4.875%

9/15/12

3,000

 

2,790

 

Bank of America Corp.

4.900%

5/1/13

8,350

 

7,833

 

Bank of New York Mellon

4.950%

1/14/11

2,825

 

2,808

 

Bank of New York Mellon

6.375%

4/1/12

1,000

 

1,007

 

Bank of New York Mellon

4.950%

11/1/12

7,075

 

6,876

 

Bank of New York Mellon

4.500%

4/1/13

2,200

 

2,090

 

Bank of New York Mellon

5.125%

8/27/13

400

 

383

 

Bank of Tokyo-Mitsubishi

8.400%

4/15/10

7,500

 

7,908

 

Bank One Corp.

5.900%

11/15/11

1,500

 

1,464

 

Barclays Bank PLC

5.450%

9/12/12

5,375

 

5,278

 

BB&T Corp.

6.500%

8/1/11

4,050

 

4,001

 

BB&T Corp.

4.750%

10/1/12

1,500

 

1,366

 

Bear Stearns Co., Inc.

7.625%

12/7/09

1,000

 

1,032

 

Bear Stearns Co., Inc.

4.550%

6/23/10

4,800

 

4,560

 

Bear Stearns Co., Inc.

4.500%

10/28/10

9,000

 

8,896

 

Bear Stearns Co., Inc.

5.350%

2/1/12

8,750

 

8,549

 

Bear Stearns Co., Inc.

6.950%

8/10/12

1,500

 

1,501

 

Charter One Bank N.A.

5.500%

4/26/11

1,850

 

1,893

 

Citigroup, Inc.

4.125%

2/22/10

8,050

 

7,353

 

Citigroup, Inc.

4.625%

8/3/10

7,275

 

6,520

 

Citigroup, Inc.

6.500%

1/18/11

9,000

 

8,636

 

Citigroup, Inc.

5.125%

2/14/11

4,075

 

3,746

 

Citigroup, Inc.

5.100%

9/29/11

5,200

 

4,687

 

Citigroup, Inc.

6.000%

2/21/12

5,700

 

5,220

 

Citigroup, Inc.

5.250%

2/27/12

8,800

 

7,796

 

Citigroup, Inc.

5.625%

8/27/12

3,500

 

3,125

 

Citigroup, Inc.

5.300%

10/17/12

7,050

 

6,197

 

 

Citigroup, Inc.

5.500%

4/11/13

11,625

 

10,050

 

Citigroup, Inc.

6.500%

8/19/13

8,225

 

7,298

 

Credit Suisse First Boston USA, Inc.

4.125%

1/15/10

2,025

 

2,006

 

Credit Suisse First Boston USA, Inc.

4.875%

8/15/10

925

 

905

 

Credit Suisse First Boston USA, Inc.

5.250%

3/2/11

4,150

 

4,105

 

Credit Suisse First Boston USA, Inc.

6.125%

11/15/11

8,400

 

8,235

 

Credit Suisse First Boston USA, Inc.

6.500%

1/15/12

21,050

 

20,997

 

Credit Suisse First Boston USA, Inc.

5.500%

8/15/13

1,700

 

1,614

 

Credit Suisse New York

5.000%

5/15/13

4,600

 

4,391

 

Deutsche Bank AG London

5.375%

10/12/12

15,550

 

14,980

 

Deutsche Bank AG London

4.875%

5/20/13

9,375

 

8,826

 

Fifth Third Bancorp.

4.200%

2/23/10

1,000

 

510

 

Fifth Third Bancorp.

6.250%

5/1/13

2,825

 

1,836

 

FirstStar Bank

7.125%

12/1/09

2,000

 

2,037

 

Golden West Financial Corp.

4.750%

10/1/12

3,575

 

2,860

 

HSBC Holdings PLC

5.250%

12/12/12

6,500

 

6,038

2

ICICI Bank Ltd.

6.625%

10/3/12

4,775

 

4,588

 

JPMorgan Chase & Co.

6.750%

2/1/11

8,850

 

8,813

 

JPMorgan Chase & Co.

5.600%

6/1/11

12,300

 

12,244

 

JPMorgan Chase & Co.

4.850%

6/16/11

2,300

 

2,233

 

JPMorgan Chase & Co.

6.625%

3/15/12

3,725

 

3,741

 

JPMorgan Chase & Co.

5.375%

10/1/12

17,225

 

16,189

 

JPMorgan Chase & Co.

5.750%

1/2/13

1,900

 

1,785

 

JPMorgan Chase & Co.

4.750%

5/1/13

5,325

 

5,076

 

JPMorgan Chase & Co.

5.250%

5/1/15

2,000

 

1,820

 

KeyBank NA

7.000%

2/1/11

975

 

901

 

KeyBank NA

5.500%

9/17/12

1,025

 

839

 

KeyCorp

6.500%

5/14/13

2,975

 

2,167

 

Marshall & Ilsley Bank

6.375%

9/1/11

1,500

 

1,389

 

Marshall & Ilsley Bank

5.250%

9/4/12

1,850

 

1,607

 

MBNA America Bank NA

6.625%

6/15/12

1,000

 

968

 

MBNA Corp.

7.500%

3/15/12

2,400

 

2,478

 

MBNA Corp.

6.125%

3/1/13

675

 

667

3

Mellon Capital IV

6.244%

6/29/49

1,750

 

980

 

Mellon Financial Co.

6.375%

2/15/10

1,000

 

1,006

 

National Australia Bank

8.600%

5/19/10

2,000

 

2,104

 

National City Bank

4.500%

3/15/10

600

 

285

 

National City Bank

6.250%

3/15/11

1,500

 

600

 

National City Bank

4.625%

5/1/13

1,525

 

686

3

National City Preferred Capital Trust I

12.000%

12/31/49

2,225

 

957

 

National Westminster Bank PLC

7.375%

10/1/09

4,000

 

3,994

2

Nationwide Building Society

5.500%

7/18/12

2,700

 

2,780

 

Northern Trust Co.

5.500%

8/15/13

1,875

 

1,914

 

Paribas NY

6.950%

7/22/13

775

 

848

 

PNC Funding Corp.

7.500%

11/1/09

1,875

 

1,895

 

PNC Funding Corp.

5.125%

12/14/10

2,950

 

2,926

 

Regions Financial Corp.

4.375%

12/1/10

500

 

461

 

Regions Financial Corp.

7.000%

3/1/11

1,500

 

1,392

 

Regions Financial Corp.

6.375%

5/15/12

7,225

 

6,358

 

Royal Bank of Canada

4.125%

1/26/10

5,400

 

5,337

 

Royal Bank of Scotland Group PLC

6.375%

2/1/11

1,500

 

1,514

 

Santander Central Hispano Issuances Ltd.

7.625%

11/3/09

5,000

 

5,034

 

 

Santander Central Hispano Issuances Ltd.

7.625%

9/14/10

1,650

 

1,688

 

Sanwa Bank Ltd.

7.400%

6/15/11

3,825

 

4,077

 

Sovereign Bancorp, Inc.

4.800%

9/1/10

2,600

 

2,210

 

Sovereign Bank

5.125%

3/15/13

1,600

 

928

3

State Street Capital Trust

8.250%

12/29/49

2,500

 

2,438

 

SunTrust Banks, Inc.

6.375%

4/1/11

4,500

 

4,443

 

SunTrust Banks, Inc.

5.250%

11/5/12

1,575

 

1,431

3

SunTrust Preferred Capital I

5.853%

12/31/49

2,125

 

1,275

 

UFJ Finance Aruba AEC

6.750%

7/15/13

5,550

 

5,787

2,3

Unicredit Luxembourg Finance

5.584%

1/13/17

500

 

486

 

US Bank NA

6.375%

8/1/11

8,700

 

8,902

3

USB Capital IX

6.189%

4/15/49

2,050

 

1,025

3,4

Wachovia Capital Trust III

5.800%

3/15/42

5,950

 

2,499

 

Wachovia Corp.

4.375%

6/1/10

6,825

 

5,801

 

Wachovia Corp.

7.800%

8/18/10

2,000

 

1,680

 

Wachovia Corp.

5.300%

10/15/11

8,975

 

7,629

 

Wachovia Corp.

5.500%

5/1/13

5,325

 

4,433

 

Wells Fargo & Co.

4.200%

1/15/10

19,050

 

19,058

 

Wells Fargo & Co.

4.875%

1/12/11

4,325

 

4,256

 

Wells Fargo & Co.

6.375%

8/1/11

1,500

 

1,529

 

Wells Fargo & Co.

5.300%

8/26/11

5,125

 

5,080

 

Wells Fargo & Co.

5.250%

10/23/12

10,075

 

9,749

 

Wells Fargo & Co.

4.375%

1/31/13

11,000

 

10,377

3

Wells Fargo Capital XIII

7.700%

12/29/49

5,925

 

5,333

3

Wells Fargo Capital XV

9.750%

12/29/49

4,125

 

4,022

 

World Savings Bank, FSB

4.125%

12/15/09

1,150

 

1,035

 

 

Brokerage (1.4%)

 

Ameriprise Financial Inc.

5.350%

11/15/10

2,150

 

2,136

 

Amvescap PLC

5.375%

2/27/13

975

 

918

3

Goldman Sachs Capital II

5.793%

12/29/49

6,250

 

2,625

 

Goldman Sachs Group, Inc.

7.350%

10/1/09

1,500

 

1,425

 

Goldman Sachs Group, Inc.

4.500%

6/15/10

5,915

 

5,427

 

Goldman Sachs Group, Inc.

6.875%

1/15/11

5,325

 

5,085

 

Goldman Sachs Group, Inc.

6.600%

1/15/12

20,275

 

18,900

 

Goldman Sachs Group, Inc.

5.300%

2/14/12

5,500

 

4,881

 

Goldman Sachs Group, Inc.

5.450%

11/1/12

3,050

 

2,715

 

Goldman Sachs Group, Inc.

5.250%

4/1/13

1,575

 

1,323

 

Goldman Sachs Group, Inc.

4.750%

7/15/13

5,175

 

4,347

 

Goldman Sachs Group, Inc.

5.250%

10/15/13

3,775

 

3,171

 

Janus Capital Group

5.875%

9/15/11

850

 

812

5

Lehman Brothers Capital Trust VII

5.857%

11/29/49

5,000

 

—

5

Lehman Brothers Holdings, Inc.

5.250%

2/6/12

3,250

 

414

5

Lehman Brothers Holdings, Inc.

6.000%

7/19/12

2,225

 

278

5

Lehman Brothers Holdings, Inc.

5.750%

5/17/13

2,300

 

288

 

Merrill Lynch & Co., Inc.

4.125%

9/10/09

2,750

 

2,564

 

Merrill Lynch & Co., Inc.

4.250%

2/8/10

6,750

 

5,751

 

Merrill Lynch & Co., Inc.

4.500%

11/4/10

3,500

 

3,193

 

Merrill Lynch & Co., Inc.

5.770%

7/25/11

1,175

 

1,077

 

Merrill Lynch & Co., Inc.

6.050%

8/15/12

8,175

 

7,286

 

Merrill Lynch & Co., Inc.

5.450%

2/5/13

4,225

 

3,705

 

Merrill Lynch & Co., Inc.

6.150%

4/25/13

5,350

 

4,723

 

 

 

Morgan Stanley Dean Witter

4.000%

1/15/10

1,850

 

1,526

 

Morgan Stanley Dean Witter

4.250%

5/15/10

7,550

 

6,134

 

 

Morgan Stanley Dean Witter

5.050%

1/21/11

1,350

 

972

 

Morgan Stanley Dean Witter

6.750%

4/15/11

8,150

 

5,950

 

Morgan Stanley Dean Witter

5.625%

1/9/12

4,950

 

3,366

 

Morgan Stanley Dean Witter

6.600%

4/1/12

6,415

 

4,362

 

Morgan Stanley Dean Witter

5.750%

8/31/12

5,800

 

4,002

 

Morgan Stanley Dean Witter

5.250%

11/2/12

11,025

 

7,607

 

Morgan Stanley Dean Witter

5.300%

3/1/13

7,800

 

4,953

 

 

Finance Companies (2.9%)

 

Allied Capital Corp.

6.000%

4/1/12

1,150

 

1,067

 

American Express Bank, FSB

5.550%

10/17/12

12,050

 

11,057

 

American Express Bank, FSB

5.500%

4/16/13

2,000

 

1,883

 

American Express Centurion Bank

5.200%

11/26/10

2,150

 

2,119

 

American Express Centurion Bank

5.550%

10/17/12

550

 

503

 

American Express Credit Corp.

5.875%

5/2/13

4,600

 

4,217

 

American Express Credit Corp.

7.300%

8/20/13

5,200

 

4,988

2

American Express Travel

5.250%

11/21/11

2,325

 

2,248

 

American General Finance Corp.

3.875%

10/1/09

6,450

 

4,579

 

American General Finance Corp.

4.625%

9/1/10

1,000

 

625

 

American General Finance Corp.

5.625%

8/17/11

2,100

 

1,134

 

American General Finance Corp.

4.875%

7/15/12

1,125

 

518

 

American General Finance Corp.

5.375%

10/1/12

625

 

256

 

American General Finance Corp.

5.850%

6/1/13

5,325

 

2,449

 

Block Financial LLC

7.875%

1/15/13

800

 

849

 

Capital One Bank

5.750%

9/15/10

1,975

 

1,723

 

Capital One Financial Corp.

5.700%

9/15/11

4,750

 

4,027

 

Capital One Financial Corp.

4.800%

2/21/12

50

 

45

 

Capmark Financial Group

5.875%

5/10/12

1,800

 

900

 

CIT Group Funding Co. of Canada

4.650%

7/1/10

2,350

 

1,551

 

CIT Group Funding Co. of Canada

5.600%

11/2/11

375

 

225

 

CIT Group, Inc.

4.250%

2/1/10

4,325

 

3,114

 

CIT Group, Inc.

5.200%

11/3/10

4,025

 

2,455

 

CIT Group, Inc.

4.750%

12/15/10

6,275

 

4,016

 

CIT Group, Inc.

5.600%

4/27/11

2,825

 

1,808

 

CIT Group, Inc.

5.800%

7/28/11

750

 

458

 

CIT Group, Inc.

5.400%

2/13/12

1,000

 

580

 

CIT Group, Inc.

7.625%

11/30/12

3,025

 

1,800

 

Countrywide Financial Corp.

5.800%

6/7/12

3,850

 

3,253

 

Countrywide Home Loan

4.125%

9/15/09

9,925

 

8,932

 

Countrywide Home Loan

4.000%

3/22/11

1,600

 

1,392

 

General Electric Capital Corp.

5.250%

10/27/09

2,625

 

2,591

 

General Electric Capital Corp.

4.250%

9/13/10

4,575

 

4,444

 

General Electric Capital Corp.

4.875%

10/21/10

6,900

 

6,716

 

General Electric Capital Corp.

5.000%

12/1/10

2,275

 

2,214

 

General Electric Capital Corp.

6.125%

2/22/11

24,750

 

24,289

 

General Electric Capital Corp.

5.500%

4/28/11

1,150

 

1,109

 

General Electric Capital Corp.

5.875%

2/15/12

18,060

 

17,494

 

General Electric Capital Corp.

4.375%

3/3/12

2,325

 

2,160

 

General Electric Capital Corp.

6.000%

6/15/12

12,725

 

12,222

 

General Electric Capital Corp.

5.250%

10/19/12

17,575

 

16,459

 

General Electric Capital Corp.

5.450%

1/15/13

6,975

 

6,475

 

General Electric Capital Corp.

4.800%

5/1/13

11,000

 

9,972

 

 

 

Heller Financial, Inc.

7.375%

11/1/09

3,200

 

3,216

 

 

HSBC Finance Corp.

4.125%

11/16/09

9,075

 

8,861

 

HSBC Finance Corp.

4.625%

9/15/10

4,675

 

4,517

 

HSBC Finance Corp.

5.250%

1/14/11

5,425

 

5,246

 

HSBC Finance Corp.

5.700%

6/1/11

10,925

 

10,500

 

HSBC Finance Corp.

6.375%

10/15/11

3,000

 

2,876

 

HSBC Finance Corp.

7.000%

5/15/12

4,400

 

4,291

 

HSBC Finance Corp.

5.900%

6/19/12

1,400

 

1,331

 

HSBC Finance Corp.

6.375%

11/27/12

3,650

 

3,577

 

HSBC Finance Corp.

4.750%

7/15/13

4,000

 

3,616

 

International Lease Finance Corp.

4.875%

9/1/10

1,200

 

924

 

International Lease Finance Corp.

5.125%

11/1/10

2,100

 

1,617

 

International Lease Finance Corp.

4.950%

2/1/11

2,300

 

1,702

 

International Lease Finance Corp.

5.450%

3/24/11

975

 

722

 

International Lease Finance Corp.

5.750%

6/15/11

7,450

 

5,513

 

International Lease Finance Corp.

5.300%

5/1/12

5,375

 

3,870

 

International Lease Finance Corp.

5.000%

9/15/12

2,900

 

1,943

 

International Lease Finance Corp.

6.375%

3/25/13

4,075

 

2,852

 

iStar Financial Inc.

6.000%

12/15/10

1,500

 

893

 

iStar Financial Inc.

5.800%

3/15/11

2,100

 

1,302

 

iStar Financial Inc.

5.650%

9/15/11

2,175

 

1,120

 

iStar Financial Inc.

8.625%

6/1/13

2,500

 

1,437

 

PHH Corp.

7.125%

3/1/13

900

 

843

 

SLM Corp.

4.500%

7/26/10

3,550

 

2,847

 

SLM Corp.

5.400%

10/25/11

3,700

 

2,774

 

SLM Corp.

5.125%

8/27/12

2,500

 

1,724

 

SLM Corp.

5.375%

1/15/13

1,500

 

1,080

 

 

Insurance (1.1%)

 

Aetna, Inc.

7.875%

3/1/11

1,675

 

1,751

 

Aetna, Inc.

5.750%

6/15/11

1,575

 

1,602

 

Allstate Corp.

7.200%

12/1/09

2,500

 

2,521

 

Allstate Corp.

6.125%

2/15/12

1,450

 

1,458

 

Allstate Life Global Funding

5.375%

4/30/13

4,175

 

4,042

 

American International Group, Inc.

4.700%

10/1/10

2,100

 

1,386

 

American International Group, Inc.

5.375%

10/18/11

800

 

488

 

American International Group, Inc.

4.950%

3/20/12

1,475

 

819

 

American International Group, Inc.

4.250%

5/15/13

3,600

 

1,908

 

AXA Financial, Inc.

7.750%

8/1/10

2,276

 

2,327

 

Berkshire Hathaway Finance Corp.

4.125%

1/15/10

12,300

 

12,413

 

Berkshire Hathaway Finance Corp.

4.200%

12/15/10

1,000

 

1,012

 

Berkshire Hathaway Finance Corp.

4.750%

5/15/12

3,700

 

3,690

2

Berkshire Hathaway Finance Corp.

4.600%

5/15/13

2,925

 

2,886

2

Berkshire Hathaway Finance Corp.

5.000%

8/15/13

2,075

 

2,075

 

CNA Financial Corp.

6.000%

8/15/11

2,150

 

2,172

 

Fund American Cos., Inc.

5.875%

5/15/13

1,825

 

1,427

 

Genworth Financial, Inc.

5.125%

3/15/11

1,600

 

1,510

 

Genworth Financial, Inc.

5.650%

6/15/12

2,500

 

2,125

 

Hartford Financial Services Group, Inc.

5.250%

10/15/11

4,025

 

3,744

 

ING Capital Funding Trust III

8.439%

12/31/10

4,000

 

3,731

 

ING USA Global

4.500%

10/1/10

3,600

 

3,608

 

Lincoln National Corp.

6.200%

12/15/11

1,000

 

999

 

Lincoln National Corp.

5.650%

8/27/12

225

 

224

 

 

 

Marsh & McLennan Cos., Inc.

5.150%

9/15/10

50

 

51

 

 

Marsh & McLennan Cos., Inc.

6.250%

3/15/12

1,900

 

1,958

 

MetLife, Inc.

5.375%

12/15/12

2,850

 

2,725

 

Principal Life Income Funding

5.125%

3/1/11

775

 

779

 

Principal Life Income Funding

5.300%

12/14/12

1,900

 

1,898

 

Principal Life Income Funding

5.300%

4/24/13

2,100

 

2,103

 

Progressive Corp.

6.375%

1/15/12

500

 

513

 

Protective Life Secured Trust

4.850%

8/16/10

1,700

 

1,735

 

Prudential Financial, Inc.

5.100%

12/14/11

1,200

 

1,154

 

Prudential Financial, Inc.

5.800%

6/15/12

1,275

 

1,249

 

Prudential Financial, Inc.

5.150%

1/15/13

2,150

 

2,048

 

Safeco Corp.

4.875%

2/1/10

2,500

 

2,500

 

Travelers Cos. Inc.

5.375%

6/15/12

700

 

689

 

Travelers Property Casualty Corp.

5.000%

3/15/13

2,500

 

2,479

 

UnitedHealth Group, Inc.

5.250%

3/15/11

4,525

 

4,386

 

UnitedHealth Group, Inc.

5.500%

11/15/12

575

 

543

 

UnitedHealth Group, Inc.

4.875%

2/15/13

1,625

 

1,516

 

UnitedHealth Group, Inc.

4.875%

4/1/13

1,625

 

1,513

 

WellPoint Inc.

4.250%

12/15/09

900

 

901

 

WellPoint Inc.

5.000%

1/15/11

1,950

 

1,939

 

WellPoint Inc.

6.375%

1/15/12

1,650

 

1,666

 

WellPoint Inc.

6.800%

8/1/12

1,150

 

1,194

 

Willis North America Inc.

5.125%

7/15/10

900

 

896

 

XL Capital Ltd.

6.500%

1/15/12

2,575

 

2,542

 

 

Other Finance (0.1%)

 

Chicago Mercantile Exchange Group Inc.

5.400%

8/1/13

2,400

 

2,423

 

Orix Corp.

5.480%

11/22/11

2,650

 

2,516

 

 

Real Estate Investment Trusts (0.4%)

 

AMB Property LP

6.300%

6/1/13

475

 

467

 

AvalonBay Communities, Inc.

5.500%

1/15/12

2,000

 

1,861

 

Boston Properties, Inc.

6.250%

1/15/13

2,100

 

2,097

 

Brandywine Operating Partnership

4.500%

11/1/09

1,500

 

1,462

 

Brandywine Operating Partnership

5.750%

4/1/12

2,750

 

2,571

 

Developers Diversified Realty Corp.

5.250%

4/15/11

1,500

 

1,407

 

Duke Realty LP

5.625%

8/15/11

575

 

516

 

ERP Operating LP

6.625%

3/15/12

1,350

 

1,321

 

ERP Operating LP

5.500%

10/1/12

2,000

 

1,875

 

Health Care Property Investors, Inc.

5.950%

9/15/11

625

 

594

 

Health Care Property Investors, Inc.

6.450%

6/25/12

750

 

716

 

Nationwide Health Properties, Inc.

6.250%

2/1/13

1,850

 

1,842

 

ProLogis

5.250%

11/15/10

4,475

 

4,247

 

ProLogis

5.500%

4/1/12

965

 

916

 

Regency Centers LP

6.750%

1/15/12

1,650

 

1,651

 

Simon Property Group Inc.

4.600%

6/15/10

175

 

167

 

Simon Property Group Inc.

4.875%

8/15/10

2,975

 

2,869

 

Simon Property Group Inc.

5.600%

9/1/11

1,250

 

1,175

 

Simon Property Group Inc.

5.000%

3/1/12

5,900

 

5,543

 

Simon Property Group Inc.

5.300%

5/30/13

2,925

 

2,710

 

Vornado Realty

5.600%

2/15/11

1,100

 

1,007

 

1,003,352

 

 

Industrial (11.8%)

 

 

Basic Industry (0.9%)

 

Alcan, Inc.

6.450%

3/15/11

3,150

 

3,251

 

Alcan, Inc.

4.500%

5/15/13

775

 

751

 

Alcoa, Inc.

6.000%

1/15/12

4,275

 

4,294

 

Alcoa, Inc.

5.375%

1/15/13

650

 

625

 

Alcoa, Inc.

6.000%

7/15/13

1,225

 

1,204

2

ArcelorMittal

5.375%

6/1/13

5,050

 

4,857

 

Barrick Gold Finance Inc.

6.125%

9/15/13

3,100

 

3,041

 

BHP Billiton Finance Ltd.

5.000%

12/15/10

1,000

 

1,011

 

BHP Billiton Finance Ltd.

5.125%

3/29/12

475

 

468

 

BHP Finance USA Ltd.

4.800%

4/15/13

3,000

 

2,960

 

Celulosa Arauco Constitution SA

8.625%

8/15/10

3,500

 

3,719

 

Dow Chemical Co.

6.125%

2/1/11

2,725

 

2,837

 

Dow Chemical Co.

6.000%

10/1/12

3,000

 

3,056

 

E.I. du Pont de Nemours & Co.

6.875%

10/15/09

3,500

 

3,623

 

E.I. du Pont de Nemours & Co.

4.125%

4/30/10

1,175

 

1,170

 

E.I. du Pont de Nemours & Co.

5.000%

1/15/13

5,500

 

5,534

 

E.I. du Pont de Nemours & Co.

4.125%

3/6/13

1,000

 

947

 

E.I. du Pont de Nemours & Co.

5.000%

7/15/13

4,100

 

4,053

 

Falconbridge Ltd.

7.350%

6/5/12

1,000

 

1,016

 

International Paper Co.

4.000%

4/1/10

2,000

 

1,961

 

Monsanto Co.

7.375%

8/15/12

1,200

 

1,293

 

Noranda, Inc.

7.250%

7/15/12

1,500

 

1,521

 

Nucor Corp.

5.000%

12/1/12

925

 

938

 

Nucor Corp.

5.000%

6/1/13

1,200

 

1,184

 

Potash Corp. of Saskatchewan

7.750%

5/31/11

3,325

 

3,573

 

PPG Industries, Inc.

5.750%

3/15/13

1,875

 

1,876

 

Praxair, Inc.

6.375%

4/1/12

1,250

 

1,307

 

Praxair, Inc.

3.950%

6/1/13

825

 

800

 

Rio Tinto Finance USA Ltd.

5.875%

7/15/13

5,450

 

5,326

 

US Steel Corp.

5.650%

6/1/13

800

 

716

 

Weyerhaeuser Co.

6.750%

3/15/12

6,300

 

6,237

 

 

Capital Goods (1.5%)

 

3M Co.

4.375%

8/15/13

2,000

 

2,001

 

Bemis Co. Inc.

4.875%

4/1/12

1,600

 

1,585

 

Boeing Capital Corp.

6.100%

3/1/11

4,850

 

5,055

 

Boeing Capital Corp.

6.500%

2/15/12

4,700

 

4,941

 

Boeing Capital Corp.

5.800%

1/15/13

2,750

 

2,841

 

Caterpillar Financial Services Corp.

4.150%

1/15/10

2,900

 

2,876

 

Caterpillar Financial Services Corp.

4.300%

6/1/10

8,975

 

8,864

 

Caterpillar Financial Services Corp.

4.250%

2/8/13

700

 

658

 

Caterpillar Financial Services Corp.

6.200%

9/30/13

2,150

 

2,152

 

CRH America Inc.

5.625%

9/30/11

2,500

 

2,459

 

CRH America Inc.

6.950%

3/15/12

2,000

 

2,002

 

Emerson Electric Co.

7.125%

8/15/10

500

 

534

 

Emerson Electric Co.

4.625%

10/15/12

3,200

 

3,235

 

General Dynamics Corp.

4.500%

8/15/10

875

 

895

 

General Dynamics Corp.

4.250%

5/15/13

3,800

 

3,826

 

General Electric Co.

5.000%

2/1/13

16,000

 

15,006

 

Hanson PLC

7.875%

9/27/10

2,000

 

2,132

 

Hanson PLC

5.250%

3/15/13

2,900

 

2,769

 

 

 

Honeywell International, Inc.

7.500%

3/1/10

1,000

 

1,049

 

Honeywell International, Inc.

6.125%

11/1/11

2,000

 

2,098

 

 

Honeywell International, Inc.

5.625%

8/1/12

775

 

793

 

Honeywell International, Inc.

4.250%

3/1/13

2,050

 

2,018

 

Ingersoll-Rand GL Holding Company

6.000%

8/15/13

1,800

 

1,821

 

John Deere Capital Corp

4.950%

12/17/12

2,300

 

2,260

 

John Deere Capital Corp.

5.400%

10/17/11

1,325

 

1,335

 

John Deere Capital Corp.

7.000%

3/15/12

14,450

 

15,167

 

Lafarge SA

6.150%

7/15/11

3,175

 

3,221

 

Lockheed Martin Corp.

4.121%

3/14/13

2,000

 

1,926

 

Masco Corp.

5.875%

7/15/12

2,500

 

2,368

 

Minnesota Mining & Manufacturing Corp.

5.125%

11/6/09

575

 

582

 

Mohawk Industries Inc.

5.750%

1/15/11

3,000

 

2,871

 

Northrop Grumman Corp.

7.125%

2/15/11

4,250

 

4,507

 

Raytheon Co.

4.850%

1/15/11

2,000

 

2,008

 

Raytheon Co.

5.375%

4/1/13

725

 

755

 

Republic Services, Inc.

6.750%

8/15/11

1,000

 

1,025

 

Roper Industries Inc.

6.625%

8/15/13

1,650

 

1,673

 

Textron Financial Corp.

6.000%

11/20/09

800

 

804

 

Textron Financial Corp.

4.600%

5/3/10

2,300

 

2,254

 

Textron Financial Corp.

5.125%

11/1/10

2,275

 

2,231

 

Textron Financial Corp.

5.400%

4/28/13

1,350

 

1,258

 

Textron, Inc.

6.500%

6/1/12

2,100

 

2,178

 

Tyco International Group SA

6.125%

11/1/08

1,100

 

1,102

 

Tyco International Group SA

6.125%

1/15/09

2,500

 

2,504

 

Tyco International Group SA

6.750%

2/15/11

1,950

 

1,985

 

Tyco International Group SA

6.375%

10/15/11

2,000

 

2,019

 

United Technologies Corp.

4.375%

5/1/10

2,625

 

2,657

 

United Technologies Corp.

7.125%

11/15/10

2,000

 

2,172

 

United Technologies Corp.

6.350%

3/1/11

1,225

 

1,283

 

United Technologies Corp.

6.100%

5/15/12

1,000

 

1,034

 

Vulcan Materials Co.

6.300%

6/15/13

1,250

 

1,261

 

 

Communication (2.9%)

 

AT&T Inc.

4.125%

9/15/09

5,150

 

5,062

 

AT&T Inc.

5.300%

11/15/10

2,400

 

2,444

 

AT&T Inc.

6.250%

3/15/11

14,075

 

14,351

 

AT&T Inc.

7.300%

11/15/11

8,925

 

9,396

 

AT&T Inc.

5.875%

2/1/12

4,725

 

4,759

 

AT&T Inc.

5.875%

8/15/12

1,825

 

1,846

 

AT&T Inc.

4.950%

1/15/13

5,000

 

4,825

 

AT&T Wireless

7.875%

3/1/11

12,250

 

12,959

 

AT&T Wireless

8.125%

5/1/12

3,900

 

4,233

 

British Telecommunications PLC

8.625%

12/15/10

7,325

 

7,678

 

British Telecommunications PLC

5.150%

1/15/13

2,000

 

1,870

 

CBS Corp.

7.700%

7/30/10

2,475

 

2,521

 

CBS Corp.

6.625%

5/15/11

2,000

 

1,939

 

CBS Corp.

5.625%

8/15/12

2,225

 

2,169

 

CenturyTel, Inc.

7.875%

8/15/12

1,000

 

998

 

Cingular Wireless LLC

6.500%

12/15/11

1,000

 

1,009

 

Comcast Cable Communications Holdings Inc.

8.375%

3/15/13

5,800

 

6,059

 

Comcast Cable Communications, Inc.

6.750%

1/30/11

16,750

 

17,169

 

Comcast Corp.

5.850%

1/15/10

75

 

77

 

 

 

Comcast Corp.

5.500%

3/15/11

2,275

 

2,253

 

 

Cox Communications, Inc.

4.625%

1/15/10

4,850

 

4,737

 

Cox Communications, Inc.

6.750%

3/15/11

2,175

 

2,231

 

Cox Communications, Inc.

7.125%

10/1/12

2,950

 

3,042

 

Deutsche Telekom International Finance

8.500%

6/15/10

9,375

 

9,744

 

Deutsche Telekom International Finance

5.250%

7/22/13

4,500

 

4,337

 

Deutsche Telekom International Finance

5.875%

8/20/13

1,025

 

1,014

 

Embarq Corp.

6.738%

6/1/13

3,000

 

2,649

 

France Telecom

7.750%

3/1/11

13,325

 

13,876

 

Gannett Co., Inc.

6.375%

4/1/12

1,175

 

1,117

 

Koninklijke KPN NV

8.000%

10/1/10

2,000

 

2,125

 

McGraw-Hill Cos. Inc.

5.375%

11/15/12

2,075

 

2,071

 

News America Holdings, Inc.

9.250%

2/1/13

2,825

 

3,028

 

Qwest Communications International Inc.

7.875%

9/1/11

2,375

 

2,280

 

Qwest Communications International Inc.

8.875%

3/15/12

3,875

 

3,764

 

R.R. Donnelley & Sons Co.

4.950%

5/15/10

900

 

899

 

R.R. Donnelley & Sons Co.

5.625%

1/15/12

600

 

574

 

Rogers Communications Inc.

7.250%

12/15/12

3,500

 

3,579

 

Telecom Italia Capital

4.000%

1/15/10

3,605

 

3,531

 

Telecom Italia Capital

4.875%

10/1/10

1,000

 

985

 

Telecom Italia Capital

6.200%

7/18/11

700

 

691

 

Telefonica Emisiones SAU

5.984%

6/20/11

5,300

 

5,385

 

Telefonica Emisiones SAU

5.855%

2/4/13

3,000

 

2,957

 

Telefonica Europe BV

7.750%

9/15/10

5,000

 

5,165

 

Telefonos de Mexico SA

4.750%

1/27/10

4,650

 

4,638

 

Telus Corp.

8.000%

6/1/11

5,000

 

5,399

 

Thomson Corp.

6.200%

1/5/12

1,500

 

1,532

 

Thomson Reuters Corp.

5.950%

7/15/13

3,925

 

3,927

 

Time Warner Cable Inc.

5.400%

7/2/12

7,300

 

7,019

 

Time Warner Cable Inc.

6.200%

7/1/13

4,250

 

4,235

 

Time Warner Entertainment

8.875%

10/1/12

1,000

 

1,072

 

Verizon Communications Corp.

5.350%

2/15/11

3,800

 

3,752

 

Verizon Communications Corp.

4.350%

2/15/13

2,950

 

2,773

 

Verizon Communications Corp.

5.250%

4/15/13

2,875

 

2,798

 

Verizon Florida, Inc.

6.125%

1/15/13

1,500

 

1,461

 

Verizon Global Funding Corp.

7.250%

12/1/10

6,400

 

6,660

 

Verizon Global Funding Corp.

6.875%

6/15/12

2,500

 

2,552

 

Verizon Global Funding Corp.

7.375%

9/1/12

1,000

 

1,039

 

Verizon Global Funding Corp.

4.375%

6/1/13

250

 

231

 

Verizon New England, Inc.

6.500%

9/15/11

2,500

 

2,488

 

Verizon New Jersey, Inc.

5.875%

1/17/12

2,000

 

1,991

 

Verizon New York, Inc.

6.875%

4/1/12

2,000

 

1,990

 

Verizon Pennsylvania, Inc.

5.650%

11/15/11

2,000

 

1,984

 

Verizon Virginia, Inc.

4.625%

3/15/13

3,600

 

3,299

 

Vodafone AirTouch PLC

7.750%

2/15/10

6,235

 

6,381

 

Vodafone Group PLC

5.500%

6/15/11

850

 

846

 

Vodafone Group PLC

5.350%

2/27/12

8,175

 

8,030

 

 

Consumer Cyclical (1.8%)

2

Best Buy Co.

6.750%

7/15/13

1,750

 

1,780

 

Costco Wholesale Corp.

5.300%

3/15/12

4,200

 

4,294

 

CVS Caremark Corp.

5.750%

8/15/11

1,800

 

1,827

3

CVS Caremark Corp.

6.302%

6/1/37

2,500

 

2,044

 

 

 

DaimlerChrysler North America Holding Corp.

7.200%

9/1/09

6,100

 

6,111

 

 

DaimlerChrysler North America Holding Corp.

4.875%

6/15/10

2,200

 

2,135

 

DaimlerChrysler North America Holding Corp.

8.000%

6/15/10

1,175

 

1,196

 

DaimlerChrysler North America Holding Corp.

5.875%

3/15/11

6,350

 

6,265

 

DaimlerChrysler North America Holding Corp.

5.750%

9/8/11

10,300

 

10,008

 

DaimlerChrysler North America Holding Corp.

7.300%

1/15/12

3,475

 

3,476

 

Darden Restaurants Inc.

5.625%

10/15/12

1,300

 

1,252

 

Federated Retail Holding

5.350%

3/15/12

6,100

 

5,455

 

Home Depot Inc.

4.625%

8/15/10

3,425

 

3,347

 

Home Depot Inc.

5.200%

3/1/11

1,325

 

1,296

 

J.C. Penney Co., Inc.

8.000%

3/1/10

3,000

 

3,093

 

Johnson Controls, Inc.

5.250%

1/15/11

1,975

 

2,032

 

Limited Brands Inc.

6.125%

12/1/12

800

 

755

 

Lowe's Cos., Inc.

8.250%

6/1/10

2,000

 

2,143

 

Lowe's Cos., Inc.

5.600%

9/15/12

3,200

 

3,276

 

Marriott International

4.625%

6/15/12

1,175

 

1,084

 

Marriott International

5.625%

2/15/13

1,425

 

1,346

 

McDonald's Corp.

5.750%

3/1/12

1,800

 

1,886

 

McDonald's Corp.

4.300%

3/1/13

2,000

 

1,957

 

Starwood Hotel Resorts

7.875%

5/1/12

2,500

 

2,453

 

Starwood Hotel Resorts

6.250%

2/15/13

1,900

 

1,789

 

Target Corp.

7.500%

8/15/10

3,000

 

3,203

 

Target Corp.

6.350%

1/15/11

4,900

 

5,047

 

Target Corp.

5.125%

1/15/13

1,075

 

1,078

 

Target Corp.

4.000%

6/15/13

825

 

795

 

The Walt Disney Co.

5.700%

7/15/11

2,900

 

2,955

 

The Walt Disney Co.

6.375%

3/1/12

1,500

 

1,595

 

The Walt Disney Co.

4.700%

12/1/12

7,200

 

7,302

 

Time Warner, Inc.

6.750%

4/15/11

1,750

 

1,763

 

Time Warner, Inc.

5.500%

11/15/11

7,150

 

6,956

 

Time Warner, Inc.

6.875%

5/1/12

5,075

 

5,110

 

Toll Brothers, Inc.

6.875%

11/15/12

750

 

717

 

Toyota Motor Credit Corp.

4.250%

3/15/10

3,575

 

3,621

 

Toyota Motor Credit Corp.

4.350%

12/15/10

2,300

 

2,320

 

Toyota Motor Credit Corp.

5.450%

5/18/11

3,000

 

3,101

 

Viacom Inc.

5.750%

4/30/11

2,925

 

2,843

 

Wal-Mart Stores, Inc.

4.000%

1/15/10

1,600

 

1,615

 

Wal-Mart Stores, Inc.

4.125%

7/1/10

5,975

 

6,014

 

Wal-Mart Stores, Inc.

4.750%

8/15/10

2,175

 

2,247

 

Wal-Mart Stores, Inc.

4.125%

2/15/11

6,475

 

6,507

 

Wal-Mart Stores, Inc.

4.250%

4/15/13

2,400

 

2,367

 

Wal-Mart Stores, Inc.

4.550%

5/1/13

3,050

 

3,016

 

Wal-Mart Stores, Inc.

7.250%

6/1/13

2,300

 

2,580

 

Walgreen Co.

4.875%

8/1/13

4,200

 

4,216

 

Western Union Co.

5.400%

11/17/11

1,925

 

1,933

 

Yum! Brands, Inc.

8.875%

4/15/11

6,000

 

6,401

 

Yum! Brands, Inc.

7.700%

7/1/12

1,600

 

1,672

 

 

Consumer Noncyclical (2.3%)

 

Abbott Laboratories

3.750%

3/15/11

2,275

 

2,286

 

Abbott Laboratories

5.600%

5/15/11

6,825

 

7,026

 

Abbott Laboratories

5.150%

11/30/12

3,325

 

3,416

 

AmerisourceBergen Corp.

5.625%

9/15/12

1,225

 

1,181

 

 

 

Amgen Inc.

4.000%

11/18/09

3,150

 

3,176

 

 

Anheuser Busch Cos., Inc.

4.700%

4/15/12

1,500

 

1,371

 

Anheuser-Busch Cos., Inc.

6.000%

4/15/11

800

 

806

 

Anheuser-Busch Cos., Inc.

4.375%

1/15/13

1,500

 

1,386

 

AstraZeneca PLC

5.400%

9/15/12

9,375

 

9,530

 

Baxter Finco, BV

4.750%

10/15/10

500

 

515

 

Biogen Idec Inc.

6.000%

3/1/13

2,700

 

2,692

 

Bottling Group LLC

4.625%

11/15/12

4,500

 

4,488

 

Bristol-Myers Squibb Co.

5.250%

8/15/13

1,675

 

1,702

 

Campbell Soup Co.

6.750%

2/15/11

1,000

 

1,071

 

Cardinal Health, Inc.

6.750%

2/15/11

425

 

431

 

Cardinal Health, Inc.

5.650%

6/15/12

375

 

377

 

Cia. Brasil de Bebidas AmBev

10.500%

12/15/11

1,300

 

1,433

 

Clorox Co.

4.200%

1/15/10

2,650

 

2,649

 

Coca-Cola Enterprises Inc.

5.000%

8/15/13

2,300

 

2,347

 

Colgate-Palmolive Co.

5.980%

4/25/12

1,250

 

1,276

 

ConAgra Foods, Inc.

7.875%

9/15/10

1,000

 

1,063

 

ConAgra Foods, Inc.

6.750%

9/15/11

387

 

402

 

Covidien International

5.450%

10/15/12

2,425

 

2,384

 

Diageo Capital PLC

4.375%

5/3/10

500

 

498

 

Diageo Capital PLC

5.200%

1/30/13

5,036

 

5,115

 

Diageo Finance BV

3.875%

4/1/11

3,500

 

3,469

2

Dr. Pepper Snapple Group

6.120%

5/1/13

325

 

326

 

Eli Lilly & Co.

6.000%

3/15/12

5,375

 

5,661

 

Fortune Brands Inc.

5.125%

1/15/11

3,150

 

3,102

 

Genentech Inc.

4.400%

7/15/10

850

 

862

 

General Mills, Inc.

6.000%

2/15/12

4,675

 

4,752

 

General Mills, Inc.

5.650%

9/10/12

3,050

 

3,134

 

General Mills, Inc.

5.250%

8/15/13

1,625

 

1,616

 

GlaxoSmithKline Capital Inc.

4.850%

5/15/13

9,250

 

9,043

 

H.J. Heinz Co.

6.625%

7/15/11

2,500

 

2,613

 

H.J. Heinz Co.

6.000%

3/15/12

1,500

 

1,538

 

H.J. Heinz Co.

5.350%

7/15/13

1,300

 

1,295

 

Johnson & Johnson

5.150%

8/15/12

2,075

 

2,204

 

Johnson & Johnson

3.800%

5/15/13

1,525

 

1,502

 

Kellogg Co.

6.600%

4/1/11

5,850

 

6,090

 

Kellogg Co.

4.250%

3/6/13

4,175

 

4,068

 

Kimberly-Clark Corp.

5.625%

2/15/12

2,075

 

2,111

 

Kraft Foods, Inc.

4.125%

11/12/09

3,200

 

3,130

 

Kraft Foods, Inc.

5.625%

11/1/11

4,750

 

4,749

 

Kraft Foods, Inc.

6.250%

6/1/12

7,250

 

7,377

 

Kroger Co.

8.050%

2/1/10

1,700

 

1,755

 

Kroger Co.

6.800%

4/1/11

1,000

 

1,034

 

Kroger Co.

6.750%

4/15/12

3,050

 

3,095

 

Kroger Co.

6.200%

6/15/12

2,525

 

2,568

 

Kroger Co.

5.500%

2/1/13

2,175

 

2,184

 

Kroger Co.

5.000%

4/15/13

800

 

777

 

Laboratory Corp. of America

5.500%

2/1/13

875

 

857

 

McKesson Corp.

7.750%

2/1/12

1,475

 

1,575

 

McKesson Corp.

5.250%

3/1/13

1,500

 

1,484

 

Medco Health Solutions

6.125%

3/15/13

1,450

 

1,419

 

Medco Health Solutions

7.250%

8/15/13

800

 

819

 

Medtronic Inc.

4.375%

9/15/10

1,625

 

1,646

 

 

 

Merck & Co.

5.125%

11/15/11

1,850

 

1,912

 

 

Merck & Co.

4.375%

2/15/13

700

 

692

 

Molson Coors Capital Finance

4.850%

9/22/10

300

 

302

 

Newell Rubbermaid, Inc.

4.000%

5/1/10

1,000

 

975

 

Newell Rubbermaid, Inc.

5.500%

4/15/13

2,500

 

2,385

 

PepsiAmericas Inc.

5.750%

7/31/12

800

 

809

 

Pepsico, Inc.

5.150%

5/15/12

3,250

 

3,370

 

Pepsico, Inc.

4.650%

2/15/13

1,500

 

1,523

 

Philip Morris International Inc.

4.875%

5/16/13

5,525

 

5,305

 

Philips Electronics NV

4.625%

3/11/13

1,450

 

1,427

 

Quest Diagnostic, Inc.

5.125%

11/1/10

3,500

 

3,496

 

Reynolds American Inc.

6.500%

7/15/10

1,350

 

1,353

 

Reynolds American Inc.

7.250%

6/1/12

3,850

 

3,932

 

Reynolds American Inc.

7.250%

6/1/13

1,500

 

1,543

 

Safeway, Inc.

4.950%

8/16/10

875

 

874

 

Safeway, Inc.

6.500%

3/1/11

1,625

 

1,674

 

Safeway, Inc.

5.800%

8/15/12

3,050

 

3,116

 

Sara Lee Corp.

6.250%

9/15/11

2,500

 

2,475

 

Sysco Corp.

4.200%

2/12/13

600

 

591

 

Unilever Capital Corp.

7.125%

11/1/10

4,000

 

4,290

 

UST, Inc.

6.625%

7/15/12

1,000

 

1,040

 

Whirlpool Corp.

5.500%

3/1/13

3,575

 

3,466

 

Wm. Wrigley Jr. Co.

4.300%

7/15/10

2,425

 

2,412

 

Wyeth

6.950%

3/15/11

5,000

 

5,228

 

Wyeth

5.500%

3/15/13

5,600

 

5,506

 

 

Energy (1.0%)

 

Amerada Hess Corp.

6.650%

8/15/11

2,500

 

2,510

 

Anadarko Finance Co.

6.750%

5/1/11

3,375

 

3,474

 

Apache Corp.

6.250%

4/15/12

1,000

 

1,010

 

Apache Corp.

5.250%

4/15/13

1,500

 

1,460

 

Apache Corp.

6.000%

9/15/13

1,675

 

1,673

 

BP Capital Markets PLC

4.875%

3/15/10

2,000

 

2,047

 

Burlington Resources, Inc.

6.680%

2/15/11

2,000

 

2,128

 

Burlington Resources, Inc.

6.500%

12/1/11

500

 

533

 

Canadian Natural Resources

6.700%

7/15/11

2,500

 

2,564

 

Canadian Natural Resources

5.450%

10/1/12

2,850

 

2,827

 

Canadian Natural Resources

5.150%

2/1/13

500

 

485

 

Conoco Funding Co.

6.350%

10/15/11

11,375

 

11,698

 

ConocoPhillips

8.750%

5/25/10

3,800

 

4,082

 

ConocoPhillips Canada

5.300%

4/15/12

500

 

506

 

Devon Financing Corp.

6.875%

9/30/11

9,800

 

10,104

 

EOG Resources Inc.

6.125%

10/1/13

1,200

 

1,205

 

Halliburton Co.

5.500%

10/15/10

1,500

 

1,539

 

Husky Energy Inc.

6.250%

6/15/12

1,000

 

981

 

Kerr McGee Corp.

6.875%

9/15/11

3,475

 

3,626

 

Marathon Oil Corp.

6.125%

3/15/12

2,000

 

2,034

 

Marathon Oil Corp.

6.000%

7/1/12

3,100

 

3,160

 

Occidental Petroleum

4.250%

3/15/10

2,560

 

2,592

 

PanCanadian Energy Corp.

6.300%

11/1/11

1,500

 

1,551

 

Petro-Canada

4.000%

7/15/13

3,210

 

2,923

 

Shell International Finance BV

5.625%

6/27/11

1,950

 

2,077

 

Shell International Finance BV

4.950%

3/22/12

700

 

717

 

 

 

Transocean Inc.

5.250%

3/15/13

3,400

 

3,344

 

 

Valero Energy Corp.

6.875%

4/15/12

3,000

 

3,075

 

Weatherford International Inc.

5.950%

6/15/12

2,250

 

2,267

 

Weatherford International Inc.

5.150%

3/15/13

2,175

 

2,094

 

XTO Energy, Inc.

5.000%

8/1/10

1,000

 

1,009

 

XTO Energy, Inc.

5.900%

8/1/12

8,850

 

8,561

 

 

Other Industrial (0.1%)

 

Black & Decker Corp.

7.125%

6/1/11

1,000

 

1,036

 

Cooper Industries, Inc.

5.250%

11/15/12

1,400

 

1,428

 

Eaton Corp.

4.900%

5/15/13

1,050

 

1,034

 

 

Technology (1.0%)

 

Arrow Electronics, Inc.

6.875%

7/1/13

800

 

832

 

Cisco Systems Inc.

5.250%

2/22/11

10,000

 

10,272

 

Computer Sciences Corp.

5.000%

2/15/13

1,775

 

1,696

2

Computer Sciences Corp.

5.500%

3/15/13

725

 

706

2

Dell Inc.

4.700%

4/15/13

1,550

 

1,505

 

Dun & Bradstreet Corp.

6.000%

4/1/13

1,700

 

1,702

 

Electronic Data Systems

7.125%

10/15/09

825

 

853

 

Electronic Data Systems

6.000%

8/1/13

2,450

 

2,462

 

Fiserv, Inc.

6.125%

11/20/12

3,000

 

2,873

 

Hewlett-Packard Co.

6.500%

7/1/12

1,025

 

1,074

 

Hewlett-Packard Co.

4.500%

3/1/13

11,175

 

10,677

 

IBM International Group Capital

5.050%

10/22/12

13,700

 

13,864

 

International Business Machines Corp.

4.950%

3/22/11

2,325

 

2,389

 

Intuit Inc.

5.400%

3/15/12

950

 

889

 

Lexmark International Inc.

5.900%

6/1/13

1,050

 

1,028

 

Motorola, Inc.

7.625%

11/15/10

390

 

403

 

Motorola, Inc.

8.000%

11/1/11

925

 

928

 

Motorola, Inc.

5.375%

11/15/12

3,500

 

3,249

 

National Semiconductor

6.150%

6/15/12

1,250

 

1,249

 

Oracle Corp.

5.000%

1/15/11

6,150

 

6,282

 

Oracle Corp.

4.950%

4/15/13

3,400

 

3,390

 

Pitney Bowes, Inc.

4.625%

10/1/12

2,000

 

1,993

 

Tyco Electronics Group

6.000%

10/1/12

2,550

 

2,532

 

Xerox Corp.

7.125%

6/15/10

1,825

 

1,851

 

Xerox Corp.

6.875%

8/15/11

1,025

 

1,034

 

Xerox Corp.

5.500%

5/15/12

12,850

 

12,320

 

 

Transportation (0.3%)

 

Burlington Northern Santa Fe Corp.

7.125%

12/15/10

1,500

 

1,585

 

Burlington Northern Santa Fe Corp.

6.750%

7/15/11

2,500

 

2,616

 

Burlington Northern Santa Fe Corp.

5.900%

7/1/12

1,050

 

1,078

 

Canadian Pacific Railway Co.

6.250%

10/15/11

1,550

 

1,586

 

CSX Corp.

6.300%

3/15/12

2,000

 

2,011

 

Delta Air Lines Enhanced Equipment Trust Certificates

6.417%

7/2/12

2,000

 

1,755

 

Delta Air Lines, Inc.

7.111%

9/18/11

2,000

 

1,825

 

Norfolk Southern Corp.

6.750%

2/15/11

2,925

 

2,987

 

Ryder System Inc.

5.950%

5/2/11

850

 

850

 

Ryder System Inc.

6.000%

3/1/13

1,500

 

1,434

 

Southwest Airlines Co.

6.500%

3/1/12

2,000

 

1,974

 

 

 

Union Pacific Corp.

6.650%

1/15/11

2,000

 

2,088

 

 

Union Pacific Corp.

6.500%

4/15/12

4,750

 

4,835

 

United Parcel Service of America

4.500%

1/15/13

2,750

 

2,760

 

1,046,931

Utilities (1.9%)

 

Electric (1.3%)

 

American Electric Power Co., Inc.

5.375%

3/15/10

4,700

 

4,797

 

Carolina Power & Light Co.

6.500%

7/15/12

1,000

 

1,033

 

CenterPoint Energy Houston

5.700%

3/15/13

700

 

680

 

Cincinnati Gas & Electric Co.

5.700%

9/15/12

2,400

 

2,414

 

Commonwealth Edison Co.

6.150%

3/15/12

3,275

 

3,322

 

Consolidated Edison Co. of New York

4.875%

2/1/13

4,000

 

3,960

 

Constellation Energy Group, Inc.

6.125%

9/1/09

875

 

846

 

Constellation Energy Group, Inc.

7.000%

4/1/12

2,300

 

2,340

 

Consumers Energy Co.

5.000%

2/15/12

1,250

 

1,215

 

Consumers Energy Co.

5.375%

4/15/13

750

 

754

 

Detroit Edison Co.

6.125%

10/1/10

1,000

 

1,024

 

Dominion Resources, Inc.

4.750%

12/15/10

2,125

 

2,117

 

Dominion Resources, Inc.

5.000%

3/15/13

1,500

 

1,446

3

Dominion Resources, Inc.

6.300%

9/30/66

3,400

 

3,086

 

DTE Energy Co.

7.050%

6/1/11

1,000

 

1,025

 

Duke Energy Corp.

6.250%

1/15/12

3,500

 

3,627

 

Energy East Corp.

6.750%

6/15/12

1,750

 

1,797

 

Entrergy Arkansas Inc.

5.400%

8/1/13

1,000

 

974

 

Exelon Corp.

6.750%

5/1/11

1,000

 

1,010

 

Exelon Generation Co. LLC

6.950%

6/15/11

1,500

 

1,522

 

FirstEnergy Corp.

6.450%

11/15/11

6,875

 

6,897

 

Florida Power Corp.

4.500%

6/1/10

1,150

 

1,162

 

FPL Group Capital, Inc.

5.625%

9/1/11

3,350

 

3,345

 

FPL Group Capital, Inc.

5.350%

6/15/13

400

 

405

 

MidAmerican Energy Co.

5.650%

7/15/12

1,150

 

1,158

 

MidAmerican Energy Co.

5.125%

1/15/13

2,000

 

1,948

 

National Rural Utilities Cooperative Finance Corp.

4.375%

10/1/10

3,350

 

3,417

 

National Rural Utilities Cooperative Finance Corp.

7.250%

3/1/12

5,000

 

5,191

 

National Rural Utilities Cooperative Finance Corp.

5.500%

7/1/13

2,650

 

2,657

 

NiSource Finance Corp.

7.875%

11/15/10

2,800

 

2,870

 

NStar Electric Co.

4.875%

10/15/12

1,925

 

1,869

 

Ohio Power Co.

5.750%

9/1/13

775

 

761

 

Oncor Electric Delivery Co.

6.375%

5/1/12

1,950

 

1,869

 

Pacific Gas & Electric Co.

4.200%

3/1/11

1,100

 

1,065

 

PacifiCorp

6.900%

11/15/11

3,650

 

3,909

 

Pepco Holdings, Inc.

6.450%

8/15/12

2,000

 

2,025

 

PPL Energy Supply LLC

6.400%

11/1/11

1,000

 

1,015

 

PPL Energy Supply LLC

6.300%

7/15/13

950

 

939

 

Progress Energy, Inc.

7.100%

3/1/11

9,318

 

9,496

 

Progress Energy, Inc.

6.850%

4/15/12

775

 

795

 

PSE&G Power LLC

7.750%

4/15/11

1,950

 

2,050

 

PSE&G Power LLC

6.950%

6/1/12

4,775

 

4,948

 

Public Service Co. of Colorado

7.875%

10/1/12

4,625

 

5,078

 

SCANA Corp.

6.875%

5/15/11

1,500

 

1,522

 

 

Southern Co.

5.300%

1/15/12

2,550

 

2,563

 

Southern Power Co.

6.250%

7/15/12

1,000

 

1,021

 

Tampa Electric Co.

6.875%

6/15/12

1,000

 

1,031

 

Tampa Electric Co.

6.375%

8/15/12

2,000

 

2,030

 

Virginia Electric & Power Co.

5.100%

11/30/12

3,625

 

3,587

 

Wisconsin Energy Corp.

6.500%

4/1/11

4,595

 

4,713

 

 

Natural Gas (0.6%)

 

AGL Capital Corp.

7.125%

1/14/11

500

 

514

 

Atmos Energy Corp.

4.000%

10/15/09

1,300

 

1,286

 

CenterPoint Energy Resources

7.875%

4/1/13

1,500

 

1,525

 

Consolidated Natural Gas

6.250%

11/1/11

1,000

 

1,009

 

Duke Capital Corp.

6.250%

2/15/13

3,325

 

3,333

 

Duke Energy Field Services

7.875%

8/16/10

4,000

 

4,229

 

Energy Transfer Partners LP

5.650%

8/1/12

1,250

 

1,198

 

Energy Transfer Partners LP

6.000%

7/1/13

1,500

 

1,459

5

Enron Corp.

9.125%

4/1/03

2,000

 

40

5

Enron Corp.

7.625%

9/10/04

1,000

 

20

 

Enterprise Products Operating LP

4.625%

10/15/09

400

 

399

 

Enterprise Products Operating LP

4.950%

6/1/10

7,575

 

7,561

 

Enterprise Products Operating LP

5.650%

4/1/13

2,200

 

2,134

5

HNG Internorth

9.625%

3/15/06

1,500

 

30

 

KeySpan Corp.

7.625%

11/15/10

1,500

 

1,579

 

Kinder Morgan Energy Partners LP

6.750%

3/15/11

1,225

 

1,220

 

Kinder Morgan Energy Partners LP

7.125%

3/15/12

550

 

553

 

Kinder Morgan Energy Partners LP

5.850%

9/15/12

3,000

 

2,878

 

ONEOK Inc.

7.125%

4/15/11

2,000

 

2,067

 

ONEOK Partners, LP

5.900%

4/1/12

3,400

 

3,397

 

Reliant Energy Resources

7.750%

2/15/11

2,500

 

2,638

 

Sempra Energy

7.950%

3/1/10

1,500

 

1,552

 

Sempra Energy

6.000%

2/1/13

2,525

 

2,609

 

Teppco Partners, LP

5.900%

4/15/13

1,150

 

1,135

 

Trans-Canada Pipelines

4.000%

6/15/13

1,650

 

1,553

 

Transcontinental Gas Pipe Line Corp.

7.000%

8/15/11

650

 

672

 

Williams Cos., Inc.

7.125%

9/1/11

2,125

 

2,109

 

Williams Cos., Inc.

8.125%

3/15/12

2,100

 

2,152

 

171,176

Total Corporate Bonds (Cost $2,380,088)

2,238,389

Sovereign Bonds (U.S. Dollar-Denominated) (5.9%)

 

Asian Development Bank

4.500%

9/4/12

5,000

 

5,177

 

Asian Development Bank

3.625%

9/5/13

3,625

 

3,635

 

Canada Mortgage & Housing Corp.

4.800%

10/1/10

1,500

 

1,565

 

Canadian Mortgage & Housing Corp.

5.000%

9/1/11

4,000

 

4,278

 

Corp. Andina de Fomento

6.875%

3/15/12

2,300

 

2,441

 

Corp. Andina de Fomento

5.200%

5/21/13

2,575

 

2,594

 

Eksportfinans

5.125%

10/26/11

6,000

 

6,280

 

European Investment Bank

5.000%

2/8/10

3,350

 

3,468

 

European Investment Bank

4.000%

3/3/10

2,925

 

2,993

 

European Investment Bank

4.125%

9/15/10

3,600

 

3,664

 

European Investment Bank

4.625%

9/15/10

19,750

 

20,614

 

European Investment Bank

3.250%

2/15/11

15,425

 

15,656

 

European Investment Bank

2.625%

5/16/11

3,800

 

3,792

 

 

 

European Investment Bank

5.250%

6/15/11

12,975

 

13,660

 

 

European Investment Bank

3.125%

7/15/11

16,425

 

16,541

 

European Investment Bank

3.250%

10/14/11

4,775

 

4,833

 

European Investment Bank

4.625%

3/21/12

17,200

 

17,945

 

European Investment Bank

4.250%

7/15/13

16,950

 

17,488

 

Export Development Canada

3.750%

7/15/11

2,575

 

2,634

 

Export Development Canada

4.500%

10/25/12

7,500

 

7,830

 

Export-Import Bank of Korea

4.625%

3/16/10

500

 

495

 

Export-Import Bank of Korea

5.125%

2/14/11

600

 

587

 

Export-Import Bank of Korea

5.500%

10/17/12

2,800

 

2,804

 

Federation of Malaysia

7.500%

7/15/11

2,875

 

3,058

 

Federative Republic of Brazil

9.250%

10/22/10

8,225

 

8,883

 

Federative Republic of Brazil

11.000%

1/11/12

3,875

 

4,650

 

Financement Quebec

5.000%

10/25/12

2,000

 

2,099

 

Inter-American Development Bank

7.375%

1/15/10

2,800

 

2,979

 

Inter-American Development Bank

5.000%

4/5/11

5,000

 

5,205

 

Inter-American Development Bank

4.750%

10/19/12

12,500

 

13,122

 

Inter-American Development Bank

3.500%

3/15/13

3,000

 

2,943

 

International Bank for Reconstruction & Development

3.625%

5/21/13

3,000

 

3,062

 

International Finance Corp.

4.000%

6/15/10

1,250

 

1,285

 

International Finance Corp.

5.125%

5/2/11

7,100

 

7,426

 

Japan Bank International

4.750%

5/25/11

2,150

 

2,236

 

Japan Bank International

4.375%

11/26/12

2,200

 

2,237

 

Japan Bank International

4.250%

6/18/13

6,150

 

6,313

 

Japan Finance Corp.

5.875%

3/14/11

2,000

 

2,126

 

KFW International Finance Inc.

4.875%

10/19/09

3,650

 

3,665

 

KFW International Finance Inc.

3.250%

10/14/11

10,950

 

11,031

 

Korea Development Bank

5.300%

1/17/13

4,650

 

4,393

 

Kreditanstalt fur Wiederaufbau

4.250%

6/15/10

17,875

 

18,075

 

Kreditanstalt fur Wiederaufbau

3.250%

2/15/11

15,000

 

15,177

 

Kreditanstalt fur Wiederaufbau

3.750%

6/27/11

8,825

 

9,034

 

Kreditanstalt fur Wiederaufbau

4.750%

5/15/12

21,700

 

22,732

 

Kreditanstalt fur Wiederaufbau

3.250%

3/15/13

4,350

 

4,332

 

Kreditanstalt fur Wiederaufbau

3.500%

5/16/13

12,375

 

12,368

 

Landeskreditbank Baden-Wuerttemberg - Foerderbank

4.250%

9/15/10

3,500

 

3,569

 

Landeskreditbank Baden-Wuerttemberg - Foerderbank

4.875%

1/13/12

1,500

 

1,574

 

Landwirtschaftliche Rentenbank

3.625%

10/20/09

7,225

 

7,220

 

Landwirtschaftliche Rentenbank

3.875%

3/15/10

3,500

 

3,573

 

Landwirtschaftliche Rentenbank

4.875%

2/14/11

6,000

 

6,196

 

Landwirtschaftliche Rentenbank

5.250%

7/15/11

3,500

 

3,668

 

Landwirtschaftliche Rentenbank

5.250%

7/2/12

4,500

 

4,754

 

Landwirtschaftliche Rentenbank

3.250%

3/15/13

2,100

 

2,064

 

Mass Transit Railway Corp.

7.500%

11/8/10

1,500

 

1,632

 

Nordic Investment Bank

3.875%

6/15/10

3,750

 

3,785

 

Nordic Investment Bank

4.500%

9/13/10

5,000

 

5,209

 

Nordic Investment Bank

3.125%

2/15/11

6,000

 

6,100

 

 

Oesterreichische Kontrollbank

4.250%

10/6/10

3,375

 

3,487

 

Oesterreichische Kontrollbank

2.875%

3/15/11

1,000

 

1,006

 

Oesterreichische Kontrollbank

3.125%

10/14/11

450

 

455

 

Oesterreichische Kontrollbank

4.750%

11/8/11

9,500

 

9,811

 

Oesterreichische Kontrollbank

4.750%

10/16/12

4,725

 

4,941

 

Ontario Hydro Electric

7.450%

3/31/13

1,000

 

1,154

 

Pemex Project Funding Master Trust

9.125%

10/13/10

2,500

 

2,659

 

Petrobras International Finance

9.125%

7/2/13

2,500

 

2,725

 

Province of Ontario

3.125%

9/8/10

3,975

 

4,001

 

Province of Ontario

2.750%

2/22/11

3,900

 

3,894

 

Province of Ontario

3.375%

5/20/11

950

 

964

 

Province of Ontario

5.000%

10/18/11

12,450

 

13,031

 

Province of Ontario

3.500%

7/15/13

6,000

 

5,955

 

Province of Quebec

6.125%

1/22/11

4,200

 

4,501

 

Province of Saskatchewan

7.375%

7/15/13

1,000

 

1,173

 

Quebec Hydro Electric

6.300%

5/11/11

2,500

 

2,685

 

Quebec Hydro Electric

8.000%

2/1/13

2,000

 

2,331

 

Republic of Chile

7.125%

1/11/12

3,000

 

3,289

 

Republic of Chile

5.500%

1/15/13

3,200

 

3,368

 

Republic of Italy

6.000%

2/22/11

5,775

 

6,115

^

Republic of Italy

3.500%

7/15/11

2,925

 

2,971

 

Republic of Italy

5.625%

6/15/12

14,850

 

15,967

 

Republic of Korea

4.250%

6/1/13

3,225

 

3,091

 

Republic of Peru

9.125%

2/21/12

2,500

 

2,731

 

Republic of Poland

6.250%

7/3/12

2,600

 

2,762

 

Republic of South Africa

7.375%

4/25/12

2,500

 

2,537

 

State of Israel

4.625%

6/15/13

2,350

 

2,379

 

Swedish Export Credit Corp.

4.875%

1/19/10

2,500

 

2,565

 

Swedish Export Credit Corp.

4.000%

6/15/10

2,175

 

2,194

 

Swedish Export Credit Corp.

4.500%

9/27/10

8,350

 

8,629

 

United Mexican States

9.875%

2/1/10

475

 

511

 

United Mexican States

8.375%

1/14/11

11,600

 

12,470

 

United Mexican States

7.500%

1/14/12

2,100

 

2,247

 

United Mexican States

6.375%

1/16/13

2,450

 

2,519

Total Sovereign Bonds (Cost $511,411)

519,867

 

Coupon

 

Shares

 

Temporary Cash Investments (0.7%)

6,7

Vanguard Market Liquidity Fund (Cost $65,462)

2.296%

 

65,462,203

65,462

Total Investments (100.1%) (Cost $8,956,645)

8,898,275

7 Other Assets and Liabilities-Net (-0.1%)

(8,808)

Net Assets (100%)

8,889,467

 

 

 

^

Part of security position is on loan to broker-dealers. The total value of securities on loan is $1,027,000.

1

The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

2

Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2008, the aggregate value of these securities was $29,708,000, representing 0.3% of net assets.

3

The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

4

Adjustable-rate security.

5

Non-income-producing security--security in default.

6

Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

7

Includes $1,060,000 of collateral received for securities on loan.

 

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

At September 30, 2008, the cost of investment securities for tax purposes was $8,956,645,000. Net unrealized depreciation of investment securities for tax purposes was $58,370,000, consisting of unrealized gains of $104,291,000 on securities that had risen in value since their purchase and $162,661,000 in unrealized losses on securities that had fallen in value since their purchase.

In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.

The various inputs that may be used to determine the value of the fund's investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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

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

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

The following table summarizes the fund's investments as of September 30, 2008, based on the inputs used to value them:

Valuation Inputs

Investments in Securities ($000)

Level 1- Quoted prices

65,462

Level 2- Other significant observable inputs

8,832,813

Level 3- Significant unobservable inputs

-

Total

8,898,275

 

Amount valued based on Level 3 Inputs

Investments in Securities ($000)

Balance as of December 31, 2007

-

Transfers in and/or out of Level 3

45

Change in Unrealized Appreciation (Depreciation)

(45)

Balance as of September 30, 2008

-

Vanguard Total Bond Market Index Fund
Schedule of Investments
September 30, 2008

Coupon Maturity
Date		 Face
Amount
($000)		 Market
Value
($000)
    U.S. Government and Agency Obligations (72.0%)        
    U.S. Government Securities (24.2%)
    U.S. Treasury Bond 13.250% 5/15/2014  7,000  7,486 
    U.S. Treasury Bond 11.250% 2/15/2015  77,200  111,989 
    U.S. Treasury Bond 10.625% 8/15/2015  7,350  10,576 
    U.S. Treasury Bond 9.875% 11/15/2015  327,600  458,922 
    U.S. Treasury Bond 9.250% 2/15/2016  8,525  11,674 
    U.S. Treasury Bond 7.250% 5/15/2016  114,640  141,881 
    U.S. Treasury Bond 7.500% 11/15/2016  112,144  140,986 
    U.S. Treasury Bond 8.750% 5/15/2017  470,440  639,210 
    U.S. Treasury Bond 8.875% 8/15/2017  33,135  45,405 
    U.S. Treasury Bond 9.125% 5/15/2018  5,710  8,069 
    U.S. Treasury Bond 8.875% 2/15/2019  219,875  308,718 
    U.S. Treasury Bond 8.125% 8/15/2019  122,495  164,947 
    U.S. Treasury Bond 8.500% 2/15/2020  2,165  3,007 
    U.S. Treasury Bond 8.750% 8/15/2020  294,125  417,657 
    U.S. Treasury Bond 7.875% 2/15/2021  269,607  362,454 
    U.S. Treasury Bond 8.125% 5/15/2021  15,125  20,766 
    U.S. Treasury Bond 8.125% 8/15/2021  192,215  264,567 
    U.S. Treasury Bond 8.000% 11/15/2021  81,920  112,089 
    U.S. Treasury Bond 7.625% 11/15/2022  76,855  103,298 
    U.S. Treasury Bond 7.125% 2/15/2023  46,535  60,005 
    U.S. Treasury Bond 6.250% 8/15/2023  71,930  86,462 
    U.S. Treasury Bond 6.875% 8/15/2025  24,650  31,818 
    U.S. Treasury Bond 6.000% 2/15/2026  23,200  27,530 
    U.S. Treasury Bond 6.750% 8/15/2026  425,905  547,156 
    U.S. Treasury Bond 6.500% 11/15/2026  775  973 
    U.S. Treasury Bond 6.625% 2/15/2027  39,585  50,477 
    U.S. Treasury Bond 6.375% 8/15/2027  32,345  40,330 
    U.S. Treasury Bond 6.125% 11/15/2027  4,015  4,888 
    U.S. Treasury Bond 5.500% 8/15/2028  13,970  15,915 
    U.S. Treasury Bond 5.250% 11/15/2028  5,410  5,991 
    U.S. Treasury Bond 5.250% 2/15/2029  139,000  154,051 
    U.S. Treasury Bond 6.125% 8/15/2029  184,640  227,281 
    U.S. Treasury Bond 6.250% 5/15/2030  22,225  27,871 
    U.S. Treasury Bond 5.375% 2/15/2031  3,500  3,976 
    U.S. Treasury Bond 4.500% 2/15/2036  66,940  68,823 
    U.S. Treasury Bond 4.750% 2/15/2037  274,350  293,941 
    U.S. Treasury Bond 5.000% 5/15/2037  1,325  1,476 
    U.S. Treasury Bond 4.375% 2/15/2038  36,350  36,810 
    U.S. Treasury Bond 4.500% 5/15/2038  56,000  57,820 
    U.S. Treasury Note 4.750% 11/15/2008  10,310  10,360 
    U.S. Treasury Note 4.750% 12/31/2008  410  414 
    U.S. Treasury Note 4.875% 1/31/2009  7,120  7,216 
    U.S. Treasury Note 4.750% 2/28/2009  840  851 
    U.S. Treasury Note 2.625% 3/15/2009  12,730  12,796 
    U.S. Treasury Note 4.500% 3/31/2009  63,580  64,523 
    U.S. Treasury Note 4.500% 4/30/2009  38,700  39,317 
    U.S. Treasury Note 4.000% 6/15/2009  5,970  6,062 
    U.S. Treasury Note 4.625% 7/31/2009  2,805  2,869 
    U.S. Treasury Note 3.500% 8/15/2009  6,150  6,238 
    U.S. Treasury Note 6.000% 8/15/2009  225,330  233,358 
    U.S. Treasury Note 4.000% 8/31/2009  161,135  164,308 
    U.S. Treasury Note 4.000% 9/30/2009  175,795  179,503 
    U.S. Treasury Note 3.625% 10/31/2009  71,575  72,939 
    U.S. Treasury Note 4.625% 11/15/2009  49,585  51,119 
    U.S. Treasury Note 3.125% 11/30/2009  886,625  899,233 
    U.S. Treasury Note 3.250% 12/31/2009  387,800  394,586 
    U.S. Treasury Note 2.125% 1/31/2010  100,000  100,375 
    U.S. Treasury Note 3.500% 2/15/2010  29,270  29,947 
    U.S. Treasury Note 4.750% 2/15/2010  468,875  487,555 
1 U.S. Treasury Note 6.500% 2/15/2010  828,815  881,652 
    U.S. Treasury Note 1.750% 3/31/2010  365,775  364,919 
    U.S. Treasury Note 4.000% 4/15/2010  9,125  9,421 
    U.S. Treasury Note 2.625% 5/31/2010  51,075  51,658 
    U.S. Treasury Note 2.875% 6/30/2010  510,350  519,123 
    U.S. Treasury Note 2.750% 7/31/2010  309,700  314,733 
    U.S. Treasury Note 4.125% 8/15/2010  19,006  19,802 
    U.S. Treasury Note 5.750% 8/15/2010  45,350  48,588 
    U.S. Treasury Note 4.500% 11/15/2010  500  527 
    U.S. Treasury Note 5.000% 2/15/2011  93,650  100,176 
    U.S. Treasury Note 4.500% 2/28/2011  240,690  254,643 
    U.S. Treasury Note 4.750% 3/31/2011  1,000  1,066 
    U.S. Treasury Note 4.875% 4/30/2011  1,950  2,087 
    U.S. Treasury Note 4.500% 9/30/2011  1,845  1,962 
    U.S. Treasury Note 4.625% 10/31/2011  3,845  4,103 
    U.S. Treasury Note 4.500% 11/30/2011  344,710  366,578 
    U.S. Treasury Note 4.625% 12/31/2011  200  213 
    U.S. Treasury Note 4.625% 2/29/2012  107,970  115,410 
    U.S. Treasury Note 4.500% 3/31/2012  29,050  30,943 
    U.S. Treasury Note 4.500% 4/30/2012  203,210  216,864 
    U.S. Treasury Note 4.750% 5/31/2012  769,205  827,495 
    U.S. Treasury Note 4.875% 6/30/2012  325,900  352,278 
    U.S. Treasury Note 4.625% 7/31/2012  896,300  961,282 
    U.S. Treasury Note 4.125% 8/31/2012  54,615  57,602 
    U.S. Treasury Note 4.250% 9/30/2012  19,660  20,836 
    U.S. Treasury Note 3.875% 10/31/2012  723,875  756,905 
    U.S. Treasury Note 3.375% 11/30/2012  2,700  2,768 
    U.S. Treasury Note 3.875% 2/15/2013  13,740  14,317 
    U.S. Treasury Note 2.750% 2/28/2013  4,820  4,797 
    U.S. Treasury Note 2.500% 3/31/2013  16,420  16,179 
    U.S. Treasury Note 3.500% 5/31/2013  180,855  185,517 
    U.S. Treasury Note 3.375% 6/30/2013  10,150  10,362 
    U.S. Treasury Note 3.125% 8/31/2013  196,185  197,902 
    U.S. Treasury Note 4.250% 11/15/2013  34,770  36,954 
    U.S. Treasury Note 4.000% 2/15/2014  176,000  185,020 
    U.S. Treasury Note 4.750% 5/15/2014  9,675  10,574 
    U.S. Treasury Note 4.250% 8/15/2014  12,000  12,774 
    U.S. Treasury Note 4.250% 11/15/2014  3,875  4,129 
    U.S. Treasury Note 4.125% 5/15/2015  14,670  15,485 
    U.S. Treasury Note 4.500% 11/15/2015  16,900  18,084 
    U.S. Treasury Note 4.500% 2/15/2016  1,925  2,054 
    U.S. Treasury Note 5.125% 5/15/2016  357,375  393,477 
    U.S. Treasury Note 4.875% 8/15/2016  17,380  18,857 
    U.S. Treasury Note 4.625% 11/15/2016  1,150  1,226 
    U.S. Treasury Note 4.625% 2/15/2017  69,225  73,790 
    U.S. Treasury Note 4.500% 5/15/2017  176,500  186,015 
    U.S. Treasury Note 4.250% 11/15/2017  250  260 
    U.S. Treasury Note 3.500% 2/15/2018  600  589 
    U.S. Treasury Note 4.000% 8/15/2018  188,025  190,669 
  15,703,529
    Agency Bonds and Notes (8.0%)
    Agency for International Development - Egypt (U.S. Government Guaranteed) 4.450% 9/15/2015  15,150  15,803 
2 Federal Farm Credit Bank 5.000% 10/23/2009  5,000  5,106 
2 Federal Farm Credit Bank 5.250% 9/13/2010  5,200  5,400 
2 Federal Farm Credit Bank 3.750% 12/6/2010  14,625  14,762 
2 Federal Farm Credit Bank 4.875% 2/18/2011  30,000  31,003 
2 Federal Farm Credit Bank 2.625% 4/21/2011  14,750  14,465 
2 Federal Farm Credit Bank 5.375% 7/18/2011  28,750  30,134 
2 Federal Farm Credit Bank 3.875% 8/25/2011  15,200  15,322 
2 Federal Farm Credit Bank 4.500% 10/17/2012  14,100  14,380 
2 Federal Farm Credit Bank 3.875% 10/7/2013  9,600  9,489 
2 Federal Farm Credit Bank 4.875% 12/16/2015  1,575  1,606 
2 Federal Farm Credit Bank 5.125% 8/25/2016  10,325  10,600 
2 Federal Farm Credit Bank 4.875% 1/17/2017  9,500  9,556 
2 Federal Farm Credit Bank 5.150% 11/15/2019  20,000  20,429 
2 Federal Home Loan Bank 5.790% 4/27/2009  900  912 
2 Federal Home Loan Bank 4.500% 10/9/2009  95,000  96,548 
2 Federal Home Loan Bank 5.000% 12/11/2009  19,600  20,063 
2 Federal Home Loan Bank 3.750% 1/8/2010  1,650  1,664 
2 Federal Home Loan Bank 3.875% 1/15/2010  86,700  87,605 
2 Federal Home Loan Bank 2.750% 3/12/2010  15,100  15,011 
2 Federal Home Loan Bank 4.375% 3/17/2010  95,000  96,717 
2 Federal Home Loan Bank 4.875% 5/14/2010  22,000  22,604 
2 Federal Home Loan Bank 7.625% 5/14/2010  71,925  77,000 
2 Federal Home Loan Bank 3.000% 6/11/2010  16,200  16,141 
2 Federal Home Loan Bank 2.750% 6/18/2010  14,850  14,746 
2 Federal Home Loan Bank 3.500% 7/16/2010  55,475  55,684 
2 Federal Home Loan Bank 3.375% 10/20/2010  29,850  29,817 
2 Federal Home Loan Bank 4.750% 12/10/2010  5,300  5,453 
2 Federal Home Loan Bank 3.625% 12/17/2010  10,800  10,869 
2 Federal Home Loan Bank 3.125% 6/10/2011  9,875  9,750 
2 Federal Home Loan Bank 3.375% 6/24/2011  75,000  74,639 
2 Federal Home Loan Bank 3.625% 7/1/2011  23,175  23,189 
2 Federal Home Loan Bank 5.375% 8/19/2011  81,550  85,455 
2 Federal Home Loan Bank 3.750% 9/9/2011  5,875  5,896 
2 Federal Home Loan Bank 3.625% 9/16/2011  11,775  11,763 
2 Federal Home Loan Bank 4.875% 11/18/2011  25,750  26,682 
2 Federal Home Loan Bank 4.625% 10/10/2012  41,875  42,866 
2 Federal Home Loan Bank 3.375% 2/27/2013  12,500  12,181 
2 Federal Home Loan Bank 3.875% 6/14/2013  30,625  30,393 
2 Federal Home Loan Bank 5.375% 6/14/2013  15,000  15,755 
2 Federal Home Loan Bank 5.125% 8/14/2013  82,100  85,326 
2 Federal Home Loan Bank 4.000% 9/6/2013  18,025  17,816 
2 Federal Home Loan Bank 5.250% 9/13/2013  2,500  2,618 
2 Federal Home Loan Bank 4.500% 9/16/2013  64,325  65,114 
2 Federal Home Loan Bank 3.625% 10/18/2013  29,075  28,229 
2 Federal Home Loan Bank 5.500% 8/13/2014  110,125  115,957 
2 Federal Home Loan Bank 5.375% 5/18/2016  49,850  51,766 
2 Federal Home Loan Bank 5.625% 6/13/2016  2,950  2,867 
2 Federal Home Loan Bank 5.125% 10/19/2016  12,600  12,856 
2 Federal Home Loan Bank 4.750% 12/16/2016  86,575  86,469 
2 Federal Home Loan Bank 4.875% 5/17/2017  29,600  29,697 
2 Federal Home Loan Bank 5.000% 11/17/2017  5,900  5,940 
2 Federal Home Loan Bank 5.250% 12/11/2020  16,150  16,444 
2 Federal Home Loan Bank 5.625% 6/11/2021  1,375  1,439 
2 Federal Home Loan Bank 5.500% 7/15/2036  11,000  11,540 
2 Federal Home Loan Mortgage Corp. 3.750% 5/12/2009  3,130  3,135 
2 Federal Home Loan Mortgage Corp. 4.750% 11/3/2009  35,000  35,779 
2 Federal Home Loan Mortgage Corp. 7.000% 3/15/2010  81,425  85,945 
2 Federal Home Loan Mortgage Corp. 2.875% 4/30/2010  22,200  22,137 
2 Federal Home Loan Mortgage Corp. 2.875% 6/28/2010  11,600  11,561 
2 Federal Home Loan Mortgage Corp. 4.125% 7/12/2010  127,947  130,130 
2 Federal Home Loan Mortgage Corp. 3.250% 7/16/2010  11,800  11,830 
2 Federal Home Loan Mortgage Corp. 5.125% 8/23/2010  75,000  77,799 
2 Federal Home Loan Mortgage Corp. 6.875% 9/15/2010  38,683  41,417 
2 Federal Home Loan Mortgage Corp. 5.000% 10/18/2010  6,200  6,416 
2 Federal Home Loan Mortgage Corp. 3.125% 10/25/2010  12,400  12,413 
2 Federal Home Loan Mortgage Corp. 4.750% 1/18/2011  58,900  60,732 
2 Federal Home Loan Mortgage Corp. 3.250% 2/25/2011  18,500  18,445 
2 Federal Home Loan Mortgage Corp. 5.625% 3/15/2011  50,000  52,683 
2 Federal Home Loan Mortgage Corp. 5.875% 3/21/2011  750  778 
2 Federal Home Loan Mortgage Corp. 5.125% 4/18/2011  60,000  62,534 
2 Federal Home Loan Mortgage Corp. 6.000% 6/15/2011  33,800  36,015 
2 Federal Home Loan Mortgage Corp. 3.875% 6/29/2011  11,225  11,354 
2 Federal Home Loan Mortgage Corp. 5.250% 7/18/2011  115,000  120,468 
2 Federal Home Loan Mortgage Corp. 5.750% 1/15/2012  82,000  87,313 
2 Federal Home Loan Mortgage Corp. 5.500% 8/20/2012  50,000  52,963 
2 Federal Home Loan Mortgage Corp. 4.625% 10/25/2012  38,850  39,954 
2 Federal Home Loan Mortgage Corp. 4.125% 12/21/2012  17,950  18,103 
2 Federal Home Loan Mortgage Corp. 4.500% 1/15/2013  81,325  83,190 
2 Federal Home Loan Mortgage Corp. 4.500% 7/15/2013  22,525  23,047 
2 Federal Home Loan Mortgage Corp. 4.875% 11/15/2013  114,925  119,198 
2 Federal Home Loan Mortgage Corp. 5.000% 7/15/2014  90,650  94,290 
2 Federal Home Loan Mortgage Corp. 0.000% 11/24/2014  9,500  7,339 
2 Federal Home Loan Mortgage Corp. 4.750% 1/19/2016  86,700  88,031 
2 Federal Home Loan Mortgage Corp. 5.250% 4/18/2016  125,000  130,151 
2 Federal Home Loan Mortgage Corp. 5.000% 2/16/2017  30,000  30,622 
2 Federal Home Loan Mortgage Corp. 5.000% 4/18/2017  10,000  10,176 
2 Federal Home Loan Mortgage Corp. 5.500% 8/23/2017  40,000  42,341 
2 Federal Home Loan Mortgage Corp. 4.875% 6/13/2018  24,050  24,322 
2 Federal Home Loan Mortgage Corp. 5.000% 12/14/2018  29,521  27,403 
2 Federal Home Loan Mortgage Corp. 6.750% 9/15/2029  14,000  17,005 
2 Federal Home Loan Mortgage Corp. 6.750% 3/15/2031  66,750  81,736 
2 Federal National Mortgage Assn. 7.250% 1/15/2010  89,090  93,743 
2 Federal National Mortgage Assn. 3.250% 2/10/2010  21,800  21,854 
2 Federal National Mortgage Assn. 3.875% 2/15/2010  40,100  40,529 
2 Federal National Mortgage Assn. 4.750% 3/12/2010  34,350  35,175 
2 Federal National Mortgage Assn. 4.125% 5/15/2010  36,000  36,595 
2 Federal National Mortgage Assn. 7.125% 6/15/2010  25  27 
2 Federal National Mortgage Assn. 3.000% 7/12/2010  61,000  60,915 
2 Federal National Mortgage Assn. 2.875% 10/12/2010  17,450  17,384 
2 Federal National Mortgage Assn. 4.750% 12/15/2010  91,100  94,041 
2 Federal National Mortgage Assn. 6.250% 2/1/2011  16,665  17,389 
2 Federal National Mortgage Assn. 5.125% 4/15/2011  37,900  39,486 
2 Federal National Mortgage Assn. 6.000% 5/15/2011  44,580  47,416 
2 Federal National Mortgage Assn. 3.375% 5/19/2011  50,000  49,992 
2 Federal National Mortgage Assn. 3.625% 8/15/2011  18,025  18,120 
2 Federal National Mortgage Assn. 5.000% 10/15/2011  86,925  90,525 
2 Federal National Mortgage Assn. 6.125% 3/15/2012  87,705  94,484 
2 Federal National Mortgage Assn. 4.875% 5/18/2012  18,425  19,095 
2 Federal National Mortgage Assn. 5.250% 8/1/2012  9,100  9,111 
2 Federal National Mortgage Assn. 4.375% 9/15/2012  44,025  44,861 
2 Federal National Mortgage Assn. 3.625% 2/12/2013  22,225  21,961 
2 Federal National Mortgage Assn. 4.750% 2/21/2013  5,000  5,155 
2 Federal National Mortgage Assn. 4.375% 3/15/2013  90,240  91,892 
2 Federal National Mortgage Assn. 4.625% 5/1/2013  27,969  27,383 
2 Federal National Mortgage Assn. 4.625% 10/15/2013  60,850  62,422 
2 Federal National Mortgage Assn. 5.125% 1/2/2014  3,925  3,904 
2 Federal National Mortgage Assn. 4.125% 4/15/2014  75,000  74,949 
2 Federal National Mortgage Assn. 4.625% 10/15/2014  50,000  50,821 
2 Federal National Mortgage Assn. 5.000% 4/15/2015  20,000  20,684 
2 Federal National Mortgage Assn. 4.375% 10/15/2015  20,000  19,883 
2 Federal National Mortgage Assn. 8.200% 3/10/2016  50  61 
2 Federal National Mortgage Assn. 5.375% 7/15/2016  20,000  20,967 
2 Federal National Mortgage Assn. 5.250% 9/15/2016  54,975  57,268 
2 Federal National Mortgage Assn. 4.875% 12/15/2016  6,475  6,565 
2 Federal National Mortgage Assn. 5.000% 2/13/2017  93,425  95,359 
2 Federal National Mortgage Assn. 5.000% 5/11/2017  50,000  50,953 
2 Federal National Mortgage Assn. 6.250% 5/15/2029  1,375  1,578 
2 Federal National Mortgage Assn. 7.125% 1/15/2030  30,805  39,013 
2 Federal National Mortgage Assn. 7.250% 5/15/2030  94,001  120,947 
2 Federal National Mortgage Assn. 6.625% 11/15/2030  17,460  21,085 
2 Federal National Mortgage Assn. 5.625% 7/15/2037  5,650  5,976 
    Financing Corp. 9.800% 4/6/2018  1,650  2,267 
    Private Export Funding Corp. 7.200% 1/15/2010  31,825  33,469 
    Resolution Funding Corp. (U.S. Government Guaranteed) 8.125% 10/15/2019  550  700 
    Resolution Funding Corp. (U.S. Government Guaranteed) 8.875% 7/15/2020  280  378 
    Resolution Funding Corp. (U.S. Government Guaranteed) 8.625% 1/15/2030  110  159 
3 Small Business Administration Variable Rate Interest Only Custodial Receipts (U.S. Government Guaranteed) 2.719% 7/15/2017  4,449  222 
    State of Israel (U.S. Government Guaranteed) 5.500% 9/18/2023  5,525  6,055 
    State of Israel (U.S. Government Guaranteed) 5.500% 12/4/2023  3,900  4,278 
    State of Israel (U.S. Government Guaranteed) 5.500% 4/26/2024  14,575  15,980 
2 Tennessee Valley Auth. 5.625% 1/18/2011  275  288 
2 Tennessee Valley Auth. 5.500% 7/18/2017  19,800  20,846 
2 Tennessee Valley Auth. 4.500% 4/1/2018  5,850  5,697 
2 Tennessee Valley Auth. 7.125% 5/1/2030  32,625  41,036 
2 Tennessee Valley Auth. 4.650% 6/15/2035  4,400  4,080 
2 Tennessee Valley Auth. 5.500% 6/15/2038  3,025  3,187 
2 Tennessee Valley Auth. 4.875% 1/15/2048  8,600  8,224 
2 Tennessee Valley Auth. 5.375% 4/1/2056  7,150  7,402 
  5,184,127
    Mortgage-Backed Securities (39.8%)
    Conventional Mortgage-Backed Securities (36.8%)
2,3 Federal Home Loan Mortgage Corp. 4.000% 12/1/2008-2/1/2021  156,335  150,880 
2,3 Federal Home Loan Mortgage Corp. 4.500% 10/1/2008-5/1/2038  686,574  669,162 
2,3 Federal Home Loan Mortgage Corp. 5.000% 7/1/2009-7/1/2038  2,269,543  2,228,155 
2,3 Federal Home Loan Mortgage Corp. 5.500% 11/1/2008-7/1/2038  3,032,580  3,025,631 
2,3 Federal Home Loan Mortgage Corp. 6.000% 12/1/2008-7/1/2038  1,893,291  1,920,233 
2,3 Federal Home Loan Mortgage Corp. 6.500% 10/1/2008-9/1/2038  400,345  411,312 
2,3 Federal Home Loan Mortgage Corp. 7.000% 1/1/2009-1/1/2037  48,387  50,809 
2,3 Federal Home Loan Mortgage Corp. 7.500% 10/1/2009-2/1/2032  10,297  10,944 
2,3 Federal Home Loan Mortgage Corp. 8.000% 11/1/2009-1/1/2032  7,726  8,330 
2,3 Federal Home Loan Mortgage Corp. 8.500% 4/1/2010-7/1/2031  1,338  1,458 
2,3 Federal Home Loan Mortgage Corp. 9.000% 7/1/2016-3/1/2031  859  936 
2,3 Federal Home Loan Mortgage Corp. 9.500% 4/1/2016-6/1/2025  199  216 
2,3 Federal Home Loan Mortgage Corp. 10.000% 7/1/2009-4/1/2025  63  68 
2,3 Federal Home Loan Mortgage Corp. 10.500% 12/1/2015  0  1 
2,3 Federal National Mortgage Assn. 4.000% 9/1/2010-6/1/2019  88,733  85,713 
2,3 Federal National Mortgage Assn. 4.500% 2/1/2010-9/1/2038  991,182  966,006 
2,3 Federal National Mortgage Assn. 5.000% 9/1/2009-10/1/2038  3,240,198  3,187,338 
2,3 Federal National Mortgage Assn. 5.500% 11/1/2008-10/1/2038  4,205,531  4,210,092 
2,3 Federal National Mortgage Assn. 6.000% 10/1/2008-7/1/2038  2,866,831  2,910,251 
2,3 Federal National Mortgage Assn. 6.500% 10/1/2008-7/1/2038  1,025,642  1,053,916 
2,3 Federal National Mortgage Assn. 7.000% 5/1/2009-1/1/2038  298,215  311,896 
2,3 Federal National Mortgage Assn. 7.500% 5/1/2010-12/1/2032  14,221  15,178 
2,3 Federal National Mortgage Assn. 8.000% 1/1/2010-9/1/2031  4,255  4,585 
2,3 Federal National Mortgage Assn. 8.500% 7/1/2010-5/1/2032  1,639  1,781 
2,3 Federal National Mortgage Assn. 9.000% 2/1/2017-8/1/2030  379  417 
2,3 Federal National Mortgage Assn. 9.500% 7/1/2010-11/1/2025  501  548 
2,3 Federal National Mortgage Assn. 10.000% 10/1/2014-11/1/2019  109  116 
2,3 Federal National Mortgage Assn. 10.500% 3/1/2011-8/1/2020  7  7 
2,3 Federal National Mortgage Assn. 11.000% 9/1/2019  6  7 
3 Government National Mortgage Assn. 4.000% 8/15/2018-9/15/2018  1,752  1,687 
3 Government National Mortgage Assn. 4.500% 6/15/2018-3/15/2036  32,346  31,089 
3 Government National Mortgage Assn. 5.000% 11/15/2017-8/15/2038  464,233  456,424 
3 Government National Mortgage Assn. 5.500% 3/15/2015-9/15/2038  1,006,711  1,007,548 
3 Government National Mortgage Assn. 6.000% 3/15/2009-9/15/2038  776,386  787,370 
3 Government National Mortgage Assn. 6.500% 10/15/2008-8/15/2038  293,365  300,795 
3 Government National Mortgage Assn. 7.000% 12/15/2008-9/15/2036  26,504  27,933 
3 Government National Mortgage Assn. 7.250% 9/15/2025  50  54 
3 Government National Mortgage Assn. 7.500% 9/15/2009-6/15/2032  9,824  10,504 
3 Government National Mortgage Assn. 7.750% 2/15/2030  6  6 
3 Government National Mortgage Assn. 8.000% 7/15/2009-12/15/2030  6,629  7,143 
3 Government National Mortgage Assn. 8.500% 5/15/2010-3/15/2031  1,427  1,549 
3 Government National Mortgage Assn. 9.000% 12/15/2008-2/15/2031  3,016  3,257 
3 Government National Mortgage Assn. 9.500% 5/15/2016-9/15/2025  707  770 
3 Government National Mortgage Assn. 10.000% 2/15/2018-2/15/2025  284  312 
3 Government National Mortgage Assn. 10.500% 7/15/2015-4/15/2025  217  239 
3 Government National Mortgage Assn. 11.000% 1/15/2010-11/15/2015  26  29 
3 Government National Mortgage Assn. 11.500% 3/15/2010-4/15/2016  33  36 
    Nonconventional Mortgage-Backed Securities (3.0%)
2,3 Federal Home Loan Mortgage Corp. 5.605% 4/1/2037  16,983  17,142 
2,3 Federal Home Loan Mortgage Corp. 5.677% 12/1/2036  23,250  23,558 
2,3 Federal Home Loan Mortgage Corp. 4.104% 4/1/2035  1,016  1,013 
2,3 Federal Home Loan Mortgage Corp. 4.796% 7/1/2035  25,691  25,762 
2,3 Federal Home Loan Mortgage Corp. 4.377% 1/1/2035  1,112  1,117 
2,3 Federal Home Loan Mortgage Corp. 5.549% 7/1/2036  14,073  14,240 
2,3 Federal Home Loan Mortgage Corp. 5.422% 3/1/2037  11,969  12,064 
2,3 Federal Home Loan Mortgage Corp. 6.128% 8/1/2037  7,741  7,800 
2,3 Federal Home Loan Mortgage Corp. 4.586% 9/1/2034  10,421  10,414 
2,3 Federal Home Loan Mortgage Corp. 4.654% 7/1/2035  13,622  13,516 
2,3 Federal Home Loan Mortgage Corp. 4.634% 12/1/2035  14,539  14,557 
2,3 Federal Home Loan Mortgage Corp. 4.811% 3/1/2036  23,940  24,015 
2,3 Federal Home Loan Mortgage Corp. 5.693% 3/1/2037  32,224  32,629 
2,3 Federal Home Loan Mortgage Corp. 5.892% 6/1/2037  18,893  19,052 
2,3 Federal Home Loan Mortgage Corp. 4.596% 4/1/2035  10,911  10,920 
2,3 Federal Home Loan Mortgage Corp. 5.270% 3/1/2036  19,170  19,324 
2,3 Federal Home Loan Mortgage Corp. 5.457% 1/1/2037  9,803  9,919 
2,3 Federal Home Loan Mortgage Corp. 5.875% 12/1/2036  9,260  9,340 
2,3 Federal Home Loan Mortgage Corp. 6.511% 2/1/2037  14,773  15,089 
2,3 Federal Home Loan Mortgage Corp. 5.807% 4/1/2037  177  179 
2,3 Federal Home Loan Mortgage Corp. 5.822% 6/1/2037  12,555  12,644 
2,3 Federal Home Loan Mortgage Corp. 6.069% 3/1/2037  1,333  1,356 
2,3 Federal Home Loan Mortgage Corp. 5.036% 7/1/2038  13,451  13,205 
2,3 Federal Home Loan Mortgage Corp. 6.118% 8/1/2037  23,923  24,325 
2,3 Federal Home Loan Mortgage Corp. 6.060% 3/1/2037  978  997 
2,3 Federal Home Loan Mortgage Corp. 5.839% 4/1/2037  43,104  43,804 
2,3 Federal Home Loan Mortgage Corp. 6.395% 6/1/2037  19,937  20,386 
2,3 Federal Home Loan Mortgage Corp. 5.290% 12/1/2036  11,932  11,911 
2,3 Federal Home Loan Mortgage Corp. 5.250% 3/1/2037  12,762  12,863 
2,3 Federal Home Loan Mortgage Corp. 5.435% 4/1/2037  22,953  23,140 
2,3 Federal Home Loan Mortgage Corp. 5.785% 3/1/2037  7,246  7,292 
2,3 Federal Home Loan Mortgage Corp. 5.768% 5/1/2036  19,443  19,621 
2,3 Federal Home Loan Mortgage Corp. 5.574% 5/1/2036  22,945  23,209 
2,3 Federal Home Loan Mortgage Corp. 5.873% 5/1/2037  27,396  27,429 
2,3 Federal Home Loan Mortgage Corp. 6.113% 12/1/2036  19,482  19,639 
2,3 Federal Home Loan Mortgage Corp. 5.823% 10/1/2037  30,947  31,315 
2,3 Federal Home Loan Mortgage Corp. 4.681% 12/1/2034  7,356  7,317 
2,3 Federal Home Loan Mortgage Corp. 5.293% 3/1/2038  19,794  19,416 
2,3 Federal Home Loan Mortgage Corp. 5.487% 2/1/2036  15,907  15,722 
2,3 Federal Home Loan Mortgage Corp. 5.948% 1/1/2037  9,407  9,501 
2,3 Federal Home Loan Mortgage Corp. 5.710% 9/1/2036  47,059  47,372 
2,3 Federal Home Loan Mortgage Corp. 5.575% 6/1/2037  9,120  9,269 
2,3 Federal Home Loan Mortgage Corp. 5.967% 10/1/2037  4,695  4,739 
2,3 Federal Home Loan Mortgage Corp. 5.330% 12/1/2035  11,638  11,672 
2,3 Federal Home Loan Mortgage Corp. 4.595% 11/1/2034  15,759  15,658 
2,3 Federal Home Loan Mortgage Corp. 5.864% 3/1/2037  1,863  1,879 
2,3 Federal Home Loan Mortgage Corp. 4.383% 12/1/2034  21,258  21,221 
2,3 Federal Home Loan Mortgage Corp. 4.992% 5/1/2035  17,579  17,544 
2,3 Federal Home Loan Mortgage Corp. 5.716% 11/1/2036  10,132  10,204 
2,3 Federal National Mortgage Assn. 5.819% 6/1/2037  30,640  31,055 
2,3 Federal National Mortgage Assn. 4.968% 10/1/2035  24,544  24,664 
2,3 Federal National Mortgage Assn. 4.968% 11/1/2033  4,793  4,745 
2,3 Federal National Mortgage Assn. 4.846% 12/1/2035  23,824  23,773 
2,3 Federal National Mortgage Assn. 5.872% 9/1/2036  15,636  15,884 
2,3 Federal National Mortgage Assn. 5.722% 9/1/2036  13,269  13,453 
2,3 Federal National Mortgage Assn. 5.019% 12/1/2033  6,379  6,323 
2,3 Federal National Mortgage Assn. 4.636% 11/1/2033  9,687  9,690 
2,3 Federal National Mortgage Assn. 4.136% 5/1/2034  10,599  10,524 
2,3 Federal National Mortgage Assn. 4.751% 6/1/2034  9,842  9,846 
2,3 Federal National Mortgage Assn. 4.631% 9/1/2034  7,558  7,519 
2,3 Federal National Mortgage Assn. 4.752% 9/1/2034  5,379  5,366 
2,3 Federal National Mortgage Assn. 4.675% 10/1/2034  12,046  11,895 
2,3 Federal National Mortgage Assn. 4.753% 10/1/2034  17,154  16,968 
2,3 Federal National Mortgage Assn. 4.579% 12/1/2034  16,880  16,619 
2,3 Federal National Mortgage Assn. 4.965% 11/1/2034  5,387  5,401 
2,3 Federal National Mortgage Assn. 4.575% 1/1/2035  12,404  12,440 
2,3 Federal National Mortgage Assn. 5.591% 7/1/2036  12,631  12,773 
2,3 Federal National Mortgage Assn. 4.580% 11/1/2034  27,238  26,727 
2,3 Federal National Mortgage Assn. 4.767% 5/1/2035  6,076  6,094 
2,3 Federal National Mortgage Assn. 4.869% 7/1/2035  15,801  15,859 
2,3 Federal National Mortgage Assn. 4.436% 7/1/2035  10,634  10,622 
2,3 Federal National Mortgage Assn. 4.008% 7/1/2035  11,261  11,062 
2,3 Federal National Mortgage Assn. 4.941% 7/1/2035  7,349  7,383 
2,3 Federal National Mortgage Assn. 4.629% 8/1/2035  18,322  18,197 
2,3 Federal National Mortgage Assn. 4.754% 9/1/2035  12,398  12,424 
2,3 Federal National Mortgage Assn. 4.724% 8/1/2035  10,229  10,262 
2,3 Federal National Mortgage Assn. 5.048% 11/1/2035  24,674  24,808 
2,3 Federal National Mortgage Assn. 5.072% 12/1/2035  29,611  29,779 
2,3 Federal National Mortgage Assn. 5.104% 1/1/2036  14,517  14,607 
2,3 Federal National Mortgage Assn. 5.322% 12/1/2035  8,960  8,980 
2,3 Federal National Mortgage Assn. 5.123% 12/1/2035  31,232  31,429 
2,3 Federal National Mortgage Assn. 5.382% 2/1/2036  17,427  17,604 
2,3 Federal National Mortgage Assn. 5.759% 4/1/2036  14,219  14,426 
2,3 Federal National Mortgage Assn. 5.621% 5/1/2036  6,878  6,852 
2,3 Federal National Mortgage Assn. 6.120% 6/1/2036  3,523  3,576 
2,3 Federal National Mortgage Assn. 5.058% 2/1/2036  12,032  12,099 
2,3 Federal National Mortgage Assn. 5.458% 2/1/2036  19,335  19,539 
2,3 Federal National Mortgage Assn. 5.806% 1/1/2036  8,089  8,226 
2,3 Federal National Mortgage Assn. 4.829% 4/1/2037  13,473  13,521 
2,3 Federal National Mortgage Assn. 5.277% 3/1/2037  17,494  17,539 
2,3 Federal National Mortgage Assn. 4.542% 4/1/2036  14,076  14,017 
2,3 Federal National Mortgage Assn. 4.690% 11/1/2034  15,154  15,172 
2,3 Federal National Mortgage Assn. 5.031% 8/1/2037  42,591  42,674 
2,3 Federal National Mortgage Assn. 4.851% 11/1/2035  36,639  36,763 
2,3 Federal National Mortgage Assn. 6.010% 10/1/2037  24,628  24,745 
2,3 Federal National Mortgage Assn. 4.960% 5/1/2037  25,580  25,555 
2,3 Federal National Mortgage Assn. 5.660% 6/1/2036  17,107  17,337 
2,3 Federal National Mortgage Assn. 5.964% 11/1/2036  14,884  15,041 
2,3 Federal National Mortgage Assn. 5.468% 4/1/2037  1,973  1,973 
2,3 Federal National Mortgage Assn. 5.740% 12/1/2036  45,260  45,900 
2,3 Federal National Mortgage Assn. 5.690% 2/1/2037  31,164  31,555 
2,3 Federal National Mortgage Assn. 5.640% 3/1/2037  14,438  14,602 
2,3 Federal National Mortgage Assn. 5.679% 3/1/2037  40,735  41,241 
2,3 Federal National Mortgage Assn. 5.696% 2/1/2037  18,173  18,376 
2,3 Federal National Mortgage Assn. 5.734% 3/1/2037  30,414  30,801 
2,3 Federal National Mortgage Assn. 5.787% 4/1/2037  21,466  21,444 
2,3 Federal National Mortgage Assn. 5.466% 5/1/2037  7,010  7,080 
2,3 Federal National Mortgage Assn. 4.604% 10/1/2036  8,968  8,956 
2,3 Federal National Mortgage Assn. 4.418% 8/1/2035  30,337  30,264 
2,3 Federal National Mortgage Assn. 4.774% 4/1/2036  31,820  31,939 
2,3 Federal National Mortgage Assn. 5.186% 3/1/2038  19,367  18,933 
2,3 Federal National Mortgage Assn. 5.782% 4/1/2037  12,291  12,482 
2,3 Federal National Mortgage Assn. 5.671% 6/1/2037  10,877  10,988 
2,3 Federal National Mortgage Assn. 6.086% 8/1/2037  19,915  20,292 
2,3 Federal National Mortgage Assn. 6.622% 9/1/2037  28,110  28,744 
2,3 Federal National Mortgage Assn. 5.769% 12/1/2037  35,067  34,965 
2,3 Federal National Mortgage Assn. 5.019% 7/1/2038  9,733  9,558 
2,3 Federal National Mortgage Assn. 5.317% 7/1/2038  1,675  1,657 
2,3 Federal National Mortgage Assn. 5.170% 8/1/2038  1,769  1,741 
2,3 Federal National Mortgage Assn. 5.585% 1/1/2037  15,665  15,846 
3 Government National Mortgage Assn. 7.900% 2/15/2021  6  7 
3 Government National Mortgage Assn. 5.375% 6/20/2029  498  503 
  25,840,735
    Total U.S. Government and Agency Obligations
    (Cost $36,136,029)       46,728,391
    Corporate Bonds (24.1%)
    Asset-Backed/Commercial Mortgage-Backed Securities (5.8%)
Amern Express Credit Account Master Trust 2.477% 8/15/2011  17,350  17,258 
3,4 American Express Credit Account Master Trust 2.567% 9/15/2011  40,000  39,722 
3,4 American Express Credit Account Master Trust 2.577% 3/15/2012  49,100  48,400 
5 BA Covered Bond Issuer 5.500% 6/14/2012  47,250  47,872 
BMW,orplan Master Owner Trust 2.497% 9/17/2011  28,000  26,328 
3,4 Banc of America Commercial Mortgage, Inc. 5.493% 6/10/2039  12,500  11,691 
3,4 Banc of America Commercial Mortgage, Inc. 6.346% 2/10/2051  32,900  29,343 
3 Banc of America Commercial Mortgage, Inc. 5.787% 5/11/2035  18,346  18,849 
3 Banc of America Commercial Mortgage, Inc. 6.503% 4/15/2036  7,482  7,683 
3 Banc of America Commercial Mortgage, Inc. 4.050% 11/10/2038  7,950  7,769 
3 Banc of America Commercial Mortgage, Inc. 4.153% 11/10/2038  5,000  4,749 
3 Banc of America Commercial Mortgage, Inc. 4.877% 7/10/2042  33,400  30,003 
3 Banc of America Commercial Mortgage, Inc. 5.118% 7/11/2043  18,555  18,177 
3 Banc of America Commercial Mortgage, Inc. 5.372% 9/10/2045  21,855  19,335 
3 Banc of America Commercial Mortgage, Inc. 5.115% 10/10/2045  17,525  15,380 
3 Banc of America Commercial Mortgage, Inc. 5.634% 7/10/2046  23,375  20,820 
3 Banc of America Commercial Mortgage, Inc. 5.414% 9/10/2047  10,900  9,585 
3,4 Bank One Issuance Trust 2.598% 6/15/2011  12,300  12,291 
3,4 Bank of America Credit Card Trust 2.707% 4/16/2012  23,886  23,389 
3 Bank of America Credit Card Trust 4.720% 5/15/2013  1,500  1,469 
3,4 Bear Stearns Commercial Mortgage Securities, Inc. 5.630% 4/12/2038  4,025  3,341 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.610% 11/15/2033  9,900  9,514 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.630% 4/12/2038  26,000  23,283 
3 Bear Stearns Commercial Mortgage Securities, Inc. 4.830% 8/15/2038  20,000  19,109 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.623% 3/11/2039  42,750  38,193 
3 Bear Stearns Commercial Mortgage Securities, Inc. 4.680% 8/13/2039  10,800  9,858 
3 Bear Stearns Commercial Mortgage Securities, Inc. 4.740% 3/13/2040  9,000  8,286 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.849% 6/11/2040  32,425  30,525 
3 Bear Stearns Commercial Mortgage Securities, Inc. 4.521% 11/11/2041  4,950  4,636 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.742% 9/11/2042  16,125  13,893 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.793% 9/11/2042  6,525  5,875 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.127% 10/12/2042  9,300  9,028 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.613% 6/11/2050  11,750  10,873 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.694% 6/11/2050  50,450  43,365 
3 Bear Stearns Commercial Mortgage Securities, Inc. 5.700% 6/11/2050  9,915  8,506 
3 CDC Commercial Mortgage Trust 5.676% 11/15/2030  21,000  21,526 
3 CIT Group Home Equity Loan Trust 6.200% 2/25/2030  1,379  1,269 
3,4 CWCapital Cobalt 6.015% 5/15/2046  31,925  27,871 
3 Capital Auto Receivables Asset Trust 4.680% 10/15/2012  21,400  20,854 
3,4 Capital One Multi-Asset Execution Trust 2.577% 1/17/2012  50,000  49,636 
3,4 Capital One Multi-Asset Execution Trust 2.667% 9/15/2011  75,630  75,498 
3 Capital One Multi-Asset Execution Trust 5.300% 2/18/2014  7,325  7,111 
3 Capital One Multi-Asset Execution Trust 5.050% 12/17/2018  43,450  39,095 
3,4 Capital One Prime Auto Receivables Trust 2.508% 4/15/2011  20,735  20,572 
3 Chase Commercial Mortgage Securities Corp. 6.390% 11/18/2030  1,790  1,792 
3,4 Chase Credit Card Master Trust 2.598% 2/15/2011  11,875  11,865 
3,4 Chase Credit Card Master Trust 2.657% 9/15/2011  7,000  6,933 
3,4 Chase Issuance Trust 2.487% 7/16/2012  4,955  4,776 
3,4 Chase Issuance Trust 2.498% 2/15/2011  30,500  30,426 
3,4 Chase Issuance Trust 2.508% 2/15/2012  23,678  23,367 
3,4 Chase Issuance Trust 2.508% 11/15/2011  30,820  30,468 
3 Chase Issuance Trust 4.650% 12/17/2012  39,225  38,514 
3 Chase Issuance Trust 4.650% 3/15/2015  38,500  36,704 
3 Chase Issuance Trust 5.400% 7/15/2015  12,350  11,747 
3,4 Citibank Credit Card Issuance Trust 2.677% 11/7/2011  71,900  70,616 
3,4 Citibank Credit Card Issuance Trust 2.498% 12/15/2010  21,820  21,754 
3 Citibank Credit Card Issuance Trust 4.850% 2/10/2011  775  774 
3 Citibank Credit Card Issuance Trust 4.150% 7/7/2017  4,150  3,688 
3 Citibank Credit Card Master Trust 5.875% 3/10/2011  1,250  1,251 
3,4 Citigroup Commercial Mortgage Trust 5.889% 12/10/2049  12,825  11,130 
3,4 Citigroup Commercial Mortgage Trust 5.915% 3/15/2049  37,025  33,016 
3 Citigroup Commercial Mortgage Trust 4.623% 10/15/2041  4,100  3,756 
3,4 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.399% 7/15/2044  8,300  7,362 
3 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.399% 7/15/2044  38,051  33,767 
3 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.886% 11/15/2044  22,750  19,805 
3 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.205% 12/11/2049  40,075  37,638 
3 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.322% 12/11/2049  23,825  20,181 
3,5 Commercial Mortgage Lease-Backed Certificates 6.746% 6/20/2031  11,618  11,330 
3 Commercial Mortgage Pass Through Certificates 5.116% 6/10/2044  29,000  25,519 
3,4 Commercial Mortgage Pass-Through Certificates 6.010% 12/10/2049  32,425  28,329 
3 Commercial Mortgage Pass-Through Certificates 5.248% 12/10/2046  4,023  3,811 
3 Countrywide Home Loans 4.813% 5/25/2033  6,153  5,609 
3,4 Credit Suisse First Boston Mortgage Securities Corp. 5.014% 2/15/2038  17,300  15,327 
3 Credit Suisse First Boston Mortgage Securities Corp. 6.380% 12/18/2035  1,818  1,878 
3 Credit Suisse First Boston Mortgage Securities Corp. 3.936% 5/15/2038  13,530  12,021 
3 Credit Suisse First Boston Mortgage Securities Corp. 5.100% 8/15/2038  36,700  32,260 
3 Credit Suisse First Boston Mortgage Securities Corp. 7.290% 9/15/2041  13,831  14,084 
3,4 Credit Suisse Mortgage Capital Certificates 5.913% 6/15/2039  38,825  33,734 
3 Credit Suisse Mortgage Capital Certificates 6.020% 6/15/2038  24,375  21,830 
3 Credit Suisse Mortgage Capital Certificates 5.609% 2/15/2039  55,100  49,278 
3 Credit Suisse Mortgage Capital Certificates 5.311% 12/15/2039  34,760  29,675 
3 DaimlerChrysler Auto Trust 4.200% 7/8/2010  5,352  5,347 
3 DaimlerChrysler Auto Trust 5.330% 8/8/2010  11,495  11,464 
3 DaimlerChrysler Auto Trust 3.700% 6/8/2012  9,500  9,169 
3,4 DaimlerChrysler Master Owner Trust 2.513% 12/15/2010  57,000  56,607 
3 Discover Card Master Trust 5.650% 12/15/2015  27,800  26,332 
3,4 Discover Card Master Trust I 2.508% 5/15/2011  96,400  96,129 
3,4 Discover Card Master Trust I 2.598% 5/15/2011  13,650  13,613 
3 Federal Housing Administration 7.430% 10/1/2020  4  5 
3 Fifth Third Auto Trust 4.070% 1/17/2012  24,000  23,610 
3 First Union National Bank Commercial Mortgage Trust 6.223% 12/12/2033  12,550  12,243 
3 Ford Credit Auto Owner Trust 4.370% 10/15/2012  18,800  17,841 
3,4 GE Capital Commercial Mortgage Corp. 5.518% 3/10/2044  38,290  33,920 
3 GE Capital Commercial Mortgage Corp. 6.531% 5/15/2033  17,000  17,421 
3 GE Capital Commercial Mortgage Corp. 6.290% 8/11/2033  3,000  2,943 
3 GE Capital Commercial Mortgage Corp. 5.994% 12/10/2035  1,770  1,752 
3 GE Capital Commercial Mortgage Corp. 6.269% 12/10/2035  12,200  12,358 
3 GE Capital Commercial Mortgage Corp. 5.145% 7/10/2037  1,340  1,249 
3 GE Capital Commercial Mortgage Corp. 4.996% 12/10/2037  20,000  19,553 
3 GE Capital Credit Card Master Note Trust 5.080% 9/15/2012  43,350  42,571 
3 GMAC Commercial Mortgage Securities, Inc. 6.175% 5/15/2033  7,960  7,973 
3 GMAC Commercial Mortgage Securities, Inc. 7.455% 8/16/2033  13,420  13,857 
3 GMAC Commercial Mortgage Securities, Inc. 6.465% 4/15/2034  13,847  14,133 
3 GMAC Commercial Mortgage Securities, Inc. 6.700% 4/15/2034  17,050  17,548 
3 GMAC Commercial Mortgage Securities, Inc. 4.908% 3/10/2038  2,000  1,809 
3 GMAC Commercial Mortgage Securities, Inc. 4.646% 4/10/2040  4,900  4,738 
3 GMAC Commercial Mortgage Securities, Inc. 4.864% 12/10/2041  2,250  2,042 
3,4 GS Mortgage Securities Corp. II 5.553% 4/10/2038  11,900  10,643 
3 GS Mortgage Securities Corp. II 5.506% 4/10/2038  17,375  16,874 
3 GS Mortgage Securities Corp. II 5.396% 8/10/2038  31,360  28,897 
3 GS Mortgage Securities Corp. II 4.608% 1/10/2040  20,000  18,555 
3 GS Mortgage Securities Corp. II 5.993% 8/10/2045  20,820  18,217 
3,4 Gracechurch Card Funding PLC 2.498% 11/15/2010  16,700  16,662 
3 Greenwich Capital Commercial Funding Corp. 4.948% 1/11/2035  8,250  7,909 
3 Greenwich Capital Commercial Funding Corp. 5.317% 6/10/2036  17,395  16,740 
3 Greenwich Capital Commercial Funding Corp. 5.117% 4/10/2037  6,375  6,182 
3 Greenwich Capital Commercial Funding Corp. 5.224% 4/10/2037  29,869  26,399 
3 Greenwich Capital Commercial Funding Corp. 4.799% 8/10/2042  21,950  19,240 
3 Honda Auto Receivables Owner Trust 5.300% 7/21/2010  5,156  5,152 
3 Honda Auto Receivables Owner Trust 5.120% 10/15/2010  28,766  28,676 
3 Honda Auto Receivables Owner Trust 4.880% 9/18/2014  9,375  9,210 
3,4 JPMorgan Chase Commercial Mortgage Securities 4.948% 9/12/2037  975  792 
3,4 JPMorgan Chase Commercial Mortgage Securities 5.475% 4/15/2043  4,252  3,765 
3,4 JPMorgan Chase Commercial Mortgage Securities 5.552% 6/12/2041  20,050  18,616 
3,4 JPMorgan Chase Commercial Mortgage Securities 5.882% 2/15/2051  26,620  23,191 
3 JPMorgan Chase Commercial Mortgage Securities 6.260% 3/15/2033  19,081  19,709 
3 JPMorgan Chase Commercial Mortgage Securities 5.050% 12/12/2034  11,800  11,336 
3 JPMorgan Chase Commercial Mortgage Securities 4.985% 1/12/2037  15,000  14,123 
3 JPMorgan Chase Commercial Mortgage Securities 5.255% 7/12/2037  1,790  1,671 
3 JPMorgan Chase Commercial Mortgage Securities 5.376% 7/12/2037  12,180  12,464 
3 JPMorgan Chase Commercial Mortgage Securities 4.824% 9/12/2037  3,450  3,259 
3 JPMorgan Chase Commercial Mortgage Securities 4.404% 1/12/2039  13,195  11,631 
3 JPMorgan Chase Commercial Mortgage Securities 5.160% 4/15/2043  30,934  30,659 
3 JPMorgan Chase Commercial Mortgage Securities 6.065% 4/15/2045  32,300  29,445 
3 JPMorgan Chase Commercial Mortgage Securities 5.447% 5/15/2045  7,075  6,486 
3 JPMorgan Chase Commercial Mortgage Securities 5.992% 6/15/2049  44,150  41,715 
3 JPMorgan Chase Commercial Mortgage Securities 6.007% 6/15/2049  34,005  29,725 
3 JPMorgan Chase Commercial Mortgage Securities 5.794% 2/12/2051  40,860  35,347 
3 JPMorgan Chase Commercial Mortgage Securities 5.855% 2/12/2051  10,650  9,937 
3 LB Commerical Conduit Mortgage Trust 6.780% 6/15/2031  20,867  21,059 
3,4 LB-UBS Commercial Mortgage Trust 5.661% 3/15/2039  29,421  26,464 
3,4 LB-UBS Commercial Mortgage Trust 6.317% 4/15/2041  29,400  25,773 
3 LB-UBS Commercial Mortgage Trust 7.370% 8/15/2026  20,317  20,970 
3 LB-UBS Commercial Mortgage Trust 4.786% 10/15/2029  16,155  14,364 
3 LB-UBS Commercial Mortgage Trust 4.742% 2/15/2030  9,345  8,174 
3 LB-UBS Commercial Mortgage Trust 4.553% 7/15/2030  1,625  1,577 
3 LB-UBS Commercial Mortgage Trust 5.197% 11/15/2030  20,925  18,534 
3 LB-UBS Commercial Mortgage Trust 6.133% 12/15/2030  8,190  7,963 
3 LB-UBS Commercial Mortgage Trust 4.853% 9/15/2031  18,700  17,933 
3 LB-UBS Commercial Mortgage Trust 4.166% 5/15/2032  3,400  3,044 
3 LB-UBS Commercial Mortgage Trust 5.430% 2/15/2040  18,200  15,238 
3 LB-UBS Commercial Mortgage Trust 5.866% 9/15/2045  40,350  34,509 
3 LB-UBS Commerical Mortgage Trust 4.960% 12/15/2031  4,500  4,107 
3,4 MBNA Credit Card Master Note Trust 2.567% 3/15/2012  100,000  98,570 
3,4 MBNA Credit Card Master Note Trust 2.941% 12/15/2011  4,500  4,440 
3 MBNA Master Credit Card Trust 7.000% 2/15/2012  62,983  63,837 
3 MBNA Master Credit Card Trust 7.800% 10/15/2012  1,000  1,047 
3,4 Merrill Lynch Mortgage Trust 5.291% 1/12/2044  25,650  22,668 
3,4 Merrill Lynch Mortgage Trust 6.023% 6/12/2050  26,618  23,288 
3 Merrill Lynch Mortgage Trust 5.236% 11/12/2035  7,125  6,604 
3 Merrill Lynch Mortgage Trust 5.841% 5/12/2039  12,200  11,003 
3 Merrill Lynch Mortgage Trust 5.425% 2/12/2051  4,200  3,866 
3 Merrill Lynch Mortgage Trust 5.690% 2/12/2051  14,000  11,956 
3 Merrill Lynch/Countrywide Commercial Mortgage Trust 6.104% 6/12/2046  41,100  37,523 
3 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.378% 8/12/2048  23,995  20,352 
3 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.590% 9/12/2049  12,350  11,513 
3 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.700% 9/12/2049  33,800  29,068 
3,4 Morgan Stanley Capital I 5.803% 6/13/2042  17,900  16,083 
3,4 Morgan Stanley Capital I 5.559% 3/12/2044  35,116  31,294 
3 Morgan Stanley Capital I 5.270% 6/13/2041  2,800  2,562 
3 Morgan Stanley Capital I 5.328% 11/12/2041  4,250  3,697 
3 Morgan Stanley Capital I 4.970% 12/15/2041  10,800  9,871 
3 Morgan Stanley Capital I 5.168% 1/14/2042  4,650  4,164 
3 Morgan Stanley Capital I 5.230% 9/15/2042  28,650  25,398 
3 Morgan Stanley Capital I 5.943% 10/15/2042  9,775  8,871 
3 Morgan Stanley Capital I 6.457% 1/11/2043  20,150  18,022 
3 Morgan Stanley Capital I 5.809% 12/12/2049  18,800  16,267 
3 Morgan Stanley Capital I 5.090% 10/12/2052  9,300  8,972 
3 Morgan Stanley Dean Witter Capital I 6.660% 2/15/2033  4,704  4,799 
3 Morgan Stanley Dean Witter Capital I 6.390% 7/15/2033  4,780  4,841 
3 Morgan Stanley Dean Witter Capital I 4.920% 3/12/2035  20,000  18,573 
3 Morgan Stanley Dean Witter Capital I 6.390% 10/15/2035  5,000  4,894 
3 Morgan Stanley Dean Witter Capital I 4.740% 11/13/2036  1,340  1,253 
3 Nissan Auto Receivables Owner Trust 5.050% 11/17/2014  7,875  7,633 
3 Oncor Electric Delivery Transition Bond Co. 4.030% 2/15/2012  1,318  1,308 
3 PG&E Energy Recovery Funding LLC 4.140% 9/25/2012  8,625  8,577 
3 PG&E Energy Recovery Funding LLC 5.030% 3/25/2014  13,650  13,745 
3 PNC Mortgage Acceptance Corp. 7.300% 10/12/2033  852  855 
3 PP&L Transition Bond Co. LLC 7.150% 6/25/2009  136  137 
3 PSE&G Transition Funding LLC 6.890% 12/15/2017  19,800  20,756 
3 Prudential Securities Secured Financing 7.193% 6/16/2031  2,549  2,573 
3 Public Service New Hampshire Funding LLC 5.730% 11/1/2010  55  56 
3 Residential Asset Securities Corp. 6.489% 10/25/2030  404  364 
3 Salomon Brothers Mortgage Securities VII 5.513% 9/25/2033  19,292  18,398 
3 USAA Auto Owner Trust 4.550% 2/16/2010  1,181  1,181 
3 USAA Auto Owner Trust 5.360% 2/15/2011  9,782  9,789 
3 USAA Auto Owner Trust 4.710% 2/18/2014  16,075  15,632 
3,4 Wachovia Bank Commercial Mortgage Trust 5.083% 3/15/2042  17,775  15,747 
3,4 Wachovia Bank Commercial Mortgage Trust 5.125% 8/15/2035  3,600  3,345 
3,4 Wachovia Bank Commercial Mortgage Trust 5.384% 10/15/2044  17,435  15,610 
3,4 Wachovia Bank Commercial Mortgage Trust 5.408% 7/15/2041  27,995  25,780 
3,4 Wachovia Bank Commercial Mortgage Trust 5.440% 12/15/2044  37,450  33,193 
3,4 Wachovia Bank Commercial Mortgage Trust 5.926% 5/15/2043  16,200  14,664 
3 Wachovia Bank Commercial Mortgage Trust 4.440% 11/15/2034  1,985  1,900 
3 Wachovia Bank Commercial Mortgage Trust 4.980% 11/15/2034  900  825 
3 Wachovia Bank Commercial Mortgage Trust 4.867% 2/15/2035  900  843 
3 Wachovia Bank Commercial Mortgage Trust 4.719% 1/15/2041  4,100  4,032 
3 Wachovia Bank Commercial Mortgage Trust 4.748% 2/15/2041  25,955  23,314 
3 Wachovia Bank Commercial Mortgage Trust 5.001% 7/15/2041  8,950  8,881 
3 Wachovia Bank Commercial Mortgage Trust 4.803% 10/15/2041  23,800  21,094 
3 Wachovia Bank Commercial Mortgage Trust 5.118% 7/15/2042  7,525  6,619 
3 Wachovia Bank Commercial Mortgage Trust 4.699% 5/15/2044  17,104  14,713 
3 Wachovia Bank Commercial Mortgage Trust 5.313% 11/15/2048  20,250  18,301 
3 World Omni Auto Receivables Trust 3.940% 10/15/2012  19,200  18,840 
  3,731,009
    Finance (7.3%)
    Banking (3.4%)
    ABN AMRO Bank NV 4.650% 6/4/2018  325  281 
    Abbey National PLC 7.950% 10/26/2029  14,415  14,271 
    AmSouth Bank NA 5.200% 4/1/2015  6,200  5,106 
    Associates Corp. of North America 6.950% 11/1/2018  350  326 
    BAC Capital Trust XI 6.625% 5/23/2036  1,675  1,265 
    BB&T Capital Trust II 6.750% 6/7/2036  9,475  6,734 
3 BB&T Capital Trust IV 6.820% 6/12/2037  4,825  3,286 
    BB&T Corp. 6.500% 8/1/2011  3,030  2,993 
    BB&T Corp. 4.750% 10/1/2012  7,025  6,395 
    BB&T Corp. 5.200% 12/23/2015  5,550  4,542 
    BB&T Corp. 5.625% 9/15/2016  6,950  5,891 
    BB&T Corp. 4.900% 6/30/2017  625  477 
    BB&T Corp. 5.250% 11/1/2019  4,275  3,183 
    Banc One Corp. 7.625% 10/15/2026  1,475  1,464 
5 Banco Bilbao Vizcaya ARG 5.750% 7/20/2017  23,425  25,093 
    Bank One Corp. 7.875% 8/1/2010  21,180  21,733 
    Bank One Corp. 5.250% 1/30/2013  4,725  4,369 
    Bank One Corp. 4.900% 4/30/2015  2,475  2,195 
3 Bank of America Capital Trust XIV 5.630% 12/31/2049  7,880  4,176 
    Bank of America Corp. 4.500% 8/1/2010  9,850  9,724 
    Bank of America Corp. 4.250% 10/1/2010  9,625  9,311 
    Bank of America Corp. 4.375% 12/1/2010  2,500  2,406 
    Bank of America Corp. 5.375% 8/15/2011  3,100  3,021 
    Bank of America Corp. 6.250% 4/15/2012  5,925  5,800 
    Bank of America Corp. 5.375% 9/11/2012  1,800  1,705 
    Bank of America Corp. 4.875% 9/15/2012  4,525  4,208 
    Bank of America Corp. 4.900% 5/1/2013  31,490  29,542 
    Bank of America Corp. 5.375% 6/15/2014  3,750  3,538 
    Bank of America Corp. 5.125% 11/15/2014  27,725  25,499 
    Bank of America Corp. 5.250% 12/1/2015  4,900  4,217 
    Bank of America Corp. 5.750% 8/15/2016  13,925  12,682 
    Bank of America Corp. 5.625% 10/14/2016  15,425  13,424 
    Bank of America Corp. 5.300% 3/15/2017  30,225  26,156 
    Bank of America Corp. 5.420% 3/15/2017  24,275  20,710 
    Bank of America Corp. 6.100% 6/15/2017  6,650  6,159 
    Bank of America Corp. 6.000% 9/1/2017  1,225  1,150 
    Bank of America Corp. 5.750% 12/1/2017  5,100  4,492 
    Bank of America Corp. 5.650% 5/1/2018  21,100  18,170 
    Bank of America Corp. 5.625% 3/8/2035  12,350  8,127 
    Bank of America Corp. 6.000% 10/15/2036  17,250  13,576 
    Bank of America Corp. 6.500% 9/15/2037  2,950  2,306 
    Bank of New York Mellon 4.950% 1/14/2011  2,550  2,535 
    Bank of New York Mellon 6.375% 4/1/2012  400  403 
    Bank of New York Mellon 4.950% 11/1/2012  23,400  22,742 
    Bank of New York Mellon 4.500% 4/1/2013  2,650  2,517 
    Bank of New York Mellon 5.125% 8/27/2013  4,475  4,286 
    Bank of New York Mellon 4.950% 3/15/2015  7,400  6,599 
    Bank of Tokyo-Mitsubishi 8.400% 4/15/2010  8,525  8,989 
    BankAmerica Capital II 8.000% 12/15/2026  100  89 
3 Barclays Bank PLC 6.278% 12/29/2049  3,295  2,320 
    Barclays Bank PLC 5.450% 9/12/2012  5,950  5,842 
    Bear Stearns Co., Inc. 4.550% 6/23/2010  7,850  7,457 
    Bear Stearns Co., Inc. 4.500% 10/28/2010  3,120  3,084 
    Bear Stearns Co., Inc. 5.350% 2/1/2012  28,975  28,308 
    Bear Stearns Co., Inc. 6.950% 8/10/2012  10,000  10,005 
    Bear Stearns Co., Inc. 5.700% 11/15/2014  18,240  16,628 
    Bear Stearns Co., Inc. 5.300% 10/30/2015  7,715  6,974 
    Bear Stearns Co., Inc. 5.550% 1/22/2017  5,150  4,365 
    Bear Stearns Co., Inc. 6.400% 10/2/2017  4,975  4,738 
    Bear Stearns Co., Inc. 7.250% 2/1/2018  13,450  13,388 
    Bear Stearns Co., Inc. 4.650% 7/2/2018  2,075  1,650 
    Charter One Bank N.A. 5.500% 4/26/2011  13,150  13,458 
3,5 Citicorp Lease Pass-Through Trust 8.040% 12/15/2019  18,025  17,396 
3 Citigroup Capital XXI 8.300% 12/21/2037  19,325  15,725 
    Citigroup, Inc. 4.125% 2/22/2010  4,175  3,814 
    Citigroup, Inc. 4.625% 8/3/2010  7,900  7,080 
    Citigroup, Inc. 6.500% 1/18/2011  16,870  16,187 
    Citigroup, Inc. 5.125% 2/14/2011  3,500  3,218 
    Citigroup, Inc. 5.100% 9/29/2011  39,500  35,604 
    Citigroup, Inc. 6.000% 2/21/2012  9,075  8,311 
    Citigroup, Inc. 5.250% 2/27/2012  12,475  11,052 
    Citigroup, Inc. 5.500% 8/27/2012  2,925  2,600 
    Citigroup, Inc. 5.625% 8/27/2012  8,140  7,269 
    Citigroup, Inc. 5.300% 10/17/2012  29,325  25,778 
    Citigroup, Inc. 5.500% 4/11/2013  36,750  31,772 
    Citigroup, Inc. 6.500% 8/19/2013  29,375  26,064 
    Citigroup, Inc. 5.125% 5/5/2014  1,675  1,494 
    Citigroup, Inc. 5.000% 9/15/2014  20,293  15,024 
    Citigroup, Inc. 4.875% 5/7/2015  1,075  861 
    Citigroup, Inc. 4.700% 5/29/2015  4,075  3,331 
    Citigroup, Inc. 5.300% 1/7/2016  24,600  20,898 
    Citigroup, Inc. 5.500% 2/15/2017  4,000  3,224 
    Citigroup, Inc. 6.000% 8/15/2017  18,300  15,162 
    Citigroup, Inc. 6.125% 11/21/2017  13,100  10,612 
    Citigroup, Inc. 6.125% 5/15/2018  7,525  6,134 
    Citigroup, Inc. 6.625% 6/15/2032  1,525  1,262 
    Citigroup, Inc. 5.875% 2/22/2033  13,800  10,323 
    Citigroup, Inc. 6.000% 10/31/2033  2,575  1,954 
    Citigroup, Inc. 5.850% 12/11/2034  2,000  1,447 
    Citigroup, Inc. 6.125% 8/25/2036  9,575  7,122 
    Citigroup, Inc. 5.875% 5/29/2037  7,250  5,158 
    Citigroup, Inc. 6.875% 3/5/2038  20,000  16,414 
    Colonial Bank NA 6.375% 12/1/2015  1,425  1,059 
    Comerica Bank 5.750% 11/21/2016  12,700  6,985 
    Comerica Bank 5.200% 8/22/2017  5,450  2,997 
3 Comerica Capital Trust II 6.576% 2/20/2032  4,350  2,093 
    Compass Bank 6.400% 10/1/2017  2,700  2,321 
    Compass Bank 5.900% 4/1/2026  2,400  1,718 
3 Credit Suisse First Boston USA, Inc. 5.860% 5/15/2049  9,250  7,037 
    Credit Suisse First Boston USA, Inc. 4.700% 6/1/2009  15  15 
    Credit Suisse First Boston USA, Inc. 4.125% 1/15/2010  6,975  6,908 
    Credit Suisse First Boston USA, Inc. 4.875% 8/15/2010  24,600  24,077 
    Credit Suisse First Boston USA, Inc. 5.250% 3/2/2011  9,275  9,175 
    Credit Suisse First Boston USA, Inc. 5.500% 8/16/2011  10,125  9,958 
    Credit Suisse First Boston USA, Inc. 6.125% 11/15/2011  11,825  11,593 
    Credit Suisse First Boston USA, Inc. 6.500% 1/15/2012  3,675  3,666 
    Credit Suisse First Boston USA, Inc. 5.500% 8/15/2013  12,110  11,498 
    Credit Suisse First Boston USA, Inc. 4.875% 1/15/2015  19,700  17,881 
    Credit Suisse First Boston USA, Inc. 5.125% 8/15/2015  14,815  13,450 
    Credit Suisse First Boston USA, Inc. 5.375% 3/2/2016  1,175  1,080 
    Credit Suisse First Boston USA, Inc. 7.125% 7/15/2032  2,825  2,754 
    Credit Suisse New York 5.000% 5/15/2013  19,800  18,901 
    Credit Suisse New York 6.000% 2/15/2018  5,200  4,787 
    Deutsche Bank AG London 5.375% 10/12/2012  15,875  15,293 
    Deutsche Bank AG London 4.875% 5/20/2013  13,200  12,427 
    Deutsche Bank AG London 6.000% 9/1/2017  29,375  28,339 
    Deutsche Bank Financial LLC 5.375% 3/2/2015  5,400  5,064 
    Fifth Third Bancorp. 4.200% 2/23/2010  4,275  2,180 
    Fifth Third Bancorp. 6.250% 5/1/2013  5,950  3,867 
    Fifth Third Bancorp. 4.750% 2/1/2015  10,950  4,939 
    Fifth Third Bancorp. 4.500% 6/1/2018  1,550  697 
    Fifth Third Bancorp. 8.250% 3/1/2038  5,450  4,134 
3 Fifth Third Capital Trust IV 6.500% 4/15/2017  4,350  1,881 
    First Tennessee Bank 5.050% 1/15/2015  1,825  1,204 
    First Union Institutional Capital I 8.040% 12/1/2026  1,825  1,095 
    FirstStar Bank 7.125% 12/1/2009  2,685  2,735 
    Fleet Capital Trust II 7.920% 12/11/2026  2,315  2,286 
    Golden West Financial Corp. 4.750% 10/1/2012  3,315  2,652 
5 HBOS Treasury Services PLC 5.250% 2/21/2017  21,125  17,996 
5 HBOS Treasury Services PLC 6.750% 5/21/2018  7,250  5,880 
    HSBC Bank PLC 6.950% 3/15/2011  11,350  11,742 
    HSBC Bank USA 4.625% 4/1/2014  4,125  3,671 
    HSBC Bank USA 5.875% 11/1/2034  2,475  1,898 
    HSBC Bank USA 5.625% 8/15/2035  4,825  3,558 
    HSBC Holdings PLC 7.625% 5/17/2032  1,250  1,198 
    HSBC Holdings PLC 7.350% 11/27/2032  2,515  2,336 
    HSBC Holdings PLC 6.500% 5/2/2036  22,600  18,808 
    HSBC Holdings PLC 6.500% 9/15/2037  16,575  13,758 
    HSBC Holdings PLC 6.800% 6/1/2038  7,200  6,211 
5 ICICI Bank Ltd. 6.625% 10/3/2012  6,425  6,174 
    JPM Capital Trust 6.550% 9/29/2036  8,725  6,624 
    JPMorgan Capital Trust 5.875% 3/15/2035  4,225  3,031 
    JPMorgan Chase & Co. 7.875% 6/15/2010  450  461 
    JPMorgan Chase & Co. 6.750% 2/1/2011  14,862  14,800 
    JPMorgan Chase & Co. 5.600% 6/1/2011  37,400  37,231 
    JPMorgan Chase & Co. 4.850% 6/16/2011  13,925  13,522 
    JPMorgan Chase & Co. 4.500% 1/15/2012  9,400  8,738 
    JPMorgan Chase & Co. 6.625% 3/15/2012  12,575  12,629 
    JPMorgan Chase & Co. 5.375% 10/1/2012  26,725  25,117 
    JPMorgan Chase & Co. 5.750% 1/2/2013  7,150  6,718 
    JPMorgan Chase & Co. 4.750% 5/1/2013  8,575  8,173 
    JPMorgan Chase & Co. 5.375% 1/15/2014  2,575  2,347 
    JPMorgan Chase & Co. 4.875% 3/15/2014  19,540  17,711 
    JPMorgan Chase & Co. 5.125% 9/15/2014  13,085  11,891 
    JPMorgan Chase & Co. 4.750% 3/1/2015  2,800  2,469 
    JPMorgan Chase & Co. 5.250% 5/1/2015  9,725  8,850 
    JPMorgan Chase & Co. 5.150% 10/1/2015  3,860  3,406 
    JPMorgan Chase & Co. 5.875% 6/13/2016  5,075  4,821 
    JPMorgan Chase & Co. 6.125% 6/27/2017  14,825  13,404 
    JPMorgan Chase & Co. 6.000% 10/1/2017  2,950  2,714 
    JPMorgan Chase & Co. 6.000% 1/15/2018  4,275  3,889 
    JPMorgan Chase & Co. 5.850% 8/1/2035  825  599 
    JPMorgan Chase & Co. 6.400% 5/15/2038  13,575  11,810 
    JPMorgan Chase Capital XXII 6.450% 2/2/2037  12,275  8,892 
    JPMorgan Chase Capital XXV 6.800% 10/1/2037  9,650  7,397 
    KeyBank NA 7.000% 2/1/2011  725  670 
    KeyBank NA 5.500% 9/17/2012  6,800  5,563 
    KeyBank NA 5.800% 7/1/2014  3,675  2,726 
    KeyBank NA 4.950% 9/15/2015  7,175  4,840 
    KeyBank NA 5.450% 3/3/2016  7,175  4,664 
    KeyCorp 6.500% 5/14/2013  6,750  4,916 
    MBNA America Bank NA 6.625% 6/15/2012  3,465  3,354 
    MBNA Corp. 7.500% 3/15/2012  3,245  3,351 
    MBNA Corp. 6.125% 3/1/2013  4,900  4,843 
    MBNA Corp. 5.000% 6/15/2015  4,375  3,843 
3 Manufacturers & Traders Trust Co. 5.585% 12/28/2015  550  433 
    Manufacturers & Traders Trust Co. 6.625% 12/4/2017  8,350  7,001 
    Marshall & Ilsley Bank 5.250% 9/4/2012  1,150  999 
    Marshall & Ilsley Bank 4.850% 6/16/2015  700  520 
    Marshall & Ilsley Bank 5.000% 1/17/2017  250  178 
    Mellon Bank NA 4.750% 12/15/2014  3,650  3,292 
3 Mellon Capital IV 6.244% 6/29/2049  200  112 
    Mellon Funding Corp. 6.400% 5/14/2011  450  444 
    Mellon Funding Corp. 5.000% 12/1/2014  1,100  985 
    NB Capital Trust II 7.830% 12/15/2026  5,000  4,360 
    NB Capital Trust IV 8.250% 4/15/2027  3,400  3,088 
    National City Bank 4.500% 3/15/2010  7,525  3,574 
    National City Bank 6.250% 3/15/2011  575  230 
    National City Bank 4.625% 5/1/2013  3,225  1,451 
    National City Corp. 4.900% 1/15/2015  1,725  949 
    National City Corp. 6.875% 5/15/2019  850  425 
3 National City Preferred Capital Trust I 12.000% 12/31/2049  7,025  3,021 
    National Westminster Bank PLC 7.375% 10/1/2009  450  449 
    NationsBank Corp. 6.800% 3/15/2028  725  621 
5 Nationwide Building Society 5.500% 7/18/2012  24,775  25,504 
    North Fork Bancorp., Inc. 5.875% 8/15/2012  250  225 
5 Northern Rock PLC 5.625% 6/22/2017  47,600  48,474 
    Northern Trust Co. 5.500% 8/15/2013  1,575  1,608 
    Northern Trust Co. 6.500% 8/15/2018  1,400  1,417 
    PNC Bank NA 4.875% 9/21/2017  9,750  8,371 
    PNC Bank NA 6.000% 12/7/2017  1,425  1,332 
    PNC Bank NA 6.875% 4/1/2018  175  173 
    PNC Funding Corp. 4.500% 3/10/2010  500  493 
    PNC Funding Corp. 5.125% 12/14/2010  5,750  5,704 
    PNC Funding Corp. 5.250% 11/15/2015  10,275  9,065 
    PNC Funding Corp. 5.625% 2/1/2017  1,075  965 
    Paribas NY 6.950% 7/22/2013  1,225  1,340 
    Regions Bank 7.500% 5/15/2018  5,275  4,220 
    Regions Financial Corp. 4.375% 12/1/2010  1,000  922 
    Regions Financial Corp. 7.000% 3/1/2011  4,275  3,967 
    Regions Financial Corp. 6.375% 5/15/2012  15,925  14,014 
3 Regions Financial Corp. 6.625% 5/15/2027  5,075  2,666 
    Regions Financial Corp. 7.375% 12/10/2037  4,950  3,168 
    Royal Bank of Canada 4.125% 1/26/2010  13,450  13,293 
3 Royal Bank of Scotland Group PLC 5.512% 9/29/2049  6,774  5,380 
3 Royal Bank of Scotland Group PLC 7.640% 3/31/2049  4,975  3,977 
3 Royal Bank of Scotland Group PLC 7.648% 8/29/2049  23,895  18,173 
    Royal Bank of Scotland Group PLC 6.375% 2/1/2011  1,675  1,691 
    Royal Bank of Scotland Group PLC 5.000% 11/12/2013  13,125  12,592 
    Royal Bank of Scotland Group PLC 5.050% 1/8/2015  9,825  8,716 
    Santander Central Hispano Issuances Ltd. 7.625% 9/14/2010  12,500  12,790 
    Santander Financial Issuances 6.375% 2/15/2011  1,400  1,429 
    Sanwa Bank Ltd. 7.400% 6/15/2011  12,800  13,645 
    Southtrust Corp. 5.800% 6/15/2014  3,075  1,999 
    Sovereign Bancorp, Inc. 4.800% 9/1/2010  8,275  7,034 
    Sovereign Bancorp, Inc. 8.750% 5/30/2018  1,650  1,072 
    Sovereign Bank 5.125% 3/15/2013  2,900  1,682 
3,5 Standard Chartered PLC 6.409% 12/31/2049  7,100  5,248 
    State Street Capital Trust 5.300% 1/15/2016  3,425  3,114 
    Sumitomo Mitsui Banking Corp. 8.000% 6/15/2012  16,075  17,637 
    SunTrust Banks, Inc. 6.375% 4/1/2011  8,455  8,349 
    SunTrust Banks, Inc. 5.250% 11/5/2012  8,150  7,404 
    SunTrust Banks, Inc. 5.000% 9/1/2015  350  288 
    SunTrust Banks, Inc. 6.000% 9/11/2017  7,175  6,136 
    SunTrust Banks, Inc. 5.450% 12/1/2017  500  406 
    SunTrust Banks, Inc. 7.250% 3/15/2018  1,100  991 
    SunTrust Banks, Inc. 6.000% 2/15/2026  3,925  2,942 
    SunTrust Capital VIII 6.100% 12/15/2036  3,635  1,759 
3 SunTrust Preferred Capital I 5.853% 12/31/2049  2,875  1,725 
    Swiss Bank Corp. 7.000% 10/15/2015  2,825  2,739 
    Swiss Bank Corp. 7.375% 6/15/2017  4,175  4,147 
    Synovus Financial Corp. 5.125% 6/15/2017  4,925  3,406 
    UBS AG 5.875% 7/15/2016  2,800  2,572 
    UBS AG 5.875% 12/20/2017  32,534  29,812 
    UBS AG 5.750% 4/25/2018  10,975  9,834 
    UFJ Finance Aruba AEC 6.750% 7/15/2013  27,325  28,494 
    US Bank NA 6.375% 8/1/2011  6,975  7,137 
    US Bank NA 6.300% 2/4/2014  9,150  8,936 
    US Bank NA 4.950% 10/30/2014  10,225  9,796 
3 USB Capital IX 6.189% 4/15/2049  10,040  5,020 
    Union Bank of California NA 5.950% 5/11/2016  4,700  4,176 
    Union Planters Corp. 7.750% 3/1/2011  7,525  7,280 
    UnionBanCal Corp. 5.250% 12/16/2013  1,480  1,397 
    Wachovia Bank NA 4.800% 11/1/2014  6,825  4,504 
    Wachovia Bank NA 4.875% 2/1/2015  17,300  11,764 
    Wachovia Bank NA 5.000% 8/15/2015  1,110  666 
    Wachovia Bank NA 6.000% 11/15/2017  9,825  6,877 
    Wachovia Bank NA 5.850% 2/1/2037  18,225  10,935 
    Wachovia Bank NA 6.600% 1/15/2038  14,625  7,312 
3,4 Wachovia Capital Trust III 5.800% 3/15/2011  12,925  5,428 
    Wachovia Corp. 7.875% 2/15/2010  3,700  2,775 
    Wachovia Corp. 4.375% 6/1/2010  6,875  5,844 
    Wachovia Corp. 7.800% 8/18/2010  12,905  10,840 
    Wachovia Corp. 5.300% 10/15/2011  17,775  15,109 
    Wachovia Corp. 5.500% 5/1/2013  14,975  12,467 
    Wachovia Corp. 4.875% 2/15/2014  6,150  4,059 
    Wachovia Corp. 5.250% 8/1/2014  1,120  728 
    Wachovia Corp. 5.625% 10/15/2016  4,900  3,136 
    Wachovia Corp. 5.750% 6/15/2017  31,175  23,381 
    Wachovia Corp. 5.750% 2/1/2018  2,200  1,760 
    Wachovia Corp. 6.605% 10/1/2025  275  176 
5 Wachovia Corp. 8.000% 12/15/2026  5,125  3,075 
    Wachovia Corp. 7.500% 4/15/2035  1,100  825 
    Wachovia Corp. 5.500% 8/1/2035  3,600  1,800 
    Wachovia Corp. 6.550% 10/15/2035  775  504 
    Wells Fargo & Co. 4.200% 1/15/2010  29,379  29,391 
    Wells Fargo & Co. 4.875% 1/12/2011  15,575  15,325 
    Wells Fargo & Co. 6.375% 8/1/2011  2,000  2,038 
    Wells Fargo & Co. 5.300% 8/26/2011  4,800  4,758 
    Wells Fargo & Co. 5.125% 9/1/2012  4,000  3,857 
    Wells Fargo & Co. 5.250% 10/23/2012  19,850  19,208 
    Wells Fargo & Co. 4.375% 1/31/2013  9,175  8,655 
    Wells Fargo & Co. 4.950% 10/16/2013  10,350  9,813 
    Wells Fargo & Co. 4.625% 4/15/2014  275  247 
    Wells Fargo & Co. 5.625% 12/11/2017  33,775  31,040 
    Wells Fargo & Co. 5.375% 2/7/2035  5,625  4,393 
    Wells Fargo Bank NA 6.450% 2/1/2011  15,800  15,889 
    Wells Fargo Bank NA 4.750% 2/9/2015  12,875  11,669 
    Wells Fargo Bank NA 5.750% 5/16/2016  7,925  7,424 
    Wells Fargo Bank NA 5.950% 8/26/2036  10,275  8,949 
    Wells Fargo Capital X 5.950% 12/15/2036  3,075  2,596 
3 Wells Fargo Capital XIII 7.700% 12/29/2049  8,050  7,245 
3 Wells Fargo Capital XV 9.750% 12/29/2049  5,925  5,777 
    Wells Fargo Financial 5.500% 8/1/2012  3,975  3,890 
    World Savings Bank, FSB 4.125% 12/15/2009  3,500  3,150 
    Zions Bancorp. 5.500% 11/16/2015  6,950  3,822 
    Brokerage (1.1%)
    Ameriprise Financial Inc. 5.350% 11/15/2010  5,900  5,861 
    Ameriprise Financial Inc. 5.650% 11/15/2015  4,925  4,348 
3 Ameriprise Financial Inc. 7.518% 6/1/2016  1,250  965 
    BlackRock, Inc. 6.250% 9/15/2017  4,000  3,847 
    Dean Witter, Discover & Co. 6.750% 10/15/2013  800  504 
5 Fidelity Investments 7.490% 6/15/2019  1,000  1,012 
3 Goldman Sachs Capital II 5.793% 12/29/2049  8,625  3,622 
    Goldman Sachs Group, Inc. 4.500% 6/15/2010  5,945  5,455 
    Goldman Sachs Group, Inc. 6.875% 1/15/2011  7,750  7,401 
    Goldman Sachs Group, Inc. 6.600% 1/15/2012  33,600  31,321 
    Goldman Sachs Group, Inc. 5.450% 11/1/2012  12,375  11,014 
    Goldman Sachs Group, Inc. 5.250% 4/1/2013  12,415  10,429 
    Goldman Sachs Group, Inc. 4.750% 7/15/2013  11,050  9,282 
    Goldman Sachs Group, Inc. 5.250% 10/15/2013  16,550  13,902 
    Goldman Sachs Group, Inc. 5.150% 1/15/2014  3,015  2,563 
    Goldman Sachs Group, Inc. 5.000% 10/1/2014  15,550  12,751 
    Goldman Sachs Group, Inc. 5.125% 1/15/2015  14,735  12,304 
    Goldman Sachs Group, Inc. 5.350% 1/15/2016  18,900  15,592 
    Goldman Sachs Group, Inc. 5.750% 10/1/2016  5,600  4,648 
    Goldman Sachs Group, Inc. 5.625% 1/15/2017  14,750  12,242 
    Goldman Sachs Group, Inc. 6.250% 9/1/2017  33,125  27,494 
    Goldman Sachs Group, Inc. 5.950% 1/18/2018  29,650  24,609 
    Goldman Sachs Group, Inc. 6.150% 4/1/2018  18,225  15,309 
    Goldman Sachs Group, Inc. 5.950% 1/15/2027  11,250  7,875 
    Goldman Sachs Group, Inc. 6.125% 2/15/2033  11,825  8,756 
    Goldman Sachs Group, Inc. 6.345% 2/15/2034  19,225  12,324 
    Goldman Sachs Group, Inc. 6.450% 5/1/2036  3,200  2,240 
    Goldman Sachs Group, Inc. 6.750% 10/1/2037  46,750  32,725 
    Janus Capital Group 5.875% 9/15/2011  3,375  3,222 
    Janus Capital Group 6.700% 6/15/2017  2,575  2,247 
    Jefferies Group Inc. 6.450% 6/8/2027  14,325  10,789 
    Jefferies Group Inc. 6.250% 1/15/2036  8,425  6,006 
    Lazard Group 6.850% 6/15/2017  7,775  6,440 
6 Lehman Brothers Capital Trust VII 5.857% 11/29/2049  6,575  0 
6 Lehman Brothers Holdings, Inc. 5.250% 2/6/2012  9,625  1,227 
6 Lehman Brothers Holdings, Inc. 6.000% 7/19/2012  8,800  1,100 
6 Lehman Brothers Holdings, Inc. 5.750% 5/17/2013  16,575  2,072 
6 Lehman Brothers Holdings, Inc. 5.500% 4/4/2016  21,075  2,634 
6 Lehman Brothers Holdings, Inc. 5.750% 1/3/2017  700  1 
6 Lehman Brothers Holdings, Inc. 6.500% 7/19/2017  19,975  13 
6 Lehman Brothers Holdings, Inc. 5.875% 11/15/2017  575  65 
6 Lehman Brothers Holdings, Inc. 6.750% 12/28/2017  19,800  49 
6 Lehman Brothers Holdings, Inc. 6.000% 5/3/2027  7,200  5 
6 Lehman Brothers Holdings, Inc. 7.000% 9/27/2027  11,475  1,492 
6 Lehman Brothers Holdings, Inc. 7.500% 5/11/2038  11,575  14 
    Merrill Lynch & Co., Inc. 4.125% 9/10/2009  7,775  7,250 
    Merrill Lynch & Co., Inc. 4.250% 2/8/2010  12,880  10,974 
    Merrill Lynch & Co., Inc. 5.770% 7/25/2011  4,325  3,963 
    Merrill Lynch & Co., Inc. 6.050% 8/15/2012  12,850  11,452 
    Merrill Lynch & Co., Inc. 5.450% 2/5/2013  18,650  16,353 
    Merrill Lynch & Co., Inc. 6.150% 4/25/2013  25,800  22,778 
    Merrill Lynch & Co., Inc. 5.000% 2/3/2014  7,100  5,590 
    Merrill Lynch & Co., Inc. 5.450% 7/15/2014  2,875  2,281 
    Merrill Lynch & Co., Inc. 5.000% 1/15/2015  19,150  15,511 
    Merrill Lynch & Co., Inc. 6.050% 5/16/2016  3,550  2,782 
    Merrill Lynch & Co., Inc. 5.700% 5/2/2017  20,600  15,745 
    Merrill Lynch & Co., Inc. 6.400% 8/28/2017  13,750  10,994 
    Merrill Lynch & Co., Inc. 6.875% 4/25/2018  15,000  13,134 
    Merrill Lynch & Co., Inc. 6.500% 7/15/2018  425  361 
    Merrill Lynch & Co., Inc. 6.875% 11/15/2018  19  17 
    Merrill Lynch & Co., Inc. 6.220% 9/15/2026  19,050  14,324 
    Merrill Lynch & Co., Inc. 6.110% 1/29/2037  5,625  3,802 
    Merrill Lynch & Co., Inc. 7.750% 5/14/2038  13,275  11,387 
    Morgan Stanley Dean Witter 4.000% 1/15/2010  19,250  15,881 
    Morgan Stanley Dean Witter 4.250% 5/15/2010  15,155  12,313 
    Morgan Stanley Dean Witter 5.050% 1/21/2011  2,700  1,944 
    Morgan Stanley Dean Witter 6.750% 4/15/2011  22,510  16,432 
    Morgan Stanley Dean Witter 5.625% 1/9/2012  6,525  4,437 
    Morgan Stanley Dean Witter 6.600% 4/1/2012  14,510  9,867 
    Morgan Stanley Dean Witter 5.750% 8/31/2012  9,400  6,486 
    Morgan Stanley Dean Witter 5.300% 3/1/2013  21,950  13,938 
    Morgan Stanley Dean Witter 4.750% 4/1/2014  26,250  13,125 
    Morgan Stanley Dean Witter 6.000% 4/28/2015  15,575  9,812 
    Morgan Stanley Dean Witter 5.375% 10/15/2015  7,100  4,615 
    Morgan Stanley Dean Witter 5.750% 10/18/2016  17,025  11,364 
    Morgan Stanley Dean Witter 5.450% 1/9/2017  11,125  7,231 
    Morgan Stanley Dean Witter 5.550% 4/27/2017  3,725  2,309 
    Morgan Stanley Dean Witter 5.950% 12/28/2017  22,050  14,994 
    Morgan Stanley Dean Witter 6.625% 4/1/2018  24,575  16,465 
    Morgan Stanley Dean Witter 6.250% 8/9/2026  18,625  11,358 
    Morgan Stanley Dean Witter 7.250% 4/1/2032  9,415  6,308 
3 Schwab Capital Trust I 7.500% 11/15/2017  2,150  1,847 
    Finance Companies (1.4%)
    Allied Capital Corp. 6.000% 4/1/2012  3,125  2,899 
    American Exoress Co. 7.000% 3/19/2018  12,775  11,563 
    American Express Bank, FSB 5.550% 10/17/2012  4,225  3,877 
    American Express Bank, FSB 5.500% 4/16/2013  10,000  9,413 
    American Express Bank, FSB 6.000% 9/13/2017  5,200  4,597 
    American Express Centurion Bank 5.200% 11/26/2010  1,975  1,946 
    American Express Centurion Bank 5.550% 10/17/2012  3,100  2,836 
    American Express Centurion Bank 6.000% 9/13/2017  4,650  4,180 
    American Express Co. 4.875% 7/15/2013  7,300  6,559 
3 American Express Co. 6.800% 9/1/2016  7,565  6,665 
    American Express Co. 5.500% 9/12/2016  3,600  3,036 
    American Express Co. 6.150% 8/28/2017  8,625  7,266 
    American Express Co. 8.150% 3/19/2038  2,500  2,212 
    American Express Credit Corp. 5.000% 12/2/2010  6,075  5,913 
    American Express Credit Corp. 5.875% 5/2/2013  15,450  14,165 
    American Express Credit Corp. 7.300% 8/20/2013  7,175  6,882 
5 American Express Travel 5.250% 11/21/2011  7,750  7,493 
    American General Finance Corp. 3.875% 10/1/2009  4,000  2,840 
    American General Finance Corp. 4.875% 5/15/2010  5,100  3,009 
    American General Finance Corp. 5.625% 8/17/2011  7,625  4,117 
    American General Finance Corp. 4.875% 7/15/2012  1,650  759 
    American General Finance Corp. 5.375% 10/1/2012  1,000  410 
    American General Finance Corp. 5.850% 6/1/2013  19,820  9,117 
    American General Finance Corp. 5.750% 9/15/2016  4,925  2,216 
    American General Finance Corp. 6.900% 12/15/2017  13,800  5,796 
    Block Financial LLC 7.875% 1/15/2013  2,000  2,123 
    CIT Group Funding Co. of Canada 4.650% 7/1/2010  7,550  4,983 
    CIT Group Funding Co. of Canada 5.200% 6/1/2015  8,575  4,287 
    CIT Group Funding Co. of Canada 5.600% 11/2/2011  5,300  3,180 
    CIT Group, Inc. 4.250% 2/1/2010  3,475  2,502 
    CIT Group, Inc. 5.200% 11/3/2010  3,525  2,150 
    CIT Group, Inc. 4.750% 12/15/2010  3,650  2,336 
    CIT Group, Inc. 5.600% 4/27/2011  6,375  4,080 
    CIT Group, Inc. 5.800% 7/28/2011  5,325  3,248 
    CIT Group, Inc. 7.625% 11/30/2012  7,325  4,358 
    CIT Group, Inc. 5.400% 3/7/2013  7,450  4,619 
    CIT Group, Inc. 5.000% 2/13/2014  125  72 
    CIT Group, Inc. 5.125% 9/30/2014  5,625  2,869 
    CIT Group, Inc. 5.000% 2/1/2015  4,175  2,129 
    CIT Group, Inc. 5.400% 1/30/2016  2,750  1,375 
    CIT Group, Inc. 5.850% 9/15/2016  6,450  3,289 
    CIT Group, Inc. 5.650% 2/13/2017  8,825  4,412 
3 CIT Group, Inc. 6.100% 3/15/2017  225  82 
    CIT Group, Inc. 6.000% 4/1/2036  2,150  881 
    Capital One Bank 5.750% 9/15/2010  2,025  1,767 
    Capital One Bank 6.500% 6/13/2013  5,500  4,976 
    Capital One Capital III 7.686% 8/15/2036  7,650  3,462 
    Capital One Capital IV 6.745% 2/17/2037  3,100  1,550 
    Capital One Financial Corp. 5.700% 9/15/2011  4,025  3,412 
    Capital One Financial Corp. 4.800% 2/21/2012  2,125  1,905 
    Capital One Financial Corp. 5.500% 6/1/2015  6,075  5,254 
    Capital One Financial Corp. 6.150% 9/1/2016  6,525  5,048 
    Capital One Financial Corp. 5.250% 2/21/2017  1,775  1,470 
    Capital One Financial Corp. 6.750% 9/15/2017  7,225  6,516 
    Capmark Financial Group 5.875% 5/10/2012  1,775  887 
    Capmark Financial Group 6.300% 5/10/2017  3,625  1,450 
    Countrywide Financial Corp. 5.800% 6/7/2012  8,175  6,908 
    Countrywide Financial Corp. 6.250% 5/15/2016  3,525  2,608 
    Countrywide Home Loan 5.625% 7/15/2009  340  320 
    Countrywide Home Loan 4.125% 9/15/2009  15,535  13,981 
    Countrywide Home Loan 4.000% 3/22/2011  4,950  4,306 
    Discover Financial Services 6.450% 6/12/2017  1,250  791 
    General Electric Capital Corp. 8.300% 9/20/2009  275  279 
    General Electric Capital Corp. 5.250% 10/27/2009  9,725  9,598 
    General Electric Capital Corp. 4.250% 9/13/2010  5,250  5,099 
    General Electric Capital Corp. 4.875% 10/21/2010  11,450  11,144 
    General Electric Capital Corp. 5.000% 12/1/2010  2,650  2,580 
    General Electric Capital Corp. 6.125% 2/22/2011  13,705  13,450 
    General Electric Capital Corp. 5.500% 4/28/2011  11,475  11,068 
    General Electric Capital Corp. 5.875% 2/15/2012  33,565  32,512 
    General Electric Capital Corp. 4.375% 3/3/2012  11,200  10,405 
    General Electric Capital Corp. 5.000% 4/10/2012  250  236 
    General Electric Capital Corp. 6.000% 6/15/2012  20,175  19,378 
    General Electric Capital Corp. 5.250% 10/19/2012  48,375  45,303 
    General Electric Capital Corp. 5.450% 1/15/2013  10,475  9,724 
    General Electric Capital Corp. 4.800% 5/1/2013  21,150  19,174 
    General Electric Capital Corp. 5.500% 6/4/2014  15,725  14,735 
    General Electric Capital Corp. 5.650% 6/9/2014  9,200  8,675 
    General Electric Capital Corp. 5.375% 10/20/2016  4,450  3,880 
    General Electric Capital Corp. 5.400% 2/15/2017  24,400  21,014 
    General Electric Capital Corp. 5.625% 9/15/2017  8,500  7,287 
3 General Electric Capital Corp. 6.375% 11/15/2017  12,800  10,968 
    General Electric Capital Corp. 5.625% 5/1/2018  35,250  29,663 
    General Electric Capital Corp. 6.750% 3/15/2032  38,685  32,192 
    General Electric Capital Corp. 6.150% 8/7/2037  11,775  9,069 
    General Electric Capital Corp. 5.875% 1/14/2038  63,675  47,062 
3 HSBC Finance Capital Trust IX 5.911% 11/30/2015  2,700  2,061 
    HSBC Finance Corp. 4.125% 11/16/2009  6,300  6,152 
    HSBC Finance Corp. 4.625% 9/15/2010  16,600  16,037 
    HSBC Finance Corp. 5.250% 1/14/2011  15,425  14,916 
    HSBC Finance Corp. 5.700% 6/1/2011  18,725  17,996 
    HSBC Finance Corp. 6.375% 10/15/2011  15,900  15,243 
    HSBC Finance Corp. 7.000% 5/15/2012  10,375  10,119 
    HSBC Finance Corp. 5.900% 6/19/2012  5,500  5,230 
    HSBC Finance Corp. 6.375% 11/27/2012  23,090  22,630 
    HSBC Finance Corp. 5.250% 1/15/2014  5,600  5,213 
    HSBC Finance Corp. 5.000% 6/30/2015  33,350  29,275 
    HSBC Finance Corp. 5.500% 1/19/2016  1,850  1,519 
    Heller Financial, Inc. 7.375% 11/1/2009  4,500  4,522 
    International Lease Finance Corp. 4.875% 9/1/2010  1,625  1,251 
    International Lease Finance Corp. 5.125% 11/1/2010  1,850  1,424 
    International Lease Finance Corp. 4.950% 2/1/2011  13,350  9,879 
    International Lease Finance Corp. 5.450% 3/24/2011  6,250  4,625 
    International Lease Finance Corp. 5.750% 6/15/2011  20,900  15,466 
    International Lease Finance Corp. 5.300% 5/1/2012  6,075  4,374 
    International Lease Finance Corp. 5.000% 9/15/2012  9,350  6,264 
    International Lease Finance Corp. 6.375% 3/25/2013  10,225  7,157 
    International Lease Finance Corp. 5.625% 9/20/2013  12,115  8,480 
    International Lease Finance Corp. 5.650% 6/1/2014  5,875  3,936 
    PHH Corp. 7.125% 3/1/2013  1,150  1,077 
    SLM Corp. 4.500% 7/26/2010  3,175  2,546 
    SLM Corp. 5.400% 10/25/2011  21,550  16,157 
    SLM Corp. 5.375% 1/15/2013  5,325  3,833 
    SLM Corp. 5.000% 10/1/2013  2,800  1,903 
    SLM Corp. 5.050% 11/14/2014  2,400  1,555 
    SLM Corp. 8.450% 6/15/2018  22,875  15,935 
    SLM Corp. 5.625% 8/1/2033  6,200  3,819 
    iStar Financial Inc. 5.800% 3/15/2011  5,000  3,100 
    iStar Financial Inc. 5.650% 9/15/2011  5,750  2,961 
    iStar Financial Inc. 5.150% 3/1/2012  5,775  2,945 
    iStar Financial Inc. 8.625% 6/1/2013  5,000  2,875 
    iStar Financial Inc. 5.950% 10/15/2013  4,550  2,366 
    iStar Financial Inc. 5.875% 3/15/2016  3,725  2,160 
    iStar Financial Inc. 5.850% 3/15/2017  600  342 
    Insurance (1.0%)
    ACE Capital Trust II 9.700% 4/1/2030  2,200  2,111 
    ACE INA Holdings, Inc. 5.600% 5/15/2015  7,375  6,918 
    ACE INA Holdings, Inc. 5.700% 2/15/2017  3,150  2,926 
    ACE INA Holdings, Inc. 5.800% 3/15/2018  2,125  1,968 
    AEGON Funding Corp. 5.750% 12/15/2020  1,350  1,167 
    AEGON NV 4.750% 6/1/2013  2,225  2,097 
    AXA Financial, Inc. 7.750% 8/1/2010  1,075  1,099 
    AXA SA 8.600% 12/15/2030  10,550  10,098 
    Aetna, Inc. 7.875% 3/1/2011  1,700  1,777 
    Aetna, Inc. 5.750% 6/15/2011  1,400  1,424 
    Aetna, Inc. 6.000% 6/15/2016  11,150  10,765 
    Aetna, Inc. 6.500% 9/15/2018  2,425  2,375 
    Aetna, Inc. 6.625% 6/15/2036  9,200  8,266 
    Aetna, Inc. 6.750% 12/15/2037  225  204 
    Allied World Assurance 7.500% 8/1/2016  6,100  5,521 
    Allstate Corp. 7.200% 12/1/2009  8,740  8,813 
    Allstate Corp. 6.125% 2/15/2012  2,990  3,007 
    Allstate Corp. 5.000% 8/15/2014  2,600  2,433 
3 Allstate Corp. 6.125% 5/15/2017  2,700  2,031 
    Allstate Corp. 6.125% 12/15/2032  2,850  2,458 
    Allstate Corp. 5.350% 6/1/2033  1,120  867 
    Allstate Corp. 5.550% 5/9/2035  1,625  1,285 
3 Allstate Corp. 6.500% 5/15/2037  6,525  4,295 
    Allstate Life Global Funding 5.375% 4/30/2013  4,550  4,405 
    Ambac, Inc. 5.950% 12/5/2035  9,000  3,240 
    Ambac, Inc. 6.150% 2/7/2087  925  231 
    American General Capital II 8.500% 7/1/2030  8,590  3,522 
    American International Group, Inc. 4.250% 5/15/2013  825  437 
    American International Group, Inc. 4.700% 10/1/2010  1,450  957 
    American International Group, Inc. 5.375% 10/18/2011  4,200  2,562 
    American International Group, Inc. 4.950% 3/20/2012  7,430  4,124 
    American International Group, Inc. 5.050% 10/1/2015  2,800  1,484 
    American International Group, Inc. 5.600% 10/18/2016  1,875  956 
    American International Group, Inc. 5.450% 5/18/2017  9,525  4,667 
    American International Group, Inc. 5.850% 1/16/2018  14,400  7,344 
    American International Group, Inc. 6.250% 5/1/2036  10,775  5,172 
    American International Group, Inc. 6.250% 3/15/2037  935  136 
3,5 American International Group, Inc. 8.175% 5/15/2038  24,500  3,552 
    Aon Capital Trust 8.205% 1/1/2027  1,200  1,039 
    Arch Capital Group Ltd. 7.350% 5/1/2034  3,250  3,181 
    Aspen Insurance Holdings Ltd. 6.000% 8/15/2014  3,300  3,020 
    Assurant, Inc. 5.625% 2/15/2014  1,450  1,314 
    Assurant, Inc. 6.750% 2/15/2034  4,100  3,305 
    Axis Capital Holdings Ltd. 5.750% 12/1/2014  2,700  2,497 
    Berkshire Hathaway Finance Corp. 4.125% 1/15/2010  7,900  7,973 
    Berkshire Hathaway Finance Corp. 4.200% 12/15/2010  4,150  4,199 
5 Berkshire Hathaway Finance Corp. 4.600% 5/15/2013  10,000  9,868 
5 Berkshire Hathaway Finance Corp. 5.000% 8/15/2013  15,850  15,854 
    Berkshire Hathaway Finance Corp. 4.625% 10/15/2013  4,475  4,414 
    Berkshire Hathaway Finance Corp. 5.100% 7/15/2014  550  545 
    Berkshire Hathaway Finance Corp. 4.850% 1/15/2015  13,400  13,096 
5 Berkshire Hathaway Finance Corp. 5.400% 5/15/2018  9,975  9,793 
    CIGNA Corp. 6.350% 3/15/2018  1,450  1,373 
    CIGNA Corp. 7.875% 5/15/2027  1,300  1,329 
    CIGNA Corp. 6.150% 11/15/2036  7,100  6,057 
    CNA Financial Corp. 6.000% 8/15/2011  3,225  3,257 
    CNA Financial Corp. 5.850% 12/15/2014  4,225  3,998 
    CNA Financial Corp. 6.500% 8/15/2016  6,950  6,512 
3 Chubb Corp. 6.375% 4/15/2017  7,000  5,539 
    Chubb Corp. 5.750% 5/15/2018  2,450  2,208 
    Chubb Corp. 6.000% 5/11/2037  8,600  7,266 
    Chubb Corp. 6.500% 5/15/2038  2,625  2,257 
    Cincinnati Financial Corp. 6.920% 5/15/2028  550  502 
    Cincinnati Financial Corp. 6.125% 11/1/2034  4,300  3,442 
    Commerce Group, Inc. 5.950% 12/9/2013  1,750  1,730 
    Coventry Health Care Inc. 6.300% 8/15/2014  4,725  4,369 
3 Everest Reinsurance Holdings, Inc. 6.600% 5/15/2017  2,775  1,732 
    Fidelity National Financial, Inc. 7.300% 8/15/2011  4,850  4,898 
    Fund American Cos., Inc. 5.875% 5/15/2013  2,200  1,720 
    GE Global Insurance Holdings Corp. 6.450% 3/1/2019  1,425  1,237 
    GE Global Insurance Holdings Corp. 7.000% 2/15/2026  4,200  3,583 
    GE Global Insurance Holdings Corp. 7.750% 6/15/2030  1,650  1,476 
    Genworth Financial, Inc. 5.125% 3/15/2011  750  708 
    Genworth Financial, Inc. 5.650% 6/15/2012  5,000  4,250 
    Genworth Financial, Inc. 5.750% 6/15/2014  1,025  820 
    Genworth Financial, Inc. 4.950% 10/1/2015  1,225  919 
3 Genworth Financial, Inc. 6.150% 11/15/2016  3,505  1,577 
    Genworth Financial, Inc. 6.500% 6/15/2034  3,975  2,584 
    Hartford Financial Services Group, Inc. 5.250% 10/15/2011  4,675  4,348 
    Hartford Financial Services Group, Inc. 4.625% 7/15/2013  3,000  2,751 
    Hartford Financial Services Group, Inc. 5.500% 10/15/2016  3,250  2,823 
    Hartford Financial Services Group, Inc. 5.375% 3/15/2017  3,200  2,721 
    Hartford Financial Services Group, Inc. 6.300% 3/15/2018  350  314 
3 Hartford Financial Services Group, Inc. 8.125% 6/15/2018  2,200  1,791 
    Hartford Financial Services Group, Inc. 6.000% 1/15/2019  1,550  1,347 
    Hartford Financial Services Group, Inc. 5.950% 10/15/2036  3,600  2,748 
    Hartford Financial Services Group, Inc. 6.100% 10/1/2041  4,075  3,143 
    Humana Inc. 6.450% 6/1/2016  6,025  5,466 
    Humana Inc. 7.200% 6/15/2018  7,850  7,366 
    Humana Inc. 6.300% 8/1/2018  250  213 
    Humana Inc. 8.150% 6/15/2038  9,650  9,186 
3 ING Capital Funding Trust III 5.775% 12/8/2049  12,700  10,209 
    ING Capital Funding Trust III 8.439% 12/31/2010  600  560 
    ING USA Global 4.500% 10/1/2010  13,000  13,029 
    Lincoln National Corp. 6.200% 12/15/2011  1,225  1,224 
    Lincoln National Corp. 5.650% 8/27/2012  3,975  3,950 
3 Lincoln National Corp. 7.000% 5/17/2016  650  488 
3 Lincoln National Corp. 6.050% 4/20/2017  7,150  4,818 
    Lincoln National Corp. 6.150% 4/7/2036  7,250  6,118 
    Loews Corp. 5.250% 3/15/2016  3,650  3,513 
    Loews Corp. 6.000% 2/1/2035  650  579 
    Marsh & McLennan Cos., Inc. 5.150% 9/15/2010  3,075  3,109 
    Marsh & McLennan Cos., Inc. 6.250% 3/15/2012  6,225  6,416 
    Marsh & McLennan Cos., Inc. 5.375% 7/15/2014  550  531 
    Marsh & McLennan Cos., Inc. 5.750% 9/15/2015  8,850  8,504 
    Marsh & McLennan Cos., Inc. 5.875% 8/1/2033  1,400  1,194 
    MetLife, Inc. 6.125% 12/1/2011  850  841 
    MetLife, Inc. 5.375% 12/15/2012  7,475  7,148 
    MetLife, Inc. 5.000% 11/24/2013  4,900  4,546 
    MetLife, Inc. 5.000% 6/15/2015  3,375  3,006 
    MetLife, Inc. 6.500% 12/15/2032  3,450  3,016 
    MetLife, Inc. 6.375% 6/15/2034  2,250  1,929 
    MetLife, Inc. 5.700% 6/15/2035  975  757 
    MetLife, Inc. 6.400% 12/15/2036  7,960  4,999 
    Nationwide Financial Services 6.750% 5/15/2037  750  423 
    Principal Financial Group, Inc. 6.050% 10/15/2036  3,000  2,364 
    Principal Life Income Funding 5.125% 3/1/2011  4,675  4,697 
    Principal Life Income Funding 5.300% 12/14/2012  6,675  6,666 
    Principal Life Income Funding 5.300% 4/24/2013  6,750  6,760 
    Principal Life Income Funding 5.100% 4/15/2014  4,825  4,661 
    Progressive Corp. 6.375% 1/15/2012  1,950  1,999 
3 Progressive Corp. 6.700% 6/15/2017  8,500  6,967 
    Progressive Corp. 6.625% 3/1/2029  5,175  5,076 
    Progressive Corp. 6.250% 12/1/2032  325  295 
    Protective Life Secured Trust 4.850% 8/16/2010  2,225  2,271 
    Prudential Financial, Inc. 5.100% 12/14/2011  450  433 
    Prudential Financial, Inc. 5.800% 6/15/2012  2,400  2,350 
    Prudential Financial, Inc. 5.150% 1/15/2013  2,325  2,215 
    Prudential Financial, Inc. 4.500% 7/15/2013  7,825  7,210 
    Prudential Financial, Inc. 4.750% 4/1/2014  2,125  1,939 
    Prudential Financial, Inc. 5.100% 9/20/2014  8,675  7,659 
    Prudential Financial, Inc. 5.500% 3/15/2016  725  673 
    Prudential Financial, Inc. 6.100% 6/15/2017  1,200  1,151 
    Prudential Financial, Inc. 6.000% 12/1/2017  4,475  3,933 
    Prudential Financial, Inc. 5.750% 7/15/2033  1,800  1,482 
    Prudential Financial, Inc. 5.400% 6/13/2035  2,300  1,725 
    Prudential Financial, Inc. 5.900% 3/17/2036  4,400  3,522 
    Prudential Financial, Inc. 5.700% 12/14/2036  23,700  18,387 
    Safeco Corp. 4.875% 2/1/2010  1,250  1,250 
    Torchmark Corp. 6.375% 6/15/2016  4,225  4,301 
    Travelers Cos. Inc. 5.375% 6/15/2012  300  295 
3 Travelers Cos. Inc. 6.250% 3/15/2017  2,975  2,193 
    Travelers Cos. Inc. 5.750% 12/15/2017  4,450  4,126 
    Travelers Cos. Inc. 5.800% 5/15/2018  250  230 
    Travelers Cos. Inc. 6.250% 6/15/2037  16,350  13,955 
    Travelers Cos., Inc. 5.500% 12/1/2015  1,700  1,592 
    Travelers Cos., Inc. 6.250% 6/20/2016  2,875  2,793 
    Travelers Property Casualty Corp. 6.375% 3/15/2033  475  418 
    UnitedHealth Group, Inc. 5.250% 3/15/2011  225  218 
    UnitedHealth Group, Inc. 5.500% 11/15/2012  11,375  10,741 
    UnitedHealth Group, Inc. 4.875% 2/15/2013  2,700  2,518 
    UnitedHealth Group, Inc. 4.875% 4/1/2013  2,725  2,537 
    UnitedHealth Group, Inc. 5.000% 8/15/2014  4,925  4,538 
    UnitedHealth Group, Inc. 4.875% 3/15/2015  2,500  2,268 
    UnitedHealth Group, Inc. 6.000% 6/15/2017  1,300  1,226 
    UnitedHealth Group, Inc. 6.000% 11/15/2017  1,250  1,141 
    UnitedHealth Group, Inc. 6.000% 2/15/2018  20,850  19,168 
    UnitedHealth Group, Inc. 5.800% 3/15/2036  1,500  1,149 
    UnitedHealth Group, Inc. 6.500% 6/15/2037  2,125  1,789 
    UnitedHealth Group, Inc. 6.625% 11/15/2037  4,725  3,947 
    UnitedHealth Group, Inc. 6.875% 2/15/2038  5,625  4,907 
    WellPoint Inc. 4.250% 12/15/2009  1,750  1,751 
    WellPoint Inc. 5.000% 1/15/2011  5,700  5,667 
    WellPoint Inc. 6.375% 1/15/2012  3,815  3,853 
    WellPoint Inc. 6.800% 8/1/2012  2,710  2,813 
    WellPoint Inc. 5.000% 12/15/2014  5,400  4,984 
    WellPoint Inc. 5.250% 1/15/2016  750  689 
    WellPoint Inc. 5.875% 6/15/2017  5,200  4,862 
    WellPoint Inc. 5.950% 12/15/2034  7,000  5,764 
    WellPoint Inc. 5.850% 1/15/2036  4,400  3,457 
    WellPoint Inc. 6.375% 6/15/2037  7,125  6,148 
    Willis North America Inc. 5.125% 7/15/2010  1,100  1,095 
    Willis North America Inc. 5.625% 7/15/2015  4,550  4,187 
    Willis North America Inc. 6.200% 3/28/2017  2,500  2,174 
3 XL Capital Ltd. 6.500% 12/15/2049  5,150  3,111 
    XL Capital Ltd. 5.250% 9/15/2014  5,300  4,660 
    XL Capital Ltd. 6.375% 11/15/2024  575  467 
    XL Capital Ltd. 6.250% 5/15/2027  8,625  6,629 
    Real Estate Investment Trusts (0.4%)
    AMB Property LP 6.300% 6/1/2013  3,925  3,857 
    Arden Realty LP 5.250% 3/1/2015  1,075  963 
    AvalonBay Communities, Inc. 5.500% 1/15/2012  2,450  2,280 
    AvalonBay Communities, Inc. 6.125% 11/1/2012  1,000  938 
    AvalonBay Communities, Inc. 5.750% 9/15/2016  975  841 
    Boston Properties, Inc. 6.250% 1/15/2013  4,890  4,884 
    Boston Properties, Inc. 5.625% 4/15/2015  5,250  4,935 
    Brandywine Operating Partnership 4.500% 11/1/2009  4,475  4,361 
    Brandywine Operating Partnership 5.625% 12/15/2010  2,925  2,839 
    Brandywine Operating Partnership 5.750% 4/1/2012  6,208  5,805 
    Brandywine Operating Partnership 5.400% 11/1/2014  1,175  1,003 
    Brandywine Operating Partnership 5.700% 5/1/2017  75  61 
    Camden Property Trust 5.700% 5/15/2017  7,700  6,515 
    Colonial Realty LP 5.500% 10/1/2015  5,465  4,684 
    Developers Diversified Realty Corp. 5.250% 4/15/2011  500  469 
    Developers Diversified Realty Corp. 5.375% 10/15/2012  4,675  4,310 
    Duke Realty LP 5.625% 8/15/2011  2,000  1,794 
    Duke Realty LP 5.950% 2/15/2017  5,250  4,742 
    ERP Operating LP 6.625% 3/15/2012  5,020  4,913 
    ERP Operating LP 5.500% 10/1/2012  3,500  3,281 
    ERP Operating LP 5.250% 9/15/2014  725  645 
    ERP Operating LP 5.125% 3/15/2016  3,200  2,624 
    ERP Operating LP 5.375% 8/1/2016  3,725  3,188 
    ERP Operating LP 5.750% 6/15/2017  1,375  1,147 
    HCP Inc. 6.700% 1/30/2018  6,650  5,744 
    HRPT Properties Trust 6.250% 8/15/2016  1,750  1,525 
    HRPT Properties Trust 6.250% 6/15/2017  6,175  5,305 
    Health Care Property Investors, Inc. 6.450% 6/25/2012  4,800  4,581 
    Health Care Property Investors, Inc. 5.650% 12/15/2013  9,750  8,835 
    Health Care Property Investors, Inc. 6.300% 9/15/2016  3,200  2,750 
    Health Care Property Investors, Inc. 6.000% 1/30/2017  2,125  1,776 
    Health Care Property Investors, Inc. 5.625% 5/1/2017  100  81 
    Health Care REIT, Inc. 6.000% 11/15/2013  250  238 
    Health Care REIT, Inc. 6.200% 6/1/2016  10,675  9,517 
    Hospitality Properties 5.125% 2/15/2015  6,245  4,829 
    Kimco Realty Corp. 5.783% 3/15/2016  1,350  1,218 
    Liberty Property LP 5.125% 3/2/2015  9,625  8,399 
    Liberty Property LP 5.500% 12/15/2016  2,425  2,017 
    National Retail Properties 6.875% 10/15/2017  11,275  10,183 
    Nationwide Health Properties, Inc. 6.250% 2/1/2013  4,900  4,879 
    ProLogis 5.250% 11/15/2010  2,475  2,349 
    ProLogis 5.500% 3/1/2013  2,575  2,437 
    ProLogis 5.625% 11/15/2015  3,525  3,107 
    ProLogis 5.750% 4/1/2016  3,225  2,867 
    ProLogis 5.625% 11/15/2016  3,925  3,360 
    Realty Income Corp. 6.750% 8/15/2019  6,925  6,385 
    Regency Centers LP 6.750% 1/15/2012  7,225  7,228 
    Regency Centers LP 5.250% 8/1/2015  2,800  2,540 
    Simon Property Group Inc. 4.875% 8/15/2010  7,850  7,571 
    Simon Property Group Inc. 5.600% 9/1/2011  3,250  3,056 
    Simon Property Group Inc. 5.000% 3/1/2012  3,975  3,735 
    Simon Property Group Inc. 6.350% 8/28/2012  55  54 
    Simon Property Group Inc. 5.300% 5/30/2013  2,725  2,525 
    Simon Property Group Inc. 5.625% 8/15/2014  150  140 
    Simon Property Group Inc. 5.750% 12/1/2015  16,025  14,362 
    Simon Property Group Inc. 5.250% 12/1/2016  16,200  13,846 
    Simon Property Group Inc. 5.875% 3/1/2017  3,675  3,270 
    Simon Property Group Inc. 6.125% 5/30/2018  5,250  4,701 
    Tanger Factory Outlet Centers, Inc. 6.150% 11/15/2015  4,250  3,750 
    Vornado Realty 5.600% 2/15/2011  4,000  3,662 
    Other (0.0%)
    Chicago Mercantile Exchange Group Inc. 5.400% 8/1/2013  10,175  10,272 
    Orix Corp. 5.480% 11/22/2011  6,125  5,815 
    XTRA Finance Corp. 5.150% 4/1/2017  15,400  14,949 
               4,754,066 
    Industrial (9.1%)
    Basic Industry (0.7%)
    Agrium Inc. 6.750% 1/15/2019  16,475  16,323 
    Alcan, Inc. 6.450% 3/15/2011  950  980 
    Alcan, Inc. 4.875% 9/15/2012  1,050  1,027 
    Alcan, Inc. 4.500% 5/15/2013  7,225  7,002 
    Alcan, Inc. 5.200% 1/15/2014  875  841 
    Alcan, Inc. 5.000% 6/1/2015  1,050  975 
    Alcan, Inc. 6.125% 12/15/2033  8,000  6,924 
    Alcoa, Inc. 6.000% 1/15/2012  4,225  4,244 
    Alcoa, Inc. 5.375% 1/15/2013  5,160  4,960 
    Alcoa, Inc. 6.000% 7/15/2013  11,625  11,423 
    Alcoa, Inc. 6.750% 7/15/2018  300  277 
    Alcoa, Inc. 5.720% 2/23/2019  5,773  5,030 
    Alcoa, Inc. 5.870% 2/23/2022  1,577  1,335 
    Alcoa, Inc. 5.900% 2/1/2027  3,350  2,626 
    Aluminum Co. of America 6.750% 1/15/2028  750  652 
5 ArcelorMittal 5.375% 6/1/2013  13,650  13,128 
5 ArcelorMittal 6.125% 6/1/2018  11,600  10,645 
    BHP Billiton Finance Ltd. 5.125% 3/29/2012  4,300  4,237 
    BHP Billiton Finance Ltd. 5.400% 3/29/2017  940  875 
    BHP Finance USA 5.250% 12/15/2015  5,150  4,790 
    BHP Finance USA Ltd. 4.800% 4/15/2013  9,090  8,969 
    Barrick Gold Finance Inc. 6.125% 9/15/2013  6,550  6,425 
    Barrick Gold Finance Inc. 4.875% 11/15/2014  3,325  3,099 
    Barrick North America Finance LLC 6.800% 9/15/2018  6,475  6,149 
    Barrick North America Finance LLC 7.500% 9/15/2038  7,875  7,525 
    Celulosa Arauco Constitution SA 8.625% 8/15/2010  7,825  8,314 
    Celulosa Arauco Constitution SA 5.125% 7/9/2013  1,500  1,440 
    Celulosa Arauco Constitution SA 5.625% 4/20/2015  2,625  2,461 
    Commercial Metals Co. 6.500% 7/15/2017  2,750  2,537 
    Commercial Metals Co. 7.350% 8/15/2018  6,850  6,595 
    Dow Chemical Co. 6.125% 2/1/2011  12,500  13,013 
    Dow Chemical Co. 6.000% 10/1/2012  2,055  2,093 
    Dow Chemical Co. 5.700% 5/15/2018  1,225  1,149 
    Dow Chemical Co. 7.375% 11/1/2029  3,900  3,750 
    E.I. du Pont de Nemours & Co. 6.875% 10/15/2009  6,200  6,419 
    E.I. du Pont de Nemours & Co. 4.125% 4/30/2010  5,350  5,326 
    E.I. du Pont de Nemours & Co. 4.750% 11/15/2012  3,745  3,672 
    E.I. du Pont de Nemours & Co. 5.000% 1/15/2013  2,225  2,239 
    E.I. du Pont de Nemours & Co. 4.125% 3/6/2013  350  332 
    E.I. du Pont de Nemours & Co. 5.000% 7/15/2013  7,850  7,760 
    E.I. du Pont de Nemours & Co. 5.250% 12/15/2016  800  758 
    E.I. du Pont de Nemours & Co. 6.000% 7/15/2018  12,725  12,289 
    E.I. du Pont de Nemours & Co. 6.500% 1/15/2028  2,050  2,028 
    Eastman Chemical Co. 7.250% 1/15/2024  675  688 
    Eastman Chemical Co. 7.600% 2/1/2027  2,563  2,653 
    Falconbridge Ltd. 7.350% 6/5/2012  1,275  1,296 
    Falconbridge Ltd. 5.375% 6/1/2015  450  410 
    Freeport-McMoRan Copper & Gold Inc. 8.250% 4/1/2015  11,375  11,119 
    Freeport-McMoRan Copper & Gold Inc. 8.375% 4/1/2017  16,950  16,611 
    ICI Wilmington 5.625% 12/1/2013  900  916 
    Inco Ltd. 7.750% 5/15/2012  60  64 
    Inco Ltd. 5.700% 10/15/2015  4,300  3,976 
    Inco Ltd. 7.200% 9/15/2032  1,500  1,345 
    International Paper Co. 5.850% 10/30/2012  2,893  2,798 
    International Paper Co. 4.000% 4/1/2010  500  490 
    International Paper Co. 5.300% 4/1/2015  5,650  5,010 
    International Paper Co. 7.950% 6/15/2018  14,950  14,811 
    Lubrizol Corp. 5.500% 10/1/2014  9,650  9,289 
    Lubrizol Corp. 6.500% 10/1/2034  4,835  4,281 
    Monsanto Co. 7.375% 8/15/2012  1,025  1,105 
    Monsanto Co. 5.125% 4/15/2018  3,950  3,694 
5 Mosaic Co. 7.375% 12/1/2014  6,800  7,055 
    Newmont Mining 5.875% 4/1/2035  3,125  2,456 
    Noranda, Inc. 7.250% 7/15/2012  3,750  3,802 
    Noranda, Inc. 6.000% 10/15/2015  1,450  1,365 
    Noranda, Inc. 5.500% 6/15/2017  6,650  5,976 
    Nucor Corp. 5.000% 12/1/2012  1,000  1,014 
    Nucor Corp. 5.000% 6/1/2013  2,825  2,787 
    Nucor Corp. 5.750% 12/1/2017  1,325  1,271 
    Nucor Corp. 5.850% 6/1/2018  5,750  5,478 
    Nucor Corp. 6.400% 12/1/2037  4,300  3,986 
    PPG Industries, Inc. 5.750% 3/15/2013  4,900  4,903 
    PPG Industries, Inc. 6.650% 3/15/2018  4,350  4,357 
    Placer Dome, Inc. 6.450% 10/15/2035  2,275  1,988 
    Plum Creek Timber Co. 5.875% 11/15/2015  4,275  3,935 
    Potash Corp. of Saskatchewan 7.750% 5/31/2011  10,425  11,202 
    Potash Corp. of Saskatchewan 4.875% 3/1/2013  5,000  4,639 
    Potash Corp. of Saskatchewan 5.875% 12/1/2036  975  810 
    Praxair, Inc. 6.375% 4/1/2012  2,250  2,353 
    Praxair, Inc. 3.950% 6/1/2013  2,275  2,206 
    Praxair, Inc. 5.250% 11/15/2014  7,200  7,210 
    Praxair, Inc. 4.625% 3/30/2015  425  403 
    Praxair, Inc. 5.200% 3/15/2017  1,400  1,360 
    Reliance Steel & Aluminum 6.200% 11/15/2016  350  331 
    Reliance Steel & Aluminum 6.850% 11/15/2036  650  583 
    Rio Tinto Finance USA Ltd. 5.875% 7/15/2013  15,600  15,244 
    Rio Tinto Finance USA Ltd. 6.500% 7/15/2018  11,150  10,661 
    Rio Tinto Finance USA Ltd. 7.125% 7/15/2028  5,425  5,190 
    Rohm & Haas Co. 5.600% 3/15/2013  150  151 
    Rohm & Haas Co. 6.000% 9/15/2017  5,025  4,981 
3 Rohm & Haas Co. 9.800% 4/15/2020  2,381  2,788 
    Rohm & Haas Co. 7.850% 7/15/2029  2,425  2,437 
    Southern Copper Corp. 7.500% 7/27/2035  9,050  8,462 
    Teck Cominco Ltd. 6.125% 10/1/2035  6,525  5,302 
    US Steel Corp. 6.050% 6/1/2017  4,775  3,983 
    US Steel Corp. 7.000% 2/1/2018  2,900  2,627 
    US Steel Corp. 6.650% 6/1/2037  275  202 
    Vale Overseas Ltd. 6.250% 1/11/2016  2,525  2,411 
    Vale Overseas Ltd. 6.250% 1/23/2017  5,500  5,197 
    Vale Overseas Ltd. 8.250% 1/17/2034  2,925  3,005 
    Vale Overseas Ltd. 6.875% 11/21/2036  16,237  14,126 
    Weyerhaeuser Co. 6.750% 3/15/2012  16,710  16,542 
    Weyerhaeuser Co. 7.375% 3/15/2032  8,755  7,690 
    Capital Goods (1.0%)
3,5 BAE Systems Asset Trust 7.156% 12/15/2011  1,956  2,019 
5 BAE Systems Holdings Inc. 5.200% 8/15/2015  700  668 
    Bemis Co. Inc. 4.875% 4/1/2012  1,500  1,486 
    Boeing Capital Corp. 7.375% 9/27/2010  3,250  3,455 
    Boeing Capital Corp. 6.500% 2/15/2012  15,175  15,952 
    Boeing Capital Corp. 5.800% 1/15/2013  6,540  6,756 
    Boeing Co. 8.750% 8/15/2021  1,000  1,197 
    Boeing Co. 7.250% 6/15/2025  2,275  2,521 
    Boeing Co. 8.750% 9/15/2031  975  1,242 
    Boeing Co. 6.125% 2/15/2033  950  935 
    Boeing Co. 6.625% 2/15/2038  5,045  5,278 
    CRH America Inc. 5.625% 9/30/2011  4,375  4,303 
    CRH America Inc. 6.950% 3/15/2012  6,210  6,217 
    CRH America Inc. 5.300% 10/15/2013  875  731 
    CRH America Inc. 6.000% 9/30/2016  15,375  13,480 
    CRH America Inc. 8.125% 7/15/2018  15,025  14,724 
    CRH America Inc. 6.400% 10/15/2033  2,670  1,988 
    Caterpillar Financial Services Corp. 4.150% 1/15/2010  10,000  9,915 
    Caterpillar Financial Services Corp. 4.300% 6/1/2010  7,625  7,531 
    Caterpillar Financial Services Corp. 5.125% 10/12/2011  700  692 
    Caterpillar Financial Services Corp. 4.850% 12/7/2012  400  384 
    Caterpillar Financial Services Corp. 4.250% 2/8/2013  4,725  4,441 
    Caterpillar Financial Services Corp. 6.200% 9/30/2013  1,975  1,976 
    Caterpillar Financial Services Corp. 4.750% 2/17/2015  5,775  5,294 
    Caterpillar Financial Services Corp. 4.625% 6/1/2015  3,125  2,798 
    Caterpillar Financial Services Corp. 7.050% 10/1/2018  2,150  2,131 
    Caterpillar, Inc. 6.625% 7/15/2028  850  839 
    Caterpillar, Inc. 7.300% 5/1/2031  700  740 
    Caterpillar, Inc. 6.050% 8/15/2036  36,650  31,379 
    Caterpillar, Inc. 6.950% 5/1/2042  1,275  1,283 
    Caterpillar, Inc. 7.375% 3/1/2097  6,150  6,471 
    Deere & Co. 6.950% 4/25/2014  6,595  7,010 
    Deere & Co. 8.100% 5/15/2030  3,755  4,327 
    Deere & Co. 7.125% 3/3/2031  725  768 
    Dover Corp. 4.875% 10/15/2015  2,050  1,967 
    Dover Corp. 5.450% 3/15/2018  8,100  7,909 
    Dover Corp. 5.375% 10/15/2035  650  550 
    Dover Corp. 6.600% 3/15/2038  3,275  3,406 
    Embraer Overseas Ltd. 6.375% 1/24/2017  5,775  5,457 
    Emerson Electric Co. 7.125% 8/15/2010  3,600  3,843 
    Emerson Electric Co. 4.625% 10/15/2012  8,425  8,518 
    Emerson Electric Co. 4.500% 5/1/2013  4,900  4,905 
    Emerson Electric Co. 5.250% 10/15/2018  7,925  7,604 
    General Dynamics Corp. 4.500% 8/15/2010  25  26 
    General Dynamics Corp. 4.250% 5/15/2013  8,615  8,674 
    General Electric Co. 5.000% 2/1/2013  40,815  38,279 
    General Electric Co. 5.250% 12/6/2017  8,275  7,266 
    Hanson PLC 7.875% 9/27/2010  1,425  1,519 
    Hanson PLC 5.250% 3/15/2013  2,250  2,148 
    Hanson PLC 6.125% 8/15/2016  2,250  2,090 
    Harsco Corp. 5.750% 5/15/2018  6,125  5,989 
    Honeywell International, Inc. 7.500% 3/1/2010  1,500  1,573 
    Honeywell International, Inc. 6.125% 11/1/2011  3,125  3,278 
    Honeywell International, Inc. 5.625% 8/1/2012  4,200  4,297 
    Honeywell International, Inc. 4.250% 3/1/2013  1,400  1,378 
    Honeywell International, Inc. 5.400% 3/15/2016  2,075  2,054 
    Honeywell International, Inc. 5.300% 3/15/2017  6,475  6,250 
    Honeywell International, Inc. 5.300% 3/1/2018  700  661 
    Honeywell International, Inc. 5.700% 3/15/2036  2,775  2,477 
    Ingersoll-Rand GL Holding Company 6.000% 8/15/2013  5,100  5,159 
    Ingersoll-Rand GL Holding Company 6.875% 8/15/2018  7,200  7,168 
    John Deere Capital Corp 4.950% 12/17/2012  4,350  4,275 
    John Deere Capital Corp. 5.400% 10/17/2011  5,675  5,719 
    John Deere Capital Corp. 5.350% 1/17/2012  4,400  4,405 
    John Deere Capital Corp. 7.000% 3/15/2012  13,245  13,902 
    John Deere Capital Corp. 4.900% 9/9/2013  5,850  5,712 
    John Deere Capital Corp. 5.750% 9/10/2018  5,850  5,373 
    Joy Global, Inc. 6.000% 11/15/2016  2,175  1,959 
    Lafarge SA 6.150% 7/15/2011  675  685 
    Lafarge SA 6.500% 7/15/2016  7,925  7,178 
    Lafarge SA 7.125% 7/15/2036  14,925  12,749 
    Lockheed Martin Corp. 4.121% 3/14/2013  2,875  2,768 
    Lockheed Martin Corp. 7.650% 5/1/2016  5,325  5,996 
    Lockheed Martin Corp. 7.750% 5/1/2026  600  665 
    Lockheed Martin Corp. 6.150% 9/1/2036  11,950  11,112 
    Martin Marietta Material 6.600% 4/15/2018  6,450  5,925 
    Masco Corp. 5.875% 7/15/2012  3,185  3,017 
    Masco Corp. 4.800% 6/15/2015  7,650  6,354 
    Masco Corp. 6.125% 10/3/2016  100  87 
    Masco Corp. 7.750% 8/1/2029  450  402 
    Masco Corp. 6.500% 8/15/2032  2,450  1,884 
    Minnesota Mining & Manufacturing Corp. 5.125% 11/6/2009  1,650  1,671 
    Minnesota Mining & Manufacturing Corp. 6.375% 2/15/2028  4,325  4,676 
    Minnesota Mining & Manufacturing Corp. 5.700% 3/15/2037  3,650  3,666 
    Mohawk Industries Inc. 5.750% 1/15/2011  7,275  6,963 
    Mohawk Industries Inc. 6.125% 1/15/2016  13,975  12,571 
    Northrop Grumman Corp. 7.125% 2/15/2011  10,700  11,347 
    Northrop Grumman Corp. 7.750% 3/1/2016  700  781 
    Northrop Grumman Corp. 7.875% 3/1/2026  2,600  2,996 
    Northrop Grumman Corp. 7.750% 2/15/2031  2,415  2,787 
    Raytheon Co. 4.850% 1/15/2011  250  251 
    Raytheon Co. 5.500% 11/15/2012  2,600  2,684 
    Raytheon Co. 5.375% 4/1/2013  2,940  3,060 
    Raytheon Co. 6.400% 12/15/2018  500  493 
    Raytheon Co. 7.200% 8/15/2027  4,550  4,693 
    Republic Services, Inc. 6.750% 8/15/2011  1,875  1,922 
    Republic Services, Inc. 6.086% 3/15/2035  2,850  2,418 
    Roper Industries Inc. 6.625% 8/15/2013  11,325  11,484 
    TRW, Inc. 7.750% 6/1/2029  6,800  7,634 
    Textron Financial Corp. 4.600% 5/3/2010  4,200  4,116 
    Textron Financial Corp. 5.125% 11/1/2010  12,925  12,674 
    Textron Financial Corp. 5.400% 4/28/2013  5,955  5,547 
    Textron, Inc. 6.500% 6/1/2012  8,125  8,428 
    Textron, Inc. 5.600% 12/1/2017  1,300  1,192 
    Tyco International Group SA 6.125% 11/1/2008  1,100  1,102 
    Tyco International Group SA 6.750% 2/15/2011  9,875  10,052 
    Tyco International Group SA 6.375% 10/15/2011  12,725  12,844 
    Tyco International Group SA 6.000% 11/15/2013  5,850  5,728 
5 Tyco International Group SA 7.000% 12/15/2019  2,350  2,291 
    United Technologies Corp. 4.375% 5/1/2010  1,275  1,291 
    United Technologies Corp. 7.125% 11/15/2010  250  271 
    United Technologies Corp. 6.350% 3/1/2011  8,175  8,564 
    United Technologies Corp. 4.875% 5/1/2015  5,975  5,911 
    United Technologies Corp. 5.375% 12/15/2017  15,150  14,397 
    United Technologies Corp. 8.875% 11/15/2019  3,150  3,840 
    United Technologies Corp. 6.700% 8/1/2028  1,642  1,716 
    United Technologies Corp. 7.500% 9/15/2029  2,800  2,985 
    United Technologies Corp. 5.400% 5/1/2035  3,450  2,935 
    United Technologies Corp. 6.050% 6/1/2036  10,850  10,110 
    United Technologies Corp. 6.125% 7/15/2038  3,450  3,216 
    Vulcan Materials Co. 6.300% 6/15/2013  3,200  3,229 
    Vulcan Materials Co. 7.000% 6/15/2018  5,550  5,358 
    WMX Technologies Inc. 7.100% 8/1/2026  1,375  1,315 
    Waste Management, Inc. 7.375% 8/1/2010  875  900 
    Waste Management, Inc. 6.375% 11/15/2012  800  797 
    Waste Management, Inc. 5.000% 3/15/2014  500  452 
    Waste Management, Inc. 7.750% 5/15/2032  525  517 
    Communication (2.0%)
    AT&T Inc. 7.300% 11/15/2011  10,300  10,844 
    AT&T Inc. 8.000% 11/15/2031  23,755  23,607 
    AT&T Inc. 4.125% 9/15/2009  10,725  10,542 
    AT&T Inc. 5.300% 11/15/2010  4,550  4,634 
    AT&T Inc. 6.250% 3/15/2011  14,990  15,284 
    AT&T Inc. 5.875% 2/1/2012  6,730  6,778 
    AT&T Inc. 5.875% 8/15/2012  5,495  5,559 
    AT&T Inc. 4.950% 1/15/2013  6,025  5,815 
    AT&T Inc. 5.100% 9/15/2014  11,525  10,868 
    AT&T Inc. 5.625% 6/15/2016  42,175  39,412 
    AT&T Inc. 5.500% 2/1/2018  9,025  8,008 
    AT&T Inc. 5.600% 5/15/2018  6,375  5,685 
    AT&T Inc. 6.450% 6/15/2034  6,675  5,916 
    AT&T Inc. 6.800% 5/15/2036  1,675  1,512 
    AT&T Inc. 6.500% 9/1/2037  21,125  17,656 
    AT&T Inc. 6.300% 1/15/2038  19,875  16,460 
    AT&T Inc. 6.400% 5/15/2038  150  127 
    AT&T Wireless 7.875% 3/1/2011  24,850  26,289 
    AT&T Wireless 8.125% 5/1/2012  17,305  18,783 
    AT&T Wireless 8.750% 3/1/2031  4,855  5,424 
    America Movil SA de C.V. 5.500% 3/1/2014  2,575  2,433 
    America Movil SA de C.V. 5.750% 1/15/2015  2,625  2,481 
    America Movil SA de C.V. 6.375% 3/1/2035  10,125  8,809 
    America Movil SA de C.V. 6.125% 11/15/2037  5,125  4,331 
    BellSouth Capital Funding Corp. 7.875% 2/15/2030  12,950  13,050 
    BellSouth Corp. 4.750% 11/15/2012  4,845  4,681 
    BellSouth Corp. 5.200% 12/15/2016  7,200  6,578 
    BellSouth Corp. 6.875% 10/15/2031  6,275  5,753 
    BellSouth Corp. 6.550% 6/15/2034  6,800  5,823 
    BellSouth Corp. 6.000% 11/15/2034  3,835  3,132 
    BellSouth Telecommunications Inc. 6.375% 6/1/2028  8,365  7,290 
    Belo Corp. 7.250% 9/15/2027  340  248 
    British Telecommunications PLC 8.625% 12/15/2010  8,735  9,156 
    British Telecommunications PLC 9.125% 12/15/2030  13,135  13,316 
    British Telecommunications PLC 5.150% 1/15/2013  2,000  1,870 
    British Telecommunications PLC 5.950% 1/15/2018  7,100  6,151 
    CBS Corp. 7.700% 7/30/2010  5,375  5,475 
    CBS Corp. 6.625% 5/15/2011  2,760  2,676 
    CBS Corp. 5.625% 8/15/2012  3,700  3,606 
    CBS Corp. 4.625% 5/15/2018  500  403 
    CBS Corp. 7.875% 7/30/2030  575  511 
    CBS Corp. 5.500% 5/15/2033  675  486 
    CenturyTel Enterprises 6.875% 1/15/2028  925  819 
    CenturyTel, Inc. 7.875% 8/15/2012  2,375  2,370 
    CenturyTel, Inc. 6.000% 4/1/2017  425  386 
    Cingular Wireless LLC 6.500% 12/15/2011  2,850  2,876 
    Cingular Wireless LLC 7.125% 12/15/2031  12,370  11,481 
    Comcast Cable Communications Holdings Inc. 8.375% 3/15/2013  6,960  7,271 
    Comcast Cable Communications Holdings Inc. 9.455% 11/15/2022  8,861  9,798 
    Comcast Cable Communications, Inc. 6.750% 1/30/2011  15,865  16,262 
    Comcast Cable Communications, Inc. 8.875% 5/1/2017  2,825  3,081 
    Comcast Corp. 5.850% 1/15/2010  1,925  1,967 
    Comcast Corp. 5.500% 3/15/2011  1,925  1,906 
    Comcast Corp. 5.300% 1/15/2014  4,455  4,152 
    Comcast Corp. 6.500% 1/15/2015  5,640  5,476 
    Comcast Corp. 5.850% 11/15/2015  1,000  932 
    Comcast Corp. 5.900% 3/15/2016  17,750  16,459 
    Comcast Corp. 6.300% 11/15/2017  26,200  24,348 
    Comcast Corp. 5.875% 2/15/2018  26,925  24,137 
    Comcast Corp. 6.500% 11/15/2035  10,400  8,584 
    Comcast Corp. 6.450% 3/15/2037  1,875  1,499 
    Comcast Corp. 6.950% 8/15/2037  10,525  8,818 
    Comcast Corp. 6.400% 5/15/2038  1,850  1,480 
    Cox Communications, Inc. 4.625% 1/15/2010  1,300  1,270 
    Cox Communications, Inc. 6.750% 3/15/2011  20,075  20,595 
    Cox Communications, Inc. 7.125% 10/1/2012  5,800  5,980 
    Cox Communications, Inc. 5.450% 12/15/2014  11,825  11,097 
    Cox Communications, Inc. 5.500% 10/1/2015  725  678 
    Deutsche Telekom International Finance 8.500% 6/15/2010  24,335  25,292 
    Deutsche Telekom International Finance 8.750% 6/15/2030  21,580  20,868 
    Deutsche Telekom International Finance 5.250% 7/22/2013  8,590  8,278 
    Deutsche Telekom International Finance 5.875% 8/20/2013  450  445 
    Deutsche Telekom International Finance 5.750% 3/23/2016  9,225  8,180 
    Deutsche Telekom International Finance 6.750% 8/20/2018  425  401 
    Embarq Corp. 6.738% 6/1/2013  650  574 
    Embarq Corp. 7.082% 6/1/2016  20,625  17,136 
    Embarq Corp. 7.995% 6/1/2036  3,725  2,810 
    France Telecom 7.750% 3/1/2011  15,475  16,115 
    France Telecom 8.500% 3/1/2031  24,675  27,479 
    GTE Corp. 8.750% 11/1/2021  3,835  4,009 
    GTE Corp. 6.940% 4/15/2028  4,620  4,018 
    Gannett Co., Inc. 6.375% 4/1/2012  5,025  4,777 
    Grupo Televisa SA 6.625% 3/18/2025  4,125  3,697 
    Grupo Televisa SA 8.500% 3/11/2032  750  788 
    Koninklijke KPN NV 8.000% 10/1/2010  780  829 
    Koninklijke KPN NV 8.375% 10/1/2030  5,615  6,122 
    McGraw-Hill Cos. Inc. 5.375% 11/15/2012  1,550  1,547 
    McGraw-Hill Cos. Inc. 5.900% 11/15/2017  5,975  5,885 
    McGraw-Hill Cos. Inc. 6.550% 11/15/2037  7,125  6,797 
    New England Telephone & Telegraph Co. 7.875% 11/15/2029  775  750 
    News America Holdings, Inc. 9.250% 2/1/2013  2,841  3,045 
    News America Holdings, Inc. 8.000% 10/17/2016  4,425  4,745 
    News America Holdings, Inc. 7.700% 10/30/2025  900  900 
    News America Holdings, Inc. 8.150% 10/17/2036  2,625  2,745 
    News America Holdings, Inc. 7.750% 12/1/2045  1,775  1,712 
    News America Inc. 5.300% 12/15/2014  5,925  5,764 
    News America Inc. 7.250% 5/18/2018  150  150 
    News America Inc. 6.550% 3/15/2033  275  252 
    News America Inc. 6.200% 12/15/2034  16,765  13,742 
    News America Inc. 6.400% 12/15/2035  16,210  13,743 
    News America Inc. 6.650% 11/15/2037  1,225  1,010 
    Omnicom Group Inc. 5.900% 4/15/2016  925  897 
    Pacific Bell 7.125% 3/15/2026  1,700  1,671 
    Qwest Communications International Inc. 8.875% 3/15/2012  5,800  5,633 
    Qwest Communications International Inc. 7.875% 9/1/2011  5,250  5,040 
    Qwest Communications International Inc. 7.500% 10/1/2014  10,425  9,174 
    Qwest Communications International Inc. 6.500% 6/1/2017  3,875  3,158 
    R.R. Donnelley & Sons Co. 4.950% 5/15/2010  3,400  3,394 
    R.R. Donnelley & Sons Co. 5.625% 1/15/2012  1,850  1,769 
    R.R. Donnelley & Sons Co. 4.950% 4/1/2014  1,275  1,133 
    R.R. Donnelley & Sons Co. 5.500% 5/15/2015  1,585  1,360 
    R.R. Donnelley & Sons Co. 6.125% 1/15/2017  225  202 
    Reed Elsevier Capital 4.625% 6/15/2012  1,375  1,339 
    Rogers Communications Inc. 7.250% 12/15/2012  3,940  4,029 
    Rogers Communications Inc. 6.375% 3/1/2014  11,700  11,349 
    Rogers Communications Inc. 5.500% 3/15/2014  750  707 
    Rogers Communications Inc. 6.800% 8/15/2018  15,075  14,321 
    TCI Communications, Inc. 8.750% 8/1/2015  16,995  18,511 
    TCI Communications, Inc. 7.875% 2/15/2026  425  418 
    Tele-Communications, Inc. 7.875% 8/1/2013  19,826  20,952 
    Telecom Italia Capital 4.000% 1/15/2010  4,300  4,211 
    Telecom Italia Capital 4.875% 10/1/2010  3,400  3,349 
    Telecom Italia Capital 6.200% 7/18/2011  9,600  9,483 
    Telecom Italia Capital 5.250% 11/15/2013  7,663  6,856 
    Telecom Italia Capital 4.950% 9/30/2014  4,000  3,308 
    Telecom Italia Capital 5.250% 10/1/2015  8,425  7,231 
    Telecom Italia Capital 6.999% 6/4/2018  950  871 
    Telecom Italia Capital 6.375% 11/15/2033  5,920  4,360 
    Telecom Italia Capital 7.200% 7/18/2036  3,285  2,671 
    Telecom Italia Capital 7.721% 6/4/2038  2,525  2,181 
    Telefonica Emisiones SAU 5.984% 6/20/2011  9,825  9,983 
    Telefonica Emisiones SAU 5.855% 2/4/2013  2,500  2,464 
    Telefonica Emisiones SAU 6.421% 6/20/2016  17,275  17,132 
    Telefonica Emisiones SAU 7.045% 6/20/2036  15,100  13,845 
    Telefonica Europe BV 7.750% 9/15/2010  12,775  13,196 
    Telefonica Europe BV 8.250% 9/15/2030  5,775  5,605 
    Telefonos de Mexico SA 4.750% 1/27/2010  2,850  2,843 
    Telefonos de Mexico SA 5.500% 1/27/2015  18,725  17,484 
    Telus Corp. 8.000% 6/1/2011  10,000  10,798 
    Thomson Corp. 6.200% 1/5/2012  5,725  5,848 
    Thomson Corp. 5.700% 10/1/2014  10,025  9,909 
    Thomson Corp. 6.500% 7/15/2018  775  753 
    Thomson Corp. 5.500% 8/15/2035  1,150  890 
    Thomson Reuters Corp. 5.950% 7/15/2013  2,325  2,326 
    Time Warner Cable Inc. 5.400% 7/2/2012  7,050  6,779 
    Time Warner Cable Inc. 6.200% 7/1/2013  8,225  8,196 
    Time Warner Cable Inc. 5.850% 5/1/2017  23,195  21,111 
    Time Warner Cable Inc. 6.750% 7/1/2018  15,350  14,234 
    Time Warner Cable Inc. 6.550% 5/1/2037  3,700  3,031 
    Time Warner Cable Inc. 7.300% 7/1/2038  14,050  12,577 
    Time Warner Entertainment 10.150% 5/1/2012  1,075  1,192 
    Time Warner Entertainment 8.875% 10/1/2012  850  911 
    Time Warner Entertainment 8.375% 3/15/2023  2,815  2,845 
    Time Warner Entertainment 8.375% 7/15/2033  8,735  8,712 
    US Cellular 6.700% 12/15/2033  3,800  2,996 
    US West Communications Group 7.500% 6/15/2023  4,575  3,637 
    US West Communications Group 6.875% 9/15/2033  6,325  4,269 
    Verizon Communications Corp. 5.350% 2/15/2011  7,950  7,848 
    Verizon Communications Corp. 4.350% 2/15/2013  50  47 
    Verizon Communications Corp. 5.250% 4/15/2013  5,525  5,377 
    Verizon Communications Corp. 5.550% 2/15/2016  11,325  10,436 
    Verizon Communications Corp. 5.500% 2/15/2018  20,125  17,913 
    Verizon Communications Corp. 6.100% 4/15/2018  8,825  8,159 
    Verizon Communications Corp. 6.250% 4/1/2037  2,575  2,097 
    Verizon Communications Corp. 6.400% 2/15/2038  6,325  5,248 
    Verizon Communications Corp. 6.900% 4/15/2038  6,875  6,024 
    Verizon Global Funding Corp. 7.250% 12/1/2010  8,050  8,377 
    Verizon Global Funding Corp. 6.875% 6/15/2012  17,400  17,762 
    Verizon Global Funding Corp. 7.375% 9/1/2012  7,975  8,286 
    Verizon Global Funding Corp. 4.375% 6/1/2013  1,060  981 
    Verizon Global Funding Corp. 7.750% 12/1/2030  2,890  2,786 
    Verizon Global Funding Corp. 5.850% 9/15/2035  17,300  14,451 
    Verizon Maryland, Inc. 6.125% 3/1/2012  500  504 
    Verizon Maryland, Inc. 5.125% 6/15/2033  450  313 
    Verizon New England, Inc. 6.500% 9/15/2011  4,670  4,647 
    Verizon New Jersey, Inc. 5.875% 1/17/2012  7,815  7,778 
    Verizon New York, Inc. 6.875% 4/1/2012  3,350  3,334 
    Verizon New York, Inc. 7.375% 4/1/2032  2,625  2,401 
    Verizon Pennsylvania, Inc. 5.650% 11/15/2011  11,125  11,036 
    Verizon Virginia, Inc. 4.625% 3/15/2013  7,325  6,713 
    Vodafone AirTouch PLC 7.750% 2/15/2010  1,955  2,001 
    Vodafone AirTouch PLC 7.875% 2/15/2030  4,900  5,041 
    Vodafone Group PLC 5.350% 2/27/2012  1,575  1,547 
    Vodafone Group PLC 5.000% 12/16/2013  575  559 
    Vodafone Group PLC 5.375% 1/30/2015  5,775  5,349 
    Vodafone Group PLC 5.000% 9/15/2015  2,025  1,823 
    Vodafone Group PLC 5.750% 3/15/2016  7,025  6,588 
    Vodafone Group PLC 5.625% 2/27/2017  16,275  15,038 
    Vodafone Group PLC 6.250% 11/30/2032  9,225  7,857 
    Vodafone Group PLC 6.150% 2/27/2037  4,275  3,558 
    WPP Finance USA Corp. 5.875% 6/15/2014  3,875  3,530 
    Consumer Cyclical (1.3%)
5 Best Buy Co. 6.750% 7/15/2013  12,100  12,308 
    Brinker International Inc. 5.750% 6/1/2014  1,925  1,741 
    CVS Caremark Corp. 5.750% 8/15/2011  2,025  2,055 
3 CVS Caremark Corp. 6.302% 6/1/2012  5,325  4,354 
    CVS Caremark Corp. 4.875% 9/15/2014  2,750  2,574 
    CVS Caremark Corp. 5.750% 6/1/2017  1,950  1,784 
    CVS Caremark Corp. 6.250% 6/1/2027  20,975  19,047 
    Costco Wholesale Corp. 5.300% 3/15/2012  3,625  3,706 
    Costco Wholesale Corp. 5.500% 3/15/2017  11,350  11,359 
    DaimlerChrysler North America Holding Corp. 7.200% 9/1/2009  75  75 
    DaimlerChrysler North America Holding Corp. 4.875% 6/15/2010  1,700  1,650 
    DaimlerChrysler North America Holding Corp. 8.000% 6/15/2010  1,300  1,323 
    DaimlerChrysler North America Holding Corp. 5.875% 3/15/2011  26,410  26,057 
    DaimlerChrysler North America Holding Corp. 5.750% 9/8/2011  40,225  39,084 
    DaimlerChrysler North America Holding Corp. 7.300% 1/15/2012  27,370  27,380 
    DaimlerChrysler North America Holding Corp. 6.500% 11/15/2013  7,600  7,256 
    DaimlerChrysler North America Holding Corp. 8.500% 1/18/2031  9,130  9,166 
    Darden Restaurants Inc. 5.625% 10/15/2012  5,700  5,491 
    Darden Restaurants Inc. 6.200% 10/15/2017  9,575  8,005 
    Darden Restaurants Inc. 6.800% 10/15/2037  3,300  2,540 
    Federated Retail Holding 5.350% 3/15/2012  3,850  3,443 
    Federated Retail Holding 5.900% 12/1/2016  12,875  10,681 
    Federated Retail Holding 6.375% 3/15/2037  2,775  2,076 
    Home Depot Inc. 4.625% 8/15/2010  9,800  9,576 
    Home Depot Inc. 5.200% 3/1/2011  1,675  1,638 
    Home Depot Inc. 5.250% 12/16/2013  10,700  10,083 
    Home Depot Inc. 5.400% 3/1/2016  3,950  3,349 
    Home Depot Inc. 5.875% 12/16/2036  9,250  6,446 
    ITT Corp. 7.375% 11/15/2015  12,800  12,114 
    J.C. Penney Co., Inc. 8.000% 3/1/2010  6,625  6,830 
    J.C. Penney Co., Inc. 7.950% 4/1/2017  4,950  4,694 
    J.C. Penney Co., Inc. 5.750% 2/15/2018  700  574 
    J.C. Penney Co., Inc. 6.375% 10/15/2036  7,850  5,881 
    J.C. Penney Co., Inc. 7.400% 4/1/2037  3,275  2,799 
    Johnson Controls, Inc. 5.250% 1/15/2011  3,875  3,988 
    Johnson Controls, Inc. 6.000% 1/15/2036  1,025  884 
    Kohl's Corp. 6.250% 12/15/2017  2,775  2,542 
    Kohl's Corp. 6.000% 1/15/2033  825  636 
    Kohl's Corp. 6.875% 12/15/2037  2,450  2,135 
    Limited Brands Inc. 6.125% 12/1/2012  3,525  3,325 
    Limited Brands Inc. 6.900% 7/15/2017  7,350  6,102 
    Limited Brands Inc. 7.600% 7/15/2037  3,850  3,111 
    Lowe's Cos., Inc. 8.250% 6/1/2010  1,000  1,072 
    Lowe's Cos., Inc. 5.600% 9/15/2012  3,500  3,583 
    Lowe's Cos., Inc. 5.000% 10/15/2015  3,800  3,610 
    Lowe's Cos., Inc. 5.400% 10/15/2016  14,325  13,883 
    Lowe's Cos., Inc. 6.100% 9/15/2017  2,675  2,707 
    Lowe's Cos., Inc. 6.875% 2/15/2028  460  460 
    Lowe's Cos., Inc. 6.500% 3/15/2029  4,726  4,511 
    Lowe's Cos., Inc. 5.500% 10/15/2035  200  164 
    Lowe's Cos., Inc. 5.800% 10/15/2036  6,100  5,307 
    Lowe's Cos., Inc. 6.650% 9/15/2037  1,725  1,669 
    MDC Holdings Inc. 5.500% 5/15/2013  3,625  3,269 
    Macy's Retail Holdings Inc. 5.750% 7/15/2014  4,325  3,661 
    Macy's Retail Holdings Inc. 6.650% 7/15/2024  2,600  2,157 
    Macy's Retail Holdings Inc. 6.790% 7/15/2027  2,805  2,248 
    Macy's Retail Holdings Inc. 7.000% 2/15/2028  1,625  1,329 
    Macys Retail Holdings Inc. 6.625% 4/1/2011  3,225  3,166 
    Macys Retail Holdings Inc. 6.900% 4/1/2029  7,200  5,631 
    Marriott International 4.625% 6/15/2012  3,925  3,621 
    Marriott International 5.625% 2/15/2013  2,825  2,667 
    Marriott International 6.200% 6/15/2016  1,650  1,475 
    Marriott International 6.375% 6/15/2017  2,000  1,801 
    McDonald's Corp. 6.000% 4/15/2011  3,385  3,521 
    McDonald's Corp. 5.300% 3/15/2017  1,000  970 
    McDonald's Corp. 5.800% 10/15/2017  6,725  6,269 
    McDonald's Corp. 5.350% 3/1/2018  6,275  6,029 
    McDonald's Corp. 6.300% 10/15/2037  2,475  2,386 
    McDonald's Corp. 6.300% 3/1/2038  1,975  1,916 
    Nordstrom, Inc. 6.250% 1/15/2018  1,825  1,648 
    Nordstrom, Inc. 6.950% 3/15/2028  1,325  1,178 
    Nordstrom, Inc. 7.000% 1/15/2038  1,250  1,103 
    Starwood Hotel Resorts 7.875% 5/1/2012  3,875  3,802 
    Starwood Hotel Resorts 6.250% 2/15/2013  4,300  4,049 
    Target Corp. 7.500% 8/15/2010  1,700  1,815 
    Target Corp. 6.350% 1/15/2011  2,645  2,724 
    Target Corp. 5.875% 3/1/2012  6,200  6,313 
    Target Corp. 5.125% 1/15/2013  1,600  1,605 
    Target Corp. 4.000% 6/15/2013  1,945  1,875 
    Target Corp. 5.875% 7/15/2016  23,050  22,692 
    Target Corp. 5.375% 5/1/2017  4,950  4,610 
    Target Corp. 6.000% 1/15/2018  12,300  11,656 
    Target Corp. 7.000% 7/15/2031  3,035  3,070 
    Target Corp. 6.350% 11/1/2032  7,425  6,827 
    Target Corp. 6.500% 10/15/2037  7,550  6,827 
    Target Corp. 7.000% 1/15/2038  5,475  5,183 
    The Walt Disney Co. 5.700% 7/15/2011  17,375  17,703 
    The Walt Disney Co. 6.375% 3/1/2012  1,250  1,329 
    The Walt Disney Co. 4.700% 12/1/2012  675  685 
    The Walt Disney Co. 5.625% 9/15/2016  7,500  7,575 
    The Walt Disney Co. 5.875% 12/15/2017  6,325  6,413 
    The Walt Disney Co. 7.000% 3/1/2032  1,350  1,431 
    Time Warner, Inc. 6.750% 4/15/2011  9,100  9,166 
    Time Warner, Inc. 5.500% 11/15/2011  6,825  6,640 
    Time Warner, Inc. 6.875% 5/1/2012  6,975  7,023 
    Time Warner, Inc. 9.125% 1/15/2013  825  885 
    Time Warner, Inc. 5.875% 11/15/2016  11,125  9,650 
    Time Warner, Inc. 9.150% 2/1/2023  11,825  11,862 
    Time Warner, Inc. 7.570% 2/1/2024  1,500  1,308 
    Time Warner, Inc. 6.625% 5/15/2029  9,400  7,858 
    Time Warner, Inc. 7.625% 4/15/2031  14,175  12,493 
    Time Warner, Inc. 7.700% 5/1/2032  4,745  4,121 
    Time Warner, Inc. 6.500% 11/15/2036  8,650  7,004 
    Toll Brothers, Inc. 6.875% 11/15/2012  750  717 
    Toll Brothers, Inc. 5.150% 5/15/2015  3,900  3,092 
    Toyota Motor Credit Corp. 4.250% 3/15/2010  16,875  17,092 
    Toyota Motor Credit Corp. 4.350% 12/15/2010  5,475  5,524 
    Toyota Motor Credit Corp. 5.450% 5/18/2011  3,675  3,799 
    VF Corp. 5.950% 11/1/2017  3,125  2,872 
    VF Corp. 6.450% 11/1/2037  2,850  2,396 
    Viacom Inc. 5.750% 4/30/2011  2,175  2,114 
    Viacom Inc. 6.250% 4/30/2016  7,275  6,536 
    Viacom Inc. 6.125% 10/5/2017  2,300  2,023 
    Viacom Inc. 6.875% 4/30/2036  7,600  5,810 
    Wal-Mart Stores, Inc. 4.000% 1/15/2010  7,050  7,117 
    Wal-Mart Stores, Inc. 4.125% 7/1/2010  13,700  13,789 
    Wal-Mart Stores, Inc. 4.750% 8/15/2010  5,000  5,166 
    Wal-Mart Stores, Inc. 4.125% 2/15/2011  40,725  40,927 
    Wal-Mart Stores, Inc. 4.250% 4/15/2013  1,950  1,923 
    Wal-Mart Stores, Inc. 4.550% 5/1/2013  1,700  1,681 
    Wal-Mart Stores, Inc. 7.250% 6/1/2013  800  897 
    Wal-Mart Stores, Inc. 4.500% 7/1/2015  1,050  1,023 
    Wal-Mart Stores, Inc. 5.375% 4/5/2017  2,450  2,353 
    Wal-Mart Stores, Inc. 5.800% 2/15/2018  3,775  3,667 
    Wal-Mart Stores, Inc. 5.875% 4/5/2027  21,675  20,567 
    Wal-Mart Stores, Inc. 7.550% 2/15/2030  14,420  15,293 
    Wal-Mart Stores, Inc. 5.250% 9/1/2035  5,600  4,535 
    Wal-Mart Stores, Inc. 6.500% 8/15/2037  14,125  13,305 
    Wal-Mart Stores, Inc. 6.200% 4/15/2038  2,625  2,410 
    Walgreen Co. 4.875% 8/1/2013  17,050  17,116 
    Western Union Co. 5.400% 11/17/2011  4,925  4,945 
    Western Union Co. 5.930% 10/1/2016  5,750  5,177 
    Western Union Co. 6.200% 11/17/2036  3,375  2,963 
    Wyndham Worldwide 6.000% 12/1/2016  7,895  6,767 
    Yum! Brands, Inc. 8.875% 4/15/2011  3,475  3,707 
    Yum! Brands, Inc. 7.700% 7/1/2012  3,050  3,187 
    Yum! Brands, Inc. 6.250% 4/15/2016  4,525  4,304 
    Yum! Brands, Inc. 6.250% 3/15/2018  3,400  3,162 
    Yum! Brands, Inc. 6.875% 11/15/2037  10,075  9,052 
    Consumer Noncyclical (2.0%)
    Abbott Laboratories 3.750% 3/15/2011  6,450  6,481 
    Abbott Laboratories 5.600% 5/15/2011  9,000  9,265 
    Abbott Laboratories 5.150% 11/30/2012  8,075  8,295 
    Abbott Laboratories 4.350% 3/15/2014  925  891 
    Abbott Laboratories 5.875% 5/15/2016  19,650  19,706 
    Abbott Laboratories 5.600% 11/30/2017  4,500  4,350 
    Abbott Laboratories 6.150% 11/30/2037  4,400  4,092 
    Allergan Inc. 5.750% 4/1/2016  1,375  1,328 
    AmerisourceBergen Corp. 5.625% 9/15/2012  1,275  1,229 
    AmerisourceBergen Corp. 5.875% 9/15/2015  7,300  6,547 
    Amgen Inc. 4.000% 11/18/2009  6,800  6,856 
    Amgen Inc. 4.850% 11/18/2014  5,975  5,672 
    Amgen Inc. 5.850% 6/1/2017  10,800  10,445 
    Amgen Inc. 6.375% 6/1/2037  4,500  4,129 
    Amgen Inc. 6.900% 6/1/2038  1,250  1,227 
    Anheuser-Busch Cos., Inc. 6.000% 4/15/2011  1,500  1,511 
    Anheuser-Busch Cos., Inc. 4.375% 1/15/2013  5,325  4,922 
    Anheuser-Busch Cos., Inc. 5.600% 3/1/2017  6,375  5,767 
    Anheuser-Busch Cos., Inc. 5.500% 1/15/2018  13,325  11,582 
    Anheuser-Busch Cos., Inc. 6.800% 8/20/2032  2,600  2,282 
    Anheuser-Busch Cos., Inc. 5.750% 4/1/2036  5,475  4,138 
    Anheuser-Busch Cos., Inc. 6.450% 9/1/2037  11,175  8,675 
    Archer-Daniels-Midland Co. 8.375% 4/15/2017  625  702 
    Archer-Daniels-Midland Co. 5.450% 3/15/2018  10,725  9,841 
    Archer-Daniels-Midland Co. 7.000% 2/1/2031  3,900  3,772 
    Archer-Daniels-Midland Co. 5.935% 10/1/2032  4,725  4,072 
    Archer-Daniels-Midland Co. 5.375% 9/15/2035  7,775  6,136 
    Archer-Daniels-Midland Co. 6.450% 1/15/2038  1,950  1,694 
    AstraZeneca PLC 5.400% 9/15/2012  20,375  20,713 
    AstraZeneca PLC 5.400% 6/1/2014  3,750  3,673 
    AstraZeneca PLC 5.900% 9/15/2017  15,350  15,427 
    AstraZeneca PLC 6.450% 9/15/2037  21,025  19,724 
    Baxter Finco, BV 4.750% 10/15/2010  6,875  7,084 
    Baxter International, Inc. 5.900% 9/1/2016  2,575  2,619 
    Baxter International, Inc. 6.250% 12/1/2037  4,375  4,098 
    Biogen Idec Inc. 6.000% 3/1/2013  9,775  9,747 
    Biogen Idec Inc. 6.875% 3/1/2018  14,925  15,024 
    Bottling Group LLC 4.625% 11/15/2012  16,685  16,642 
    Bottling Group LLC 5.000% 11/15/2013  2,525  2,549 
    Bottling Group LLC 5.500% 4/1/2016  7,325  7,349 
    Bristol-Myers Squibb Co. 5.250% 8/15/2013  350  356 
    Bristol-Myers Squibb Co. 5.450% 5/1/2018  2,725  2,631 
    Bristol-Myers Squibb Co. 7.150% 6/15/2023  750  811 
    Bristol-Myers Squibb Co. 5.875% 11/15/2036  17,450  15,741 
    Bristol-Myers Squibb Co. 6.125% 5/1/2038  2,925  2,728 
    Bristol-Myers Squibb Co. 6.875% 8/1/2097  1,125  1,074 
    Bunge Ltd. Finance Corp. 5.100% 7/15/2015  1,950  1,585 
    C.R. Bard, Inc. 6.700% 12/1/2026  6,300  6,400 
    Campbell Soup Co. 6.750% 2/15/2011  6,500  6,963 
    Cardinal Health, Inc. 5.650% 6/15/2012  700  703 
    Cardinal Health, Inc. 4.000% 6/15/2015  650  559 
    Cardinal Health, Inc. 5.800% 10/15/2016  2,150  2,003 
    Cardinal Health, Inc. 5.850% 12/15/2017  1,730  1,605 
    Cia. Brasil de Bebidas AmBev 10.500% 12/15/2011  4,055  4,471 
    Cia. Brasil de Bebidas AmBev 8.750% 9/15/2013  3,675  3,895 
    Clorox Co. 4.200% 1/15/2010  10,600  10,596 
    Clorox Co. 5.000% 1/15/2015  2,250  2,130 
    Coca-Cola Co. 5.350% 11/15/2017  13,175  13,158 
    Coca-Cola Enterprises Inc. 4.250% 9/15/2010  340  348 
    Coca-Cola Enterprises Inc. 6.125% 8/15/2011  4,400  4,648 
    Coca-Cola Enterprises Inc. 5.000% 8/15/2013  10,800  11,021 
    Coca-Cola Enterprises Inc. 8.500% 2/1/2022  3,675  4,295 
    Coca-Cola Enterprises Inc. 8.000% 9/15/2022  1,550  1,749 
    Coca-Cola Enterprises Inc. 7.000% 10/1/2026  600  628 
    Coca-Cola Enterprises Inc. 6.950% 11/15/2026  4,920  5,090 
    Coca-Cola HBC Finance BV 5.125% 9/17/2013  670  676 
    ConAgra Foods, Inc. 7.875% 9/15/2010  5,816  6,185 
    ConAgra Foods, Inc. 6.750% 9/15/2011  895  929 
    ConAgra Foods, Inc. 5.819% 6/15/2017  1,176  1,133 
    ConAgra Foods, Inc. 9.750% 3/1/2021  129  151 
    ConAgra Foods, Inc. 7.125% 10/1/2026  1,000  993 
    ConAgra Foods, Inc. 7.000% 10/1/2028  875  857 
    ConAgra Foods, Inc. 8.250% 9/15/2030  1,420  1,552 
    Covidien International 5.450% 10/15/2012  7,800  7,667 
    Covidien International 6.000% 10/15/2017  8,025  7,531 
    Covidien International 6.550% 10/15/2037  5,125  5,002 
    Delhaize America Inc. 9.000% 4/15/2031  2,800  2,969 
    Diageo Capital PLC 7.250% 11/1/2009  450  467 
    Diageo Capital PLC 4.375% 5/3/2010  1,530  1,524 
    Diageo Capital PLC 5.200% 1/30/2013  10,350  10,512 
    Diageo Capital PLC 5.500% 9/30/2016  1,700  1,609 
    Diageo Capital PLC 5.750% 10/23/2017  8,525  8,049 
    Diageo Capital PLC 5.875% 9/30/2036  1,075  951 
    Diageo Finance BV 5.300% 10/28/2015  7,975  7,861 
5 Dr. Pepper Snapple Group 6.120% 5/1/2013  2,100  2,104 
5 Dr. Pepper Snapple Group 6.820% 5/1/2018  5,850  5,786 
5 Dr. Pepper Snapple Group 7.450% 5/1/2038  1,225  1,225 
    Eli Lilly & Co. 6.000% 3/15/2012  3,825  4,028 
    Eli Lilly & Co. 5.200% 3/15/2017  11,900  11,640 
    Eli Lilly & Co. 5.500% 3/15/2027  6,725  6,144 
    Eli Lilly & Co. 5.550% 3/15/2037  1,050  947 
    Estee Lauder Ace Trust I 6.000% 5/15/2037  925  817 
    Fortune Brands Inc. 5.125% 1/15/2011  3,225  3,176 
    Fortune Brands Inc. 5.375% 1/15/2016  8,450  7,531 
    Fortune Brands Inc. 5.875% 1/15/2036  3,625  2,892 
    Genentech Inc. 4.400% 7/15/2010  1,350  1,369 
    Genentech Inc. 4.750% 7/15/2015  2,620  2,454 
    Genentech Inc. 5.250% 7/15/2035  4,100  3,500 
    General Mills, Inc. 6.000% 2/15/2012  10,907  11,087 
    General Mills, Inc. 5.650% 9/10/2012  2,975  3,057 
    General Mills, Inc. 5.250% 8/15/2013  4,675  4,650 
    General Mills, Inc. 5.200% 3/17/2015  900  861 
    General Mills, Inc. 5.700% 2/15/2017  16,250  16,029 
    GlaxoSmithKline Capital Inc. 4.850% 5/15/2013  22,550  22,046 
    GlaxoSmithKline Capital Inc. 4.375% 4/15/2014  3,750  3,607 
    GlaxoSmithKline Capital Inc. 5.650% 5/15/2018  22,550  21,492 
    GlaxoSmithKline Capital Inc. 5.375% 4/15/2034  4,450  3,931 
    GlaxoSmithKline Capital Inc. 6.375% 5/15/2038  19,425  18,263 
    Grand Metropolitan Investment Corp. 9.000% 8/15/2011  500  549 
    Grand Metropolitan Investment Corp. 7.450% 4/15/2035  1,075  1,161 
    H.J. Heinz Co. 6.625% 7/15/2011  7,200  7,526 
    H.J. Heinz Co. 6.750% 3/15/2032  3,800  3,531 
    H.J. Heinz Co. 5.350% 7/15/2013  2,700  2,689 
    Hasbro Inc. 6.300% 9/15/2017  7,025  6,343 
    Hershey Foods Corp. 5.450% 9/1/2016  1,550  1,533 
    Hospira, Inc. 5.900% 6/15/2014  1,925  1,864 
    Hospira, Inc. 6.050% 3/30/2017  250  239 
    Johnson & Johnson 5.150% 8/15/2012  10,250  10,885 
    Johnson & Johnson 3.800% 5/15/2013  4,715  4,643 
    Johnson & Johnson 5.550% 8/15/2017  4,225  4,348 
    Johnson & Johnson 5.150% 7/15/2018  2,000  1,958 
    Johnson & Johnson 6.950% 9/1/2029  1,625  1,787 
    Johnson & Johnson 4.950% 5/15/2033  1,850  1,591 
    Johnson & Johnson 5.950% 8/15/2037  6,500  6,413 
    Johnson & Johnson 5.850% 7/15/2038  5,650  5,450 
    Kellogg Co. 6.600% 4/1/2011  13,325  13,872 
    Kellogg Co. 5.125% 12/3/2012  6,910  6,897 
    Kellogg Co. 4.250% 3/6/2013  5,200  5,066 
    Kellogg Co. 7.450% 4/1/2031  8,565  9,403 
    Kimberly-Clark Corp. 5.625% 2/15/2012  4,950  5,036 
    Kimberly-Clark Corp. 4.875% 8/15/2015  6,250  6,061 
    Kimberly-Clark Corp. 6.125% 8/1/2017  10,450  10,308 
    Kimberly-Clark Corp. 6.250% 7/15/2018  175  178 
    Kimberly-Clark Corp. 6.625% 8/1/2037  1,300  1,323 
    Kraft Foods, Inc. 4.125% 11/12/2009  6,400  6,261 
    Kraft Foods, Inc. 5.625% 11/1/2011  41,125  41,115 
    Kraft Foods, Inc. 6.250% 6/1/2012  5,540  5,637 
    Kraft Foods, Inc. 5.250% 10/1/2013  25  24 
    Kraft Foods, Inc. 6.500% 8/11/2017  15,725  15,385 
    Kraft Foods, Inc. 6.125% 2/1/2018  400  374 
    Kraft Foods, Inc. 6.125% 8/23/2018  8,475  8,030 
    Kraft Foods, Inc. 6.500% 11/1/2031  9,575  8,494 
    Kraft Foods, Inc. 7.000% 8/11/2037  13,700  12,835 
    Kraft Foods, Inc. 6.875% 1/26/2039  3,225  2,970 
    Kroger Co. 6.800% 4/1/2011  2,600  2,688 
    Kroger Co. 6.750% 4/15/2012  10,575  10,733 
    Kroger Co. 6.200% 6/15/2012  7,625  7,754 
    Kroger Co. 5.500% 2/1/2013  2,825  2,836 
    Kroger Co. 5.000% 4/15/2013  4,000  3,884 
    Kroger Co. 4.950% 1/15/2015  3,675  3,416 
    Kroger Co. 6.400% 8/15/2017  4,925  4,783 
    Kroger Co. 6.800% 12/15/2018  4,025  3,832 
    Kroger Co. 6.150% 1/15/2020  4,550  4,344 
    Kroger Co. 7.700% 6/1/2029  9,200  9,590 
    Kroger Co. 8.000% 9/15/2029  1,250  1,343 
    Kroger Co. 7.500% 4/1/2031  3,020  2,960 
    Kroger Co. 6.900% 4/15/2038  2,925  2,871 
    Laboratory Corp. of America 5.500% 2/1/2013  1,965  1,926 
    Laboratory Corp. of America 5.625% 12/15/2015  2,975  2,761 
    McKesson Corp. 7.750% 2/1/2012  750  801 
    McKesson Corp. 5.250% 3/1/2013  12,200  12,071 
    Medco Health Solutions 6.125% 3/15/2013  550  538 
    Medco Health Solutions 7.250% 8/15/2013  575  588 
    Medco Health Solutions 7.125% 3/15/2018  10,325  10,184 
    Medtronic Inc. 4.375% 9/15/2010  2,775  2,811 
    Medtronic Inc. 4.750% 9/15/2015  4,750  4,526 
    Merck & Co. 5.125% 11/15/2011  3,150  3,255 
    Merck & Co. 4.375% 2/15/2013  4,725  4,672 
    Merck & Co. 4.750% 3/1/2015  11,925  11,643 
    Merck & Co. 6.400% 3/1/2028  4,005  4,123 
    Merck & Co. 5.950% 12/1/2028  2,675  2,617 
    Merck & Co. 5.750% 11/15/2036  1,300  1,191 
    Molson Coors Capital Finance 4.850% 9/22/2010  1,975  1,990 
    Newell Rubbermaid, Inc. 4.000% 5/1/2010  3,225  3,146 
    Pepsi Bottling Group, Inc. 7.000% 3/1/2029  2,200  2,368 
    PepsiAmericas Inc. 5.750% 7/31/2012  3,225  3,259 
    PepsiAmericas Inc. 4.875% 1/15/2015  375  364 
    PepsiAmericas Inc. 5.000% 5/15/2017  4,600  4,318 
    Pepsico, Inc. 5.150% 5/15/2012  2,650  2,748 
    Pepsico, Inc. 4.650% 2/15/2013  11,750  11,929 
    Pepsico, Inc. 5.000% 6/1/2018  11,525  11,008 
    Pfizer, Inc. 4.500% 2/15/2014  9,200  9,209 
    Pharmacia Corp. 6.500% 12/1/2018  750  806 
    Pharmacia Corp. 6.600% 12/1/2028  775  813 
    Philip Morris International Inc 5.650% 5/16/2018  16,400  14,892 
    Philip Morris International Inc. 4.875% 5/16/2013  10,625  10,201 
    Philip Morris International Inc. 6.375% 5/16/2038  9,150  7,744 
    Philips Electronics NV 4.625% 3/11/2013  4,750  4,676 
    Philips Electronics NV 5.750% 3/11/2018  12,275  11,793 
    Philips Electronics NV 6.875% 3/11/2038  5,900  6,033 
    Procter & Gamble Co. 4.950% 8/15/2014  1,600  1,628 
    Procter & Gamble Co. 6.450% 1/15/2026  1,825  1,931 
    Procter & Gamble Co. 5.800% 8/15/2034  3,375  3,318 
    Procter & Gamble Co. 5.550% 3/5/2037  14,325  13,453 
3 Procter & Gamble Co. ESOP 9.360% 1/1/2021  12,790  15,938 
    Quest Diagnostic, Inc. 5.450% 11/1/2015  8,175  7,427 
    Quest Diagnostic, Inc. 6.400% 7/1/2017  675  657 
    Quest Diagnostic, Inc. 6.950% 7/1/2037  2,950  2,830 
    Reynolds American Inc. 6.500% 7/15/2010  2,525  2,531 
    Reynolds American Inc. 7.250% 6/1/2012  4,075  4,162 
    Reynolds American Inc. 7.250% 6/1/2013  8,250  8,487 
    Reynolds American Inc. 7.625% 6/1/2016  4,000  3,990 
    Reynolds American Inc. 6.750% 6/15/2017  5,800  5,387 
    Reynolds American Inc. 7.250% 6/15/2037  4,700  4,289 
    Safeway, Inc. 4.950% 8/16/2010  3,125  3,120 
    Safeway, Inc. 6.500% 3/1/2011  7,575  7,801 
    Safeway, Inc. 5.800% 8/15/2012  3,650  3,729 
    Safeway, Inc. 6.350% 8/15/2017  800  782 
    Safeway, Inc. 7.250% 2/1/2031  5,700  5,464 
    Sara Lee Corp. 6.125% 11/1/2032  375  322 
    Schering-Plough Corp. 5.550% 12/1/2013  25,300  25,206 
    Schering-Plough Corp. 6.750% 12/1/2033  9,075  8,861 
    Schering-Plough Corp. 6.000% 9/15/2017  1,025  986 
    Schering-Plough Corp. 6.550% 9/15/2037  1,750  1,635 
    Sysco Corp. 4.200% 2/12/2013  2,225  2,192 
    Sysco Corp. 5.250% 2/12/2018  1,800  1,774 
    Sysco Corp. 5.375% 9/21/2035  4,725  4,207 
    Teva Pharmaceutical Finance LLC 5.550% 2/1/2016  550  514 
    Teva Pharmaceutical Finance LLC 6.150% 2/1/2036  11,100  9,836 
    UST, Inc. 6.625% 7/15/2012  800  832 
    UST, Inc. 5.750% 3/1/2018  3,200  3,079 
    Unilever Capital Corp. 7.125% 11/1/2010  10,950  11,745 
    Unilever Capital Corp. 5.900% 11/15/2032  3,725  3,537 
    Whirlpool Corp. 5.500% 3/1/2013  14,250  13,815 
    Wm. Wrigley Jr. Co. 4.300% 7/15/2010  5,725  5,695 
    Wm. Wrigley Jr. Co. 4.650% 7/15/2015  5,550  4,627 
    Wyeth 5.500% 3/15/2013  20,150  19,813 
    Wyeth 6.950% 3/15/2011  2,450  2,561 
    Wyeth 5.500% 2/1/2014  7,425  7,298 
    Wyeth 5.500% 2/15/2016  5,750  5,685 
    Wyeth 5.450% 4/1/2017  3,875  3,796 
    Wyeth 6.450% 2/1/2024  1,850  1,855 
    Wyeth 6.500% 2/1/2034  1,975  1,927 
    Wyeth 6.000% 2/15/2036  6,125  5,699 
    Wyeth 5.950% 4/1/2037  23,520  20,726 
    Energy (1.0%)
    Alberta Energy Co. Ltd. 7.375% 11/1/2031  975  883 
    Amerada Hess Corp. 6.650% 8/15/2011  7,450  7,479 
    Amerada Hess Corp. 7.875% 10/1/2029  6,250  5,871 
    Amerada Hess Corp. 7.125% 3/15/2033  6,050  5,200 
    Anadarko Finance Co. 6.750% 5/1/2011  3,225  3,319 
    Anadarko Finance Co. 7.500% 5/1/2031  985  896 
    Anadarko Petroleum Corp. 5.950% 9/15/2016  12,800  11,533 
    Anadarko Petroleum Corp. 6.450% 9/15/2036  18,320  13,915 
    Apache Corp. 6.250% 4/15/2012  1,700  1,717 
    Apache Corp. 5.250% 4/15/2013  1,000  974 
    Apache Corp. 6.000% 9/15/2013  7,275  7,268 
    Apache Corp. 5.625% 1/15/2017  1,050  984 
    Apache Corp. 6.900% 9/15/2018  6,350  6,338 
    Apache Corp. 6.000% 1/15/2037  6,500  5,323 
    Apache Finance Canada Corp. 7.750% 12/15/2029  1,350  1,534 
    BJ Services Co. 6.000% 6/1/2018  3,525  3,505 
    Baker Hughes, Inc. 6.875% 1/15/2029  825  884 
    Burlington Resources, Inc. 6.680% 2/15/2011  4,300  4,575 
    Burlington Resources, Inc. 6.500% 12/1/2011  3,975  4,236 
    Burlington Resources, Inc. 7.200% 8/15/2031  850  889 
    Burlington Resources, Inc. 7.400% 12/1/2031  4,575  4,893 
    Cameron International Corp. 6.375% 7/15/2018  4,250  4,093 
    Cameron International Corp. 7.000% 7/15/2038  4,875  4,179 
    Canadian Natural Resources 5.450% 10/1/2012  5,425  5,381 
    Canadian Natural Resources 5.150% 2/1/2013  1,875  1,820 
    Canadian Natural Resources 4.900% 12/1/2014  5,575  5,041 
    Canadian Natural Resources 6.000% 8/15/2016  5,375  4,954 
    Canadian Natural Resources 5.700% 5/15/2017  12,000  10,489 
    Canadian Natural Resources 7.200% 1/15/2032  5,375  4,924 
    Canadian Natural Resources 6.450% 6/30/2033  6,915  5,768 
    Canadian Natural Resources 6.500% 2/15/2037  9,175  7,350 
    Canadian Natural Resources 6.250% 3/15/2038  5,625  4,241 
    Canadian Natural Resources 6.750% 2/1/2039  1,125  909 
    Conoco Funding Co. 6.350% 10/15/2011  24,935  25,642 
    Conoco Funding Co. 7.250% 10/15/2031  350  366 
    Conoco, Inc. 6.950% 4/15/2029  1,230  1,230 
    ConocoPhillips 8.750% 5/25/2010  1,250  1,343 
    ConocoPhillips 5.900% 10/15/2032  1,950  1,755 
    ConocoPhillips Canada 5.300% 4/15/2012  5,025  5,084 
    ConocoPhillips Canada 5.625% 10/15/2016  21,100  20,816 
    ConocoPhillips Canada 5.950% 10/15/2036  3,475  3,282 
    Devon Energy Corp. 7.950% 4/15/2032  5,975  6,170 
    Devon Financing Corp. 6.875% 9/30/2011  10,185  10,501 
    Devon Financing Corp. 7.875% 9/30/2031  8,725  8,985 
    Diamond Offshore Drilling 4.875% 7/1/2015  775  714 
    EOG Resources Inc. 6.125% 10/1/2013  400  402 
    EOG Resources Inc. 5.875% 9/15/2017  8,825  8,353 
    Encana Corp. 5.900% 12/1/2017  9,550  8,522 
    Encana Corp. 6.500% 8/15/2034  9,600  7,772 
    Encana Corp. 6.625% 8/15/2037  11,900  9,224 
    Encana Corp. 6.500% 2/1/2038  550  444 
    Encana Holdings Finance Corp. 5.800% 5/1/2014  2,100  1,955 
    Halliburton Co. 5.500% 10/15/2010  4,100  4,206 
    Halliburton Co. 5.900% 9/15/2018  2,150  2,138 
    Halliburton Co. 6.700% 9/15/2038  12,000  11,480 
    Husky Energy Inc. 6.250% 6/15/2012  2,875  2,821 
    Husky Energy Inc. 6.150% 6/15/2019  1,000  880 
    Husky Energy Inc. 6.800% 9/15/2037  2,400  2,077 
    Kerr McGee Corp. 6.875% 9/15/2011  6,850  7,148 
    Kerr McGee Corp. 6.950% 7/1/2024  11,770  11,985 
    Kerr McGee Corp. 7.875% 9/15/2031  1,700  1,917 
    Lasmo Inc. 7.300% 11/15/2027  400  432 
    Marathon Oil Corp. 6.125% 3/15/2012  9,470  9,632 
    Marathon Oil Corp. 6.000% 7/1/2012  3,400  3,465 
    Marathon Oil Corp. 6.000% 10/1/2017  17,225  16,147 
    Marathon Oil Corp. 5.900% 3/15/2018  10,050  8,993 
    Marathon Oil Corp. 6.600% 10/1/2037  12,650  10,268 
5 Nabors Industries Inc. 6.150% 2/15/2018  13,825  12,734 
    Nexen, Inc. 5.050% 11/20/2013  3,700  3,518 
    Nexen, Inc. 5.650% 5/15/2017  2,325  2,093 
    Nexen, Inc. 7.875% 3/15/2032  1,100  1,080 
    Nexen, Inc. 5.875% 3/10/2035  400  288 
    Nexen, Inc. 6.400% 5/15/2037  12,950  10,263 
    Noble Energy Inc. 8.000% 4/1/2027  175  175 
    Norsk Hydro 7.250% 9/23/2027  6,325  6,912 
    Norsk Hydro 7.150% 1/15/2029  3,475  3,687 
    Occidental Petroleum 6.750% 1/15/2012  6,725  7,179 
    PanCanadian Energy Corp. 7.200% 11/1/2031  7,050  6,259 
    Petro-Canada 4.000% 7/15/2013  5,475  4,986 
    Petro-Canada 7.875% 6/15/2026  1,675  1,565 
    Petro-Canada 7.000% 11/15/2028  1,375  1,166 
    Petro-Canada 5.350% 7/15/2033  5,975  3,997 
    Petro-Canada 5.950% 5/15/2035  8,475  6,141 
    Petro-Canada 6.800% 5/15/2038  2,400  1,917 
    Petro-Canada Financial Partnership 5.000% 11/15/2014  1,600  1,456 
    Petro-Canada Financial Partnership 6.050% 5/15/2018  2,400  2,191 
    Questar Market Resources 6.050% 9/1/2016  3,575  3,407 
    Shell International Finance BV 5.625% 6/27/2011  1,000  1,065 
    Shell International Finance BV 4.950% 3/22/2012  3,450  3,536 
    Shell International Finance BV 5.200% 3/22/2017  3,525  3,480 
5 Statoilhydro ASA 6.500% 12/1/2028  1,200  1,227 
    Suncor Energy, Inc. 6.100% 6/1/2018  3,800  3,555 
    Suncor Energy, Inc. 7.150% 2/1/2032  1,700  1,672 
    Suncor Energy, Inc. 5.950% 12/1/2034  150  127 
    Suncor Energy, Inc. 6.500% 6/15/2038  12,375  10,715 
    Sunoco, Inc. 4.875% 10/15/2014  1,700  1,595 
    Sunoco, Inc. 5.750% 1/15/2017  2,300  2,168 
    Talisman Energy, Inc. 5.125% 5/15/2015  1,400  1,275 
    Talisman Energy, Inc. 7.250% 10/15/2027  1,050  993 
    Talisman Energy, Inc. 5.850% 2/1/2037  5,500  4,282 
    Tosco Corp. 8.125% 2/15/2030  18,775  21,558 
    Transocean Inc. 5.250% 3/15/2013  4,200  4,131 
    Transocean Inc. 6.000% 3/15/2018  6,325  5,969 
    Transocean Inc. 7.500% 4/15/2031  2,650  2,653 
    Transocean Inc. 6.800% 3/15/2038  6,050  5,544 
    Valero Energy Corp. 6.875% 4/15/2012  17,725  18,165 
    Valero Energy Corp. 4.750% 6/15/2013  340  321 
    Valero Energy Corp. 6.125% 6/15/2017  2,000  1,906 
    Valero Energy Corp. 7.500% 4/15/2032  5,265  5,053 
    Valero Energy Corp. 6.625% 6/15/2037  5,450  4,437 
    Weatherford International Inc. 5.950% 6/15/2012  750  755 
    Weatherford International Inc. 5.150% 3/15/2013  1,550  1,492 
    Weatherford International Inc. 6.350% 6/15/2017  5,350  5,057 
    Weatherford International Inc. 6.000% 3/15/2018  2,250  2,120 
    Weatherford International Inc. 6.500% 8/1/2036  11,125  10,072 
    Weatherford International Inc. 6.800% 6/15/2037  1,875  1,763 
    Weatherford International Inc. 7.000% 3/15/2038  1,750  1,687 
    XTO Energy, Inc. 5.000% 8/1/2010  1,000  1,009 
    XTO Energy, Inc. 5.900% 8/1/2012  6,025  5,828 
    XTO Energy, Inc. 6.250% 4/15/2013  8,575  8,750 
    XTO Energy, Inc. 5.750% 12/15/2013  9,850  9,477 
    XTO Energy, Inc. 4.900% 2/1/2014  525  498 
    XTO Energy, Inc. 5.000% 1/31/2015  1,725  1,615 
    XTO Energy, Inc. 5.300% 6/30/2015  1,475  1,370 
    XTO Energy, Inc. 6.250% 8/1/2017  9,800  9,548 
    XTO Energy, Inc. 6.500% 12/15/2018  8,525  8,238 
    XTO Energy, Inc. 6.100% 4/1/2036  1,300  1,118 
    XTO Energy, Inc. 6.750% 8/1/2037  16,450  14,066 
    XTO Energy, Inc. 6.375% 6/15/2038  2,125  1,846 
    Technology (0.6%)
    Agilent Technologies Inc. 6.500% 11/1/2017  9,300  8,796 
    Arrow Electronics, Inc. 6.875% 7/1/2013  200  208 
    BMC Software Inc. 7.250% 6/1/2018  2,775  2,798 
    Cisco Systems Inc. 5.250% 2/22/2011  45,225  46,453 
    Cisco Systems Inc. 5.500% 2/22/2016  18,265  17,623 
    Computer Sciences Corp. 5.000% 2/15/2013  4,575  4,372 
5 Computer Sciences Corp. 5.500% 3/15/2013  2,075  2,021 
5 Computer Sciences Corp. 6.500% 3/15/2018  400  391 
    Corning Inc. 7.250% 8/15/2036  400  391 
5 Dell Inc. 4.700% 4/15/2013  7,100  6,896 
5 Dell Inc. 5.650% 4/15/2018  3,875  3,636 
5 Dell Inc. 6.500% 4/15/2038  3,800  3,542 
    Dun & Bradstreet Corp. 6.000% 4/1/2013  6,000  6,006 
    Electronic Data Systems 6.000% 8/1/2013  6,275  6,305 
    Electronic Data Systems 7.125% 10/15/2009  575  594 
    Equifax Inc. 6.300% 7/1/2017  1,300  1,161 
    Equifax Inc. 7.000% 7/1/2037  1,900  1,587 
    Fiserv, Inc. 6.125% 11/20/2012  11,075  10,608 
    Fiserv, Inc. 6.800% 11/20/2017  7,075  7,085 
    Harris Corp. 5.000% 10/1/2015  4,400  4,098 
    Harris Corp. 5.950% 12/1/2017  225  220 
    Hewlett-Packard Co. 6.500% 7/1/2012  1,835  1,922 
    Hewlett-Packard Co. 4.500% 3/1/2013  15,825  15,120 
    Hewlett-Packard Co. 5.400% 3/1/2017  2,035  1,932 
    Hewlett-Packard Co. 5.500% 3/1/2018  4,275  4,073 
    IBM International Group Capital 5.050% 10/22/2012  25,525  25,830 
    International Business Machines Corp. 4.950% 3/22/2011  3,225  3,314 
    International Business Machines Corp. 7.500% 6/15/2013  3,575  3,870 
    International Business Machines Corp. 5.700% 9/14/2017  41,650  40,215 
    International Business Machines Corp. 7.000% 10/30/2025  720  765 
    International Business Machines Corp. 6.220% 8/1/2027  6,250  6,128 
    International Business Machines Corp. 6.500% 1/15/2028  700  708 
    International Business Machines Corp. 5.875% 11/29/2032  500  468 
    International Business Machines Corp. 7.125% 12/1/2096  6,735  6,955 
    Intuit Inc. 5.400% 3/15/2012  2,475  2,316 
    Intuit Inc. 5.750% 3/15/2017  2,925  2,621 
    Lexmark International Inc. 5.900% 6/1/2013  3,450  3,378 
    Lexmark International Inc. 6.650% 6/1/2018  5,575  5,368 
    Motorola, Inc. 7.625% 11/15/2010  619  640 
    Motorola, Inc. 8.000% 11/1/2011  725  727 
    Motorola, Inc. 5.375% 11/15/2012  6,125  5,687 
    Motorola, Inc. 6.000% 11/15/2017  1,675  1,431 
    Motorola, Inc. 7.500% 5/15/2025  1,000  872 
    Motorola, Inc. 6.500% 9/1/2025  1,550  1,196 
    Motorola, Inc. 6.500% 11/15/2028  500  377 
    Motorola, Inc. 6.625% 11/15/2037  2,450  1,824 
    National Semiconductor 6.150% 6/15/2012  750  749 
    National Semiconductor 6.600% 6/15/2017  7,400  7,103 
    Oracle Corp. 5.000% 1/15/2011  6,150  6,282 
    Oracle Corp. 4.950% 4/15/2013  6,350  6,332 
    Oracle Corp. 5.250% 1/15/2016  9,990  9,441 
    Oracle Corp. 5.750% 4/15/2018  16,370  15,214 
    Oracle Corp. 6.500% 4/15/2038  7,200  6,428 
    Pitney Bowes, Inc. 4.625% 10/1/2012  4,050  4,036 
    Pitney Bowes, Inc. 3.875% 6/15/2013  5,050  4,851 
    Pitney Bowes, Inc. 4.875% 8/15/2014  350  337 
    Pitney Bowes, Inc. 4.750% 1/15/2016  13,750  13,021 
    Pitney Bowes, Inc. 5.750% 9/15/2017  4,450  4,359 
    Pitney Bowes, Inc. 4.750% 5/15/2018  375  308 
    Pitney Bowes, Inc. 5.250% 1/15/2037  550  519 
    Science Applications International Corp. 6.250% 7/1/2012  1,275  1,315 
    Science Applications International Corp. 5.500% 7/1/2033  1,775  1,424 
    Tyco Electronics Group 6.000% 10/1/2012  2,450  2,433 
    Tyco Electronics Group 6.550% 10/1/2017  9,325  8,972 
    Tyco Electronics Group 7.125% 10/1/2037  750  704 
    Xerox Capital Trust I 8.000% 2/1/2027  5,750  5,232 
    Xerox Corp. 7.125% 6/15/2010  4,000  4,056 
    Xerox Corp. 6.875% 8/15/2011  2,425  2,447 
    Xerox Corp. 5.500% 5/15/2012  3,200  3,068 
    Xerox Corp. 7.625% 6/15/2013  4,425  4,484 
    Xerox Corp. 6.400% 3/15/2016  5,125  4,718 
    Xerox Corp. 6.750% 2/1/2017  3,700  3,559 
    Xerox Corp. 6.350% 5/15/2018  9,625  8,562 
    Transportation (0.4%)
    Burlington Northern Santa Fe Corp. 7.125% 12/15/2010  500  529 
    Burlington Northern Santa Fe Corp. 6.750% 7/15/2011  3,720  3,892 
    Burlington Northern Santa Fe Corp. 5.900% 7/1/2012  3,375  3,464 
    Burlington Northern Santa Fe Corp. 5.650% 5/1/2017  3,025  2,920 
    Burlington Northern Santa Fe Corp. 5.750% 3/15/2018  4,100  3,864 
    Burlington Northern Santa Fe Corp. 7.000% 12/15/2025  6,400  6,094 
    Burlington Northern Santa Fe Corp. 6.200% 8/15/2036  3,975  3,416 
    Burlington Northern Santa Fe Corp. 6.150% 5/1/2037  8,075  7,187 
    CNF, Inc. 6.700% 5/1/2034  4,150  3,413 
    CSX Corp. 6.750% 3/15/2011  2,450  2,514 
    CSX Corp. 6.300% 3/15/2012  1,775  1,785 
    CSX Corp. 5.750% 3/15/2013  125  121 
    CSX Corp. 6.250% 4/1/2015  2,750  2,626 
    CSX Corp. 5.600% 5/1/2017  1,875  1,644 
    CSX Corp. 6.250% 3/15/2018  300  272 
    CSX Corp. 7.950% 5/1/2027  325  317 
    CSX Corp. 6.000% 10/1/2036  7,550  5,806 
    CSX Corp. 6.150% 5/1/2037  2,875  2,229 
    CSX Corp. 7.450% 4/1/2038  2,350  2,163 
    Canadian National Railway Co. 6.375% 10/15/2011  1,075  1,134 
    Canadian National Railway Co. 4.400% 3/15/2013  3,175  3,060 
    Canadian National Railway Co. 4.950% 1/15/2014  700  677 
    Canadian National Railway Co. 5.800% 6/1/2016  950  934 
    Canadian National Railway Co. 5.850% 11/15/2017  1,425  1,402 
    Canadian National Railway Co. 6.800% 7/15/2018  11,025  11,605 
    Canadian National Railway Co. 6.900% 7/15/2028  700  708 
    Canadian National Railway Co. 6.250% 8/1/2034  1,925  1,797 
    Canadian National Railway Co. 6.200% 6/1/2036  3,025  2,800 
    Canadian Pacific Railway Co. 6.250% 10/15/2011  10,950  11,205 
    Canadian Pacific Railway Co. 7.125% 10/15/2031  550  511 
    Canadian Pacific Railway Co. 5.950% 5/15/2037  1,200  1,000 
    Continental Airlines, Inc. 6.563% 2/15/2012  2,450  2,217 
3 Continental Airlines, Inc. 6.648% 9/15/2017  8,362  7,630 
3 Continental Airlines, Inc. 6.900% 1/2/2018  4,647  4,171 
3 Continental Airlines, Inc. 6.545% 2/2/2019  519  457 
3 Continental Airlines, Inc. 5.983% 4/19/2022  750  617 
    Delta Air Lines Enhanced Equipment Trust Certificates 6.417% 7/2/2012  4,100  3,598 
3 Delta Air Lines Enhanced Equipment Trust Certificates 6.718% 1/2/2023  3,814  3,204 
    Delta Air Lines, Inc. 7.111% 9/18/2011  4,100  3,741 
3 Delta Air Lines, Inc. 6.821% 8/10/2022  5,610  4,656 
    Norfolk Southern Corp. 6.750% 2/15/2011  6,000  6,128 
    Norfolk Southern Corp. 5.257% 9/17/2014  45  45 
    Norfolk Southern Corp. 7.700% 5/15/2017  6,375  6,940 
    Norfolk Southern Corp. 5.750% 4/1/2018  1,750  1,678 
    Norfolk Southern Corp. 9.750% 6/15/2020  1,696  2,121 
    Norfolk Southern Corp. 5.590% 5/17/2025  634  554 
    Norfolk Southern Corp. 7.800% 5/15/2027  2,495  2,696 
    Norfolk Southern Corp. 5.640% 5/17/2029  2,205  1,887 
    Norfolk Southern Corp. 7.050% 5/1/2037  12,995  12,980 
    Norfolk Southern Corp. 7.900% 5/15/2097  2,075  2,186 
    Ryder System Inc. 5.950% 5/2/2011  3,375  3,375 
    Ryder System Inc. 5.850% 3/1/2014  2,000  1,909 
    Ryder System Inc. 7.200% 9/1/2015  4,375  4,344 
    Ryder System Inc. 5.850% 11/1/2016  1,950  1,792 
    Southwest Airlines Co. 6.500% 3/1/2012  7,950  7,848 
    Southwest Airlines Co. 5.250% 10/1/2014  275  254 
    Southwest Airlines Co. 5.750% 12/15/2016  3,950  3,651 
    Southwest Airlines Co. 5.125% 3/1/2017  850  729 
3 Southwest Airlines Co. 6.150% 8/1/2022  2,030  1,931 
    Union Pacific Corp. 3.625% 6/1/2010  2,040  2,027 
    Union Pacific Corp. 6.650% 1/15/2011  6,005  6,268 
    Union Pacific Corp. 6.125% 1/15/2012  200  204 
    Union Pacific Corp. 6.500% 4/15/2012  2,383  2,425 
    Union Pacific Corp. 5.450% 1/31/2013  2,750  2,678 
    Union Pacific Corp. 7.000% 2/1/2016  450  465 
    Union Pacific Corp. 5.650% 5/1/2017  5,200  4,884 
    Union Pacific Corp. 5.750% 11/15/2017  8,525  8,103 
    Union Pacific Corp. 5.700% 8/15/2018  6,850  6,442 
    Union Pacific Corp. 6.625% 2/1/2029  1,450  1,354 
3 Union Pacific Railroad Co. 6.176% 1/2/2031  1,562  1,520 
    United Parcel Service of America 4.500% 1/15/2013  2,750  2,760 
    United Parcel Service of America 5.500% 1/15/2018  4,185  4,111 
    United Parcel Service of America 6.200% 1/15/2038  4,875  4,443 
    Other (0.1%)
    Black & Decker Corp. 7.125% 6/1/2011  500  518 
    Black & Decker Corp. 5.750% 11/15/2016  2,950  2,670 
    Cintas Corp. 6.125% 12/1/2017  2,925  2,884 
    Cooper Industries, Inc. 5.250% 11/15/2012  4,425  4,513 
    Cooper Industries, Inc. 5.450% 4/1/2015  2,450  2,472 
    Danaher Corp. 5.625% 1/15/2018  2,850  2,853 
    Eaton Corp. 4.900% 5/15/2013  3,850  3,791 
    Eaton Corp. 5.600% 5/15/2018  2,700  2,615 
    Parker-Hannifin Corp. 5.500% 5/15/2018  1,600  1,568 
    Parker-Hannifin Corp. 6.250% 5/15/2038  1,950  1,924 
    Rockwell Automation 5.650% 12/1/2017  2,100  2,105 
    Rockwell Automation 6.700% 1/15/2028  1,275  1,310 
    Rockwell Automation 6.250% 12/1/2037  4,700  4,682 
               5,893,921 
    Utilities (1.9%)
    Electric (1.4%)
    AEP Texas Central Co. 6.650% 2/15/2033  2,775  2,485 
    Alabama Power Co. 4.850% 12/15/2012  2,400  2,375 
    Alabama Power Co. 5.500% 10/15/2017  3,975  3,751 
    American Electric Power Co., Inc. 5.375% 3/15/2010  925  944 
    American Electric Power Co., Inc. 5.250% 6/1/2015  875  828 
    American Water Capital Corp. 6.085% 10/15/2017  8,800  8,224 
    American Water Capital Corp. 6.593% 10/15/2037  6,300  5,732 
    Appalachian Power Co. 7.000% 4/1/2038  6,900  6,455 
    Arizona Public Service Co. 6.375% 10/15/2011  800  809 
    Arizona Public Service Co. 5.800% 6/30/2014  725  688 
    Arizona Public Service Co. 4.650% 5/15/2015  925  803 
    Arizona Public Service Co. 5.500% 9/1/2035  700  520 
    Baltimore Gas & Electric Co. 5.900% 10/1/2016  4,250  3,888 
    Baltimore Gas & Electric Co. 6.350% 10/1/2036  625  502 
    Carolina Power & Light Co. 6.500% 7/15/2012  1,250  1,291 
    Carolina Power & Light Co. 5.125% 9/15/2013  405  403 
    Carolina Power & Light Co. 6.300% 4/1/2038  2,750  2,654 
    CenterPoint Energy Houston 5.700% 3/15/2013  16,860  16,388 
    CenterPoint Energy Houston 5.750% 1/15/2014  500  485 
    CenterPoint Energy Houston 6.950% 3/15/2033  400  371 
    Cincinnati Gas & Electric Co. 5.700% 9/15/2012  4,925  4,954 
    Cleveland Electric Illumination Co. 7.880% 11/1/2017  1,375  1,429 
    Columbus Southern Power 5.850% 10/1/2035  8,300  7,019 
    Commonwealth Edison Co. 6.150% 3/15/2012  2,025  2,054 
    Commonwealth Edison Co. 5.950% 8/15/2016  14,530  13,679 
    Commonwealth Edison Co. 6.150% 9/15/2017  15,025  14,255 
    Commonwealth Edison Co. 5.875% 2/1/2033  590  478 
    Commonwealth Edison Co. 5.900% 3/15/2036  800  644 
    Commonwealth Edison Co. 6.450% 1/15/2038  3,875  3,355 
    Connecticut Light & Power Co. 6.350% 6/1/2036  6,975  6,307 
    Consolidated Edison Co. of New York 4.875% 2/1/2013  3,715  3,678 
    Consolidated Edison Co. of New York 5.375% 12/15/2015  1,600  1,513 
    Consolidated Edison Co. of New York 5.500% 9/15/2016  6,200  5,920 
    Consolidated Edison Co. of New York 5.300% 3/1/2035  2,450  1,904 
    Consolidated Edison Co. of New York 5.850% 3/15/2036  2,325  1,964 
    Consolidated Edison Co. of New York 6.200% 6/15/2036  3,575  3,168 
    Consolidated Edison Co. of New York 6.300% 8/15/2037  7,000  6,278 
    Consolidated Edison Co. of New York 6.750% 4/1/2038  2,700  2,568 
    Constellation Energy Group, Inc. 6.125% 9/1/2009  875  846 
    Constellation Energy Group, Inc. 7.000% 4/1/2012  1,275  1,297 
    Constellation Energy Group, Inc. 4.550% 6/15/2015  18,050  15,648 
    Constellation Energy Group, Inc. 7.600% 4/1/2032  2,390  2,254 
    Consumers Energy Co. 5.000% 2/15/2012  2,500  2,430 
    Consumers Energy Co. 5.375% 4/15/2013  5,175  5,204 
    Consumers Energy Co. 5.500% 8/15/2016  1,925  1,822 
    Consumers Energy Co. 5.650% 4/15/2020  1,000  914 
    DTE Energy Co. 7.050% 6/1/2011  6,640  6,803 
    DTE Energy Co. 6.375% 4/15/2033  275  239 
    Detroit Edison Co. 6.125% 10/1/2010  2,730  2,796 
    Detroit Edison Co. 5.700% 10/1/2037  1,000  834 
    Dominion Resources, Inc. 4.750% 12/15/2010  2,225  2,217 
3 Dominion Resources, Inc. 6.300% 9/30/2011  2,750  2,496 
    Dominion Resources, Inc. 6.250% 6/30/2012  2,790  2,819 
    Dominion Resources, Inc. 5.700% 9/17/2012  850  843 
    Dominion Resources, Inc. 5.150% 7/15/2015  19,050  17,336 
    Dominion Resources, Inc. 5.250% 8/1/2033  3,225  2,902 
3 Dominion Resources, Inc. 7.500% 6/30/2016  4,325  3,894 
    Dominion Resources, Inc. 6.000% 11/30/2017  5,300  4,936 
    Dominion Resources, Inc. 6.300% 3/15/2033  1,675  1,435 
    Dominion Resources, Inc. 5.950% 6/15/2035  9,150  7,435 
    Dominion Resources, Inc. 7.000% 6/15/2038  1,275  1,221 
    Duke Energy Carolinas LLC 6.100% 6/1/2037  10,725  9,911 
    Duke Energy Carolinas LLC 6.000% 1/15/2038  475  435 
    Duke Energy Carolinas LLC 6.050% 4/15/2038  3,425  3,267 
    Duke Energy Corp. 6.250% 1/15/2012  10,107  10,474 
    Duke Energy Corp. 6.000% 12/1/2028  1,900  1,744 
    Duke Energy Corp. 6.450% 10/15/2032  1,500  1,447 
    Duke Energy Indiana Inc. 6.350% 8/15/2038  9,925  9,334 
    El Paso Electric Co. 6.000% 5/15/2035  2,200  1,844 
    Empresa Nacional Electric 8.350% 8/1/2013  2,900  3,128 
    Energy East Corp. 6.750% 6/15/2012  6,050  6,212 
    Energy East Corp. 6.750% 7/15/2036  4,275  3,812 
5 Entergy Gulf States, Inc. 6.000% 5/1/2018  10,525  10,243 
    Entergy Louisiana LLC 6.500% 9/1/2018  1,575  1,511 
    Exelon Corp. 6.750% 5/1/2011  500  505 
    Exelon Corp. 4.900% 6/15/2015  5,200  4,668 
    Exelon Corp. 5.625% 6/15/2035  935  743 
    FPL Group Capital, Inc. 5.625% 9/1/2011  3,975  3,969 
    FPL Group Capital, Inc. 5.350% 6/15/2013  5,625  5,699 
3 FPL Group Capital, Inc. 6.350% 10/1/2016  2,600  2,083 
3 FPL Group Capital, Inc. 6.650% 6/15/2017  3,200  2,638 
    FirstEnergy Corp. 6.450% 11/15/2011  52,330  52,497 
    FirstEnergy Corp. 7.375% 11/15/2031  11,640  10,541 
    Florida Power & Light Co. 4.850% 2/1/2013  3,000  2,956 
    Florida Power & Light Co. 5.550% 11/1/2017  2,275  2,184 
    Florida Power & Light Co. 5.950% 10/1/2033  50  47 
    Florida Power & Light Co. 5.625% 4/1/2034  4,450  3,969 
    Florida Power & Light Co. 4.950% 6/1/2035  4,425  3,211 
    Florida Power & Light Co. 5.400% 9/1/2035  2,400  2,067 
    Florida Power & Light Co. 6.200% 6/1/2036  4,700  4,520 
    Florida Power & Light Co. 5.650% 2/1/2037  4,725  4,208 
    Florida Power & Light Co. 5.850% 5/1/2037  2,450  2,245 
    Florida Power & Light Co. 5.950% 2/1/2038  4,375  4,062 
    Florida Power Corp. 4.500% 6/1/2010  3,825  3,865 
    Florida Power Corp. 4.800% 3/1/2013  12,175  11,993 
    Florida Power Corp. 5.650% 6/15/2018  3,725  3,583 
    Florida Power Corp. 6.350% 9/15/2037  5,300  5,198 
    Florida Power Corp. 6.400% 6/15/2038  4,200  3,936 
    Georgia Power Co. 5.700% 6/1/2017  2,340  2,651 
    Georgia Power Co. 5.650% 3/1/2037  425  376 
    Illinois Power 6.125% 11/15/2017  1,475  1,386 
    Illinois Power 6.250% 4/1/2018  5,700  5,397 
    Indiana Michigan Power Co. 6.050% 3/15/2037  7,475  6,482 
3 Integrys Energy Group 6.110% 12/1/2016  5,150  4,101 
    Jersey Central Power & Light 5.625% 5/1/2016  3,575  3,344 
    Jersey Central Power & Light 5.650% 6/1/2017  2,250  2,093 
    Kansas City Power & Light 6.050% 11/15/2035  2,075  1,686 
    MidAmerican Energy Co. 5.650% 7/15/2012  3,200  3,223 
    MidAmerican Energy Co. 5.125% 1/15/2013  7,875  7,672 
    MidAmerican Energy Co. 5.950% 7/15/2017  1,675  1,616 
    MidAmerican Energy Co. 5.300% 3/15/2018  550  505 
    MidAmerican Energy Co. 6.750% 12/30/2031  5,475  5,443 
    MidAmerican Energy Co. 5.750% 11/1/2035  1,700  1,481 
    MidAmerican Energy Holdings Co. 5.875% 10/1/2012  7,020  7,167 
    MidAmerican Energy Holdings Co. 5.000% 2/15/2014  1,425  1,316 
    MidAmerican Energy Holdings Co. 5.750% 4/1/2018  5,925  5,484 
    MidAmerican Energy Holdings Co. 8.480% 9/15/2028  700  786 
    MidAmerican Energy Holdings Co. 6.125% 4/1/2036  22,975  18,731 
    MidAmerican Energy Holdings Co. 5.950% 5/15/2037  7,025  5,807 
    MidAmerican Energy Holdings Co. 6.500% 9/15/2037  3,050  2,718 
    NStar Electric Co. 4.875% 4/15/2014  2,200  2,112 
    NStar Electric Co. 5.625% 11/15/2017  5,650  5,550 
    National Rural Utilities Cooperative Finance Corp. 7.250% 3/1/2012  18,810  19,529 
    National Rural Utilities Cooperative Finance Corp. 5.500% 7/1/2013  6,125  6,142 
    National Rural Utilities Cooperative Finance Corp. 4.750% 3/1/2014  2,140  2,073 
    National Rural Utilities Cooperative Finance Corp. 5.450% 4/10/2017  3,350  3,201 
    National Rural Utilities Cooperative Finance Corp. 5.450% 2/1/2018  4,960  4,623 
    National Rural Utilities Cooperative Finance Corp. 8.000% 3/1/2032  4,000  4,275 
    Nevada Power Co. 6.750% 7/1/2037  1,500  1,352 
    NiSource Finance Corp. 7.875% 11/15/2010  6,660  6,825 
    NiSource Finance Corp. 5.400% 7/15/2014  1,350  1,238 
    NiSource Finance Corp. 5.250% 9/15/2017  1,525  1,275 
    NiSource Finance Corp. 6.400% 3/15/2018  850  770 
    NiSource Finance Corp. 6.800% 1/15/2019  150  136 
    NiSource Finance Corp. 5.450% 9/15/2020  1,675  1,369 
    Northern States Power Co. 5.250% 3/1/2018  2,325  2,189 
    Northern States Power Co. 5.250% 7/15/2035  425  342 
    Northern States Power Co. 6.250% 6/1/2036  1,975  1,829 
    Northern States Power Co. 6.200% 7/1/2037  3,600  3,308 
    Ohio Edison 6.400% 7/15/2016  4,650  4,586 
    Ohio Power Co. 5.750% 9/1/2013  8,525  8,371 
    Ohio Power Co. 6.000% 6/1/2016  3,975  3,714 
    Oncor Electric Delivery Co. 6.375% 5/1/2012  3,650  3,497 
    Oncor Electric Delivery Co. 6.375% 1/15/2015  7,175  7,100 
    Oncor Electric Delivery Co. 7.000% 9/1/2022  600  565 
    Oncor Electric Delivery Co. 7.000% 5/1/2032  2,125  1,922 
    Oncor Electric Delivery Co. 7.250% 1/15/2033  4,475  4,163 
    PECO Energy Co. 5.350% 3/1/2018  2,000  1,836 
    PPL Energy Supply LLC 6.400% 11/1/2011  12,350  12,537 
    PPL Energy Supply LLC 6.300% 7/15/2013  3,700  3,657 
    PPL Energy Supply LLC 5.400% 8/15/2014  1,000  934 
    PPL Energy Supply LLC 6.200% 5/15/2016  3,825  3,597 
    PPL Energy Supply LLC 6.500% 5/1/2018  2,550  2,423 
    PPL Energy Supply LLC 6.000% 12/15/2036  2,050  1,641 
    PSE&G Power LLC 7.750% 4/15/2011  1,075  1,130 
    PSE&G Power LLC 6.950% 6/1/2012  17,025  17,642 
    PSE&G Power LLC 5.000% 4/1/2014  2,800  2,550 
    PSE&G Power LLC 5.500% 12/1/2015  3,275  2,997 
    PSE&G Power LLC 8.625% 4/15/2031  400  458 
    PSI Energy Inc. 5.000% 9/15/2013  200  197 
    PSI Energy Inc. 6.050% 6/15/2016  425  424 
    PSI Energy Inc. 6.120% 10/15/2035  1,400  1,275 
    PacifiCorp 6.900% 11/15/2011  7,600  8,140 
    PacifiCorp 7.700% 11/15/2031  1,250  1,380 
    PacifiCorp 5.250% 6/15/2035  50  41 
    PacifiCorp 6.250% 10/15/2037  800  745 
    Pacific Gas & Electric Co. 4.200% 3/1/2011  29,075  28,147 
    Pacific Gas & Electric Co. 4.800% 3/1/2014  5,125  4,928 
    Pacific Gas & Electric Co. 5.625% 11/30/2017  4,250  4,102 
    Pacific Gas & Electric Co. 6.050% 3/1/2034  15,155  13,425 
    Pacific Gas & Electric Co. 5.800% 3/1/2037  8,300  7,079 
    Pennsylvania Electric Co. 6.050% 9/1/2017  2,775  2,563 
    Pepco Holdings, Inc. 6.450% 8/15/2012  8,075  8,175 
    Pepco Holdings, Inc. 7.450% 8/15/2032  1,475  1,420 
    Potomac Electric Power 6.500% 11/15/2037  1,000  994 
    Progress Energy, Inc. 7.100% 3/1/2011  6,686  6,814 
    Progress Energy, Inc. 6.850% 4/15/2012  2,200  2,256 
    Progress Energy, Inc. 5.625% 1/15/2016  1,375  1,308 
    Progress Energy, Inc. 7.750% 3/1/2031  1,800  1,920 
    Progress Energy, Inc. 7.000% 10/30/2031  5,650  5,555 
    Public Service Co. of Colorado 7.875% 10/1/2012  9,800  10,760 
    Public Service Co. of Colorado 5.500% 4/1/2014  65  64 
    Public Service Co. of Colorado 5.800% 8/1/2018  1,900  1,841 
    Public Service Co. of Colorado 6.250% 9/1/2037  1,850  1,722 
    Public Service Co. of Colorado 6.500% 8/1/2038  3,300  3,175 
    Public Service Co. of Oklahoma 6.625% 11/15/2037  5,550  5,132 
    Public Service Electric & Gas 5.250% 7/1/2035  325  276 
    Public Service Electric & Gas 5.800% 5/1/2037  7,825  7,166 
    Puget Sound Energy Inc. 5.483% 6/1/2035  950  692 
    Puget Sound Energy Inc. 6.274% 3/15/2037  5,275  4,284 
    SCANA Corp. 6.875% 5/15/2011  7,825  7,942 
    Sierra Pacific Power Co. 6.000% 5/15/2016  2,925  2,783 
    Sierra Pacific Power Co. 6.750% 7/1/2037  5,000  4,506 
    South Carolina Electric & Gas Co. 6.500% 11/1/2018  1,900  1,903 
    South Carolina Electric & Gas Co. 6.625% 2/1/2032  2,750  2,617 
    South Carolina Electric & Gas Co. 5.300% 5/15/2033  220  175 
    South Carolina Electric & Gas Co. 6.050% 1/15/2038  1,475  1,293 
    Southern California Edison Co. 5.000% 1/15/2014  3,450  3,429 
    Southern California Edison Co. 4.650% 4/1/2015  1,500  1,465 
    Southern California Edison Co. 5.000% 1/15/2016  2,025  1,956 
    Southern California Edison Co. 6.000% 1/15/2034  1,400  1,347 
    Southern California Edison Co. 5.750% 4/1/2035  1,025  953 
    Southern California Edison Co. 5.350% 7/15/2035  5,450  4,785 
    Southern California Edison Co. 5.625% 2/1/2036  8,175  7,461 
    Southern California Edison Co. 5.550% 1/15/2037  9,875  8,904 
    Southern California Edison Co. 5.950% 2/1/2038  100  95 
    Southern Co. 5.300% 1/15/2012  2,075  2,085 
    Southern Power Co. 6.250% 7/15/2012  4,155  4,241 
    Southern Power Co. 4.875% 7/15/2015  7,925  7,289 
    Southwestern Electric Power 5.550% 1/15/2017  500  460 
    Southwestern Electric Power 6.450% 1/15/2019  4,575  4,448 
    Tampa Electric Co. 6.375% 8/15/2012  5,000  5,075 
    Tampa Electric Co. 6.550% 5/15/2036  3,675  3,432 
    Toledo Edison Co. 6.150% 5/15/2037  400  319 
    TransAlta Corp. 6.650% 5/15/2018  1,550  1,478 
    Union Electric Co. 5.400% 2/1/2016  3,950  3,629 
    Virginia Electric & Power Co. 5.100% 11/30/2012  675  668 
    Virginia Electric & Power Co. 5.400% 1/15/2016  1,100  1,044 
    Virginia Electric & Power Co. 6.000% 1/15/2036  8,200  7,163 
    Virginia Electric & Power Co. 6.000% 5/15/2037  3,125  2,724 
    Virginia Electric & Power Co. 6.350% 11/30/2037  2,275  2,079 
    Wisconsin Electric Power Co. 6.000% 4/1/2014  1,600  1,605 
    Wisconsin Electric Power Co. 5.625% 5/15/2033  1,175  1,005 
    Wisconsin Electric Power Co. 5.700% 12/1/2036  1,025  879 
    Wisconsin Energy Corp. 6.500% 4/1/2011  10,750  11,027 
3 Wisconsin Energy Corp. 6.250% 5/15/2017  16,950  13,905 
    Wisconsin Power & Light Co. 6.375% 8/15/2037  5,050  4,873 
    Xcel Energy, Inc. 5.613% 4/1/2017  736  702 
    Xcel Energy, Inc. 6.500% 7/1/2036  3,600  3,259 
    Natural Gas (0.5%)
    AGL Capital Corp. 7.125% 1/14/2011  2,350  2,414 
    AGL Capital Corp. 6.000% 10/1/2034  150  120 
    Atmos Energy Corp. 4.000% 10/15/2009  5,175  5,119 
    Atmos Energy Corp. 4.950% 10/15/2014  3,630  3,331 
    Boardwalk Pipelines LLC 5.500% 2/1/2017  4,025  3,714 
    British Transco Finance 6.625% 6/1/2018  2,050  2,079 
    Buckeye Partners LP 6.050% 1/15/2018  450  438 
    CenterPoint Energy Resources 7.875% 4/1/2013  4,030  4,097 
    CenterPoint Energy Resources 6.150% 5/1/2016  1,375  1,290 
    Consolidated Natural Gas 6.250% 11/1/2011  8,800  8,877 
    Consolidated Natural Gas 5.000% 12/1/2014  5,625  5,357 
    Duke Capital Corp. 7.500% 10/1/2009  500  512 
    Duke Capital Corp. 6.250% 2/15/2013  1,375  1,378 
    Duke Capital Corp. 5.500% 3/1/2014  3,825  3,622 
    Duke Capital Corp. 5.668% 8/15/2014  250  238 
    Duke Capital Corp. 6.750% 2/15/2032  2,800  2,393 
    Duke Energy Field Services 7.875% 8/16/2010  4,600  4,863 
    Duke Energy Field Services 8.125% 8/16/2030  225  223 
    El Paso Natural Gas Co. 5.950% 4/15/2017  2,625  2,430 
    Enbridge Energy Partners 6.500% 4/15/2018  2,850  2,626 
    Enbridge Energy Partners 7.500% 4/15/2038  6,625  6,079 
    Enbridge Inc. 5.600% 4/1/2017  375  351 
    Energy Transfer Partners LP 5.650% 8/1/2012  5,475  5,249 
    Energy Transfer Partners LP 5.950% 2/1/2015  8,200  7,588 
    Energy Transfer Partners LP 6.125% 2/15/2017  1,425  1,307 
    Energy Transfer Partners LP 6.625% 10/15/2036  1,750  1,491 
    Energy Transfer Partners LP 7.500% 7/1/2038  725  690 
6 Enron Corp. 7.625% 9/10/2004  2,000  40 
6 Enron Corp. 6.625% 11/15/2005  1,375  27 
6 Enron Corp. 7.125% 5/15/2007  8,646  173 
6 Enron Corp. 6.875% 10/15/2007  8,500  170 
6 Enron Corp. 6.750% 8/1/2009  6,445  129 
    Enterprise Products Operating LP 4.625% 10/15/2009  500  499 
    Enterprise Products Operating LP 4.950% 6/1/2010  4,475  4,467 
    Enterprise Products Operating LP 5.650% 4/1/2013  4,425  4,293 
    Enterprise Products Operating LP 5.600% 10/15/2014  4,600  4,271 
    Enterprise Products Operating LP 6.300% 9/15/2017  11,150  10,338 
    Enterprise Products Operating LP 6.500% 1/31/2019  3,525  3,279 
    Enterprise Products Operating LP 6.875% 3/1/2033  1,775  1,580 
    Enterprise Products Operating LP 6.650% 10/15/2034  150  129 
    Equitable Resources Inc. 6.500% 4/1/2018  14,650  13,736 
6 HNG Internorth 9.625% 3/15/2006  4,680  94 
    KeySpan Corp. 7.625% 11/15/2010  1,400  1,473 
    Kinder Morgan Energy Partners LP 6.750% 3/15/2011  975  971 
    Kinder Morgan Energy Partners LP 7.125% 3/15/2012  6,885  6,925 
    Kinder Morgan Energy Partners LP 5.850% 9/15/2012  7,375  7,076 
    Kinder Morgan Energy Partners LP 5.000% 12/15/2013  4,575  4,357 
    Kinder Morgan Energy Partners LP 5.125% 11/15/2014  2,150  1,949 
    Kinder Morgan Energy Partners LP 6.000% 2/1/2017  40  36 
    Kinder Morgan Energy Partners LP 5.950% 2/15/2018  2,325  2,074 
    Kinder Morgan Energy Partners LP 7.300% 8/15/2033  250  226 
    Kinder Morgan Energy Partners LP 6.500% 2/1/2037  650  520 
    Kinder Morgan Energy Partners LP 6.950% 1/15/2038  8,070  6,879 
    Magellan Midstream Partners, LP 5.650% 10/15/2016  1,025  974 
    National Grid PLC 6.300% 8/1/2016  9,800  9,635 
    NuStar Energy LP 7.650% 4/15/2018  5,775  5,521 
    ONEOK Inc. 5.200% 6/15/2015  3,500  3,171 
    ONEOK Inc. 6.000% 6/15/2035  2,800  2,238 
    ONEOK Partners, LP 5.900% 4/1/2012  3,325  3,322 
    ONEOK Partners, LP 6.150% 10/1/2016  5,350  4,944 
    ONEOK Partners, LP 6.650% 10/1/2036  14,700  13,016 
    ONEOK Partners, LP 6.850% 10/15/2037  5,900  5,354 
    Panhandle Eastern Pipeline 6.200% 11/1/2017  9,525  8,417 
    Panhandle Eastern Pipeline 7.000% 6/15/2018  1,375  1,281 
    Plains All American Pipeline LP 6.650% 1/15/2037  1,325  1,122 
    Reliant Energy Resources 7.750% 2/15/2011  1,000  1,055 
    San Diego Gas & Electric 5.300% 11/15/2015  2,525  2,499 
    San Diego Gas & Electric 5.350% 5/15/2035  950  782 
    San Diego Gas & Electric 6.125% 9/15/2037  325  297 
    Sempra Energy 7.950% 3/1/2010  1,075  1,112 
    Sempra Energy 6.000% 2/1/2013  900  930 
    Sempra Energy 6.150% 6/15/2018  100  94 
    Southern California Gas Co. 5.750% 11/15/2035  1,000  911 
5 Southern Natural Gas 5.900% 4/1/2017  16,785  14,805 
    Southern Union Co. 7.600% 2/1/2024  1,000  881 
    Spectra Energy Corp. 6.200% 4/15/2018  1,250  1,134 
    Teppco Partners, LP 5.900% 4/15/2013  2,800  2,763 
    Teppco Partners, LP 6.650% 4/15/2018  2,825  2,752 
    Teppco Partners, LP 7.550% 4/15/2038  1,800  1,590 
    Texas Eastern Transmission 7.000% 7/15/2032  300  288 
    Texas Gas Transmission 4.600% 6/1/2015  3,175  2,848 
    Trans-Canada Pipelines 4.000% 6/15/2013  4,250  4,000 
3 Trans-Canada Pipelines 6.350% 5/15/2017  13,805  11,056 
    Trans-Canada Pipelines 6.500% 8/15/2018  4,850  4,737 
    Trans-Canada Pipelines 5.600% 3/31/2034  3,230  2,646 
    Trans-Canada Pipelines 5.850% 3/15/2036  10,250  8,605 
    Trans-Canada Pipelines 6.200% 10/15/2037  4,225  3,714 
    Transcontinental Gas Pipe Line Corp. 7.000% 8/15/2011  4,375  4,525 
    Williams Cos., Inc. 8.125% 3/15/2012  2,600  2,665 
    Williams Cos., Inc. 7.125% 9/1/2011  7,650  7,593 
    Williams Cos., Inc. 7.625% 7/15/2019  11,650  11,592 
    Williams Cos., Inc. 7.500% 1/15/2031  11,575  10,649 
    Williams Cos., Inc. 7.750% 6/15/2031  2,825  2,655 
    Other (0.0%)
    Veolia Environnement 6.750% 6/1/2038  125  119 
               1,269,938 
    Total Corporate Bonds
    (Cost $27,341,436)          15,648,934 
    Sovereign Bonds (U.S. Dollar-Denominated) (2.9%)
    Asian Development Bank 4.125% 9/15/2010  500  517 
    Asian Development Bank 4.500% 9/4/2012  1,375  1,424 
    Asian Development Bank 3.625% 9/5/2013  29,000  29,081 
    Asian Development Bank 5.250% 6/12/2017  700  747 
    Asian Development Bank 5.593% 7/16/2018  3,528  3,840 
    Canada Mortgage & Housing Corp. 4.800% 10/1/2010  1,375  1,435 
    China Development Bank 4.750% 10/8/2014  4,425  4,303 
    China Development Bank 5.000% 10/15/2015  1,800  1,672 
    Corp. Andina de Fomento 5.200% 5/21/2013  5,500  5,540 
    Corp. Andina de Fomento 5.750% 1/12/2017  14,650  13,663 
    Development Bank of Japan 4.250% 6/9/2015  2,500  2,476 
    Eksportfinans 5.500% 5/25/2016  10,395  10,918 
    Eksportfinans 5.500% 6/26/2017  7,975  8,353 
    European Investment Bank 5.000% 2/8/2010  3,350  3,468 
    European Investment Bank 4.000% 3/3/2010  25,925  26,529 
    European Investment Bank 4.125% 9/15/2010  400  407 
    European Investment Bank 4.625% 9/15/2010  10,975  11,455 
    European Investment Bank 3.250% 2/15/2011  12,375  12,561 
    European Investment Bank 2.625% 5/16/2011  6,000  5,987 
    European Investment Bank 5.250% 6/15/2011  14,425  15,186 
    European Investment Bank 3.125% 7/15/2011  4,225  4,255 
    European Investment Bank 3.250% 10/14/2011  5,225  5,288 
    European Investment Bank 4.625% 3/21/2012  35,000  36,516 
^ European Investment Bank 2.875% 3/15/2013  9,600  9,443 
    European Investment Bank 3.250% 5/15/2013  24,550  24,401 
    European Investment Bank 4.250% 7/15/2013  39,700  40,960 
    European Investment Bank 4.625% 5/15/2014  42,900  44,089 
    European Investment Bank 4.875% 2/16/2016  625  652 
    European Investment Bank 5.125% 9/13/2016  2,550  2,714 
    European Investment Bank 4.875% 1/17/2017  18,625  19,447 
    European Investment Bank 5.125% 5/30/2017  26,350  27,971 
    European Investment Bank 4.875% 2/15/2036  400  406 
    Export Development Canada 3.750% 7/15/2011  750  767 
    Export-Import Bank of Korea 4.625% 3/16/2010  2,450  2,427 
    Export-Import Bank of Korea 5.125% 2/14/2011  11,900  11,642 
    Export-Import Bank of Korea 5.500% 10/17/2012  9,325  9,337 
    Export-Import Bank of Korea 5.125% 3/16/2015  1,075  964 
    Federation of Malaysia 7.500% 7/15/2011  11,100  11,808 
    Federative Republic of Brazil 9.250% 10/22/2010  4,700  5,076 
    Federative Republic of Brazil 11.000% 1/11/2012  4,950  5,940 
    Federative Republic of Brazil 7.875% 3/7/2015  8,100  8,667 
    Federative Republic of Brazil 6.000% 1/17/2017  18,150  17,515 
3 Federative Republic of Brazil 8.000% 1/15/2018  26,650  28,555 
    Federative Republic of Brazil 8.875% 4/15/2024  5,475  6,570 
    Federative Republic of Brazil 8.750% 2/4/2025  14,800  17,464 
    Federative Republic of Brazil 10.125% 5/15/2027  14,700  19,404 
    Federative Republic of Brazil 8.250% 1/20/2034  16,950  18,984 
    Federative Republic of Brazil 7.125% 1/20/2037  9,825  10,120 
    Federative Republic of Brazil 11.000% 8/17/2040  29,200  36,500 
    Financement Quebec 5.000% 10/25/2012  4,450  4,671 
    Inter-American Development Bank 8.500% 3/15/2011  2,240  2,503 
    Inter-American Development Bank 4.750% 10/19/2012  4,900  5,144 
    Inter-American Development Bank 3.500% 3/15/2013  12,000  11,771 
    Inter-American Development Bank 4.250% 9/14/2015  1,900  1,913 
    Inter-American Development Bank 5.125% 9/13/2016  300  320 
    Inter-American Development Bank 4.250% 9/10/2018  27,725  27,399 
    Inter-American Development Bank 7.000% 6/15/2025  3,175  3,993 
    International Bank for Reconstruction & Development 3.125% 11/15/2011  700  699 
    International Bank for Reconstruction & Development 5.000% 4/1/2016  18,625  19,517 
    International Bank for Reconstruction & Development 7.625% 1/19/2023  4,200  5,439 
    International Bank for Reconstruction & Development 8.875% 3/1/2026  1,050  1,540 
    International Bank for Reconstruction & Development 4.750% 2/15/2035  775  777 
    Japan Bank International 4.750% 5/25/2011  2,275  2,366 
    Japan Bank International 4.375% 11/26/2012  6,400  6,507 
    Japan Bank International 4.250% 6/18/2013  28,575  29,331 
    Japan Finance Corp. 5.875% 3/14/2011  425  452 
    Japan Finance Corp. 4.625% 4/21/2015  8,400  8,580 
    Japan Finance Corp. 5.000% 5/16/2017  5,000  5,218 
    KFW International Finance Inc. 4.875% 10/19/2009  11,000  11,046 
    KFW International Finance Inc. 3.250% 10/14/2011  16,700  16,824 
    Korea Development Bank 4.625% 9/16/2010  2,675  2,638 
    Korea Development Bank 5.300% 1/17/2013  2,675  2,527 
    Korea Development Bank 5.750% 9/10/2013  9,015  8,710 
    Korea Electric Power 7.750% 4/1/2013  6,950  7,431 
    Kreditanstalt fur Wiederaufbau 5.000% 6/1/2010  11,750  12,202 
    Kreditanstalt fur Wiederaufbau 4.250% 6/15/2010  13,350  13,500 
    Kreditanstalt fur Wiederaufbau 3.250% 2/15/2011  25,925  26,230 
    Kreditanstalt fur Wiederaufbau 3.750% 6/27/2011  26,450  27,077 
    Kreditanstalt fur Wiederaufbau 4.750% 5/15/2012  16,000  16,761 
^ Kreditanstalt fur Wiederaufbau 3.250% 3/15/2013  70,350  70,055 
    Kreditanstalt fur Wiederaufbau 3.500% 5/16/2013  14,625  14,617 
    Kreditanstalt fur Wiederaufbau 4.000% 10/15/2013  23,825  24,115 
    Kreditanstalt fur Wiederaufbau 4.125% 10/15/2014  1,725  1,717 
    Kreditanstalt fur Wiederaufbau 5.125% 3/14/2016  26,635  27,992 
    Kreditanstalt fur Wiederaufbau 4.375% 3/15/2018  2,400  2,401 
    Kreditanstalt fur Wiederaufbau 4.500% 7/16/2018  17,400  17,580 
    Landeskreditbank Baden-Wuerttemberg - Foerderbank 4.250% 9/15/2010  1,925  1,963 
    Landeskreditbank Baden-Wuerttemberg - Foerderbank 4.875% 1/13/2012  12,000  12,593 
    Landwirtschaftliche Rentenbank 3.625% 10/20/2009  1,475  1,474 
    Landwirtschaftliche Rentenbank 3.875% 3/15/2010  750  766 
    Landwirtschaftliche Rentenbank 5.250% 7/2/2012  5,225  5,520 
    Landwirtschaftliche Rentenbank 3.250% 3/15/2013  25,050  24,619 
    Landwirtschaftliche Rentenbank 4.875% 11/16/2015  3,925  4,055 
    Landwirtschaftliche Rentenbank 5.125% 2/1/2017  4,975  5,250 
    Mass Transit Railway Corp. 7.500% 11/8/2010  425  462 
    Nordic Investment Bank 3.875% 6/15/2010  750  757 
    Nordic Investment Bank 4.500% 9/13/2010  4,000  4,167 
    Nordic Investment Bank 4.875% 3/15/2011  500  525 
    Nordic Investment Bank 5.000% 2/1/2017  5,350  5,584 
    Oesterreichische Kontrollbank 4.250% 10/6/2010  400  413 
^ Oesterreichische Kontrollbank 2.875% 3/15/2011  12,000  12,069 
    Oesterreichische Kontrollbank 4.750% 11/8/2011  3,250  3,356 
    Oesterreichische Kontrollbank 4.750% 10/16/2012  5,275  5,517 
    Oesterreichische Kontrollbank 5.000% 4/25/2017  13,675  14,228 
    Ontario Hydro Electric 7.450% 3/31/2013  4,700  5,424 
    Pemex Project Funding Master Trust 9.125% 10/13/2010  395  420 
5 Pemex Project Funding Master Trust 5.750% 3/1/2018  32,675  31,164 
5 Pemex Project Funding Master Trust 6.625% 6/15/2035  5,475  5,051 
    Pemex Project Funding Master Trust 6.625% 6/15/2035  8,724  8,048 
5 Pemex Project Funding Master Trust 6.625% 6/15/2038  7,200  6,867 
    People's Republic of China 4.750% 10/29/2013  2,125  2,135 
    Petrobras International Finance 6.125% 10/6/2016  16,325  15,180 
    Petrobras International Finance 5.875% 3/1/2018  6,550  5,911 
    Petrobras International Finance 8.375% 12/10/2018  4,000  4,350 
    Province of Manitoba 7.500% 2/22/2010  5,075  5,353 
    Province of Nova Scotia 5.750% 2/27/2012  1,975  2,123 
    Province of Ontario 3.125% 9/8/2010  15,275  15,376 
    Province of Ontario 2.750% 2/22/2011  3,000  2,996 
    Province of Ontario 3.375% 5/20/2011  925  939 
    Province of Ontario 5.000% 10/18/2011  19,825  20,750 
    Province of Ontario 3.500% 7/15/2013  9,800  9,726 
    Province of Ontario 4.750% 1/19/2016  2,200  2,249 
    Province of Ontario 5.450% 4/27/2016  37,500  40,042 
    Province of Quebec 6.125% 1/22/2011  8,135  8,718 
    Province of Quebec 4.875% 5/5/2014  750  785 
    Province of Quebec 4.600% 5/26/2015  3,575  3,581 
    Province of Quebec 5.125% 11/14/2016  26,875  27,881 
    Province of Quebec 4.625% 5/14/2018  7,450  7,397 
    Province of Quebec 7.125% 2/9/2024  1,230  1,478 
    Province of Quebec 7.500% 9/15/2029  7,280  9,403 
    Province of Saskatchewan 7.375% 7/15/2013  1,600  1,876 
    Quebec Hydro Electric 6.300% 5/11/2011  16,350  17,559 
    Quebec Hydro Electric 8.000% 2/1/2013  12,700  14,799 
    Quebec Hydro Electric 7.500% 4/1/2016  1,825  2,147 
    Quebec Hydro Electric 8.400% 1/15/2022  950  1,241 
    Quebec Hydro Electric 8.050% 7/7/2024  3,000  3,912 
    Quebec Hydro Electric 8.500% 12/1/2029  500  706 
    Region of Lombardy, Italy 5.804% 10/25/2032  2,750  3,079 
    Republic of Chile 7.125% 1/11/2012  4,075  4,467 
    Republic of Chile 5.500% 1/15/2013  2,990  3,147 
    Republic of Hungary 4.750% 2/3/2015  10,525  10,345 
    Republic of Italy 6.000% 2/22/2011  12,325  13,050 
    Republic of Italy 3.500% 7/15/2011  8,850  8,988 
    Republic of Italy 5.625% 6/15/2012  19,450  20,912 
    Republic of Italy 4.500% 1/21/2015  18,350  19,015 
    Republic of Italy 4.750% 1/25/2016  26,075  26,531 
    Republic of Italy 5.250% 9/20/2016  14,025  14,754 
    Republic of Italy 6.875% 9/27/2023  12,950  15,491 
    Republic of Italy 5.375% 6/15/2033  19,525  20,560 
^ Republic of Korea 4.250% 6/1/2013  21,775  20,867 
    Republic of Korea 5.625% 11/3/2025  1,750  1,558 
    Republic of Peru 9.125% 2/21/2012  1,000  1,092 
    Republic of Peru 9.875% 2/6/2015  7,150  8,151 
    Republic of Peru 7.350% 7/21/2025  5,950  6,604 
3 Republic of Peru 6.550% 3/14/2037  13,000  13,000 
    Republic of Poland 6.250% 7/3/2012  7,725  8,208 
    Republic of Poland 5.250% 1/15/2014  770  792 
    Republic of Poland 5.000% 10/19/2015  3,625  3,634 
    Republic of South Africa 7.375% 4/25/2012  17,350  17,610 
    Republic of South Africa 6.500% 6/2/2014  1,025  1,004 
    Republic of South Africa 5.875% 5/30/2022  4,100  3,546 
    State of Israel 4.625% 6/15/2013  2,900  2,936 
    State of Israel (U.S. Government Guaranteed) 5.500% 11/9/2016  8,875  9,139 
    Swedish Export Credit Corp. 4.875% 1/19/2010  2,500  2,565 
    Swedish Export Credit Corp. 4.000% 6/15/2010  2,775  2,799 
    Swedish Export Credit Corp. 4.500% 9/27/2010  18,725  19,350 
    Swedish Export Credit Corp. 5.125% 3/1/2017  1,500  1,549 
    United Mexican States 9.875% 2/1/2010  3,055  3,284 
    United Mexican States 8.375% 1/14/2011  12,267  13,187 
    United Mexican States 7.500% 1/14/2012  5,597  5,989 
    United Mexican States 6.375% 1/16/2013  5,605  5,762 
    United Mexican States 5.875% 1/15/2014  8,075  8,055 
    United Mexican States 6.625% 3/3/2015  2,711  2,819 
    United Mexican States 11.375% 9/15/2016  6,000  8,010 
    United Mexican States 5.625% 1/15/2017  52,525  51,291 
    United Mexican States 8.300% 8/15/2031  11,375  13,451 
    United Mexican States 6.750% 9/27/2034  50,813  50,965 
    United Mexican States 6.050% 1/11/2040  6,200  5,564 
    Total Sovereign Bonds
    (Cost $1,875,822)          1,871,032 
    Taxable Municipal Bonds (0.2%)
    Chicago IL Transit Auth. Rev. 6.899% 12/1/2040  10,000  10,541 
    Connecticut GO 5.850% 3/15/2032  9,900  10,189 
    Illinois (Taxable Pension) GO 4.950% 6/1/2023  15,300  14,593 
    Illinois (Taxable Pension) GO 5.100% 6/1/2033  47,850  44,946 
    Kansas Dev. Finance Auth. Rev. (Public Employee Retirement System) 5.501% 5/1/2034  5,500  5,431 
    New Jersey Econ. Dev. Auth. State Pension Rev. 7.425% 2/15/2029  11,775  13,382 
    New Jersey Turnpike Auth. Rev. 4.252% 1/1/2016  190  187 
    New Jersey Turnpike Auth. Rev. 4.252% 1/1/2016  3,485  3,336 
    Oregon (Taxable Pension) GO 5.762% 6/1/2023  2,375  2,377 
    Oregon (Taxable Pension) GO 5.892% 6/1/2027  3,250  3,329 
    Oregon School Board Assn. 4.759% 6/30/2028  2,475  2,197 
    Oregon School Board Assn. 5.528% 6/30/2028  1,475  1,453 
    Tobacco Settlement Finance Auth. Rev. 7.467% 6/1/2047  5,050  4,450 
    Wisconsin Public Service Rev. 4.800% 5/1/2013  3,025  3,026 
    Wisconsin Public Service Rev. 5.700% 5/1/2026  3,425  3,303 
    Total Taxable Municipal Bonds
    (Cost $123,772)          122,740 
          Shares
    Temporary Cash Investment (0.9%)
7,8 Vanguard Market Liquidity Fund 2.296% 608,632,924 608,633
    (Cost $608,633)
    Total Investments (100.1%)
    (Cost $66,085,692)          64,979,730 
8 Other Assets and Liabilities - Net (-0.1%)
               (94,701)
    Net Assets (100%)          64,885,029 

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 September 30, 2008, the cost of investment securities for tax purposes was $66,085,692,000. Net unrealized depreciation of investment securities for tax purposes was $1,105,962,000, consisting of unrealized gains of $787,242,000 on securities that had risen in value since their purchase and $1,893,204,000 in unrealized losses on securities that had fallen in value since their purchase.

Swap Contracts: The fund has entered into interest rate swap transactions. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional principal amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The fund has also entered into swap transactions to earn the total return on a specified 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 September 30, 2008, the fund had the following open swap contracts:

Interest Rate Swaps
Termination Date Dealer (1) Notional
Amount
($000)		 Fixed
Interest Rate
Received
(Paid)		 Floating
Interest Rate
Received
(Paid)		 Unrealized
Appreciation
(Depreciation)
($000)
8/4/2013 RBS  70,700  4.185% (2.791%)(2) 378 
9/17/2013 BZW  218,635  3.528% (2.816%)(2) (5,071)
              (4,693)

Total Return Swaps
Reference Entity/Termination Date Dealer (1) Notional
Amount
($000)		 Floating
Interest Rate
(Paid)		 Unrealized
Appreciation
(Depreciation)
($000)
Commercial Mortgage-Backed Securities Index        
9/30/2008 BOA  70,000  2.486% - 
9/30/2008 BOA  100,000  2.486% - 
9/30/2008 BOA  100,000  2.486% - 
10/31/2008 BOA  100,000  2.486% (8,808)
10/31/2008 BOA  50,000  2.486% (4,455)
4/30/2009 BOA  65,000  2.486% (5,859)
           (19,122)

(1) RBS-Royal Bank of Scotland BOA-Bank of America. BAW-Barclays Capital Inc.
(2) Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
(3) Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.

The various inputs that may be used to determine the value of the fund's investments are summarized in three broad levels. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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

The following table sumamrizes the fund's investments as of September 30, 2008, based on the inputs used to value them:

Valuation Inputs Investments in Securities ($000)
Level 1- Quoted prices 608,633 
Level 2- Other significant observable inputs 64,371,097 
Level 3- Significant unobservable inputs
  Total 64,979,730 


Amount valued based on Level 3 Inputs Investments in Securities ($000)
Balance as of December 31, 2007 - 
  Transfers in and/or out of Level 3 316 
  Change in Unrealized Appreciation (Depreciation) (316)
Balance as of September 30, 2008 - 

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:

/s/ F. WILLIAM MCNABB III*

 

F. WILLIAM MCNABB III

 

CHIEF EXECUTIVE OFFICER

 

 

Date: November 18, 2008

 

 

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

 

 

 

VANGUARD BOND INDEX FUNDS

 

 

By:

/s/ F. WILLIAM MCNABB III*

 

F. WILLIAM MCNABB III

 

CHIEF EXECUTIVE OFFICER

 

 

Date: November 18, 2008

 

 

 

VANGUARD BOND INDEX FUNDS

 

 

By:

/s/ THOMAS J. HIGGINS*

 

THOMAS J. HIGGINS

 

CHIEF FINANCIAL OFFICER

 

 

Date: November 18, 2008

 

 

* By: /s/ Heidi Stam

 

Heidi Stam, pursuant to a Power of Attorney filed on January 18, 2008, see file Number 2-29601, Incorporated by Reference; and pursuant to a Power of Attorney filed on September 26, 2008, see File Number 2-47371, Incorporated by Reference.