N-Q 1 bondindex_final.htm bondindex_final.htm - Generated by SEC Publisher for SEC Filing

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

Date of fiscal year end:    December 31

Date of reporting period: March 31, 2010

Item 1: Schedule of Investments


Vanguard Short-Term Bond Index Fund

Schedule of Investments
As of March 31, 2010

 
        Face Market
      Maturity Amount Value
  Coupon   Date ($000) ($000)
U.S. Government and Agency Obligations (71.7%)        
U.S. Government Securities (55.2%)          
United States Treasury Note/Bond 5.750 % 8/15/10 5,920 6,042
United States Treasury Note/Bond 1.250 % 11/30/10 13,298 13,379
United States Treasury Note/Bond 4.375 % 12/15/10 191,530 196,977
United States Treasury Note/Bond 0.875 % 12/31/10 237,160 238,049
United States Treasury Note/Bond 4.250 % 1/15/11 29,780 30,687
United States Treasury Note/Bond 5.000 % 2/15/11 146,375 152,253
United States Treasury Note/Bond 0.875 % 2/28/11 313,775 315,049
United States Treasury Note/Bond 4.500 % 2/28/11 112,620 116,790
United States Treasury Note/Bond 0.875 % 3/31/11 103,445 103,865
United States Treasury Note/Bond 0.875 % 4/30/11 124,205 124,709
United States Treasury Note/Bond 0.875 % 5/31/11 595 598
United States Treasury Note/Bond 4.875 % 5/31/11 25,470 26,763
United States Treasury Note/Bond 1.125 % 6/30/11 138,750 139,748
United States Treasury Note/Bond 5.125 % 6/30/11 111,480 117,821
United States Treasury Note/Bond 1.000 % 7/31/11 49,390 49,645
United States Treasury Note/Bond 4.875 % 7/31/11 39,025 41,232
United States Treasury Note/Bond 1.000 % 8/31/11 51,169 51,401
United States Treasury Note/Bond 4.625 % 8/31/11 45,700 48,242
United States Treasury Note/Bond 1.000 % 9/30/11 74,050 74,351
United States Treasury Note/Bond 4.500 % 9/30/11 148,990 157,347
United States Treasury Note/Bond 1.000 % 10/31/11 85,180 85,473
United States Treasury Note/Bond 4.625 % 10/31/11 42,595 45,184
United States Treasury Note/Bond 1.750 % 11/15/11 64,900 65,874
United States Treasury Note/Bond 0.750 % 11/30/11 72,200 72,098
United States Treasury Note/Bond 4.500 % 11/30/11 29,275 31,063
United States Treasury Note/Bond 1.125 % 12/15/11 62,355 62,628
United States Treasury Note/Bond 1.000 % 12/31/11 156,280 156,597
United States Treasury Note/Bond 4.625 % 12/31/11 25,610 27,279
United States Treasury Note/Bond 1.125 % 1/15/12 236,005 236,890
United States Treasury Note/Bond 0.875 % 1/31/12 41,475 41,430
United States Treasury Note/Bond 4.750 % 1/31/12 54,915 58,759
United States Treasury Note/Bond 1.375 % 2/15/12 64,335 64,837
United States Treasury Note/Bond 0.875 % 2/29/12 15,500 15,469
United States Treasury Note/Bond 4.625 % 2/29/12 68,505 73,289
United States Treasury Note/Bond 1.375 % 3/15/12 9,600 9,674
United States Treasury Note/Bond 1.000 % 3/31/12 30,750 30,736
United States Treasury Note/Bond 4.500 % 3/31/12 143,375 153,299
United States Treasury Note/Bond 1.375 % 4/15/12 20,525 20,669
United States Treasury Note/Bond 4.500 % 4/30/12 82,335 88,201
United States Treasury Note/Bond 1.375 % 5/15/12 209,750 211,061
United States Treasury Note/Bond 4.750 % 5/31/12 102,840 110,842
United States Treasury Note/Bond 1.875 % 6/15/12 149,925 152,361
United States Treasury Note/Bond 4.875 % 6/30/12 226,385 245,098
United States Treasury Note/Bond 1.500 % 7/15/12 8,300 8,365
United States Treasury Note/Bond 4.625 % 7/31/12 163,615 176,577
United States Treasury Note/Bond 1.750 % 8/15/12 315,645 319,493
United States Treasury Note/Bond 4.375 % 8/15/12 14,675 15,769
United States Treasury Note/Bond 4.125 % 8/31/12 31,625 33,799
United States Treasury Note/Bond 1.375 % 9/15/12 122,225 122,493


 
United States Treasury Note/Bond 1.375 % 10/15/12 49,800 49,862
United States Treasury Note/Bond 3.875 % 10/31/12 82,080 87,351
United States Treasury Note/Bond 1.375 % 11/15/12 305,967 305,823
United States Treasury Note/Bond 4.000 % 11/15/12 15,180 16,219
United States Treasury Note/Bond 3.375 % 11/30/12 26,490 27,876
United States Treasury Note/Bond 1.125 % 12/15/12 228,185 226,152
United States Treasury Note/Bond 1.375 % 1/15/13 279,700 278,738
United States Treasury Note/Bond 1.375 % 2/15/13 87,678 87,254
United States Treasury Note/Bond 3.875 % 2/15/13 101,215 107,984
United States Treasury Note/Bond 2.750 % 2/28/13 61,849 64,004
United States Treasury Note/Bond 1.375 % 3/15/13 200 199
United States Treasury Note/Bond 3.500 % 5/31/13 153,210 161,876
United States Treasury Note/Bond 3.375 % 6/30/13 26,575 27,962
United States Treasury Note/Bond 3.375 % 7/31/13 600 631
United States Treasury Note/Bond 4.250 % 8/15/13 51,525 55,752
United States Treasury Note/Bond 3.125 % 8/31/13 105,330 109,889
United States Treasury Note/Bond 3.125 % 9/30/13 216,375 225,606
United States Treasury Note/Bond 2.750 % 10/31/13 221,900 228,315
United States Treasury Note/Bond 2.000 % 11/30/13 89,165 89,318
United States Treasury Note/Bond 1.500 % 12/31/13 70,950 69,631
United States Treasury Note/Bond 1.750 % 1/31/14 128,645 127,177
United States Treasury Note/Bond 4.000 % 2/15/14 1,700 1,827
United States Treasury Note/Bond 1.875 % 2/28/14 278,485 276,093
United States Treasury Note/Bond 1.750 % 3/31/14 303,515 298,914
United States Treasury Note/Bond 1.875 % 4/30/14 243,800 240,828
United States Treasury Note/Bond 2.250 % 5/31/14 188,835 189,041
United States Treasury Note/Bond 2.625 % 6/30/14 239,880 243,365
United States Treasury Note/Bond 2.625 % 7/31/14 314,210 318,480
United States Treasury Note/Bond 2.375 % 8/31/14 45,025 45,116
United States Treasury Note/Bond 2.375 % 9/30/14 6,100 6,101
United States Treasury Note/Bond 2.375 % 10/31/14 145,485 145,280
United States Treasury Note/Bond 2.125 % 11/30/14 215,050 212,194
United States Treasury Note/Bond 2.625 % 12/31/14 47,465 47,806
United States Treasury Note/Bond 2.250 % 1/31/15 125,810 124,434
United States Treasury Note/Bond 2.375 % 2/28/15 234,552 232,903
United States Treasury Note/Bond 2.500 % 3/31/15 405,218 404,015
          9,874,271
Agency Bonds and Notes (16.5%)          
1 American Express Bank FSB 3.150 % 12/9/11 15,675 16,259
1 Bank of America Corp. 2.100 % 4/30/12 27,175 27,661
1 Bank of America Corp. 3.125 % 6/15/12 37,125 38,591
1 Bank of America Corp. 2.375 % 6/22/12 7,675 7,864
1 Bank of America NA 1.700 % 12/23/10 7,500 7,568
1 Bank of the West 2.150 % 3/27/12 4,050 4,130
1 Citibank NA 1.625 % 3/30/11 3,550 3,588
1 Citibank NA 1.500 % 7/12/11 4,400 4,444
1 Citibank NA 1.375 % 8/10/11 6,000 6,051
1 Citibank NA 1.250 % 9/22/11 1,875 1,887
1 Citibank NA 1.875 % 5/7/12 7,050 7,153
1 Citibank NA 1.750 % 12/28/12 13,700 13,743
1 Citigroup Funding Inc. 1.375 % 5/5/11 10,500 10,587
1 Citigroup Funding Inc. 2.000 % 3/30/12 3,550 3,597
1 Citigroup Funding Inc. 2.125 % 7/12/12 21,425 21,803
1 Citigroup Funding Inc. 1.875 % 10/22/12 8,912 8,981
1 Citigroup Funding Inc. 2.250 % 12/10/12 3,000 3,050
1 Citigroup Inc. 2.875 % 12/9/11 22,820 23,536
1 Citigroup Inc. 2.125 % 4/30/12 58,275 59,382


 
2 Federal Farm Credit Bank 2.625 % 4/21/11 6,750 6,899
2 Federal Farm Credit Bank 5.375 % 7/18/11 2,100 2,223
2 Federal Farm Credit Bank 3.875 % 8/25/11 6,300 6,565
2 Federal Farm Credit Bank 2.000 % 1/17/12 5,000 5,079
2 Federal Farm Credit Bank 2.250 % 4/24/12 3,800 3,876
2 Federal Farm Credit Bank 2.125 % 6/18/12 8,700 8,842
2 Federal Farm Credit Bank 4.500 % 10/17/12 24,200 25,955
2 Federal Farm Credit Bank 1.875 % 12/7/12 6,200 6,226
2 Federal Farm Credit Bank 1.750 % 2/21/13 5,700 5,693
2 Federal Farm Credit Bank 3.875 % 10/7/13 17,500 18,522
2 Federal Farm Credit Bank 2.625 % 4/17/14 5,500 5,562
2 Federal Farm Credit Bank 3.000 % 9/22/14 3,500 3,558
2 Federal Home Loan Banks 1.375 % 5/16/11 24,025 24,219
2 Federal Home Loan Banks 3.125 % 6/10/11 900 927
2 Federal Home Loan Banks 3.375 % 6/24/11 25,000 25,826
2 Federal Home Loan Banks 3.625 % 7/1/11 10,300 10,659
2 Federal Home Loan Banks 1.625 % 7/27/11 80,675 81,641
2 Federal Home Loan Banks 5.375 % 8/19/11 37,350 39,726
2 Federal Home Loan Banks 3.750 % 9/9/11 52,800 54,959
2 Federal Home Loan Banks 3.625 % 9/16/11 20,575 21,421
2 Federal Home Loan Banks 4.875 % 11/18/11 46,750 49,748
2 Federal Home Loan Banks 1.000 % 12/28/11 48,475 48,480
2 Federal Home Loan Banks 1.125 % 5/18/12 12,000 11,975
2 Federal Home Loan Banks 1.875 % 6/20/12 17,500 17,729
2 Federal Home Loan Banks 1.750 % 8/22/12 14,425 14,549
2 Federal Home Loan Banks 1.625 % 9/26/12 21,000 21,098
2,3 Federal Home Loan Banks 2.000 % 10/5/12 42,720 42,999
2 Federal Home Loan Banks 4.500 % 11/15/12 30,000 32,256
2 Federal Home Loan Banks 1.750 % 12/14/12 10,600 10,611
2 Federal Home Loan Banks 1.500 % 1/16/13 8,825 8,793
2 Federal Home Loan Banks 1.625 % 3/20/13 40,900 40,774
2 Federal Home Loan Banks 5.125 % 8/14/13 24,575 27,106
2 Federal Home Loan Banks 4.000 % 9/6/13 20,000 21,325
2 Federal Home Loan Banks 5.250 % 9/13/13 5,425 5,992
2 Federal Home Loan Banks 4.500 % 9/16/13 4,850 5,253
2 Federal Home Loan Banks 3.625 % 10/18/13 30,600 32,250
2 Federal Home Loan Banks 4.875 % 11/27/13 2,950 3,227
2 Federal Home Loan Banks 3.125 % 12/13/13 16,425 16,949
2 Federal Home Loan Banks 5.500 % 8/13/14 17,350 19,503
2 Federal Home Loan Banks 2.750 % 12/12/14 2,650 2,645
2 Federal Home Loan Mortgage Corp. 5.125 % 4/18/11 26,000 27,248
2 Federal Home Loan Mortgage Corp. 1.625 % 4/26/11 9,700 9,814
2 Federal Home Loan Mortgage Corp. 6.000 % 6/15/11 12,500 13,298
2 Federal Home Loan Mortgage Corp. 3.875 % 6/29/11 4,475 4,652
2 Federal Home Loan Mortgage Corp. 5.250 % 7/18/11 22,500 23,821
2,3 Federal Home Loan Mortgage Corp. 4.500 % 11/15/11 9,000 9,506
2 Federal Home Loan Mortgage Corp. 1.125 % 12/15/11 45,000 45,092
2 Federal Home Loan Mortgage Corp. 4.750 % 3/5/12 13,000 13,907
2 Federal Home Loan Mortgage Corp. 2.125 % 3/23/12 36,375 37,071
2 Federal Home Loan Mortgage Corp. 1.750 % 6/15/12 42,000 42,424
2 Federal Home Loan Mortgage Corp. 5.500 % 8/20/12 30,000 32,910
2 Federal Home Loan Mortgage Corp. 2.125 % 9/21/12 87,160 88,639
2 Federal Home Loan Mortgage Corp. 4.625 % 10/25/12 36,300 39,154
2 Federal Home Loan Mortgage Corp. 4.125 % 12/21/12 22,850 24,386
2 Federal Home Loan Mortgage Corp. 1.625 % 4/15/13 16,000 15,917
2 Federal Home Loan Mortgage Corp. 4.500 % 7/15/13 77,700 84,158
2 Federal Home Loan Mortgage Corp. 4.125 % 9/27/13 14,075 15,073
2 Federal Home Loan Mortgage Corp. 2.500 % 1/7/14 30,000 30,343


2 Federal Home Loan Mortgage Corp. 4.500 % 1/15/14 15,000 16,246
2 Federal Home Loan Mortgage Corp. 5.000 % 1/30/14 9,000 9,885
2 Federal Home Loan Mortgage Corp. 2.500 % 4/23/14 19,000 19,114
2 Federal Home Loan Mortgage Corp. 5.000 % 7/15/14 9,500 10,475
2 Federal Home Loan Mortgage Corp. 3.000 % 7/28/14 41,950 42,849
2 Federal Home Loan Mortgage Corp. 2.875 % 2/9/15 49,950 50,222
2 Federal National Mortgage Assn. 2.750 % 4/11/11 8,950 9,154
2 Federal National Mortgage Assn. 5.125 % 4/15/11 25,250 26,452
2 Federal National Mortgage Assn. 1.375 % 4/28/11 55,800 56,308
2 Federal National Mortgage Assn. 6.000 % 5/15/11 94,275 99,900
2 Federal National Mortgage Assn. 3.375 % 5/19/11 31,250 32,208
2 Federal National Mortgage Assn. 3.625 % 8/15/11 40,000 41,570
2 Federal National Mortgage Assn. 5.000 % 10/15/11 25,000 26,573
2 Federal National Mortgage Assn. 1.000 % 11/23/11 42,875 42,921
2 Federal National Mortgage Assn. 1.000 % 4/4/12 29,800 29,715
2 Federal National Mortgage Assn. 1.875 % 4/20/12 19,975 20,258
2 Federal National Mortgage Assn. 4.875 % 5/18/12 42,200 45,449
2 Federal National Mortgage Assn. 5.250 % 8/1/12 4,300 4,627
2 Federal National Mortgage Assn. 1.750 % 8/10/12 36,000 36,322
2,3 Federal National Mortgage Assn. 1.600 % 10/1/12 8,950 8,941
2 Federal National Mortgage Assn. 4.750 % 11/19/12 15,000 16,237
2 Federal National Mortgage Assn. 3.625 % 2/12/13 39,825 41,980
2 Federal National Mortgage Assn. 4.750 % 2/21/13 14,925 16,167
2 Federal National Mortgage Assn. 4.625 % 5/1/13 10,550 11,243
2 Federal National Mortgage Assn. 1.750 % 5/7/13 45,600 45,489
2 Federal National Mortgage Assn. 4.625 % 10/15/13 15,000 16,316
2 Federal National Mortgage Assn. 5.125 % 1/2/14 9,550 10,363
2 Federal National Mortgage Assn. 2.750 % 3/13/14 48,375 49,245
2 Federal National Mortgage Assn. 4.125 % 4/15/14 22,000 23,511
2 Federal National Mortgage Assn. 2.500 % 5/15/14 32,550 32,710
2 Federal National Mortgage Assn. 3.000 % 9/16/14 37,375 38,074
2 Federal National Mortgage Assn. 4.625 % 10/15/14 25,000 27,161
2 Federal National Mortgage Assn. 2.625 % 11/20/14 5,125 5,119
1 General Electric Capital Corp. 1.800 % 3/11/11 14,700 14,874
1 General Electric Capital Corp. 3.000 % 12/9/11 10,850 11,218
1 General Electric Capital Corp. 2.250 % 3/12/12 8,450 8,629
1 General Electric Capital Corp. 2.200 % 6/8/12 21,925 22,355
1 General Electric Capital Corp. 2.000 % 9/28/12 28,000 28,352
1 General Electric Capital Corp. 2.125 % 12/21/12 3,200 3,242
1 General Electric Capital Corp. 2.625 % 12/28/12 28,500 29,260
1 GMAC Inc. 1.750 % 10/30/12 7,300 7,336
1 GMAC Inc. 2.200 % 12/19/12 10,150 10,310
1 Goldman Sachs Group Inc. 1.700 % 3/15/11 6,950 7,029
1 Goldman Sachs Group Inc. 1.625 % 7/15/11 9,125 9,231
1 Goldman Sachs Group Inc. 2.150 % 3/15/12 10,000 10,189
1 Goldman Sachs Group Inc. 3.250 % 6/15/12 11,750 12,259
1 HSBC USA Inc. 3.125 % 12/16/11 8,225 8,530
1 John Deere Capital Corp. 2.875 % 6/19/12 4,000 4,135
1 JPMorgan Chase & Co. 1.650 % 2/23/11 14,000 14,152
1 JPMorgan Chase & Co. 3.125 % 12/1/11 27,175 28,154
1 JPMorgan Chase & Co. 2.200 % 6/15/12 22,900 23,378
1 JPMorgan Chase & Co. 2.125 % 12/26/12 6,250 6,335
1 Morgan Stanley 2.900 % 12/1/10 11,500 11,685
1 Morgan Stanley 3.250 % 12/1/11 11,850 12,305
1 Morgan Stanley 2.250 % 3/13/12 7,400 7,562
1 Morgan Stanley 1.950 % 6/20/12 12,475 12,658
1 PNC Funding Corp. 2.300 % 6/22/12 8,025 8,204
  Private Export Funding Corp. 3.050 % 10/15/14 900 902


 
1 Regions Bank 2.750 % 12/10/10 8,900 9,041
1 Regions Bank 3.250 % 12/9/11 10,000 10,383
1 Sovereign Bank 2.750 % 1/17/12 2,950 3,040
1 State Street Corp. 2.150 % 4/30/12 5,150 5,248
1 US Bancorp 2.250 % 3/13/12 4,500 4,587
1 US Central Federal Credit Union 1.900 % 10/19/12 6,375 6,425
1 Wells Fargo & Co. 3.000 % 12/9/11 15,975 16,523
1 Wells Fargo & Co. 2.125 % 6/15/12 9,475 9,643
1 Western Corporate Federal Credit Union 1.750 % 11/2/12 3,100 3,106
          2,962,012
Total U.S. Government and Agency Obligations (Cost $12,719,201)   12,836,283
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)      
4 BA Covered Bond Issuer 5.500 % 6/14/12 6,800 7,235
3 Countrywide Home Loan Mortgage Pass          
Through Trust 4.051 % 5/25/33 262 226
4 Nationwide Building Society 5.500 % 7/18/12 2,700 2,884
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $9,778)   10,345
Corporate Bonds (21.0%)          
Finance (9.2%)          
Banking (6.4%)          
American Express Bank FSB 5.550 % 10/17/12 13,150 14,117
American Express Bank FSB 5.500 % 4/16/13 2,000 2,142
American Express Centurion Bank 5.550 % 10/17/12 550 590
American Express Credit Corp. 5.875 % 5/2/13 7,750 8,399
American Express Credit Corp. 7.300 % 8/20/13 5,475 6,168
American Express Credit Corp. 5.125 % 8/25/14 14,500 15,364
4 American Express Travel Related Services          
Co. Inc. 5.250 % 11/21/11 2,325 2,429
Amsouth Bank/Birmingham AL 4.850 % 4/1/13 1,500 1,465
Banco Bradesco SA/Cayman Islands 8.750 % 10/24/13 1,500 1,766
Banco Santander Chile 2.875 % 11/13/12 850 846
Bank of America Corp. 4.250 % 10/1/10 10,500 10,692
Bank of America Corp. 5.375 % 8/15/11 3,875 4,073
Bank of America Corp. 5.375 % 9/11/12 6,175 6,564
Bank of America Corp. 4.875 % 9/15/12 6,550 6,876
Bank of America Corp. 4.875 % 1/15/13 1,500 1,569
Bank of America Corp. 4.900 % 5/1/13 5,300 5,547
Bank of America Corp. 7.375 % 5/15/14 11,300 12,705
Bank of America Corp. 5.375 % 6/15/14 3,425 3,594
Bank of America Corp. 5.125 % 11/15/14 5,900 6,117
Bank of America Corp. 4.500 % 4/1/15 3,500 3,527
Bank of New York Mellon Corp. 4.950 % 1/14/11 2,825 2,921
Bank of New York Mellon Corp. 6.375 % 4/1/12 1,000 1,093
Bank of New York Mellon Corp. 4.950 % 11/1/12 12,400 13,451
Bank of New York Mellon Corp. 4.500 % 4/1/13 2,200 2,353
Bank of New York Mellon Corp. 5.125 % 8/27/13 2,830 3,091
Bank of New York Mellon Corp. 4.300 % 5/15/14 4,625 4,874
Bank of New York Mellon Corp. 4.950 % 3/15/15 1,700 1,815
Bank of Nova Scotia 2.250 % 1/22/13 7,475 7,529
Bank of Nova Scotia 3.400 % 1/22/15 5,000 5,025
Bank of Tokyo-Mitsubishi UFJ Ltd. 7.400 % 6/15/11 3,825 4,079
Bank One Corp. 5.900 % 11/15/11 1,500 1,595
Banque Paribas 6.950 % 7/22/13 775 872
Barclays Bank PLC 5.450 % 9/12/12 5,375 5,800
Barclays Bank PLC 2.500 % 1/23/13 7,550 7,560
Barclays Bank PLC 5.200 % 7/10/14 8,825 9,412


BB&T Corp. 6.500 % 8/1/11 4,050 4,285
BB&T Corp. 3.850 % 7/27/12 2,825 2,945
BB&T Corp. 4.750 % 10/1/12 1,500 1,580
BB&T Corp. 3.375 % 9/25/13 3,275 3,345
BB&T Corp. 5.700 % 4/30/14 1,700 1,852
Bear Stearns Cos. LLC 4.500 % 10/28/10 4,500 4,594
Bear Stearns Cos. LLC 5.350 % 2/1/12 5,375 5,742
Bear Stearns Cos. LLC 6.950 % 8/10/12 1,500 1,672
Bear Stearns Cos. LLC 5.700 % 11/15/14 2,825 3,078
BNP Paribas 3.250 % 3/11/15 2,600 2,588
BNP Paribas US Medium-Term Note Program          
LLC 2.125 % 12/21/12 6,175 6,261
BNY Mellon NA 4.750 % 12/15/14 1,300 1,382
4 Canadian Imperial Bank of Commerce 2.000 % 2/4/13 3,900 3,883
Capital One Financial Corp. 5.700 % 9/15/11 5,750 6,044
Capital One Financial Corp. 4.800 % 2/21/12 50 52
Capital One Financial Corp. 7.375 % 5/23/14 13,325 15,240
Charter One Bank NA 5.500 % 4/26/11 3,550 3,673
Citigroup Inc. 5.100 % 9/29/11 10,925 11,379
Citigroup Inc. 6.000 % 2/21/12 2,225 2,361
Citigroup Inc. 5.250 % 2/27/12 8,800 9,230
Citigroup Inc. 5.625 % 8/27/12 8,500 8,914
Citigroup Inc. 5.300 % 10/17/12 8,725 9,160
Citigroup Inc. 5.500 % 4/11/13 28,000 29,399
Citigroup Inc. 6.500 % 8/19/13 7,700 8,305
Citigroup Inc. 5.125 % 5/5/14 2,525 2,595
Citigroup Inc. 6.375 % 8/12/14 10,550 11,268
Citigroup Inc. 5.000 % 9/15/14 14,275 14,231
Citigroup Inc. 5.500 % 10/15/14 8,375 8,680
Citigroup Inc. 6.010 % 1/15/15 6,700 7,031
Citigroup Inc. 4.700 % 5/29/15 2,600 2,586
Countrywide Financial Corp. 5.800 % 6/7/12 3,850 4,094
Credit Suisse 3.450 % 7/2/12 13,900 14,394
Credit Suisse 5.000 % 5/15/13 10,300 11,055
Credit Suisse 5.500 % 5/1/14 16,450 17,904
Credit Suisse 3.500 % 3/23/15 2,100 2,095
Credit Suisse USA Inc. 6.125 % 11/15/11 8,400 9,017
Credit Suisse USA Inc. 6.500 % 1/15/12 14,575 15,830
Credit Suisse USA Inc. 5.500 % 8/15/13 975 1,069
Credit Suisse USA Inc. 4.875 % 1/15/15 5,755 6,106
Deutsche Bank AG 5.375 % 10/12/12 19,650 21,380
Deutsche Bank AG 2.375 % 1/11/13 6,600 6,619
Deutsche Bank AG 4.875 % 5/20/13 5,175 5,542
Deutsche Bank AG 3.450 % 3/30/15 6,350 6,299
Deutsche Bank AG/London 3.875 % 8/18/14 800 819
FIA Card Services NA 6.625 % 6/15/12 1,000 1,076
Fifth Third Bancorp 6.250 % 5/1/13 4,375 4,725
Fifth Third Bank 4.750 % 2/1/15 2,800 2,835
First Tennessee Bank NA 5.050 % 1/15/15 1,850 1,736
Golden West Financial Corp. 4.750 % 10/1/12 4,425 4,652
3 Goldman Sachs Capital II 5.793 % 12/29/49 6,250 5,269
Goldman Sachs Group Inc. 6.600 % 1/15/12 24,000 26,099
Goldman Sachs Group Inc. 5.300 % 2/14/12 3,725 3,970
Goldman Sachs Group Inc. 3.625 % 8/1/12 1,700 1,765
Goldman Sachs Group Inc. 5.700 % 9/1/12 3,250 3,524
Goldman Sachs Group Inc. 5.450 % 11/1/12 3,050 3,298
Goldman Sachs Group Inc. 5.250 % 4/1/13 1,850 1,978
Goldman Sachs Group Inc. 4.750 % 7/15/13 10,750 11,373


Goldman Sachs Group Inc. 5.250 % 10/15/13 5,125 5,511
Goldman Sachs Group Inc. 6.000 % 5/1/14 40,000 43,828
Goldman Sachs Group Inc. 5.125 % 1/15/15 4,400 4,647
HSBC Bank USA NA 4.625 % 4/1/14 1,125 1,173
HSBC Holdings PLC 5.250 % 12/12/12 6,500 6,953
4 ICICI Bank Ltd. 6.625 % 10/3/12 6,275 6,683
JPMorgan Chase & Co. 5.600 % 6/1/11 9,300 9,786
JPMorgan Chase & Co. 4.850 % 6/16/11 2,925 3,054
JPMorgan Chase & Co. 6.625 % 3/15/12 3,725 4,059
JPMorgan Chase & Co. 5.375 % 10/1/12 48,375 52,398
JPMorgan Chase & Co. 5.750 % 1/2/13 1,900 2,058
JPMorgan Chase & Co. 4.750 % 5/1/13 5,325 5,683
JPMorgan Chase & Co. 4.650 % 6/1/14 6,300 6,655
JPMorgan Chase & Co. 5.125 % 9/15/14 5,275 5,587
JPMorgan Chase & Co. 3.700 % 1/20/15 4,325 4,350
JPMorgan Chase & Co. 4.750 % 3/1/15 1,050 1,101
JPMorgan Chase & Co. 5.250 % 5/1/15 2,000 2,111
KeyBank NA 5.500 % 9/17/12 1,025 1,075
KeyBank NA 5.800 % 7/1/14 3,000 3,069
KeyCorp 6.500 % 5/14/13 2,975 3,174
M&I Marshall & Ilsley Bank 6.375 % 9/1/11 1,500 1,511
M&I Marshall & Ilsley Bank 5.250 % 9/4/12 1,850 1,847
M&T Bank Corp. 5.375 % 5/24/12 300 316
MBNA Corp. 7.500 % 3/15/12 2,400 2,617
MBNA Corp. 6.125 % 3/1/13 675 724
3 Mellon Capital IV 6.244 % 6/29/49 1,750 1,628
Mellon Funding Corp. 5.000 % 12/1/14 4,600 4,933
Merrill Lynch & Co. Inc. 5.770 % 7/25/11 850 896
Merrill Lynch & Co. Inc. 6.050 % 8/15/12 21,275 22,760
Merrill Lynch & Co. Inc. 5.450 % 2/5/13 9,725 10,269
Merrill Lynch & Co. Inc. 6.150 % 4/25/13 6,050 6,515
Merrill Lynch & Co. Inc. 5.450 % 7/15/14 3,950 4,141
Merrill Lynch & Co. Inc. 5.000 % 1/15/15 10,400 10,630
Morgan Stanley 6.750 % 4/15/11 12,855 13,577
Morgan Stanley 5.625 % 1/9/12 12,125 12,893
Morgan Stanley 6.600 % 4/1/12 6,415 6,965
Morgan Stanley 5.750 % 8/31/12 5,800 6,231
Morgan Stanley 5.250 % 11/2/12 14,175 15,092
Morgan Stanley 5.300 % 3/1/13 7,100 7,544
Morgan Stanley 4.750 % 4/1/14 7,650 7,823
Morgan Stanley 6.000 % 5/13/14 11,975 12,916
Morgan Stanley 4.200 % 11/20/14 15,050 15,095
Morgan Stanley 4.100 % 1/26/15 2,000 1,989
National City Bank 4.625 % 5/1/13 2,275 2,368
3 National City Preferred Capital Trust I 12.000 % 12/31/49 2,825 3,291
North Fork Bancorporation Inc. 5.875 % 8/15/12 600 629
Northern Trust Corp. 5.500 % 8/15/13 1,875 2,069
Northern Trust Corp. 4.625 % 5/1/14 2,200 2,351
PNC Funding Corp. 5.125 % 12/14/10 2,950 3,039
PNC Funding Corp. 3.625 % 2/8/15 5,300 5,334
Regions Financial Corp. 7.750 % 11/10/14 2,700 2,843
Royal Bank of Scotland Group PLC 5.050 % 1/8/15 7,425 6,971
4 Royal Bank of Scotland PLC 4.875 % 8/25/14 4,000 4,024
Royal Bank of Scotland PLC 4.875 % 3/16/15 6,100 6,083
SouthTrust Corp. 5.800 % 6/15/14 1,350 1,433
Sovereign Bank 5.125 % 3/15/13 1,600 1,619
3 State Street Capital Trust III 8.250 % 3/15/42 2,500 2,575
State Street Corp. 4.300 % 5/30/14 1,000 1,053


  Sumitomo Mitsui Banking Corp. 8.000 % 6/15/12 3,300 3,632
  SunTrust Bank 6.375 % 4/1/11 1,125 1,175
  SunTrust Banks Inc. 5.250 % 11/5/12 2,750 2,893
  UBS AG 3.875 % 1/15/15 5,200 5,166
  UFJ Finance Aruba AEC 6.750 % 7/15/13 5,550 6,222
3,4 Unicredit Luxembourg Finance SA 5.584 % 1/13/17 500 499
  US Bancorp 4.200 % 5/15/14 8,600 9,003
  US Bancorp 3.150 % 3/4/15 800 798
  US Bank NA 6.375 % 8/1/11 8,700 9,284
  US Bank NA 6.300 % 2/4/14 1,850 2,064
  US Bank NA 4.950 % 10/30/14 1,350 1,445
3 USB Capital IX 6.189 % 4/15/49 5,550 4,718
  Wachovia Bank NA 7.800 % 8/18/10 2,000 2,054
  Wachovia Bank NA 4.800 % 11/1/14 4,425 4,566
  Wachovia Corp. 5.300 % 10/15/11 6,975 7,380
  Wachovia Corp. 5.500 % 5/1/13 9,330 10,134
  Wachovia Corp. 5.250 % 8/1/14 4,150 4,374
  Wells Fargo & Co. 4.875 % 1/12/11 3,800 3,923
  Wells Fargo & Co. 6.375 % 8/1/11 1,700 1,802
  Wells Fargo & Co. 5.300 % 8/26/11 7,450 7,853
  Wells Fargo & Co. 5.250 % 10/23/12 20,225 21,780
  Wells Fargo & Co. 4.375 % 1/31/13 16,000 16,844
  Wells Fargo & Co. 4.950 % 10/16/13 4,975 5,256
  Wells Fargo & Co. 3.750 % 10/1/14 6,600 6,688
  Wells Fargo & Co. 3.625 % 4/15/15 2,900 2,897
  Wells Fargo Bank NA 4.750 % 2/9/15 8,150 8,461
3 Wells Fargo Capital XIII 7.700 % 12/29/49 9,825 10,120
3 Wells Fargo Capital XV 9.750 % 12/29/49 10,344 11,585
  Westpac Banking Corp. 2.250 % 11/19/12 12,025 12,109
  Westpac Banking Corp. 4.200 % 2/27/15 2,750 2,828
 
  Brokerage (0.1%)          
  BlackRock Inc. 2.250 % 12/10/12 1,500 1,515
  BlackRock Inc. 3.500 % 12/10/14 3,300 3,337
  Charles Schwab Corp. 4.950 % 6/1/14 5,684 6,084
  Invesco Ltd. 5.375 % 2/27/13 975 1,003
  Nomura Holdings Inc. 5.000 % 3/4/15 5,350 5,449
  TD Ameritrade Holding Corp. 2.950 % 12/1/12 1,050 1,064
  TD Ameritrade Holding Corp. 4.150 % 12/1/14 1,775 1,785
 
  Finance Companies (1.2%)          
  Block Financial LLC 7.875 % 1/15/13 800 902
  Block Financial LLC 5.125 % 10/30/14 3,000 3,115
  GATX Corp. 4.750 % 10/1/12 800 835
  GATX Corp. 8.750 % 5/15/14 1,000 1,147
  General Electric Capital Corp. 4.250 % 9/13/10 4,125 4,193
  General Electric Capital Corp. 6.125 % 2/22/11 12,325 12,898
  General Electric Capital Corp. 5.500 % 4/28/11 775 815
  General Electric Capital Corp. 5.000 % 11/15/11 6,250 6,593
  General Electric Capital Corp. 4.375 % 11/21/11 2,750 2,877
  General Electric Capital Corp. 5.875 % 2/15/12 6,060 6,511
  General Electric Capital Corp. 4.375 % 3/3/12 4,325 4,533
  General Electric Capital Corp. 6.000 % 6/15/12 15,575 16,869
  General Electric Capital Corp. 3.500 % 8/13/12 24,475 25,296
  General Electric Capital Corp. 5.250 % 10/19/12 18,750 20,104
  General Electric Capital Corp. 2.800 % 1/8/13 200 203
  General Electric Capital Corp. 5.450 % 1/15/13 6,975 7,542
  General Electric Capital Corp. 4.800 % 5/1/13 16,925 18,016


General Electric Capital Corp. 5.900 % 5/13/14 4,625 5,092
General Electric Capital Corp. 5.500 % 6/4/14 4,525 4,883
General Electric Capital Corp. 5.650 % 6/9/14 4,500 4,838
General Electric Capital Corp. 3.750 % 11/14/14 2,050 2,072
HSBC Finance Corp. 5.700 % 6/1/11 22,150 23,108
HSBC Finance Corp. 6.375 % 10/15/11 800 851
HSBC Finance Corp. 7.000 % 5/15/12 5,050 5,519
HSBC Finance Corp. 5.900 % 6/19/12 10,975 11,806
HSBC Finance Corp. 6.375 % 11/27/12 3,000 3,287
HSBC Finance Corp. 4.750 % 7/15/13 4,675 4,910
SLM Corp. 5.400 % 10/25/11 5,200 5,256
SLM Corp. 5.125 % 8/27/12 2,500 2,487
SLM Corp. 5.375 % 1/15/13 2,400 2,388
SLM Corp. 5.000 % 10/1/13 4,350 4,185
SLM Corp. 5.375 % 5/15/14 1,850 1,759
SLM Corp. 5.050 % 11/14/14 1,400 1,295
 
Insurance (1.1%)          
ACE INA Holdings Inc. 5.875 % 6/15/14 2,754 3,032
Aegon NV 4.750 % 6/1/13 2,500 2,627
Aetna Inc. 5.750 % 6/15/11 1,575 1,653
Allstate Corp. 6.125 % 2/15/12 1,450 1,566
Allstate Life Global Funding Trusts 5.375 % 4/30/13 11,075 12,057
American International Group Inc. 5.375 % 10/18/11 800 823
American International Group Inc. 4.950 % 3/20/12 1,475 1,501
American International Group Inc. 4.250 % 5/15/13 7,250 7,069
Assurant Inc. 5.625 % 2/15/14 925 960
Axis Capital Holdings Ltd. 5.750 % 12/1/14 1,800 1,873
Berkshire Hathaway Finance Corp. 4.000 % 4/15/12 17,350 18,258
Berkshire Hathaway Finance Corp. 4.600 % 5/15/13 4,850 5,190
Berkshire Hathaway Finance Corp. 5.000 % 8/15/13 4,875 5,314
Berkshire Hathaway Finance Corp. 4.850 % 1/15/15 3,075 3,313
Berkshire Hathaway Inc. 1.400 % 2/10/12 8,275 8,322
Berkshire Hathaway Inc. 2.125 % 2/11/13 4,675 4,710
Berkshire Hathaway Inc. 3.200 % 2/11/15 4,675 4,719
Chubb Corp. 5.200 % 4/1/13 3,000 3,232
CNA Financial Corp. 6.000 % 8/15/11 3,450 3,599
CNA Financial Corp. 5.850 % 12/15/14 1,575 1,595
Commerce Group Inc. 5.950 % 12/9/13 900 906
Coventry Health Care Inc. 6.300 % 8/15/14 4,500 4,555
Genworth Financial Inc. 5.650 % 6/15/12 2,500 2,594
Genworth Financial Inc. 5.750 % 6/15/14 3,325 3,383
Hartford Financial Services Group Inc. 5.250 % 10/15/11 4,200 4,376
Jefferson-Pilot Corp. 4.750 % 1/30/14 2,400 2,447
Lincoln National Corp. 6.200 % 12/15/11 1,550 1,644
Lincoln National Corp. 5.650 % 8/27/12 225 239
Marsh & McLennan Cos. Inc. 5.150 % 9/15/10 50 51
Marsh & McLennan Cos. Inc. 6.250 % 3/15/12 2,175 2,314
Marsh & McLennan Cos. Inc. 5.375 % 7/15/14 1,500 1,551
MetLife Inc. 5.375 % 12/15/12 2,850 3,077
MetLife Inc. 5.000 % 11/24/13 2,050 2,175
4 Metropolitan Life Global Funding I 2.875 % 9/17/12 2,575 2,608
OneBeacon US Holdings Inc. 5.875 % 5/15/13 1,625 1,677
Principal Financial Group Inc. 7.875 % 5/15/14 4,600 5,233
Principal Life Income Funding Trusts 5.300 % 12/14/12 1,900 2,050
Principal Life Income Funding Trusts 5.300 % 4/24/13 2,350 2,517
Progressive Corp. 6.375 % 1/15/12 850 917
Protective Life Secured Trusts 4.850 % 8/16/10 2,075 2,104


Protective Life Secured Trusts 5.450 % 9/28/12 1,290 1,382
Prudential Financial Inc. 5.100 % 12/14/11 1,200 1,263
Prudential Financial Inc. 5.800 % 6/15/12 1,700 1,828
Prudential Financial Inc. 3.625 % 9/17/12 300 309
Prudential Financial Inc. 5.150 % 1/15/13 10,050 10,649
Prudential Financial Inc. 4.500 % 7/15/13 450 472
Prudential Financial Inc. 4.750 % 4/1/14 1,475 1,521
Prudential Financial Inc. 5.100 % 9/20/14 1,325 1,401
Prudential Financial Inc. 3.875 % 1/14/15 2,750 2,754
Prudential Financial Inc. 6.200 % 1/15/15 4,675 5,120
Prudential Financial Inc. 4.750 % 9/17/15 575 592
Travelers Cos. Inc. 5.375 % 6/15/12 700 754
Travelers Property Casualty Corp. 5.000 % 3/15/13 2,500 2,698
UnitedHealth Group Inc. 5.500 % 11/15/12 5,000 5,412
UnitedHealth Group Inc. 4.875 % 2/15/13 1,625 1,732
UnitedHealth Group Inc. 4.875 % 4/1/13 1,625 1,736
UnitedHealth Group Inc. 5.000 % 8/15/14 1,000 1,063
WellPoint Health Networks Inc. 6.375 % 1/15/12 1,650 1,783
WellPoint Inc. 5.000 % 1/15/11 1,950 2,010
WellPoint Inc. 6.800 % 8/1/12 1,150 1,273
WellPoint Inc. 6.000 % 2/15/14 1,700 1,865
WellPoint Inc. 5.000 % 12/15/14 1,475 1,574
XL Capital Finance Europe PLC 6.500 % 1/15/12 2,575 2,733
XL Capital Ltd. 5.250 % 9/15/14 1,400 1,455
 
Other Finance (0.1%)          
CME Group Inc. 5.400 % 8/1/13 4,400 4,804
CME Group Inc. 5.750 % 2/15/14 2,000 2,195
NASDAQ OMX Group Inc. 4.000 % 1/15/15 1,750 1,743
NYSE Euronext 4.800 % 6/28/13 2,700 2,893
ORIX Corp. 5.480 % 11/22/11 4,425 4,567
 
Real Estate Investment Trusts (0.3%)          
Arden Realty LP 5.250 % 3/1/15 1,250 1,307
AvalonBay Communities Inc. 5.500 % 1/15/12 1,054 1,106
Boston Properties LP 6.250 % 1/15/13 5,600 6,084
Brandywine Operating Partnership LP 5.750 % 4/1/12 765 794
Brandywine Operating Partnership LP 5.400 % 11/1/14 1,650 1,665
Duke Realty LP 6.250 % 5/15/13 1,500 1,590
Duke Realty LP 7.375 % 2/15/15 2,650 2,885
ERP Operating LP 6.625 % 3/15/12 1,350 1,462
ERP Operating LP 5.500 % 10/1/12 2,000 2,127
ERP Operating LP 5.200 % 4/1/13 1,000 1,040
ERP Operating LP 5.250 % 9/15/14 1,350 1,409
HCP Inc. 5.950 % 9/15/11 625 653
HCP Inc. 6.450 % 6/25/12 750 798
HCP Inc. 5.650 % 12/15/13 2,250 2,345
Health Care REIT Inc. 6.000 % 11/15/13 2,775 2,967
Healthcare Realty Trust Inc. 5.125 % 4/1/14 1,400 1,376
Hospitality Properties Trust 7.875 % 8/15/14 1,775 1,921
Liberty Property LP 5.125 % 3/2/15 4,500 4,465
Nationwide Health Properties Inc. 6.250 % 2/1/13 1,850 1,970
ProLogis 7.625 % 8/15/14 1,400 1,531
Regency Centers LP 6.750 % 1/15/12 2,300 2,438
Simon Property Group LP 4.875 % 8/15/10 3,850 3,901
Simon Property Group LP 5.300 % 5/30/13 2,925 3,086
Simon Property Group LP 6.750 % 5/15/14 500 548
Simon Property Group LP 5.625 % 8/15/14 2,350 2,489


Simon Property Group LP 4.200 % 2/1/15 4,400 4,398
          1,649,189
Industrial (10.2%)          
Basic Industry (0.9%)          
Airgas Inc. 4.500 % 9/15/14 1,525 1,573
Alcoa Inc. 6.000 % 1/15/12 4,375 4,621
Alcoa Inc. 5.375 % 1/15/13 650 682
Alcoa Inc. 6.000 % 7/15/13 3,725 3,961
ArcelorMittal 5.375 % 6/1/13 5,050 5,357
ArcelorMittal 9.000 % 2/15/15 4,300 5,141
ArcelorMittal USA Inc. 6.500 % 4/15/14 2,500 2,703
Barrick Gold Financeco LLC 6.125 % 9/15/13 5,450 6,088
BHP Billiton Finance USA Ltd. 5.125 % 3/29/12 475 508
BHP Billiton Finance USA Ltd. 4.800 % 4/15/13 3,000 3,223
BHP Billiton Finance USA Ltd. 5.500 % 4/1/14 12,450 13,745
Dow Chemical Co. 4.850 % 8/15/12 10,050 10,615
Dow Chemical Co. 6.000 % 10/1/12 3,000 3,249
Dow Chemical Co. 7.600 % 5/15/14 7,975 9,124
Dow Chemical Co. 5.900 % 2/15/15 1,600 1,733
EI du Pont de Nemours & Co. 5.000 % 1/15/13 6,800 7,342
EI du Pont de Nemours & Co. 5.000 % 7/15/13 4,100 4,423
EI du Pont de Nemours & Co. 5.875 % 1/15/14 800 890
EI du Pont de Nemours & Co. 4.875 % 4/30/14 2,550 2,741
ICI Wilmington Inc. 5.625 % 12/1/13 1,600 1,707
International Paper Co. 7.400 % 6/15/14 3,000 3,405
Lubrizol Corp. 5.500 % 10/1/14 1,850 2,004
Monsanto Co. 7.375 % 8/15/12 1,200 1,354
4 Mosaic Co. 7.375 % 12/1/14 775 828
Nucor Corp. 5.000 % 12/1/12 925 1,002
Nucor Corp. 5.000 % 6/1/13 1,200 1,291
Potash Corp. of Saskatchewan Inc. 7.750 % 5/31/11 3,325 3,571
Potash Corp. of Saskatchewan Inc. 3.750 % 9/30/15 3,000 3,026
PPG Industries Inc. 5.750 % 3/15/13 1,875 2,031
Praxair Inc. 6.375 % 4/1/12 1,250 1,371
Praxair Inc. 1.750 % 11/15/12 1,150 1,151
Praxair Inc. 3.950 % 6/1/13 825 868
Praxair Inc. 4.375 % 3/31/14 1,125 1,199
Praxair Inc. 5.250 % 11/15/14 2,750 3,011
Praxair Inc. 4.625 % 3/30/15 1,625 1,733
Rio Tinto Alcan Inc. 4.500 % 5/15/13 775 814
Rio Tinto Alcan Inc. 5.200 % 1/15/14 1,500 1,585
Rio Tinto Finance USA Ltd. 5.875 % 7/15/13 11,325 12,401
Rio Tinto Finance USA Ltd. 8.950 % 5/1/14 12,550 15,126
Sherwin-Williams Co. 3.125 % 12/15/14 1,900 1,908
WMC Finance USA Ltd. 5.125 % 5/15/13 1,600 1,740
Xstrata Canada Corp. 7.350 % 6/5/12 1,000 1,094
Xstrata Canada Corp. 7.250 % 7/15/12 1,500 1,641
 
Capital Goods (1.1%)          
3M Co. 4.500 % 11/1/11 3,000 3,164
3M Co. 4.375 % 8/15/13 2,000 2,147
Bemis Co. Inc. 4.875 % 4/1/12 1,600 1,661
Bemis Co. Inc. 5.650 % 8/1/14 2,875 3,097
Black & Decker Corp. 7.125 % 6/1/11 1,000 1,060
Black & Decker Corp. 4.750 % 11/1/14 1,025 1,058
Boeing Capital Corp. 6.500 % 2/15/12 4,700 5,139
Boeing Capital Corp. 5.800 % 1/15/13 750 825


Boeing Capital Corp. 3.250 % 10/27/14 2,725 2,744
Boeing Co. 1.875 % 11/20/12 2,750 2,760
Boeing Co. 3.500 % 2/15/15 3,325 3,388
Caterpillar Financial Services Corp. 4.250 % 2/8/13 700 744
Caterpillar Financial Services Corp. 2.000 % 4/5/13 800 799
Caterpillar Financial Services Corp. 6.200 % 9/30/13 2,350 2,658
Caterpillar Financial Services Corp. 6.125 % 2/17/14 23,000 25,879
Cooper US Inc. 5.250 % 11/15/12 5,250 5,663
CRH America Inc. 5.625 % 9/30/11 2,500 2,625
CRH America Inc. 6.950 % 3/15/12 2,000 2,180
CRH America Inc. 5.300 % 10/15/13 2,075 2,208
Deere & Co. 6.950 % 4/25/14 1,325 1,542
Eaton Corp. 4.900 % 5/15/13 2,050 2,187
Emerson Electric Co. 7.125 % 8/15/10 500 512
Emerson Electric Co. 4.625 % 10/15/12 3,200 3,424
General Dynamics Corp. 4.250 % 5/15/13 3,800 4,056
General Dynamics Corp. 5.250 % 2/1/14 4,100 4,496
General Electric Co. 5.000 % 2/1/13 27,500 29,673
Honeywell International Inc. 6.125 % 11/1/11 2,000 2,160
Honeywell International Inc. 5.625 % 8/1/12 775 848
Honeywell International Inc. 4.250 % 3/1/13 2,050 2,169
Honeywell International Inc. 3.875 % 2/15/14 2,800 2,927
Illinois Tool Works Inc. 5.150 % 4/1/14 2,150 2,358
Ingersoll-Rand Global Holding Co. Ltd. 6.000 % 8/15/13 1,800 1,975
Ingersoll-Rand Global Holding Co. Ltd. 9.500 % 4/15/14 6,700 8,133
John Deere Capital Corp. 5.400 % 10/17/11 1,325 1,411
John Deere Capital Corp. 7.000 % 3/15/12 19,650 21,756
John Deere Capital Corp. 5.250 % 10/1/12 575 625
John Deere Capital Corp. 4.950 % 12/17/12 2,300 2,490
John Deere Capital Corp. 2.950 % 3/9/15 1,025 1,024
Lafarge SA 6.150 % 7/15/11 3,175 3,316
Lockheed Martin Corp. 4.121 % 3/14/13 6,500 6,857
Republic Services Inc. 6.750 % 8/15/11 1,000 1,065
Roper Industries Inc. 6.625 % 8/15/13 1,650 1,846
Tyco International Finance SA 6.375 % 10/15/11 2,000 2,143
Tyco International Finance SA 4.125 % 10/15/14 4,000 4,120
United Technologies Corp. 6.100 % 5/15/12 1,000 1,097
Vulcan Materials Co. 6.300 % 6/15/13 1,250 1,373
Waste Management Inc. 5.000 % 3/15/14 2,075 2,206
Waste Management Inc. 6.375 % 3/11/15 1,600 1,788
 
Communication (2.0%)          
Alltel Corp. 7.000 % 7/1/12 1,120 1,247
America Movil SAB de CV 5.750 % 1/15/15 1,525 1,664
AT&T Corp. 7.300 % 11/15/11 12,700 13,912
AT&T Inc. 6.250 % 3/15/11 3,075 3,232
AT&T Inc. 5.875 % 2/1/12 4,725 5,065
AT&T Inc. 5.875 % 8/15/12 1,825 1,994
AT&T Inc. 4.950 % 1/15/13 8,175 8,800
AT&T Inc. 6.700 % 11/15/13 2,225 2,542
AT&T Inc. 4.850 % 2/15/14 7,925 8,518
AT&T Inc. 5.100 % 9/15/14 13,800 14,942
AT&T Mobility LLC 6.500 % 12/15/11 1,000 1,084
BellSouth Corp. 5.200 % 9/15/14 200 217
British Telecommunications PLC 5.150 % 1/15/13 4,675 4,934
CBS Corp. 6.625 % 5/15/11 2,000 2,114
CBS Corp. 5.625 % 8/15/12 2,225 2,387
CBS Corp. 8.200 % 5/15/14 3,500 4,076


Cellco Partnership / Verizon Wireless Capital          
LLC 3.750 % 5/20/11 6,875 7,093
Cellco Partnership / Verizon Wireless Capital          
LLC 5.250 % 2/1/12 2,000 2,135
Cellco Partnership / Verizon Wireless Capital          
LLC 7.375 % 11/15/13 5,675 6,571
Cellco Partnership / Verizon Wireless Capital          
LLC 5.550 % 2/1/14 24,400 26,683
CenturyTel Inc. 5.000 % 2/15/15 700 715
Comcast Cable Communications Holdings          
Inc. 8.375 % 3/15/13 5,215 6,063
Comcast Cable Communications LLC 6.750 % 1/30/11 14,675 15,336
COX Communications Inc. 7.125 % 10/1/12 4,000 4,476
COX Communications Inc. 5.450 % 12/15/14 1,450 1,571
Deutsche Telekom International Finance BV 5.250 % 7/22/13 4,015 4,312
Deutsche Telekom International Finance BV 5.875 % 8/20/13 4,525 4,935
Deutsche Telekom International Finance BV 4.875 % 7/8/14 1,100 1,159
4 DIRECTV Holdings LLC 3.550 % 3/15/15 5,850 5,790
4 DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 4.750 % 10/1/14 3,125 3,262
France Telecom SA 4.375 % 7/8/14 2,075 2,199
McGraw-Hill Cos. Inc. 5.375 % 11/15/12 2,475 2,665
New Cingular Wireless Services Inc. 8.125 % 5/1/12 8,175 9,232
News America Holdings Inc. 9.250 % 2/1/13 2,825 3,324
News America Inc. 5.300 % 12/15/14 1,450 1,583
Qwest Corp. 7.875 % 9/1/11 3,875 4,117
Qwest Corp. 8.875 % 3/15/12 7,525 8,202
Reed Elsevier Capital Inc. 7.750 % 1/15/14 3,900 4,493
Rogers Communications Inc. 7.250 % 12/15/12 6,500 7,365
Rogers Communications Inc. 6.375 % 3/1/14 3,000 3,325
Rogers Communications Inc. 5.500 % 3/15/14 2,150 2,311
RR Donnelley & Sons Co. 4.950 % 4/1/14 2,550 2,570
Telecom Italia Capital SA 4.875 % 10/1/10 1,000 1,017
Telecom Italia Capital SA 6.200 % 7/18/11 700 736
Telecom Italia Capital SA 5.250 % 11/15/13 6,675 7,001
Telecom Italia Capital SA 6.175 % 6/18/14 7,450 7,992
Telecom Italia Capital SA 4.950 % 9/30/14 4,250 4,357
Telefonica Emisiones SAU 5.984 % 6/20/11 6,200 6,524
Telefonica Emisiones SAU 5.855 % 2/4/13 7,000 7,618
Telefonica Emisiones SAU 4.949 % 1/15/15 1,550 1,639
TELUS Corp. 8.000 % 6/1/11 3,499 3,762
Thomson Reuters Corp. 5.950 % 7/15/13 3,925 4,338
Thomson Reuters Corp. 5.700 % 10/1/14 2,650 2,916
Time Warner Cable Inc. 5.400 % 7/2/12 9,300 9,971
Time Warner Cable Inc. 6.200 % 7/1/13 7,750 8,570
Time Warner Cable Inc. 7.500 % 4/1/14 7,700 8,887
Time Warner Cable Inc. 3.500 % 2/1/15 1,125 1,125
Time Warner Entertainment Co. LP 8.875 % 10/1/12 1,000 1,152
Verizon Communications Inc. 4.350 % 2/15/13 6,025 6,391
Verizon Communications Inc. 5.250 % 4/15/13 15,800 17,204
Verizon Florida LLC 6.125 % 1/15/13 1,500 1,632
Verizon Global Funding Corp. 6.875 % 6/15/12 2,500 2,778
Verizon Global Funding Corp. 7.375 % 9/1/12 4,450 5,044
Verizon Global Funding Corp. 4.375 % 6/1/13 250 266
Verizon New England Inc. 6.500 % 9/15/11 2,500 2,666
Verizon New Jersey Inc. 5.875 % 1/17/12 3,700 3,942
Verizon New York Inc. 6.875 % 4/1/12 2,000 2,181
Verizon Pennsylvania Inc. 5.650 % 11/15/11 2,000 2,122


Verizon Virginia Inc. 4.625 % 3/15/13 3,600 3,787
Vodafone Group PLC 5.350 % 2/27/12 9,025 9,638
Vodafone Group PLC 4.150 % 6/10/14 4,025 4,183
Vodafone Group PLC 3.375 % 11/24/15 2,375 2,319
WPP Finance UK 5.875 % 6/15/14 3,475 3,635
WPP Finance UK 8.000 % 9/15/14 2,475 2,844
 
Consumer Cyclical (1.0%)          
AutoZone Inc. 6.500 % 1/15/14 5,000 5,506
Best Buy Co. Inc. 6.750 % 7/15/13 3,350 3,723
Costco Wholesale Corp. 5.300 % 3/15/12 4,000 4,295
CVS Caremark Corp. 5.750 % 8/15/11 1,800 1,907
CVS Caremark Corp. 4.875 % 9/15/14 7,675 8,210
3 CVS Caremark Corp. 6.302 % 6/1/37 2,500 2,364
Daimler Finance North America LLC 5.750 % 9/8/11 11,725 12,360
Daimler Finance North America LLC 7.300 % 1/15/12 3,475 3,784
Daimler Finance North America LLC 6.500 % 11/15/13 4,850 5,373
Darden Restaurants Inc. 5.625 % 10/15/12 1,300 1,396
Home Depot Inc. 5.250 % 12/16/13 4,625 5,012
Johnson Controls Inc. 4.875 % 9/15/13 1,000 1,067
Lowe's Cos. Inc. 5.600 % 9/15/12 3,200 3,511
Marriott International Inc. 4.625 % 6/15/12 1,175 1,217
Marriott International Inc. 5.625 % 2/15/13 1,425 1,493
McDonald's Corp. 5.750 % 3/1/12 1,800 1,949
McDonald's Corp. 4.300 % 3/1/13 2,000 2,127
Nordstrom Inc. 6.750 % 6/1/14 1,150 1,297
PACCAR Financial Corp. 1.950 % 12/17/12 2,150 2,150
PACCAR Inc. 6.875 % 2/15/14 4,450 5,081
Staples Inc. 7.750 % 4/1/11 400 426
Staples Inc. 9.750 % 1/15/14 15,725 18,988
Target Corp. 6.350 % 1/15/11 4,900 5,121
Target Corp. 5.125 % 1/15/13 1,075 1,166
Target Corp. 4.000 % 6/15/13 825 869
Time Warner Inc. 5.500 % 11/15/11 3,425 3,634
Time Warner Inc. 6.875 % 5/1/12 17,775 19,566
Toll Brothers Finance Corp. 6.875 % 11/15/12 59 64
Toll Brothers Finance Corp. 5.950 % 9/15/13 45 47
Toyota Motor Credit Corp. 5.450 % 5/18/11 3,000 3,129
Wal-Mart Stores Inc. 4.550 % 5/1/13 7,575 8,128
Wal-Mart Stores Inc. 7.250 % 6/1/13 2,300 2,642
Wal-Mart Stores Inc. 3.200 % 5/15/14 7,269 7,444
Wal-Mart Stores Inc. 2.875 % 4/1/15 2,400 2,394
Walgreen Co. 4.875 % 8/1/13 8,500 9,201
Walt Disney Co. 5.700 % 7/15/11 2,400 2,540
Walt Disney Co. 6.375 % 3/1/12 1,500 1,642
Walt Disney Co. 4.700 % 12/1/12 7,200 7,752
Walt Disney Co. 4.500 % 12/15/13 325 349
Walt Disney Co. 6.200 % 6/20/14 3,000 3,392
Western Union Co. 5.400 % 11/17/11 2,059 2,059
Western Union Co. 6.500 % 2/26/14 3,350 3,764
Yum! Brands Inc. 8.875 % 4/15/11 4,100 4,407
Yum! Brands Inc. 7.700 % 7/1/12 1,600 1,784
 
Consumer Noncyclical (2.9%)          
Abbott Laboratories 5.600 % 5/15/11 6,825 7,200
Abbott Laboratories 5.150 % 11/30/12 3,325 3,627
Altria Group Inc. 8.500 % 11/10/13 5,100 5,957
Altria Group Inc. 7.750 % 2/6/14 9,500 10,852


AmerisourceBergen Corp. 5.625 % 9/15/12 2,725 2,930
Amgen Inc. 4.850 % 11/18/14 6,625 7,195
Anheuser-Busch Cos. Inc. 6.000 % 4/15/11 800 840
Anheuser-Busch Cos. Inc. 4.700 % 4/15/12 1,500 1,584
Anheuser-Busch Cos. Inc. 4.375 % 1/15/13 1,500 1,569
Anheuser-Busch InBev Worldwide Inc. 3.000 % 10/15/12 6,875 7,046
4 Anheuser-Busch InBev Worldwide Inc. 2.500 % 3/26/13 8,075 8,102
Anheuser-Busch InBev Worldwide Inc. 4.125 % 1/15/15 7,350 7,550
AstraZeneca PLC 5.400 % 9/15/12 11,875 12,968
Baxter FinCo BV 4.750 % 10/15/10 500 511
Baxter International Inc. 4.000 % 3/1/14 1,650 1,727
Baxter International Inc. 4.625 % 3/15/15 2,750 2,940
Biogen Idec Inc. 6.000 % 3/1/13 4,725 5,105
Bottling Group LLC 4.625 % 11/15/12 4,500 4,830
Bottling Group LLC 5.000 % 11/15/13 1,500 1,628
Bottling Group LLC 6.950 % 3/15/14 9,300 10,739
Bristol-Myers Squibb Co. 5.250 % 8/15/13 1,675 1,843
Bunge Ltd. Finance Corp. 5.350 % 4/15/14 5,350 5,598
Cardinal Health Inc. 5.650 % 6/15/12 32 34
CareFusion Corp. 4.125 % 8/1/12 600 625
CareFusion Corp. 5.125 % 8/1/14 5,975 6,334
Cia de Bebidas das Americas 10.500 % 12/15/11 1,300 1,492
Cia de Bebidas das Americas 8.750 % 9/15/13 1,050 1,236
Clorox Co. 5.450 % 10/15/12 1,200 1,293
Clorox Co. 5.000 % 1/15/15 3,700 3,946
Coca-Cola Co. 3.625 % 3/15/14 3,075 3,195
Coca-Cola Enterprises Inc. 3.750 % 3/1/12 2,000 2,092
Coca-Cola Enterprises Inc. 5.000 % 8/15/13 2,300 2,509
Coca-Cola Enterprises Inc. 7.375 % 3/3/14 5,375 6,284
Coca-Cola Enterprises Inc. 4.250 % 3/1/15 1,700 1,800
Coca-Cola HBC Finance BV 5.125 % 9/17/13 1,800 1,921
Coca-Cola HBC Finance BV 5.500 % 9/17/15 2,000 2,170
Colgate-Palmolive Co. 5.980 % 4/25/12 1,250 1,366
ConAgra Foods Inc. 6.750 % 9/15/11 41 44
ConAgra Foods Inc. 5.875 % 4/15/14 450 493
Covidien International Finance SA 5.450 % 10/15/12 2,425 2,648
Delhaize Group SA 5.875 % 2/1/14 400 437
Diageo Capital PLC 5.200 % 1/30/13 5,036 5,447
Diageo Capital PLC 7.375 % 1/15/14 3,000 3,491
Diageo Finance BV 3.875 % 4/1/11 3,500 3,608
Diageo Finance BV 5.500 % 4/1/13 1,500 1,635
Dr Pepper Snapple Group Inc. 1.700 % 12/21/11 1,625 1,628
Dr Pepper Snapple Group Inc. 2.350 % 12/21/12 1,600 1,607
Dr Pepper Snapple Group Inc. 6.120 % 5/1/13 325 360
Eli Lilly & Co. 3.550 % 3/6/12 3,400 3,555
Eli Lilly & Co. 6.000 % 3/15/12 2,775 3,034
Eli Lilly & Co. 4.200 % 3/6/14 2,425 2,571
Express Scripts Inc. 5.250 % 6/15/12 3,950 4,203
Express Scripts Inc. 6.250 % 6/15/14 10,550 11,694
Fortune Brands Inc. 3.000 % 6/1/12 1,725 1,727
Fortune Brands Inc. 4.875 % 12/1/13 1,000 1,043
Fortune Brands Inc. 6.375 % 6/15/14 3,375 3,678
General Mills Inc. 6.000 % 2/15/12 1,300 1,407
General Mills Inc. 5.650 % 9/10/12 3,050 3,333
General Mills Inc. 5.250 % 8/15/13 7,325 7,999
General Mills Inc. 5.200 % 3/17/15 2,800 3,040
GlaxoSmithKline Capital Inc. 4.850 % 5/15/13 12,250 13,258
GlaxoSmithKline Capital Inc. 4.375 % 4/15/14 2,100 2,231


Hasbro Inc. 6.125 % 5/15/14 3,000 3,289
HJ Heinz Co. 5.350 % 7/15/13 1,300 1,408
HJ Heinz Finance Co. 6.625 % 7/15/11 2,500 2,673
HJ Heinz Finance Co. 6.000 % 3/15/12 1,500 1,623
Hospira Inc. 5.900 % 6/15/14 675 735
Johnson & Johnson 5.150 % 8/15/12 1,650 1,798
Kellogg Co. 5.125 % 12/3/12 5,000 5,446
Kellogg Co. 4.250 % 3/6/13 4,175 4,418
Kimberly-Clark Corp. 5.625 % 2/15/12 2,075 2,242
Koninklijke Philips Electronics NV 4.625 % 3/11/13 1,450 1,547
Kraft Foods Inc. 5.625 % 11/1/11 5,150 5,471
Kraft Foods Inc. 6.250 % 6/1/12 7,525 8,223
Kraft Foods Inc. 2.625 % 5/8/13 5,225 5,278
Kraft Foods Inc. 5.250 % 10/1/13 3,200 3,457
Kraft Foods Inc. 6.750 % 2/19/14 7,450 8,383
Kroger Co. 6.800 % 4/1/11 1,000 1,057
Kroger Co. 6.750 % 4/15/12 3,050 3,344
Kroger Co. 6.200 % 6/15/12 2,525 2,749
Kroger Co. 5.500 % 2/1/13 1,425 1,545
Kroger Co. 5.000 % 4/15/13 1,550 1,665
Kroger Co. 7.500 % 1/15/14 7,600 8,774
Laboratory Corp. of America Holdings 5.500 % 2/1/13 875 936
Life Technologies Corp. 4.400 % 3/1/15 2,875 2,909
McKesson Corp. 7.750 % 2/1/12 1,475 1,625
McKesson Corp. 5.250 % 3/1/13 2,025 2,158
4 Mead Johnson Nutrition Co. 3.500 % 11/1/14 5,225 5,219
Medco Health Solutions Inc. 6.125 % 3/15/13 4,125 4,510
Medco Health Solutions Inc. 7.250 % 8/15/13 800 908
Medtronic Inc. 4.500 % 3/15/14 1,975 2,113
Medtronic Inc. 3.000 % 3/15/15 5,000 4,975
Merck & Co. Inc. 1.875 % 6/30/11 6,200 6,275
Merck & Co. Inc. 5.125 % 11/15/11 1,850 1,969
Merck & Co. Inc. 5.300 % 12/1/13 2,875 3,186
Merck & Co. Inc. 4.750 % 3/1/15 4,875 5,266
Newell Rubbermaid Inc. 5.500 % 4/15/13 2,500 2,636
Novartis Capital Corp. 1.900 % 4/24/13 6,500 6,491
Novartis Capital Corp. 4.125 % 2/10/14 7,450 7,879
Novartis Capital Corp. 2.900 % 4/24/15 2,550 2,523
PepsiAmericas Inc. 5.750 % 7/31/12 800 876
PepsiAmericas Inc. 4.375 % 2/15/14 1,675 1,774
PepsiAmericas Inc. 4.875 % 1/15/15 1,525 1,635
PepsiCo Inc. 5.150 % 5/15/12 3,250 3,507
PepsiCo Inc. 4.650 % 2/15/13 3,025 3,260
PepsiCo Inc. 3.750 % 3/1/14 3,075 3,210
PepsiCo Inc. 3.100 % 1/15/15 2,900 2,935
Pfizer Inc. 4.450 % 3/15/12 27,700 29,376
Pfizer Inc. 4.500 % 2/15/14 925 988
Pfizer Inc. 5.350 % 3/15/15 8,150 8,969
Philip Morris International Inc. 4.875 % 5/16/13 5,525 5,950
Philip Morris International Inc. 6.875 % 3/17/14 3,825 4,399
Procter & Gamble Co. 1.375 % 8/1/12 5,000 5,016
Procter & Gamble Co. 4.600 % 1/15/14 10,675 11,458
Procter & Gamble Co. 3.500 % 2/15/15 3,525 3,616
Reynolds American Inc. 7.250 % 6/1/12 3,850 4,197
Reynolds American Inc. 7.250 % 6/1/13 1,500 1,658
Safeway Inc. 5.800 % 8/15/12 3,050 3,322
Safeway Inc. 6.250 % 3/15/14 6,000 6,671
Sara Lee Corp. 6.250 % 9/15/11 3,850 4,094


St. Jude Medical Inc. 2.200 % 9/15/13 3,125 3,117
St. Jude Medical Inc. 3.750 % 7/15/14 2,950 3,034
Stryker Corp. 3.000 % 1/15/15 1,500 1,500
Sysco Corp. 4.200 % 2/12/13 600 636
4 Thermo Fisher Scientific Inc. 2.150 % 12/28/12 1,300 1,294
4 Thermo Fisher Scientific Inc. 3.250 % 11/20/14 1,275 1,263
Unilever Capital Corp. 7.125 % 11/1/10 4,550 4,726
Unilever Capital Corp. 3.650 % 2/15/14 1,350 1,402
UST Inc. 6.625 % 7/15/12 1,000 1,088
Watson Pharmaceuticals Inc. 5.000 % 8/15/14 4,000 4,175
Whirlpool Corp. 5.500 % 3/1/13 4,225 4,468
Whirlpool Corp. 8.600 % 5/1/14 1,100 1,278
Wyeth 5.500 % 3/15/13 5,600 6,150
Wyeth 5.500 % 2/1/14 2,750 3,031
 
Energy (1.2%)          
Anadarko Petroleum Corp. 7.625 % 3/15/14 4,750 5,479
Anadarko Petroleum Corp. 5.750 % 6/15/14 900 975
Apache Corp. 6.250 % 4/15/12 1,000 1,093
Apache Corp. 5.250 % 4/15/13 1,500 1,633
Apache Corp. 6.000 % 9/15/13 1,675 1,873
BP Capital Markets PLC 1.550 % 8/11/11 2,825 2,850
BP Capital Markets PLC 3.125 % 3/10/12 5,275 5,473
BP Capital Markets PLC 5.250 % 11/7/13 11,350 12,518
BP Capital Markets PLC 3.625 % 5/8/14 5,500 5,702
BP Capital Markets PLC 3.875 % 3/10/15 8,425 8,749
Burlington Resources Finance Co. 6.500 % 12/1/11 500 543
Canadian Natural Resources Ltd. 6.700 % 7/15/11 2,500 2,672
Canadian Natural Resources Ltd. 5.450 % 10/1/12 3,550 3,841
Canadian Natural Resources Ltd. 5.150 % 2/1/13 500 537
4 Cenovus Energy Inc. 4.500 % 9/15/14 8,950 9,329
Chevron Corp. 3.450 % 3/3/12 4,400 4,596
Chevron Corp. 3.950 % 3/3/14 6,050 6,345
Conoco Funding Co. 6.350 % 10/15/11 11,375 12,257
ConocoPhillips 4.750 % 2/1/14 5,700 6,137
ConocoPhillips 4.600 % 1/15/15 5,300 5,692
ConocoPhillips Canada Funding Co. I 5.300 % 4/15/12 1,700 1,827
Devon Financing Corp. ULC 6.875 % 9/30/11 18,175 19,635
EnCana Corp. 6.300 % 11/1/11 1,500 1,606
EnCana Corp. 4.750 % 10/15/13 1,125 1,205
EnCana Holdings Finance Corp. 5.800 % 5/1/14 3,250 3,586
EOG Resources Inc. 6.125 % 10/1/13 1,200 1,344
Husky Energy Inc. 6.250 % 6/15/12 1,000 1,087
Husky Energy Inc. 5.900 % 6/15/14 7,100 7,766
Kerr-McGee Corp. 6.875 % 9/15/11 2,275 2,460
Marathon Global Funding Corp. 6.000 % 7/1/12 900 977
Marathon Oil Corp. 6.125 % 3/15/12 700 755
Nexen Inc. 5.050 % 11/20/13 5,175 5,555
Occidental Petroleum Corp. 7.000 % 11/1/13 2,500 2,896
PC Financial Partnership 5.000 % 11/15/14 2,000 2,111
Petro-Canada 4.000 % 7/15/13 3,210 3,312
Shell International Finance BV 5.625 % 6/27/11 4,950 5,238
Shell International Finance BV 1.875 % 3/25/13 7,900 7,879
Shell International Finance BV 4.000 % 3/21/14 13,750 14,462
Statoil ASA 3.875 % 4/15/14 1,150 1,199
Statoil ASA 2.900 % 10/15/14 3,500 3,498
Sunoco Inc. 4.875 % 10/15/14 950 961
Transocean Inc. 5.250 % 3/15/13 3,400 3,664


Valero Energy Corp. 6.875 % 4/15/12 3,000 3,257
Valero Energy Corp. 4.750 % 6/15/13 3,000 3,099
Valero Energy Corp. 4.500 % 2/1/15 300 300
Weatherford International Inc. 6.625 % 11/15/11 1,000 1,067
Weatherford International Inc. 5.950 % 6/15/12 4,750 5,131
Weatherford International Ltd. 5.150 % 3/15/13 4,175 4,444
XTO Energy Inc. 5.900 % 8/1/12 8,850 9,717
XTO Energy Inc. 5.000 % 1/31/15 2,375 2,578
 
Other Industrial (0.0%)          
Yale University 2.900 % 10/15/14 1,825 1,842
 
Technology (0.9%)          
Adobe Systems Inc. 3.250 % 2/1/15 2,925 2,928
Agilent Technologies Inc. 4.450 % 9/14/12 1,700 1,783
Amphenol Corp. 4.750 % 11/15/14 2,775 2,853
Analog Devices Inc. 5.000 % 7/1/14 850 897
Arrow Electronics Inc. 6.875 % 7/1/13 800 882
Cisco Systems Inc. 2.900 % 11/17/14 6,000 6,057
Computer Sciences Corp. 5.500 % 3/15/13 725 778
Dell Inc. 3.375 % 6/15/12 2,900 3,018
Dell Inc. 4.700 % 4/15/13 1,550 1,666
Dun & Bradstreet Corp. 6.000 % 4/1/13 1,700 1,834
Electronic Data Systems LLC 6.000 % 8/1/13 2,450 2,737
Equifax Inc. 4.450 % 12/1/14 1,000 1,026
Fiserv Inc. 6.125 % 11/20/12 8,000 8,714
Hewlett-Packard Co. 2.250 % 5/27/11 200 203
Hewlett-Packard Co. 6.500 % 7/1/12 1,025 1,138
Hewlett-Packard Co. 4.500 % 3/1/13 29,175 31,263
Hewlett-Packard Co. 6.125 % 3/1/14 3,950 4,451
Hewlett-Packard Co. 4.750 % 6/2/14 3,300 3,560
IBM International Group Capital LLC 5.050 % 10/22/12 16,600 18,029
International Business Machines Corp. 2.100 % 5/6/13 8,300 8,354
Intuit Inc. 5.400 % 3/15/12 950 1,009
Lexmark International Inc. 5.900 % 6/1/13 1,050 1,117
Microsoft Corp. 2.950 % 6/1/14 5,775 5,882
Motorola Inc. 8.000 % 11/1/11 3,025 3,280
Motorola Inc. 5.375 % 11/15/12 3,500 3,704
Oracle Corp. 4.950 % 4/15/13 3,400 3,700
Oracle Corp. 3.750 % 7/8/14 9,600 10,011
Pitney Bowes Inc. 4.625 % 10/1/12 2,000 2,135
Pitney Bowes Inc. 4.875 % 8/15/14 2,025 2,164
Tyco Electronics Group SA 6.000 % 10/1/12 950 1,023
Xerox Corp. 6.875 % 8/15/11 5,025 5,356
Xerox Corp. 5.500 % 5/15/12 11,750 12,504
Xerox Corp. 8.250 % 5/15/14 2,275 2,643
Xerox Corp. 4.250 % 2/15/15 1,100 1,114
 
Transportation (0.2%)          
Burlington Northern Santa Fe Corp. 6.750 % 7/15/11 2,500 2,669
Burlington Northern Santa Fe Corp. 5.900 % 7/1/12 1,050 1,143
CSX Corp. 6.300 % 3/15/12 2,000 2,164
CSX Corp. 5.500 % 8/1/13 6,100 6,609
CSX Corp. 6.250 % 4/1/15 3,000 3,349
Norfolk Southern Corp. 5.257 % 9/17/14 1,250 1,346
Ryder System Inc. 5.950 % 5/2/11 383 401
Ryder System Inc. 6.000 % 3/1/13 1,500 1,615
Ryder System Inc. 5.850 % 3/1/14 1,350 1,438


Southwest Airlines Co. 6.500 % 3/1/12 3,225 3,446
Union Pacific Corp. 6.650 % 1/15/11 2,000 2,091
Union Pacific Corp. 6.500 % 4/15/12 2,375 2,594
Union Pacific Corp. 5.450 % 1/31/13 3,490 3,785
Union Pacific Corp. 5.375 % 5/1/14 1,100 1,189
United Parcel Service Inc. 3.875 % 4/1/14 4,625 4,851
          1,826,578
Utilities (1.6%)          
Electric (1.2%)          
4 Allegheny Energy Supply Co. LLC 8.250 % 4/15/12 3,500 3,863
Appalachian Power Co. 5.650 % 8/15/12 3,875 4,182
Arizona Public Service Co. 5.800 % 6/30/14 500 539
Carolina Power & Light Co. 6.500 % 7/15/12 1,000 1,101
CenterPoint Energy Houston Electric LLC 5.700 % 3/15/13 700 756
CenterPoint Energy Houston Electric LLC 5.750 % 1/15/14 500 545
CenterPoint Energy Houston Electric LLC 7.000 % 3/1/14 2,725 3,108
Commonwealth Edison Co. 6.150 % 3/15/12 3,275 3,558
Consolidated Edison Co. of New York Inc. 4.875 % 2/1/13 4,000 4,314
Consolidated Natural Gas Co. 6.250 % 11/1/11 1,000 1,074
Consumers Energy Co. 5.000 % 2/15/12 1,250 1,329
Consumers Energy Co. 5.375 % 4/15/13 750 811
Dayton Power & Light Co. 5.125 % 10/1/13 1,875 2,032
Detroit Edison Co. 6.125 % 10/1/10 1,000 1,025
Dominion Resources Inc. 4.750 % 12/15/10 2,125 2,184
Dominion Resources Inc. 5.000 % 3/15/13 1,500 1,597
3 Dominion Resources Inc. 6.300 % 9/30/66 3,400 3,218
DTE Energy Co. 7.050 % 6/1/11 1,000 1,059
Duke Energy Carolinas LLC 6.250 % 1/15/12 3,500 3,804
Duke Energy Carolinas LLC 5.750 % 11/15/13 1,500 1,678
Duke Energy Corp. 6.300 % 2/1/14 10,125 11,286
Duke Energy Corp. 3.350 % 4/1/15 1,100 1,094
Duke Energy Indiana Inc. 5.000 % 9/15/13 1,125 1,191
Duke Energy Ohio Inc. 5.700 % 9/15/12 2,400 2,611
Energy East Corp. 6.750 % 6/15/12 1,750 1,932
Enersis SA 7.375 % 1/15/14 1,000 1,102
Entergy Arkansas Inc. 5.400 % 8/1/13 1,000 1,096
Exelon Generation Co. LLC 5.350 % 1/15/14 4,125 4,432
FirstEnergy Corp. 6.450 % 11/15/11 306 325
FirstEnergy Solutions Corp. 4.800 % 2/15/15 4,675 4,788
Florida Power & Light Co. 4.850 % 2/1/13 250 269
FPL Group Capital Inc. 5.625 % 9/1/11 3,575 3,775
FPL Group Capital Inc. 5.350 % 6/15/13 2,835 3,072
Georgia Power Co. 6.000 % 11/1/13 2,000 2,256
KCP&L Greater Missouri Operations Co. 11.875 % 7/1/12 1,400 1,637
Metropolitan Edison Co. 4.875 % 4/1/14 1,000 1,044
MidAmerican Energy Co. 5.650 % 7/15/12 1,150 1,245
MidAmerican Energy Co. 5.125 % 1/15/13 2,000 2,165
Midamerican Energy Holdings Co. 5.000 % 2/15/14 600 639
National Rural Utilities Cooperative Finance          
Corp. 4.375 % 10/1/10 3,350 3,412
National Rural Utilities Cooperative Finance          
Corp. 7.250 % 3/1/12 975 1,073
National Rural Utilities Cooperative Finance          
Corp. 2.625 % 9/16/12 975 995
National Rural Utilities Cooperative Finance          
Corp. 5.500 % 7/1/13 10,250 11,250


National Rural Utilities Cooperative Finance          
Corp. 3.875 % 9/16/15 3,250 3,311
Nisource Finance Corp. 6.150 % 3/1/13 1,975 2,147
NSTAR Electric Co. 4.875 % 10/15/12 3,925 4,243
NSTAR Electric Co. 4.875 % 4/15/14 1,500 1,592
Ohio Power Co. 5.750 % 9/1/13 1,575 1,709
Oncor Electric Delivery Co. LLC 6.375 % 5/1/12 3,300 3,569
Oncor Electric Delivery Co. LLC 5.950 % 9/1/13 4,975 5,447
Oncor Electric Delivery Co. LLC 6.375 % 1/15/15 3,000 3,329
Pacific Gas & Electric Co. 4.800 % 3/1/14 11,000 11,833
PacifiCorp 6.900 % 11/15/11 3,650 3,975
Pepco Holdings Inc. 6.450 % 8/15/12 2,000 2,150
PPL Energy Supply LLC 6.400 % 11/1/11 1,000 1,072
PPL Energy Supply LLC 6.300 % 7/15/13 2,175 2,383
Progress Energy Inc. 7.100 % 3/1/11 5,118 5,380
Progress Energy Inc. 6.850 % 4/15/12 775 848
PSEG Power LLC 7.750 % 4/15/11 1,950 2,084
PSEG Power LLC 6.950 % 6/1/12 4,775 5,261
4 PSEG Power LLC 2.500 % 4/15/13 800 801
PSEG Power LLC 5.500 % 12/1/15 3,000 3,243
Public Service Co. of Colorado 7.875 % 10/1/12 4,625 5,305
Public Service Co. of Colorado 5.500 % 4/1/14 1,000 1,094
Public Service Electric & Gas Co. 5.375 % 9/1/13 2,000 2,191
SCANA Corp. 6.875 % 5/15/11 1,500 1,587
Southern California Edison Co. 5.000 % 1/15/14 2,000 2,162
Southern California Edison Co. 4.150 % 9/15/14 3,000 3,165
Southern Co. 5.300 % 1/15/12 9,625 10,266
Southern Co. 4.150 % 5/15/14 800 838
Southern Power Co. 6.250 % 7/15/12 1,000 1,103
Tampa Electric Co. 6.875 % 6/15/12 1,000 1,095
Tampa Electric Co. 6.375 % 8/15/12 2,000 2,182
TransAlta Corp. 4.750 % 1/15/15 2,388 2,462
Virginia Electric and Power Co. 5.100 % 11/30/12 6,825 7,443
Wisconsin Electric Power Co. 6.000 % 4/1/14 675 751
Wisconsin Energy Corp. 6.500 % 4/1/11 4,595 4,848
 
Natural Gas (0.4%)          
Atmos Energy Corp. 4.950 % 10/15/14 4,400 4,653
CenterPoint Energy Resources Corp. 7.875 % 4/1/13 1,500 1,719
Enbridge Inc. 4.900 % 3/1/15 4,950 5,319
Energy Transfer Partners LP 5.650 % 8/1/12 1,470 1,578
Energy Transfer Partners LP 6.000 % 7/1/13 1,500 1,623
Energy Transfer Partners LP 8.500 % 4/15/14 3,000 3,488
5 Enron Corp. 9.125 % 4/1/03 2,000 5
5 Enron Corp. 7.625 % 9/10/04 1,000 2
Enterprise Products Operating LLC 4.950 % 6/1/10 5,325 5,360
Enterprise Products Operating LLC 4.600 % 8/1/12 750 792
Enterprise Products Operating LLC 5.650 % 4/1/13 2,200 2,379
Enterprise Products Operating LLC 5.900 % 4/15/13 1,150 1,249
Enterprise Products Operating LLC 9.750 % 1/31/14 2,000 2,428
Enterprise Products Operating LLC 5.600 % 10/15/14 1,350 1,463
5 HNG Internorth 9.625 % 3/15/06 1,500 3
Kinder Morgan Energy Partners LP 7.125 % 3/15/12 550 602
Kinder Morgan Energy Partners LP 5.850 % 9/15/12 4,325 4,694
Kinder Morgan Energy Partners LP 5.000 % 12/15/13 1,500 1,600
Kinder Morgan Energy Partners LP 5.625 % 2/15/15 1,300 1,411
NuStar Logistics LP 6.050 % 3/15/13 2,000 2,139
Oneok Inc. 7.125 % 4/15/11 2,000 2,115


ONEOK Partners LP 5.900 % 4/1/12 3,400 3,639
Plains All American Pipeline LP / PAA          
Finance Corp. 4.250 % 9/1/12 2,000 2,087
Sempra Energy 6.000 % 2/1/13 2,525 2,718
Spectra Energy Capital LLC 6.250 % 2/15/13 3,325 3,648
Spectra Energy Capital LLC 5.668 % 8/15/14 1,000 1,077
TransCanada PipeLines Ltd. 4.000 % 6/15/13 1,650 1,731
Transcontinental Gas Pipe Line Co. LLC 7.000 % 8/15/11 1,545 1,655
4 Williams Partners LP 3.800 % 2/15/15 1,950 1,946
          278,458
Total Corporate Bonds (Cost $3,579,800)         3,754,225
Sovereign Bonds (U.S. Dollar-Denominated) (6.6%)        
African Development Bank 1.000 % 11/23/11 4,050 4,041
African Development Bank 1.750 % 10/1/12 875 876
African Development Bank 1.625 % 2/11/13 4,300 4,273
African Development Bank 3.000 % 5/27/14 11,575 11,622
Asian Development Bank 2.125 % 3/15/12 3,350 3,416
Asian Development Bank 4.500 % 9/4/12 5,000 5,331
Asian Development Bank 3.625 % 9/5/13 5,850 6,182
Asian Development Bank 2.750 % 5/21/14 14,550 14,788
Asian Development Bank 2.625 % 2/9/15 11,250 11,149
Brazilian Government International Bond 11.000 % 1/11/12 3,875 4,524
Brazilian Government International Bond 10.250 % 6/17/13 4,600 5,681
Brazilian Government International Bond 10.500 % 7/14/14 5,725 7,328
Brazilian Government International Bond 7.875 % 3/7/15 6,025 7,131
Canada Government International Bond 2.375 % 9/10/14 7,725 7,706
Canada Mortgage & Housing Corp. 4.800 % 10/1/10 1,500 1,523
Canada Mortgage & Housing Corp. 5.000 % 9/1/11 4,000 4,191
Chile Government International Bond 7.125 % 1/11/12 2,650 2,891
Chile Government International Bond 5.500 % 1/15/13 3,550 3,824
China Development Bank Corp. 4.750 % 10/8/14 1,375 1,446
Corp Andina de Fomento 6.875 % 3/15/12 2,300 2,469
Corp. Andina de Fomento 5.200 % 5/21/13 5,575 5,890
Council Of Europe Development Bank 2.750 % 2/10/15 3,700 3,688
Eksportfinans ASA 5.125 % 10/26/11 6,000 6,354
Eksportfinans ASA 1.875 % 4/2/13 5,350 5,327
Eksportfinans ASA 3.000 % 11/17/14 4,825 4,841
European Bank for Reconstruction &          
Development 1.250 % 6/10/11 3,200 3,213
European Bank for Reconstruction &          
Development 3.625 % 6/17/13 3,000 3,141
European Bank for Reconstruction &          
Development 5.000 % 5/19/14 3,400 3,704
European Investment Bank 2.625 % 5/16/11 3,800 3,876
European Investment Bank 5.250 % 6/15/11 12,975 13,597
European Investment Bank 3.125 % 7/15/11 16,425 16,909
European Investment Bank 3.250 % 10/14/11 4,775 4,924
European Investment Bank 2.625 % 11/15/11 10,450 10,689
European Investment Bank 2.000 % 2/10/12 60,550 61,412
European Investment Bank 4.625 % 3/21/12 8,700 9,195
4 European Investment Bank 1.125 % 4/16/12 12,500 12,477
European Investment Bank 1.750 % 9/14/12 15,000 15,080
European Investment Bank 1.625 % 3/15/13 4,000 3,975
European Investment Bank 3.250 % 5/15/13 1,050 1,093
European Investment Bank 4.250 % 7/15/13 16,950 18,182
European Investment Bank 2.375 % 3/14/14 4,175 4,200
European Investment Bank 3.000 % 4/8/14 8,000 8,120


European Investment Bank 4.625 % 5/15/14 4,350 4,690
European Investment Bank 3.125 % 6/4/14 38,950 39,745
European Investment Bank 2.875 % 1/15/15 11,000 11,048
European Investment Bank 2.750 % 3/23/15 11,225 11,158
Export Development Canada 3.750 % 7/15/11 2,575 2,664
Export Development Canada 2.625 % 11/15/11 3,300 3,384
Export Development Canada 2.375 % 3/19/12 6,875 7,025
Export Development Canada 4.500 % 10/25/12 7,500 8,003
Export Development Canada 3.125 % 4/24/14 8,050 8,245
Export-Import Bank of Korea 5.500 % 10/17/12 7,850 8,351
Export-Import Bank of Korea 8.125 % 1/21/14 10,800 12,424
Export-Import Bank of Korea 5.875 % 1/14/15 2,800 3,020
Export-Import Bank of Korea 5.125 % 3/16/15 1,700 1,776
Financement-Quebec 5.000 % 10/25/12 2,000 2,156
Hungary Government International Bond 4.750 % 2/3/15 5,350 5,467
Hydro Quebec 6.300 % 5/11/11 2,500 2,649
Hydro Quebec 8.000 % 2/1/13 2,000 2,315
Inter-American Development Bank 5.000 % 4/5/11 5,000 5,186
Inter-American Development Bank 1.500 % 6/23/11 3,000 3,031
Inter-American Development Bank 3.250 % 11/15/11 4,500 4,640
Inter-American Development Bank 4.750 % 10/19/12 15,500 16,681
Inter-American Development Bank 1.750 % 10/22/12 8,875 8,925
Inter-American Development Bank 3.500 % 3/15/13 3,000 3,156
Inter-American Development Bank 3.000 % 4/22/14 10,550 10,701
Inter-American Development Bank 4.500 % 9/15/14 3,000 3,224
International Bank for Reconstruction &          
Development 2.000 % 4/2/12 28,100 28,541
International Bank for Reconstruction &          
Development 3.625 % 5/21/13 5,500 5,795
International Bank for Reconstruction &          
Development 3.500 % 10/8/13 5,490 5,749
International Finance Corp. 5.125 % 5/2/11 7,100 7,425
International Finance Corp. 3.000 % 4/22/14 15,525 15,642
Israel Government International Bond 4.625 % 6/15/13 2,350 2,505
Israel Government International Bond 5.125 % 3/1/14 2,000 2,163
Japan Bank for International          
Cooperation/Japan 4.750 % 5/25/11 2,150 2,242
Japan Bank for International          
Cooperation/Japan 2.125 % 11/5/12 14,000 14,133
Japan Bank for International          
Cooperation/Japan 4.375 % 11/26/12 2,200 2,344
Japan Bank for International          
Cooperation/Japan 4.250 % 6/18/13 6,150 6,528
Japan Bank for International          
Cooperation/Japan 2.875 % 2/2/15 6,600 6,571
Japan Finance Corp. 2.000 % 6/24/11 8,100 8,180
Korea Development Bank 5.300 % 1/17/13 4,650 4,864
Korea Development Bank 5.750 % 9/10/13 5,525 5,914
Korea Development Bank 8.000 % 1/23/14 5,000 5,729
Korea Development Bank 4.375 % 8/10/15 1,600 1,618
Kreditanstalt fuer Wiederaufbau 3.750 % 6/27/11 8,825 9,131
Kreditanstalt fuer Wiederaufbau 3.250 % 10/14/11 10,950 11,317
Kreditanstalt fuer Wiederaufbau 2.000 % 1/17/12 7,850 7,978
Kreditanstalt fuer Wiederaufbau 2.250 % 4/16/12 8,575 8,749
Kreditanstalt fuer Wiederaufbau 4.750 % 5/15/12 24,700 26,255
Kreditanstalt fuer Wiederaufbau 1.875 % 1/14/13 18,600 18,653
Kreditanstalt fuer Wiederaufbau 3.250 % 3/15/13 40,300 41,676
Kreditanstalt fuer Wiederaufbau 3.500 % 5/16/13 12,375 12,876


Kreditanstalt fuer Wiederaufbau 4.000 % 10/15/13 6,125 6,406
Kreditanstalt fuer Wiederaufbau 3.500 % 3/10/14 7,925 8,220
^ Kreditanstalt fuer Wiederaufbau 2.750 % 10/21/14 20,825 20,881
Kreditanstalt fuer Wiederaufbau 2.625 % 3/3/15 8,225 8,113
Landeskreditbank Baden-Wuerttemberg          
Foerderbank 4.250 % 9/15/10 3,500 3,550
Landeskreditbank Baden-Wuerttemberg          
Foerderbank 4.875 % 1/13/12 1,500 1,562
Landwirtschaftliche Rentenbank 5.250 % 7/15/11 3,500 3,673
Landwirtschaftliche Rentenbank 5.250 % 7/2/12 9,600 10,289
Landwirtschaftliche Rentenbank 1.875 % 9/24/12 23,475 23,541
Landwirtschaftliche Rentenbank 3.250 % 3/15/13 2,100 2,147
Malaysia Government International Bond 7.500 % 7/15/11 4,825 5,183
Mexico Government International Bond 6.375 % 1/16/13 5,400 6,002
Mexico Government International Bond 6.625 % 3/3/15 7,900 8,927
Nordic Investment Bank 3.875 % 6/15/10 3,750 3,761
Nordic Investment Bank 1.625 % 1/28/13 6,900 6,877
Nordic Investment Bank 2.625 % 10/6/14 6,700 6,692
Oesterreichische Kontrollbank AG 3.125 % 10/14/11 4,825 4,955
Oesterreichische Kontrollbank AG 4.750 % 11/8/11 13,500 14,210
Oesterreichische Kontrollbank AG 1.875 % 3/21/12 9,000 9,039
Oesterreichische Kontrollbank AG 4.750 % 10/16/12 7,725 8,316
Oesterreichische Kontrollbank AG 1.750 % 3/11/13 5,500 5,463
Ontario Electricity Financial Corp. 7.450 % 3/31/13 1,000 1,132
Pemex Project Funding Master Trust 9.125 % 10/13/10 2,500 2,609
Peruvian Government International Bond 9.125 % 2/21/12 2,500 2,851
Peruvian Government International Bond 9.875 % 2/6/15 3,075 3,893
Petrobras International Finance Co. 9.125 % 7/2/13 2,500 2,962
4 Petroleos Mexicanos 4.875 % 3/15/15 5,350 5,491
Poland Government International Bond 6.250 % 7/3/12 9,125 9,928
Poland Government International Bond 5.250 % 1/15/14 3,975 4,275
Province of Manitoba Canada 2.125 % 4/22/13 1,950 1,957
Province of Ontario Canada 3.375 % 5/20/11 950 977
Province of Ontario Canada 5.000 % 10/18/11 12,450 13,207
Province of Ontario Canada 1.875 % 11/19/12 16,250 16,371
Province of Ontario Canada 4.100 % 6/16/14 33,275 35,330
Province of Ontario Canada 2.950 % 2/5/15 10,000 10,021
Province of Quebec Canada 6.125 % 1/22/11 3,935 4,106
Province of Quebec Canada 4.875 % 5/5/14 2,100 2,219
Province of Saskatchewan Canada 7.375 % 7/15/13 1,000 1,159
Republic of Italy 3.500 % 7/15/11 2,925 3,012
Republic of Italy 5.625 % 6/15/12 13,350 14,428
Republic of Italy 2.125 % 10/5/12 18,925 19,006
Republic of Italy 4.500 % 1/21/15 5,650 5,940
Republic of Italy 3.125 % 1/26/15 8,450 8,391
Republic of Italy 4.750 % 1/25/16 9,000 9,406
Republic of Korea 4.250 % 6/1/13 3,225 3,375
Republic of Korea 5.750 % 4/16/14 6,350 6,926
Republic of Korea 4.875 % 9/22/14 3,925 4,159
South Africa Government International Bond 7.375 % 4/25/12 2,500 2,747
South Africa Government International Bond 6.500 % 6/2/14 3,300 3,655
Svensk Exportkredit AB 4.000 % 6/15/10 2,175 2,190
Svensk Exportkredit AB 3.250 % 9/16/14 4,850 4,946
United Mexican States 5.875 % 2/17/14 16,500 18,133
Total Sovereign Bonds (Cost $1,148,575)         1,175,130


Taxable Municipal Bonds (0.1%)          
Board of Trustees of The Leland Stanford          
Junior University 3.625 % 5/1/14 1,600 1,658
California GO 5.250 % 4/1/14 1,800 1,866
California GO 5.650 % 4/1/39 2,250 2,339
Howard Hughes Medical Institute 3.450 % 9/1/14 1,100 1,133
Illinois GO 2.766 % 1/1/12 5,700 5,749
Illinois GO 4.071 % 1/1/14 5,700 5,765
Total Taxable Municipal Bonds (Cost $18,164)         18,510
        Shares  
Temporary Cash Investment (1.5%)          
Money Market Fund (1.5%)          
6,7 Vanguard Market Liquidity Fund (Cost $272,423) 0.183 %   272,423,091 272,423
Total Investments (101.0%) (Cost $17,747,941)         18,066,916
Other Assets and Liabilities-Net (-1.0%)7         (170,790)
Net Assets (100%)         17,896,126

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $2,865,000.
1 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee
Program.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.
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 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2010, the aggregate
value of these securities was $89,910,000, representing 0.5% of net assets.
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 $2,936,000 of collateral received for securities on loan.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

A. 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.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value 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 March 31, 2010, based on the inputs used to value them:


Short-Term Bond Index Fund      
 
 
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 12,836,283 —
Asset-Backed/Commercial Mortgage-Backed Securities — 10,345 —
Corporate Bonds — 3,754,215 10
Sovereign Bonds — 1,175,130 —
Taxable Municipal Bonds — 18,510 —
Temporary Cash Investments 272,423 — —
Total 272,423 17,794,483 10

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended March 31, 2010:

  Investments in
  Corporate Bonds
Amount Valued Based on Level 3 Inputs ($000)
Balance as of December 31, 2009 10
Transfers in and/or out of Level 3 --
Balance as of March 31, 2010 10

C. At March 31, 2010, the cost of investment securities for tax purposes was $17,747,941,000. Net unrealized appreciation of investment securities for tax purposes was $318,975,000, consisting of unrealized gains of $339,904,000 on securities that had risen in value since their purchase and $20,929,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Bond Index Fund

Schedule of Investments
As of March 31, 2010

          Face Market
        Maturity Amount Value
    Coupon   Date ($000) ($000)
U.S. Government and Agency Obligations (52.9%)          
U.S. Government Securities (47.4%)          
  United States Treasury Note/Bond 1.125 % 6/30/11 255 257
  United States Treasury Note/Bond 4.000 % 2/15/15 5,860 6,273
  United States Treasury Note/Bond 2.375 % 2/28/15 9,530 9,463
  United States Treasury Note/Bond 2.500 % 3/31/15 3,775 3,764
  United States Treasury Note/Bond 4.125 % 5/15/15 94,915 102,063
  United States Treasury Note/Bond 4.250 % 8/15/15 164,750 177,853
  United States Treasury Note/Bond 10.625 % 8/15/15 46,685 65,308
  United States Treasury Note/Bond 4.500 % 11/15/15 2,725 2,977
  United States Treasury Note/Bond 9.875 % 11/15/15 60,200 82,568
  United States Treasury Note/Bond 4.500 % 2/15/16 57,410 62,514
  United States Treasury Note/Bond 9.250 % 2/15/16 41,620 56,070
  United States Treasury Note/Bond 2.625 % 2/29/16 168,800 165,819
  United States Treasury Note/Bond 2.375 % 3/31/16 155,700 150,493
  United States Treasury Note/Bond 2.625 % 4/30/16 1,200 1,174
  United States Treasury Note/Bond 5.125 % 5/15/16 108,730 121,998
  United States Treasury Note/Bond 7.250 % 5/15/16 78,175 97,047
  United States Treasury Note/Bond 3.250 % 5/31/16 115,725 117,153
  United States Treasury Note/Bond 3.250 % 6/30/16 54,815 55,423
  United States Treasury Note/Bond 4.875 % 8/15/16 75,595 83,769
  United States Treasury Note/Bond 3.000 % 9/30/16 49,775 49,293
  United States Treasury Note/Bond 3.125 % 10/31/16 75,300 75,006
  United States Treasury Note/Bond 4.625 % 11/15/16 53,230 58,046
  United States Treasury Note/Bond 7.500 % 11/15/16 105,645 133,377
  United States Treasury Note/Bond 2.750 % 11/30/16 85,750 83,352
  United States Treasury Note/Bond 3.250 % 12/31/16 87,630 87,712
  United States Treasury Note/Bond 3.125 % 1/31/17 31,600 31,363
  United States Treasury Note/Bond 4.625 % 2/15/17 86,160 93,833
  United States Treasury Note/Bond 3.000 % 2/28/17 74,615 73,402
  United States Treasury Note/Bond 4.500 % 5/15/17 131,175 141,567
  United States Treasury Note/Bond 8.750 % 5/15/17 98,070 132,501
  United States Treasury Note/Bond 4.750 % 8/15/17 117,075 127,996
  United States Treasury Note/Bond 8.875 % 8/15/17 71,285 97,315
  United States Treasury Note/Bond 4.250 % 11/15/17 44,405 46,965
  United States Treasury Note/Bond 3.500 % 2/15/18 118,580 118,951
  United States Treasury Note/Bond 3.875 % 5/15/18 194,785 199,715
  United States Treasury Note/Bond 9.125 % 5/15/18 27,995 39,215
  United States Treasury Note/Bond 4.000 % 8/15/18 222,975 229,700
  United States Treasury Note/Bond 3.750 % 11/15/18 327,595 330,052
  United States Treasury Note/Bond 2.750 % 2/15/19 375,495 348,448
  United States Treasury Note/Bond 8.875 % 2/15/19 51,850 72,371
  United States Treasury Note/Bond 3.125 % 5/15/19 243,995 232,330
  United States Treasury Note/Bond 3.625 % 8/15/19 249,290 246,214
  United States Treasury Note/Bond 3.375 % 11/15/19 273,805 264,178
  United States Treasury Note/Bond 3.625 % 2/15/20 205,450 201,951
            4,876,839
Agency Bonds and Notes (5.5%)          
  Egypt Government AID Bonds 4.450 % 9/15/15 6,825 7,254
1 Federal Farm Credit Bank 4.875 % 12/16/15 12,450 13,541


  1 Federal Farm Credit Bank 5.125 % 8/25/16 13,700 14,964
  1 Federal Farm Credit Bank 4.875 % 1/17/17 5,750 6,173
  1 Federal Home Loan Bank of Chicago 5.625 % 6/13/16 4,325 4,460
  1 Federal Home Loan Banks 5.375 % 5/18/16 11,300 12,596
  1 Federal Home Loan Banks 4.750 % 12/16/16 28,200 30,268
  1 Federal Home Loan Banks 4.875 % 5/17/17 14,225 15,335
  1 Federal Home Loan Banks 5.000 % 11/17/17 32,225 34,846
  1 Federal Home Loan Banks 5.375 % 8/15/18 6,000 6,603
  1 Federal Home Loan Banks 5.375 % 5/15/19 5,250 5,762
  1 Federal Home Loan Banks 5.125 % 8/15/19 5,220 5,635
  1 Federal Home Loan Mortgage Corp. 4.750 % 1/19/16 26,450 28,671
  1 Federal Home Loan Mortgage Corp. 5.250 % 4/18/16 16,500 18,276
  1 Federal Home Loan Mortgage Corp. 5.500 % 7/18/16 52,000 58,320
  1 Federal Home Loan Mortgage Corp. 5.000 % 2/16/17 7,000 7,613
  1 Federal Home Loan Mortgage Corp. 5.125 % 11/17/17 14,500 15,809
  1 Federal Home Loan Mortgage Corp. 3.750 % 3/27/19 27,675 26,986
  1 Federal National Mortgage Assn. 5.000 % 4/15/15 25,000 27,514
  1 Federal National Mortgage Assn. 4.375 % 10/15/15 21,400 22,842
  1 Federal National Mortgage Assn. 5.000 % 3/15/16 13,000 14,294
  1 Federal National Mortgage Assn. 5.250 % 9/15/16 20,925 23,135
  1 Federal National Mortgage Assn. 4.875 % 12/15/16 44,900 48,524
  1 Federal National Mortgage Assn. 5.000 % 2/13/17 39,875 43,362
  1 Federal National Mortgage Assn. 5.375 % 6/12/17 15,000 16,621
  1 Federal National Mortgage Assn. 0.000 % 10/9/19 15,300 8,825
  1 Financing Corp. Fico 9.400 % 2/8/18 1,475 1,974
  1 Financing Corp. Fico 10.350 % 8/3/18 2,170 3,102
  1 Financing Corp. Fico 9.650 % 11/2/18 10,145 14,105
  1 Financing Corp. Fico 8.600 % 9/26/19 1,275 1,684
    Private Export Funding Corp. 4.375 % 3/15/19 3,500 3,470
  1 Tennessee Valley Authority 4.375 % 6/15/15 7,000 7,459
  1 Tennessee Valley Authority 5.500 % 7/18/17 6,200 6,840
  1 Tennessee Valley Authority 6.250 % 12/15/17 2,600 3,006
  1 Tennessee Valley Authority 4.500 % 4/1/18 5,300 5,424
              565,293
  Total U.S. Government and Agency Obligations (Cost $5,383,810)       5,442,132
Asset -Backed/Commercial Mortgage-Backed Securities (0.1%)        
  3 Banco Bilbao Vizcaya Argentaria SA 5.750 % 7/20/17 225 247
  3 Bank of Scotland PLC 5.250 % 2/21/17 2,225 2,265
  2 Bear Stearns Commercial Mortgage          
    Securities 5.610 % 11/15/33 2,500 2,580
  2,3 Commercial Mortgage Lease-Backed          
    Certificates 6.746 % 6/20/31 279 294
  3 Northern Rock Asset Management PLC 5.625 % 6/22/17 6,325 6,248
  Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $11,522)   11,634
  Corporate Bonds (39.8%)          
  Finance (14.9%)          
    Banking (9.9%)          
    American Express Bank FSB 6.000 % 9/13/17 3,325 3,543
    American Express Centurion Bank 5.950 % 6/12/17 3,275 3,474
    American Express Centurion Bank 6.000 % 9/13/17 4,525 4,808
    American Express Co. 5.500 % 9/12/16 1,400 1,468
    American Express Co. 6.150 % 8/28/17 9,750 10,505
    American Express Co. 7.000 % 3/19/18 10,900 12,328
    American Express Co. 8.125 % 5/20/19 5,675 6,853
  2 American Express Co. 6.800 % 9/1/66 3,525 3,447
    American Express Credit Corp. 5.300 % 12/2/15 2,000 2,111


  Amsouth Bank 5.200 % 4/1/15 2,650 2,428
  Associates Corp. of North America 6.950 % 11/1/18 1,150 1,216
  Bank of America Corp. 4.500 % 4/1/15 11,250 11,335
  Bank of America Corp. 7.750 % 8/15/15 1,000 1,126
  Bank of America Corp. 5.250 % 12/1/15 1,900 1,950
  Bank of America Corp. 6.500 % 8/1/16 12,675 13,705
  Bank of America Corp. 5.750 % 8/15/16 3,900 3,993
  Bank of America Corp. 5.625 % 10/14/16 17,150 17,660
  Bank of America Corp. 5.420 % 3/15/17 10,200 10,076
  Bank of America Corp. 6.000 % 9/1/17 4,150 4,312
  Bank of America Corp. 5.750 % 12/1/17 6,325 6,476
  Bank of America Corp. 5.650 % 5/1/18 25,950 26,278
  Bank of America Corp. 7.625 % 6/1/19 7,350 8,402
  Bank of America NA 5.300 % 3/15/17 15,550 15,395
  Bank of America NA 6.100 % 6/15/17 500 515
  Bank of New York Mellon Corp. 5.450 % 5/15/19 3,760 4,015
  Bank One Corp. 4.900 % 4/30/15 2,375 2,465
  Barclays Bank PLC 5.000 % 9/22/16 10,100 10,389
  Barclays Bank PLC 6.750 % 5/22/19 7,500 8,282
  Barclays Bank PLC 5.125 % 1/8/20 12,925 12,740
  BB&T Corp. 5.200 % 12/23/15 10,825 11,342
  BB&T Corp. 6.850 % 4/30/19 4,975 5,642
  Bear Stearns Cos. LLC 5.300 % 10/30/15 1,100 1,169
  Bear Stearns Cos. LLC 5.550 % 1/22/17 12,300 12,790
  Bear Stearns Cos. LLC 6.400 % 10/2/17 19,200 21,236
  Bear Stearns Cos. LLC 7.250 % 2/1/18 12,350 14,247
  Branch Banking & Trust Co. 5.625 % 9/15/16 50 52
  Capital One Bank USA NA 8.800 % 7/15/19 4,825 5,831
  Capital One Financial Corp. 5.500 % 6/1/15 875 914
  Capital One Financial Corp. 6.150 % 9/1/16 6,325 6,539
  Capital One Financial Corp. 6.750 % 9/15/17 7,650 8,446
2,3 Citicorp Lease Pass-Through Trust 1999-1 8.040 % 12/15/19 2,100 2,316
  Citigroup Inc. 5.300 % 1/7/16 10,825 10,967
  Citigroup Inc. 5.500 % 2/15/17 8,750 8,645
  Citigroup Inc. 6.000 % 8/15/17 12,750 13,012
  Citigroup Inc. 6.125 % 11/21/17 20,975 21,540
  Citigroup Inc. 6.125 % 5/15/18 13,600 13,888
  Citigroup Inc. 8.500 % 5/22/19 9,775 11,417
  Comerica Bank 5.750 % 11/21/16 5,025 5,203
  Comerica Bank 5.200 % 8/22/17 3,025 2,920
  Comerica Inc. 4.800 % 5/1/15 1,500 1,510
  Compass Bank 6.400 % 10/1/17 1,600 1,606
  Countrywide Financial Corp. 6.250 % 5/15/16 3,775 3,835
  Credit Suisse 6.000 % 2/15/18 12,075 12,784
  Credit Suisse 5.300 % 8/13/19 4,575 4,696
2 Credit Suisse 5.860 % 5/15/49 6,200 5,813
  Credit Suisse AG 5.400 % 1/14/20 6,475 6,532
  Credit Suisse USA Inc. 5.125 % 8/15/15 16,970 18,171
  Credit Suisse USA Inc. 5.850 % 8/16/16 3,250 3,482
  Deutsche Bank AG 6.000 % 9/1/17 13,400 14,668
  Discover Bank 8.700 % 11/18/19 2,500 2,732
  Fifth Third Bancorp 5.450 % 1/15/17 3,000 2,961
  Fifth Third Bancorp 4.500 % 6/1/18 1,550 1,420
2 Fifth Third Capital Trust IV 6.500 % 4/15/67 5,750 4,873
  First Niagara Financial Group Inc. 6.750 % 3/19/20 1,275 1,293
  Goldman Sachs Group Inc. 5.350 % 1/15/16 11,150 11,723
  Goldman Sachs Group Inc. 5.750 % 10/1/16 2,950 3,150
  Goldman Sachs Group Inc. 5.625 % 1/15/17 9,725 9,956


  Goldman Sachs Group Inc. 6.250 % 9/1/17 14,825 15,937
  Goldman Sachs Group Inc. 5.950 % 1/18/18 21,875 22,936
  Goldman Sachs Group Inc. 6.150 % 4/1/18 15,175 16,023
  Goldman Sachs Group Inc. 7.500 % 2/15/19 5,875 6,697
  Goldman Sachs Group Inc. 5.375 % 3/15/20 12,525 12,412
3 HBOS PLC 6.750 % 5/21/18 925 850
  JPMorgan Chase & Co. 5.250 % 5/1/15 1,975 2,085
  JPMorgan Chase & Co. 5.150 % 10/1/15 5,250 5,524
  JPMorgan Chase & Co. 6.125 % 6/27/17 4,325 4,648
  JPMorgan Chase & Co. 6.000 % 1/15/18 21,800 23,577
  JPMorgan Chase & Co. 6.300 % 4/23/19 9,975 10,960
  JPMorgan Chase & Co. 4.950 % 3/25/20 4,700 4,644
  JPMorgan Chase Bank NA 5.875 % 6/13/16 6,400 6,848
  JPMorgan Chase Bank NA 6.000 % 10/1/17 8,000 8,539
  KeyBank NA 4.950 % 9/15/15 1,000 986
  KeyBank NA 5.450 % 3/3/16 3,025 2,975
  M&I Marshall & Ilsley Bank 4.850 % 6/16/15 700 610
  M&I Marshall & Ilsley Bank 5.000 % 1/17/17 1,950 1,672
  Manufacturers & Traders Trust Co. 6.625 % 12/4/17 5,425 5,790
2 Manufacturers & Traders Trust Co. 5.585 % 12/28/20 2,400 2,191
  MBNA Corp. 5.000 % 6/15/15 1,300 1,298
  Merrill Lynch & Co. Inc. 6.050 % 5/16/16 7,200 7,360
  Merrill Lynch & Co. Inc. 5.700 % 5/2/17 5,550 5,507
  Merrill Lynch & Co. Inc. 6.400 % 8/28/17 9,750 10,272
  Merrill Lynch & Co. Inc. 6.875 % 4/25/18 31,850 34,316
  Merrill Lynch & Co. Inc. 6.500 % 7/15/18 4,125 4,303
  Morgan Stanley 6.000 % 4/28/15 10,800 11,572
  Morgan Stanley 5.375 % 10/15/15 7,050 7,328
  Morgan Stanley 5.750 % 10/18/16 8,950 9,273
  Morgan Stanley 5.450 % 1/9/17 10,825 11,018
  Morgan Stanley 5.550 % 4/27/17 18,325 18,696
  Morgan Stanley 6.250 % 8/28/17 12,000 12,609
  Morgan Stanley 5.950 % 12/28/17 18,725 19,267
  Morgan Stanley 6.625 % 4/1/18 13,325 14,227
  Morgan Stanley 7.300 % 5/13/19 11,175 12,344
  Morgan Stanley 5.625 % 9/23/19 10,200 10,127
  Morgan Stanley 5.500 % 1/26/20 3,000 2,943
  National City Bank 5.800 % 6/7/17 4,000 4,177
  National City Corp. 6.875 % 5/15/19 1,700 1,874
  North American Development Bank 4.375 % 2/11/20 1,200 1,178
  Northern Trust Co. 6.500 % 8/15/18 1,275 1,429
  PNC Bank NA 4.875 % 9/21/17 2,950 2,945
  PNC Bank NA 6.000 % 12/7/17 1,125 1,186
  PNC Funding Corp. 4.250 % 9/21/15 1,675 1,731
  PNC Funding Corp. 5.250 % 11/15/15 3,575 3,765
  PNC Funding Corp. 5.625 % 2/1/17 7,625 7,891
  PNC Funding Corp. 6.700 % 6/10/19 2,575 2,887
  PNC Funding Corp. 5.125 % 2/8/20 2,725 2,748
  Regions Bank 7.500 % 5/15/18 1,100 1,102
  Royal Bank of Scotland Group PLC 4.700 % 7/3/18 800 646
  Royal Bank of Scotland Group PLC 6.400 % 10/21/19 6,650 6,648
  Royal Bank Of Scotland NV 4.650 % 6/4/18 1,925 1,683
  Sovereign Bank 8.750 % 5/30/18 2,825 3,217
2,3 Standard Chartered PLC 6.409 % 12/31/49 1,500 1,350
  State Street Bank and Trust Co. 5.300 % 1/15/16 1,825 1,937
  State Street Bank and Trust Co. 5.250 % 10/15/18 1,000 1,038
  SunTrust Bank 5.000 % 9/1/15 1,650 1,655
  SunTrust Bank 5.200 % 1/17/17 150 147


SunTrust Bank 5.450 % 12/1/17 2,350 2,315
SunTrust Bank 7.250 % 3/15/18 3,550 3,785
SunTrust Banks Inc. 6.000 % 9/11/17 1,925 1,956
UBS AG 5.875 % 7/15/16 4,800 4,893
UBS AG 5.875 % 12/20/17 15,375 15,933
UBS AG 5.750 % 4/25/18 12,975 13,325
Union Bank NA 5.950 % 5/11/16 4,100 4,284
US Bank NA 4.800 % 4/15/15 1,000 1,059
Wachovia Bank NA 6.000 % 11/15/17 5,275 5,628
Wachovia Corp. 5.625 % 10/15/16 4,000 4,217
Wachovia Corp. 5.750 % 6/15/17 7,475 7,971
Wachovia Corp. 5.750 % 2/1/18 10,450 11,088
Wells Fargo & Co. 3.625 % 4/15/15 5,500 5,494
Wells Fargo & Co. 5.625 % 12/11/17 18,075 19,137
Wells Fargo Bank NA 5.750 % 5/16/16 5,300 5,699
Westpac Banking Corp. 4.875 % 11/19/19 10,575 10,424
 
Brokerage (0.3%)          
Ameriprise Financial Inc. 5.650 % 11/15/15 3,450 3,730
Ameriprise Financial Inc. 7.300 % 6/28/19 600 694
Ameriprise Financial Inc. 5.300 % 3/15/20 2,250 2,270
2 Ameriprise Financial Inc. 7.518 % 6/1/66 2,000 1,946
BlackRock Inc. 6.250 % 9/15/17 2,950 3,218
BlackRock Inc. 5.000 % 12/10/19 3,900 3,890
Jefferies Group Inc. 5.500 % 3/15/16 4,500 4,551
Jefferies Group Inc. 8.500 % 7/15/19 1,325 1,476
Lazard Group LLC 6.850 % 6/15/17 5,525 5,592
Nomura Holdings Inc. 6.700 % 3/4/20 350 362
TD Ameritrade Holding Corp. 5.600 % 12/1/19 2,225 2,246
 
Finance Companies (1.3%)          
Discover Financial Services 6.450 % 6/12/17 1,500 1,486
General Electric Capital Corp. 4.375 % 9/21/15 1,900 1,954
General Electric Capital Corp. 5.400 % 2/15/17 23,600 24,651
General Electric Capital Corp. 5.625 % 9/15/17 4,500 4,735
General Electric Capital Corp. 5.625 % 5/1/18 27,925 29,102
General Electric Capital Corp. 6.000 % 8/7/19 6,925 7,313
General Electric Capital Corp. 5.500 % 1/8/20 9,100 9,269
2 General Electric Capital Corp. 6.375 % 11/15/67 14,525 13,653
2 HSBC Finance Capital Trust IX 5.911 % 11/30/35 3,925 3,513
HSBC Finance Corp. 5.000 % 6/30/15 22,300 23,170
SLM Corp. 8.450 % 6/15/18 14,175 14,311
SLM Corp. 8.000 % 3/25/20 5,150 5,008
 
Insurance (2.3%)          
ACE INA Holdings Inc. 5.600 % 5/15/15 2,050 2,239
ACE INA Holdings Inc. 5.700 % 2/15/17 2,400 2,578
ACE INA Holdings Inc. 5.800 % 3/15/18 1,850 1,992
ACE INA Holdings Inc. 5.900 % 6/15/19 1,925 2,091
Aetna Inc. 6.000 % 6/15/16 5,250 5,741
Aetna Inc. 6.500 % 9/15/18 1,450 1,616
Aflac Inc. 8.500 % 5/15/19 3,400 4,073
Allied World Assurance Co. Holdings Ltd. 7.500 % 8/1/16 4,575 4,911
2 Allstate Corp. 6.125 % 5/15/37 2,575 2,446
American Financial Group Inc. 9.875 % 6/15/19 1,625 1,909
American International Group Inc. 5.050 % 10/1/15 9,675 8,974
American International Group Inc. 5.600 % 10/18/16 875 809
American International Group Inc. 5.450 % 5/18/17 6,425 5,887


American International Group Inc. 5.850 % 1/16/18 12,925 11,988
American International Group Inc. 8.250 % 8/15/18 8,620 8,986
Berkshire Hathaway Finance Corp. 5.400 % 5/15/18 5,400 5,714
Chubb Corp. 5.750 % 5/15/18 5,600 6,058
2 Chubb Corp. 6.375 % 3/29/67 5,225 5,237
CIGNA Corp. 6.350 % 3/15/18 4,050 4,327
CNA Financial Corp. 6.500 % 8/15/16 3,400 3,465
CNA Financial Corp. 7.350 % 11/15/19 875 910
Coventry Health Care Inc. 5.950 % 3/15/17 3,000 2,855
Genworth Financial Inc. 4.950 % 10/1/15 1,450 1,399
Genworth Financial Inc. 8.625 % 12/15/16 2,550 2,777
Hartford Financial Services Group Inc. 5.500 % 10/15/16 4,525 4,579
Hartford Financial Services Group Inc. 5.375 % 3/15/17 2,200 2,205
Hartford Financial Services Group Inc. 6.000 % 1/15/19 1,125 1,149
HCC Insurance Holdings Inc. 6.300 % 11/15/19 1,600 1,660
Humana Inc. 6.450 % 6/1/16 875 912
Humana Inc. 7.200 % 6/15/18 5,150 5,568
Humana Inc. 6.300 % 8/1/18 750 763
Lincoln National Corp. 8.750 % 7/1/19 2,325 2,813
Loews Corp. 5.250 % 3/15/16 1,850 1,928
Markel Corp. 7.125 % 9/30/19 1,575 1,686
Marsh & McLennan Cos. Inc. 5.750 % 9/15/15 5,550 5,848
Marsh & McLennan Cos. Inc. 9.250 % 4/15/19 1,350 1,670
MetLife Inc. 5.000 % 6/15/15 7,450 7,817
MetLife Inc. 6.750 % 6/1/16 3,750 4,196
MetLife Inc. 6.817 % 8/15/18 5,500 6,103
MetLife Inc. 7.717 % 2/15/19 3,750 4,374
Principal Financial Group Inc. 8.875 % 5/15/19 4,500 5,403
2 Progressive Corp. 6.700 % 6/15/37 5,900 5,773
Protective Life Corp. 7.375 % 10/15/19 1,600 1,700
Prudential Financial Inc. 4.750 % 9/17/15 2,600 2,676
Prudential Financial Inc. 5.500 % 3/15/16 575 607
Prudential Financial Inc. 6.100 % 6/15/17 500 527
Prudential Financial Inc. 6.000 % 12/1/17 5,650 5,993
Prudential Financial Inc. 7.375 % 6/15/19 8,825 10,085
2 Reinsurance Group of America Inc. 6.750 % 12/15/65 4,400 4,033
Swiss Re Solutions Holding Corp. 6.450 % 3/1/19 400 410
Torchmark Corp. 6.375 % 6/15/16 1,750 1,779
Transatlantic Holdings Inc. 5.750 % 12/14/15 4,000 4,040
Travelers Cos. Inc. 5.500 % 12/1/15 1,350 1,481
Travelers Cos. Inc. 6.250 % 6/20/16 2,025 2,242
Travelers Cos. Inc. 5.750 % 12/15/17 3,550 3,840
Travelers Cos. Inc. 5.800 % 5/15/18 1,975 2,129
Travelers Cos. Inc. 5.900 % 6/2/19 1,075 1,171
2 Travelers Cos. Inc. 6.250 % 3/15/37 3,950 3,877
UnitedHealth Group Inc. 6.000 % 6/15/17 2,775 2,973
UnitedHealth Group Inc. 6.000 % 2/15/18 4,350 4,637
Unum Group 7.125 % 9/30/16 1,800 1,949
WellPoint Inc. 5.250 % 1/15/16 5,300 5,601
WellPoint Inc. 5.875 % 6/15/17 3,025 3,243
Willis North America Inc. 5.625 % 7/15/15 3,150 3,205
Willis North America Inc. 6.200 % 3/28/17 1,625 1,640
Willis North America Inc. 7.000 % 9/29/19 3,250 3,379
 
Other Finance (0.1%)          
Brookfield Asset Management Inc. 7.125 % 6/15/12 1,000 1,068
NASDAQ OMX Group Inc. 5.550 % 1/15/20 2,700 2,683


XTRA Finance Corp. 5.150 % 4/1/17 1,600 1,668
 
Real Estate Investment Trusts (1.0%)          
AMB Property LP 6.625 % 12/1/19 2,225 2,271
AvalonBay Communities Inc. 5.750 % 9/15/16 1,750 1,847
Boston Properties LP 5.625 % 4/15/15 1,925 2,040
Boston Properties LP 5.875 % 10/15/19 1,850 1,918
Brandywine Operating Partnership LP 7.500 % 5/15/15 450 486
Brandywine Operating Partnership LP 5.700 % 5/1/17 1,925 1,830
Camden Property Trust 5.700 % 5/15/17 1,800 1,771
Duke Realty LP 5.950 % 2/15/17 4,975 4,886
Duke Realty LP 8.250 % 8/15/19 1,125 1,248
Duke Realty LP 6.750 % 3/15/20 350 357
ERP Operating LP 5.125 % 3/15/16 5,000 5,139
ERP Operating LP 5.375 % 8/1/16 475 486
ERP Operating LP 5.750 % 6/15/17 1,675 1,730
HCP Inc. 6.300 % 9/15/16 275 281
HCP Inc. 6.000 % 1/30/17 3,750 3,741
HCP Inc. 6.700 % 1/30/18 4,500 4,586
Health Care REIT Inc. 6.200 % 6/1/16 925 985
Health Care REIT Inc. 6.125 % 4/15/20 2,250 2,259
Healthcare Realty Trust Inc. 6.500 % 1/17/17 1,200 1,246
Hospitality Properties Trust 5.625 % 3/15/17 2,500 2,349
HRPT Properties Trust 6.250 % 8/15/16 5,150 5,210
HRPT Properties Trust 6.250 % 6/15/17 3,200 3,157
Kimco Realty Corp. 5.783 % 3/15/16 1,350 1,394
Kimco Realty Corp. 6.875 % 10/1/19 1,575 1,678
Mack-Cali Realty LP 7.750 % 8/15/19 975 1,075
National Retail Properties Inc. 6.875 % 10/15/17 3,000 3,073
ProLogis 5.625 % 11/15/15 2,800 2,772
ProLogis 5.750 % 4/1/16 3,000 2,953
ProLogis 5.625 % 11/15/16 1,925 1,847
ProLogis 7.375 % 10/30/19 2,600 2,677
ProLogis 6.875 % 3/15/20 3,300 3,249
Realty Income Corp. 5.950 % 9/15/16 1,000 1,019
Realty Income Corp. 6.750 % 8/15/19 1,350 1,408
Regency Centers LP 5.250 % 8/1/15 1,000 1,001
Regency Centers LP 5.875 % 6/15/17 3,000 2,945
Simon Property Group LP 5.100 % 6/15/15 1,800 1,855
Simon Property Group LP 5.750 % 12/1/15 4,600 4,854
Simon Property Group LP 6.100 % 5/1/16 1,800 1,895
Simon Property Group LP 5.250 % 12/1/16 8,675 8,586
Simon Property Group LP 6.125 % 5/30/18 3,225 3,306
Simon Property Group LP 5.650 % 2/1/20 4,600 4,484
Tanger Properties LP 6.150 % 11/15/15 1,725 1,789
          1,531,310
Industrial (20.5%)          
Basic Industry (2.3%)          
Agrium Inc. 6.750 % 1/15/19 1,750 1,923
Alcoa Inc. 5.550 % 2/1/17 1,900 1,910
Alcoa Inc. 6.750 % 7/15/18 9,400 9,740
ArcelorMittal 6.125 % 6/1/18 6,925 7,227
ArcelorMittal 9.850 % 6/1/19 7,250 9,203
Barrick Gold Corp. 6.950 % 4/1/19 2,075 2,368
Barrick North America Finance LLC 6.800 % 9/15/18 4,150 4,713
BHP Billiton Finance USA Ltd. 5.250 % 12/15/15 2,725 2,993
BHP Billiton Finance USA Ltd. 5.400 % 3/29/17 2,300 2,490


BHP Billiton Finance USA Ltd. 6.500 % 4/1/19 12,650 14,429
Celulosa Arauco y Constitucion SA 5.625 % 4/20/15 5,150 5,337
Cliffs Natural Resources Inc. 5.900 % 3/15/20 1,525 1,556
Commercial Metals Co. 6.500 % 7/15/17 1,650 1,675
Commercial Metals Co. 7.350 % 8/15/18 1,675 1,756
Cytec Industries Inc. 8.950 % 7/1/17 1,750 2,108
Dow Chemical Co. 8.550 % 5/15/19 13,550 16,356
Eastman Chemical Co. 5.500 % 11/15/19 650 665
EI du Pont de Nemours & Co. 5.250 % 12/15/16 5,925 6,374
EI du Pont de Nemours & Co. 6.000 % 7/15/18 5,975 6,635
EI du Pont de Nemours & Co. 4.625 % 1/15/20 4,450 4,485
Freeport-McMoRan Copper & Gold Inc. 8.250 % 4/1/15 10,000 10,850
Freeport-McMoRan Copper & Gold Inc. 8.375 % 4/1/17 13,800 15,318
International Paper Co. 5.300 % 4/1/15 175 185
International Paper Co. 5.250 % 4/1/16 2,950 2,968
International Paper Co. 7.950 % 6/15/18 8,200 9,549
International Paper Co. 9.375 % 5/15/19 3,775 4,709
International Paper Co. 7.500 % 8/15/21 2,000 2,265
Lubrizol Corp. 8.875 % 2/1/19 3,850 4,836
Monsanto Co. 5.125 % 4/15/18 925 977
3 Mosaic Co. 7.625 % 12/1/16 4,000 4,360
Newmont Mining Corp. 5.125 % 10/1/19 6,025 6,066
Nucor Corp. 5.750 % 12/1/17 825 892
Nucor Corp. 5.850 % 6/1/18 3,275 3,543
Plum Creek Timberlands LP 5.875 % 11/15/15 1,650 1,721
Potash Corp. of Saskatchewan Inc. 3.750 % 9/30/15 8,300 8,372
PPG Industries Inc. 6.650 % 3/15/18 3,425 3,807
Praxair Inc. 3.250 % 9/15/15 3,000 3,003
Praxair Inc. 5.375 % 11/1/16 700 753
Praxair Inc. 5.200 % 3/15/17 1,500 1,582
Praxair Inc. 4.500 % 8/15/19 2,550 2,563
Reliance Steel & Aluminum Co. 6.200 % 11/15/16 650 670
Rio Tinto Alcan Inc. 5.000 % 6/1/15 1,575 1,653
Rio Tinto Finance USA Ltd. 6.500 % 7/15/18 15,350 17,221
Rio Tinto Finance USA Ltd. 9.000 % 5/1/19 3,125 3,997
Rohm and Haas Co. 6.000 % 9/15/17 5,825 6,134
Vale Inco Ltd. 5.700 % 10/15/15 1,675 1,729
Vale Overseas Ltd. 6.250 % 1/11/16 5,825 6,315
Vale Overseas Ltd. 6.250 % 1/23/17 4,575 4,922
Vale Overseas Ltd. 5.625 % 9/15/19 2,000 2,090
Valspar Corp. 7.250 % 6/15/19 1,275 1,441
Xstrata Canada Corp. 6.000 % 10/15/15 2,525 2,757
 
Capital Goods (2.2%)          
3 Acuity Brands Lighting Inc. 6.000 % 12/15/19 1,675 1,641
Allied Waste North America Inc. 7.125 % 5/15/16 4,200 4,569
Allied Waste North America Inc. 6.875 % 6/1/17 5,000 5,450
Bemis Co. Inc. 6.800 % 8/1/19 2,300 2,557
Black & Decker Corp. 5.750 % 11/15/16 1,925 2,110
Boeing Co. 6.000 % 3/15/19 3,975 4,354
Boeing Co. 4.875 % 2/15/20 5,350 5,472
Caterpillar Financial Services Corp. 4.625 % 6/1/15 1,200 1,249
Caterpillar Financial Services Corp. 5.450 % 4/15/18 7,550 7,985
Caterpillar Financial Services Corp. 7.050 % 10/1/18 3,500 4,035
Caterpillar Financial Services Corp. 7.150 % 2/15/19 7,675 8,998
Cooper US Inc. 5.450 % 4/1/15 1,375 1,493
CRH America Inc. 6.000 % 9/30/16 8,375 8,985
CRH America Inc. 8.125 % 7/15/18 4,425 5,210


  Danaher Corp. 5.625 % 1/15/18 1,200 1,293
  Danaher Corp. 5.400 % 3/1/19 1,300 1,384
  Deere & Co. 4.375 % 10/16/19 700 696
  Dover Corp. 4.875 % 10/15/15 2,400 2,599
  Dover Corp. 5.450 % 3/15/18 900 956
  Eaton Corp. 5.600 % 5/15/18 3,825 4,086
  Embraer Overseas Ltd. 6.375 % 1/24/17 1,550 1,600
  Embraer Overseas Ltd. 6.375 % 1/15/20 1,100 1,121
  Emerson Electric Co. 5.125 % 12/1/16 2,500 2,674
  Emerson Electric Co. 5.375 % 10/15/17 5,000 5,374
  Emerson Electric Co. 5.250 % 10/15/18 850 908
  Emerson Electric Co. 4.875 % 10/15/19 1,450 1,516
  General Electric Co. 5.250 % 12/6/17 20,475 21,483
  Goodrich Corp. 6.125 % 3/1/19 3,472 3,801
  Harsco Corp. 5.750 % 5/15/18 2,550 2,520
  Honeywell International Inc. 5.400 % 3/15/16 1,825 2,012
  Honeywell International Inc. 5.300 % 3/15/17 1,000 1,057
  Honeywell International Inc. 5.300 % 3/1/18 4,025 4,297
  Honeywell International Inc. 5.000 % 2/15/19 3,650 3,792
  Illinois Tool Works Inc. 6.250 % 4/1/19 5,900 6,641
  Ingersoll-Rand Global Holding Co. Ltd. 6.875 % 8/15/18 6,100 6,858
  John Deere Capital Corp. 5.500 % 4/13/17 2,300 2,461
  John Deere Capital Corp. 5.750 % 9/10/18 9,925 10,835
  Joy Global Inc. 6.000 % 11/15/16 1,275 1,346
3 L-3 Communications Corp. 5.200 % 10/15/19 4,075 4,070
  Lafarge SA 6.500 % 7/15/16 6,500 6,850
  Lockheed Martin Corp. 7.650 % 5/1/16 3,000 3,579
  Lockheed Martin Corp. 4.250 % 11/15/19 2,450 2,368
  Martin Marietta Materials Inc. 6.600 % 4/15/18 2,050 2,176
  Northrop Grumman Systems Corp. 7.750 % 3/1/16 2,900 3,504
  Owens Corning 6.500 % 12/1/16 4,850 5,109
  Parker Hannifin Corp. 5.500 % 5/15/18 2,000 2,130
  Raytheon Co. 6.400 % 12/15/18 500 568
  Raytheon Co. 4.400 % 2/15/20 1,225 1,212
3 Republic Services Inc. 5.500 % 9/15/19 1,825 1,863
3 Republic Services Inc. 5.000 % 3/1/20 4,025 3,932
3 Republic Services Inc. 5.250 % 11/15/21 875 860
  Rockwell Collins Inc. 5.250 % 7/15/19 650 682
  Roper Industries Inc. 6.250 % 9/1/19 2,900 3,061
2,3 Systems 2001 AT LLC 7.156 % 12/15/11 244 256
  Textron Inc. 5.600 % 12/1/17 3,700 3,715
  Tyco International Finance SA 8.500 % 1/15/19 3,650 4,524
  Tyco International Ltd. / Tyco International          
  Finance SA 7.000 % 12/15/19 850 973
  United Technologies Corp. 4.875 % 5/1/15 1,950 2,115
  United Technologies Corp. 5.375 % 12/15/17 5,100 5,496
  United Technologies Corp. 6.125 % 2/1/19 8,000 8,997
  Vulcan Materials Co. 7.000 % 6/15/18 3,275 3,576
  Waste Management Inc. 6.375 % 11/15/12 1,000 1,104
  Waste Management Inc. 7.375 % 3/11/19 1,450 1,678
 
  Communication (3.8%)          
3 America Movil SAB de CV 5.000 % 10/16/19 4,500 4,441
3 America Movil SAB de CV 5.000 % 3/30/20 7,000 6,914
  American Tower Corp. 4.625 % 4/1/15 4,850 4,980
  AT&T Inc. 5.625 % 6/15/16 4,975 5,472
  AT&T Inc. 5.500 % 2/1/18 12,350 13,086
  AT&T Inc. 5.600 % 5/15/18 2,475 2,627


AT&T Inc. 5.800 % 2/15/19 16,125 17,236
BellSouth Corp. 5.200 % 12/15/16 1,025 1,099
British Telecommunications PLC 5.950 % 1/15/18 4,875 4,992
CBS Corp. 8.875 % 5/15/19 4,050 4,900
CBS Corp. 5.750 % 4/15/20 220 221
Cellco Partnership / Verizon Wireless Capital          
LLC 8.500 % 11/15/18 11,700 14,597
CenturyTel Inc. 6.000 % 4/1/17 2,475 2,527
CenturyTel Inc. 6.150 % 9/15/19 500 497
Comcast Cable Communications LLC 8.875 % 5/1/17 1,700 2,062
Comcast Corp. 5.900 % 3/15/16 11,925 13,015
Comcast Corp. 4.950 % 6/15/16 2,175 2,272
Comcast Corp. 6.500 % 1/15/17 1,575 1,749
Comcast Corp. 6.300 % 11/15/17 7,125 7,840
Comcast Corp. 5.875 % 2/15/18 5,375 5,755
Comcast Corp. 5.700 % 5/15/18 3,950 4,177
Comcast Corp. 5.700 % 7/1/19 1,075 1,125
COX Communications Inc. 5.500 % 10/1/15 1,250 1,346
Deutsche Telekom International Finance BV 5.750 % 3/23/16 2,725 2,936
Deutsche Telekom International Finance BV 6.750 % 8/20/18 4,550 5,094
Deutsche Telekom International Finance BV 6.000 % 7/8/19 4,125 4,423
3 DIRECTV Holdings LLC 5.200 % 3/15/20 8,000 7,949
DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 6.375 % 6/15/15 6,500 6,736
DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 7.625 % 5/15/16 1,900 2,123
3 DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 5.875 % 10/1/19 4,150 4,331
Embarq Corp. 7.082 % 6/1/16 9,275 10,093
France Telecom SA 5.375 % 7/8/19 2,625 2,780
GTE Corp. 6.840 % 4/15/18 1,000 1,107
McGraw-Hill Cos. Inc. 5.900 % 11/15/17 2,950 3,119
News America Inc. 6.900 % 3/1/19 9,200 10,476
Omnicom Group Inc. 5.900 % 4/15/16 6,400 6,900
Qwest Corp. 8.375 % 5/1/16 3,500 3,938
Qwest Corp. 6.500 % 6/1/17 4,000 4,170
Reed Elsevier Capital Inc. 8.625 % 1/15/19 4,100 5,117
Rogers Communications Inc. 6.800 % 8/15/18 11,740 13,311
RR Donnelley & Sons Co. 5.500 % 5/15/15 2,365 2,364
RR Donnelley & Sons Co. 8.600 % 8/15/16 525 582
RR Donnelley & Sons Co. 6.125 % 1/15/17 2,650 2,654
^ RR Donnelley & Sons Co. 11.250 % 2/1/19 2,900 3,628
TCI Communications Inc. 8.750 % 8/1/15 3,895 4,713
Telecom Italia Capital SA 5.250 % 10/1/15 6,625 6,795
Telecom Italia Capital SA 6.999 % 6/4/18 2,625 2,841
Telecom Italia Capital SA 7.175 % 6/18/19 7,500 8,102
Telefonica Emisiones SAU 6.421 % 6/20/16 12,975 14,509
Telefonica Emisiones SAU 5.877 % 7/15/19 1,900 2,032
Thomson Reuters Corp. 6.500 % 7/15/18 3,950 4,431
Thomson Reuters Corp. 4.700 % 10/15/19 1,000 996
Time Warner Cable Inc. 5.850 % 5/1/17 15,625 16,711
Time Warner Cable Inc. 6.750 % 7/1/18 11,900 13,305
Time Warner Cable Inc. 8.750 % 2/14/19 1,575 1,951
Time Warner Cable Inc. 8.250 % 4/1/19 5,475 6,603
Time Warner Cable Inc. 5.000 % 2/1/20 4,625 4,542
Verizon Communications Inc. 4.900 % 9/15/15 2,000 2,157
Verizon Communications Inc. 5.550 % 2/15/16 12,150 13,314
Verizon Communications Inc. 5.500 % 2/15/18 9,575 10,116


Verizon Communications Inc. 6.100 % 4/15/18 800 872
Verizon Communications Inc. 8.750 % 11/1/18 11,075 13,911
Verizon Communications Inc. 6.350 % 4/1/19 8,950 9,896
Vodafone Group PLC 5.000 % 9/15/15 1,250 1,324
Vodafone Group PLC 5.750 % 3/15/16 5,350 5,812
Vodafone Group PLC 5.625 % 2/27/17 7,425 7,961
Vodafone Group PLC 5.450 % 6/10/19 5,400 5,624
Washington Post Co. 7.250 % 2/1/19 1,075 1,206
 
Consumer Cyclical (1.7%)          
Costco Wholesale Corp. 5.500 % 3/15/17 7,925 8,713
CVS Caremark Corp. 5.750 % 6/1/17 12,675 13,615
CVS Caremark Corp. 6.600 % 3/15/19 4,100 4,567
Darden Restaurants Inc. 6.200 % 10/15/17 4,025 4,374
Home Depot Inc. 5.400 % 3/1/16 12,550 13,549
Johnson Controls Inc. 5.500 % 1/15/16 3,000 3,209
Johnson Controls Inc. 5.000 % 3/30/20 1,850 1,838
Kohl's Corp. 6.250 % 12/15/17 4,000 4,441
Lowe's Cos. Inc. 5.000 % 10/15/15 25 27
Lowe's Cos. Inc. 5.400 % 10/15/16 4,525 4,946
Lowe's Cos. Inc. 6.100 % 9/15/17 600 669
Marriott International Inc. 6.200 % 6/15/16 2,600 2,711
Marriott International Inc. 6.375 % 6/15/17 2,450 2,571
McDonald's Corp. 5.300 % 3/15/17 750 806
McDonald's Corp. 5.800 % 10/15/17 3,950 4,407
McDonald's Corp. 5.350 % 3/1/18 4,775 5,180
McDonald's Corp. 5.000 % 2/1/19 725 766
Nordstrom Inc. 6.250 % 1/15/18 2,700 2,964
Target Corp. 5.875 % 7/15/16 5,375 6,095
Target Corp. 6.000 % 1/15/18 6,750 7,556
Time Warner Inc. 5.875 % 11/15/16 9,600 10,503
Time Warner Inc. 4.875 % 3/15/20 5,400 5,264
TJX Cos. Inc. 6.950 % 4/15/19 2,950 3,426
Toll Brothers Finance Corp. 5.150 % 5/15/15 2,150 2,151
Toll Brothers Finance Corp. 6.750 % 11/1/19 1,425 1,432
VF Corp. 5.950 % 11/1/17 1,125 1,230
Viacom Inc. 6.250 % 4/30/16 8,800 9,718
Viacom Inc. 6.125 % 10/5/17 50 54
Viacom Inc. 5.625 % 9/15/19 2,175 2,262
Wal-Mart Stores Inc. 2.875 % 4/1/15 1,350 1,347
Wal-Mart Stores Inc. 4.500 % 7/1/15 7,025 7,504
Wal-Mart Stores Inc. 5.375 % 4/5/17 2,575 2,813
Wal-Mart Stores Inc. 5.800 % 2/15/18 6,525 7,271
Walgreen Co. 5.250 % 1/15/19 5,600 5,950
Walt Disney Co. 5.625 % 9/15/16 3,500 3,898
Walt Disney Co. 5.875 % 12/15/17 2,600 2,883
Walt Disney Co. 5.500 % 3/15/19 1,575 1,702
Western Union Co. 5.930 % 10/1/16 3,800 4,167
Yum! Brands Inc. 6.250 % 4/15/16 2,750 3,031
Yum! Brands Inc. 6.250 % 3/15/18 4,525 4,944
 
Consumer Noncyclical (5.3%)          
Abbott Laboratories 5.875 % 5/15/16 12,900 14,558
Abbott Laboratories 5.600 % 11/30/17 5,000 5,494
Abbott Laboratories 5.125 % 4/1/19 5,200 5,468
Allergan Inc. 5.750 % 4/1/16 3,300 3,664
Altria Group Inc. 9.700 % 11/10/18 20,300 24,895
Altria Group Inc. 9.250 % 8/6/19 3,800 4,583


AmerisourceBergen Corp. 5.875 % 9/15/15 4,425 4,859
Amgen Inc. 5.850 % 6/1/17 6,075 6,735
Amgen Inc. 5.700 % 2/1/19 7,950 8,678
Anheuser-Busch Cos. Inc. 5.600 % 3/1/17 4,100 4,342
Anheuser-Busch Cos. Inc. 5.500 % 1/15/18 4,450 4,714
Anheuser-Busch InBev Worldwide Inc. 5.375 % 1/15/20 9,050 9,277
3 Anheuser-Busch InBev Worldwide Inc. 5.000 % 4/15/20 1,750 1,759
Archer-Daniels-Midland Co. 8.375 % 4/15/17 1,375 1,685
Archer-Daniels-Midland Co. 5.450 % 3/15/18 4,050 4,337
AstraZeneca PLC 5.900 % 9/15/17 10,925 12,180
Baxter International Inc. 5.900 % 9/1/16 2,600 2,918
Baxter International Inc. 5.375 % 6/1/18 3,500 3,748
Becton Dickinson and Co. 5.000 % 5/15/19 2,975 3,100
Biogen Idec Inc. 6.875 % 3/1/18 4,950 5,453
Bottling Group LLC 5.500 % 4/1/16 2,550 2,812
Bottling Group LLC 5.125 % 1/15/19 7,400 7,752
Bristol-Myers Squibb Co. 5.450 % 5/1/18 3,125 3,360
Bunge Ltd. Finance Corp. 5.100 % 7/15/15 1,925 1,975
Bunge Ltd. Finance Corp. 8.500 % 6/15/19 3,800 4,395
Cardinal Health Inc. 4.000 % 6/15/15 2,200 2,207
CareFusion Corp. 6.375 % 8/1/19 2,750 3,007
Clorox Co. 5.950 % 10/15/17 1,000 1,096
Coca-Cola Co. 5.350 % 11/15/17 6,150 6,718
Coca-Cola Co. 4.875 % 3/15/19 8,950 9,299
Coca-Cola Enterprises Inc. 4.500 % 8/15/19 900 908
3 Coca-Cola Femsa SAB de CV 4.625 % 2/15/20 2,000 1,973
ConAgra Foods Inc. 5.819 % 6/15/17 1,500 1,600
ConAgra Foods Inc. 7.000 % 4/15/19 500 575
Covidien International Finance SA 6.000 % 10/15/17 8,125 8,905
Delhaize Group SA 6.500 % 6/15/17 2,800 3,080
Diageo Capital PLC 5.500 % 9/30/16 4,500 4,892
Diageo Capital PLC 5.750 % 10/23/17 4,800 5,202
Diageo Finance BV 5.300 % 10/28/15 2,675 2,934
Dr Pepper Snapple Group Inc. 6.820 % 5/1/18 6,075 6,917
Eli Lilly & Co. 5.200 % 3/15/17 4,925 5,298
Express Scripts Inc. 7.250 % 6/15/19 2,050 2,373
Fisher Scientific International Inc. 6.125 % 7/1/15 4,000 4,160
Fortune Brands Inc. 5.375 % 1/15/16 3,325 3,410
Genentech Inc. 4.750 % 7/15/15 3,250 3,477
General Mills Inc. 5.700 % 2/15/17 7,850 8,480
General Mills Inc. 5.650 % 2/15/19 6,875 7,362
GlaxoSmithKline Capital Inc. 5.650 % 5/15/18 14,250 15,419
Hasbro Inc. 6.300 % 9/15/17 2,175 2,337
Hershey Co. 5.450 % 9/1/16 2,100 2,247
Hospira Inc. 6.400 % 5/15/15 1,875 2,094
Hospira Inc. 6.050 % 3/30/17 2,000 2,137
Johnson & Johnson 5.550 % 8/15/17 550 607
Johnson & Johnson 5.150 % 7/15/18 7,325 7,895
Kellogg Co. 4.150 % 11/15/19 5,600 5,520
Kimberly-Clark Corp. 4.875 % 8/15/15 1,025 1,102
Kimberly-Clark Corp. 6.125 % 8/1/17 7,000 7,835
Kimberly-Clark Corp. 6.250 % 7/15/18 675 759
Koninklijke Philips Electronics NV 5.750 % 3/11/18 8,400 8,989
Kraft Foods Inc. 4.125 % 2/9/16 3,525 3,564
Kraft Foods Inc. 6.500 % 8/11/17 16,450 18,375
Kraft Foods Inc. 6.125 % 2/1/18 5,750 6,279
Kraft Foods Inc. 6.125 % 8/23/18 700 759
Kraft Foods Inc. 5.375 % 2/10/20 20,100 20,315


Kroger Co. 3.900 % 10/1/15 3,500 3,530
Kroger Co. 6.400 % 8/15/17 1,950 2,156
Kroger Co. 6.150 % 1/15/20 3,994 4,335
Laboratory Corp. of America Holdings 5.625 % 12/15/15 1,250 1,346
Life Technologies Corp. 6.000 % 3/1/20 3,150 3,224
Lorillard Tobacco Co. 8.125 % 6/23/19 4,900 5,397
McKesson Corp. 5.700 % 3/1/17 1,000 1,068
McKesson Corp. 7.500 % 2/15/19 1,825 2,153
3 Mead Johnson Nutrition Co. 4.900 % 11/1/19 2,475 2,441
Medco Health Solutions Inc. 7.125 % 3/15/18 4,100 4,670
Medtronic Inc. 4.750 % 9/15/15 3,200 3,453
Medtronic Inc. 5.600 % 3/15/19 1,525 1,655
Medtronic Inc. 4.450 % 3/15/20 4,475 4,438
Merck & Co. Inc. 4.000 % 6/30/15 4,650 4,867
Merck & Co. Inc. 6.000 % 9/15/17 5,775 6,499
Merck & Co. Inc. 5.000 % 6/30/19 5,650 5,925
Novant Health Inc. 5.850 % 11/1/19 1,300 1,321
Novartis Capital Corp. 2.900 % 4/24/15 5,000 4,947
Novartis Capital Corp. 4.400 % 4/24/20 325 323
Novartis Securities Investment Ltd. 5.125 % 2/10/19 15,875 16,730
PepsiAmericas Inc. 5.000 % 5/15/17 750 788
PepsiCo Inc. 5.000 % 6/1/18 9,200 9,707
PepsiCo Inc. 7.900 % 11/1/18 8,700 10,760
PepsiCo Inc. 4.500 % 1/15/20 1,900 1,916
Pfizer Inc. 6.200 % 3/15/19 17,600 19,791
Philip Morris International Inc. 5.650 % 5/16/18 11,975 12,899
Procter & Gamble Co. 4.850 % 12/15/15 5,000 5,487
Procter & Gamble Co. 4.700 % 2/15/19 3,350 3,439
Quest Diagnostics Inc. 5.450 % 11/1/15 1,900 2,050
Quest Diagnostics Inc. 6.400 % 7/1/17 1,325 1,466
Reynolds American Inc. 7.625 % 6/1/16 1,000 1,116
Reynolds American Inc. 6.750 % 6/15/17 6,500 6,939
Safeway Inc. 6.350 % 8/15/17 3,875 4,285
Safeway Inc. 5.000 % 8/15/19 2,750 2,774
St. Jude Medical Inc. 4.875 % 7/15/19 2,650 2,702
Stryker Corp. 4.375 % 1/15/20 1,950 1,930
Sysco Corp. 5.250 % 2/12/18 2,500 2,634
Teva Pharmaceutical Finance Co. LLC 5.550 % 2/1/16 2,675 2,891
Unilever Capital Corp. 4.800 % 2/15/19 2,475 2,550
UST Inc. 5.750 % 3/1/18 975 976
Wyeth 5.500 % 2/15/16 5,000 5,560
Wyeth 5.450 % 4/1/17 1,725 1,883
Zimmer Holdings Inc. 4.625 % 11/30/19 3,175 3,134
 
Energy (2.5%)          
Anadarko Petroleum Corp. 5.950 % 9/15/16 12,000 13,049
Anadarko Petroleum Corp. 6.950 % 6/15/19 2,700 3,045
Apache Corp. 5.625 % 1/15/17 3,625 3,975
Apache Corp. 6.900 % 9/15/18 2,800 3,271
Baker Hughes Inc. 7.500 % 11/15/18 3,000 3,593
BJ Services Co. 6.000 % 6/1/18 1,225 1,325
BP Capital Markets PLC 4.750 % 3/10/19 3,975 4,082
Cameron International Corp. 6.375 % 7/15/18 1,600 1,732
Canadian Natural Resources Ltd. 6.000 % 8/15/16 4,000 4,346
Canadian Natural Resources Ltd. 5.700 % 5/15/17 3,625 3,868
3 Cenovus Energy Inc. 5.700 % 10/15/19 8,900 9,283
Chevron Corp. 4.950 % 3/3/19 6,300 6,584
ConocoPhillips 5.750 % 2/1/19 10,875 11,852


ConocoPhillips Canada Funding Co. I 5.625 % 10/15/16 9,825 10,862
Devon Energy Corp. 6.300 % 1/15/19 3,500 3,903
Diamond Offshore Drilling Inc. 4.875 % 7/1/15 2,050 2,196
Diamond Offshore Drilling Inc. 5.875 % 5/1/19 1,050 1,142
EnCana Corp. 5.900 % 12/1/17 4,225 4,578
EnCana Corp. 6.500 % 5/15/19 1,100 1,228
EOG Resources Inc. 5.875 % 9/15/17 3,300 3,607
EOG Resources Inc. 6.875 % 10/1/18 4,525 5,213
Halliburton Co. 6.150 % 9/15/19 4,300 4,811
Hess Corp. 8.125 % 2/15/19 4,200 5,118
Husky Energy Inc. 6.150 % 6/15/19 510 544
Husky Energy Inc. 7.250 % 12/15/19 3,095 3,575
Marathon Oil Corp. 6.000 % 10/1/17 8,775 9,412
Marathon Oil Corp. 5.900 % 3/15/18 150 159
Nabors Industries Inc. 6.150 % 2/15/18 5,475 5,831
Nabors Industries Inc. 9.250 % 1/15/19 4,800 5,962
Nexen Inc. 5.650 % 5/15/17 1,850 1,955
Nexen Inc. 6.200 % 7/30/19 2,000 2,152
Noble Energy Inc. 8.250 % 3/1/19 4,000 4,824
Petro-Canada 6.050 % 5/15/18 2,225 2,388
Questar Market Resources Inc. 6.050 % 9/1/16 600 638
Questar Market Resources Inc. 6.800 % 4/1/18 2,000 2,175
Questar Market Resources Inc. 6.800 % 3/1/20 625 680
Rowan Cos. Inc. 7.875 % 8/1/19 2,150 2,445
Shell International Finance BV 3.250 % 9/22/15 3,750 3,762
Shell International Finance BV 5.200 % 3/22/17 2,775 2,970
Shell International Finance BV 4.300 % 9/22/19 10,900 10,730
Shell International Finance BV 4.375 % 3/25/20 3,575 3,510
Smith International Inc. 9.750 % 3/15/19 4,500 6,048
Statoil ASA 5.250 % 4/15/19 7,825 8,154
Suncor Energy Inc. 6.100 % 6/1/18 5,200 5,603
Sunoco Inc. 5.750 % 1/15/17 2,075 2,054
Talisman Energy Inc. 5.125 % 5/15/15 2,150 2,279
Talisman Energy Inc. 7.750 % 6/1/19 3,875 4,589
Total Capital SA 3.125 % 10/2/15 4,750 4,715
Transocean Inc. 6.000 % 3/15/18 4,750 5,161
Valero Energy Corp. 6.125 % 6/15/17 6,000 6,208
Valero Energy Corp. 9.375 % 3/15/19 4,000 4,745
Valero Energy Corp. 6.125 % 2/1/20 2,200 2,190
Weatherford International Inc. 6.350 % 6/15/17 2,035 2,176
Weatherford International Ltd. 5.500 % 2/15/16 1,000 1,065
Weatherford International Ltd. 6.000 % 3/15/18 2,575 2,693
Weatherford International Ltd. 9.625 % 3/1/19 7,725 9,779
XTO Energy Inc. 5.300 % 6/30/15 275 303
XTO Energy Inc. 6.250 % 8/1/17 6,125 6,957
XTO Energy Inc. 5.500 % 6/15/18 5,000 5,398
XTO Energy Inc. 6.500 % 12/15/18 4,100 4,721
 
Other Industrial (0.0%)          
Cintas Corp. No 2 6.125 % 12/1/17 1,300 1,428
 
Technology (1.9%)          
Adobe Systems Inc. 4.750 % 2/1/20 4,175 4,100
Agilent Technologies Inc. 5.500 % 9/14/15 1,400 1,500
Agilent Technologies Inc. 6.500 % 11/1/17 4,025 4,366
Avnet Inc. 6.625 % 9/15/16 3,000 3,210
BMC Software Inc. 7.250 % 6/1/18 1,550 1,707
CA Inc. 5.375 % 12/1/19 3,450 3,486


Cisco Systems Inc. 5.500 % 2/22/16 17,575 19,567
Cisco Systems Inc. 4.950 % 2/15/19 8,450 8,748
Cisco Systems Inc. 4.450 % 1/15/20 6,750 6,700
Computer Sciences Corp. 6.500 % 3/15/18 4,800 5,296
Corning Inc. 6.625 % 5/15/19 950 1,052
Dell Inc. 5.650 % 4/15/18 2,500 2,660
Dell Inc. 5.875 % 6/15/19 2,325 2,512
Equifax Inc. 6.300 % 7/1/17 1,300 1,382
Fiserv Inc. 6.800 % 11/20/17 3,150 3,498
Harris Corp. 5.000 % 10/1/15 1,425 1,493
Harris Corp. 5.950 % 12/1/17 775 827
Harris Corp. 6.375 % 6/15/19 1,425 1,559
Hewlett-Packard Co. 5.400 % 3/1/17 2,750 2,957
Hewlett-Packard Co. 5.500 % 3/1/18 5,375 5,817
International Business Machines Corp. 5.700 % 9/14/17 24,175 26,692
International Game Technology 7.500 % 6/15/19 2,100 2,370
Intuit Inc. 5.750 % 3/15/17 1,025 1,080
Lexmark International Inc. 6.650 % 6/1/18 2,975 3,034
Microsoft Corp. 4.200 % 6/1/19 7,375 7,468
Motorola Inc. 6.000 % 11/15/17 3,725 3,855
Nokia Oyj 5.375 % 5/15/19 4,825 5,088
Oracle Corp. 5.250 % 1/15/16 20,675 22,723
Oracle Corp. 5.750 % 4/15/18 8,000 8,778
Oracle Corp. 5.000 % 7/8/19 1,750 1,830
Pitney Bowes Inc. 4.750 % 1/15/16 6,175 6,493
Pitney Bowes Inc. 5.750 % 9/15/17 2,400 2,567
Pitney Bowes Inc. 4.750 % 5/15/18 1,625 1,627
Tyco Electronics Group SA 6.550 % 10/1/17 1,250 1,373
Xerox Corp. 6.400 % 3/15/16 5,700 6,250
Xerox Corp. 6.750 % 2/1/17 1,850 2,042
Xerox Corp. 6.350 % 5/15/18 5,575 6,051
Xerox Corp. 5.625 % 12/15/19 2,775 2,850
 
Transportation (0.8%)          
2 American Airlines Pass Through Trust 2009-          
1A 10.375 % 7/2/19 1,192 1,376
Burlington Northern Santa Fe Corp. 5.650 % 5/1/17 5,150 5,510
Burlington Northern Santa Fe LLC 5.750 % 3/15/18 5,400 5,778
Canadian National Railway Co. 5.800 % 6/1/16 1,950 2,155
Canadian National Railway Co. 5.850 % 11/15/17 500 545
Canadian National Railway Co. 5.550 % 5/15/18 900 968
Canadian Pacific Railway Co. 7.250 % 5/15/19 1,500 1,698
Con-way Inc. 7.250 % 1/15/18 2,000 2,105
Continental Airlines 2009-2 Pass Through          
Trust 7.250 % 11/10/19 1,500 1,616
2 Continental Airlines Inc. 6.648 % 9/15/17 1,457 1,461
2 Continental Airlines Inc. 6.900 % 1/2/18 1,447 1,462
2 Continental Airlines Inc. 6.545 % 2/2/19 609 613
CSX Corp. 6.250 % 4/1/15 3,000 3,349
CSX Corp. 5.600 % 5/1/17 3,850 4,048
CSX Corp. 7.900 % 5/1/17 282 331
CSX Corp. 6.250 % 3/15/18 5,125 5,522
CSX Corp. 7.375 % 2/1/19 1,500 1,742
3 CSX Corp. 6.220 % 4/30/40 393 396
2 Delta Air Lines Inc. 7.750 % 12/17/19 1,025 1,094
FedEx Corp. 8.000 % 1/15/19 1,515 1,843
Norfolk Southern Corp. 5.750 % 1/15/16 2,050 2,264
Norfolk Southern Corp. 7.700 % 5/15/17 2,400 2,849


Norfolk Southern Corp. 5.750 % 4/1/18 3,175 3,409
Norfolk Southern Corp. 5.900 % 6/15/19 2,600 2,814
Ryder System Inc. 7.200 % 9/1/15 1,775 1,991
Ryder System Inc. 5.850 % 11/1/16 1,000 1,053
Southwest Airlines Co. 5.750 % 12/15/16 1,300 1,320
Southwest Airlines Co. 5.125 % 3/1/17 650 631
Union Pacific Corp. 7.000 % 2/1/16 550 631
Union Pacific Corp. 5.650 % 5/1/17 3,300 3,510
Union Pacific Corp. 5.750 % 11/15/17 4,675 5,022
Union Pacific Corp. 5.700 % 8/15/18 6,225 6,548
United Parcel Service Inc. 5.500 % 1/15/18 3,100 3,386
United Parcel Service Inc. 5.125 % 4/1/19 2,200 2,345
          2,111,682
Utilities (4.4%)          
Electric (2.9%)          
Alabama Power Co. 5.500 % 10/15/17 2,100 2,249
American Water Capital Corp. 6.085 % 10/15/17 3,025 3,232
Appalachian Power Co. 7.950 % 1/15/20 675 820
Arizona Public Service Co. 4.650 % 5/15/15 3,825 3,931
Baltimore Gas & Electric Co. 5.900 % 10/1/16 2,250 2,370
Carolina Power & Light Co. 5.250 % 12/15/15 3,000 3,286
Carolina Power & Light Co. 5.300 % 1/15/19 8,225 8,658
CenterPoint Energy Inc. 6.500 % 5/1/18 4,500 4,780
Cleveland Electric Illuminating Co. 7.880 % 11/1/17 250 295
Commonwealth Edison Co. 4.700 % 4/15/15 700 737
Commonwealth Edison Co. 5.950 % 8/15/16 1,975 2,161
Commonwealth Edison Co. 6.150 % 9/15/17 4,250 4,708
Commonwealth Edison Co. 5.800 % 3/15/18 650 700
Connecticut Light & Power Co. 5.650 % 5/1/18 3,000 3,187
Consolidated Edison Co. of New York Inc. 5.500 % 9/15/16 3,350 3,673
Consolidated Edison Co. of New York Inc. 5.850 % 4/1/18 5,000 5,490
Consolidated Edison Co. of New York Inc. 7.125 % 12/1/18 2,000 2,360
Consolidated Edison Co. of New York Inc. 6.650 % 4/1/19 1,200 1,372
Constellation Energy Group Inc. 4.550 % 6/15/15 3,750 3,835
Consumers Energy Co. 5.500 % 8/15/16 3,850 4,105
Consumers Energy Co. 6.125 % 3/15/19 300 328
Consumers Energy Co. 6.700 % 9/15/19 2,900 3,283
Dominion Resources Inc. 5.150 % 7/15/15 7,925 8,553
Dominion Resources Inc. 6.000 % 11/30/17 5,750 6,282
Dominion Resources Inc. 8.875 % 1/15/19 3,375 4,271
2 Dominion Resources Inc. 7.500 % 6/30/66 1,300 1,283
Duke Energy Carolinas LLC 5.100 % 4/15/18 8,750 9,170
Duke Energy Corp. 5.050 % 9/15/19 4,600 4,664
Duke Energy Indiana Inc. 6.050 % 6/15/16 1,500 1,633
Entergy Gulf States Louisiana LLC 6.000 % 5/1/18 2,600 2,765
Entergy Louisiana LLC 6.500 % 9/1/18 3,075 3,326
Exelon Corp. 4.900 % 6/15/15 6,025 6,299
Exelon Generation Co. LLC 6.200 % 10/1/17 3,500 3,814
Florida Power & Light Co. 5.550 % 11/1/17 3,950 4,270
Florida Power Corp. 5.650 % 6/15/18 2,100 2,266
FPL Group Capital Inc. 6.000 % 3/1/19 2,500 2,690
2 FPL Group Capital Inc. 6.350 % 10/1/66 1,825 1,719
2 FPL Group Capital Inc. 6.650 % 6/15/67 1,700 1,595
2 FPL Group Capital Inc. 7.300 % 9/1/67 1,000 1,012
Georgia Power Co. 5.700 % 6/1/17 7,000 7,666
Illinois Power Co. 6.125 % 11/15/17 3,100 3,305
Illinois Power Co. 6.250 % 4/1/18 2,000 2,134


Illinois Power Co. 9.750 % 11/15/18 3,300 4,256
Indiana Michigan Power Co. 7.000 % 3/15/19 2,497 2,828
2 Integrys Energy Group Inc. 6.110 % 12/1/66 1,500 1,338
Jersey Central Power & Light Co. 5.625 % 5/1/16 5,675 5,971
Jersey Central Power & Light Co. 5.650 % 6/1/17 5,475 5,783
MidAmerican Energy Co. 5.950 % 7/15/17 925 1,004
MidAmerican Energy Co. 5.300 % 3/15/18 4,900 5,125
Midamerican Energy Holdings Co. 5.750 % 4/1/18 4,350 4,626
National Rural Utilities Cooperative Finance          
Corp. 5.450 % 4/10/17 250 266
National Rural Utilities Cooperative Finance          
Corp. 5.450 % 2/1/18 13,625 14,347
National Rural Utilities Cooperative Finance          
Corp. 10.375 % 11/1/18 2,525 3,350
Nevada Power Co. 6.500 % 5/15/18 2,675 2,924
Nevada Power Co. 6.500 % 8/1/18 3,575 3,915
Nisource Finance Corp. 10.750 % 3/15/16 1,000 1,270
Nisource Finance Corp. 5.250 % 9/15/17 500 504
Nisource Finance Corp. 6.400 % 3/15/18 5,350 5,733
Nisource Finance Corp. 6.800 % 1/15/19 850 924
Northern States Power Co. 5.250 % 3/1/18 5,350 5,620
NSTAR 4.500 % 11/15/19 2,500 2,484
NSTAR Electric Co. 5.625 % 11/15/17 975 1,049
Ohio Edison Co. 6.400 % 7/15/16 1,200 1,320
Ohio Power Co. 6.000 % 6/1/16 2,425 2,672
Pacific Gas & Electric Co. 5.625 % 11/30/17 6,900 7,437
Pacific Gas & Electric Co. 8.250 % 10/15/18 1,325 1,617
PacifiCorp 5.650 % 7/15/18 2,575 2,790
Peco Energy Co. 5.350 % 3/1/18 2,475 2,625
Pennsylvania Electric Co. 6.050 % 9/1/17 800 850
PPL Energy Supply LLC 6.200 % 5/15/16 3,575 3,832
PPL Energy Supply LLC 6.500 % 5/1/18 750 802
Progress Energy Inc. 5.625 % 1/15/16 1,425 1,526
Progress Energy Inc. 7.050 % 3/15/19 1,800 2,038
PSEG Power LLC 5.500 % 12/1/15 3,125 3,378
3 PSEG Power LLC 5.125 % 4/15/20 4,000 3,997
Public Service Co. of Colorado 5.125 % 6/1/19 2,300 2,404
Public Service Co. of Oklahoma 5.150 % 12/1/19 650 661
San Diego Gas & Electric Co. 5.300 % 11/15/15 300 331
Sierra Pacific Power Co. 6.000 % 5/15/16 2,525 2,749
South Carolina Electric & Gas Co. 6.500 % 11/1/18 2,400 2,741
Southern California Edison Co. 4.650 % 4/1/15 2,875 3,072
Southern California Edison Co. 5.000 % 1/15/16 675 732
Southern Power Co. 4.875 % 7/15/15 1,125 1,197
Southwestern Electric Power Co. 5.550 % 1/15/17 3,500 3,643
Southwestern Electric Power Co. 6.450 % 1/15/19 2,075 2,236
Tampa Electric Co. 6.100 % 5/15/18 2,150 2,319
Teco Finance Inc. 4.000 % 3/15/16 1,100 1,086
Teco Finance Inc. 5.150 % 3/15/20 1,350 1,336
TransAlta Corp. 6.750 % 7/15/12 125 134
TransAlta Corp. 6.650 % 5/15/18 2,975 3,191
Union Electric Co. 5.400 % 2/1/16 300 310
Union Electric Co. 6.700 % 2/1/19 4,000 4,425
United Utilities PLC 5.375 % 2/1/19 1,000 989
Virginia Electric and Power Co. 5.400 % 1/15/16 4,450 4,809
Westar Energy Inc. 8.625 % 12/1/18 2,000 2,467
Wisconsin Electric Power Co. 4.250 % 12/15/19 1,525 1,497
2 Wisconsin Energy Corp. 6.250 % 5/15/67 5,275 4,996


Wisconsin Power & Light Co. 5.000 % 7/15/19 2,275 2,289
 
Natural Gas (1.5%)          
AGL Capital Corp. 5.250 % 8/15/19 2,300 2,325
Atmos Energy Corp. 8.500 % 3/15/19 600 736
Boardwalk Pipelines LP 5.500 % 2/1/17 3,725 3,843
Buckeye Partners LP 6.050 % 1/15/18 4,550 4,814
CenterPoint Energy Resources Corp. 6.150 % 5/1/16 1,350 1,454
CenterPoint Energy Resources Corp. 6.000 % 5/15/18 5,000 5,284
El Paso Natural Gas Co. 5.950 % 4/15/17 1,700 1,776
Enbridge Energy Partners LP 6.500 % 4/15/18 3,075 3,410
Enbridge Energy Partners LP 9.875 % 3/1/19 1,700 2,206
Enbridge Energy Partners LP 5.200 % 3/15/20 1,475 1,477
Enbridge Inc. 5.600 % 4/1/17 3,550 3,808
Energy Transfer Partners LP 6.125 % 2/15/17 4,850 5,082
Energy Transfer Partners LP 9.000 % 4/15/19 5,900 7,220
Enterprise Products Operating LLC 6.300 % 9/15/17 2,525 2,771
Enterprise Products Operating LLC 6.650 % 4/15/18 550 610
Enterprise Products Operating LLC 6.500 % 1/31/19 3,050 3,365
Enterprise Products Operating LLC 5.250 % 1/31/20 5,000 5,055
EQT Corp. 6.500 % 4/1/18 3,800 4,080
EQT Corp. 8.125 % 6/1/19 1,000 1,192
Kinder Morgan Energy Partners LP 6.000 % 2/1/17 1,000 1,076
Kinder Morgan Energy Partners LP 5.950 % 2/15/18 250 267
Kinder Morgan Energy Partners LP 6.850 % 2/15/20 8,925 10,010
Magellan Midstream Partners LP 5.650 % 10/15/16 650 685
Magellan Midstream Partners LP 6.550 % 7/15/19 3,475 3,848
National Grid PLC 6.300 % 8/1/16 6,200 6,887
NuStar Logistics LP 7.650 % 4/15/18 2,900 3,263
Oneok Inc. 5.200 % 6/15/15 3,100 3,324
ONEOK Partners LP 6.150 % 10/1/16 3,125 3,361
ONEOK Partners LP 8.625 % 3/1/19 5,000 6,194
Panhandle Eastern Pipeline Co. LP 6.200 % 11/1/17 2,000 2,132
Panhandle Eastern Pipeline Co. LP 7.000 % 6/15/18 2,525 2,810
Plains All American Pipeline LP / PAA          
Finance Corp. 6.125 % 1/15/17 2,500 2,684
Plains All American Pipeline LP / PAA          
Finance Corp. 6.500 % 5/1/18 2,675 2,923
Plains All American Pipeline LP / PAA          
Finance Corp. 8.750 % 5/1/19 200 245
Plains All American Pipeline LP / PAA          
Finance Corp. 5.750 % 1/15/20 600 619
Sempra Energy 6.150 % 6/15/18 2,800 3,037
Sempra Energy 9.800 % 2/15/19 4,370 5,715
3 Southern Natural Gas Co. 5.900 % 4/1/17 6,525 6,800
Spectra Energy Capital LLC 6.200 % 4/15/18 1,700 1,824
Spectra Energy Capital LLC 8.000 % 10/1/19 425 502
Texas Gas Transmission LLC 4.600 % 6/1/15 500 519
TransCanada PipeLines Ltd. 6.500 % 8/15/18 5,000 5,659
TransCanada PipeLines Ltd. 7.125 % 1/15/19 2,500 2,925
2 TransCanada PipeLines Ltd. 6.350 % 5/15/67 6,475 6,109
Transcontinental Gas Pipe Line Co. LLC 6.050 % 6/15/18 2,500 2,726
3 Williams Partners LP 5.250 % 3/15/20 5,525 5,489


Other Utility (0.0%)          
Veolia Environnement 6.000 % 6/1/18 3,500 3,748
          457,981
Total Corporate Bonds (Cost $3,832,809)         4,100,973
Sovereign Bonds (U.S. Dollar-Denominated) (5.9%)          
Asian Development Bank 5.500 % 6/27/16 6,900 7,676
Asian Development Bank 5.250 % 6/12/17 2,300 2,559
Asian Development Bank 5.593 % 7/16/18 1,975 2,155
Brazilian Government International Bond 6.000 % 1/17/17 28,575 31,040
2 Brazilian Government International Bond 8.000 % 1/15/18 13,600 15,827
Brazilian Government International Bond 5.875 % 1/15/19 2,450 2,629
China Development Bank Corp. 5.000 % 10/15/15 3,450 3,718
Corp Andina de Fomento 8.125 % 6/4/19 5,500 6,442
Corp. Andina de Fomento 5.750 % 1/12/17 5,025 5,204
Development Bank of Japan 4.250 % 6/9/15 2,325 2,455
Development Bank of Japan 5.125 % 2/1/17 3,700 3,923
Eksportfinans ASA 5.500 % 5/25/16 3,125 3,434
Eksportfinans ASA 5.500 % 6/26/17 4,600 5,034
European Investment Bank 4.875 % 2/16/16 9,250 10,090
European Investment Bank 5.125 % 9/13/16 11,550 12,718
European Investment Bank 4.875 % 1/17/17 14,975 16,299
European Investment Bank 5.125 % 5/30/17 17,750 19,484
Export-Import Bank of Korea 4.125 % 9/9/15 1,125 1,126
Hydro Quebec 7.500 % 4/1/16 2,500 3,025
Inter-American Development Bank 4.250 % 9/14/15 9,420 9,922
Inter-American Development Bank 5.125 % 9/13/16 6,700 7,357
Inter-American Development Bank 3.875 % 9/17/19 4,400 4,370
Inter-American Development Bank 3.875 % 2/14/20 4,575 4,505
International Bank for Reconstruction &          
Development 5.000 % 4/1/16 9,375 10,285
Israel Government International Bond 5.500 % 11/9/16 4,025 4,329
Israel Government International Bond 5.125 % 3/26/19 9,200 9,355
Japan Finance Organization for Municipalities 4.625 % 4/21/15 5,600 6,030
Japan Finance Organization for Municipalities 5.000 % 5/16/17 3,800 4,054
Kreditanstalt fuer Wiederaufbau 5.125 % 3/14/16 19,375 21,219
Kreditanstalt fuer Wiederaufbau 4.875 % 1/17/17 3,000 3,252
Kreditanstalt fuer Wiederaufbau 4.375 % 3/15/18 19,700 20,465
Kreditanstalt fuer Wiederaufbau 4.500 % 7/16/18 18,175 19,066
Kreditanstalt fuer Wiederaufbau 4.875 % 6/17/19 9,550 10,230
Kreditanstalt fuer Wiederaufbau 4.000 % 1/27/20 12,500 12,405
Landwirtschaftliche Rentenbank 3.125 % 7/15/15 5,000 5,024
Landwirtschaftliche Rentenbank 4.875 % 11/16/15 6,525 7,025
Landwirtschaftliche Rentenbank 5.125 % 2/1/17 8,775 9,564
Mexico Government International Bond 11.375 % 9/15/16 1,725 2,428
Mexico Government International Bond 5.625 % 1/15/17 21,200 22,715
Mexico Government International Bond 8.125 % 12/30/19 1,625 2,023
Nordic Investment Bank 5.000 % 2/1/17 7,650 8,368
Oesterreichische Kontrollbank AG 4.875 % 2/16/16 5,000 5,316
Oesterreichische Kontrollbank AG 5.000 % 4/25/17 6,425 6,868
Pemex Project Funding Master Trust 5.750 % 3/1/18 14,400 14,751
Peruvian Government International Bond 8.375 % 5/3/16 2,000 2,432
Peruvian Government International Bond 7.125 % 3/30/19 8,400 9,710
Petrobras International Finance Co. 6.125 % 10/6/16 8,475 9,064
Petrobras International Finance Co. 5.875 % 3/1/18 6,325 6,573
Petrobras International Finance Co. 8.375 % 12/10/18 1,500 1,789


Petrobras International Finance Co. 7.875 % 3/15/19 11,950 13,922
Petrobras International Finance Co. 5.750 % 1/20/20 6,625 6,777
Petroleos Mexicanos 8.000 % 5/3/19 5,075 5,975
3 Petroleos Mexicanos 6.000 % 3/5/20 4,625 4,730
Poland Government International Bond 5.000 % 10/19/15 4,500 4,750
Poland Government International Bond 6.375 % 7/15/19 17,050 18,678
Province of Manitoba Canada 4.900 % 12/6/16 4,000 4,307
Province of Ontario Canada 4.750 % 1/19/16 6,600 7,070
Province of Ontario Canada 4.000 % 10/7/19 15,400 15,133
Province of Quebec Canada 4.600 % 5/26/15 4,800 5,143
Province of Quebec Canada 5.125 % 11/14/16 8,975 9,765
Province of Quebec Canada 4.625 % 5/14/18 5,900 6,214
Republic of Hungary 6.250 % 1/29/20 5,000 5,315
Republic of Italy 4.750 % 1/25/16 4,275 4,468
Republic of Italy 5.250 % 9/20/16 25,700 27,475
Republic of Italy 5.375 % 6/12/17 425 451
Republic of Korea 7.125 % 4/16/19 6,550 7,690
South Africa Government International Bond 6.875 % 5/27/19 9,150 10,214
South Africa Government International Bond 5.500 % 3/9/20 7,175 7,265
Svensk Exportkredit AB 5.125 % 3/1/17 6,250 6,720
United Mexican States 5.950 % 3/19/19 11,500 12,420
United Mexican States 5.125 % 1/15/20 9,550 9,623
Total Sovereign Bonds (Cost $574,652)         609,437
Taxable Municipal Bonds (0.2%)          
Board of Trustees of The Leland Stanford          
Junior University 3.625 % 5/1/14 2,500 2,591
Board of Trustees of The Leland Stanford          
Junior University 4.250 % 5/1/16 800 831
Board of Trustees of The Leland Stanford          
Junior University 4.750 % 5/1/19 800 828
California GO 5.950 % 4/1/16 2,800 2,912
California GO 5.750 % 3/1/17 3,200 3,268
California GO 6.200 % 3/1/19 500 511
California GO 6.200 % 10/1/19 3,925 4,015
Dartmouth College 4.750 % 6/1/19 1,000 1,031
Howard Hughes Medical Institute 3.450 % 9/1/14 2,750 2,832
Wisconsin GO 4.800 % 5/1/13 1,350 1,457
Total Taxable Municipal Bonds (Cost $19,678)         20,276
        Shares  
Temporary Cash Investment (0.8%)          
Money Market Fund (0.8%)          
4,5 Vanguard Market Liquidity Fund          
(Cost $84,076) 0.183 %   84,076,278 84,076
Total Investments (99.7%) (Cost $9,906,547)         10,268,528
Other Assets and Liabilities-Net (0.3%)         30,418
Net Assets (100%)         10,298,946

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $1,270,000.
1 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of 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 March 31, 2010, the aggregate
value of these securities was $91,055,000, representing 0.9% of net assets.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.


5 Includes $1,300,000 of collateral received for securities on loan.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

A. 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.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value 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 March 31, 2010, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,442,132 —
Asset-Backed/Commercial Mortgaged-Backed Securities — 11,634 —
Corporate Bonds — 4,100,973 —
Sovereign Bonds — 609,437 —
Taxable Municipal Bonds — 20,276 —
Temporary Cash Investments 84,076 — —
Total 84,076 10,184,452 —

C. At March 31, 2010, the cost of investment securities for tax purposes was $9,906,547,000. Net unrealized appreciation of investment securities for tax purposes was $361,981,000, consisting of unrealized gains of $432,341,000 on securities that had risen in value since their purchase and $70,360,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Long-Term Bond Index Fund

Schedule of Investments
As of March 31, 2010

            Face     Market  
        Maturity   Amount     Value  
    Coupon   Date ($ 000 ) ($ 000 )
U.S. Government and Agency Obligations (43.2%)                  
U.S. Government Securities (39.2%)                  
  United States Treasury Note/Bond 2.625 % 5/31/10   825     828  
  United States Treasury Note/Bond 1.250 % 11/30/10   1,050     1,056  
  United States Treasury Note/Bond 1.125 % 6/30/11   3,600     3,626  
  United States Treasury Note/Bond 2.375 % 10/31/14   5,120     5,113  
  United States Treasury Note/Bond 3.625 % 8/15/19   5,725     5,654  
  United States Treasury Note/Bond 8.500 % 2/15/20   1,360     1,881  
  United States Treasury Note/Bond 8.750 % 5/15/20   7,580     10,684  
  United States Treasury Note/Bond 8.750 % 8/15/20   12,345     17,447  
  United States Treasury Note/Bond 8.125 % 5/15/21   15     21  
  United States Treasury Note/Bond 8.125 % 8/15/21   15,260     20,937  
  United States Treasury Note/Bond 8.000 % 11/15/21   90,495     123,314  
  United States Treasury Note/Bond 7.250 % 8/15/22   395     513  
  United States Treasury Note/Bond 7.625 % 11/15/22   7,690     10,299  
  United States Treasury Note/Bond 7.125 % 2/15/23   58,935     75,952  
  United States Treasury Note/Bond 6.250 % 8/15/23   81,105     97,466  
  United States Treasury Note/Bond 7.500 % 11/15/24   26,090     35,030  
  United States Treasury Note/Bond 7.625 % 2/15/25   750     1,019  
  United States Treasury Note/Bond 6.875 % 8/15/25   18,225     23,282  
  United States Treasury Note/Bond 6.000 % 2/15/26   550     648  
  United States Treasury Note/Bond 6.750 % 8/15/26   665     844  
  United States Treasury Note/Bond 6.500 % 11/15/26   800     993  
  United States Treasury Note/Bond 6.625 % 2/15/27   41,055     51,601  
  United States Treasury Note/Bond 6.375 % 8/15/27   39,085     48,007  
  United States Treasury Note/Bond 6.125 % 11/15/27   15,950     19,098  
  United States Treasury Note/Bond 5.500 % 8/15/28   12,755     14,286  
  United States Treasury Note/Bond 5.250 % 11/15/28   960     1,045  
  United States Treasury Note/Bond 5.250 % 2/15/29   250     272  
  United States Treasury Note/Bond 6.125 % 8/15/29   37,805     45,514  
  United States Treasury Note/Bond 6.250 % 5/15/30   6,910     8,458  
  United States Treasury Note/Bond 5.375 % 2/15/31   41,195     45,579  
  United States Treasury Note/Bond 4.500 % 2/15/36   45     44  
  United States Treasury Note/Bond 4.750 % 2/15/37   19,500     19,768  
  United States Treasury Note/Bond 5.000 % 5/15/37   46,825     49,305  
  United States Treasury Note/Bond 4.375 % 2/15/38   56,398     53,631  
  United States Treasury Note/Bond 4.500 % 5/15/38   70,295     68,208  
  United States Treasury Note/Bond 3.500 % 2/15/39   62,233     50,370  
  United States Treasury Note/Bond 4.250 % 5/15/39   104,503     96,828  
  United States Treasury Note/Bond 4.500 % 8/15/39   118,951     114,881  
  United States Treasury Note/Bond 4.375 % 11/15/39   56,085     53,036  
  United States Treasury Note/Bond 4.625 % 2/15/40   9,500     9,363  
                  1,185,901  
Agency Bonds and Notes (4.0%)                  
1 Federal Home Loan Banks 5.250 % 12/11/20   1,500     1,621  
1 Federal Home Loan Banks 5.625 % 6/11/21   3,000     3,310  
1 Federal Home Loan Banks 5.625 % 3/14/36   1,000     1,049  
1 Federal Home Loan Banks 5.500 % 7/15/36   3,850     3,967  
1 Federal Home Loan Mortgage Corp. 6.750 % 9/15/29   7,700     9,176  
1 Federal Home Loan Mortgage Corp. 6.750 % 3/15/31   12,325     14,952  


  1 Federal Home Loan Mortgage Corp. 6.250 % 7/15/32 4,525 5,223
  1 Federal National Mortgage Assn. 6.250 % 5/15/29 8,550 9,759
  1 Federal National Mortgage Assn. 7.125 % 1/15/30 12,075 15,142
  1 Federal National Mortgage Assn. 7.250 % 5/15/30 6,635 8,431
  1 Federal National Mortgage Assn. 6.625 % 11/15/30 3,300 3,940
  1 Federal National Mortgage Assn. 5.625 % 7/15/37 7,325 7,682
  1 Federal National Mortgage Assn. 6.210 % 8/6/38 1,000 1,130
    Israel Government AID Bond 5.500 % 9/18/23 1,375 1,472
    Israel Government AID Bond 5.500 % 12/4/23 5,325 5,700
    Israel Government AID Bond 5.500 % 4/26/24 2,900 3,097
    Private Export Funding Corp. 4.300 % 12/15/21 1,075 1,012
    Resolution Funding Corp. 8.625 % 1/15/21 850 1,103
  1 Tennessee Valley Authority 6.750 % 11/1/25 4,500 5,262
  1 Tennessee Valley Authority 7.125 % 5/1/30 1,250 1,529
  1 Tennessee Valley Authority 4.650 % 6/15/35 2,825 2,558
  1 Tennessee Valley Authority 5.880 % 4/1/36 1,000 1,073
  1 Tennessee Valley Authority 5.980 % 4/1/36 1,000 1,087
  1 Tennessee Valley Authority 6.150 % 1/15/38 2,450 2,726
  1 Tennessee Valley Authority 5.500 % 6/15/38 1,175 1,196
  1 Tennessee Valley Authority 5.250 % 9/15/39 2,175 2,138
  1 Tennessee Valley Authority 4.875 % 1/15/48 2,500 2,303
  1 Tennessee Valley Authority 5.375 % 4/1/56 1,850 1,835
              119,473
  Total U.S. Government and Agency Obligations (Cost $1,325,613)       1,305,374
Asset -Backed/Commercial Mortgage-Backed Security (0.1%)        
  2 PSE&G Transition Funding LLC          
    (Cost $2,500) 6.890 % 12/15/17 2,500 2,958
  Corporate Bonds (45.5%)          
  Finance (10.1%)          
    Banking (5.9%)          
  2 Abbey National Capital Trust I 8.963 % 12/29/49 2,300 2,455
    American Express Co. 8.150 % 3/19/38 1,950 2,510
    Bank of America Corp. 6.800 % 3/15/28 375 375
    Bank of America Corp. 6.500 % 9/15/37 1,600 1,547
    Bank of America NA 6.000 % 10/15/36 3,375 3,116
    Bank One Corp. 7.750 % 7/15/25 2,000 2,261
    Bank One Corp. 7.625 % 10/15/26 4,350 4,890
    BB&T Capital Trust II 6.750 % 6/7/36 3,325 3,277
  2 BB&T Capital Trust IV 6.820 % 6/12/57 650 612
    Capital One Capital III 7.686 % 8/15/36 1,700 1,624
    Capital One Capital IV 6.745 % 2/17/37 1,100 941
    Capital One Capital V 10.250 % 8/15/39 2,750 3,254
    Capital One Capital VI 8.875 % 5/15/40 2,000 2,169
  2,3 Citicorp Lease Pass-Through Trust 1999-1 8.040 % 12/15/19 450 496
    Citigroup Inc. 6.625 % 6/15/32 2,750 2,571
    Citigroup Inc. 5.875 % 2/22/33 1,825 1,582
    Citigroup Inc. 6.000 % 10/31/33 2,625 2,297
    Citigroup Inc. 5.850 % 12/11/34 2,300 2,087
    Citigroup Inc. 6.125 % 8/25/36 4,225 3,675
    Citigroup Inc. 5.875 % 5/29/37 2,100 1,892
    Citigroup Inc. 6.875 % 3/5/38 6,550 6,646
    Citigroup Inc. 8.125 % 7/15/39 5,275 6,069
  2 Comerica Capital Trust II 6.576 % 2/20/37 1,500 1,320
    Compass Bank 5.900 % 4/1/26 1,075 944
  3 Corestates Capital I 8.000 % 12/15/26 2,300 2,311
    Credit Suisse USA Inc. 7.125 % 7/15/32 2,100 2,493
    Fifth Third Bancorp 8.250 % 3/1/38 3,325 3,499


First Union Institutional Capital I 8.040 % 12/1/26 500 505
FleetBoston Financial Corp. 6.875 % 1/15/28 400 404
FleetBoston Financial Corp. 6.700 % 7/15/28 1,200 1,185
Goldman Sachs Capital I 6.345 % 2/15/34 7,350 6,765
Goldman Sachs Group Inc. 5.750 % 10/1/16 75 80
Goldman Sachs Group Inc. 5.950 % 1/15/27 4,050 3,889
Goldman Sachs Group Inc. 6.125 % 2/15/33 5,150 5,061
Goldman Sachs Group Inc. 6.450 % 5/1/36 875 839
Goldman Sachs Group Inc. 6.750 % 10/1/37 12,175 12,074
HSBC Bank USA NA 5.875 % 11/1/34 4,100 3,969
HSBC Bank USA NA 5.625 % 8/15/35 5,300 4,940
HSBC Holdings PLC 7.625 % 5/17/32 1,050 1,177
HSBC Holdings PLC 7.350 % 11/27/32 200 220
HSBC Holdings PLC 6.500 % 5/2/36 2,925 3,031
HSBC Holdings PLC 6.500 % 9/15/37 4,075 4,220
HSBC Holdings PLC 6.800 % 6/1/38 2,850 3,065
JP Morgan Chase Capital XV 5.875 % 3/15/35 2,350 2,125
JP Morgan Chase Capital XVII 5.850 % 8/1/35 425 371
JP Morgan Chase Capital XX 6.550 % 9/29/36 3,375 3,148
JP Morgan Chase Capital XXII 6.450 % 2/2/37 3,075 2,848
JP Morgan Chase Capital XXV 6.800 % 10/1/37 2,850 2,826
JPMorgan Chase & Co. 6.400 % 5/15/38 4,950 5,347
JPMorgan Chase Capital XXVII 7.000 % 11/1/39 1,550 1,576
KeyBank NA 6.950 % 2/1/28 143 130
Merrill Lynch & Co. Inc. 6.220 % 9/15/26 4,775 4,605
Merrill Lynch & Co. Inc. 6.110 % 1/29/37 3,500 3,237
Merrill Lynch & Co. Inc. 7.750 % 5/14/38 4,500 4,973
Morgan Stanley 6.250 % 8/9/26 3,050 3,123
Morgan Stanley 7.250 % 4/1/32 1,150 1,320
Regions Bank 6.450 % 6/26/37 2,000 1,578
SunTrust Capital VIII 6.100 % 12/15/36 2,504 2,048
UBS AG 7.000 % 10/15/15 1,000 1,078
UBS AG 7.375 % 6/15/17 550 583
USB Capital XIII Trust 6.625 % 12/15/39 1,025 1,033
Wachovia Bank NA 5.850 % 2/1/37 3,175 2,984
Wachovia Bank NA 6.600 % 1/15/38 4,625 4,776
Wachovia Corp. 6.605 % 10/1/25 725 724
Wachovia Corp. 7.500 % 4/15/35 150 166
Wachovia Corp. 5.500 % 8/1/35 4,000 3,503
Wachovia Corp. 6.550 % 10/15/35 125 125
Wells Fargo & Co. 5.375 % 2/7/35 2,450 2,296
Wells Fargo Bank NA 5.950 % 8/26/36 1,475 1,406
Wells Fargo Capital X 5.950 % 12/15/36 1,650 1,484
 
Brokerage (0.1%)          
Jefferies Group Inc. 6.450 % 6/8/27 1,500 1,338
Jefferies Group Inc. 6.250 % 1/15/36 1,400 1,188
 
Finance Companies (1.4%)          
General Electric Capital Corp. 6.750 % 3/15/32 19,925 21,062
General Electric Capital Corp. 6.150 % 8/7/37 5,600 5,443
General Electric Capital Corp. 5.875 % 1/14/38 9,925 9,415
General Electric Capital Corp. 6.875 % 1/10/39 5,525 5,930
SLM Corp. 5.625 % 8/1/33 1,950 1,498
 
Insurance (2.6%)          
ACE Capital Trust II 9.700 % 4/1/30 850 994
ACE INA Holdings Inc. 6.700 % 5/15/36 1,500 1,668


AEGON Funding Co. LLC 5.750 % 12/15/20 1,000 983
Aetna Inc. 6.625 % 6/15/36 1,850 1,947
Aetna Inc. 6.750 % 12/15/37 1,200 1,276
Aflac Inc. 6.900 % 12/17/39 575 592
Allstate Corp. 6.125 % 12/15/32 1,250 1,267
Allstate Corp. 5.350 % 6/1/33 1,950 1,789
Allstate Corp. 5.550 % 5/9/35 1,700 1,630
2 Allstate Corp. 6.500 % 5/15/57 1,500 1,442
American International Group Inc. 6.250 % 5/1/36 2,150 1,852
AON Corp. 8.205 % 1/1/27 1,175 1,234
Arch Capital Group Ltd. 7.350 % 5/1/34 625 639
Assurant Inc. 6.750 % 2/15/34 1,200 1,146
AXA SA 8.600 % 12/15/30 3,700 4,449
Axis Specialty Finance LLC 5.875 % 6/1/20 1,575 1,551
Berkshire Hathaway Finance Corp. 5.750 % 1/15/40 1,450 1,436
Chubb Corp. 6.000 % 5/11/37 1,675 1,705
Chubb Corp. 6.500 % 5/15/38 1,375 1,494
CIGNA Corp. 7.875 % 5/15/27 500 561
CIGNA Corp. 6.150 % 11/15/36 525 507
Cincinnati Financial Corp. 6.920 % 5/15/28 1,000 995
Cincinnati Financial Corp. 6.125 % 11/1/34 850 757
Endurance Specialty Holdings Ltd. 7.000 % 7/15/34 800 755
Genworth Financial Inc. 6.500 % 6/15/34 825 714
Hartford Financial Services Group Inc. 5.950 % 10/15/36 450 408
Hartford Financial Services Group Inc. 6.100 % 10/1/41 500 448
Humana Inc. 8.150 % 6/15/38 250 256
Lincoln National Corp. 6.150 % 4/7/36 1,475 1,408
Loews Corp. 6.000 % 2/1/35 800 768
MetLife Inc. 6.500 % 12/15/32 3,000 3,102
MetLife Inc. 6.375 % 6/15/34 1,150 1,173
MetLife Inc. 5.700 % 6/15/35 975 929
MetLife Inc. 6.400 % 12/15/36 2,865 2,545
MetLife Inc. 10.750 % 8/1/39 700 899
Nationwide Financial Services 6.750 % 5/15/37 1,000 840
PartnerRe Finance B LLC 5.500 % 6/1/20 1,050 1,035
Principal Financial Group Inc. 6.050 % 10/15/36 1,700 1,590
Progressive Corp. 6.625 % 3/1/29 1,625 1,707
Protective Life Corp. 8.450 % 10/15/39 600 629
Prudential Financial Inc. 5.750 % 7/15/33 1,000 937
Prudential Financial Inc. 5.400 % 6/13/35 1,000 891
Prudential Financial Inc. 5.900 % 3/17/36 1,500 1,430
Prudential Financial Inc. 5.700 % 12/14/36 3,175 3,002
Swiss Re Solutions Holding Corp. 7.000 % 2/15/26 1,850 1,864
Swiss Re Solutions Holding Corp. 7.750 % 6/15/30 400 427
Transatlantic Holdings Inc. 8.000 % 11/30/39 800 817
Travelers Cos. Inc. 6.750 % 6/20/36 1,000 1,103
Travelers Cos. Inc. 6.250 % 6/15/37 1,825 1,919
Travelers Property Casualty Corp. 6.375 % 3/15/33 1,500 1,576
UnitedHealth Group Inc. 5.800 % 3/15/36 1,300 1,215
UnitedHealth Group Inc. 6.500 % 6/15/37 1,200 1,236
UnitedHealth Group Inc. 6.625 % 11/15/37 1,075 1,110
UnitedHealth Group Inc. 6.875 % 2/15/38 4,100 4,360
Validus Holdings Ltd. 8.875 % 1/26/40 590 603
WellPoint Inc. 5.950 % 12/15/34 1,300 1,264
WellPoint Inc. 5.850 % 1/15/36 2,475 2,374
WellPoint Inc. 6.375 % 6/15/37 800 822
XL Capital Ltd. 6.375 % 11/15/24 1,150 1,135


XL Capital Ltd. 6.250 % 5/15/27 700 657
 
Real Estate Investment Trusts (0.1%)          
Simon Property Group LP 6.750 % 2/1/40 2,000 1,970
          305,456
Industrial (28.0%)          
Basic Industry (1.8%)          
Alcoa Inc. 5.870 % 2/23/22 1,250 1,139
Alcoa Inc. 5.900 % 2/1/27 3,525 3,114
Alcoa Inc. 6.750 % 1/15/28 850 790
ArcelorMittal 7.000 % 10/15/39 3,000 3,069
Barrick Australian Finance Pty Ltd. 5.950 % 10/15/39 1,525 1,521
Barrick North America Finance LLC 7.500 % 9/15/38 1,225 1,443
BHP Billiton Finance USA Ltd. 6.420 % 3/1/26 500 550
Dow Chemical Co. 7.375 % 11/1/29 2,925 3,235
Dow Chemical Co. 9.400 % 5/15/39 850 1,133
Eastman Chemical Co. 7.250 % 1/15/24 1,300 1,456
Eastman Chemical Co. 7.600 % 2/1/27 300 335
EI du Pont de Nemours & Co. 6.500 % 1/15/28 1,175 1,288
International Paper Co. 7.500 % 8/15/21 2,700 3,058
International Paper Co. 7.300 % 11/15/39 2,250 2,402
Lubrizol Corp. 6.500 % 10/1/34 900 921
Monsanto Co. 5.500 % 8/15/25 1,350 1,341
Monsanto Co. 5.875 % 4/15/38 650 664
Newmont Mining Corp. 5.875 % 4/1/35 1,250 1,196
Newmont Mining Corp. 6.250 % 10/1/39 2,325 2,326
Nucor Corp. 6.400 % 12/1/37 1,150 1,237
Placer Dome Inc. 6.450 % 10/15/35 700 716
Potash Corp. of Saskatchewan Inc. 5.875 % 12/1/36 900 883
Reliance Steel & Aluminum Co. 6.850 % 11/15/36 350 305
Rio Tinto Alcan Inc. 5.750 % 6/1/35 1,250 1,215
Rio Tinto Finance USA Ltd. 7.125 % 7/15/28 3,950 4,497
Southern Copper Corp. 7.500 % 7/27/35 2,500 2,553
Vale Inco Ltd. 7.200 % 9/15/32 1,050 1,066
Vale Overseas Ltd. 8.250 % 1/17/34 1,225 1,432
Vale Overseas Ltd. 6.875 % 11/21/36 5,625 5,859
Vale Overseas Ltd. 6.875 % 11/10/39 2,925 3,028
 
Capital Goods (2.1%)          
3M Co. 6.375 % 2/15/28 500 551
3M Co. 5.700 % 3/15/37 1,550 1,601
Boeing Co. 8.750 % 8/15/21 300 390
Boeing Co. 8.750 % 9/15/31 850 1,141
Boeing Co. 6.125 % 2/15/33 925 967
Boeing Co. 6.625 % 2/15/38 1,050 1,174
Boeing Co. 6.875 % 3/15/39 250 290
Boeing Co. 5.875 % 2/15/40 925 946
Caterpillar Inc. 6.625 % 7/15/28 1,575 1,732
Caterpillar Inc. 7.300 % 5/1/31 1,200 1,421
Caterpillar Inc. 6.050 % 8/15/36 1,700 1,782
Caterpillar Inc. 6.950 % 5/1/42 1,425 1,591
Deere & Co. 5.375 % 10/16/29 1,225 1,218
Deere & Co. 8.100 % 5/15/30 1,000 1,269
Deere & Co. 7.125 % 3/3/31 200 236
Dover Corp. 5.375 % 10/15/35 350 337
Dover Corp. 6.600 % 3/15/38 800 901
Emerson Electric Co. 4.250 % 11/15/20 575 566
Emerson Electric Co. 6.000 % 8/15/32 400 419


Emerson Electric Co. 6.125 % 4/15/39 825 882
Emerson Electric Co. 5.250 % 11/15/39 575 543
Goodrich Corp. 6.800 % 7/1/36 1,000 1,092
Honeywell International Inc. 5.700 % 3/15/36 775 773
Honeywell International Inc. 5.700 % 3/15/37 1,425 1,422
Lafarge SA 7.125 % 7/15/36 2,225 2,229
Lockheed Martin Corp. 7.750 % 5/1/26 150 183
Lockheed Martin Corp. 6.150 % 9/1/36 4,825 5,042
Lockheed Martin Corp. 5.500 % 11/15/39 1,200 1,165
Northrop Grumman Systems Corp. 7.750 % 2/15/31 3,015 3,693
Owens Corning 7.000 % 12/1/36 1,225 1,208
Pactiv Corp. 7.950 % 12/15/25 1,000 1,108
Parker Hannifin Corp. 6.250 % 5/15/38 725 768
Raytheon Co. 7.200 % 8/15/27 400 471
3 Republic Services Inc. 5.250 % 11/15/21 2,525 2,481
Republic Services Inc. 6.086 % 3/15/35 225 213
3 Republic Services Inc. 6.200 % 3/1/40 1,575 1,540
Rockwell Automation Inc. 6.700 % 1/15/28 300 326
Rockwell Automation Inc. 6.250 % 12/1/37 1,100 1,157
Tyco International Ltd. / Tyco International          
Finance SA 6.875 % 1/15/21 1,300 1,481
United Technologies Corp. 4.500 % 4/15/20 2,300 2,308
United Technologies Corp. 6.700 % 8/1/28 250 278
United Technologies Corp. 7.500 % 9/15/29 1,875 2,252
United Technologies Corp. 5.400 % 5/1/35 3,350 3,219
United Technologies Corp. 6.050 % 6/1/36 975 1,016
United Technologies Corp. 6.125 % 7/15/38 1,050 1,116
United Technologies Corp. 5.700 % 4/15/40 2,200 2,219
Waste Management Inc. 7.100 % 8/1/26 800 868
Waste Management Inc. 7.000 % 7/15/28 2,000 2,152
Waste Management Inc. 7.750 % 5/15/32 875 1,023
Waste Management Inc. 6.125 % 11/30/39 500 491
 
Communication (7.6%)          
Alltel Corp. 7.875 % 7/1/32 3,025 3,645
America Movil SAB de CV 6.375 % 3/1/35 1,800 1,822
America Movil SAB de CV 6.125 % 11/15/37 1,200 1,166
3 America Movil SAB de CV 6.125 % 3/30/40 2,525 2,461
Ameritech Capital Funding Corp. 6.550 % 1/15/28 1,000 978
AT&T Corp. 8.000 % 11/15/31 4,350 5,294
AT&T Inc. 6.450 % 6/15/34 7,750 7,924
AT&T Inc. 6.150 % 9/15/34 500 493
AT&T Inc. 6.500 % 9/1/37 3,350 3,451
AT&T Inc. 6.300 % 1/15/38 6,800 6,873
AT&T Inc. 6.400 % 5/15/38 825 856
AT&T Inc. 6.550 % 2/15/39 6,150 6,380
AT&T Mobility LLC 7.125 % 12/15/31 2,425 2,694
Bellsouth Capital Funding Corp. 7.875 % 2/15/30 4,250 4,940
BellSouth Corp. 6.875 % 10/15/31 1,275 1,343
BellSouth Corp. 6.550 % 6/15/34 1,475 1,517
BellSouth Corp. 6.000 % 11/15/34 1,480 1,431
BellSouth Telecommunications Inc. 6.375 % 6/1/28 4,140 4,201
British Telecommunications PLC 9.625 % 12/15/30 5,350 6,722
CBS Corp. 5.750 % 4/15/20 400 402
CBS Corp. 7.875 % 7/30/30 2,815 3,090
CBS Corp. 5.500 % 5/15/33 225 193
CenturyTel Inc. 6.875 % 1/15/28 550 516
CenturyTel Inc. 7.600 % 9/15/39 950 916


Comcast Cable Communications Holdings          
Inc. 9.455 % 11/15/22 3,198 4,290
Comcast Corp. 5.650 % 6/15/35 5,100 4,734
Comcast Corp. 6.500 % 11/15/35 7,025 7,186
Comcast Corp. 6.450 % 3/15/37 4,375 4,450
Comcast Corp. 6.950 % 8/15/37 1,875 2,023
Comcast Corp. 6.400 % 5/15/38 2,800 2,830
Deutsche Telekom International Finance BV 8.750 % 6/15/30 8,825 11,338
3 DIRECTV Holdings LLC 6.350 % 3/15/40 1,125 1,130
Embarq Corp. 7.995 % 6/1/36 3,500 3,568
France Telecom SA 8.500 % 3/1/31 5,550 7,378
Grupo Televisa SA 6.625 % 3/18/25 1,600 1,644
Grupo Televisa SA 8.500 % 3/11/32 250 304
Grupo Televisa SA 6.625 % 1/15/40 2,125 2,109
GTE Corp. 8.750 % 11/1/21 900 1,119
GTE Corp. 6.940 % 4/15/28 2,275 2,388
Koninklijke KPN NV 8.375 % 10/1/30 1,825 2,278
McGraw-Hill Cos. Inc. 6.550 % 11/15/37 1,150 1,232
New Cingular Wireless Services Inc. 8.750 % 3/1/31 4,875 6,240
News America Holdings Inc. 8.150 % 10/17/36 1,225 1,432
News America Holdings Inc. 7.750 % 12/1/45 1,225 1,423
News America Inc. 6.550 % 3/15/33 225 233
News America Inc. 6.200 % 12/15/34 6,850 6,834
News America Inc. 6.400 % 12/15/35 5,950 6,088
News America Inc. 6.900 % 8/15/39 975 1,057
Pacific Bell Telephone Co. 7.125 % 3/15/26 550 602
Qwest Corp. 7.500 % 6/15/23 2,300 2,294
Qwest Corp. 6.875 % 9/15/33 3,050 2,928
Rogers Communications Inc. 7.500 % 8/15/38 675 790
TCI Communications Inc. 7.875 % 2/15/26 2,200 2,516
Telecom Italia Capital SA 6.375 % 11/15/33 4,025 3,737
Telecom Italia Capital SA 6.000 % 9/30/34 800 707
Telecom Italia Capital SA 7.200 % 7/18/36 1,625 1,631
Telecom Italia Capital SA 7.721 % 6/4/38 2,700 2,897
Telefonica Emisiones SAU 7.045 % 6/20/36 4,475 5,013
Telefonica Europe BV 8.250 % 9/15/30 2,500 3,067
Thomson Reuters Corp. 5.500 % 8/15/35 900 851
Thomson Reuters Corp. 5.850 % 4/15/40 1,100 1,075
Time Warner Cable Inc. 6.550 % 5/1/37 3,800 3,889
Time Warner Cable Inc. 7.300 % 7/1/38 2,700 3,009
Time Warner Cable Inc. 6.750 % 6/15/39 3,100 3,256
Time Warner Entertainment Co. LP 8.375 % 3/15/23 2,733 3,372
Time Warner Entertainment Co. LP 8.375 % 7/15/33 1,950 2,341
United States Cellular Corp. 6.700 % 12/15/33 950 921
Verizon Communications Inc. 5.850 % 9/15/35 2,775 2,697
Verizon Communications Inc. 6.250 % 4/1/37 2,425 2,467
Verizon Communications Inc. 6.400 % 2/15/38 5,250 5,447
Verizon Communications Inc. 6.900 % 4/15/38 1,700 1,865
Verizon Communications Inc. 8.950 % 3/1/39 2,025 2,746
Verizon Communications Inc. 7.350 % 4/1/39 1,775 2,070
Verizon Global Funding Corp. 7.750 % 12/1/30 6,825 8,121
Verizon Maryland Inc. 5.125 % 6/15/33 500 407
Verizon New England Inc. 7.875 % 11/15/29 400 438
Verizon New York Inc. 7.375 % 4/1/32 650 694
Vodafone Group PLC 7.875 % 2/15/30 1,000 1,195
Vodafone Group PLC 6.250 % 11/30/32 200 204
Vodafone Group PLC 6.150 % 2/27/37 5,175 5,300


Consumer Cyclical (3.2%)          
CVS Caremark Corp. 6.250 % 6/1/27 3,700 3,831
CVS Caremark Corp. 6.125 % 9/15/39 2,925 2,889
Daimler Finance North America LLC 8.500 % 1/18/31 3,450 4,223
Darden Restaurants Inc. 6.800 % 10/15/37 850 898
Historic TW Inc. 9.150 % 2/1/23 1,230 1,588
Historic TW Inc. 6.625 % 5/15/29 6,975 7,330
Home Depot Inc. 5.875 % 12/16/36 6,100 5,906
Johnson Controls Inc. 6.000 % 1/15/36 475 456
Kohl's Corp. 6.000 % 1/15/33 400 402
Kohl's Corp. 6.875 % 12/15/37 1,000 1,115
Lowe's Cos. Inc. 6.875 % 2/15/28 550 621
Lowe's Cos. Inc. 6.500 % 3/15/29 1,800 1,951
Lowe's Cos. Inc. 5.800 % 10/15/36 2,250 2,275
McDonald's Corp. 6.300 % 10/15/37 1,750 1,891
McDonald's Corp. 6.300 % 3/1/38 875 948
McDonald's Corp. 5.700 % 2/1/39 1,625 1,628
Nordstrom Inc. 6.950 % 3/15/28 300 330
Nordstrom Inc. 7.000 % 1/15/38 1,200 1,349
Target Corp. 7.000 % 7/15/31 1,800 2,010
Target Corp. 6.350 % 11/1/32 3,000 3,180
Target Corp. 6.500 % 10/15/37 3,525 3,828
Target Corp. 7.000 % 1/15/38 1,450 1,674
Time Warner Cos. Inc. 7.570 % 2/1/24 500 582
Time Warner Cos. Inc. 6.950 % 1/15/28 1,000 1,084
Time Warner Inc. 7.625 % 4/15/31 5,185 5,902
Time Warner Inc. 7.700 % 5/1/32 1,865 2,145
Time Warner Inc. 6.200 % 3/15/40 950 938
VF Corp. 6.450 % 11/1/37 1,500 1,587
Viacom Inc. 6.875 % 4/30/36 3,850 4,071
Wal-Mart Stores Inc. 5.875 % 4/5/27 4,025 4,275
Wal-Mart Stores Inc. 7.550 % 2/15/30 4,425 5,436
Wal-Mart Stores Inc. 5.250 % 9/1/35 4,900 4,678
Wal-Mart Stores Inc. 6.500 % 8/15/37 3,775 4,165
Wal-Mart Stores Inc. 6.200 % 4/15/38 3,575 3,816
Wal-Mart Stores Inc. 5.625 % 4/1/40 2,175 2,172
Walt Disney Co. 7.000 % 3/1/32 1,150 1,349
Western Union Co. 6.200 % 11/17/36 1,350 1,361
Yum! Brands Inc. 6.875 % 11/15/37 1,400 1,527
 
Consumer Noncyclical (6.1%)          
Abbott Laboratories 6.150 % 11/30/37 2,225 2,378
Abbott Laboratories 6.000 % 4/1/39 2,050 2,162
Altria Group Inc. 9.950 % 11/10/38 3,875 5,080
Altria Group Inc. 10.200 % 2/6/39 3,450 4,612
Amgen Inc. 6.375 % 6/1/37 2,125 2,286
Amgen Inc. 6.400 % 2/1/39 3,375 3,624
Amgen Inc. 5.750 % 3/15/40 1,450 1,433
Anheuser-Busch Cos. Inc. 6.800 % 8/20/32 1,875 2,030
Anheuser-Busch Cos. Inc. 5.950 % 1/15/33 650 649
Anheuser-Busch Cos. Inc. 5.750 % 4/1/36 1,575 1,531
Anheuser-Busch Cos. Inc. 6.450 % 9/1/37 650 697
3 Anheuser-Busch InBev Worldwide Inc. 5.000 % 4/15/20 2,575 2,588
Anheuser-Busch InBev Worldwide Inc. 6.375 % 1/15/40 975 1,036
Archer-Daniels-Midland Co. 6.625 % 5/1/29 250 276
Archer-Daniels-Midland Co. 5.935 % 10/1/32 255 266
Archer-Daniels-Midland Co. 5.375 % 9/15/35 2,750 2,640
AstraZeneca PLC 6.450 % 9/15/37 6,950 7,671


Baxter International Inc. 6.250 % 12/1/37 800 865
Becton Dickinson and Co. 6.000 % 5/15/39 1,000 1,047
Bristol-Myers Squibb Co. 7.150 % 6/15/23 1,300 1,527
Bristol-Myers Squibb Co. 6.800 % 11/15/26 889 1,027
Bristol-Myers Squibb Co. 5.875 % 11/15/36 2,900 2,971
Bristol-Myers Squibb Co. 6.125 % 5/1/38 1,100 1,161
Bristol-Myers Squibb Co. 6.875 % 8/1/97 200 214
Coca-Cola Enterprises Inc. 8.500 % 2/1/22 1,075 1,393
Coca-Cola Enterprises Inc. 7.000 % 10/1/26 1,175 1,355
Coca-Cola Enterprises Inc. 6.950 % 11/15/26 3,475 3,992
Coca-Cola Enterprises Inc. 6.750 % 9/15/28 1,675 1,902
ConAgra Foods Inc. 9.750 % 3/1/21 129 171
ConAgra Foods Inc. 7.125 % 10/1/26 1,150 1,259
ConAgra Foods Inc. 7.000 % 10/1/28 175 190
ConAgra Foods Inc. 8.250 % 9/15/30 1,150 1,399
Covidien International Finance SA 6.550 % 10/15/37 2,325 2,575
CR Bard Inc. 6.700 % 12/1/26 500 561
Delhaize America Inc. 9.000 % 4/15/31 2,000 2,537
Diageo Capital PLC 5.875 % 9/30/36 500 516
Diageo Investment Corp. 7.450 % 4/15/35 1,750 2,085
Dr Pepper Snapple Group Inc. 7.450 % 5/1/38 600 711
Eli Lilly & Co. 7.125 % 6/1/25 1,000 1,187
Eli Lilly & Co. 5.500 % 3/15/27 4,300 4,340
Eli Lilly & Co. 5.950 % 11/15/37 450 471
Estee Lauder Cos. Inc. 6.000 % 5/15/37 1,025 1,023
Fortune Brands Inc. 5.875 % 1/15/36 925 803
Genentech Inc. 5.250 % 7/15/35 200 188
GlaxoSmithKline Capital Inc. 5.375 % 4/15/34 1,850 1,791
GlaxoSmithKline Capital Inc. 6.375 % 5/15/38 5,200 5,714
Hasbro Inc. 6.350 % 3/15/40 900 886
HJ Heinz Finance Co. 6.750 % 3/15/32 1,625 1,748
Johnson & Johnson 6.950 % 9/1/29 2,125 2,542
Johnson & Johnson 4.950 % 5/15/33 2,125 2,050
Johnson & Johnson 5.950 % 8/15/37 975 1,056
Johnson & Johnson 5.850 % 7/15/38 825 877
Kellogg Co. 7.450 % 4/1/31 2,850 3,470
Kimberly-Clark Corp. 6.625 % 8/1/37 1,975 2,249
Koninklijke Philips Electronics NV 6.875 % 3/11/38 2,550 2,844
Kraft Foods Inc. 6.500 % 11/1/31 1,650 1,692
Kraft Foods Inc. 7.000 % 8/11/37 3,050 3,329
Kraft Foods Inc. 6.875 % 2/1/38 1,575 1,701
Kraft Foods Inc. 6.875 % 1/26/39 400 431
Kraft Foods Inc. 6.500 % 2/9/40 6,950 7,159
Kroger Co. 7.700 % 6/1/29 375 439
Kroger Co. 8.000 % 9/15/29 1,925 2,321
Kroger Co. 7.500 % 4/1/31 1,350 1,578
3 Mead Johnson Nutrition Co. 5.900 % 11/1/39 675 655
Medtronic Inc. 6.500 % 3/15/39 600 671
Medtronic Inc. 5.550 % 3/15/40 1,025 1,012
Merck & Co. Inc. 6.300 % 1/1/26 500 543
Merck & Co. Inc. 6.400 % 3/1/28 2,200 2,420
Merck & Co. Inc. 5.950 % 12/1/28 1,050 1,093
Merck & Co. Inc. 6.500 % 12/1/33 775 867
Merck & Co. Inc. 5.750 % 11/15/36 300 308
Merck & Co. Inc. 6.550 % 9/15/37 3,350 3,811
Merck & Co. Inc. 5.850 % 6/30/39 1,850 1,931
Novartis Capital Corp. 4.400 % 4/24/20 1,475 1,465
Pepsi Bottling Group Inc. 7.000 % 3/1/29 2,925 3,412


PepsiCo Inc. 5.500 % 1/15/40 1,925 1,896
Pfizer Inc. 7.200 % 3/15/39 6,275 7,607
Pharmacia Corp. 6.600 % 12/1/28 1,050 1,162
Philip Morris International Inc. 6.375 % 5/16/38 3,200 3,459
2 Procter & Gamble - Esop 9.360 % 1/1/21 2,032 2,528
Procter & Gamble Co. 6.450 % 1/15/26 1,100 1,238
Procter & Gamble Co. 5.800 % 8/15/34 100 105
Procter & Gamble Co. 5.550 % 3/5/37 4,650 4,686
Quest Diagnostics Inc. 6.950 % 7/1/37 925 1,023
Quest Diagnostics Inc. 5.750 % 1/30/40 1,000 957
Reynolds American Inc. 7.250 % 6/15/37 600 609
Safeway Inc. 7.250 % 2/1/31 1,331 1,524
Sara Lee Corp. 6.125 % 11/1/32 625 608
Sysco Corp. 5.375 % 9/21/35 1,000 977
Teva Pharmaceutical Finance Co. LLC 6.150 % 2/1/36 2,700 2,782
Unilever Capital Corp. 5.900 % 11/15/32 2,825 2,949
Wyeth 6.450 % 2/1/24 2,225 2,472
Wyeth 6.000 % 2/15/36 2,275 2,403
Wyeth 5.950 % 4/1/37 4,700 4,904
Zimmer Holdings Inc. 5.750 % 11/30/39 1,100 1,067
 
Energy (4.7%)          
Alberta Energy Co. Ltd. 7.375 % 11/1/31 1,000 1,156
Anadarko Finance Co. 7.500 % 5/1/31 1,500 1,695
Anadarko Petroleum Corp. 6.450 % 9/15/36 5,300 5,390
Anadarko Petroleum Corp. 7.950 % 6/15/39 50 60
Anadarko Petroleum Corp. 6.200 % 3/15/40 1,825 1,791
Apache Corp. 6.000 % 1/15/37 2,375 2,500
Apache Finance Canada Corp. 7.750 % 12/15/29 650 781
Baker Hughes Inc. 6.875 % 1/15/29 1,000 1,138
Burlington Resources Finance Co. 7.200 % 8/15/31 1,050 1,184
Burlington Resources Finance Co. 7.400 % 12/1/31 1,675 1,931
Cameron International Corp. 7.000 % 7/15/38 625 684
Canadian Natural Resources Ltd. 7.200 % 1/15/32 1,400 1,572
Canadian Natural Resources Ltd. 6.450 % 6/30/33 1,175 1,216
Canadian Natural Resources Ltd. 6.500 % 2/15/37 1,975 2,087
Canadian Natural Resources Ltd. 6.250 % 3/15/38 1,750 1,805
Canadian Natural Resources Ltd. 6.750 % 2/1/39 800 880
3 Cenovus Energy Inc. 6.750 % 11/15/39 3,500 3,801
Conoco Funding Co. 7.250 % 10/15/31 400 470
ConocoPhillips 5.900 % 10/15/32 1,050 1,081
ConocoPhillips 6.500 % 2/1/39 2,450 2,727
ConocoPhillips Canada Funding Co. I 5.950 % 10/15/36 950 967
ConocoPhillips Holding Co. 6.950 % 4/15/29 1,775 2,038
Devon Energy Corp. 7.950 % 4/15/32 310 389
Devon Financing Corp. ULC 7.875 % 9/30/31 4,450 5,502
Diamond Offshore Drilling Inc. 5.700 % 10/15/39 1,075 1,050
EnCana Corp. 6.500 % 8/15/34 4,825 5,088
EnCana Corp. 6.625 % 8/15/37 1,400 1,503
Global Marine Inc. 7.000 % 6/1/28 800 877
Halliburton Co. 6.700 % 9/15/38 2,700 3,009
Halliburton Co. 7.450 % 9/15/39 1,050 1,282
Hess Corp. 7.875 % 10/1/29 2,625 3,129
Hess Corp. 7.125 % 3/15/33 925 1,033
Hess Corp. 6.000 % 1/15/40 2,100 2,066
Husky Energy Inc. 6.800 % 9/15/37 1,225 1,332
Kerr-McGee Corp. 6.950 % 7/1/24 2,000 2,224
Kerr-McGee Corp. 7.875 % 9/15/31 500 580


Lasmo USA Inc. 7.300 % 11/15/27 600 699
Marathon Oil Corp. 6.600 % 10/1/37 2,200 2,310
Nexen Inc. 7.875 % 3/15/32 550 637
Nexen Inc. 5.875 % 3/10/35 1,850 1,761
Nexen Inc. 6.400 % 5/15/37 3,300 3,326
Nexen Inc. 7.500 % 7/30/39 1,525 1,733
Noble Energy Inc. 8.000 % 4/1/27 775 883
Petro-Canada 7.875 % 6/15/26 150 175
Petro-Canada 7.000 % 11/15/28 250 271
Petro-Canada 5.350 % 7/15/33 1,650 1,484
Petro-Canada 5.950 % 5/15/35 2,500 2,447
Petro-Canada 6.800 % 5/15/38 2,275 2,440
Shell International Finance BV 6.375 % 12/15/38 6,100 6,680
Shell International Finance BV 5.500 % 3/25/40 1,550 1,513
Statoil ASA 7.250 % 9/23/27 2,500 2,917
Statoil ASA 7.150 % 1/15/29 1,000 1,161
Suncor Energy Inc. 7.150 % 2/1/32 800 888
Suncor Energy Inc. 5.950 % 12/1/34 875 846
Suncor Energy Inc. 6.500 % 6/15/38 4,825 5,025
Talisman Energy Inc. 7.250 % 10/15/27 450 497
Talisman Energy Inc. 5.850 % 2/1/37 2,700 2,588
Tosco Corp. 8.125 % 2/15/30 7,500 9,418
Transocean Inc. 7.500 % 4/15/31 1,525 1,793
Transocean Inc. 6.800 % 3/15/38 1,725 1,919
Valero Energy Corp. 7.500 % 4/15/32 950 974
Valero Energy Corp. 6.625 % 6/15/37 5,175 4,899
Weatherford International Inc. 6.800 % 6/15/37 700 716
Weatherford International Ltd. 6.500 % 8/1/36 1,500 1,484
Weatherford International Ltd. 7.000 % 3/15/38 1,600 1,677
Williams Cos. Inc. 7.875 % 9/1/21 741 872
Williams Cos. Inc. 7.500 % 1/15/31 2,852 3,134
Williams Cos. Inc. 7.750 % 6/15/31 2,037 2,273
XTO Energy Inc. 6.100 % 4/1/36 1,125 1,215
XTO Energy Inc. 6.750 % 8/1/37 3,225 3,782
XTO Energy Inc. 6.375 % 6/15/38 2,125 2,384
 
Technology (1.2%)          
Cisco Systems Inc. 5.900 % 2/15/39 2,500 2,522
Cisco Systems Inc. 5.500 % 1/15/40 6,350 6,068
Corning Inc. 7.250 % 8/15/36 600 634
Dell Inc. 7.100 % 4/15/28 500 553
Dell Inc. 6.500 % 4/15/38 400 421
Electronic Data Systems LLC 7.450 % 10/15/29 375 447
Equifax Inc. 7.000 % 7/1/37 600 620
International Business Machines Corp. 7.000 % 10/30/25 1,050 1,246
International Business Machines Corp. 6.220 % 8/1/27 1,600 1,734
International Business Machines Corp. 6.500 % 1/15/28 225 249
International Business Machines Corp. 5.875 % 11/29/32 950 994
International Business Machines Corp. 5.600 % 11/30/39 4,620 4,610
Microsoft Corp. 5.200 % 6/1/39 2,075 2,049
Motorola Inc. 7.500 % 5/15/25 225 237
Motorola Inc. 6.500 % 9/1/25 1,300 1,261
Motorola Inc. 6.500 % 11/15/28 975 938
Motorola Inc. 6.625 % 11/15/37 825 795
Nokia Oyj 6.625 % 5/15/39 1,575 1,729
Oracle Corp. 6.500 % 4/15/38 2,475 2,726
Oracle Corp. 6.125 % 7/8/39 3,150 3,332
Pitney Bowes Inc. 5.250 % 1/15/37 450 467


Science Applications International Corp. 5.500 % 7/1/33 500 437
Tyco Electronics Group SA 7.125 % 10/1/37 250 271
Xerox Corp. 6.750 % 12/15/39 950 989
 
Transportation (1.3%)          
Burlington Northern Santa Fe Corp. 7.000 % 12/15/25 700 777
Burlington Northern Santa Fe Corp. 7.950 % 8/15/30 1,300 1,584
Burlington Northern Santa Fe Corp. 6.200 % 8/15/36 775 799
Burlington Northern Santa Fe LLC 6.150 % 5/1/37 1,325 1,375
Canadian National Railway Co. 6.250 % 8/1/34 2,450 2,654
Canadian National Railway Co. 6.200 % 6/1/36 1,325 1,407
Canadian Pacific Railway Co. 7.125 % 10/15/31 2,075 2,232
Con-way Inc. 6.700 % 5/1/34 650 588
2 Continental Airlines Inc. 5.983 % 4/19/22 2,850 2,807
CSX Corp. 6.000 % 10/1/36 175 172
CSX Corp. 6.150 % 5/1/37 2,025 2,034
3 CSX Corp. 6.220 % 4/30/40 2,275 2,291
2 Delta Air Lines Inc. 6.821 % 8/10/22 2,191 2,169
Norfolk Southern Corp. 5.590 % 5/17/25 716 707
Norfolk Southern Corp. 7.800 % 5/15/27 2,802 3,365
Norfolk Southern Corp. 5.640 % 5/17/29 1,898 1,870
Norfolk Southern Corp. 7.050 % 5/1/37 1,200 1,382
Norfolk Southern Corp. 7.900 % 5/15/97 450 533
Norfolk Southern Railway Co. 9.750 % 6/15/20 411 552
2 Southwest Airlines Co. 2007-1 Pass Through          
Trust 6.150 % 8/1/22 769 795
Union Pacific Corp. 7.125 % 2/1/28 600 668
Union Pacific Corp. 6.625 % 2/1/29 1,500 1,611
Union Pacific Corp. 6.150 % 5/1/37 1,000 1,031
2 Union Pacific Railroad Co. 2007-3 Pass          
Through Trust 6.176 % 1/2/31 924 1,024
United Parcel Service Inc. 6.200 % 1/15/38 3,800 4,138
United Parcel Service of America Inc. 8.375 % 4/1/20 500 646
United Parcel Service of America Inc. 8.375 % 4/1/30 500 634
          847,060
Utilities (7.4%)          
Electric (5.7%)          
AEP Texas Central Co. 6.650 % 2/15/33 1,950 2,040
Alabama Power Co. 6.125 % 5/15/38 1,000 1,057
Alabama Power Co. 6.000 % 3/1/39 825 864
Ameren Energy Generating Co. 7.950 % 6/1/32 1,750 1,890
American Water Capital Corp. 6.593 % 10/15/37 2,025 2,111
Appalachian Power Co. 5.800 % 10/1/35 500 483
Appalachian Power Co. 7.000 % 4/1/38 1,700 1,925
Baltimore Gas & Electric Co. 6.350 % 10/1/36 375 384
CenterPoint Energy Houston Electric LLC 6.950 % 3/15/33 925 1,007
Cleveland Electric Illuminating Co. 5.500 % 8/15/24 1,000 992
Cleveland Electric Illuminating Co. 5.950 % 12/15/36 1,000 959
Columbus Southern Power Co. 5.850 % 10/1/35 800 783
Commonwealth Edison Co. 5.875 % 2/1/33 250 253
Commonwealth Edison Co. 5.900 % 3/15/36 1,650 1,668
Commonwealth Edison Co. 6.450 % 1/15/38 400 432
Connecticut Light & Power Co. 6.350 % 6/1/36 750 798
Consolidated Edison Co. of New York Inc. 5.300 % 3/1/35 1,125 1,045
Consolidated Edison Co. of New York Inc. 5.850 % 3/15/36 1,875 1,883
Consolidated Edison Co. of New York Inc. 6.200 % 6/15/36 550 578
Consolidated Edison Co. of New York Inc. 6.300 % 8/15/37 925 982


Consolidated Edison Co. of New York Inc. 6.750 % 4/1/38 1,525 1,720
Consolidated Edison Co. of New York Inc. 5.500 % 12/1/39 825 788
Constellation Energy Group Inc. 7.600 % 4/1/32 1,800 2,061
Consumers Energy Co. 5.650 % 4/15/20 1,250 1,310
Detroit Edison Co. 5.700 % 10/1/37 500 494
Dominion Resources Inc. 6.300 % 3/15/33 2,150 2,247
Dominion Resources Inc. 5.950 % 6/15/35 1,150 1,167
Dominion Resources Inc. 7.000 % 6/15/38 1,050 1,205
DTE Energy Co. 6.375 % 4/15/33 800 764
Duke Energy Carolinas LLC 6.000 % 12/1/28 1,000 1,032
Duke Energy Carolinas LLC 6.450 % 10/15/32 1,050 1,119
Duke Energy Carolinas LLC 6.100 % 6/1/37 825 862
Duke Energy Carolinas LLC 6.000 % 1/15/38 875 909
Duke Energy Carolinas LLC 6.050 % 4/15/38 2,150 2,265
Duke Energy Carolinas LLC 5.300 % 2/15/40 1,425 1,359
Duke Energy Indiana Inc. 6.120 % 10/15/35 600 608
Duke Energy Indiana Inc. 6.350 % 8/15/38 1,000 1,073
El Paso Electric Co. 6.000 % 5/15/35 850 773
Energy East Corp. 6.750 % 7/15/36 1,425 1,532
Entergy Louisiana LLC 5.400 % 11/1/24 1,425 1,442
Exelon Corp. 5.625 % 6/15/35 1,975 1,839
Exelon Generation Co. LLC 6.250 % 10/1/39 2,675 2,705
FirstEnergy Corp. 7.375 % 11/15/31 4,800 4,956
FirstEnergy Solutions Corp. 6.050 % 8/15/21 925 922
FirstEnergy Solutions Corp. 6.800 % 8/15/39 900 887
Florida Power & Light Co. 5.950 % 10/1/33 950 972
Florida Power & Light Co. 5.625 % 4/1/34 1,174 1,148
Florida Power & Light Co. 4.950 % 6/1/35 150 133
Florida Power & Light Co. 5.400 % 9/1/35 1,875 1,777
Florida Power & Light Co. 6.200 % 6/1/36 150 158
Florida Power & Light Co. 5.650 % 2/1/37 2,150 2,145
Florida Power & Light Co. 5.850 % 5/1/37 475 484
Florida Power & Light Co. 5.950 % 2/1/38 350 361
Florida Power & Light Co. 5.960 % 4/1/39 750 776
Florida Power Corp. 6.350 % 9/15/37 2,225 2,386
Florida Power Corp. 6.400 % 6/15/38 1,600 1,728
Georgia Power Co. 5.650 % 3/1/37 2,075 2,056
Georgia Power Co. 5.950 % 2/1/39 1,250 1,300
Indiana Michigan Power Co. 6.050 % 3/15/37 1,775 1,783
Interstate Power & Light Co. 6.250 % 7/15/39 975 1,017
Kansas City Power & Light Co. 6.050 % 11/15/35 500 499
2 Kansas Gas & Electric 5.647 % 3/29/21 1,063 1,071
MidAmerican Energy Co. 6.750 % 12/30/31 1,800 1,994
MidAmerican Energy Co. 5.750 % 11/1/35 850 840
MidAmerican Energy Co. 5.800 % 10/15/36 875 873
Midamerican Energy Holdings Co. 8.480 % 9/15/28 300 372
Midamerican Energy Holdings Co. 6.125 % 4/1/36 7,675 7,732
Midamerican Energy Holdings Co. 5.950 % 5/15/37 2,975 2,909
Midamerican Energy Holdings Co. 6.500 % 9/15/37 700 740
National Rural Utilities Cooperative Finance          
Corp. 8.000 % 3/1/32 2,400 2,869
Nevada Power Co. 6.750 % 7/1/37 2,500 2,691
Nisource Finance Corp. 5.450 % 9/15/20 725 717
Nisource Finance Corp. 6.125 % 3/1/22 750 778
Northern States Power Co. 5.250 % 7/15/35 1,175 1,105
Northern States Power Co. 6.250 % 6/1/36 525 563
Northern States Power Co. 6.200 % 7/1/37 1,550 1,653
Northern States Power Co. 5.350 % 11/1/39 625 594


NSTAR Electric Co. 5.500 % 3/15/40 725 739
Oglethorpe Power Corp. 5.950 % 11/1/39 750 769
Ohio Power Co. 6.600 % 2/15/33 400 426
Oncor Electric Delivery Co. LLC 7.000 % 9/1/22 1,675 1,916
Oncor Electric Delivery Co. LLC 7.000 % 5/1/32 2,025 2,198
Oncor Electric Delivery Co. LLC 7.250 % 1/15/33 325 366
Oncor Electric Delivery Co. LLC 7.500 % 9/1/38 425 493
Pacific Gas & Electric Co. 6.050 % 3/1/34 7,875 8,110
Pacific Gas & Electric Co. 5.800 % 3/1/37 2,075 2,056
Pacific Gas & Electric Co. 5.400 % 1/15/40 2,000 1,882
PacifiCorp 7.700 % 11/15/31 400 496
PacifiCorp 5.250 % 6/15/35 1,150 1,079
PacifiCorp 5.750 % 4/1/37 1,000 998
PacifiCorp 6.250 % 10/15/37 1,200 1,283
Pennsylvania Electric Co. 5.200 % 4/1/20 350 350
Pennsylvania Electric Co. 6.150 % 10/1/38 350 349
Pepco Holdings Inc. 7.450 % 8/15/32 300 320
Potomac Electric Power Co. 6.500 % 11/15/37 2,250 2,434
PPL Electric Utilities Corp. 6.250 % 5/15/39 775 845
Progress Energy Inc. 7.750 % 3/1/31 1,725 2,032
Progress Energy Inc. 7.000 % 10/30/31 925 1,010
Progress Energy Inc. 6.000 % 12/1/39 1,800 1,759
PSEG Power LLC 8.625 % 4/15/31 400 512
Public Service Co. of Colorado 6.250 % 9/1/37 1,025 1,115
Public Service Co. of Oklahoma 6.625 % 11/15/37 300 316
Public Service Electric & Gas Co. 5.250 % 7/1/35 675 642
Public Service Electric & Gas Co. 5.800 % 5/1/37 2,050 2,096
Puget Sound Energy Inc. 5.483 % 6/1/35 825 771
Puget Sound Energy Inc. 6.274 % 3/15/37 1,425 1,483
Puget Sound Energy Inc. 5.757 % 10/1/39 850 823
Puget Sound Energy Inc. 5.795 % 3/15/40 675 663
San Diego Gas & Electric Co. 5.350 % 5/15/35 1,025 982
San Diego Gas & Electric Co. 6.125 % 9/15/37 625 665
San Diego Gas & Electric Co. 6.000 % 6/1/39 650 690
South Carolina Electric & Gas Co. 6.625 % 2/1/32 500 553
South Carolina Electric & Gas Co. 5.300 % 5/15/33 1,850 1,740
South Carolina Electric & Gas Co. 6.050 % 1/15/38 775 805
Southern California Edison Co. 6.650 % 4/1/29 700 766
Southern California Edison Co. 6.000 % 1/15/34 975 1,017
Southern California Edison Co. 5.750 % 4/1/35 400 404
Southern California Edison Co. 5.350 % 7/15/35 3,175 3,040
Southern California Edison Co. 5.550 % 1/15/36 100 98
Southern California Edison Co. 5.625 % 2/1/36 2,075 2,063
Southern California Edison Co. 5.550 % 1/15/37 500 492
Southern California Edison Co. 5.950 % 2/1/38 675 702
Southwestern Electric Power Co. 6.200 % 3/15/40 700 698
Tampa Electric Co. 6.550 % 5/15/36 450 476
Toledo Edison Co. 7.250 % 5/1/20 1,000 1,161
Toledo Edison Co. 6.150 % 5/15/37 1,500 1,516
Union Electric Co. 8.450 % 3/15/39 625 824
United Utilities PLC 6.875 % 8/15/28 375 385
Virginia Electric and Power Co. 6.000 % 1/15/36 1,725 1,767
Virginia Electric and Power Co. 6.000 % 5/15/37 825 851
Virginia Electric and Power Co. 6.350 % 11/30/37 1,000 1,080
Virginia Electric and Power Co. 8.875 % 11/15/38 1,200 1,676
Wisconsin Electric Power Co. 5.625 % 5/15/33 450 445
Wisconsin Electric Power Co. 5.700 % 12/1/36 1,675 1,671
Wisconsin Power & Light Co. 6.375 % 8/15/37 950 1,004


Xcel Energy Inc. 6.500 % 7/1/36 650 684
 
Natural Gas (1.6%)          
AGL Capital Corp. 6.000 % 10/1/34 850 830
DCP Midstream LLC 8.125 % 8/16/30 500 588
El Paso Natural Gas Co. 8.375 % 6/15/32 1,635 1,924
Enbridge Energy Partners LP 7.500 % 4/15/38 525 612
Energy Transfer Partners LP 6.625 % 10/15/36 1,625 1,637
Energy Transfer Partners LP 7.500 % 7/1/38 775 867
Enterprise Products Operating LLC 6.875 % 3/1/33 2,150 2,294
Enterprise Products Operating LLC 6.650 % 10/15/34 900 937
Enterprise Products Operating LLC 7.550 % 4/15/38 1,125 1,287
Enterprise Products Operating LLC 6.125 % 10/15/39 1,500 1,471
KeySpan Corp. 8.000 % 11/15/30 1,175 1,424
Kinder Morgan Energy Partners LP 7.750 % 3/15/32 500 581
Kinder Morgan Energy Partners LP 7.300 % 8/15/33 1,000 1,113
Kinder Morgan Energy Partners LP 5.800 % 3/15/35 1,675 1,577
Kinder Morgan Energy Partners LP 6.500 % 2/1/37 1,350 1,390
Kinder Morgan Energy Partners LP 6.950 % 1/15/38 2,094 2,266
Kinder Morgan Energy Partners LP 6.500 % 9/1/39 1,000 1,024
Oneok Inc. 6.000 % 6/15/35 975 936
ONEOK Partners LP 6.650 % 10/1/36 2,925 3,042
ONEOK Partners LP 6.850 % 10/15/37 200 215
Plains All American Pipeline LP / PAA          
Finance Corp. 6.650 % 1/15/37 1,175 1,217
Sempra Energy 6.000 % 10/15/39 1,500 1,476
Southern California Gas Co. 5.750 % 11/15/35 75 77
Southern Union Co. 7.600 % 2/1/24 500 558
Southern Union Co. 8.250 % 11/15/29 1,000 1,149
Spectra Energy Capital LLC 6.750 % 2/15/32 1,705 1,771
Tennessee Gas Pipeline Co. 7.000 % 10/15/28 2,650 2,795
Texas Eastern Transmission LP 7.000 % 7/15/32 700 787
TransCanada PipeLines Ltd. 5.600 % 3/31/34 1,725 1,666
TransCanada PipeLines Ltd. 5.850 % 3/15/36 2,575 2,552
TransCanada PipeLines Ltd. 6.200 % 10/15/37 1,250 1,289
TransCanada PipeLines Ltd. 7.250 % 8/15/38 200 232
TransCanada PipeLines Ltd. 7.625 % 1/15/39 4,825 5,864
3 Williams Partners LP 6.300 % 4/15/40 2,000 1,989
 
Other Utility (0.1%)          
Veolia Environnement 6.750 % 6/1/38 1,750 1,902
          224,322
Total Corporate Bonds (Cost $1,337,813)         1,376,838
Sovereign Bonds (U.S. Dollar-Denominated) (5.3%)          
Asian Development Bank 5.593 % 7/16/18 4,000 4,364
Brazilian Government International Bond 8.875 % 4/15/24 3,000 3,945
Brazilian Government International Bond 8.750 % 2/4/25 6,700 8,827
Brazilian Government International Bond 10.125 % 5/15/27 6,700 9,822
Brazilian Government International Bond 8.250 % 1/20/34 5,675 7,230
Brazilian Government International Bond 7.125 % 1/20/37 7,050 8,018
Brazilian Government International Bond 11.000 % 8/17/40 9,900 13,246
Brazilian Government International Bond 5.625 % 1/7/41 3,150 2,965
European Investment Bank 4.875 % 2/15/36 2,400 2,317
Finland Government International Bond 6.950 % 2/15/26 195 230
Hydro Quebec 9.400 % 2/1/21 480 656
Hydro Quebec 8.400 % 1/15/22 775 1,005
Hydro Quebec 8.050 % 7/7/24 5,000 6,581


Hydro Quebec 8.500 % 12/1/29 1,200 1,564
Inter-American Development Bank 7.000 % 6/15/25 750 902
International Bank for Reconstruction &          
Development 7.625 % 1/19/23 1,807 2,355
International Bank for Reconstruction &          
Development 8.875 % 3/1/26 1,000 1,426
International Bank for Reconstruction &          
Development 4.750 % 2/15/35 1,025 993
Korea Electric Power Corp. 7.000 % 2/1/27 750 819
Kreditanstalt fuer Wiederaufbau 0.000 % 4/18/36 6,200 1,622
Kreditanstalt fuer Wiederaufbau 0.000 % 6/29/37 825 211
Mexico Government International Bond 8.300 % 8/15/31 1,325 1,703
Mexico Government International Bond 6.750 % 9/27/34 16,250 17,921
Pemex Project Funding Master Trust 6.625 % 6/15/35 4,900 4,802
Pemex Project Funding Master Trust 6.625 % 6/15/38 1,375 1,345
Peruvian Government International Bond 7.350 % 7/21/25 4,800 5,568
2 Peruvian Government International Bond 6.550 % 3/14/37 5,975 6,393
Petrobras International Finance Co. 6.875 % 1/20/40 4,100 4,245
Province of British Columbia Canada 6.500 % 1/15/26 1,500 1,740
Province of Manitoba Canada 9.250 % 4/1/20 1,500 2,043
Province of Nova Scotia Canada 9.125 % 5/1/21 1,280 1,702
Province of Quebec Canada 7.500 % 7/15/23 600 749
Province of Quebec Canada 7.125 % 2/9/24 3,800 4,624
Province of Quebec Canada 7.500 % 9/15/29 3,625 4,697
Province of Saskatchewan Canada 7.375 % 7/15/13 600 696
Region of Lombardy Italy 5.804 % 10/25/32 2,375 2,299
Republic of Italy 6.875 % 9/27/23 6,600 7,542
Republic of Italy 5.375 % 6/15/33 5,175 5,146
Republic of Korea 5.625 % 11/3/25 900 913
South Africa Government International Bond 6.875 % 5/27/19 900 1,005
South Africa Government International Bond 5.875 % 5/30/22 2,125 2,173
3 Temasek Financial I Ltd. 5.375 % 11/23/39 1,500 1,448
United Mexican States 6.050 % 1/11/40 4,400 4,389
Total Sovereign Bonds (Cost $159,624)         162,241
Taxable Municipal Bonds (4.6%)          
American Muni. Power Ohio Inc. 6.053 % 2/15/43 600 571
Bay Area Toll Auth. CA Toll Bridge Rev. 6.263 % 4/1/49 2,750 2,776
Board of Trustees of The Leland Stanford          
Junior University 4.750 % 5/1/19 1,000 1,035
California GO 7.500 % 4/1/34 5,500 5,681
California GO 7.550 % 4/1/39 5,800 6,031
California GO 7.300 % 10/1/39 4,625 4,641
California GO 7.350 % 11/1/39 2,400 2,391
California GO 7.625 % 3/1/40 3,100 3,231
Central Puget Sound WA Regional Transit          
Auth. Sales & Use Tax Rev. 5.491 % 11/1/39 650 632
Chicago IL Board of Educ. GO 6.138 % 12/1/39 700 712
Chicago IL Metro. Water Reclamation Dist.          
GO 5.720 % 12/1/38 1,300 1,312
Chicago IL Transit Auth. Rev. 6.899 % 12/1/40 5,500 5,895
Clark County NV Airport Improvement Rev. 6.881 % 7/1/42 650 655
Clark County NV Airport Rev. 6.820 % 7/1/45 1,000 1,042
Commonwealth Financing Auth. Pennsylvania          
Rev. 6.218 % 6/1/39 800 818
Connecticut GO 5.850 % 3/15/32 3,250 3,414
Dallas County TX Hosp. Dist. GO 5.621 % 8/15/44 850 851
Dallas TX Area Rapid Transit Rev. 5.999 % 12/1/44 1,725 1,844


Denver CO City & County School Dist. 5.664 % 12/1/33 525 528
District of Columbia Income Tax Rev. 5.591 % 12/1/34 675 671
East Bay CA Muni. Util. Dist. Water System          
Rev. 5.874 % 6/1/40 1,000 1,013
Emory University 5.625 % 9/1/19 1,000 1,083
Georgia GO 4.503 % 11/1/25 825 813
Illinois GO 4.950 % 6/1/23 1,700 1,574
Illinois GO 5.100 % 6/1/33 18,125 14,948
Illinois GO 6.630 % 2/1/35 1,050 1,046
Illinois State Tollway Highway Auth. Toll          
Highway Rev. 6.184 % 1/1/34 600 608
Illinois State Tollway Highway Auth. Toll          
Highway Rev. 5.851 % 12/1/34 600 582
Indianapolis IN Local Public Improvement          
Bond Bank Notes 6.116 % 1/15/40 875 888
Johns Hopkins University 5.250 % 7/1/19 1,200 1,264
Kansas Dev. Finance Auth. Rev. (Public          
Employee Retirement System) 5.501 % 5/1/34 500 485
Las Vegas Valley Water Dist. Nevada GO 7.013 % 6/1/39 525 563
Los Angeles CA Dept. of Water & Power Rev. 6.008 % 7/1/39 775 762
Los Angeles CA USD GO 5.750 % 7/1/34 3,700 3,406
Los Angeles CA USD GO 6.758 % 7/1/34 1,700 1,757
Maryland Transp. Auth. Rev. 5.888 % 7/1/43 850 857
Massachusetts GO 5.456 % 12/1/39 1,900 1,899
Massachusetts School Building Auth.          
Dedicated Sales Tax Rev. 5.715 % 8/15/39 1,050 1,059
Metro. New York Transp. Auth. Rev. 5.871 % 11/15/39 700 637
Metro. Transp. Auth. NY Rev. 6.648 % 11/15/39 1,750 1,793
Metro. Washington DC/VA Airports Auth.          
Airport System Rev. 7.462 % 10/1/46 775 801
Missouri Highways & Transp. Comm. Road          
Rev. 5.445 % 5/1/33 600 588
Muni. Electric Auth. Georgia Rev. 6.637 % 4/1/57 2,700 2,681
Muni. Electric Auth. Georgia Rev. 6.655 % 4/1/57 2,800 2,787
Muni. Electric Auth. Georgia Rev. 7.055 % 4/1/57 850 828
New Jersey Econ. Dev. Auth. 7.425 % 2/15/29 5,250 5,787
New Jersey Transp. Trust Fund Auth. Rev. 6.561 % 12/15/40 1,075 1,116
New Jersey Turnpike Auth. Rev. 4.252 % 1/1/16 30 31
New Jersey Turnpike Auth. Rev. 4.252 % 1/1/16 570 576
New Jersey Turnpike Auth. Rev. 7.414 % 1/1/40 3,050 3,545
New York City NY GO 5.206 % 10/1/31 1,000 911
New York City NY GO 5.968 % 3/1/36 300 298
New York City NY GO 5.985 % 12/1/36 625 616
New York City NY Muni. Water Finance Auth. 6.011 % 6/15/42 650 656
New York City NY Muni. Water Finance Auth.          
Water & Sewer System Rev. 5.750 % 6/15/41 800 783
New York City NY Muni. Water Finance Auth.          
Water & Sewer System Rev. 5.952 % 6/15/42 800 800
New York City NY Transitional Finance Auth.          
Rev. 5.767 % 8/1/36 775 769
New York Metro. Transp. Auth. Rev. 7.336 % 11/15/39 1,575 1,825
New York Metro. Transp. Auth. Rev. 6.089 % 11/15/40 575 570
New York State Dormitory Auth. Rev.          
(Personal Income Tax) 5.628 % 3/15/39 1,000 982
New York State Urban Dev. Corp. Rev. 5.770 % 3/15/39 1,350 1,333
North Texas Tollway Auth. Rev. 6.718 % 1/1/49 2,500 2,631
Oregon (Taxable Pension) GO 5.762 % 6/1/23 600 616
Oregon (Taxable Pension) GO 5.892 % 6/1/27 1,850 1,896


Oregon GO 4.759 % 6/30/28 1,850 1,537
Oregon GO 5.528 % 6/30/28 1,500 1,356
Oregon State Dept. Transp. Highway Usertax          
Rev. 5.834 % 11/15/34 750 750
Pennsylvania GO 4.650 % 2/15/26 1,100 1,071
Pennsylvania Turnpike Comm. Rev. 6.105 % 12/1/39 600 613
Port Auth. of New York & New Jersey Rev. 6.040 % 12/1/29 1,125 1,162
President and Fellows of Harvard College 6.300 % 10/1/37 1,000 1,041
Princeton University 5.700 % 3/1/39 1,000 1,028
San Antonio TX Electric & Gas Rev. 5.985 % 2/1/39 600 627
San Antonio TX Electric & Gas Rev. 5.718 % 2/1/41 950 967
San Diego County CA Water Auth. 6.138 % 5/1/49 1,200 1,216
Texas GO 5.517 % 4/1/39 2,000 1,988
Tobacco Settlement West Virginia Finance          
Auth. Rev. 7.467 % 6/1/47 3,735 2,997
Univ. of California Regents 6.583 % 5/15/49 1,075 1,109
Univ. of California Rev. 5.770 % 5/15/43 2,000 1,928
Univ. of Texas Permanent Univ. Fund Rev. 5.262 % 7/1/39 550 533
Univ. of Texas Permanent Univ. Fund Rev. 6.276 % 8/15/41 675 691
Utah GO 4.554 % 7/1/24 1,100 1,092
Washington GO 5.481 % 8/1/39 650 657
Wisconsin GO 5.700 % 5/1/26 900 904
Total Taxable Municipal Bonds (Cost $140,610)         138,461
        Shares  
Temporary Cash Investment (0.8%)          
Money Market Fund (0.8%)          
4 Vanguard Market Liquidity Fund          
(Cost $22,553) 0.183 %   22,552,516 22,553
Total Investments (99.5%) (Cost $2,988,713)         3,008,425
Other Assets and Liabilities-Net (0.5%)         15,697
Net Assets (100%)         3,024,122

1 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of 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 March 31, 2010, the aggregate
value of these securities was $23,191,000, representing 0.8% of net assets.
4 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.
USD—United School District.


Long-Term Bond Index Fund

A. 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.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value 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 March 31, 2010, based on the inputs used to value them:

    Level 1     Level 2     Level 3  
Investments ($ 000 ) ($ 000 ) ($ 000 )
U.S. Government and Agency Obligations   __     1,305,374     __  
Asset-Backed/Commercial Mortgage Backed Securities   __     2,958     __  
Corporate Bonds   __     1,376,838     __  
Sovereign Bonds   __     162,241     __  
Taxable Municipal Bonds   __     138,461     __  
Temporary Cash Investments   22,553     __     __  
Total   22,553     2,985,872     __  

C. At March 31, 2010, the cost of investment securities for tax purposes was $2,988,713,000. Net unrealized appreciation of investment securities for tax purposes was $19,712,000, consisting of unrealized gains of $91,700,000 on securities that had risen in value since their purchase and $71,988,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Total Bond Market Index Fund

Schedule of Investments
As of March 31, 2010

        Face Market
      Maturity Amount Value
  Coupon   Date ($000) ($000)
U.S. Government and Agency Obligations (71.1%)          
U.S. Government Securities (32.9%)          
United States Treasury Note/Bond 0.875 % 12/31/10 350 351
United States Treasury Note/Bond 4.250 % 1/15/11 225,285 232,149
United States Treasury Note/Bond 0.875 % 1/31/11 118,415 118,896
United States Treasury Note/Bond 5.000 % 2/15/11 20,455 21,276
United States Treasury Note/Bond 0.875 % 2/28/11 862,805 866,308
United States Treasury Note/Bond 4.500 % 2/28/11 81,680 84,705
United States Treasury Note/Bond 0.875 % 3/31/11 84,760 85,104
United States Treasury Note/Bond 0.875 % 4/30/11 3,575 3,590
United States Treasury Note/Bond 4.875 % 4/30/11 256,905 269,028
United States Treasury Note/Bond 0.875 % 5/31/11 17,398 17,471
United States Treasury Note/Bond 4.875 % 5/31/11 35,550 37,355
United States Treasury Note/Bond 1.125 % 6/30/11 322,075 324,391
United States Treasury Note/Bond 5.125 % 6/30/11 759,035 802,209
United States Treasury Note/Bond 1.000 % 7/31/11 216,625 217,743
United States Treasury Note/Bond 4.875 % 7/31/11 1,225 1,294
United States Treasury Note/Bond 5.000 % 8/15/11 9,595 10,172
United States Treasury Note/Bond 1.000 % 8/31/11 188,620 189,474
United States Treasury Note/Bond 4.625 % 8/31/11 49,450 52,201
United States Treasury Note/Bond 1.000 % 9/30/11 139,900 140,468
United States Treasury Note/Bond 4.500 % 9/30/11 29,194 30,831
United States Treasury Note/Bond 1.000 % 10/31/11 25,545 25,633
United States Treasury Note/Bond 4.625 % 10/31/11 133,965 142,107
United States Treasury Note/Bond 1.750 % 11/15/11 16,290 16,534
United States Treasury Note/Bond 0.750 % 11/30/11 223,194 222,879
United States Treasury Note/Bond 4.500 % 11/30/11 19,900 21,116
United States Treasury Note/Bond 1.125 % 12/15/11 153,440 154,112
United States Treasury Note/Bond 1.000 % 12/31/11 11,825 11,849
United States Treasury Note/Bond 4.625 % 12/31/11 1,950 2,077
United States Treasury Note/Bond 1.125 % 1/15/12 106,945 107,346
United States Treasury Note/Bond 0.875 % 1/31/12 296,300 295,977
United States Treasury Note/Bond 4.750 % 1/31/12 30,015 32,116
United States Treasury Note/Bond 1.375 % 2/15/12 109,050 109,902
United States Treasury Note/Bond 4.875 % 2/15/12 291,345 312,651
United States Treasury Note/Bond 0.875 % 2/29/12 24,500 24,450
United States Treasury Note/Bond 4.625 % 2/29/12 81,415 87,101
United States Treasury Note/Bond 1.000 % 3/31/12 237,375 237,263
United States Treasury Note/Bond 4.500 % 3/31/12 115,285 123,265
United States Treasury Note/Bond 1.375 % 4/15/12 319,764 322,012
United States Treasury Note/Bond 4.500 % 4/30/12 279,890 299,832
United States Treasury Note/Bond 1.375 % 5/15/12 387,975 390,400
United States Treasury Note/Bond 4.750 % 5/31/12 328,165 353,700
United States Treasury Note/Bond 1.875 % 6/15/12 145,925 148,296
United States Treasury Note/Bond 4.875 % 6/30/12 178,515 193,271
United States Treasury Note/Bond 1.500 % 7/15/12 52,800 53,212
United States Treasury Note/Bond 4.625 % 7/31/12 122,950 132,690
United States Treasury Note/Bond 1.750 % 8/15/12 352,135 356,428
United States Treasury Note/Bond 4.375 % 8/15/12 40 43
United States Treasury Note/Bond 4.125 % 8/31/12 5,446 5,820
United States Treasury Note/Bond 1.375 % 9/15/12 178,417 178,808


United States Treasury Note/Bond 4.250 % 9/30/12 25,190 27,024
United States Treasury Note/Bond 1.375 % 10/15/12 62,400 62,478
United States Treasury Note/Bond 3.875 % 10/31/12 47,780 50,848
United States Treasury Note/Bond 1.375 % 11/15/12 144,420 144,352
United States Treasury Note/Bond 4.000 % 11/15/12 16,780 17,928
United States Treasury Note/Bond 3.375 % 11/30/12 1,250 1,315
United States Treasury Note/Bond 1.125 % 12/15/12 442,655 438,711
United States Treasury Note/Bond 1.375 % 1/15/13 691,575 689,196
United States Treasury Note/Bond 3.875 % 2/15/13 197,420 210,623
United States Treasury Note/Bond 2.750 % 2/28/13 34,925 36,142
United States Treasury Note/Bond 3.625 % 5/15/13 10,336 10,963
United States Treasury Note/Bond 3.500 % 5/31/13 11,180 11,812
United States Treasury Note/Bond 3.375 % 6/30/13 21,755 22,890
United States Treasury Note/Bond 3.375 % 7/31/13 11,400 11,995
United States Treasury Note/Bond 4.250 % 8/15/13 30,150 32,623
United States Treasury Note/Bond 3.125 % 8/31/13 57,495 59,983
United States Treasury Note/Bond 3.125 % 9/30/13 549,235 572,665
United States Treasury Note/Bond 2.750 % 10/31/13 588,953 605,979
United States Treasury Note/Bond 4.250 % 11/15/13 6,510 7,051
United States Treasury Note/Bond 2.000 % 11/30/13 39,310 39,378
United States Treasury Note/Bond 1.500 % 12/31/13 293,150 287,700
United States Treasury Note/Bond 1.750 % 1/31/14 154,800 153,034
United States Treasury Note/Bond 4.000 % 2/15/14 44,100 47,387
United States Treasury Note/Bond 1.875 % 2/28/14 255,250 253,057
United States Treasury Note/Bond 1.750 % 3/31/14 569,050 560,423
United States Treasury Note/Bond 1.875 % 4/30/14 226,700 223,937
United States Treasury Note/Bond 4.750 % 5/15/14 42,523 46,935
United States Treasury Note/Bond 2.250 % 5/31/14 172,940 173,129
United States Treasury Note/Bond 2.625 % 6/30/14 142,200 144,266
United States Treasury Note/Bond 2.625 % 7/31/14 202,010 204,755
United States Treasury Note/Bond 4.250 % 8/15/14 6,000 6,506
United States Treasury Note/Bond 2.375 % 8/31/14 173,055 173,406
United States Treasury Note/Bond 2.375 % 9/30/14 138,185 138,207
United States Treasury Note/Bond 2.375 % 10/31/14 255,845 255,484
United States Treasury Note/Bond 2.125 % 11/30/14 430,659 424,940
United States Treasury Note/Bond 2.625 % 12/31/14 74,595 75,131
United States Treasury Note/Bond 2.250 % 1/31/15 207,575 205,304
United States Treasury Note/Bond 4.000 % 2/15/15 84,342 90,286
United States Treasury Note/Bond 11.250 % 2/15/15 49,325 69,232
United States Treasury Note/Bond 2.375 % 2/28/15 288,962 286,931
United States Treasury Note/Bond 2.500 % 3/31/15 250,250 249,507
United States Treasury Note/Bond 4.125 % 5/15/15 155,665 167,388
United States Treasury Note/Bond 4.250 % 8/15/15 54,720 59,072
United States Treasury Note/Bond 10.625 % 8/15/15 5,935 8,303
United States Treasury Note/Bond 4.500 % 11/15/15 15,670 17,117
United States Treasury Note/Bond 9.875 % 11/15/15 262,900 360,583
United States Treasury Note/Bond 4.500 % 2/15/16 115,020 125,246
United States Treasury Note/Bond 9.250 % 2/15/16 6,710 9,040
United States Treasury Note/Bond 2.625 % 2/29/16 194,400 190,967
United States Treasury Note/Bond 2.375 % 3/31/16 66,175 63,962
United States Treasury Note/Bond 2.625 % 4/30/16 14,700 14,381
United States Treasury Note/Bond 5.125 % 5/15/16 282,485 316,957
United States Treasury Note/Bond 7.250 % 5/15/16 48,065 59,668
United States Treasury Note/Bond 3.250 % 5/31/16 50,800 51,427
United States Treasury Note/Bond 3.250 % 6/30/16 251,845 254,638
United States Treasury Note/Bond 4.875 % 8/15/16 101,065 111,993
United States Treasury Note/Bond 3.000 % 8/31/16 83,950 83,307
United States Treasury Note/Bond 3.000 % 9/30/16 227,150 224,949


United States Treasury Note/Bond 3.125 % 10/31/16 117,060 116,602
United States Treasury Note/Bond 4.625 % 11/15/16 15,796 17,225
United States Treasury Note/Bond 7.500 % 11/15/16 84,277 106,400
United States Treasury Note/Bond 2.750 % 11/30/16 46,817 45,508
United States Treasury Note/Bond 3.125 % 1/31/17 226,200 224,504
United States Treasury Note/Bond 4.625 % 2/15/17 175 191
United States Treasury Note/Bond 4.500 % 5/15/17 17,820 19,232
United States Treasury Note/Bond 8.750 % 5/15/17 325,515 439,800
United States Treasury Note/Bond 4.750 % 8/15/17 316,625 346,160
United States Treasury Note/Bond 8.875 % 8/15/17 43,390 59,234
United States Treasury Note/Bond 4.250 % 11/15/17 241,810 255,753
United States Treasury Note/Bond 3.500 % 2/15/18 118,775 119,147
United States Treasury Note/Bond 3.875 % 5/15/18 425,116 435,876
United States Treasury Note/Bond 9.125 % 5/15/18 3,685 5,162
United States Treasury Note/Bond 4.000 % 8/15/18 252,975 260,605
United States Treasury Note/Bond 3.750 % 11/15/18 144,460 145,543
United States Treasury Note/Bond 9.000 % 11/15/18 25 35
United States Treasury Note/Bond 2.750 % 2/15/19 24,200 22,457
United States Treasury Note/Bond 8.875 % 2/15/19 176,475 246,320
United States Treasury Note/Bond 3.125 % 5/15/19 117,350 111,740
United States Treasury Note/Bond 3.625 % 8/15/19 84,831 83,784
United States Treasury Note/Bond 8.125 % 8/15/19 65,635 88,259
United States Treasury Note/Bond 3.375 % 11/15/19 472,318 455,711
United States Treasury Note/Bond 3.625 % 2/15/20 391,130 384,469
United States Treasury Note/Bond 8.750 % 8/15/20 244,040 344,897
United States Treasury Note/Bond 7.875 % 2/15/21 208,392 280,254
United States Treasury Note/Bond 8.125 % 5/15/21 11,885 16,273
United States Treasury Note/Bond 8.125 % 8/15/21 136,690 187,543
United States Treasury Note/Bond 8.000 % 11/15/21 59,275 80,772
United States Treasury Note/Bond 7.250 % 8/15/22 2,880 3,744
United States Treasury Note/Bond 7.625 % 11/15/22 9,150 12,254
United States Treasury Note/Bond 7.125 % 2/15/23 86,760 111,812
United States Treasury Note/Bond 6.250 % 8/15/23 418,600 503,040
United States Treasury Note/Bond 7.625 % 2/15/25 612 831
United States Treasury Note/Bond 6.875 % 8/15/25 46,975 60,011
United States Treasury Note/Bond 6.000 % 2/15/26 2,170 2,558
United States Treasury Note/Bond 6.750 % 8/15/26 186,985 237,441
United States Treasury Note/Bond 6.500 % 11/15/26 6,984 8,668
United States Treasury Note/Bond 6.625 % 2/15/27 81,065 101,889
United States Treasury Note/Bond 6.375 % 8/15/27 44,270 54,376
United States Treasury Note/Bond 6.125 % 11/15/27 4,905 5,873
United States Treasury Note/Bond 5.500 % 8/15/28 34,290 38,405
United States Treasury Note/Bond 5.250 % 11/15/28 7,950 8,654
United States Treasury Note/Bond 5.250 % 2/15/29 89,540 97,445
United States Treasury Note/Bond 6.125 % 8/15/29 108,655 130,811
United States Treasury Note/Bond 6.250 % 5/15/30 60,143 73,619
United States Treasury Note/Bond 5.375 % 2/15/31 59,595 65,937
United States Treasury Note/Bond 4.500 % 2/15/36 38,420 37,526
United States Treasury Note/Bond 4.750 % 2/15/37 439,525 445,568
United States Treasury Note/Bond 5.000 % 5/15/37 82,424 86,790
United States Treasury Note/Bond 4.375 % 2/15/38 65,084 61,891
United States Treasury Note/Bond 4.500 % 5/15/38 108,552 105,329
United States Treasury Note/Bond 3.500 % 2/15/39 238 192
United States Treasury Note/Bond 4.250 % 5/15/39 193,069 178,890
United States Treasury Note/Bond 4.500 % 8/15/39 412,794 398,668
United States Treasury Note/Bond 4.375 % 11/15/39 332,036 313,983


  United States Treasury Note/Bond 4.625 % 2/15/40 61,150 60,271
            25,214,349
Agency Bonds and Notes (7.0%)          
1 American Express Bank FSB 3.150 % 12/9/11 20,525 21,290
1 Bank of America Corp. 2.100 % 4/30/12 51,075 51,988
1 Bank of America Corp. 3.125 % 6/15/12 37,100 38,565
1 Bank of America Corp. 2.375 % 6/22/12 24,075 24,668
1 Bank of America NA 1.700 % 12/23/10 12,425 12,538
1 Bank of the West 2.150 % 3/27/12 11,425 11,652
1 Citibank NA 1.625 % 3/30/11 8,900 8,995
1 Citibank NA 1.500 % 7/12/11 7,350 7,423
1 Citibank NA 1.375 % 8/10/11 9,550 9,631
1 Citibank NA 1.250 % 9/22/11 5,550 5,586
1 Citibank NA 1.875 % 5/7/12 23,485 23,829
1 Citibank NA 1.750 % 12/28/12 21,300 21,367
1 Citigroup Funding Inc. 1.375 % 5/5/11 27,325 27,552
1 Citigroup Funding Inc. 2.000 % 3/30/12 8,900 9,018
1 Citigroup Funding Inc. 2.125 % 7/12/12 11,275 11,474
1 Citigroup Funding Inc. 1.875 % 10/22/12 17,794 17,933
1 Citigroup Funding Inc. 2.250 % 12/10/12 4,775 4,855
1 Citigroup Inc. 2.875 % 12/9/11 23,625 24,366
1 Citigroup Inc. 2.125 % 4/30/12 48,420 49,340
  Egypt Government AID Bonds 4.450 % 9/15/15 12,225 12,993
2 Federal Farm Credit Bank 2.625 % 4/21/11 12,325 12,597
2 Federal Farm Credit Bank 5.375 % 7/18/11 23,650 25,039
2 Federal Farm Credit Bank 3.875 % 8/25/11 12,750 13,287
2 Federal Farm Credit Bank 2.000 % 1/17/12 17,000 17,267
2 Federal Farm Credit Bank 2.250 % 4/24/12 6,300 6,426
2 Federal Farm Credit Bank 2.125 % 6/18/12 14,675 14,914
2 Federal Farm Credit Bank 4.500 % 10/17/12 12,375 13,272
2 Federal Farm Credit Bank 1.875 % 12/7/12 9,375 9,415
2 Federal Farm Credit Bank 1.750 % 2/21/13 8,775 8,765
2 Federal Farm Credit Bank 3.875 % 10/7/13 37,650 39,850
2 Federal Farm Credit Bank 2.625 % 4/17/14 11,375 11,502
2 Federal Farm Credit Bank 3.000 % 9/22/14 11,250 11,437
2 Federal Farm Credit Bank 4.875 % 12/16/15 1,625 1,767
2 Federal Farm Credit Bank 5.125 % 8/25/16 9,075 9,912
2 Federal Farm Credit Bank 4.875 % 1/17/17 7,900 8,481
2 Federal Farm Credit Bank 5.150 % 11/15/19 15,675 16,622
2 Federal Home Loan Bank of Chicago 5.625 % 6/13/16 3,705 3,820
2 Federal Home Loan Banks 1.375 % 5/16/11 40,450 40,776
2 Federal Home Loan Banks 3.125 % 6/10/11 8,975 9,241
2 Federal Home Loan Banks 3.625 % 7/1/11 18,125 18,757
2 Federal Home Loan Banks 1.625 % 7/27/11 63,375 64,134
2 Federal Home Loan Banks 5.375 % 8/19/11 73,625 78,308
2 Federal Home Loan Banks 3.750 % 9/9/11 4,900 5,100
2 Federal Home Loan Banks 3.625 % 9/16/11 9,850 10,255
2 Federal Home Loan Banks 4.875 % 11/18/11 20,490 21,804
2 Federal Home Loan Banks 1.000 % 12/28/11 34,900 34,903
2 Federal Home Loan Banks 1.125 % 5/18/12 18,300 18,262
2 Federal Home Loan Banks 1.875 % 6/20/12 34,525 34,978
2 Federal Home Loan Banks 1.750 % 8/22/12 48,375 48,790
2 Federal Home Loan Banks 1.625 % 9/26/12 16,500 16,577
2,3 Federal Home Loan Banks 2.000 % 10/5/12 36,160 36,396
2 Federal Home Loan Banks 1.750 % 12/14/12 16,900 16,917
2 Federal Home Loan Banks 1.500 % 1/16/13 18,625 18,558
2 Federal Home Loan Banks 3.375 % 2/27/13 10,075 10,554


2 Federal Home Loan Banks 1.625 % 3/20/13 12,400 12,362
2 Federal Home Loan Banks 3.625 % 5/29/13 150 158
2 Federal Home Loan Banks 3.875 % 6/14/13 23,975 25,507
2 Federal Home Loan Banks 5.375 % 6/14/13 12,150 13,451
2 Federal Home Loan Banks 5.125 % 8/14/13 5,950 6,563
2 Federal Home Loan Banks 4.000 % 9/6/13 15,025 16,021
2 Federal Home Loan Banks 5.250 % 9/13/13 9,200 10,162
2 Federal Home Loan Banks 4.500 % 9/16/13 82,825 89,706
2 Federal Home Loan Banks 3.625 % 10/18/13 15,100 15,914
2 Federal Home Loan Banks 4.875 % 11/27/13 19,900 21,766
2 Federal Home Loan Banks 3.125 % 12/13/13 8,125 8,384
2 Federal Home Loan Banks 5.500 % 8/13/14 130,050 146,184
2 Federal Home Loan Banks 2.750 % 12/12/14 18,950 18,913
2 Federal Home Loan Banks 5.375 % 5/18/16 44,900 50,050
2 Federal Home Loan Banks 5.125 % 10/19/16 15,925 17,357
2 Federal Home Loan Banks 4.750 % 12/16/16 48,610 52,175
2 Federal Home Loan Banks 4.875 % 5/17/17 23,475 25,306
2 Federal Home Loan Banks 5.000 % 11/17/17 18,250 19,734
2 Federal Home Loan Banks 5.375 % 5/15/19 2,765 3,035
2 Federal Home Loan Banks 5.250 % 12/11/20 5,350 5,780
2 Federal Home Loan Banks 5.625 % 6/11/21 1,125 1,241
2 Federal Home Loan Banks 5.375 % 8/15/24 24,600 25,915
2 Federal Home Loan Banks 5.500 % 7/15/36 9,900 10,200
2 Federal Home Loan Mortgage Corp. 5.125 % 4/18/11 46,925 49,177
2 Federal Home Loan Mortgage Corp. 1.625 % 4/26/11 24,825 25,116
2 Federal Home Loan Mortgage Corp. 6.000 % 6/15/11 31,395 33,399
2 Federal Home Loan Mortgage Corp. 3.875 % 6/29/11 8,960 9,315
2 Federal Home Loan Mortgage Corp. 5.250 % 7/18/11 95,600 101,215
2 Federal Home Loan Mortgage Corp. 5.750 % 1/15/12 69,775 75,631
2 Federal Home Loan Mortgage Corp. 2.125 % 3/23/12 55,945 57,015
2 Federal Home Loan Mortgage Corp. 1.750 % 6/15/12 30,325 30,631
2 Federal Home Loan Mortgage Corp. 4.750 % 6/28/12 2,000 2,148
2 Federal Home Loan Mortgage Corp. 5.500 % 8/20/12 41,325 45,334
2 Federal Home Loan Mortgage Corp. 2.125 % 9/21/12 34,575 35,162
2 Federal Home Loan Mortgage Corp. 4.625 % 10/25/12 31,925 34,435
2 Federal Home Loan Mortgage Corp. 4.125 % 12/21/12 15,125 16,142
2 Federal Home Loan Mortgage Corp. 1.375 % 1/9/13 32,395 32,170
2 Federal Home Loan Mortgage Corp. 1.625 % 4/15/13 8,750 8,704
2 Federal Home Loan Mortgage Corp. 3.750 % 6/28/13 33,590 35,608
2 Federal Home Loan Mortgage Corp. 4.500 % 7/15/13 18,000 19,496
2 Federal Home Loan Mortgage Corp. 4.125 % 9/27/13 7,425 7,951
2 Federal Home Loan Mortgage Corp. 4.875 % 11/15/13 94,375 103,561
2 Federal Home Loan Mortgage Corp. 4.500 % 1/15/14 24,575 26,617
2 Federal Home Loan Mortgage Corp. 2.500 % 4/23/14 28,475 28,646
2 Federal Home Loan Mortgage Corp. 5.000 % 7/15/14 47,900 52,815
2 Federal Home Loan Mortgage Corp. 3.000 % 7/28/14 82,250 84,013
2 Federal Home Loan Mortgage Corp. 0.000 % 11/24/14 7,400 6,366
2 Federal Home Loan Mortgage Corp. 5.050 % 1/26/15 600 660
2 Federal Home Loan Mortgage Corp. 2.875 % 2/9/15 2,700 2,715
2 Federal Home Loan Mortgage Corp. 4.750 % 1/19/16 1,375 1,490
2 Federal Home Loan Mortgage Corp. 5.250 % 4/18/16 48,925 54,193
2 Federal Home Loan Mortgage Corp. 5.500 % 7/18/16 40,650 45,591
2 Federal Home Loan Mortgage Corp. 5.125 % 10/18/16 15,775 17,309
2 Federal Home Loan Mortgage Corp. 5.000 % 2/16/17 27,825 30,261
2 Federal Home Loan Mortgage Corp. 5.000 % 4/18/17 10,000 10,863
2 Federal Home Loan Mortgage Corp. 5.500 % 8/23/17 33,450 37,352
2 Federal Home Loan Mortgage Corp. 5.125 % 11/17/17 395 431
2 Federal Home Loan Mortgage Corp. 4.875 % 6/13/18 22,750 24,287


2 Federal Home Loan Mortgage Corp. 3.750 % 3/27/19 64,675 63,066
2 Federal Home Loan Mortgage Corp. 6.750 % 9/15/29 11,375 13,556
2 Federal Home Loan Mortgage Corp. 6.750 % 3/15/31 38,739 46,994
2 Federal Home Loan Mortgage Corp. 6.250 % 7/15/32 224 259
2 Federal National Mortgage Assn. 2.750 % 4/11/11 9,650 9,870
2 Federal National Mortgage Assn. 5.125 % 4/15/11 31,100 32,581
2 Federal National Mortgage Assn. 1.375 % 4/28/11 59,300 59,840
2 Federal National Mortgage Assn. 6.000 % 5/15/11 37,080 39,293
2 Federal National Mortgage Assn. 3.375 % 5/19/11 42,525 43,829
2 Federal National Mortgage Assn. 5.000 % 10/15/11 68,775 73,103
2 Federal National Mortgage Assn. 1.000 % 11/23/11 25,425 25,452
2 Federal National Mortgage Assn. 2.000 % 1/9/12 121,600 123,657
2 Federal National Mortgage Assn. 0.875 % 1/12/12 23,500 23,443
2 Federal National Mortgage Assn. 5.000 % 2/16/12 19,975 21,434
2 Federal National Mortgage Assn. 6.125 % 3/15/12 68,630 75,250
2 Federal National Mortgage Assn. 1.000 % 4/4/12 18,550 18,497
2 Federal National Mortgage Assn. 1.875 % 4/20/12 74,275 75,328
2 Federal National Mortgage Assn. 4.875 % 5/18/12 36,870 39,708
2 Federal National Mortgage Assn. 5.250 % 8/1/12 7,415 7,978
2 Federal National Mortgage Assn. 1.750 % 8/10/12 20,100 20,279
2 Federal National Mortgage Assn. 4.375 % 9/15/12 95,575 102,357
2,3 Federal National Mortgage Assn. 1.550 % 9/17/12 20,000 19,966
2,3 Federal National Mortgage Assn. 1.600 % 10/1/12 29,000 28,972
2 Federal National Mortgage Assn. 3.625 % 2/12/13 15,250 16,075
2 Federal National Mortgage Assn. 4.750 % 2/21/13 7,600 8,232
2 Federal National Mortgage Assn. 4.375 % 3/15/13 12,490 13,437
2 Federal National Mortgage Assn. 4.625 % 5/1/13 23,794 25,357
2 Federal National Mortgage Assn. 1.750 % 5/7/13 24,000 23,941
2,3 Federal National Mortgage Assn. 2.000 % 5/24/13 19,465 19,469
2 Federal National Mortgage Assn. 3.875 % 7/12/13 4,700 4,997
2 Federal National Mortgage Assn. 4.625 % 10/15/13 52,275 56,863
2 Federal National Mortgage Assn. 2.875 % 12/11/13 35,775 36,740
2 Federal National Mortgage Assn. 5.125 % 1/2/14 3,300 3,581
2 Federal National Mortgage Assn. 2.750 % 2/5/14 21,850 22,265
2 Federal National Mortgage Assn. 2.750 % 3/13/14 24,750 25,195
2 Federal National Mortgage Assn. 4.125 % 4/15/14 42,875 45,819
2 Federal National Mortgage Assn. 2.500 % 5/15/14 42,050 42,257
2 Federal National Mortgage Assn. 3.000 % 9/16/14 17,050 17,369
2 Federal National Mortgage Assn. 4.625 % 10/15/14 39,125 42,507
2 Federal National Mortgage Assn. 2.625 % 11/20/14 15,625 15,605
2,3 Federal National Mortgage Assn. 3.000 % 3/9/15 15,000 15,008
2 Federal National Mortgage Assn. 5.000 % 4/15/15 16,810 18,500
2 Federal National Mortgage Assn. 4.375 % 10/15/15 15,675 16,731
2 Federal National Mortgage Assn. 8.200 % 3/10/16 50 63
2 Federal National Mortgage Assn. 5.375 % 7/15/16 15,675 17,477
2 Federal National Mortgage Assn. 5.250 % 9/15/16 45,925 50,776
2 Federal National Mortgage Assn. 4.875 % 12/15/16 7,175 7,754
2 Federal National Mortgage Assn. 5.000 % 2/13/17 79,525 86,480
2 Federal National Mortgage Assn. 5.000 % 5/11/17 90,301 98,033
2 Federal National Mortgage Assn. 5.375 % 6/12/17 3,750 4,155
2 Federal National Mortgage Assn. 0.000 % 10/9/19 2,375 1,370
2 Federal National Mortgage Assn. 6.250 % 5/15/29 1,100 1,255
2 Federal National Mortgage Assn. 7.125 % 1/15/30 24,980 31,325
2 Federal National Mortgage Assn. 7.250 % 5/15/30 46,901 59,597
2 Federal National Mortgage Assn. 6.625 % 11/15/30 6,795 8,112
2 Federal National Mortgage Assn. 5.625 % 7/15/37 11,590 12,155
2 Financing Corp. Fico 9.800 % 4/6/18 1,750 2,421
2 Financing Corp. Fico 10.350 % 8/3/18 4,900 7,005


2 Financing Corp. Fico 9.650 % 11/2/18 10,535 14,647
2 Financing Corp. Fico 9.700 % 4/5/19 1,575 2,204
1 General Electric Capital Corp. 1.800 % 3/11/11 26,530 26,844
1 General Electric Capital Corp. 3.000 % 12/9/11 43,900 45,390
1 General Electric Capital Corp. 2.250 % 3/12/12 23,575 24,073
1 General Electric Capital Corp. 2.200 % 6/8/12 42,950 43,792
1 General Electric Capital Corp. 2.125 % 12/21/12 19,250 19,500
1 General Electric Capital Corp. 2.625 % 12/28/12 13,150 13,501
1 GMAC Inc. 2.200 % 12/19/12 2,950 2,996
1 Goldman Sachs Group Inc. 1.700 % 3/15/11 11,000 11,126
1 Goldman Sachs Group Inc. 1.625 % 7/15/11 10,975 11,102
1 Goldman Sachs Group Inc. 2.150 % 3/15/12 6,925 7,056
1 Goldman Sachs Group Inc. 3.250 % 6/15/12 23,350 24,361
1 HSBC USA Inc. 3.125 % 12/16/11 15,000 15,557
  Israel Government AID Bond 5.500 % 9/18/23 4,550 4,872
  Israel Government AID Bond 5.500 % 12/4/23 3,200 3,426
  Israel Government AID Bond 5.500 % 4/26/24 12,400 13,243
1 JPMorgan Chase & Co. 1.650 % 2/23/11 21,175 21,405
1 JPMorgan Chase & Co. 3.125 % 12/1/11 28,575 29,605
1 JPMorgan Chase & Co. 2.200 % 6/15/12 20,950 21,387
1 JPMorgan Chase & Co. 2.125 % 6/22/12 13,800 14,053
1 JPMorgan Chase & Co. 2.125 % 12/26/12 32,325 32,765
1 Morgan Stanley 2.900 % 12/1/10 11,375 11,558
1 Morgan Stanley 3.250 % 12/1/11 30,200 31,360
1 Morgan Stanley 1.950 % 6/20/12 26,250 26,636
1 PNC Funding Corp. 2.300 % 6/22/12 6,075 6,211
  Private Export Funding Corp. 3.550 % 4/15/13 2,275 2,382
  Private Export Funding Corp. 3.050 % 10/15/14 4,600 4,609
  Private Export Funding Corp. 4.375 % 3/15/19 8,700 8,625
  Private Export Funding Corp. 4.300 % 12/15/21 2,675 2,519
1 Regions Bank 2.750 % 12/10/10 8,275 8,406
1 Regions Bank 3.250 % 12/9/11 1,500 1,557
  Resolution Funding Corp. 8.125 % 10/15/19 450 558
  Resolution Funding Corp. 8.875 % 7/15/20 180 236
  Resolution Funding Corp. 8.625 % 1/15/30 110 155
  Small Business Administration Variable Rate          
  Interest Only Custodial Receipts (U.S.          
  Government Guaranteed) 2.719 % 7/15/17 4,449 222
1 Sovereign Bank 2.750 % 1/17/12 6,900 7,111
1 State Street Corp. 2.150 % 4/30/12 11,150 11,363
2 Tennessee Valley Authority 4.750 % 8/1/13 4,000 4,331
2 Tennessee Valley Authority 5.500 % 7/18/17 17,100 18,865
2 Tennessee Valley Authority 4.500 % 4/1/18 6,325 6,473
2 Tennessee Valley Authority 6.750 % 11/1/25 1,800 2,105
2 Tennessee Valley Authority 7.125 % 5/1/30 27,025 33,056
2 Tennessee Valley Authority 4.650 % 6/15/35 3,825 3,464
2 Tennessee Valley Authority 5.500 % 6/15/38 2,550 2,596
2 Tennessee Valley Authority 5.250 % 9/15/39 5,350 5,259
2 Tennessee Valley Authority 4.875 % 1/15/48 6,825 6,286
2 Tennessee Valley Authority 5.375 % 4/1/56 6,250 6,197
1 US Central Federal Credit Union 1.900 % 10/19/12 9,275 9,348
1 Wells Fargo & Co. 3.000 % 12/9/11 28,175 29,141
1 Wells Fargo & Co. 2.125 % 6/15/12 16,725 17,022
1 Western Corporate Federal Credit Union 1.750 % 11/2/12 4,675 4,684
            5,343,327
Conventional Mortgage-Backed Securities (29.9%)          
2,3 Fannie Mae Pool 4.000 % 9/1/10–10/1/39 695,980 700,115


2,3 Fannie Mae Pool 4.500 % 6/1/10–4/1/40 1,590,456 1,548,632
2,3 Fannie Mae Pool 5.000 % 4/1/10–4/1/40 2,666,890 2,625,585
2,3 Fannie Mae Pool 5.500 % 9/1/14–4/1/40 2,924,498 3,080,762
2,3 Fannie Mae Pool 6.000 % 9/1/10–4/1/40 2,178,265 2,292,292
2,3 Fannie Mae Pool 6.500 % 9/1/10–4/1/40 704,709 767,236
2,3 Fannie Mae Pool 7.000 % 9/1/10–11/1/38 209,938 232,180
2,3 Fannie Mae Pool 7.500 % 6/1/10–12/1/32 11,547 12,845
2,3 Fannie Mae Pool 8.000 % 12/1/11–9/1/31 3,360 3,747
2,3 Fannie Mae Pool 8.500 % 7/1/10–5/1/32 1,385 1,554
2,3 Fannie Mae Pool 9.000 % 2/1/17–8/1/30 326 367
2,3 Fannie Mae Pool 9.500 % 8/1/16–11/1/25 407 458
2,3 Fannie Mae Pool 10.000 % 10/1/14–11/1/19 69 78
2,3 Fannie Mae Pool 10.500 % 3/1/11–8/1/20 2 3
2,3 Fannie Mae Pool 11.000 % 9/1/19 4 4
2,3 Freddie Mac Gold Pool 4.000 % 5/1/10–1/1/40 376,640 381,493
2,3 Freddie Mac Gold Pool 4.500 % 4/1/10–4/1/40 1,167,994 1,192,321
2,3 Freddie Mac Gold Pool 5.000 % 4/1/11–4/1/40 1,830,064 1,840,086
2,3 Freddie Mac Gold Pool 5.500 % 3/1/11–4/1/40 1,921,385 2,032,142
2,3 Freddie Mac Gold Pool 6.000 % 8/1/10–4/1/40 1,447,236 1,396,131
2,3 Freddie Mac Gold Pool 6.500 % 7/1/10–4/1/39 362,566 395,739
2,3 Freddie Mac Gold Pool 7.000 % 8/1/10–12/1/37 62,969 69,766
2,3 Freddie Mac Gold Pool 7.500 % 5/1/10–2/1/32 7,207 7,956
2,3 Freddie Mac Gold Pool 8.000 % 4/1/10–1/1/32 5,664 6,284
2,3 Freddie Mac Gold Pool 8.500 % 4/1/10–7/1/31 1,023 1,141
2,3 Freddie Mac Gold Pool 9.000 % 7/1/20–3/1/31 700 789
2,3 Freddie Mac Gold Pool 9.500 % 4/1/16–6/1/25 154 173
2,3 Freddie Mac Gold Pool 10.000 % 10/1/16–4/1/25 49 55
2,3 Freddie Mac Non Gold Pool 8.000 % 4/1/17–6/1/17 16 17
2,3 Freddie Mac Non Gold Pool 8.500 % 6/1/18 46 51
2,3 Freddie Mac Non Gold Pool 9.000 % 7/1/16 1 1
2,3 Freddie Mac Non Gold Pool 9.500 % 10/1/18–3/1/20 4 5
3 Ginnie Mae I Pool 4.000 % 8/15/18–3/1/40 82,563 80,962
3 Ginnie Mae I Pool 4.500 % 6/15/18–4/1/40 831,301 843,008
3 Ginnie Mae I Pool 5.000 % 11/15/17–4/1/40 1,139,500 1,186,640
3 Ginnie Mae I Pool 5.500 % 3/15/15–4/1/40 720,147 764,267
3 Ginnie Mae I Pool 6.000 % 4/15/11–11/15/39 379,163 406,911
3 Ginnie Mae I Pool 6.500 % 10/15/10–4/1/40 133,623 145,150
3 Ginnie Mae I Pool 7.000 % 10/15/10–9/15/36 19,453 21,483
3 Ginnie Mae I Pool 7.250 % 9/15/25 46 51
3 Ginnie Mae I Pool 7.500 % 7/15/10–6/15/32 7,572 8,361
3 Ginnie Mae I Pool 7.750 % 2/15/30 4 4
3 Ginnie Mae I Pool 8.000 % 7/15/10–12/15/30 5,375 5,923
3 Ginnie Mae I Pool 8.500 % 1/15/17–3/15/31 1,129 1,253
3 Ginnie Mae I Pool 9.000 % 5/15/16–2/15/31 2,048 2,265
3 Ginnie Mae I Pool 9.500 % 5/15/16–9/15/25 522 576
3 Ginnie Mae I Pool 10.000 % 2/15/18–2/15/25 214 236
3 Ginnie Mae I Pool 10.500 % 7/15/15–4/15/25 183 202
3 Ginnie Mae I Pool 11.000 % 9/15/15–11/15/15 17 18
3 Ginnie Mae I Pool 11.500 % 3/15/13–4/15/16 20 22
3 Ginnie Mae II Pool 4.500 % 1/20/35–12/20/39 48,227 48,938
3 Ginnie Mae II Pool 5.000 % 12/20/32–4/1/40 212,745 221,499
3 Ginnie Mae II Pool 5.500 % 6/20/34–9/20/39 251,763 266,901
3 Ginnie Mae II Pool 6.000 % 3/20/31–1/20/39 253,061 271,322
3 Ginnie Mae II Pool 6.500 % 3/20/31–12/20/37 81,134 87,730
3 Ginnie Mae II Pool 7.000 % 3/20/28–4/20/38 2,946 3,239
3 Ginnie Mae II Pool 7.500 % 8/20/30 12 14


3 Ginnie Mae II Pool 8.500 % 10/20/30 21 24
          22,957,007
Nonconventional Mortgage-Backed Securities (1.3%)          
2,3 Fannie Mae Pool 2.516 % 12/1/34 10,623 10,798
2,3 Fannie Mae Pool 2.693 % 1/1/35 4,647 4,786
2,3 Fannie Mae Pool 2.800 % 10/1/34 8,323 8,497
2,3 Fannie Mae Pool 2.808 % 11/1/34 6,591 6,720
2,3 Fannie Mae Pool 3.135 % 9/1/34 2,400 2,476
2,3 Fannie Mae Pool 3.305 % 1/1/40 20,172 20,508
2,3 Fannie Mae Pool 3.809 % 4/1/36 8,876 9,195
2,3 Fannie Mae Pool 3.822 % 4/1/37 8,263 8,579
2,3 Fannie Mae Pool 3.975 % 7/1/35 6,883 7,123
2,3 Fannie Mae Pool 3.995 % 5/1/35 3,922 4,021
2,3 Fannie Mae Pool 4.134 % 5/1/34 4,364 4,504
2,3 Fannie Mae Pool 4.377 % 8/1/35 14,613 15,057
2,3 Fannie Mae Pool 4.424 % 7/1/35 5,773 5,976
2,3 Fannie Mae Pool 4.473 % 10/1/36 5,110 5,295
2,3 Fannie Mae Pool 4.548 % 11/1/34 15,455 16,120
2,3 Fannie Mae Pool 4.616 % 8/1/35 10,994 11,471
2,3 Fannie Mae Pool 4.621 % 9/1/34 4,402 4,566
2,3 Fannie Mae Pool 4.621 % 12/1/35 13,019 13,550
2,3 Fannie Mae Pool 4.626 % 11/1/33 4,958 5,144
2,3 Fannie Mae Pool 4.722 % 8/1/35 6,274 6,483
2,3 Fannie Mae Pool 4.793 % 6/1/34 5,728 6,032
2,3 Fannie Mae Pool 4.866 % 9/1/35 8,353 8,621
2,3 Fannie Mae Pool 4.949 % 7/1/38 4,536 4,753
2,3 Fannie Mae Pool 4.954 % 11/1/34 2,687 2,806
2,3 Fannie Mae Pool 4.966 % 10/1/35 16,786 17,385
2,3 Fannie Mae Pool 4.988 % 11/1/33 2,573 2,693
2,3 Fannie Mae Pool 5.021 % 12/1/33 3,417 3,577
2,3 Fannie Mae Pool 5.021 % 2/1/36 7,116 7,392
2,3 Fannie Mae Pool 5.024 % 11/1/35 15,928 16,594
2,3 Fannie Mae Pool 5.064 % 8/1/37 27,118 28,476
2,3 Fannie Mae Pool 5.073 % 12/1/35 16,277 16,820
2,3 Fannie Mae Pool 5.101 % 5/1/37 4,547 4,719
2,3 Fannie Mae Pool 5.135 % 12/1/35 21,128 22,090
2,3 Fannie Mae Pool 5.147 % 3/1/38 11,070 11,609
2,3 Fannie Mae Pool 5.149 % 1/1/36 7,018 7,309
2,3 Fannie Mae Pool 5.189 % 3/1/37 9,917 10,392
2,3 Fannie Mae Pool 5.204 % 8/1/38 840 874
2,3 Fannie Mae Pool 5.301 % 7/1/38 1,106 1,153
2,3 Fannie Mae Pool 5.348 % 12/1/35 5,240 5,470
2,3 Fannie Mae Pool 5.395 % 2/1/36 4,376 4,546
2,3 Fannie Mae Pool 5.444 % 2/1/36 10,638 11,060
2,3 Fannie Mae Pool 5.520 % 4/1/37 1,071 1,130
2,3 Fannie Mae Pool 5.536 % 1/1/37 9,709 10,206
2,3 Fannie Mae Pool 5.604 % 5/1/36 3,740 3,938
2,3 Fannie Mae Pool 5.621 % 7/1/36 7,386 7,787
2,3 Fannie Mae Pool 5.662 % 3/1/37 8,495 8,962
2,3 Fannie Mae Pool 5.663 % 6/1/36 10,171 10,755
2,3 Fannie Mae Pool 5.667 % 2/1/37 15,425 16,234
2,3 Fannie Mae Pool 5.673 % 2/1/37 8,263 8,657
2,3 Fannie Mae Pool 5.674 % 6/1/37 6,281 6,566
2,3 Fannie Mae Pool 5.677 % 3/1/37 7,465 7,877
2,3 Fannie Mae Pool 5.704 % 9/1/36 5,738 6,051
2,3 Fannie Mae Pool 5.722 % 3/1/37 22,504 23,743
2,3 Fannie Mae Pool 5.750 % 1/1/36 5,217 5,475


2,3 Fannie Mae Pool 5.758 % 4/1/37 9,370 9,805
2,3 Fannie Mae Pool 5.762 % 12/1/37 19,892 20,826
2,3 Fannie Mae Pool 5.764 % 4/1/36 9,917 10,424
2,3 Fannie Mae Pool 5.785 % 4/1/37 11,800 12,428
2,3 Fannie Mae Pool 5.846 % 9/1/36 9,191 9,816
2,3 Fannie Mae Pool 5.908 % 11/1/36 9,694 10,234
2,3 Fannie Mae Pool 5.996 % 4/1/36 8,605 9,058
2,3 Fannie Mae Pool 5.996 % 6/1/36 1,314 1,382
2,3 Fannie Mae Pool 5.996 % 10/1/37 15,970 16,836
2,3 Fannie Mae Pool 6.051 % 8/1/37 11,193 11,667
2,3 Fannie Mae Pool 6.506 % 9/1/37 15,165 16,100
2,3 Freddie Mac Non Gold Pool 2.666 % 12/1/34 10,775 11,087
2,3 Freddie Mac Non Gold Pool 2.946 % 1/1/35 561 576
2,3 Freddie Mac Non Gold Pool 3.076 % 9/1/34 5,823 6,000
2,3 Freddie Mac Non Gold Pool 3.087 % 12/1/34 5,272 5,484
2,3 Freddie Mac Non Gold Pool 3.169 % 12/1/36 5,916 6,106
2,3 Freddie Mac Non Gold Pool 3.315 % 4/1/40 14,600 14,731
2,3 Freddie Mac Non Gold Pool 3.632 % 1/1/40 13,387 13,720
2,3 Freddie Mac Non Gold Pool 4.098 % 4/1/35 417 429
2,3 Freddie Mac Non Gold Pool 4.201 % 6/1/37 4,871 5,043
2,3 Freddie Mac Non Gold Pool 4.331 % 3/1/37 6,091 6,225
2,3 Freddie Mac Non Gold Pool 4.369 % 1/1/37 4,957 5,105
2,3 Freddie Mac Non Gold Pool 4.543 % 3/1/36 10,658 11,005
2,3 Freddie Mac Non Gold Pool 4.597 % 11/1/34 8,346 8,674
2,3 Freddie Mac Non Gold Pool 4.626 % 7/1/35 6,438 6,662
2,3 Freddie Mac Non Gold Pool 4.986 % 5/1/35 9,509 9,884
2,3 Freddie Mac Non Gold Pool 5.044 % 7/1/38 9,895 10,383
2,3 Freddie Mac Non Gold Pool 5.284 % 3/1/38 12,061 12,650
2,3 Freddie Mac Non Gold Pool 5.292 % 3/1/36 10,263 10,695
2,3 Freddie Mac Non Gold Pool 5.338 % 12/1/35 6,619 6,941
2,3 Freddie Mac Non Gold Pool 5.433 % 4/1/37 13,122 13,826
2,3 Freddie Mac Non Gold Pool 5.441 % 3/1/37 6,866 7,235
2,3 Freddie Mac Non Gold Pool 5.503 % 2/1/36 7,919 8,292
2,3 Freddie Mac Non Gold Pool 5.556 % 4/1/37 8,538 8,938
2,3 Freddie Mac Non Gold Pool 5.557 % 5/1/36 12,391 12,863
2,3 Freddie Mac Non Gold Pool 5.603 % 7/1/36 7,018 7,321
2,3 Freddie Mac Non Gold Pool 5.650 % 12/1/36 9,400 9,871
2,3 Freddie Mac Non Gold Pool 5.652 % 4/1/37 13,111 13,633
2,3 Freddie Mac Non Gold Pool 5.675 % 3/1/37 17,407 18,322
2,3 Freddie Mac Non Gold Pool 5.675 % 3/1/37 1,116 1,166
2,3 Freddie Mac Non Gold Pool 5.702 % 4/1/37 117 124
2,3 Freddie Mac Non Gold Pool 5.710 % 11/1/36 4,779 5,018
2,3 Freddie Mac Non Gold Pool 5.721 % 6/1/37 12,691 13,409
2,3 Freddie Mac Non Gold Pool 5.723 % 9/1/36 23,506 24,719
2,3 Freddie Mac Non Gold Pool 5.757 % 5/1/36 9,695 10,177
2,3 Freddie Mac Non Gold Pool 5.773 % 3/1/37 4,897 5,173
2,3 Freddie Mac Non Gold Pool 5.826 % 12/1/36 4,735 5,002
2,3 Freddie Mac Non Gold Pool 5.844 % 10/1/37 15,834 16,700
2,3 Freddie Mac Non Gold Pool 5.873 % 5/1/37 15,828 16,674
2,3 Freddie Mac Non Gold Pool 5.879 % 6/1/37 11,270 11,913
2,3 Freddie Mac Non Gold Pool 5.905 % 8/1/37 10,251 10,826
2,3 Freddie Mac Non Gold Pool 5.959 % 10/1/37 3,271 3,456
2,3 Freddie Mac Non Gold Pool 5.985 % 1/1/37 4,602 4,860
2,3 Freddie Mac Non Gold Pool 6.039 % 3/1/37 396 419
2,3 Freddie Mac Non Gold Pool 6.071 % 8/1/37 3,776 3,987
2,3 Freddie Mac Non Gold Pool 6.109 % 12/1/36 8,652 9,140
2,3 Freddie Mac Non Gold Pool 6.112 % 3/1/37 337 352
2,3 Freddie Mac Non Gold Pool 6.306 % 6/1/37 5,634 5,900


  2,3 Freddie Mac Non Gold Pool 6.453 % 2/1/37 5,351 5,705
  3 Ginnie Mae I Pool 7.900 % 2/15/21 5 6
  3 Ginnie Mae II Pool 4.375 % 6/20/29 270 277
              1,017,901
  Total U.S. Government and Agency Obligations (Cost $53,423,336)   54,532,584
Asset -Backed/Commercial Mortgage-Backed Securities (4.0%)        
  4 BA Covered Bond Issuer 5.500 % 6/14/12 17,750 18,886
  3 BA Credit Card Trust 4.720 % 5/15/13 8,275 8,486
    Banc of America Commercial Mortgage Inc. 5.787 % 5/11/35 13,610 13,823
  3 Banc of America Commercial Mortgage Inc. 6.503 % 4/15/36 6,134 6,296
  3 Banc of America Commercial Mortgage Inc. 3.878 % 9/11/36 502 511
  3 Banc of America Commercial Mortgage Inc. 4.050 % 11/10/38 6,005 5,985
  3 Banc of America Commercial Mortgage Inc. 4.153 % 11/10/38 4,250 4,221
  3,5 Banc of America Commercial Mortgage Inc. 5.414 % 6/10/39 10,040 10,460
  3 Banc of America Commercial Mortgage Inc. 4.877 % 7/10/42 28,730 28,905
  3,5 Banc of America Commercial Mortgage Inc. 5.039 % 11/10/42 3,745 3,775
  3 Banc of America Commercial Mortgage Inc. 4.727 % 7/10/43 8,000 7,151
  3 Banc of America Commercial Mortgage Inc. 5.118 % 7/11/43 14,555 15,003
  3 Banc of America Commercial Mortgage Inc. 5.372 % 9/10/45 19,690 19,996
  3,5 Banc of America Commercial Mortgage Inc. 5.421 % 9/10/45 185 161
  3 Banc of America Commercial Mortgage Inc. 5.115 % 10/10/45 16,101 16,397
  3,5 Banc of America Commercial Mortgage Inc. 5.120 % 10/10/45 875 900
  3,5 Banc of America Commercial Mortgage Inc. 5.176 % 10/10/45 432 396
  3 Banc of America Commercial Mortgage Inc. 5.634 % 7/10/46 22,300 22,796
  3 Banc of America Commercial Mortgage Inc. 5.675 % 7/10/46 5,660 4,904
  3,5 Banc of America Commercial Mortgage Inc. 5.179 % 9/10/47 1,504 1,362
  3 Banc of America Commercial Mortgage Inc. 5.414 % 9/10/47 10,275 10,092
  3 Banc of America Commercial Mortgage Inc. 5.448 % 9/10/47 2,175 1,854
  3,5 Banc of America Commercial Mortgage Inc. 5.523 % 1/15/49 2,700 1,472
  3,5 Banc of America Commercial Mortgage Inc. 6.181 % 2/10/51 24,200 24,474
  4 Banco Bilbao Vizcaya Argentaria SA 5.750 % 7/20/17 2,200 2,418
  4 Bank of Scotland PLC 5.250 % 2/21/17 12,025 12,244
  3 Bear Stearns Commercial Mortgage          
    Securities 5.610 % 11/15/33 11,930 12,310
  3,5 Bear Stearns Commercial Mortgage          
    Securities 5.463 % 4/12/38 1,200 1,222
  3 Bear Stearns Commercial Mortgage          
    Securities 5.463 % 4/12/38 20,977 21,786
  3,5 Bear Stearns Commercial Mortgage          
    Securities 5.463 % 4/12/38 4,525 3,951
  3 Bear Stearns Commercial Mortgage          
    Securities 4.830 % 8/15/38 15,800 16,301
  3,5 Bear Stearns Commercial Mortgage          
    Securities 5.758 % 9/11/38 5,250 4,547
  3,5 Bear Stearns Commercial Mortgage          
    Securities 5.758 % 9/11/38 2,650 1,713
  3 Bear Stearns Commercial Mortgage          
    Securities 5.455 % 3/11/39 41,830 42,954
  3 Bear Stearns Commercial Mortgage          
    Securities 4.680 % 8/13/39 11,930 12,313
  3 Bear Stearns Commercial Mortgage          
    Securities 4.740 % 3/13/40 7,555 7,821
  3 Bear Stearns Commercial Mortgage          
    Securities 5.667 % 6/11/40 31,450 32,515
  3,5 Bear Stearns Commercial Mortgage          
    Securities 5.719 % 6/11/40 2,650 1,581


3 Bear Stearns Commercial Mortgage          
  Securities 5.405 % 12/11/40 1,443 1,498
3 Bear Stearns Commercial Mortgage          
  Securities 4.750 % 6/11/41 675 534
3 Bear Stearns Commercial Mortgage          
  Securities 5.582 % 9/11/41 3,445 3,071
3,5 Bear Stearns Commercial Mortgage          
  Securities 5.568 % 10/12/41 1,300 1,145
3 Bear Stearns Commercial Mortgage          
  Securities 4.521 % 11/11/41 4,175 4,205
3 Bear Stearns Commercial Mortgage          
  Securities 5.742 % 9/11/42 14,900 15,391
3 Bear Stearns Commercial Mortgage          
  Securities 5.793 % 9/11/42 5,500 5,837
3 Bear Stearns Commercial Mortgage          
  Securities 5.127 % 10/12/42 10,175 10,252
3 Bear Stearns Commercial Mortgage          
  Securities 5.149 % 10/12/42 615 637
3,5 Bear Stearns Commercial Mortgage          
  Securities 5.513 % 1/12/45 6,280 5,160
3,5 Bear Stearns Commercial Mortgage          
  Securities 5.566 % 1/12/45 4,275 2,772
3 Bear Stearns Commercial Mortgage          
  Securities 5.613 % 6/11/50 9,925 10,223
3 Bear Stearns Commercial Mortgage          
  Securities 5.694 % 6/11/50 44,650 43,075
3 Bear Stearns Commercial Mortgage          
  Securities 5.700 % 6/11/50 8,615 8,439
3,5 Bear Stearns Commercial Mortgage          
  Securities 5.915 % 6/11/50 7,903 6,529
3 Capital Auto Receivables Asset Trust 4.680 % 10/15/12 17,900 18,425
3 Capital One Multi-Asset Execution Trust 5.300 % 2/18/14 6,175 6,457
3 Capital One Multi-Asset Execution Trust 5.050 % 12/17/18 36,645 39,731
3 Capital One Multi-Asset Execution Trust 5.750 % 7/15/20 3,800 4,255
3 CDC Commercial Mortgage Trust 5.676 % 11/15/30 17,406 17,933
3 Chase Issuance Trust 4.650 % 12/17/12 31,250 31,911
3 Chase Issuance Trust 4.650 % 3/15/15 32,375 34,873
3 Chase Issuance Trust 5.400 % 7/15/15 10,025 11,054
3 CIT Group Home Equity Loan Trust 6.200 % 2/25/30 839 750
3 Citibank Credit Card Issuance Trust 5.450 % 5/10/13 4,085 4,286
3 Citibank Credit Card Issuance Trust 4.900 % 6/23/16 20,125 21,835
3 Citibank Credit Card Issuance Trust 4.150 % 7/7/17 3,425 3,578
3 Citibank Credit Card Issuance Trust 5.650 % 9/20/19 4,750 5,296
3 Citigroup Commercial Mortgage Trust 4.623 % 10/15/41 3,475 3,509
3 Citigroup Commercial Mortgage Trust 4.830 % 5/15/43 1,015 988
3,5 Citigroup Commercial Mortgage Trust 5.729 % 3/15/49 14,325 14,803
3 Citigroup Commercial Mortgage Trust 5.462 % 10/15/49 6,750 6,177
3,5 Citigroup Commercial Mortgage Trust 5.699 % 12/10/49 9,375 9,417
3,5 Citigroup Commercial Mortgage Trust 5.699 % 12/10/49 5,175 4,368
3,5 Citigroup Commercial Mortgage Trust 6.095 % 12/10/49 3,285 2,609
3,5 Citigroup Commercial Mortgage Trust 6.095 % 12/10/49 10,792 10,829
3,5 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.225 % 7/15/44 7,000 6,502
3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.225 % 7/15/44 32,891 33,941
3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.886 % 11/15/44 18,540 18,758


3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.648 % 10/15/48 9,225 7,734
3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.205 % 12/11/49 25,185 25,763
3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.322 % 12/11/49 19,125 18,628
3,4 Commercial Mortgage Lease-Backed          
  Certificates 6.746 % 6/20/31 9,484 10,011
3 Commercial Mortgage Pass Through          
  Certificates 4.084 % 6/10/38 6,600 6,590
3 Commercial Mortgage Pass Through          
  Certificates 4.715 % 3/10/39 19,825 20,072
3 Commercial Mortgage Pass Through          
  Certificates 5.116 % 6/10/44 25,203 25,789
3 Commercial Mortgage Pass Through          
  Certificates 5.765 % 6/10/46 16,965 17,474
3,5 Commercial Mortgage Pass Through          
  Certificates 5.791 % 6/10/46 4,025 3,613
3 Commercial Mortgage Pass Through          
  Certificates 5.248 % 12/10/46 3,348 3,430
3,5 Commercial Mortgage Pass Through          
  Certificates 5.816 % 12/10/49 19,073 19,222
3,5 Countrywide Home Loan Mortgage Pass          
  Through Trust 4.051 % 5/25/33 3,799 3,276
3 Credit Suisse First Boston Mortgage          
  Securities Corp. 6.380 % 12/18/35 2,904 2,950
3,5 Credit Suisse First Boston Mortgage          
  Securities Corp. 4.750 % 1/15/37 16,120 16,417
3 Credit Suisse First Boston Mortgage          
  Securities Corp. 4.877 % 4/15/37 925 757
3,5 Credit Suisse First Boston Mortgage          
  Securities Corp. 5.014 % 2/15/38 13,900 14,229
3 Credit Suisse First Boston Mortgage          
  Securities Corp. 3.936 % 5/15/38 11,380 11,538
3 Credit Suisse First Boston Mortgage          
  Securities Corp. 5.100 % 8/15/38 35,975 36,738
3,5 Credit Suisse First Boston Mortgage          
  Securities Corp. 5.100 % 8/15/38 1,965 1,806
3 Credit Suisse Mortgage Capital Certificates 5.825 % 6/15/38 26,008 25,377
3 Credit Suisse Mortgage Capital Certificates 5.825 % 6/15/38 1,147 984
3 Credit Suisse Mortgage Capital Certificates 5.548 % 2/15/39 43,725 44,133
3,5 Credit Suisse Mortgage Capital Certificates 5.549 % 2/15/39 7,675 6,561
3,5 Credit Suisse Mortgage Capital Certificates 5.723 % 6/15/39 32,785 29,075
3 Credit Suisse Mortgage Capital Certificates 5.509 % 9/15/39 1,725 1,288
3 Credit Suisse Mortgage Capital Certificates 5.311 % 12/15/39 31,985 29,929
3 Credit Suisse Mortgage Capital Certificates 5.343 % 12/15/39 2,076 1,657
3 Credit Suisse Mortgage Capital Certificates 5.383 % 2/15/40 6,421 5,728
3,5 CW Capital Cobalt Ltd. 5.820 % 5/15/46 23,775 22,476
3,5 CW Capital Cobalt Ltd. 5.484 % 4/15/47 1,675 1,526
3 Daimler Chrysler Auto Trust 3.700 % 6/8/12 5,415 5,486
3 Discover Card Master Trust 5.100 % 10/15/13 975 1,016
3 Discover Card Master Trust 5.650 % 12/15/15 23,300 25,642
3 Discover Card Master Trust 5.650 % 3/16/20 7,375 8,185
  Federal Housing Administration 7.430 % 10/1/20 3 4
3 Fifth Third Auto Trust 4.070 % 1/17/12 13,173 13,306
3,5 First Union Commercial Mortgage Trust 6.639 % 10/15/35 8,565 8,655

3 First Union National Bank Commercial          
Mortgage 7.202 % 10/15/32 849 861


3 First Union National Bank Commercial          
  Mortgage 6.223 % 12/12/33 9,800 10,210
3 Ford Credit Auto Owner Trust 4.370 % 10/15/12 15,775 16,468
3 Ford Credit Auto Owner Trust 2.420 % 11/15/14 4,625 4,674
3 GE Capital Commercial Mortgage Corp. 6.531 % 5/15/33 13,300 13,690
3 GE Capital Commercial Mortgage Corp. 6.290 % 8/11/33 2,375 2,456
3 GE Capital Commercial Mortgage Corp. 5.994 % 12/10/35 220 222
3 GE Capital Commercial Mortgage Corp. 6.269 % 12/10/35 11,150 11,817
3 GE Capital Commercial Mortgage Corp. 5.145 % 7/10/37 3,015 3,097
3 GE Capital Commercial Mortgage Corp. 4.996 % 12/10/37 17,395 17,886
3,5 GE Capital Commercial Mortgage Corp. 5.334 % 3/10/44 33,040 34,077
3 GE Capital Commercial Mortgage Corp. 4.974 % 7/10/45 1,425 1,461
3,5 GE Capital Commercial Mortgage Corp. 5.332 % 11/10/45 7,248 6,604
3 GMAC Commercial Mortgage Securities Inc. 7.455 % 8/16/33 4,606 4,621
3 GMAC Commercial Mortgage Securities Inc. 6.465 % 4/15/34 12,041 12,328
3 GMAC Commercial Mortgage Securities Inc. 6.700 % 4/15/34 12,605 13,036
3 GMAC Commercial Mortgage Securities Inc. 4.908 % 3/10/38 1,675 1,685
3 GMAC Commercial Mortgage Securities Inc. 4.646 % 4/10/40 4,095 4,148
3,5 GMAC Commercial Mortgage Securities Inc. 5.487 % 5/10/40 1,695 1,765
3 GMAC Commercial Mortgage Securities Inc. 4.864 % 12/10/41 2,175 2,204
3 GMAC Commercial Mortgage Securities Inc. 4.754 % 5/10/43 1,650 1,456
3 Greenwich Capital Commercial Funding Corp. 4.948 % 1/11/35 6,925 7,131
3 Greenwich Capital Commercial Funding Corp. 4.533 % 1/5/36 3,375 3,410
3 Greenwich Capital Commercial Funding Corp. 4.915 % 1/5/36 11,875 12,484
3 Greenwich Capital Commercial Funding Corp. 5.317 % 6/10/36 14,470 15,232
3 Greenwich Capital Commercial Funding Corp. 5.117 % 4/10/37 6,200 6,283
3 Greenwich Capital Commercial Funding Corp. 5.224 % 4/10/37 21,997 22,030
3,5 Greenwich Capital Commercial Funding Corp. 5.277 % 4/10/37 5,315 4,891
3,5 Greenwich Capital Commercial Funding Corp. 5.886 % 7/10/38 4,275 3,618
3 Greenwich Capital Commercial Funding Corp. 5.475 % 3/10/39 1,625 1,316
3 Greenwich Capital Commercial Funding Corp. 4.799 % 8/10/42 20,190 20,032
3 GS Mortgage Securities Corp. II 5.506 % 4/10/38 14,500 14,672
3,5 GS Mortgage Securities Corp. II 5.553 % 4/10/38 9,575 9,605
3,5 GS Mortgage Securities Corp. II 5.622 % 4/10/38 4,750 4,112
3 GS Mortgage Securities Corp. II 5.396 % 8/10/38 26,610 27,295
3 GS Mortgage Securities Corp. II 4.608 % 1/10/40 15,675 15,933
3 Harley-Davidson Motorcycle Trust 5.210 % 6/17/13 2,815 2,907
3 Honda Auto Receivables Owner Trust 4.880 % 9/18/14 7,900 8,365
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 6.260 % 3/15/33 14,020 14,316
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.050 % 12/12/34 9,525 9,830
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.654 % 1/12/37 3,250 3,319
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.985 % 1/12/37 11,725 12,132
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.255 % 7/12/37 1,365 1,417
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.376 % 7/12/37 10,030 10,337
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.350 % 8/12/37 2,000 1,620
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.824 % 9/12/37 5,125 5,172
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.948 % 9/12/37 815 688
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.879 % 1/12/38 15,750 16,200


3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.404 % 1/12/39 11,465 11,324
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.376 % 6/12/41 17,890 18,422
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.697 % 7/15/42 1,500 1,507
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.780 % 7/15/42 2,960 2,719
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.321 % 1/12/43 185 160
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.160 % 4/15/43 9,466 9,571
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.475 % 4/15/43 3,302 3,406
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.438 % 12/12/44 3,300 2,820
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.222 % 12/15/44 4,250 3,933
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.874 % 4/15/45 27,525 28,725
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.874 % 4/15/45 1,650 1,044
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.874 % 4/15/45 1,750 1,515
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.593 % 5/12/45 6,740 5,811
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.440 % 5/15/45 4,315 3,612
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.447 % 5/15/45 5,850 5,938
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.440 % 6/12/47 9,550 9,405
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.803 % 6/15/49 10,025 10,406
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.818 % 6/15/49 6,150 5,911
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.794 % 2/12/51 29,970 29,649
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.855 % 2/12/51 8,925 8,992
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.882 % 2/15/51 23,685 22,967
3,5 LB Commercial Conduit Mortgage Trust 5.949 % 7/15/44 10,260 7,350
3 LB-UBS Commercial Mortgage Trust 5.386 % 6/15/26 1,607 1,648
3 LB-UBS Commercial Mortgage Trust 7.370 % 8/15/26 8,075 8,113
3 LB-UBS Commercial Mortgage Trust 4.786 % 10/15/29 13,730 13,861
3 LB-UBS Commercial Mortgage Trust 4.742 % 2/15/30 8,040 8,157
3 LB-UBS Commercial Mortgage Trust 4.553 % 7/15/30 1,056 1,057
3 LB-UBS Commercial Mortgage Trust 5.197 % 11/15/30 17,600 17,775
3 LB-UBS Commercial Mortgage Trust 6.133 % 12/15/30 6,390 6,654
3 LB-UBS Commercial Mortgage Trust 5.217 % 2/15/31 2,535 2,338
3 LB-UBS Commercial Mortgage Trust 4.853 % 9/15/31 17,125 17,538
3 LB-UBS Commercial Mortgage Trust 4.960 % 12/15/31 4,625 4,741
3 LB-UBS Commercial Mortgage Trust 4.166 % 5/15/32 15,025 15,316
3,5 LB-UBS Commercial Mortgage Trust 5.124 % 11/15/32 7,550 7,818
3 LB-UBS Commercial Mortgage Trust 4.931 % 9/15/35 21,100 21,540
3,5 LB-UBS Commercial Mortgage Trust 5.661 % 3/15/39 25,851 26,029
3 LB-UBS Commercial Mortgage Trust 5.372 % 9/15/39 3,000 3,075


3 LB-UBS Commercial Mortgage Trust 5.413 % 9/15/39 1,175 1,070
3 LB-UBS Commercial Mortgage Trust 5.424 % 2/15/40 3,550 3,466
3 LB-UBS Commercial Mortgage Trust 5.430 % 2/15/40 15,755 15,326
3 LB-UBS Commercial Mortgage Trust 5.455 % 2/15/40 4,775 3,576
3,5 LB-UBS Commercial Mortgage Trust 5.493 % 2/15/40 3,557 2,784
3,5 LB-UBS Commercial Mortgage Trust 5.263 % 11/15/40 675 629
3,5 LB-UBS Commercial Mortgage Trust 6.155 % 4/15/41 25,275 26,672
3,5 LB-UBS Commercial Mortgage Trust 6.155 % 4/15/41 4,855 4,055
3 LB-UBS Commercial Mortgage Trust 5.866 % 9/15/45 30,870 30,945
3 MBNA Master Credit Card Trust 7.800 % 10/15/12 800 806
3 Merrill Lynch Mortgage Trust 5.236 % 11/12/35 9,020 9,438
3 Merrill Lynch Mortgage Trust 5.107 % 7/12/38 965 900
3 Merrill Lynch Mortgage Trust 5.655 % 5/12/39 10,690 10,896
3,5 Merrill Lynch Mortgage Trust 5.656 % 5/12/39 1,825 1,556
3 Merrill Lynch Mortgage Trust 5.782 % 8/12/43 4,705 3,886
3,5 Merrill Lynch Mortgage Trust 5.802 % 8/12/43 3,325 2,233
3,5 Merrill Lynch Mortgage Trust 5.291 % 1/12/44 20,875 21,590
3,5 Merrill Lynch Mortgage Trust 5.827 % 6/12/50 29,018 28,466
3,5 Merrill Lynch Mortgage Trust 5.827 % 6/12/50 3,260 2,614
3 Merrill Lynch Mortgage Trust 5.425 % 2/12/51 3,475 3,520
3 Merrill Lynch Mortgage Trust 5.690 % 2/12/51 13,020 11,975
3,5 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.516 % 2/12/39 650 444
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.908 % 6/12/46 32,125 34,029
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.456 % 7/12/46 3,660 3,111
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.378 % 8/12/48 20,670 18,198
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.590 % 9/12/49 10,275 10,509
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.700 % 9/12/49 24,925 22,665
3 Morgan Stanley Capital I 4.970 % 4/14/40 3,805 3,838
3,5 Morgan Stanley Capital I 5.110 % 6/15/40 16,025 16,072
3 Morgan Stanley Capital I 5.030 % 6/13/41 1,397 1,430
3 Morgan Stanley Capital I 5.270 % 6/13/41 4,525 4,663
3,5 Morgan Stanley Capital I 5.811 % 8/12/41 2,175 1,988
3 Morgan Stanley Capital I 5.328 % 11/12/41 4,700 4,750
3 Morgan Stanley Capital I 5.360 % 11/12/41 7,400 6,494
3 Morgan Stanley Capital I 4.970 % 12/15/41 10,100 10,367
3 Morgan Stanley Capital I 5.168 % 1/14/42 3,950 4,137
3,5 Morgan Stanley Capital I 5.649 % 6/11/42 525 461
3,5 Morgan Stanley Capital I 5.649 % 6/11/42 19,150 20,050
3 Morgan Stanley Capital I 4.989 % 8/13/42 24,130 24,724
3 Morgan Stanley Capital I 5.230 % 9/15/42 23,925 24,268
3 Morgan Stanley Capital I 5.766 % 10/15/42 8,175 8,503
3,5 Morgan Stanley Capital I 5.770 % 10/15/42 385 331
3,5 Morgan Stanley Capital I 5.770 % 10/15/42 4,325 3,358
3,5 Morgan Stanley Capital I 5.208 % 11/14/42 16,650 16,936
3,5 Morgan Stanley Capital I 5.208 % 11/14/42 500 454
3 Morgan Stanley Capital I 6.280 % 1/11/43 18,375 19,618
3 Morgan Stanley Capital I 5.332 % 12/15/43 8,580 8,578
3,5 Morgan Stanley Capital I 5.385 % 3/12/44 30,516 31,320
3,5 Morgan Stanley Capital I 5.773 % 7/12/44 4,396 3,915
3 Morgan Stanley Capital I 4.660 % 9/13/45 3,345 3,383
3,5 Morgan Stanley Capital I 5.654 % 4/15/49 1,850 1,859
3,5 Morgan Stanley Capital I 5.685 % 4/15/49 4,775 3,109


3,5 Morgan Stanley Capital I 5.692 % 4/15/49 11,300 10,233
3,5 Morgan Stanley Capital I 5.544 % 11/12/49 7,300 6,351
3 Morgan Stanley Capital I 5.809 % 12/12/49 11,345 10,911
3 Morgan Stanley Capital I 5.090 % 10/12/52 7,800 7,902
3,5 Morgan Stanley Capital I 5.204 % 10/12/52 5,410 4,996
3 Morgan Stanley Capital I 4.770 % 7/15/56 3,295 2,619
3 Morgan Stanley Dean Witter Capital I 6.660 % 2/15/33 3,504 3,573
3 Morgan Stanley Dean Witter Capital I 6.390 % 7/15/33 3,754 3,882
3 Morgan Stanley Dean Witter Capital I 4.920 % 3/12/35 28,925 29,397
3 Morgan Stanley Dean Witter Capital I 6.390 % 10/15/35 10,143 10,668
3 Morgan Stanley Dean Witter Capital I 4.740 % 11/13/36 21,195 21,758
3 Morgan Stanley Dean Witter Capital I 5.980 % 1/15/39 1,485 1,571
4 Nationwide Building Society 5.500 % 7/18/12 23,525 25,124
3 Nissan Auto Receivables Owner Trust 4.460 % 4/16/12 791 807
3 Nissan Auto Receivables Owner Trust 5.050 % 11/17/14 6,600 7,042
4 Northern Rock Asset Management PLC 5.625 % 6/22/17 40,225 39,733
3 PG&E Energy Recovery Funding LLC 4.140 % 9/25/12 2,372 2,399
3 PG&E Energy Recovery Funding LLC 5.030 % 3/25/14 7,439 7,754
3 PNC Mortgage Acceptance Corp. 7.300 % 10/12/33 365 369
3 PSE&G Transition Funding LLC 6.890 % 12/15/17 21,175 25,054
3 Public Service New Hampshire Funding LLC 6.480 % 5/1/15 207 225
3 Residential Asset Securities Corp. 6.489 % 10/25/30 217 180
3 Salomon Brothers Mortgage Securities VII Inc. 4.467 % 3/18/36 543 563
3 USAA Auto Owner Trust 4.710 % 2/18/14 13,425 14,237
3 Wachovia Bank Commercial Mortgage Trust 4.440 % 11/15/34 653 661
3 Wachovia Bank Commercial Mortgage Trust 4.980 % 11/15/34 700 721
3 Wachovia Bank Commercial Mortgage Trust 4.867 % 2/15/35 700 727
3,5 Wachovia Bank Commercial Mortgage Trust 5.125 % 8/15/35 3,100 3,275
3,5 Wachovia Bank Commercial Mortgage Trust 4.964 % 11/15/35 10,750 11,108
3 Wachovia Bank Commercial Mortgage Trust 4.719 % 1/15/41 3,475 3,491
3 Wachovia Bank Commercial Mortgage Trust 4.748 % 2/15/41 22,105 22,582
3 Wachovia Bank Commercial Mortgage Trust 5.001 % 7/15/41 5,747 5,797
3,5 Wachovia Bank Commercial Mortgage Trust 5.238 % 7/15/41 23,020 23,328
3 Wachovia Bank Commercial Mortgage Trust 4.803 % 10/15/41 19,225 19,343
3,5 Wachovia Bank Commercial Mortgage Trust 5.083 % 3/15/42 15,075 15,624
3,5 Wachovia Bank Commercial Mortgage Trust 5.224 % 3/15/42 1,700 1,377
3 Wachovia Bank Commercial Mortgage Trust 5.118 % 7/15/42 6,729 6,901
3,5 Wachovia Bank Commercial Mortgage Trust 5.740 % 5/15/43 14,025 14,561
3,5 Wachovia Bank Commercial Mortgage Trust 5.740 % 5/15/43 7,000 6,021
3 Wachovia Bank Commercial Mortgage Trust 4.699 % 5/15/44 14,354 14,779
3 Wachovia Bank Commercial Mortgage Trust 4.793 % 5/15/44 3,325 2,726
3,5 Wachovia Bank Commercial Mortgage Trust 5.209 % 10/15/44 18,610 19,451
3,5 Wachovia Bank Commercial Mortgage Trust 5.270 % 12/15/44 32,450 33,807
3,5 Wachovia Bank Commercial Mortgage Trust 5.320 % 12/15/44 170 151
3,5 Wachovia Bank Commercial Mortgage Trust 5.967 % 6/15/45 1,280 1,130
3,5 Wachovia Bank Commercial Mortgage Trust 5.765 % 7/15/45 9,100 8,925
3,5 Wachovia Bank Commercial Mortgage Trust 5.818 % 5/15/46 5,280 4,083
3 Wachovia Bank Commercial Mortgage Trust 5.313 % 11/15/48 16,475 16,870
3 Wachovia Bank Commercial Mortgage Trust 5.339 % 11/15/48 11,195 9,580
3 World Omni Auto Receivables Trust 3.940 % 10/15/12 13,530 13,788
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,930,114)   3,078,180
Corporate Bonds (19.8%)          
Finance (7.1%)          
  Banking (4.7%)          
3 Abbey National Capital Trust I 8.963 % 12/29/49 1,200 1,281
  American Express Bank FSB 5.550 % 10/17/12 3,575 3,838
  American Express Bank FSB 5.500 % 4/16/13 8,675 9,290


American Express Bank FSB 6.000 % 9/13/17 4,275 4,556
American Express Centurion Bank 5.550 % 10/17/12 2,775 2,979
American Express Centurion Bank 5.950 % 6/12/17 1,900 2,015
American Express Centurion Bank 6.000 % 9/13/17 21,950 23,322
American Express Co. 4.875 % 7/15/13 5,821 6,136
American Express Co. 7.250 % 5/20/14 1,225 1,386
American Express Co. 5.500 % 9/12/16 3,075 3,225
American Express Co. 6.150 % 8/28/17 5,575 6,007
American Express Co. 7.000 % 3/19/18 31,300 35,402
American Express Co. 8.125 % 5/20/19 500 604
American Express Co. 8.150 % 3/19/38 1,475 1,898
3 American Express Co. 6.800 % 9/1/66 6,285 6,147
American Express Credit Corp. 5.875 % 5/2/13 17,300 18,748
American Express Credit Corp. 7.300 % 8/20/13 17,864 20,125
American Express Credit Corp. 5.125 % 8/25/14 4,200 4,450
4 American Express Travel Related Services          
Co. Inc. 5.250 % 11/21/11 6,625 6,920
Amsouth Bank 5.200 % 4/1/15 5,150 4,719
Associates Corp. of North America 6.950 % 11/1/18 250 264
Banco Santander Chile 2.875 % 11/13/12 1,950 1,942
Bank of America Corp. 4.250 % 10/1/10 7,875 8,019
Bank of America Corp. 5.375 % 8/15/11 1,800 1,892
Bank of America Corp. 5.375 % 9/11/12 5,325 5,660
Bank of America Corp. 4.875 % 9/15/12 13,050 13,700
Bank of America Corp. 4.875 % 1/15/13 7,881 8,243
Bank of America Corp. 4.900 % 5/1/13 13,465 14,092
Bank of America Corp. 7.375 % 5/15/14 6,125 6,886
Bank of America Corp. 5.375 % 6/15/14 3,050 3,201
Bank of America Corp. 5.125 % 11/15/14 23,200 24,052
Bank of America Corp. 4.500 % 4/1/15 650 655
Bank of America Corp. 4.750 % 8/1/15 225 228
Bank of America Corp. 5.250 % 12/1/15 3,975 4,081
Bank of America Corp. 6.500 % 8/1/16 21,200 22,923
Bank of America Corp. 5.750 % 8/15/16 11,025 11,287
Bank of America Corp. 5.625 % 10/14/16 6,350 6,539
Bank of America Corp. 5.420 % 3/15/17 16,225 16,028
Bank of America Corp. 6.000 % 9/1/17 1,060 1,101
Bank of America Corp. 5.750 % 12/1/17 6,525 6,681
Bank of America Corp. 5.650 % 5/1/18 51,275 51,924
Bank of America Corp. 7.625 % 6/1/19 8,775 10,031
Bank of America Corp. 6.800 % 3/15/28 1,025 1,024
Bank of America Corp. 6.500 % 9/15/37 2,535 2,451
Bank of America NA 5.300 % 3/15/17 24,375 24,133
Bank of America NA 6.100 % 6/15/17 5,575 5,743
Bank of America NA 6.000 % 10/15/36 13,500 12,464
Bank of New York Mellon Corp. 4.950 % 1/14/11 2,500 2,585
Bank of New York Mellon Corp. 6.375 % 4/1/12 300 328
Bank of New York Mellon Corp. 4.950 % 11/1/12 23,750 25,762
Bank of New York Mellon Corp. 4.500 % 4/1/13 2,125 2,273
Bank of New York Mellon Corp. 4.300 % 5/15/14 9,495 10,007
Bank of New York Mellon Corp. 4.950 % 3/15/15 9,750 10,410
Bank of New York Mellon Corp. 5.450 % 5/15/19 6,240 6,663
Bank of New York Mellon Corp. 4.600 % 1/15/20 6,350 6,393
Bank of Nova Scotia 2.250 % 1/22/13 8,125 8,184
Bank of Tokyo-Mitsubishi UFJ Ltd. 7.400 % 6/15/11 9,350 9,970
Bank One Corp. 5.900 % 11/15/11 2,520 2,680
Bank One Corp. 5.250 % 1/30/13 4,000 4,278
Bank One Corp. 4.900 % 4/30/15 6,075 6,304


  Bank One Corp. 7.625 % 10/15/26 1,225 1,377
  Banque Paribas 6.950 % 7/22/13 900 1,012
  Barclays Bank PLC 5.450 % 9/12/12 6,725 7,257
  Barclays Bank PLC 2.500 % 1/23/13 7,350 7,360
  Barclays Bank PLC 5.200 % 7/10/14 8,925 9,519
  Barclays Bank PLC 5.000 % 9/22/16 10,750 11,058
  Barclays Bank PLC 6.750 % 5/22/19 8,675 9,580
  Barclays Bank PLC 5.125 % 1/8/20 23,675 23,337
  BB&T Capital Trust II 6.750 % 6/7/36 8,725 8,600
3 BB&T Capital Trust IV 6.820 % 6/12/57 3,775 3,554
  BB&T Corp. 6.500 % 8/1/11 2,455 2,598
  BB&T Corp. 3.850 % 7/27/12 3,800 3,961
  BB&T Corp. 4.750 % 10/1/12 6,075 6,398
  BB&T Corp. 5.700 % 4/30/14 4,200 4,576
  BB&T Corp. 5.200 % 12/23/15 4,712 4,937
  BB&T Corp. 4.900 % 6/30/17 525 523
  BB&T Corp. 6.850 % 4/30/19 5,904 6,695
  BB&T Corp. 5.250 % 11/1/19 5,950 5,979
  Bear Stearns Cos. LLC 4.500 % 10/28/10 2,670 2,726
  Bear Stearns Cos. LLC 5.350 % 2/1/12 24,075 25,717
  Bear Stearns Cos. LLC 6.950 % 8/10/12 8,037 8,957
  Bear Stearns Cos. LLC 5.700 % 11/15/14 15,590 16,983
  Bear Stearns Cos. LLC 5.300 % 10/30/15 6,215 6,606
  Bear Stearns Cos. LLC 5.550 % 1/22/17 4,550 4,731
  Bear Stearns Cos. LLC 6.400 % 10/2/17 8,180 9,047
  Bear Stearns Cos. LLC 7.250 % 2/1/18 11,303 13,039
  Bear Stearns Cos. LLC 4.650 % 7/2/18 1,650 1,619
  BNP Paribas 3.250 % 3/11/15 3,925 3,908
  BNP Paribas US Medium-Term Note Program          
  LLC 2.125 % 12/21/12 13,290 13,475
  BNY Mellon NA 4.750 % 12/15/14 2,800 2,977
  Branch Banking & Trust Co. 5.625 % 9/15/16 5,775 6,009
4 Canadian Imperial Bank of Commerce 2.000 % 2/4/13 6,900 6,869
  Capital One Bank USA NA 6.500 % 6/13/13 4,350 4,765
  Capital One Bank USA NA 8.800 % 7/15/19 12,250 14,804
  Capital One Capital III 7.686 % 8/15/36 6,225 5,945
  Capital One Capital IV 6.745 % 2/17/37 2,625 2,244
  Capital One Capital V 10.250 % 8/15/39 2,625 3,106
  Capital One Capital VI 8.875 % 5/15/40 1,700 1,844
  Capital One Financial Corp. 5.700 % 9/15/11 3,350 3,521
  Capital One Financial Corp. 4.800 % 2/21/12 1,775 1,851
  Capital One Financial Corp. 7.375 % 5/23/14 7,275 8,321
  Capital One Financial Corp. 5.500 % 6/1/15 6,575 6,872
  Capital One Financial Corp. 6.150 % 9/1/16 5,646 5,837
  Capital One Financial Corp. 5.250 % 2/21/17 1,850 1,895
  Capital One Financial Corp. 6.750 % 9/15/17 5,650 6,238
  Charter One Bank NA 5.500 % 4/26/11 9,825 10,166
3,4 Citicorp Lease Pass-Through Trust 1999-1 8.040 % 12/15/19 14,225 15,691
  Citigroup Inc. 5.100 % 9/29/11 24,525 25,544
  Citigroup Inc. 6.000 % 2/21/12 3,239 3,437
  Citigroup Inc. 5.250 % 2/27/12 10,600 11,118
  Citigroup Inc. 5.500 % 8/27/12 2,610 2,761
  Citigroup Inc. 5.625 % 8/27/12 7,690 8,065
  Citigroup Inc. 5.300 % 10/17/12 24,900 26,141
  Citigroup Inc. 5.500 % 4/11/13 34,045 35,746
  Citigroup Inc. 6.500 % 8/19/13 16,050 17,312
  Citigroup Inc. 5.125 % 5/5/14 7,550 7,758
  Citigroup Inc. 6.375 % 8/12/14 8,525 9,105


Citigroup Inc. 5.000 % 9/15/14 37,046 36,932
Citigroup Inc. 5.500 % 10/15/14 15,700 16,272
Citigroup Inc. 6.010 % 1/15/15 8,850 9,287
Citigroup Inc. 4.700 % 5/29/15 3,350 3,332
Citigroup Inc. 5.300 % 1/7/16 19,375 19,629
Citigroup Inc. 5.500 % 2/15/17 3,150 3,112
Citigroup Inc. 6.000 % 8/15/17 15,525 15,844
Citigroup Inc. 6.125 % 11/21/17 11,275 11,579
Citigroup Inc. 6.125 % 5/15/18 8,300 8,475
Citigroup Inc. 8.500 % 5/22/19 24,670 28,815
Citigroup Inc. 6.625 % 6/15/32 2,475 2,314
Citigroup Inc. 5.875 % 2/22/33 11,875 10,291
Citigroup Inc. 6.000 % 10/31/33 8,400 7,352
Citigroup Inc. 5.850 % 12/11/34 1,750 1,588
Citigroup Inc. 6.125 % 8/25/36 8,375 7,284
Citigroup Inc. 5.875 % 5/29/37 7,075 6,375
Citigroup Inc. 6.875 % 3/5/38 15,875 16,107
Citigroup Inc. 8.125 % 7/15/39 14,950 17,201
Comerica Bank 5.750 % 11/21/16 10,775 11,156
Comerica Bank 5.200 % 8/22/17 3,100 2,992
3 Comerica Capital Trust II 6.576 % 2/20/37 3,400 2,992
Comerica Inc. 4.800 % 5/1/15 3,400 3,423
Compass Bank 6.400 % 10/1/17 2,275 2,284
Compass Bank 5.900 % 4/1/26 1,975 1,734
4 Corestates Capital I 8.000 % 12/15/26 4,300 4,321
Countrywide Financial Corp. 5.800 % 6/7/12 6,375 6,779
Countrywide Financial Corp. 6.250 % 5/15/16 1,720 1,747
Credit Suisse 5.000 % 5/15/13 17,810 19,116
Credit Suisse 5.500 % 5/1/14 10,600 11,537
Credit Suisse 3.500 % 3/23/15 13,700 13,670
Credit Suisse 6.000 % 2/15/18 10,325 10,931
Credit Suisse 5.300 % 8/13/19 15,825 16,242
3 Credit Suisse 5.860 % 5/15/49 8,480 7,950
Credit Suisse AG 5.400 % 1/14/20 16,040 16,180
Credit Suisse USA Inc. 4.875 % 8/15/10 20,275 20,595
Credit Suisse USA Inc. 5.500 % 8/16/11 4,525 4,782
Credit Suisse USA Inc. 6.125 % 11/15/11 12,850 13,794
Credit Suisse USA Inc. 6.500 % 1/15/12 2,240 2,433
Credit Suisse USA Inc. 5.500 % 8/15/13 6,250 6,854
Credit Suisse USA Inc. 5.125 % 1/15/14 2,150 2,291
Credit Suisse USA Inc. 4.875 % 1/15/15 16,570 17,580
Credit Suisse USA Inc. 5.125 % 8/15/15 9,120 9,765
Credit Suisse USA Inc. 7.125 % 7/15/32 4,971 5,902
Deutsche Bank AG 5.375 % 10/12/12 13,100 14,253
Deutsche Bank AG 2.375 % 1/11/13 8,250 8,273
Deutsche Bank AG 4.875 % 5/20/13 23,175 24,819
Deutsche Bank AG 3.450 % 3/30/15 5,500 5,456
Deutsche Bank AG 6.000 % 9/1/17 20,431 22,364
Deutsche Bank Financial LLC 5.375 % 3/2/15 5,950 6,290
Discover Bank 8.700 % 11/18/19 5,000 5,465
FIA Card Services NA 6.625 % 6/15/12 3,015 3,245
Fifth Third Bancorp 6.250 % 5/1/13 5,750 6,209
Fifth Third Bancorp 5.450 % 1/15/17 4,900 4,836
Fifth Third Bancorp 4.500 % 6/1/18 1,525 1,397
Fifth Third Bancorp 8.250 % 3/1/38 4,825 5,077
Fifth Third Bank 4.750 % 2/1/15 8,825 8,935
3 Fifth Third Capital Trust IV 6.500 % 4/15/67 3,400 2,881
First Niagara Financial Group Inc. 6.750 % 3/19/20 1,675 1,699


First Tennessee Bank NA 5.050 % 1/15/15 2,400 2,252
First Union Institutional Capital I 8.040 % 12/1/26 1,475 1,490
FleetBoston Financial Corp. 6.700 % 7/15/28 1,900 1,877
Golden West Financial Corp. 4.750 % 10/1/12 2,790 2,933
Goldman Sachs Capital I 6.345 % 2/15/34 16,065 14,786
3 Goldman Sachs Capital II 5.793 % 12/29/49 10,945 9,227
Goldman Sachs Group Inc. 6.600 % 1/15/12 24,860 27,034
Goldman Sachs Group Inc. 5.300 % 2/14/12 800 853
Goldman Sachs Group Inc. 3.625 % 8/1/12 4,400 4,568
Goldman Sachs Group Inc. 5.700 % 9/1/12 700 759
Goldman Sachs Group Inc. 5.450 % 11/1/12 10,220 11,050
Goldman Sachs Group Inc. 5.250 % 4/1/13 9,340 9,985
Goldman Sachs Group Inc. 4.750 % 7/15/13 11,275 11,928
Goldman Sachs Group Inc. 5.250 % 10/15/13 16,320 17,550
Goldman Sachs Group Inc. 5.150 % 1/15/14 3,215 3,421
Goldman Sachs Group Inc. 6.000 % 5/1/14 22,000 24,105
Goldman Sachs Group Inc. 5.000 % 10/1/14 26,212 27,545
Goldman Sachs Group Inc. 5.125 % 1/15/15 16,610 17,541
Goldman Sachs Group Inc. 5.350 % 1/15/16 29,425 30,937
Goldman Sachs Group Inc. 5.750 % 10/1/16 9,375 10,010
Goldman Sachs Group Inc. 5.625 % 1/15/17 12,250 12,541
Goldman Sachs Group Inc. 6.250 % 9/1/17 25,425 27,332
Goldman Sachs Group Inc. 5.950 % 1/18/18 24,525 25,714
Goldman Sachs Group Inc. 6.150 % 4/1/18 8,010 8,457
Goldman Sachs Group Inc. 7.500 % 2/15/19 4,890 5,574
Goldman Sachs Group Inc. 5.375 % 3/15/20 4,725 4,682
Goldman Sachs Group Inc. 5.950 % 1/15/27 9,985 9,588
Goldman Sachs Group Inc. 6.125 % 2/15/33 13,600 13,365
Goldman Sachs Group Inc. 6.450 % 5/1/36 5,535 5,308
Goldman Sachs Group Inc. 6.750 % 10/1/37 38,191 37,873
4 HBOS PLC 6.750 % 5/21/18 6,075 5,582
HSBC Bank USA NA 4.625 % 4/1/14 5,675 5,915
HSBC Bank USA NA 5.875 % 11/1/34 2,500 2,420
HSBC Bank USA NA 5.625 % 8/15/35 2,300 2,144
HSBC Holdings PLC 7.625 % 5/17/32 925 1,037
HSBC Holdings PLC 7.350 % 11/27/32 2,040 2,245
HSBC Holdings PLC 6.500 % 5/2/36 17,995 18,646
HSBC Holdings PLC 6.500 % 9/15/37 15,490 16,041
HSBC Holdings PLC 6.800 % 6/1/38 3,410 3,667
4 ICICI Bank Ltd. 6.625 % 10/3/12 6,400 6,816
JP Morgan Chase Capital XV 5.875 % 3/15/35 4,815 4,354
JP Morgan Chase Capital XVII 5.850 % 8/1/35 675 589
JP Morgan Chase Capital XX 6.550 % 9/29/36 6,475 6,040
JP Morgan Chase Capital XXII 6.450 % 2/2/37 10,800 10,002
JP Morgan Chase Capital XXV 6.800 % 10/1/37 10,375 10,289
JPMorgan Chase & Co. 5.600 % 6/1/11 14,700 15,469
JPMorgan Chase & Co. 4.850 % 6/16/11 6,975 7,282
JPMorgan Chase & Co. 4.500 % 1/15/12 6,275 6,611
JPMorgan Chase & Co. 6.625 % 3/15/12 10,000 10,898
JPMorgan Chase & Co. 5.375 % 10/1/12 18,495 20,033
JPMorgan Chase & Co. 5.750 % 1/2/13 6,146 6,657
JPMorgan Chase & Co. 4.750 % 5/1/13 15,070 16,083
JPMorgan Chase & Co. 5.375 % 1/15/14 3,475 3,738
JPMorgan Chase & Co. 4.875 % 3/15/14 18,100 18,888
JPMorgan Chase & Co. 4.650 % 6/1/14 15,000 15,846
JPMorgan Chase & Co. 5.125 % 9/15/14 21,332 22,595
JPMorgan Chase & Co. 3.700 % 1/20/15 1,975 1,986
JPMorgan Chase & Co. 4.750 % 3/1/15 3,900 4,088


JPMorgan Chase & Co. 5.250 % 5/1/15 5,575 5,884
JPMorgan Chase & Co. 5.150 % 10/1/15 7,785 8,192
JPMorgan Chase & Co. 6.125 % 6/27/17 11,850 12,736
JPMorgan Chase & Co. 6.000 % 1/15/18 4,500 4,867
JPMorgan Chase & Co. 6.300 % 4/23/19 5,275 5,796
JPMorgan Chase & Co. 6.400 % 5/15/38 65,869 71,152
JPMorgan Chase Bank NA 5.875 % 6/13/16 4,346 4,650
JPMorgan Chase Bank NA 6.000 % 7/5/17 825 879
JPMorgan Chase Bank NA 6.000 % 10/1/17 65 69
JPMorgan Chase Capital XXVII 7.000 % 11/1/39 2,325 2,364
KeyBank NA 5.500 % 9/17/12 5,750 6,029
KeyBank NA 5.800 % 7/1/14 2,825 2,890
KeyBank NA 4.950 % 9/15/15 5,950 5,867
KeyBank NA 5.450 % 3/3/16 6,275 6,171
KeyBank NA 6.950 % 2/1/28 1,925 1,745
KeyCorp 6.500 % 5/14/13 5,325 5,681
4 Lloyds TSB Bank PLC 4.375 % 1/12/15 9,300 9,147
4 Lloyds TSB Bank PLC 5.800 % 1/13/20 9,425 9,095
M&I Marshall & Ilsley Bank 5.250 % 9/4/12 925 923
M&I Marshall & Ilsley Bank 4.850 % 6/16/15 800 697
M&I Marshall & Ilsley Bank 5.000 % 1/17/17 150 129
Manufacturers & Traders Trust Co. 6.625 % 12/4/17 7,050 7,525
3 Manufacturers & Traders Trust Co. 5.585 % 12/28/20 450 411
MBNA Corp. 7.500 % 3/15/12 2,845 3,102
MBNA Corp. 6.125 % 3/1/13 4,075 4,373
MBNA Corp. 5.000 % 6/15/15 3,775 3,770
3 Mellon Capital IV 6.244 % 6/29/49 200 186
Mellon Funding Corp. 6.400 % 5/14/11 350 370
Mellon Funding Corp. 5.000 % 12/1/14 1,025 1,099
Merrill Lynch & Co. Inc. 5.770 % 7/25/11 7,050 7,429
Merrill Lynch & Co. Inc. 6.050 % 8/15/12 10,500 11,233
Merrill Lynch & Co. Inc. 5.450 % 2/5/13 14,785 15,611
Merrill Lynch & Co. Inc. 6.150 % 4/25/13 21,250 22,885
Merrill Lynch & Co. Inc. 5.000 % 2/3/14 11,550 11,902
Merrill Lynch & Co. Inc. 5.450 % 7/15/14 2,450 2,569
Merrill Lynch & Co. Inc. 5.000 % 1/15/15 18,579 18,991
Merrill Lynch & Co. Inc. 6.050 % 5/16/16 3,950 4,038
Merrill Lynch & Co. Inc. 5.700 % 5/2/17 19,200 19,052
Merrill Lynch & Co. Inc. 6.400 % 8/28/17 15,075 15,882
Merrill Lynch & Co. Inc. 6.875 % 4/25/18 36,266 39,074
Merrill Lynch & Co. Inc. 6.500 % 7/15/18 3,325 3,468
Merrill Lynch & Co. Inc. 6.220 % 9/15/26 15,250 14,707
Merrill Lynch & Co. Inc. 6.110 % 1/29/37 6,175 5,711
Merrill Lynch & Co. Inc. 7.750 % 5/14/38 11,673 12,900
Morgan Stanley 6.750 % 4/15/11 13,631 14,396
Morgan Stanley 5.625 % 1/9/12 14,100 14,993
Morgan Stanley 6.600 % 4/1/12 11,550 12,541
Morgan Stanley 5.750 % 8/31/12 7,650 8,219
Morgan Stanley 5.300 % 3/1/13 16,486 17,517
Morgan Stanley 6.750 % 10/15/13 600 663
Morgan Stanley 4.750 % 4/1/14 27,647 28,273
Morgan Stanley 6.000 % 5/13/14 21,485 23,173
Morgan Stanley 4.200 % 11/20/14 15,675 15,722
Morgan Stanley 4.100 % 1/26/15 9,500 9,447
Morgan Stanley 6.000 % 4/28/15 44,400 47,574
Morgan Stanley 5.375 % 10/15/15 5,925 6,159
Morgan Stanley 5.750 % 10/18/16 15,050 15,593
Morgan Stanley 5.450 % 1/9/17 9,925 10,102


  Morgan Stanley 5.550 % 4/27/17 3,305 3,372
  Morgan Stanley 6.250 % 8/28/17 560 588
  Morgan Stanley 5.950 % 12/28/17 16,475 16,952
  Morgan Stanley 6.625 % 4/1/18 33,755 36,040
  Morgan Stanley 7.300 % 5/13/19 3,460 3,822
  Morgan Stanley 5.625 % 9/23/19 20,600 20,453
  Morgan Stanley 5.500 % 1/26/20 3,075 3,017
  Morgan Stanley 6.250 % 8/9/26 15,575 15,947
  Morgan Stanley 7.250 % 4/1/32 10,340 11,869
  National City Bank 4.625 % 5/1/13 2,500 2,602
  National City Corp. 4.900 % 1/15/15 1,425 1,508
  National City Corp. 6.875 % 5/15/19 875 965
3 National City Preferred Capital Trust I 12.000 % 12/31/49 5,450 6,349
  North American Development Bank 4.375 % 2/11/20 2,600 2,553
  North Fork Bancorporation Inc. 5.875 % 8/15/12 150 157
  Northern Trust Co. 6.500 % 8/15/18 1,125 1,261
  Northern Trust Corp. 5.500 % 8/15/13 1,350 1,490
  Northern Trust Corp. 4.625 % 5/1/14 4,200 4,488
  PNC Bank NA 4.875 % 9/21/17 8,425 8,410
  PNC Bank NA 6.000 % 12/7/17 1,100 1,160
  PNC Funding Corp. 5.125 % 12/14/10 4,600 4,739
  PNC Funding Corp. 3.625 % 2/8/15 9,625 9,687
  PNC Funding Corp. 4.250 % 9/21/15 3,675 3,798
  PNC Funding Corp. 5.250 % 11/15/15 8,525 8,977
  PNC Funding Corp. 5.625 % 2/1/17 975 1,009
  PNC Funding Corp. 6.700 % 6/10/19 6,934 7,774
  PNC Funding Corp. 5.125 % 2/8/20 6,250 6,303
  Regions Bank 7.500 % 5/15/18 2,050 2,054
  Regions Financial Corp. 7.750 % 11/10/14 3,200 3,370
  Royal Bank of Scotland Group PLC 5.000 % 10/1/14 96 91
  Royal Bank of Scotland Group PLC 5.050 % 1/8/15 7,800 7,323
  Royal Bank of Scotland Group PLC 6.400 % 10/21/19 25,200 25,193
  Royal Bank Of Scotland NV 4.650 % 6/4/18 225 197
4 Royal Bank of Scotland PLC 4.875 % 8/25/14 1,700 1,710
  Royal Bank of Scotland PLC 4.875 % 3/16/15 5,900 5,884
  SouthTrust Corp. 5.800 % 6/15/14 2,550 2,707
  Sovereign Bank 5.125 % 3/15/13 2,275 2,302
  Sovereign Bank 8.750 % 5/30/18 1,595 1,817
3,4 Standard Chartered PLC 6.409 % 12/31/49 5,825 5,242
  State Street Bank and Trust Co. 5.300 % 1/15/16 2,800 2,971
3 State Street Capital Trust III 8.250 % 3/15/42 395 407
  State Street Corp. 4.300 % 5/30/14 3,900 4,108
  Sumitomo Mitsui Banking Corp. 8.000 % 6/15/12 13,090 14,406
  SunTrust Bank 6.375 % 4/1/11 6,330 6,612
  SunTrust Bank 5.000 % 9/1/15 250 251
  SunTrust Bank 5.450 % 12/1/17 400 394
  SunTrust Bank 7.250 % 3/15/18 1,000 1,066
  SunTrust Banks Inc. 5.250 % 11/5/12 6,350 6,681
  SunTrust Banks Inc. 6.000 % 9/11/17 3,233 3,284
  SunTrust Capital VIII 6.100 % 12/15/36 1,962 1,605
  UBS AG 7.000 % 10/15/15 2,500 2,695
  UBS AG 5.875 % 7/15/16 3,525 3,593
  UBS AG 7.375 % 6/15/17 3,300 3,498
  UBS AG 5.875 % 12/20/17 28,899 29,949
  UBS AG 5.750 % 4/25/18 11,575 11,887
3 UBS Preferred Funding Trust II 7.247 % 6/29/49 8 8
  UFJ Finance Aruba AEC 6.750 % 7/15/13 20,950 23,488
  Union Bank NA 5.950 % 5/11/16 3,875 4,049


UnionBanCal Corp. 5.250 % 12/16/13 2,105 2,258
US Bancorp 4.200 % 5/15/14 775 811
US Bancorp 3.150 % 3/4/15 1,450 1,446
US Bank NA 6.375 % 8/1/11 6,050 6,456
US Bank NA 6.300 % 2/4/14 8,750 9,760
US Bank NA 4.950 % 10/30/14 11,521 12,332
3 USB Capital IX 6.189 % 4/15/49 8,115 6,898
USB Capital XIII Trust 6.625 % 12/15/39 875 881
Wachovia Bank NA 4.800 % 11/1/14 1,400 1,445
Wachovia Bank NA 4.875 % 2/1/15 15,250 15,946
Wachovia Bank NA 5.000 % 8/15/15 960 998
Wachovia Bank NA 6.000 % 11/15/17 8,025 8,562
Wachovia Bank NA 5.850 % 2/1/37 16,225 15,250
Wachovia Bank NA 6.600 % 1/15/38 12,325 12,728
Wachovia Corp. 5.300 % 10/15/11 14,050 14,867
Wachovia Corp. 4.875 % 2/15/14 10,000 10,408
Wachovia Corp. 5.250 % 8/1/14 5,527 5,826
Wachovia Corp. 5.625 % 10/15/16 12,625 13,308
Wachovia Corp. 5.750 % 6/15/17 28,875 30,789
Wachovia Corp. 5.750 % 2/1/18 1,325 1,406
Wachovia Corp. 6.605 % 10/1/25 175 175
Wachovia Corp. 7.500 % 4/15/35 925 1,024
Wachovia Corp. 5.500 % 8/1/35 3,325 2,912
Wachovia Corp. 6.550 % 10/15/35 625 624
Wells Fargo & Co. 4.875 % 1/12/11 11,196 11,559
Wells Fargo & Co. 6.375 % 8/1/11 1,575 1,670
Wells Fargo & Co. 5.300 % 8/26/11 9,125 9,619
Wells Fargo & Co. 5.125 % 9/1/12 3,450 3,674
Wells Fargo & Co. 5.250 % 10/23/12 33,525 36,103
Wells Fargo & Co. 4.375 % 1/31/13 9,775 10,291
Wells Fargo & Co. 4.950 % 10/16/13 3,825 4,041
Wells Fargo & Co. 5.000 % 11/15/14 96 101
Wells Fargo & Co. 3.625 % 4/15/15 4,675 4,670
Wells Fargo & Co. 5.625 % 12/11/17 31,375 33,219
Wells Fargo & Co. 5.375 % 2/7/35 4,675 4,381
Wells Fargo Bank NA 4.750 % 2/9/15 13,825 14,352
Wells Fargo Bank NA 5.750 % 5/16/16 7,725 8,307
Wells Fargo Bank NA 5.950 % 8/26/36 10,375 9,888
Wells Fargo Capital X 5.950 % 12/15/36 2,500 2,249
3 Wells Fargo Capital XIII 7.700 % 12/29/49 11,525 11,871
3 Wells Fargo Capital XV 9.750 % 12/29/49 6,575 7,364
Wells Fargo Financial Inc. 5.500 % 8/1/12 3,425 3,684
Westpac Banking Corp. 2.250 % 11/19/12 9,125 9,189
Westpac Banking Corp. 4.200 % 2/27/15 21,650 22,263
Westpac Banking Corp. 4.875 % 11/19/19 10,825 10,671
 
Brokerage (0.1%)          
Ameriprise Financial Inc. 5.650 % 11/15/15 4,250 4,595
Ameriprise Financial Inc. 7.300 % 6/28/19 400 463
Ameriprise Financial Inc. 5.300 % 3/15/20 1,325 1,337
3 Ameriprise Financial Inc. 7.518 % 6/1/66 925 900
BlackRock Inc. 2.250 % 12/10/12 5,300 5,355
BlackRock Inc. 3.500 % 12/10/14 4,275 4,323
BlackRock Inc. 6.250 % 9/15/17 3,375 3,682
BlackRock Inc. 5.000 % 12/10/19 625 623
Charles Schwab Corp. 4.950 % 6/1/14 10,850 11,614
4 FMR LLC 7.490 % 6/15/19 800 905
Invesco Ltd. 5.375 % 2/27/13 25 26


Jefferies Group Inc. 8.500 % 7/15/19 1,225 1,364
Jefferies Group Inc. 6.450 % 6/8/27 13,500 12,038
Jefferies Group Inc. 6.250 % 1/15/36 7,025 5,960
Lazard Group LLC 6.850 % 6/15/17 7,650 7,743
Nomura Holdings Inc. 5.000 % 3/4/15 6,825 6,951
Nomura Holdings Inc. 6.700 % 3/4/20 4,350 4,504
TD Ameritrade Holding Corp. 2.950 % 12/1/12 2,025 2,052
TD Ameritrade Holding Corp. 4.150 % 12/1/14 2,725 2,740
TD Ameritrade Holding Corp. 5.600 % 12/1/19 2,425 2,448
 
Finance Companies (0.8%)          
Block Financial LLC 7.875 % 1/15/13 1,675 1,888
Block Financial LLC 5.125 % 10/30/14 6,350 6,594
Discover Financial Services 6.450 % 6/12/17 925 916
GATX Corp. 4.750 % 10/1/12 2,650 2,765
General Electric Capital Corp. 4.250 % 9/13/10 3,700 3,761
General Electric Capital Corp. 5.500 % 4/28/11 5,525 5,807
General Electric Capital Corp. 5.000 % 11/15/11 12,155 12,821
General Electric Capital Corp. 4.375 % 11/21/11 1,550 1,622
General Electric Capital Corp. 5.875 % 2/15/12 16,386 17,605
General Electric Capital Corp. 4.375 % 3/3/12 12,450 13,048
General Electric Capital Corp. 5.000 % 4/10/12 150 159
General Electric Capital Corp. 6.000 % 6/15/12 25,569 27,693
General Electric Capital Corp. 3.500 % 8/13/12 17,100 17,674
General Electric Capital Corp. 5.250 % 10/19/12 49,090 52,636
General Electric Capital Corp. 2.800 % 1/8/13 10,500 10,639
General Electric Capital Corp. 5.450 % 1/15/13 8,650 9,354
General Electric Capital Corp. 4.800 % 5/1/13 21,925 23,338
General Electric Capital Corp. 5.900 % 5/13/14 8,175 9,000
General Electric Capital Corp. 5.500 % 6/4/14 14,400 15,539
General Electric Capital Corp. 5.650 % 6/9/14 9,000 9,676
General Electric Capital Corp. 3.750 % 11/14/14 24,925 25,197
General Electric Capital Corp. 4.375 % 9/21/15 2,900 2,983
General Electric Capital Corp. 5.400 % 2/15/17 27,800 29,038
General Electric Capital Corp. 5.625 % 9/15/17 5,850 6,155
General Electric Capital Corp. 5.625 % 5/1/18 30,500 31,786
General Electric Capital Corp. 6.000 % 8/7/19 11,650 12,302
General Electric Capital Corp. 5.500 % 1/8/20 3,900 3,972
General Electric Capital Corp. 6.750 % 3/15/32 36,931 39,039
General Electric Capital Corp. 6.150 % 8/7/37 15,400 14,968
General Electric Capital Corp. 5.875 % 1/14/38 37,300 35,382
General Electric Capital Corp. 6.875 % 1/10/39 18,725 20,099
3 General Electric Capital Corp. 6.375 % 11/15/67 11,950 11,233
3 HSBC Finance Capital Trust IX 5.911 % 11/30/35 2,125 1,902
HSBC Finance Corp. 5.700 % 6/1/11 18,375 19,170
HSBC Finance Corp. 6.375 % 10/15/11 2,575 2,740
HSBC Finance Corp. 7.000 % 5/15/12 12,770 13,956
HSBC Finance Corp. 5.900 % 6/19/12 3,100 3,335
HSBC Finance Corp. 6.375 % 11/27/12 18,227 19,972
HSBC Finance Corp. 4.750 % 7/15/13 1,575 1,654
HSBC Finance Corp. 5.250 % 1/15/14 7,225 7,605
HSBC Finance Corp. 5.000 % 6/30/15 22,400 23,274
HSBC Finance Corp. 5.500 % 1/19/16 1,521 1,595
SLM Corp. 5.400 % 10/25/11 18,600 18,800
SLM Corp. 5.375 % 1/15/13 4,175 4,154
SLM Corp. 5.000 % 10/1/13 4,285 4,122
SLM Corp. 5.375 % 5/15/14 1,800 1,712
SLM Corp. 5.050 % 11/14/14 2,235 2,068


SLM Corp. 5.000 % 4/15/15 10 9
SLM Corp. 8.450 % 6/15/18 17,500 17,668
SLM Corp. 8.000 % 3/25/20 5,950 5,786
SLM Corp. 5.625 % 8/1/33 6,220 4,778
 
Insurance (1.1%)          
ACE Capital Trust II 9.700 % 4/1/30 2,035 2,380
ACE INA Holdings Inc. 5.875 % 6/15/14 900 991
ACE INA Holdings Inc. 5.600 % 5/15/15 5,925 6,470
ACE INA Holdings Inc. 5.700 % 2/15/17 2,930 3,147
ACE INA Holdings Inc. 5.800 % 3/15/18 1,700 1,830
ACE INA Holdings Inc. 5.900 % 6/15/19 1,950 2,118
AEGON Funding Co. LLC 5.750 % 12/15/20 1,075 1,057
Aegon NV 4.750 % 6/1/13 1,900 1,996
Aetna Inc. 5.750 % 6/15/11 1,200 1,259
Aetna Inc. 6.000 % 6/15/16 10,025 10,963
Aetna Inc. 6.500 % 9/15/18 2,175 2,424
Aetna Inc. 6.625 % 6/15/36 3,425 3,605
Aetna Inc. 6.750 % 12/15/37 5,625 5,980
Aflac Inc. 8.500 % 5/15/19 500 599
Aflac Inc. 6.900 % 12/17/39 825 850
Allied World Assurance Co. Holdings Ltd. 7.500 % 8/1/16 15,503 16,643
Allstate Corp. 6.125 % 2/15/12 2,590 2,797
Allstate Corp. 5.000 % 8/15/14 6,125 6,559
Allstate Corp. 6.125 % 12/15/32 2,450 2,483
Allstate Corp. 5.350 % 6/1/33 895 821
Allstate Corp. 5.550 % 5/9/35 2,336 2,239
3 Allstate Corp. 6.125 % 5/15/37 2,831 2,689
3 Allstate Corp. 6.500 % 5/15/57 5,350 5,142
Allstate Life Global Funding Trusts 5.375 % 4/30/13 11,200 12,193
American Financial Group Inc. 9.875 % 6/15/19 2,225 2,614
American International Group Inc. 5.375 % 10/18/11 3,475 3,575
American International Group Inc. 4.950 % 3/20/12 6,080 6,186
American International Group Inc. 4.250 % 5/15/13 18,551 18,087
American International Group Inc. 5.050 % 10/1/15 3,200 2,968
American International Group Inc. 5.600 % 10/18/16 2,000 1,850
American International Group Inc. 5.450 % 5/18/17 7,425 6,803
American International Group Inc. 5.850 % 1/16/18 12,550 11,640
American International Group Inc. 8.250 % 8/15/18 3,325 3,466
American International Group Inc. 6.250 % 5/1/36 13,860 11,937
AON Corp. 8.205 % 1/1/27 1,025 1,076
Arch Capital Group Ltd. 7.350 % 5/1/34 2,875 2,941
Assurant Inc. 5.625 % 2/15/14 3,225 3,347
Assurant Inc. 6.750 % 2/15/34 3,715 3,547
AXA SA 8.600 % 12/15/30 10,295 12,379
Axis Capital Holdings Ltd. 5.750 % 12/1/14 2,150 2,237
Axis Specialty Finance LLC 5.875 % 6/1/20 16,225 15,973
Berkshire Hathaway Finance Corp. 4.000 % 4/15/12 2,000 2,105
Berkshire Hathaway Finance Corp. 4.600 % 5/15/13 9,958 10,656
Berkshire Hathaway Finance Corp. 5.000 % 8/15/13 18,025 19,649
Berkshire Hathaway Finance Corp. 4.850 % 1/15/15 5,580 6,012
Berkshire Hathaway Finance Corp. 5.400 % 5/15/18 11,750 12,434
Berkshire Hathaway Finance Corp. 5.750 % 1/15/40 5,325 5,274
Berkshire Hathaway Inc. 1.400 % 2/10/12 8,875 8,926
Berkshire Hathaway Inc. 2.125 % 2/11/13 8,875 8,942
Berkshire Hathaway Inc. 3.200 % 2/11/15 8,925 9,008
Chubb Corp. 5.200 % 4/1/13 1,575 1,697
Chubb Corp. 5.750 % 5/15/18 5,775 6,247


Chubb Corp. 6.000 % 5/11/37 6,250 6,362
Chubb Corp. 6.500 % 5/15/38 1,900 2,065
3 Chubb Corp. 6.375 % 3/29/67 5,875 5,889
CIGNA Corp. 6.350 % 3/15/18 1,125 1,202
CIGNA Corp. 7.875 % 5/15/27 1,025 1,150
CIGNA Corp. 6.150 % 11/15/36 5,675 5,483
Cincinnati Financial Corp. 6.920 % 5/15/28 625 622
Cincinnati Financial Corp. 6.125 % 11/1/34 3,500 3,118
CNA Financial Corp. 6.000 % 8/15/11 6,100 6,364
CNA Financial Corp. 5.850 % 12/15/14 4,025 4,075
CNA Financial Corp. 6.500 % 8/15/16 5,675 5,783
CNA Financial Corp. 7.350 % 11/15/19 125 130
Commerce Group Inc. 5.950 % 12/9/13 1,375 1,384
Coventry Health Care Inc. 6.300 % 8/15/14 9,515 9,630
Endurance Specialty Holdings Ltd. 7.000 % 7/15/34 3,375 3,184
Genworth Financial Inc. 5.650 % 6/15/12 3,950 4,098
Genworth Financial Inc. 5.750 % 6/15/14 2,496 2,540
Genworth Financial Inc. 4.950 % 10/1/15 950 917
Genworth Financial Inc. 8.625 % 12/15/16 1,075 1,171
Genworth Financial Inc. 6.500 % 6/15/34 3,275 2,833
Hartford Financial Services Group Inc. 5.250 % 10/15/11 3,900 4,063
Hartford Financial Services Group Inc. 4.625 % 7/15/13 4,125 4,293
Hartford Financial Services Group Inc. 5.500 % 10/15/16 3,075 3,111
Hartford Financial Services Group Inc. 5.375 % 3/15/17 2,600 2,606
Hartford Financial Services Group Inc. 6.300 % 3/15/18 900 941
Hartford Financial Services Group Inc. 6.000 % 1/15/19 1,325 1,354
Hartford Financial Services Group Inc. 5.950 % 10/15/36 2,200 1,993
Hartford Financial Services Group Inc. 6.100 % 10/1/41 3,025 2,710
HCC Insurance Holdings Inc. 6.300 % 11/15/19 4,250 4,410
Humana Inc. 6.450 % 6/1/16 175 182
Humana Inc. 7.200 % 6/15/18 6,075 6,568
Humana Inc. 6.300 % 8/1/18 200 203
Humana Inc. 8.150 % 6/15/38 7,850 8,054
Jefferson-Pilot Corp. 4.750 % 1/30/14 1,600 1,631
Lincoln National Corp. 6.200 % 12/15/11 900 955
Lincoln National Corp. 5.650 % 8/27/12 3,175 3,375
Lincoln National Corp. 6.150 % 4/7/36 6,350 6,061
Loews Corp. 5.250 % 3/15/16 3,200 3,335
Loews Corp. 6.000 % 2/1/35 625 600
Markel Corp. 7.125 % 9/30/19 6,625 7,092
Marsh & McLennan Cos. Inc. 5.150 % 9/15/10 2,500 2,541
Marsh & McLennan Cos. Inc. 6.250 % 3/15/12 400 426
Marsh & McLennan Cos. Inc. 5.375 % 7/15/14 450 465
Marsh & McLennan Cos. Inc. 5.750 % 9/15/15 7,371 7,767
Marsh & McLennan Cos. Inc. 9.250 % 4/15/19 3,300 4,082
Marsh & McLennan Cos. Inc. 5.875 % 8/1/33 300 267
MetLife Inc. 6.125 % 12/1/11 650 696
MetLife Inc. 5.375 % 12/15/12 6,050 6,532
MetLife Inc. 5.000 % 11/24/13 4,125 4,377
MetLife Inc. 5.000 % 6/15/15 3,221 3,380
MetLife Inc. 7.717 % 2/15/19 2,225 2,595
MetLife Inc. 6.500 % 12/15/32 2,700 2,792
MetLife Inc. 6.375 % 6/15/34 2,375 2,422
MetLife Inc. 5.700 % 6/15/35 1,375 1,310
MetLife Inc. 6.400 % 12/15/36 9,735 8,646
4 Metropolitan Life Global Funding I 2.875 % 9/17/12 14,800 14,989
4 Metropolitan Life Global Funding I 5.125 % 6/10/14 3,475 3,701
Nationwide Financial Services 6.750 % 5/15/37 550 462


OneBeacon US Holdings Inc. 5.875 % 5/15/13 1,575 1,626
PartnerRe Finance B LLC 5.500 % 6/1/20 3,875 3,821
Principal Financial Group Inc. 7.875 % 5/15/14 650 739
Principal Financial Group Inc. 8.875 % 5/15/19 4 5
Principal Financial Group Inc. 6.050 % 10/15/36 2,600 2,432
Principal Life Income Funding Trusts 5.300 % 12/14/12 4,300 4,640
Principal Life Income Funding Trusts 5.300 % 4/24/13 5,575 5,971
Principal Life Income Funding Trusts 5.100 % 4/15/14 3,925 4,115
Progressive Corp. 6.375 % 1/15/12 1,750 1,888
Progressive Corp. 6.625 % 3/1/29 4,800 5,044
Progressive Corp. 6.250 % 12/1/32 225 227
3 Progressive Corp. 6.700 % 6/15/37 6,900 6,752
Protective Life Corp. 7.375 % 10/15/19 5,995 6,370
Protective Life Corp. 8.450 % 10/15/39 5,100 5,349
Protective Life Secured Trusts 4.850 % 8/16/10 1,925 1,952
Prudential Financial Inc. 5.100 % 12/14/11 385 405
Prudential Financial Inc. 5.800 % 6/15/12 2,200 2,366
Prudential Financial Inc. 3.625 % 9/17/12 7,550 7,786
Prudential Financial Inc. 5.150 % 1/15/13 2,145 2,273
Prudential Financial Inc. 4.500 % 7/15/13 6,225 6,524
Prudential Financial Inc. 4.750 % 4/1/14 1,875 1,934
Prudential Financial Inc. 5.100 % 9/20/14 8,641 9,137
Prudential Financial Inc. 3.875 % 1/14/15 11,250 11,266
Prudential Financial Inc. 6.200 % 1/15/15 5,150 5,640
Prudential Financial Inc. 4.750 % 9/17/15 2,825 2,908
Prudential Financial Inc. 5.500 % 3/15/16 675 712
Prudential Financial Inc. 6.100 % 6/15/17 1,050 1,107
Prudential Financial Inc. 6.000 % 12/1/17 3,750 3,978
Prudential Financial Inc. 5.750 % 7/15/33 1,575 1,476
Prudential Financial Inc. 5.400 % 6/13/35 1,975 1,760
Prudential Financial Inc. 5.900 % 3/17/36 3,750 3,575
Prudential Financial Inc. 5.700 % 12/14/36 20,350 19,241
3 Reinsurance Group of America Inc. 6.750 % 12/15/65 425 390
Swiss Re Solutions Holding Corp. 6.450 % 3/1/19 1,325 1,358
Swiss Re Solutions Holding Corp. 7.000 % 2/15/26 3,450 3,477
Swiss Re Solutions Holding Corp. 7.750 % 6/15/30 5,975 6,376
Torchmark Corp. 6.375 % 6/15/16 3,500 3,559
Transatlantic Holdings Inc. 8.000 % 11/30/39 6,200 6,330
Travelers Cos. Inc. 5.375 % 6/15/12 200 216
Travelers Cos. Inc. 5.500 % 12/1/15 1,425 1,563
Travelers Cos. Inc. 6.250 % 6/20/16 2,625 2,906
Travelers Cos. Inc. 5.750 % 12/15/17 3,825 4,137
Travelers Cos. Inc. 5.800 % 5/15/18 150 162
Travelers Cos. Inc. 5.900 % 6/2/19 11,000 11,986
3 Travelers Cos. Inc. 6.250 % 3/15/37 2,509 2,463
Travelers Cos. Inc. 6.250 % 6/15/37 11,625 12,227
Travelers Property Casualty Corp. 6.375 % 3/15/33 325 341
UnitedHealth Group Inc. 5.500 % 11/15/12 7,600 8,226
UnitedHealth Group Inc. 4.875 % 2/15/13 2,350 2,504
UnitedHealth Group Inc. 4.875 % 4/1/13 2,350 2,511
UnitedHealth Group Inc. 5.000 % 8/15/14 3,975 4,226
UnitedHealth Group Inc. 4.875 % 3/15/15 2,281 2,393
UnitedHealth Group Inc. 6.000 % 6/15/17 7,500 8,035
UnitedHealth Group Inc. 6.000 % 2/15/18 45,855 48,883
UnitedHealth Group Inc. 5.800 % 3/15/36 2,175 2,033
UnitedHealth Group Inc. 6.500 % 6/15/37 1,850 1,906
UnitedHealth Group Inc. 6.625 % 11/15/37 3,975 4,103
UnitedHealth Group Inc. 6.875 % 2/15/38 6,175 6,566


Unum Group 7.125 % 9/30/16 3,425 3,709
Validus Holdings Ltd. 8.875 % 1/26/40 3,000 3,067
WellPoint Health Networks Inc. 6.375 % 1/15/12 3,090 3,339
WellPoint Inc. 5.000 % 1/15/11 4,900 5,051
WellPoint Inc. 6.800 % 8/1/12 2,085 2,308
WellPoint Inc. 6.000 % 2/15/14 2,750 3,018
WellPoint Inc. 5.000 % 12/15/14 3,525 3,761
WellPoint Inc. 5.250 % 1/15/16 1,836 1,940
WellPoint Inc. 5.875 % 6/15/17 245 263
WellPoint Inc. 5.950 % 12/15/34 6,075 5,909
WellPoint Inc. 5.850 % 1/15/36 5,960 5,718
WellPoint Inc. 6.375 % 6/15/37 1,030 1,058
Willis North America Inc. 5.625 % 7/15/15 3,825 3,892
Willis North America Inc. 6.200 % 3/28/17 2,495 2,518
Willis North America Inc. 7.000 % 9/29/19 20,300 21,105
XL Capital Ltd. 5.250 % 9/15/14 4,625 4,806
XL Capital Ltd. 6.375 % 11/15/24 525 518
XL Capital Ltd. 6.250 % 5/15/27 8,025 7,530
 
Other Finance (0.1%)          
CME Group Inc. 5.400 % 8/1/13 8,450 9,225
CME Group Inc. 5.750 % 2/15/14 3,225 3,540
NASDAQ OMX Group Inc. 4.000 % 1/15/15 3,275 3,261
NASDAQ OMX Group Inc. 5.550 % 1/15/20 2,500 2,484
ORIX Corp. 5.480 % 11/22/11 5,075 5,238
XTRA Finance Corp. 5.150 % 4/1/17 12,925 13,476
 
Real Estate Investment Trusts (0.3%)          
AMB Property LP 6.625 % 12/1/19 1,750 1,786
Arden Realty LP 5.250 % 3/1/15 925 967
AvalonBay Communities Inc. 5.500 % 1/15/12 1,081 1,134
AvalonBay Communities Inc. 6.125 % 11/1/12 422 458
AvalonBay Communities Inc. 5.750 % 9/15/16 825 871
Boston Properties LP 6.250 % 1/15/13 4,186 4,548
Boston Properties LP 5.625 % 4/15/15 4,250 4,504
Brandywine Operating Partnership LP 5.750 % 4/1/12 1,481 1,538
Brandywine Operating Partnership LP 5.400 % 11/1/14 1,000 1,009
Brandywine Operating Partnership LP 7.500 % 5/15/15 3,950 4,266
Brandywine Operating Partnership LP 5.700 % 5/1/17 380 361
Camden Property Trust 5.700 % 5/15/17 5,025 4,943
Duke Realty LP 6.250 % 5/15/13 800 848
Duke Realty LP 7.375 % 2/15/15 8,750 9,527
Duke Realty LP 5.950 % 2/15/17 4,525 4,444
Duke Realty LP 8.250 % 8/15/19 3,600 3,995
Duke Realty LP 6.750 % 3/15/20 1,025 1,045
ERP Operating LP 6.625 % 3/15/12 4,045 4,379
ERP Operating LP 5.500 % 10/1/12 3,050 3,244
ERP Operating LP 5.250 % 9/15/14 1,700 1,774
ERP Operating LP 5.125 % 3/15/16 825 848
ERP Operating LP 5.375 % 8/1/16 2,975 3,042
ERP Operating LP 5.750 % 6/15/17 1,250 1,291
HCP Inc. 6.450 % 6/25/12 4,525 4,817
HCP Inc. 5.650 % 12/15/13 9,655 10,064
HCP Inc. 6.300 % 9/15/16 2,640 2,694
HCP Inc. 6.000 % 1/30/17 1,700 1,696
HCP Inc. 5.625 % 5/1/17 100 98
HCP Inc. 6.700 % 1/30/18 6,200 6,319
Health Care REIT Inc. 6.000 % 11/15/13 2,175 2,326


Health Care REIT Inc. 6.200 % 6/1/16 9,300 9,899
Healthcare Realty Trust Inc. 5.125 % 4/1/14 1,525 1,499
Healthcare Realty Trust Inc. 6.500 % 1/17/17 2,800 2,907
Hospitality Properties Trust 7.875 % 8/15/14 3,550 3,841
Hospitality Properties Trust 5.125 % 2/15/15 5,170 5,007
HRPT Properties Trust 6.250 % 8/15/16 1,425 1,442
HRPT Properties Trust 6.250 % 6/15/17 5,075 5,007
Kimco Realty Corp. 5.783 % 3/15/16 1,075 1,110
Kimco Realty Corp. 6.875 % 10/1/19 6,650 7,084
Liberty Property LP 5.125 % 3/2/15 8,400 8,334
Liberty Property LP 5.500 % 12/15/16 1,975 1,954
Mack-Cali Realty LP 7.750 % 8/15/19 2,200 2,425
National Retail Properties Inc. 6.875 % 10/15/17 11,000 11,266
Nationwide Health Properties Inc. 6.250 % 2/1/13 4,150 4,419
ProLogis 7.625 % 8/15/14 600 656
ProLogis 5.625 % 11/15/15 3,100 3,069
ProLogis 5.750 % 4/1/16 2,725 2,683
ProLogis 5.625 % 11/15/16 3,300 3,167
ProLogis 7.375 % 10/30/19 5,100 5,252
ProLogis 6.875 % 3/15/20 3,000 2,954
Realty Income Corp. 6.750 % 8/15/19 6,310 6,583
Regency Centers LP 6.750 % 1/15/12 6,250 6,625
Regency Centers LP 5.250 % 8/1/15 2,175 2,176
Simon Property Group LP 4.875 % 8/15/10 6,275 6,357
Simon Property Group LP 5.300 % 5/30/13 2,710 2,859
Simon Property Group LP 6.750 % 5/15/14 12,380 13,570
Simon Property Group LP 5.625 % 8/15/14 150 159
Simon Property Group LP 4.200 % 2/1/15 1,550 1,549
Simon Property Group LP 5.100 % 6/15/15 36 37
Simon Property Group LP 5.750 % 12/1/15 15,600 16,461
Simon Property Group LP 6.100 % 5/1/16 50 53
Simon Property Group LP 5.250 % 12/1/16 8,600 8,512
Simon Property Group LP 5.875 % 3/1/17 3,250 3,322
Simon Property Group LP 6.125 % 5/30/18 4,525 4,639
Simon Property Group LP 5.650 % 2/1/20 3,700 3,606
Simon Property Group LP 6.750 % 2/1/40 7,300 7,191
Tanger Properties LP 6.150 % 11/15/15 3,525 3,656
          5,432,721
Industrial (10.5%)          
Basic Industry (1.0%)          
Agrium Inc. 6.750 % 1/15/19 7,100 7,802
Airgas Inc. 4.500 % 9/15/14 2,325 2,399
Alcoa Inc. 6.000 % 1/15/12 3,331 3,518
Alcoa Inc. 5.375 % 1/15/13 4,010 4,207
Alcoa Inc. 6.000 % 7/15/13 10,975 11,670
Alcoa Inc. 5.550 % 2/1/17 500 503
Alcoa Inc. 6.750 % 7/15/18 200 207
Alcoa Inc. 5.720 % 2/23/19 5,288 5,122
Alcoa Inc. 5.870 % 2/23/22 1,437 1,309
Alcoa Inc. 5.900 % 2/1/27 5,275 4,660
Alcoa Inc. 6.750 % 1/15/28 13,550 12,600
Alcoa Inc. 5.950 % 2/1/37 7,000 5,707
Allegheny Technologies Inc. 9.375 % 6/1/19 25 29
ArcelorMittal 5.375 % 6/1/13 11,150 11,828
ArcelorMittal 9.000 % 2/15/15 13,425 16,051
ArcelorMittal 6.125 % 6/1/18 9,025 9,419
ArcelorMittal 9.850 % 6/1/19 12,350 15,676


ArcelorMittal 7.000 % 10/15/39 5,460 5,586
Barrick Australian Finance Pty Ltd. 5.950 % 10/15/39 2,675 2,669
Barrick Gold Corp. 6.950 % 4/1/19 150 171
Barrick Gold Finance Co. 4.875 % 11/15/14 2,700 2,872
Barrick Gold Financeco LLC 6.125 % 9/15/13 13,025 14,551
Barrick North America Finance LLC 6.800 % 9/15/18 5,325 6,048
Barrick North America Finance LLC 7.500 % 9/15/38 6,475 7,625
BHP Billiton Finance USA Ltd. 5.125 % 3/29/12 3,350 3,584
BHP Billiton Finance USA Ltd. 8.500 % 12/1/12 125 146
BHP Billiton Finance USA Ltd. 4.800 % 4/15/13 7,451 8,004
BHP Billiton Finance USA Ltd. 5.500 % 4/1/14 8,865 9,787
BHP Billiton Finance USA Ltd. 5.250 % 12/15/15 3,575 3,927
BHP Billiton Finance USA Ltd. 5.400 % 3/29/17 25 27
BHP Billiton Finance USA Ltd. 6.500 % 4/1/19 19,500 22,243
Celulosa Arauco y Constitucion SA 5.125 % 7/9/13 1,175 1,215
Celulosa Arauco y Constitucion SA 5.625 % 4/20/15 2,450 2,539
Cliffs Natural Resources Inc. 5.900 % 3/15/20 850 867
Commercial Metals Co. 6.500 % 7/15/17 2,250 2,284
Commercial Metals Co. 7.350 % 8/15/18 5,725 6,003
Cytec Industries Inc. 8.950 % 7/1/17 1,575 1,897
Dow Chemical Co. 4.850 % 8/15/12 16,630 17,565
Dow Chemical Co. 6.000 % 10/1/12 1,680 1,820
Dow Chemical Co. 7.600 % 5/15/14 12,500 14,302
Dow Chemical Co. 5.900 % 2/15/15 33,175 35,934
Dow Chemical Co. 8.550 % 5/15/19 8,937 10,788
Dow Chemical Co. 7.375 % 11/1/29 3,550 3,927
Dow Chemical Co. 9.400 % 5/15/39 2,125 2,833
Eastman Chemical Co. 5.500 % 11/15/19 2,200 2,252
Eastman Chemical Co. 7.250 % 1/15/24 925 1,036
Eastman Chemical Co. 7.600 % 2/1/27 2,163 2,417
EI du Pont de Nemours & Co. 4.750 % 11/15/12 3,320 3,566
EI du Pont de Nemours & Co. 5.000 % 1/15/13 19,000 20,514
EI du Pont de Nemours & Co. 5.000 % 7/15/13 7,075 7,632
EI du Pont de Nemours & Co. 5.875 % 1/15/14 9,125 10,148
EI du Pont de Nemours & Co. 5.250 % 12/15/16 686 738
EI du Pont de Nemours & Co. 6.000 % 7/15/18 6,725 7,467
EI du Pont de Nemours & Co. 4.625 % 1/15/20 2,750 2,771
EI du Pont de Nemours & Co. 6.500 % 1/15/28 1,700 1,864
Freeport-McMoRan Copper & Gold Inc. 8.250 % 4/1/15 9,620 10,438
Freeport-McMoRan Copper & Gold Inc. 8.375 % 4/1/17 20,610 22,877
ICI Wilmington Inc. 5.625 % 12/1/13 700 747
International Paper Co. 5.300 % 4/1/15 4,600 4,862
International Paper Co. 7.950 % 6/15/18 14,475 16,856
International Paper Co. 9.375 % 5/15/19 9,800 12,225
International Paper Co. 7.500 % 8/15/21 22,200 25,140
International Paper Co. 7.300 % 11/15/39 625 667
Lubrizol Corp. 5.500 % 10/1/14 10,125 10,969
Lubrizol Corp. 8.875 % 2/1/19 850 1,068
Lubrizol Corp. 6.500 % 10/1/34 8,485 8,679
Monsanto Co. 7.375 % 8/15/12 1,050 1,185
Monsanto Co. 5.125 % 4/15/18 3,100 3,276
Monsanto Co. 5.875 % 4/15/38 1,750 1,789
4 Mosaic Co. 7.375 % 12/1/14 5,200 5,557
Newmont Mining Corp. 5.125 % 10/1/19 1,550 1,561
Newmont Mining Corp. 5.875 % 4/1/35 2,600 2,488
Newmont Mining Corp. 6.250 % 10/1/39 10,225 10,229
Nucor Corp. 5.000 % 12/1/12 800 866
Nucor Corp. 5.000 % 6/1/13 200 215


Nucor Corp. 5.750 % 12/1/17 1,100 1,189
Nucor Corp. 5.850 % 6/1/18 4,800 5,192
Nucor Corp. 6.400 % 12/1/37 3,575 3,845
Placer Dome Inc. 6.450 % 10/15/35 2,175 2,225
Plum Creek Timberlands LP 5.875 % 11/15/15 3,550 3,702
Potash Corp. of Saskatchewan Inc. 7.750 % 5/31/11 8,875 9,531
Potash Corp. of Saskatchewan Inc. 4.875 % 3/1/13 3,950 4,213
Potash Corp. of Saskatchewan Inc. 5.250 % 5/15/14 775 838
Potash Corp. of Saskatchewan Inc. 3.750 % 9/30/15 5,350 5,397
Potash Corp. of Saskatchewan Inc. 4.875 % 3/30/20 7,050 7,029
Potash Corp. of Saskatchewan Inc. 5.875 % 12/1/36 775 760
PPG Industries Inc. 5.750 % 3/15/13 3,850 4,171
PPG Industries Inc. 6.650 % 3/15/18 8,650 9,616
Praxair Inc. 6.375 % 4/1/12 1,725 1,891
Praxair Inc. 1.750 % 11/15/12 2,400 2,401
Praxair Inc. 3.950 % 6/1/13 775 815
Praxair Inc. 4.375 % 3/31/14 2,775 2,957
Praxair Inc. 5.250 % 11/15/14 6,850 7,500
Praxair Inc. 4.625 % 3/30/15 325 347
Praxair Inc. 3.250 % 9/15/15 800 801
Praxair Inc. 5.200 % 3/15/17 1,100 1,160
Praxair Inc. 4.500 % 8/15/19 2,525 2,538
Reliance Steel & Aluminum Co. 6.200 % 11/15/16 250 258
Reliance Steel & Aluminum Co. 6.850 % 11/15/36 550 480
Rio Tinto Alcan Inc. 4.875 % 9/15/12 1,150 1,213
Rio Tinto Alcan Inc. 4.500 % 5/15/13 5,875 6,171
Rio Tinto Alcan Inc. 5.200 % 1/15/14 675 713
Rio Tinto Alcan Inc. 5.000 % 6/1/15 900 945
Rio Tinto Alcan Inc. 6.125 % 12/15/33 10,625 10,972
Rio Tinto Finance USA Ltd. 5.875 % 7/15/13 12,120 13,272
Rio Tinto Finance USA Ltd. 8.950 % 5/1/14 13,900 16,753
Rio Tinto Finance USA Ltd. 6.500 % 7/15/18 9,250 10,377
Rio Tinto Finance USA Ltd. 9.000 % 5/1/19 11,361 14,533
Rio Tinto Finance USA Ltd. 7.125 % 7/15/28 4,450 5,066
Rohm and Haas Co. 5.600 % 3/15/13 150 161
Rohm and Haas Co. 6.000 % 9/15/17 8,475 8,924
Sherwin-Williams Co. 3.125 % 12/15/14 3,225 3,239
Southern Copper Corp. 7.500 % 7/27/35 9,100 9,293
Vale Inco Ltd. 7.750 % 5/15/12 160 175
Vale Inco Ltd. 5.700 % 10/15/15 3,550 3,665
Vale Inco Ltd. 7.200 % 9/15/32 1,175 1,192
Vale Overseas Ltd. 6.250 % 1/11/16 2,050 2,222
Vale Overseas Ltd. 6.250 % 1/23/17 4,550 4,895
Vale Overseas Ltd. 5.625 % 9/15/19 4,500 4,701
Vale Overseas Ltd. 8.250 % 1/17/34 2,450 2,863
Vale Overseas Ltd. 6.875 % 11/21/36 13,972 14,554
Vale Overseas Ltd. 6.875 % 11/10/39 7,670 7,940
Valspar Corp. 7.250 % 6/15/19 1,100 1,243
WMC Finance USA Ltd. 5.125 % 5/15/13 425 462
Xstrata Canada Corp. 7.350 % 6/5/12 1,075 1,176
Xstrata Canada Corp. 7.250 % 7/15/12 3,325 3,637
Xstrata Canada Corp. 5.375 % 6/1/15 350 370
Xstrata Canada Corp. 6.000 % 10/15/15 1,125 1,228
Xstrata Canada Corp. 5.500 % 6/15/17 5,575 5,547
 
Capital Goods (1.0%)          
3M Co. 4.500 % 11/1/11 425 448
3M Co. 6.375 % 2/15/28 3,650 4,024


3M Co. 5.700 % 3/15/37 5,000 5,163
4 Acuity Brands Lighting Inc. 6.000 % 12/15/19 2,975 2,914
Allied Waste North America Inc. 7.125 % 5/15/16 4,150 4,515
4 BAE Systems Holdings Inc. 5.200 % 8/15/15 600 626
Bemis Co. Inc. 4.875 % 4/1/12 1,375 1,428
Bemis Co. Inc. 5.650 % 8/1/14 2,625 2,828
Black & Decker Corp. 7.125 % 6/1/11 625 662
Black & Decker Corp. 8.950 % 4/15/14 1,700 2,022
Black & Decker Corp. 5.750 % 11/15/16 2,325 2,548
Boeing Capital Corp. 6.500 % 2/15/12 12,775 13,970
Boeing Capital Corp. 5.800 % 1/15/13 336 370
Boeing Capital Corp. 3.250 % 10/27/14 700 705
Boeing Co. 1.875 % 11/20/12 6,885 6,910
Boeing Co. 3.500 % 2/15/15 14,150 14,417
Boeing Co. 6.000 % 3/15/19 25 27
Boeing Co. 4.875 % 2/15/20 3,200 3,273
Boeing Co. 8.750 % 8/15/21 800 1,040
Boeing Co. 7.250 % 6/15/25 2,125 2,430
Boeing Co. 8.750 % 9/15/31 850 1,141
Boeing Co. 6.125 % 2/15/33 800 836
Boeing Co. 6.625 % 2/15/38 1,820 2,036
Boeing Co. 6.875 % 3/15/39 3,475 4,037
Boeing Co. 5.875 % 2/15/40 2,650 2,710
Caterpillar Financial Services Corp. 5.125 % 10/12/11 600 635
Caterpillar Financial Services Corp. 4.850 % 12/7/12 300 323
Caterpillar Financial Services Corp. 1.900 % 12/17/12 1,850 1,860
Caterpillar Financial Services Corp. 4.250 % 2/8/13 4,175 4,439
Caterpillar Financial Services Corp. 6.125 % 2/17/14 17,175 19,325
Caterpillar Financial Services Corp. 4.750 % 2/17/15 4,550 4,867
Caterpillar Financial Services Corp. 4.625 % 6/1/15 2,625 2,732
Caterpillar Financial Services Corp. 7.150 % 2/15/19 39,300 46,073
Caterpillar Inc. 7.000 % 12/15/13 1,575 1,816
Caterpillar Inc. 6.625 % 7/15/28 650 715
Caterpillar Inc. 7.300 % 5/1/31 1,025 1,214
Caterpillar Inc. 6.050 % 8/15/36 17,625 18,472
Caterpillar Inc. 8.250 % 12/15/38 800 1,066
Caterpillar Inc. 6.950 % 5/1/42 950 1,061
Caterpillar Inc. 7.375 % 3/1/97 5,100 5,571
Cooper US Inc. 5.250 % 11/15/12 4,250 4,584
Cooper US Inc. 5.450 % 4/1/15 1,925 2,090
CRH America Inc. 5.625 % 9/30/11 3,650 3,832
CRH America Inc. 6.950 % 3/15/12 5,185 5,652
CRH America Inc. 5.300 % 10/15/13 875 931
CRH America Inc. 6.000 % 9/30/16 12,511 13,423
CRH America Inc. 8.125 % 7/15/18 11,750 13,834
Danaher Corp. 5.625 % 1/15/18 2,375 2,559
Danaher Corp. 5.400 % 3/1/19 1,700 1,809
Deere & Co. 6.950 % 4/25/14 5,945 6,919
Deere & Co. 4.375 % 10/16/19 4,775 4,746
Deere & Co. 5.375 % 10/16/29 4,275 4,249
Deere & Co. 8.100 % 5/15/30 3,405 4,320
Deere & Co. 7.125 % 3/3/31 925 1,093
Dover Corp. 5.450 % 3/15/18 6,650 7,062
Dover Corp. 5.375 % 10/15/35 550 530
Dover Corp. 6.600 % 3/15/38 2,750 3,096
Eaton Corp. 4.900 % 5/15/13 4,250 4,534
Eaton Corp. 5.600 % 5/15/18 2,600 2,777
Embraer Overseas Ltd. 6.375 % 1/24/17 4,625 4,774


Embraer Overseas Ltd. 6.375 % 1/15/20 800 815
Emerson Electric Co. 7.125 % 8/15/10 3,225 3,303
Emerson Electric Co. 4.625 % 10/15/12 6,625 7,088
Emerson Electric Co. 4.500 % 5/1/13 4,025 4,317
Emerson Electric Co. 5.250 % 10/15/18 6,625 7,078
Emerson Electric Co. 4.875 % 10/15/19 1,675 1,752
Emerson Electric Co. 4.250 % 11/15/20 425 418
Emerson Electric Co. 6.125 % 4/15/39 1,575 1,685
Emerson Electric Co. 5.250 % 11/15/39 4,000 3,774
General Dynamics Corp. 4.250 % 5/15/13 7,465 7,968
General Dynamics Corp. 5.250 % 2/1/14 13,575 14,886
General Electric Co. 5.000 % 2/1/13 29,990 32,360
General Electric Co. 5.250 % 12/6/17 39,637 41,588
Goodrich Corp. 6.125 % 3/1/19 550 602
Goodrich Corp. 4.875 % 3/1/20 3,900 3,918
Goodrich Corp. 6.800 % 7/1/36 80 87
Harsco Corp. 5.750 % 5/15/18 5,075 5,015
Honeywell International Inc. 6.125 % 11/1/11 2,650 2,862
Honeywell International Inc. 5.625 % 8/1/12 3,550 3,884
Honeywell International Inc. 4.250 % 3/1/13 1,200 1,270
Honeywell International Inc. 3.875 % 2/15/14 425 444
Honeywell International Inc. 5.400 % 3/15/16 1,650 1,819
Honeywell International Inc. 5.300 % 3/15/17 5,100 5,393
Honeywell International Inc. 5.300 % 3/1/18 650 694
Honeywell International Inc. 5.000 % 2/15/19 1,825 1,896
Honeywell International Inc. 5.700 % 3/15/36 2,025 2,020
Honeywell International Inc. 5.700 % 3/15/37 4,125 4,115
Illinois Tool Works Inc. 5.150 % 4/1/14 4,875 5,347
Illinois Tool Works Inc. 6.250 % 4/1/19 7,425 8,357
Ingersoll-Rand Global Holding Co. Ltd. 6.000 % 8/15/13 4,150 4,554
Ingersoll-Rand Global Holding Co. Ltd. 9.500 % 4/15/14 13,475 16,357
Ingersoll-Rand Global Holding Co. Ltd. 6.875 % 8/15/18 5,825 6,549
John Deere Capital Corp. 5.400 % 10/17/11 5,025 5,349
John Deere Capital Corp. 5.350 % 1/17/12 3,650 3,900
John Deere Capital Corp. 7.000 % 3/15/12 12,493 13,832
John Deere Capital Corp. 5.250 % 10/1/12 850 923
John Deere Capital Corp. 4.950 % 12/17/12 3,450 3,735
John Deere Capital Corp. 4.900 % 9/9/13 8,275 8,951
John Deere Capital Corp. 2.950 % 3/9/15 7,375 7,366
John Deere Capital Corp. 5.500 % 4/13/17 50 54
John Deere Capital Corp. 5.750 % 9/10/18 4,575 4,995
Joy Global Inc. 6.000 % 11/15/16 1,850 1,953
4 L-3 Communications Corp. 5.200 % 10/15/19 4,650 4,644
Lafarge SA 6.150 % 7/15/11 875 914
Lafarge SA 6.500 % 7/15/16 6,625 6,981
Lafarge SA 7.125 % 7/15/36 21,100 21,141
Lockheed Martin Corp. 4.121 % 3/14/13 2,250 2,374
Lockheed Martin Corp. 7.650 % 5/1/16 4,800 5,726
Lockheed Martin Corp. 4.250 % 11/15/19 4,650 4,495
Lockheed Martin Corp. 7.750 % 5/1/26 500 609
Lockheed Martin Corp. 6.150 % 9/1/36 9,650 10,083
Lockheed Martin Corp. 5.500 % 11/15/39 1,850 1,796
Martin Marietta Materials Inc. 6.600 % 4/15/18 5,450 5,786
Northrop Grumman Systems Corp. 7.750 % 3/1/16 725 876
Northrop Grumman Systems Corp. 7.875 % 3/1/26 2,075 2,514
Northrop Grumman Systems Corp. 7.750 % 2/15/31 1,031 1,263
Owens Corning 6.500 % 12/1/16 5,150 5,425
Owens Corning 7.000 % 12/1/36 275 271


  Parker Hannifin Corp. 5.500 % 5/15/18 1,375 1,464
  Parker Hannifin Corp. 6.250 % 5/15/38 1,625 1,722
  Raytheon Co. 5.500 % 11/15/12 2,400 2,634
  Raytheon Co. 6.400 % 12/15/18 400 455
  Raytheon Co. 4.400 % 2/15/20 2,500 2,473
  Raytheon Co. 7.200 % 8/15/27 3,575 4,206
  Republic Services Inc. 6.750 % 8/15/11 1,600 1,704
4 Republic Services Inc. 5.500 % 9/15/19 13,750 14,040
4 Republic Services Inc. 5.000 % 3/1/20 3,075 3,004
4 Republic Services Inc. 5.250 % 11/15/21 11,885 11,678
  Republic Services Inc. 6.086 % 3/15/35 2,375 2,250
4 Republic Services Inc. 6.200 % 3/1/40 3,125 3,056
  Rockwell Automation Inc. 5.650 % 12/1/17 1,150 1,240
  Rockwell Automation Inc. 6.700 % 1/15/28 1,025 1,112
  Rockwell Automation Inc. 6.250 % 12/1/37 3,975 4,182
  Rockwell Collins Inc. 5.250 % 7/15/19 850 892
  Roper Industries Inc. 6.625 % 8/15/13 9,500 10,630
  Roper Industries Inc. 6.250 % 9/1/19 2,350 2,481
3,4 Systems 2001 AT LLC 7.156 % 12/15/11 980 1,026
  Textron Inc. 5.600 % 12/1/17 975 979
  Tyco International Finance SA 6.375 % 10/15/11 9,975 10,686
  Tyco International Finance SA 6.000 % 11/15/13 4,575 5,055
  Tyco International Finance SA 8.500 % 1/15/19 925 1,146
  Tyco International Ltd. / Tyco International          
  Finance SA 7.000 % 12/15/19 2,975 3,407
  Tyco International Ltd. / Tyco International          
  Finance SA 6.875 % 1/15/21 5,700 6,493
  United Technologies Corp. 6.100 % 5/15/12 125 137
  United Technologies Corp. 4.875 % 5/1/15 125 136
  United Technologies Corp. 5.375 % 12/15/17 12,175 13,120
  United Technologies Corp. 6.125 % 2/1/19 733 824
  United Technologies Corp. 4.500 % 4/15/20 8,075 8,104
  United Technologies Corp. 6.700 % 8/1/28 1,317 1,466
  United Technologies Corp. 7.500 % 9/15/29 2,325 2,793
  United Technologies Corp. 5.400 % 5/1/35 6,375 6,125
  United Technologies Corp. 6.050 % 6/1/36 4,950 5,160
  United Technologies Corp. 6.125 % 7/15/38 3,008 3,197
  United Technologies Corp. 5.700 % 4/15/40 7,225 7,289
  Vulcan Materials Co. 6.300 % 6/15/13 2,625 2,883
  Vulcan Materials Co. 7.000 % 6/15/18 4,675 5,105
  Waste Management Inc. 6.375 % 11/15/12 700 773
  Waste Management Inc. 5.000 % 3/15/14 1,175 1,249
  Waste Management Inc. 6.375 % 3/11/15 3,400 3,800
  Waste Management Inc. 7.375 % 3/11/19 9,632 11,148
  Waste Management Inc. 7.100 % 8/1/26 1,050 1,139
  Waste Management Inc. 7.000 % 7/15/28 80 86
  Waste Management Inc. 7.750 % 5/15/32 425 497
  Waste Management Inc. 6.125 % 11/30/39 7,575 7,431
 
  Communication (2.3%)          
  Alltel Corp. 7.000 % 3/15/16 5,000 5,730
  Alltel Corp. 7.875 % 7/1/32 3,700 4,459
  America Movil SAB de CV 5.500 % 3/1/14 2,150 2,313
  America Movil SAB de CV 5.750 % 1/15/15 2,750 3,000
4 America Movil SAB de CV 5.000 % 3/30/20 650 642
  America Movil SAB de CV 6.375 % 3/1/35 9,100 9,212
  America Movil SAB de CV 6.125 % 11/15/37 4,300 4,177
4 America Movil SAB de CV 6.125 % 3/30/40 7,400 7,212


American Tower Corp. 4.625 % 4/1/15 1,075 1,104
AT&T Corp. 7.300 % 11/15/11 7,400 8,106
AT&T Corp. 8.000 % 11/15/31 19,805 24,104
AT&T Inc. 5.875 % 2/1/12 5,736 6,149
AT&T Inc. 5.875 % 8/15/12 4,960 5,420
AT&T Inc. 4.950 % 1/15/13 16,685 17,961
AT&T Inc. 6.700 % 11/15/13 1,125 1,285
AT&T Inc. 4.850 % 2/15/14 8,100 8,706
AT&T Inc. 5.100 % 9/15/14 12,060 13,058
AT&T Inc. 5.625 % 6/15/16 33,520 36,869
AT&T Inc. 5.500 % 2/1/18 1,815 1,923
AT&T Inc. 5.600 % 5/15/18 3,950 4,192
AT&T Inc. 5.800 % 2/15/19 23,425 25,039
AT&T Inc. 6.450 % 6/15/34 5,625 5,751
AT&T Inc. 6.150 % 9/15/34 350 345
AT&T Inc. 6.500 % 9/1/37 22,850 23,540
AT&T Inc. 6.300 % 1/15/38 19,252 19,459
AT&T Inc. 6.400 % 5/15/38 5,270 5,468
AT&T Inc. 6.550 % 2/15/39 17,925 18,596
AT&T Mobility LLC 6.500 % 12/15/11 3,175 3,443
AT&T Mobility LLC 7.125 % 12/15/31 10,265 11,405
Bellsouth Capital Funding Corp. 7.875 % 2/15/30 10,400 12,087
BellSouth Corp. 6.000 % 10/15/11 250 269
BellSouth Corp. 5.200 % 9/15/14 1,650 1,793
BellSouth Corp. 5.200 % 12/15/16 5,850 6,270
BellSouth Corp. 6.875 % 10/15/31 5,100 5,370
BellSouth Corp. 6.550 % 6/15/34 5,550 5,708
BellSouth Corp. 6.000 % 11/15/34 3,311 3,200
BellSouth Telecommunications Inc. 6.375 % 6/1/28 7,300 7,408
British Telecommunications PLC 5.150 % 1/15/13 8,323 8,785
British Telecommunications PLC 5.950 % 1/15/18 11,850 12,135
British Telecommunications PLC 9.625 % 12/15/30 10,885 13,677
CBS Corp. 6.625 % 5/15/11 3,180 3,362
CBS Corp. 5.625 % 8/15/12 3,060 3,283
CBS Corp. 4.625 % 5/15/18 400 379
CBS Corp. 8.875 % 5/15/19 4,575 5,535
CBS Corp. 5.750 % 4/15/20 4,475 4,497
CBS Corp. 7.875 % 7/30/30 1,616 1,774
CBS Corp. 5.500 % 5/15/33 650 558
Cellco Partnership / Verizon Wireless Capital          
LLC 3.750 % 5/20/11 12,500 12,896
Cellco Partnership / Verizon Wireless Capital          
LLC 5.250 % 2/1/12 8,975 9,579
Cellco Partnership / Verizon Wireless Capital          
LLC 7.375 % 11/15/13 21,575 24,981
Cellco Partnership / Verizon Wireless Capital          
LLC 5.550 % 2/1/14 29,467 32,224
Cellco Partnership / Verizon Wireless Capital          
LLC 8.500 % 11/15/18 12,675 15,814
CenturyTel Inc. 5.000 % 2/15/15 500 511
CenturyTel Inc. 6.000 % 4/1/17 325 332
CenturyTel Inc. 6.150 % 9/15/19 2,550 2,535
CenturyTel Inc. 6.875 % 1/15/28 800 750
CenturyTel Inc. 7.600 % 9/15/39 4,875 4,699
Comcast Cable Communications Holdings          
Inc. 8.375 % 3/15/13 2,577 2,996
Comcast Cable Communications Holdings          
Inc. 9.455 % 11/15/22 7,036 9,439


Comcast Cable Communications LLC 6.750 % 1/30/11 10,640 11,119
Comcast Cable Communications LLC 8.875 % 5/1/17 2,475 3,002
Comcast Corp. 5.300 % 1/15/14 4,180 4,507
Comcast Corp. 6.500 % 1/15/15 1,875 2,109
Comcast Corp. 5.900 % 3/15/16 10,475 11,433
Comcast Corp. 6.500 % 1/15/17 325 361
Comcast Corp. 6.300 % 11/15/17 37,875 41,678
Comcast Corp. 5.875 % 2/15/18 13,550 14,509
Comcast Corp. 5.700 % 5/15/18 4,600 4,865
Comcast Corp. 5.700 % 7/1/19 1,150 1,203
Comcast Corp. 5.150 % 3/1/20 800 805
Comcast Corp. 5.650 % 6/15/35 2,975 2,761
Comcast Corp. 6.500 % 11/15/35 15,500 15,856
Comcast Corp. 6.450 % 3/15/37 1,661 1,689
Comcast Corp. 6.950 % 8/15/37 6,650 7,176
Comcast Corp. 6.400 % 5/15/38 1,500 1,516
COX Communications Inc. 7.125 % 10/1/12 8,625 9,651
COX Communications Inc. 5.450 % 12/15/14 10,060 10,898
COX Communications Inc. 5.500 % 10/1/15 625 673
Deutsche Telekom International Finance BV 5.875 % 8/20/13 11,050 12,051
Deutsche Telekom International Finance BV 4.875 % 7/8/14 5,025 5,295
Deutsche Telekom International Finance BV 5.750 % 3/23/16 7,595 8,184
Deutsche Telekom International Finance BV 6.750 % 8/20/18 325 364
Deutsche Telekom International Finance BV 6.000 % 7/8/19 7,175 7,693
Deutsche Telekom International Finance BV 8.750 % 6/15/30 17,816 22,889
4 DIRECTV Holdings LLC 3.550 % 3/15/15 5,525 5,469
4 DIRECTV Holdings LLC 5.200 % 3/15/20 2,800 2,782
4 DIRECTV Holdings LLC 6.350 % 3/15/40 1,875 1,883
4 DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 4.750 % 10/1/14 5,550 5,794
DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 7.625 % 5/15/16 2,000 2,235
4 DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 5.875 % 10/1/19 29,500 30,789
Embarq Corp. 6.738 % 6/1/13 500 545
Embarq Corp. 7.082 % 6/1/16 17,331 18,859
Embarq Corp. 7.995 % 6/1/36 15,140 15,435
France Telecom SA 4.375 % 7/8/14 5,400 5,722
France Telecom SA 8.500 % 3/1/31 16,800 22,333
Grupo Televisa SA 6.625 % 3/18/25 3,450 3,544
Grupo Televisa SA 8.500 % 3/11/32 550 669
Grupo Televisa SA 6.625 % 1/15/40 2,250 2,233
GTE Corp. 8.750 % 11/1/21 3,060 3,803
GTE Corp. 6.940 % 4/15/28 3,570 3,748
Koninklijke KPN NV 8.375 % 10/1/30 3,055 3,812
McGraw-Hill Cos. Inc. 5.375 % 11/15/12 1,550 1,669
McGraw-Hill Cos. Inc. 5.900 % 11/15/17 5,050 5,340
McGraw-Hill Cos. Inc. 6.550 % 11/15/37 6,650 7,126
New Cingular Wireless Services Inc. 8.125 % 5/1/12 25,779 29,113
New Cingular Wireless Services Inc. 8.750 % 3/1/31 3,295 4,218
News America Holdings Inc. 9.250 % 2/1/13 151 178
News America Holdings Inc. 8.000 % 10/17/16 3,840 4,527
News America Holdings Inc. 7.700 % 10/30/25 700 784
News America Holdings Inc. 8.150 % 10/17/36 2,175 2,543
News America Holdings Inc. 7.750 % 12/1/45 1,350 1,569
News America Inc. 5.300 % 12/15/14 4,050 4,422
News America Inc. 7.250 % 5/18/18 150 174
News America Inc. 6.900 % 3/1/19 2,500 2,847


News America Inc. 6.550 % 3/15/33 11,665 12,063
News America Inc. 6.200 % 12/15/34 15,166 15,131
News America Inc. 6.400 % 12/15/35 18,010 18,427
News America Inc. 6.900 % 8/15/39 4,900 5,313
Omnicom Group Inc. 5.900 % 4/15/16 750 809
Pacific Bell Telephone Co. 7.125 % 3/15/26 1,275 1,395
Qwest Corp. 7.875 % 9/1/11 5,050 5,366
Qwest Corp. 8.875 % 3/15/12 4,886 5,326
Qwest Corp. 7.500 % 10/1/14 8,200 8,938
Qwest Corp. 8.375 % 5/1/16 2,800 3,150
Qwest Corp. 6.500 % 6/1/17 3,250 3,388
Qwest Corp. 7.500 % 6/15/23 3,925 3,915
Qwest Corp. 6.875 % 9/15/33 5,250 5,040
Reed Elsevier Capital Inc. 4.625 % 6/15/12 1,100 1,154
Reed Elsevier Capital Inc. 7.750 % 1/15/14 3,825 4,406
Reed Elsevier Capital Inc. 8.625 % 1/15/19 3,775 4,712
Rogers Communications Inc. 7.250 % 12/15/12 3,090 3,501
Rogers Communications Inc. 6.375 % 3/1/14 13,225 14,656
Rogers Communications Inc. 5.500 % 3/15/14 1,450 1,559
Rogers Communications Inc. 6.800 % 8/15/18 32,075 36,368
Rogers Communications Inc. 7.500 % 8/15/38 225 263
RR Donnelley & Sons Co. 4.950 % 4/1/14 1,000 1,008
RR Donnelley & Sons Co. 5.500 % 5/15/15 1,335 1,334
RR Donnelley & Sons Co. 8.600 % 8/15/16 9,800 10,869
RR Donnelley & Sons Co. 6.125 % 1/15/17 6,125 6,135
TCI Communications Inc. 8.750 % 8/1/15 13,980 16,915
TCI Communications Inc. 7.875 % 2/15/26 580 663
Telecom Italia Capital SA 4.875 % 10/1/10 2,650 2,696
Telecom Italia Capital SA 6.200 % 7/18/11 10,690 11,233
Telecom Italia Capital SA 5.250 % 11/15/13 7,033 7,377
Telecom Italia Capital SA 6.175 % 6/18/14 3,500 3,755
Telecom Italia Capital SA 4.950 % 9/30/14 4,770 4,891
Telecom Italia Capital SA 5.250 % 10/1/15 19,005 19,493
Telecom Italia Capital SA 6.999 % 6/4/18 5,540 5,995
Telecom Italia Capital SA 7.175 % 6/18/19 21,200 22,903
Telecom Italia Capital SA 6.375 % 11/15/33 6,555 6,086
Telecom Italia Capital SA 6.000 % 9/30/34 1,325 1,171
Telecom Italia Capital SA 7.200 % 7/18/36 2,865 2,876
Telecom Italia Capital SA 7.721 % 6/4/38 14,418 15,468
Telefonica Emisiones SAU 5.984 % 6/20/11 7,883 8,296
Telefonica Emisiones SAU 5.855 % 2/4/13 1,975 2,149
Telefonica Emisiones SAU 4.949 % 1/15/15 10,325 10,920
Telefonica Emisiones SAU 6.421 % 6/20/16 15,610 17,455
Telefonica Emisiones SAU 5.877 % 7/15/19 5,475 5,855
Telefonica Emisiones SAU 7.045 % 6/20/36 6,609 7,404
Telefonica Europe BV 7.750 % 9/15/10 150 155
Telefonica Europe BV 8.250 % 9/15/30 4,675 5,735
Telefonos de Mexico SAB de CV 5.500 % 1/27/15 15,900 16,960
TELUS Corp. 8.000 % 6/1/11 5,808 6,245
Thomson Reuters Corp. 5.950 % 7/15/13 1,965 2,171
Thomson Reuters Corp. 5.700 % 10/1/14 8,900 9,792
Thomson Reuters Corp. 6.500 % 7/15/18 625 701
Thomson Reuters Corp. 4.700 % 10/15/19 1,825 1,818
Thomson Reuters Corp. 5.500 % 8/15/35 5,125 4,847
Thomson Reuters Corp. 5.850 % 4/15/40 7,525 7,353
Time Warner Cable Inc. 5.400 % 7/2/12 9,586 10,278
Time Warner Cable Inc. 6.200 % 7/1/13 7,925 8,763
Time Warner Cable Inc. 8.250 % 2/14/14 3,775 4,433


Time Warner Cable Inc. 7.500 % 4/1/14 17,225 19,880
Time Warner Cable Inc. 3.500 % 2/1/15 3,625 3,623
Time Warner Cable Inc. 5.850 % 5/1/17 18,520 19,807
Time Warner Cable Inc. 6.750 % 7/1/18 20,030 22,395
Time Warner Cable Inc. 8.750 % 2/14/19 6,325 7,834
Time Warner Cable Inc. 8.250 % 4/1/19 8,750 10,553
Time Warner Cable Inc. 5.000 % 2/1/20 6,575 6,457
Time Warner Cable Inc. 6.550 % 5/1/37 7,561 7,738
Time Warner Cable Inc. 7.300 % 7/1/38 95 106
Time Warner Cable Inc. 6.750 % 6/15/39 14,025 14,731
Time Warner Entertainment Co. LP 10.150 % 5/1/12 1,025 1,185
Time Warner Entertainment Co. LP 8.875 % 10/1/12 950 1,094
Time Warner Entertainment Co. LP 8.375 % 3/15/23 2,340 2,887
Time Warner Entertainment Co. LP 8.375 % 7/15/33 7,710 9,254
United States Cellular Corp. 6.700 % 12/15/33 3,100 3,004
Verizon Communications Inc. 4.350 % 2/15/13 1,350 1,432
Verizon Communications Inc. 5.250 % 4/15/13 6,250 6,805
Verizon Communications Inc. 4.900 % 9/15/15 425 458
Verizon Communications Inc. 5.550 % 2/15/16 9,850 10,794
Verizon Communications Inc. 5.500 % 2/15/18 16,900 17,854
Verizon Communications Inc. 8.750 % 11/1/18 3,125 3,925
Verizon Communications Inc. 6.350 % 4/1/19 47,125 52,103
Verizon Communications Inc. 5.850 % 9/15/35 14,550 14,142
Verizon Communications Inc. 6.250 % 4/1/37 2,050 2,086
Verizon Communications Inc. 6.400 % 2/15/38 1,580 1,639
Verizon Communications Inc. 6.900 % 4/15/38 7,860 8,623
Verizon Communications Inc. 8.950 % 3/1/39 11,450 15,526
Verizon Communications Inc. 7.350 % 4/1/39 14,850 17,320
Verizon Global Funding Corp. 6.875 % 6/15/12 16,075 17,862
Verizon Global Funding Corp. 7.375 % 9/1/12 6,575 7,452
Verizon Global Funding Corp. 4.375 % 6/1/13 860 915
Verizon Global Funding Corp. 7.750 % 12/1/30 6,186 7,361
Verizon Maryland Inc. 6.125 % 3/1/12 400 430
Verizon Maryland Inc. 5.125 % 6/15/33 405 329
Verizon New England Inc. 6.500 % 9/15/11 3,945 4,207
Verizon New England Inc. 7.875 % 11/15/29 1,385 1,518
Verizon New Jersey Inc. 5.875 % 1/17/12 6,115 6,516
Verizon New York Inc. 6.875 % 4/1/12 2,735 2,983
Verizon New York Inc. 7.375 % 4/1/32 2,200 2,349
Verizon Pennsylvania Inc. 5.650 % 11/15/11 9,075 9,628
Verizon Virginia Inc. 4.625 % 3/15/13 6,000 6,311
Vodafone Group PLC 5.350 % 2/27/12 2,075 2,216
Vodafone Group PLC 5.000 % 12/16/13 8,150 8,776
Vodafone Group PLC 4.150 % 6/10/14 1,075 1,117
Vodafone Group PLC 5.375 % 1/30/15 4,175 4,501
Vodafone Group PLC 5.000 % 9/15/15 1,600 1,694
Vodafone Group PLC 3.375 % 11/24/15 625 610
Vodafone Group PLC 5.750 % 3/15/16 5,650 6,138
Vodafone Group PLC 5.625 % 2/27/17 13,181 14,133
Vodafone Group PLC 5.450 % 6/10/19 19,375 20,178
Vodafone Group PLC 7.875 % 2/15/30 3,300 3,944
Vodafone Group PLC 6.250 % 11/30/32 7,775 7,948
Vodafone Group PLC 6.150 % 2/27/37 5,100 5,224
Washington Post Co. 7.250 % 2/1/19 2,575 2,889
WPP Finance UK 5.875 % 6/15/14 6,900 7,217
WPP Finance UK 8.000 % 9/15/14 2,225 2,557


Consumer Cyclical (1.0%)          
AutoZone Inc. 6.500 % 1/15/14 2,025 2,230
AutoZone Inc. 5.750 % 1/15/15 6,375 6,890
Best Buy Co. Inc. 6.750 % 7/15/13 9,350 10,390
Costco Wholesale Corp. 5.500 % 3/15/17 11,400 12,533
CVS Caremark Corp. 5.750 % 8/15/11 1,950 2,065
CVS Caremark Corp. 4.875 % 9/15/14 2,225 2,380
CVS Caremark Corp. 6.125 % 8/15/16 2,475 2,720
CVS Caremark Corp. 5.750 % 6/1/17 2,230 2,395
CVS Caremark Corp. 6.600 % 3/15/19 12,200 13,590
CVS Caremark Corp. 6.250 % 6/1/27 24,275 25,136
3 CVS Caremark Corp. 6.302 % 6/1/37 4,475 4,232
CVS Caremark Corp. 6.125 % 9/15/39 2,775 2,740
Daimler Finance North America LLC 5.750 % 9/8/11 10,845 11,432
Daimler Finance North America LLC 7.300 % 1/15/12 19,691 21,441
Daimler Finance North America LLC 6.500 % 11/15/13 11,675 12,935
Daimler Finance North America LLC 8.500 % 1/18/31 4,980 6,096
Darden Restaurants Inc. 5.625 % 10/15/12 3,650 3,920
Darden Restaurants Inc. 6.200 % 10/15/17 8,805 9,568
Darden Restaurants Inc. 6.800 % 10/15/37 2,775 2,931
Historic TW Inc. 9.125 % 1/15/13 1,625 1,900
Historic TW Inc. 9.150 % 2/1/23 9,550 12,329
Historic TW Inc. 6.625 % 5/15/29 8,100 8,512
Home Depot Inc. 4.625 % 8/15/10 7,700 7,809
Home Depot Inc. 5.250 % 12/16/13 11,150 12,083
Home Depot Inc. 5.400 % 3/1/16 4,571 4,935
Home Depot Inc. 5.875 % 12/16/36 7,250 7,020
Johnson Controls Inc. 5.000 % 3/30/20 6,525 6,482
Johnson Controls Inc. 6.000 % 1/15/36 950 912
Kohl's Corp. 6.250 % 12/15/17 2,300 2,554
Kohl's Corp. 6.000 % 1/15/33 725 728
Kohl's Corp. 6.875 % 12/15/37 3,000 3,344
Lowe's Cos. Inc. 5.600 % 9/15/12 2,850 3,127
Lowe's Cos. Inc. 5.400 % 10/15/16 12,350 13,499
Lowe's Cos. Inc. 6.100 % 9/15/17 2,250 2,508
Lowe's Cos. Inc. 6.875 % 2/15/28 560 632
Lowe's Cos. Inc. 6.500 % 3/15/29 3,676 3,984
Lowe's Cos. Inc. 5.800 % 10/15/36 6,500 6,573
Marriott International Inc. 4.625 % 6/15/12 3,200 3,314
Marriott International Inc. 5.625 % 2/15/13 2,375 2,488
Marriott International Inc. 6.200 % 6/15/16 1,500 1,564
Marriott International Inc. 6.375 % 6/15/17 1,750 1,836
McDonald's Corp. 6.000 % 4/15/11 2,835 2,987
McDonald's Corp. 5.300 % 3/15/17 850 914
McDonald's Corp. 5.800 % 10/15/17 5,550 6,192
McDonald's Corp. 5.350 % 3/1/18 6,200 6,726
McDonald's Corp. 5.000 % 2/1/19 3,150 3,326
McDonald's Corp. 6.300 % 10/15/37 2,125 2,296
McDonald's Corp. 6.300 % 3/1/38 5,250 5,691
McDonald's Corp. 5.700 % 2/1/39 2,400 2,405
MDC Holdings Inc. 5.500 % 5/15/13 2,875 2,966
Nordstrom Inc. 6.750 % 6/1/14 1,675 1,889
Nordstrom Inc. 6.250 % 1/15/18 10,950 12,019
Nordstrom Inc. 6.950 % 3/15/28 1,075 1,184
Nordstrom Inc. 7.000 % 1/15/38 1,050 1,181
PACCAR Financial Corp. 1.950 % 12/17/12 5,200 5,200
PACCAR Inc. 6.875 % 2/15/14 3,575 4,082
Staples Inc. 7.750 % 4/1/11 4,850 5,164


Staples Inc. 9.750 % 1/15/14 18,850 22,761
Target Corp. 5.875 % 3/1/12 5,175 5,608
Target Corp. 5.125 % 1/15/13 425 461
Target Corp. 4.000 % 6/15/13 1,680 1,770
Target Corp. 5.875 % 7/15/16 11,850 13,438
Target Corp. 5.375 % 5/1/17 6,475 6,984
Target Corp. 6.000 % 1/15/18 7,575 8,480
Target Corp. 7.000 % 7/15/31 3,700 4,133
Target Corp. 6.350 % 11/1/32 5,900 6,253
Target Corp. 6.500 % 10/15/37 7,250 7,872
Target Corp. 7.000 % 1/15/38 501 578
Time Warner Cos. Inc. 7.570 % 2/1/24 1,530 1,779
Time Warner Cos. Inc. 6.950 % 1/15/28 80 87
Time Warner Inc. 5.500 % 11/15/11 5,850 6,208
Time Warner Inc. 6.875 % 5/1/12 10,825 11,916
Time Warner Inc. 5.875 % 11/15/16 9,225 10,093
Time Warner Inc. 4.875 % 3/15/20 14,350 13,987
Time Warner Inc. 7.625 % 4/15/31 9,260 10,541
Time Warner Inc. 7.700 % 5/1/32 9,371 10,779
Time Warner Inc. 6.500 % 11/15/36 6,750 6,907
Time Warner Inc. 6.200 % 3/15/40 4,850 4,786
TJX Cos. Inc. 6.950 % 4/15/19 9,110 10,579
Toll Brothers Finance Corp. 6.875 % 11/15/12 43 46
Toll Brothers Finance Corp. 5.950 % 9/15/13 16 17
Toll Brothers Finance Corp. 5.150 % 5/15/15 3,175 3,177
Toll Brothers Finance Corp. 6.750 % 11/1/19 4,125 4,144
Toyota Motor Credit Corp. 5.450 % 5/18/11 2,625 2,738
VF Corp. 5.950 % 11/1/17 2,700 2,952
VF Corp. 6.450 % 11/1/37 2,375 2,512
Viacom Inc. 4.375 % 9/15/14 6,275 6,492
Viacom Inc. 6.250 % 4/30/16 923 1,019
Viacom Inc. 6.125 % 10/5/17 2,325 2,520
Viacom Inc. 5.625 % 9/15/19 14,660 15,249
Viacom Inc. 6.875 % 4/30/36 490 518
Wal-Mart Stores Inc. 4.550 % 5/1/13 16,071 17,244
Wal-Mart Stores Inc. 7.250 % 6/1/13 900 1,034
Wal-Mart Stores Inc. 3.200 % 5/15/14 20,000 20,482
Wal-Mart Stores Inc. 4.500 % 7/1/15 2,450 2,617
Wal-Mart Stores Inc. 5.375 % 4/5/17 2,025 2,212
Wal-Mart Stores Inc. 5.800 % 2/15/18 17,050 19,000
Wal-Mart Stores Inc. 5.875 % 4/5/27 18,000 19,119
Wal-Mart Stores Inc. 7.550 % 2/15/30 11,645 14,305
Wal-Mart Stores Inc. 5.250 % 9/1/35 5,400 5,156
Wal-Mart Stores Inc. 6.500 % 8/15/37 18,061 19,929
Wal-Mart Stores Inc. 6.200 % 4/15/38 3,395 3,624
Walgreen Co. 4.875 % 8/1/13 11,850 12,827
Walgreen Co. 5.250 % 1/15/19 3,850 4,091
Walt Disney Co. 5.700 % 7/15/11 14,125 14,948
Walt Disney Co. 6.375 % 3/1/12 1,225 1,341
Walt Disney Co. 4.700 % 12/1/12 575 619
Walt Disney Co. 4.500 % 12/15/13 8,125 8,730
Walt Disney Co. 5.625 % 9/15/16 6,300 7,017
Walt Disney Co. 5.875 % 12/15/17 5,350 5,932
Walt Disney Co. 5.500 % 3/15/19 1,400 1,512
Walt Disney Co. 7.000 % 3/1/32 1,025 1,203
Western Union Co. 6.500 % 2/26/14 2,850 3,203
Western Union Co. 5.930 % 10/1/16 5,500 6,031
4 Western Union Co. 5.253 % 4/2/20 4,200 4,199


Western Union Co. 6.200 % 11/17/36 2,775 2,798
Yum! Brands Inc. 8.875 % 4/15/11 1,950 2,096
Yum! Brands Inc. 7.700 % 7/1/12 2,525 2,816
Yum! Brands Inc. 6.250 % 4/15/16 3,525 3,886
Yum! Brands Inc. 6.250 % 3/15/18 125 137
Yum! Brands Inc. 6.875 % 11/15/37 9,175 10,007
 
Consumer Noncyclical (2.7%)          
Abbott Laboratories 5.600 % 5/15/11 6,475 6,831
Abbott Laboratories 5.150 % 11/30/12 2,975 3,245
Abbott Laboratories 4.350 % 3/15/14 3,675 3,903
Abbott Laboratories 5.875 % 5/15/16 15,811 17,843
Abbott Laboratories 5.600 % 11/30/17 15,725 17,278
Abbott Laboratories 5.125 % 4/1/19 3,345 3,517
Abbott Laboratories 6.150 % 11/30/37 5,225 5,584
Abbott Laboratories 6.000 % 4/1/39 1,950 2,057
Allergan Inc. 5.750 % 4/1/16 1,100 1,221
Altria Group Inc. 8.500 % 11/10/13 45,925 53,646
Altria Group Inc. 9.700 % 11/10/18 8,395 10,295
Altria Group Inc. 9.250 % 8/6/19 12,275 14,806
Altria Group Inc. 9.950 % 11/10/38 5,675 7,440
Altria Group Inc. 10.200 % 2/6/39 14,875 19,887
AmerisourceBergen Corp. 5.625 % 9/15/12 1,050 1,129
AmerisourceBergen Corp. 5.875 % 9/15/15 11,536 12,668
AmerisourceBergen Corp. 4.875 % 11/15/19 4,000 3,982
Amgen Inc. 4.850 % 11/18/14 4,225 4,588
Amgen Inc. 5.850 % 6/1/17 8,250 9,146
Amgen Inc. 5.700 % 2/1/19 6,775 7,395
Amgen Inc. 6.375 % 6/1/37 3,850 4,142
Amgen Inc. 6.900 % 6/1/38 9,275 10,533
Amgen Inc. 6.400 % 2/1/39 7,400 7,947
Amgen Inc. 5.750 % 3/15/40 5,150 5,088
Anheuser-Busch Cos. Inc. 6.000 % 4/15/11 1,475 1,548
Anheuser-Busch Cos. Inc. 4.375 % 1/15/13 4,175 4,367
Anheuser-Busch Cos. Inc. 5.600 % 3/1/17 4,750 5,030
Anheuser-Busch Cos. Inc. 5.500 % 1/15/18 10,375 10,990
Anheuser-Busch Cos. Inc. 6.800 % 8/20/32 2,275 2,463
Anheuser-Busch Cos. Inc. 5.750 % 4/1/36 5,995 5,826
Anheuser-Busch Cos. Inc. 6.450 % 9/1/37 350 375
Anheuser-Busch InBev Worldwide Inc. 3.000 % 10/15/12 7,550 7,738
4 Anheuser-Busch InBev Worldwide Inc. 2.500 % 3/26/13 10,675 10,711
Anheuser-Busch InBev Worldwide Inc. 4.125 % 1/15/15 11,025 11,325
Anheuser-Busch InBev Worldwide Inc. 5.375 % 1/15/20 19,100 19,579
4 Anheuser-Busch InBev Worldwide Inc. 5.000 % 4/15/20 6,850 6,886
Anheuser-Busch InBev Worldwide Inc. 6.375 % 1/15/40 1,250 1,328
Archer-Daniels-Midland Co. 8.375 % 4/15/17 525 643
Archer-Daniels-Midland Co. 5.450 % 3/15/18 8,900 9,531
Archer-Daniels-Midland Co. 5.935 % 10/1/32 4,275 4,460
Archer-Daniels-Midland Co. 5.375 % 9/15/35 4,025 3,863
AstraZeneca PLC 5.400 % 9/15/12 18,625 20,340
AstraZeneca PLC 5.400 % 6/1/14 3,625 3,984
AstraZeneca PLC 5.900 % 9/15/17 12,625 14,075
AstraZeneca PLC 6.450 % 9/15/37 15,136 16,707
Baxter FinCo BV 4.750 % 10/15/10 5,775 5,907
Baxter International Inc. 4.000 % 3/1/14 1,350 1,413
Baxter International Inc. 5.900 % 9/1/16 1,550 1,740
Baxter International Inc. 6.250 % 12/1/37 11,425 12,352
Becton Dickinson and Co. 5.000 % 5/15/19 1,125 1,172


Becton Dickinson and Co. 6.000 % 5/15/39 1,000 1,047
Biogen Idec Inc. 6.000 % 3/1/13 8,200 8,859
Biogen Idec Inc. 6.875 % 3/1/18 12,425 13,688
Bottling Group LLC 4.625 % 11/15/12 1,635 1,755
Bottling Group LLC 5.000 % 11/15/13 10,125 10,989
Bottling Group LLC 6.950 % 3/15/14 29,775 34,382
Bottling Group LLC 5.500 % 4/1/16 8,975 9,897
Bottling Group LLC 5.125 % 1/15/19 1,500 1,571
Bristol-Myers Squibb Co. 5.250 % 8/15/13 675 743
Bristol-Myers Squibb Co. 5.450 % 5/1/18 2,225 2,393
Bristol-Myers Squibb Co. 7.150 % 6/15/23 400 470
Bristol-Myers Squibb Co. 6.800 % 11/15/26 150 173
Bristol-Myers Squibb Co. 5.875 % 11/15/36 14,936 15,301
Bristol-Myers Squibb Co. 6.125 % 5/1/38 2,200 2,322
Bristol-Myers Squibb Co. 6.875 % 8/1/97 1,030 1,103
Bunge Ltd. Finance Corp. 5.350 % 4/15/14 2,025 2,119
Bunge Ltd. Finance Corp. 5.100 % 7/15/15 1,625 1,667
Bunge Ltd. Finance Corp. 8.500 % 6/15/19 9,525 11,017
Cardinal Health Inc. 5.650 % 6/15/12 60 64
Cardinal Health Inc. 4.000 % 6/15/15 550 552
CareFusion Corp. 4.125 % 8/1/12 975 1,015
CareFusion Corp. 5.125 % 8/1/14 1,700 1,802
CareFusion Corp. 6.375 % 8/1/19 8,215 8,981
Cia de Bebidas das Americas 10.500 % 12/15/11 3,605 4,137
Cia de Bebidas das Americas 8.750 % 9/15/13 295 347
Clorox Co. 5.450 % 10/15/12 625 673
Clorox Co. 5.000 % 1/15/15 1,725 1,840
Clorox Co. 3.550 % 11/1/15 1,825 1,853
Clorox Co. 5.950 % 10/15/17 5,280 5,788
Coca-Cola Co. 3.625 % 3/15/14 5,675 5,896
Coca-Cola Co. 5.350 % 11/15/17 7,700 8,411
Coca-Cola Co. 4.875 % 3/15/19 12,575 13,066
Coca-Cola Enterprises Inc. 5.000 % 8/15/13 8,900 9,708
Coca-Cola Enterprises Inc. 7.375 % 3/3/14 10,850 12,685
Coca-Cola Enterprises Inc. 4.250 % 3/1/15 375 397
Coca-Cola Enterprises Inc. 4.500 % 8/15/19 525 530
Coca-Cola Enterprises Inc. 8.500 % 2/1/22 11,886 15,398
Coca-Cola Enterprises Inc. 7.000 % 10/1/26 3,450 3,980
Coca-Cola Enterprises Inc. 6.950 % 11/15/26 2,820 3,240
Coca-Cola Enterprises Inc. 6.750 % 9/15/28 1,350 1,533
4 Coca-Cola Femsa SAB de CV 4.625 % 2/15/20 2,025 1,997
Coca-Cola HBC Finance BV 5.125 % 9/17/13 945 1,009
ConAgra Foods Inc. 6.750 % 9/15/11 74 79
ConAgra Foods Inc. 5.875 % 4/15/14 1,040 1,140
ConAgra Foods Inc. 5.819 % 6/15/17 951 1,014
ConAgra Foods Inc. 7.000 % 4/15/19 500 575
ConAgra Foods Inc. 9.750 % 3/1/21 129 171
ConAgra Foods Inc. 7.125 % 10/1/26 1,000 1,095
ConAgra Foods Inc. 7.000 % 10/1/28 725 787
ConAgra Foods Inc. 8.250 % 9/15/30 2,850 3,467
Covidien International Finance SA 5.450 % 10/15/12 2,600 2,839
Covidien International Finance SA 6.000 % 10/15/17 5,225 5,726
Covidien International Finance SA 6.550 % 10/15/37 6,900 7,641
CR Bard Inc. 6.700 % 12/1/26 5,250 5,891
Delhaize America Inc. 9.000 % 4/15/31 2,175 2,759
Delhaize Group SA 5.875 % 2/1/14 2,425 2,650
Diageo Capital PLC 5.200 % 1/30/13 8,275 8,950
Diageo Capital PLC 7.375 % 1/15/14 1,500 1,746


Diageo Capital PLC 5.500 % 9/30/16 1,275 1,386
Diageo Capital PLC 5.750 % 10/23/17 7,100 7,694
Diageo Capital PLC 5.875 % 9/30/36 1,775 1,830
Diageo Finance BV 5.500 % 4/1/13 3,800 4,141
Diageo Finance BV 3.250 % 1/15/15 375 376
Diageo Finance BV 5.300 % 10/28/15 6,381 6,999
Diageo Investment Corp. 9.000 % 8/15/11 1,175 1,294
Diageo Investment Corp. 7.450 % 4/15/35 875 1,042
Dr Pepper Snapple Group Inc. 1.700 % 12/21/11 2,025 2,029
Dr Pepper Snapple Group Inc. 2.350 % 12/21/12 2,050 2,059
Dr Pepper Snapple Group Inc. 6.120 % 5/1/13 1,750 1,937
Dr Pepper Snapple Group Inc. 6.820 % 5/1/18 5,800 6,604
Dr Pepper Snapple Group Inc. 7.450 % 5/1/38 950 1,126
Eli Lilly & Co. 3.550 % 3/6/12 4,150 4,340
Eli Lilly & Co. 6.000 % 3/15/12 1,850 2,022
Eli Lilly & Co. 4.200 % 3/6/14 2,625 2,783
Eli Lilly & Co. 5.200 % 3/15/17 8,200 8,820
Eli Lilly & Co. 5.500 % 3/15/27 5,750 5,804
Eli Lilly & Co. 5.550 % 3/15/37 886 878
Eli Lilly & Co. 5.950 % 11/15/37 2,400 2,512
Estee Lauder Cos. Inc. 6.000 % 5/15/37 725 724
Express Scripts Inc. 5.250 % 6/15/12 16,300 17,346
Express Scripts Inc. 6.250 % 6/15/14 9,625 10,669
Express Scripts Inc. 7.250 % 6/15/19 1,925 2,228
Fortune Brands Inc. 3.000 % 6/1/12 2,900 2,904
Fortune Brands Inc. 4.875 % 12/1/13 1,000 1,043
Fortune Brands Inc. 6.375 % 6/15/14 4,340 4,729
Fortune Brands Inc. 5.375 % 1/15/16 8,650 8,872
Fortune Brands Inc. 5.875 % 1/15/36 2,975 2,582
Genentech Inc. 4.750 % 7/15/15 2,320 2,482
Genentech Inc. 5.250 % 7/15/35 3,350 3,156
General Mills Inc. 6.000 % 2/15/12 10,490 11,355
General Mills Inc. 5.650 % 9/10/12 2,375 2,595
General Mills Inc. 5.250 % 8/15/13 3,625 3,959
General Mills Inc. 5.200 % 3/17/15 835 907
General Mills Inc. 5.700 % 2/15/17 12,000 12,963
General Mills Inc. 5.650 % 2/15/19 14,275 15,287
GlaxoSmithKline Capital Inc. 4.850 % 5/15/13 11,025 11,932
GlaxoSmithKline Capital Inc. 4.375 % 4/15/14 9,800 10,413
GlaxoSmithKline Capital Inc. 5.650 % 5/15/18 17,875 19,342
GlaxoSmithKline Capital Inc. 5.375 % 4/15/34 3,500 3,389
GlaxoSmithKline Capital Inc. 6.375 % 5/15/38 17,825 19,587
Hasbro Inc. 6.125 % 5/15/14 6,900 7,566
Hasbro Inc. 6.300 % 9/15/17 5,875 6,313
Hasbro Inc. 6.350 % 3/15/40 2,850 2,807
Hershey Co. 5.450 % 9/1/16 1,275 1,365
HJ Heinz Co. 5.350 % 7/15/13 2,075 2,247
HJ Heinz Finance Co. 6.625 % 7/15/11 6,100 6,523
HJ Heinz Finance Co. 6.750 % 3/15/32 3,325 3,577
Hospira Inc. 5.900 % 6/15/14 1,550 1,689
Hospira Inc. 6.400 % 5/15/15 850 949
Hospira Inc. 6.050 % 3/30/17 150 160
Johnson & Johnson 5.550 % 8/15/17 4,025 4,442
Johnson & Johnson 5.150 % 7/15/18 1,675 1,805
Johnson & Johnson 6.950 % 9/1/29 4,400 5,264
Johnson & Johnson 4.950 % 5/15/33 5,925 5,715
Johnson & Johnson 5.950 % 8/15/37 5,625 6,094
Johnson & Johnson 5.850 % 7/15/38 1,625 1,727


Kellogg Co. 5.125 % 12/3/12 17,048 18,567
Kellogg Co. 4.250 % 3/6/13 4,225 4,471
Kellogg Co. 4.450 % 5/30/16 1,025 1,082
Kellogg Co. 4.150 % 11/15/19 5,975 5,889
Kellogg Co. 7.450 % 4/1/31 3,840 4,675
Kimberly-Clark Corp. 5.625 % 2/15/12 2,700 2,917
Kimberly-Clark Corp. 4.875 % 8/15/15 5,250 5,645
Kimberly-Clark Corp. 6.125 % 8/1/17 7,750 8,674
Kimberly-Clark Corp. 6.250 % 7/15/18 175 197
Kimberly-Clark Corp. 6.625 % 8/1/37 1,275 1,452
Koninklijke Philips Electronics NV 4.625 % 3/11/13 3,900 4,161
Koninklijke Philips Electronics NV 5.750 % 3/11/18 10,100 10,808
Koninklijke Philips Electronics NV 6.875 % 3/11/38 4,225 4,712
Kraft Foods Inc. 5.625 % 11/1/11 37,050 39,362
Kraft Foods Inc. 6.250 % 6/1/12 4,415 4,825
Kraft Foods Inc. 2.625 % 5/8/13 10,150 10,253
Kraft Foods Inc. 5.250 % 10/1/13 175 189
Kraft Foods Inc. 6.750 % 2/19/14 150 169
Kraft Foods Inc. 4.125 % 2/9/16 12,950 13,095
Kraft Foods Inc. 6.500 % 8/11/17 12,073 13,486
Kraft Foods Inc. 6.125 % 2/1/18 300 328
Kraft Foods Inc. 6.125 % 8/23/18 6,825 7,402
Kraft Foods Inc. 5.375 % 2/10/20 20,875 21,099
Kraft Foods Inc. 6.500 % 11/1/31 8,400 8,611
Kraft Foods Inc. 7.000 % 8/11/37 10,175 11,104
Kraft Foods Inc. 6.875 % 2/1/38 6,425 6,937
Kraft Foods Inc. 6.875 % 1/26/39 1,300 1,401
Kraft Foods Inc. 6.500 % 2/9/40 15,525 15,992
Kroger Co. 6.800 % 4/1/11 2,625 2,775
Kroger Co. 6.750 % 4/15/12 8,275 9,072
Kroger Co. 6.200 % 6/15/12 6,175 6,724
Kroger Co. 5.500 % 2/1/13 1,686 1,828
Kroger Co. 5.000 % 4/15/13 3,700 3,974
Kroger Co. 4.950 % 1/15/15 1,725 1,832
Kroger Co. 6.400 % 8/15/17 840 929
Kroger Co. 6.800 % 12/15/18 2,600 2,920
Kroger Co. 6.150 % 1/15/20 16,045 17,414
Kroger Co. 7.700 % 6/1/29 7,825 9,161
Kroger Co. 8.000 % 9/15/29 1,425 1,718
Kroger Co. 7.500 % 4/1/31 2,395 2,799
Kroger Co. 6.900 % 4/15/38 2,300 2,567
Laboratory Corp. of America Holdings 5.500 % 2/1/13 1,540 1,647
Laboratory Corp. of America Holdings 5.625 % 12/15/15 2,500 2,692
Life Technologies Corp. 4.400 % 3/1/15 4,350 4,402
Life Technologies Corp. 6.000 % 3/1/20 4,225 4,325
Lorillard Tobacco Co. 8.125 % 6/23/19 33,885 37,323
McKesson Corp. 7.750 % 2/1/12 750 826
McKesson Corp. 5.250 % 3/1/13 10,175 10,841
McKesson Corp. 6.500 % 2/15/14 1,650 1,841
4 Mead Johnson Nutrition Co. 3.500 % 11/1/14 6,825 6,817
4 Mead Johnson Nutrition Co. 4.900 % 11/1/19 2,925 2,885
4 Mead Johnson Nutrition Co. 5.900 % 11/1/39 2,825 2,742
Medco Health Solutions Inc. 6.125 % 3/15/13 6,450 7,051
Medco Health Solutions Inc. 7.250 % 8/15/13 1,100 1,248
Medco Health Solutions Inc. 7.125 % 3/15/18 11,738 13,370
Medtronic Inc. 4.500 % 3/15/14 2,225 2,380
Medtronic Inc. 3.000 % 3/15/15 9,900 9,851
Medtronic Inc. 4.750 % 9/15/15 4,275 4,613


Medtronic Inc. 5.600 % 3/15/19 1,150 1,248
Medtronic Inc. 4.450 % 3/15/20 4,800 4,761
Medtronic Inc. 6.500 % 3/15/39 2,050 2,292
Medtronic Inc. 5.550 % 3/15/40 1,200 1,185
Merck & Co. Inc. 1.875 % 6/30/11 6,625 6,705
Merck & Co. Inc. 5.125 % 11/15/11 2,425 2,581
Merck & Co. Inc. 4.375 % 2/15/13 3,825 4,089
Merck & Co. Inc. 5.300 % 12/1/13 13,325 14,769
Merck & Co. Inc. 4.750 % 3/1/15 11,700 12,639
Merck & Co. Inc. 4.000 % 6/30/15 4,700 4,919
Merck & Co. Inc. 6.000 % 9/15/17 825 928
Merck & Co. Inc. 5.000 % 6/30/19 3,975 4,168
Merck & Co. Inc. 6.400 % 3/1/28 3,905 4,295
Merck & Co. Inc. 5.950 % 12/1/28 2,150 2,238
Merck & Co. Inc. 6.500 % 12/1/33 4,443 4,973
Merck & Co. Inc. 5.750 % 11/15/36 975 1,000
Merck & Co. Inc. 6.550 % 9/15/37 7,000 7,964
Merck & Co. Inc. 5.850 % 6/30/39 1,325 1,383
Novant Health Inc. 5.850 % 11/1/19 6,125 6,222
Novartis Capital Corp. 1.900 % 4/24/13 4,150 4,144
Novartis Capital Corp. 4.125 % 2/10/14 17,825 18,852
Novartis Capital Corp. 2.900 % 4/24/15 3,375 3,339
Novartis Capital Corp. 4.400 % 4/24/20 400 397
Novartis Securities Investment Ltd. 5.125 % 2/10/19 16,650 17,546
Pepsi Bottling Group Inc. 7.000 % 3/1/29 299 349
PepsiAmericas Inc. 5.750 % 7/31/12 2,725 2,985
PepsiAmericas Inc. 4.375 % 2/15/14 825 874
PepsiAmericas Inc. 4.875 % 1/15/15 1,400 1,501
PepsiAmericas Inc. 5.000 % 5/15/17 3,800 3,994
PepsiCo Inc. 5.150 % 5/15/12 2,325 2,509
PepsiCo Inc. 4.650 % 2/15/13 11,875 12,796
PepsiCo Inc. 3.750 % 3/1/14 8,650 9,031
PepsiCo Inc. 5.000 % 6/1/18 13,750 14,508
PepsiCo Inc. 7.900 % 11/1/18 5,925 7,328
PepsiCo Inc. 4.500 % 1/15/20 4,275 4,311
PepsiCo Inc. 5.500 % 1/15/40 6,500 6,401
Pfizer Inc. 4.450 % 3/15/12 18,950 20,096
Pfizer Inc. 5.350 % 3/15/15 44,025 48,450
Pfizer Inc. 6.200 % 3/15/19 21,385 24,047
Pfizer Inc. 7.200 % 3/15/39 28,675 34,760
Pharmacia Corp. 6.500 % 12/1/18 550 625
Pharmacia Corp. 6.600 % 12/1/28 1,750 1,937
Philip Morris International Inc. 4.875 % 5/16/13 8,950 9,639
Philip Morris International Inc. 6.875 % 3/17/14 21,550 24,785
Philip Morris International Inc. 5.650 % 5/16/18 9,605 10,346
Philip Morris International Inc. 6.375 % 5/16/38 7,655 8,275
3 Procter & Gamble - Esop 9.360 % 1/1/21 9,709 12,081
Procter & Gamble Co. 4.600 % 1/15/14 6,900 7,406
Procter & Gamble Co. 4.950 % 8/15/14 1,475 1,615
Procter & Gamble Co. 3.500 % 2/15/15 7,550 7,744
Procter & Gamble Co. 4.850 % 12/15/15 1,250 1,372
Procter & Gamble Co. 4.700 % 2/15/19 3,850 3,953
Procter & Gamble Co. 6.450 % 1/15/26 3,875 4,363
Procter & Gamble Co. 5.800 % 8/15/34 225 236
Procter & Gamble Co. 5.550 % 3/5/37 10,961 11,045
Quest Diagnostics Inc. 5.450 % 11/1/15 6,375 6,879
Quest Diagnostics Inc. 6.400 % 7/1/17 140 155
Quest Diagnostics Inc. 4.750 % 1/30/20 250 245


Quest Diagnostics Inc. 6.950 % 7/1/37 3,645 4,030
Reynolds American Inc. 7.250 % 6/1/12 3,725 4,060
Reynolds American Inc. 7.250 % 6/1/13 6,575 7,265
Reynolds American Inc. 7.625 % 6/1/16 6,250 6,977
Reynolds American Inc. 6.750 % 6/15/17 4,561 4,869
Reynolds American Inc. 7.250 % 6/15/37 4,015 4,075
Safeway Inc. 5.800 % 8/15/12 2,700 2,941
Safeway Inc. 6.250 % 3/15/14 6,200 6,893
Safeway Inc. 5.625 % 8/15/14 1,855 2,026
Safeway Inc. 6.350 % 8/15/17 700 774
Safeway Inc. 5.000 % 8/15/19 1,350 1,362
Safeway Inc. 7.250 % 2/1/31 9,922 11,362
Sara Lee Corp. 6.250 % 9/15/11 4,725 5,024
Sara Lee Corp. 6.125 % 11/1/32 325 316
St. Jude Medical Inc. 2.200 % 9/15/13 4,900 4,887
St. Jude Medical Inc. 3.750 % 7/15/14 10,275 10,566
St. Jude Medical Inc. 4.875 % 7/15/19 1,525 1,555
Stryker Corp. 3.000 % 1/15/15 2,100 2,100
Stryker Corp. 4.375 % 1/15/20 1,825 1,807
Sysco Corp. 4.200 % 2/12/13 1,750 1,855
Sysco Corp. 5.250 % 2/12/18 3,625 3,819
Sysco Corp. 5.375 % 9/21/35 3,900 3,810
Teva Pharmaceutical Finance Co. LLC 5.550 % 2/1/16 775 837
Teva Pharmaceutical Finance Co. LLC 6.150 % 2/1/36 9,325 9,609
4 Thermo Fisher Scientific Inc. 2.150 % 12/28/12 2,325 2,314
4 Thermo Fisher Scientific Inc. 3.250 % 11/20/14 3,700 3,664
Unilever Capital Corp. 7.125 % 11/1/10 9,300 9,659
Unilever Capital Corp. 3.650 % 2/15/14 5,575 5,790
Unilever Capital Corp. 4.800 % 2/15/19 1,500 1,545
Unilever Capital Corp. 5.900 % 11/15/32 73 76
UST Inc. 6.625 % 7/15/12 600 653
UST Inc. 5.750 % 3/1/18 2,700 2,703
Watson Pharmaceuticals Inc. 5.000 % 8/15/14 4,600 4,801
Watson Pharmaceuticals Inc. 6.125 % 8/15/19 5,000 5,262
Whirlpool Corp. 5.500 % 3/1/13 12,000 12,691
Wyeth 5.500 % 3/15/13 15,725 17,270
Wyeth 5.500 % 2/1/14 9,686 10,676
Wyeth 5.500 % 2/15/16 2,475 2,752
Wyeth 5.450 % 4/1/17 925 1,010
Wyeth 6.450 % 2/1/24 1,500 1,667
Wyeth 6.500 % 2/1/34 3,450 3,834
Wyeth 6.000 % 2/15/36 4,800 5,071
Wyeth 5.950 % 4/1/37 12,695 13,246
Zimmer Holdings Inc. 4.625 % 11/30/19 1,075 1,061
Zimmer Holdings Inc. 5.750 % 11/30/39 2,775 2,692
 
Energy (1.4%)          
Alberta Energy Co. Ltd. 7.375 % 11/1/31 950 1,098
Anadarko Finance Co. 7.500 % 5/1/31 795 899
Anadarko Petroleum Corp. 7.625 % 3/15/14 25,675 29,616
Anadarko Petroleum Corp. 5.750 % 6/15/14 2,150 2,330
Anadarko Petroleum Corp. 5.950 % 9/15/16 6,001 6,525
Anadarko Petroleum Corp. 6.950 % 6/15/19 675 761
Anadarko Petroleum Corp. 6.450 % 9/15/36 13,095 13,316
Anadarko Petroleum Corp. 7.950 % 6/15/39 3,775 4,505
Anadarko Petroleum Corp. 6.200 % 3/15/40 800 785
Apache Corp. 6.250 % 4/15/12 1,625 1,776
Apache Corp. 5.250 % 4/15/13 1,774 1,932


Apache Corp. 6.000 % 9/15/13 5,925 6,626
Apache Corp. 5.625 % 1/15/17 400 439
Apache Corp. 6.900 % 9/15/18 7,100 8,295
Apache Corp. 6.000 % 1/15/37 7,200 7,579
Apache Finance Canada Corp. 7.750 % 12/15/29 1,075 1,292
Baker Hughes Inc. 7.500 % 11/15/18 675 808
Baker Hughes Inc. 6.875 % 1/15/29 700 797
BJ Services Co. 6.000 % 6/1/18 2,825 3,055
BP Capital Markets PLC 1.550 % 8/11/11 175 177
BP Capital Markets PLC 3.125 % 3/10/12 13,025 13,514
BP Capital Markets PLC 5.250 % 11/7/13 12,325 13,593
BP Capital Markets PLC 3.625 % 5/8/14 5,125 5,313
BP Capital Markets PLC 3.875 % 3/10/15 11,275 11,709
BP Capital Markets PLC 4.750 % 3/10/19 5,775 5,930
Burlington Resources Finance Co. 6.500 % 12/1/11 3,550 3,857
Burlington Resources Finance Co. 7.200 % 8/15/31 750 846
Burlington Resources Finance Co. 7.400 % 12/1/31 4,275 4,928
Cameron International Corp. 6.375 % 7/15/18 975 1,056
Cameron International Corp. 7.000 % 7/15/38 100 109
Canadian Natural Resources Ltd. 5.450 % 10/1/12 4,800 5,194
Canadian Natural Resources Ltd. 5.150 % 2/1/13 1,500 1,610
Canadian Natural Resources Ltd. 4.900 % 12/1/14 5,400 5,774
Canadian Natural Resources Ltd. 6.000 % 8/15/16 4,225 4,590
Canadian Natural Resources Ltd. 5.700 % 5/15/17 4,901 5,230
Canadian Natural Resources Ltd. 7.200 % 1/15/32 4,800 5,389
Canadian Natural Resources Ltd. 6.450 % 6/30/33 5,865 6,068
Canadian Natural Resources Ltd. 6.500 % 2/15/37 15,255 16,123
Canadian Natural Resources Ltd. 6.250 % 3/15/38 11,430 11,787
Canadian Natural Resources Ltd. 6.750 % 2/1/39 925 1,017
4 Cenovus Energy Inc. 4.500 % 9/15/14 6,625 6,905
4 Cenovus Energy Inc. 5.700 % 10/15/19 9,525 9,935
4 Cenovus Energy Inc. 6.750 % 11/15/39 22,075 23,971
Chevron Corp. 3.450 % 3/3/12 7,375 7,704
Chevron Corp. 3.950 % 3/3/14 11,715 12,287
Chevron Corp. 4.950 % 3/3/19 18,825 19,675
Conoco Funding Co. 6.350 % 10/15/11 13,710 14,773
Conoco Funding Co. 7.250 % 10/15/31 325 382
ConocoPhillips 4.750 % 2/1/14 5,125 5,518
ConocoPhillips 4.600 % 1/15/15 10,300 11,062
ConocoPhillips 5.750 % 2/1/19 17,000 18,527
ConocoPhillips 6.000 % 1/15/20 2,475 2,744
ConocoPhillips 5.900 % 10/15/32 1,621 1,669
ConocoPhillips 6.500 % 2/1/39 7,700 8,569
ConocoPhillips Canada Funding Co. I 5.300 % 4/15/12 4,650 4,996
ConocoPhillips Canada Funding Co. I 5.625 % 10/15/16 16,300 18,021
ConocoPhillips Canada Funding Co. I 5.950 % 10/15/36 2,150 2,188
ConocoPhillips Holding Co. 6.950 % 4/15/29 4,415 5,069
Devon Energy Corp. 5.625 % 1/15/14 8,800 9,634
Devon Energy Corp. 7.950 % 4/15/32 2,150 2,700
Devon Financing Corp. ULC 6.875 % 9/30/11 15,060 16,270
Devon Financing Corp. ULC 7.875 % 9/30/31 12,181 15,061
Devon OEI Operating Inc. 7.250 % 10/1/11 50 54
Diamond Offshore Drilling Inc. 4.875 % 7/1/15 600 643
Diamond Offshore Drilling Inc. 5.875 % 5/1/19 2,700 2,935
Diamond Offshore Drilling Inc. 5.700 % 10/15/39 4,475 4,370
EnCana Corp. 4.750 % 10/15/13 75 80
EnCana Corp. 5.900 % 12/1/17 7,450 8,072
EnCana Corp. 6.500 % 5/15/19 1,900 2,121


EnCana Corp. 7.200 % 11/1/31 5,675 6,442
EnCana Corp. 6.500 % 8/15/34 8,475 8,938
EnCana Corp. 6.625 % 8/15/37 2,250 2,416
EnCana Corp. 6.500 % 2/1/38 900 954
EnCana Holdings Finance Corp. 5.800 % 5/1/14 4,900 5,407
EOG Resources Inc. 6.125 % 10/1/13 650 728
EOG Resources Inc. 5.875 % 9/15/17 6,925 7,570
EOG Resources Inc. 5.625 % 6/1/19 850 909
Global Marine Inc. 7.000 % 6/1/28 3,150 3,452
Halliburton Co. 6.150 % 9/15/19 6,945 7,771
Halliburton Co. 6.700 % 9/15/38 7,100 7,913
Halliburton Co. 7.450 % 9/15/39 9,000 10,985
Hess Corp. 8.125 % 2/15/19 1,325 1,615
Hess Corp. 7.875 % 10/1/29 5,545 6,610
Hess Corp. 7.125 % 3/15/33 4,675 5,221
Hess Corp. 6.000 % 1/15/40 7,075 6,961
Husky Energy Inc. 6.250 % 6/15/12 2,325 2,526
Husky Energy Inc. 5.900 % 6/15/14 8,607 9,415
Husky Energy Inc. 6.150 % 6/15/19 800 853
Husky Energy Inc. 7.250 % 12/15/19 2,435 2,812
Husky Energy Inc. 6.800 % 9/15/37 2,175 2,365
Kerr-McGee Corp. 6.875 % 9/15/11 5,450 5,893
Kerr-McGee Corp. 6.950 % 7/1/24 9,830 10,931
Kerr-McGee Corp. 7.875 % 9/15/31 1,625 1,884
Lasmo USA Inc. 7.300 % 11/15/27 355 414
Marathon Global Funding Corp. 6.000 % 7/1/12 2,600 2,821
Marathon Oil Corp. 6.125 % 3/15/12 3,370 3,635
Marathon Oil Corp. 6.500 % 2/15/14 500 559
Marathon Oil Corp. 6.000 % 10/1/17 10,475 11,235
Marathon Oil Corp. 5.900 % 3/15/18 5,650 6,005
Marathon Oil Corp. 6.600 % 10/1/37 235 247
Nabors Industries Inc. 6.150 % 2/15/18 9,400 10,011
Nabors Industries Inc. 9.250 % 1/15/19 3,025 3,757
Nexen Inc. 5.050 % 11/20/13 5,375 5,770
Nexen Inc. 5.650 % 5/15/17 2,025 2,140
Nexen Inc. 7.875 % 3/15/32 975 1,130
Nexen Inc. 5.875 % 3/10/35 300 286
Nexen Inc. 6.400 % 5/15/37 10,300 10,382
Nexen Inc. 7.500 % 7/30/39 7,375 8,380
Noble Energy Inc. 8.250 % 3/1/19 2,500 3,015
Noble Energy Inc. 8.000 % 4/1/27 450 513
Occidental Petroleum Corp. 6.750 % 1/15/12 5,400 5,901
Occidental Petroleum Corp. 7.000 % 11/1/13 2,375 2,751
PC Financial Partnership 5.000 % 11/15/14 8,100 8,548
Petro-Canada 4.000 % 7/15/13 5,600 5,777
Petro-Canada 6.050 % 5/15/18 2,300 2,468
Petro-Canada 7.875 % 6/15/26 1,500 1,751
Petro-Canada 7.000 % 11/15/28 1,175 1,275
Petro-Canada 5.350 % 7/15/33 4,825 4,341
Petro-Canada 5.950 % 5/15/35 6,850 6,703
Petro-Canada 6.800 % 5/15/38 1,875 2,011
Questar Market Resources Inc. 6.050 % 9/1/16 2,975 3,164
Questar Market Resources Inc. 6.800 % 3/1/20 2,150 2,338
Rowan Cos. Inc. 7.875 % 8/1/19 2,500 2,843
Shell International Finance BV 5.625 % 6/27/11 3,300 3,492
Shell International Finance BV 1.875 % 3/25/13 5,125 5,111
Shell International Finance BV 4.000 % 3/21/14 20,475 21,536
Shell International Finance BV 3.250 % 9/22/15 9,675 9,707


Shell International Finance BV 5.200 % 3/22/17 2,950 3,157
Shell International Finance BV 4.300 % 9/22/19 23,200 22,839
Shell International Finance BV 4.375 % 3/25/20 6,650 6,530
Shell International Finance BV 6.375 % 12/15/38 11,894 13,025
Shell International Finance BV 5.500 % 3/25/40 3,000 2,928
Smith International Inc. 9.750 % 3/15/19 13,100 17,606
Statoil ASA 3.875 % 4/15/14 6,750 7,039
Statoil ASA 2.900 % 10/15/14 2,250 2,249
Statoil ASA 5.250 % 4/15/19 11,325 11,801
Statoil ASA 7.250 % 9/23/27 2,375 2,771
4 Statoil ASA 6.500 % 12/1/28 975 1,055
Statoil ASA 7.150 % 1/15/29 2,850 3,309
Suncor Energy Inc. 6.100 % 6/1/18 3,150 3,394
Suncor Energy Inc. 7.150 % 2/1/32 1,275 1,416
Suncor Energy Inc. 5.950 % 12/1/34 250 242
Suncor Energy Inc. 6.500 % 6/15/38 19,625 20,436
Suncor Energy Inc. 6.850 % 6/1/39 700 758
Sunoco Inc. 4.875 % 10/15/14 1,325 1,341
Sunoco Inc. 5.750 % 1/15/17 1,925 1,905
Talisman Energy Inc. 5.125 % 5/15/15 1,125 1,192
Talisman Energy Inc. 7.750 % 6/1/19 16,137 19,111
Talisman Energy Inc. 7.250 % 10/15/27 850 938
Talisman Energy Inc. 5.850 % 2/1/37 5,000 4,793
Tosco Corp. 8.125 % 2/15/30 15,350 19,276
Total Capital SA 3.125 % 10/2/15 775 769
Total Capital SA 4.250 % 12/15/21 700 685
Transocean Inc. 5.250 % 3/15/13 3,375 3,637
Transocean Inc. 6.000 % 3/15/18 4,075 4,427
Transocean Inc. 7.500 % 4/15/31 2,325 2,733
Transocean Inc. 6.800 % 3/15/38 4,410 4,906
Valero Energy Corp. 6.875 % 4/15/12 14,200 15,418
Valero Energy Corp. 4.750 % 6/15/13 240 248
Valero Energy Corp. 4.500 % 2/1/15 2,625 2,627
Valero Energy Corp. 9.375 % 3/15/19 7,566 8,976
Valero Energy Corp. 6.125 % 2/1/20 3,675 3,659
Valero Energy Corp. 7.500 % 4/15/32 6,090 6,244
Valero Energy Corp. 6.625 % 6/15/37 4,615 4,369
Weatherford International Inc. 5.950 % 6/15/12 550 594
Weatherford International Inc. 6.350 % 6/15/17 10,550 11,280
Weatherford International Inc. 6.800 % 6/15/37 1,550 1,585
Weatherford International Ltd. 5.150 % 3/15/13 1,225 1,304
Weatherford International Ltd. 5.500 % 2/15/16 1,040 1,108
Weatherford International Ltd. 6.000 % 3/15/18 1,725 1,804
Weatherford International Ltd. 9.625 % 3/1/19 23,675 29,970
Weatherford International Ltd. 6.500 % 8/1/36 8,325 8,234
Weatherford International Ltd. 7.000 % 3/15/38 2,700 2,831
Williams Cos. Inc. 7.500 % 1/15/31 6,927 7,611
Williams Cos. Inc. 7.750 % 6/15/31 1,749 1,951
Williams Cos. Inc. 8.750 % 3/15/32 608 737
XTO Energy Inc. 5.900 % 8/1/12 4,125 4,529
XTO Energy Inc. 6.250 % 4/15/13 7,460 8,387
XTO Energy Inc. 5.750 % 12/15/13 4,650 5,197
XTO Energy Inc. 4.900 % 2/1/14 2,875 3,116
XTO Energy Inc. 5.000 % 1/31/15 1,350 1,465
XTO Energy Inc. 5.300 % 6/30/15 1,150 1,267
XTO Energy Inc. 6.250 % 8/1/17 9,075 10,308
XTO Energy Inc. 6.500 % 12/15/18 6,535 7,525
XTO Energy Inc. 6.100 % 4/1/36 1,025 1,107


XTO Energy Inc. 6.750 % 8/1/37 7,599 8,912
XTO Energy Inc. 6.375 % 6/15/38 1,450 1,627
 
Other Industrial (0.0%)          
Cintas Corp. No 2 6.125 % 12/1/17 2,500 2,746
 
Technology (0.7%)          
Adobe Systems Inc. 3.250 % 2/1/15 4,525 4,529
Adobe Systems Inc. 4.750 % 2/1/20 7,050 6,923
Agilent Technologies Inc. 4.450 % 9/14/12 575 603
Agilent Technologies Inc. 5.500 % 9/14/15 3,125 3,348
Agilent Technologies Inc. 6.500 % 11/1/17 14,750 16,001
Amphenol Corp. 4.750 % 11/15/14 4,125 4,240
Analog Devices Inc. 5.000 % 7/1/14 3,425 3,615
Arrow Electronics Inc. 6.875 % 7/1/13 200 221
Avnet Inc. 6.625 % 9/15/16 235 251
BMC Software Inc. 7.250 % 6/1/18 2,300 2,532
CA Inc. 5.375 % 12/1/19 3,500 3,537
Cisco Systems Inc. 2.900 % 11/17/14 1,975 1,994
Cisco Systems Inc. 5.500 % 2/22/16 3,665 4,081
Cisco Systems Inc. 4.950 % 2/15/19 15,150 15,684
Cisco Systems Inc. 4.450 % 1/15/20 2,500 2,482
Cisco Systems Inc. 5.900 % 2/15/39 24,940 25,163
Cisco Systems Inc. 5.500 % 1/15/40 6,625 6,331
Computer Sciences Corp. 5.500 % 3/15/13 1,650 1,771
Computer Sciences Corp. 6.500 % 3/15/18 2,200 2,427
Corning Inc. 6.625 % 5/15/19 700 775
Corning Inc. 7.250 % 8/15/36 300 317
Dell Inc. 3.375 % 6/15/12 800 833
Dell Inc. 4.700 % 4/15/13 5,875 6,315
Dell Inc. 5.650 % 4/15/18 3,225 3,432
Dell Inc. 5.875 % 6/15/19 3,850 4,159
Dell Inc. 6.500 % 4/15/38 3,200 3,364
Dun & Bradstreet Corp. 6.000 % 4/1/13 4,725 5,099
Electronic Data Systems LLC 6.000 % 8/1/13 5,225 5,837
Equifax Inc. 4.450 % 12/1/14 2,175 2,232
Equifax Inc. 6.300 % 7/1/17 1,075 1,143
Equifax Inc. 7.000 % 7/1/37 1,600 1,652
Fiserv Inc. 6.125 % 11/20/12 10,650 11,600
Fiserv Inc. 6.800 % 11/20/17 5,950 6,608
Harris Corp. 5.000 % 10/1/15 3,675 3,849
Harris Corp. 5.950 % 12/1/17 225 240
Hewlett-Packard Co. 2.250 % 5/27/11 1,600 1,626
Hewlett-Packard Co. 4.250 % 2/24/12 10,241 10,824
Hewlett-Packard Co. 6.500 % 7/1/12 1,410 1,565
Hewlett-Packard Co. 4.500 % 3/1/13 12,675 13,582
Hewlett-Packard Co. 6.125 % 3/1/14 17,700 19,946
Hewlett-Packard Co. 4.750 % 6/2/14 11,400 12,299
Hewlett-Packard Co. 5.400 % 3/1/17 2,035 2,188
Hewlett-Packard Co. 5.500 % 3/1/18 6,575 7,115
IBM International Group Capital LLC 5.050 % 10/22/12 20,275 22,020
International Business Machines Corp. 2.100 % 5/6/13 1,000 1,007
International Business Machines Corp. 7.500 % 6/15/13 3,150 3,669
International Business Machines Corp. 5.700 % 9/14/17 33,826 37,348
International Business Machines Corp. 7.625 % 10/15/18 6,475 7,955
International Business Machines Corp. 7.000 % 10/30/25 820 973
International Business Machines Corp. 6.220 % 8/1/27 5,375 5,825
International Business Machines Corp. 6.500 % 1/15/28 600 665


International Business Machines Corp. 5.875 % 11/29/32 500 523
International Business Machines Corp. 5.600 % 11/30/39 20,728 20,682
International Game Technology 7.500 % 6/15/19 1,600 1,806
Intuit Inc. 5.400 % 3/15/12 2,150 2,283
Intuit Inc. 5.750 % 3/15/17 1,900 2,002
Lexmark International Inc. 5.900 % 6/1/13 2,825 3,004
Lexmark International Inc. 6.650 % 6/1/18 4,650 4,742
Microsoft Corp. 2.950 % 6/1/14 7,800 7,944
Microsoft Corp. 4.200 % 6/1/19 8,250 8,354
Microsoft Corp. 5.200 % 6/1/39 2,075 2,049
Motorola Inc. 8.000 % 11/1/11 6,375 6,913
Motorola Inc. 5.375 % 11/15/12 4,975 5,265
Motorola Inc. 6.000 % 11/15/17 15,350 15,885
Motorola Inc. 7.500 % 5/15/25 850 896
Motorola Inc. 6.500 % 9/1/25 1,250 1,212
Motorola Inc. 6.500 % 11/15/28 500 481
Motorola Inc. 6.625 % 11/15/37 3,725 3,591
Nokia Oyj 5.375 % 5/15/19 5,050 5,326
Nokia Oyj 6.625 % 5/15/39 4,125 4,528
Oracle Corp. 4.950 % 4/15/13 6,725 7,319
Oracle Corp. 3.750 % 7/8/14 1,600 1,669
Oracle Corp. 5.250 % 1/15/16 19,296 21,208
Oracle Corp. 5.750 % 4/15/18 13,735 15,071
Oracle Corp. 5.000 % 7/8/19 14,725 15,397
Oracle Corp. 6.500 % 4/15/38 5,375 5,921
Oracle Corp. 6.125 % 7/8/39 7,400 7,828
Pitney Bowes Inc. 4.625 % 10/1/12 3,200 3,416
Pitney Bowes Inc. 3.875 % 6/15/13 4,225 4,418
Pitney Bowes Inc. 4.875 % 8/15/14 250 267
Pitney Bowes Inc. 4.750 % 1/15/16 12,000 12,619
Pitney Bowes Inc. 5.750 % 9/15/17 3,500 3,744
Pitney Bowes Inc. 4.750 % 5/15/18 275 275
Pitney Bowes Inc. 5.250 % 1/15/37 450 467
Science Applications International Corp. 6.250 % 7/1/12 1,000 1,092
Science Applications International Corp. 5.500 % 7/1/33 1,400 1,223
Tyco Electronics Group SA 6.000 % 10/1/12 850 915
Xerox Corp. 7.125 % 6/15/10 3,575 3,619
Xerox Corp. 6.875 % 8/15/11 13,825 14,736
Xerox Corp. 5.500 % 5/15/12 2,765 2,942
Xerox Corp. 7.625 % 6/15/13 3,600 3,699
Xerox Corp. 8.250 % 5/15/14 6,525 7,580
Xerox Corp. 4.250 % 2/15/15 4,475 4,534
Xerox Corp. 6.400 % 3/15/16 4,270 4,682
Xerox Corp. 6.750 % 2/1/17 3,050 3,367
Xerox Corp. 6.350 % 5/15/18 11,850 12,861
Xerox Corp. 5.625 % 12/15/19 1,375 1,412
Xerox Corp. 6.750 % 12/15/39 450 468
 
Transportation (0.4%)          
3 American Airlines Pass Through Trust 2009-          
1A 10.375 % 7/2/19 2,458 2,839
Burlington Northern Santa Fe Corp. 6.750 % 7/15/11 3,095 3,304
Burlington Northern Santa Fe Corp. 5.900 % 7/1/12 2,625 2,858
Burlington Northern Santa Fe Corp. 5.650 % 5/1/17 7,750 8,292
Burlington Northern Santa Fe Corp. 7.000 % 12/15/25 5,250 5,825
Burlington Northern Santa Fe Corp. 6.200 % 8/15/36 3,450 3,556
Burlington Northern Santa Fe LLC 7.000 % 2/1/14 500 571
Burlington Northern Santa Fe LLC 5.750 % 3/15/18 3,250 3,478


Burlington Northern Santa Fe LLC 6.150 % 5/1/37 91 94
Canadian National Railway Co. 6.375 % 10/15/11 1,075 1,156
Canadian National Railway Co. 4.400 % 3/15/13 2,575 2,700
Canadian National Railway Co. 4.950 % 1/15/14 1,875 2,027
Canadian National Railway Co. 5.800 % 6/1/16 750 829
Canadian National Railway Co. 5.850 % 11/15/17 1,150 1,254
Canadian National Railway Co. 6.900 % 7/15/28 600 691
Canadian National Railway Co. 6.250 % 8/1/34 1,625 1,760
Canadian National Railway Co. 6.200 % 6/1/36 2,675 2,841
Canadian National Railway Co. 6.375 % 11/15/37 900 983
Canadian Pacific Railway Co. 7.125 % 10/15/31 525 565
Canadian Pacific Railway Co. 5.950 % 5/15/37 1,075 1,038
Con-way Inc. 6.700 % 5/1/34 3,425 3,098
Continental Airlines 2009-2 Pass Through          
Trust 7.250 % 11/10/19 2,350 2,532
3 Continental Airlines Inc. 6.648 % 9/15/17 6,356 6,372
3 Continental Airlines Inc. 6.900 % 1/2/18 3,407 3,441
3 Continental Airlines Inc. 6.545 % 2/2/19 267 269
3 Continental Airlines Inc. 5.983 % 4/19/22 655 645
CSX Corp. 6.300 % 3/15/12 1,550 1,677
CSX Corp. 5.750 % 3/15/13 125 136
CSX Corp. 6.250 % 4/1/15 5,125 5,721
CSX Corp. 5.600 % 5/1/17 1,500 1,577
CSX Corp. 7.900 % 5/1/17 2,513 2,953
CSX Corp. 6.250 % 3/15/18 9,975 10,748
CSX Corp. 7.375 % 2/1/19 19,250 22,352
CSX Corp. 6.000 % 10/1/36 5,931 5,840
CSX Corp. 6.150 % 5/1/37 2,475 2,486
4 CSX Corp. 6.220 % 4/30/40 5,562 5,602
3 Delta Air Lines Inc. 7.750 % 12/17/19 5,900 6,298
3 Delta Air Lines Inc. 6.821 % 8/10/22 9,081 8,990
Norfolk Southern Corp. 5.257 % 9/17/14 45 48
Norfolk Southern Corp. 5.750 % 1/15/16 1,700 1,877
Norfolk Southern Corp. 7.700 % 5/15/17 5,125 6,084
Norfolk Southern Corp. 5.750 % 4/1/18 2,575 2,765
Norfolk Southern Corp. 5.900 % 6/15/19 6,325 6,845
Norfolk Southern Corp. 5.590 % 5/17/25 534 527
Norfolk Southern Corp. 7.800 % 5/15/27 3,245 3,896
Norfolk Southern Corp. 5.640 % 5/17/29 1,680 1,655
Norfolk Southern Corp. 7.050 % 5/1/37 10,175 11,720
Norfolk Southern Corp. 7.900 % 5/15/97 1,800 2,132
Norfolk Southern Railway Co. 9.750 % 6/15/20 1,554 2,088
Ryder System Inc. 5.950 % 5/2/11 1,251 1,310
Ryder System Inc. 5.850 % 3/1/14 1,725 1,837
Ryder System Inc. 7.200 % 9/1/15 3,650 4,094
Ryder System Inc. 5.850 % 11/1/16 7,425 7,818
Southwest Airlines Co. 6.500 % 3/1/12 6,725 7,185
Southwest Airlines Co. 5.250 % 10/1/14 175 181
Southwest Airlines Co. 5.750 % 12/15/16 3,300 3,349
Southwest Airlines Co. 5.125 % 3/1/17 700 680
3 Southwest Airlines Co. 2007-1 Pass Through          
Trust 6.150 % 8/1/22 1,834 1,895
Union Pacific Corp. 6.650 % 1/15/11 4,730 4,945
Union Pacific Corp. 6.125 % 1/15/12 250 269
Union Pacific Corp. 6.500 % 4/15/12 992 1,084
Union Pacific Corp. 5.450 % 1/31/13 4,375 4,745
Union Pacific Corp. 5.375 % 5/1/14 325 351
Union Pacific Corp. 7.000 % 2/1/16 350 402


Union Pacific Corp. 5.650 % 5/1/17 4,050 4,308
Union Pacific Corp. 5.750 % 11/15/17 6,825 7,331
Union Pacific Corp. 5.700 % 8/15/18 21,485 22,601
Union Pacific Corp. 7.875 % 1/15/19 625 750
Union Pacific Corp. 6.625 % 2/1/29 1,775 1,906
3 Union Pacific Railroad Co. 2007-3 Pass          
Through Trust 6.176 % 1/2/31 1,330 1,474
United Parcel Service Inc. 3.875 % 4/1/14 10,800 11,328
United Parcel Service Inc. 5.500 % 1/15/18 2,360 2,577
United Parcel Service Inc. 5.125 % 4/1/19 5,850 6,236
United Parcel Service Inc. 6.200 % 1/15/38 4,575 4,981
          8,018,785
Utilities (2.2%)          
Electric (1.6%)          
AEP Texas Central Co. 6.650 % 2/15/33 2,300 2,406
Alabama Power Co. 4.850 % 12/15/12 1,875 2,028
Alabama Power Co. 5.500 % 10/15/17 3,500 3,748
Alabama Power Co. 6.000 % 3/1/39 4,800 5,025
Ameren Energy Generating Co. 7.000 % 4/15/18 95 101
Ameren Energy Generating Co. 7.950 % 6/1/32 230 248
American Water Capital Corp. 6.085 % 10/15/17 10,200 10,898
American Water Capital Corp. 6.593 % 10/15/37 5,300 5,525
Appalachian Power Co. 5.650 % 8/15/12 3,040 3,281
Appalachian Power Co. 7.950 % 1/15/20 350 425
Appalachian Power Co. 5.800 % 10/1/35 950 917
Appalachian Power Co. 7.000 % 4/1/38 4,400 4,982
Arizona Public Service Co. 6.375 % 10/15/11 600 639
Arizona Public Service Co. 5.800 % 6/30/14 625 674
Arizona Public Service Co. 4.650 % 5/15/15 875 899
Arizona Public Service Co. 5.500 % 9/1/35 600 542
Atlantic City Electric Co. 7.750 % 11/15/18 5,225 6,202
Baltimore Gas & Electric Co. 5.900 % 10/1/16 3,525 3,713
Baltimore Gas & Electric Co. 6.350 % 10/1/36 625 640
Carolina Power & Light Co. 6.500 % 7/15/12 1,575 1,734
Carolina Power & Light Co. 5.125 % 9/15/13 5,350 5,824
Carolina Power & Light Co. 5.300 % 1/15/19 21,825 22,975
CenterPoint Energy Houston Electric LLC 5.700 % 3/15/13 13,610 14,706
CenterPoint Energy Houston Electric LLC 5.750 % 1/15/14 400 436
CenterPoint Energy Houston Electric LLC 7.000 % 3/1/14 225 257
CenterPoint Energy Houston Electric LLC 6.950 % 3/15/33 300 327
CenterPoint Energy Inc. 6.500 % 5/1/18 70 74
Cleveland Electric Illuminating Co. 5.650 % 12/15/13 175 189
Cleveland Electric Illuminating Co. 7.880 % 11/1/17 1,125 1,328
Cleveland Electric Illuminating Co. 5.500 % 8/15/24 900 893
Columbus Southern Power Co. 5.850 % 10/1/35 5,450 5,332
Commonwealth Edison Co. 6.150 % 3/15/12 1,750 1,901
Commonwealth Edison Co. 5.950 % 8/15/16 9,030 9,878
Commonwealth Edison Co. 6.150 % 9/15/17 13,650 15,121
Commonwealth Edison Co. 5.800 % 3/15/18 2,975 3,203
Commonwealth Edison Co. 5.875 % 2/1/33 490 497
Commonwealth Edison Co. 5.900 % 3/15/36 2,375 2,401
Commonwealth Edison Co. 6.450 % 1/15/38 3,025 3,265
Connecticut Light & Power Co. 6.350 % 6/1/36 5,100 5,427
Consolidated Edison Co. of New York Inc. 4.875 % 2/1/13 2,940 3,171
Consolidated Edison Co. of New York Inc. 5.375 % 12/15/15 1,400 1,520
Consolidated Edison Co. of New York Inc. 5.500 % 9/15/16 5,475 6,003
Consolidated Edison Co. of New York Inc. 5.850 % 4/1/18 350 384


Consolidated Edison Co. of New York Inc. 6.650 % 4/1/19 5,975 6,829
Consolidated Edison Co. of New York Inc. 5.300 % 3/1/35 1,950 1,811
Consolidated Edison Co. of New York Inc. 5.850 % 3/15/36 1,925 1,933
Consolidated Edison Co. of New York Inc. 6.200 % 6/15/36 3,000 3,153
Consolidated Edison Co. of New York Inc. 6.300 % 8/15/37 6,150 6,527
Consolidated Edison Co. of New York Inc. 6.750 % 4/1/38 3,075 3,469
Consolidated Edison Co. of New York Inc. 5.500 % 12/1/39 3,400 3,248
Consolidated Natural Gas Co. 6.250 % 11/1/11 7,500 8,052
Consolidated Natural Gas Co. 5.000 % 12/1/14 4,725 5,049
Constellation Energy Group Inc. 4.550 % 6/15/15 16,406 16,777
Constellation Energy Group Inc. 7.600 % 4/1/32 2,015 2,307
Consumers Energy Co. 5.000 % 2/15/12 2,125 2,259
Consumers Energy Co. 5.375 % 4/15/13 4,100 4,435
Consumers Energy Co. 5.500 % 8/15/16 1,800 1,919
Consumers Energy Co. 6.125 % 3/15/19 550 601
Consumers Energy Co. 6.700 % 9/15/19 5,000 5,660
Consumers Energy Co. 5.650 % 4/15/20 800 838
Detroit Edison Co. 6.125 % 10/1/10 2,230 2,286
Detroit Edison Co. 5.700 % 10/1/37 950 939
Dominion Resources Inc. 4.750 % 12/15/10 2,000 2,055
Dominion Resources Inc. 6.250 % 6/30/12 2,275 2,475
Dominion Resources Inc. 5.700 % 9/17/12 730 792
Dominion Resources Inc. 5.150 % 7/15/15 12,533 13,526
Dominion Resources Inc. 6.000 % 11/30/17 4,625 5,053
Dominion Resources Inc. 6.400 % 6/15/18 290 322
Dominion Resources Inc. 6.300 % 3/15/33 1,400 1,463
Dominion Resources Inc. 5.250 % 8/1/33 2,575 2,726
Dominion Resources Inc. 5.950 % 6/15/35 7,950 8,067
Dominion Resources Inc. 7.000 % 6/15/38 825 947
3 Dominion Resources Inc. 7.500 % 6/30/66 3,375 3,330
3 Dominion Resources Inc. 6.300 % 9/30/66 2,275 2,153
DPL Inc. 6.875 % 9/1/11 455 487
DTE Energy Co. 7.050 % 6/1/11 5,240 5,548
DTE Energy Co. 6.375 % 4/15/33 175 167
Duke Energy Carolinas LLC 6.250 % 1/15/12 7,332 7,969
Duke Energy Carolinas LLC 5.750 % 11/15/13 400 448
Duke Energy Carolinas LLC 6.000 % 12/1/28 1,475 1,522
Duke Energy Carolinas LLC 6.450 % 10/15/32 1,575 1,679
Duke Energy Carolinas LLC 6.100 % 6/1/37 9,000 9,408
Duke Energy Carolinas LLC 6.000 % 1/15/38 175 182
Duke Energy Carolinas LLC 6.050 % 4/15/38 3,975 4,187
Duke Energy Carolinas LLC 5.300 % 2/15/40 2,875 2,743
Duke Energy Corp. 6.300 % 2/1/14 4,420 4,927
Duke Energy Corp. 3.950 % 9/15/14 5,225 5,410
Duke Energy Corp. 3.350 % 4/1/15 4,675 4,648
Duke Energy Corp. 5.050 % 9/15/19 6,900 6,996
Duke Energy Indiana Inc. 5.000 % 9/15/13 425 450
Duke Energy Indiana Inc. 6.050 % 6/15/16 325 354
Duke Energy Indiana Inc. 6.120 % 10/15/35 1,075 1,089
Duke Energy Indiana Inc. 6.350 % 8/15/38 8,100 8,695
Duke Energy Indiana Inc. 6.450 % 4/1/39 900 979
Duke Energy Ohio Inc. 5.700 % 9/15/12 3,975 4,325
Duke Energy Ohio Inc. 2.100 % 6/15/13 3,800 3,812
Duke Energy Ohio Inc. 5.450 % 4/1/19 8 9
El Paso Electric Co. 6.000 % 5/15/35 1,725 1,568
Empresa Nacional de Electricidad SA 8.350 % 8/1/13 2,275 2,584
Energy East Corp. 6.750 % 6/15/12 4,900 5,409
Energy East Corp. 6.750 % 7/15/36 3,650 3,924


Enersis SA 7.375 % 1/15/14 2,500 2,755
Entergy Gulf States Louisiana LLC 6.000 % 5/1/18 8,675 9,225
Entergy Louisiana LLC 6.500 % 9/1/18 1,350 1,460
Entergy Louisiana LLC 5.400 % 11/1/24 125 126
Exelon Corp. 4.900 % 6/15/15 4,275 4,470
Exelon Corp. 5.625 % 6/15/35 755 703
Exelon Generation Co. LLC 5.350 % 1/15/14 3,148 3,382
Exelon Generation Co. LLC 5.200 % 10/1/19 4,675 4,733
Exelon Generation Co. LLC 6.250 % 10/1/39 5,800 5,865
FirstEnergy Corp. 6.450 % 11/15/11 1,637 1,736
FirstEnergy Corp. 7.375 % 11/15/31 6,476 6,687
FirstEnergy Solutions Corp. 4.800 % 2/15/15 7,600 7,784
FirstEnergy Solutions Corp. 6.050 % 8/15/21 75 75
FirstEnergy Solutions Corp. 6.800 % 8/15/39 100 99
Florida Power & Light Co. 4.850 % 2/1/13 2,375 2,551
Florida Power & Light Co. 5.550 % 11/1/17 1,850 2,000
Florida Power & Light Co. 5.950 % 10/1/33 225 230
Florida Power & Light Co. 5.625 % 4/1/34 3,825 3,740
Florida Power & Light Co. 4.950 % 6/1/35 550 489
Florida Power & Light Co. 5.400 % 9/1/35 5,650 5,353
Florida Power & Light Co. 6.200 % 6/1/36 3,650 3,846
Florida Power & Light Co. 5.650 % 2/1/37 3,975 3,965
Florida Power & Light Co. 5.850 % 5/1/37 1,675 1,705
Florida Power & Light Co. 5.950 % 2/1/38 9,450 9,754
Florida Power & Light Co. 5.960 % 4/1/39 2,350 2,430
Florida Power Corp. 4.800 % 3/1/13 9,875 10,536
Florida Power Corp. 5.650 % 6/15/18 3,100 3,345
Florida Power Corp. 6.350 % 9/15/37 10,425 11,181
Florida Power Corp. 6.400 % 6/15/38 4,550 4,915
FPL Group Capital Inc. 5.625 % 9/1/11 1,200 1,267
FPL Group Capital Inc. 5.350 % 6/15/13 2,600 2,818
FPL Group Capital Inc. 6.000 % 3/1/19 25,000 26,901
3 FPL Group Capital Inc. 6.350 % 10/1/66 2,175 2,049
3 FPL Group Capital Inc. 6.650 % 6/15/67 2,750 2,580
Georgia Power Co. 6.000 % 11/1/13 3,000 3,384
Georgia Power Co. 5.700 % 6/1/17 9,665 10,585
Georgia Power Co. 5.650 % 3/1/37 325 322
Georgia Power Co. 5.950 % 2/1/39 750 780
Illinois Power Co. 6.125 % 11/15/17 1,300 1,386
Illinois Power Co. 6.250 % 4/1/18 4,425 4,721
Indiana Michigan Power Co. 7.000 % 3/15/19 625 708
Indiana Michigan Power Co. 6.050 % 3/15/37 8,175 8,210
3 Integrys Energy Group Inc. 6.110 % 12/1/66 4,350 3,880
Interstate Power & Light Co. 6.250 % 7/15/39 2,600 2,712
Jersey Central Power & Light Co. 5.625 % 5/1/16 3,025 3,183
Jersey Central Power & Light Co. 5.650 % 6/1/17 1,925 2,033
Kansas City Power & Light Co. 6.050 % 11/15/35 1,725 1,721
3 Kansas Gas & Electric 5.647 % 3/29/21 171 172
KCP&L Greater Missouri Operations Co. 11.875 % 7/1/12 425 497
MidAmerican Energy Co. 5.650 % 7/15/12 2,625 2,842
MidAmerican Energy Co. 5.125 % 1/15/13 6,175 6,685
MidAmerican Energy Co. 5.950 % 7/15/17 1,825 1,981
MidAmerican Energy Co. 5.300 % 3/15/18 450 471
MidAmerican Energy Co. 6.750 % 12/30/31 4,650 5,150
MidAmerican Energy Co. 5.750 % 11/1/35 1,400 1,384
Midamerican Energy Holdings Co. 5.875 % 10/1/12 5,845 6,393
Midamerican Energy Holdings Co. 5.000 % 2/15/14 1,175 1,251
Midamerican Energy Holdings Co. 5.750 % 4/1/18 9,050 9,625


Midamerican Energy Holdings Co. 8.480 % 9/15/28 600 744
Midamerican Energy Holdings Co. 6.125 % 4/1/36 26,876 27,077
Midamerican Energy Holdings Co. 5.950 % 5/15/37 7,950 7,774
Midamerican Energy Holdings Co. 6.500 % 9/15/37 850 899
National Rural Utilities Cooperative Finance          
Corp. 7.250 % 3/1/12 15,216 16,744
National Rural Utilities Cooperative Finance          
Corp. 2.625 % 9/16/12 2,725 2,782
National Rural Utilities Cooperative Finance          
Corp. 5.500 % 7/1/13 5,775 6,338
National Rural Utilities Cooperative Finance          
Corp. 4.750 % 3/1/14 2,265 2,419
National Rural Utilities Cooperative Finance          
Corp. 3.875 % 9/16/15 6,750 6,877
National Rural Utilities Cooperative Finance          
Corp. 5.450 % 4/10/17 4,600 4,893
National Rural Utilities Cooperative Finance          
Corp. 5.450 % 2/1/18 11,585 12,199
National Rural Utilities Cooperative Finance          
Corp. 10.375 % 11/1/18 4,380 5,811
National Rural Utilities Cooperative Finance          
Corp. 8.000 % 3/1/32 3,250 3,885
Nevada Power Co. 7.125 % 3/15/19 14,525 16,411
Nevada Power Co. 6.750 % 7/1/37 1,175 1,265
4 Niagara Mohawk Power Corp. 4.881 % 8/15/19 575 574
Nisource Finance Corp. 6.150 % 3/1/13 425 462
Nisource Finance Corp. 5.400 % 7/15/14 2,125 2,256
Nisource Finance Corp. 5.250 % 9/15/17 925 932
Nisource Finance Corp. 6.400 % 3/15/18 650 697
Nisource Finance Corp. 6.800 % 1/15/19 150 163
Nisource Finance Corp. 5.450 % 9/15/20 1,600 1,583
Nisource Finance Corp. 6.125 % 3/1/22 2,375 2,465
Northern States Power Co. 5.250 % 3/1/18 1,875 1,970
Northern States Power Co. 5.250 % 7/15/35 325 306
Northern States Power Co. 6.250 % 6/1/36 1,600 1,715
Northern States Power Co. 6.200 % 7/1/37 5,425 5,784
Northern States Power Co. 5.350 % 11/1/39 3,700 3,517
NSTAR 4.500 % 11/15/19 1,575 1,565
NSTAR Electric Co. 4.875 % 4/15/14 2,600 2,759
NSTAR Electric Co. 5.625 % 11/15/17 5,350 5,758
NSTAR Electric Co. 5.500 % 3/15/40 2,950 3,008
Oglethorpe Power Corp. 5.950 % 11/1/39 1,700 1,744
Ohio Edison Co. 6.400 % 7/15/16 3,800 4,180
Ohio Power Co. 5.750 % 9/1/13 6,725 7,297
Ohio Power Co. 6.000 % 6/1/16 3,275 3,609
Oncor Electric Delivery Co. LLC 6.375 % 5/1/12 3,000 3,245
Oncor Electric Delivery Co. LLC 5.950 % 9/1/13 4,225 4,626
Oncor Electric Delivery Co. LLC 6.375 % 1/15/15 7,140 7,922
Oncor Electric Delivery Co. LLC 6.800 % 9/1/18 7,225 8,075
Oncor Electric Delivery Co. LLC 7.000 % 9/1/22 4,171 4,771
Oncor Electric Delivery Co. LLC 7.000 % 5/1/32 2,125 2,307
Oncor Electric Delivery Co. LLC 7.250 % 1/15/33 3,680 4,149
Oncor Electric Delivery Co. LLC 7.500 % 9/1/38 1,805 2,096
Pacific Gas & Electric Co. 4.800 % 3/1/14 16,825 18,098
Pacific Gas & Electric Co. 5.625 % 11/30/17 3,425 3,692
Pacific Gas & Electric Co. 8.250 % 10/15/18 475 580
Pacific Gas & Electric Co. 6.050 % 3/1/34 13,598 14,003
Pacific Gas & Electric Co. 5.800 % 3/1/37 10,125 10,033


Pacific Gas & Electric Co. 6.250 % 3/1/39 3,675 3,859
PacifiCorp 6.900 % 11/15/11 6,150 6,698
PacifiCorp 7.700 % 11/15/31 1,025 1,271
PacifiCorp 5.250 % 6/15/35 100 94
PacifiCorp 6.250 % 10/15/37 6,625 7,083
PacifiCorp 6.000 % 1/15/39 875 906
Peco Energy Co. 5.350 % 3/1/18 2,675 2,837
Pennsylvania Electric Co. 6.050 % 9/1/17 2,250 2,390
Pennsylvania Electric Co. 5.200 % 4/1/20 10,400 10,413
Pennsylvania Electric Co. 6.150 % 10/1/38 10,400 10,376
Pepco Holdings Inc. 6.450 % 8/15/12 6,625 7,123
Pepco Holdings Inc. 7.450 % 8/15/32 1,225 1,306
Potomac Electric Power Co. 6.500 % 11/15/37 7,882 8,525
PPL Electric Utilities Corp. 6.250 % 5/15/39 4,600 5,014
PPL Energy Supply LLC 6.400 % 11/1/11 10,200 10,937
PPL Energy Supply LLC 6.300 % 7/15/13 2,950 3,232
PPL Energy Supply LLC 5.400 % 8/15/14 800 840
PPL Energy Supply LLC 6.200 % 5/15/16 1,545 1,656
PPL Energy Supply LLC 6.500 % 5/1/18 8,025 8,578
Progress Energy Inc. 6.850 % 4/15/12 1,675 1,832
Progress Energy Inc. 6.050 % 3/15/14 875 962
Progress Energy Inc. 5.625 % 1/15/16 1,275 1,365
Progress Energy Inc. 7.050 % 3/15/19 1,400 1,585
Progress Energy Inc. 4.875 % 12/1/19 8,100 7,972
Progress Energy Inc. 7.750 % 3/1/31 1,525 1,796
Progress Energy Inc. 7.000 % 10/30/31 4,400 4,806
Progress Energy Inc. 6.000 % 12/1/39 6,700 6,547
PSEG Power LLC 7.750 % 4/15/11 1,250 1,336
PSEG Power LLC 6.950 % 6/1/12 15,800 17,409
4 PSEG Power LLC 2.500 % 4/15/13 1,775 1,778
PSEG Power LLC 5.000 % 4/1/14 3,150 3,266
PSEG Power LLC 5.500 % 12/1/15 10,575 11,430
PSEG Power LLC 8.625 % 4/15/31 350 448
Public Service Co. of Colorado 7.875 % 10/1/12 8,525 9,779
Public Service Co. of Colorado 5.500 % 4/1/14 165 180
Public Service Co. of Colorado 5.800 % 8/1/18 1,475 1,608
Public Service Co. of Colorado 5.125 % 6/1/19 8,825 9,225
Public Service Co. of Colorado 6.250 % 9/1/37 2,325 2,529
Public Service Co. of Oklahoma 5.150 % 12/1/19 100 102
Public Service Co. of Oklahoma 6.625 % 11/15/37 4,675 4,925
Public Service Electric & Gas Co. 5.250 % 7/1/35 475 452
Public Service Electric & Gas Co. 5.800 % 5/1/37 4,600 4,703
Puget Sound Energy Inc. 5.483 % 6/1/35 800 748
Puget Sound Energy Inc. 6.274 % 3/15/37 5,175 5,386
Puget Sound Energy Inc. 5.757 % 10/1/39 2,675 2,590
Puget Sound Energy Inc. 5.795 % 3/15/40 1,515 1,489
San Diego Gas & Electric Co. 5.300 % 11/15/15 2,100 2,320
San Diego Gas & Electric Co. 5.350 % 5/15/35 800 766
San Diego Gas & Electric Co. 6.125 % 9/15/37 250 266
San Diego Gas & Electric Co. 6.000 % 6/1/39 900 956
SCANA Corp. 6.875 % 5/15/11 5,300 5,607
Sierra Pacific Power Co. 6.000 % 5/15/16 3,750 4,083
Sierra Pacific Power Co. 6.750 % 7/1/37 4,250 4,557
South Carolina Electric & Gas Co. 6.500 % 11/1/18 1,575 1,799
South Carolina Electric & Gas Co. 6.625 % 2/1/32 2,125 2,349
South Carolina Electric & Gas Co. 5.300 % 5/15/33 220 207
South Carolina Electric & Gas Co. 6.050 % 1/15/38 4,300 4,467
Southern California Edison Co. 5.000 % 1/15/14 3,200 3,460


Southern California Edison Co. 4.650 % 4/1/15 1,675 1,790
Southern California Edison Co. 5.000 % 1/15/16 1,175 1,275
Southern California Edison Co. 5.500 % 8/15/18 400 431
Southern California Edison Co. 6.650 % 4/1/29 100 109
Southern California Edison Co. 6.000 % 1/15/34 6,975 7,275
Southern California Edison Co. 5.750 % 4/1/35 925 935
Southern California Edison Co. 5.350 % 7/15/35 4,400 4,213
Southern California Edison Co. 5.550 % 1/15/36 1,400 1,378
Southern California Edison Co. 5.625 % 2/1/36 6,275 6,239
Southern California Edison Co. 5.550 % 1/15/37 6,975 6,862
Southern California Edison Co. 5.950 % 2/1/38 410 426
Southern Co. 5.300 % 1/15/12 2,250 2,400
Southern Co. 4.150 % 5/15/14 3,850 4,032
Southern Power Co. 6.250 % 7/15/12 3,280 3,618
Southern Power Co. 4.875 % 7/15/15 6,550 6,967
Southwestern Electric Power Co. 5.550 % 1/15/17 400 416
Southwestern Electric Power Co. 6.450 % 1/15/19 3,625 3,905
Southwestern Electric Power Co. 6.200 % 3/15/40 2,175 2,170
Tampa Electric Co. 6.375 % 8/15/12 3,950 4,309
Tampa Electric Co. 6.100 % 5/15/18 275 297
Tampa Electric Co. 6.550 % 5/15/36 3,000 3,176
Teco Finance Inc. 4.000 % 3/15/16 2,650 2,617
Teco Finance Inc. 5.150 % 3/15/20 2,475 2,450
Toledo Edison Co. 6.150 % 5/15/37 6,525 6,596
TransAlta Corp. 4.750 % 1/15/15 1,050 1,083
TransAlta Corp. 6.650 % 5/15/18 1,325 1,421
Union Electric Co. 5.400 % 2/1/16 3,225 3,334
Union Electric Co. 6.700 % 2/1/19 6,566 7,263
Union Electric Co. 8.450 % 3/15/39 2,725 3,591
United Utilities PLC 5.375 % 2/1/19 4,950 4,895
Virginia Electric and Power Co. 5.100 % 11/30/12 800 872
Virginia Electric and Power Co. 5.400 % 1/15/16 1,300 1,405
Virginia Electric and Power Co. 5.000 % 6/30/19 3,500 3,635
Virginia Electric and Power Co. 6.000 % 1/15/36 5,575 5,710
Virginia Electric and Power Co. 6.000 % 5/15/37 3,375 3,482
Virginia Electric and Power Co. 6.350 % 11/30/37 3,450 3,726
Virginia Electric and Power Co. 8.875 % 11/15/38 675 943
Wisconsin Electric Power Co. 6.000 % 4/1/14 950 1,057
Wisconsin Electric Power Co. 4.250 % 12/15/19 4,600 4,516
Wisconsin Electric Power Co. 5.625 % 5/15/33 1,025 1,013
Wisconsin Electric Power Co. 5.700 % 12/1/36 825 823
Wisconsin Energy Corp. 6.500 % 4/1/11 8,000 8,441
3 Wisconsin Energy Corp. 6.250 % 5/15/67 14,025 13,282
Wisconsin Power & Light Co. 5.000 % 7/15/19 1,175 1,182
Wisconsin Power & Light Co. 6.375 % 8/15/37 4,250 4,494
Xcel Energy Inc. 5.613 % 4/1/17 592 618
Xcel Energy Inc. 6.500 % 7/1/36 3,050 3,209
 
Natural Gas (0.6%)          
AGL Capital Corp. 5.250 % 8/15/19 1,100 1,112
AGL Capital Corp. 6.000 % 10/1/34 150 146
Atmos Energy Corp. 4.950 % 10/15/14 3,320 3,511
Atmos Energy Corp. 8.500 % 3/15/19 2,275 2,791
Boardwalk Pipelines LP 5.500 % 2/1/17 3,225 3,327
British Transco Finance Inc. 6.625 % 6/1/18 1,625 1,796
Buckeye Partners LP 6.050 % 1/15/18 350 370
CenterPoint Energy Resources Corp. 7.875 % 4/1/13 3,505 4,017
CenterPoint Energy Resources Corp. 6.150 % 5/1/16 1,350 1,454


DCP Midstream LLC 8.125 % 8/16/30 325 382
El Paso Natural Gas Co. 5.950 % 4/15/17 15,930 16,641
El Paso Natural Gas Co. 8.625 % 1/15/22 6,755 8,183
Enbridge Energy Partners LP 6.500 % 4/15/18 2,225 2,468
Enbridge Energy Partners LP 9.875 % 3/1/19 4,975 6,456
Enbridge Energy Partners LP 7.500 % 4/15/38 7,120 8,303
Enbridge Inc. 5.600 % 4/1/17 275 295
Energy Transfer Partners LP 5.650 % 8/1/12 4,925 5,286
Energy Transfer Partners LP 6.000 % 7/1/13 6,910 7,478
Energy Transfer Partners LP 8.500 % 4/15/14 8,375 9,737
Energy Transfer Partners LP 5.950 % 2/1/15 8,475 9,240
Energy Transfer Partners LP 6.125 % 2/15/17 1,225 1,284
Energy Transfer Partners LP 9.000 % 4/15/19 7,900 9,667
Energy Transfer Partners LP 6.625 % 10/15/36 2,050 2,065
Energy Transfer Partners LP 7.500 % 7/1/38 2,590 2,898
6 Enron Corp. 7.625 % 9/10/04 1,600 4
6 Enron Corp. 6.625 % 11/15/05 1,075 2
6 Enron Corp. 7.125 % 5/15/07 6,846 16
6 Enron Corp. 6.875 % 10/15/07 6,700 15
6 Enron Corp. 6.750 % 8/1/09 5,145 12
Enterprise Products Operating LLC 4.950 % 6/1/10 3,825 3,850
Enterprise Products Operating LLC 4.600 % 8/1/12 22,975 24,251
Enterprise Products Operating LLC 5.650 % 4/1/13 3,475 3,757
Enterprise Products Operating LLC 5.900 % 4/15/13 2,175 2,363
Enterprise Products Operating LLC 9.750 % 1/31/14 16,675 20,246
Enterprise Products Operating LLC 5.600 % 10/15/14 4,726 5,122
Enterprise Products Operating LLC 6.300 % 9/15/17 9,050 9,930
Enterprise Products Operating LLC 6.650 % 4/15/18 2,425 2,690
Enterprise Products Operating LLC 6.500 % 1/31/19 2,775 3,061
Enterprise Products Operating LLC 6.875 % 3/1/33 1,950 2,081
Enterprise Products Operating LLC 6.650 % 10/15/34 650 677
Enterprise Products Operating LLC 7.550 % 4/15/38 1,375 1,572
EQT Corp. 6.500 % 4/1/18 11,475 12,321
EQT Corp. 8.125 % 6/1/19 325 387
6 HNG Internorth 9.625 % 3/15/06 3,680 8
KeySpan Corp. 8.000 % 11/15/30 50 61
Kinder Morgan Energy Partners LP 7.125 % 3/15/12 5,660 6,195
Kinder Morgan Energy Partners LP 5.850 % 9/15/12 6,595 7,158
Kinder Morgan Energy Partners LP 5.000 % 12/15/13 12,565 13,401
Kinder Morgan Energy Partners LP 5.125 % 11/15/14 1,925 2,043
Kinder Morgan Energy Partners LP 5.625 % 2/15/15 300 326
Kinder Morgan Energy Partners LP 6.000 % 2/1/17 150 161
Kinder Morgan Energy Partners LP 5.950 % 2/15/18 10,325 11,036
Kinder Morgan Energy Partners LP 6.850 % 2/15/20 2,025 2,271
Kinder Morgan Energy Partners LP 7.300 % 8/15/33 350 389
Kinder Morgan Energy Partners LP 5.800 % 3/15/35 100 94
Kinder Morgan Energy Partners LP 6.500 % 2/1/37 640 659
Kinder Morgan Energy Partners LP 6.950 % 1/15/38 3,200 3,463
Kinder Morgan Energy Partners LP 6.500 % 9/1/39 5,275 5,403
Magellan Midstream Partners LP 5.650 % 10/15/16 875 922
Magellan Midstream Partners LP 6.550 % 7/15/19 4,525 5,010
National Grid PLC 6.300 % 8/1/16 8,600 9,553
NuStar Logistics LP 7.650 % 4/15/18 4,825 5,430
Oneok Inc. 5.200 % 6/15/15 2,950 3,163
Oneok Inc. 6.000 % 6/15/35 2,275 2,184
ONEOK Partners LP 5.900 % 4/1/12 3,000 3,211
ONEOK Partners LP 6.150 % 10/1/16 4,525 4,866
ONEOK Partners LP 8.625 % 3/1/19 16,250 20,131


ONEOK Partners LP 6.650 % 10/1/36 12,525 13,025
ONEOK Partners LP 6.850 % 10/15/37 4,925 5,299
Panhandle Eastern Pipeline Co. LP 6.200 % 11/1/17 8,050 8,583
Panhandle Eastern Pipeline Co. LP 7.000 % 6/15/18 1,050 1,169
Plains All American Pipeline LP / PAA          
Finance Corp. 4.250 % 9/1/12 7,350 7,669
Plains All American Pipeline LP / PAA          
Finance Corp. 6.125 % 1/15/17 4,440 4,768
Plains All American Pipeline LP / PAA          
Finance Corp. 6.500 % 5/1/18 925 1,011
Plains All American Pipeline LP / PAA          
Finance Corp. 8.750 % 5/1/19 2,475 3,037
Plains All American Pipeline LP / PAA          
Finance Corp. 5.750 % 1/15/20 400 413
Plains All American Pipeline LP / PAA          
Finance Corp. 6.650 % 1/15/37 1,000 1,036
Sempra Energy 6.000 % 2/1/13 700 753
Sempra Energy 6.150 % 6/15/18 100 108
Southern California Gas Co. 5.750 % 11/15/35 950 968
4 Southern Natural Gas Co. 5.900 % 4/1/17 7,515 7,832
Southern Natural Gas Co. 8.000 % 3/1/32 5,620 6,301
Southern Union Co. 7.600 % 2/1/24 800 892
Spectra Energy Capital LLC 6.250 % 2/15/13 1,146 1,257
Spectra Energy Capital LLC 5.500 % 3/1/14 3,125 3,323
Spectra Energy Capital LLC 5.668 % 8/15/14 150 162
Spectra Energy Capital LLC 6.200 % 4/15/18 925 992
Spectra Energy Capital LLC 6.750 % 2/15/32 2,250 2,337
Sunoco Logistics Partners Operations LP 6.850 % 2/15/40 875 890
Texas Eastern Transmission LP 7.000 % 7/15/32 200 225
Texas Gas Transmission LLC 4.600 % 6/1/15 2,875 2,987
TransCanada PipeLines Ltd. 4.000 % 6/15/13 3,950 4,143
TransCanada PipeLines Ltd. 6.500 % 8/15/18 10,300 11,657
TransCanada PipeLines Ltd. 7.125 % 1/15/19 4,525 5,294
TransCanada PipeLines Ltd. 5.600 % 3/31/34 3,055 2,951
TransCanada PipeLines Ltd. 5.850 % 3/15/36 13,375 13,256
TransCanada PipeLines Ltd. 6.200 % 10/15/37 5,550 5,723
TransCanada PipeLines Ltd. 7.250 % 8/15/38 1,500 1,739
TransCanada PipeLines Ltd. 7.625 % 1/15/39 1,279 1,554
3 TransCanada PipeLines Ltd. 6.350 % 5/15/67 11,021 10,399
Transcontinental Gas Pipe Line Co. LLC 7.000 % 8/15/11 3,425 3,669
4 Williams Partners LP 3.800 % 2/15/15 2,900 2,895
4 Williams Partners LP 5.250 % 3/15/20 6,025 5,986
4 Williams Partners LP 6.300 % 4/15/40 4,400 4,377
 
Other Utility (0.0%)          
Veolia Environnement 6.750 % 6/1/38 125 136
          1,694,471
Total Corporate Bonds (Cost $14,476,593)         15,145,977
Sovereign Bonds (U.S. Dollar-Denominated) (3.8%)          
African Development Bank 1.000 % 11/23/11 5,575 5,562
African Development Bank 1.750 % 10/1/12 4,450 4,453
African Development Bank 1.625 % 2/11/13 7,425 7,379
African Development Bank 3.000 % 5/27/14 17,625 17,697
Asian Development Bank 2.125 % 3/15/12 4,725 4,818
Asian Development Bank 4.500 % 9/4/12 1,050 1,119
Asian Development Bank 3.625 % 9/5/13 23,500 24,836
Asian Development Bank 2.750 % 5/21/14 18,145 18,442


Asian Development Bank 2.625 % 2/9/15 24,975 24,750
Asian Development Bank 5.500 % 6/27/16 1,875 2,086
Asian Development Bank 5.250 % 6/12/17 600 668
Asian Development Bank 5.593 % 7/16/18 3,528 3,849
Brazilian Government International Bond 11.000 % 1/11/12 4,175 4,874
Brazilian Government International Bond 10.250 % 6/17/13 2,200 2,717
Brazilian Government International Bond 7.875 % 3/7/15 8,200 9,705
Brazilian Government International Bond 6.000 % 1/17/17 24,225 26,314
3 Brazilian Government International Bond 8.000 % 1/15/18 21,716 25,273
Brazilian Government International Bond 5.875 % 1/15/19 28,550 30,634
Brazilian Government International Bond 8.875 % 10/14/19 11,650 15,029
Brazilian Government International Bond 8.875 % 4/15/24 1,500 1,980
Brazilian Government International Bond 8.875 % 4/15/24 3,125 4,109
Brazilian Government International Bond 8.750 % 2/4/25 12,250 16,139
Brazilian Government International Bond 10.125 % 5/15/27 12,325 18,068
Brazilian Government International Bond 8.250 % 1/20/34 18,750 23,888
Brazilian Government International Bond 7.125 % 1/20/37 15,506 17,636
Brazilian Government International Bond 11.000 % 8/17/40 26,225 35,089
Brazilian Government International Bond 5.625 % 1/7/41 17,925 16,872
Canada Government International Bond 2.375 % 9/10/14 4,175 4,165
Canada Mortgage & Housing Corp. 4.800 % 10/1/10 1,075 1,092
Chile Government International Bond 7.125 % 1/11/12 3,225 3,518
Chile Government International Bond 5.500 % 1/15/13 2,965 3,194
China Development Bank Corp. 4.750 % 10/8/14 3,700 3,892
China Development Bank Corp. 5.000 % 10/15/15 1,450 1,563
China Government International Bond 4.750 % 10/29/13 5,700 6,196
Corp Andina de Fomento 8.125 % 6/4/19 11,125 13,031
Corp. Andina de Fomento 5.200 % 5/21/13 4,500 4,754
Corp. Andina de Fomento 5.750 % 1/12/17 16,625 17,216
Council Of Europe Development Bank 2.750 % 2/10/15 5,675 5,657
Development Bank of Japan 4.250 % 6/9/15 2,050 2,165
Eksportfinans ASA 1.875 % 4/2/13 400 398
Eksportfinans ASA 3.000 % 11/17/14 7,250 7,274
Eksportfinans ASA 5.500 % 5/25/16 8,520 9,363
Eksportfinans ASA 5.500 % 6/26/17 7,500 8,207
European Bank for Reconstruction &          
Development 1.250 % 6/10/11 1,000 1,004
European Investment Bank 2.625 % 5/16/11 4,725 4,819
European Investment Bank 5.250 % 6/15/11 13,225 13,859
European Investment Bank 3.125 % 7/15/11 4,225 4,349
European Investment Bank 3.250 % 10/14/11 14,625 15,080
European Investment Bank 2.625 % 11/15/11 3,275 3,350
European Investment Bank 2.000 % 2/10/12 65,975 66,915
European Investment Bank 4.625 % 3/21/12 27,400 28,960
4 European Investment Bank 1.125 % 4/16/12 12,500 12,477
European Investment Bank 1.750 % 9/14/12 10,850 10,908
^ European Investment Bank 1.625 % 3/15/13 12,400 12,322
European Investment Bank 2.875 % 3/15/13 8,100 8,335
European Investment Bank 3.250 % 5/15/13 20,400 21,229
European Investment Bank 4.250 % 7/15/13 33,575 36,015
European Investment Bank 2.375 % 3/14/14 24,750 24,896
European Investment Bank 4.625 % 5/15/14 35,482 38,258
European Investment Bank 3.125 % 6/4/14 47,250 48,214
European Investment Bank 2.875 % 1/15/15 15,400 15,467
European Investment Bank 2.750 % 3/23/15 20,100 19,979
European Investment Bank 4.875 % 2/16/16 15,000 16,362
European Investment Bank 5.125 % 9/13/16 2,150 2,367
European Investment Bank 4.875 % 1/17/17 21,025 22,883


European Investment Bank 5.125 % 5/30/17 28,275 31,037
European Investment Bank 4.875 % 2/15/36 300 290
Export Development Canada 2.625 % 3/15/11 16 16
Export Development Canada 3.750 % 7/15/11 550 569
Export Development Canada 2.625 % 11/15/11 5,075 5,204
Export Development Canada 2.375 % 3/19/12 10,300 10,524
Export Development Canada 1.750 % 9/24/12 20,975 21,156
Export Development Canada 3.125 % 4/24/14 225 230
Export-Import Bank of Korea 5.500 % 10/17/12 8,350 8,883
Export-Import Bank of Korea 8.125 % 1/21/14 17,275 19,873
Export-Import Bank of Korea 5.875 % 1/14/15 9,950 10,732
Export-Import Bank of Korea 5.125 % 3/16/15 2,500 2,612
Export-Import Bank of Korea 4.125 % 9/9/15 4,925 4,928
Financement-Quebec 5.000 % 10/25/12 3,725 4,016
Hungary Government International Bond 4.750 % 2/3/15 3,100 3,168
Hydro Quebec 6.300 % 5/11/11 16,325 17,296
Hydro Quebec 8.000 % 2/1/13 9,675 11,200
Hydro Quebec 7.500 % 4/1/16 1,975 2,390
Hydro Quebec 8.400 % 1/15/22 2,675 3,470
Hydro Quebec 8.050 % 7/7/24 2,975 3,916
Hydro Quebec 8.500 % 12/1/29 400 521
Inter-American Development Bank 1.500 % 6/23/11 2,150 2,172
Inter-American Development Bank 4.375 % 9/20/12 80 85
Inter-American Development Bank 4.750 % 10/19/12 4,525 4,870
Inter-American Development Bank 3.500 % 3/15/13 9,375 9,864
Inter-American Development Bank 3.000 % 4/22/14 25,200 25,561
Inter-American Development Bank 4.250 % 9/14/15 6,525 6,873
Inter-American Development Bank 5.125 % 9/13/16 200 220
Inter-American Development Bank 4.250 % 9/10/18 18,200 18,596
Inter-American Development Bank 3.875 % 9/17/19 44,425 44,124
Inter-American Development Bank 3.875 % 2/14/20 6,425 6,327
Inter-American Development Bank 7.000 % 6/15/25 2,775 3,338
International Bank for Reconstruction &          
Development 3.125 % 11/15/11 825 849
International Bank for Reconstruction &          
Development 2.000 % 4/2/12 38,965 39,577
International Bank for Reconstruction &          
Development 3.500 % 10/8/13 22,025 23,064
International Bank for Reconstruction &          
Development 5.000 % 4/1/16 14,525 15,936
International Bank for Reconstruction &          
Development 7.625 % 1/19/23 3,250 4,235
International Bank for Reconstruction &          
Development 8.875 % 3/1/26 1,050 1,497
International Bank for Reconstruction &          
Development 4.750 % 2/15/35 1,575 1,526
International Finance Corp. 3.500 % 5/15/13 7,100 7,484
International Finance Corp. 3.000 % 4/22/14 26,437 26,636
Israel Government International Bond 4.625 % 6/15/13 2,375 2,531
Israel Government International Bond 5.125 % 3/1/14 800 865
Israel Government International Bond 5.500 % 11/9/16 7,650 8,228
Israel Government International Bond 5.125 % 3/26/19 18,700 19,015
Japan Bank for International          
Cooperation/Japan 4.750 % 5/25/11 1,850 1,929
Japan Bank for International          
Cooperation/Japan 2.125 % 11/5/12 12,450 12,568
Japan Bank for International          
Cooperation/Japan 4.375 % 11/26/12 5,450 5,806


Japan Bank for International          
Cooperation/Japan 4.250 % 6/18/13 20,125 21,362
Japan Bank for International          
Cooperation/Japan 2.875 % 2/2/15 16,150 16,078
Japan Finance Corp. 2.000 % 6/24/11 1,210 1,222
Japan Finance Organization for Municipalities 4.625 % 4/21/15 6,850 7,376
Japan Finance Organization for Municipalities 5.000 % 5/16/17 4,000 4,267
Korea Development Bank 5.300 % 1/17/13 2,475 2,589
Korea Development Bank 5.750 % 9/10/13 9,940 10,640
Korea Development Bank 8.000 % 1/23/14 10,800 12,375
Korea Development Bank 4.375 % 8/10/15 1,200 1,213
Korea Electric Power Corp. 7.750 % 4/1/13 6,075 6,838
Kreditanstalt fuer Wiederaufbau 3.750 % 6/27/11 22,075 22,842
Kreditanstalt fuer Wiederaufbau 3.250 % 10/14/11 14,132 14,606
Kreditanstalt fuer Wiederaufbau 2.000 % 1/17/12 45,900 46,649
Kreditanstalt fuer Wiederaufbau 2.250 % 4/16/12 10,825 11,045
Kreditanstalt fuer Wiederaufbau 4.750 % 5/15/12 13,300 14,137
Kreditanstalt fuer Wiederaufbau 1.875 % 1/14/13 25,500 25,572
Kreditanstalt fuer Wiederaufbau 3.250 % 3/15/13 80,400 83,146
Kreditanstalt fuer Wiederaufbau 3.500 % 5/16/13 12,075 12,564
Kreditanstalt fuer Wiederaufbau 4.000 % 10/15/13 23,825 24,919
Kreditanstalt fuer Wiederaufbau 3.500 % 3/10/14 21,825 22,638
Kreditanstalt fuer Wiederaufbau 4.125 % 10/15/14 1,425 1,523
Kreditanstalt fuer Wiederaufbau 2.750 % 10/21/14 15,275 15,316
Kreditanstalt fuer Wiederaufbau 2.625 % 3/3/15 16,700 16,473
Kreditanstalt fuer Wiederaufbau 5.125 % 3/14/16 28,250 30,939
Kreditanstalt fuer Wiederaufbau 4.375 % 3/15/18 14,175 14,726
Kreditanstalt fuer Wiederaufbau 4.500 % 7/16/18 14,325 15,027
Kreditanstalt fuer Wiederaufbau 4.875 % 6/17/19 24,425 26,165
Kreditanstalt fuer Wiederaufbau 4.000 % 1/27/20 1,800 1,786
Landesbank Baden-Wuerttemberg 6.350 % 4/1/12 2,000 2,163
Landeskreditbank Baden-Wuerttemberg          
Foerderbank 4.875 % 1/13/12 9,375 9,760
Landwirtschaftliche Rentenbank 5.250 % 7/2/12 7,425 7,958
Landwirtschaftliche Rentenbank 1.875 % 9/24/12 18,950 19,003
Landwirtschaftliche Rentenbank 3.250 % 3/15/13 20,750 21,214
Landwirtschaftliche Rentenbank 4.125 % 7/15/13 7,325 7,695
Landwirtschaftliche Rentenbank 3.125 % 7/15/15 9,650 9,697
Landwirtschaftliche Rentenbank 4.875 % 11/16/15 9,250 9,959
Landwirtschaftliche Rentenbank 5.000 % 11/8/16 76 82
Landwirtschaftliche Rentenbank 5.125 % 2/1/17 6,975 7,602
Malaysia Government International Bond 7.500 % 7/15/11 9,575 10,285
Mexico Government International Bond 7.500 % 1/14/12 2,475 2,747
Mexico Government International Bond 6.375 % 1/16/13 9,477 10,534
Mexico Government International Bond 6.625 % 3/3/15 2,433 2,749
Mexico Government International Bond 11.375 % 9/15/16 4,775 6,721
Mexico Government International Bond 5.625 % 1/15/17 42,496 45,533
Mexico Government International Bond 8.300 % 8/15/31 10,300 13,236
Mexico Government International Bond 6.750 % 9/27/34 62,751 69,205
Nordic Investment Bank 3.875 % 6/15/10 550 552
Nordic Investment Bank 1.625 % 1/28/13 12,000 11,960
Nordic Investment Bank 2.625 % 10/6/14 9,600 9,588
Nordic Investment Bank 5.000 % 2/1/17 5,200 5,688
Oesterreichische Kontrollbank AG 3.125 % 10/14/11 6,870 7,055
Oesterreichische Kontrollbank AG 4.750 % 11/8/11 2,525 2,658
Oesterreichische Kontrollbank AG 1.875 % 3/21/12 16,675 16,748
Oesterreichische Kontrollbank AG 4.750 % 10/16/12 4,975 5,356
Oesterreichische Kontrollbank AG 1.750 % 3/11/13 16,500 16,388


Oesterreichische Kontrollbank AG 4.500 % 3/9/15 125 131
Oesterreichische Kontrollbank AG 5.000 % 4/25/17 13,400 14,324
Ontario Electricity Financial Corp. 7.450 % 3/31/13 3,950 4,472
Pemex Project Funding Master Trust 9.125 % 10/13/10 335 350
Pemex Project Funding Master Trust 5.750 % 3/1/18 31,900 32,679
Pemex Project Funding Master Trust 6.625 % 6/15/35 12,380 12,132
Pemex Project Funding Master Trust 6.625 % 6/15/38 5,975 5,843
Peruvian Government International Bond 9.125 % 2/21/12 800 912
Peruvian Government International Bond 9.875 % 2/6/15 11,050 13,989
Peruvian Government International Bond 8.375 % 5/3/16 275 334
Peruvian Government International Bond 7.125 % 3/30/19 18,700 21,617
Peruvian Government International Bond 7.350 % 7/21/25 8,475 9,831
3 Peruvian Government International Bond 6.550 % 3/14/37 11,500 12,305
Petrobras International Finance Co. 6.125 % 10/6/16 13,763 14,720
Petrobras International Finance Co. 5.875 % 3/1/18 11,725 12,185
Petrobras International Finance Co. 8.375 % 12/10/18 10,250 12,223
Petrobras International Finance Co. 7.875 % 3/15/19 19,808 23,076
Petrobras International Finance Co. 5.750 % 1/20/20 5,600 5,728
Petrobras International Finance Co. 6.875 % 1/20/40 5,800 6,005
4 Petroleos Mexicanos 4.875 % 3/15/15 6,600 6,774
Petroleos Mexicanos 8.000 % 5/3/19 5,200 6,123
4 Petroleos Mexicanos 6.000 % 3/5/20 7,450 7,619
4 Petronas Capital Ltd. 5.250 % 8/12/19 1,000 1,012
Poland Government International Bond 6.250 % 7/3/12 8,725 9,493
Poland Government International Bond 5.250 % 1/15/14 1,695 1,823
Poland Government International Bond 5.000 % 10/19/15 2,875 3,035
Poland Government International Bond 6.375 % 7/15/19 37,925 41,547
Province of Manitoba Canada 2.125 % 4/22/13 4,850 4,867
Province of Manitoba Canada 4.900 % 12/6/16 3,700 3,984
Province of Nova Scotia Canada 5.750 % 2/27/12 1,650 1,780
Province of Ontario Canada 3.375 % 5/20/11 1,625 1,671
Province of Ontario Canada 5.000 % 10/18/11 15,725 16,682
Province of Ontario Canada 1.875 % 11/19/12 20,300 20,452
Province of Ontario Canada 4.100 % 6/16/14 27,670 29,379
Province of Ontario Canada 2.950 % 2/5/15 10,325 10,346
Province of Ontario Canada 4.750 % 1/19/16 2,075 2,223
Province of Ontario Canada 5.450 % 4/27/16 30,325 33,625
Province of Ontario Canada 4.000 % 10/7/19 19,775 19,432
Province of Quebec Canada 4.875 % 5/5/14 4,125 4,359
Province of Quebec Canada 4.600 % 5/26/15 7,600 8,144
Province of Quebec Canada 5.125 % 11/14/16 18,050 19,639
Province of Quebec Canada 4.625 % 5/14/18 7,500 7,899
Province of Quebec Canada 7.125 % 2/9/24 905 1,101
Province of Quebec Canada 7.500 % 9/15/29 7,751 10,042
Province of Saskatchewan Canada 7.375 % 7/15/13 1,375 1,594
4 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.500 % 9/30/14 350 375
4 Ras Laffan Liquefied Natural Gas Co. Ltd. III 6.750 % 9/30/19 350 392
Region of Lombardy Italy 5.804 % 10/25/32 6,395 6,189
Republic of Italy 3.500 % 7/15/11 7,425 7,645
Republic of Italy 5.625 % 6/15/12 11,675 12,618
Republic of Italy 2.125 % 10/5/12 10,050 10,093
Republic of Italy 4.375 % 6/15/13 125 133
Republic of Italy 4.500 % 1/21/15 14,350 15,085
Republic of Italy 3.125 % 1/26/15 24,800 24,626
Republic of Italy 4.750 % 1/25/16 22,250 23,253
Republic of Italy 5.250 % 9/20/16 31,326 33,489
Republic of Italy 6.875 % 9/27/23 11,450 13,085
Republic of Italy 5.375 % 6/15/33 16,075 15,985


Republic of Korea 4.250 % 6/1/13 19,300 20,199
Republic of Korea 5.750 % 4/16/14 8,700 9,490
Republic of Korea 4.875 % 9/22/14 425 450
Republic of Korea 7.125 % 4/16/19 7,975 9,363
Republic of Korea 5.625 % 11/3/25 1,425 1,446
South Africa Government International Bond 7.375 % 4/25/12 7,775 8,543
South Africa Government International Bond 6.500 % 6/2/14 2,425 2,686
South Africa Government International Bond 6.875 % 5/27/19 15,125 16,883
South Africa Government International Bond 5.500 % 3/9/20 5,500 5,569
South Africa Government International Bond 5.875 % 5/30/22 4,300 4,397
Svensk Exportkredit AB 4.000 % 6/15/10 2,350 2,366
Svensk Exportkredit AB 3.250 % 9/16/14 7,775 7,929
Svensk Exportkredit AB 5.125 % 3/1/17 1,350 1,451
4 Temasek Financial I Ltd. 5.375 % 11/23/39 500 483
United Mexican States 5.875 % 2/17/14 16,575 18,216
United Mexican States 5.950 % 3/19/19 23,200 25,056
United Mexican States 5.125 % 1/15/20 850 857
United Mexican States 6.050 % 1/11/40 6,025 6,010
Total Sovereign Bonds (Cost $2,851,804)         2,937,558
Taxable Municipal Bonds (0.5%)          
American Muni. Power Ohio Inc. 6.053 % 2/15/43 950 904
Bay Area Toll Auth. CA Toll Bridge Rev. 6.263 % 4/1/49 6,275 6,333
Board of Trustees of The Leland Stanford          
Junior University 3.625 % 5/1/14 7,650 7,927
Board of Trustees of The Leland Stanford          
Junior University 4.250 % 5/1/16 2,250 2,338
California GO 5.250 % 4/1/14 3,425 3,550
California GO 5.750 % 3/1/17 7,550 7,710
California GO 6.200 % 3/1/19 1,400 1,431
California GO 6.200 % 10/1/19 11,175 11,432
California GO 7.500 % 4/1/34 23,775 24,556
California GO 5.650 % 4/1/39 3,775 3,924
California GO 7.300 % 10/1/39 3,250 3,261
California GO 7.350 % 11/1/39 21,900 21,822
California GO 7.625 % 3/1/40 8,250 8,598
Central Puget Sound WA Regional Transit          
Auth. Sales & Use Tax Rev. 5.491 % 11/1/39 1,500 1,457
Chicago IL Board of Educ. GO 6.138 % 12/1/39 650 661
Chicago IL Metro. Water Reclamation Dist.          
GO 5.720 % 12/1/38 3,050 3,079
Chicago IL Transit Auth. Rev. 6.200 % 12/1/40 2,850 2,839
Chicago IL Transit Auth. Rev. 6.899 % 12/1/40 8,125 8,708
Clark County NV Airport Improvement Rev. 6.881 % 7/1/42 1,475 1,487
Commonwealth Financing Auth. Pennsylvania          
Rev. 6.218 % 6/1/39 6,375 6,522
Connecticut GO 5.850 % 3/15/32 5,375 5,646
Dallas County TX Hosp. Dist. GO 5.621 % 8/15/44 2,100 2,103
Dallas TX Area Rapid Transit Rev. 5.999 % 12/1/44 1,050 1,122
Dartmouth College 4.750 % 6/1/19 700 722
Denver CO City & County School Dist. 5.664 % 12/1/33 1,325 1,332
District of Columbia Income Tax Rev. 5.591 % 12/1/34 1,125 1,119
East Bay CA Muni. Util. Dist. Water System          
Rev. 5.874 % 6/1/40 1,000 1,013
Georgia GO 4.503 % 11/1/25 6,100 6,014
Howard Hughes Medical Institute 3.450 % 9/1/14 4,050 4,170
Illinois GO 2.766 % 1/1/12 9,600 9,683
Illinois GO 4.071 % 1/1/14 9,600 9,710


Illinois GO 4.950 % 6/1/23 13,275 12,291
Illinois GO 5.100 % 6/1/33 41,924 34,576
Illinois GO 6.630 % 2/1/35 2,800 2,790
Illinois State Tollway Highway Auth. Toll          
Highway Rev. 6.184 % 1/1/34 880 891
Illinois State Tollway Highway Auth. Toll          
Highway Rev. 5.851 % 12/1/34 1,650 1,602
Indianapolis IN Local Public Improvement          
Bond Bank Notes 6.116 % 1/15/40 9,700 9,841
Johns Hopkins University 5.250 % 7/1/19 7,950 8,375
Kansas Dev. Finance Auth. Rev. (Public          
Employee Retirement System) 5.501 % 5/1/34 4,650 4,510
Las Vegas Valley Water Dist. Nevada GO 7.013 % 6/1/39 1,700 1,822
Los Angeles CA Dept. of Water & Power Rev. 6.008 % 7/1/39 6,350 6,245
Los Angeles CA USD GO 5.750 % 7/1/34 4,825 4,441
Los Angeles CA USD GO 6.758 % 7/1/34 2,525 2,610
Maryland Transp. Auth. Rev. 5.888 % 7/1/43 2,100 2,118
Massachusetts GO 5.456 % 12/1/39 5,300 5,296
Massachusetts School Building Auth.          
Dedicated Sales Tax Rev. 5.715 % 8/15/39 2,550 2,572
Metro. New York Transp. Auth. Rev. 5.871 % 11/15/39 2,175 1,980
Metro. Transp. Auth. NY Rev. 6.648 % 11/15/39 3,825 3,919
Metro. Washington DC/VA Airports Auth.          
Airport System Rev. 7.462 % 10/1/46 1,375 1,421
Missouri Highways & Transp. Comm. Road          
Rev. 5.445 % 5/1/33 1,650 1,617
Muni. Electric Auth. Georgia Rev. 6.637 % 4/1/57 8,025 7,968
Muni. Electric Auth. Georgia Rev. 6.655 % 4/1/57 5,900 5,872
Muni. Electric Auth. Georgia Rev. 7.055 % 4/1/57 3,425 3,336
New Jersey Econ. Dev. Auth. 7.425 % 2/15/29 9,750 10,747
New Jersey Transp. Trust Fund Auth. Rev. 6.561 % 12/15/40 575 597
New Jersey Turnpike Auth. Rev. 4.252 % 1/1/16 2,875 2,904
New Jersey Turnpike Auth. Rev. 4.252 % 1/1/16 200 210
New Jersey Turnpike Auth. Rev. 7.414 % 1/1/40 11,900 13,832
New York City NY GO 5.968 % 3/1/36 3,200 3,175
New York City NY GO 5.985 % 12/1/36 1,650 1,627
New York City NY Muni. Water Finance Auth. 6.011 % 6/15/42 1,050 1,059
New York City NY Muni. Water Finance Auth.          
Water & Sewer System Rev. 5.750 % 6/15/41 1,400 1,370
New York City NY Muni. Water Finance Auth.          
Water & Sewer System Rev. 5.952 % 6/15/42 2,900 2,901
New York City NY Transitional Finance Auth.          
Rev. 5.767 % 8/1/36 2,125 2,109
New York Metro. Transp. Auth. Rev. 7.336 % 11/15/39 2,250 2,607
New York Metro. Transp. Auth. Rev. 6.089 % 11/15/40 975 967
New York State Urban Dev. Corp. Rev. 5.770 % 3/15/39 5,675 5,604
North Texas Tollway Auth. Rev. 6.718 % 1/1/49 3,550 3,735
Oregon (Taxable Pension) GO 5.762 % 6/1/23 1,950 2,003
Oregon (Taxable Pension) GO 5.892 % 6/1/27 2,725 2,793
Oregon GO 4.759 % 6/30/28 2,075 1,725
Oregon GO 5.528 % 6/30/28 1,200 1,085
Oregon State Dept. Transp. Highway Usertax          
Rev. 5.834 % 11/15/34 1,425 1,425
Pennsylvania GO 4.650 % 2/15/26 2,875 2,799
Pennsylvania Turnpike Comm. Rev. 6.105 % 12/1/39 400 409
Port Auth. of New York & New Jersey Rev. 6.040 % 12/1/29 2,550 2,633
Princeton University 5.700 % 3/1/39 3,500 3,598
San Antonio TX Electric & Gas Rev. 5.985 % 2/1/39 4,325 4,523


San Antonio TX Electric & Gas Rev. 5.718 % 2/1/41 2,725 2,773
San Diego County CA Water Auth. 6.138 % 5/1/49 1,900 1,926
Tobacco Settlement West Virginia Finance          
Auth. Rev. 7.467 % 6/1/47 4,180 3,354
Univ. of California Regents 6.583 % 5/15/49 2,575 2,655
Univ. of Texas Permanent Univ. Fund Rev. 5.262 % 7/1/39 1,650 1,599
Univ. of Texas Permanent Univ. Fund Rev. 6.276 % 8/15/41 1,525 1,560
Utah GO 4.554 % 7/1/24 2,425 2,408
Washington GO 5.481 % 8/1/39 770 778
Wisconsin GO 4.800 % 5/1/13 2,525 2,724
Wisconsin GO 5.700 % 5/1/26 2,800 2,813
Total Taxable Municipal Bonds (Cost $398,661)         396,293
        Shares  
Temporary Cash Investment (4.4%)          
Money Market Fund (4.4%)          
7,8 Vanguard Market Liquidity Fund          
(Cost $3,328,977) 0.183 %   3,328,976,611 3,328,977
Total Investments (Cost $77,409,485)         79,419,569
Other Assets and Liabilities-Net (-3.6%)8         (2,734,916)
Net Assets (100%)         76,684,653

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $7,123,000.
1 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee
Program.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.
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 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2010, the aggregate
value of these securities was $442,777,000, representing 0.6% of net assets.
5 Adjustable-rate security.
6 Non-income-producing security--security in default.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
8 Includes $7,306,000 of collateral received for securities on loan.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
USD—United School District.


A. 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.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value 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 March 31, 2010, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000 ($000) ($000)
U.S. Government and Agency Obligations - 54,532,584 -
Asset-Backed/Commercial Mortgage-Backed Securities - 3,078,180 -
Corporate Bonds - 15,145,920 57
Sovereign Bonds - 2,937,558 -
Taxable Municipal Bonds - 396,293 -
Temporary Cash Investments 3,328,977 - -
Total 3,328,977 76,090,535 57

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended March 31, 2010:

  Investments in
  Securities
  ($000)
Amount valued based on Level 3 Inputs  
Balance as of (December 31, 2009) 57
Balance as of (March 31, 2010) 57

C. At March 31, 2010, the cost of investment securities for tax purposes was $77,409,485,000. Net unrealized appreciation of investment securities for tax purposes was $2,010,084,000, consisting of unrealized gains of $2,308,622,000 on securities that had risen in value since their purchase and $298,538,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Inflation-Protected Securities Fund

Schedule of Investments
As of March 31, 2010

        Face Market
      Maturity Amount Value
  Coupon   Date ($000) ($000)
U.S. Government and Agency Obligations (97.8%)          
U.S. Government Securities (97.8%)          
1 United States Treasury Inflation Indexed          
Bonds 2.375 % 4/15/11 685,050 772,055
United States Treasury Inflation Indexed          
Bonds 3.375 % 1/15/12 325,640 425,329
United States Treasury Inflation Indexed          
Bonds 2.000 % 4/15/12 210,000 234,829
United States Treasury Inflation Indexed          
Bonds 3.000 % 7/15/12 1,310,775 1,701,867
United States Treasury Inflation Indexed          
Bonds 0.625 % 4/15/13 360,000 376,154
United States Treasury Inflation Indexed          
Bonds 1.875 % 7/15/13 1,251,875 1,562,818
United States Treasury Inflation Indexed          
Bonds 2.000 % 1/15/14 1,564,100 1,947,445
United States Treasury Inflation Indexed          
Bonds 1.250 % 4/15/14 1,145,000 1,211,722
United States Treasury Inflation Indexed          
Bonds 2.000 % 7/15/14 837,845 1,024,545
United States Treasury Inflation Indexed          
Bonds 1.625 % 1/15/15 1,179,015 1,397,751
United States Treasury Inflation Indexed          
Bonds 1.875 % 7/15/15 926,225 1,091,814
United States Treasury Inflation Indexed          
Bonds 2.000 % 1/15/16 913,050 1,057,878
United States Treasury Inflation Indexed          
Bonds 2.500 % 7/15/16 691,525 810,842
United States Treasury Inflation Indexed          
Bonds 2.375 % 1/15/17 834,025 967,700
United States Treasury Inflation Indexed          
Bonds 2.625 % 7/15/17 1,149,650 1,321,217
United States Treasury Inflation Indexed          
Bonds 1.625 % 1/15/18 937,600 992,355
United States Treasury Inflation Indexed          
Bonds 1.375 % 7/15/18 417,200 419,684
United States Treasury Inflation Indexed          
Bonds 2.125 % 1/15/19 538,600 572,637
United States Treasury Inflation Indexed          
Bonds 1.875 % 7/15/19 963,450 1,007,539
United States Treasury Inflation Indexed          
Bonds 1.375 % 1/15/20 876,000 860,372
United States Treasury Inflation Indexed          
Bonds 2.375 % 1/15/25 1,433,270 1,724,592
United States Treasury Inflation Indexed          
Bonds 2.000 % 1/15/26 1,295,298 1,407,297
United States Treasury Inflation Indexed          
Bonds 2.375 % 1/15/27 1,261,989 1,413,204
United States Treasury Inflation Indexed          
Bonds 1.750 % 1/15/28 895,125 876,665


United States Treasury Inflation Indexed          
Bonds 3.625 % 4/15/28 617,125 1,007,764
United States Treasury Inflation Indexed          
Bonds 2.500 % 1/15/29 893,700 953,560
United States Treasury Inflation Indexed          
Bonds 3.875 % 4/15/29 658,150 1,100,919
United States Treasury Inflation Indexed          
Bonds 3.375 % 4/15/32 41,500 61,467
United States Treasury Inflation Indexed          
Bonds 2.125 % 2/15/40 480,000 477,081
United States Treasury Note/Bond 2.375 % 10/31/14 55,000 54,922
United States Treasury Note/Bond 2.375 % 2/28/15 190,000 188,664
Total U.S. Government and Agency Obligations (Cost $28,032,979)       29,022,688
        Shares  
Temporary Cash Investment (1.6%)          
Money Market Fund (1.6%)          
2 Vanguard Market Liquidity Fund          
(Cost $472,553) 0.183 %   472,552,764 472,553
Total Investments (99.4%) (Cost $28,505,532)         29,495,241
Other Assets and Liabilities-Net (0.6%)         166,231
Net Assets (100%)         29,661,472

1 Securities with a value of $13,937,000 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.

A. 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.

B. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

Futures contracts are valued based upon their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).


Inflation-Protected Securities Fund

At March 31, 2010, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
 Futures Contracts  Expiration Contracts  Long (Short)  (Depreciation)
10-Year U.S. Treasury Note June 2010 4,389 510,221 622
5-Year U. S. Treasury Note June 2010 (857) (98,421) 292
2-Year U. S. Treasury Note June 2010 (7,092) (1,538,631) (329)

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

C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value 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 March 31, 2010, based on the inputs used to value them:

    Level 1     Level 2     Level 3  
Investments ($ 000 ) ($ 000 ) ($ 000 )
U.S. Government and Agency Obligations   —     29,022,688     —  
Temporary Cash Investments   472,553     —     —  
Futures Contracts—Assets1   3,671     —     —  
Futures Contracts—Liabilities1   (2,567 )   —     —  
Total   473,657     29,022,688     —  
1 Represents variation margin on the last day of the reporting period.                  

D. At March 31, 2010, the cost of investment securities for tax purposes was $28,549,784,000. Net unrealized appreciation of investment securities for tax purposes was $945,457,000, consisting of unrealized gains of $972,413,000 on securities that had risen in value since their purchase and $26,956,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Total Bond Market II Index Fund

Schedule of Investments
As of March 31, 2010

        Face Market
      Maturity Amount Value
  Coupon   Date ($000) ($000)
U.S. Government and Agency Obligations (71.4%)          
U.S. Government Securities (33.2%)          
United States Treasury Note/Bond 4.250 % 1/15/11 31,125 32,073
United States Treasury Note/Bond 0.875 % 1/31/11 77,775 78,091
United States Treasury Note/Bond 5.000 % 2/15/11 1,725 1,794
United States Treasury Note/Bond 0.875 % 2/28/11 124,595 125,101
United States Treasury Note/Bond 4.500 % 2/28/11 6,775 7,026
United States Treasury Note/Bond 0.875 % 3/31/11 42,000 42,171
United States Treasury Note/Bond 0.875 % 4/30/11 8,125 8,158
United States Treasury Note/Bond 4.875 % 4/30/11 43,050 45,082
United States Treasury Note/Bond 0.875 % 5/31/11 100 100
United States Treasury Note/Bond 4.875 % 5/31/11 250 263
United States Treasury Note/Bond 1.125 % 6/30/11 40,775 41,068
United States Treasury Note/Bond 5.125 % 6/30/11 315,850 333,816
United States Treasury Note/Bond 1.000 % 7/31/11 6,775 6,810
United States Treasury Note/Bond 4.875 % 7/31/11 121,600 128,478
United States Treasury Note/Bond 1.000 % 8/31/11 194,155 195,034
United States Treasury Note/Bond 1.000 % 9/30/11 119,175 119,659
United States Treasury Note/Bond 4.500 % 9/30/11 169,333 178,831
United States Treasury Note/Bond 4.625 % 10/31/11 50,000 53,039
United States Treasury Note/Bond 1.750 % 11/15/11 80,750 81,961
United States Treasury Note/Bond 0.750 % 11/30/11 239,898 239,560
United States Treasury Note/Bond 4.500 % 11/30/11 4,525 4,801
United States Treasury Note/Bond 1.125 % 12/15/11 64,650 64,933
United States Treasury Note/Bond 1.000 % 12/31/11 25,000 25,051
United States Treasury Note/Bond 4.625 % 12/31/11 2,300 2,450
United States Treasury Note/Bond 1.125 % 1/15/12 13,875 13,927
United States Treasury Note/Bond 0.875 % 1/31/12 9,700 9,689
United States Treasury Note/Bond 4.750 % 1/31/12 5,825 6,233
United States Treasury Note/Bond 1.375 % 2/15/12 50,650 51,046
United States Treasury Note/Bond 4.875 % 2/15/12 80,000 85,850
United States Treasury Note/Bond 4.625 % 2/29/12 4,375 4,681
United States Treasury Note/Bond 1.375 % 3/15/12 82,125 82,754
United States Treasury Note/Bond 1.000 % 3/31/12 11,925 11,919
United States Treasury Note/Bond 4.500 % 3/31/12 148,625 158,913
United States Treasury Note/Bond 1.375 % 4/15/12 16,475 16,591
United States Treasury Note/Bond 4.500 % 4/30/12 61,725 66,123
United States Treasury Note/Bond 1.375 % 5/15/12 202,925 204,193
United States Treasury Note/Bond 4.750 % 5/31/12 28,325 30,529
United States Treasury Note/Bond 1.875 % 6/15/12 117,575 119,486
United States Treasury Note/Bond 4.875 % 6/30/12 83,850 90,781
United States Treasury Note/Bond 4.625 % 7/31/12 39,900 43,061
United States Treasury Note/Bond 1.750 % 8/15/12 118,050 119,489
United States Treasury Note/Bond 4.125 % 8/31/12 500 534
United States Treasury Note/Bond 1.375 % 9/15/12 50,000 50,110
United States Treasury Note/Bond 4.250 % 9/30/12 1,400 1,502
United States Treasury Note/Bond 1.375 % 10/15/12 8,540 8,551
United States Treasury Note/Bond 3.875 % 10/31/12 31,419 33,437
United States Treasury Note/Bond 1.375 % 11/15/12 124,535 124,477
United States Treasury Note/Bond 4.000 % 11/15/12 4,025 4,301
United States Treasury Note/Bond 3.375 % 11/30/12 9,020 9,492


United States Treasury Note/Bond 1.125 % 12/15/12 1,200 1,189
United States Treasury Note/Bond 3.625 % 12/31/12 194,400 205,852
United States Treasury Note/Bond 1.375 % 1/15/13 63,550 63,331
United States Treasury Note/Bond 1.375 % 2/15/13 284,175 282,800
United States Treasury Note/Bond 3.875 % 2/15/13 152,875 163,099
United States Treasury Note/Bond 2.750 % 2/28/13 1,900 1,966
United States Treasury Note/Bond 1.375 % 3/15/13 123,700 122,965
United States Treasury Note/Bond 3.625 % 5/15/13 21,175 22,459
United States Treasury Note/Bond 3.500 % 5/31/13 178,250 188,332
United States Treasury Note/Bond 3.375 % 6/30/13 3,200 3,367
United States Treasury Note/Bond 3.375 % 7/31/13 4,225 4,446
United States Treasury Note/Bond 4.250 % 8/15/13 95,550 103,388
United States Treasury Note/Bond 3.125 % 8/31/13 21,350 22,274
United States Treasury Note/Bond 3.125 % 9/30/13 85,300 88,939
United States Treasury Note/Bond 2.750 % 10/31/13 44,550 45,838
United States Treasury Note/Bond 4.250 % 11/15/13 40,800 44,192
United States Treasury Note/Bond 2.000 % 11/30/13 41,950 42,022
United States Treasury Note/Bond 1.500 % 12/31/13 2,525 2,478
United States Treasury Note/Bond 1.750 % 1/31/14 325 321
United States Treasury Note/Bond 1.875 % 2/28/14 51,225 50,785
United States Treasury Note/Bond 1.750 % 3/31/14 144,325 142,137
United States Treasury Note/Bond 1.875 % 4/30/14 53,400 52,749
United States Treasury Note/Bond 4.750 % 5/15/14 117,125 129,277
United States Treasury Note/Bond 2.250 % 5/31/14 66,425 66,497
United States Treasury Note/Bond 2.625 % 6/30/14 106,450 107,997
United States Treasury Note/Bond 2.625 % 7/31/14 72,250 73,232
United States Treasury Note/Bond 2.375 % 9/30/14 13,300 13,302
United States Treasury Note/Bond 2.375 % 10/31/14 128,240 128,059
United States Treasury Note/Bond 2.125 % 11/30/14 52,643 51,944
United States Treasury Note/Bond 2.625 % 12/31/14 4,900 4,935
United States Treasury Note/Bond 2.250 % 1/31/15 65,375 64,660
United States Treasury Note/Bond 4.000 % 2/15/15 67,595 72,358
United States Treasury Note/Bond 11.250 % 2/15/15 15,075 21,159
United States Treasury Note/Bond 2.375 % 2/28/15 1,275 1,266
United States Treasury Note/Bond 2.500 % 3/31/15 133,900 133,502
United States Treasury Note/Bond 4.125 % 5/15/15 45,425 48,846
United States Treasury Note/Bond 4.250 % 8/15/15 7,650 8,258
United States Treasury Note/Bond 10.625 % 8/15/15 1,775 2,483
United States Treasury Note/Bond 4.500 % 11/15/15 7,900 8,630
United States Treasury Note/Bond 9.875 % 11/15/15 79,875 109,553
United States Treasury Note/Bond 4.500 % 2/15/16 137,500 149,725
United States Treasury Note/Bond 9.250 % 2/15/16 2,000 2,694
United States Treasury Note/Bond 2.625 % 2/29/16 207,800 204,130
United States Treasury Note/Bond 2.375 % 3/31/16 258,625 249,977
United States Treasury Note/Bond 2.625 % 4/30/16 55,300 54,099
United States Treasury Note/Bond 5.125 % 5/15/16 121,375 136,186
United States Treasury Note/Bond 7.250 % 5/15/16 3,075 3,817
United States Treasury Note/Bond 3.250 % 5/31/16 70,175 71,041
United States Treasury Note/Bond 3.250 % 6/30/16 55,425 56,040
United States Treasury Note/Bond 4.875 % 8/15/16 20,625 22,855
United States Treasury Note/Bond 3.000 % 9/30/16 334,950 331,704
United States Treasury Note/Bond 3.125 % 10/31/16 25,000 24,902
United States Treasury Note/Bond 4.625 % 11/15/16 850 927
United States Treasury Note/Bond 7.500 % 11/15/16 17,950 22,662
United States Treasury Note/Bond 2.750 % 11/30/16 1,125 1,094
United States Treasury Note/Bond 4.625 % 2/15/17 125 136
United States Treasury Note/Bond 4.500 % 5/15/17 1,250 1,349
United States Treasury Note/Bond 8.750 % 5/15/17 99,925 135,008


United States Treasury Note/Bond 4.750 % 8/15/17 7,375 8,063
United States Treasury Note/Bond 8.875 % 8/15/17 41,325 56,415
United States Treasury Note/Bond 4.250 % 11/15/17 4,275 4,522
United States Treasury Note/Bond 3.875 % 5/15/18 238,350 244,383
United States Treasury Note/Bond 9.125 % 5/15/18 1,625 2,276
United States Treasury Note/Bond 4.000 % 8/15/18 170,500 175,642
United States Treasury Note/Bond 3.750 % 11/15/18 190,700 192,130
United States Treasury Note/Bond 2.750 % 2/15/19 13,500 12,528
United States Treasury Note/Bond 8.875 % 2/15/19 53,775 75,058
United States Treasury Note/Bond 3.625 % 8/15/19 23,000 22,716
United States Treasury Note/Bond 8.125 % 8/15/19 17,450 23,465
United States Treasury Note/Bond 3.375 % 11/15/19 118,438 114,274
United States Treasury Note/Bond 3.625 % 2/15/20 176,250 173,248
United States Treasury Note/Bond 8.750 % 8/15/20 81,655 115,401
United States Treasury Note/Bond 7.875 % 2/15/21 70,550 94,878
United States Treasury Note/Bond 8.125 % 5/15/21 3,350 4,587
United States Treasury Note/Bond 8.125 % 8/15/21 42,550 58,380
United States Treasury Note/Bond 8.000 % 11/15/21 3,700 5,042
United States Treasury Note/Bond 7.250 % 8/15/22 75 98
United States Treasury Note/Bond 7.625 % 11/15/22 150 201
United States Treasury Note/Bond 7.125 % 2/15/23 25,675 33,089
United States Treasury Note/Bond 6.250 % 8/15/23 133,500 160,430
United States Treasury Note/Bond 6.875 % 8/15/25 175,500 224,201
United States Treasury Note/Bond 6.000 % 2/15/26 1,175 1,385
United States Treasury Note/Bond 6.750 % 8/15/26 375 476
United States Treasury Note/Bond 6.500 % 11/15/26 8,425 10,456
United States Treasury Note/Bond 6.625 % 2/15/27 59,150 74,344
United States Treasury Note/Bond 6.375 % 8/15/27 18,600 22,846
United States Treasury Note/Bond 6.125 % 11/15/27 6,050 7,244
United States Treasury Note/Bond 5.500 % 8/15/28 4,775 5,348
United States Treasury Note/Bond 5.250 % 11/15/28 650 708
United States Treasury Note/Bond 5.250 % 2/15/29 25,175 27,397
United States Treasury Note/Bond 6.125 % 8/15/29 37,250 44,846
United States Treasury Note/Bond 6.250 % 5/15/30 25,450 31,152
United States Treasury Note/Bond 5.375 % 2/15/31 31,975 35,377
United States Treasury Note/Bond 4.500 % 2/15/36 15,875 15,505
United States Treasury Note/Bond 4.750 % 2/15/37 239,025 242,312
United States Treasury Note/Bond 5.000 % 5/15/37 44,600 46,962
United States Treasury Note/Bond 4.375 % 2/15/38 32,475 30,882
United States Treasury Note/Bond 4.250 % 5/15/39 76,550 70,928
United States Treasury Note/Bond 4.500 % 8/15/39 119,716 115,619
United States Treasury Note/Bond 4.375 % 11/15/39 89,675 84,799
United States Treasury Note/Bond 4.625 % 2/15/40 30,500 30,062
          10,031,927
Agency Bonds and Notes (7.1%)          
1 American Express Bank FSB 3.150 % 12/9/11 5,625 5,835
1 Bank of America Corp. 2.100 % 4/30/12 17,050 17,355
1 Bank of America Corp. 3.125 % 6/15/12 8,950 9,303
1 Bank of America Corp. 2.375 % 6/22/12 1,725 1,768
1 Bank of America NA 1.700 % 12/23/10 4,225 4,263
1 Bank of the West/San Francisco CA 2.150 % 3/27/12 3,500 3,569
1 Citibank NA 1.625 % 3/30/11 2,125 2,148
1 Citibank NA 1.500 % 7/12/11 2,500 2,525
1 Citibank NA 1.375 % 8/10/11 3,500 3,530
1 Citibank NA 1.250 % 9/22/11 12,025 12,103
1 Citibank NA 1.875 % 5/7/12 6,375 6,468
1 Citibank NA 1.750 % 12/28/12 15,950 16,000


1 Citigroup Funding Inc. 1.375 % 5/5/11 9,875 9,957
1 Citigroup Funding Inc. 2.000 % 3/30/12 2,125 2,153
1 Citigroup Funding Inc. 2.125 % 7/12/12 3,800 3,867
1 Citigroup Funding Inc. 1.875 % 10/22/12 6,563 6,614
1 Citigroup Funding Inc. 2.250 % 12/10/12 1,750 1,779
1 Citigroup Inc. 2.875 % 12/9/11 6,300 6,498
1 Citigroup Inc. 2.125 % 4/30/12 14,975 15,260
  Egypt Government AID Bonds 4.450 % 9/15/15 3,725 3,959
2 Federal Farm Credit Bank 2.625 % 4/21/11 4,350 4,446
2 Federal Farm Credit Bank 5.375 % 7/18/11 7,650 8,099
2 Federal Farm Credit Bank 3.875 % 8/25/11 4,300 4,481
2 Federal Farm Credit Bank 2.000 % 1/17/12 6,000 6,094
2 Federal Farm Credit Bank 2.250 % 4/24/12 2,075 2,117
2 Federal Farm Credit Bank 2.125 % 6/18/12 15,225 15,473
2 Federal Farm Credit Bank 4.500 % 10/17/12 4,725 5,068
2 Federal Farm Credit Bank 1.875 % 12/7/12 3,525 3,540
2 Federal Farm Credit Bank 1.750 % 2/21/13 3,500 3,496
2 Federal Farm Credit Bank 3.875 % 10/7/13 3,250 3,440
2 Federal Farm Credit Bank 2.625 % 4/17/14 3,675 3,716
2 Federal Farm Credit Bank 3.000 % 9/22/14 4,150 4,219
2 Federal Farm Credit Bank 4.875 % 12/16/15 425 462
2 Federal Farm Credit Bank 5.125 % 8/25/16 3,475 3,796
2 Federal Farm Credit Bank 4.875 % 1/17/17 2,750 2,952
2 Federal Farm Credit Bank 5.150 % 11/15/19 5,325 5,647
2 Federal Home Loan Bank of Chicago 5.625 % 6/13/16 825 851
2 Federal Home Loan Banks 1.375 % 5/16/11 4,975 5,015
2 Federal Home Loan Banks 3.125 % 6/10/11 3,625 3,732
2 Federal Home Loan Banks 3.625 % 7/1/11 5,050 5,226
2 Federal Home Loan Banks 1.625 % 7/27/11 17,025 17,229
2 Federal Home Loan Banks 5.375 % 8/19/11 30,500 32,440
2 Federal Home Loan Banks 3.750 % 9/9/11 1,675 1,744
2 Federal Home Loan Banks 3.625 % 9/16/11 46,725 48,646
2 Federal Home Loan Banks 4.875 % 11/18/11 5,600 5,959
2 Federal Home Loan Banks 1.000 % 12/28/11 6,350 6,351
2 Federal Home Loan Banks 1.125 % 5/18/12 7,100 7,085
2 Federal Home Loan Banks 1.875 % 6/20/12 5,425 5,496
2 Federal Home Loan Banks 1.750 % 8/22/12 22,825 23,021
2 Federal Home Loan Banks 1.625 % 9/26/12 5,300 5,325
2,3 Federal Home Loan Banks 2.000 % 10/5/12 11,430 11,505
2 Federal Home Loan Banks 1.750 % 12/14/12 6,200 6,206
2 Federal Home Loan Banks 1.500 % 1/16/13 15,825 15,768
2 Federal Home Loan Banks 3.375 % 2/27/13 3,175 3,326
2 Federal Home Loan Banks 1.625 % 3/20/13 50,550 50,395
2 Federal Home Loan Banks 3.875 % 6/14/13 6,650 7,075
2 Federal Home Loan Banks 5.375 % 6/14/13 3,850 4,262
2 Federal Home Loan Banks 5.125 % 8/14/13 3,400 3,750
2 Federal Home Loan Banks 4.000 % 9/6/13 5,075 5,411
2 Federal Home Loan Banks 5.250 % 9/13/13 4,450 4,915
2 Federal Home Loan Banks 4.500 % 9/16/13 10,675 11,562
2 Federal Home Loan Banks 3.625 % 10/18/13 5,000 5,270
2 Federal Home Loan Banks 4.875 % 11/27/13 6,475 7,082
2 Federal Home Loan Banks 3.125 % 12/13/13 2,675 2,760
2 Federal Home Loan Banks 5.500 % 8/13/14 19,150 21,526
2 Federal Home Loan Banks 2.750 % 12/12/14 2,925 2,919
2 Federal Home Loan Banks 5.375 % 5/18/16 17,850 19,897
2 Federal Home Loan Banks 5.125 % 10/19/16 9,725 10,599
2 Federal Home Loan Banks 4.750 % 12/16/16 14,525 15,590
2 Federal Home Loan Banks 4.875 % 5/17/17 6,775 7,304


2 Federal Home Loan Banks 5.000 % 11/17/17 20,675 22,357
2 Federal Home Loan Banks 5.375 % 5/15/19 3,855 4,231
2 Federal Home Loan Banks 5.250 % 12/11/20 5,000 5,402
2 Federal Home Loan Banks 5.625 % 6/11/21 425 469
2 Federal Home Loan Banks 5.375 % 8/15/24 400 421
2 Federal Home Loan Banks 5.500 % 7/15/36 4,100 4,224
2 Federal Home Loan Mortgage Corp. 5.125 % 4/18/11 13,075 13,702
2 Federal Home Loan Mortgage Corp. 1.625 % 4/26/11 8,075 8,170
2 Federal Home Loan Mortgage Corp. 6.000 % 6/15/11 13,725 14,601
2 Federal Home Loan Mortgage Corp. 3.875 % 6/29/11 2,625 2,729
2 Federal Home Loan Mortgage Corp. 5.250 % 7/18/11 32,400 34,303
2 Federal Home Loan Mortgage Corp. 5.750 % 1/15/12 25,225 27,342
2 Federal Home Loan Mortgage Corp. 2.125 % 3/23/12 9,775 9,962
2 Federal Home Loan Mortgage Corp. 1.750 % 6/15/12 30,775 31,086
2 Federal Home Loan Mortgage Corp. 5.500 % 8/20/12 35,675 39,136
2 Federal Home Loan Mortgage Corp. 2.125 % 9/21/12 8,500 8,644
2 Federal Home Loan Mortgage Corp. 4.625 % 10/25/12 10,400 11,218
2 Federal Home Loan Mortgage Corp. 4.125 % 12/21/12 5,275 5,630
2 Federal Home Loan Mortgage Corp. 1.375 % 1/9/13 9,200 9,136
2 Federal Home Loan Mortgage Corp. 3.750 % 6/28/13 13,325 14,126
2 Federal Home Loan Mortgage Corp. 4.500 % 7/15/13 5,475 5,930
2 Federal Home Loan Mortgage Corp. 4.125 % 9/27/13 6,300 6,746
2 Federal Home Loan Mortgage Corp. 4.875 % 11/15/13 30,900 33,908
2 Federal Home Loan Mortgage Corp. 4.500 % 1/15/14 19,275 20,877
2 Federal Home Loan Mortgage Corp. 2.500 % 4/23/14 16,375 16,474
2 Federal Home Loan Mortgage Corp. 5.000 % 7/15/14 16,275 17,945
2 Federal Home Loan Mortgage Corp. 3.000 % 7/28/14 23,075 23,570
2 Federal Home Loan Mortgage Corp. 0.000 % 11/24/14 2,100 1,807
2 Federal Home Loan Mortgage Corp. 5.050 % 1/26/15 5,400 5,943
2 Federal Home Loan Mortgage Corp. 2.875 % 2/9/15 29,500 29,660
2 Federal Home Loan Mortgage Corp. 4.750 % 1/19/16 6,575 7,127
2 Federal Home Loan Mortgage Corp. 5.250 % 4/18/16 1,400 1,551
2 Federal Home Loan Mortgage Corp. 5.500 % 7/18/16 775 869
2 Federal Home Loan Mortgage Corp. 5.125 % 10/18/16 20,700 22,713
2 Federal Home Loan Mortgage Corp. 5.000 % 2/16/17 27,175 29,554
2 Federal Home Loan Mortgage Corp. 5.000 % 4/18/17 5,000 5,431
2 Federal Home Loan Mortgage Corp. 5.500 % 8/23/17 11,550 12,897
2 Federal Home Loan Mortgage Corp. 4.875 % 6/13/18 7,025 7,500
2 Federal Home Loan Mortgage Corp. 3.750 % 3/27/19 26,750 26,084
2 Federal Home Loan Mortgage Corp. 6.750 % 9/15/29 3,625 4,320
2 Federal Home Loan Mortgage Corp. 6.750 % 3/15/31 13,000 15,770
2 Federal Home Loan Mortgage Corp. 6.250 % 7/15/32 6,700 7,733
2 Federal National Mortgage Assn. 2.750 % 4/11/11 12,350 12,631
2 Federal National Mortgage Assn. 5.125 % 4/15/11 9,975 10,450
2 Federal National Mortgage Assn. 1.375 % 4/28/11 83,800 84,563
2 Federal National Mortgage Assn. 6.000 % 5/15/11 12,500 13,246
2 Federal National Mortgage Assn. 3.375 % 5/19/11 10,875 11,209
2 Federal National Mortgage Assn. 5.000 % 10/15/11 20,000 21,259
2 Federal National Mortgage Assn. 1.000 % 11/23/11 1,775 1,777
2 Federal National Mortgage Assn. 2.000 % 1/9/12 11,400 11,593
2 Federal National Mortgage Assn. 0.875 % 1/12/12 8,900 8,878
2 Federal National Mortgage Assn. 5.000 % 2/16/12 5,550 5,955
2 Federal National Mortgage Assn. 6.125 % 3/15/12 19,075 20,915
2 Federal National Mortgage Assn. 1.000 % 4/4/12 12,125 12,090
2 Federal National Mortgage Assn. 1.875 % 4/20/12 32,275 32,733
2 Federal National Mortgage Assn. 4.875 % 5/18/12 10,225 11,012
2 Federal National Mortgage Assn. 5.250 % 8/1/12 2,425 2,609
2 Federal National Mortgage Assn. 1.750 % 8/10/12 39,075 39,424


2 Federal National Mortgage Assn. 4.375 % 9/15/12 11,975 12,825
2,3 Federal National Mortgage Assn. 1.600 % 10/1/12 10,000 9,990
2 Federal National Mortgage Assn. 3.625 % 2/12/13 5,350 5,640
2 Federal National Mortgage Assn. 4.750 % 2/21/13 2,525 2,735
2 Federal National Mortgage Assn. 1.750 % 2/22/13 40,000 40,054
2 Federal National Mortgage Assn. 4.375 % 3/15/13 4,200 4,519
2 Federal National Mortgage Assn. 4.625 % 5/1/13 8,650 9,218
2 Federal National Mortgage Assn. 1.750 % 5/7/13 11,000 10,973
2,3 Federal National Mortgage Assn. 2.000 % 5/24/13 5,715 5,716
2 Federal National Mortgage Assn. 3.875 % 7/12/13 6,050 6,432
2 Federal National Mortgage Assn. 4.625 % 10/15/13 19,225 20,912
2 Federal National Mortgage Assn. 2.875 % 12/11/13 28,075 28,832
2 Federal National Mortgage Assn. 5.125 % 1/2/14 1,175 1,275
2 Federal National Mortgage Assn. 2.750 % 2/5/14 6,550 6,674
2 Federal National Mortgage Assn. 2.750 % 3/13/14 7,475 7,609
2 Federal National Mortgage Assn. 4.125 % 4/15/14 8,225 8,790
2 Federal National Mortgage Assn. 2.500 % 5/15/14 28,825 28,967
2 Federal National Mortgage Assn. 3.000 % 9/16/14 6,200 6,316
2 Federal National Mortgage Assn. 4.625 % 10/15/14 22,100 24,010
2 Federal National Mortgage Assn. 2.625 % 11/20/14 18,775 18,751
2,3 Federal National Mortgage Assn. 3.000 % 3/9/15 5,000 5,003
2 Federal National Mortgage Assn. 5.000 % 4/15/15 5,450 5,998
2 Federal National Mortgage Assn. 4.375 % 10/15/15 4,325 4,616
2 Federal National Mortgage Assn. 5.375 % 7/15/16 4,325 4,822
2 Federal National Mortgage Assn. 5.250 % 9/15/16 25,775 28,498
2 Federal National Mortgage Assn. 4.875 % 12/15/16 4,000 4,323
2 Federal National Mortgage Assn. 5.000 % 2/13/17 28,600 31,101
2 Federal National Mortgage Assn. 5.000 % 5/11/17 11,275 12,240
2 Federal National Mortgage Assn. 5.375 % 6/12/17 2,800 3,103
2 Federal National Mortgage Assn. 0.000 % 10/9/19 625 360
2 Federal National Mortgage Assn. 6.250 % 5/15/29 5,550 6,335
2 Federal National Mortgage Assn. 7.125 % 1/15/30 7,925 9,938
2 Federal National Mortgage Assn. 7.250 % 5/15/30 10,200 12,961
2 Federal National Mortgage Assn. 6.625 % 11/15/30 1,900 2,268
2 Federal National Mortgage Assn. 5.625 % 7/15/37 3,625 3,802
2 Financing Corp. Fico 9.800 % 4/6/18 850 1,176
2 Financing Corp. Fico 10.350 % 8/3/18 100 143
2 Financing Corp. Fico 9.650 % 11/2/18 2,375 3,302
2 Financing Corp. Fico 9.700 % 4/5/19 425 595
1 General Electric Capital Corp. 1.800 % 3/11/11 300 304
1 General Electric Capital Corp. 3.000 % 12/9/11 15,625 16,155
1 General Electric Capital Corp. 2.250 % 3/12/12 15,125 15,445
1 General Electric Capital Corp. 2.200 % 6/8/12 11,275 11,496
1 General Electric Capital Corp. 2.125 % 12/21/12 5,975 6,053
1 General Electric Capital Corp. 2.625 % 12/28/12 4,450 4,569
1 GMAC Inc. 1.750 % 10/30/12 10,000 10,050
1 GMAC Inc. 2.200 % 12/19/12 5,725 5,815
1 Goldman Sachs Group Inc. 1.700 % 3/15/11 1,950 1,972
1 Goldman Sachs Group Inc. 1.625 % 7/15/11 3,675 3,717
1 Goldman Sachs Group Inc. 2.150 % 3/15/12 2,525 2,573
1 Goldman Sachs Group Inc. 3.250 % 6/15/12 7,925 8,268
1 HSBC USA Inc. 3.125 % 12/16/11 5,650 5,860
  Israel Government AID Bond 5.500 % 9/18/23 1,425 1,526
  Israel Government AID Bond 5.500 % 12/4/23 1,050 1,124
  Israel Government AID Bond 5.500 % 4/26/24 4,450 4,753
1 JPMorgan Chase & Co. 1.650 % 2/23/11 7,025 7,101
1 JPMorgan Chase & Co. 3.125 % 12/1/11 9,175 9,506
1 JPMorgan Chase & Co. 2.200 % 6/15/12 6,200 6,329


1 JPMorgan Chase & Co. 2.125 % 6/22/12 5,150 5,244
1 JPMorgan Chase & Co. 2.125 % 12/26/12 9,000 9,123
1 Morgan Stanley 2.900 % 12/1/10 3,825 3,886
1 Morgan Stanley 3.250 % 12/1/11 10,050 10,436
1 Morgan Stanley 2.250 % 3/13/12 7,600 7,767
1 Morgan Stanley 1.950 % 6/20/12 8,900 9,031
1 PNC Funding Corp. 2.300 % 6/22/12 5,850 5,981
  Private Export Funding Corp. 3.050 % 10/15/14 4,000 4,008
  Private Export Funding Corp. 4.375 % 3/15/19 2,100 2,082
  Private Export Funding Corp. 4.300 % 12/15/21 1,000 942
1 Regions Bank/Birmingham AL 2.750 % 12/10/10 100 102
1 Regions Bank/Birmingham AL 3.250 % 12/9/11 27,150 28,188
  Resolution Funding Corp. 8.125 % 10/15/19 100 124
  Resolution Funding Corp. 8.875 % 7/15/20 100 131
1 Sovereign Bank 2.750 % 1/17/12 2,600 2,680
1 State Street Corp. 2.150 % 4/30/12 200 204
2 Tennessee Valley Authority 6.000 % 3/15/13 6,000 6,716
2 Tennessee Valley Authority 5.500 % 7/18/17 6,400 7,060
2 Tennessee Valley Authority 4.500 % 4/1/18 2,050 2,098
2 Tennessee Valley Authority 6.750 % 11/1/25 550 643
2 Tennessee Valley Authority 7.125 % 5/1/30 8,975 10,978
2 Tennessee Valley Authority 4.650 % 6/15/35 1,425 1,290
2 Tennessee Valley Authority 5.500 % 6/15/38 850 865
2 Tennessee Valley Authority 5.250 % 9/15/39 1,950 1,917
2 Tennessee Valley Authority 4.875 % 1/15/48 2,075 1,911
2 Tennessee Valley Authority 5.375 % 4/1/56 2,475 2,454
1 US Central Federal Credit Union 1.900 % 10/19/12 3,450 3,477
1 Wells Fargo & Co. 3.000 % 12/9/11 9,625 9,955
1 Wells Fargo & Co. 2.125 % 6/15/12 2,925 2,977
1 Western Corporate Federal Credit Union 1.750 % 11/2/12 1,750 1,753
            2,136,345
Conventional Mortgage-Backed Securities (29.9%)        
2,3 Fannie Mae Pool 4.000 % 9/1/10–10/1/39 281,060 282,317
2,3 Fannie Mae Pool 4.500 % 6/1/10–4/1/40 581,588 596,413
2,3 Fannie Mae Pool 5.000 % 4/1/10–4/1/40 989,358 1,031,001
2,3 Fannie Mae Pool 5.500 % 9/1/14–4/1/40 1,101,127 1,167,223
2,3 Fannie Mae Pool 6.000 % 2/1/14–4/1/40 848,167 906,463
2,3 Fannie Mae Pool 6.500 % 4/1/16–4/1/40 267,308 290,865
2,3 Fannie Mae Pool 7.000 % 11/1/18–12/1/38 79,645 88,116
2,3 Fannie Mae Pool 7.500 % 1/1/31–12/1/32 857 955
2,3 Fannie Mae Pool 8.000 % 12/1/29 84 93
2,3 Freddie Mac Gold Pool 4.000 % 5/1/10–11/1/39 135,542 137,750
2,3 Freddie Mac Gold Pool 4.500 % 4/1/10–4/1/40 469,259 479,890
2,3 Freddie Mac Gold Pool 5.000 % 4/1/11–4/1/40 681,981 711,005
2,3 Freddie Mac Gold Pool 5.500 % 12/1/13–4/1/40 804,489 852,720
2,3 Freddie Mac Gold Pool 6.000 % 4/1/13–4/1/40 476,960 513,826
2,3 Freddie Mac Gold Pool 6.500 % 6/1/13–4/1/39 154,984 169,173
2,3 Freddie Mac Gold Pool 7.000 % 6/1/15–12/1/37 26,485 29,369
2,3 Freddie Mac Gold Pool 7.500 % 6/1/27–2/1/32 344 383
2,3 Freddie Mac Gold Pool 8.000 % 1/1/27–11/1/31 438 487
2,3 Freddie Mac Gold Pool 8.500 % 6/1/25 81 90
3 Ginnie Mae I Pool 4.000 % 8/15/18–4/1/40 34,312 33,629
3 Ginnie Mae I Pool 4.500 % 6/15/18–4/1/40 323,741 328,266
3 Ginnie Mae I Pool 5.000 % 12/15/17–4/1/40 417,728 435,011
3 Ginnie Mae I Pool 5.500 % 4/15/17–4/1/40 295,796 313,832
3 Ginnie Mae I Pool 6.000 % 4/15/17–11/15/39 180,890 193,970
3 Ginnie Mae I Pool 6.500 % 5/15/24–1/15/39 82,808 89,633


3 Ginnie Mae I Pool 7.000 % 7/15/23–9/15/36 2,896 3,189
3 Ginnie Mae I Pool 7.500 % 12/15/23 85 93
3 Ginnie Mae I Pool 8.000 % 6/15/25–1/15/27 169 186
3 Ginnie Mae I Pool 9.000 % 11/15/17–12/15/17  228 248
3 Ginnie Mae II Pool 4.500 % 1/20/35–12/20/39 22,864 23,193
3 Ginnie Mae II Pool 5.000 % 12/20/32–4/1/40 99,639 103,691
3 Ginnie Mae II Pool 5.500 % 6/20/34–8/20/39 97,592 103,445
3 Ginnie Mae II Pool 6.000 % 3/20/31–1/20/39 93,214 99,936
3 Ginnie Mae II Pool 6.500 % 3/20/31–12/20/37 27,502 29,740
3 Ginnie Mae II Pool 7.000 % 8/20/34–4/20/38 1,021 1,122
            9,017,323
Nonconventional Mortgage-Backed Securities (1.2%)        
2,3 Fannie Mae Pool 2.516 % 12/1/34 3,556 3,615
2,3 Fannie Mae Pool 2.693 % 1/1/35 2,255 2,322
2,3 Fannie Mae Pool 2.800 % 10/1/34 3,010 3,073
2,3 Fannie Mae Pool 2.808 % 11/1/34 2,133 2,174
2,3 Fannie Mae Pool 3.135 % 9/1/34 887 915
2,3 Fannie Mae Pool 3.305 % 1/1/40 7,415 7,539
2,3 Fannie Mae Pool 3.809 % 4/1/36 6,495 6,729
2,3 Fannie Mae Pool 3.822 % 4/1/37 4,751 4,933
2,3 Fannie Mae Pool 3.975 % 7/1/35 3,270 3,384
2,3 Fannie Mae Pool 3.995 % 5/1/35 1,821 1,867
2,3 Fannie Mae Pool 4.134 % 5/1/34 1,612 1,664
2,3 Fannie Mae Pool 4.377 % 8/1/35 5,196 5,354
2,3 Fannie Mae Pool 4.424 % 7/1/35 1,788 1,851
2,3 Fannie Mae Pool 4.473 % 10/1/36 2,488 2,578
2,3 Fannie Mae Pool 4.548 % 11/1/34 5,643 5,886
2,3 Fannie Mae Pool 4.616 % 8/1/35 3,618 3,775
2,3 Fannie Mae Pool 4.621 % 9/1/34 1,569 1,628
2,3 Fannie Mae Pool 4.621 % 12/1/35 4,163 4,332
2,3 Fannie Mae Pool 4.626 % 11/1/33 1,596 1,656
2,3 Fannie Mae Pool 4.722 % 8/1/35 2,072 2,141
2,3 Fannie Mae Pool 4.793 % 6/1/34 2,050 2,159
2,3 Fannie Mae Pool 4.866 % 9/1/35 2,947 3,042
2,3 Fannie Mae Pool 4.949 % 7/1/38 1,266 1,327
2,3 Fannie Mae Pool 4.954 % 11/1/34 779 813
2,3 Fannie Mae Pool 4.966 % 10/1/35 5,683 5,886
2,3 Fannie Mae Pool 4.988 % 11/1/33 904 947
2,3 Fannie Mae Pool 5.021 % 12/1/33 1,203 1,259
2,3 Fannie Mae Pool 5.021 % 2/1/36 2,166 2,250
2,3 Fannie Mae Pool 5.024 % 11/1/35 5,508 5,738
2,3 Fannie Mae Pool 5.064 % 8/1/37 7,690 8,075
2,3 Fannie Mae Pool 5.073 % 12/1/35 3,124 3,228
2,3 Fannie Mae Pool 5.101 % 5/1/37 1,747 1,813
2,3 Fannie Mae Pool 5.135 % 12/1/35 6,395 6,686
2,3 Fannie Mae Pool 5.147 % 3/1/38 3,088 3,238
2,3 Fannie Mae Pool 5.149 % 1/1/36 2,517 2,621
2,3 Fannie Mae Pool 5.189 % 3/1/37 3,413 3,576
2,3 Fannie Mae Pool 5.204 % 8/1/38 332 345
2,3 Fannie Mae Pool 5.301 % 7/1/38 372 388
2,3 Fannie Mae Pool 5.348 % 12/1/35 2,118 2,211
2,3 Fannie Mae Pool 5.395 % 2/1/36 2,738 2,844
2,3 Fannie Mae Pool 5.444 % 2/1/36 6,668 6,933
2,3 Fannie Mae Pool 5.520 % 4/1/37 317 335
2,3 Fannie Mae Pool 5.536 % 1/1/37 3,446 3,623
2,3 Fannie Mae Pool 5.604 % 5/1/36 1,028 1,082
2,3 Fannie Mae Pool 5.621 % 7/1/36 2,497 2,632


2,3 Fannie Mae Pool 5.662 % 3/1/37 3,017 3,182
2,3 Fannie Mae Pool 5.663 % 6/1/36 3,163 3,345
2,3 Fannie Mae Pool 5.667 % 2/1/37 5,254 5,530
2,3 Fannie Mae Pool 5.673 % 2/1/37 2,755 2,887
2,3 Fannie Mae Pool 5.674 % 6/1/37 1,746 1,825
2,3 Fannie Mae Pool 5.677 % 3/1/37 2,833 2,989
2,3 Fannie Mae Pool 5.704 % 9/1/36 1,586 1,672
2,3 Fannie Mae Pool 5.722 % 3/1/37 9,382 9,899
2,3 Fannie Mae Pool 5.750 % 1/1/36 1,885 1,978
2,3 Fannie Mae Pool 5.758 % 4/1/37 5,933 6,208
2,3 Fannie Mae Pool 5.762 % 12/1/37 5,584 5,846
2,3 Fannie Mae Pool 5.764 % 4/1/36 3,527 3,707
2,3 Fannie Mae Pool 5.785 % 4/1/37 6,884 7,251
2,3 Fannie Mae Pool 5.846 % 9/1/36 2,936 3,136
2,3 Fannie Mae Pool 5.908 % 11/1/36 3,168 3,345
2,3 Fannie Mae Pool 5.996 % 4/1/36 2,433 2,561
2,3 Fannie Mae Pool 5.996 % 6/1/36 425 447
2,3 Fannie Mae Pool 5.996 % 10/1/37 4,455 4,696
2,3 Fannie Mae Pool 6.051 % 8/1/37 3,459 3,605
2,3 Fannie Mae Pool 6.506 % 9/1/37 4,870 5,171
2,3 Freddie Mac Non Gold Pool 2.666 % 12/1/34 3,426 3,525
2,3 Freddie Mac Non Gold Pool 2.946 % 1/1/35 192 197
2,3 Freddie Mac Non Gold Pool 3.076 % 9/1/34 1,803 1,858
2,3 Freddie Mac Non Gold Pool 3.087 % 12/1/34 1,903 1,979
2,3 Freddie Mac Non Gold Pool 3.169 % 12/1/36 2,029 2,094
2,3 Freddie Mac Non Gold Pool 3.315 % 4/1/40 9,556 9,641
2,3 Freddie Mac Non Gold Pool 3.632 % 1/1/40 5,542 5,679
2,3 Freddie Mac Non Gold Pool 4.098 % 4/1/35 110 113
2,3 Freddie Mac Non Gold Pool 4.201 % 6/1/37 2,149 2,225
2,3 Freddie Mac Non Gold Pool 4.331 % 3/1/37 2,064 2,110
2,3 Freddie Mac Non Gold Pool 4.369 % 1/1/37 1,761 1,814
2,3 Freddie Mac Non Gold Pool 4.543 % 3/1/36 3,387 3,497
2,3 Freddie Mac Non Gold Pool 4.597 % 11/1/34 2,928 3,043
2,3 Freddie Mac Non Gold Pool 4.626 % 7/1/35 2,089 2,162
2,3 Freddie Mac Non Gold Pool 4.986 % 5/1/35 3,059 3,180
2,3 Freddie Mac Non Gold Pool 5.044 % 7/1/38 2,800 2,939
2,3 Freddie Mac Non Gold Pool 5.284 % 3/1/38 3,379 3,544
2,3 Freddie Mac Non Gold Pool 5.292 % 3/1/36 3,610 3,761
2,3 Freddie Mac Non Gold Pool 5.338 % 12/1/35 2,531 2,654
2,3 Freddie Mac Non Gold Pool 5.433 % 4/1/37 4,644 4,893
2,3 Freddie Mac Non Gold Pool 5.441 % 3/1/37 2,319 2,443
2,3 Freddie Mac Non Gold Pool 5.503 % 2/1/36 2,526 2,644
2,3 Freddie Mac Non Gold Pool 5.556 % 4/1/37 2,963 3,101
2,3 Freddie Mac Non Gold Pool 5.557 % 5/1/36 4,136 4,293
2,3 Freddie Mac Non Gold Pool 5.603 % 7/1/36 1,927 2,010
2,3 Freddie Mac Non Gold Pool 5.650 % 12/1/36 3,392 3,562
2,3 Freddie Mac Non Gold Pool 5.652 % 4/1/37 4,506 4,686
2,3 Freddie Mac Non Gold Pool 5.675 % 3/1/37 220 232
2,3 Freddie Mac Non Gold Pool 5.675 % 3/1/37 477 498
2,3 Freddie Mac Non Gold Pool 5.710 % 11/1/36 1,655 1,738
2,3 Freddie Mac Non Gold Pool 5.721 % 6/1/37 3,983 4,209
2,3 Freddie Mac Non Gold Pool 5.723 % 9/1/36 6,899 7,255
2,3 Freddie Mac Non Gold Pool 5.757 % 5/1/36 3,084 3,237
2,3 Freddie Mac Non Gold Pool 5.773 % 3/1/37 1,695 1,791
2,3 Freddie Mac Non Gold Pool 5.826 % 12/1/36 1,828 1,931
2,3 Freddie Mac Non Gold Pool 5.844 % 10/1/37 4,458 4,701
2,3 Freddie Mac Non Gold Pool 5.873 % 5/1/37 5,591 5,890
2,3 Freddie Mac Non Gold Pool 5.879 % 6/1/37 3,183 3,365


  2,3 Freddie Mac Non Gold Pool 5.905 % 8/1/37 3,195 3,374
  2,3 Freddie Mac Non Gold Pool 5.959 % 10/1/37 1,301 1,375
  2,3 Freddie Mac Non Gold Pool 5.985 % 1/1/37 1,299 1,372
  2,3 Freddie Mac Non Gold Pool 6.039 % 3/1/37 131 138
  2,3 Freddie Mac Non Gold Pool 6.071 % 8/1/37 1,314 1,388
  2,3 Freddie Mac Non Gold Pool 6.109 % 12/1/36 2,371 2,505
  2,3 Freddie Mac Non Gold Pool 6.112 % 3/1/37 94 98
  2,3 Freddie Mac Non Gold Pool 6.306 % 6/1/37 1,638 1,715
  2,3 Freddie Mac Non Gold Pool 6.453 % 2/1/37 2,188 2,333
  3 Ginnie Mae II Pool 4.375 % 6/20/29 71 73
              352,612
  Total U.S. Government and Agency Obligations (Cost $21,462,618)   21,538,207
Asset -Backed/Commercial Mortgage-Backed Securities (3.9%)    
  4 BA Covered Bond Issuer 5.500 % 6/14/12 4,950 5,267
  3 BA Credit Card Trust 4.720 % 5/15/13 2,325 2,384
  3 Banc of America Commercial Mortgage Inc. 5.787 % 5/11/35 3,844 3,904
  3 Banc of America Commercial Mortgage Inc. 6.503 % 4/15/36 2,919 2,996
  3 Banc of America Commercial Mortgage Inc. 4.050 % 11/10/38 1,878 1,872
  3 Banc of America Commercial Mortgage Inc. 4.153 % 11/10/38 1,400 1,390
  3,5 Banc of America Commercial Mortgage Inc. 5.414 % 6/10/39 8,617 8,977
  3 Banc of America Commercial Mortgage Inc. 4.877 % 7/10/42 18,100 18,210
  3,5 Banc of America Commercial Mortgage Inc. 5.039 % 11/10/42 2,295 2,313
  3 Banc of America Commercial Mortgage Inc. 4.727 % 7/10/43 2,825 2,525
  3 Banc of America Commercial Mortgage Inc. 5.118 % 7/11/43 4,000 4,123
  3 Banc of America Commercial Mortgage Inc. 5.372 % 9/10/45 7,600 7,718
  3,5 Banc of America Commercial Mortgage Inc. 5.421 % 9/10/45 40 35
  3 Banc of America Commercial Mortgage Inc. 5.115 % 10/10/45 6,425 6,543
  3,5 Banc of America Commercial Mortgage Inc. 5.120 % 10/10/45 1,125 1,157
  3,5 Banc of America Commercial Mortgage Inc. 5.176 % 10/10/45 120 110
  3 Banc of America Commercial Mortgage Inc. 5.634 % 7/10/46 8,425 8,612
  3 Banc of America Commercial Mortgage Inc. 5.675 % 7/10/46 2,110 1,828
  3,5 Banc of America Commercial Mortgage Inc. 5.179 % 9/10/47 500 453
  3 Banc of America Commercial Mortgage Inc. 5.414 % 9/10/47 4,955 4,867
  3 Banc of America Commercial Mortgage Inc. 5.448 % 9/10/47 775 661
  3,5 Banc of America Commercial Mortgage Inc. 5.523 % 1/15/49 1,025 559
  3,5 Banc of America Commercial Mortgage Inc. 6.181 % 2/10/51 9,375 9,481
  3,4 Bank of Scotland PLC 5.250 % 2/21/17 4,300 4,378
  3 Bear Stearns Commercial Mortgage          
    Securities 5.610 % 11/15/33 3,650 3,766
  3,5 Bear Stearns Commercial Mortgage          
    Securities 5.463 % 4/12/38 325 331
  3 Bear Stearns Commercial Mortgage          
    Securities 5.463 % 4/12/38 7,225 7,504
  3,5 Bear Stearns Commercial Mortgage          
    Securities 5.463 % 4/12/38 1,500 1,310
  3 Bear Stearns Commercial Mortgage          
    Securities 4.830 % 8/15/38 6,087 6,280
  3,5 Bear Stearns Commercial Mortgage          
    Securities 5.758 % 9/11/38 1,000 866
  3,5 Bear Stearns Commercial Mortgage          
    Securities 5.758 % 9/11/38 1,075 695
  3 Bear Stearns Commercial Mortgage          
    Securities 5.455 % 3/11/39 13,825 14,196
  3 Bear Stearns Commercial Mortgage          
    Securities 4.680 % 8/13/39 9,400 9,702
  3 Bear Stearns Commercial Mortgage          
    Securities 4.740 % 3/13/40 2,275 2,355


3 Bear Stearns Commercial Mortgage          
  Securities 5.667 % 6/11/40 10,825 11,192
3,5 Bear Stearns Commercial Mortgage          
  Securities 5.719 % 6/11/40 1,075 641
3 Bear Stearns Commercial Mortgage          
  Securities 5.405 % 12/11/40 645 670
3 Bear Stearns Commercial Mortgage          
  Securities 4.750 % 6/11/41 250 198
3 Bear Stearns Commercial Mortgage          
  Securities 5.582 % 9/11/41 1,125 1,003
3,5 Bear Stearns Commercial Mortgage          
  Securities 5.568 % 10/12/41 500 440
3 Bear Stearns Commercial Mortgage          
  Securities 4.521 % 11/11/41 1,400 1,410
3 Bear Stearns Commercial Mortgage          
  Securities 5.742 % 9/11/42 7,295 7,535
3 Bear Stearns Commercial Mortgage          
  Securities 5.793 % 9/11/42 1,825 1,937
3 Bear Stearns Commercial Mortgage          
  Securities 5.127 % 10/12/42 3,375 3,401
3 Bear Stearns Commercial Mortgage          
  Securities 5.149 % 10/12/42 1,125 1,164
3,5 Bear Stearns Commercial Mortgage          
  Securities 5.513 % 1/12/45 2,475 2,033
3,5 Bear Stearns Commercial Mortgage          
  Securities 5.566 % 1/12/45 1,775 1,151
3 Bear Stearns Commercial Mortgage          
  Securities 5.613 % 6/11/50 3,450 3,554
3 Bear Stearns Commercial Mortgage          
  Securities 5.694 % 6/11/50 17,635 17,013
3 Bear Stearns Commercial Mortgage          
  Securities 5.700 % 6/11/50 4,640 4,545
3,5 Bear Stearns Commercial Mortgage          
  Securities 5.915 % 6/11/50 2,975 2,458
3 Capital Auto Receivables Asset Trust 4.680 % 10/15/12 6,125 6,305
3 Capital One Multi-Asset Execution Trust 5.300 % 2/18/14 2,150 2,248
3 Capital One Multi-Asset Execution Trust 5.050 % 12/17/18 12,975 14,068
3 Capital One Multi-Asset Execution Trust 5.750 % 7/15/20 1,640 1,836
3 CDC Commercial Mortgage Trust 5.676 % 11/15/30 5,384 5,547
3 Chase Issuance Trust 4.650 % 12/17/12 9,275 9,471
3 Chase Issuance Trust 4.650 % 3/15/15 11,375 12,253
3 Chase Issuance Trust 5.400 % 7/15/15 3,325 3,666
3 CIT Group Home Equity Loan Trust 6.200 % 2/25/30 268 239
3 Citibank Credit Card Issuance Trust 5.450 % 5/10/13 1,225 1,285
3 Citibank Credit Card Issuance Trust 4.900 % 6/23/16 7,575 8,219
3 Citibank Credit Card Issuance Trust 4.850 % 3/10/17 1,155 1,251
3 Citibank Credit Card Issuance Trust 4.150 % 7/7/17 1,225 1,280
3 Citibank Credit Card Issuance Trust 5.650 % 9/20/19 1,200 1,338
3 Citigroup Commercial Mortgage Trust 4.623 % 10/15/41 1,125 1,136
3 Citigroup Commercial Mortgage Trust 4.830 % 5/15/43 375 365
3,5 Citigroup Commercial Mortgage Trust 5.729 % 3/15/49 5,612 5,799
3 Citigroup Commercial Mortgage Trust 5.462 % 10/15/49 2,750 2,517
3,5 Citigroup Commercial Mortgage Trust 5.699 % 12/10/49 3,225 3,239
3,5 Citigroup Commercial Mortgage Trust 5.699 % 12/10/49 1,875 1,583
3,5 Citigroup Commercial Mortgage Trust 6.095 % 12/10/49 1,335 1,060
3,5 Citigroup Commercial Mortgage Trust 6.095 % 12/10/49 5,750 5,770
3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.225 % 7/15/44 11,050 11,403


3,5 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.225 % 7/15/44 2,475 2,299
3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.886 % 11/15/44 6,780 6,860
3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.648 % 10/15/48 3,150 2,641
3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.205 % 12/11/49 7,925 8,107
3 Citigroup/Deutsche Bank Commercial          
  Mortgage Trust 5.322 % 12/11/49 11,295 11,002
3,4 Commercial Mortgage Lease-Backed          
  Certificates 6.746 % 6/20/31 2,971 3,136
3 Commercial Mortgage Pass Through          
  Certificates 4.084 % 6/10/38 1,900 1,897
3 Commercial Mortgage Pass Through          
  Certificates 4.715 % 3/10/39 8,200 8,302
3 Commercial Mortgage Pass Through          
  Certificates 5.116 % 6/10/44 8,075 8,263
3 Commercial Mortgage Pass Through          
  Certificates 5.765 % 6/10/46 6,400 6,592
3,5 Commercial Mortgage Pass Through          
  Certificates 5.791 % 6/10/46 1,715 1,539
3 Commercial Mortgage Pass Through          
  Certificates 5.248 % 12/10/46 1,075 1,101
3,5 Commercial Mortgage Pass Through          
  Certificates 5.816 % 12/10/49 8,825 8,894
3 Countrywide Home Loan Mortgage Pass          
  Through Trust 4.051 % 5/25/33 1,111 958
3 Credit Suisse First Boston Mortgage          
  Securities Corp. 6.380 % 12/18/35 798 811
3,5 Credit Suisse First Boston Mortgage          
  Securities Corp. 4.750 % 1/15/37 5,205 5,301
3 Credit Suisse First Boston Mortgage          
  Securities Corp. 4.877 % 4/15/37 325 266
3,5 Credit Suisse First Boston Mortgage          
  Securities Corp. 5.014 % 2/15/38 3,800 3,890
3 Credit Suisse First Boston Mortgage          
  Securities Corp. 3.936 % 5/15/38 3,975 4,030
3 Credit Suisse First Boston Mortgage          
  Securities Corp. 5.100 % 8/15/38 12,225 12,484
3,5 Credit Suisse First Boston Mortgage          
  Securities Corp. 5.100 % 8/15/38 670 616
3 Credit Suisse Mortgage Capital Certificates 5.825 % 6/15/38 8,550 8,343
3 Credit Suisse Mortgage Capital Certificates 5.825 % 6/15/38 350 300
3 Credit Suisse Mortgage Capital Certificates 5.548 % 2/15/39 15,575 15,720
3,5 Credit Suisse Mortgage Capital Certificates 5.549 % 2/15/39 2,800 2,394
3,5 Credit Suisse Mortgage Capital Certificates 5.723 % 6/15/39 11,150 9,888
3 Credit Suisse Mortgage Capital Certificates 5.509 % 9/15/39 550 411
3 Credit Suisse Mortgage Capital Certificates 5.311 % 12/15/39 12,575 11,767
3 Credit Suisse Mortgage Capital Certificates 5.343 % 12/15/39 930 742
3 Credit Suisse Mortgage Capital Certificates 5.383 % 2/15/40 2,250 2,007
3,5 CW Capital Cobalt Ltd. 5.820 % 5/15/46 8,100 7,657
3,5 CW Capital Cobalt Ltd. 5.484 % 4/15/47 525 478
3 Daimler Chrysler Auto Trust 3.700 % 6/8/12 2,252 2,282
3 Discover Card Master Trust 5.100 % 10/15/13 225 235
3 Discover Card Master Trust 5.650 % 12/15/15 7,975 8,777
3 Discover Card Master Trust 5.650 % 3/16/20 2,500 2,774
3 Fifth Third Auto Trust 4.070 % 1/17/12 3,711 3,749


3,5 First Union Commercial Mortgage Trust 6.639 % 10/15/35 2,753 2,782
3 First Union National Bank Commercial          
  Mortgage 6.223 % 12/12/33 4,350 4,532
3 Ford Credit Auto Owner Trust 4.370 % 10/15/12 5,525 5,768
3 Ford Credit Auto Owner Trust 2.420 % 11/15/14 1,875 1,895
3 GE Capital Commercial Mortgage Corp. 6.531 % 5/15/33 3,700 3,809
3 GE Capital Commercial Mortgage Corp. 6.290 % 8/11/33 625 646
3 GE Capital Commercial Mortgage Corp. 5.994 % 12/10/35 81 82
3 GE Capital Commercial Mortgage Corp. 6.269 % 12/10/35 3,050 3,233
3 GE Capital Commercial Mortgage Corp. 5.145 % 7/10/37 1,625 1,669
3 GE Capital Commercial Mortgage Corp. 4.996 % 12/10/37 4,325 4,447
3,5 GE Capital Commercial Mortgage Corp. 5.334 % 3/10/44 10,975 11,319
3,5 GE Capital Commercial Mortgage Corp. 5.332 % 11/10/45 2,725 2,483
3 GMAC Commercial Mortgage Securities Inc. 7.455 % 8/16/33 1,425 1,429
3 GMAC Commercial Mortgage Securities Inc. 6.465 % 4/15/34 2,856 2,925
3 GMAC Commercial Mortgage Securities Inc. 6.700 % 4/15/34 3,494 3,614
3 GMAC Commercial Mortgage Securities Inc. 4.908 % 3/10/38 825 830
3 GMAC Commercial Mortgage Securities Inc. 4.646 % 4/10/40 1,525 1,545
3 GMAC Commercial Mortgage Securities Inc. 4.864 % 12/10/41 1,825 1,849
3 GMAC Commercial Mortgage Securities Inc. 4.754 % 5/10/43 575 507
3 Greenwich Capital Commercial Funding Corp. 4.948 % 1/11/35 2,375 2,446
3 Greenwich Capital Commercial Funding Corp. 4.533 % 1/5/36 950 960
3 Greenwich Capital Commercial Funding Corp. 4.915 % 1/5/36 3,375 3,548
3 Greenwich Capital Commercial Funding Corp. 5.317 % 6/10/36 4,875 5,132
3 Greenwich Capital Commercial Funding Corp. 5.117 % 4/10/37 2,018 2,045
3 Greenwich Capital Commercial Funding Corp. 5.224 % 4/10/37 8,540 8,553
3,5 Greenwich Capital Commercial Funding Corp. 5.277 % 4/10/37 1,900 1,748
3,5 Greenwich Capital Commercial Funding Corp. 5.886 % 7/10/38 1,775 1,502
3 Greenwich Capital Commercial Funding Corp. 5.475 % 3/10/39 575 466
3 Greenwich Capital Commercial Funding Corp. 4.799 % 8/10/42 11,287 11,198
3 GS Mortgage Securities Corp. II 5.506 % 4/10/38 5,525 5,590
3,5 GS Mortgage Securities Corp. II 5.553 % 4/10/38 3,025 3,035
3,5 GS Mortgage Securities Corp. II 5.622 % 4/10/38 1,725 1,493
3 GS Mortgage Securities Corp. II 5.396 % 8/10/38 10,375 10,642
3 GS Mortgage Securities Corp. II 4.608 % 1/10/40 4,325 4,396
3 Harley-Davidson Motorcycle Trust 5.210 % 6/17/13 3,625 3,744
3 Honda Auto Receivables Owner Trust 4.880 % 9/18/14 2,675 2,832
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 6.260 % 3/15/33 4,100 4,187
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.050 % 12/12/34 2,875 2,967
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.654 % 1/12/37 1,225 1,251
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.985 % 1/12/37 3,275 3,389
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.255 % 7/12/37 425 441
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.376 % 7/12/37 2,750 2,834
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.350 % 8/12/37 800 648
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.824 % 9/12/37 4,750 4,794
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.948 % 9/12/37 275 232
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.879 % 1/12/38 6,150 6,326


3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.404 % 1/12/39 4,275 4,222
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.376 % 6/12/41 8,095 8,336
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 4.780 % 7/15/42 1,075 987
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.321 % 1/12/43 40 35
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.160 % 4/15/43 2,968 3,001
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.475 % 4/15/43 1,295 1,336
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.438 % 12/12/44 1,100 940
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.222 % 12/15/44 1,480 1,370
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.874 % 4/15/45 675 427
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.874 % 4/15/45 9,075 9,471
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.874 % 4/15/45 635 550
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.593 % 5/12/45 2,500 2,155
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.440 % 5/15/45 1,720 1,440
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.447 % 5/15/45 2,025 2,055
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.440 % 6/12/47 4,755 4,683
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.803 % 6/15/49 3,850 3,996
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.818 % 6/15/49 5,075 4,878
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.794 % 2/12/51 11,851 11,724
3 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.855 % 2/12/51 3,075 3,098
3,5 JP Morgan Chase Commercial Mortgage          
  Securities Corp. 5.882 % 2/15/51 8,150 7,903
3,5 LB Commercial Conduit Mortgage Trust 5.949 % 7/15/44 3,495 2,504
3 LB-UBS Commercial Mortgage Trust 5.386 % 6/15/26 425 436
3 LB-UBS Commercial Mortgage Trust 7.370 % 8/15/26 2,480 2,492
3 LB-UBS Commercial Mortgage Trust 4.786 % 10/15/29 6,195 6,254
3 LB-UBS Commercial Mortgage Trust 4.742 % 2/15/30 2,850 2,892
3 LB-UBS Commercial Mortgage Trust 4.553 % 7/15/30 343 344
3 LB-UBS Commercial Mortgage Trust 5.197 % 11/15/30 5,705 5,762
3 LB-UBS Commercial Mortgage Trust 6.133 % 12/15/30 1,800 1,874
3 LB-UBS Commercial Mortgage Trust 5.217 % 2/15/31 925 853
3 LB-UBS Commercial Mortgage Trust 4.853 % 9/15/31 5,950 6,093
3 LB-UBS Commercial Mortgage Trust 4.960 % 12/15/31 2,375 2,435
3 LB-UBS Commercial Mortgage Trust 4.166 % 5/15/32 8,650 8,818
3,5 LB-UBS Commercial Mortgage Trust 5.124 % 11/15/32 2,850 2,951
3 LB-UBS Commercial Mortgage Trust 4.931 % 9/15/35 5,900 6,023
3,5 LB-UBS Commercial Mortgage Trust 5.661 % 3/15/39 10,225 10,295
3 LB-UBS Commercial Mortgage Trust 5.372 % 9/15/39 1,250 1,281
3 LB-UBS Commercial Mortgage Trust 5.413 % 9/15/39 425 387
3 LB-UBS Commercial Mortgage Trust 5.424 % 2/15/40 1,200 1,172


3 LB-UBS Commercial Mortgage Trust 5.430 % 2/15/40 6,000 5,837
3 LB-UBS Commercial Mortgage Trust 5.455 % 2/15/40 1,700 1,273
3,5 LB-UBS Commercial Mortgage Trust 5.493 % 2/15/40 1,305 1,021
3,5 LB-UBS Commercial Mortgage Trust 5.263 % 11/15/40 245 228
3,5 LB-UBS Commercial Mortgage Trust 6.155 % 4/15/41 1,970 1,645
3,5 LB-UBS Commercial Mortgage Trust 6.155 % 4/15/41 8,650 9,128
3 LB-UBS Commercial Mortgage Trust 5.866 % 9/15/45 14,990 15,027
3 MBNA Master Credit Card Trust 7.800 % 10/15/12 200 202
3 Merrill Lynch Mortgage Trust 5.236 % 11/12/35 5,825 6,095
3 Merrill Lynch Mortgage Trust 5.107 % 7/12/38 50 47
3 Merrill Lynch Mortgage Trust 5.655 % 5/12/39 4,100 4,179
3,5 Merrill Lynch Mortgage Trust 5.656 % 5/12/39 625 533
3 Merrill Lynch Mortgage Trust 5.782 % 8/12/43 1,965 1,623
3,5 Merrill Lynch Mortgage Trust 5.802 % 8/12/43 1,350 907
3,5 Merrill Lynch Mortgage Trust 5.291 % 1/12/44 6,675 6,904
3,5 Merrill Lynch Mortgage Trust 5.827 % 6/12/50 1,175 942
3,5 Merrill Lynch Mortgage Trust 5.827 % 6/12/50 14,600 14,322
3 Merrill Lynch Mortgage Trust 5.425 % 2/12/51 1,275 1,292
3 Merrill Lynch Mortgage Trust 5.690 % 2/12/51 3,250 2,989
3,5 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.516 % 2/12/39 275 188
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.908 % 6/12/46 15,675 16,604
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.456 % 7/12/46 300 255
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.378 % 8/12/48 7,455 6,564
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.590 % 9/12/49 3,810 3,897
3 Merrill Lynch/Countrywide Commercial          
  Mortgage Trust 5.700 % 9/12/49 9,970 9,066
3 Morgan Stanley Capital I 4.970 % 4/14/40 1,625 1,639
3,5 Morgan Stanley Capital I 5.110 % 6/15/40 9,025 9,052
3 Morgan Stanley Capital I 5.030 % 6/13/41 470 481
3 Morgan Stanley Capital I 5.270 % 6/13/41 2,185 2,252
3,5 Morgan Stanley Capital I 5.811 % 8/12/41 775 708
3 Morgan Stanley Capital I 5.328 % 11/12/41 2,225 2,249
3 Morgan Stanley Capital I 5.360 % 11/12/41 2,626 2,304
3 Morgan Stanley Capital I 4.970 % 12/15/41 5,040 5,173
3 Morgan Stanley Capital I 5.168 % 1/14/42 1,500 1,571
3,5 Morgan Stanley Capital I 5.649 % 6/11/42 6,075 6,360
3,5 Morgan Stanley Capital I 5.649 % 6/11/42 175 154
3 Morgan Stanley Capital I 4.989 % 8/13/42 7,855 8,048
3 Morgan Stanley Capital I 5.230 % 9/15/42 9,800 9,940
3 Morgan Stanley Capital I 5.766 % 10/15/42 2,700 2,808
3,5 Morgan Stanley Capital I 5.770 % 10/15/42 1,750 1,359
3,5 Morgan Stanley Capital I 5.770 % 10/15/42 90 77
3,5 Morgan Stanley Capital I 5.208 % 11/14/42 170 154
3,5 Morgan Stanley Capital I 5.208 % 11/14/42 5,750 5,849
3 Morgan Stanley Capital I 6.280 % 1/11/43 7,850 8,381
3 Morgan Stanley Capital I 5.332 % 12/15/43 3,860 3,859
3,5 Morgan Stanley Capital I 5.385 % 3/12/44 10,375 10,648
3,5 Morgan Stanley Capital I 5.773 % 7/12/44 1,575 1,403
3 Morgan Stanley Capital I 4.660 % 9/13/45 2,150 2,174
3,5 Morgan Stanley Capital I 5.685 % 4/15/49 1,600 1,042
3,5 Morgan Stanley Capital I 5.692 % 4/15/49 7,600 6,882
3,5 Morgan Stanley Capital I 5.544 % 11/12/49 2,500 2,175
3 Morgan Stanley Capital I 5.809 % 12/12/49 3,425 3,294


3 Morgan Stanley Capital I 5.090 % 10/12/52 2,650 2,685
3,5 Morgan Stanley Capital I 5.204 % 10/12/52 1,725 1,593
3 Morgan Stanley Capital I 4.770 % 7/15/56 1,345 1,069
3 Morgan Stanley Dean Witter Capital I 6.660 % 2/15/33 1,218 1,242
3 Morgan Stanley Dean Witter Capital I 6.390 % 7/15/33 1,340 1,385
3 Morgan Stanley Dean Witter Capital I 4.920 % 3/12/35 9,125 9,274
3 Morgan Stanley Dean Witter Capital I 6.390 % 10/15/35 4,197 4,414
3 Morgan Stanley Dean Witter Capital I 4.740 % 11/13/36 9,400 9,650
3 Morgan Stanley Dean Witter Capital I 5.980 % 1/15/39 3,625 3,836
4 Nationwide Building Society 5.500 % 7/18/12 7,275 7,769
3 Nissan Auto Receivables Owner Trust 4.460 % 4/16/12 190 194
3 Nissan Auto Receivables Owner Trust 5.050 % 11/17/14 2,275 2,427
4 Northern Rock Asset Management PLC 5.625 % 6/22/17 14,075 13,903
3 PG&E Energy Recovery Funding LLC 4.140 % 9/25/12 623 630
3 PG&E Energy Recovery Funding LLC 5.030 % 3/25/14 2,277 2,374
3 PNC Mortgage Acceptance Corp. 7.300 % 10/12/33 124 125
3 PSE&G Transition Funding LLC 6.890 % 12/15/17 6,975 8,253
3 Public Service New Hampshire Funding LLC 6.480 % 5/1/15 298 324
3 Residential Asset Securities Corp. 6.489 % 10/25/30 76 63
3 USAA Auto Owner Trust 4.710 % 2/18/14 4,550 4,825
3 Wachovia Bank Commercial Mortgage Trust 4.440 % 11/15/34 189 192
3 Wachovia Bank Commercial Mortgage Trust 4.980 % 11/15/34 200 206
3 Wachovia Bank Commercial Mortgage Trust 4.867 % 2/15/35 200 208
3,5 Wachovia Bank Commercial Mortgage Trust 5.125 % 8/15/35 1,100 1,162
3,5 Wachovia Bank Commercial Mortgage Trust 4.964 % 11/15/35 4,225 4,366
3 Wachovia Bank Commercial Mortgage Trust 4.719 % 1/15/41 1,125 1,130
3 Wachovia Bank Commercial Mortgage Trust 4.748 % 2/15/41 8,075 8,249
3 Wachovia Bank Commercial Mortgage Trust 5.001 % 7/15/41 2,094 2,112
3,5 Wachovia Bank Commercial Mortgage Trust 5.238 % 7/15/41 9,475 9,602
3 Wachovia Bank Commercial Mortgage Trust 4.803 % 10/15/41 10,025 10,086
3,5 Wachovia Bank Commercial Mortgage Trust 5.083 % 3/15/42 5,425 5,623
3,5 Wachovia Bank Commercial Mortgage Trust 5.224 % 3/15/42 625 506
3 Wachovia Bank Commercial Mortgage Trust 5.118 % 7/15/42 2,825 2,897
3,5 Wachovia Bank Commercial Mortgage Trust 5.740 % 5/15/43 8,695 9,027
3,5 Wachovia Bank Commercial Mortgage Trust 5.740 % 5/15/43 2,075 1,785
3 Wachovia Bank Commercial Mortgage Trust 4.699 % 5/15/44 4,900 5,045
3 Wachovia Bank Commercial Mortgage Trust 4.793 % 5/15/44 1,350 1,107
3,5 Wachovia Bank Commercial Mortgage Trust 5.209 % 10/15/44 6,475 6,768
3,5 Wachovia Bank Commercial Mortgage Trust 5.270 % 12/15/44 10,950 11,408
3,5 Wachovia Bank Commercial Mortgage Trust 5.320 % 12/15/44 60 53
3,5 Wachovia Bank Commercial Mortgage Trust 5.967 % 6/15/45 475 419
3,5 Wachovia Bank Commercial Mortgage Trust 5.765 % 7/15/45 2,950 2,893
3,5 Wachovia Bank Commercial Mortgage Trust 5.818 % 5/15/46 1,540 1,191
3 Wachovia Bank Commercial Mortgage Trust 5.313 % 11/15/48 5,275 5,401
3 Wachovia Bank Commercial Mortgage Trust 5.339 % 11/15/48 3,850 3,295
3 World Omni Auto Receivables Trust 3.940 % 10/15/12 4,763 4,854
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $979,497)   1,159,764
Corporate Bonds (19.3%)          
Finance (6.9%)          
  Banking (4.6%)          
3 Abbey National Capital Trust I 8.963 % 12/29/49 2,500 2,669
  American Express Bank FSB 5.550 % 10/17/12 1,300 1,396
  American Express Bank FSB 5.500 % 4/16/13 3,275 3,507
  American Express Bank FSB 6.000 % 9/13/17 1,500 1,598
  American Express Centurion Bank 5.550 % 10/17/12 1,025 1,100
  American Express Centurion Bank 5.950 % 6/12/17 650 689
  American Express Centurion Bank 6.000 % 9/13/17 9,450 10,040


American Express Co. 4.875 % 7/15/13 1,575 1,660
American Express Co. 7.250 % 5/20/14 1,250 1,414
American Express Co. 5.500 % 9/12/16 1,025 1,075
American Express Co. 6.150 % 8/28/17 2,025 2,182
American Express Co. 7.000 % 3/19/18 12,050 13,629
American Express Co. 8.125 % 5/20/19 1,625 1,962
American Express Co. 8.150 % 3/19/38 1,425 1,834
3 American Express Co. 6.800 % 9/1/66 2,125 2,078
American Express Credit Corp. 5.875 % 5/2/13 3,175 3,441
American Express Credit Corp. 7.300 % 8/20/13 6,300 7,097
American Express Credit Corp. 5.125 % 8/25/14 2,900 3,073
4 American Express Travel Related Services          
Co. Inc. 5.250 % 11/21/11 2,400 2,507
Amsouth Bank 5.200 % 4/1/15 1,825 1,672
Associates Corp. of North America 6.950 % 11/1/18 100 106
Banco Santander Chile 2.875 % 11/13/12 900 896
Bank of America Corp. 4.250 % 10/1/10 1,000 1,018
Bank of America Corp. 5.375 % 8/15/11 1,100 1,156
Bank of America Corp. 5.375 % 9/11/12 2,175 2,312
Bank of America Corp. 4.875 % 9/15/12 5,100 5,354
Bank of America Corp. 4.875 % 1/15/13 2,825 2,955
Bank of America Corp. 4.900 % 5/1/13 1,925 2,015
Bank of America Corp. 7.375 % 5/15/14 4,650 5,228
Bank of America Corp. 5.375 % 6/15/14 1,075 1,128
Bank of America Corp. 5.125 % 11/15/14 6,350 6,583
Bank of America Corp. 4.500 % 4/1/15 12,600 12,696
Bank of America Corp. 4.750 % 8/1/15 275 279
Bank of America Corp. 5.250 % 12/1/15 1,225 1,258
Bank of America Corp. 6.500 % 8/1/16 10,100 10,921
Bank of America Corp. 5.750 % 8/15/16 3,250 3,327
Bank of America Corp. 5.625 % 10/14/16 2,325 2,394
Bank of America Corp. 5.420 % 3/15/17 5,375 5,310
Bank of America Corp. 6.000 % 9/1/17 400 416
Bank of America Corp. 5.750 % 12/1/17 1,575 1,613
Bank of America Corp. 5.650 % 5/1/18 14,850 15,038
Bank of America Corp. 7.625 % 6/1/19 4,025 4,601
Bank of America Corp. 6.800 % 3/15/28 600 599
Bank of America Corp. 6.500 % 9/15/37 875 846
Bank of America NA 5.300 % 3/15/17 6,850 6,782
Bank of America NA 6.100 % 6/15/17 1,975 2,035
Bank of America NA 6.000 % 10/15/36 4,225 3,901
Bank of New York Mellon Corp. 4.950 % 1/14/11 1,125 1,163
Bank of New York Mellon Corp. 6.375 % 4/1/12 100 109
Bank of New York Mellon Corp. 4.950 % 11/1/12 9,500 10,305
Bank of New York Mellon Corp. 4.500 % 4/1/13 525 562
Bank of New York Mellon Corp. 4.300 % 5/15/14 3,000 3,162
Bank of New York Mellon Corp. 4.950 % 3/15/15 2,325 2,482
Bank of New York Mellon Corp. 5.450 % 5/15/19 3,645 3,892
Bank of New York Mellon Corp. 4.600 % 1/15/20 2,150 2,164
Bank of Nova Scotia 2.250 % 1/22/13 3,025 3,047
Bank of Tokyo-Mitsubishi UFJ Ltd. 7.400 % 6/15/11 450 480
Bank One Corp. 5.900 % 11/15/11 1,150 1,223
Bank One Corp. 5.250 % 1/30/13 1,450 1,551
Bank One Corp. 4.900 % 4/30/15 975 1,012
Bank One Corp. 7.625 % 10/15/26 425 478
Banque Paribas 6.950 % 7/22/13 325 365
Barclays Bank PLC 5.450 % 9/12/12 1,450 1,565
Barclays Bank PLC 2.500 % 1/23/13 2,325 2,328


  Barclays Bank PLC 5.200 % 7/10/14 5,800 6,186
  Barclays Bank PLC 5.000 % 9/22/16 2,450 2,520
  Barclays Bank PLC 6.750 % 5/22/19 2,175 2,402
  Barclays Bank PLC 5.125 % 1/8/20 10,450 10,301
  BB&T Capital Trust II 6.750 % 6/7/36 2,675 2,637
3 BB&T Capital Trust IV 6.820 % 6/12/57 1,050 989
  BB&T Corp. 6.500 % 8/1/11 675 714
  BB&T Corp. 3.850 % 7/27/12 2,375 2,476
  BB&T Corp. 4.750 % 10/1/12 1,675 1,764
  BB&T Corp. 3.375 % 9/25/13 2,725 2,784
  BB&T Corp. 5.700 % 4/30/14 1,750 1,907
  BB&T Corp. 5.200 % 12/23/15 1,575 1,650
  BB&T Corp. 4.900 % 6/30/17 100 100
  BB&T Corp. 6.850 % 4/30/19 1,750 1,985
  BB&T Corp. 5.250 % 11/1/19 4,350 4,371
  Bear Stearns Cos. LLC 4.500 % 10/28/10 850 868
  Bear Stearns Cos. LLC 5.350 % 2/1/12 6,600 7,050
  Bear Stearns Cos. LLC 6.950 % 8/10/12 6,975 7,773
  Bear Stearns Cos. LLC 5.700 % 11/15/14 4,825 5,256
  Bear Stearns Cos. LLC 5.300 % 10/30/15 1,900 2,019
  Bear Stearns Cos. LLC 5.550 % 1/22/17 1,850 1,924
  Bear Stearns Cos. LLC 6.400 % 10/2/17 2,025 2,240
  Bear Stearns Cos. LLC 7.250 % 2/1/18 3,975 4,586
  Bear Stearns Cos. LLC 4.650 % 7/2/18 425 417
  BNP Paribas 3.250 % 3/11/15 850 846
  BNP Paribas / BNP Paribas US Medium-Term          
  Note Program LLC 2.125 % 12/21/12 5,750 5,830
  BNY Mellon NA 4.750 % 12/15/14 3,350 3,561
  Branch Banking & Trust Co. 5.625 % 9/15/16 1,875 1,951
4 Canadian Imperial Bank of          
  Commerce/Canada 2.000 % 2/4/13 2,700 2,688
  Capital One Bank USA NA 6.500 % 6/13/13 1,150 1,260
  Capital One Bank USA NA 8.800 % 7/15/19 7,200 8,701
  Capital One Capital III 7.686 % 8/15/36 2,025 1,934
  Capital One Capital IV 6.745 % 2/17/37 850 727
  Capital One Capital V 10.250 % 8/15/39 875 1,035
  Capital One Capital VI 8.875 % 5/15/40 700 759
  Capital One Financial Corp. 5.700 % 9/15/11 1,075 1,130
  Capital One Financial Corp. 4.800 % 2/21/12 525 547
  Capital One Financial Corp. 7.375 % 5/23/14 2,500 2,859
  Capital One Financial Corp. 5.500 % 6/1/15 2,800 2,926
  Capital One Financial Corp. 6.150 % 9/1/16 1,875 1,939
  Capital One Financial Corp. 5.250 % 2/21/17 1,075 1,101
  Capital One Financial Corp. 6.750 % 9/15/17 1,575 1,739
  Charter One Bank NA 5.500 % 4/26/11 3,425 3,544
3,4 Citicorp Lease Pass-Through Trust 1999-1 8.040 % 12/15/19 4,025 4,440
  Citigroup Inc. 5.100 % 9/29/11 5,450 5,676
  Citigroup Inc. 6.000 % 2/21/12 875 928
  Citigroup Inc. 5.250 % 2/27/12 3,875 4,064
  Citigroup Inc. 5.500 % 8/27/12 1,050 1,111
  Citigroup Inc. 5.625 % 8/27/12 2,900 3,041
  Citigroup Inc. 5.300 % 10/17/12 13,375 14,042
  Citigroup Inc. 5.500 % 4/11/13 8,325 8,741
  Citigroup Inc. 6.500 % 8/19/13 6,450 6,957
  Citigroup Inc. 5.125 % 5/5/14 825 848
  Citigroup Inc. 6.375 % 8/12/14 6,125 6,542
  Citigroup Inc. 5.000 % 9/15/14 10,150 10,119
  Citigroup Inc. 5.500 % 10/15/14 4,850 5,027


Citigroup Inc. 6.010 % 1/15/15 3,250 3,411
Citigroup Inc. 4.700 % 5/29/15 1,000 995
Citigroup Inc. 5.300 % 1/7/16 5,550 5,623
Citigroup Inc. 5.500 % 2/15/17 850 840
Citigroup Inc. 6.000 % 8/15/17 4,325 4,414
Citigroup Inc. 6.125 % 11/21/17 9,625 9,884
Citigroup Inc. 6.125 % 5/15/18 8,633 8,815
Citigroup Inc. 8.500 % 5/22/19 17,175 20,061
Citigroup Inc. 6.625 % 6/15/32 1,925 1,799
Citigroup Inc. 5.875 % 2/22/33 3,250 2,817
Citigroup Inc. 6.000 % 10/31/33 2,525 2,210
Citigroup Inc. 5.850 % 12/11/34 650 590
Citigroup Inc. 6.125 % 8/25/36 3,000 2,609
Citigroup Inc. 5.875 % 5/29/37 4,550 4,100
Citigroup Inc. 6.875 % 3/5/38 4,500 4,566
Citigroup Inc. 8.125 % 7/15/39 2,700 3,107
Comerica Bank 5.750 % 11/21/16 3,775 3,908
Comerica Bank 5.200 % 8/22/17 2,800 2,703
3 Comerica Capital Trust II 6.576 % 2/20/37 950 836
Comerica Inc. 4.800 % 5/1/15 2,600 2,618
Compass Bank 6.400 % 10/1/17 900 903
Compass Bank 5.900 % 4/1/26 650 571
4 Corestates Capital I 8.000 % 12/15/26 1,600 1,608
Countrywide Financial Corp. 5.800 % 6/7/12 1,800 1,914
Countrywide Financial Corp. 6.250 % 5/15/16 450 457
Credit Suisse AG 5.400 % 1/14/20 3,800 3,833
Credit Suisse USA Inc. 4.875 % 8/15/10 5,725 5,815
Credit Suisse USA Inc. 5.500 % 8/16/11 1,475 1,559
Credit Suisse USA Inc. 6.125 % 11/15/11 3,825 4,106
Credit Suisse USA Inc. 6.500 % 1/15/12 975 1,059
Credit Suisse USA Inc. 5.500 % 8/15/13 2,575 2,824
Credit Suisse USA Inc. 5.125 % 1/15/14 625 666
Credit Suisse USA Inc. 4.875 % 1/15/15 5,435 5,766
Credit Suisse USA Inc. 5.125 % 8/15/15 3,665 3,924
Credit Suisse USA Inc. 7.125 % 7/15/32 1,425 1,692
3 Credit Suisse/Guernsey 5.860 % 5/15/49 2,450 2,297
Credit Suisse/New York NY 3.450 % 7/2/12 400 414
Credit Suisse/New York NY 5.000 % 5/15/13 5,900 6,333
Credit Suisse/New York NY 5.500 % 5/1/14 7,200 7,836
Credit Suisse/New York NY 3.500 % 3/23/15 10,600 10,577
Credit Suisse/New York NY 6.000 % 2/15/18 6,150 6,511
Credit Suisse/New York NY 5.300 % 8/13/19 8,925 9,160
Deutsche Bank AG 3.450 % 3/30/15 2,225 2,207
Deutsche Bank AG/London 5.375 % 10/12/12 5,850 6,365
Deutsche Bank AG/London 2.375 % 1/11/13 4,500 4,513
Deutsche Bank AG/London 4.875 % 5/20/13 5,500 5,890
Deutsche Bank AG/London 6.000 % 9/1/17 9,375 10,262
Deutsche Bank Financial LLC 5.375 % 3/2/15 4,650 4,916
FIA Card Services NA 6.625 % 6/15/12 1,100 1,184
Fifth Third Bancorp 6.250 % 5/1/13 100 108
Fifth Third Bancorp 4.500 % 6/1/18 725 664
Fifth Third Bancorp 8.250 % 3/1/38 3,225 3,393
Fifth Third Bank/Ohio 4.750 % 2/1/15 2,800 2,835
3 Fifth Third Capital Trust IV 6.500 % 4/15/67 1,825 1,547
First Niagara Financial Group Inc. 6.750 % 3/19/20 675 685
First Tennessee Bank NA 5.050 % 1/15/15 500 469
First Union Institutional Capital I 8.040 % 12/1/26 525 530
Golden West Financial Corp. 4.750 % 10/1/12 975 1,025


Goldman Sachs Capital I 6.345 % 2/15/34 4,975 4,579
3 Goldman Sachs Capital II 5.793 % 12/29/49 2,550 2,150
Goldman Sachs Group Inc. 6.600 % 1/15/12 6,750 7,340
Goldman Sachs Group Inc. 5.300 % 2/14/12 325 346
Goldman Sachs Group Inc. 5.700 % 9/1/12 275 298
Goldman Sachs Group Inc. 5.450 % 11/1/12 3,550 3,838
Goldman Sachs Group Inc. 5.250 % 4/1/13 3,150 3,368
Goldman Sachs Group Inc. 4.750 % 7/15/13 4,275 4,523
Goldman Sachs Group Inc. 5.250 % 10/15/13 5,100 5,484
Goldman Sachs Group Inc. 5.150 % 1/15/14 2,050 2,181
Goldman Sachs Group Inc. 6.000 % 5/1/14 11,900 13,039
Goldman Sachs Group Inc. 5.000 % 10/1/14 11,175 11,743
Goldman Sachs Group Inc. 5.125 % 1/15/15 6,525 6,891
Goldman Sachs Group Inc. 5.350 % 1/15/16 8,900 9,357
Goldman Sachs Group Inc. 5.750 % 10/1/16 2,000 2,135
Goldman Sachs Group Inc. 5.625 % 1/15/17 4,275 4,376
Goldman Sachs Group Inc. 6.250 % 9/1/17 8,625 9,272
Goldman Sachs Group Inc. 5.950 % 1/18/18 5,775 6,055
Goldman Sachs Group Inc. 6.150 % 4/1/18 7,475 7,893
Goldman Sachs Group Inc. 7.500 % 2/15/19 2,400 2,736
Goldman Sachs Group Inc. 5.375 % 3/15/20 4,375 4,335
Goldman Sachs Group Inc. 5.950 % 1/15/27 4,650 4,465
Goldman Sachs Group Inc. 6.125 % 2/15/33 10,700 10,515
Goldman Sachs Group Inc. 6.450 % 5/1/36 2,175 2,086
Goldman Sachs Group Inc. 6.750 % 10/1/37 13,525 13,412
4 HBOS PLC 6.750 % 5/21/18 2,075 1,906
HSBC Bank USA NA 4.625 % 4/1/14 3,975 4,143
HSBC Bank USA NA 5.875 % 11/1/34 1,200 1,162
HSBC Bank USA NA 5.625 % 8/15/35 1,225 1,142
HSBC Holdings PLC 7.625 % 5/17/32 325 364
HSBC Holdings PLC 7.350 % 11/27/32 600 660
HSBC Holdings PLC 6.500 % 5/2/36 5,000 5,181
HSBC Holdings PLC 6.500 % 9/15/37 5,850 6,058
HSBC Holdings PLC 6.800 % 6/1/38 1,325 1,425
4 ICICI Bank Ltd./Bahrain 6.625 % 10/3/12 4,525 4,819
JP Morgan Chase Capital XV 5.875 % 3/15/35 2,125 1,922
JP Morgan Chase Capital XVII 5.850 % 8/1/35 250 218
JP Morgan Chase Capital XX 6.550 % 9/29/36 2,250 2,099
JP Morgan Chase Capital XXII 6.450 % 2/2/37 4,175 3,866
JP Morgan Chase Capital XXV 6.800 % 10/1/37 2,775 2,752
JPMorgan Chase & Co. 5.600 % 6/1/11 200 210
JPMorgan Chase & Co. 4.500 % 1/15/12 3,075 3,240
JPMorgan Chase & Co. 6.625 % 3/15/12 2,975 3,242
JPMorgan Chase & Co. 5.375 % 10/1/12 5,950 6,445
JPMorgan Chase & Co. 5.750 % 1/2/13 2,175 2,356
JPMorgan Chase & Co. 4.750 % 5/1/13 4,450 4,749
JPMorgan Chase & Co. 5.375 % 1/15/14 450 484
JPMorgan Chase & Co. 4.875 % 3/15/14 8,800 9,183
JPMorgan Chase & Co. 4.650 % 6/1/14 4,600 4,859
JPMorgan Chase & Co. 5.125 % 9/15/14 15,215 16,116
JPMorgan Chase & Co. 3.700 % 1/20/15 9,500 9,554
JPMorgan Chase & Co. 4.750 % 3/1/15 4,625 4,848
JPMorgan Chase & Co. 5.250 % 5/1/15 2,025 2,137
JPMorgan Chase & Co. 5.150 % 10/1/15 5,875 6,182
JPMorgan Chase & Co. 6.125 % 6/27/17 3,675 3,950
JPMorgan Chase & Co. 6.000 % 1/15/18 3,150 3,407
JPMorgan Chase & Co. 6.300 % 4/23/19 9,950 10,932
JPMorgan Chase & Co. 4.950 % 3/25/20 875 865


JPMorgan Chase & Co. 6.400 % 5/15/38 11,550 12,476
JPMorgan Chase Bank NA 5.875 % 6/13/16 1,350 1,444
JPMorgan Chase Bank NA 6.000 % 10/1/17 5,050 5,390
JPMorgan Chase Capital XXVII 7.000 % 11/1/39 975 991
KeyBank NA 5.500 % 9/17/12 2,000 2,097
KeyBank NA 5.800 % 7/1/14 850 869
KeyBank NA 4.950 % 9/15/15 2,025 1,997
KeyBank NA 5.450 % 3/3/16 2,500 2,459
KeyCorp 6.500 % 5/14/13 1,500 1,600
4 Lloyds TSB Bank PLC 4.375 % 1/12/15 3,650 3,590
4 Lloyds TSB Bank PLC 5.800 % 1/13/20 3,950 3,812
M&I Marshall & Ilsley Bank 6.375 % 9/1/11 825 831
M&I Marshall & Ilsley Bank 5.250 % 9/4/12 225 225
M&I Marshall & Ilsley Bank 4.850 % 6/16/15 350 305
M&I Marshall & Ilsley Bank 5.000 % 1/17/17 100 86
Manufacturers & Traders Trust Co. 6.625 % 12/4/17 2,475 2,642
3 Manufacturers & Traders Trust Co. 5.585 % 12/28/20 100 91
MBNA Corp. 7.500 % 3/15/12 1,125 1,227
MBNA Corp. 6.125 % 3/1/13 1,375 1,476
MBNA Corp. 5.000 % 6/15/15 1,425 1,423
Mellon Funding Corp. 6.400 % 5/14/11 100 106
Mellon Funding Corp. 5.000 % 12/1/14 5,825 6,247
Merrill Lynch & Co. Inc. 4.790 % 8/4/10 525 532
Merrill Lynch & Co. Inc. 5.770 % 7/25/11 1,075 1,133
Merrill Lynch & Co. Inc. 6.050 % 8/15/12 3,475 3,717
Merrill Lynch & Co. Inc. 5.450 % 2/5/13 3,225 3,405
Merrill Lynch & Co. Inc. 6.150 % 4/25/13 7,200 7,754
Merrill Lynch & Co. Inc. 5.000 % 2/3/14 5,325 5,487
Merrill Lynch & Co. Inc. 5.450 % 7/15/14 850 891
Merrill Lynch & Co. Inc. 5.000 % 1/15/15 11,281 11,531
Merrill Lynch & Co. Inc. 6.050 % 5/16/16 1,025 1,048
Merrill Lynch & Co. Inc. 5.700 % 5/2/17 5,825 5,780
Merrill Lynch & Co. Inc. 6.400 % 8/28/17 5,425 5,715
Merrill Lynch & Co. Inc. 6.875 % 4/25/18 16,925 18,236
Merrill Lynch & Co. Inc. 6.500 % 7/15/18 100 104
Merrill Lynch & Co. Inc. 6.220 % 9/15/26 4,525 4,364
Merrill Lynch & Co. Inc. 6.110 % 1/29/37 2,375 2,196
Merrill Lynch & Co. Inc. 7.750 % 5/14/38 9,200 10,167
Morgan Stanley 6.750 % 4/15/11 1,500 1,584
Morgan Stanley 5.625 % 1/9/12 9,520 10,123
Morgan Stanley 6.600 % 4/1/12 3,400 3,692
Morgan Stanley 5.750 % 8/31/12 2,350 2,525
Morgan Stanley 5.300 % 3/1/13 4,500 4,781
Morgan Stanley 6.750 % 10/15/13 200 221
Morgan Stanley 4.750 % 4/1/14 13,900 14,215
Morgan Stanley 6.000 % 5/13/14 12,050 12,997
Morgan Stanley 4.200 % 11/20/14 5,825 5,842
Morgan Stanley 4.100 % 1/26/15 3,300 3,282
Morgan Stanley 6.000 % 4/28/15 11,475 12,295
Morgan Stanley 5.375 % 10/15/15 2,100 2,183
Morgan Stanley 5.750 % 10/18/16 4,700 4,870
Morgan Stanley 5.450 % 1/9/17 3,225 3,282
Morgan Stanley 5.550 % 4/27/17 1,375 1,403
Morgan Stanley 5.950 % 12/28/17 5,100 5,248
Morgan Stanley 6.625 % 4/1/18 11,975 12,786
Morgan Stanley 7.300 % 5/13/19 9,300 10,273
Morgan Stanley 5.625 % 9/23/19 9,000 8,936
Morgan Stanley 5.500 % 1/26/20 3,200 3,140


  Morgan Stanley 6.250 % 8/9/26 5,425 5,555
  Morgan Stanley 7.250 % 4/1/32 750 861
  National City Bank 4.625 % 5/1/13 725 755
  National City Corp. 4.900 % 1/15/15 850 900
  National City Corp. 6.875 % 5/15/19 525 579
3 National City Preferred Capital Trust I 12.000 % 12/31/49 1,575 1,835
  North American Development Bank 4.375 % 2/11/20 975 957
  North Fork Bancorporation Inc. 5.875 % 8/15/12 100 105
  Northern Trust Co. 6.500 % 8/15/18 425 476
  Northern Trust Corp. 5.500 % 8/15/13 425 469
  Northern Trust Corp. 4.625 % 5/1/14 1,025 1,095
  PNC Bank NA 4.875 % 9/21/17 3,575 3,569
  PNC Bank NA 6.000 % 12/7/17 325 343
  PNC Funding Corp. 5.125 % 12/14/10 1,450 1,494
  PNC Funding Corp. 3.625 % 2/8/15 500 503
  PNC Funding Corp. 4.250 % 9/21/15 650 672
  PNC Funding Corp. 5.250 % 11/15/15 2,825 2,975
  PNC Funding Corp. 5.625 % 2/1/17 325 336
  PNC Funding Corp. 6.700 % 6/10/19 6,475 7,260
  PNC Funding Corp. 5.125 % 2/8/20 2,325 2,345
  Regions Bank 7.500 % 5/15/18 1,325 1,328
  Regions Financial Corp. 7.750 % 11/10/14 1,625 1,711
  Royal Bank of Scotland Group PLC 5.050 % 1/8/15 1,800 1,690
  Royal Bank of Scotland Group PLC 6.400 % 10/21/19 10,150 10,147
  Royal Bank Of Scotland NV 4.650 % 6/4/18 100 87
4 Royal Bank of Scotland PLC 4.875 % 8/25/14 1,800 1,811
  Royal Bank of Scotland PLC 4.875 % 3/16/15 2,400 2,393
  SouthTrust Corp. 5.800 % 6/15/14 750 796
  Sovereign Bank 5.125 % 3/15/13 625 632
  Sovereign Bank 8.750 % 5/30/18 675 769
3,4 Standard Chartered PLC 6.409 % 12/31/49 1,975 1,777
  State Street Bank and Trust Co. 5.300 % 1/15/16 900 955
  State Street Corp. 4.300 % 5/30/14 1,600 1,685
  Sumitomo Mitsui Banking Corp. 8.000 % 6/15/12 4,075 4,485
  SunTrust Bank 6.375 % 4/1/11 1,900 1,984
  SunTrust Bank 5.000 % 9/1/15 100 100
  SunTrust Bank 5.450 % 12/1/17 100 98
  SunTrust Bank 7.250 % 3/15/18 375 400
  SunTrust Banks Inc. 5.250 % 11/5/12 1,800 1,894
  SunTrust Banks Inc. 6.000 % 9/11/17 1,300 1,321
  SunTrust Capital VIII 6.100 % 12/15/36 657 537
  UBS AG/New York NY 7.000 % 10/15/15 1,000 1,078
  UBS AG/New York NY 7.375 % 6/15/17 1,050 1,113
  UBS AG/Stamford Branch 5.875 % 12/20/17 6,525 6,762
  UBS AG/Stamford CT 3.875 % 1/15/15 1,300 1,291
  UBS AG/Stamford CT 5.875 % 7/15/16 2,325 2,370
  UBS AG/Stamford CT 5.750 % 4/25/18 3,000 3,081
  UFJ Finance Aruba AEC 6.750 % 7/15/13 9,750 10,931
  Union Bank NA 5.950 % 5/11/16 1,375 1,437
  UnionBanCal Corp. 5.250 % 12/16/13 700 751
  US Bancorp 3.150 % 3/4/15 600 598
  US Bank NA 6.375 % 8/1/11 2,200 2,348
  US Bank NA 6.300 % 2/4/14 3,150 3,514
  US Bank NA 4.950 % 10/30/14 4,800 5,138
3 USB Capital IX 6.189 % 4/15/49 2,625 2,231
  USB Capital XIII Trust 6.625 % 12/15/39 675 680
  Wachovia Bank NA 7.800 % 8/18/10 2,850 2,927
  Wachovia Bank NA 4.800 % 11/1/14 425 439


Wachovia Bank NA 4.875 % 2/1/15 6,050 6,326
Wachovia Bank NA 5.000 % 8/15/15 325 338
Wachovia Bank NA 6.000 % 11/15/17 2,500 2,667
Wachovia Bank NA 5.850 % 2/1/37 5,775 5,428
Wachovia Bank NA 6.600 % 1/15/38 4,225 4,363
Wachovia Corp. 5.300 % 10/15/11 4,125 4,365
Wachovia Corp. 5.500 % 5/1/13 4,353 4,728
Wachovia Corp. 4.875 % 2/15/14 5,275 5,490
Wachovia Corp. 5.250 % 8/1/14 1,900 2,003
Wachovia Corp. 5.625 % 10/15/16 3,800 4,006
Wachovia Corp. 5.750 % 6/15/17 6,425 6,851
Wachovia Corp. 5.750 % 2/1/18 325 345
Wachovia Corp. 6.605 % 10/1/25 100 100
Wachovia Corp. 7.500 % 4/15/35 275 304
Wachovia Corp. 5.500 % 8/1/35 1,325 1,160
Wachovia Corp. 6.550 % 10/15/35 250 249
Wells Fargo & Co. 4.875 % 1/12/11 3,425 3,536
Wells Fargo & Co. 6.375 % 8/1/11 425 451
Wells Fargo & Co. 5.300 % 8/26/11 9,575 10,093
Wells Fargo & Co. 5.125 % 9/1/12 1,200 1,278
Wells Fargo & Co. 5.250 % 10/23/12 11,575 12,465
Wells Fargo & Co. 4.375 % 1/31/13 5,100 5,369
Wells Fargo & Co. 4.950 % 10/16/13 1,150 1,215
Wells Fargo & Co. 3.750 % 10/1/14 2,050 2,077
Wells Fargo & Co. 3.625 % 4/15/15 1,300 1,299
Wells Fargo & Co. 5.625 % 12/11/17 6,725 7,120
Wells Fargo & Co. 5.375 % 2/7/35 4,700 4,405
Wells Fargo Bank NA 4.750 % 2/9/15 4,925 5,113
Wells Fargo Bank NA 5.750 % 5/16/16 3,600 3,871
Wells Fargo Bank NA 5.950 % 8/26/36 700 667
Wells Fargo Capital X 5.950 % 12/15/36 725 652
3 Wells Fargo Capital XIII 7.700 % 12/29/49 5,325 5,485
3 Wells Fargo Capital XV 9.750 % 12/29/49 3,650 4,088
Wells Fargo Financial Inc. 5.500 % 8/1/12 1,225 1,318
Westpac Banking Corp. 2.250 % 11/19/12 3,725 3,751
Westpac Banking Corp. 4.200 % 2/27/15 6,325 6,504
Westpac Banking Corp. 4.875 % 11/19/19 3,725 3,672
 
Brokerage (0.1%)          
Ameriprise Financial Inc. 5.650 % 11/15/15 1,550 1,676
Ameriprise Financial Inc. 5.300 % 3/15/20 775 782
3 Ameriprise Financial Inc. 7.518 % 6/1/66 325 316
BlackRock Inc. 2.250 % 12/10/12 2,300 2,324
BlackRock Inc. 3.500 % 12/10/14 1,700 1,719
BlackRock Inc. 6.250 % 9/15/17 1,150 1,255
BlackRock Inc. 5.000 % 12/10/19 100 100
Charles Schwab Corp. 4.950 % 6/1/14 3,925 4,201
4 FMR LLC 7.490 % 6/15/19 200 226
Jefferies Group Inc. 8.500 % 7/15/19 2,105 2,344
Jefferies Group Inc. 6.450 % 6/8/27 5,800 5,172
Jefferies Group Inc. 6.250 % 1/15/36 4,225 3,585
Lazard Group LLC 6.850 % 6/15/17 2,675 2,707
Nomura Holdings Inc. 5.000 % 3/4/15 2,425 2,470
Nomura Holdings Inc. 6.700 % 3/4/20 3,850 3,986
TD Ameritrade Holding Corp. 2.950 % 12/1/12 775 785
TD Ameritrade Holding Corp. 4.150 % 12/1/14 1,025 1,031
TD Ameritrade Holding Corp. 5.600 % 12/1/19 925 934


Finance Companies (0.8%)          
Block Financial LLC 7.875 % 1/15/13 525 592
Block Financial LLC 5.125 % 10/30/14 2,500 2,596
Discover Financial Services 6.450 % 6/12/17 325 322
Discover Financial Services 10.250 % 7/15/19 950 1,130
GATX Corp. 4.750 % 10/1/12 1,000 1,043
General Electric Capital Corp. 4.250 % 9/13/10 1,025 1,042
General Electric Capital Corp. 5.000 % 11/15/11 4,225 4,457
General Electric Capital Corp. 4.375 % 11/21/11 550 575
General Electric Capital Corp. 5.875 % 2/15/12 3,950 4,244
General Electric Capital Corp. 4.375 % 3/3/12 4,000 4,192
General Electric Capital Corp. 5.000 % 4/10/12 100 106
General Electric Capital Corp. 6.000 % 6/15/12 15,175 16,435
General Electric Capital Corp. 3.500 % 8/13/12 3,775 3,902
General Electric Capital Corp. 5.250 % 10/19/12 19,100 20,480
General Electric Capital Corp. 2.800 % 1/8/13 6,975 7,067
General Electric Capital Corp. 5.450 % 1/15/13 2,975 3,217
General Electric Capital Corp. 4.800 % 5/1/13 3,425 3,646
General Electric Capital Corp. 5.900 % 5/13/14 8,625 9,496
General Electric Capital Corp. 5.500 % 6/4/14 5,150 5,558
General Electric Capital Corp. 5.650 % 6/9/14 5,800 6,236
General Electric Capital Corp. 3.750 % 11/14/14 7,350 7,430
General Electric Capital Corp. 5.400 % 2/15/17 8,875 9,270
General Electric Capital Corp. 5.625 % 9/15/17 1,775 1,868
General Electric Capital Corp. 5.625 % 5/1/18 14,275 14,877
General Electric Capital Corp. 6.000 % 8/7/19 10,675 11,272
General Electric Capital Corp. 5.500 % 1/8/20 1,625 1,655
General Electric Capital Corp. 6.750 % 3/15/32 9,150 9,672
General Electric Capital Corp. 6.150 % 8/7/37 5,350 5,200
General Electric Capital Corp. 5.875 % 1/14/38 15,100 14,323
General Electric Capital Corp. 6.875 % 1/10/39 6,125 6,575
3 General Electric Capital Corp. 6.375 % 11/15/67 3,675 3,455
3 HSBC Finance Capital Trust IX 5.911 % 11/30/35 675 604
HSBC Finance Corp. 5.700 % 6/1/11 3,075 3,208
HSBC Finance Corp. 6.375 % 10/15/11 1,775 1,889
HSBC Finance Corp. 7.000 % 5/15/12 4,225 4,617
HSBC Finance Corp. 5.900 % 6/19/12 1,250 1,345
HSBC Finance Corp. 6.375 % 11/27/12 5,350 5,862
HSBC Finance Corp. 4.750 % 7/15/13 625 656
HSBC Finance Corp. 5.250 % 1/15/14 1,800 1,895
HSBC Finance Corp. 5.000 % 6/30/15 9,900 10,286
HSBC Finance Corp. 5.500 % 1/19/16 425 446
SLM Corp. 5.400 % 10/25/11 7,050 7,126
SLM Corp. 5.375 % 1/15/13 1,150 1,144
SLM Corp. 5.000 % 10/1/13 1,250 1,203
SLM Corp. 5.375 % 5/15/14 3,175 3,019
SLM Corp. 5.050 % 11/14/14 975 902
SLM Corp. 8.450 % 6/15/18 4,950 4,997
SLM Corp. 8.000 % 3/25/20 3,000 2,917
SLM Corp. 5.625 % 8/1/33 2,000 1,536
 
Insurance (1.1%)          
ACE Capital Trust II 9.700 % 4/1/30 1,000 1,170
ACE INA Holdings Inc. 5.875 % 6/15/14 2,500 2,753
ACE INA Holdings Inc. 5.600 % 5/15/15 1,725 1,884
ACE INA Holdings Inc. 5.700 % 2/15/17 1,400 1,504
ACE INA Holdings Inc. 5.800 % 3/15/18 425 458
ACE INA Holdings Inc. 5.900 % 6/15/19 550 597


ACE INA Holdings Inc. 6.700 % 5/15/36 900 1,001
AEGON Funding Co. LLC 5.750 % 12/15/20 375 369
Aegon NV 4.750 % 6/1/13 800 841
Aetna Inc. 5.750 % 6/15/11 500 525
Aetna Inc. 6.000 % 6/15/16 1,200 1,312
Aetna Inc. 6.500 % 9/15/18 875 975
Aetna Inc. 6.625 % 6/15/36 3,075 3,236
Aetna Inc. 6.750 % 12/15/37 5,000 5,316
Aflac Inc. 8.500 % 5/15/19 1,100 1,318
Aflac Inc. 6.900 % 12/17/39 2,450 2,523
Allied World Assurance Co. Holdings Ltd. 7.500 % 8/1/16 5,375 5,770
Allstate Corp. 6.125 % 2/15/12 900 972
Allstate Corp. 5.000 % 8/15/14 3,325 3,561
Allstate Corp. 6.125 % 12/15/32 950 963
Allstate Corp. 5.350 % 6/1/33 225 206
Allstate Corp. 5.550 % 5/9/35 475 455
Allstate Corp. 5.950 % 4/1/36 1,000 991
3 Allstate Corp. 6.125 % 5/15/37 850 807
3 Allstate Corp. 6.500 % 5/15/57 1,625 1,562
Allstate Life Global Funding Trusts 5.375 % 4/30/13 1,425 1,551
American Financial Group Inc./OH 9.875 % 6/15/19 775 911
American International Group Inc. 5.375 % 10/18/11 1,225 1,260
American International Group Inc. 4.950 % 3/20/12 1,875 1,908
American International Group Inc. 4.250 % 5/15/13 4,050 3,949
American International Group Inc. 5.050 % 10/1/15 1,950 1,809
American International Group Inc. 5.600 % 10/18/16 1,150 1,064
American International Group Inc. 5.450 % 5/18/17 2,100 1,924
American International Group Inc. 5.850 % 1/16/18 3,300 3,061
American International Group Inc. 8.250 % 8/15/18 950 990
American International Group Inc. 6.250 % 5/1/36 11,200 9,646
AON Corp. 8.205 % 1/1/27 325 341
Arch Capital Group Ltd. 7.350 % 5/1/34 1,175 1,202
Assurant Inc. 5.625 % 2/15/14 625 649
Assurant Inc. 6.750 % 2/15/34 1,425 1,361
AXA SA 8.600 % 12/15/30 3,325 3,998
Axis Capital Holdings Ltd. 5.750 % 12/1/14 725 754
Axis Specialty Finance LLC 5.875 % 6/1/20 6,225 6,128
Berkshire Hathaway Finance Corp. 4.000 % 4/15/12 675 710
Berkshire Hathaway Finance Corp. 4.600 % 5/15/13 100 107
Berkshire Hathaway Finance Corp. 5.000 % 8/15/13 5,850 6,377
Berkshire Hathaway Finance Corp. 4.850 % 1/15/15 1,050 1,131
Berkshire Hathaway Finance Corp. 5.400 % 5/15/18 4,775 5,053
Berkshire Hathaway Finance Corp. 5.750 % 1/15/40 7,125 7,057
Berkshire Hathaway Inc. 1.400 % 2/10/12 3,700 3,721
Berkshire Hathaway Inc. 2.125 % 2/11/13 3,700 3,728
Berkshire Hathaway Inc. 3.200 % 2/11/15 3,700 3,734
Chubb Corp. 5.200 % 4/1/13 425 458
Chubb Corp. 5.750 % 5/15/18 750 811
Chubb Corp. 6.000 % 5/11/37 2,800 2,850
Chubb Corp. 6.500 % 5/15/38 700 761
3 Chubb Corp. 6.375 % 3/29/67 1,650 1,654
CIGNA Corp. 6.350 % 3/15/18 325 347
CIGNA Corp. 7.875 % 5/15/27 425 477
CIGNA Corp. 6.150 % 11/15/36 2,150 2,077
Cincinnati Financial Corp. 6.920 % 5/15/28 325 323
Cincinnati Financial Corp. 6.125 % 11/1/34 1,175 1,047
CNA Financial Corp. 6.000 % 8/15/11 825 861
CNA Financial Corp. 5.850 % 12/15/14 2,000 2,025


CNA Financial Corp. 6.500 % 8/15/16 1,750 1,783
CNA Financial Corp. 7.350 % 11/15/19 1,650 1,715
Commerce Group Inc. 5.950 % 12/9/13 500 503
Coventry Health Care Inc. 6.300 % 8/15/14 3,850 3,897
Endurance Specialty Holdings Ltd. 7.000 % 7/15/34 1,300 1,226
Genworth Financial Inc. 5.650 % 6/15/12 1,050 1,089
Genworth Financial Inc. 5.750 % 6/15/14 300 305
Genworth Financial Inc. 4.950 % 10/1/15 375 362
Genworth Financial Inc. 8.625 % 12/15/16 1,125 1,225
Genworth Financial Inc. 6.515 % 5/22/18 900 891
Genworth Financial Inc. 6.500 % 6/15/34 1,075 930
Hartford Financial Services Group Inc. 5.250 % 10/15/11 1,400 1,459
Hartford Financial Services Group Inc. 4.625 % 7/15/13 625 650
Hartford Financial Services Group Inc. 5.500 % 10/15/16 975 986
Hartford Financial Services Group Inc. 5.375 % 3/15/17 900 902
Hartford Financial Services Group Inc. 6.000 % 1/15/19 425 434
Hartford Financial Services Group Inc. 5.950 % 10/15/36 550 498
Hartford Financial Services Group Inc. 6.100 % 10/1/41 1,775 1,590
HCC Insurance Holdings Inc. 6.300 % 11/15/19 1,600 1,660
Humana Inc. 6.450 % 6/1/16 1,500 1,563
Humana Inc. 7.200 % 6/15/18 100 108
Humana Inc. 6.300 % 8/1/18 150 153
Humana Inc. 8.150 % 6/15/38 2,500 2,565
Lincoln National Corp. 6.200 % 12/15/11 325 345
Lincoln National Corp. 5.650 % 8/27/12 950 1,010
Lincoln National Corp. 8.750 % 7/1/19 900 1,089
Lincoln National Corp. 6.150 % 4/7/36 2,475 2,362
Loews Corp. 5.250 % 3/15/16 950 990
Loews Corp. 6.000 % 2/1/35 200 192
Markel Corp. 7.125 % 9/30/19 825 883
Marsh & McLennan Cos. Inc. 5.150 % 9/15/10 700 712
Marsh & McLennan Cos. Inc. 6.250 % 3/15/12 1,900 2,022
Marsh & McLennan Cos. Inc. 5.375 % 7/15/14 100 103
Marsh & McLennan Cos. Inc. 5.750 % 9/15/15 2,300 2,424
Marsh & McLennan Cos. Inc. 9.250 % 4/15/19 825 1,021
Marsh & McLennan Cos. Inc. 5.875 % 8/1/33 100 89
4 Massachusetts Mutual Life Insurance Co. 8.875 % 6/1/39 575 733
MetLife Inc. 6.125 % 12/1/11 200 214
MetLife Inc. 5.375 % 12/15/12 1,775 1,917
MetLife Inc. 5.000 % 11/24/13 1,275 1,353
MetLife Inc. 5.000 % 6/15/15 1,350 1,416
MetLife Inc. 7.717 % 2/15/19 825 962
MetLife Inc. 6.500 % 12/15/32 750 776
MetLife Inc. 6.375 % 6/15/34 975 994
MetLife Inc. 5.700 % 6/15/35 375 357
MetLife Inc. 6.400 % 12/15/36 3,650 3,242
4 Metropolitan Life Global Funding I 2.875 % 9/17/12 2,200 2,228
4 Metropolitan Life Global Funding I 5.125 % 6/10/14 5,225 5,564
Nationwide Financial Services 6.750 % 5/15/37 200 168
OneBeacon US Holdings Inc. 5.875 % 5/15/13 600 619
PartnerRe Finance B LLC 5.500 % 6/1/20 1,500 1,479
Principal Financial Group Inc. 7.875 % 5/15/14 1,525 1,735
Principal Financial Group Inc. 6.050 % 10/15/36 950 889
Principal Life Income Funding Trusts 5.300 % 12/14/12 1,450 1,565
Principal Life Income Funding Trusts 5.300 % 4/24/13 1,825 1,955
Principal Life Income Funding Trusts 5.100 % 4/15/14 1,250 1,311
Progressive Corp. 6.375 % 1/15/12 700 755
Progressive Corp. 6.625 % 3/1/29 1,300 1,366


Progressive Corp. 6.250 % 12/1/32 100 101
3 Progressive Corp. 6.700 % 6/15/37 2,300 2,251
Protective Life Corp. 7.375 % 10/15/19 950 1,009
Protective Life Corp. 8.450 % 10/15/39 900 944
Protective Life Secured Trusts 4.850 % 8/16/10 800 811
Prudential Financial Inc. 5.100 % 12/14/11 125 132
Prudential Financial Inc. 5.800 % 6/15/12 975 1,049
Prudential Financial Inc. 3.625 % 9/17/12 775 799
Prudential Financial Inc. 5.150 % 1/15/13 975 1,033
Prudential Financial Inc. 4.500 % 7/15/13 1,825 1,913
Prudential Financial Inc. 4.750 % 4/1/14 650 670
Prudential Financial Inc. 5.100 % 9/20/14 8,000 8,459
Prudential Financial Inc. 6.200 % 1/15/15 2,750 3,011
Prudential Financial Inc. 5.500 % 3/15/16 175 185
Prudential Financial Inc. 6.100 % 6/15/17 325 343
Prudential Financial Inc. 6.000 % 12/1/17 1,225 1,299
Prudential Financial Inc. 5.750 % 7/15/33 675 633
Prudential Financial Inc. 5.400 % 6/13/35 775 690
Prudential Financial Inc. 5.900 % 3/17/36 1,300 1,239
Prudential Financial Inc. 5.700 % 12/14/36 5,475 5,177
Swiss Re Solutions Holding Corp. 6.450 % 3/1/19 675 692
Swiss Re Solutions Holding Corp. 7.000 % 2/15/26 1,225 1,234
Swiss Re Solutions Holding Corp. 7.750 % 6/15/30 525 560
Torchmark Corp. 6.375 % 6/15/16 1,225 1,246
Transatlantic Holdings Inc. 8.000 % 11/30/39 4,425 4,518
Travelers Cos. Inc. 5.375 % 6/15/12 100 108
Travelers Cos. Inc. 5.500 % 12/1/15 625 685
Travelers Cos. Inc. 6.250 % 6/20/16 1,100 1,218
Travelers Cos. Inc. 5.750 % 12/15/17 1,375 1,487
Travelers Cos. Inc. 5.800 % 5/15/18 100 108
Travelers Cos. Inc. 5.900 % 6/2/19 1,275 1,389
3 Travelers Cos. Inc. 6.250 % 3/15/37 800 785
Travelers Cos. Inc. 6.250 % 6/15/37 9,055 9,524
Travelers Property Casualty Corp. 6.375 % 3/15/33 100 105
UnitedHealth Group Inc. 5.500 % 11/15/12 1,925 2,083
UnitedHealth Group Inc. 4.875 % 2/15/13 975 1,039
UnitedHealth Group Inc. 4.875 % 4/1/13 975 1,042
UnitedHealth Group Inc. 5.000 % 8/15/14 4,900 5,209
UnitedHealth Group Inc. 4.875 % 3/15/15 875 918
UnitedHealth Group Inc. 6.000 % 6/15/17 1,825 1,955
UnitedHealth Group Inc. 6.000 % 2/15/18 4,750 5,064
UnitedHealth Group Inc. 5.800 % 3/15/36 4,525 4,229
UnitedHealth Group Inc. 6.500 % 6/15/37 625 644
UnitedHealth Group Inc. 6.625 % 11/15/37 1,425 1,471
UnitedHealth Group Inc. 6.875 % 2/15/38 1,675 1,781
Unum Group 7.125 % 9/30/16 1,250 1,354
Validus Holdings Ltd. 8.875 % 1/26/40 1,150 1,176
WellPoint Health Networks Inc. 6.375 % 1/15/12 1,000 1,081
WellPoint Inc. 5.000 % 1/15/11 1,875 1,933
WellPoint Inc. 6.800 % 8/1/12 625 692
WellPoint Inc. 6.000 % 2/15/14 550 604
WellPoint Inc. 5.000 % 12/15/14 4,650 4,961
WellPoint Inc. 5.250 % 1/15/16 550 581
WellPoint Inc. 5.875 % 6/15/17 900 965
WellPoint Inc. 5.950 % 12/15/34 2,200 2,140
WellPoint Inc. 5.850 % 1/15/36 2,400 2,302
WellPoint Inc. 6.375 % 6/15/37 325 334
Willis North America Inc. 5.625 % 7/15/15 1,225 1,246


Willis North America Inc. 6.200 % 3/28/17 1,125 1,136
Willis North America Inc. 7.000 % 9/29/19 8,150 8,473
XL Capital Ltd. 5.250 % 9/15/14 4,350 4,520
XL Capital Ltd. 6.375 % 11/15/24 175 173
XL Capital Ltd. 6.250 % 5/15/27 2,425 2,275
 
Other Finance (0.0%)          
CME Group Inc. 5.400 % 8/1/13 2,900 3,166
CME Group Inc. 5.750 % 2/15/14 1,075 1,180
NASDAQ OMX Group Inc. 4.000 % 1/15/15 1,275 1,270
NASDAQ OMX Group Inc. 5.550 % 1/15/20 1,200 1,192
ORIX Corp. 5.480 % 11/22/11 1,800 1,858
XTRA Finance Corp. 5.150 % 4/1/17 4,525 4,718
 
Real Estate Investment Trusts (0.3%)          
AMB Property LP 6.625 % 12/1/19 850 868
Arden Realty LP 5.250 % 3/1/15 250 261
AvalonBay Communities Inc. 5.500 % 1/15/12 356 373
AvalonBay Communities Inc. 6.125 % 11/1/12 106 115
AvalonBay Communities Inc. 5.750 % 9/15/16 275 290
Boston Properties LP 6.250 % 1/15/13 1,400 1,521
Boston Properties LP 5.625 % 4/15/15 1,375 1,457
Brandywine Operating Partnership LP 5.750 % 4/1/12 550 571
Brandywine Operating Partnership LP 5.400 % 11/1/14 875 883
Brandywine Operating Partnership LP 7.500 % 5/15/15 1,400 1,512
Brandywine Operating Partnership LP 5.700 % 5/1/17 275 261
Duke Realty LP 6.250 % 5/15/13 2,350 2,490
Duke Realty LP 7.375 % 2/15/15 3,675 4,001
Duke Realty LP 5.950 % 2/15/17 1,300 1,277
Duke Realty LP 8.250 % 8/15/19 875 971
ERP Operating LP 6.625 % 3/15/12 1,150 1,245
ERP Operating LP 5.500 % 10/1/12 1,100 1,170
ERP Operating LP 5.250 % 9/15/14 1,350 1,409
ERP Operating LP 5.125 % 3/15/16 600 617
ERP Operating LP 5.375 % 8/1/16 975 997
ERP Operating LP 5.750 % 6/15/17 550 568
HCP Inc. 6.450 % 6/25/12 2,075 2,209
HCP Inc. 5.650 % 12/15/13 2,225 2,319
HCP Inc. 6.300 % 9/15/16 950 969
HCP Inc. 6.000 % 1/30/17 425 424
HCP Inc. 6.700 % 1/30/18 1,700 1,733
Health Care REIT Inc. 6.000 % 11/15/13 525 561
Health Care REIT Inc. 6.200 % 6/1/16 3,250 3,459
Health Care REIT Inc. 6.125 % 4/15/20 350 351
Healthcare Realty Trust Inc. 6.500 % 1/17/17 1,600 1,661
Hospitality Properties Trust 7.875 % 8/15/14 1,375 1,488
Hospitality Properties Trust 5.125 % 2/15/15 1,775 1,719
HRPT Properties Trust 6.250 % 8/15/16 575 582
HRPT Properties Trust 6.250 % 6/15/17 1,725 1,702
Kimco Realty Corp. 5.783 % 3/15/16 400 413
Kimco Realty Corp. 6.875 % 10/1/19 3,575 3,808
Liberty Property LP 5.125 % 3/2/15 3,200 3,175
Liberty Property LP 5.500 % 12/15/16 625 618
Mack-Cali Realty LP 7.750 % 8/15/19 675 744
National Retail Properties Inc. 6.875 % 10/15/17 2,700 2,765
Nationwide Health Properties Inc. 6.250 % 2/1/13 1,400 1,491
ProLogis 5.625 % 11/15/15 1,200 1,188
ProLogis 5.750 % 4/1/16 1,025 1,009


ProLogis 5.625 % 11/15/16 1,200 1,151
ProLogis 7.375 % 10/30/19 2,075 2,137
ProLogis 6.875 % 3/15/20 3,200 3,151
Realty Income Corp. 6.750 % 8/15/19 2,575 2,687
Regency Centers LP 6.750 % 1/15/12 2,350 2,491
Regency Centers LP 5.250 % 8/1/15 625 625
Simon Property Group LP 4.875 % 8/15/10 1,875 1,900
Simon Property Group LP 5.300 % 5/30/13 2,175 2,295
Simon Property Group LP 6.750 % 5/15/14 6,350 6,960
Simon Property Group LP 4.200 % 2/1/15 450 450
Simon Property Group LP 5.750 % 12/1/15 1,375 1,451
Simon Property Group LP 6.100 % 5/1/16 150 158
Simon Property Group LP 5.250 % 12/1/16 3,525 3,489
Simon Property Group LP 5.875 % 3/1/17 1,375 1,406
Simon Property Group LP 6.125 % 5/30/18 1,700 1,743
Simon Property Group LP 5.650 % 2/1/20 3,050 2,973
Simon Property Group LP 6.750 % 2/1/40 300 296
Tanger Properties LP 6.150 % 11/15/15 1,250 1,297
          2,080,167
Industrial (10.3%)          
Basic Industry (1.0%)          
Agrium Inc. 6.750 % 1/15/19 1,500 1,648
Airgas Inc. 4.500 % 9/15/14 800 825
Alcoa Inc. 6.000 % 1/15/12 950 1,003
Alcoa Inc. 5.375 % 1/15/13 1,150 1,207
Alcoa Inc. 6.000 % 7/15/13 3,050 3,243
Alcoa Inc. 6.750 % 7/15/18 100 104
Alcoa Inc. 5.720 % 2/23/19 2,300 2,228
Alcoa Inc. 5.870 % 2/23/22 550 501
Alcoa Inc. 5.900 % 2/1/27 1,950 1,723
Alcoa Inc. 6.750 % 1/15/28 4,180 3,887
Alcoa Inc. 5.950 % 2/1/37 5,000 4,077
Allegheny Technologies Inc. 9.375 % 6/1/19 2,975 3,421
ArcelorMittal 5.375 % 6/1/13 4,025 4,270
ArcelorMittal 9.000 % 2/15/15 1,350 1,614
ArcelorMittal 6.125 % 6/1/18 3,000 3,131
ArcelorMittal 9.850 % 6/1/19 6,700 8,505
ArcelorMittal 7.000 % 10/15/39 5,200 5,320
Barrick Australian Finance Pty Ltd. 5.950 % 10/15/39 1,550 1,546
Barrick Gold Corp. 6.950 % 4/1/19 2,200 2,510
Barrick Gold Finance Co. 4.875 % 11/15/14 2,900 3,084
Barrick Gold Financeco LLC 6.125 % 9/15/13 2,275 2,541
Barrick North America Finance LLC 6.800 % 9/15/18 1,650 1,874
Barrick North America Finance LLC 7.500 % 9/15/38 2,100 2,473
BHP Billiton Finance USA Ltd. 5.125 % 3/29/12 950 1,016
BHP Billiton Finance USA Ltd. 8.500 % 12/1/12 175 204
BHP Billiton Finance USA Ltd. 4.800 % 4/15/13 2,450 2,632
BHP Billiton Finance USA Ltd. 5.500 % 4/1/14 5,125 5,658
BHP Billiton Finance USA Ltd. 5.250 % 12/15/15 1,550 1,702
BHP Billiton Finance USA Ltd. 5.400 % 3/29/17 350 379
BHP Billiton Finance USA Ltd. 6.500 % 4/1/19 4,900 5,589
Celulosa Arauco y Constitucion SA 5.125 % 7/9/13 325 336
Celulosa Arauco y Constitucion SA 5.625 % 4/20/15 1,000 1,036
Cliffs Natural Resources Inc. 5.900 % 3/15/20 350 357
Commercial Metals Co. 6.500 % 7/15/17 800 812
Commercial Metals Co. 7.350 % 8/15/18 1,925 2,018
Cytec Industries Inc. 8.950 % 7/1/17 550 663


Dow Chemical Co. 4.850 % 8/15/12 5,050 5,334
Dow Chemical Co. 6.000 % 10/1/12 500 542
Dow Chemical Co. 7.600 % 5/15/14 4,375 5,006
Dow Chemical Co. 5.900 % 2/15/15 12,300 13,323
Dow Chemical Co. 8.550 % 5/15/19 4,175 5,040
Dow Chemical Co. 7.375 % 11/1/29 1,500 1,659
Dow Chemical Co. 9.400 % 5/15/39 725 967
Eastman Chemical Co. 7.250 % 1/15/24 3,025 3,387
Eastman Chemical Co. 7.600 % 2/1/27 675 754
EI du Pont de Nemours & Co. 4.750 % 11/15/12 1,400 1,504
EI du Pont de Nemours & Co. 5.000 % 1/15/13 4,525 4,885
EI du Pont de Nemours & Co. 5.000 % 7/15/13 2,375 2,562
EI du Pont de Nemours & Co. 5.875 % 1/15/14 4,055 4,510
EI du Pont de Nemours & Co. 5.250 % 12/15/16 225 242
EI du Pont de Nemours & Co. 6.000 % 7/15/18 7,275 8,078
EI du Pont de Nemours & Co. 6.500 % 1/15/28 525 576
Freeport-McMoRan Copper & Gold Inc. 8.250 % 4/1/15 4,450 4,828
Freeport-McMoRan Copper & Gold Inc. 8.375 % 4/1/17 10,200 11,322
ICI Wilmington Inc. 5.625 % 12/1/13 200 213
International Paper Co. 5.300 % 4/1/15 1,600 1,691
International Paper Co. 7.950 % 6/15/18 6,875 8,006
International Paper Co. 9.375 % 5/15/19 4,800 5,988
International Paper Co. 7.500 % 8/15/21 4,600 5,209
International Paper Co. 7.300 % 11/15/39 2,225 2,376
Lubrizol Corp. 5.500 % 10/1/14 2,100 2,275
Lubrizol Corp. 8.875 % 2/1/19 1,075 1,350
Lubrizol Corp. 6.500 % 10/1/34 4,000 4,092
Monsanto Co. 7.375 % 8/15/12 475 536
Monsanto Co. 5.125 % 4/15/18 850 898
Monsanto Co. 5.875 % 4/15/38 4,300 4,396
4 Mosaic Co. 7.375 % 12/1/14 1,475 1,576
4 Mosaic Co. 7.625 % 12/1/16 3,349 3,650
Newmont Mining Corp. 5.125 % 10/1/19 1,000 1,007
Newmont Mining Corp. 5.875 % 4/1/35 750 718
Newmont Mining Corp. 6.250 % 10/1/39 3,150 3,151
Nucor Corp. 5.000 % 12/1/12 200 217
Nucor Corp. 5.000 % 6/1/13 100 108
Nucor Corp. 5.750 % 12/1/17 425 459
Nucor Corp. 5.850 % 6/1/18 1,725 1,866
Nucor Corp. 6.400 % 12/1/37 1,225 1,318
Placer Dome Inc. 6.450 % 10/15/35 1,050 1,074
Plum Creek Timberlands LP 5.875 % 11/15/15 1,250 1,304
Potash Corp. of Saskatchewan Inc. 7.750 % 5/31/11 3,325 3,571
Potash Corp. of Saskatchewan Inc. 4.875 % 3/1/13 1,050 1,120
Potash Corp. of Saskatchewan Inc. 3.750 % 9/30/15 2,000 2,017
Potash Corp. of Saskatchewan Inc. 4.875 % 3/30/20 3,900 3,888
Potash Corp. of Saskatchewan Inc. 5.875 % 12/1/36 200 196
PPG Industries Inc. 5.750 % 3/15/13 1,050 1,137
PPG Industries Inc. 6.650 % 3/15/18 950 1,056
Praxair Inc. 6.375 % 4/1/12 525 576
Praxair Inc. 1.750 % 11/15/12 1,050 1,050
Praxair Inc. 3.950 % 6/1/13 200 210
Praxair Inc. 4.375 % 3/31/14 825 879
Praxair Inc. 5.250 % 11/15/14 2,000 2,190
Praxair Inc. 4.625 % 3/30/15 1,050 1,120
Praxair Inc. 5.200 % 3/15/17 325 343
Praxair Inc. 4.500 % 8/15/19 1,600 1,608
Reliance Steel & Aluminum Co. 6.200 % 11/15/16 100 103


Reliance Steel & Aluminum Co. 6.850 % 11/15/36 100 87
Rio Tinto Alcan Inc. 4.875 % 9/15/12 600 633
Rio Tinto Alcan Inc. 4.500 % 5/15/13 1,850 1,943
Rio Tinto Alcan Inc. 5.200 % 1/15/14 200 211
Rio Tinto Alcan Inc. 5.000 % 6/1/15 250 262
Rio Tinto Alcan Inc. 6.125 % 12/15/33 2,725 2,814
Rio Tinto Finance USA Ltd. 5.875 % 7/15/13 6,775 7,419
Rio Tinto Finance USA Ltd. 8.950 % 5/1/14 4,625 5,574
Rio Tinto Finance USA Ltd. 6.500 % 7/15/18 3,000 3,366
Rio Tinto Finance USA Ltd. 9.000 % 5/1/19 7,200 9,210
Rio Tinto Finance USA Ltd. 7.125 % 7/15/28 1,375 1,565
Rohm and Haas Co. 6.000 % 9/15/17 2,325 2,448
Sherwin-Williams Co. 3.125 % 12/15/14 1,350 1,356
Southern Copper Corp. 7.500 % 7/27/35 2,500 2,553
Vale Inco Ltd. 7.750 % 5/15/12 175 192
Vale Inco Ltd. 5.700 % 10/15/15 1,200 1,239
Vale Inco Ltd. 7.200 % 9/15/32 325 330
Vale Overseas Ltd. 6.250 % 1/11/16 625 678
Vale Overseas Ltd. 6.250 % 1/23/17 1,425 1,533
Vale Overseas Ltd. 5.625 % 9/15/19 1,525 1,593
Vale Overseas Ltd. 8.250 % 1/17/34 800 935
Vale Overseas Ltd. 6.875 % 11/21/36 5,325 5,547
Vale Overseas Ltd. 6.875 % 11/10/39 5,275 5,460
Valspar Corp. 7.250 % 6/15/19 400 452
WMC Finance USA Ltd. 5.125 % 5/15/13 575 625
Xstrata Canada Corp. 7.350 % 6/5/12 475 520
Xstrata Canada Corp. 7.250 % 7/15/12 1,375 1,504
Xstrata Canada Corp. 5.375 % 6/1/15 100 106
Xstrata Canada Corp. 6.000 % 10/15/15 325 355
Xstrata Canada Corp. 5.500 % 6/15/17 1,975 1,965
 
Capital Goods (1.0%)          
3M Co. 4.500 % 11/1/11 575 606
3M Co. 6.375 % 2/15/28 1,300 1,433
3M Co. 5.700 % 3/15/37 1,450 1,497
4 Acuity Brands Lighting Inc. 6.000 % 12/15/19 800 784
Allied Waste North America Inc. 7.125 % 5/15/16 6,550 7,125
4 BAE Systems Holdings Inc. 5.200 % 8/15/15 100 104
Bemis Co. Inc. 4.875 % 4/1/12 575 597
Bemis Co. Inc. 5.650 % 8/1/14 7,225 7,783
Black & Decker Corp. 7.125 % 6/1/11 375 397
Black & Decker Corp. 8.950 % 4/15/14 2,300 2,736
Black & Decker Corp. 5.750 % 11/15/16 625 685
Boeing Capital Corp. 6.500 % 2/15/12 4,425 4,839
Boeing Capital Corp. 5.800 % 1/15/13 1,475 1,623
Boeing Capital Corp. 3.250 % 10/27/14 1,000 1,007
Boeing Co. 1.875 % 11/20/12 2,050 2,058
Boeing Co. 5.000 % 3/15/14 100 108
Boeing Co. 3.500 % 2/15/15 3,250 3,311
Boeing Co. 6.000 % 3/15/19 725 794
Boeing Co. 4.875 % 2/15/20 950 972
Boeing Co. 8.750 % 8/15/21 200 260
Boeing Co. 7.250 % 6/15/25 1,025 1,172
Boeing Co. 8.750 % 9/15/31 300 403
Boeing Co. 6.125 % 2/15/33 225 235
Boeing Co. 6.625 % 2/15/38 525 587
Boeing Co. 5.875 % 2/15/40 1,075 1,099
Caterpillar Financial Services Corp. 5.125 % 10/12/11 100 106


Caterpillar Financial Services Corp. 4.850 % 12/7/12 100 108
Caterpillar Financial Services Corp. 4.250 % 2/8/13 1,725 1,834
Caterpillar Financial Services Corp. 2.000 % 4/5/13 5,150 5,141
Caterpillar Financial Services Corp. 6.125 % 2/17/14 9,400 10,577
Caterpillar Financial Services Corp. 4.750 % 2/17/15 1,350 1,444
Caterpillar Financial Services Corp. 4.625 % 6/1/15 775 806
Caterpillar Financial Services Corp. 7.150 % 2/15/19 10,525 12,339
Caterpillar Inc. 7.000 % 12/15/13 425 490
Caterpillar Inc. 6.625 % 7/15/28 200 220
Caterpillar Inc. 7.300 % 5/1/31 675 800
Caterpillar Inc. 6.050 % 8/15/36 1,075 1,127
Caterpillar Inc. 8.250 % 12/15/38 200 267
Caterpillar Inc. 6.950 % 5/1/42 325 363
Caterpillar Inc. 7.375 % 3/1/97 1,825 1,994
Cooper US Inc. 5.250 % 11/15/12 1,275 1,375
Cooper US Inc. 5.450 % 4/1/15 525 570
CRH America Inc. 5.625 % 9/30/11 1,250 1,312
CRH America Inc. 6.950 % 3/15/12 1,825 1,989
CRH America Inc. 5.300 % 10/15/13 450 479
CRH America Inc. 6.000 % 9/30/16 4,750 5,096
CRH America Inc. 8.125 % 7/15/18 3,275 3,856
Danaher Corp. 5.625 % 1/15/18 850 916
Deere & Co. 6.950 % 4/25/14 3,925 4,568
Deere & Co. 4.375 % 10/16/19 3,225 3,206
Deere & Co. 5.375 % 10/16/29 1,800 1,789
Deere & Co. 8.100 % 5/15/30 1,525 1,935
Deere & Co. 7.125 % 3/3/31 975 1,152
Dover Corp. 5.450 % 3/15/18 2,250 2,389
Dover Corp. 5.375 % 10/15/35 100 96
Dover Corp. 6.600 % 3/15/38 975 1,098
Eaton Corp. 4.900 % 5/15/13 850 907
Eaton Corp. 5.600 % 5/15/18 1,755 1,875
Embraer Overseas Ltd. 6.375 % 1/24/17 1,450 1,497
Embraer Overseas Ltd. 6.375 % 1/15/20 575 586
Emerson Electric Co. 7.125 % 8/15/10 1,225 1,254
Emerson Electric Co. 4.625 % 10/15/12 1,800 1,926
Emerson Electric Co. 4.500 % 5/1/13 1,275 1,367
Emerson Electric Co. 5.250 % 10/15/18 2,200 2,351
Emerson Electric Co. 4.875 % 10/15/19 900 941
Emerson Electric Co. 4.250 % 11/15/20 950 935
Emerson Electric Co. 5.250 % 11/15/39 2,875 2,712
General Dynamics Corp. 4.250 % 5/15/13 2,850 3,042
General Dynamics Corp. 5.250 % 2/1/14 3,450 3,783
General Electric Co. 5.000 % 2/1/13 9,475 10,224
General Electric Co. 5.250 % 12/6/17 16,775 17,601
Goodrich Corp. 6.125 % 3/1/19 3,600 3,941
Harsco Corp. 5.750 % 5/15/18 1,800 1,779
Honeywell International Inc. 6.125 % 11/1/11 825 891
Honeywell International Inc. 5.625 % 8/1/12 1,300 1,422
Honeywell International Inc. 4.250 % 3/1/13 475 503
Honeywell International Inc. 3.875 % 2/15/14 575 601
Honeywell International Inc. 5.400 % 3/15/16 425 469
Honeywell International Inc. 5.300 % 3/15/17 1,375 1,454
Honeywell International Inc. 5.300 % 3/1/18 175 187
Honeywell International Inc. 5.000 % 2/15/19 2,375 2,467
Honeywell International Inc. 5.700 % 3/15/36 700 698
Honeywell International Inc. 5.700 % 3/15/37 350 349
Illinois Tool Works Inc. 5.150 % 4/1/14 1,950 2,139


  Illinois Tool Works Inc. 6.250 % 4/1/19 2,650 2,983
  Ingersoll-Rand Global Holding Co. Ltd. 6.000 % 8/15/13 1,425 1,564
  Ingersoll-Rand Global Holding Co. Ltd. 9.500 % 4/15/14 5,175 6,282
  Ingersoll-Rand Global Holding Co. Ltd. 6.875 % 8/15/18 1,850 2,080
  John Deere Capital Corp. 5.400 % 10/17/11 2,075 2,209
  John Deere Capital Corp. 5.350 % 1/17/12 1,200 1,282
  John Deere Capital Corp. 7.000 % 3/15/12 2,525 2,796
  John Deere Capital Corp. 5.250 % 10/1/12 1,000 1,086
  John Deere Capital Corp. 4.950 % 12/17/12 975 1,055
  John Deere Capital Corp. 4.900 % 9/9/13 2,925 3,164
  John Deere Capital Corp. 2.950 % 3/9/15 825 824
  John Deere Capital Corp. 5.500 % 4/13/17 150 160
  John Deere Capital Corp. 5.750 % 9/10/18 1,275 1,392
  Joy Global Inc. 6.000 % 11/15/16 575 607
4 L-3 Communications Corp. 5.200 % 10/15/19 1,375 1,373
  Lafarge SA 6.150 % 7/15/11 225 235
  Lafarge SA 6.500 % 7/15/16 2,200 2,318
  Lafarge SA 7.125 % 7/15/36 7,600 7,615
  Lockheed Martin Corp. 4.121 % 3/14/13 625 659
  Lockheed Martin Corp. 7.650 % 5/1/16 1,950 2,326
  Lockheed Martin Corp. 4.250 % 11/15/19 1,800 1,740
  Lockheed Martin Corp. 7.750 % 5/1/26 100 122
  Lockheed Martin Corp. 6.150 % 9/1/36 3,075 3,213
  Lockheed Martin Corp. 5.500 % 11/15/39 900 874
  Martin Marietta Materials Inc. 6.600 % 4/15/18 1,850 1,964
  Northrop Grumman Systems Corp. 7.750 % 3/1/16 250 302
  Northrop Grumman Systems Corp. 7.875 % 3/1/26 525 636
  Northrop Grumman Systems Corp. 7.750 % 2/15/31 4,970 6,087
  Owens Corning 6.500 % 12/1/16 900 948
  Parker Hannifin Corp. 5.500 % 5/15/18 450 479
  Parker Hannifin Corp. 6.250 % 5/15/38 550 583
  Raytheon Co. 5.500 % 11/15/12 925 1,015
  Raytheon Co. 6.400 % 12/15/18 100 114
  Raytheon Co. 4.400 % 2/15/20 500 495
  Raytheon Co. 7.200 % 8/15/27 1,225 1,441
  Republic Services Inc. 6.750 % 8/15/11 625 666
4 Republic Services Inc. 5.500 % 9/15/19 1,000 1,021
4 Republic Services Inc. 5.000 % 3/1/20 3,925 3,834
4 Republic Services Inc. 5.250 % 11/15/21 3,375 3,316
  Republic Services Inc. 6.086 % 3/15/35 825 782
4 Republic Services Inc. 6.200 % 3/1/40 1,225 1,198
  Rockwell Automation Inc./DE 5.650 % 12/1/17 600 647
  Rockwell Automation Inc./DE 6.700 % 1/15/28 425 461
  Rockwell Automation Inc./DE 6.250 % 12/1/37 1,500 1,578
  Rockwell Collins Inc. 5.250 % 7/15/19 275 289
  Roper Industries Inc. 6.625 % 8/15/13 3,175 3,553
  Roper Industries Inc. 6.250 % 9/1/19 1,500 1,584
3,4 Systems 2001 AT LLC 7.156 % 12/15/11 302 316
  Textron Inc. 5.600 % 12/1/17 325 326
  Tyco International Finance SA 6.375 % 10/15/11 2,750 2,946
  Tyco International Finance SA 6.000 % 11/15/13 1,275 1,409
  Tyco International Ltd. / Tyco International          
  Finance SA 7.000 % 12/15/19 2,375 2,720
  Tyco International Ltd. / Tyco International          
  Finance SA 6.875 % 1/15/21 3,000 3,417
  United Technologies Corp. 6.100 % 5/15/12 175 192
  United Technologies Corp. 4.875 % 5/1/15 200 217
  United Technologies Corp. 5.375 % 12/15/17 3,675 3,960


United Technologies Corp. 6.125 % 2/1/19 2,350 2,643
United Technologies Corp. 4.500 % 4/15/20 1,550 1,556
United Technologies Corp. 6.700 % 8/1/28 325 362
United Technologies Corp. 7.500 % 9/15/29 825 991
United Technologies Corp. 5.400 % 5/1/35 4,025 3,867
United Technologies Corp. 6.050 % 6/1/36 1,525 1,590
United Technologies Corp. 6.125 % 7/15/38 3,200 3,401
United Technologies Corp. 5.700 % 4/15/40 1,000 1,009
Vulcan Materials Co. 6.300 % 6/15/13 950 1,043
Vulcan Materials Co. 7.000 % 6/15/18 1,550 1,693
Waste Management Inc. 6.375 % 11/15/12 325 359
Waste Management Inc. 5.000 % 3/15/14 350 372
Waste Management Inc. 6.375 % 3/11/15 1,550 1,732
Waste Management Inc. 7.375 % 3/11/19 3,750 4,340
Waste Management Inc. 7.100 % 8/1/26 325 352
Waste Management Inc. 7.750 % 5/15/32 100 117
Waste Management Inc. 6.125 % 11/30/39 4,175 4,095
 
Communication (2.3%)          
America Movil SAB de CV 5.500 % 3/1/14 650 699
America Movil SAB de CV 5.750 % 1/15/15 1,375 1,500
4 America Movil SAB de CV 5.000 % 3/30/20 1,100 1,087
America Movil SAB de CV 6.375 % 3/1/35 2,275 2,303
America Movil SAB de CV 6.125 % 11/15/37 1,575 1,530
4 America Movil SAB de CV 6.125 % 3/30/40 4,025 3,923
American Tower Corp. 4.625 % 4/1/15 475 488
AT&T Corp. 7.300 % 11/15/11 3,425 3,752
AT&T Corp. 8.000 % 11/15/31 7,075 8,611
AT&T Inc. 5.875 % 2/1/12 1,975 2,117
AT&T Inc. 5.875 % 8/15/12 1,925 2,104
AT&T Inc. 4.950 % 1/15/13 4,450 4,790
AT&T Inc. 6.700 % 11/15/13 5,325 6,082
AT&T Inc. 4.850 % 2/15/14 4,200 4,514
AT&T Inc. 5.100 % 9/15/14 7,025 7,606
AT&T Inc. 5.625 % 6/15/16 5,225 5,747
AT&T Inc. 5.500 % 2/1/18 1,600 1,695
AT&T Inc. 5.600 % 5/15/18 1,150 1,220
AT&T Inc. 5.800 % 2/15/19 9,875 10,556
AT&T Inc. 6.450 % 6/15/34 2,025 2,071
AT&T Inc. 6.500 % 9/1/37 11,200 11,538
AT&T Inc. 6.300 % 1/15/38 10,325 10,436
AT&T Inc. 6.400 % 5/15/38 2,675 2,776
AT&T Inc. 6.550 % 2/15/39 5,950 6,173
AT&T Mobility LLC 6.500 % 12/15/11 1,875 2,033
AT&T Mobility LLC 7.125 % 12/15/31 3,575 3,972
Bellsouth Capital Funding Corp. 7.875 % 2/15/30 3,200 3,719
BellSouth Corp. 5.200 % 9/15/14 425 462
BellSouth Corp. 5.200 % 12/15/16 1,875 2,010
BellSouth Corp. 6.875 % 10/15/31 1,625 1,711
BellSouth Corp. 6.550 % 6/15/34 1,750 1,800
BellSouth Corp. 6.000 % 11/15/34 1,175 1,136
BellSouth Telecommunications Inc. 6.375 % 6/1/28 2,750 2,791
British Telecommunications PLC 5.150 % 1/15/13 825 871
British Telecommunications PLC 5.950 % 1/15/18 4,525 4,634
British Telecommunications PLC 9.625 % 12/15/30 4,725 5,937
CBS Corp. 6.625 % 5/15/11 1,375 1,454
CBS Corp. 5.625 % 8/15/12 1,100 1,180
CBS Corp. 4.625 % 5/15/18 100 95


CBS Corp. 8.875 % 5/15/19 1,100 1,331
CBS Corp. 5.750 % 4/15/20 1,975 1,985
CBS Corp. 7.875 % 7/30/30 450 494
CBS Corp. 5.500 % 5/15/33 200 172
Cellco Partnership / Verizon Wireless Capital          
LLC 3.750 % 5/20/11 3,625 3,740
Cellco Partnership / Verizon Wireless Capital          
LLC 5.250 % 2/1/12 3,050 3,255
Cellco Partnership / Verizon Wireless Capital          
LLC 7.375 % 11/15/13 9,275 10,739
Cellco Partnership / Verizon Wireless Capital          
LLC 5.550 % 2/1/14 7,694 8,414
Cellco Partnership / Verizon Wireless Capital          
LLC 8.500 % 11/15/18 8,950 11,166
CenturyTel Inc. 6.000 % 4/1/17 100 102
CenturyTel Inc. 6.150 % 9/15/19 1,675 1,665
CenturyTel Inc. 6.875 % 1/15/28 300 281
CenturyTel Inc. 7.600 % 9/15/39 1,800 1,735
Comcast Cable Communications Holdings          
Inc. 8.375 % 3/15/13 55 64
Comcast Cable Communications Holdings          
Inc. 9.455 % 11/15/22 2,000 2,683
Comcast Cable Communications LLC 6.750 % 1/30/11 5,325 5,565
Comcast Cable Communications LLC 8.875 % 5/1/17 975 1,183
Comcast Corp. 5.300 % 1/15/14 1,850 1,995
Comcast Corp. 6.500 % 1/15/15 1,350 1,519
Comcast Corp. 5.900 % 3/15/16 6,650 7,258
Comcast Corp. 6.500 % 1/15/17 150 167
Comcast Corp. 6.300 % 11/15/17 3,475 3,824
Comcast Corp. 5.875 % 2/15/18 3,800 4,069
Comcast Corp. 5.700 % 5/15/18 4,625 4,891
Comcast Corp. 5.700 % 7/1/19 1,275 1,334
Comcast Corp. 5.650 % 6/15/35 2,450 2,274
Comcast Corp. 6.500 % 11/15/35 7,425 7,595
Comcast Corp. 6.450 % 3/15/37 3,500 3,560
Comcast Corp. 6.950 % 8/15/37 2,000 2,158
Comcast Corp. 6.400 % 5/15/38 1,975 1,996
COX Communications Inc. 7.125 % 10/1/12 2,625 2,937
COX Communications Inc. 5.450 % 12/15/14 8,200 8,883
COX Communications Inc. 5.500 % 10/1/15 100 108
Deutsche Telekom International Finance BV 5.875 % 8/20/13 5,400 5,889
Deutsche Telekom International Finance BV 4.875 % 7/8/14 1,775 1,870
Deutsche Telekom International Finance BV 5.750 % 3/23/16 2,500 2,694
Deutsche Telekom International Finance BV 6.750 % 8/20/18 100 112
Deutsche Telekom International Finance BV 6.000 % 7/8/19 2,525 2,707
Deutsche Telekom International Finance BV 8.750 % 6/15/30 5,950 7,644
4 DIRECTV Holdings LLC 3.550 % 3/15/15 1,400 1,386
4 DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 4.750 % 10/1/14 2,575 2,688
DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 7.625 % 5/15/16 750 838
4 DirecTV Holdings LLC / DirecTV Financing          
Co. Inc. 5.875 % 10/1/19 12,975 13,542
Embarq Corp. 7.082 % 6/1/16 6,050 6,583
Embarq Corp. 7.995 % 6/1/36 8,869 9,042
France Telecom SA 7.750 % 3/1/11 7,800 8,274
France Telecom SA 4.375 % 7/8/14 1,850 1,960
France Telecom SA 5.375 % 7/8/19 1,725 1,827


France Telecom SA 8.500 % 3/1/31 6,075 8,076
Grupo Televisa SA 6.625 % 3/18/25 1,300 1,336
Grupo Televisa SA 8.500 % 3/11/32 200 243
Grupo Televisa SA 6.625 % 1/15/40 850 844
GTE Corp. 8.750 % 11/1/21 950 1,181
GTE Corp. 6.940 % 4/15/28 1,050 1,102
Koninklijke KPN NV 8.375 % 10/1/30 1,550 1,934
McGraw-Hill Cos. Inc. 5.375 % 11/15/12 750 807
McGraw-Hill Cos. Inc. 5.900 % 11/15/17 1,750 1,850
McGraw-Hill Cos. Inc. 6.550 % 11/15/37 1,600 1,715
New Cingular Wireless Services Inc. 8.125 % 5/1/12 4,175 4,715
New Cingular Wireless Services Inc. 8.750 % 3/1/31 2,600 3,328
News America Holdings Inc. 8.000 % 10/17/16 1,450 1,709
News America Holdings Inc. 7.700 % 10/30/25 200 224
News America Holdings Inc. 8.150 % 10/17/36 625 731
News America Holdings Inc. 7.750 % 12/1/45 425 494
News America Inc. 5.300 % 12/15/14 4,650 5,077
News America Inc. 6.550 % 3/15/33 4,500 4,654
News America Inc. 6.200 % 12/15/34 5,500 5,487
News America Inc. 6.400 % 12/15/35 10,100 10,334
News America Inc. 6.900 % 8/15/39 1,850 2,006
Omnicom Group Inc. 5.900 % 4/15/16 225 243
Pacific Bell Telephone Co. 7.125 % 3/15/26 425 465
Qwest Corp. 7.875 % 9/1/11 4,200 4,463
Qwest Corp. 8.875 % 3/15/12 1,725 1,880
Qwest Corp. 7.500 % 10/1/14 2,625 2,861
Qwest Corp. 6.500 % 6/1/17 1,125 1,173
Qwest Corp. 7.500 % 6/15/23 1,325 1,322
Qwest Corp. 6.875 % 9/15/33 2,900 2,784
Reed Elsevier Capital Inc. 4.625 % 6/15/12 375 393
Reed Elsevier Capital Inc. 7.750 % 1/15/14 1,300 1,497
Reed Elsevier Capital Inc. 8.625 % 1/15/19 1,275 1,591
Rogers Communications Inc. 7.250 % 12/15/12 850 963
Rogers Communications Inc. 6.375 % 3/1/14 5,325 5,901
Rogers Communications Inc. 5.500 % 3/15/14 1,750 1,881
Rogers Communications Inc. 6.800 % 8/15/18 10,400 11,792
Rogers Communications Inc. 7.500 % 8/15/38 100 117
RR Donnelley & Sons Co. 4.950 % 4/1/14 400 403
RR Donnelley & Sons Co. 5.500 % 5/15/15 425 425
RR Donnelley & Sons Co. 8.600 % 8/15/16 4,000 4,436
RR Donnelley & Sons Co. 6.125 % 1/15/17 2,000 2,003
TCI Communications Inc. 8.750 % 8/1/15 4,175 5,052
TCI Communications Inc. 7.875 % 2/15/26 300 343
Telecom Italia Capital SA 4.875 % 10/1/10 750 763
Telecom Italia Capital SA 6.200 % 7/18/11 5,525 5,806
Telecom Italia Capital SA 5.250 % 11/15/13 6,750 7,080
Telecom Italia Capital SA 6.175 % 6/18/14 1,475 1,582
Telecom Italia Capital SA 4.950 % 9/30/14 7,475 7,664
Telecom Italia Capital SA 5.250 % 10/1/15 3,500 3,590
Telecom Italia Capital SA 6.999 % 6/4/18 200 216
Telecom Italia Capital SA 7.175 % 6/18/19 4,150 4,483
Telecom Italia Capital SA 6.375 % 11/15/33 2,875 2,669
Telecom Italia Capital SA 6.000 % 9/30/34 200 177
Telecom Italia Capital SA 7.200 % 7/18/36 1,100 1,104
Telecom Italia Capital SA 7.721 % 6/4/38 8,325 8,931
Telefonica Emisiones SAU 5.984 % 6/20/11 2,625 2,762
Telefonica Emisiones SAU 5.855 % 2/4/13 6,525 7,101
Telefonica Emisiones SAU 4.949 % 1/15/15 3,775 3,992


Telefonica Emisiones SAU 6.421 % 6/20/16 4,975 5,563
Telefonica Emisiones SAU 5.877 % 7/15/19 7,375 7,887
Telefonica Emisiones SAU 7.045 % 6/20/36 2,175 2,437
Telefonica Europe BV 8.250 % 9/15/30 1,500 1,840
Telefonos de Mexico SAB de CV 5.500 % 1/27/15 5,725 6,107
TELUS Corp. 8.000 % 6/1/11 1,137 1,222
Thomson Reuters Corp. 5.950 % 7/15/13 725 801
Thomson Reuters Corp. 5.700 % 10/1/14 5,075 5,584
Thomson Reuters Corp. 6.500 % 7/15/18 250 280
Thomson Reuters Corp. 4.700 % 10/15/19 1,625 1,618
Thomson Reuters Corp. 5.500 % 8/15/35 1,500 1,419
Thomson Reuters Corp. 5.850 % 4/15/40 950 928
Time Warner Cable Inc. 5.400 % 7/2/12 4,625 4,959
Time Warner Cable Inc. 6.200 % 7/1/13 2,775 3,068
Time Warner Cable Inc. 8.250 % 2/14/14 1,225 1,439
Time Warner Cable Inc. 7.500 % 4/1/14 2,475 2,857
Time Warner Cable Inc. 3.500 % 2/1/15 925 925
Time Warner Cable Inc. 5.850 % 5/1/17 9,600 10,267
Time Warner Cable Inc. 6.750 % 7/1/18 9,250 10,342
Time Warner Cable Inc. 8.750 % 2/14/19 3,100 3,840
Time Warner Cable Inc. 8.250 % 4/1/19 11,050 13,327
Time Warner Cable Inc. 5.000 % 2/1/20 1,900 1,866
Time Warner Cable Inc. 6.550 % 5/1/37 975 998
Time Warner Cable Inc. 6.750 % 6/15/39 2,365 2,484
Time Warner Entertainment Co. LP 10.150 % 5/1/12 375 434
Time Warner Entertainment Co. LP 8.875 % 10/1/12 550 634
Time Warner Entertainment Co. LP 8.375 % 3/15/23 800 987
Time Warner Entertainment Co. LP 8.375 % 7/15/33 2,975 3,571
United States Cellular Corp. 6.700 % 12/15/33 1,025 993
Verizon Communications Inc. 4.350 % 2/15/13 200 212
Verizon Communications Inc. 5.250 % 4/15/13 4,575 4,981
Verizon Communications Inc. 4.900 % 9/15/15 575 620
Verizon Communications Inc. 5.550 % 2/15/16 3,675 4,027
Verizon Communications Inc. 5.500 % 2/15/18 17,750 18,753
Verizon Communications Inc. 6.100 % 4/15/18 3,000 3,271
Verizon Communications Inc. 8.750 % 11/1/18 1,775 2,230
Verizon Communications Inc. 6.350 % 4/1/19 3,950 4,367
Verizon Communications Inc. 5.850 % 9/15/35 5,150 5,006
Verizon Communications Inc. 6.250 % 4/1/37 525 534
Verizon Communications Inc. 6.400 % 2/15/38 2,075 2,153
Verizon Communications Inc. 6.900 % 4/15/38 375 411
Verizon Communications Inc. 8.950 % 3/1/39 4,300 5,831
Verizon Communications Inc. 7.350 % 4/1/39 5,200 6,065
Verizon Global Funding Corp. 6.875 % 6/15/12 5,750 6,389
Verizon Global Funding Corp. 7.375 % 9/1/12 1,700 1,927
Verizon Global Funding Corp. 4.375 % 6/1/13 200 213
Verizon Global Funding Corp. 7.750 % 12/1/30 2,375 2,826
Verizon Maryland Inc. 6.125 % 3/1/12 100 108
Verizon Maryland Inc. 5.125 % 6/15/33 175 142
Verizon New England Inc. 6.500 % 9/15/11 1,450 1,546
Verizon New England Inc. 7.875 % 11/15/29 1,225 1,343
Verizon New Jersey Inc. 5.875 % 1/17/12 1,700 1,811
Verizon New York Inc. 6.875 % 4/1/12 900 982
Verizon New York Inc. 7.375 % 4/1/32 650 694
Verizon Pennsylvania Inc. 5.650 % 11/15/11 2,900 3,077
Verizon Virginia Inc. 4.625 % 3/15/13 1,725 1,814
Vodafone Group PLC 5.350 % 2/27/12 1,375 1,468
Vodafone Group PLC 5.000 % 12/16/13 475 511


Vodafone Group PLC 5.375 % 1/30/15 6,775 7,305
Vodafone Group PLC 5.000 % 9/15/15 425 450
Vodafone Group PLC 5.750 % 3/15/16 1,825 1,983
Vodafone Group PLC 5.625 % 2/27/17 5,000 5,361
Vodafone Group PLC 5.450 % 6/10/19 3,100 3,228
Vodafone Group PLC 7.875 % 2/15/30 1,525 1,823
Vodafone Group PLC 6.250 % 11/30/32 2,675 2,734
Vodafone Group PLC 6.150 % 2/27/37 5,625 5,761
Washington Post Co. 7.250 % 2/1/19 875 982
WPP Finance UK 5.875 % 6/15/14 6,125 6,406
WPP Finance UK 8.000 % 9/15/14 625 718
 
Consumer Cyclical (1.0%)          
AutoZone Inc. 6.500 % 1/15/14 2,000 2,202
AutoZone Inc. 5.750 % 1/15/15 2,400 2,594
Best Buy Co. Inc. 6.750 % 7/15/13 2,875 3,195
Costco Wholesale Corp. 5.500 % 3/15/17 3,500 3,848
CVS Caremark Corp. 5.750 % 8/15/11 875 927
CVS Caremark Corp. 4.875 % 9/15/14 2,750 2,942
CVS Caremark Corp. 6.125 % 8/15/16 2,375 2,610
CVS Caremark Corp. 5.750 % 6/1/17 750 806
CVS Caremark Corp. 6.600 % 3/15/19 4,525 5,041
CVS Caremark Corp. 6.250 % 6/1/27 5,150 5,333
3 CVS Caremark Corp. 6.302 % 6/1/37 1,550 1,466
Daimler Finance North America LLC 5.750 % 9/8/11 3,050 3,215
Daimler Finance North America LLC 7.300 % 1/15/12 7,050 7,677
Daimler Finance North America LLC 6.500 % 11/15/13 7,100 7,866
Daimler Finance North America LLC 8.500 % 1/18/31 4,700 5,754
Darden Restaurants Inc. 5.625 % 10/15/12 2,675 2,873
Darden Restaurants Inc. 6.200 % 10/15/17 1,850 2,010
Darden Restaurants Inc. 6.800 % 10/15/37 950 1,003
Historic TW Inc. 9.125 % 1/15/13 1,475 1,725
Historic TW Inc. 9.150 % 2/1/23 3,425 4,422
Historic TW Inc. 6.625 % 5/15/29 2,925 3,074
Home Depot Inc. 5.250 % 12/16/13 6,050 6,556
Home Depot Inc. 5.400 % 3/1/16 6,900 7,449
Home Depot Inc. 5.875 % 12/16/36 2,000 1,936
Johnson Controls Inc. 5.000 % 3/30/20 2,300 2,285
Johnson Controls Inc. 6.000 % 1/15/36 350 336
Kohl's Corp. 6.250 % 12/15/17 850 944
Kohl's Corp. 6.000 % 1/15/33 300 301
Kohl's Corp. 6.875 % 12/15/37 700 780
Lowe's Cos. Inc. 5.600 % 9/15/12 850 933
Lowe's Cos. Inc. 5.400 % 10/15/16 1,925 2,104
Lowe's Cos. Inc. 6.100 % 9/15/17 875 975
Lowe's Cos. Inc. 6.875 % 2/15/28 350 395
Lowe's Cos. Inc. 6.500 % 3/15/29 1,050 1,138
Lowe's Cos. Inc. 5.800 % 10/15/36 2,175 2,199
Marriott International Inc./DE 4.625 % 6/15/12 1,000 1,036
Marriott International Inc./DE 5.625 % 2/15/13 850 890
Marriott International Inc./DE 6.200 % 6/15/16 550 573
Marriott International Inc./DE 6.375 % 6/15/17 650 682
McDonald's Corp. 6.000 % 4/15/11 975 1,027
McDonald's Corp. 5.300 % 3/15/17 300 322
McDonald's Corp. 5.800 % 10/15/17 1,825 2,036
McDonald's Corp. 5.350 % 3/1/18 1,875 2,034
McDonald's Corp. 5.000 % 2/1/19 1,025 1,082
McDonald's Corp. 6.300 % 10/15/37 750 810


McDonald's Corp. 6.300 % 3/1/38 1,825 1,978
McDonald's Corp. 5.700 % 2/1/39 850 852
MDC Holdings Inc. 5.500 % 5/15/13 750 774
Nordstrom Inc. 6.750 % 6/1/14 175 197
Nordstrom Inc. 6.250 % 1/15/18 5,625 6,174
Nordstrom Inc. 6.950 % 3/15/28 425 468
Nordstrom Inc. 7.000 % 1/15/38 475 534
PACCAR Financial Corp. 1.950 % 12/17/12 2,150 2,150
PACCAR Inc. 6.875 % 2/15/14 1,200 1,370
Staples Inc. 7.750 % 4/1/11 5,800 6,175
Staples Inc. 9.750 % 1/15/14 6,800 8,211
Target Corp. 5.875 % 3/1/12 1,825 1,978
Target Corp. 5.125 % 1/15/13 625 678
Target Corp. 4.000 % 6/15/13 600 632
Target Corp. 5.875 % 7/15/16 3,575 4,054
Target Corp. 5.375 % 5/1/17 100 108
Target Corp. 6.000 % 1/15/18 2,825 3,162
Target Corp. 7.000 % 7/15/31 1,425 1,592
Target Corp. 6.350 % 11/1/32 1,650 1,749
Target Corp. 6.500 % 10/15/37 1,875 2,036
Target Corp. 7.000 % 1/15/38 5,300 6,117
Time Warner Cos. Inc. 7.570 % 2/1/24 325 378
Time Warner Cos. Inc. 6.950 % 1/15/28 150 163
Time Warner Inc. 5.500 % 11/15/11 3,850 4,085
Time Warner Inc. 6.875 % 5/1/12 1,825 2,009
Time Warner Inc. 5.875 % 11/15/16 2,525 2,762
Time Warner Inc. 4.875 % 3/15/20 3,975 3,875
Time Warner Inc. 7.625 % 4/15/31 3,700 4,212
Time Warner Inc. 7.700 % 5/1/32 6,925 7,965
Time Warner Inc. 6.500 % 11/15/36 1,900 1,944
Time Warner Inc. 6.200 % 3/15/40 950 938
TJX Cos. Inc. 6.950 % 4/15/19 5,075 5,893
Toll Brothers Finance Corp. 6.875 % 11/15/12 16 17
Toll Brothers Finance Corp. 5.950 % 9/15/13 18 19
Toll Brothers Finance Corp. 5.150 % 5/15/15 1,000 1,001
Toll Brothers Finance Corp. 6.750 % 11/1/19 1,350 1,356
Toyota Motor Credit Corp. 5.450 % 5/18/11 1,025 1,069
VF Corp. 5.950 % 11/1/17 850 929
VF Corp. 6.450 % 11/1/37 850 899
Viacom Inc. 4.375 % 9/15/14 375 388
Viacom Inc. 6.250 % 4/30/16 1,625 1,795
Viacom Inc. 6.125 % 10/5/17 1,250 1,355
Viacom Inc. 5.625 % 9/15/19 12,235 12,727
Viacom Inc. 6.875 % 4/30/36 100 106
Wal-Mart Stores Inc. 4.250 % 4/15/13 25 27
Wal-Mart Stores Inc. 4.550 % 5/1/13 2,250 2,414
Wal-Mart Stores Inc. 7.250 % 6/1/13 550 632
Wal-Mart Stores Inc. 3.200 % 5/15/14 2,400 2,458
Wal-Mart Stores Inc. 2.875 % 4/1/15 2,425 2,419
Wal-Mart Stores Inc. 4.500 % 7/1/15 2,225 2,377
Wal-Mart Stores Inc. 5.375 % 4/5/17 625 683
Wal-Mart Stores Inc. 5.800 % 2/15/18 5,625 6,268
Wal-Mart Stores Inc. 5.875 % 4/5/27 8,150 8,657
Wal-Mart Stores Inc. 7.550 % 2/15/30 3,650 4,484
Wal-Mart Stores Inc. 5.250 % 9/1/35 1,425 1,361
Wal-Mart Stores Inc. 6.500 % 8/15/37 5,250 5,793
Wal-Mart Stores Inc. 6.200 % 4/15/38 5,025 5,364
Wal-Mart Stores Inc. 5.625 % 4/1/40 3,975 3,969


Walgreen Co. 4.875 % 8/1/13 3,575 3,870
Walgreen Co. 5.250 % 1/15/19 1,675 1,780
Walt Disney Co. 5.700 % 7/15/11 4,500 4,762
Walt Disney Co. 6.375 % 3/1/12 700 767
Walt Disney Co. 4.700 % 12/1/12 100 108
Walt Disney Co. 4.500 % 12/15/13 2,300 2,471
Walt Disney Co. 6.200 % 6/20/14 2,000 2,261
Walt Disney Co. 5.625 % 9/15/16 2,425 2,701
Walt Disney Co. 5.875 % 12/15/17 1,875 2,079
Walt Disney Co. 7.000 % 3/1/32 325 381
Western Union Co. 5.400 % 11/17/11 240 241
Western Union Co. 6.500 % 2/26/14 3,275 3,680
Western Union Co. 5.930 % 10/1/16 1,825 2,001
Western Union Co. 6.200 % 11/17/36 950 958
Yum! Brands Inc. 8.875 % 4/15/11 950 1,021
Yum! Brands Inc. 7.700 % 7/1/12 775 864
Yum! Brands Inc. 4.250 % 9/15/15 2,000 2,051
Yum! Brands Inc. 6.250 % 4/15/16 100 110
Yum! Brands Inc. 6.250 % 3/15/18 3,000 3,277
Yum! Brands Inc. 6.875 % 11/15/37 1,350 1,472
 
Consumer Noncyclical (2.6%)          
Abbott Laboratories 5.600 % 5/15/11 2,025 2,136
Abbott Laboratories 5.150 % 11/30/12 1,100 1,200
Abbott Laboratories 4.350 % 3/15/14 2,075 2,204
Abbott Laboratories 5.875 % 5/15/16 4,900 5,530
Abbott Laboratories 5.600 % 11/30/17 4,450 4,889
Abbott Laboratories 5.125 % 4/1/19 925 973
Abbott Laboratories 6.150 % 11/30/37 5,600 5,985
Abbott Laboratories 6.000 % 4/1/39 575 607
Allergan Inc./United States 5.750 % 4/1/16 400 444
Altria Group Inc. 8.500 % 11/10/13 8,450 9,871
Altria Group Inc. 7.750 % 2/6/14 4,600 5,255
Altria Group Inc. 9.700 % 11/10/18 3,300 4,047
Altria Group Inc. 9.250 % 8/6/19 75 90
Altria Group Inc. 9.950 % 11/10/38 9,800 12,847
Altria Group Inc. 10.200 % 2/6/39 4,625 6,183
AmerisourceBergen Corp. 5.625 % 9/15/12 425 457
AmerisourceBergen Corp. 5.875 % 9/15/15 6,875 7,550
AmerisourceBergen Corp. 4.875 % 11/15/19 975 971
Amgen Inc. 4.850 % 11/18/14 3,575 3,883
Amgen Inc. 5.850 % 6/1/17 5,750 6,374
Amgen Inc. 5.700 % 2/1/19 100 109
Amgen Inc. 6.375 % 6/1/37 1,350 1,452
Amgen Inc. 6.400 % 2/1/39 4,225 4,537
Amgen Inc. 5.750 % 3/15/40 2,650 2,618
Anheuser-Busch Cos. Inc. 6.000 % 4/15/11 725 761
Anheuser-Busch Cos. Inc. 4.375 % 1/15/13 1,150 1,203
Anheuser-Busch Cos. Inc. 5.600 % 3/1/17 1,375 1,456
Anheuser-Busch Cos. Inc. 5.500 % 1/15/18 2,950 3,125
Anheuser-Busch Cos. Inc. 6.800 % 8/20/32 775 839
Anheuser-Busch Cos. Inc. 5.750 % 4/1/36 2,905 2,823
Anheuser-Busch InBev Worldwide Inc. 3.000 % 10/15/12 4,000 4,100
4 Anheuser-Busch InBev Worldwide Inc. 2.500 % 3/26/13 3,800 3,813
Anheuser-Busch InBev Worldwide Inc. 4.125 % 1/15/15 4,000 4,109
Anheuser-Busch InBev Worldwide Inc. 5.375 % 1/15/20 8,600 8,816
4 Anheuser-Busch InBev Worldwide Inc. 5.000 % 4/15/20 2,600 2,613
Anheuser-Busch InBev Worldwide Inc. 6.375 % 1/15/40 375 398


Archer-Daniels-Midland Co. 8.375 % 4/15/17 100 123
Archer-Daniels-Midland Co. 5.450 % 3/15/18 2,975 3,186
Archer-Daniels-Midland Co. 5.935 % 10/1/32 1,775 1,852
Archer-Daniels-Midland Co. 5.375 % 9/15/35 1,850 1,776
AstraZeneca PLC 5.400 % 9/15/12 3,150 3,440
AstraZeneca PLC 5.400 % 6/1/14 2,925 3,215
AstraZeneca PLC 5.900 % 9/15/17 5,125 5,714
AstraZeneca PLC 6.450 % 9/15/37 7,110 7,848
Baxter FinCo BV 4.750 % 10/15/10 1,950 1,995
Baxter International Inc. 5.900 % 9/1/16 875 982
Baxter International Inc. 6.250 % 12/1/37 3,675 3,973
Becton Dickinson and Co. 5.000 % 5/15/19 450 469
Biogen Idec Inc. 6.000 % 3/1/13 750 810
Biogen Idec Inc. 6.875 % 3/1/18 4,300 4,737
Bottling Group LLC 4.625 % 11/15/12 5,025 5,394
Bottling Group LLC 5.000 % 11/15/13 2,700 2,930
Bottling Group LLC 6.950 % 3/15/14 4,225 4,879
Bottling Group LLC 5.500 % 4/1/16 1,925 2,123
Bottling Group LLC 5.125 % 1/15/19 1,500 1,571
Bristol-Myers Squibb Co. 5.250 % 8/15/13 650 715
Bristol-Myers Squibb Co. 5.450 % 5/1/18 800 860
Bristol-Myers Squibb Co. 7.150 % 6/15/23 100 117
Bristol-Myers Squibb Co. 6.800 % 11/15/26 100 116
Bristol-Myers Squibb Co. 5.875 % 11/15/36 3,100 3,176
Bristol-Myers Squibb Co. 6.125 % 5/1/38 625 660
Bristol-Myers Squibb Co. 6.875 % 8/1/97 325 348
Bunge Ltd. Finance Corp. 5.100 % 7/15/15 575 590
Bunge Ltd. Finance Corp. 8.500 % 6/15/19 9,175 10,612
Cardinal Health Inc. 5.650 % 6/15/12 17 18
Cardinal Health Inc. 4.000 % 6/15/15 100 100
CareFusion Corp. 4.125 % 8/1/12 350 364
CareFusion Corp. 5.125 % 8/1/14 1,985 2,104
CareFusion Corp. 6.375 % 8/1/19 4,850 5,302
Cia de Bebidas das Americas 10.500 % 12/15/11 1,375 1,578
Cia de Bebidas das Americas 8.750 % 9/15/13 1,450 1,707
Clorox Co. 5.450 % 10/15/12 2,135 2,300
Clorox Co. 5.000 % 1/15/15 525 560
Clorox Co. 3.550 % 11/1/15 1,850 1,878
Coca-Cola Co. 5.350 % 11/15/17 3,575 3,905
Coca-Cola Co. 4.875 % 3/15/19 4,600 4,780
Coca-Cola Enterprises Inc. 5.000 % 8/15/13 2,900 3,163
Coca-Cola Enterprises Inc. 7.375 % 3/3/14 4,425 5,173
Coca-Cola Enterprises Inc. 4.250 % 3/1/15 2,200 2,330
Coca-Cola Enterprises Inc. 4.500 % 8/15/19 900 908
Coca-Cola Enterprises Inc. 8.500 % 2/1/22 3,250 4,210
Coca-Cola Enterprises Inc. 7.000 % 10/1/26 1,525 1,759
Coca-Cola Enterprises Inc. 6.950 % 11/15/26 1,050 1,206
Coca-Cola Enterprises Inc. 6.750 % 9/15/28 475 539
4 Coca-Cola Femsa SAB de CV 4.625 % 2/15/20 775 764
Coca-Cola HBC Finance BV 5.125 % 9/17/13 325 347
Coca-Cola HBC Finance BV 5.500 % 9/17/15 3,500 3,797
ConAgra Foods Inc. 6.750 % 9/15/11 22 24
ConAgra Foods Inc. 5.875 % 4/15/14 1,295 1,419
ConAgra Foods Inc. 5.819 % 6/15/17 225 240
ConAgra Foods Inc. 7.125 % 10/1/26 450 493
ConAgra Foods Inc. 7.000 % 10/1/28 250 271
ConAgra Foods Inc. 8.250 % 9/15/30 500 608
Covidien International Finance SA 5.450 % 10/15/12 725 792


Covidien International Finance SA 6.000 % 10/15/17 1,525 1,671
Covidien International Finance SA 6.550 % 10/15/37 3,980 4,407
CR Bard Inc. 6.700 % 12/1/26 1,800 2,020
Delhaize America Inc. 9.000 % 4/15/31 625 793
Delhaize Group SA 5.875 % 2/1/14 1,400 1,530
Diageo Capital PLC 5.200 % 1/30/13 2,425 2,623
Diageo Capital PLC 7.375 % 1/15/14 3,100 3,608
Diageo Capital PLC 5.500 % 9/30/16 425 462
Diageo Capital PLC 5.750 % 10/23/17 2,500 2,709
Diageo Capital PLC 5.875 % 9/30/36 200 206
Diageo Finance BV 5.300 % 10/28/15 1,800 1,974
Diageo Investment Corp. 9.000 % 8/15/11 1,050 1,156
Diageo Investment Corp. 7.450 % 4/15/35 200 238
Dr Pepper Snapple Group Inc. 1.700 % 12/21/11 1,125 1,127
Dr Pepper Snapple Group Inc. 2.350 % 12/21/12 1,125 1,130
Dr Pepper Snapple Group Inc. 6.120 % 5/1/13 525 581
Dr Pepper Snapple Group Inc. 6.820 % 5/1/18 1,600 1,822
Dr Pepper Snapple Group Inc. 7.450 % 5/1/38 425 504
Eli Lilly & Co. 3.550 % 3/6/12 3,100 3,242
Eli Lilly & Co. 6.000 % 3/15/12 950 1,039
Eli Lilly & Co. 4.200 % 3/6/14 2,200 2,332
Eli Lilly & Co. 5.200 % 3/15/17 2,625 2,824
Eli Lilly & Co. 5.500 % 3/15/27 2,150 2,170
Eli Lilly & Co. 5.550 % 3/15/37 200 198
Estee Lauder Cos. Inc. 6.000 % 5/15/37 200 200
Express Scripts Inc. 5.250 % 6/15/12 1,625 1,729
Express Scripts Inc. 6.250 % 6/15/14 4,700 5,210
Express Scripts Inc. 7.250 % 6/15/19 650 752
Fortune Brands Inc. 3.000 % 6/1/12 4,000 4,006
Fortune Brands Inc. 6.375 % 6/15/14 1,300 1,417
Fortune Brands Inc. 5.375 % 1/15/16 1,500 1,539
Fortune Brands Inc. 5.875 % 1/15/36 875 760
Genentech Inc. 4.750 % 7/15/15 800 856
Genentech Inc. 5.250 % 7/15/35 300 283
General Mills Inc. 6.000 % 2/15/12 5,525 5,981
General Mills Inc. 5.650 % 9/10/12 625 683
General Mills Inc. 5.250 % 8/15/13 1,650 1,802
General Mills Inc. 5.200 % 3/17/15 2,000 2,171
General Mills Inc. 5.700 % 2/15/17 8,025 8,669
General Mills Inc. 5.650 % 2/15/19 1,125 1,205
GlaxoSmithKline Capital Inc. 4.850 % 5/15/13 4,125 4,464
GlaxoSmithKline Capital Inc. 4.375 % 4/15/14 1,800 1,913
GlaxoSmithKline Capital Inc. 5.650 % 5/15/18 4,850 5,248
GlaxoSmithKline Capital Inc. 5.375 % 4/15/34 950 920
GlaxoSmithKline Capital Inc. 6.375 % 5/15/38 7,180 7,890
Hasbro Inc. 6.125 % 5/15/14 5,000 5,482
Hasbro Inc. 6.300 % 9/15/17 2,125 2,283
Hasbro Inc. 6.350 % 3/15/40 1,200 1,182
Hershey Co. 5.450 % 9/1/16 425 455
HJ Heinz Co. 5.350 % 7/15/13 575 623
HJ Heinz Finance Co. 6.625 % 7/15/11 2,175 2,326
HJ Heinz Finance Co. 6.750 % 3/15/32 1,325 1,425
Hospira Inc. 5.900 % 6/15/14 500 545
Hospira Inc. 6.400 % 5/15/15 275 307
Hospira Inc. 6.050 % 3/30/17 100 107
Johnson & Johnson 5.150 % 8/15/12 1,525 1,662
Johnson & Johnson 5.550 % 8/15/17 1,950 2,152
Johnson & Johnson 5.150 % 7/15/18 550 593


Johnson & Johnson 6.950 % 9/1/29 1,300 1,555
Johnson & Johnson 4.950 % 5/15/33 1,600 1,543
Johnson & Johnson 5.950 % 8/15/37 800 867
Johnson & Johnson 5.850 % 7/15/38 950 1,009
Kellogg Co. 5.125 % 12/3/12 4,025 4,384
Kellogg Co. 4.250 % 3/6/13 1,375 1,455
Kellogg Co. 4.150 % 11/15/19 2,150 2,119
Kellogg Co. 7.450 % 4/1/31 2,500 3,044
Kimberly-Clark Corp. 5.625 % 2/15/12 1,075 1,161
Kimberly-Clark Corp. 4.875 % 8/15/15 1,875 2,016
Kimberly-Clark Corp. 6.125 % 8/1/17 2,475 2,770
Kimberly-Clark Corp. 7.500 % 11/1/18 800 977
Kimberly-Clark Corp. 6.625 % 8/1/37 200 228
Koninklijke Philips Electronics NV 4.625 % 3/11/13 1,300 1,387
Koninklijke Philips Electronics NV 5.750 % 3/11/18 3,250 3,478
Koninklijke Philips Electronics NV 6.875 % 3/11/38 3,050 3,402
Kraft Foods Inc. 5.625 % 11/1/11 7,450 7,915
Kraft Foods Inc. 6.250 % 6/1/12 1,225 1,339
Kraft Foods Inc. 6.000 % 2/11/13 2,950 3,237
Kraft Foods Inc. 2.625 % 5/8/13 3,300 3,333
Kraft Foods Inc. 5.250 % 10/1/13 100 108
Kraft Foods Inc. 6.750 % 2/19/14 200 225
Kraft Foods Inc. 4.125 % 2/9/16 5,775 5,840
Kraft Foods Inc. 6.500 % 8/11/17 5,375 6,004
Kraft Foods Inc. 6.125 % 2/1/18 100 109
Kraft Foods Inc. 6.125 % 8/23/18 1,900 2,061
Kraft Foods Inc. 5.375 % 2/10/20 10,600 10,714
Kraft Foods Inc. 6.500 % 11/1/31 3,275 3,357
Kraft Foods Inc. 7.000 % 8/11/37 3,675 4,011
Kraft Foods Inc. 6.875 % 2/1/38 4,975 5,372
Kraft Foods Inc. 6.875 % 1/26/39 525 566
Kraft Foods Inc. 6.500 % 2/9/40 3,375 3,477
Kroger Co. 6.800 % 4/1/11 1,225 1,295
Kroger Co. 6.750 % 4/15/12 100 110
Kroger Co. 6.200 % 6/15/12 1,950 2,123
Kroger Co. 5.500 % 2/1/13 425 461
Kroger Co. 5.000 % 4/15/13 1,050 1,128
Kroger Co. 4.950 % 1/15/15 1,950 2,071
Kroger Co. 6.400 % 8/15/17 200 221
Kroger Co. 6.800 % 12/15/18 2,400 2,695
Kroger Co. 6.150 % 1/15/20 2,525 2,740
Kroger Co. 7.700 % 6/1/29 2,800 3,278
Kroger Co. 8.000 % 9/15/29 3,775 4,552
Kroger Co. 7.500 % 4/1/31 625 730
Kroger Co. 6.900 % 4/15/38 625 697
Laboratory Corp. of America Holdings 5.500 % 2/1/13 425 455
Laboratory Corp. of America Holdings 5.625 % 12/15/15 850 915
Life Technologies Corp. 4.400 % 3/1/15 1,700 1,720
Life Technologies Corp. 6.000 % 3/1/20 1,750 1,791
Lorillard Tobacco Co. 8.125 % 6/23/19 13,550 14,925
McKesson Corp. 7.750 % 2/1/12 450 496
McKesson Corp. 5.250 % 3/1/13 3,450 3,676
4 Mead Johnson Nutrition Co. 3.500 % 11/1/14 2,525 2,522
4 Mead Johnson Nutrition Co. 4.900 % 11/1/19 2,850 2,811
4 Mead Johnson Nutrition Co. 5.900 % 11/1/39 1,025 995
Medco Health Solutions Inc. 6.125 % 3/15/13 1,425 1,558
Medco Health Solutions Inc. 7.250 % 8/15/13 925 1,050
Medco Health Solutions Inc. 7.125 % 3/15/18 5,785 6,589


Medtronic Inc. 4.500 % 3/15/14 1,000 1,070
Medtronic Inc. 3.000 % 3/15/15 4,200 4,179
Medtronic Inc. 4.750 % 9/15/15 1,775 1,915
Medtronic Inc. 4.450 % 3/15/20 1,900 1,884
Medtronic Inc. 6.500 % 3/15/39 500 559
Medtronic Inc. 5.550 % 3/15/40 475 469
Merck & Co. Inc. 1.875 % 6/30/11 3,000 3,036
Merck & Co. Inc. 5.125 % 11/15/11 725 772
Merck & Co. Inc. 4.375 % 2/15/13 1,225 1,310
Merck & Co. Inc. 5.300 % 12/1/13 500 554
Merck & Co. Inc. 4.750 % 3/1/15 1,200 1,296
Merck & Co. Inc. 4.000 % 6/30/15 2,000 2,093
Merck & Co. Inc. 6.000 % 9/15/17 2,300 2,588
Merck & Co. Inc. 5.000 % 6/30/19 1,650 1,730
Merck & Co. Inc. 6.400 % 3/1/28 1,525 1,677
Merck & Co. Inc. 5.950 % 12/1/28 775 807
Merck & Co. Inc. 6.500 % 12/1/33 4,675 5,232
Merck & Co. Inc. 5.750 % 11/15/36 325 333
Merck & Co. Inc. 6.550 % 9/15/37 4,425 5,034
Novant Health Inc. 5.850 % 11/1/19 2,125 2,159
Novartis Capital Corp. 1.900 % 4/24/13 2,600 2,596
Novartis Capital Corp. 4.125 % 2/10/14 6,525 6,901
Novartis Capital Corp. 2.900 % 4/24/15 2,575 2,548
Novartis Securities Investment Ltd. 5.125 % 2/10/19 4,825 5,085
Pepsi Bottling Group Inc. 7.000 % 3/1/29 5,325 6,211
PepsiAmericas Inc. 5.750 % 7/31/12 1,050 1,150
PepsiAmericas Inc. 4.375 % 2/15/14 100 106
PepsiAmericas Inc. 4.875 % 1/15/15 100 107
PepsiAmericas Inc. 5.000 % 5/15/17 1,400 1,471
PepsiCo Inc./NC 5.150 % 5/15/12 800 863
PepsiCo Inc./NC 4.650 % 2/15/13 2,900 3,125
PepsiCo Inc./NC 3.750 % 3/1/14 6,150 6,421
PepsiCo Inc./NC 5.000 % 6/1/18 5,425 5,724
PepsiCo Inc./NC 7.900 % 11/1/18 1,150 1,422
PepsiCo Inc./NC 4.500 % 1/15/20 2,800 2,823
PepsiCo Inc./NC 5.500 % 1/15/40 4,450 4,382
Pfizer Inc. 4.450 % 3/15/12 12,650 13,415
Pfizer Inc. 5.350 % 3/15/15 10,275 11,308
Pfizer Inc. 6.200 % 3/15/19 6,850 7,703
Pfizer Inc. 7.200 % 3/15/39 14,250 17,274
Pharmacia Corp. 6.500 % 12/1/18 200 227
Pharmacia Corp. 6.600 % 12/1/28 625 692
Philip Morris International Inc. 4.875 % 5/16/13 3,150 3,392
Philip Morris International Inc. 6.875 % 3/17/14 3,900 4,486
Philip Morris International Inc. 5.650 % 5/16/18 2,950 3,178
Philip Morris International Inc. 6.375 % 5/16/38 3,550 3,838
3 Procter & Gamble - Esop 9.360 % 1/1/21 3,098 3,855
Procter & Gamble Co. 4.600 % 1/15/14 1,300 1,395
Procter & Gamble Co. 4.950 % 8/15/14 850 931
Procter & Gamble Co. 3.500 % 2/15/15 4,500 4,616
Procter & Gamble Co. 4.700 % 2/15/19 1,775 1,822
Procter & Gamble Co. 6.450 % 1/15/26 2,750 3,096
Procter & Gamble Co. 5.800 % 8/15/34 250 262
Procter & Gamble Co. 5.550 % 3/5/37 2,950 2,973
Quest Diagnostics Inc./DE 5.450 % 11/1/15 1,800 1,942
Quest Diagnostics Inc./DE 6.400 % 7/1/17 175 194
Quest Diagnostics Inc./DE 6.950 % 7/1/37 1,225 1,354
Reynolds American Inc. 7.250 % 6/1/12 1,500 1,635


Reynolds American Inc. 7.250 % 6/1/13 1,575 1,740
Reynolds American Inc. 7.625 % 6/1/16 850 949
Reynolds American Inc. 6.750 % 6/15/17 1,275 1,361
Reynolds American Inc. 7.250 % 6/15/37 1,525 1,548
Safeway Inc. 5.800 % 8/15/12 975 1,062
Safeway Inc. 6.250 % 3/15/14 5,850 6,504
Safeway Inc. 6.350 % 8/15/17 325 359
Safeway Inc. 7.250 % 2/1/31 1,825 2,090
Sara Lee Corp. 6.125 % 11/1/32 2,175 2,115
St. Jude Medical Inc. 2.200 % 9/15/13 3,025 3,017
St. Jude Medical Inc. 3.750 % 7/15/14 2,875 2,956
St. Jude Medical Inc. 4.875 % 7/15/19 500 510
Stryker Corp. 3.000 % 1/15/15 800 800
Stryker Corp. 4.375 % 1/15/20 700 693
Sysco Corp. 4.200 % 2/12/13 625 662
Sysco Corp. 5.250 % 2/12/18 3,875 4,083
Sysco Corp. 5.375 % 9/21/35 1,400 1,368
Teva Pharmaceutical Finance Co. LLC 5.550 % 2/1/16 550 594
Teva Pharmaceutical Finance Co. LLC 6.150 % 2/1/36 2,425 2,499
4 Thermo Fisher Scientific Inc. 2.150 % 12/28/12 875 871
4 Thermo Fisher Scientific Inc. 3.250 % 11/20/14 1,875 1,857
Unilever Capital Corp. 7.125 % 11/1/10 3,400 3,531
Unilever Capital Corp. 3.650 % 2/15/14 1,525 1,584
Unilever Capital Corp. 4.800 % 2/15/19 700 721
Unilever Capital Corp. 5.900 % 11/15/32 900 939
UST Inc. 6.625 % 7/15/12 1,500 1,631
UST Inc. 5.750 % 3/1/18 1,000 1,001
Watson Pharmaceuticals Inc. 5.000 % 8/15/14 1,250 1,305
Whirlpool Corp. 5.500 % 3/1/13 4,075 4,310
Whirlpool Corp. 8.600 % 5/1/14 900 1,046
Wyeth 5.500 % 3/15/13 2,750 3,020
Wyeth 5.500 % 2/1/14 1,350 1,488
Wyeth 5.500 % 2/15/16 7,500 8,339
Wyeth 5.450 % 4/1/17 2,950 3,221
Wyeth 6.450 % 2/1/24 525 583
Wyeth 6.500 % 2/1/34 1,450 1,611
Wyeth 6.000 % 2/15/36 2,025 2,139
Wyeth 5.950 % 4/1/37 250 261
Zimmer Holdings Inc. 4.625 % 11/30/19 700 691
Zimmer Holdings Inc. 5.750 % 11/30/39 1,075 1,043
 
Energy (1.4%)          
Alberta Energy Co. Ltd. 7.375 % 11/1/31 425 491
Anadarko Finance Co. 7.500 % 5/1/31 200 226
Anadarko Petroleum Corp. 7.625 % 3/15/14 1,950 2,249
Anadarko Petroleum Corp. 5.750 % 6/15/14 800 867
Anadarko Petroleum Corp. 5.950 % 9/15/16 5,475 5,953
Anadarko Petroleum Corp. 6.950 % 6/15/19 500 564
Anadarko Petroleum Corp. 6.450 % 9/15/36 9,025 9,178
Anadarko Petroleum Corp. 7.950 % 6/15/39 825 985
Anadarko Petroleum Corp. 6.200 % 3/15/40 100 98
Apache Corp. 6.250 % 4/15/12 875 956
Apache Corp. 5.250 % 4/15/13 300 327
Apache Corp. 6.000 % 9/15/13 1,925 2,153
Apache Corp. 5.625 % 1/15/17 250 274
Apache Corp. 6.900 % 9/15/18 3,450 4,031
Apache Corp. 6.000 % 1/15/37 1,550 1,632
Apache Finance Canada Corp. 7.750 % 12/15/29 400 481


Baker Hughes Inc. 7.500 % 11/15/18 325 389
Baker Hughes Inc. 6.875 % 1/15/29 300 342
BJ Services Co. 6.000 % 6/1/18 850 919
BP Capital Markets PLC 3.125 % 3/10/12 200 208
BP Capital Markets PLC 5.250 % 11/7/13 4,225 4,660
BP Capital Markets PLC 3.625 % 5/8/14 3,650 3,784
BP Capital Markets PLC 3.875 % 3/10/15 4,525 4,699
BP Capital Markets PLC 4.750 % 3/10/19 5,300 5,442
Burlington Resources Finance Co. 6.500 % 12/1/11 1,400 1,521
Burlington Resources Finance Co. 7.200 % 8/15/31 300 338
Burlington Resources Finance Co. 7.400 % 12/1/31 1,775 2,046
Cameron International Corp. 6.375 % 7/15/18 225 244
Cameron International Corp. 7.000 % 7/15/38 100 109
Canadian Natural Resources Ltd. 5.450 % 10/1/12 1,175 1,271
Canadian Natural Resources Ltd. 5.150 % 2/1/13 475 510
Canadian Natural Resources Ltd. 4.900 % 12/1/14 4,225 4,517
Canadian Natural Resources Ltd. 6.000 % 8/15/16 1,150 1,249
Canadian Natural Resources Ltd. 5.700 % 5/15/17 5,400 5,762
Canadian Natural Resources Ltd. 7.200 % 1/15/32 1,875 2,105
Canadian Natural Resources Ltd. 6.450 % 6/30/33 2,025 2,095
Canadian Natural Resources Ltd. 6.500 % 2/15/37 2,350 2,484
Canadian Natural Resources Ltd. 6.250 % 3/15/38 3,350 3,455
Canadian Natural Resources Ltd. 6.750 % 2/1/39 250 275
4 Cenovus Energy Inc. 4.500 % 9/15/14 1,875 1,954
4 Cenovus Energy Inc. 5.700 % 10/15/19 7,550 7,875
4 Cenovus Energy Inc. 6.750 % 11/15/39 6,325 6,868
Chevron Corp. 3.450 % 3/3/12 1,825 1,906
Chevron Corp. 3.950 % 3/3/14 2,775 2,910
Chevron Corp. 4.950 % 3/3/19 4,000 4,181
Conoco Funding Co. 6.350 % 10/15/11 4,200 4,526
Conoco Funding Co. 7.250 % 10/15/31 200 235
ConocoPhillips 4.750 % 2/1/14 1,650 1,776
ConocoPhillips 4.600 % 1/15/15 1,100 1,181
ConocoPhillips 5.750 % 2/1/19 7,775 8,474
ConocoPhillips 6.000 % 1/15/20 5,775 6,404
ConocoPhillips 5.900 % 10/15/32 425 438
ConocoPhillips 6.500 % 2/1/39 2,200 2,448
ConocoPhillips Canada Funding Co. I 5.300 % 4/15/12 1,975 2,122
ConocoPhillips Canada Funding Co. I 5.625 % 10/15/16 4,525 5,003
ConocoPhillips Canada Funding Co. I 5.950 % 10/15/36 1,325 1,349
ConocoPhillips Holding Co. 6.950 % 4/15/29 1,350 1,550
Devon Energy Corp. 5.625 % 1/15/14 1,475 1,615
Devon Energy Corp. 7.950 % 4/15/32 3,650 4,583
Devon Financing Corp. ULC 6.875 % 9/30/11 2,950 3,187
Devon Financing Corp. ULC 7.875 % 9/30/31 3,775 4,668
Diamond Offshore Drilling Inc. 4.875 % 7/1/15 225 241
Diamond Offshore Drilling Inc. 5.875 % 5/1/19 850 924
Diamond Offshore Drilling Inc. 5.700 % 10/15/39 1,850 1,807
EnCana Corp. 5.900 % 12/1/17 2,100 2,275
EnCana Corp. 7.200 % 11/1/31 1,800 2,043
EnCana Corp. 6.500 % 8/15/34 2,925 3,085
EnCana Corp. 6.625 % 8/15/37 1,250 1,342
EnCana Corp. 6.500 % 2/1/38 5,600 5,939
EnCana Holdings Finance Corp. 5.800 % 5/1/14 4,350 4,800
EOG Resources Inc. 6.125 % 10/1/13 575 644
EOG Resources Inc. 5.875 % 9/15/17 1,900 2,077
EOG Resources Inc. 5.625 % 6/1/19 3,350 3,582
Global Marine Inc. 7.000 % 6/1/28 850 932


Halliburton Co. 6.150 % 9/15/19 5,825 6,518
Halliburton Co. 6.700 % 9/15/38 3,500 3,901
Halliburton Co. 7.450 % 9/15/39 1,425 1,739
Hess Corp. 8.125 % 2/15/19 3,900 4,753
Hess Corp. 7.875 % 10/1/29 1,950 2,325
Hess Corp. 7.125 % 3/15/33 1,375 1,535
Husky Energy Inc. 6.250 % 6/15/12 725 788
Husky Energy Inc. 5.900 % 6/15/14 7,025 7,684
Husky Energy Inc. 6.150 % 6/15/19 200 213
Husky Energy Inc. 7.250 % 12/15/19 1,225 1,415
Husky Energy Inc. 6.800 % 9/15/37 875 951
Kerr-McGee Corp. 6.875 % 9/15/11 1,950 2,108
Kerr-McGee Corp. 6.950 % 7/1/24 3,300 3,670
Kerr-McGee Corp. 7.875 % 9/15/31 875 1,015
Lasmo USA Inc. 7.300 % 11/15/27 175 204
Marathon Global Funding Corp. 6.000 % 7/1/12 1,000 1,085
Marathon Oil Corp. 6.125 % 3/15/12 825 890
Marathon Oil Corp. 6.000 % 10/1/17 3,750 4,022
Marathon Oil Corp. 5.900 % 3/15/18 1,350 1,435
Marathon Oil Corp. 6.600 % 10/1/37 200 210
Nabors Industries Inc. 6.150 % 2/15/18 2,650 2,822
Nabors Industries Inc. 9.250 % 1/15/19 1,375 1,708
Nexen Inc. 5.050 % 11/20/13 5,516 5,921
Nexen Inc. 5.650 % 5/15/17 850 898
Nexen Inc. 7.875 % 3/15/32 325 377
Nexen Inc. 5.875 % 3/10/35 100 95
Nexen Inc. 6.400 % 5/15/37 2,850 2,873
Nexen Inc. 7.500 % 7/30/39 3,400 3,863
Noble Energy Inc. 8.250 % 3/1/19 3,000 3,618
Noble Energy Inc. 8.000 % 4/1/27 275 313
Occidental Petroleum Corp. 6.750 % 1/15/12 1,675 1,831
Occidental Petroleum Corp. 7.000 % 11/1/13 3,100 3,591
PC Financial Partnership 5.000 % 11/15/14 900 950
Petro-Canada 4.000 % 7/15/13 1,325 1,367
Petro-Canada 6.050 % 5/15/18 1,050 1,127
Petro-Canada 7.875 % 6/15/26 500 584
Petro-Canada 7.000 % 11/15/28 475 516
Petro-Canada 5.350 % 7/15/33 1,425 1,282
Petro-Canada 5.950 % 5/15/35 2,100 2,055
Petro-Canada 6.800 % 5/15/38 525 563
Questar Market Resources Inc. 6.050 % 9/1/16 975 1,037
Questar Market Resources Inc. 6.800 % 3/1/20 1,750 1,903
Rowan Cos. Inc. 7.875 % 8/1/19 875 995
Shell International Finance BV 5.625 % 6/27/11 3,150 3,333
Shell International Finance BV 1.875 % 3/25/13 5,550 5,535
Shell International Finance BV 4.000 % 3/21/14 3,750 3,944
Shell International Finance BV 3.250 % 9/22/15 3,750 3,762
Shell International Finance BV 5.200 % 3/22/17 975 1,043
Shell International Finance BV 4.300 % 9/22/19 4,500 4,430
Shell International Finance BV 4.375 % 3/25/20 3,800 3,731
Shell International Finance BV 6.375 % 12/15/38 6,625 7,255
Shell International Finance BV 5.500 % 3/25/40 1,200 1,171
Smith International Inc. 9.750 % 3/15/19 5,000 6,720
Statoil ASA 3.875 % 4/15/14 1,250 1,304
Statoil ASA 2.900 % 10/15/14 950 949
Statoil ASA 5.250 % 4/15/19 4,625 4,820
Statoil ASA 7.250 % 9/23/27 1,975 2,304
4 Statoil ASA 6.500 % 12/1/28 225 243


Statoil ASA 7.150 % 1/15/29 900 1,045
Suncor Energy Inc. 6.100 % 6/1/18 1,100 1,185
Suncor Energy Inc. 7.150 % 2/1/32 425 472
Suncor Energy Inc. 5.950 % 12/1/34 175 169
Suncor Energy Inc. 6.500 % 6/15/38 8,950 9,320
Suncor Energy Inc. 6.850 % 6/1/39 3,700 4,008
Sunoco Inc. 4.875 % 10/15/14 500 506
Sunoco Inc. 5.750 % 1/15/17 725 718
Talisman Energy Inc. 5.125 % 5/15/15 375 397
Talisman Energy Inc. 7.750 % 6/1/19 3,125 3,701
Talisman Energy Inc. 7.250 % 10/15/27 200 221
Talisman Energy Inc. 5.850 % 2/1/37 1,975 1,893
Tosco Corp. 8.125 % 2/15/30 4,950 6,216
Total Capital SA 3.125 % 10/2/15 2,000 1,985
Transocean Inc. 5.250 % 3/15/13 1,125 1,212
Transocean Inc. 6.000 % 3/15/18 1,875 2,037
Transocean Inc. 7.500 % 4/15/31 775 911
Transocean Inc. 6.800 % 3/15/38 1,600 1,780
Valero Energy Corp. 6.875 % 4/15/12 4,375 4,750
Valero Energy Corp. 4.750 % 6/15/13 2,400 2,479
Valero Energy Corp. 9.375 % 3/15/19 1,575 1,869
Valero Energy Corp. 7.500 % 4/15/32 1,725 1,769
Valero Energy Corp. 6.625 % 6/15/37 6,400 6,059
Weatherford International Inc. 5.950 % 6/15/12 200 216
Weatherford International Inc. 6.350 % 6/15/17 4,625 4,945
Weatherford International Inc. 6.800 % 6/15/37 525 537
Weatherford International Ltd. 5.150 % 3/15/13 325 346
Weatherford International Ltd. 5.500 % 2/15/16 1,000 1,065
Weatherford International Ltd. 6.000 % 3/15/18 525 549
Weatherford International Ltd. 9.625 % 3/1/19 4,600 5,823
Weatherford International Ltd. 6.500 % 8/1/36 2,750 2,720
Weatherford International Ltd. 7.000 % 3/15/38 425 446
Williams Cos. Inc. 7.500 % 1/15/31 2,148 2,360
Williams Cos. Inc. 7.750 % 6/15/31 630 703
Williams Cos. Inc. 8.750 % 3/15/32 500 606
XTO Energy Inc. 5.900 % 8/1/12 1,525 1,674
XTO Energy Inc. 6.250 % 4/15/13 2,175 2,445
XTO Energy Inc. 5.750 % 12/15/13 2,200 2,459
XTO Energy Inc. 4.900 % 2/1/14 600 650
XTO Energy Inc. 5.000 % 1/31/15 500 543
XTO Energy Inc. 6.250 % 8/1/17 3,250 3,691
XTO Energy Inc. 6.500 % 12/15/18 2,075 2,389
XTO Energy Inc. 6.100 % 4/1/36 350 378
XTO Energy Inc. 6.750 % 8/1/37 2,775 3,255
XTO Energy Inc. 6.375 % 6/15/38 425 477
 
Other Industrial (0.0%)          
Cintas Corp. No 2 6.125 % 12/1/17 850 934
 
Technology (0.7%)          
Adobe Systems Inc. 3.250 % 2/1/15 1,525 1,526
Adobe Systems Inc. 4.750 % 2/1/20 2,650 2,602
Agilent Technologies Inc. 4.450 % 9/14/12 175 184
Agilent Technologies Inc. 5.500 % 9/14/15 1,300 1,393
Agilent Technologies Inc. 6.500 % 11/1/17 5,325 5,776
Amphenol Corp. 4.750 % 11/15/14 2,475 2,544
Analog Devices Inc. 5.000 % 7/1/14 1,200 1,267
Avnet Inc. 6.625 % 9/15/16 225 241


BMC Software Inc. 7.250 % 6/1/18 825 908
CA Inc. 5.375 % 12/1/19 2,250 2,274
Cisco Systems Inc. 5.500 % 2/22/16 1,625 1,809
Cisco Systems Inc. 4.950 % 2/15/19 5,675 5,875
Cisco Systems Inc. 4.450 % 1/15/20 500 496
Cisco Systems Inc. 5.900 % 2/15/39 5,800 5,852
Cisco Systems Inc. 5.500 % 1/15/40 8,075 7,716
Computer Sciences Corp. 5.500 % 3/15/13 425 456
Computer Sciences Corp. 6.500 % 3/15/18 100 110
Corning Inc. 6.625 % 5/15/19 275 305
Corning Inc. 7.250 % 8/15/36 100 106
Dell Inc. 3.375 % 6/15/12 475 494
Dell Inc. 4.700 % 4/15/13 2,025 2,177
Dell Inc. 5.650 % 4/15/18 1,100 1,170
Dell Inc. 5.875 % 6/15/19 1,000 1,080
Dell Inc. 6.500 % 4/15/38 1,200 1,262
Dun & Bradstreet Corp. 6.000 % 4/1/13 1,275 1,376
Electronic Data Systems LLC 6.000 % 8/1/13 1,775 1,983
Equifax Inc. 4.450 % 12/1/14 775 795
Equifax Inc. 6.300 % 7/1/17 425 452
Equifax Inc. 7.000 % 7/1/37 600 620
Fiserv Inc. 6.125 % 11/20/12 2,875 3,132
Fiserv Inc. 6.800 % 11/20/17 2,150 2,388
Harris Corp. 5.000 % 10/1/15 1,275 1,336
Harris Corp. 6.375 % 6/15/19 250 273
Hewlett-Packard Co. 2.250 % 5/27/11 1,800 1,829
Hewlett-Packard Co. 4.250 % 2/24/12 475 502
Hewlett-Packard Co. 6.500 % 7/1/12 425 472
Hewlett-Packard Co. 4.500 % 3/1/13 3,925 4,206
Hewlett-Packard Co. 6.125 % 3/1/14 7,875 8,874
Hewlett-Packard Co. 4.750 % 6/2/14 725 782
Hewlett-Packard Co. 5.400 % 3/1/17 975 1,049
Hewlett-Packard Co. 5.500 % 3/1/18 7,325 7,927
IBM International Group Capital LLC 5.050 % 10/22/12 5,175 5,620
International Business Machines Corp. 2.100 % 5/6/13 850 856
International Business Machines Corp. 7.500 % 6/15/13 1,200 1,398
International Business Machines Corp. 6.500 % 10/15/13 2,875 3,286
International Business Machines Corp. 5.700 % 9/14/17 14,600 16,120
International Business Machines Corp. 7.625 % 10/15/18 2,100 2,580
International Business Machines Corp. 7.000 % 10/30/25 350 415
International Business Machines Corp. 6.220 % 8/1/27 1,975 2,140
International Business Machines Corp. 6.500 % 1/15/28 100 111
International Business Machines Corp. 5.875 % 11/29/32 225 235
International Business Machines Corp. 5.600 % 11/30/39 6,110 6,096
International Game Technology 7.500 % 6/15/19 875 988
Intuit Inc. 5.400 % 3/15/12 750 796
Intuit Inc. 5.750 % 3/15/17 575 606
Lexmark International Inc. 5.900 % 6/1/13 925 984
Lexmark International Inc. 6.650 % 6/1/18 1,700 1,734
Microsoft Corp. 2.950 % 6/1/14 2,550 2,597
Microsoft Corp. 4.200 % 6/1/19 375 380
Microsoft Corp. 5.200 % 6/1/39 3,175 3,135
Motorola Inc. 8.000 % 11/1/11 100 108
Motorola Inc. 5.375 % 11/15/12 1,650 1,746
Motorola Inc. 6.000 % 11/15/17 7,825 8,098
Motorola Inc. 7.500 % 5/15/25 300 316
Motorola Inc. 6.500 % 9/1/25 350 340
Motorola Inc. 6.500 % 11/15/28 225 216


Motorola Inc. 6.625 % 11/15/37 875 844
Nokia Oyj 5.375 % 5/15/19 4,050 4,271
Nokia Oyj 6.625 % 5/15/39 750 823
Oracle Corp. 4.950 % 4/15/13 3,625 3,945
Oracle Corp. 3.750 % 7/8/14 3,050 3,181
Oracle Corp. 5.250 % 1/15/16 4,925 5,413
Oracle Corp. 5.750 % 4/15/18 4,975 5,459
Oracle Corp. 5.000 % 7/8/19 2,800 2,928
Oracle Corp. 6.500 % 4/15/38 1,575 1,735
Oracle Corp. 6.125 % 7/8/39 4,900 5,184
Pitney Bowes Inc. 4.625 % 10/1/12 150 160
Pitney Bowes Inc. 3.875 % 6/15/13 1,325 1,385
Pitney Bowes Inc. 4.875 % 8/15/14 100 107
Pitney Bowes Inc. 4.750 % 1/15/16 4,475 4,706
Pitney Bowes Inc. 5.750 % 9/15/17 950 1,016
Pitney Bowes Inc. 4.750 % 5/15/18 100 100
Pitney Bowes Inc. 5.250 % 1/15/37 100 104
Science Applications International Corp. 6.250 % 7/1/12 375 409
Science Applications International Corp. 5.500 % 7/1/33 475 415
Xerox Corp. 7.125 % 6/15/10 1,400 1,417
Xerox Corp. 6.875 % 8/15/11 3,400 3,624
Xerox Corp. 5.500 % 5/15/12 1,125 1,197
Xerox Corp. 7.625 % 6/15/13 1,125 1,156
Xerox Corp. 8.250 % 5/15/14 7,550 8,770
Xerox Corp. 4.250 % 2/15/15 3,700 3,748
Xerox Corp. 6.400 % 3/15/16 1,525 1,672
Xerox Corp. 6.750 % 2/1/17 1,100 1,214
Xerox Corp. 6.350 % 5/15/18 2,950 3,202
Xerox Corp. 5.625 % 12/15/19 525 539
 
Transportation (0.3%)          
3 American Airlines Pass Through Trust 2009-          
1A 10.375 % 7/2/19 819 946
Burlington Northern Santa Fe Corp. 6.750 % 7/15/11 1,200 1,281
Burlington Northern Santa Fe Corp. 5.900 % 7/1/12 750 817
Burlington Northern Santa Fe Corp. 5.650 % 5/1/17 2,025 2,167
Burlington Northern Santa Fe Corp. 7.000 % 12/15/25 1,700 1,886
Burlington Northern Santa Fe Corp. 6.200 % 8/15/36 1,300 1,340
Burlington Northern Santa Fe LLC 5.750 % 3/15/18 850 910
Canadian National Railway Co. 6.375 % 10/15/11 425 457
Canadian National Railway Co. 4.400 % 3/15/13 875 917
Canadian National Railway Co. 4.950 % 1/15/14 125 135
Canadian National Railway Co. 5.800 % 6/1/16 200 221
Canadian National Railway Co. 5.850 % 11/15/17 350 382
Canadian National Railway Co. 6.900 % 7/15/28 100 115
Canadian National Railway Co. 6.250 % 8/1/34 575 623
Canadian National Railway Co. 6.200 % 6/1/36 975 1,036
Canadian Pacific Railway Co. 7.125 % 10/15/31 200 215
Canadian Pacific Railway Co. 5.950 % 5/15/37 325 314
Con-way Inc. 6.700 % 5/1/34 2,475 2,239
Continental Airlines 2009-2 Pass Through          
Trust 7.250 % 11/10/19 1,200 1,293
3 Continental Airlines Inc. 6.648 % 9/15/17 2,376 2,382
3 Continental Airlines Inc. 6.900 % 1/2/18 913 922
3 Continental Airlines Inc. 6.545 % 2/2/19 64 64
3 Continental Airlines Inc. 5.983 % 4/19/22 325 320
CSX Corp. 6.300 % 3/15/12 700 757
CSX Corp. 5.500 % 8/1/13 1,900 2,058


CSX Corp. 6.250 % 4/1/15 625 698
CSX Corp. 5.600 % 5/1/17 450 473
CSX Corp. 7.900 % 5/1/17 886 1,041
CSX Corp. 6.250 % 3/15/18 3,375 3,636
CSX Corp. 7.375 % 2/1/19 7,550 8,767
CSX Corp. 6.000 % 10/1/36 1,675 1,649
CSX Corp. 6.150 % 5/1/37 900 904
4 CSX Corp. 6.220 % 4/30/40 1,864 1,877
3 Delta Air Lines Inc. 7.750 % 12/17/19 2,500 2,669
3 Delta Air Lines Inc. 6.821 % 8/10/22 3,288 3,256
Norfolk Southern Corp. 5.257 % 9/17/14 1,845 1,987
Norfolk Southern Corp. 5.750 % 1/15/16 775 856
Norfolk Southern Corp. 7.700 % 5/15/17 1,525 1,810
Norfolk Southern Corp. 5.750 % 4/1/18 875 940
Norfolk Southern Corp. 5.900 % 6/15/19 2,175 2,354
Norfolk Southern Corp. 5.590 % 5/17/25 100 99
Norfolk Southern Corp. 7.800 % 5/15/27 1,280 1,537
Norfolk Southern Corp. 5.640 % 5/17/29 525 517
Norfolk Southern Corp. 7.050 % 5/1/37 2,900 3,340
Norfolk Southern Corp. 7.900 % 5/15/97 600 711
Norfolk Southern Railway Co. 9.750 % 6/15/20 775 1,041
Ryder System Inc. 5.950 % 5/2/11 428 448
Ryder System Inc. 5.850 % 3/1/14 600 639
Ryder System Inc. 7.200 % 9/1/15 1,250 1,402
Ryder System Inc. 5.850 % 11/1/16 6,075 6,396
Southwest Airlines Co. 6.500 % 3/1/12 2,300 2,457
Southwest Airlines Co. 5.250 % 10/1/14 100 103
Southwest Airlines Co. 5.750 % 12/15/16 1,125 1,142
Southwest Airlines Co. 5.125 % 3/1/17 250 243
3 Southwest Airlines Co. 2007-1 Pass Through          
Trust 6.150 % 8/1/22 826 854
Union Pacific Corp. 6.650 % 1/15/11 1,275 1,333
Union Pacific Corp. 6.500 % 4/15/12 350 382
Union Pacific Corp. 5.450 % 1/31/13 1,325 1,437
Union Pacific Corp. 5.375 % 5/1/14 425 460
Union Pacific Corp. 7.000 % 2/1/16 100 115
Union Pacific Corp. 5.650 % 5/1/17 1,150 1,223
Union Pacific Corp. 5.750 % 11/15/17 2,175 2,336
Union Pacific Corp. 5.700 % 8/15/18 2,650 2,788
Union Pacific Corp. 7.875 % 1/15/19 5,500 6,597
Union Pacific Corp. 6.625 % 2/1/29 400 429
3 Union Pacific Railroad Co. 2007-3 Pass          
Through Trust 6.176 % 1/2/31 445 493
United Parcel Service Inc. 3.875 % 4/1/14 3,550 3,723
United Parcel Service Inc. 5.500 % 1/15/18 2,200 2,403
United Parcel Service Inc. 5.125 % 4/1/19 1,125 1,199
United Parcel Service Inc. 6.200 % 1/15/38 1,450 1,579
          3,108,802
Utilities (2.1%)          
Electric (1.6%)          
AEP Texas Central Co. 6.650 % 2/15/33 800 837
Alabama Power Co. 4.850 % 12/15/12 4,975 5,381
Alabama Power Co. 5.500 % 10/15/17 1,325 1,419
Alabama Power Co. 6.125 % 5/15/38 1,000 1,057
Alabama Power Co. 6.000 % 3/1/39 1,000 1,047
American Water Capital Corp. 6.085 % 10/15/17 2,425 2,591
American Water Capital Corp. 6.593 % 10/15/37 1,875 1,955


Appalachian Power Co. 5.800 % 10/1/35 250 241
Appalachian Power Co. 7.000 % 4/1/38 3,075 3,482
Arizona Public Service Co. 6.375 % 10/15/11 200 213
Arizona Public Service Co. 5.800 % 6/30/14 100 108
Arizona Public Service Co. 4.650 % 5/15/15 400 411
Arizona Public Service Co. 5.500 % 9/1/35 100 90
Atlantic City Electric Co. 7.750 % 11/15/18 2,700 3,205
Baltimore Gas & Electric Co. 5.900 % 10/1/16 1,225 1,290
Baltimore Gas & Electric Co. 6.350 % 10/1/36 200 205
Carolina Power & Light Co. 6.500 % 7/15/12 1,175 1,294
Carolina Power & Light Co. 5.125 % 9/15/13 1,825 1,987
Carolina Power & Light Co. 5.300 % 1/15/19 375 395
CenterPoint Energy Houston Electric LLC 5.700 % 3/15/13 4,275 4,619
CenterPoint Energy Houston Electric LLC 5.750 % 1/15/14 100 109
CenterPoint Energy Houston Electric LLC 7.000 % 3/1/14 1,350 1,540
CenterPoint Energy Houston Electric LLC 6.950 % 3/15/33 100 109
CenterPoint Energy Inc. 6.500 % 5/1/18 150 159
Cleveland Electric Illuminating Co. 7.880 % 11/1/17 425 502
Cleveland Electric Illuminating Co. 5.500 % 8/15/24 1,125 1,116
Columbus Southern Power Co. 5.850 % 10/1/35 1,750 1,712
Commonwealth Edison Co. 6.150 % 3/15/12 650 706
Commonwealth Edison Co. 5.950 % 8/15/16 2,975 3,254
Commonwealth Edison Co. 6.150 % 9/15/17 15,207 16,846
Commonwealth Edison Co. 5.800 % 3/15/18 1,075 1,157
Commonwealth Edison Co. 5.875 % 2/1/33 100 101
Commonwealth Edison Co. 5.900 % 3/15/36 875 885
Commonwealth Edison Co. 6.450 % 1/15/38 850 917
Connecticut Light & Power Co. 6.350 % 6/1/36 2,225 2,367
Consolidated Edison Co. of New York Inc. 4.875 % 2/1/13 950 1,025
Consolidated Edison Co. of New York Inc. 5.375 % 12/15/15 475 516
Consolidated Edison Co. of New York Inc. 5.500 % 9/15/16 2,225 2,440
Consolidated Edison Co. of New York Inc. 6.650 % 4/1/19 5,000 5,714
Consolidated Edison Co. of New York Inc. 5.300 % 3/1/35 550 511
Consolidated Edison Co. of New York Inc. 5.850 % 3/15/36 700 703
Consolidated Edison Co. of New York Inc. 6.200 % 6/15/36 975 1,025
Consolidated Edison Co. of New York Inc. 6.300 % 8/15/37 2,000 2,123
Consolidated Edison Co. of New York Inc. 6.750 % 4/1/38 625 705
Consolidated Natural Gas Co. 6.250 % 11/1/11 2,675 2,872
Consolidated Natural Gas Co. 5.000 % 12/1/14 4,660 4,980
Constellation Energy Group Inc. 4.550 % 6/15/15 4,750 4,857
Constellation Energy Group Inc. 7.600 % 4/1/32 700 801
Consumers Energy Co. 5.000 % 2/15/12 725 771
Consumers Energy Co. 5.375 % 4/15/13 1,250 1,352
Consumers Energy Co. 5.500 % 8/15/16 800 853
Consumers Energy Co. 6.125 % 3/15/19 125 137
Consumers Energy Co. 6.700 % 9/15/19 1,225 1,387
Consumers Energy Co. 5.650 % 4/15/20 200 210
Detroit Edison Co. 6.125 % 10/1/10 775 794
Detroit Edison Co. 5.700 % 10/1/37 425 420
Dominion Resources Inc./VA 4.750 % 12/15/10 875 899
Dominion Resources Inc./VA 6.250 % 6/30/12 725 789
Dominion Resources Inc./VA 5.700 % 9/17/12 300 325
Dominion Resources Inc./VA 5.150 % 7/15/15 2,725 2,941
Dominion Resources Inc./VA 6.000 % 11/30/17 1,750 1,912
Dominion Resources Inc./VA 6.400 % 6/15/18 300 334
Dominion Resources Inc./VA 6.300 % 3/15/33 350 366
Dominion Resources Inc./VA 5.250 % 8/1/33 825 873
Dominion Resources Inc./VA 5.950 % 6/15/35 2,375 2,410


3 Dominion Resources Inc./VA 7.500 % 6/30/66 950 937
3 Dominion Resources Inc./VA 6.300 % 9/30/66 800 757
DTE Energy Co. 7.050 % 6/1/11 1,575 1,667
DTE Energy Co. 6.375 % 4/15/33 100 95
Duke Energy Carolinas LLC 6.250 % 1/15/12 2,575 2,799
Duke Energy Carolinas LLC 5.750 % 11/15/13 100 112
Duke Energy Carolinas LLC 6.000 % 12/1/28 425 439
Duke Energy Carolinas LLC 6.450 % 10/15/32 825 879
Duke Energy Carolinas LLC 6.100 % 6/1/37 3,050 3,188
Duke Energy Carolinas LLC 6.000 % 1/15/38 200 208
Duke Energy Carolinas LLC 6.050 % 4/15/38 775 816
Duke Energy Corp. 3.950 % 9/15/14 4,350 4,504
Duke Energy Corp. 3.350 % 4/1/15 4,650 4,623
Duke Energy Corp. 5.050 % 9/15/19 3,775 3,828
Duke Energy Indiana Inc. 5.000 % 9/15/13 275 291
Duke Energy Indiana Inc. 6.050 % 6/15/16 100 109
Duke Energy Indiana Inc. 6.120 % 10/15/35 325 329
Duke Energy Indiana Inc. 6.350 % 8/15/38 2,675 2,872
Duke Energy Ohio Inc. 5.700 % 9/15/12 1,175 1,278
Duke Energy Ohio Inc. 2.100 % 6/15/13 675 677
El Paso Electric Co. 6.000 % 5/15/35 600 545
Empresa Nacional de Electricidad SA/Chile 8.350 % 8/1/13 625 710
Energy East Corp. 6.750 % 6/15/12 1,700 1,877
Energy East Corp. 6.750 % 7/15/36 1,375 1,478
Entergy Gulf States Louisiana LLC 6.000 % 5/1/18 2,900 3,084
Entergy Louisiana LLC 6.500 % 9/1/18 425 460
Entergy Louisiana LLC 5.400 % 11/1/24 450 455
Exelon Corp. 4.900 % 6/15/15 1,500 1,568
Exelon Corp. 5.625 % 6/15/35 200 186
Exelon Generation Co. LLC 6.250 % 10/1/39 950 961
FirstEnergy Corp. 6.450 % 11/15/11 489 519
FirstEnergy Corp. 7.375 % 11/15/31 5,360 5,535
FirstEnergy Solutions Corp. 4.800 % 2/15/15 5,025 5,147
Florida Power & Light Co. 4.850 % 2/1/13 625 671
Florida Power & Light Co. 5.550 % 11/1/17 675 730
Florida Power & Light Co. 5.950 % 10/1/33 225 230
Florida Power & Light Co. 5.625 % 4/1/34 1,400 1,369
Florida Power & Light Co. 4.950 % 6/1/35 250 222
Florida Power & Light Co. 5.400 % 9/1/35 425 403
Florida Power & Light Co. 6.200 % 6/1/36 1,050 1,106
Florida Power & Light Co. 5.650 % 2/1/37 1,425 1,421
Florida Power & Light Co. 5.850 % 5/1/37 675 687
Florida Power & Light Co. 5.950 % 2/1/38 2,200 2,271
Florida Power & Light Co. 5.960 % 4/1/39 7,000 7,239
Florida Power Corp. 4.800 % 3/1/13 3,075 3,281
Florida Power Corp. 5.650 % 6/15/18 1,175 1,268
Florida Power Corp. 6.350 % 9/15/37 1,375 1,475
Florida Power Corp. 6.400 % 6/15/38 6,050 6,535
FPL Group Capital Inc. 5.625 % 9/1/11 3,025 3,194
FPL Group Capital Inc. 5.350 % 6/15/13 3,725 4,037
3 FPL Group Capital Inc. 6.350 % 10/1/66 675 636
3 FPL Group Capital Inc. 6.650 % 6/15/67 1,503 1,410
Georgia Power Co. 5.700 % 6/1/17 525 575
Georgia Power Co. 5.650 % 3/1/37 100 99
Georgia Power Co. 5.950 % 2/1/39 6,025 6,265
Illinois Power Co. 6.125 % 11/15/17 550 586
Illinois Power Co. 6.250 % 4/1/18 1,275 1,360
Indiana Michigan Power Co. 7.000 % 3/15/19 550 623


Indiana Michigan Power Co. 6.050 % 3/15/37 2,850 2,862
3 Integrys Energy Group Inc. 6.110 % 12/1/66 1,600 1,427
Interstate Power & Light Co. 6.250 % 7/15/39 925 965
Jersey Central Power & Light Co. 5.625 % 5/1/16 1,025 1,078
Jersey Central Power & Light Co. 5.650 % 6/1/17 775 819
Kansas City Power & Light Co. 6.050 % 11/15/35 525 524
3 Kansas Gas & Electric 5.647 % 3/29/21 95 95
MidAmerican Energy Co. 5.650 % 7/15/12 925 1,001
MidAmerican Energy Co. 5.125 % 1/15/13 1,700 1,840
MidAmerican Energy Co. 5.950 % 7/15/17 900 977
MidAmerican Energy Co. 5.300 % 3/15/18 100 105
MidAmerican Energy Co. 6.750 % 12/30/31 1,550 1,717
MidAmerican Energy Co. 5.750 % 11/1/35 575 568
Midamerican Energy Holdings Co. 5.875 % 10/1/12 2,075 2,270
Midamerican Energy Holdings Co. 5.000 % 2/15/14 425 452
Midamerican Energy Holdings Co. 5.750 % 4/1/18 1,275 1,356
Midamerican Energy Holdings Co. 8.480 % 9/15/28 100 124
Midamerican Energy Holdings Co. 6.125 % 4/1/36 10,675 10,755
Midamerican Energy Holdings Co. 5.950 % 5/15/37 4,369 4,273
Midamerican Energy Holdings Co. 6.500 % 9/15/37 3,700 3,913
National Rural Utilities Cooperative Finance          
Corp. 7.250 % 3/1/12 5,900 6,493
National Rural Utilities Cooperative Finance          
Corp. 2.625 % 9/16/12 100 102
National Rural Utilities Cooperative Finance          
Corp. 5.500 % 7/1/13 1,725 1,893
National Rural Utilities Cooperative Finance          
Corp. 4.750 % 3/1/14 3,375 3,605
National Rural Utilities Cooperative Finance          
Corp. 5.450 % 4/10/17 175 186
National Rural Utilities Cooperative Finance          
Corp. 5.450 % 2/1/18 1,525 1,606
National Rural Utilities Cooperative Finance          
Corp. 10.375 % 11/1/18 3,500 4,644
National Rural Utilities Cooperative Finance          
Corp. 8.000 % 3/1/32 975 1,166
Nevada Power Co. 7.125 % 3/15/19 2,800 3,164
Nevada Power Co. 6.750 % 7/1/37 325 350
4 Niagara Mohawk Power Corp. 4.881 % 8/15/19 2,600 2,594
Nisource Finance Corp. 6.150 % 3/1/13 100 109
Nisource Finance Corp. 5.400 % 7/15/14 425 451
Nisource Finance Corp. 5.250 % 9/15/17 650 655
Nisource Finance Corp. 6.400 % 3/15/18 200 214
Nisource Finance Corp. 5.450 % 9/15/20 675 668
Nisource Finance Corp. 6.125 % 3/1/22 1,300 1,349
Northern States Power Co./MN 5.250 % 3/1/18 625 657
Northern States Power Co./MN 5.250 % 7/15/35 100 94
Northern States Power Co./MN 6.250 % 6/1/36 525 563
Northern States Power Co./MN 6.200 % 7/1/37 1,475 1,573
Northern States Power Co./MN 5.350 % 11/1/39 1,325 1,259
NSTAR 4.500 % 11/15/19 900 894
NSTAR Electric Co. 4.875 % 4/15/14 625 663
NSTAR Electric Co. 5.625 % 11/15/17 2,060 2,217
NSTAR Electric Co. 5.500 % 3/15/40 1,250 1,275
Oglethorpe Power Corp. 5.950 % 11/1/39 825 846
Ohio Edison Co. 6.400 % 7/15/16 1,275 1,403
Ohio Power Co. 5.750 % 9/1/13 2,025 2,197
Ohio Power Co. 6.000 % 6/1/16 1,050 1,157


Ohio Power Co. 5.375 % 10/1/21 3,000 3,062
Oncor Electric Delivery Co. LLC 6.375 % 5/1/12 1,225 1,325
Oncor Electric Delivery Co. LLC 5.950 % 9/1/13 4,800 5,255
Oncor Electric Delivery Co. LLC 6.375 % 1/15/15 2,150 2,385
Oncor Electric Delivery Co. LLC 6.800 % 9/1/18 2,700 3,018
Oncor Electric Delivery Co. LLC 7.000 % 9/1/22 100 114
Oncor Electric Delivery Co. LLC 7.000 % 5/1/32 1,000 1,086
Oncor Electric Delivery Co. LLC 7.250 % 1/15/33 1,150 1,297
Oncor Electric Delivery Co. LLC 7.500 % 9/1/38 1,800 2,090
Pacific Gas & Electric Co. 4.200 % 3/1/11 6,450 6,639
Pacific Gas & Electric Co. 4.800 % 3/1/14 4,375 4,706
Pacific Gas & Electric Co. 5.625 % 11/30/17 1,125 1,213
Pacific Gas & Electric Co. 8.250 % 10/15/18 4,750 5,798
Pacific Gas & Electric Co. 6.050 % 3/1/34 6,575 6,771
Pacific Gas & Electric Co. 5.800 % 3/1/37 2,225 2,205
Pacific Gas & Electric Co. 6.250 % 3/1/39 1,325 1,391
PacifiCorp 6.900 % 11/15/11 1,950 2,124
PacifiCorp 7.700 % 11/15/31 475 589
PacifiCorp 5.250 % 6/15/35 125 117
PacifiCorp 6.250 % 10/15/37 2,700 2,886
Peco Energy Co. 5.350 % 3/1/18 575 610
Pennsylvania Electric Co. 6.050 % 9/1/17 750 797
Pennsylvania Electric Co. 5.200 % 4/1/20 2,250 2,253
Pennsylvania Electric Co. 6.150 % 10/1/38 2,250 2,245
Pepco Holdings Inc. 6.450 % 8/15/12 2,275 2,446
Pepco Holdings Inc. 7.450 % 8/15/32 425 453
Potomac Electric Power Co. 6.500 % 11/15/37 1,800 1,947
PPL Electric Utilities Corp. 6.250 % 5/15/39 2,550 2,780
PPL Energy Supply LLC 6.400 % 11/1/11 3,475 3,726
PPL Energy Supply LLC 6.300 % 7/15/13 1,000 1,096
PPL Energy Supply LLC 5.400 % 8/15/14 200 210
PPL Energy Supply LLC 6.200 % 5/15/16 674 722
PPL Energy Supply LLC 6.500 % 5/1/18 525 561
Progress Energy Inc. 6.850 % 4/15/12 525 574
Progress Energy Inc. 6.050 % 3/15/14 625 687
Progress Energy Inc. 5.625 % 1/15/16 600 642
Progress Energy Inc. 7.050 % 3/15/19 425 481
Progress Energy Inc. 4.875 % 12/1/19 4,000 3,937
Progress Energy Inc. 7.750 % 3/1/31 625 736
Progress Energy Inc. 7.000 % 10/30/31 1,300 1,420
Progress Energy Inc. 6.000 % 12/1/39 3,450 3,371
PSEG Power LLC 7.750 % 4/15/11 675 722
PSEG Power LLC 6.950 % 6/1/12 3,075 3,388
4 PSEG Power LLC 2.500 % 4/15/13 2,100 2,103
PSEG Power LLC 5.000 % 4/1/14 2,425 2,514
PSEG Power LLC 5.500 % 12/1/15 2,000 2,162
PSEG Power LLC 8.625 % 4/15/31 975 1,248
Public Service Co. of Colorado 7.875 % 10/1/12 3,150 3,613
Public Service Co. of Colorado 5.500 % 4/1/14 175 191
Public Service Co. of Colorado 5.800 % 8/1/18 425 463
Public Service Co. of Colorado 5.125 % 6/1/19 3,925 4,103
Public Service Co. of Colorado 6.250 % 9/1/37 475 517
Public Service Co. of Oklahoma 5.150 % 12/1/19 650 661
Public Service Co. of Oklahoma 6.625 % 11/15/37 1,550 1,633
Public Service Electric & Gas Co. 5.250 % 7/1/35 100 95
Public Service Electric & Gas Co. 5.800 % 5/1/37 1,275 1,304
Puget Sound Energy Inc. 5.483 % 6/1/35 250 234
Puget Sound Energy Inc. 6.274 % 3/15/37 1,525 1,587


Puget Sound Energy Inc. 5.757 % 10/1/39 1,400 1,356
Puget Sound Energy Inc. 5.795 % 3/15/40 660 649
San Diego Gas & Electric Co. 5.300 % 11/15/15 650 718
San Diego Gas & Electric Co. 5.350 % 5/15/35 250 239
San Diego Gas & Electric Co. 6.125 % 9/15/37 1,475 1,568
San Diego Gas & Electric Co. 6.000 % 6/1/39 225 239
SCANA Corp. 6.875 % 5/15/11 2,400 2,539
Sierra Pacific Power Co. 6.000 % 5/15/16 4,050 4,410
Sierra Pacific Power Co. 6.750 % 7/1/37 1,450 1,555
South Carolina Electric & Gas Co. 6.500 % 11/1/18 525 600
South Carolina Electric & Gas Co. 6.625 % 2/1/32 625 691
South Carolina Electric & Gas Co. 6.050 % 1/15/38 1,550 1,610
Southern California Edison Co. 5.000 % 1/15/14 2,725 2,946
Southern California Edison Co. 5.750 % 3/15/14 700 781
Southern California Edison Co. 4.650 % 4/1/15 425 454
Southern California Edison Co. 5.000 % 1/15/16 350 380
Southern California Edison Co. 5.500 % 8/15/18 500 539
Southern California Edison Co. 6.650 % 4/1/29 150 164
Southern California Edison Co. 6.000 % 1/15/34 1,000 1,043
Southern California Edison Co. 5.750 % 4/1/35 325 329
Southern California Edison Co. 5.350 % 7/15/35 1,275 1,221
Southern California Edison Co. 5.550 % 1/15/36 500 492
Southern California Edison Co. 5.625 % 2/1/36 1,875 1,864
Southern California Edison Co. 5.550 % 1/15/37 2,400 2,361
Southern Co. 5.300 % 1/15/12 1,200 1,280
Southern Power Co. 6.250 % 7/15/12 1,050 1,158
Southern Power Co. 4.875 % 7/15/15 2,125 2,260
Southwestern Electric Power Co. 5.550 % 1/15/17 100 104
Southwestern Electric Power Co. 6.450 % 1/15/19 950 1,023
Tampa Electric Co. 6.375 % 8/15/12 1,050 1,145
Tampa Electric Co. 6.100 % 5/15/18 475 512
Tampa Electric Co. 6.550 % 5/15/36 1,075 1,138
Teco Finance Inc. 4.000 % 3/15/16 1,100 1,086
Teco Finance Inc. 5.150 % 3/15/20 1,000 990
Toledo Edison Co. 6.150 % 5/15/37 275 278
TransAlta Corp. 4.750 % 1/15/15 400 412
TransAlta Corp. 6.650 % 5/15/18 425 456
Union Electric Co. 5.400 % 2/1/16 1,025 1,060
Union Electric Co. 8.450 % 3/15/39 2,500 3,295
United Utilities PLC 5.375 % 2/1/19 4,400 4,351
Virginia Electric and Power Co. 5.100 % 11/30/12 375 409
Virginia Electric and Power Co. 5.400 % 1/15/16 800 865
Virginia Electric and Power Co. 6.000 % 1/15/36 1,575 1,613
Virginia Electric and Power Co. 6.000 % 5/15/37 1,850 1,909
Virginia Electric and Power Co. 6.350 % 11/30/37 3,450 3,726
Virginia Electric and Power Co. 8.875 % 11/15/38 500 698
Wisconsin Electric Power Co. 6.000 % 4/1/14 825 918
Wisconsin Electric Power Co. 4.250 % 12/15/19 2,650 2,602
Wisconsin Electric Power Co. 5.625 % 5/15/33 325 321
Wisconsin Electric Power Co. 5.700 % 12/1/36 200 199
Wisconsin Energy Corp. 6.500 % 4/1/11 2,550 2,690
3 Wisconsin Energy Corp. 6.250 % 5/15/67 4,675 4,427
Wisconsin Power & Light Co. 5.000 % 7/15/19 475 478
Wisconsin Power & Light Co. 6.375 % 8/15/37 1,400 1,480
Xcel Energy Inc. 5.613 % 4/1/17 275 287
Xcel Energy Inc. 6.500 % 7/1/36 975 1,026


Natural Gas (0.5%)          
AGL Capital Corp. 5.250 % 8/15/19 1,600 1,617
Atmos Energy Corp. 4.950 % 10/15/14 2,125 2,247
Atmos Energy Corp. 8.500 % 3/15/19 450 552
Boardwalk Pipelines LP 5.500 % 2/1/17 925 954
British Transco Finance Inc. 6.625 % 6/1/18 425 470
Buckeye Partners LP 6.050 % 1/15/18 100 106
CenterPoint Energy Resources Corp. 7.875 % 4/1/13 1,275 1,461
CenterPoint Energy Resources Corp. 6.150 % 5/1/16 675 727
DCP Midstream LLC 8.125 % 8/16/30 175 206
El Paso Natural Gas Co. 5.950 % 4/15/17 8,800 9,193
Enbridge Energy Partners LP 6.500 % 4/15/18 625 693
Enbridge Energy Partners LP 9.875 % 3/1/19 1,975 2,563
Enbridge Energy Partners LP 5.200 % 3/15/20 525 526
Enbridge Energy Partners LP 7.500 % 4/15/38 1,475 1,720
Enbridge Inc. 4.900 % 3/1/15 800 860
Enbridge Inc. 5.600 % 4/1/17 100 107
Energy Transfer Partners LP 5.650 % 8/1/12 1,875 2,012
Energy Transfer Partners LP 8.500 % 4/15/14 5,000 5,813
Energy Transfer Partners LP 5.950 % 2/1/15 4,900 5,342
Energy Transfer Partners LP 6.125 % 2/15/17 500 524
Energy Transfer Partners LP 9.000 % 4/15/19 2,425 2,967
Energy Transfer Partners LP 6.625 % 10/15/36 750 755
Energy Transfer Partners LP 7.500 % 7/1/38 100 112
6 Enron Corp. 7.625 % 9/10/04 400 1
6 Enron Corp. 6.625 % 11/15/05 300 1
6 Enron Corp. 7.125 % 5/15/07 1,800 4
6 Enron Corp. 6.875 % 10/15/07 1,800 4
6 Enron Corp. 6.750 % 8/1/09 1,300 3
Enterprise Products Operating LLC 4.950 % 6/1/10 200 201
Enterprise Products Operating LLC 5.650 % 4/1/13 950 1,027
Enterprise Products Operating LLC 5.900 % 4/15/13 625 679
Enterprise Products Operating LLC 9.750 % 1/31/14 7,325 8,894
Enterprise Products Operating LLC 5.600 % 10/15/14 5,725 6,205
Enterprise Products Operating LLC 6.300 % 9/15/17 2,850 3,127
Enterprise Products Operating LLC 6.650 % 4/15/18 975 1,081
Enterprise Products Operating LLC 6.500 % 1/31/19 750 827
Enterprise Products Operating LLC 6.875 % 3/1/33 2,100 2,241
Enterprise Products Operating LLC 7.550 % 4/15/38 425 486
EQT Corp. 6.500 % 4/1/18 3,175 3,409
EQT Corp. 8.125 % 6/1/19 2,275 2,712
6 HNG Internorth 9.625 % 3/15/06 1,000 2
KeySpan Corp. 8.000 % 11/15/30 150 182
Kinder Morgan Energy Partners LP 7.125 % 3/15/12 1,825 1,998
Kinder Morgan Energy Partners LP 5.850 % 9/15/12 2,100 2,279
Kinder Morgan Energy Partners LP 5.000 % 12/15/13 5,800 6,186
Kinder Morgan Energy Partners LP 5.125 % 11/15/14 3,250 3,450
Kinder Morgan Energy Partners LP 5.950 % 2/15/18 2,300 2,458
Kinder Morgan Energy Partners LP 7.300 % 8/15/33 350 389
Kinder Morgan Energy Partners LP 6.500 % 2/1/37 200 206
Kinder Morgan Energy Partners LP 6.950 % 1/15/38 2,000 2,164
Kinder Morgan Energy Partners LP 6.500 % 9/1/39 3,275 3,354
Magellan Midstream Partners LP 5.650 % 10/15/16 250 263
Magellan Midstream Partners LP 6.550 % 7/15/19 1,750 1,938
National Grid PLC 6.300 % 8/1/16 2,450 2,722
NuStar Logistics LP 7.650 % 4/15/18 1,700 1,913
Oneok Inc. 5.200 % 6/15/15 1,000 1,072
Oneok Inc. 6.000 % 6/15/35 750 720


ONEOK Partners LP 5.900 % 4/1/12 2,125 2,275
ONEOK Partners LP 6.150 % 10/1/16 3,550 3,818
ONEOK Partners LP 8.625 % 3/1/19 2,500 3,097
ONEOK Partners LP 6.650 % 10/1/36 4,450 4,627
ONEOK Partners LP 6.850 % 10/15/37 2,675 2,878
Panhandle Eastern Pipeline Co. LP 6.200 % 11/1/17 2,900 3,092
Panhandle Eastern Pipeline Co. LP 7.000 % 6/15/18 325 362
Plains All American Pipeline LP / PAA          
Finance Corp. 6.125 % 1/15/17 2,000 2,148
Plains All American Pipeline LP / PAA          
Finance Corp. 8.750 % 5/1/19 125 153
Plains All American Pipeline LP / PAA          
Finance Corp. 6.650 % 1/15/37 325 337
Sempra Energy 6.000 % 2/1/13 200 215
Sempra Energy 9.800 % 2/15/19 1,500 1,962
Southern California Gas Co. 5.750 % 11/15/35 400 408
4 Southern Natural Gas Co. 5.900 % 4/1/17 2,925 3,048
Southern Union Co. 7.600 % 2/1/24 200 223
Spectra Energy Capital LLC 6.250 % 2/15/13 325 357
Spectra Energy Capital LLC 5.500 % 3/1/14 1,250 1,329
Spectra Energy Capital LLC 5.668 % 8/15/14 100 108
Spectra Energy Capital LLC 6.200 % 4/15/18 325 349
Spectra Energy Capital LLC 6.750 % 2/15/32 725 753
Tennessee Gas Pipeline Co. 7.625 % 4/1/37 1,940 2,158
Texas Eastern Transmission LP 7.000 % 7/15/32 100 112
Texas Gas Transmission LLC 4.600 % 6/1/15 1,275 1,325
TransCanada PipeLines Ltd. 4.000 % 6/15/13 1,800 1,888
TransCanada PipeLines Ltd. 6.500 % 8/15/18 7,540 8,534
TransCanada PipeLines Ltd. 7.125 % 1/15/19 3,000 3,510
TransCanada PipeLines Ltd. 5.600 % 3/31/34 1,400 1,352
TransCanada PipeLines Ltd. 5.850 % 3/15/36 2,675 2,651
TransCanada PipeLines Ltd. 6.200 % 10/15/37 3,450 3,558
TransCanada PipeLines Ltd. 7.625 % 1/15/39 375 456
3 TransCanada PipeLines Ltd. 6.350 % 5/15/67 4,100 3,868
Transcontinental Gas Pipe Line Co. LLC 7.000 % 8/15/11 950 1,018
4 Williams Partners LP 3.800 % 2/15/15 1,200 1,198
4 Williams Partners LP 5.250 % 3/15/20 2,200 2,186
4 Williams Partners LP 6.300 % 4/15/40 1,650 1,641
          646,112
Total Corporate Bonds (Cost $5,372,849)         5,835,081
Sovereign Bonds (U.S. Dollar-Denominated) (3.7%)          
African Development Bank 1.000 % 11/23/11 2,100 2,095
African Development Bank 1.750 % 10/1/12 1,150 1,151
African Development Bank 1.625 % 2/11/13 2,800 2,783
African Development Bank 3.000 % 5/27/14 7,175 7,204
Asian Development Bank 2.125 % 3/15/12 1,575 1,606
Asian Development Bank 4.500 % 9/4/12 325 347
Asian Development Bank 3.625 % 9/5/13 7,400 7,821
Asian Development Bank 2.750 % 5/21/14 8,875 9,020
Asian Development Bank 2.625 % 2/9/15 7,900 7,829
Asian Development Bank 5.500 % 6/27/16 1,850 2,058
Asian Development Bank 5.250 % 6/12/17 100 111
Asian Development Bank 5.593 % 7/16/18 1,700 1,855
Brazilian Government International Bond 11.000 % 1/11/12 1,400 1,635
Brazilian Government International Bond 10.250 % 6/17/13 800 988
Brazilian Government International Bond 10.500 % 7/14/14 1,275 1,632
Brazilian Government International Bond 7.875 % 3/7/15 4,875 5,770


Brazilian Government International Bond 6.000 % 1/17/17 7,675 8,337
3 Brazilian Government International Bond 8.000 % 1/15/18 8,867 10,319
Brazilian Government International Bond 5.875 % 1/15/19 17,250 18,509
Brazilian Government International Bond 8.875 % 10/14/19 3,600 4,644
Brazilian Government International Bond 8.875 % 4/15/24 1,525 2,005
Brazilian Government International Bond 8.750 % 2/4/25 4,200 5,534
Brazilian Government International Bond 10.125 % 5/15/27 4,200 6,157
Brazilian Government International Bond 8.250 % 1/20/34 2,775 3,535
Brazilian Government International Bond 7.125 % 1/20/37 11,425 12,994
Brazilian Government International Bond 11.000 % 8/17/40 9,900 13,246
Brazilian Government International Bond 5.625 % 1/7/41 3,525 3,318
Canada Mortgage & Housing Corp. 4.800 % 10/1/10 325 330
Chile Government International Bond 7.125 % 1/11/12 1,225 1,336
Chile Government International Bond 5.500 % 1/15/13 1,000 1,077
China Development Bank Corp. 4.750 % 10/8/14 2,625 2,761
China Development Bank Corp. 5.000 % 10/15/15 525 566
China Government International Bond 4.750 % 10/29/13 1,800 1,957
Corp Andina de Fomento 8.125 % 6/4/19 5,775 6,764
Corp. Andina de Fomento 5.200 % 5/21/13 1,375 1,453
Corp. Andina de Fomento 5.750 % 1/12/17 4,700 4,867
Council Of Europe Development Bank 2.750 % 2/10/15 2,200 2,193
Development Bank of Japan 4.250 % 6/9/15 625 660
Eksportfinans ASA 1.875 % 4/2/13 550 548
Eksportfinans ASA 3.000 % 11/17/14 1,675 1,680
Eksportfinans ASA 5.500 % 5/25/16 2,700 2,967
Eksportfinans ASA 5.500 % 6/26/17 4,175 4,569
European Bank for Reconstruction &          
Development 1.250 % 6/10/11 300 301
European Investment Bank 4.625 % 9/15/10 3,525 3,592
European Investment Bank 2.625 % 5/16/11 1,275 1,300
European Investment Bank 5.250 % 6/15/11 5,625 5,895
European Investment Bank 3.125 % 7/15/11 2,125 2,188
European Investment Bank 3.250 % 10/14/11 1,150 1,186
European Investment Bank 2.625 % 11/15/11 950 972
European Investment Bank 2.000 % 2/10/12 24,100 24,443
European Investment Bank 4.625 % 3/21/12 7,600 8,033
4 European Investment Bank 1.125 % 4/16/12 9,100 9,083
European Investment Bank 1.750 % 9/14/12 8,000 8,042
^ European Investment Bank 1.625 % 3/15/13 7,800 7,751
European Investment Bank 2.875 % 3/15/13 2,825 2,907
European Investment Bank 3.250 % 5/15/13 6,900 7,180
European Investment Bank 4.250 % 7/15/13 11,900 12,765
European Investment Bank 2.375 % 3/14/14 7,400 7,444
European Investment Bank 4.625 % 5/15/14 11,075 11,942
European Investment Bank 3.125 % 6/4/14 20,425 20,842
European Investment Bank 2.875 % 1/15/15 7,875 7,909
European Investment Bank 2.750 % 3/23/15 10,325 10,263
European Investment Bank 4.875 % 2/16/16 4,500 4,909
European Investment Bank 5.125 % 9/13/16 700 771
European Investment Bank 4.875 % 1/17/17 6,325 6,884
European Investment Bank 5.125 % 5/30/17 9,150 10,044
European Investment Bank 4.875 % 2/15/36 100 97
Export Development Canada 3.750 % 7/15/11 200 207
Export Development Canada 2.625 % 11/15/11 1,475 1,513
Export Development Canada 2.375 % 3/19/12 3,825 3,908
Export Development Canada 1.750 % 9/24/12 7,575 7,640
Export Development Canada 3.125 % 4/24/14 175 179
Export-Import Bank of Korea 5.500 % 10/17/12 3,025 3,218


Export-Import Bank of Korea 8.125 % 1/21/14 6,700 7,708
Export-Import Bank of Korea 5.875 % 1/14/15 1,750 1,888
Export-Import Bank of Korea 5.125 % 3/16/15 3,275 3,422
Export-Import Bank of Korea 4.125 % 9/9/15 3,950 3,952
Financement-Quebec 5.000 % 10/25/12 1,275 1,374
Hungary Government International Bond 4.750 % 2/3/15 1,050 1,073
Hydro Quebec 6.300 % 5/11/11 2,825 2,993
Hydro Quebec 8.000 % 2/1/13 2,750 3,183
Hydro Quebec 7.500 % 4/1/16 1,150 1,391
Hydro Quebec 8.400 % 1/15/22 2,450 3,178
Hydro Quebec 8.050 % 7/7/24 1,350 1,777
Hydro Quebec 8.500 % 12/1/29 100 130
Inter-American Development Bank 1.500 % 6/23/11 2,450 2,475
Inter-American Development Bank 4.750 % 10/19/12 3,975 4,278
Inter-American Development Bank 3.500 % 3/15/13 2,625 2,762
Inter-American Development Bank 3.000 % 4/22/14 11,725 11,893
Inter-American Development Bank 4.250 % 9/14/15 450 474
Inter-American Development Bank 5.125 % 9/13/16 100 110
Inter-American Development Bank 4.250 % 9/10/18 7,875 8,047
Inter-American Development Bank 3.875 % 9/17/19 12,500 12,415
Inter-American Development Bank 3.875 % 2/14/20 2,300 2,265
Inter-American Development Bank 7.000 % 6/15/25 1,125 1,353
International Bank for Reconstruction &          
Development 3.125 % 11/15/11 375 386
International Bank for Reconstruction &          
Development 2.000 % 4/2/12 16,225 16,480
International Bank for Reconstruction &          
Development 3.500 % 10/8/13 4,410 4,618
International Bank for Reconstruction &          
Development 5.000 % 4/1/16 4,100 4,498
International Bank for Reconstruction &          
Development 7.625 % 1/19/23 950 1,238
International Bank for Reconstruction &          
Development 8.875 % 3/1/26 450 642
International Bank for Reconstruction &          
Development 4.750 % 2/15/35 5,525 5,354
International Finance Corp. 3.500 % 5/15/13 2,350 2,477
International Finance Corp. 3.000 % 4/22/14 11,675 11,763
Israel Government International Bond 4.625 % 6/15/13 750 799
Israel Government International Bond 5.125 % 3/1/14 200 216
Israel Government International Bond 5.500 % 11/9/16 2,800 3,011
Israel Government International Bond 5.125 % 3/26/19 5,350 5,440
Japan Bank for International          
Cooperation/Japan 4.750 % 5/25/11 650 678
Japan Bank for International          
Cooperation/Japan 2.125 % 11/5/12 8,000 8,076
Japan Bank for International          
Cooperation/Japan 4.375 % 11/26/12 1,950 2,077
Japan Bank for International          
Cooperation/Japan 4.250 % 6/18/13 4,800 5,095
Japan Bank for International          
Cooperation/Japan 2.875 % 2/2/15 6,300 6,272
Japan Finance Organization for Municipalities 4.625 % 4/21/15 2,150 2,315
Japan Finance Organization for Municipalities 5.000 % 5/16/17 1,100 1,173
Korea Development Bank 5.300 % 1/17/13 1,200 1,255
Korea Development Bank 5.750 % 9/10/13 3,300 3,533
Korea Development Bank 8.000 % 1/23/14 3,150 3,609
Korea Development Bank 4.375 % 8/10/15 1,800 1,820


Korea Electric Power Corp. 7.750 % 4/1/13 2,200 2,476
Kreditanstalt fuer Wiederaufbau 3.750 % 6/27/11 7,550 7,812
Kreditanstalt fuer Wiederaufbau 3.250 % 10/14/11 4,775 4,935
Kreditanstalt fuer Wiederaufbau 2.000 % 1/17/12 5,125 5,209
Kreditanstalt fuer Wiederaufbau 2.250 % 4/16/12 9,925 10,127
Kreditanstalt fuer Wiederaufbau 4.750 % 5/15/12 4,425 4,704
Kreditanstalt fuer Wiederaufbau 1.875 % 1/14/13 12,900 12,937
Kreditanstalt fuer Wiederaufbau 3.250 % 3/15/13 19,600 20,269
Kreditanstalt fuer Wiederaufbau 3.500 % 5/16/13 4,000 4,162
Kreditanstalt fuer Wiederaufbau 4.000 % 10/15/13 7,500 7,844
Kreditanstalt fuer Wiederaufbau 3.500 % 3/10/14 300 311
Kreditanstalt fuer Wiederaufbau 4.125 % 10/15/14 575 614
Kreditanstalt fuer Wiederaufbau 2.750 % 10/21/14 10,250 10,278
Kreditanstalt fuer Wiederaufbau 2.625 % 3/3/15 11,875 11,714
Kreditanstalt fuer Wiederaufbau 5.125 % 3/14/16 14,000 15,333
Kreditanstalt fuer Wiederaufbau 4.375 % 3/15/18 4,600 4,779
Kreditanstalt fuer Wiederaufbau 4.500 % 7/16/18 6,425 6,740
Kreditanstalt fuer Wiederaufbau 4.875 % 6/17/19 19,300 20,675
Kreditanstalt fuer Wiederaufbau 4.000 % 1/27/20 5,500 5,458
Kreditanstalt fuer Wiederaufbau 0.000 % 6/29/37 5,450 1,395
Landeskreditbank Baden-Wuerttemberg          
Foerderbank 4.875 % 1/13/12 2,625 2,733
Landwirtschaftliche Rentenbank 5.250 % 7/2/12 2,675 2,867
Landwirtschaftliche Rentenbank 1.875 % 9/24/12 9,150 9,176
Landwirtschaftliche Rentenbank 3.250 % 3/15/13 7,000 7,156
Landwirtschaftliche Rentenbank 4.125 % 7/15/13 2,500 2,626
Landwirtschaftliche Rentenbank 3.125 % 7/15/15 3,550 3,567
Landwirtschaftliche Rentenbank 4.875 % 11/16/15 4,125 4,441
Landwirtschaftliche Rentenbank 5.125 % 2/1/17 2,000 2,180
Malaysia Government International Bond 7.500 % 7/15/11 3,575 3,840
Mexico Government International Bond 7.500 % 1/14/12 3,325 3,691
Mexico Government International Bond 6.375 % 1/16/13 4,250 4,724
Mexico Government International Bond 6.625 % 3/3/15 5,975 6,752
Mexico Government International Bond 11.375 % 9/15/16 1,325 1,865
Mexico Government International Bond 5.625 % 1/15/17 16,375 17,545
Mexico Government International Bond 8.125 % 12/30/19 4,325 5,385
Mexico Government International Bond 8.300 % 8/15/31 3,125 4,016
Mexico Government International Bond 6.750 % 9/27/34 11,800 13,014
Nordic Investment Bank 3.875 % 6/15/10 200 201
Nordic Investment Bank 1.625 % 1/28/13 5,300 5,283
Nordic Investment Bank 2.625 % 10/6/14 4,000 3,995
Nordic Investment Bank 5.000 % 2/1/17 1,150 1,258
Oesterreichische Kontrollbank AG 3.125 % 10/14/11 4,725 4,852
Oesterreichische Kontrollbank AG 4.750 % 11/8/11 725 763
Oesterreichische Kontrollbank AG 1.875 % 3/21/12 2,275 2,285
Oesterreichische Kontrollbank AG 4.750 % 10/16/12 2,025 2,180
Oesterreichische Kontrollbank AG 1.750 % 3/11/13 6,900 6,853
Oesterreichische Kontrollbank AG 4.500 % 3/9/15 2,600 2,721
Oesterreichische Kontrollbank AG 5.000 % 4/25/17 4,025 4,302
Ontario Electricity Financial Corp. 7.450 % 3/31/13 1,450 1,642
Pemex Project Funding Master Trust 9.125 % 10/13/10 175 183
Pemex Project Funding Master Trust 7.375 % 12/15/14 2,500 2,861
Pemex Project Funding Master Trust 5.750 % 3/1/18 8,925 9,143
Pemex Project Funding Master Trust 6.625 % 6/15/35 4,600 4,508
Pemex Project Funding Master Trust 6.625 % 6/15/38 2,025 1,980
Peruvian Government International Bond 9.125 % 2/21/12 200 228
Peruvian Government International Bond 9.875 % 2/6/15 2,150 2,722
Peruvian Government International Bond 8.375 % 5/3/16 1,525 1,854


Peruvian Government International Bond 7.125 % 3/30/19 7,350 8,497
Peruvian Government International Bond 7.350 % 7/21/25 1,525 1,769
3 Peruvian Government International Bond 6.550 % 3/14/37 5,200 5,564
Petrobras International Finance Co. 6.125 % 10/6/16 4,850 5,187
Petrobras International Finance Co. 5.875 % 3/1/18 4,075 4,235
Petrobras International Finance Co. 8.375 % 12/10/18 3,700 4,412
Petrobras International Finance Co. 7.875 % 3/15/19 7,575 8,825
Petrobras International Finance Co. 5.750 % 1/20/20 2,850 2,915
Petrobras International Finance Co. 6.875 % 1/20/40 1,975 2,045
4 Petroleos Mexicanos 4.875 % 3/15/15 4,450 4,567
Petroleos Mexicanos 8.000 % 5/3/19 1,675 1,972
4 Petroleos Mexicanos 6.000 % 3/5/20 2,150 2,199
Poland Government International Bond 6.250 % 7/3/12 2,425 2,638
Poland Government International Bond 5.250 % 1/15/14 800 860
Poland Government International Bond 5.000 % 10/19/15 750 792
Poland Government International Bond 6.375 % 7/15/19 15,275 16,734
Province of Manitoba Canada 4.900 % 12/6/16 5,475 5,895
Province of Nova Scotia Canada 5.750 % 2/27/12 550 593
Province of Ontario Canada 3.375 % 5/20/11 5,575 5,734
Province of Ontario Canada 5.000 % 10/18/11 4,625 4,906
Province of Ontario Canada 1.875 % 11/19/12 8,450 8,513
Province of Ontario Canada 4.100 % 6/16/14 13,250 14,068
Province of Ontario Canada 2.950 % 2/5/15 3,200 3,207
Province of Ontario Canada 4.750 % 1/19/16 1,025 1,098
Province of Ontario Canada 5.450 % 4/27/16 5,675 6,293
Province of Ontario Canada 4.000 % 10/7/19 7,750 7,616
Province of Quebec Canada 4.875 % 5/5/14 275 291
Province of Quebec Canada 4.600 % 5/26/15 2,250 2,411
Province of Quebec Canada 5.125 % 11/14/16 7,275 7,916
Province of Quebec Canada 4.625 % 5/14/18 3,975 4,186
Province of Quebec Canada 7.125 % 2/9/24 325 395
Province of Quebec Canada 7.500 % 9/15/29 2,575 3,336
Province of Saskatchewan Canada 7.375 % 7/15/13 425 493
Region of Lombardy Italy 5.804 % 10/25/32 1,050 1,016
Republic of Italy 3.500 % 7/15/11 2,475 2,548
Republic of Italy 5.625 % 6/15/12 1,875 2,026
Republic of Italy 2.125 % 10/5/12 3,450 3,465
Republic of Italy 4.375 % 6/15/13 4,350 4,611
Republic of Italy 4.500 % 1/21/15 4,000 4,205
Republic of Italy 3.125 % 1/26/15 10,575 10,501
Republic of Italy 4.750 % 1/25/16 8,075 8,439
Republic of Italy 5.250 % 9/20/16 13,275 14,192
Republic of Italy 6.875 % 9/27/23 4,600 5,257
Republic of Italy 5.375 % 6/15/33 5,650 5,618
Republic of Korea 4.250 % 6/1/13 5,700 5,966
Republic of Korea 5.750 % 4/16/14 3,175 3,463
Republic of Korea 4.875 % 9/22/14 2,400 2,543
Republic of Korea 7.125 % 4/16/19 3,175 3,728
Republic of Korea 5.625 % 11/3/25 575 583
South Africa Government International Bond 7.375 % 4/25/12 2,650 2,912
South Africa Government International Bond 6.875 % 5/27/19 7,375 8,232
South Africa Government International Bond 5.500 % 3/9/20 2,125 2,152
South Africa Government International Bond 5.875 % 5/30/22 1,075 1,099
Svensk Exportkredit AB 4.000 % 6/15/10 875 881
Svensk Exportkredit AB 3.250 % 9/16/14 5,050 5,150
Svensk Exportkredit AB 5.125 % 3/1/17 550 591
United Mexican States 5.875 % 2/17/14 8,025 8,819
United Mexican States 5.950 % 3/19/19 5,975 6,453


United Mexican States 5.125 % 1/15/20 1,950 1,965
United Mexican States 6.050 % 1/11/40 1,375 1,372
Total Sovereign Bonds (Cost $1,090,524)         1,121,718
Taxable Municipal Bonds (0.5%)          
American Muni. Power Ohio Inc. 6.053 % 2/15/43 400 381
Bay Area Toll Auth. CA Toll Bridge Rev. 6.263 % 4/1/49 2,325 2,347
Board of Trustees of The Leland Stanford          
Junior University 3.625 % 5/1/14 2,250 2,332
Board of Trustees of The Leland Stanford          
Junior University 4.250 % 5/1/16 750 779
California GO 5.250 % 4/1/14 1,175 1,218
California GO 5.750 % 3/1/17 4,000 4,085
California GO 6.200 % 3/1/19 1,100 1,124
California GO 6.200 % 10/1/19 3,925 4,015
California GO 7.500 % 4/1/34 9,225 9,528
California GO 5.650 % 4/1/39 1,225 1,273
California GO 7.300 % 10/1/39 1,200 1,204
California GO 7.350 % 11/1/39 8,200 8,171
California GO 7.625 % 3/1/40 2,950 3,074
Central Puget Sound WA Regional Transit          
Auth. Sales & Use Tax Rev. 5.491 % 11/1/39 550 534
Chicago IL Board of Educ. GO 6.138 % 12/1/39 400 407
Chicago IL Metro. Water Reclamation Dist.          
GO 5.720 % 12/1/38 1,000 1,010
Chicago IL Transit Auth. Rev. 6.200 % 12/1/40 1,650 1,644
Chicago IL Transit Auth. Rev. 6.899 % 12/1/40 2,625 2,813
Clark County NV Airport Improvement Rev. 6.881 % 7/1/42 550 554
Commonwealth Financing Auth. Pennsylvania          
Rev. 6.218 % 6/1/39 2,350 2,404
Connecticut GO 5.850 % 3/15/32 5,475 5,751
Dallas County TX Hosp. Dist. GO 5.621 % 8/15/44 750 751
Dallas TX Area Rapid Transit Rev. 5.999 % 12/1/44 1,500 1,603
Dartmouth College 4.750 % 6/1/19 275 284
Denver CO City & County School Dist. 5.664 % 12/1/33 525 528
District of Columbia Income Tax Rev. 5.591 % 12/1/34 450 448
Georgia GO 4.503 % 11/1/25 2,300 2,268
Howard Hughes Medical Institute 3.450 % 9/1/14 1,450 1,493
Illinois GO 2.766 % 1/1/12 4,800 4,841
Illinois GO 4.071 % 1/1/14 4,800 4,855
Illinois GO 4.950 % 6/1/23 5,125 4,745
Illinois GO 5.100 % 6/1/33 13,500 11,134
Illinois GO 6.630 % 2/1/35 1,050 1,046
Illinois State Tollway Highway Auth. Toll          
Highway Rev. 5.851 % 12/1/34 625 607
Indianapolis IN Local Public Improvement          
Bond Bank Notes 6.116 % 1/15/40 3,700 3,754
Johns Hopkins University 5.250 % 7/1/19 2,275 2,397
Kansas Dev. Finance Auth. Rev. (Public          
Employee Retirement System) 5.501 % 5/1/34 1,525 1,479
Las Vegas Valley Water Dist. Nevada GO 7.013 % 6/1/39 650 697
Los Angeles CA Dept. of Water & Power Rev. 6.008 % 7/1/39 2,400 2,360
Los Angeles CA USD GO 5.750 % 7/1/34 4,600 4,234
Maryland Transp. Auth. Rev. 5.888 % 7/1/43 700 706
Massachusetts GO 5.456 % 12/1/39 2,000 1,999
Massachusetts School Building Auth.          
Dedicated Sales Tax Rev. 5.715 % 8/15/39 950 958
Metro. New York Transp. Auth. Rev. 5.871 % 11/15/39 800 728


Metro. Transp. Auth. NY Rev. 6.648 % 11/15/39 1,750 1,793
Metro. Washington DC/VA Airports Auth.          
Airport System Rev. 7.462 % 10/1/46 525 543
Missouri Highways & Transp. Comm. Road          
Rev. 5.445 % 5/1/33 600 588
Muni. Electric Auth. Georgia Rev. 6.637 % 4/1/57 3,050 3,028
Muni. Electric Auth. Georgia Rev. 6.655 % 4/1/57 2,250 2,239
Muni. Electric Auth. Georgia Rev. 7.055 % 4/1/57 1,275 1,242
New Jersey Econ. Dev. Auth. 7.425 % 2/15/29 3,175 3,500
New Jersey Transp. Trust Fund Auth. Rev. 6.561 % 12/15/40 1,300 1,349
New Jersey Turnpike Auth. Rev. 4.252 % 1/1/16 900 909
New Jersey Turnpike Auth. Rev. 7.414 % 1/1/40 3,850 4,475
New York City NY GO 5.968 % 3/1/36 1,250 1,240
New York City NY GO 5.985 % 12/1/36 600 592
New York City NY Muni. Water Finance Auth. 6.011 % 6/15/42 350 353
New York City NY Muni. Water Finance Auth.          
Water & Sewer System Rev. 5.750 % 6/15/41 500 489
New York City NY Muni. Water Finance Auth.          
Water & Sewer System Rev. 5.952 % 6/15/42 1,150 1,150
New York City NY Transitional Finance Auth.          
Rev. 5.767 % 8/1/36 750 744
New York Metro. Transp. Auth. Rev. 7.336 % 11/15/39 625 724
New York Metro. Transp. Auth. Rev. 6.089 % 11/15/40 400 397
New York State Urban Dev. Corp. Rev. 5.770 % 3/15/39 2,175 2,148
North Texas Tollway Auth. Rev. 6.718 % 1/1/49 1,250 1,315
Oregon (Taxable Pension) GO 5.762 % 6/1/23 650 668
Oregon (Taxable Pension) GO 5.892 % 6/1/27 975 999
Oregon GO 4.759 % 6/30/28 700 582
Oregon GO 5.528 % 6/30/28 375 339
Oregon State Dept. Transp. Highway Usertax          
Rev. 5.834 % 11/15/34 550 550
Pennsylvania GO 4.650 % 2/15/26 850 827
Port Auth. of New York & New Jersey Rev. 6.040 % 12/1/29 850 878
Princeton University 5.700 % 3/1/39 1,500 1,542
San Antonio TX Electric & Gas Rev. 5.985 % 2/1/39 1,500 1,569
San Antonio TX Electric & Gas Rev. 5.718 % 2/1/41 1,175 1,196
San Diego County CA Water Auth. 6.138 % 5/1/49 750 760
Tobacco Settlement West Virginia Finance          
Auth. Rev. 7.467 % 6/1/47 1,415 1,135
Univ. of California Regents 6.583 % 5/15/49 975 1,005
Univ. of Texas Permanent Univ. Fund Rev. 5.262 % 7/1/39 650 630
Univ. of Texas Permanent Univ. Fund Rev. 6.276 % 8/15/41 525 537
Utah GO 4.554 % 7/1/24 1,000 993
Washington GO 5.481 % 8/1/39 270 273
Wisconsin GO 4.800 % 5/1/13 775 836
Wisconsin GO 5.700 % 5/1/26 900 904
Total Taxable Municipal Bonds (Cost $150,702)         153,604
        Shares  
Temporary Cash Investment (5.6%)          
Money Market Fund (5.6%)          
7,8 Vanguard Market Liquidity Fund          
(Cost $1,687,381) 0.183 %   1,687,381,154 1,687,381
Total Investments (104.4%) (Cost $30,743,571)         31,495,755
Other Assets and Liabilities-Net (-4.4%)8         (1,331,774)
Net Assets (100%)         30,163,981

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $7,359,000.


1 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee
Program.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the
U.S. government.
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 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2010, the aggregate
value of these securities was $175,642,000, representing 0.6% of net assets.
5 Adjustable-rate security.
6 Non-income-producing security--security in default.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
8 Includes $7,548,000 of collateral received for securities on loan.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
USD—United School District.

A. 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.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value 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 March 31, 2010, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 21,538,207 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,159,764 —
Corporate Bonds — 5,835,066 15
Sovereign Bonds — 1,121,718 —
Taxable Municipal Bonds — 153,604 —
Temporary Cash Investments 1,687,381 — —
Total 1,687,381 29,808,359 15


The following table summarizes changes in investments valued based on Level 3 inputs during the period ended March 31, 2010:

  Investments in
  Corporate Bonds
Amount Valued Based on Level 3 Inputs ($000)
Balance as of December 31, 2009 15
Transfers in and/or out of Level 3 —
Balance as of March 31, 2010 15

C. At March 31, 2010, the cost of investment securities for tax purposes was $30,743,571,000. Net unrealized appreciation of investment securities for tax purposes was $752,184,000, consisting of unrealized gains of $867,939,000 on securities that had risen in value since their purchase and $115,755,000 in unrealized losses on securities that had fallen in value since their purchase.


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

  VANGUARD BOND INDEX FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: May 21, 2010  

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

  VANGUARD BOND INDEX FUNDS
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
Date: May 21, 2010  
  VANGUARD BOND INDEX FUNDS
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
Date: May 21, 2010  

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683,
Incorporated by Reference.